N-CSR Filing for 06/30/2012

N-CSRS 1 d401844dncsrs.htm N-CSR FILING FOR 06/30/2012 N-CSR Filing for 06/30/2012

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-10263

GuideStone Funds

(Exact name of registrant as specified in charter)

2401 Cedar Springs Road

Dallas, TX 75201-1407

(Address of principal executive offices) (Zip code)

Rodney R. Miller, Esq.

GuideStone Financial Resources of the Southern Baptist Convention

2401 Cedar Springs Road

Dallas, TX 75201-1407

(Name and address of agent for service)

Registrant’s telephone number, including area code: 214-720-2142

Date of fiscal year end: December 31

Date of reporting period: June 30, 2012

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

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

Item 1.

Reports to Stockholders.

The Report to Shareholders is attached herewith.

LOGO

GuideStone Funds

Privacy Notice

NOTICE CONCERNING YOUR PRIVACY RIGHTS

This notice will provide you with information concerning our policies with respect to nonpublic personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed below: individual retirement accounts (“IRAs”) and/or personal mutual fund accounts.

The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice.

We collect nonpublic personal information about you with regard to your IRA and/or personal mutual fund accounts from the following sources:

•

Information we receive from you on applications or other forms;

•

Information about your transactions with us, our affiliates or others (including our third-party service providers);

•

Information we receive from others such as service providers, broker-dealers and your personal agents or representatives; and

•

Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone.

We may disclose such nonpublic personal financial information about you to one or more of our affiliates as permitted by law. An affiliate of an organization means any entity that controls, is controlled by or is under common control with that organization. GuideStone Funds, GuideStone Financial Resources of the Southern Baptist Convention (“GuideStone Financial Resources”), GuideStone Capital Management (“GSCM”), GuideStone Trust Services (“GSTS”), GuideStone Financial Services (“GFS”) and GuideStone Advisors (“GA”) are affiliates of one another. GuideStone Funds, GuideStone Financial Resources, GSCM, GSTS, GFS, GA and Foreside Funds Distributors LLC do not sell your personal information to nonaffiliated third parties.

We may also disclose any of the personal information that we collect about you to nonaffiliated third parties as permitted by law. For example, we may provide your information to nonaffiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with whom we have joint marketing agreements. We restrict access to nonpublic personal information about you to those of our employees who need to know that information in order for us to provide products and services to you. We also maintain physical, electronic and procedural safeguards to guard your personal information.

These procedures will continue to remain in effect after you cease to receive financial products and services from us.

If you have any questions concerning our customer information policy, please contact a customer relations specialist at

1-888-98-GUIDE (1-888-984-8433).

TABLE OF CONTENTS


Letter from the President			2
From the Chief Investment Officer			4
About Your Expenses			5
Abbreviations and Footnotes			8
Date Target Funds:
MyDestination 2005 Fund			10
MyDestination 2015 Fund			11
MyDestination 2025 Fund			12
MyDestination 2035 Fund			13
MyDestination 2045 Fund			14
MyDestination 2055 Fund			15
Financial Statements			16
Asset Allocation Funds:
Conservative Allocation Fund			22
Balanced Allocation Fund			23
Growth Allocation Fund			24
Aggressive Allocation Fund			25
Financial Statements			26
Conservative Allocation Fund I			31
Balanced Allocation Fund I			32
Growth Allocation Fund I			33
Aggressive Allocation Fund I			34
Financial Statements			35
Money Market and Bond Funds:
Money Market Fund			41
Low-Duration Bond Fund			44
Medium-Duration Bond Fund			58
Extended-Duration Bond Fund			76
Inflation Protected Bond Fund			82
Global Bond Fund			84
Financial Statements			94
Equity Funds:
Defensive Market Strategies Fund			104
Equity Index Fund			114
Real Estate Securities Fund			120
Value Equity Fund			122
Growth Equity Fund			126
Small Cap Equity Fund			129
International Equity Fund			141
Financial Statements			156
Notes to Financial Statements			167
Fund Management			222
Board Review of Advisory Agreements			225

This report has been prepared for shareholders of GuideStone Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed. Fund shares are distributed by Foreside Funds Distributors LLC, 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312.

LETTER FROM THE PRESIDENT

LOGO

Dear Shareholder:

We are pleased to present you with the 2012 GuideStone Funds Semi-Annual Report. This report reflects our unwavering commitment to integrity in financial reporting so that you may stay fully informed of your investments. We hope that you will find this information valuable when making investment decisions.

In March 2012, GuideStone Funds became the first Christian-based, socially screened fund family to win the Lipper Award for Best Overall Small Fund Group in the U.S. This prestigious accolade recognizes fund families with assets under management of up to $40 billion based on consistent risk-adjusted returns. Ranking No. 1 out of 182 eligible fund companies, GuideStone Funds achieved its leading level of excellence through its sophisticated, proprietary manager-of-managers investment platform. This approach leverages the talent of GuideStone Capital Management along with the investment advisory experience of more than 30 world-class firms.

During the year, we have worked diligently to enhance the products and services delivered to our shareholders. Several examples of our ongoing commitment are noted below:

Investment performance proven. Morningstar^® rated overall 18 of 20 GuideStone Funds (GS4 Class) as three-star or better as of June 30, 2012. For funds that have 10 years of performance, 12 of 12 funds were 3-star or better. Lipper ranked 13 of 21 GuideStone Funds (GS4 Class) above median for the one-year period as of June 30, 2012. For the ten-year period, Lipper ranked 10 of 14 funds above median. Additional information on fund performance and Lipper rankings and Morningstar^® ratings can be found on our website at www.GuideStoneFunds.org.

Personal investing simplified. Investors may now open a GuideStone Funds personal investment account or traditional IRA online. Paperless, online applications for Roth IRAs will become available during the second half of 2012. Additionally, enrollment specialists are also available by phone to assist with moving your IRA from another financial institution to a GuideStone RightChoice IRA^TM.

We invite you to learn more about the continued success of GuideStone Funds and the various investment options available by visiting our website at www.GuideStoneFunds.org or contacting us at 1-888-98-GUIDE (1-888-984-8433). Thank you for choosing to invest in GuideStone Funds.

Sincerely,

LOGO

John R. Jones, CFA

President

GuideStone Funds shares are distributed by Foreside Funds Distributors LLC, not an advisor affiliate.

Morningstar, Inc. is a leading provider of independent investment research in the United States and in major international markets. Morningstar is a trusted source for insightful information on stocks, mutual funds, variable annuities, closed-end funds, exchange-traded funds, separate accounts, hedge funds and 529 college savings plans. With operations in 16 countries, Morningstar currently provides data on more than 125,000 investment offerings worldwide.

For each fund with at least a three-year history, Morningstar calculates a Morningstar Rating based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads, and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. The top 10% of funds in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive three stars, the next 22.5% receive 2 stars, and the bottom 10% receive one star. (Each share class is counted as a fraction of one fund within this scale and rated separately, which may cause slight variations in the distribution percentages.)

Lipper Inc., a Reuters Company, is a nationally-recognized organization that compares the performance of mutual funds having similar investment objectives. The comparison is made across registered mutual funds, ranking the funds with similar objectives according to total returns. These investment returns are calculated after operating expenses have been deducted from each fund, but the rankings do not take sales charges into account. Lipper rankings are subject to change monthly, and past rankings are no guarantee of future results.

Lipper ranked 14 out of 20 GuideStone Funds (GS4 class) above median for the five-year period as of June 30, 2012.

About the Best Overall Small Company Lipper Award: GuideStone Funds ranked No. 1 out of 182 eligible companies in the small company category. All rankings are as of November 30, 2011. To be considered for the Small Company Lipper award, companies must have at least three distinct portfolios in each of the following asset classes- equity, bond, or mixed-asset as well as at least 36 months of performance history as of the end of the calendar year of the respective evaluation year. The overall group award is given to the group with the lowest average decile ranking for Lipper’s Consistent Return measure of its respective asset class results over the three-year period. In cases of identical results the lower average percentile rank will determine the winner. Lipper, a wholly owned subsidiary of Reuters, is a leading global provider of mutual fund information and analysis to fund companies, financial intermediaries, and media organizations. ©2011 Lipper a subsidiary of Thomson Reuters.

FROM THE CHIEF INVESTMENT OFFICER

LOGO

Rodric E. Cummins, CFA

Investors thus far in 2012 have experienced the truism that market volatility can take on an erratic persona, presenting itself at times as a hero in the light of optimism and a villain in times of despair. While holders of risky assets, such as stocks, enjoyed a very profitable six months ending June 30, the path to that success has followed the uncertain and often changing winds of global economic growth and political influences.

Barely into 2012, equity markets set a quick pace that resulted in the strongest first quarter in the U.S. since the technology bubble in the late 1990’s. However, the second quarter proved to be a challenging period as stocks were unable to sustain the strong momentum from the first quarter. Slowing global economic growth, disappointing levels of U.S. job creation and fading U.S. consumer confidence dampened the optimism that fueled the fast start in 2012. These economic headwinds, when coupled with the large scale uncertainties surrounding the escalating Eurozone debt crisis, eroded some of the positive investment returns earned in the first quarter.

The S&P 500^® Index ended the first half of the year with a return of 9.49% as strong company fundamentals set a solid foundation for stock market advancement. International stock markets

lagged the U.S. due primarily to uncertainties in Europe, as the MSCI ACWI ex-U.S. Index returned 2.77% for the period. With vacillating levels of uncertainty engulfing global capital markets, investors with risk balanced portfolios found refuge in bonds as interest rates fell to near historically low yield levels. The bond market, as measured by the Barclays U.S. Aggregate Bond Index, posted a return of 2.37% during the period.

Asset Class Performance Comparison

The following graph illustrates the performance of the major assets classes during 2012.

LOGO

⁽¹⁾	The S&P 500^® Index includes 500 of the largest stocks (in terms of market value) in the United States.

⁽²⁾	The Russell 2000^® Index is a small-cap index consisting of the smallest 2,000 companies in the Russell 3000^® Index, representing approximately 10% of the Russell 3000^® Index total market capitalization.

⁽³⁾	The MSCI ACWI (All Country World Index) Ex-U.S. Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets excluding the United States.

⁽⁴⁾

The Barclays Capital U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.

About Your Expenses

As a shareholder of the Funds, you incur ongoing costs, including advisory fees and to the extent applicable, shareholder services fees, as well as other Fund expenses. This example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2012 to June 30, 2012.

Actual Expenses

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.


Actual
Fund	Class		Beginning Account Value 01/01/12		Ending Account Value 06/30/12		Annualized Expense Ratio (1)			Expenses Paid During Period (2)
MyDestination 2005		GS4	$	1,000.00	$	1,046.88		0.20	%	$	1.01
MyDestination 2015		GS4		1,000.00		1,057.63		0.15			0.79
MyDestination 2025		GS4		1,000.00		1,066.97		0.15			0.79
MyDestination 2035		GS4		1,000.00		1,071.78		0.20			1.03
MyDestination 2045		GS4		1,000.00		1,074.12		0.20			1.03
MyDestination 2055		GS4		1,000.00		1,053.00		0.20			1.02
Conservative Allocation		GS4		1,000.00		1,035.90		0.12			0.60
Balanced Allocation		GS4		1,000.00		1,055.23		0.12			0.61
Growth Allocation		GS4		1,000.00		1,063.79		0.12			0.61
Aggressive Allocation		GS4		1,000.00		1,069.78		0.12			0.61
Conservative Allocation I		GS2		1,000.00		1,035.30		0.15			0.77
Balanced Allocation I		GS2		1,000.00		1,055.62		0.14			0.71
Growth Allocation I		GS2		1,000.00		1,064.86		0.15			0.78
Aggressive Allocation I		GS2		1,000.00		1,069.81		0.15			0.79
Money Market		GS2		1,000.00		1,000.52		0.18			0.91
		GS4		1,000.00		1,000.06		0.28			1.37
Low-Duration Bond		GS2		1,000.00		1,023.02		0.36			1.80
		GS4		1,000.00		1,022.36		0.57			2.85
Medium-Duration Bond		GS2		1,000.00		1,043.93		0.48			2.42
		GS4		1,000.00		1,042.52		0.63			3.18

About Your Expenses (Continued)


Actual
Fund	Class		Beginning Account Value 01/01/12		Ending Account Value 06/30/12		Annualized Expense Ratio (1)			Expenses Paid During Period (2)
Extended-Duration Bond		GS2	$	1,000.00	$	1,076.80		0.53	%	$	2.73
		GS4		1,000.00		1,076.05		0.75			3.87
Inflation Protected Bond		GS4		1,000.00		1,034.73		0.65			3.31
Global Bond		GS4		1,000.00		1,053.29		0.85			4.33
Defensive Market Strategies (3)		GS2		1,000.00		1,051.95		1.04			5.32
		GS4		1,000.00		1,049.85		1.30			6.64
Equity Index		GS2		1,000.00		1,092.86		0.23			1.19
		GS4		1,000.00		1,092.20		0.38			1.97
Real Estate Securities		GS4		1,000.00		1,142.15		1.06			5.67
Value Equity		GS2		1,000.00		1,083.88		0.67			3.47
		GS4		1,000.00		1,083.04		0.91			4.73
Growth Equity		GS2		1,000.00		1,113.95		0.87			4.58
		GS4		1,000.00		1,113.26		1.05			5.52
Small Cap Equity		GS2		1,000.00		1,069.07		0.98			5.06
		GS4		1,000.00		1,068.39		1.18			6.05
International Equity (3)		GS2		1,000.00		1,024.22		1.17			5.88
		GS4		1,000.00		1,022.94		1.41			7.08

HYPOTHETICAL (assuming a 5% return before expenses)
Fund	Class		Beginning Account Value 01/01/12		Ending Account Value 06/30/12		Annualized Expense Ratio (1)			Expenses Paid During Period (2)
MyDestination 2005		GS4	$	1,000.00	$	1,023.87		0.20	%	$	1.00
MyDestination 2015		GS4		1,000.00		1,024.10		0.15			0.78
MyDestination 2025		GS4		1,000.00		1,024.10		0.15			0.77
MyDestination 2035		GS4		1,000.00		1,023.87		0.20			1.01
MyDestination 2045		GS4		1,000.00		1,023.87		0.20			1.00
MyDestination 2055		GS4		1,000.00		1,023.87		0.20			1.01
Conservative Allocation		GS4		1,000.00		1,024.27		0.12			0.60
Balanced Allocation		GS4		1,000.00		1,024.27		0.12			0.60
Growth Allocation		GS4		1,000.00		1,024.27		0.12			0.60
Aggressive Allocation		GS4		1,000.00		1,024.27		0.12			0.60
Conservative Allocation I		GS2		1,000.00		1,024.11		0.15			0.76
Balanced Allocation I		GS2		1,000.00		1,024.17		0.14			0.70
Growth Allocation I		GS2		1,000.00		1,024.11		0.15			0.76
Aggressive Allocation I		GS2		1,000.00		1,024.10		0.15			0.78
Money Market		GS2		1,000.00		1,023.96		0.18			0.92
		GS4		1,000.00		1,023.50		0.28			1.38
Low-Duration Bond		GS2		1,000.00		1,023.08		0.36			1.80
		GS4		1,000.00		1,022.04		0.57			2.85
Medium-Duration Bond		GS2		1,000.00		1,022.49		0.48			2.40
		GS4		1,000.00		1,021.75		0.63			3.15
Extended-Duration Bond		GS2		1,000.00		1,022.24		0.53			2.65
		GS4		1,000.00		1,021.13		0.75			3.77
Inflation Protected Fund		GS4		1,000.00		1,021.61		0.65			3.29


HYPOTHETICAL (assuming a 5% return before expenses)
Fund	Class		Beginning Account Value 01/01/12		Ending Account Value 06/30/12		Annualized Expense Ratio (1)			Expenses Paid During Period (2)
Global Bond		GS4	$	1,000.00	$	1,020.65		0.85	%	$	4.26
Defensive Market Strategies (3)		GS2		1,000.00		1,019.68		1.04			5.23
		GS4		1,000.00		1,018.38		1.30			6.54
Equity Index		GS2		1,000.00		1,023.72		0.23			1.15
		GS4		1,000.00		1,022.98		0.38			1.90
Real Estate Securities Fund		GS4		1,000.00		1,019.57		1.06			5.34
Value Equity		GS2		1,000.00		1,021.54		0.67			3.36
		GS4		1,000.00		1,020.32		0.91			4.59
Growth Equity		GS2		1,000.00		1,020.53		0.87			4.38
		GS4		1,000.00		1,019.64		1.05			5.28
Small Cap Equity		GS2		1,000.00		1,019.98		0.98			4.94
		GS4		1,000.00		1,019.01		1.18			5.91
International Equity (3)		GS2		1,000.00		1,019.06		1.17			5.86
		GS4		1,000.00		1,017.86		1.41			7.06

⁽¹⁾

Expenses include the effect of contractual waivers by GuideStone Capital Management. The Date Target Funds’ and Asset Allocation Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above.

⁽²⁾

Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2012 through June 30, 2012, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

⁽³⁾

The expense ratios for the Defensive Market Strategies Fund and the International Equity Fund include the impact of dividend expense on securities sold short.

ABBREVIATIONS AND FOOTNOTES

INVESTMENT ABBREVIATIONS:


ADR	—	American Depository Receipt
AGM	—	Assured Guaranty Municipal Corporation
AMBAC	—	American Municipal Bond Assurance Corporation
BDR	—	Brazilian Depository Receipt
CONV	—	Convertible
ETF	—	Exchange Traded Fund
ETN	—	Exchange Traded Note
GDR	—	Global Depository Receipt
IO	—	Interest Only (Principal amount shown is notional)
LLC	—	Limited Liability Company
LP	—	Limited Partnership
NVDR	—	Non-Voting Depository Receipt
PIK	—	Payment-in-Kind Bonds
PIPE	—	Private Investment in Public Equity
PLC	—	Public Limited Company
PO	—	Principal Only
REIT	—	Real Estate Investment Trust
SDR	—	Special Drawing Right
STEP	—	Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect.
STRIP	—	Stripped Security
TECP	—	Tax Exempt Commercial Paper


Fund	Value of 144A Securities		Percentage of Net Assets
Low-Duration Bond	$	158,171,302		20.06	%
Medium-Duration Bond		104,720,116		11.25
Extended-Duration Bond		31,979,973		7.27
Global Bond		23,227,407		12.42
Defensive Market Strategies		12,683,291		3.53
Small Cap Equity		3,055,865		0.70
International Equity		1,123,695		0.09

INVESTMENT FOOTNOTES:


‡‡	—	All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap contracts.
@	—	Illiquid.
*	—	Non-income producing security.
#	—	Security in default.
§	—	Security purchased with the cash proceeds from securities loaned.
†	—	Variable rate security. Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset.
W	—	Interest rates shown reflect the effective yields
		as of June 30, 2012.
¥	—	Affiliated fund.
D	—	Security either partially or fully on loan.
+	—	Security is valued at fair value. As of June 30, 2012, the total market values and percentages of net assets for Fair Valued securities by fund were as follows:


Fund	Value of Fair Valued Securities		Percentage of Net Assets
Low-Duration Bond	$	1,944,939		0.25	%
Medium-Duration Bond		1,933,196		0.21
Global Bond		157,957		0.08
Equity Index		—		—
Small Cap Equity		561,326		0.13
International Equity		132,688		0.01

ABBREVIATIONS AND FOOTNOTES

FOREIGN BOND FOOTNOTES:


(A)	—	Par is denominated in Australian Dollars (AUD).
(B)	—	Par is denominated in Brazilian Real (BRL).
(C)	—	Par is denominated in Canadian Dollars (CAD).
(E)	—	Par is denominated in Euro (EUR).
(G)	—	Par is denominated in Singapore Dollars (SGD).
(K)	—	Par is denominated in Norwegian Krone (NOK).
(M)	—	Par is denominated in Mexican Pesos (MXN).
(N)	—	Par is denominated in Indonesian Rupiahs (IDR).
(P)	—	Par is denominated in Peruvian Nuevos Soles (PEN).
(R)	—	Par is denominated in Malaysian Ringgits (MYR).
(S)	—	Par is denominated in South African Rand (ZAR).
(U)	—	Par is denominated in British Pounds (GBP).
(W)	—	Par is denominated in South Korean Won (KRW).
(Z)	—	Par is denominated in New Zealand Dollars (NZD).

COUNTERPARTY ABBREVIATIONS:


ADV	—	Counterparty to contract is Advantage Investments.
BAR	—	Counterparty to contract is Barclays Capital.
BNP	—	Counterparty to contract is BNP Paribas.
BOA	—	Counterparty to contract is Bank of America.
CITI	—	Counterparty to contract is Citibank NA London.
CITIC	—	Counterparty to contract is Citicorp.
CITIG	—	Counterparty to contract is Citigroup Global Markets, Inc.
CS	—	Counterparty to contract is Credit Suisse International.
DEUT	—	Counterparty to contract is Deutsche Bank AG.
GSC	—	Counterparty to contract is Goldman Sachs Capital Markets, LP.
HKSB	—	Counter party to contract is Hong Kong & Shanghai Bank.
HSBC	—	Counterparty to contract is HSBC Securities.
JPM	—	Counter party to contract is JPMorgan Chase Bank.
KS	—	Counterparty to contract is Knight Securities.
MLCS	—	Counterparty to contract is Merrill Lynch Capital Services, Inc.
MSCS	—	Counterparty to contract is Morgan Stanley Capital Services.
RBC	—	Counterparty to contract is Royal Bank of Canada.
RBS	—	Counterparty to contract is Royal Bank of Scotland.
SG	—	Counterparty to contract is Societe Generale.
SS	—	Counterparty to contract is State Street Global Markets.
UBS	—	Counterparty to contract is UBS AG.
WEST	—	Counterparty to contract is Westpac Pollock.

MYDESTINATION 2005 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.9%
GuideStone Money Market Fund (GS4 Class)¥		1,427,361	$	1,427,361
GuideStone Low-Duration Bond Fund (GS4 Class)¥		1,488,563		19,887,205
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		845,018		12,252,756
GuideStone Inflation Protected Bond Fund (GS4 Class)¥		937,593		10,585,429
GuideStone Defensive Market Strategies Fund (GS4 Class)¥		919,513		9,756,033
GuideStone Real Estate Securities Fund (GS4 Class)¥		160,489		1,673,899
GuideStone Value Equity Fund (GS4 Class)¥		332,905		4,986,919
GuideStone Growth Equity Fund (GS4 Class)¥		238,908		4,954,946
GuideStone Small Cap Equity Fund (GS4 Class)¥		78,969		1,233,501
GuideStone International Equity Fund (GS4 Class)¥		526,642		6,103,776

Total Mutual Funds (Cost $67,751,148)				72,861,825

TOTAL INVESTMENTS — 99.9% (Cost $67,751,148)				72,861,825
Other Assets in Excess of Liabilities — 0.1%				70,878

NET ASSETS — 100.0%			$	72,932,703

PORTFOLIO SUMMARY (based on net assets)


	%
Bond Funds		58.5
Domestic Equity Funds		31.0
International Equity Fund		8.4
Money Market Fund		2.0
Futures Contracts		1.9

		101.8

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	72,861,825	$	72,861,825	$	—	$	—

Total Assets — Investments in Securities	$	72,861,825	$	72,861,825	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	15,550	$	15,550	$	—	$	—

Total Assets — Other Financial Instruments	$	15,550	$	15,550	$	—	$	—

***

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 investment. Details of these investments can be found in the Notes to Financial Statements.

See Notes to Financial Statements.

MYDESTINATION 2015 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 100.0%
GuideStone Money Market Fund (GS4 Class)¥		4,679,270	$	4,679,270
GuideStone Low-Duration Bond Fund (GS4 Class)¥		1,990,797		26,597,050
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		2,663,959		38,627,410
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		667,259		12,037,354
GuideStone Inflation Protected Bond Fund (GS4 Class)¥		3,397,567		38,358,536
GuideStone Global Bond Fund (GS4 Class)¥		1,300,152		12,936,511
GuideStone Defensive Market Strategies Fund (GS4 Class)¥		5,901,800		62,618,098
GuideStone Real Estate Securities Fund (GS4 Class)¥		1,673,286		17,452,374
GuideStone Value Equity Fund (GS4 Class)¥		2,049,435		30,700,540
GuideStone Growth Equity Fund (GS4 Class)¥		1,444,771		29,964,559
GuideStone Small Cap Equity Fund (GS4 Class)¥		508,002		7,934,986
GuideStone International Equity Fund (GS4 Class)¥		3,252,524		37,696,747

Total Mutual Funds (Cost $289,230,483)				319,603,435

TOTAL INVESTMENTS — 100.0% (Cost $289,230,483)				319,603,435
Liabilities in Excess of Other Assets — 0.0%				(64,976	)

NET ASSETS — 100.0%			$	319,538,459

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		46.5
Bond Funds		40.2
International Equity Fund		11.8
Money Market Fund		1.5
Futures Contracts		1.4

		101.4

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	319,603,435	$	319,603,435	$	—	$	—

Total Assets — Investments in Securities	$	319,603,435	$	319,603,435	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	108,114	$	108,114	$	—	$	—

Total Assets — Other Financial Instruments	$	108,114	$	108,114	$	—	$	—

***

See Notes to Financial Statements.

MYDESTINATION 2025 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.9%
GuideStone Money Market Fund (GS4 Class)¥		5,237,362	$	5,237,362
GuideStone Low-Duration Bond Fund (GS4 Class)¥		455,692		6,088,051
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		1,876,516		27,209,485
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		1,167,612		21,063,723
GuideStone Inflation Protected Bond Fund (GS4 Class)¥		672,199		7,589,122
GuideStone Global Bond Fund (GS4 Class)¥		2,116,893		21,063,085
GuideStone Defensive Market Strategies Fund (GS4 Class)¥		4,987,049		52,912,587
GuideStone Real Estate Securities Fund (GS4 Class)¥		2,023,167		21,101,634
GuideStone Value Equity Fund (GS4 Class)¥		3,070,418		45,994,866
GuideStone Growth Equity Fund (GS4 Class)¥		2,170,121		45,008,305
GuideStone Small Cap Equity Fund (GS4 Class)¥		907,843		14,180,511
GuideStone International Equity Fund (GS4 Class)¥		4,886,690		56,636,740

Total Mutual Funds (Cost $298,899,727)				324,085,471

TOTAL INVESTMENTS — 99.9% (Cost $298,899,727)				324,085,471
Other Assets in Excess of Liabilities — 0.1%				479,077

NET ASSETS — 100.0%			$	324,564,548

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		55.2
Bond Funds		25.6
International Equity Fund		17.5
Futures Contracts		1.7
Money Market Fund		1.6

		101.6

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	324,085,471	$	324,085,471	$	—	$	—

Total Assets — Investments in Securities	$	324,085,471	$	324,085,471	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	123,273	$	123,273	$	—	$	—

Total Assets — Other Financial Instruments	$	123,273	$	123,273	$	—	$	—

***

See Notes to Financial Statements.

MYDESTINATION 2035 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.8%
GuideStone Money Market Fund (GS4 Class)¥		3,517,075	$	3,517,075
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		267,398		3,877,272
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		212,076		3,825,851
GuideStone Global Bond Fund (GS4 Class)¥		1,042,564		10,373,509
GuideStone Real Estate Securities Fund (GS4 Class)¥		1,066,004		11,118,425
GuideStone Value Equity Fund (GS4 Class)¥		2,342,061		35,084,079
GuideStone Growth Equity Fund (GS4 Class)¥		1,669,118		34,617,500
GuideStone Small Cap Equity Fund (GS4 Class)¥		801,581		12,520,691
GuideStone International Equity Fund (GS4 Class)¥		3,852,108		44,645,928

Total Mutual Funds (Cost $149,796,459)				159,580,330

TOTAL INVESTMENTS — 99.8% (Cost $149,796,459)				159,580,330
Other Assets in Excess of Liabilities — 0.2%				298,738

NET ASSETS — 100.0%			$	159,879,068

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		58.4
International Equity Fund		27.9
Bond Funds		11.3
Futures Contracts		2.3
Money Market		2.2

		102.1

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	159,580,330	$	159,580,330	$	—	$	—

Total Assets — Investments in Securities	$	159,580,330	$	159,580,330	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	104,653	$	104,653	$	—	$	—

Total Assets — Other Financial Instruments	$	104,653	$	104,653	$	—	$	—

***

See Notes to Financial Statements.

MYDESTINATION 2045 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.7%
GuideStone Money Market Fund (GS4 Class)¥		2,104,251	$	2,104,251
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		59,693		1,076,860
GuideStone Global Bond Fund (GS4 Class)¥		528,537		5,258,938
GuideStone Real Estate Securities Fund (GS4 Class)¥		935,307		9,755,257
GuideStone Value Equity Fund (GS4 Class)¥		1,650,246		24,720,686
GuideStone Growth Equity Fund (GS4 Class)¥		1,176,863		24,408,133
GuideStone Small Cap Equity Fund (GS4 Class)¥		601,500		9,395,437
GuideStone International Equity Fund (GS4 Class)¥		2,749,373		31,865,231

Total Mutual Funds (Cost $96,496,256)				108,584,793

TOTAL INVESTMENTS — 99.7% (Cost $96,496,256)				108,584,793
Other Assets in Excess of Liabilities — 0.3%				309,754

NET ASSETS — 100.0%			$	108,894,547

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		62.7
International Equity Fund		29.3
Bond Funds		5.8
Futures Contracts		1.9
Money Market Fund		1.9

		101.6

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	108,584,793	$	108,584,793	$	—	$	—

Total Assets — Investments in Securities	$	108,584,793	$	108,584,793	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	61,614	$	61,614	$	—	$	—

Total Assets — Other Financial Instruments	$	61,614	$	61,614	$	—	$	—

***

See Notes to Financial Statements.

MYDESTINATION 2055 FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 100.0%
GuideStone Money Market Fund (GS4 Class)¥		118,951	$	118,951
GuideStone Global Bond Fund (GS4 Class)¥		22,280		221,690
GuideStone Real Estate Securities Fund (GS4 Class)¥		43,351		452,149
GuideStone Value Equity Fund (GS4 Class)¥		69,026		1,034,006
GuideStone Growth Equity Fund (GS4 Class)¥		49,027		1,016,824
GuideStone Small Cap Equity Fund (GS4 Class)¥		25,228		394,059
GuideStone International Equity Fund (GS4 Class)¥		114,729		1,329,704

Total Mutual Funds (Cost $4,432,446)				4,567,383

TOTAL INVESTMENTS — 100.0% (Cost $4,432,446)				4,567,383
Liabilities in Excess of Other Assets — 0.0%				(1,634	)

NET ASSETS — 100.0%			$	4,565,749

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		63.4
International Equity Fund		29.1
Bond Fund		4.9
Money Market Fund		2.6

		100.0

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	4,567,383	$	4,567,383	$	—	$	—

Total Assets — Investments in Securities	$	4,567,383	$	4,567,383	$	—	$	—

See Notes to Financial Statements.


STATEMENTS OF ASSETS AND LIABILITIES		June 30, 2012 (Unaudited)


	MyDestination 2005 Fund			MyDestination 2015 Fund			MyDestination 2025 Fund			MyDestination 2035 Fund			MyDestination 2045 Fund			MyDestination 2055 Fund
Assets
Investments in securities of affiliated issuers, at value⁽¹⁾	$	72,861,825		$	319,603,435		$	324,085,471		$	159,580,330		$	108,584,793		$	4,567,383
Cash collateral for derivatives		77,200			205,000			275,300			168,900			169,500			—
Receivables:
Dividends		11			39			36			25			17			1
Fund shares sold		4,627			9,714			148,579			84,310			108,493			7,038
Variation margin on financial futures contracts		14,033			73,276			113,839			92,885			57,268			—
Receivable from advisor		—			—			—			—			—			8,119
Prepaid expenses and other assets		10,095			11,963			10,573			10,520			9,846			9,967

Total Assets		72,967,791			319,903,427			324,633,798			159,936,970			108,929,917			4,592,508

Liabilities
Payables:
Fund shares redeemed		5,244			304,306			8,544			14,138			—			—
Accrued expenses:
Investment advisory fees		833			26,018			26,184			13,144			5,699			—
Other expenses		29,011			34,644			34,522			30,620			29,671			26,759

Total Liabilities		35,088			364,968			69,250			57,902			35,370			26,759

Net Assets	$	72,932,703		$	319,538,459		$	324,564,548		$	159,879,068		$	108,894,547		$	4,565,749

Net Assets Consist of:
Paid-in capital	$	74,356,897		$	310,711,591		$	308,661,282		$	151,703,825		$	99,408,452		$	4,414,948
Undistributed net investment income		569,529			3,568,922			2,677,058			703,614			406,799			15,753
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions		(7,119,950	)		(25,223,120	)		(12,082,809	)		(2,416,896	)		(3,070,855	)		111
Net unrealized appreciation on investments and futures		5,126,227			30,481,066			25,309,017			9,888,525			12,150,151			134,937

Net Assets	$	72,932,703		$	319,538,459		$	324,564,548		$	159,879,068		$	108,894,547		$	4,565,749

Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS4 Class	$	72,932,703		$	319,538,459		$	324,564,548		$	159,879,068		$	108,894,547		$	4,565,749

GS4 shares outstanding		7,260,097			32,229,178			34,512,404			18,140,784			12,741,569			433,491

Net asset value, offering and redemption price per GS4 share	$	10.05		$	9.91		$	9.40		$	8.81		$	8.55		$	10.53

	$	67,751,148		$	289,230,483		$	298,899,727		$	149,796,459		$	96,496,256		$	4,432,446

⁽¹⁾	Investments in securities of affiliated issuers, at cost

See Notes to Financial Statements.


STATEMENTS OF OPERATIONS		For the Six Months Ended June 30, 2012 (Unaudited)


	MyDestination 2005 Fund			MyDestination 2015 Fund		MyDestination 2025 Fund		MyDestination 2035 Fund		MyDestination 2045 Fund			MyDestination 2055 Fund⁽¹⁾
Investment Income
Income dividends received from affiliated funds	$	536,057		$	2,419,829	$	2,304,167	$	853,299	$	508,682		$	19,520
Interest		—			—		2		—		5			—

Total Investment Income		536,057			2,419,829		2,304,169		853,299		508,687			19,520

Expenses
Investment advisory fees		35,042			152,890		156,288		76,566		52,360			1,883
Transfer agent fees:
GS4 Shares		10,735			12,214		12,212		11,416		11,266			8,826
Custodian fees		8,920			10,713		10,412		8,098		7,643			7,180
Accounting and administration fees		5,317			11,391		11,597		7,408		6,144			2,812
Professional fees		22,876			22,922		22,926		22,900		22,891			23,716
Blue sky fees:
GS4 Shares		6,833			7,262		6,663		6,424		6,248			9,357
Shareholder reporting fees:
GS4 Shares		3,013			6,342		6,509		4,603		4,257			1,147
Trustee expenses		685			1,693		1,721		1,025		822			407
Line of credit facility fees		385			1,661		1,696		815		558			33
Other expenses		4,449			4,449		4,449		4,449		4,449			3,112

Total Expenses		98,255			231,537		234,473		143,704		116,638			58,473
Expenses waived/reimbursed net of amount recaptured⁽²⁾		(29,951	)		—		—		5,981		(14,750	)		(54,706	)

Net Expenses		68,304			231,537		234,473		149,685		101,888			3,767

Net investment income		467,753			2,188,292		2,069,696		703,614		406,799			15,753

Realized and Unrealized Gain (Loss)
Capital gain distributions received from affiliated funds		179,080			693,022		327,809		15,537		2,492			—
Net realized gain on investment securities of affiliated issuers		885,931			733,120		681,588		488,547		174,810			111
Net realized gain on futures transactions		24,122			186,394		148,071		161,520		85,590			—

Net realized gain		1,089,133			1,612,536		1,157,468		665,604		262,892			111

Change in unrealized appreciation on investment securities of affiliated issuers		1,454,939			12,326,884		15,282,645		7,906,258		5,874,114			134,937
Change in unrealized appreciation on futures		10,523			80,547		78,762		78,450		48,893			—

Net change in unrealized appreciation		1,465,462			12,407,431		15,361,407		7,984,708		5,923,007			134,937

Net Realized and Unrealized Gain		2,554,595			14,019,967		16,518,875		8,650,312		6,185,899			135,048

Net Increase in Net Assets Resulting from Operations	$	3,022,348		$	16,208,259	$	18,588,571	$	9,353,926	$	6,592,698		$	150,801

⁽¹⁾	The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012.

⁽²⁾	See Note 3a and 3c in Notes to Financial Statements.

See Notes to Financial Statements.

STATEMENTS OF CHANGES IN NET ASSETS


	MyDestination 2005 Fund
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)
Operations:
Net investment income	$	467,753		$	851,849
Net realized gain (loss) on investment securities and futures transactions		1,089,133			2,517,678
Net change in unrealized appreciation (depreciation) on investment securities and futures		1,465,462			(2,025,552	)

Net increase (decrease) in net assets resulting from operations		3,022,348			1,343,975

Dividends and Distributions to Shareholders:
Dividends from net investment income⁽¹⁾		—			(1,118,885	)
Distributions from net realized capital gains		—			—

Total dividends and distributions		—			(1,118,885	)

Capital Share Transactions:
Proceeds from GS4 shares sold		11,021,488			25,225,989
Reinvestment of dividends and distributions into GS4 shares		—			1,118,483
Value of GS4 shares redeemed		(5,718,990	)		(16,644,614	)

Net increase from capital share transactions⁽²⁾		5,302,498			9,699,858

Total increase in net assets		8,324,846			9,924,948

Net Assets:
Beginning of Period		64,607,857			54,682,909

End of Period*	$	72,932,703		$	64,607,857

* Including undistributed net investment income	$	569,529		$	101,776

⁽¹⁾	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds.

⁽²⁾	See Note 7 in Notes to Financial Statements.

⁽³⁾	The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012.

See Notes to Financial Statements.


MyDestination 2015 Fund					MyDestination 2025 Fund						MyDestination 2035 Fund						MyDestination 2045 Fund						MyDestination 2055 Fund⁽³⁾
For the Six Months Ended 06/30/12		For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12
(Unaudited)					(Unaudited)						(Unaudited)						(Unaudited)						(Unaudited)

$	2,188,292	$	3,859,060		$	2,069,696		$	3,723,266		$	703,614		$	1,400,976		$	406,799		$	725,744		$	15,753
	1,612,536		(6,612,694	)		1,157,468			(5,289,907	)		665,604			190,251			262,892			26,074			111
	12,407,431		7,143,228			15,361,407			877,964			7,984,708			(5,719,088	)		5,923,007			(4,125,970	)		134,937

	16,208,259		4,389,594			18,588,571			(688,677	)		9,353,926			(4,127,861	)		6,592,698			(3,374,152	)		150,801


	—		(4,639,060	)		—			(4,085,427	)		—			(1,436,957	)		—			(728,739	)		—
	—		—			—			—			—			(762,677	)		—			(1,952,225	)		—

	—		(4,639,060	)		—			(4,085,427	)		—			(2,199,634	)		—			(2,680,964	)		—


	38,726,854		54,743,331			37,734,275			59,628,488			21,182,322			33,005,073			14,283,125			27,357,501			4,489,025
	8		4,639,060			—			4,085,427			—			2,199,634			—			2,680,965			—
	(9,492,755)		(30,708,423	)		(9,997,653	)		(17,202,341	)		(2,103,222	)		(7,637,385	)		(1,935,182	)		(9,832,010	)		(74,077	)

	29,234,107		28,673,968			27,736,622			46,511,574			19,079,100			27,567,322			12,347,943			20,206,456			4,414,948

	45,442,366		28,424,502			46,325,193			41,737,470			28,433,026			21,239,827			18,940,641			14,151,340			4,565,749


	274,096,093		245,671,591			278,239,355			236,501,885			131,446,042			110,206,215			89,953,906			75,802,566			—

$	319,538,459	$	274,096,093		$	324,564,548		$	278,239,355		$	159,879,068		$	131,446,042		$	108,894,547		$	89,953,906		$	4,565,749

$	3,568,922	$	1,380,630		$	2,677,058		$	607,362		$	703,614		$	—		$	406,799		$	—		$	15,753

See Notes to Financial Statements.

FINANCIAL HIGHLIGHTS (Unaudited)


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																								Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income (1)			Capital Gain Distributions Received from Affiliated Funds		Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income (2)			Distributions from Net Realized Capital Gains			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net (3)			Expenses, Gross (3)(4)			Investment Income, Net (1)(5)			Portfolio Turnover Rate
MyDestination 2005 Fund
GS4 Class
2012(6)	$	9.60	$	0.07	#	$	0.03	$	0.35		$	—		$	—		$	10.05		4.69	%	$	72,933		0.20	%		0.29	%		1.36	%		5	%
2011		9.53		0.14	#		0.05		0.05			(0.17	)		—			9.60		2.52			64,608		0.20			0.35			1.43			31
2010		8.84		0.14	#		0.09		0.70			(0.24	)		—			9.53		10.56			54,683		0.20			0.26			1.50			19
2009		7.44		0.18	#		0.04		1.40			(0.22	)		—			8.84		21.84			66,830		0.20			0.26			2.31			57
2008		10.35		0.30	#		0.08		(2.75	)		(0.31	)		(0.23	)		7.44		(22.78	)		50,678		0.20			0.29			3.25			40
2007		10.00		0.33	#		0.62		(0.31	)		(0.28	)		(0.01	)		10.35		6.42			57,667		0.20			0.43			3.16			21
MyDestination 2015 Fund
GS4 Class
2012(6)	$	9.37	$	0.07	#	$	0.02	$	0.45		$	—		$	—		$	9.91		5.76	%	$	319,538		0.15	%		0.15	%		1.46	%		2	%
2011		9.36		0.14	#		0.05		(0.02	)		(0.16	)		—			9.37		1.84			274,096		0.17			0.17			1.46			33
2010		8.42		0.14	#		0.06		0.94			(0.20	)		—			9.36		13.54			245,672		0.16			0.16			1.65			28
2009		6.83		0.17	#		0.02		1.58			(0.18	)		—			8.42		26.27			219,264		0.16			0.16			2.25			25
2008		10.33		0.26	#		0.09		(3.39	)		(0.19	)		(0.27	)		6.83		(29.31	)		146,140		0.20			0.18			2.87			22
2007		10.00		0.29	#		0.83		(0.50	)		(0.28	)		(0.01	)		10.33		6.12			169,953		0.20			0.24			2.74			7
MyDestination 2025 Fund
GS4 Class
2012(6)	$	8.81	$	0.06	#	$	0.01	$	0.52		$	—		$	—		$	9.40		6.70	%	$	324,565		0.15	%		0.15	%		1.35	%		1	%
2011		8.94		0.13	#		0.03		(0.16	)		(0.13	)		—			8.81		0.03			278,239		0.17			0.17			1.42			24
2010		7.88		0.14	#		0.03		1.04			(0.15	)		—			8.94		15.32			236,502		0.20			0.17			1.72			15
2009		6.18		0.14	#		0.01		1.69			(0.14	)		—			7.88		30.12			169,563		0.20			0.19			2.11			13
2008		10.24		0.21	#		0.09		(3.89	)		(0.15	)		(0.32	)		6.18		(35.00	)		96,826		0.20			0.21			2.47			10
2007		10.00		0.25	#		1.13		(0.85	)		(0.28	)		(0.01	)		10.24		5.29			105,102		0.20			0.30			2.37			5

#	Calculated using the average shares outstanding method.

(1)	Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

(2)	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds.

(3)	Does not include expenses of the investment companies in which the Fund invests.

(4)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(5)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(6)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

See Notes to Financial Statements.


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																									Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income (1)			Capital Gain Distributions Received from Affiliated Funds			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income (2)			Distributions from Net Realized Capital Gains			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net (3)			Expenses, Gross (3)(4)			Investment Income, Net (1)(5)			Portfolio Turnover Rate
MyDestination 2035 Fund
GS4 Class
2012(6)	$	8.22	$	0.04	#	$	—	†	$	0.55		$	—		$	—		$	8.81		7.18	%	$	159,879		0.20	%		0.19	%		0.94	%		1	%
2011		8.62		0.10	#		0.01			(0.37	)		(0.09	)		(0.05	)		8.22		(2.99	)		131,446		0.20			0.23			1.13			10
2010		7.52		0.10	#		0.01			1.10			(0.10	)		(0.01	)		8.62		16.02			110,206		0.20			0.23			1.32			9
2009		5.85		0.10	#		—	†		1.70			(0.11	)		(0.02	)		7.52		30.99			75,419		0.20			0.28			1.57			4
2008		10.24		0.17	#		0.09			(4.25	)		(0.10	)		(0.30	)		5.85		(38.86	)		37,637		0.20			0.40			2.02			5
2007		10.00		0.19	#		1.31			(0.98	)		(0.28	)		—	†		10.24		5.20			35,117		0.20			0.64			1.83			2
MyDestination 2045 Fund
GS4 Class
2012(6)	$	7.96	$	0.03	#	$	—	†	$	0.56		$	—		$	—		$	8.55		7.41	%	$	108,895		0.20	%		0.23	%		0.80	%		1	%
2011		8.52		0.07	#		—	†		(0.38	)		(0.07	)		(0.18	)		7.96		(3.63	)		89,954		0.20			0.29			0.87			25
2010		7.38		0.08	#		—	†		1.16			(0.07	)		(0.03	)		8.52		16.80			75,803		0.20			0.30			1.08			1
2009		5.75		0.08	#		—	†		1.67			(0.09	)		(0.03	)		7.38		30.71			44,159		0.20			0.41			1.23			7
2008		10.12		0.16	#		0.10			(4.34	)		(0.06	)		(0.23	)		5.75		(40.29	)		17,998		0.20			0.79			1.97			5
2007		10.00		0.17	#		1.37			(1.09	)		(0.28	)		(0.05	)		10.12		4.46			11,659		0.19			1.48			1.60			9
MyDestination 2055 Fund
GS4 Class
2012*(6)	$	10.00	$	0.04	#	$	—		$	0.49		$	—		$	—		$	10.53		5.30	%	$	4,566		0.20	%		3.10	%		0.84	%		0	%

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

*	Inception date was January 1, 2012.

(1)	Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

(2)	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds.

(3)	Does not include expenses of the investment companies in which the Fund invests.

(4)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(5)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(6)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

See Notes to Financial Statements.

CONSERVATIVE ALLOCATION FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 100.0%
GuideStone Money Market Fund (GS4 Class)¥		4,451,845	$	4,451,845
GuideStone Low-Duration Bond Fund (GS4 Class)¥		13,416,951		179,250,469
GuideStone Inflation Protected Bond Fund (GS4 Class)¥		3,905,471		44,092,767
GuideStone Defensive Market Strategies Fund (GS4 Class)¥		2,143,916		22,746,944
GuideStone Value Equity Fund (GS4 Class)¥		1,078,096		16,149,884
GuideStone Growth Equity Fund (GS4 Class)¥		760,815		15,779,311
GuideStone Small Cap Equity Fund (GS4 Class)¥		229,656		3,587,235
GuideStone International Equity Fund (GS4 Class)¥		1,684,083		19,518,527

Total Mutual Funds (Cost $282,083,466)				305,576,982

TOTAL INVESTMENTS — 100.0% (Cost $282,083,466)				305,576,982
Other Assets in Excess of Liabilities — 0.0%				134,188

NET ASSETS — 100.0%			$	305,711,170

PORTFOLIO SUMMARY (based on net assets)


	%
Bond Funds		73.1
Domestic Equity Funds		19.1
International Equity Fund		6.4
Money Market Fund		1.4
Futures Contracts		1.3

		101.3

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	305,576,982	$	305,576,982	$	—	$	—

Total Assets — Investments in Securities	$	305,576,982	$	305,576,982	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	44,212	$	44,212	$	—	$	—

Total Assets — Other Financial Instruments	$	44,212	$	44,212	$	—	$	—

***

See Notes to Financial Statements.

BALANCED ALLOCATION FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.9%
GuideStone Money Market Fund (GS4 Class)¥		23,489,350	$	23,489,350
GuideStone Low-Duration Bond Fund (GS4 Class)¥		12,289,416		164,186,593
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		16,608,227		240,819,294
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		5,387,991		97,199,361
GuideStone Global Bond Fund (GS4 Class)¥		5,669,066		56,407,210
GuideStone Defensive Market Strategies Fund (GS4 Class)¥		10,612,403		112,597,599
GuideStone Value Equity Fund (GS4 Class)¥		9,198,573		137,794,629
GuideStone Growth Equity Fund (GS4 Class)¥		6,430,726		133,373,260
GuideStone Small Cap Equity Fund (GS4 Class)¥		1,944,306		30,370,053
GuideStone International Equity Fund (GS4 Class)¥		13,100,263		151,832,044

Total Mutual Funds (Cost $1,069,567,020)				1,148,069,393

TOTAL INVESTMENTS — 99.9% (Cost $1,069,567,020)				1,148,069,393
Other Assets in Excess of Liabilities — 0.1%				1,064,871

NET ASSETS — 100.0%			$	1,149,134,264

PORTFOLIO SUMMARY (based on net assets)


	%
Bond Funds		48.6
Domestic Equity Funds		36.0
International Equity Fund		13.2
Money Market Fund		2.1
Futures Contracts		1.9

		101.8

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	1,148,069,393	$	1,148,069,393	$	—	$	—

Total Assets — Investments in Securities	$	1,148,069,393	$	1,148,069,393	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	519,007	$	519,007	$	—	$	—

Total Assets — Other Financial Instruments	$	519,007	$	519,007	$	—	$	—

***

See Notes to Financial Statements.

GROWTH ALLOCATION FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.9%
GuideStone Money Market Fund (GS4 Class)¥		13,832,923	$	13,832,923
GuideStone Low-Duration Bond Fund (GS4 Class)¥		4,298,025		57,421,618
GuideStone Medium-Duration Bond Fund (GS4 Class)¥		5,994,689		86,922,993
GuideStone Extended-Duration Bond Fund (GS4 Class)¥		1,795,638		32,393,317
GuideStone Global Bond Fund (GS4 Class)¥		1,984,261		19,743,396
GuideStone Value Equity Fund (GS4 Class)¥		12,064,915		180,732,428
GuideStone Growth Equity Fund (GS4 Class)¥		8,457,505		175,408,649
GuideStone Small Cap Equity Fund (GS4 Class)¥		2,656,164		41,489,286
GuideStone International Equity Fund (GS4 Class)¥		17,770,155		205,956,095

Total Mutual Funds (Cost $783,900,167)				813,900,705

TOTAL INVESTMENTS — 99.9% (Cost $783,900,167)				813,900,705
Other Assets in Excess of Liabilities — 0.1%				1,092,928

NET ASSETS — 100.0%			$	814,993,633

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		48.8
International Equity Fund		25.3
Bond Funds		24.1
Futures Contracts		1.7
Money Market Fund		1.7

		101.6

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	813,900,705	$	813,900,705	$	—	$	—

Total Assets — Investments in Securities	$	813,900,705	$	813,900,705	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	446,393	$	446,393	$	—	$	—

Total Assets — Other Financial Instruments	$	446,393	$	446,393	$	—	$	—

***

See Notes to Financial Statements.

AGGRESSIVE ALLOCATION FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.8%
GuideStone Money Market Fund (GS4 Class)¥		15,194,582	$	15,194,582
GuideStone Value Equity Fund (GS4 Class)¥		13,701,260		205,244,868
GuideStone Growth Equity Fund (GS4 Class)¥		9,608,727		199,284,990
GuideStone Small Cap Equity Fund (GS4 Class)¥		2,891,784		45,169,660
GuideStone International Equity Fund (GS4 Class)¥		20,211,806		234,254,827

Total Mutual Funds (Cost $701,244,495)				699,148,927

TOTAL INVESTMENTS — 99.8% (Cost $701,244,495)				699,148,927
Other Assets in Excess of Liabilities — 0.2%				1,437,071

NET ASSETS — 100.0%			$	700,585,998

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		64.2
International Equity Fund		33.4
Futures Contracts		2.3
Money Market Fund		2.2

		102.1

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	699,148,927	$	699,148,927	$	—	$	—

Total Assets — Investments in Securities	$	699,148,927	$	699,148,927	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	649,996	$	649,996	$	—	$	—

Total Assets — Other Financial Instruments	$	649,996	$	649,996	$	—	$	—

***

See Notes to Financial Statements.


STATEMENTS OF ASSETS AND LIABILITIES		June 30, 2012 (Unaudited)


	Conservative Allocation Fund			Balanced Allocation Fund		Growth Allocation Fund		Aggressive Allocation Fund
Assets
Investments in securities of affiliated issuers, at value ⁽¹⁾	$	305,576,982		$	1,148,069,393	$	813,900,705	$	699,148,927
Cash		—			—		3,229		—
Cash collateral for derivatives		153,200			737,600		623,400		827,200
Receivables:
Dividends		38			183		125		112
Fund shares sold		23,162			216,612		280,711		365,188
Variation margin on financial futures contracts		33,084			321,988		304,681		477,270
Prepaid expenses and other assets		7,920			7,698		8,810		8,228

Total Assets		305,794,386			1,149,353,474		815,121,661		700,826,925

Liabilities
Payables:
Fund shares redeemed		24,628			59,041		9,451		140,889
Accrued expenses:
Investment advisory fees		13,510			81,611		55,521		45,993
Other expenses		45,078			78,558		63,056		54,045

Total Liabilities		83,216			219,210		128,028		240,927

Net Assets	$	305,711,170		$	1,149,134,264	$	814,993,633	$	700,585,998

Net Assets Consist of:
Paid-in-capital	$	281,166,888		$	1,059,517,732	$	778,329,161	$	694,189,571
Undistributed net investment income		2,278,626			8,571,920		4,099,210		2,008,043
Undistributed (accumulated) net realized gain (loss) on investments and futures transactions		(1,272,072	)		2,023,232		2,118,331		5,833,956
Net unrealized appreciation (depreciation) on investments and futures		23,537,728			79,021,380		30,446,931		(1,445,572	)

Net Assets	$	305,711,170		$	1,149,134,264	$	814,993,633	$	700,585,998

Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS4 Class	$	305,711,170		$	1,149,134,264	$	814,993,633	$	700,585,998

GS4 shares outstanding		25,232,460			92,545,938		66,043,856		60,131,041

Net asset value, offering and redemption price per GS4 share	$	12.12		$	12.42	$	12.34	$	11.65

	$	282,083,466		$	1,069,567,020	$	783,900,167	$	701,244,495

⁽¹⁾	Investments in securities of affiliated issuers, at cost

See Notes to Financial Statements.


STATEMENTS OF OPERATIONS		For the Six Months Ended June 30, 2012 (Unaudited)


	Conservative Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment Income
Income dividends received from affiliated funds	$	2,457,176		$	9,249,637		$	4,590,335		$	2,430,461
Interest		—			153			108			109

Total Investment Income		2,457,176			9,249,790			4,590,443			2,430,570

Expenses
Investment advisory fees		152,005			584,604			420,557			362,973
Transfer agent fees:
GS4 shares		17,222			31,362			21,983			19,825
Custodian fees		9,102			17,531			15,007			11,212
Accounting and administration fees		11,663			33,612			25,341			22,269
Professional fees		22,921			22,921			22,921			22,950
Blue sky fees:
GS4 shares		9,050			9,675			9,723			9,569
Shareholder reporting fees:
GS4 shares		16,803			36,680			25,576			22,162
Trustee expenses		1,749			5,538			4,097			3,598
Line of credit facility fees		1,731			6,519			4,698			4,069
Other expenses		4,449			5,748			5,415			5,249

Total Expenses		246,695			754,190			555,318			483,876
Expenses waived/reimbursed⁽²⁾		(68,145	)		(73,051	)		(64,085	)		(59,387	)

Net Expenses		178,550			681,139			491,233			424,489

Net investment income		2,278,626			8,568,651			4,099,210			2,006,081

Realized and Unrealized Gain (Loss)
Capital gain distributions received from affiliated funds		699,605			1,173,132			302,731			—
Net realized gain on investment securities of affiliated issuers		504,993			4,795,696			2,194,092			4,126,063
Net realized gain on futures transactions		74,544			905,644			1,120,507			969,834

Net realized gain		1,279,142			6,874,472			3,617,330			5,095,897

Change in unrealized appreciation on investment securities of affiliated issuers		6,722,771			44,284,865			41,927,566			39,981,656
Change in unrealized appreciation on futures		32,727			309,841			168,845			260,877

Net change in unrealized appreciation		6,755,498			44,594,706			42,096,411			40,242,533

Net Realized and Unrealized Gain		8,034,640			51,469,178			45,713,741			45,338,430

Net Increase in Net Assets Resulting from Operations	$	10,313,266		$	60,037,829		$	49,812,951		$	47,344,511

⁽²⁾	See Note 3a and 3c in Notes to Financial Statements.

See Notes to Financial Statements.

STATEMENTS OF CHANGES IN NET ASSETS


	Conservative Allocation Fund						Balanced Allocation Fund
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)						(Unaudited)
Operations:
Net investment income	$	2,278,626		$	4,065,834		$	8,568,651		$	18,557,083
Net realized gain on investment securities and futures transactions		1,279,142			102,554			6,874,472			19,720,584
Net change in unrealized appreciation (depreciation) on investment securities and futures		6,755,498			236,103			44,594,706			(26,824,077	)

Net increase (decrease) in net assets resulting from operations		10,313,266			4,404,491			60,037,829			11,453,590

Dividends and Distributions to Shareholders:
Dividends from net investment income⁽¹⁾		—			(4,792,770	)		—			(23,283,553	)
Distributions from net realized capital gains		—			(4,309,760	)		—			(19,005,488	)

Total dividends and distributions		—			(9,102,530	)		—			(42,289,041	)

Capital Share Transactions:
Proceeds from GS4 shares sold		19,393,719			57,204,012			29,104,664			60,590,265
Reinvestment of dividends and distributions into GS4 shares		—			9,098,316			—			42,263,421
Value of GS4 shares redeemed		(17,231,819	)		(30,360,939	)		(37,283,228	)		(95,724,099	)

Net increase (decrease) from capital share transactions⁽²⁾		2,161,900			35,941,389			(8,178,564	)		7,129,587

Total increase (decrease) in net assets		12,475,166			31,243,350			51,859,265			(23,705,864	)

Net Assets:
Beginning of Period		293,236,004			261,992,654			1,097,274,999			1,120,980,863

End of Period*	$	305,711,170		$	293,236,004		$	1,149,134,264		$	1,097,274,999

* Including undistributed net investment income	$	2,278,626		$	—		$	8,571,920		$	3,269

⁽¹⁾	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds.

⁽²⁾	See Note 7 in Notes to Financial Statements.

See Notes to Financial Statements.


Growth Allocation Fund						Aggressive Allocation Fund
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	4,099,210		$	10,429,322		$	2,006,081		$	6,066,977
	3,617,330			10,125,554			5,095,897			7,554,619

	42,096,411			(39,424,655	)		40,242,533			(49,171,255	)

	49,812,951			(18,869,779	)		47,344,511			(35,549,659	)

	—			(11,523,090	)		—			(6,067,329	)
	—			(13,505,147	)		—			(11,387,493	)

	—			(25,028,237	)		—			(17,454,822	)

	16,976,022			33,158,753			11,619,135			31,839,557

	—			25,025,796			—			17,454,013
	(35,139,376	)		(72,868,581	)		(33,167,435	)		(66,992,296	)

	(18,163,354	)		(14,684,032	)		(21,548,300	)		(17,698,726	)

	31,649,597			(58,582,048	)		25,796,211			(70,703,207	)


	783,344,036			841,926,084			674,789,787			745,492,994

$	814,993,633		$	783,344,036		$	700,585,998		$	674,789,787

$	4,099,210		$	—		$	2,008,043		$	1,962

See Notes to Financial Statements.

FINANCIAL HIGHLIGHTS (Unaudited)


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																									Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income (1)			Capital Gain Distributions Received from Affiliated Funds			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income (2)			Distributions from Net Realized Capital Gains			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net (3)			Expenses, Gross (3)(4)			Investment Income, Net (1)(5)			Portfolio Turnover Rate
Conservative Allocation Fund
GS4 Class
2012(6)	$	11.70	$	0.09	#	$	0.03		$	0.30		$	—		$	—		$	12.12		3.59	%	$	305,711		0.12	%		0.17	%		1.52	%		2	%
2011		11.87		0.18	#		0.05			(0.03	)		(0.19	)		(0.18	)		11.70		1.71			293,236		0.12			0.17			1.47			9
2010		11.39		0.18	#		0.08			0.56			(0.27	)		(0.07	)		11.87		7.19			261,993		0.12			0.15			1.57			19
2009		10.33		0.26	#		—	†		1.44			(0.26	)		(0.38	)		11.39		16.58			284,750		0.12			0.16			2.37			32
2008		13.02		0.42	#		0.03			(2.17	)		(0.42	)		(0.55	)		10.33		(13.11	)		246,617		0.12			0.15			3.36			17
2007		13.15		0.43	#		0.21			0.21			(0.44	)		(0.54	)		13.02		6.48			313,829		0.13			0.16			3.13			13
Balanced Allocation Fund
GS4 Class
2012(6)	$	11.77	$	0.09	#	$	0.01		$	0.55		$	—		$	—		$	12.42		5.52	%	$	1,149,134		0.12	%		0.13	%		1.50	%		2	%
2011		12.12		0.20	#		0.06			(0.14	)		(0.26	)		(0.21	)		11.77		1.01			1,097,275		0.12			0.13			1.65			16
2010		11.14		0.23	#		0.09			1.00			(0.34	)		—			12.12		11.87			1,120,981		0.12			0.12			1.95			17
2009		9.20		0.26	#		0.05			1.97			(0.27	)		(0.07	)		11.14		25.05			1,132,991		0.12			0.13			2.58			19
2008		14.13		0.39	#		0.13			(3.99	)		(0.43	)		(1.03	)		9.20		(24.41	)		905,743		0.12			0.13			3.05			19
2007		14.61		0.41	#		0.48			0.16			(0.48	)		(1.05	)		14.13		7.16			1,348,204		0.13			0.13			2.68			7
Growth Allocation Fund
GS4 Class
2012(6)	$	11.60	$	0.06	#	$	—	†	$	0.68		$	—		$	—		$	12.34		6.38	%	$	814,994		0.12	%		0.14	%		1.00	%		2	%
2011		12.28		0.16	#		0.03			(0.49	)		(0.17	)		(0.21	)		11.60		(2.39	)		783,344		0.12			0.14			1.26			10
2010		11.11		0.16	#		0.05			1.31			(0.27	)		(0.08	)		12.28		13.65			841,926		0.12			0.13			1.43			8
2009		8.86		0.18	#		0.02			2.25			(0.15	)		(0.05	)		11.11		27.96			840,810		0.12			0.13			1.88			11
2008		15.34		0.28	#		0.13			(5.50	)		(0.29	)		(1.10	)		8.86		(32.98	)		667,769		0.12			0.13			2.15			13
2007		16.05		0.30	#		0.78			0.07			(0.43	)		(1.43	)		15.34		7.16			1,095,092		0.13			0.13			1.80			5
Aggressive Allocation Fund
GS4 Class
2012(6)	$	10.89	$	0.03	#	$	—		$	0.73		$	—		$	—		$	11.65		6.98	%	$	700,586		0.12	%		0.14	%		0.56	%		0	%
2011		11.79		0.10	#	$	—	†		(0.71	)		(0.10	)		(0.19	)		10.89		(5.14	)		674,790		0.12			0.14			0.83			9
2010		10.43		0.10	#		—	†		1.48			(0.10	)		(0.12	)		11.79		15.16			745,493		0.12			0.13			0.91			1
2009		8.13		0.10	#		—	†		2.38			(0.10	)		(0.08	)		10.43		30.82			729,734		0.12			0.14			1.17			3
2008		16.31		0.16	#		0.12			(7.01	)		(0.14	)		(1.31	)		8.13		(41.05	)		547,313		0.12			0.13			1.21			7
2007		17.23		0.17	#		1.11			(0.04	)		(0.36	)		(1.80	)		16.31		7.17			1,000,850		0.13			0.13			0.94			2

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

(2)	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds.

(3)	Does not include expenses of the investment companies in which the Fund invests.

(4)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(5)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(6)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

See Notes to Financial Statements.

CONSERVATIVE ALLOCATION FUND I

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 100.0%
GuideStone Money Market Fund (GS2 Class)¥		1,097,170	$	1,097,170
GuideStone Low-Duration Bond Fund (GS2 Class)¥		5,283,073		45,645,750
GuideStone Inflation Protected Bond Fund (GS4 Class)¥		993,966		11,221,879
GuideStone Defensive Market Strategies Fund (GS2 Class)¥		545,850		5,796,932
GuideStone Value Equity Fund (GS2 Class)¥		553,810		4,109,272
GuideStone Growth Equity Fund (GS2 Class)¥		306,680		4,017,510
GuideStone Small Cap Equity Fund (GS2 Class)¥		88,088		913,473
GuideStone International Equity Fund (GS2 Class)¥		559,080		4,964,634

Total Mutual Funds (Cost $74,869,005)				77,766,620

TOTAL INVESTMENTS—100.0% (Cost $74,869,005)				77,766,620
Other Assets in Excess of Liabilities — 0.0%				34,997

NET ASSETS — 100.0%			$	77,801,617

PORTFOLIO SUMMARY (based on net assets)


	%
Bond Funds		73.1
Domestic Equity Funds		19.1
International Equity Fund		6.4
Money Market Fund		1.4
Futures Contracts		1.2

		101.2

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	77,766,620	$	77,766,620	$	—	$	—

Total Assets — Investments in Securities	$	77,766,620	$	77,766,620	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	10,550	$	10,550	$	—	$	—

Total Assets — Other Financial Instruments	$	10,550	$	10,550	$	—	$	—

***

See Notes to Financial Statements.

BALANCED ALLOCATION FUND I

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 100.0%
GuideStone Money Market Fund (GS2 Class)¥		5,920,629	$	5,920,629
GuideStone Low-Duration Bond Fund (GS2 Class)¥		5,435,860		46,965,830
GuideStone Medium-Duration Bond Fund (GS2 Class)¥		9,337,042		68,907,373
GuideStone Extended-Duration Bond Fund (GS2 Class)¥		4,197,125		27,784,965
GuideStone Global Bond Fund (GS4 Class)¥		1,621,220		16,131,140
GuideStone Defensive Market Strategies Fund (GS2 Class)¥		3,034,620		32,227,670
GuideStone Value Equity Fund (GS2 Class)¥		5,308,773		39,391,098
GuideStone Growth Equity Fund (GS2 Class)¥		2,911,230		38,137,108
GuideStone Small Cap Equity Fund (GS2 Class)¥		837,283		8,682,628
GuideStone International Equity Fund (GS2 Class)¥		4,884,056		43,370,420

Total Mutual Funds (Cost $318,836,974)				327,518,861

TOTAL INVESTMENTS —100.0% (Cost $318,836,974)				327,518,861
Other Assets in Excess of Liabilities — 0.0%				141,684

NET ASSETS — 100.0%			$	327,660,545

PORTFOLIO SUMMARY (based on net assets)


	%
Bond Funds		48.9
Domestic Equity Funds		36.1
International Equity Fund		13.2
Money Market Fund		1.8
Futures Contracts		1.6

		101.6

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	327,518,861	$	327,518,861	$	—	$	—

Total Assets — Investments in Securities	$	327,518,861	$	327,518,861	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	119,526	$	119,526	$	—	$	—

Total Assets — Other Financial Instruments	$	119,526	$	119,526	$	—	$	—

***

See Notes to Financial Statements.

GROWTH ALLOCATION FUND I

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.9%
GuideStone Money Market Fund (GS2 Class)¥		3,205,733	$	3,205,733
GuideStone Low-Duration Bond Fund (GS2 Class)¥		1,673,111		14,455,680
GuideStone Medium-Duration Bond Fund (GS2 Class)¥		2,966,560		21,893,212
GuideStone Extended-Duration Bond Fund (GS2 Class)¥		1,231,234		8,150,766
GuideStone Global Bond Fund (GS4 Class)¥		499,439		4,969,420
GuideStone Value Equity Fund (GS2 Class)¥		6,128,513		45,473,566
GuideStone Growth Equity Fund (GS2 Class)¥		3,370,141		44,148,841
GuideStone Small Cap Equity Fund (GS2 Class)¥		1,006,635		10,438,801
GuideStone International Equity Fund (GS2 Class)¥		5,831,752		51,785,957

Total Mutual Funds (Cost $210,541,884)				204,521,976

TOTAL INVESTMENTS — 99.9% (Cost $210,541,884)				204,521,976
Other Assets in Excess of Liabilities — 0.1%				254,465

NET ASSETS — 100.0%			$	204,776,441

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		48.9
International Equity Fund		25.3
Bond Funds		24.1
Futures Contracts		1.6
Money Market Fund		1.6

		101.5

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	204,521,976	$	204,521,976	$	—	$	—

Total Assets — Investments in Securities	$	204,521,976	$	204,521,976	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	99,243	$	99,243	$	—	$	—

Total Assets — Other Financial Instruments	$	99,243	$	99,243	$	—	$	—

***

See Notes to Financial Statements.

AGGRESSIVE ALLOCATION FUND I

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
MUTUAL FUNDS — 99.8%
GuideStone Money Market Fund (GS2 Class)¥		2,093,313	$	2,093,313
GuideStone Value Equity Fund (GS2 Class)¥		5,318,727		39,464,957
GuideStone Growth Equity Fund (GS2 Class)¥		2,926,257		38,333,969
GuideStone Small Cap Equity Fund (GS2 Class)¥		837,674		8,686,684
GuideStone International Equity Fund (GS2 Class)¥		5,068,846		45,011,350

Total Mutual Funds (Cost $147,199,592)				133,590,273

TOTAL INVESTMENTS —99.8% (Cost $147,199,592)				133,590,273
Other Assets in Excess of Liabilities — 0.2%				237,324

NET ASSETS — 100.0%			$	133,827,597

PORTFOLIO SUMMARY (based on net assets)


	%
Domestic Equity Funds		64.6
International Equity Fund		33.6
Futures Contracts		1.6
Money Market Fund		1.6

		101.4

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Mutual Funds	$	133,590,273	$	133,590,273	$	—	$	—

Total Assets — Investments in Securities	$	133,590,273	$	133,590,273	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	87,633	$	87,633	$	—	$	—

Total Assets — Other Financial Instruments	$	87,633	$	87,633	$	—	$	—

***

See Notes to Financial Statements.


STATEMENTS OF ASSETS AND LIABILITIES		June 30, 2012 (Unaudited)


	Conservative Allocation Fund I			Balanced Allocation Fund I			Growth Allocation Fund I			Aggressive Allocation Fund I
Assets
Investments in securities of affiliated issuers, at value ⁽¹⁾	$	77,766,620		$	327,518,861		$	204,521,976		$	133,590,273
Cash		—			—			8,235			—
Cash collateral for derivatives		50,400			173,550			221,950			204,000
Receivables:
Dividends		91			411			298			157
Variation margin on financial futures contracts		7,526			75,159			73,245			63,640
Prepaid expenses and other assets		4,958			4,958			4,958			4,958

Total Assets		77,829,595			327,772,939			204,830,662			133,863,028

Liabilities
Payables:
Fund shares redeemed		20			55,233			10,275			894
Accrued expenses:
Investment advisory fees		3,067			26,898			16,868			9,307
Other expenses		24,891			30,263			27,078			25,230

Total Liabilities		27,978			112,394			54,221			35,431

Net Assets	$	77,801,617		$	327,660,545		$	204,776,441		$	133,827,597

Net Assets Consist of:
Paid-in-capital	$	80,009,213		$	357,107,930		$	232,656,761		$	165,855,960
Undistributed net investment income		1,635,180			10,098,474			3,651,529			3,202,951
Accumulated net realized loss on investments and futures transactions		(6,750,941	)		(48,347,272	)		(25,611,184	)		(21,709,627	)
Net unrealized appreciation (depreciation) on investments and futures		2,908,165			8,801,413			(5,920,665	)		(13,521,687	)

Net Assets	$	77,801,617		$	327,660,545		$	204,776,441		$	133,827,597

Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class	$	77,801,617		$	327,660,545		$	204,776,441		$	133,827,597

GS2 shares outstanding		8,036,788			33,200,834			20,124,278			12,841,800

Net asset value, offering and redemption price per GS2 share	$	9.68		$	9.87		$	10.18		$	10.42

	$	74,869,005		$	318,836,974		$	210,541,884		$	147,199,592

⁽¹⁾	Investments in securities of affiliated issuers, at cost

See Notes to Financial Statements.


STATEMENTS OF OPERATIONS		For the Six Months Ended June 30, 2012 (Unaudited)


	Conservative Allocation Fund I			Balanced Allocation Fund I			Growth Allocation Fund I			Aggressive Allocation Fund I
Investment Income
Income dividends received from affiliated funds	$	982,950		$	5,051,661		$	2,343,617		$	1,020,112

Total Investment Income		982,950			5,051,661			2,343,617			1,020,112

Expenses
Investment advisory fees		38,960			165,592			104,868			69,422
Transfer agent fees:
GS2 Shares		1,964			2,000			1,937			1,938
Custodian fees		8,389			13,660			11,358			7,047
Accounting and administration fees		5,691			12,274			9,151			7,181
Professional fees		22,929			22,972			22,945			22,931
Blue sky fees:
GS2 Shares		782			782			782			782
Shareholder reporting fees		280			362			226			226
Trustee expenses		730			1,845			1,316			997
Line of credit facility fees		441			1,847			1,178			777
Other expenses		4,451			4,451			4,451			4,451

Total Expenses		84,617			225,785			158,212			115,752
Expenses waived/reimbursed net of amount recaptured⁽²⁾		(26,194	)		—			(1,737	)		(11,072	)

Net expenses		58,423			225,785			156,475			104,680

Net investment income		924,527			4,825,876			2,187,142			915,432

Realized and Unrealized Gain (Loss)
Capital gain distributions received from affiliated funds		202,519			594,211			154,299			—
Net realized gain (loss) on investment securities of affiliated issuers		467,595			(1,138,905	)		(1,429,034	)		(785,281	)
Net realized gain on futures transactions		6,130			276,318			223,575			128,731

Net realized gain (loss)		676,244			(268,376	)		(1,051,160	)		(656,550	)

Change in unrealized appreciation on investment securities of affiliated issuers		1,053,365			12,727,754			11,624,576			8,873,107
Change in unrealized appreciation on futures		6,353			9,166			3,893			8,490

Net change in unrealized appreciation		1,059,718			12,736,920			11,628,469			8,881,597

Net Realized and Unrealized Gain		1,735,962			12,468,544			10,577,309			8,225,047

Net Increase in Net Assets Resulting from Operations	$	2,660,489		$	17,294,420		$	12,764,451		$	9,140,479

⁽²⁾	See Note 3a and 3c in Notes to Financial Statements.

See Notes to Financial Statements.

(This page intentionally left blank)

STATEMENTS OF CHANGES IN NET ASSETS


	Conservative Allocation Fund I						Balanced Allocation Fund I
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)						(Unaudited)
Operations:
Net investment income	$	924,527		$	1,701,463		$	4,825,876		$	10,860,289
Net realized gain (loss) on investment securities and futures transactions		676,244			(51,979	)		(268,376	)		(15,227,675	)
Net change in unrealized appreciation (depreciation) on investment securities and futures		1,059,718			(316,884	)		12,736,920			7,866,278

Net increase (decrease) in net assets resulting from operations		2,660,489			1,332,600			17,294,420			3,498,892

Dividends to Shareholders:
Dividends from net investment income⁽¹⁾		—			(1,925,326	)		—			(12,643,249	)

Total dividends		—			(1,925,326	)		—			(12,643,249	)

Capital Share Transactions:
Proceeds from GS2 shares sold		5,341,409			18,399,863			10,206,747			20,439,001
Reinvestment of dividends and distributions into GS2 shares		—			1,921,753			—			12,613,592
Value of GS2 shares redeemed		(4,341,140	)		(17,513,547	)		(10,107,250	)		(61,130,637	)

Net increase (decrease) from capital share transactions⁽²⁾		1,000,269			2,808,069			99,497			(28,078,044	)

Total increase (decrease) in net assets		3,660,758			2,215,343			17,393,917			(37,222,401	)

Net Assets:
Beginning of Period		74,140,859			71,925,516			310,266,628			347,489,029

End of Period*	$	77,801,617		$	74,140,859		$	327,660,545		$	310,266,628

* Including undistributed net investment income	$	1,635,180		$	710,653		$	10,098,474		$	5,272,598

⁽¹⁾	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds.

⁽²⁾	See Note 7 in Notes to Financial Statements.

See Notes to Financial Statements.


Growth Allocation Fund I						Aggressive Allocation Fund I
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	2,187,142		$	5,362,632		$	915,432		$	2,287,649

	(1,051,160)			(12,340,493	)		(656,550	)		(9,111,059	)

	11,628,469			1,469,485			8,881,597			(846,186	)

	12,764,451			(5,508,376	)		9,140,479			(7,669,596	)


	—			(5,922,267	)		—			(2,389,446	)

	—			(5,922,267	)		—			(2,389,446	)


	5,120,603			10,889,257			2,762,449			7,071,127
	—			5,901,738			—			2,387,924
	(10,991,675	)		(41,034,407	)		(7,541,463	)		(27,243,948	)

	(5,871,072	)		(24,243,412	)		(4,779,014	)		(17,784,897	)

	6,893,379			(35,674,055	)		4,361,465			(27,843,939	)


	197,883,062			233,557,117			129,466,132			157,310,071

$	204,776,441		$	197,883,062		$	133,827,597		$	129,466,132

$	3,651,529		$	1,464,387		$	3,202,951		$	2,287,519

See Notes to Financial Statements.

FINANCIAL HIGHLIGHTS (Unaudited)


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																									Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income (1)			Capital Gain Distributions Received from Affiliated Funds			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income (2)			Distributions from Net Realized Capital Gains			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net (3)			Expenses, Gross (3)(4)			Investment Income, Net (1)(5)			Portfolio Turnover Rate
Conservative Allocation Fund I
GS2 Class
2012(6)	$	9.35	$	0.12	#	$	0.03		$	0.18		$	—		$	—		$	9.68		3.53	%	$	77,802		0.15	%		0.22	%		2.41	%		4	%
2011		9.42		0.22	#		0.05			(0.09	)		(0.25	)		—			9.35		1.92			74,141		0.15			0.24			2.26			26
2010		9.06		0.23	#		0.10			0.33			(0.30	)		—			9.42		7.25			71,926		0.15			0.20			2.50			12
2009		8.00		0.32	#		—	†		1.05			(0.31	)		—			9.06		17.13			64,230		0.15			0.23			3.70			35
2008		9.86		0.49			0.03			(1.81	)		(0.39	)		(0.18	)		8.00		(12.98	)		54,317		0.15			0.22			5.21			25
2007		10.05		0.50			0.23			(0.07	)		(0.54	)		(0.31	)		9.86		6.55			67,231		0.16			0.22			4.77			25
Balanced Allocation Fund I
GS2 Class
2012(6)	$	9.35	$	0.14	#	$	0.02		$	0.36		$	—		$	—		$	9.87		5.56	%	$	327,661		0.14	%		0.14	%		2.97	%		2	%
2011		9.64		0.31	#		0.11			(0.31	)		(0.40	)		—			9.35		1.14			310,267		0.14			0.14			3.14			18
2010		9.00		0.33	#		0.15			0.60			(0.44	)		—			9.64		12.04			347,489		0.13			0.13			3.56			19
2009		7.53		0.37	#		0.08			1.46			(0.44	)		—			9.00		25.28			326,676		0.14			0.14			4.46			20
2008		11.07		0.51	#		0.17			(3.38	)		(0.42	)		(0.42	)		7.53		(24.26	)		260,123		0.14			0.14			5.16			23
2007		11.35		0.55	#		0.66			(0.38	)		(0.62	)		(0.49	)		11.07		7.32			353,793		0.16			0.14			4.62			12
Growth Allocation Fund I
GS2 Class
2012(6)	$	9.56	$	0.11	#	$	0.01		$	0.50		$	—		$	—		$	10.18		6.49	%	$	204,776		0.15	%		0.15	%		2.13	%		3	%
2011		10.08		0.24	#		0.05			(0.51	)		(0.30	)		—			9.56		(2.21	)		197,883		0.15			0.15			2.34			13
2010		9.13		0.24	#		0.07			0.94			(0.30	)		—			10.08		13.68			233,557		0.14			0.14			2.60			13
2009		7.35		0.26	#		0.04			1.78			(0.30	)		—			9.13		28.22			209,059		0.15			0.15			3.28			13
2008		12.53		0.39	#		0.16			(4.69	)		(0.34	)		(0.70	)		7.35		(32.82	)		161,815		0.15			0.14			3.65			18
2007		12.96		0.41			0.92			(0.37	)		(0.58	)		(0.81	)		12.53		7.40			251,579		0.16			0.15			3.20			9
Aggressive Allocation Fund I
GS2 Class
2012(6)	$	9.74	$	0.07	#	$	—		$	0.61		$	—		$	—		$	10.42		6.98	%	$	133,828		0.15	%		0.17	%		1.34	%		1	%
2011		10.44		0.16	#		0.01			(0.69	)		(0.18	)		—			9.74		(4.93	)		129,466		0.15			0.18			1.51			9
2010		9.21		0.16	#		—	†		1.24			(0.17	)		—			10.44		15.23			157,310		0.15			0.16			1.67			5
2009		7.20		0.16	#		—	†		2.06			(0.21	)		—			9.21		30.87			143,264		0.15			0.17			2.10			5
2008		14.07		0.24	#		0.14			(6.15	)		—			(1.10	)		7.20		(40.87	)		109,556		0.15			0.16			2.08			10
2007		14.56		0.27			1.37			(0.56	)		(0.52	)		(1.05	)		14.07		7.38			198,847		0.16			0.15			1.81			7

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

(2)	Includes dividends paid from the short-term portion of capital gain distributions received from affiliated Funds.

(3)	Does not include expenses of the investment companies in which the Fund invests.

(4)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(5)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(6)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

See Notes to Financial Statements.


MONEY MARKET FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Par		Value
AGENCY OBLIGATIONS — 6.2%
Federal Home Loan Mortgage Corporation
0.18%, 11/02/12†	$	10,000,000	$	9,997,942
0.38%, 09/03/13†		15,500,000		15,496,324
0.18%, 09/13/13†		36,800,000		36,773,171
Federal National Mortgage Association
0.24%, 07/26/12†		11,000,000		10,999,850
0.27%, 12/20/12†		7,000,000		6,999,332

Total Agency Obligations (Cost $80,266,619)				80,266,619

CERTIFICATES OF DEPOSIT — 28.3%
Australia & New Zealand Banking Group
0.28%, 07/27/12		10,000,000		10,000,108
Bank of Nova Scotia Houston
0.35%, 07/17/12		20,000,000		20,000,000
Commonwealth Bank of Australia NY
0.34%, 07/16/12		10,000,000		10,000,104
0.28%, 08/13/12		10,000,000		10,000,000
Credit Suisse NY
0.30%, 07/11/12		15,000,000		15,000,000
0.34%, 09/05/12		14,000,000		14,000,000
National Australia Bank,
Ltd. NY
0.40%, 07/18/12		10,000,000		10,000,000
0.34%, 08/21/12		12,000,000		12,000,000
National Bank of Canada NY
0.35%, 08/27/12		13,000,000		13,000,000
Norinchukin Bank NY
0.18%, 07/03/12		45,000,000		45,000,000
Rabobank Nederland NV NY
0.57%, 09/17/12		15,000,000		15,000,000
0.53%, 10/25/12		20,500,000		20,500,000
Royal Bank of Canada NY
0.48%, 07/09/12†		4,000,000		4,000,000
0.48%, 05/16/13†		11,000,000		11,000,000
State Street Bank & Trust Co.
0.22%, 09/26/12		40,000,000		40,000,000
Sumitomo Mitsui Banking Corporation NY
0.37%, 07/10/12		15,000,000		15,000,000
0.35%, 07/24/12		20,000,000		20,001,787
0.35%, 09/12/12		25,000,000		25,000,000
Svenska Handelsbanken NY
0.38%, 10/11/12		20,000,000		20,000,000
Toronto Dominion Bank NY
0.28%, 08/24/12		13,000,000		13,000,000
Westpac Banking Corporation NY
0.43%, 02/04/13†		22,000,000		22,000,000

Total Certificates of Deposit
(Cost $364,501,999)				364,501,999


	Par		Value
COMMERCIAL PAPER — 38.3%
Alpine Securitization
0.21%, 07/17/12	$	33,000,000	$	32,996,920
Bank of Tokyo-Mitsubishi Ufj
0.35%, 08/02/12		20,000,000		19,993,778
0.35%, 08/07/12		15,000,000		14,994,604
0.35%, 09/12/12		7,000,000		6,995,032
Fairway Finance Corporation
0.28%, 08/03/12		9,000,000		9,000,000
0.28%, 08/07/12		13,000,000		13,000,000
0.29%, 09/27/12		15,000,000		15,000,000
0.27%, 11/05/12		23,000,000		23,000,000
General Electric Capital Corporation
0.30%, 08/14/12		12,000,000		11,995,600
Kells Funding LLC
0.56%, 07/09/12		10,000,000		9,998,756
0.60%, 09/26/12		13,000,000		12,981,150
Nordea North America, Inc.
0.60%, 08/07/12		15,000,000		14,990,750
0.28%, 08/22/12		17,000,000		16,993,247
0.31%, 09/14/12		15,000,000		14,990,469
NRW.Bank
0.27%, 07/24/12		15,000,000		14,997,412
Rabobank USA Financial Corporation
0.37%, 07/25/12		20,000,000		19,995,067
Regency Markets No. 1 LLC
0.36%, 07/16/12		12,084,000		12,082,187
0.36%, 07/20/12		10,743,000		10,740,959
Salisbury Receivables Co. LLC
0.22%, 07/25/12		45,000,000		44,993,400
Solitaire Funding LLC
0.27%, 07/06/12		22,000,000		21,999,175
0.37%, 07/10/12		5,000,000		4,999,537
0.37%, 07/20/12		10,000,000		9,998,047
0.28%, 08/08/12		10,000,000		9,997,044
Svenska Handelsbank, Inc.
0.39%, 10/01/12		10,000,000		9,990,033
0.40%, 10/01/12		12,000,000		11,987,887
Thunder Bay Funding LLC
0.21%, 09/17/12		15,000,000		14,993,175
0.25%, 10/09/12		30,000,000		29,979,167
Victory Receivables
Corporation
0.18%, 07/02/12		35,000,000		34,999,835
Westpac Banking Corporation
0.47%, 08/01/12		25,000,000		24,989,882

Total Commercial Paper
(Cost $493,673,113)				493,673,113

See Notes to Financial Statements.

MONEY MARKET FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
MUNICIPAL BONDS — 15.4%
Alaska Housing Finance Corporation (TECP) 0.22%, 07/11/12	$	19,100,000	$	19,098,833
California Housing Finance Agency, Revenue Bond, Series D 0.16%, 07/06/12†		11,900,000		11,900,000
California Housing Finance Agency, Multi-Family III, Revenue Bond, Series E (LOC-Fannie Mae, Freddie Mac) 0.17%, 07/06/12†		10,700,000		10,700,000
California Pollution Control Financing Authority, Pollution Control Revenue Bonds, Series E (LOC-JP Morgan Chase Bank) 0.14%, 07/02/12†		5,800,000		5,800,000
California Statewide Communities Development Authority, Hallmark House Apartments, Revenue Bond, Series ZZ 0.17%, 07/06/12†		6,420,000		6,420,000
California Statewide Communities Development Authority, Kimberly Woods Apartments, Revenue Bond, Series B 0.17%, 07/06/12†		17,100,000		17,100,000
Connecticut State Health & Educational Facilities Authority, Yale-New Haven Hospital, Revenue Bond, Series K2 (LOC-JPMorgan Chase Bank) 0.17%, 07/06/12†		12,420,000		12,420,000
Los Angeles Community Redevelopment Agency, Hollywood & Vine Apartments, Revenue Bond, Series A 0.16%, 07/06/12†		7,700,000		7,700,000
Los Angeles County Housing Authority, Malibu Meadows II, Revenue Bond, Series C 0.14%, 07/06/12†		5,799,000		5,799,000
Maryland Department of Housing and Community Development Administration, Multifamily Barrington Apartments Project, Revenue Bond, Series A 0.18%, 07/06/12†		27,575,000		27,575,000
New York City Housing Development Corporation, Multi-Family Housing (155 West 21st Street), Revenue Bond, Series A 0.17%, 07/06/12†		3,100,000		3,100,000
New York City Housing Development Corporation, Multi-Family Housing (90 West Street), Revenue Bond, Series A 0.17%, 07/06/12†		6,000,000		6,000,000


	Par		Value
New York City Housing Development Corporation, Multi-Family Housing (West 61st Street Apartments), Revenue Bond, Series A 0.17%, 07/06/12†	$	3,000,000	$	3,000,000
New York City Industrial Development Agency, New York Law School Project, Revenue Bond, Series A (LOC-JPMorgan Chase Bank) 0.15%, 07/06/12†		7,800,000		7,800,000
New York City Municipal Water Finance Authority, Water and Sewer System, Revenue Bond, Sub Series B-1 0.14%, 07/06/12†		6,800,000		6,800,000
New York Housing Finance Agency, 10 Barclay Street Housing, Revenue Bond, Series A (LOC-Fannie Mae) 0.14%, 07/06/12†		10,000,000		10,000,000
New York Housing Finance Agency, Biltmore Tower Housing Project, Revenue Bond, Series A 0.17%, 07/06/12†		4,000,000		4,000,000
New York Housing Finance Agency, The Victory Housing, Revenue Bond, Series 2001-A 0.17%, 07/06/12†		2,700,000		2,700,000
Pennsylvania Higher Educational Facilities Authority, Thomas Jefferson University, Revenue Bond, Series B (LOC-JP Morgan Chase Bank) 0.15%, 07/06/12†		4,800,000		4,800,000
Sacramento Housing Authority, Multifamily Housing, The Lofts at Natomas Apartments, Revenue Bond, Series F 0.18%, 07/06/12†		10,190,000		10,190,000
State of Texas, Veterans’ Housing Assistance Program, General Obligation, Series A-2 0.18%, 07/06/12†		7,700,000		7,700,000
Wisconsin Housing & Economic Development Authority, Revenue Bond, Series B (LOC-Fannie Mae, Freddie Mac) 0.17%, 07/06/12†		7,300,000		7,300,000

Total Municipal Bonds
(Cost $197,902,833)				197,902,833

See Notes to Financial Statements.


	Par		Value
TIME DEPOSIT — 1.2%
Bank of Nova Scotia
0.04%, 07/02/12 (Cost $15,411,000)	$	15,411,000	$	15,411,000
U.S. TREASURY OBLIGATIONS — 10.6%
U.S. Treasury Bills
0.13%, 11/29/12		15,000,000		14,991,664
0.14%, 02/07/13		24,000,000		23,979,373

				38,971,037

U.S. Treasury Notes
1.38%, 10/15/12		10,000,000		10,036,147
4.00%, 11/15/12D		15,000,000		15,215,905
0.50%, 11/30/12		10,000,000		10,014,241
3.38%, 11/30/12D		17,000,000		17,228,971
0.63%, 02/28/13		30,000,000		30,085,544
0.50%, 05/31/13		15,000,000		15,038,034

				97,618,842

Total U.S. Treasury Obligations
(Cost $136,589,879)				136,589,879

TOTAL INVESTMENTS — 100.0%
(Cost $1,288,345,443)				1,288,345,443
Other Assets in Excess of Liabilities — 0.0%				119,506

NET ASSETS — 100.0%			$	1,288,464,949

PORTFOLIO SUMMARY (based on net assets)


	%
Commercial Paper		38.3
Certificates of Deposit		28.3
Municipal Bonds		15.4
U.S. Treasury Obligations		10.6
Agency Obligations		6.2
Time Deposit		1.2

		100.0

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Agency Obligations	$	80,266,619	$	—	$	80,266,619	$	—
Certificates of Deposit		364,501,999		—		364,501,999		—
Commercial Paper		493,673,113		—		493,673,113		—
Municipal Bonds		197,902,833		—		197,902,833		—
Time Deposit		15,411,000		—		15,411,000		—
U.S. Treasury Obligations		136,589,879		—		136,589,879		—

Total Assets — Investments in Securities	$	1,288,345,443	$	—	$	1,288,345,443	$	—

See Notes to Financial Statements.


LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Par		Value
AGENCY OBLIGATIONS — 1.0%
Federal National Mortgage Association
0.75%, 12/19/14D	$	5,000,000	$	5,032,533
1.09%, 04/04/16		2,305,000		2,315,195
Small Business Administration
6.95%, 11/01/16		193,010		207,269

Total Agency Obligations (Cost $7,499,371)				7,554,997

ASSET-BACKED SECURITIES — 6.9%
AH Mortgage Advance Trust
2.98%, 03/13/43 144A		990,000		997,635
AmeriCredit Automobile Receivables Trust
1.39%, 09/08/15		500,000		502,720
1.23%, 09/08/16		1,665,000		1,673,075
3.38%, 04/09/18		790,000		803,738
Asset-Backed Securities Corporation Home Equity
0.52%, 09/25/34†		100,868		88,391
Bear Stearns Asset-Backed Securities Trust
0.30%, 11/25/36†		12,718		12,627
1.25%, 10/25/37†		945,905		596,901
0.44%, 01/25/47†		640,980		612,083
BNC Mortgage Loan Trust
0.37%, 11/25/36†		506,039		489,253
0.31%, 03/25/37†		518,140		483,957
CenterPoint Energy Transition Bond Co., LLC
4.97%, 08/01/14		128,936		129,450
0.90%, 04/15/18		1,600,000		1,608,661
Citibank Omni Master Trust
2.99%, 08/15/18 144A†		2,758,000		2,896,235
Conseco Financial Corporation
6.04%, 11/01/29		13,339		14,086
Credit Acceptance Auto Loan Trust
2.61%, 03/15/19 144A		1,120,000		1,128,042
CSAB Mortgage Backed Trust
5.72%, 09/25/36 STEP		702,874		480,816
Discover Card Master Trust
0.81%, 08/15/17		1,100,000		1,102,709
Enterprise Fleet Financing LLC
1.14%, 11/20/17 144A		2,200,000		2,199,642
FHLMC Structured Pass-Through Securities
0.51%, 08/25/31†		780,021		758,852
First Investors Auto Owner Trust
3.40%, 03/15/16 144A		700,000		703,975
Ford Credit Auto Owner Trust
2.17%, 10/15/13		264,805		265,347
2.98%, 08/15/14		1,255,000		1,273,149
Ford Credit Floorplan Master Owner Trust
2.07%, 09/15/15 144A		345,000		347,170
2.37%, 09/15/15		445,000		445,691
2.86%, 09/15/15		450,000		450,670
GE Capital Credit Card Master Note Trust
1.03%, 01/15/18		1,500,000		1,509,469
Globaldrive BV
4.00%, 10/20/16(E)		268,148		340,707
1.13%, 04/20/19+ 144A(E)†		583,208		740,435


	Par		Value
Gracechurch Card Funding PLC
0.94%, 02/15/17 144A†	$	1,050,000	$	1,050,551
1.18%, 02/15/17 144A(E)†		800,000		1,013,650
Hyundai Capital Auto Funding, Ltd.
1.24%, 09/20/16 144A†		1,460,000		1,436,253
IFC SBA Loan-Backed Adjustable Rate Certificate
1.25%, 01/15/24 144A†		133,408		133,409
LA Arena Funding LLC
7.66%, 12/15/26 144A		426,694		466,724
Magnolia Funding, Ltd.
3.00%, 04/20/17 144A(E)		361,720		458,942
MMAF Equipment Finance LLC
1.27%, 09/15/15 144A		1,345,000		1,351,488
Oncor Electric Delivery Transition Bond Co., LLC
4.81%, 11/17/14		318,780		323,899
Penarth Master Issuer PLC
0.81%, 03/18/14 144A†		600,000		600,411
0.89%, 05/18/15 144A†		610,000		611,617
Residential Asset Mortgage Products, Inc.
0.37%, 12/25/36†		31,325		31,246
Santander Consumer Acquired Receivables Trust
1.40%, 10/15/14 144A		1,980,000		1,983,163
1.66%, 08/15/16 144A		687,028		682,128
2.01%, 08/15/16 144A		583,246		578,894
Santander Drive Auto Receivables Trust
1.01%, 07/15/13 144A		34,837		34,844
1.37%, 08/15/13 144A		129,073		129,149
1.37%, 03/16/15		917,698		921,045
3.10%, 05/15/17 144A		598,462		600,042
2.06%, 06/15/17 144A		241,713		242,161
2.86%, 06/15/17 144A		249,291		249,885
3.35%, 06/15/17 144A		359,118		358,612
3.64%, 05/15/18		1,125,000		1,130,873
SLC Student Loan Trust
0.59%, 01/15/19†		541,748		539,874
SLM Student Loan Trust
0.47%, 07/25/17†		805,507		802,481
1.89%, 12/15/17 144A†		565,762		567,070
1.77%, 01/25/18†		3,975,000		4,063,003
0.67%, 06/15/21†		1,085,141		1,049,590
1.34%, 12/15/21 144A†		454,207		454,924
0.87%, 03/15/22†		736,285		713,352
1.34%, 08/15/23 144A†		1,730,000		1,729,985
0.58%, 10/25/24†		750,000		746,217
3.50%, 08/17/43 144A†		3,583,449		3,522,398
3.49%, 05/16/44 144A†		1,810,722		1,876,937
Soundview Home Equity Loan Trust
1.10%, 08/25/31†		311,109		307,764
Structured Asset Securities Corporation
1.75%, 04/25/35†		856,101		728,114
Turbo Finance
2.48%, 01/20/19(U)†		154,663		242,466
Wells Fargo Home Equity Trust
0.34%, 04/25/37†		323,688		315,674

Total Asset-Backed Securities (Cost $55,316,667)				54,704,321

See Notes to Financial Statements.


	Par		Value
CORPORATE BONDS — 24.2%
ABB Treasury Center, Inc.
2.50%, 06/15/16 144A	$	580,000	$	600,419
AEP Texas Central Transition Funding LLC
4.98%, 07/01/15		1,027,134		1,043,285
AES Corporation
7.75%, 03/01/14		375,000		408,750
Agilent Technologies, Inc.
4.45%, 09/14/12D		610,000		614,199
2.50%, 07/15/13		810,000		821,267
5.50%, 09/14/15		310,000		347,166
Airgas, Inc.
2.85%, 10/01/13		1,440,000		1,471,431
Allstate Corporation
6.20%, 05/16/14		300,000		330,138
American Express Credit Corporation
1.32%, 06/24/14†D		920,000		926,216
1.75%, 06/12/15D		820,000		829,906
American Honda Finance Corporation
2.38%, 03/18/13 144A		300,000		303,668
1.45%, 02/27/15 144AD		910,000		914,029
American International Group, Inc.
0.92%, 07/19/13(E)†D		400,000		502,404
3.75%, 11/30/13 144A		400,000		405,046
3.65%, 01/15/14		1,020,000		1,042,358
3.00%, 03/20/15D		3,355,000		3,374,134
8.25%, 08/15/18 144A		1,350,000		1,633,732
AmeriGas Partners LP
6.25%, 08/20/19D		500,000		505,000
Amgen, Inc.
1.88%, 11/15/14D		1,513,000		1,537,370
Astoria Financial Corporation
5.00%, 06/19/17D		770,000		770,784
AT&T, Inc.
0.88%, 02/13/15D		1,040,000		1,039,892
1.70%, 06/01/17D		1,100,000		1,106,413
AutoZone, Inc.
5.50%, 11/15/15D		525,000		589,913
AvalonBay Communities, Inc.
6.13%, 11/01/12D		317,000		322,107
Bank of America Corporation
5.38%, 09/11/12D		800,000		806,075
3.75%, 07/12/16D		420,000		423,809
6.50%, 08/01/16		2,640,000		2,901,682
3.88%, 03/22/17D		1,860,000		1,896,808
Bank of New York Mellon Corporation
4.30%, 05/15/14D		790,000		842,627
BB&T Corporation
3.38%, 09/25/13		400,000		411,602
1.17%, 04/28/14†		310,000		311,860
Best Buy Co., Inc.
6.75%, 07/15/13D		320,000		333,620
BMW US Capital LLC
0.92%, 12/21/12†		3,000,000		2,996,535
Broadcom Corporation
1.50%, 11/01/13		520,000		526,560
Brocade Communications Systems Inc
6.63%, 01/15/18		1,055,000		1,110,388


	Par		Value
Capital One Capital V
10.25%, 08/15/39	$	830,000	$	850,750
Capital One Capital VI
8.88%, 05/15/40		415,000		423,819
Capital One Financial Corporation
6.25%, 11/15/13		1,210,000		1,281,184
2.13%, 07/15/14D		600,000		605,408
CareFusion Corporation
4.13%, 08/01/12		1,720,000		1,724,629
Cellco Partnership/Verizon Wireless Capital LLC
5.55%, 02/01/14		400,000		428,376
Centerpoint Energy Houston Electric LLC
5.70%, 03/15/13		1,114,000		1,153,716
CenterPoint Energy, Inc.
6.85%, 06/01/15D		710,000		800,722
CenturyLink, Inc.
5.50%, 04/01/13		790,000		811,844
Chesapeake Energy Corporation
7.63%, 07/15/13D		355,000		367,869
Citigroup, Inc.
1.32%, 02/15/13†		730,000		730,141
2.47%, 08/13/13†		700,000		705,094
6.00%, 12/13/13		300,000		315,394
4.45%, 01/10/17		2,230,000		2,339,970
CMS Energy Corporation
4.25%, 09/30/15D		255,000		266,393
Coca-Cola Enterprises, Inc.
1.13%, 11/12/13D		780,000		783,497
ConocoPhillips
4.75%, 10/15/12		1,000,000		1,011,233
4.75%, 02/01/14D		400,000		425,018
Constellation Energy Group, Inc.
4.55%, 06/15/15		582,000		625,454
Coventry Health Care, Inc.
5.95%, 03/15/17		575,000		653,252
Credit Suisse Group Finance US, Inc.
3.13%, 09/14/12(E)		925,000		1,175,098
Daimler Finance NA LLC
1.07%, 03/28/14 144A†		2,600,000		2,595,177
1.95%, 03/28/14 144A		1,120,000		1,131,620
Danaher Corporation
1.30%, 06/23/14		300,000		303,268
DENTSPLY International, Inc.
1.97%, 08/15/13†		590,000		593,451
Digital Realty Trust LP
4.50%, 07/15/15		425,000		444,207
DIRECTV Holdings LLC
4.75%, 10/01/14D		680,000		730,321
DISH DBS Corporation
4.63%, 07/15/17 144AD		770,000		774,812
Dollar General Corporation
4.13%, 07/15/17D		650,000		662,188
DTE Energy Co.
1.17%, 06/03/13†		630,000		631,193
Duke Realty LP
5.40%, 08/15/14		440,000		467,555
Eastman Chemical Co.
2.40%, 06/01/17		400,000		404,704
eBay, Inc.
0.88%, 10/15/13D		330,000		332,033

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Enterprise Products Operating LLC
6.13%, 02/01/13	$	1,005,000	$	1,032,772
6.38%, 02/01/13		750,000		771,704
5.65%, 04/01/13		1,030,000		1,062,810
EOG Resources, Inc.
1.22%, 02/03/14†		2,900,000		2,925,723
Equifax, Inc.
4.45%, 12/01/14D		140,000		147,977
ERAC USA Finance LLC
2.75%, 07/01/13 144A		370,000		375,020
2.25%, 01/10/14 144A		330,000		332,104
Exelon Generation Co., LLC
5.35%, 01/15/14D		808,000		856,187
Express Scripts Holding Co.
2.10%, 02/12/15 144A		280,000		282,916
3.50%, 11/15/16 144A		416,000		438,435
2.65%, 02/15/17 144A		1,065,000		1,084,671
Federal Express Corporation 2012 Pass-Through Trust
2.63%, 01/15/18 144A		587,000		587,015
Ford Motor Credit Co., LLC
7.50%, 08/01/12D		3,000,000		3,012,051
3.88%, 01/15/15D		2,781,000		2,865,634
3.00%, 06/12/17		560,000		557,549
Freeport-McMoRan Copper & Gold, Inc.
1.40%, 02/13/15D		200,000		199,444
2.15%, 03/01/17D		210,000		207,277
Frontier Communications Corporation
6.25%, 01/15/13		830,000		851,269
General Electric Capital Corporation
1.88%, 09/16/13		200,000		202,146
1.10%, 04/07/14†		700,000		699,747
5.90%, 05/13/14		460,000		499,895
3.75%, 11/14/14D		660,000		693,315
2.15%, 01/09/15D		960,000		976,774
Genworth Financial, Inc.
5.75%, 06/15/14D		910,000		925,159
Genzyme Corporation
3.63%, 06/15/15		395,000		424,067
George Washington University
1.83%, 09/15/17		3,100,000		3,126,428
Georgia Power Co.
1.30%, 09/15/13		720,000		726,065
Georgia-Pacific LLC
8.25%, 05/01/16 144A		1,535,000		1,694,752
Gilead Sciences, Inc.
2.40%, 12/01/14D		280,000		288,745
Goldman Sachs Group, Inc.
1.47%, 02/07/14†		910,000		899,549
5.13%, 01/15/15		225,000		235,051
3.30%, 05/03/15D		1,290,000		1,290,686
3.63%, 02/07/16		1,780,000		1,781,682
1.03%, 05/23/16(E)†		2,900,000		3,335,925
Hartford Financial Services Group, Inc.
4.00%, 03/30/15		320,000		335,823
HCP, Inc.
2.70%, 02/01/14		210,000		213,436
Health Care REIT, Inc.
6.00%, 11/15/13		540,000		566,374


	Par		Value
Hewlett-Packard Co.
0.75%, 05/24/13†	$	3,600,000	$	3,593,095
2.63%, 12/09/14D		520,000		532,877
2.35%, 03/15/15D		800,000		813,014
HSBC USA, Inc.
2.38%, 02/13/15		400,000		404,814
Hyundai Capital America
3.75%, 04/06/16 144A		190,000		197,153
Ingredion, Inc.
3.20%, 11/01/15		200,000		208,796
International Business Machines Corporation
2.10%, 05/06/13		1,250,000		1,266,862
Interpublic Group of Cos., Inc.
6.25%, 11/15/14		700,000		768,250
Jabil Circuit, Inc.
7.75%, 07/15/16D		295,000		337,775
JB Hunt Transport Services, Inc.
3.38%, 09/15/15		550,000		568,458
John Deere Capital Corporation
0.95%, 06/29/15D		1,080,000		1,082,570
JPMorgan Chase & Co.
3.70%, 01/20/15D		1,000,000		1,043,715
Kellogg Co.
1.13%, 05/15/15D		760,000		764,194
KeyCorp
3.75%, 08/13/15D		360,000		381,453
Kraft Foods Group, Inc.
1.63%, 06/04/15 144A		350,000		353,954
Kraft Foods, Inc.
2.63%, 05/08/13		230,000		233,452
1.34%, 07/10/13†		2,900,000		2,911,342
5.25%, 10/01/13D		230,000		242,175
Kroger Co.
2.20%, 01/15/17		500,000		506,129
Lehman Escrow Bonds
0.00%, 03/01/42+		2,600,000		—
0.00%, 12/31/99		600,000		139,500
Life Technologies Corporation
4.40%, 03/01/15		600,000		638,026
3.50%, 01/15/16D		800,000		833,562
Lincoln National Corporation
4.30%, 06/15/15		1,210,000		1,275,707
Masco Corporation
4.80%, 06/15/15		365,000		375,285
Merrill Lynch & Co., Inc.
5.45%, 02/05/13		1,500,000		1,530,384
6.75%, 05/21/13(E)		700,000		918,097
5.00%, 01/15/15D		2,700,000		2,795,216
MetLife, Inc.
2.38%, 02/06/14D		290,000		296,023
Metropolitan Life Global Funding I
1.22%, 01/10/14 144A†		1,000,000		1,001,170
Microsoft Corporation
2.95%, 06/01/14		900,000		941,220
MidAmerican Energy Holdings Co.
5.88%, 10/01/12		550,000		556,947
Morgan Stanley
1.45%, 04/29/13†		1,010,000		996,214
Nabors Industries, Inc.
9.25%, 01/15/19		2,300,000		2,989,977

See Notes to Financial Statements.


	Par		Value
National Rural Utilities Cooperative Finance Corporation
1.13%, 11/01/13	$	330,000	$	332,099
1.00%, 02/02/15D		390,000		392,193
NBCUniversal Media LLC
3.65%, 04/30/15		550,000		584,731
NCUA Guaranteed Notes
1.40%, 06/12/15+		1,180,000		1,203,293
New York Life Global Funding
0.73%, 04/04/14 144A†		1,600,000		1,599,445
1.30%, 01/12/15 144AD		1,715,000		1,719,709
NextEra Energy Capital Holdings, Inc.
2.55%, 11/15/13		750,000		761,266
Nissan Motor Acceptance Corporation
3.25%, 01/30/13 144A		580,000		585,679
Northeast Utilities
1.22%, 09/20/13†		1,325,000		1,330,781
Novartis Capital Corporation
4.13%, 02/10/14		210,000		221,780
Oracle Corporation
3.75%, 07/08/14		970,000		1,030,483
Overseas Private Investment Corporation
0.92%, 04/15/16W†		1,600,000		2,129,611
0.00%, 07/12/16†		2,100,000		2,562,132
PACCAR Financial Corporation
1.55%, 09/29/14		470,000		477,356
1.05%, 06/05/15		220,000		220,891
Pacific Life Global Funding
5.15%, 04/15/13 144A		460,000		475,996
Penske Truck Leasing Co. LP PTL Finance Corporation
3.13%, 05/11/15 144AD		1,915,000		1,927,758
Petrohawk Energy Corp
7.25%, 08/15/18		1,030,000		1,159,759
Pfizer, Inc.
3.63%, 06/03/13(E)		100,000		129,954
Phillips 66
1.95%, 03/05/15 144A		210,000		211,641
2.95%, 05/01/17 144A		210,000		216,031
Principal Financial Group, Inc.
7.88%, 05/15/14D		615,000		685,214
Procter & Gamble Co.
3.50%, 02/15/15D		200,000		214,469
Prudential Financial, Inc.
3.63%, 09/17/12		945,000		950,507
2.75%, 01/14/13		650,000		656,499
Raytheon Co.
1.40%, 12/15/14		320,000		324,864
Regions Financial Corporation
4.88%, 04/26/13D		649,000		660,358
Reynolds Group Issuer, Inc.
7.75%, 10/15/16 144AD		595,000		629,213
Rockies Express Pipeline LLC
3.90%, 04/15/15 144A		663,000		641,452
Rock-Tenn Co.
4.45%, 03/01/19 144A		315,000		324,029
Rohm & Haas Co.
3.50%, 09/19/12(E)		990,000		1,258,510
Ryder System, Inc.
2.50%, 03/01/17		975,000		984,849


	Par		Value
Samsung Electronics America Inc
1.75%, 04/10/17 144A	$	1,150,000	$	1,148,327
SBA Tower Trust
4.25%, 04/15/15 144AD		510,000		534,604
SESI LLC
6.88%, 06/01/14		1,330,000		1,331,662
Simon Property Group LP REIT
4.20%, 02/01/15		140,000		147,679
SLM Corporation
5.00%, 10/01/13		1,220,000		1,262,700
Southeast Supply Header LLC
4.85%, 08/15/14 144A		945,000		995,139
Steel Dynamics, Inc.
6.75%, 04/01/15D		1,250,000		1,275,000
SteelRiver Transmission Co., LLC
4.71%, 06/30/17 144A		593,778		612,733
Stryker Corporation
3.00%, 01/15/15D		450,000		473,808
2.00%, 09/30/16		850,000		871,746
TD Ameritrade Holding Corporation
4.15%, 12/01/14D		660,000		698,091
Tennessee Gas Pipeline Co.
8.00%, 02/01/16 144A		1,170,000		1,382,179
Tesoro Corporation
6.63%, 11/01/15D		860,000		879,350
Tiers Trust United States
2.22%, 05/12/14 144A†		1,385,000		1,385,000
Time Warner Cable, Inc.
7.50%, 04/01/14		350,000		388,203
Time Warner, Inc.
3.15%, 07/15/15D		290,000		306,063
Toyota Motor Credit Corporation
1.00%, 02/17/15D		1,460,000		1,462,670
Union Bank NA
2.13%, 12/16/13		790,000		802,267
1.42%, 06/06/14†		3,000,000		2,985,330
United Air Lines, Inc.
10.40%, 05/01/18D		703,290		802,665
9.75%, 07/15/18		768,095		873,708
United Technologies Corporation
1.20%, 06/01/15D		220,000		222,719
1.80%, 06/01/17		870,000		889,519
Universal City Development Partners, Ltd. UCDP Finance Inc.
8.88%, 11/15/15		1,014,000		1,086,621
US Bancorp
1.38%, 09/13/13		720,000		726,333
Verizon Communications, Inc.
1.25%, 11/03/14D		1,250,000		1,266,105
Vornado Realty LP
4.25%, 04/01/15D		700,000		738,704
Wachovia Bank NA
4.80%, 11/01/14D		360,000		383,844
Wachovia Corporation
5.50%, 05/01/13		3,100,000		3,221,802
WellPoint, Inc.
2.38%, 02/15/17D		1,060,000		1,087,508

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Wells Fargo & Co.
3.75%, 10/01/14	$	1,000,000	$	1,056,357
1.50%, 07/01/15D		440,000		440,653
WM Wrigley Jr Co.
3.70%, 06/30/14 144A		1,420,000		1,467,868
WPX Energy Inc
5.25%, 01/15/17 144AD		780,000		793,650
Xerox Corporation
1.87%, 09/13/13†D		1,305,000		1,314,590
XTO Energy, Inc.
6.25%, 04/15/13		600,000		625,435

Total Corporate Bonds (Cost $188,750,744)				191,097,350

FOREIGN BONDS — 18.9%
Australia — 1.5%
Asciano Finance, Ltd.
3.13%, 09/23/15 144A		620,000		617,515
Australia Government Bond
5.50%, 12/15/13(A)		3,200,000		3,417,494
BHP Billiton Finance USA, Ltd.
1.00%, 02/24/15D		1,100,000		1,103,174
Commonwealth Bank of Australia
2.13%, 03/17/14 144A		850,000		862,053
2.90%, 09/17/14 144A		3,000,000		3,141,309
National Australia Bank
2.00%, 03/09/15D		1,040,000		1,043,316
Rio Tinto Finance USA, PLC
1.13%, 03/20/15D		500,000		501,457
Westfield Capital
5.13%, 11/15/14 144A		730,000		772,768
Woodside Finance, Ltd.
4.50%, 11/10/14 144A		490,000		518,625

				11,977,711

Bermuda — 0.2%
Ingersoll-Rand Global Holding Co., Ltd.
9.50%, 04/15/14		880,000		1,000,644
Qtel International Finance, Ltd.
6.50%, 06/10/14 144A		660,000		722,040

				1,722,684

Brazil — 0.3%
Banco Bradesco SA
2.57%, 05/16/14 144A†		520,000		519,597
Banco do Brasil SA
4.50%, 01/22/15 144A		680,000		722,500
Banco do Nordeste do Brasil SA
3.63%, 11/09/15 144AD		710,000		720,650
Companhia de Eletricidade do Estado da Bahia
11.75%, 04/27/16 144A(B)		1,200,000		642,270

				2,605,017

Canada — 3.5%
Bank of Nova Scotia
1.85%, 01/12/15D		970,000		988,585
2.15%, 08/03/16 144A		690,000		717,802
1.75%, 03/22/17 144AD		1,211,000		1,236,598
Barrick Gold Corporation
1.75%, 05/30/14		340,000		344,336


	Par		Value
Caisse Centrale Desjardins du Quebec
1.70%, 09/16/13 144A	$	1,320,000	$	1,333,473
1.60%, 03/06/17 144AD		849,000		859,481
Canadian Government Bond
2.25%, 08/01/14(C)		5,200,000		5,235,497
Canadian Imperial Bank of Commerce
2.00%, 02/04/13 144A		1,060,000		1,069,937
CDP Financial, Inc.
3.00%, 11/25/14 144A		735,000		773,343
Manulife Financial Corporation
3.40%, 09/17/15		5,000		5,142
National Bank of Canada
1.50%, 06/26/15D		1,920,000		1,927,306
Nexen, Inc.
5.20%, 03/10/15		790,000		840,098
NOVA Chemicals Corporation
8.38%, 11/01/16		1,250,000		1,396,875
Province of Manitoba
1.38%, 04/28/14		1,000,000		1,017,922
Province of Ontario
2.95%, 02/05/15D		800,000		844,542
2.30%, 05/10/16D		3,000,000		3,132,645
Rogers Communications, Inc.
6.25%, 06/15/13		1,300,000		1,365,913
6.38%, 03/01/14		320,000		348,660
Teck Resources, Ltd.
3.15%, 01/15/17		346,000		357,280
Toronto-Dominion Bank
1.38%, 07/14/14		670,000		677,391
1.63%, 09/14/16D		284,000		289,563
1.50%, 03/13/17 144A		2,146,000		2,166,911
TransCanada PipeLines, Ltd.
3.40%, 06/01/15		360,000		383,835
Xstrata Finance Canada, Ltd.
2.85%, 11/10/14 144A		540,000		550,578

				27,863,713

Cayman Islands — 0.4%
IPIC GMTN, Ltd.
3.13%, 11/15/15 144A		330,000		341,963
Petrobras International Finance Co.
2.88%, 02/06/15D		300,000		305,250
3.88%, 01/27/16		590,000		612,090
Thames Water Utilities Cayman Finance, Ltd.
6.13%, 02/04/13(E)		1,000,000		1,303,376
Transocean, Inc.
4.95%, 11/15/15D		595,000		641,118

				3,203,797

Chile — 0.6%
Banco Santander Chile
2.07%, 01/19/16 144A†		2,500,000		2,304,025
Celulosa Arauco y Constitucion SA
5.63%, 04/20/15D		1,260,000		1,364,250
Corporacion Nacional del Cobre de Chile
4.75%, 10/15/14 144A		960,000		1,026,122

				4,694,397

See Notes to Financial Statements.


	Par		Value
Denmark — 0.2%
Danske Bank A/S
1.52%, 04/14/14 144A†	$	950,000	$	929,419
FIH Erhvervsbank A/S
2.45%, 08/17/12 144A		450,000		451,162

				1,380,581

France — 1.6%
Banque PSA Finance SA
2.36%, 04/04/14 144A†		2,000,000		1,946,154
BPCE SA
2.22%, 02/07/14 144A†		2,300,000		2,273,308
Cie de Financement Foncier SA
2.13%, 04/22/13 144A		3,000,000		3,017,862
RCI Banque SA
1.67%, 04/07/15(E)†		900,000		1,018,318
Sanofi SA
1.63%, 03/28/14		510,000		518,799
Total Capital International SA
1.50%, 02/17/17		320,000		321,624
Total Capital SA
3.00%, 06/24/15D		2,800,000		2,973,687
Veolia Environnement SA
5.25%, 06/03/13D		520,000		536,880

				12,606,632

Germany — 2.1%
Bundesschatzanweisungen
0.75%, 09/13/13(E)		7,300,000		9,313,634
Deutsche Bank AG
5.38%, 10/12/12		3,855,000		3,904,718
State of North Rhine-Westphalia
1.63%, 09/17/14		3,100,000		3,129,103

				16,347,455

India — 0.0%
ICICI Bank, Ltd.
5.50%, 03/25/15 144A		395,000		404,739
Ireland — 0.4%
DanFin Funding, Ltd.
1.17%, 07/16/13 144A†		2,800,000		2,810,791
Italy — 0.5%
Intesa Sanpaolo SpA
2.87%, 02/24/14 144A†		2,900,000		2,724,443
Telecom Italia SpA
1.19%, 12/06/12(E)†		900,000		1,132,029

				3,856,472

Luxembourg — 0.4%
Covidien International Finance SA
1.88%, 06/15/13D		570,000		575,764
1.35%, 05/29/15D		270,000		270,542
Gazprom OAO Via Gaz Capital SA
9.25%, 04/23/19D		700,000		876,603
6.00%, 01/23/21 144A@		1,300,000		1,400,126

				3,123,035

Mexico — 0.7%
America Movil SAB de CV
3.63%, 03/30/15D		200,000		213,713
2.38%, 09/08/16		380,000		391,742


	Par		Value
Mexican Bonos
7.25%, 12/15/16(M)	$	19,500,000	$	1,603,057
Petroleos Mexicanos
4.88%, 03/15/15D		1,250,000		1,354,688
5.50%, 01/21/21		1,400,000		1,589,000

				5,152,200

Netherlands — 1.4%
Achmea Hypotheekbank NV
3.20%, 11/03/14 144A		2,672,000		2,788,809
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
0.95%, 10/08/12(E)†		1,020,000		1,291,660
ING Bank NV
1.52%, 03/15/13 144A†		1,730,000		1,730,931
3.75%, 03/07/17 144A		900,000		896,730
Volkswagen International Finance NV
0.91%, 10/01/12 144A†		1,700,000		1,701,231
1.21%, 03/21/14 144A†@		100,000		100,088
1.07%, 04/01/14 144A†		1,200,000		1,198,140
1.63%, 03/22/15 144A		1,100,000		1,104,541

				10,812,130

Netherlands Antilles — 0.0%
Teva Pharmaceutical Finance III BV
1.70%, 03/21/14		300,000		304,373

Norway — 0.1%
Sparebank 1 Boligkreditt AS
1.25%, 10/25/14 144A		370,000		371,956
Statoil ASA
2.90%, 10/15/14		650,000		682,088

				1,054,044

Panama — 0.0%
Panama Government International Bond
7.25%, 03/15/15		265,000		303,425

Peru — 0.0%
Banco de Credito del Peru
6.13%, 04/24/27 144A†D		380,000		391,400

Portugal — 0.1%
Obrigacoes do Tesouro
2.17%, 05/16/47(E)		619,905		784,209

Qatar — 0.1%
Qatar Government International Bond
3.13%, 01/20/17D		580,000		607,550

Singapore — 0.1%
Oversea-Chinese Banking Corporation, Ltd.
1.63%, 03/13/15 144A		500,000		502,717

South Africa — 0.1%
South Africa Government International Bond
6.50%, 06/02/14		530,000		584,590

South Korea — 0.9%
Export-Import Bank of Korea
1.62%, 09/21/13 144A@		2,400,000		2,405,823
Hyundai Capital Services, Inc.
4.38%, 07/27/16 144A		2,900,000		3,050,664

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Korea National Oil Corporation
2.88%, 11/09/15	$	770,000	$	785,480
Lotte Shopping Co., Ltd.
3.38%, 05/09/17 144A		730,000		743,104

				6,985,071

Spain — 0.1%
Telefonica Emisiones SA Unipersonal
2.58%, 04/26/13D		710,000		699,527

Supranational — 0.1%
Asian Development Bank
3.38%, 05/20/14(K)		6,400,000		1,106,423

Sweden — 0.9%
Nordea Bank AB
1.37%, 01/14/14 144A†D		2,900,000		2,901,624
2.25%, 03/20/15 144A		995,000		999,242
Stadshypotek AB
1.45%, 09/30/13 144AD		2,900,000		2,923,409

				6,824,275

Switzerland — 0.2%
Credit Suisse NY
1.43%, 01/14/14†D		1,200,000		1,201,813

United Kingdom — 2.3%
Anglo American Capital PLC
2.15%, 09/27/13 144A		360,000		362,784
Barclays Bank PLC
2.50%, 01/23/13		1,700,000		1,712,626
1.51%, 01/13/14†		580,000		580,875
2.38%, 01/13/14D		2,900,000		2,907,937
BP Capital Markets PLC
5.25%, 11/07/13		1,047,000		1,109,769
British Telecom- munications PLC
2.00%, 06/22/15		2,110,000		2,140,530
Experian Finance PLC
2.38%, 06/15/17 144A		540,000		541,232
GlaxoSmithKline Capital PLC
0.75%, 05/08/15		670,000		670,394
HSBC Bank PLC
1.27%, 01/17/14 144A†D		1,230,000		1,233,239
1.63%, 07/07/14 144AD		650,000		655,574
3.10%, 05/24/16 144A		1,015,000		1,049,050
Kingfisher PLC
4.13%, 11/23/12(E)		380,000		486,932
Lloyds TSB Bank PLC
2.82%, 01/24/14†		3,840,000		3,863,005
Royal Bank of Scotland PLC
3.25%, 01/11/14D		780,000		783,374

				18,097,321

Virgin Islands (British) — 0.1%
Arcos Dorados Holdings Inc
10.25%, 07/13/16 144A(B)		1,600,000		844,411

Total Foreign Bonds (Cost $148,403,373)				148,852,503

MORTGAGE-BACKED SECURITIES — 24.6%
Adjustable Rate Mortgage Trust
3.26%, 03/25/37†		2,441,030		1,304,242
American Home Mortgage Investment Trust
2.57%, 10/25/34†		670,347		610,284


	Par		Value
American Home Mortgage Assets LLC
1.07%, 11/25/46†	$	1,069,523	$	442,460
Arkle Master Issuer PLC
1.62%, 05/17/60 144A†		4,260,000		4,269,418
1.72%, 05/17/60†		250,000		250,904
1.72%, 05/17/60 144A†		1,240,000		1,246,304
Arran Residential Mortgages Funding PLC
1.67%, 05/16/47 144A†		423,602		423,950
1.67%, 11/19/47 144A†		241,113		241,451
1.92%, 11/19/47 144A†		1,800,000		1,802,209
Banc of America Funding Corporation
5.70%, 01/20/47†		752,910		458,823
Banc of America Merrill Lynch Commercial Mortgage, Inc.
4.76%, 11/10/39		615,000		642,074
5.45%, 01/15/49		1,990,000		2,096,939
5.81%, 06/10/49†		297,338		298,875
Banc of America Mortgage Securities, Inc.
6.50%, 10/25/31		114,004		120,046
Bear Stearns Adjustable Rate Mortgage Trust
2.89%, 01/25/34†		360,995		361,822
3.35%, 07/25/34†		584,318		561,180
2.84%, 10/25/34†		274,126		262,448
2.57%, 03/25/35†		1,051,670		1,025,801
Bear Stearns Alt-A Trust
0.99%, 11/25/34†		325,592		307,587
2.88%, 09/25/35†		567,794		388,939
Bear Stearns Commercial Mortgage Securities
5.74%, 06/11/50		895,000		935,758
Commercial Mortgage Pass-Through Certificates
6.10%, 07/16/34 144A		19,919		19,973
Countrywide Alternative Loan Trust
6.00%, 10/25/32		53,305		55,966
Countrywide Home Loan Mortgage Pass-Through Trust
0.79%, 02/25/35†		203,540		170,301
Credit Suisse Mortgage Capital Certificates
5.97%, 09/15/39†		1,155,000		1,204,223
5.62%, 09/15/40†		850,000		909,360
6.41%, 02/15/41†		1,367,861		1,395,681
1.25%, 02/27/47†		2,135,260		2,100,616
DBRR Trust
5.93%, 06/17/49 144A†		1,805,000		2,032,648
Deutsche ALT-A Securities, Inc.
5.87%, 10/25/36 STEP		615,617		357,120
5.89%, 10/25/36 STEP		615,617		357,547
Extended Stay America Trust
2.95%, 11/05/27 144A		4,245,791		4,277,481
Fannie Mae Grantor Trust
3.31%, 02/25/32		157,914		163,383
FDIC Structured Sale Guaranteed Notes
0.47%, 10/25/13 144A†		2,300,000		2,284,045
3.00%, 09/30/19 144A		836,481		854,256
0.97%, 12/04/20 144A†		2,048,021		2,062,101

See Notes to Financial Statements.


	Par		Value
3.25%, 04/25/38 144A	$	666,366	$	682,192
0.80%, 02/25/48 144A†		479,223		479,556
FDIC Trust
2.18%, 05/25/50 144A		1,242,188		1,248,420
Federal Home Loan Mortgage Corporation
5.00%, 01/01/19		346,274		369,983
5.00%, 02/01/19		362,586		387,287
5.00%, 12/01/19		717,409		770,404
5.50%, 05/01/22		2,343,698		2,551,861
2.59%, 07/01/27†		14,774		15,803
2.38%, 11/01/31†		81,596		86,435
2.38%, 04/01/32†		11,818		12,564
2.16%, 06/01/33†		1,269,051		1,337,103
2.38%, 10/01/34†		314,083		330,801
2.51%, 08/01/35†		1,044,600		1,115,052
2.10%, 09/01/35†		527,890		552,842
2.38%, 10/01/35†		860,605		916,860
2.55%, 04/01/36†		801,908		857,017
5.50%, 05/01/38		2,007,764		2,182,827
5.50%, 02/01/40		598,004		650,146
Federal Home Loan Mortgage Corporation REMIC
0.59%, 12/15/30†		76,183		76,194
4.50%, 09/15/41		1,308,723		1,426,449
4.50%, 11/15/41		1,425,041		1,566,956
Federal Housing Authority
7.43%, 09/01/22+		1,236		1,211
Federal National Mortgage Association
3.50%, 07/01/41 TBA		5,000,000		5,255,469
0.59%, 07/01/16†		1,900,000		1,912,523
5.00%, 01/01/18		777,262		841,570
5.00%, 07/01/19		160,379		173,649
5.00%, 05/01/21		1,480,151		1,602,615
5.00%, 11/01/21		615,143		666,038
2.35%, 12/01/24†		48,417		48,634
9.00%, 05/01/25		12,769		12,816
9.00%, 07/01/25		34,067		34,512
2.50%, 08/16/27		3,300,000		3,392,812
2.36%, 09/01/31†		132,855		141,245
1.58%, 08/01/32†		1,001,276		1,039,666
5.50%, 10/01/32		715,193		788,906
2.24%, 12/01/32†		728,558		770,448
2.00%, 04/01/33†		206,031		217,828
2.20%, 06/01/33†		194,509		202,333
2.58%, 06/01/33†		67,667		72,145
2.67%, 10/01/33†		453,220		484,349
2.55%, 12/01/33†		150,071		159,071
3.20%, 03/01/34†		106,077		107,624
2.17%, 09/01/34†		275,937		288,278
2.19%, 09/01/34†		341,822		356,944
2.06%, 10/01/34†		342,786		359,621
2.24%, 10/01/34†		451,228		476,466
2.61%, 02/01/35†		431,753		459,276
5.00%, 07/01/35		2,900,486		3,163,341
2.41%, 09/01/35†		989,122		1,048,054
2.61%, 12/01/35†		39,211		41,749
4.00%, 11/01/40		958,358		1,021,596
3.50%, 08/01/41 TBA		32,000,000		33,545,002
4.00%, 09/01/41		1,454,585		1,551,022
1.35%, 08/01/42†		647,643		653,411
1.35%, 07/01/44†		521,161		526,401
1.35%, 10/01/44†		358,452		361,502


	Par		Value
Federal National Mortgage Association REMIC
4.00%, 11/25/19	$	267,462	$	279,716
0.85%, 05/25/30†		661,909		662,653
0.90%, 05/25/30†		523,370		523,663
5.50%, 10/25/40 IOW		4,839,494		735,868
0.80%, 09/25/41†		5,675,852		5,684,479
FHLMC Multifamily Structured Pass-Through Certificates
2.23%, 07/25/13		460,717		463,653
3.61%, 06/25/14		1,095,000		1,130,925
FHLMC Multifamily VRD Certificates
5.50%, 08/15/51 STEP		3,000,000		3,360,729
FHLMC Structured Pass-Through Securities
1.25%, 05/25/43†		1,017,303		1,043,389
1.53%, 07/25/44†		1,591,266		1,653,425
First Horizon Alternative Mortgage Securities
2.59%, 06/25/34†		592,929		524,565
GMAC Commercial Mortgage Securities, Inc.
5.30%, 08/10/38†		1,520,000		1,602,959
Government National Mortgage Association
2.38%, 06/20/17†		7,623		7,917
2.38%, 06/20/21†		4,949		5,140
1.63%, 03/20/22†		280,943		291,316
1.63%, 01/20/23†		38,551		39,974
2.38%, 05/20/24†		77,924		80,935
1.63%, 07/20/25†		92,215		95,373
1.63%, 08/20/25†		25,351		26,219
1.63%, 11/20/25†		76,186		78,935
1.63%, 12/20/26†		102,349		106,043
1.63%, 07/20/27†		2,452		2,536
1.63%, 10/20/27†		40,008		41,452
8.50%, 10/15/29		26,181		27,260
0.84%, 02/16/30†		144,614		146,114
8.50%, 03/15/30		1,018		1,022
8.50%, 04/15/30		5,517		5,722
8.50%, 05/15/30		129,675		141,774
2.38%, 05/20/30†		70,300		73,016
8.50%, 06/15/30		6,655		6,849
8.50%, 07/15/30		58,663		65,025
8.50%, 08/15/30		16,906		19,393
8.50%, 09/15/30		2,003		2,036
8.50%, 11/15/30		14,282		16,952
8.50%, 12/15/30		31,311		38,423
8.50%, 02/15/31		18,264		19,592
5.16%, 06/16/31†		894,052		908,265
0.54%, 03/20/37†		1,697,275		1,693,438
0.54%, 05/20/37†		724,397		722,757
Granite Mortgages PLC
1.12%, 01/20/44(E)†		271,157		332,787
Greenpoint Mortgage Funding Trust
0.43%, 01/25/37†		860,155		410,037
0.52%, 11/25/45†		235,102		137,746
GSR Mortgage Loan Trust
2.87%, 09/25/34†		589,398		543,780
2.65%, 09/25/35†		2,095,377		2,036,909
HarborView Mortgage Loan Trust
2.95%, 12/19/35†		1,512,192		1,060,470

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Holmes Master Issuer PLC
0.57%, 07/15/20†	$	3,915,000	$	3,914,480
1.82%, 10/15/54 144A†		380,000		381,015
1.87%, 10/15/54 144A†		1,740,000		1,747,861
2.16%, 10/15/54(E)†		450,000		573,042
Holmes Master Issuer PLC
1.87%, 10/15/54†		1,060,000		1,065,020
Indymac Index Mortgage Loan Trust
0.52%, 06/25/37†		649,421		134,950
0.44%, 09/25/46†		979,089		579,131
JP Morgan Chase Commercial Mortgage Securities Corporation
2.14%, 11/15/28 144A†@		4,500,000		4,518,283
5.12%, 07/15/41		955,000		1,013,609
JP Morgan Mortgage Trust
5.01%, 02/25/35†		251,085		251,286
Luminent Mortgage Trust
0.42%, 12/25/36†		1,033,557		602,048
MASTR Adjustable Rate Mortgages Trust
2.75%, 12/25/33†		444,459		404,058
Merrill Lynch Floating Trust
0.78%, 07/09/21 144A†		163,350		159,884
Merrill Lynch Mortgage Trust
5.24%, 11/12/35†		1,260,000		1,316,289
MLCC Mortgage Investors, Inc.
2.35%, 12/25/34†		790,914		795,895
2.28%, 02/25/36†		866,910		762,359
Morgan Stanley Capital I
5.36%, 12/15/44		169,972		169,725
Morgan Stanley Reremic Trust
5.98%, 08/12/45 144A†		880,000		997,229
5.98%, 08/15/45 144A†		880,000		997,229
2.50%, 03/23/51 144A		862,280		869,017
NCUA Guaranteed Notes
1.84%, 10/07/20		236,857		239,780
2.90%, 10/29/20		730,000		776,873
0.81%, 12/08/20†		3,820,538		3,836,661
0.78%, 03/09/21†		3,033,250		3,034,675
Opteum Mortgage Acceptance Corporation
0.53%, 11/25/35†		379,622		375,218
Permanent Master Issuer PLC
1.14%, 04/15/20(U)†		2,060,000		3,210,313
0.58%, 07/15/33†		830,000		829,363
Provident Funding Mortgage Loan Trust
2.62%, 04/25/34†		882,451		863,303
Residential Accredit Loans, Inc.
0.65%, 01/25/33†		199,637		190,234
Residential Asset Securitization Trust
0.55%, 05/25/35†		411,698		343,903
Residential Funding Mortgage Securities I
6.50%, 03/25/32		26,364		27,715
Sequoia Mortgage Trust
2.87%, 01/25/42†		1,877,375		1,892,173
3.50%, 04/25/42†		1,946,942		1,998,717
Structured Adjustable Rate Mortgage Loan Trust
2.76%, 08/25/34†		923,545		796,927


	Par		Value
0.55%, 09/25/34†	$	170,436	$	127,214
Structured Asset Mortgage Investments, Inc.
2.15%, 10/19/34†		397,391		241,098
0.49%, 07/19/35†		151,465		114,871
0.53%, 02/25/36†		794,748		434,807
Superannuation Members Home Loans Global Fund
0.75%, 03/09/36†		1,099,285		1,096,987
0.74%, 06/12/40(E)†		699,961		865,056
TBW Mortgage Backed Pass-Through Certificates
6.02%, 07/25/37 STEP		525,000		318,978
Wachovia Bank Commercial Mortgage Trust
5.42%, 01/15/45†		1,415,000		1,572,842
Washington Mutual Alternative Mortgage Pass-Through Certificates
1.00%, 05/25/47†		861,079		159,644
Washington Mutual Mortgage Pass-Through Certificates
2.55%, 02/25/37†		781,898		503,776
5.00%, 05/25/37†		936,923		638,231
3.91%, 07/25/37†		2,197,977		1,417,915
1.55%, 06/25/42†		26,941		21,806
0.56%, 01/25/45†		930,441		773,199
0.57%, 08/25/45†		386,373		315,473
0.54%, 10/25/45†		403,977		323,423
1.13%, 06/25/46†		1,490,571		1,105,409
0.90%, 01/25/47†		853,532		499,915
Wells Fargo Mortgage-Backed Securities Trust
2.62%, 12/25/34†		856,741		862,140

Total Mortgage-Backed Securities (Cost $198,932,545)				193,603,374

MUNICIPAL BONDS — 1.7%
California State Public Works Board, California State University Projects, Revenue Bond, Series B-2
7.80%, 03/01/35		800,000		925,168
Chicago Transit Authority, Revenue Bond Series B
6.90%, 12/01/40		1,300,000		1,548,794
Irvine Ranch Water District Joint Powers Agency, Revenue Bond, Escrowed to Maturity
2.61%, 03/15/14		2,800,000		2,902,200
Kentucky Asset/Liability Commission, Revenue Bond
3.17%, 04/01/18		700,000		725,368
North Texas Higher Education Authority, Taxable Student Loan Revenue Bond, Series 1
1.47%, 04/01/40†		440,761		443,005
State of California, General Obligation
5.10%, 08/01/14		170,000		176,181
5.65%, 04/01/39†		1,340,000		1,389,285

See Notes to Financial Statements.


	Par		Value
State of Illinois, General Obligation
3.32%, 01/01/13	$	5,500,000	$	5,571,610

Total Municipal Bonds (Cost $13,074,567)				13,681,611

	Number of Contracts
PURCHASED OPTIONS — 0.0%
Put Options — 0.0%
U.S. Dollar vs. Mexican Peso, Strike Price $13.62, Expires
07/05/12 (HKSB)		375		77,869
U.S. Dollar vs. Mexican Peso, Strike Price $13.75, Expires
07/05/12 (BAR)		750		224,047

				301,916

Total Purchased Options (Cost $93,487)				301,916

	Par
U.S. TREASURY OBLIGATIONS — 15.8%
U.S. Treasury Bills
0.12%, 09/13/12	$	12,000,000		11,998,176
0.17%, 05/30/13		3,312,000		3,306,283

				15,304,459

U.S. Treasury Bonds
8.13%, 05/15/21		41,000		63,963
7.25%, 08/15/22		51,000		77,935
7.63%, 11/15/22		117,000		183,891
3.13%, 11/15/41		1,000,000		1,075,156

				1,400,945

U.S. Treasury Inflationary Index Bonds
1.13%, 01/15/21‡‡		1,700,000		2,059,489
0.13%, 01/15/22‡‡		12,400,000		13,346,363

				15,405,852

U.S. Treasury Notes
0.75%, 09/15/13		180,000		181,048
0.25%, 11/30/13		1,000,000		999,492
0.25%, 01/31/14		18,835,000		18,821,025
0.25%, 02/28/14		2,603,000		2,600,764
0.25%, 05/31/14		10,000,000		9,989,060
0.25%, 01/15/15		4,200,000		4,188,517
0.25%, 02/15/15		22,621,000		22,545,016
0.25%, 05/15/15		7,710,000		7,677,472
4.13%, 05/15/15		6,000,000		6,631,410
1.25%, 10/31/15		2,500,000		2,562,695
2.13%, 02/29/16		772,000		816,571
1.38%, 12/31/18		4,300,000		4,396,750
1.25%, 01/31/19		600,000		608,344
3.38%, 11/15/19		67,000		77,526
2.13%, 08/15/21‡‡		9,000,000		9,461,250
2.00%, 02/15/22		900,000		930,445

				92,487,385

Total U.S. Treasury Obligations (Cost $123,514,780)				124,598,641


	Shares			Value
MONEY MARKET FUNDS — 10.7%
GuideStone Money Market Fund (GS4 Class)¥		21,455,441		$	21,455,441
Northern Institutional Liquid Assets Portfolio§		63,148,921			63,148,921

Total Money Market Funds (Cost $84,604,362)					84,604,362

	Par
REPURCHASE AGREEMENTS — 12.9%
Citigroup Global Markets, Inc.
0.18% (dated 06/20/12, due 07/03/12, repurchase price $8,400,546, collateralized by Federal National Mortgage Association, 3.500%, due 03/01/42, total market value $8,684,014)	$	8,400,000			8,400,000
Goldman Sachs & Co.
0.20% (dated 06/15/12, due 07/06/12, repurchase price $34,304,002, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 06/01/41, total market value $35,571,934)		34,300,000			34,300,000
Morgan Stanley & Co., Inc.
0.21% (dated 06/29/12, due 07/02/12, repurchase price $35,400,620, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $36,127,292)		35,400,000			35,400,000
0.23% (dated 07/02/12, due 07/03/12, repurchase price $23,300,175, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $23,778,885)		23,300,000			23,300,000

Total Repurchase Agreements (Cost $101,400,000)					101,400,000

TOTAL INVESTMENTS — 116.7% (Cost $921,589,896)					920,399,075

	Notional Amount
WRITTEN OPTIONS — (0.1)%
Call Swaption — (0.1)%
3-Month LIBOR, Strike Price
$1.40, Expires 03/18/13 (DEUT)		(14,000,000	)		(220,378	)

Put Options — 0.0%
3-Month LIBOR, Strike Price
$1.40, Expires 03/18/13 (DEUT)		(14,000,000	)		(87,335	)

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Number of Contracts			Value
U.S. Dollar vs. Mexican Peso, Strike Price $13.75, Expires
07/05/12 (HKSB)		(375	)	$	(108,323	)

					(195,658	)

Total Written Options (Premiums received $(494,906))					(416,036	)

	Par
TBA SALE COMMITMENTS — (1.9)%
Federal National Mortgage Association
4.00%, 07/13/39 TBA	$	(4,000,000	)		(4,256,875	)
Federal Home Loan Mortgage Corporation
5.50%, 07/01/39 TBA		(3,000,000	)		(3,260,156	)
Federal National Mortgage Association
5.50%, 07/01/37 TBA		(7,000,000	)		(7,635,469	)

Total TBA Sale Commitments (Cost $(15,118,750))					(15,152,500	)

Liabilities in Excess of Other Assets — (14.7)%					(116,146,908	)

NET ASSETS — 100.0%				$	788,683,631

PORTFOLIO SUMMARY (based on net assets)


	%
Mortgage-Backed Securities		24.6
Corporate Bonds		24.2
Foreign Bonds		18.9
U.S. Treasury Obligations		15.8
Repurchase Agreements		12.9
Money Market Funds		10.7
Asset-Backed Securities		6.9
Future Contracts		6.4
Municipal Bonds		1.7
Agency Obligations		1.0
Swap Agreements		0.4
Purchased Options		—	**
Written Options		(0.1	)
TBA Sale Commitments		(1.9	)
Forward Foreign Currency Contracts		(4.4	)

		117.1

**	Rounds to less than 0.005%.

See Notes to Financial Statements.

Swap agreements outstanding at June 30, 2012:


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value		Upfront Premiums Paid/ Received		Unrealized Appreciation (Depreciation)
Credit Default Swaps on Corporate Issues — Buy Protection
Nabors Industries, 6.15% due 02/15/18		(0.63	)%		03/20/18		CITI		USD	$	1,525,000	$	118,158	$	—	$	118,158
Nabors Industries, 5.375% due 05/15/12		(1.00	)%		03/20/19		BNP		USD		2,700,000		192,911		8,660		184,251
Morgan Stanley ABS Capital I, 7.02% due 12/27/33		(0.54	)%		12/27/33		MSCS		USD		337,316		127,917		—		127,917
Long Beach Mortgage Trust 6.72%, due 02/25/34		(0.49	)%		02/25/34		BAR		USD		372,412		164,944		—		164,944
Specialty Underwriting & Residential Finance, 6.62% due 02/25/35		(0.59	)%		02/25/35		BAR		USD		353,593		286,613		—		286,613

										$	5,288,321	$	890,543	$	8,660	$	881,883


Reference Obligation	Implied Credit Spread			Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value		Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Credit Default Swaps on Corporate Issues — Sell Protection
General Electric Capital Corporation, 5.625%, due 09/15/17		0.67	%		1.00	%		09/20/13		UBS		USD	$	700,000	$	2,072	$	(12,450	)	$	14,522


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received		Unrealized Appreciation (Depreciation)
Credit Default Swaps on Credit Indices — Buy Protection
CMBX.NA.AAA.4 Index		(0.35	)%		02/17/51		GSC		USD	$	5,700,000	$	495,821		$	813,232	$	(317,411	)
Dow Jones CDX IG14 Index		(1.00	)%		06/20/15		UBS		USD		7,900,000		(64,471	)		7,236		(71,707	)
Dow Jones CDX IG16 Index		(1.00	)%		12/20/15		CS		USD		1,800,000		(10,804	)		12,494		(23,298	)
Dow Jones CDX IG16 Index		(1.00	)%		06/20/16		CS		USD		400,000		(741	)		6,567		(7,308	)
Dow Jones iTraxx		(1.00	)%		12/20/16		CITI		USD		1,400,000		49,322			27,116		22,206
Dow Jones CDX IG9 Index		(0.80	)%		12/20/17		BAR		USD		16,552,800		622,904			737,323		(114,419	)

										$	33,752,800	$	1,092,031		$	1,603,968	$	(511,937	)

See Notes to Financial Statements.

LOW-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Interest Rate Swaps
3-Month LIBOR		1.50	%		06/20/12		CS		EUR	$	3,400,000	$	(91,027	)	$	(39,151	)	$	(51,876	)
6-Month BBR BBSW Index		3.75	%		03/15/13		CITI		AUD		5,400,000		3,454			5,510			(2,056	)
6-Month BBR BBSW Index		4.00	%		03/15/13		DEUT		AUD		1,400,000		(10,007	)		4,422			(14,429	)
6-Month BBR BBSW Index		4.25	%		03/15/13		CITI		AUD		200,000		2,684			1,093			1,591
Brazil CETIP Interbank Deposit		11.94	%		01/02/14		HSBC		BRL		6,600,000		212,053			8,472			203,581
Brazil CETIP Interbank Deposit		11.96	%		01/02/14		GSC		BRL		3,900,000		139,967			(19,431	)		159,398
Brazil CETIP Interbank Deposit		8.03	%		01/02/14		GSC		BRL		1,000,000		1,007			—			1,007
Brazil CETIP Interbank Deposit		12.56	%		02/01/14		BAR		BRL		1,000,000		34,662			669			33,993
Brazil CETIP Interbank Deposit		12.56	%		02/01/14		HSBC		BRL		800,000		28,078			838			27,240
Brazil CETIP Interbank Deposit		10.14	%		01/02/15		HSBC		BRL		3,800,000		64,422			8,977			55,445
Brazil CETIP Interbank Deposit		9.93	%		01/02/15		UBS		BRL		400,000		5,935			340			5,595
Brazil CETIP Interbank Deposit		8.83	%		01/02/15		HSBC		BRL		200,000		776			421			355
6-Month EURIBOR		2.00	%		03/21/17		BAR		EUR		3,600,000		167,115			106,493			60,622
6-Month BBR BBSW Index		(5.50	)%		12/15/17		BAR		AUD		1,500,000		139,547			(5,586	)		145,133
6-Month BBR BBSW Index		(5.50	)%		12/15/17		DEUT		AUD		1,000,000		92,661			(3,328	)		95,989
MXN-TIIE-Banxico		7.50	%		02/06/21		UBS		MXN		300,000		2,827			890			1,937

										$	34,500,000	$	794,154		$	70,629		$	723,525

Total Swap agreements outstanding at June 30, 2012										$	74,241,121	$	2,778,800		$	1,670,807		$	1,107,993

See Notes to Financial Statements.

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs			Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Agency Obligations	$	7,554,997		$	—		$	7,554,997		$	—
Asset-Backed Securities		54,704,321			—			51,717,063			2,987,258
Corporate Bonds		191,097,350			—			186,832,684			4,264,666
Foreign Bonds		148,852,503			—			148,068,294			784,209
Money Market Funds		84,604,362			84,604,362			—			—
Mortgage-Backed Securities		193,603,374			—			178,662,752			14,940,622
Municipal Bonds		13,681,611			—			13,681,611			—
Purchased Options		301,916			—			301,916			—
Repurchase Agreements		101,400,000			—			101,400,000			—
U.S. Treasury Obligations		124,598,641			—			124,598,641			—

Total Assets — Investments in Securities	$	920,399,075		$	84,604,362		$	812,817,958		$	22,976,755

Other Financial Instruments***
Forward Foreign Currency Contracts	$	409,758		$	—		$	409,758		$	—
Swap Agreements		2,778,800			—			2,778,800			—

Total Assets — Other Financial Instruments	$	3,188,558		$	—		$	3,188,558		$	—

Liabilities:
Investments in Securities:
TBA Sale Commitments	$	(15,152,500	)	$	—		$	(15,152,500	)	$	—
Written Options		(416,036	)		—			(416,036	)		—

Total Liabilities — Investments in Securities	$	(15,568,536	)	$	—		$	(15,568,536	)	$	—

Other Financial Instruments***
Futures Contracts	$	(77,422	)	$	(77,422	)	$	—		$	—

Total Liabilities — Other Financial Instruments	$	(77,422	)	$	(77,422	)	$	—		$	—

***

Management has determined that the amount of Level 3 assets compared to total net assets is not material; therefore, the reconciliation of Level 3 assets is not shown for the period ending June 30, 2012.

See Notes to Financial Statements.


MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Par		Value
AGENCY OBLIGATIONS — 2.5%
Federal Farm Credit Bank
5.05%, 11/06/17	$	400,000	$	485,832
Federal Home Loan Bank
0.21%, 01/04/13		1,600,000		1,600,117
5.63%, 06/11/21		700,000		896,543
Federal Home Loan Mortgage Corporation
0.08%, 07/11/12W		9,000,000		8,999,840
4.38%, 01/15/14(E)		400,000		531,121
1.00%, 03/08/17D		1,500,000		1,509,837
1.25%, 05/12/17		500,000		507,205
1.00%, 06/29/17D		1,400,000		1,405,113
1.00%, 07/28/17		700,000		700,500
2.38%, 01/13/22D		1,000,000		1,028,441
Federal National Mortgage Association
5.25%, 08/01/12		2,400,000		2,409,677
1.13%, 04/27/17		390,000		394,121
2.91%, 10/09/19W†		150,000		121,804
6.63%, 11/15/30D		1,170,000		1,780,477
Tennessee Valley Authority
5.25%, 09/15/39		350,000		458,189
4.63%, 09/15/60		200,000		243,962

Total Agency Obligations (Cost $22,418,387)				23,072,779

ASSET-BACKED SECURITIES — 2.7%
Access Group, Inc.
1.77%, 10/27/25†		1,321,245		1,331,630
Amortizing Residential Collateral Trust
0.53%, 01/01/32†		33,757		24,086
Asset-Backed Securities Corporation Home Equity
0.52%, 09/25/34†		168,113		147,319
Avis Budget Rental Car Funding AESOP LLC
4.64%, 05/20/16 144A		200,000		216,228
3.15%, 03/20/17 144A		160,000		167,911
2.80%, 05/20/18 144A		200,000		206,245
Bayview Financial Acquisition Trust
0.92%, 02/28/44†		354,029		339,465
Bear Stearns Asset-Backed Securities, Inc.
6.00%, 10/25/36		2,328,667		1,650,222
6.50%, 10/25/36		2,928,536		1,907,440
Brazos Higher Education Authority
0.58%, 09/25/23†		446,513		444,464
CIT Mortgage Loan Trust
1.25%, 10/25/37 144A†		59,803		59,818
1.50%, 10/25/37 144A†		430,000		352,576
College Loan Corporation Trust
0.56%, 10/25/25†		1,000,000		980,777
Countrywide Home Equity Loan Trust
0.53%, 02/15/34†		301,310		202,235
0.48%, 12/15/35†		811,680		469,905
0.38%, 07/15/36†		768,537		479,629
Education Funding Capital Trust I
2.00%, 06/15/43+†		700,000		609,476
EMC Mortgage Loan Trust
0.80%, 11/25/41 144A†		89,567		80,347


	Par		Value
Financial Asset Securities Corporation AAA Trust
0.66%, 02/27/35 144A†	$	962,714	$	568,605
GCO Education Loan Funding Trust
0.70%, 05/25/36†		150,000		128,418
GMAC Mortgage Corporation Loan Trust
7.00%, 09/25/37		327,622		226,759
Hertz Vehicle Financing LLC
5.29%, 03/25/16 144A		400,000		439,080
Keycorp Student Loan Trust
0.66%, 08/27/31†		651,099		594,918
Lehman XS Trust
0.55%, 11/25/35†		713,776		462,385
Magnolia Funding, Ltd.
3.00%, 04/20/17 144A(E)		986,510		1,251,660
Nelnet Education Loan Funding, Inc.
1.09%, 02/25/39†		800,000		700,601
Panhandle-Plains Higher Education Authority, Inc.
1.59%, 10/01/35†		796,922		805,079
Provident Bank Home Equity Loan Trust
0.79%, 08/25/31†		102,130		49,234
Residential Asset Mortgage Products, Inc.
0.73%, 03/25/34†		343,763		264,884
Residential Funding Securities LLC
0.70%, 06/25/33 144A†		193,006		182,611
Salomon Brothers Mortgage Securities VII, Inc.
0.73%, 03/25/28†		35,826		33,271
SLM Student Loan Trust
1.97%, 04/25/23†		5,366,271		5,540,511
0.76%, 12/15/25 144A†		400,000		383,525
0.59%, 01/25/27†		900,000		849,778
3.50%, 08/17/43 144A†		1,311,018		1,288,682
3.49%, 05/16/44 144A†		1,293,373		1,340,669
Structured Asset Investment Loan Trust
1.09%, 08/25/34†		434,744		388,137

Total Asset-Backed Securities (Cost $28,125,081)				25,168,580

CORPORATE BONDS — 19.9%
AES Corporation
7.38%, 07/01/21 144A		350,000		391,125
Ally Financial, Inc.
6.25%, 12/01/17		606,000		640,579
8.00%, 03/15/20		450,000		519,750
American Express Co.
6.80%, 09/01/66†D		1,400,000		1,451,450
American Express Credit Corporation
5.13%, 08/25/14		160,000		172,933
American International Group, Inc.
3.75%, 11/30/13 144A		200,000		202,523
5.60%, 10/18/16		600,000		653,026
5.45%, 05/18/17		125,000		135,990
5.85%, 01/16/18		180,000		199,468
8.25%, 08/15/18 144AD		3,200,000		3,872,550
6.40%, 12/15/20		260,000		294,672

See Notes to Financial Statements.


	Par		Value
4.88%, 06/01/22D	$	350,000	$	358,829
6.25%, 03/15/37		680,000		632,400
Anadarko Petroleum Corporation
6.38%, 09/15/17		40,000		46,518
8.70%, 03/15/19		225,000		294,504
ANZ Capital Trust II
5.36%, 11/29/49 144A		800,000		824,000
Apache Corporation
6.00%, 09/15/13		680,000		723,284
Arch Coal, Inc.
7.25%, 06/15/21D		500,000		421,250
Arizona Public Service Co.
8.75%, 03/01/19D		525,000		695,235
Ashtead Capital, Inc.
9.00%, 08/15/16 144A		400,000		416,500
ASIF Global Financing XIX
4.90%, 01/17/13 144A		100,000		100,955
Astoria Financial Corporation
5.75%, 10/15/12		450,000		454,597
AT&T, Inc.
5.10%, 09/15/14		550,000		600,819
2.95%, 05/15/16		825,000		874,619
5.50%, 02/01/18		540,000		642,444
5.60%, 05/15/18D		30,000		35,952
3.88%, 08/15/21D		200,000		218,273
6.55%, 02/15/39		130,000		167,906
5.35%, 09/01/40		70,000		80,646
5.55%, 08/15/41D		30,000		35,899
Baker Hughes, Inc.
7.50%, 11/15/18		710,000		938,846
Bank of America Corporation
1.89%, 01/30/14†		900,000		891,013
0.73%, 10/14/16†D		1,700,000		1,504,546
3.88%, 03/22/17D		130,000		132,573
5.75%, 12/01/17D		2,290,000		2,446,721
5.65%, 05/01/18D		2,700,000		2,890,679
5.88%, 01/05/21		150,000		164,047
5.00%, 05/13/21D		360,000		372,077
5.70%, 01/24/22		575,000		634,424
Barrick North America Finance LLC
4.40%, 05/30/21		610,000		658,693
BB&T Corporation
3.20%, 03/15/16D		475,000		503,195
Bear Stearns Cos. LLC
5.70%, 11/15/14		1,000,000		1,082,692
6.40%, 10/02/17D		1,200,000		1,385,383
7.25%, 02/01/18D		675,000		807,929
BellSouth Capital Funding Corporation
7.88%, 02/15/30		210,000		274,789
BellSouth Corporation
6.88%, 10/15/31		10,000		12,186
Berkshire Hathaway, Inc.
3.20%, 02/11/15D		280,000		297,487
BMW US Capital LLC
0.92%, 12/21/12†		3,400,000		3,396,073
Boeing Capital Corporation
4.70%, 10/27/19		230,000		271,266
Boeing Co.
4.88%, 02/15/20D		300,000		360,490
6.63%, 02/15/38		210,000		296,883


	Par		Value
Calpine Corporation
7.88%, 01/15/23 144AD	$	700,000	$	766,500
Capital One Capital III
7.69%, 08/01/66		325,000		328,656
Casella Waste Systems, Inc.
11.00%, 07/15/14		375,000		398,906
Caterpillar Financial Services Corporation
6.20%, 09/30/13D		450,000		481,152
Cellco Partnership/Verizon Wireless Capital LLC
8.50%, 11/15/18		710,000		972,819
CenterPoint Energy Resources Corporation
5.95%, 01/15/14		525,000		561,468
Chesapeake Energy Corporation
5.88%, 12/02/17†		490,000		486,634
Chesapeake Midstream Partners LP
5.88%, 04/15/21D		330,000		321,750
Chubb Corporation
6.38%, 03/29/67†D		375,000		389,062
Cigna Corporation
2.75%, 11/15/16D		225,000		232,049
CitiFinancial, Inc.
6.63%, 06/01/15		300,000		317,845
Citigroup Capital XXI
8.30%, 12/21/77†		274,000		275,370
Citigroup, Inc.
6.00%, 12/13/13		980,000		1,030,289
5.13%, 05/05/14D		110,000		114,754
5.00%, 09/15/14		1,720,000		1,764,027
6.01%, 01/15/15		150,000		161,258
4.45%, 01/10/17D		200,000		209,863
5.50%, 02/15/17D		1,160,000		1,213,361
6.13%, 11/21/17D		1,205,000		1,336,588
6.13%, 05/15/18		2,400,000		2,683,109
4.50%, 01/14/22		250,000		258,713
6.88%, 03/05/38		330,000		404,991
Comcast Cable Communications Holdings, Inc.
8.38%, 03/15/13		83,000		87,500
Comcast Corporation
5.70%, 05/15/18D		1,250,000		1,476,041
6.95%, 08/15/37		40,000		51,548
Comcast Holdings Corporation
10.63%, 07/15/12		550,000		551,422
Concho Resources, Inc.
5.50%, 10/01/22		260,000		257,725
ConocoPhillips Holding Co.
6.95%, 04/15/29		420,000		577,758
Continental Airlines 1998-1 Class A Pass Through Trust
6.65%, 03/15/19		239,983		252,894
COX Communications, Inc.
5.45%, 12/15/14D		210,000		231,215
CVS Caremark Corporation
6.60%, 03/15/19D		590,000		736,791
CVS Pass-Through Trust
9.35%, 01/10/23 144A		200,000		229,341
6.94%, 01/10/30		801,476		951,690
Daimler Finance NA LLC
6.50%, 11/15/13		100,000		107,230
1.07%, 03/28/14 144A†		3,400,000		3,393,693

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
DDR Corporation
4.63%, 07/15/22	$	400,000	$	395,554
Delta Air Lines 2007-1 Class A
Pass Through Trust
6.82%, 02/10/24		366,467		393,952
Devon Energy Corporation
3.25%, 05/15/22		90,000		91,753
5.60%, 07/15/41D		590,000		687,163
DIRECTV Holdings LLC
3.50%, 03/01/16D		525,000		554,215
Discover Bank
8.70%, 11/18/19		425,000		528,768
DISH DBS Corporation
6.63%, 10/01/14		30,000		32,325
7.75%, 05/31/15D		200,000		223,000
5.88%, 07/15/22 144A		360,000		365,400
Dominion Resources, Inc.
5.70%, 09/17/12		1,230,000		1,242,644
Dow Chemical Co.
7.60%, 05/15/14D		500,000		556,828
Duke Energy Carolinas LLC
5.63%, 11/30/12		580,000		591,777
Duke Realty LP REIT
4.38%, 06/15/22		375,000		377,657
Ecolab, Inc.
3.00%, 12/08/16		275,000		290,223
4.35%, 12/08/21D		330,000		366,476
El Paso LLC
7.00%, 06/15/17		710,000		808,943
7.80%, 08/01/31		750,000		845,532
El Paso Natural Gas Co.
7.50%, 11/15/26D		300,000		368,615
Energy Transfer Partners LP
6.70%, 07/01/18D		570,000		654,639
Enterprise Products Operating LLC
5.25%, 01/31/20		120,000		137,678
4.05%, 02/15/22D		1,080,000		1,147,591
6.13%, 10/15/39D		30,000		34,104
5.95%, 02/01/41		60,000		68,099
5.70%, 02/15/42D		510,000		566,351
8.38%, 08/01/66†		325,000		352,523
7.03%, 01/15/68†D		350,000		374,929
EOG Resources, Inc.
1.22%, 02/03/14†		3,500,000		3,531,045
Exelon Corporation
5.63%, 06/15/35		655,000		712,181
Express Scripts Holding Co.
3.50%, 11/15/16 144A		1,020,000		1,075,009
3.90%, 02/15/22 144A		375,000		389,471
Fifth Third Bancorp
3.63%, 01/25/16D		175,000		184,736
Fifth Third Bank Ohio
0.58%, 05/17/13†		400,000		398,642
First Niagara Financial
Group, Inc.
6.75%, 03/19/20D		250,000		283,912
FirstEnergy Corporation
7.38%, 11/15/31		890,000		1,120,341
Ford Motor
Credit Co., LLC
5.63%, 09/15/15D		3,100,000		3,377,004
8.00%, 12/15/16D		1,300,000		1,540,833
4.25%, 02/03/17		200,000		209,864
5.88%, 08/02/21D		300,000		334,348


	Par		Value
Freeport-McMoRan Copper & Gold, Inc.
3.55%, 03/01/22	$	590,000	$	581,664
Fresenius Medical Care US Finance, Inc.
6.88%, 07/15/17D		250,000		278,750
GE Capital Trust I
6.38%, 11/15/67†D		321,000		331,031
General Electric Capital Corporation
5.45%, 01/15/13D		150,000		153,897
6.00%, 08/07/19		1,850,000		2,167,832
4.38%, 09/16/20D		330,000		357,627
5.30%, 02/11/21D		60,000		67,461
5.88%, 01/14/38		150,000		172,804
7.13%, 12/15/49†		300,000		318,113
General Electric Co.
5.00%, 02/01/13		840,000		861,606
George Washington University
1.83%, 09/15/17		2,600,000		2,622,165
GlaxoSmithKline Capital, Inc.
5.65%, 05/15/18		380,000		459,942
Goldman Sachs Capital II
4.00%, 06/01/43†		60,000		40,696
Goldman Sachs Group, Inc.
3.63%, 08/01/12D		110,000		110,203
5.45%, 11/01/12D		190,000		192,771
4.75%, 07/15/13		20,000		20,569
5.25%, 10/15/13D		160,000		166,438
5.75%, 10/01/16D		1,900,000		2,032,460
5.95%, 01/18/18D		2,300,000		2,464,570
5.38%, 03/15/20D		250,000		257,759
6.00%, 06/15/20		460,000		491,860
5.25%, 07/27/21		110,000		111,940
6.25%, 02/01/41		800,000		837,037
HCA, Inc.
6.50%, 02/15/16D		686,000		742,595
7.88%, 02/15/20		125,000		139,375
7.69%, 06/15/25		250,000		241,875
HCP, Inc. REIT
6.00%, 01/30/17		300,000		336,441
5.38%, 02/01/21D		200,000		221,545
Hess Corporation
8.13%, 02/15/19D		330,000		425,338
7.88%, 10/01/29		260,000		340,920
7.30%, 08/15/31		110,000		138,038
Hewlett-Packard Co.
0.75%, 05/24/13†		3,000,000		2,994,246
3.00%, 09/15/16		300,000		308,879
2.60%, 09/15/17		250,000		251,254
HSBC Finance Corporation
6.38%, 11/27/12D		70,000		71,488
6.68%, 01/15/21D		90,000		97,604
HSBC USA, Inc.
2.38%, 02/13/15		1,700,000		1,720,461
Humana, Inc.
7.20%, 06/15/18		480,000		577,527
ILFC E-Capital Trust II
6.25%, 12/21/65 144A†		280,000		205,800
International Lease Finance Corporation
6.50%, 09/01/14 144A		240,000		254,400
6.75%, 09/01/16 144A		880,000		950,400
8.63%, 01/15/22D		250,000		290,768

See Notes to Financial Statements.


	Par		Value
John Deere Capital Corporation
2.25%, 04/17/19D	$	360,000	$	368,534
JPMorgan Chase & Co.
5.75%, 01/02/13		320,000		328,146
5.15%, 10/01/15		1,890,000		2,029,626
6.30%, 04/23/19D		800,000		936,305
4.95%, 03/25/20D		800,000		883,270
4.40%, 07/22/20		230,000		243,000
4.35%, 08/15/21D		70,000		74,017
JPMorgan Chase Capital XXV
6.80%, 10/01/37		375,000		375,936
Kerr-McGee Corporation
6.95%, 07/01/24		420,000		520,954
7.88%, 09/15/31		690,000		897,166
Kinder Morgan Energy Partners LP
5.85%, 09/15/12		40,000		40,391
5.00%, 12/15/13D		200,000		209,784
6.00%, 02/01/17		250,000		289,029
Kraft Foods Group, Inc.
2.25%, 06/05/17 144A		275,000		281,894
3.50%, 06/06/22 144A		380,000		390,757
Kraft Foods, Inc.
6.13%, 08/23/18D		350,000		426,476
5.38%, 02/10/20		770,000		912,636
6.50%, 02/09/40		300,000		386,773
Kroger Co.
6.15%, 01/15/20		360,000		431,741
L-3 Communications Corporation
6.38%, 10/15/15D		250,000		256,094
Lehman Escrow Bonds
0.00%, 03/01/42+		3,200,000		—
0.00%, 07/19/47+		150,000		—
0.00%, 12/28/47+		140,000		—
0.00%, 11/30/49+		2,330,000		—
0.00%, 12/31/99		2,500,000		584,125
Liberty Property LP
4.75%, 10/01/20D		575,000		612,939
MarkWest Energy Partners LP
6.25%, 06/15/22D		290,000		300,150
Medtronic, Inc.
4.45%, 03/15/20D		300,000		344,897
Merrill Lynch & Co., Inc.
5.45%, 02/05/13		2,300,000		2,346,589
6.05%, 05/16/16D		275,000		284,563
5.70%, 05/02/17		1,100,000		1,133,228
MetLife Capital Trust IV
7.88%, 12/15/37 144AD		300,000		334,500
MetLife Capital Trust X
9.25%, 04/08/68 144AD		300,000		369,000
MetLife, Inc.
4.75%, 02/08/21		270,000		301,105
6.40%, 12/15/66D		150,000		147,791
Morgan Stanley
1.00%, 03/01/13(E)†		500,000		625,826
0.92%, 10/18/16†D		340,000		296,628
4.75%, 03/22/17D		60,000		59,931
6.63%, 04/01/18		1,400,000		1,465,537
Nabors Industries, Inc.
9.25%, 01/15/19D		3,300,000		4,289,967
NCUA Guaranteed Notes
3.00%, 06/12/19		300,000		329,385


	Par		Value
Newfield Exploration Co.
7.13%, 05/15/18	$	100,000	$	106,375
5.75%, 01/30/22D		50,000		52,500
News America, Inc.
6.15%, 02/15/41		450,000		528,123
Noble Energy, Inc.
4.15%, 12/15/21		620,000		653,205
Northwestern Mutual Life Insurance
6.06%, 03/30/40 144A		500,000		611,049
Occidental Petroleum Corporation
3.13%, 02/15/22		310,000		323,841
2.70%, 02/15/23		360,000		363,080
Overseas Private Investment Corporation
0.92%, 11/18/13W†		3,500,000		3,528,493
0.00%, 07/12/16W†		3,000,000		3,660,189
Pacific Gas & Electric Co.
8.25%, 10/15/18		130,000		175,457
6.05%, 03/01/34		110,000		139,076
5.80%, 03/01/37		250,000		311,846
Patrons’ Legacy
5.65%, 05/17/21+ 144A		1,290,357		1,217,646
Peabody Energy Corporation
7.88%, 11/01/26		1,100,000		1,130,250
Pemex Project Funding Master Trust
6.63%, 06/15/35D		159,000		190,005
PepsiCo, Inc.
7.90%, 11/01/18D		140,000		187,284
Pfizer, Inc.
7.20%, 03/15/39		600,000		914,252
Plastipak Holdings, Inc.
8.50%, 12/15/15 144A		200,000		207,500
Pricoa Global Funding I
0.66%, 09/27/13 144A†		1,700,000		1,693,610
Private Export Funding Corporation
5.45%, 09/15/17		1,600,000		1,952,242
Progress Energy, Inc.
7.75%, 03/01/31		350,000		493,543
ProLogis LP
1.88%, 11/15/37		350,000		350,875
PVNGS II Funding Corporation, Inc.
8.00%, 12/30/15		715,000		748,398
Raytheon Co.
3.13%, 10/15/20		200,000		210,285
Reed Elsevier Capital, Inc.
8.63%, 01/15/19		410,000		520,827
Rensselaer Polytechnic Institute
5.60%, 09/01/20		675,000		776,104
Reynolds Group Issuer, Inc.
7.13%, 04/15/19 144AD		500,000		526,250
Roche Holdings, Inc.
6.00%, 03/01/19 144A		330,000		411,050
Rock-Tenn Co.
5.63%, 03/15/13		50,000		51,312
Rowan Cos., Inc.
4.88%, 06/01/22		475,000		480,095
Safeway, Inc.
3.95%, 08/15/20D		150,000		144,984
4.75%, 12/01/21D		330,000		327,886

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Service Corporation International
7.63%, 10/01/18	$	90,000	$	102,600
7.50%, 04/01/27		200,000		206,000
SESI LLC
7.13%, 12/15/21 144A		80,000		87,400
Simon Property Group LP
10.35%, 04/01/19		750,000		1,053,479
Southern Natural Gas Co.
8.00%, 03/01/32D		400,000		520,784
Southern Union Co.
3.48%, 11/01/66†		525,000		429,844
Sprint Capital Corporation
6.90%, 05/01/19D		30,000		28,350
6.88%, 11/15/28D		50,000		40,500
8.75%, 03/15/32D		120,000		109,800
Sprint Nextel Corporation
9.00%, 11/15/18 144AD		80,000		89,600
State Street Corporation
4.96%, 03/15/18		530,000		568,310
Steel Dynamics, Inc.
6.75%, 04/01/15D		225,000		229,500
7.75%, 04/15/16D		500,000		517,500
SunTrust Banks, Inc.
3.60%, 04/15/16D		300,000		311,787
SunTrust Preferred Capital I
4.00%, 06/29/49†		357,000		255,344
Teachers Insurance & Annuity Association of America
6.85%, 12/16/39 144A		540,000		699,735
Tenet Healthcare Corporation
9.25%, 02/01/15D		1,262,000		1,410,285
Tennessee Gas Pipeline Co.
7.50%, 04/01/17D		250,000		299,622
7.63%, 04/01/37		50,000		61,718
Terex Corporation
10.88%, 06/01/16D		250,000		281,562
Thermo Fisher Scientific, Inc.
3.60%, 08/15/21D		160,000		172,431
Time Warner Cable, Inc.
8.75%, 02/14/19D		560,000		745,547
4.13%, 02/15/21D		70,000		74,431
5.88%, 11/15/40D		440,000		494,234
Time Warner, Inc.
4.70%, 01/15/21D		10,000		11,163
6.10%, 07/15/40		140,000		161,634
6.25%, 03/29/41D		40,000		46,678
Time Warner Entertainment Co. LP
8.38%, 07/15/33D		590,000		801,486
Transatlantic Holdings, Inc.
8.00%, 11/30/39		275,000		322,206
UAL 1993 Pass Through Trust A
9.21%, 01/21/17+		81,116		—
UAL 1995 Pass Through Trust A
9.56%, 10/19/18@		132,985		30,587
Union Bank NA
1.42%, 06/06/14†		2,600,000		2,587,286
2.13%, 06/16/17		700,000		700,946
United Parcel Service, Inc.
4.50%, 01/15/13		770,000		787,079


	Par		Value
United Technologies Corporation
3.10%, 06/01/22	$	775,000	$	813,828
4.50%, 06/01/42		500,000		551,544
UnitedHealth Group, Inc.
4.88%, 02/15/13		370,000		379,468
4.88%, 04/01/13		410,000		422,710
Verizon Communications, Inc.
6.10%, 04/15/18D		290,000		353,748
3.50%, 11/01/21D		565,000		602,738
6.00%, 04/01/41		40,000		50,904
Verizon Global Funding Corporation
4.38%, 06/01/13		140,000		144,812
Wachovia Bank NA
6.60%, 01/15/38		275,000		348,253
Wachovia Capital Trust III
5.57%, 03/29/49†		960,000		920,400
Wachovia Corporation
5.25%, 08/01/14		1,850,000		1,974,499
5.63%, 10/15/16		250,000		282,083
Waste Management, Inc.
7.38%, 05/15/29		140,000		185,965
WEA Finance LLC
7.13%, 04/15/18 144A		400,000		474,399
WellPoint, Inc.
5.88%, 06/15/17D		720,000		850,122
Wells Fargo & Co.
4.38%, 01/31/13		600,000		613,244
3.68%, 06/15/16 STEP		290,000		308,960
2.10%, 05/08/17D		640,000		642,166
4.60%, 04/01/21D		70,000		78,237
7.98%, 03/29/49†D		2,600,000		2,866,500
Wells Fargo Capital X
5.95%, 12/01/86		200,000		202,750
Western Gas Partners LP
4.00%, 07/01/22		275,000		275,562
Williams Cos., Inc.
7.50%, 01/15/31		10,000		12,210
7.75%, 06/15/31		25,000		31,118
8.75%, 03/15/32		451,000		613,670
WPX Energy, Inc.
6.00%, 01/15/22 144AD		130,000		130,000
Xylem, Inc.
3.55%, 09/20/16 144A		350,000		367,754

Total Corporate Bonds (Cost $173,184,481)				185,550,368

FOREIGN BONDS — 14.7%
Argentina — 0.0%
Argentine Republic Government International Bond
0.04%, 12/15/35(E)†		906,000		108,234

Australia — 1.8%
Australia Government Bond
5.50%, 12/15/13(A)		400,000		427,187
4.75%, 06/15/16(A)		7,800,000		8,666,135
BHP Billiton Finance (USA), Ltd.
3.25%, 11/21/21D		940,000		982,958
Commonwealth Bank of Australia
3.75%, 10/15/14 144A		440,000		460,858
5.00%, 10/15/19 144AD		50,000		55,016

See Notes to Financial Statements.


	Par		Value
National Australia Bank, Ltd.
1.19%, 04/11/14 144A†	$	2,000,000	$	2,002,034
Newcrest Finance Proprietary, Ltd.
4.45%, 11/15/21 144A		400,000		411,246
QBE Insurance Group, Ltd.
5.65%, 07/01/23 144A†@		525,000		488,287
Rio Tinto Finance USA, Ltd.
2.50%, 05/20/16		30,000		31,206
3.50%, 11/02/20D		1,180,000		1,257,642
4.13%, 05/20/21		140,000		154,195
3.75%, 09/20/21D		110,000		118,381
Westpac Banking Corporation
1.90%, 12/14/12 144A		1,500,000		1,509,199

				16,564,344

Austria — 0.0%
PE Paper Escrow GmbH
12.00%, 08/01/14 144A		450,000		481,500

Bermuda — 0.1%
Arch Capital Group, Ltd.
7.35%, 05/01/34		175,000		218,890
Endurance Specialty Holdings, Ltd.
6.15%, 10/15/15		150,000		160,714
Weatherford International, Ltd.
9.63%, 03/01/19@		265,000		345,807

				725,411

Canada — 0.5%
Barrick Gold Corporation
3.85%, 04/01/22		130,000		134,865
Canadian Government Bond
2.25%, 08/01/14(C)		3,000,000		3,020,479
Nexen, Inc.
7.50%, 07/30/39		250,000		292,290
Potash Corporation of Saskatchewan, Inc.
4.88%, 03/30/20D		110,000		127,138
PTTEP Canada International Finance, Ltd.
5.69%, 04/05/21 144AD		320,000		338,399
Rogers Communications, Inc.
6.38%, 03/01/14		90,000		98,061
6.75%, 03/15/15		10,000		11,444
TransCanada PipeLines, Ltd.
6.35%, 05/15/67†		400,000		412,329

				4,435,005

Cayman Islands — 0.6%
Petrobras International Finance Co.
3.88%, 01/27/16		250,000		259,360
6.13%, 10/06/16D		271,000		304,435
5.75%, 01/20/20		235,000		258,236
5.38%, 01/27/21		990,000		1,071,943
Resona Preferred Global Securities Cayman, Ltd.
7.19%, 12/29/49 144A†D		985,000		1,014,276
Transocean, Inc.
6.50%, 11/15/20		1,250,000		1,420,189
Vale Overseas, Ltd.
4.38%, 01/11/22		932,000		953,737


	Par		Value
8.25%, 01/17/34D	$	80,000	$	102,891
6.88%, 11/21/36D		511,000		595,292

				5,980,359

Chile — 0.0%
Celulosa Arauco y Constitucion SA
4.75%, 01/11/22D		50,000		51,364
4.75%, 01/11/22 144A		190,000		195,184
Corporacion Nacional del Cobre de Chile
4.75%, 10/15/14 144AD		210,000		224,464

				471,012

Colombia — 0.1%
Colombia Government International Bond
4.38%, 07/12/21		880,000		992,640

Denmark — 0.2%
BRFkredit A/S
2.05%, 04/15/13 144A		1,200,000		1,213,966
FIH Erhvervsbank A/S
2.00%, 06/12/13 144AD		1,000,000		1,012,181

				2,226,147

France — 0.7%
Banque PSA Finance SA
2.36%, 04/04/14 144A†		1,500,000		1,459,616
Cie de Financement Foncier SA
2.13%, 04/22/13 144A		3,500,000		3,520,839
Compagnie Generale de Geophysique - Veritas
9.50%, 05/15/16		250,000		274,375
7.75%, 05/15/17D		155,000		160,522
Credit Agricole SA
2.63%, 01/21/14 144AD		310,000		304,892
8.38%, 10/29/49 144A†D		980,000		815,850

				6,536,094

Germany — 1.5%
Bundesschatzanweisungen
0.75%, 09/13/13(E)		8,900,000		11,354,979
State of North Rhine-Westphalia
1.63%, 09/17/14D		2,500,000		2,523,470

				13,878,449

Iceland — 0.0%
Glitnir Banki HF
6.69%, 06/15/16+ 144A#D		1,000,000		10
7.45%, 03/29/49+ 144A#		100,000		1
Kaupthing Bank HF
7.13%, 05/19/16+ 144A#		350,000		3
Landsbanki Islands HF
6.10%, 08/25/11 144A#@		1,500,000		82,500

				82,514

India — 0.4%
ICICI Bank, Ltd.
2.22%, 02/24/14 144A†		3,400,000		3,297,973
6.38%, 04/30/22†		110,000		99,000
6.38%, 04/30/22 144A†		418,000		376,200

				3,773,173

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Indonesia — 0.1%
Indonesia Government International Bond
8.50%, 10/12/35D	$	330,000	$	485,925
Ireland — 0.1%
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC
8.38%, 04/30/13 144A		120,000		124,622
6.49%, 02/02/16 144A		230,000		229,885
7.75%, 02/02/21 144A		200,000		193,648

				548,155

Italy — 0.4%
Intesa Sanpaolo SpA
2.87%, 02/24/14 144A†		3,400,000		3,194,174
3.63%, 08/12/15 144A		290,000		261,171

				3,455,345

Japan — 0.2%
Bank of Tokyo-Mitsubishi UFJ, Ltd.
3.85%, 01/22/15 144AD		330,000		348,569
Mitsui Sumitomo Insurance Co., Ltd.
7.00%, 03/15/72 144A†D		200,000		207,088
Resona Bank, Ltd.
5.85%, 09/29/49 144A†@D		250,000		257,434
Sumitomo Mitsui Banking Corporation
3.15%, 07/22/15 144A		640,000		672,643

				1,485,734

Jersey — 0.1%
HSBC Capital Funding LP
4.61%, 12/29/49 144A†		800,000		757,851
QBE Capital Funding III, Ltd.
7.25%, 05/24/41 144A†		200,000		175,000
UBM PLC
5.75%, 11/03/20 144A		260,000		268,039

				1,200,890

Luxembourg — 0.6%
Fiat Finance & Trade SA
9.00%, 07/30/12(E)		700,000		888,855
Gazprom OAO Via Gaz Capital SA
9.25%, 04/23/19		290,000		363,164
6.51%, 03/07/22 144A		3,100,000		3,452,656
Intelsat Jackson Holdings SA
7.50%, 04/01/21		500,000		531,250
TNK-BP Finance SA
7.50%, 07/18/16		190,000		212,097

				5,448,022

Malaysia — 0.1%
Malaysia Government Bond
3.84%, 08/12/15(R)		2,280,000		734,367
4.26%, 09/15/16(R)		650,000		213,721

				948,088


	Par		Value
Mexico — 0.9%
America Movil SAB de CV
5.63%, 11/15/17D	$	270,000	$	318,784
5.00%, 03/30/20D		240,000		273,755
Mexican Bonos
8.00%, 06/11/20(M)		32,757,000		2,912,212
6.50%, 06/09/22(M)		24,040,000		1,956,206
10.00%, 12/05/24(M)		3,487,200		366,938
7.75%, 11/13/42(M)		11,008,600		922,522
Mexico Cetes
4.24%, 09/20/12(M)W†		69,800,000		518,007
Mexico Government International Bond
6.75%, 09/27/34		601,000		823,370
6.05%, 01/11/40		134,000		173,530
Petroleos Mexicanos
5.50%, 01/21/21		370,000		419,950

				8,685,274

Netherlands — 1.1%
Achmea Hypotheekbank NV
3.20%, 11/03/14 144A		1,216,000		1,269,159
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
3.38%, 01/19/17D		170,000		175,145
4.50%, 01/11/21D		2,000,000		2,125,728
11.00%, 12/29/49 144A†		687,000		868,746
Deutsche Telekom International Finance BV
5.75%, 03/23/16		510,000		572,392
ING Bank NV
3.90%, 03/19/14 144A		500,000		524,973
Shell International Finance BV
4.38%, 03/25/20		700,000		816,486
Volkswagen International Finance NV
0.91%, 10/01/12 144A†		1,900,000		1,901,376
1.21%, 03/21/14 144A†		100,000		100,088
1.07%, 04/01/14 144A†D		1,500,000		1,497,675

				9,851,768

Norway — 0.8%
DNB Boligkreditt AS
2.10%, 10/14/15 144A		1,300,000		1,327,753
2.90%, 03/29/16 144A		3,000,000		3,125,619
Sparebank 1 Boligkreditt AS
2.63%, 05/27/16 144A		1,600,000		1,646,464
2.30%, 06/30/17 144AD		1,000,000		1,005,739

				7,105,575

Portugal — 0.1%
Obrigacoes do Tesouro
2.17%, 05/16/47(E)		774,882		980,261

Russia — 0.0%
Russian Foreign Bond
4.50%, 04/04/22 144AD		200,000		210,022

South Africa — 0.1%
South Africa Government Bond
7.25%, 01/15/20(S)		338,570		41,678
6.75%, 03/31/21(S)D		2,384,629		281,968
10.50%, 12/21/26(S)		4,579,177		680,896

				1,004,542

See Notes to Financial Statements.


	Par		Value
South Korea — 0.4%
Export-Import Bank of Korea
5.25%, 02/10/14 144A	$	235,000	$	247,291
Hyundai Capital Services, Inc.
4.38%, 07/27/16 144A		3,400,000		3,576,640

				3,823,931

Spain — 0.1%
BBVA US Senior SA Unipersonal
3.25%, 05/16/14D		560,000		538,982
Santander US Debt SA Unipersonal
3.72%, 01/20/15 144A		500,000		465,333
3.78%, 10/07/15 144AD		100,000		93,437
Telefonica Emisiones SA Unipersonal
5.88%, 07/15/19D		70,000		62,698
5.13%, 04/27/20D		140,000		120,780

				1,281,230

Sweden — 0.9%
Nordea Bank AB
1.37%, 01/14/14 144A†		3,400,000		3,401,904
3.70%, 11/13/14 144A		200,000		208,130
4.88%, 05/13/21 144A		640,000		624,682
Stadshypotek AB
1.45%, 09/30/13 144AD		4,000,000		4,032,288
Swedbank Hypotek AB
0.91%, 03/28/14 144A†		200,000		198,579

				8,465,583

Switzerland — 0.1%
Credit Suisse
6.00%, 02/15/18		100,000		107,124
UBS AG
2.25%, 01/28/14D		710,000		713,906

				821,030

United Kingdom — 2.1%
Abbey National Treasury Services PLC
3.88%, 11/10/14 144A		2,900,000		2,858,588
2.61%, 02/16/15(U)†		200,000		314,513
Bank of Scotland PLC
5.25%, 02/21/17 144A		500,000		553,190
Barclays Bank PLC
1.51%, 01/13/14†		2,800,000		2,804,222
6.05%, 12/04/17 144A		230,000		233,467
BP Capital Markets PLC
5.25%, 11/07/13		940,000		996,354
3.88%, 03/10/15D		310,000		332,411
3.20%, 03/11/16D		275,000		292,747
4.50%, 10/01/20		725,000		817,654
3.56%, 11/01/21D		50,000		52,709
3.25%, 05/06/22		225,000		233,453
GlaxoSmithKline Capital PLC
2.85%, 05/08/22		400,000		407,754
HSBC Holdings PLC
6.80%, 06/01/38		250,000		287,276
Lloyds TSB Bank PLC
2.82%, 01/24/14†		3,400,000		3,420,369


	Par		Value
6.38%, 01/21/21	$	320,000	$	363,258
12.00%, 12/29/49 144A†		3,200,000		3,379,004
Royal Bank of Scotland PLC
4.88%, 08/25/14 144A		425,000		437,181
3.95%, 09/21/15D		560,000		570,829
Royal Bank of Scotland Group PLC
5.00%, 10/01/14D		100,000		100,431
5.05%, 01/08/15D		100,000		99,904
6.40%, 10/21/19D		160,000		170,867
7.64%, 03/29/49†		200,000		135,000
WPP Finance UK
8.00%, 09/15/14		336,000		379,127

				19,240,308

Venezuela — 0.1%
Venezuela Government International Bond
12.75%, 08/23/22D		600,000		579,000
8.25%, 10/13/24		410,000		295,323
7.65%, 04/21/25		270,000		187,650
11.75%, 10/21/26		90,000		80,325
9.25%, 05/07/28		120,000		91,800
11.95%, 08/05/31		30,000		26,850

				1,260,948

Virgin Islands (British) — 0.5%
Gerdau Trade, Inc.
5.75%, 01/30/21 144AD		4,000,000		4,166,000
Sinopec Group Overseas Development 2012, Ltd.
2.75%, 05/17/17 144A		230,000		234,471

				4,400,471

Total Foreign Bonds (Cost $135,538,271)				136,957,984

MORTGAGE-BACKED SECURITIES — 40.8%
ABN Amro Mortgage Corporation
5.50%, 06/25/33 IOW		12,526		321
American Home Mortgage Assets LLC
1.07%, 11/25/46†		1,230,456		509,038
Banc of America Large Loan, Inc.
5.67%, 02/17/51 144A†		100,000		110,495
Banc of America Merrill Lynch Commercial Mortgage, Inc.
4.73%, 07/10/43		57,000		59,259
5.92%, 05/10/45†		420,000		478,830
5.42%, 09/10/45†		117,000		126,354
5.82%, 04/10/49†		75,000		76,132
Bank of America Mortgage Securities, Inc.
2.97%, 07/25/34†		230,973		207,944
Bear Stearns Adjustable Rate Mortgage Trust
5.68%, 02/25/33†		47,027		46,651
5.32%, 05/25/34†		280,121		267,124
2.57%, 03/25/35†		1,029,760		1,004,430
Bear Stearns Alt-A Trust
0.89%, 04/25/34†		85,821		76,484
2.88%, 05/25/35†		508,484		435,213
2.88%, 09/25/35†		745,229		510,482

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Bear Stearns Commercial Mortgage Securities
5.91%, 06/11/40†	$	75,000	$	79,092
Bear Stearns Structured Products, Inc.
2.85%, 01/26/36†		1,272,701		753,262
Chase Mortgage Finance Corporation
2.94%, 02/25/37†		195,390		191,795
Commercial Mortgage Pass-Through Certificates
4.93%, 02/10/44†		125,000		129,594
4.06%, 12/10/44		200,000		202,093
5.82%, 12/10/44†		100,000		98,898
5.35%, 12/10/46		50,000		51,092
Countrywide Alternative Loan Trust
5.50%, 10/25/33		116,673		122,642
0.56%, 11/20/35†		918,243		522,757
0.57%, 11/20/35†		1,742,307		1,004,090
0.52%, 01/25/36†		541,812		364,842
0.52%, 02/25/36†		1,359,341		763,250
0.44%, 09/25/46†		1,224,993		647,409
Countrywide Home Loan Mortgage Pass-Through Trust
2.74%, 02/19/34†		1,057,209		1,008,153
0.67%, 11/25/34 144A†		20,668		16,345
0.61%, 03/25/35 144A†		83,678		65,552
0.49%, 03/25/36†		375,574		241,156
Credit Suisse Mortgage Capital Certificates
5.38%, 02/15/40		1,550,000		1,626,207
CS First Boston Mortgage Securities Corporation
5.25%, 07/25/33 IO@		41,092		3,542
0.00%, 07/25/33+ IOW†@		133,893		—
0.00%, 08/25/33+ IOW†@		175,336		3
DBUBS Mortgage Trust
1.64%, 08/10/44 144A†		1,308,344		69,282
Federal Home Loan Mortgage Corporation
7.00%, 11/01/14		4,634		4,872
7.00%, 04/01/15		6,845		7,197
7.00%, 12/01/15		7,415		7,631
8.50%, 06/01/16		8,077		8,077
8.50%, 06/01/18		3,408		3,819
4.50%, 09/01/18		12,517		13,628
8.00%, 08/01/24		2,110		2,537
4.00%, 10/01/25		1,300,000		1,374,631
2.50%, 07/01/27 TBA		4,400,000		4,522,375
3.00%, 07/01/27 TBA		3,000,000		3,136,406
7.50%, 11/01/29		8,603		10,490
7.50%, 12/01/29		14,405		17,548
7.50%, 02/01/31		27,932		32,917
2.41%, 07/01/31†		26,825		27,092
2.36%, 08/01/31†		3,439		3,568
7.50%, 11/01/31		9,751		9,910
3.10%, 04/01/32†		2,990		3,200
2.47%, 03/01/34†		4,476		4,759
5.00%, 12/01/34		50,631		54,727
5.50%, 05/01/35		787,712		861,811
5.00%, 11/01/35		844,915		910,760
5.50%, 11/01/35		188,596		206,219
5.00%, 12/01/35		56,928		63,064


	Par		Value
5.50%, 01/01/36	$	124,547	$	136,937
6.00%, 02/01/36		809,129		891,933
3.08%, 01/01/37†		674,174		714,236
6.00%, 04/01/37		6,857		7,656
5.50%, 07/01/37		233,731		257,178
6.00%, 07/01/37		1,911		2,134
5.47%, 09/01/37†		231,210		245,250
6.00%, 09/01/37		81,426		90,826
5.50%, 04/01/38		82,494		89,764
6.00%, 07/01/38		31,065		34,685
6.00%, 12/01/38		85,823		95,824
6.00%, 01/01/39		44,818		50,040
6.50%, 09/01/39		232,249		262,015
4.50%, 03/01/41		13,273		14,218
3.50%, 07/01/41 TBA		4,800,000		5,035,500
4.00%, 07/01/41 TBA		1,100,000		1,167,203
4.00%, 05/01/42		1,000,000		1,080,205
4.50%, 06/01/42		300,000		330,470
3.50%, 07/01/42		600,000		630,539
4.50%, 07/12/42 TBA		500,000		533,984
Federal Home Loan Mortgage Corporation REMIC
2.36%, 04/15/22 POW†		12,100		11,231
6.00%, 05/15/36		719,602		842,614
0.74%, 06/15/37†		987,478		989,361
20.08%, 04/15/39 IOW†		1,800,000		383,814
10.22%, 01/15/40 IOW†		1,296,775		185,874
0.38%, 06/15/42 IOW†		100,000		22,807
Federal Housing Administration
8.70%, 10/01/18+@		101,457		106,057
Federal National Mortgage Association
8.00%, 06/01/15		14,093		14,797
8.00%, 07/01/15		6,619		6,638
8.00%, 09/01/15		13,829		14,808
3.07%, 12/01/17		975,999		1,036,022
5.00%, 12/01/17		32,169		34,760
2.80%, 03/01/18		585,689		619,259
3.74%, 05/01/18		1,380,029		1,509,950
3.84%, 05/01/18		420,000		461,928
4.51%, 06/01/19		1,000,000		1,131,119
3.42%, 10/01/20		294,289		317,924
3.63%, 12/01/20		196,310		214,676
3.76%, 12/01/20		1,277,655		1,406,035
9.50%, 05/01/22		1,759		2,037
2.47%, 07/01/22†		8,171		8,212
5.50%, 09/01/23		250,825		274,524
5.50%, 10/01/23		44,441		48,696
9.50%, 07/01/24		3,560		4,136
5.50%, 05/01/25		1,488,083		1,621,724
3.50%, 07/01/26 TBA		13,000,000		13,735,312
4.00%, 07/01/26 TBA		10,000,000		10,634,375
2.41%, 07/01/27†		22,329		22,963
2.50%, 07/01/27 TBA		14,300,000		14,733,469
3.00%, 07/16/27 TBA		7,800,000		8,171,718
2.50%, 07/17/27		11,000,000		11,333,437
2.27%, 08/01/27†		51,394		54,515
2.41%, 11/01/27†		32,478		33,294
5.50%, 04/01/29		193		212
2.76%, 02/01/30†		146,002		155,263
2.51%, 06/01/30†		18,687		18,785
8.00%, 10/01/30		34,044		42,103
2.63%, 12/01/30†		6,890		7,358

See Notes to Financial Statements.


	Par		Value
2.41%, 01/01/31†	$	7,630	$	7,843
4.50%, 04/01/31		248,584		269,521
2.32%, 05/01/31†		16,311		16,532
4.50%, 05/01/31		828,559		898,343
4.50%, 06/01/31		248,028		268,918
4.00%, 10/01/31		68,802		74,095
4.50%, 11/01/31		286,230		310,337
6.00%, 11/01/31		9,377		10,559
4.50%, 12/01/31		388,385		421,096
6.00%, 01/01/32		69,196		77,919
6.00%, 03/01/32		42,013		47,310
6.00%, 04/01/32		373,604		419,365
2.41%, 06/01/32†		9,091		9,270
2.47%, 08/01/32†		22,127		22,957
2.25%, 02/01/33†		3,018		3,081
2.47%, 05/01/33†		59,886		62,450
6.00%, 05/01/33		5,110		5,754
5.00%, 07/01/33		155,664		169,388
5.00%, 08/01/33		13,666		15,052
5.00%, 09/01/33		190,298		207,076
5.50%, 09/01/33		5,139		5,672
6.00%, 12/01/33		2,646		2,979
5.50%, 02/01/34		6,750		7,450
5.50%, 04/01/34		1,105		1,227
5.50%, 08/01/34		9,935		11,038
5.50%, 10/01/34		499		554
6.00%, 10/01/34		68,477		77,006
2.27%, 12/01/34†		346,171		364,981
5.50%, 12/01/34		61,515		67,898
6.00%, 12/01/34		1,050		1,172
6.00%, 01/01/35		577,090		641,476
6.00%, 05/01/35		2,073,147		2,293,676
5.50%, 07/01/35		447		497
6.00%, 07/01/35		436,318		482,730
5.50%, 08/01/35		1,057		1,174
6.00%, 08/01/35		384		424
5.50%, 09/01/35		244,737		269,033
5.00%, 10/01/35		503,524		547,918
6.00%, 10/01/35		95,037		105,632
2.11%, 11/01/35†		160,017		167,228
2.12%, 11/01/35†		139,500		145,714
2.12%, 11/01/35†		125,412		130,766
2.13%, 11/01/35†		178,853		186,868
2.14%, 11/01/35†		115,355		120,462
2.41%, 11/01/35†		19,298		19,784
6.00%, 11/01/35		966,920		1,083,482
5.50%, 12/01/35		4,718		5,242
6.00%, 12/01/35		22,148		24,677
6.00%, 02/01/36		13,705		15,270
6.00%, 03/01/36		18,307		20,398
5.50%, 04/01/36		238,364		256,988
6.00%, 04/01/36		19,632		21,874
3.95%, 05/01/36†		223,665		237,817
4.50%, 07/01/36		825,630		887,040
6.00%, 10/01/36		2,781		3,064
5.50%, 11/01/36		610,266		666,719
6.00%, 12/01/36		288		318
6.00%, 01/01/37		61,681		67,972
2.12%, 02/01/37†		852,114		893,539
5.50%, 02/01/37		776		857
5.50%, 03/01/37		32,147		35,262
5.50%, 04/01/37		1,098		1,205
6.00%, 04/01/37		5,268		5,806
5.50%, 05/01/37		1,603		1,769


	Par		Value
6.00%, 05/01/37	$	6,830	$	7,526
5.50%, 06/01/37		579		639
6.00%, 06/01/37		412		454
6.00%, 07/01/37		4,039,814		4,501,031
6.50%, 10/01/37		255,518		290,324
7.00%, 10/01/37		43,477		50,603
6.00%, 11/01/37		4,334		4,776
7.00%, 11/01/37		17,153		19,964
2.41%, 12/01/37†		98,171		102,191
6.00%, 12/01/37		664		731
7.00%, 12/01/37		18,432		21,453
2.41%, 01/01/38†		46,897		48,765
6.00%, 01/01/38		6,816		7,510
5.50%, 02/01/38		696		768
6.00%, 02/01/38		17,985		19,779
7.00%, 02/01/38		18,881		21,976
4.50%, 03/01/38		38,017		40,798
5.50%, 03/01/38		1,995		2,201
6.00%, 03/01/38		3,707		4,081
4.50%, 04/01/38		1,153,438		1,237,789
6.00%, 04/01/38		1,516		1,668
5.50%, 05/01/38		416		459
6.00%, 05/01/38		183		201
5.50%, 06/01/38		2,317		2,555
5.00%, 07/01/38 TBA		11,000,000		11,904,062
5.50%, 07/01/38		274,125		302,566
5.50%, 08/01/38		397,837		439,112
7.00%, 08/01/38		36,140		42,064
5.50%, 09/01/38		1,284		1,417
6.00%, 11/01/38		315,928		348,153
7.00%, 11/01/38		188,371		219,250
5.50%, 12/01/38		891		984
7.00%, 02/01/39		64,505		75,077
4.00%, 04/01/39		173,139		184,510
4.00%, 05/01/39		144,776		154,284
4.00%, 06/01/39		31,907		34,002
4.50%, 07/01/39		939,070		1,007,744
4.00%, 08/01/39		65,124		69,401
4.50%, 08/01/39		587,046		629,977
4.00%, 08/13/39 TBA		8,000,000		8,498,750
6.00%, 12/01/39		2,510,385		2,766,442
4.50%, 01/01/40		400,784		430,093
4.50%, 05/01/40		948,673		1,021,015
1.55%, 06/01/40†		76,482		78,354
4.00%, 07/01/40		5,300,000		5,640,360
4.50%, 07/01/40		449,457		483,730
4.00%, 08/01/40		1,199,861		1,279,035
4.50%, 08/01/40		4,140,638		4,450,460
4.00%, 09/01/40		2,471,054		2,634,109
4.50%, 09/01/40		1,517,817		1,645,617
1.55%, 10/01/40†		217,083		222,317
4.00%, 10/01/40		727,345		775,339
4.50%, 10/01/40		996,785		1,072,795
2.41%, 11/01/40†		38,227		40,036
4.00%, 11/01/40		2,569,804		2,739,375
4.50%, 11/01/40		180,686		194,464
4.00%, 12/01/40		2,983,102		3,179,945
4.00%, 01/01/41		636,286		678,272
4.50%, 01/01/41		1,579,662		1,700,119
4.00%, 02/01/41		26,333		28,079
4.50%, 02/01/41		862,644		930,043
5.00%, 02/01/41		521,137		566,759
4.00%, 03/01/41		546,777		583,027
4.50%, 03/01/41		792,457		853,602

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
4.50%, 04/01/41	$	1,735,274	$	1,870,851
4.50%, 05/01/41		1,915,352		2,064,999
5.00%, 05/01/41		433,032		468,776
4.50%, 06/01/41		687,251		740,946
5.00%, 06/01/41		64,250		69,554
4.00%, 07/01/41		181,714		193,762
4.00%, 07/14/41		2,000,000		2,128,438
3.50%, 08/01/41 TBA		33,000,000		34,593,283
4.00%, 08/01/41		87,219		93,002
4.50%, 08/01/41		215,602		232,447
3.50%, 08/11/41		31,000,000		32,496,720
4.00%, 09/01/41		332,907		354,978
4.50%, 09/01/41		927,248		999,694
4.00%, 10/01/41		1,701,789		1,814,615
4.50%, 10/01/41		54,426		58,679
5.00%, 10/01/41		2,978,944		3,242,988
4.00%, 11/01/41		2,938,387		3,133,198
4.50%, 11/01/41		952,925		1,034,709
4.00%, 12/01/41		2,425,808		2,586,636
4.00%, 01/01/42		106,406		113,633
4.50%, 04/01/42		199,419		214,564
4.00%, 05/01/42		400,000		431,894
4.00%, 06/01/42		1,100,000		1,187,710
3.00%, 07/01/42 TBA		7,900,000		8,101,204
3.00%, 07/12/42		4,000,000		4,101,875
6.50%, 07/25/42		1,180,000		1,375,389
3.00%, 08/01/42 TBA		3,000,000		3,068,438
Federal National Mortgage Association Interest Strip
3.00%, 04/25/27 IO		1,000,000		107,180
4.50%, 11/25/39 IO		300,000		36,195
3.50%, 11/25/41 IO		600,000		99,648
4.00%, 04/25/42 IO		1,500,000		235,050
Federal National Mortgage Association REMIC
13.67%, 08/25/21 IOW		118		2,976
6.97%, 10/25/21 IOW		168		3,115
0.85%, 05/25/30†		546,460		547,074
0.69%, 10/18/30†		31,153		31,220
7.92%, 11/25/37 IOW†		36,560		6,146
5.10%, 03/25/39 IOW†		598,436		141,098
6.50%, 06/25/39		100,000		112,313
10.11%, 10/25/40 IOW†		581,810		84,979
4.74%, 12/25/40 IOW†		475,955		75,444
8.25%, 01/25/41 IOW†		580,738		95,319
5.50%, 07/25/41		845,126		1,004,910
9.21%, 07/25/41 IOW†		755,966		117,878
0.80%, 09/25/41†		6,716,424		6,726,634
5.70%, 09/25/41 IOW†		1,324,365		206,129
6.30%, 10/25/41 IOW†		1,652,288		311,654
3.95%, 03/25/42 IOW†		479,106		111,244
6.40%, 03/25/42 IOW†		600,000		145,079
6.50%, 03/25/42		300,000		355,112
10.22%, 03/25/42 IOW†		200,000		44,262
5.50%, 04/25/42		2,800,000		3,166,320
6.00%, 05/25/42		900,000		1,020,322
8.53%, 06/25/42 IOW†		1,083,620		198,366
12.57%, 07/25/42 IOW†		200,000		41,491
FFCA Secured Lending Corporation
1.08%, 09/18/27 144A†@		724,807		29,615
FHLMC Multifamily Structured Pass Through Certificates
5.37%, 02/25/18 IOW†		5,497,336		394,992


	Par		Value
2.70%, 05/25/18	$	800,000	$	846,806
5.29%, 05/25/18 IOW†		1,971,068		194,104
5.36%, 08/25/18 IOW†		759,226		76,056
2.30%, 09/25/18		600,000		619,994
2.32%, 10/25/18		700,000		723,793
2.09%, 03/25/19		800,000		815,192
4.32%, 11/25/19		1,100,000		1,253,865
5.13%, 01/25/20 IOW†		3,869,634		237,472
5.13%, 04/25/20 IOW†		2,575,781		178,553
5.27%, 06/25/20 IOW†		2,196,255		212,335
5.45%, 08/25/20 IOW†		1,289,709		109,401
5.07%, 04/25/21 IOW†		863,532		72,989
5.11%, 07/25/21 IOW†		1,444,920		164,373
5.11%, 10/25/21 IOW†		910,595		100,003
5.18%, 12/25/21 IOW†		748,946		74,994
FHLMC Multifamily VRD Certificates
5.50%, 08/15/51 STEP		3,500,000		3,920,850
FHLMC Structured Pass-Through Securities
1.53%, 07/25/44†		1,605,474		1,668,188
First Horizon Alternative Mortgage Securities
2.59%, 06/25/34†		790,572		699,420
FREMF Mortgage Trust
4.16%, 11/25/44 144A†		300,000		283,380
4.50%, 12/25/44 144A†		200,000		191,649
4.02%, 01/25/47 144A†		225,000		193,752
General Electric Capital Commercial Mortgage Corporation
5.54%, 12/10/49		90,000		98,406
Government National Mortgage Association
3.95%, 07/15/25		178,957		194,464
7.00%, 10/15/25		52,586		62,155
7.00%, 01/15/26		11,412		13,554
7.00%, 07/15/27		93,267		110,375
7.00%, 12/15/27		1,395		1,664
7.00%, 01/15/28		16,729		16,895
7.00%, 03/15/28		121,554		144,735
7.00%, 07/15/28		18,235		21,835
7.50%, 07/15/28		13,892		14,406
6.50%, 08/15/28		9,984		11,666
7.00%, 08/15/28		26,650		31,911
7.50%, 08/15/28		11,313		13,727
6.50%, 09/15/28		41,522		48,517
7.00%, 10/15/28		41,339		49,501
7.50%, 03/15/29		32,741		39,569
7.50%, 11/15/29		22,425		23,531
1.63%, 11/20/29†		54,807		56,785
8.50%, 08/15/30		2,234		2,799
8.50%, 11/20/30		13,853		17,328
6.50%, 08/15/31		91,043		104,418
7.50%, 08/15/31		17,435		20,974
6.50%, 10/15/31		140,883		162,204
6.00%, 11/15/31		436,028		490,017
6.50%, 11/15/31		212,795		244,057
6.00%, 12/15/31		99,508		111,830
6.00%, 01/15/32		163,107		185,175
6.00%, 02/15/32		267,605		300,740
6.50%, 02/15/32		278,813		323,815
6.00%, 04/15/32		125,831		142,947
7.50%, 04/15/32		77,849		81,602
6.50%, 06/15/32		144,850		166,130

See Notes to Financial Statements.


	Par		Value
6.50%, 07/15/32	$	3,744	$	4,294
6.50%, 08/15/32		317,195		363,794
6.50%, 09/15/32		292,473		335,440
6.00%, 10/15/32		234,210		263,210
6.00%, 11/15/32		221,302		249,344
6.00%, 12/15/32		84,826		95,330
6.50%, 12/15/32		23,312		26,737
6.00%, 01/15/33		109,282		122,814
6.00%, 02/15/33		89,424		100,497
6.50%, 03/15/33		14,592		16,736
6.50%, 04/15/33		636,645		730,174
6.00%, 05/15/33		514,310		577,992
6.00%, 06/15/33		67,676		76,056
6.00%, 10/15/33		288,524		324,249
6.50%, 10/15/33		184,454		211,552
6.00%, 12/15/33		389,239		437,435
6.50%, 08/15/34		563,396		654,898
7.40%, 02/16/36 IOW†		1,058,587		136,607
7.93%, 12/16/36 IOW†		333,312		48,842
0.54%, 03/20/37†		1,719,607		1,715,720
0.54%, 05/20/37†		747,765		746,071
8.81%, 05/20/37 IOW†		705,377		106,113
5.50%, 07/01/38 TBA		800,000		887,875
6.00%, 09/20/38		1,320,092		1,480,559
5.26%, 11/20/38 IOW†		418,068		61,612
9.23%, 03/20/39 IOW†		235,620		34,218
5.00%, 07/01/39 TBA		200,000		220,875
5.00%, 10/20/39		1,026,667		1,137,188
12.12%, 01/20/40 IOW†		283,288		43,619
5.45%, 02/16/40 IOW†		255,329		50,087
4.50%, 03/15/40		506,268		555,310
9.72%, 03/20/40 IOW†		231,831		36,997
10.01%, 03/20/40 IOW†		1,526,088		241,488
5.00%, 07/20/40		73,582		81,592
5.00%, 08/20/40		1,048,545		1,161,750
5.00%, 09/20/40		290,107		321,428
9.75%, 09/20/40 IOW†		507,259		79,753
9.80%, 09/20/40 IOW†		582,770		90,818
6.00%, 10/20/40		142,351		160,456
6.00%, 01/20/41		149,944		169,014
9.79%, 01/20/41 IOW†		305,541		46,654
3.74%, 03/16/41 IOW†		152,073		20,790
9.56%, 03/20/41 IOW†		235,176		36,136
4.00%, 07/01/41 TBA		1,100,000		1,201,234
4.50%, 07/01/41 TBA		6,700,000		7,364,765
3.00%, 07/01/42 TBA		1,000,000		1,037,812
3.50%, 07/01/42 TBA		3,900,000		4,169,140
3.00%, 08/20/42 TBA		7,000,000		7,250,468
0.64%, 12/20/60†		503,639		499,521
0.72%, 03/20/61†		579,117		577,277
0.74%, 03/20/61†		384,859		384,046
Granite Mortgages PLC
1.12%, 01/20/44(E)†		225,964		277,323
Greenpoint Mortgage Funding Trust
0.43%, 01/25/37†		1,089,530		519,380
Greenwich Capital Commercial Funding Corporation
6.07%, 07/10/38†		1,307,000		1,472,893
GS Mortgage Securities Corporation II
3.55%, 04/01/34 144A		116,000		119,913
5.17%, 08/10/44 144AW†		475,844		42,741


	Par		Value
GSMPS Mortgage Loan Trust
0.48%, 02/25/35 144A†	$	151,375	$	125,862
GSR Mortgage Loan Trust
2.65%, 09/25/35†		628,613		611,073
Impac CMB Trust
0.97%, 10/25/34†@		93,224		59,868
0.51%, 11/25/35†		930,582		562,654
Indymac ARM Trust
1.72%, 01/25/32†		7,939		6,387
Indymac Index Mortgage Loan Trust
0.44%, 09/25/46†		1,224,981		724,576
JP Morgan Alternative Loan Trust
0.51%, 01/25/36†		533,197		396,804
JP Morgan Chase Commercial Mortgage Securities Corporation
5.44%, 05/15/45		101,000		108,415
5.34%, 05/15/47		155,000		171,484
JP Morgan Mortgage Trust
5.01%, 02/25/35†		329,549		329,813
LB-UBS Commercial Mortgage Trust
8.00%, 06/15/36 144AW†@		633,046		595
5.42%, 02/15/40		29,000		32,718
Luminent Mortgage Trust
0.42%, 12/25/36†		2,831,663		1,649,446
0.45%, 02/25/46†		842,185		450,316
MASTR Adjustable Rate Mortgages Trust
2.75%, 05/25/34†		261,294		231,872
0.89%, 11/25/34†		585,161		537,653
2.84%, 11/25/35 144A†		1,004,193		547,438
Merrill Lynch/Countrywide Commercial Mortgage Trust
6.16%, 08/12/49†		150,000		164,923
MLCC Mortgage Investors, Inc.
0.93%, 04/25/28†		446,305		418,143
1.10%, 11/25/29†		369,277		350,075
Morgan Stanley Capital I, Inc.
5.48%, 02/12/44†		50,000		52,561
Permanent Master Issuer PLC
1.87%, 07/15/42 144A†		1,000,000		1,005,362
Prime Mortgage Trust
5.50%, 05/25/35 144A		3,740,978		3,273,712
6.00%, 05/25/35 144A		3,221,741		2,902,325
Sequoia Mortgage Trust
1.12%, 07/20/33†		197,521		174,154
Structured Adjustable Rate Mortgage Loan Trust
0.59%, 08/25/35†		377,095		310,387
Structured Asset Mortgage Investments, Inc.
0.49%, 07/19/35†		198,798		150,768
Structured Asset Securities Corporation
0.60%, 06/25/35 144A†		208,467		160,884
Wachovia Bank Commercial Mortgage Trust
5.31%, 11/15/48		105,000		118,170
Washington Mutual Mortgage Pass-Through Certificates
2.45%, 02/25/33†		15,536		13,850

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
2.55%, 02/25/37†	$	782,805	$	504,361
5.18%, 02/25/37†		557,180		389,971
1.55%, 06/25/42†		31,993		25,895
0.54%, 07/25/45†		339,789		275,704
0.54%, 10/25/45†		427,741		342,448
0.92%, 04/25/47†		1,256,879		886,101
Wells Fargo Alternative Loan Trust
5.92%, 12/28/37†		1,582,542		1,056,093
Wells Fargo Mortgage-Backed Securities Trust
2.75%, 08/25/33†		440,214		442,528
WF-RBS Commercial Mortgage Trust
5.48%, 02/15/44 144AW†		1,572,953		82,936
5.70%, 06/15/45 144AW†		330,000		35,440

Total Mortgage-Backed Securities (Cost $382,806,973)				379,564,011

MUNICIPAL BONDS — 2.4%
Alameda County Joint Powers Authority, Revenue Bond, Series Z
7.05%, 12/01/44		3,300,000		4,156,878
American Municipal Power, Inc., Hydroelectric Project, Revenue Bond, Series B
8.08%, 02/15/50		300,000		430,773
American Municipal Power, Inc., Revenue Bond, Series E
6.27%, 02/15/50		290,000		333,970
Chicago Transit Authority, Revenue Bond, Series A
6.90%, 12/01/40		1,800,000		2,144,484
City of San Francisco CA Public Utilities Commission, Revenue Bond, Series DE
6.00%, 11/01/40		110,000		138,227
Cook County, General Obligation, Series D
6.23%, 11/15/34		50,000		55,132
Illinois Finance Authority, Revenue Bond, Series B
5.75%, 07/01/33		1,800,000		2,091,978
Los Angeles Community College District, General Obligation
6.75%, 08/01/49		300,000		397,749
Los Angeles Community College District, General Obligation, Series D
6.68%, 08/01/36		300,000		392,286
Los Angeles Department of Water & Power, Revenue Bond
6.57%, 07/01/45		200,000		288,300
Municipal Electric Authority of Georgia, Revenue Bond, Series B
6.64%, 04/01/57		230,000		267,076
6.66%, 04/01/57		130,000		149,131
Pennsylvania Higher Education Assistance Agency, Student Loan, Revenue Bond, Sub-Series HH-10
0.23%, 05/01/46†		2,150,000		1,989,107


	Par		Value
Santa Clara Valley Transportation Authority, Revenue Bond
5.88%, 04/01/32	$	310,000	$	381,092
State of California, General Obligation
7.95%, 03/01/36		165,000		195,400
7.55%, 04/01/39		385,000		495,464
7.30%, 10/01/39		360,000		447,275
State of Illinois, General Obligation
3.32%, 01/01/13		6,500,000		6,584,630
5.67%, 03/01/18		10,000		11,105
5.88%, 03/01/19		270,000		299,673
7.35%, 07/01/35		375,000		436,170
University of California, Revenue Bond, Series AD
4.86%, 05/15/12		290,000		297,758

Total Municipal Bonds (Cost $20,562,576)				21,983,658

	Number of Contracts
PURCHASED OPTIONS — 0.0%
Call Options — 0.0%
August 2012 Long U.S. Treasury Bond, Strike Price $152.00 , Expires 08/24/12 (JPM)		13		12,391
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $150.00, Expires 08/24/12 (MLCS)		13		11,172

				23,563

Put Options — 0.0%
December 2012 3-Year Eurodollar Midcurve Futures, Strike Price $97.25, Expires 12/14/12 (MLCS)		37		1,619
December 2012 3-Year Eurodollar Midcurve Futures, Strike Price $98.25, Expires 12/14/12 (MLCS)		37		7,862
December 2012 90-Day Eurodollar Futures, Strike Price $98.75, Expires 12/14/12 (MLCS)		145		14,500
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $129.50, Expires 08/24/12 (JPM)		17		2,125
September 2012 90-Day Eurodollar Futures, Strike Price $99.375, Expires 09/17/12 (ADV)		77		3,850

				29,956

Total Purchased Options (Cost $175,492)				53,519

See Notes to Financial Statements.


	Par		Value
U.S. TREASURY OBLIGATIONS — 17.6%
U.S. Treasury Bills
0.12%, 09/13/12‡‡	$	11,500,000	$	11,498,252
0.17%, 05/30/13		2,600,000		2,595,512

				14,093,764

U.S. Treasury Bonds
7.50%, 11/15/24		800,000		1,293,000
6.63%, 02/15/27		100,000		156,266
6.13%, 11/15/27		200,000		302,250
4.38%, 02/15/38		400,000		530,812
4.38%, 11/15/39		100,000		133,219
4.38%, 05/15/40		300,000		399,844
3.88%, 08/15/40		2,400,000		2,955,000
4.25%, 11/15/40		100,000		130,828
4.38%, 05/15/41		3,000,000		4,007,343
3.75%, 08/15/41		400,000		482,438
3.13%, 11/15/41		13,200,000		14,192,059
3.13%, 02/15/42		12,830,000		13,782,230
3.00%, 05/15/42		4,700,000		4,923,250

				43,288,539

U.S. Treasury Inflationary Index Bonds
2.00%, 07/15/14		100,000		129,390
1.63%, 01/15/15		1,100,000		1,409,075
1.88%, 07/15/15		100,000		128,688
1.13%, 01/15/21‡‡		4,700,000		5,693,882
0.13%, 01/15/22		8,500,000		9,148,716
2.38%, 01/15/25‡‡		850,000		1,368,710
3.88%, 04/15/29‡‡		808,000		1,830,771
2.13%, 02/15/41		1,700,000		2,555,319
0.75%, 02/15/42		500,000		535,868

				22,800,419

U.S. Treasury Notes
0.25%, 01/31/14		6,900,000		6,894,880
0.25%, 05/31/14		8,800,000		8,790,373
0.38%, 03/15/15		410,000		409,808
0.38%, 06/15/15		13,100,000		13,090,791
1.00%, 08/31/16		170,000		172,696
1.00%, 09/30/16		150,000		152,356
0.63%, 05/31/17		1,050,000		1,045,324
2.88%, 03/31/18		900,000		1,000,265
1.25%, 01/31/19		1,200,000		1,216,687
1.25%, 04/30/19		7,320,000		7,402,350
2.63%, 08/15/20		1,300,000		1,430,914
2.63%, 11/15/20		2,500,000		2,748,243
2.13%, 08/15/21		8,000,000		8,410,000
2.00%, 11/15/21		27,800,000		28,827,293
2.00%, 02/15/22		1,300,000		1,343,976
1.75%, 05/15/22		1,100,000		1,109,109

				84,045,065

Total U.S. Treasury Obligations (Cost $156,946,177)				164,227,787

	Shares
PREFERRED STOCK — 0.3%
Wells Fargo & Co.D* (Cost $1,420,633)		2,400		2,700,000


	Par		Value
REPURCHASE AGREEMENTS — 11.6%
Citigroup Global Markets, Inc. 0.18% (dated 06/20/12, due 07/03/12, repurchase price $6,000,390, collateralized by Federal National Mortgage Association, 3.500%, due 03/01/42, total market value $6,203,465)	$	6,000,000	$	6,000,000
0.19% (dated 06/08/12, due 07/09/12, repurchase price $19,503,190, collateralized by Federal Home Loan Mortgage Corporation, 4.000%, due 01/01/42, total market value $20,248,349)		19,500,000		19,500,000
Goldman Sachs & Co. 0.20% (dated 06/15/12, due 07/06/12, repurchase price $29,803,477, collateralized by Federal National Mortgage Association, 5.500%, due 10/01/35, total market value $31,002,930)		29,800,000		29,800,000
Morgan Stanley & Co., Inc. 0.21% (dated 06/29/12, due 07/02/12, repurchase price $33,000,578, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $33,678,429)		33,000,000		33,000,000
0.27% (dated 07/02/12, due 07/03/12, repurchase price $19,400,146, collateralized by U.S. Treasury Note, 2.375%, due 09/30/14, total market value $19,799,089)		19,400,000		19,400,000

Total Repurchase Agreements (Cost $107,700,000)				107,700,000

	Shares
MONEY MARKET FUNDS — 19.2%
GuideStone Money Market Fund (GS4 Class)¥		117,948,781		117,948,781
Northern Institutional Liquid Assets Portfolio§		60,749,615		60,749,615

Total Money Market Funds (Cost $178,698,396)				178,698,396

TOTAL INVESTMENTS — 131.7% (Cost $1,207,576,467)				1,225,677,082

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Number of Contracts			Value
WRITTEN OPTIONS — 0.0%
Call Options — 0.0%
September 2012 90-Day Eurodollar Futures, Strike Price $99.50, Expires 09/17/12 (ADV)		(43	)	$	(6,450	)


	Notional Amount
Call Swaption — 0.0%
3-Month LIBOR, Strike Price $1.40, Expires 03/18/13 (DEUT)	$	(16,700,000	)		(262,880	)

Put Options — 0.0%
3-Month LIBOR, Strike Price $1.40, Expires 03/18/13 (DEUT)		(16,700,000	)		(104,178	)

	Number of Contracts
December 2012 3-Year Eurodollar Midcurve Futures, Strike Price $97.75, Expires 12/14/12 (MLCS)		(74	)		(6,937	)
December 2012 90-Day Eurodollar Futures, Strike Price $98.25, Expires 12/14/12 (MLCS)		(145	)		(5,438	)
September 2012 90-Day Eurodollar Futures, Strike Price $99.125, Expires 09/17/12 (ADV)		(77	)		(1,925	)
September 2012 90-Day Eurodollar Futures, Strike Price $99.50, Expires 09/17/12 (ADV)		(43	)		(4,300	)

					(122,778	)

Total Written Options
(Premiums received $(615,223))					(392,108	)


	Par
TBA SALE COMMITMENTS — (1.6)%
Federal National Mortgage Association 4.00%, 07/13/39 TBA	$	(7,800,000	)		(8,300,907	)
4.50%, 07/13/40 TBA		(6,000,000	)		(6,435,937	)

Total TBA Sale Commitments (Cost $(14,731,125))					(14,736,844	)

Liabilities in Excess of Other Assets — (30.1)%					(279,820,281	)

NET ASSETS — 100.0%				$	930,727,849

PORTFOLIO SUMMARY (based on net assets)


	%
Mortgage-Backed Securities		40.8
Corporate Bonds		19.9
Money Market Funds		19.2
U.S. Treasury Obligations		17.6
Foreign Bonds		14.7
Repurchase Agreements		11.6
Asset-Backed Securities		2.7
Agency Obligations		2.5
Municipal Bonds		2.4
Preferred Stock		0.3
Swap Agreements		0.2
Purchased Options		—	**
Written Options		—	**
Futures Contracts		(0.6	)
TBA Sale Commitments		(1.6	)
Forward Foreign Currency Contracts		(5.3	)

		124.4

**	Rounds to less than 0.005%.

See Notes to Financial Statements.

Swap agreements outstanding at June 30, 2012:


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value		Upfront Premiums Paid/ Received		Unrealized Appreciation (Depreciation)
Credit Default Swaps on Corporate Issues — Buy Protection
CitiFinancial, 6.63% due 06/01/15		(0.15	)%		06/20/15		BAR		USD	$	300,000	$	16,318	$	—	$	16,318
Nabors Industries, 5.375% due 05/15/12		(1.00	)%		03/20/19		BNP		USD		3,900,000		278,540		9,014		269,526
Credit Suisse, Inc., 6.50%, due 01/15/12		(1.00	)%		09/20/20		GSC		USD		300,000		2,324		6,358		(4,034	)

										$	4,500,000	$	297,182	$	15,372	$	281,810


Reference Obligation	Implied Credit Spread			Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Credit Default Swaps on Corporate Issues — Sell Protection
General Electric Capital Corporation, 5.625%, due 09/15/17		0.67	%		1.00	%		09/20/13		UBS		USD	$	900,000	$	2,664		$	(16,007	)	$	18,671
Federated Republic of Brazil, 12.25% due 03/06/30		1.48	%		(1.04	)%		05/20/17		DEUT		USD		1,000,000		(18,280	)		—			(18,280	)
GMAC LLC, 6.88% due 08/28/12		4.00	%		(3.53	)%		09/20/17		DEUT		USD		4,100,000		(75,029	)		—			(75,029	)

													$	6,000,000	$	(90,645	)	$	(16,007	)	$	(74,638	)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Credit Default Swaps on Credit Indices — Buy Protection
Dow Jones CDX IG16 Index		1.00	%		06/20/14		JPM		USD	$	5,600,000	$	(57,021	)	$	(45,410	)	$	(11,611	)
Dow Jones CDX IG16 Index		1.00	%		06/20/14		JPM		USD		5,300,000		(53,966	)		(45,990	)		(7,976	)
Dow Jones CDX IG16 Index		1.00	%		06/20/14		DEUT		USD		4,100,000		(41,748	)		(34,377	)		(7,371	)
Dow Jones CDX IG16 Index		1.00	%		06/20/14		BOA		USD		900,000		(9,164	)		(7,028	)		(2,136	)
Dow Jones CDX IG14 Index		(1.00	)%		06/20/15		UBS		USD		3,900,000		(31,719	)		4,286			(36,005	)
Dow Jones CDX HY15 Index		(5.00	)%		12/20/15		CS		USD		2,112,000		(31,589	)		43,560			(75,149	)
Dow Jones CDX IG16 Index		(1.00	)%		12/20/15		CS		USD		1,200,000		(7,202	)		8,329			(15,531	)
Dow Jones CDX IG16 Index		(1.00	)%		06/20/16		CS		USD		4,000,000		(7,407	)		65,674			(73,081	)
Dow Jones CDX IG9 Index		(0.08	)%		12/20/17		BAR		USD		7,163,200		269,561			319,075			(49,514	)
Dow Jones CDX IG10 Index		(1.50	)%		06/20/18		CS		USD		7,356,800		(18,570	)		66,318			(84,888	)

										$	41,632,000	$	11,175		$	374,437		$	(363,262	)

See Notes to Financial Statements.

MEDIUM-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


Reference Obligation	Implied Credit Spread			Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Credit Default Swaps on Credit Indices — Sell Protection
Dow Jones CDX IG16 Index		0.94	%		1.00	%		06/20/16		JPM		USD	$	4,825,000	$	8,935		$	16,088		$	(7,153	)
Dow Jones CDX IG16 Index		0.97	%		1.00	%		06/20/16		BOA		USD		3,000,000		5,556			5,418			138
Dow Jones CDX IG16 Index		0.94	%		1.00	%		06/20/16		DEUT		USD		2,125,000		3,935			6,927			(2,992	)
Dow Jones CDX.NA.HY.18 Index		0.95	%		5.00	%		06/20/17		JPM		USD		2,300,000		(77,461	)		(110,418	)		32,957

													$	12,250,000	$	(59,035	)	$	(81,985	)	$	22,950


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Currency		Notional Amount		Market Value			Upfront Premiums Paid/ Received			Unrealized Appreciation (Depreciation)
Interest Rate Swaps
Brazil CETIP Interbank Deposit		12.12	%		01/02/14		HSBC		BRL	$	15,600,000	$	601,616		$	13,626		$	587,990
Brazil CETIP Interbank Deposit		11.94	%		01/02/14		HSBC		BRL		9,100,000		292,377			26,430			265,947
Brazil CETIP Interbank Deposit		12.51	%		01/02/14		BAR		BRL		6,100,000		211,436			4,069			207,367
Brazil CETIP Interbank Deposit		12.56	%		01/02/14		HSBC		BRL		5,800,000		203,564			6,047			197,517
Brazil CETIP Interbank Deposit		10.53	%		01/02/14		HSBC		BRL		5,000,000		84,842			5,597			79,245
Brazil CETIP Interbank Deposit		8.03	%		01/02/14		GSC		BRL		3,300,000		3,324			—			3,324
Brazil CETIP Interbank Deposit		11.99	%		01/02/14		BAR		BRL		1,700,000		61,636			217			61,419
Brazil CETIP Interbank Deposit		8.83	%		01/02/15		HSBC		BRL		9,000,000		34,924			18,905			16,019
Brazil CETIP Interbank Deposit		9.93	%		01/02/15		UBS		BRL		7,700,000		114,246			5,781			108,465
Brazil CETIP Interbank Deposit		10.14	%		01/02/15		HSBC		BRL		5,300,000		89,851			14,723			75,128
6-Month EURIBOR		2.00	%		03/21/17		BAR		EUR		5,500,000		255,200			162,698			92,502
6-Month BBR BBSW Index		5.50	%		12/15/17		BAR		AUD		2,200,000		204,327			(8,192	)		212,519
6-Month BBR BBSW Index		5.50	%		12/15/17		DEUT		AUD		1,300,000		121,491			(4,325	)		125,816
3-Month LIBOR		(1.25	)%		12/19/17		CITI		USD		1,000,000		(6,410	)		(3,539	)		(2,871	)
6-Month BBR BBSW Index		3.75	%		03/15/18		CITI		AUD		9,000,000		5,756			18,129			(12,373	)
3-Month LIBOR		(1.75	)%		12/19/19		CITI		USD		10,200,000		(170,568	)		(147,418	)		(23,150	)
3-Month LIBOR		(1.75	)%		12/19/19		CITI		USD		5,500,000		(91,974	)		(74,706	)		(17,268	)
3-Month LIBOR		2.56	%		10/20/20		DEUT		USD		2,800,000		232,122			—			232,122
3-Month LIBOR		(2.00	)%		12/19/22		CITI		USD		6,200,000		(52,823	)		(33,306	)		(19,517	)
3-Month LIBOR		(2.00	)%		12/19/22		CITI		USD		4,400,000		(37,487	)		(14,774	)		(22,713	)
6-Month BBR BBSW Index		4.00	%		03/15/23		DEUT		AUD		6,100,000		(43,602	)		37,604			(81,206	)
6-Month BBR BBSW Index		4.25	%		03/15/23		CITI		AUD		1,500,000		20,128			8,179			11,949
6-Month BBR BBSW Index		4.00	%		03/15/23		GSC		AUD		100,000		(716	)		—			(716	)
3-Month LIBOR		(2.50	)%		12/19/32		CITI		USD		4,300,000		(44,453	)		(24,275	)		(20,178	)
3-Month LIBOR		(2.50	)%		12/19/42		JPM		USD		600,000		2,375			(855	)		3,230

										$	129,300,000	$	2,091,182		$	10,615		$	2,080,567

Total Swap agreements outstanding at June 30, 2012										$	193,682,000	$	2,249,859		$	302,432		$	1,947,427

See Notes to Financial Statements.

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs			Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Agency Obligations	$	23,072,779		$	—		$	23,072,779		$	—
Asset-Backed Securities		25,168,580			—			22,582,757			2,585,823
Corporate Bonds		185,550,368			—			182,818,867			2,731,501
Foreign Bonds		136,957,984			—			135,977,708			980,276
Money Market Funds		178,698,396			178,698,395			—			—
Mortgage-Backed Securities		379,564,011			—			373,860,022			5,703,989
Municipal Bonds		21,983,658			—			21,983,658			—
Preferred Stock		2,700,000			2,700,000			—			—
Purchased Options		53,519			44,038			9,481			—
Repurchase Agreements		107,700,000			—			107,700,000			—
U.S. Treasury Obligations		164,227,787			—			164,227,787			—

Total Assets — Investments in Securities	$	1,225,677,082		$	181,442,433		$	1,032,233,059		$	12,001,589

Other Financial Instruments***
Swap Agreements	$	2,249,859		$	—		$	2,249,859		$	—

Total Assets — Other Financial Instruments	$	2,249,859		$	—		$	2,249,859		$	—

Liabilities:
Investments in Securities:
TBA Sale Commitments	$	(14,736,844	)	$	—		$	(14,736,844	)	$	—
Written Options		(392,108	)		(18,113	)		(373,995	)		—

Total Liabilities — Investments in Securities	$	(15,128,952	)	$	(18,113	)	$	(15,110,839	)	$	—

Other Financial Instruments***
Forward Foreign Currency Contracts	$	(161,013	)	$	—		$	(161,013	)	$	—
Futures Contracts		(65,587	)		(65,587	)		—			—

Total Liabilities — Other Financial Instruments	$	(226,600	)	$	(65,587	)	$	(161,013	)	$	—

***

See Notes to Financial Statements.

EXTENDED-DURATION BOND FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Par		Value
ASSET-BACKED SECURITY — 0.8%
Citibank Credit Card
Issuance Trust
6.15%, 06/15/39D
(Cost $3,521,340)	$	2,550,000	$	3,454,454

CORPORATE BONDS — 59.0%
Aflac, Inc.
6.90%, 12/17/39		2,669,000		3,246,478
6.45%, 08/15/40D		5,705,000		6,628,286
Alcatel-Lucent USA, Inc.
6.45%, 03/15/29D		100,000		68,500
Alcoa, Inc.
5.87%, 02/23/22D		10,000		10,307
6.75%, 01/15/28D		235,000		249,649
5.95%, 02/01/37D		5,326,000		5,151,030
Ally Financial, Inc.
8.00%, 11/01/31D		177,000		208,417
Alta Wind Holdings LLC
7.00%, 06/30/35 144AD		566,719		638,977
American Express Co.
8.15%, 03/19/38D		3,752,000		5,959,519
American International Group, Inc.
5.45%, 05/18/17D		30,000		32,638
Andarko Holding Co.
7.15%, 05/15/28D		250,000		282,379
AT&T Corporation
6.50%, 09/01/37D		8,530,000		10,882,165
Bank of America Corporation
5.49%, 03/15/19D		300,000		305,944
5.00%, 05/13/21D		140,000		144,697
5.88%, 02/07/42D		1,116,000		1,226,927
Bank of America NA
6.00%, 10/15/36D		8,152,000		8,601,232
Barrick North America Finance LLC
5.70%, 05/30/41D		1,634,000		1,853,592
Bell South Telecommunications, Inc.
7.00%, 12/01/95D		1,000,000		1,219,154
Bruce Mansfield Unit
6.85%, 06/01/34D		1,160,872		1,229,073
California Institute of Technology
4.70%, 11/01/11D		4,030,000		4,383,187
Camden Property Trust
5.70%, 05/15/17D		25,000		28,096
CenturyLink, Inc.
6.45%, 06/15/21D		260,000		271,009
6.88%, 01/15/28D		65,000		64,043
7.60%, 09/15/39D		755,000		731,156
7.65%, 03/15/42D		295,000		287,137
Chesapeake Energy Corporation
6.63%, 08/15/20D		10,000		9,950
6.88%, 11/15/20D		10,000		9,900
2.75%, 11/15/35D		75,000		68,906
2.50%, 05/15/37D		200,000		172,250
2.25%, 12/15/38D		50,000		40,437
Ciena Corporation
3.75%, 10/15/18 144AD		155,000		173,212
Citigroup, Inc.
6.88%, 06/01/25D		2,441,000		2,659,506


	Par		Value
5.88%, 05/29/37D	$	1,141,000	$	1,247,452
8.13%, 07/15/39D		4,174,000		5,588,097
Comcast Corporation
5.65%, 06/15/35D		660,000		741,249
6.50%, 11/15/35D		555,000		677,515
6.45%, 03/15/37D		2,415,000		2,946,769
6.95%, 08/15/37D		625,000		805,444
Continental Airlines, Inc.
9.00%, 01/08/18D		1,769,501		2,026,079
8.31%, 10/02/19D		166,017		168,723
7.57%, 09/15/21D		109,755		109,755
Corning, Inc.
7.25%, 08/15/36D		850,000		1,052,495
Cummins, Inc.
6.75%, 02/15/27D		1,000,000		1,243,618
5.65%, 03/01/98D		2,520,000		2,605,672
Darden Restaurants, Inc.
6.00%, 08/15/35D		990,000		1,073,051
DCP Midstream LLP
6.45%, 11/03/36 144AD		490,000		582,950
Dillard’s, Inc.
7.75%, 07/15/26D		890,000		895,562
7.00%, 12/01/28D		500,000		483,750
Dow Chemical Co.
9.40%, 05/15/39D		920,000		1,469,752
Duke Realty LP
5.95%, 02/15/17D		70,000		77,474
Florida Power & Light Co.
4.05%, 06/01/42D		2,940,000		3,112,928
Foot Locker, Inc.
8.50%, 01/15/22D		1,000,000		1,083,750
Ford Motor Co.
4.25%, 11/15/16D		175,000		244,125
6.63%, 10/01/28D		680,000		768,154
6.38%, 02/01/29D		1,255,000		1,357,298
General Electric Capital Corporation
4.88%, 03/04/15D		510,000		554,089
6.75%, 03/15/32D		3,000,000		3,725,508
6.15%, 08/07/37D		6,114,000		7,248,049
5.88%, 01/14/38D		150,000		172,804
Goldman Sachs Group, Inc.
5.38%, 03/15/20D		415,000		427,881
6.75%, 10/01/37D		500,000		491,490
Halliburton Co.
7.45%, 09/15/39D		870,000		1,291,640
4.50%, 11/15/41D		1,150,000		1,210,910
HCA, Inc.
7.58%, 09/15/25D		1,000,000		960,000
7.05%, 12/01/27D		500,000		452,500
Hewlett-Packard Co.
6.00%, 09/15/41D		5,310,000		5,873,768
Home Depot, Inc.
5.88%, 12/16/36D		875,000		1,124,209
HSBC Bank USA NA
7.00%, 01/15/39D		5,948,000		6,988,002
Intel Corporation
3.25%, 08/01/39D		1,155,000		1,560,694
International Lease Finance Corporation
5.65%, 06/01/14D		105,000		108,150
8.63%, 09/15/15D		5,000		5,544
International Paper Co.
8.70%, 06/15/38D		2,643,000		3,741,822

See Notes to Financial Statements.


	Par		Value
iStar Financial, Inc.
8.63%, 06/01/13D	$	635,000	$	638,175
5.95%, 10/15/13D		305,000		297,756
5.70%, 03/01/14D		1,171,000		1,115,377
JC Penney Corporation, Inc.
6.38%, 10/15/36D		414,000		314,640
7.40%, 04/01/37D		10,000		8,425
Jefferies Group, Inc.
5.13%, 04/13/18D		80,000		78,400
6.88%, 04/15/21D		365,000		368,872
6.45%, 06/08/27D		40,000		38,400
6.25%, 01/15/36D		145,000		131,950
JPMorgan Chase & Co.
5.60%, 07/15/41D		8,127,000		9,248,095
Kinder Morgan Energy Partners LP
5.80%, 03/15/35D		280,000		297,488
Kraft Foods, Inc.
6.50%, 11/01/31D		815,000		1,007,929
7.00%, 08/11/37D		525,000		693,174
6.88%, 02/01/38D		3,243,000		4,255,724
6.50%, 02/09/40D		3,013,000		3,884,489
Lennar Corporation
6.50%, 04/15/16D		625,000		665,625
Liberty Mutual Group, Inc.
6.50%, 03/15/35 144AD		1,400,000		1,440,772
Macy’s Retail Holdings, Inc.
6.38%, 03/15/37D		240,000		284,495
Masco Corporation
7.75%, 08/01/29D		275,000		288,817
6.50%, 08/15/32D		55,000		53,014
Massachusetts Institute of Technology
5.60%, 07/01/11D		1,927,000		2,692,239
Mead Corporation
7.55%, 03/01/47D		515,000		545,909
Merrill Lynch & Co., Inc.
6.05%, 05/16/16D		200,000		206,955
6.11%, 01/29/37D		900,000		850,646
MetLife, Inc.
5.88%, 02/06/41D		6,373,000		7,855,022
6.40%, 12/15/66D		310,000		305,436
Micron Technology, Inc.
1.88%, 06/01/14D		20,000		19,700
Morgan Stanley
0.92%, 10/18/16†D		100,000		87,243
6.63%, 04/01/18D		70,000		73,277
5.63%, 09/23/19D		295,000		292,389
5.50%, 01/26/20D		100,000		98,091
5.50%, 07/24/20D		300,000		293,980
5.75%, 01/25/21D		300,000		296,306
6.25%, 08/09/26D		600,000		592,500
Motorola Solutions, Inc.
6.63%, 11/15/37D		46,000		48,894
Mutual of Omaha Insurance Co.
6.80%, 06/15/36 144AD		100,000		113,104
Nationwide Mutual Insurance Co.
6.60%, 04/15/34 144AD		150,000		147,314
New Albertsons, Inc.
7.45%, 08/01/29D		55,000		40,700
8.70%, 05/01/30D		25,000		20,500
8.00%, 05/01/31D		295,000		230,100


	Par		Value
Nortel Networks Capital Corporation
7.88%, 06/15/26#D	$	445,000	$	485,050
Old Republic International Corporation
3.75%, 03/15/18D		2,240,000		2,027,200
Owens Corning
7.00%, 12/01/36D		3,940,000		4,199,800
Owens Corning, Inc.
6.50%, 12/01/16D		240,000		267,119
Penn Mutual Life Insurance Co.
7.63%, 06/15/40 144AD		1,750,000		2,165,852
Prologis LP
5.63%, 11/15/15D		35,000		38,174
Prudential Financial, Inc.
6.63%, 06/21/40D		5,412,000		6,189,277
5.63%, 05/12/41D		987,000		1,011,608
Pulte Group, Inc.
5.20%, 02/15/15D		38,000		39,330
7.88%, 06/15/32D		1,500,000		1,432,500
6.38%, 05/15/33D		1,000,000		830,000
Qwest Corporation
7.25%, 09/15/25D		1,000,000		1,099,731
6.88%, 09/15/33D		2,250,000		2,250,000
RR Donnelley & Sons Co.
8.25%, 03/15/19D		250,000		246,250
Sempra Energy
6.00%, 10/15/39D		2,491,000		3,105,520
SLM Corporation
5.00%, 10/01/13D		250,000		258,750
5.38%, 05/15/14D		200,000		207,743
5.63%, 08/01/33D		380,000		321,100
Southern Natural Gas Co.
7.35%, 02/15/31D		1,750,000		2,131,178
Sprint Capital Corporation
6.90%, 05/01/19D		55,000		51,975
6.88%, 11/15/28D		2,350,000		1,903,500
8.75%, 03/15/32D		20,000		18,300
Target Corporation
7.00%, 01/15/38D		2,330,000		3,284,440
Tennessee Gas Pipeline Co.
7.00%, 10/15/28D		750,000		942,796
Textron, Inc.
6.63%, 04/07/20(U)D		160,000		281,829
Time Warner Cable, Inc.
6.55%, 05/01/37D		1,049,000		1,248,049
6.75%, 06/15/39D		2,995,000		3,662,735
5.88%, 11/15/40D		1,700,000		1,909,540
Time Warner Entertainment Co. LP
8.38%, 07/15/33D		1,049,000		1,425,015
Toro Co.
6.63%, 05/01/37@D		300,000		318,699
Travelers Cos., Inc.
6.25%, 06/15/37D		4,825,000		6,271,689
United Technologies Corporation
4.50%, 06/01/42D		2,927,000		3,228,741
UnitedHealth Group, Inc.
5.80%, 03/15/36D		920,000		1,139,193
6.50%, 06/15/37D		767,000		1,020,463
6.63%, 11/15/37D		2,526,000		3,392,858
5.70%, 10/15/40D		1,210,000		1,496,584

See Notes to Financial Statements.

EXTENDED-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
University of Pennsylvania 4.67%, 09/01/12D	$	3,370,000	$	3,893,749
University of Southern California 5.25%, 10/01/11D		3,014,000		3,999,949
US Airways, Inc. 5.90%, 04/01/26D		460,000		470,925
Verizon Communications, Inc.
5.85%, 09/15/35D		2,420,000		2,998,905
6.40%, 02/15/38D		968,000		1,261,468
6.90%, 04/15/38D		1,000,000		1,380,738
8.95%, 03/01/39D		105,000		173,524
7.35%, 04/01/39D		979,000		1,409,894
6.00%, 04/01/41D		2,770,000		3,525,116
Verizon Maryland, Inc.
5.13%, 06/15/33D		150,000		155,745
Wachovia Bank NA
5.85%, 02/01/37D		4,577,000		5,315,513
6.60%, 01/15/38D		2,257,000		2,858,211
WellPoint, Inc.
5.95%, 12/15/34D		846,000		1,004,527
6.38%, 06/15/37D		2,766,000		3,498,653
Western Union Co.
6.20%, 11/17/36D		3,000,000		3,203,409
6.20%, 06/21/40D		20,000		21,829
Weyerhaeuser Co.
8.50%, 01/15/25D		520,000		616,337
6.88%, 12/15/33D		580,000		613,126
Wyndham Worldwide Corporation 5.75%, 02/01/18D		50,000		55,660

Total Corporate Bonds
(Cost $220,997,887)				259,418,263

FOREIGN BONDS — 23.3% Australia — 1.8%
Barrick PD Australia Finance Pty, Ltd. 5.95%, 10/15/39D		2,870,000		3,305,304
New South Wales Treasury Corporation 6.00%, 02/01/18(A)		730,000		834,695
Qantas Airways, Ltd.
6.05%, 04/15/16 144AD		345,000		354,362
Queensland Treasury Corporation 5.75%, 11/21/14(A)D		60,000		64,858
Rio Tinto Finance USA, Ltd.
5.20%, 11/02/40D		2,946,000		3,495,821

				8,055,040

Brazil — 0.4%
Brazilian Government International Bond 10.25%, 01/10/28(B)D		2,525,000		1,568,303

Canada — 5.3%
Canada Generic Residual STRIP 2.40%, 06/01/25(C)W†D		3,685,000		2,806,044
Methanex Corporation
6.00%, 08/15/15D		25,000		26,517
5.25%, 03/01/22D		100,000		103,947
Ontario Generic Residual STRIP 2.96%, 07/13/22(C)W†D		3,025,000		2,158,651


	Par		Value
3.56%, 03/08/29(C)W†D	$	7,000,000	$	3,985,277
Saskatchewan Residual STRIP
1.29%, 04/10/14(C)W†D		3,535,000		3,398,527
2.65%, 02/04/22(C)W†D		3,000,000		2,228,629
Talisman Energy, Inc.
6.25%, 02/01/38D		450,000		488,066
TransCanada PipeLines, Ltd.
6.20%, 10/15/37D		3,541,000		4,583,290
Xstrata Finance Canada, Ltd.
6.00%, 11/15/41 144AD		3,511,000		3,519,381

				23,298,329

Cayman Islands — 0.2%
Enersis SA
7.40%, 12/01/16D		625,000		734,913

Finland — 0.7%
Nokia OYJ
6.63%, 05/15/39D		3,892,000		3,014,319

Ireland — 1.2%
Ireland Government Bond
4.50%, 10/18/18(E)D		1,150,000		1,346,469
5.00%, 10/18/20(E)		75,000		87,365
5.40%, 03/13/25(E)D		1,300,000		1,513,358
XL Group PLC
6.38%, 11/15/24D		585,000		653,582
6.25%, 05/15/27D		1,530,000		1,685,555

				5,286,329

Italy — 0.3%
Italy Buoni Poliennali Del Tesoro
5.25%, 11/01/29(E)D		25,000		29,077
5.75%, 02/01/33(E)D		25,000		29,889
5.00%, 08/01/34(E)D		25,000		27,225
Telecom Italia Capital SA
6.38%, 11/15/33D		665,000		525,350
6.00%, 09/30/34D		975,000		753,187

				1,364,728

Luxembourg — 2.1%
ArcelorMittal
6.13%, 06/01/18D		435,000		441,609
5.50%, 03/01/21D		45,000		42,665
7.00%, 10/15/39D		4,837,000		4,709,042
6.75%, 03/01/41D		2,483,000		2,324,639
Enel Finance International NV
6.00%, 10/07/39 144AD		2,210,000		1,740,046

				9,258,001

Malaysia — 0.1%
Telekom Malaysia Bhd
7.88%, 08/01/25 144AD		225,000		307,309

Mexico — 0.7%
Mexican Bonos
8.00%, 12/07/23(M)D		34,000,000		3,086,721

Netherlands — 2.7%
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.25%, 05/24/41D		1,023,000		1,105,928
Deutsche Telekom International Finance BV
4.88%, 03/06/42 144AD		2,300,000		2,193,443

See Notes to Financial Statements.


	Par		Value
EDP Finance BV
4.75%, 09/26/16(E)	$	300,000	$	330,542
6.00%, 02/02/18 144AD		800,000		696,727
4.90%, 10/01/19 144AD		1,000,000		806,517
Koninklijke Philips Electronics NV
6.88%, 03/11/38D		3,250,000		4,278,752
5.00%, 03/15/42D		2,500,000		2,698,330

				12,110,239

Norway — 0.5%
Norway Government Bond
5.00%, 05/15/15(K)D		540,000		100,109
4.25%, 05/19/17(K)D		11,940,000		2,268,312

				2,368,421

Portugal — 0.0%
Portugal Obrigacoes do Tesouro OT
4.80%, 06/15/20(E)		75,000		67,709
3.85%, 04/15/21(E)D		190,000		158,081

				225,790

Spain — 0.4%
Telefonica Emisiones SA Unipersonal
5.13%, 04/27/20D		75,000		64,704
7.05%, 06/20/36D		1,720,000		1,507,795

				1,572,499

Supranational — 1.7%
Inter-American Development Bank
6.00%, 12/15/17(Z)D		6,365,000		5,688,335
International Bank For Reconstruction & Development
1.43%, 03/05/14(G)D		2,470,000		1,972,701

				7,661,036

United Kingdom — 5.2%
Barclays Bank PLC
3.68%, 08/20/15(W)		740,000,000		650,982
10.18%, 06/12/21 144AD		7,312,000		8,666,365
BG Energy Capital PLC
5.13%, 10/15/41 144AD		585,000		648,004
HBOS PLC
6.75%, 05/21/18 144AD		700,000		661,200
6.00%, 11/01/33 144AD		590,000		466,784
HSBC Holdings PLC
6.80%, 06/01/38D		2,000,000		2,298,210
Lloyds TSB Bank PLC
5.80%, 01/13/20 144AD		5,705,000		6,108,030
6.38%, 01/21/21D		449,000		509,696
Royal Bank of Scotland PLC
6.13%, 01/11/21D		1,988,000		2,212,210
Tesco PLC
6.15%, 11/15/37 144AD		400,000		476,570

				22,698,051

Total Foreign Bonds
(Cost $93,224,339)				102,610,028

MORTGAGE-BACKED SECURITIES — 0.5%
Community Program
Loan Trust
4.50%, 04/01/29D		1,910,688		1,932,011


	Par		Value
Federal Home Loan Mortgage Corporation
5.00%, 12/01/31D	$	77,105	$	83,127

Total Mortgage-Backed Securities
(Cost $1,770,264)				2,015,138

MUNICIPAL BONDS — 8.9%
California Educational Facilities Authority, Stanford University, Revenue Bond 5.25%, 04/01/40D		4,690,000		6,600,706
Escondido Union High School District, CABS-Election 2008, General Obligation, Series C 5.57%, 08/01/46W†D		1,875,000		312,338
5.64%, 08/01/51W†D		2,795,000		357,928
Foothill-De Anza Community College District, California Community College, General Obligation, Series C 5.00%, 08/01/40D		1,110,000		1,249,460
Massachusetts Development Finance Agency, Harvard University, Revenue Bond, Series B-1 5.00%, 10/15/40D		1,230,000		1,409,076
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Revenue Bond, Series B (AGM Insured) 5.62%, 06/15/45W†D		9,800,000		1,645,616
5.65%, 06/15/46W†D		1,240,000		195,945
5.69%, 06/15/47W†D		400,000		59,456
Metropolitan Transportation Authority, Revenue Bond, Series E 6.81%, 11/15/40D		1,020,000		1,329,723
New Jersey Transportation Trust Fund Authority, Revenue Bond, Series A 5.50%, 06/15/41D		1,480,000		1,709,296
New York State Dormitory Authority, Revenue Bond, Series C 5.00%, 03/15/41D		4,585,000		5,096,503
Ohio State University, Revenue Bond, Series A 4.80%, 06/01/11D		1,470,000		1,627,202
Placentia-Yorba Linda Unified School District, General Obligation, Series D 5.45%, 08/01/42W†D		905,000		177,027
San Bernardino Community College District, General Obligation, Series B 5.52%, 08/01/48W†D		2,845,000		437,220
San Francisco Public Utilities Commission, Revenue Bond, Sub-Series A 5.00%, 11/01/41D		1,170,000		1,296,734
Santa Barbara Secondary High School District, General Obligation, Series A 5.45%, 08/01/40W†D		1,500,000		345,420

See Notes to Financial Statements.

EXTENDED-DURATION BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Santa Barbara Unified School District, General Obligation, Series A 5.36%, 08/01/41W†D	$	705,000	$	150,623
Southwestern Community College District, General Obligation, Series C 5.49%, 08/01/46W†D		3,975,000		615,568
State of California, General Obligation 7.50%, 04/01/34D		2,135,000		2,669,262
7.55%, 04/01/39D		1,190,000		1,531,435
State of Illinois, General Obligation 5.10%, 06/01/33D		635,000		600,837
Turlock Irrigation District, Revenue Bond 5.50%, 01/01/41D		2,490,000		2,812,032
University of California, Revenue Bond, Series AD 4.86%, 05/15/12D		5,912,000		6,070,146
Westside Union School District, General Obligation, Series B 5.63%, 08/01/40W†D		1,600,000		356,560
5.80%, 08/01/45W†D		2,170,000		366,556

Total Municipal Bonds
(Cost $33,551,311)				39,022,669

U.S. TREASURY OBLIGATIONS — 4.6%
U.S. Treasury Bonds 3.13%, 11/15/41D		4,665,000		5,015,603

U.S. Treasury STRIPS 2.94%, 05/15/40W†D		14,975,000		6,707,886
2.96%, 02/15/41W†D		19,827,000		8,654,704

				15,362,590

Total U.S. Treasury Obligations
(Cost $15,463,424)				20,378,193


	Shares		Value
PREFERRED STOCKS — 0.1%
Ally Financial, Inc. 144AD		82	$	73,054
Chesapeake Energy CorporationD		330		24,668
El Paso Energy Capital Trust ID		5,350		270,977

Total Preferred Stocks
(Cost $272,391)				368,699

MONEY MARKET FUNDS — 8.3%
GuideStone Money Market Fund (GS4 Class)D¥		7,613,260		7,613,260
Northern Institutional Liquid Assets Portfolio§D		29,153,001		29,153,001

Total Money Market Funds
(Cost $36,766,261)				36,766,261

TOTAL INVESTMENTS — 105.5%
(Cost $405,567,217)				464,033,705
Liabilities in Excess of Other Assets — (5.5)%				(24,042,080	)

NET ASSETS — 100.0%			$	439,991,625


PORTFOLIO SUMMARY (based on net assets)
			%
Corporate Bonds				59.0
Foreign Bonds				23.3
Municipal Bonds				8.9
Money Market Funds				8.3
U.S. Treasury Obligations				4.6
Asset-Backed Security				0.8
Mortgage-Backed Securities				0.5
Preferred Stocks				0.1

				105.5

See Notes to Financial Statements.

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Asset-Backed Security	$	3,454,454	$	—	$	3,454,454	$	—
Corporate Bonds		259,418,263		—		255,413,708		4,004,555
Foreign Bonds		102,610,028		—		102,610,028		—
Money Market Funds		36,766,261		36,766,261		—		—
Mortgage-Backed Securities		2,015,138		—		2,015,138		—
Municipal Bonds		39,022,669		—		39,022,669		—
Preferred Stocks		368,699		368,699		—		—
U.S. Treasury Obligations		20,378,193		—		20,378,193		—

Total Assets — Investments in Securities	$	464,033,705	$	37,134,960	$	422,894,190	$	4,004,555

See Notes to Financial Statements.


INFLATION PROTECTED BOND FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Par		Value
U.S. TREASURY OBLIGATIONS — 94.0%
U.S. Treasury Bond 3.13%, 02/15/42	$	481,900	$	517,666
U.S. Treasury Inflationary Index Bonds
0.63%, 04/15/13		1,590,000		1,734,382
1.88%, 07/15/13		3,190,000		4,094,083
2.00%, 01/15/14		5,275,000		6,822,721
1.25%, 04/15/14		1,820,000		2,043,662
2.00%, 07/15/14		3,908,200		5,056,816
1.63%, 01/15/15		1,550,000		1,985,515
0.50%, 04/15/15		10,656,900		11,752,305
1.88%, 07/15/15		2,943,700		3,788,194
2.00%, 01/15/16		2,335,000		2,995,971
0.13%, 04/15/16		22,455,600		24,373,384
2.50%, 07/15/16		1,967,200		2,566,590
2.38%, 01/15/17		2,570,000		3,385,082
0.13%, 04/15/17		4,723,300		5,052,845
2.63%, 07/15/17		980,000		1,293,029
2.13%, 01/15/19		1,380,900		1,772,109
1.88%, 07/15/19		680,000		877,131
1.38%, 01/15/20		1,378,900		1,707,271
1.13%, 01/15/21		4,505,000		5,457,647
0.63%, 07/15/21		5,080,000		5,779,548
0.13%, 01/15/22		6,264,200		6,742,281
2.38%, 01/15/25‡‡		7,375,200		11,875,895
2.00%, 01/15/26		2,275,000		3,371,565
2.38%, 01/15/27		2,415,000		3,703,471
1.75%, 01/15/28		4,605,000		6,347,968
3.63%, 04/15/28		3,435,000		7,549,290
2.50%, 01/15/29		4,690,000		6,986,000
3.88%, 04/15/29		3,200,000		7,250,578
3.38%, 04/15/32		307,100		642,643
2.13%, 02/15/40		3,837,600		5,812,606
2.13%, 02/15/41		4,758,900		7,153,240
0.75%, 02/15/42		5,154,400		5,524,155

				165,497,977

Total U.S. Treasury Obligations
(Cost $155,540,504)				166,015,643


	Shares		Value
MONEY MARKET FUNDS — 5.9%
GuideStone Money Market Fund (GS4 Class)¥ (Cost $10,479,228)		10,479,228	$	10,479,228

TOTAL INVESTMENTS — 99.9%
(Cost $166,019,732)				176,494,871
Other Assets in Excess of Liabilities — 0.1%				90,342

NET ASSETS — 100.0%			$	176,585,213


PORTFOLIO SUMMARY (based on net assets)
			%
U.S. Treasury Obligations				94.0
Money Market Funds				5.9
Futures Contracts				5.8

				105.7

See Notes to Financial Statements.

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Money Market Funds	$	10,479,228	$	10,479,228	$	—	$	—
U.S. Treasury Obligations		166,015,643		—		166,015,642		—

Total Assets — Investments in Securities	$	176,494,871	$	10,479,228	$	166,015,642	$	—

Other Financial Instruments***
Futures Contracts	$	139,460	$	139,460	$	—	$	—

Total Assets — Other Financial Instruments	$	139,460	$	139,460	$	—	$	—

***

See Notes to Financial Statements.


GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Par		Value
CORPORATE BONDS — 39.7%
Acadia Healthcare Co., Inc.
12.88%, 11/01/18	$	160,000	$	183,200
AES Corporation
9.75%, 04/15/16		10,000		11,900
8.00%, 06/01/20D		350,000		403,375
Alcatel-Lucent USA, Inc.
6.45%, 03/15/29		70,000		47,950
Alcoa, Inc.
5.87%, 02/23/22D		5,000		5,154
6.75%, 01/15/28D		185,000		196,532
5.95%, 02/01/37D		65,000		62,865
Ally Financial, Inc.
7.50%, 12/31/13		15,000		15,938
6.75%, 12/01/14		399,000		421,942
5.50%, 02/15/17D		70,000		71,174
8.00%, 12/31/18		104,000		115,700
8.00%, 03/15/20		200,000		231,000
7.50%, 09/15/20		415,000		467,912
8.00%, 11/01/31		345,000		406,238
Altegrity, Inc.
10.50%, 11/01/15 144AD		150,000		137,250
American International Group, Inc.
5.45%, 05/18/17		25,000		27,198
Anadarko Petroleum Corporation
5.95%, 09/15/16		10,000		11,358
6.38%, 09/15/17		120,000		139,553
Appleton Papers, Inc.
11.25%, 12/15/15		102,000		109,395
Ashland, Inc.
9.13%, 06/01/17D		90,000		99,450
Ashtead Capital, Inc.
9.00%, 08/15/16 144A		250,000		260,312
Ashton Woods USA LLC
11.00%, 06/30/15 STEP 144A@		20,800		19,188
Astoria Depositor Corporation
8.14%, 05/01/21 144A		130,000		114,400
AT&T, Inc.
3.88%, 08/15/21		60,000		65,482
6.55%, 02/15/39		220,000		284,149
Ball Corporation
5.75%, 05/15/21D		380,000		410,400
Bank of America Corporation
4.63%, 08/07/17(E)		300,000		391,680
5.49%, 03/15/19		100,000		101,981
5.00%, 05/13/21		100,000		103,355
Biomet, Inc.
10.38%, 10/15/17 PIK		545,000		585,194
Calpine Corporation
7.88%, 01/15/23 144AD		400,000		438,000
CCO Holdings LLC
7.00%, 01/15/19		230,000		249,550
6.50%, 04/30/21D		190,000		203,300
Cellco Partnership/Verizon Wireless Capital LLC
8.50%, 11/15/18		260,000		356,243
Cengage Learning Acquisitions, Inc.
10.50%, 01/15/15 144A		100,000		76,500
Chesapeake Energy Corporation
6.78%, 03/15/19D		180,000		175,725


	Par		Value
6.63%, 08/15/20D	$	145,000	$	144,275
6.88%, 11/15/20		5,000		4,950
2.75%, 11/15/35		75,000		68,906
2.50%, 05/15/37D		165,000		142,106
2.25%, 12/15/38		25,000		20,219
Chesapeake Midstream Partners LP
6.13%, 07/15/22		150,000		147,750
Chiquita Brands International, Inc.
7.50%, 11/01/14D		450,000		448,875
Ciena Corporation
0.88%, 06/15/17		135,000		116,100
3.75%, 10/15/18 144AD		415,000		463,762
Cincinnati Bell Telephone Co. LLC
6.30%, 12/01/28		155,000		128,262
Citigroup, Inc.
7.38%, 09/04/19(E)D		380,000		565,516
Colorado Interstate Gas Co.
5.95%, 03/15/15		20,000		21,293
6.80%, 11/15/15		125,000		144,793
Comcast Corporation
5.15%, 03/01/20		170,000		197,668
Community Health Systems, Inc.
8.88%, 07/15/15		50,000		51,375
Concho Resources, Inc.
5.50%, 10/01/22		520,000		515,450
ConocoPhillips
6.50%, 02/01/39D		30,000		41,697
Consol Energy
8.25%, 04/01/20		210,000		221,550
Continental Airlines, Inc.
9.00%, 01/08/18		1,105,938		1,266,299
5.98%, 10/19/23D		497,041		539,290
Countrywide Financial Corporation
6.25%, 05/15/16D		280,000		291,672
Cricket Communications, Inc.
7.75%, 05/15/16D		190,000		202,588
Cummins, Inc.
5.65%, 03/01/98		1,500,000		1,550,995
DAE Aviation Holdings, Inc.
11.25%, 08/01/15 144A		130,000		134,550
Delta Air Lines, Inc.
9.50%, 09/15/14 144A		436,000		462,705
8.02%, 02/10/24		81,527		82,448
DISH DBS Corporation
5.88%, 07/15/22 144A		600,000		609,000
Dynegy Holdings LLC
7.75%, 06/01/19#D		893,000		602,775
El Paso LLC
7.75%, 01/15/32		50,000		56,468
El Paso Natural Gas Co.
8.63%, 01/15/22		90,000		115,648
8.38%, 06/15/32		75,000		97,418
El Pollo Loco, Inc.
8.86%, 07/14/17†		29,700		29,502
17.00%, 01/01/18 144AD		173,633		158,223
Embarq Corporation
8.00%, 06/01/36		995,000		1,042,199
Enterprise Products Operating LLC
9.75%, 01/31/14		100,000		112,863

See Notes to Financial Statements.


	Par		Value
8.38%, 08/01/66†	$	60,000	$	65,081
ERAC USA Finance LLC
7.00%, 10/15/37 144A		1,065,000		1,287,958
Escrow GCB US Oncology
9.12%, 08/15/17+ 144A		155,000		—
EXCO Resources, Inc.
7.50%, 09/15/18D		200,000		174,000
FirstEnergy Corporation
7.38%, 11/15/31		325,000		409,113
Ford Motor Co.
4.25%, 11/15/16D		830,000		1,157,850
6.63%, 10/01/28		850,000		960,192
Ford Motor Credit Co., LLC
12.00%, 05/15/15		100,000		125,000
5.00%, 05/15/18		520,000		553,479
Freescale Semiconductor, Inc.
10.13%, 12/15/16		56,000		59,220
Fresenius Medical Care US Finance, Inc.
6.88%, 07/15/17		75,000		83,625
Fresenius US Finance II, Inc.
8.75%, 07/15/15 144A(E)		30,000		44,514
Frontier Communications Corporation
7.88%, 01/15/27		405,000		358,425
General Electric Capital Corporation
7.63%, 12/10/14(Z)		1,025,000		885,059
4.88%, 03/04/15D		370,000		401,986
6.50%, 09/28/15(Z)		255,000		215,799
6.75%, 09/26/16(Z)		150,000		129,496
6.75%, 03/15/32		30,000		37,255
Georgia-Pacific LLC
8.88%, 05/15/31		785,000		1,109,634
Gerdau Holdings, Inc.
7.00%, 01/20/20		100,000		112,000
Goldman Sachs Group, Inc.
4.75%, 10/12/21(E)		150,000		170,310
6.75%, 10/01/37		355,000		348,958
Goodyear Tire & Rubber Co.
7.00%, 03/15/28D		690,000		657,225
H&E Equipment Services, Inc.
8.38%, 07/15/16		370,000		383,412
Hanover Insurance Group, Inc.
7.50%, 03/01/20		385,000		447,292
HCA, Inc.
6.38%, 01/15/15		150,000		160,125
7.19%, 11/15/15		205,000		217,300
7.50%, 12/15/23		555,000		536,269
8.36%, 04/15/24		90,000		91,800
7.69%, 06/15/25		775,000		749,812
7.58%, 09/15/25		570,000		547,200
Hercules Offshore, Inc.
10.50%, 10/15/17 144A		80,000		80,400
Human Genome Sciences, Inc.
3.00%, 11/15/18		510,000		611,362
Idearc, Inc. Escrow
0.00%, 11/15/16+W		185,000		—
ING Capital Funding Trust III
4.07%, 12/29/49†D		200,000		166,982
Intel Corporation
2.95%, 12/15/35D		580,000		659,025
3.25%, 08/01/39		460,000		621,575


	Par		Value
International Lease Finance Corporation
5.65%, 06/01/14D	$	90,000	$	92,700
8.63%, 09/15/15D		665,000		737,319
5.88%, 04/01/19D		135,000		135,317
6.25%, 05/15/19		230,000		234,370
iStar Financial, Inc.
5.70%, 03/01/14		62,000		59,055
6.05%, 04/15/15		20,000		18,850
5.88%, 03/15/16		22,000		20,075
JC Penney Corporation, Inc.
6.38%, 10/15/36		650,000		494,000
7.40%, 04/01/37		5,000		4,212
7.63%, 03/01/97D		1,300,000		953,875
Jefferies Group, Inc.
5.13%, 04/13/18		55,000		53,900
6.88%, 04/15/21		270,000		272,864
6.45%, 06/08/27		30,000		28,800
6.25%, 01/15/36		100,000		91,000
Jones Group, Inc.
6.13%, 11/15/34		135,000		100,575
JPMorgan Chase & Co.
4.50%, 01/24/22		160,000		172,692
JPMorgan Chase Bank NA
4.38%, 11/30/21(E)†		350,000		413,470
K Hovnanian Enterprises, Inc.
5.00%, 11/01/21 144AD		795,000		558,487
Key Energy Services, Inc.
6.75%, 03/01/21D		170,000		166,600
Kinder Morgan Energy Partners LP
6.50%, 02/01/37D		75,000		84,686
6.95%, 01/15/38		90,000		106,783
Lawson Software
10.00%, 04/01/19 144A(E)		110,000		143,381
Lennar Corporation
5.60%, 05/31/15		1,400,000		1,477,000
Level 3 Financing, Inc.
8.75%, 02/15/17		1,285,000		1,342,825
9.38%, 04/01/19		20,000		21,700
Masco Corporation
5.85%, 03/15/17		90,000		94,438
7.75%, 08/01/29		250,000		262,561
6.50%, 08/15/32D		175,000		168,682
MBIA Insurance Corporation
14.00%, 01/15/33 144A†D		435,000		239,250
Merrill Lynch & Co., Inc.
6.05%, 06/01/34		700,000		668,764
6.11%, 01/29/37		1,300,000		1,228,711
Mirant Mid Atlantic Pass Through Trust
10.06%, 12/30/28		165,630		168,943
Morgan Stanley
4.75%, 04/01/14		40,000		40,369
5.75%, 01/25/21		700,000		691,380
6.25%, 08/09/26		400,000		395,000
Motorola Solutions, Inc.
6.63%, 11/15/37		105,000		111,607
Mutual of Omaha Insurance Co.
6.80%, 06/15/36 144A		1,200,000		1,357,254
NetFlix, Inc.
8.50%, 11/15/17D		150,000		159,000
NewPage Corporation
11.38%, 12/31/14 144A#D		285,000		185,250

See Notes to Financial Statements.

GLOBAL BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Nextel Communications, Inc.
5.95%, 03/15/14	$	830,000	$	835,188
7.38%, 08/01/15D		1,755,000		1,765,969
Nielsen Finance LLC
11.50%, 05/01/16		250,000		285,625
Old Republic International Corporation
3.75%, 03/15/18D		1,585,000		1,434,425
Owens Corning
7.00%, 12/01/36		220,000		234,507
Owens-Brockway Glass Container, Inc.
3.00%, 06/01/15 144A		840,000		806,400
Oxford Industries, Inc.
11.38%, 07/15/15		135,000		143,270
Peabody Energy Corporation
6.50%, 09/15/20D		490,000		498,575
Pemex Project Funding Master Trust
6.63%, 06/15/35		516,000		616,620
Penn Mutual Life Insurance Co.
7.63%, 06/15/40 144A		685,000		847,777
Pioneer Natural Resources Co.
5.88%, 07/15/16		900,000		1,001,229
7.20%, 01/15/28		315,000		387,976
Plains Exploration & Production Co.
8.63%, 10/15/19		55,000		60,981
ProLogis LP
6.63%, 05/15/18D		15,000		17,323
QEP Resources, Inc.
6.88%, 03/01/21		290,000		323,350
Quicksilver Resources, Inc.
11.75%, 01/01/16		145,000		141,919
Qwest Capital Funding, Inc.
6.50%, 11/15/18		225,000		239,450
Qwest Corporation
3.72%, 06/15/13†D		100,000		100,117
7.50%, 06/15/23		110,000		110,880
7.25%, 09/15/25D		105,000		115,472
6.88%, 09/15/33D		2,500,000		2,500,000
7.25%, 10/15/35D		110,000		111,375
Range Resources Corporation
6.75%, 08/01/20		510,000		555,900
Regency Energy Partners LP
6.88%, 12/01/18		450,000		475,875
Reliance Holdings USA, Inc.
4.50%, 10/19/20 144AD		290,000		273,000
Republic Services, Inc.
4.75%, 05/15/23D		90,000		99,960
Reynolds Group Issuer, Inc.
7.75%, 10/15/16 144A		300,000		317,250
Service Corporation International
7.50%, 04/01/27		75,000		77,250
Simon Property Group LP
5.75%, 12/01/15D		25,000		27,954
SLM Corporation
5.38%, 01/15/13		650,000		663,802
5.38%, 05/15/14		1,000,000		1,038,713
8.45%, 06/15/18		769,000		865,125
8.00%, 03/25/20		10,000		11,000
Southern Copper Corporation
5.38%, 04/16/20D		70,000		77,911
6.75%, 04/16/40		350,000		374,136


	Par		Value
Springleaf Finance Corporation
5.75%, 09/15/16	$	700,000	$	560,000
6.50%, 09/15/17D		400,000		318,000
6.90%, 12/15/17		200,000		160,624
Sprint Capital Corporation
6.88%, 11/15/28		210,000		170,100
8.75%, 03/15/32		745,000		681,675
Steel Dynamics, Inc.
7.75%, 04/15/16D		280,000		289,800
7.63%, 03/15/20D		100,000		107,500
Teachers Insurance & Annuity Association of America
6.85%, 12/16/39 144A		100,000		129,581
Tenet Healthcare Corporation
8.88%, 07/01/19D		462,000		520,905
6.88%, 11/15/31D		85,000		72,462
Textron Financial Corporation
5.13%, 08/15/14D		30,000		31,825
Textron, Inc.
6.63%, 04/07/20(U)		130,000		228,986
Time Warner Cable, Inc.
8.75%, 02/14/19		190,000		252,953
8.25%, 04/01/19		40,000		52,339
Time Warner, Inc.
4.00%, 01/15/22D		100,000		105,976
Toys “R” Us, Inc.
7.38%, 10/15/18D		335,000		273,862
United Air Lines, Inc.
10.40%, 05/01/18D		578,794		660,578
6.64%, 01/02/24		245,460		256,506
Universal Hospital Services, Inc.
8.50%, 06/01/15 PIKD		20,000		20,488
Univision Com-munications, Inc.
7.88%, 11/01/20 144A		150,000		161,250
US Airways, Inc.
9.13%, 10/01/15		515,000		516,287
8.00%, 04/01/21		585,000		599,625
5.90%, 04/01/26D		335,000		342,956
USG Corporation
6.30%, 11/15/16D		1,250,000		1,203,125
Vanguard Health Holding Co. II LLC
8.00%, 02/01/18D		105,000		107,888
Verizon Maryland, Inc.
5.13%, 06/15/33D		45,000		46,724
Verizon Pennsylvania, Inc.
6.00%, 12/01/28		90,000		98,588
Wachovia Corporation
5.25%, 08/01/14		120,000		128,076
WellPoint, Inc.
7.00%, 02/15/19		80,000		99,464
Western Union Co.
6.20%, 06/21/40D		5,000		5,457
Westvaco Corporation
8.20%, 01/15/30		150,000		178,517
7.95%, 02/15/31		135,000		154,637
Weyerhaeuser Co.
8.50%, 01/15/25		405,000		480,032
6.95%, 10/01/27D		55,000		59,675
7.38%, 03/15/32		370,000		414,385
6.88%, 12/15/33		490,000		517,985

See Notes to Financial Statements.


	Par		Value
Whiting Petroleum Corporation
7.00%, 02/01/14	$	130,000	$	138,450
Williams Cos., Inc.
7.50%, 01/15/31		60,000		73,260
WPX Energy, Inc.
6.00%, 01/15/22 144AD		150,000		150,000
Wyndham Worldwide Corporation
7.38%, 03/01/20		380,000		452,365

Total Corporate Bonds
(Cost $66,419,622)				74,233,421

FOREIGN BONDS — 39.9%
Argentina — 0.4%
Argentina Boden Bonds
7.00%, 10/03/15D		442,000		342,108
Argentine Republic Government International Bond
8.75%, 06/02/17		93,000		77,022
8.28%, 12/31/33D		146,719		96,835
Pan American Energy LLC
7.88%, 05/07/21 144A		100,000		86,000
Pan American Energy LLC
7.88%, 05/07/21D		176,000		151,360

				753,325

Australia — 2.3%
FMG Resources August 2006 Proprietary, Ltd.
7.00%, 11/01/15 144AD		70,000		71,750
6.88%, 04/01/22 144AD		670,000		676,700
New South Wales Treasury Corporation
6.00%, 02/01/18(A)		2,620,000		2,995,753
Queensland Treasury Corporation
7.13%, 09/18/17(Z)		275,000		252,384
Rio Tinto Finance USA, Ltd.
9.00%, 05/01/19		260,000		355,974

				4,352,561

Bermuda — 0.8%
Qtel International Finance, Ltd.
4.75%, 02/16/21 144A		200,000		213,500
Sirius International Group, Ltd.
6.38%, 03/20/17 144A		1,250,000		1,324,334

				1,537,834

Brazil — 3.5%
Brazil Notas do Tesouro Nacional
10.00%, 01/01/14(B)		131,000		67,018
10.00%, 01/01/17(B)		4,207,000		2,150,813
Brazilian Government International Bond
4.88%, 01/22/21D		450,000		522,675
11.00%, 08/17/40		115,000		148,637
Federal Republic of Brazil
10.25%, 01/10/28(B)		5,250,000		3,260,829
Hypermarcas SA
6.50%, 04/20/21 144AD		150,000		145,500
Telemar Norte Leste SA
5.50%, 10/23/20 144A		110,000		112,750


	Par		Value
Telemar Norte Leste SA
5.50%, 10/23/20D	$	100,000	$	102,500

				6,510,722

Canada — 4.4%
Atlantic Power Corporation
9.00%, 11/15/18 144AD		310,000		318,525
Canadian Government Bond
2.50%, 06/01/15(C)		4,720,000		4,820,371
Methanex Corporation
5.25%, 03/01/22		75,000		77,961
Province of Manitoba
6.38%, 09/01/15(Z)		815,000		704,938
Province of Quebec
6.75%, 11/09/15(Z)		2,650,000		2,331,999
Stone Container Finance Company of Canada II Escrow
4.22%, 07/15/14+W		330,000		8,250
Teck Resources, Ltd.
10.25%, 05/15/16 144A		29,000		32,397

				8,294,441

Cayman Islands — 1.2%
Braskem Finance, Ltd.
7.00%, 05/07/20		180,000		197,604
Odebrecht Finance, Ltd.
7.00%, 04/21/20 144A		300,000		330,000
6.00%, 04/05/23 144A		220,000		232,826
Petrobras International Finance Co.
6.88%, 01/20/40D		390,000		465,738
6.75%, 01/27/41		160,000		188,477
Suzano Trading, Ltd.
5.88%, 01/23/21 144AD		250,000		233,950
Vale Overseas, Ltd.
6.88%, 11/21/36D		462,000		538,209

				2,186,804

Chile — 0.6%
AES Gener SA
5.25%, 08/15/21 144A		120,000		127,444
Celulosa Arauco y Constitucion SA
7.25%, 07/29/19		120,000		141,891
4.75%, 01/11/22 144A		125,000		128,410
Colbun SA
6.00%, 01/21/20		100,000		108,018
Colbun SA
6.00%, 01/21/20 144A		110,000		118,820
Corporation Nacional del Cobre de Chile
3.88%, 11/03/21 144A		220,000		232,515
Inversiones CMPC SA
4.75%, 01/19/18 144AD		200,000		209,099

				1,066,197

Colombia — 0.9%
Colombia Government International Bond
7.38%, 03/18/19D		200,000		262,500
7.38%, 09/18/37D		160,000		237,520
6.13%, 01/18/41		140,000		182,700
Ecopetrol SA
7.63%, 07/23/19D		440,000		553,926

See Notes to Financial Statements.

GLOBAL BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Empresa de Energia de Bogota SA
6.13%, 11/10/21 144A	$	250,000	$	265,000
Empresas Publicas de Medellin ESP
7.63%, 07/29/19 144A		120,000		147,000

				1,648,646

France — 0.5%
AXA SA
6.21%, 10/29/49(E)†D		210,000		199,157
Compagnie Generale de Geophysique—Veritas
9.50%, 05/15/16		650,000		713,375
Europcar Groupe SA
9.38%, 04/15/18 144A(E)		145,000		128,449

				1,040,981

Germany — 6.8%
Bundesobligation
2.00%, 02/26/16(E)D		910,000		1,220,402
0.75%, 02/24/17(E)		2,880,000		3,671,905
Bundesrepublik Deutschland
4.00%, 07/04/16(E)D		2,000		2,889
3.75%, 01/04/19(E)		770,000		1,143,839
3.25%, 01/04/20(E)		4,240,000		6,161,147
Kabel Deutschland Holding AG
6.50%, 07/31/17 144A(E)		100,000		129,398
Kabel Deutschland Vertrieb und Service GmbH
6.50%, 06/29/18 144A(E)		160,000		217,666
Rearden G Holdings EINS GmbH
7.88%, 03/30/20 144A		100,000		106,500
Unitymedia NRW GmbH
8.13%, 12/01/17 144A		100,000		108,000

				12,761,746

Iceland — 0.0%
Kaupthing Bank HF
7.13%, 05/19/16+ 144A#		150,000		1

Indonesia — 0.5%
Indonesia Government International Bond
6.63%, 02/17/37D		225,000		279,000
5.25%, 01/17/42D		370,000		388,962
Pertamina Persero PT
5.25%, 05/23/21 144A		200,000		210,000

				877,962

Ireland — 1.8%
Ardagh Glass Finance PLC
7.13%, 06/15/17 144A(E)D		112,000		133,586
Ireland Government Bond
4.50%, 10/18/18(E)		900,000		1,053,759
5.00%, 10/18/20(E)		50,000		58,243
5.40%, 03/13/25(E)		750,000		873,091
Nara Cable Funding, Ltd.
8.88%, 12/01/18 144A		360,000		311,400
Novatek OAO via Novatek Finance, Ltd.
6.60%, 02/03/21 144AD		200,000		218,800
XL Group PLC
6.25%, 05/15/27D		640,000		705,069

				3,353,948


	Par		Value
Italy — 0.5%
Italy Buoni Poliennali Del Tesoro
5.25%, 11/01/29(E)	$	20,000	$	23,262
5.75%, 02/01/33(E)		20,000		23,911
5.00%, 08/01/34(E)		20,000		21,780
Seat Pagine Gialle SpA
10.50%, 01/31/17(E)		129,000		104,480
Telecom Italia Capital SA
6.38%, 11/15/33		830,000		655,700
6.00%, 09/30/34		145,000		112,012

				941,145

Luxembourg — 1.9%
ArcelorMittal
3.75%, 02/25/15D		100,000		101,432
3.75%, 08/05/15D		140,000		140,878
6.13%, 06/01/18D		305,000		309,634
5.50%, 03/01/21D		30,000		28,443
7.00%, 10/15/39		295,000		287,196
6.75%, 03/01/41D		690,000		645,993
ConvaTec Healthcare E SA
10.88%, 12/15/18(E)		100,000		124,652
CSN Resources SA
6.50%, 07/21/20 144A		150,000		163,245
CSN Resources SA
6.50%, 07/21/20		100,000		108,830
Dematic SA
8.75%, 05/01/16 144A		250,000		262,071
Evraz Group SA
9.50%, 04/24/18D		160,000		172,640
6.75%, 04/27/18 144A		240,000		229,512
Greif Luxembourg Finance SCA
7.38%, 07/15/21 144A(E)		150,000		197,893
Hannover Finance Luxembourg SA
5.75%, 09/14/40(E)†		50,000		61,548
Ontex IV SA
9.00%, 04/15/19(E)		100,000		108,833
TNK-BP Finance SA
7.88%, 03/13/18D		290,000		333,137
Vimpel Communications OJSC Via UBS Luxembourg SA
8.25%, 05/23/16		125,000		131,078
Wind Acquisition Finance SA
7.25%, 02/15/18 144A		200,000		176,000
Wind Acquisition Holdings Finance SA
12.25%, 07/15/17 PIK(E)		8,277		7,646

				3,590,661

Malaysia — 0.6%
Malaysia Government Bond
3.84%, 08/12/15(R)		3,365,000		1,083,835
4.26%, 09/15/16(R)		140,000		46,032

				1,129,867

Marshall Islands — 0.1%
Teekay Corporation
8.50%, 01/15/20D		150,000		153,000

See Notes to Financial Statements.


	Par		Value
Mexico — 2.9%
America Movil SAB de CV
5.63%, 11/15/17	$	98,000	$	115,707
Axtel SAB de CV
7.63%, 02/01/17		20,000		13,300
9.00%, 09/22/19D		58,000		38,860
Axtel SAB de CV
7.63%, 02/01/17 144A		170,000		113,050
Grupo Televisa SAB
6.63%, 03/18/25D		100,000		123,461
6.63%, 01/15/40D		270,000		331,544
Kansas City Southern de Mexico SA de CV
12.50%, 04/01/16		60,000		67,161
8.00%, 02/01/18D		330,000		370,854
Mexican Bonos
8.00%, 06/11/20(M)		19,619,000		1,744,198
8.00%, 12/07/23(M)		26,500,000		2,405,827
Petroleos Mexicanos
6.50%, 06/02/41 144AD		135,000		158,288

				5,482,250

Netherlands — 1.7%
Clondalkin Acquisition BV
2.66%, 12/15/13 144A(E)†		66,000		77,050
EDP Finance BV
4.75%, 09/26/16(E)		300,000		330,542
6.00%, 02/02/18 144AD		200,000		174,182
4.90%, 10/01/19 144A		300,000		241,955
Indosat Palapa Co. BV
7.38%, 07/29/20 144A		100,000		109,000
Indosat Palapa Co. BV
7.38%, 07/29/20		100,000		109,000
Lukoil International Finance BV
6.36%, 06/07/17D		200,000		217,096
6.66%, 06/07/22		100,000		110,089
LyondellBasell Industries NV
6.00%, 11/15/21 144AD		160,000		176,400
5.75%, 04/15/24 144AD		260,000		279,500
OI European Group BV
6.88%, 03/31/17 144A(E)		100,000		131,612
Polish Television Holding BV
11.00%, 05/15/17 STEP 144A(E)		125,000		158,979
Swiss Reinsurance Co. Via ELM BV
5.25%, 05/29/49(E)†		400,000		437,864
UPC Holding BV
8.00%, 11/01/16(E)		154,000		204,145
VimpelCom Holdings BV
7.50%, 03/01/22 144A		200,000		188,388
Ziggo Bond Co. BV
8.00%, 05/15/18 144A(E)		250,000		344,849

				3,290,651

Norway — 0.9%
Norway Government Bond
5.00%, 05/15/15(K)		355,000		65,812
4.25%, 05/19/17(K)		8,060,000		1,531,206
Trico Shipping AS
11.04%, 05/13/14		33,104		32,938


	Par		Value
Trico Shipping AS
10.67%, 05/13/14W@	$	18,802	$	18,708

				1,648,664

Panama — 0.3%
AES El Salvador Trust
6.75%, 02/01/16		100,000		100,250
Panama Government International Bond
7.25%, 03/15/15		1,000		1,145
6.70%, 01/26/36		296,000		401,080

				502,475

Peru — 0.9%
Peru Government Bond
7.84%, 08/12/20(P)		2,050,000		913,829
Peruvian Government International Bond
7.35%, 07/21/25		40,000		56,400
8.75%, 11/21/33D		389,000		639,905
6.55%, 03/14/37D		8,000		10,928

				1,621,062

Portugal — 0.1%
Portugal Obrigacoes do Tesouro OT
4.80%, 06/15/20(E)		50,000		45,139
3.85%, 04/15/21(E)		150,000		124,801

				169,940

Russia — 0.8%
Russian Foreign Bond
7.50%, 03/31/30 STEP		767,165		922,969
5.63%, 04/04/42D		600,000		643,380

				1,566,349

South Africa — 0.2%
Edcon Proprietary, Ltd.
3.91%, 06/15/14(E)†		320,000		370,053

Spain — 0.1%
Santander Issuances SA Unipersonal
5.91%, 06/20/16 144A		100,000		92,799
Telefonica Emisiones SA Unipersonal
5.13%, 04/27/20		75,000		64,704

				157,503

Supranational — 0.8%
Inter-American Development Bank
7.11%, 09/23/13 (N)W†		15,900,000,000		1,553,181

Sweden — 0.1%
Corral Petroleum Holdings AB
15.00%, 12/31/17 PIK 144A(E)		141,933		140,999

Trinidad And Tobago — 0.1%
Petroleum Co. of Trinidad & Tobago, Ltd.
9.75%, 08/14/19 144A		240,000		296,760

See Notes to Financial Statements.

GLOBAL BOND FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Turkey — 0.4%
Turkey Government International Bond
7.50%, 07/14/17D	$	100,000	$	117,125
7.00%, 03/11/19		100,000		116,625
6.25%, 09/26/22D		345,000		391,575
6.88%, 03/17/36		73,000		85,976

				711,301

United Arab Emirates — 0.8%
DP World, Ltd.
6.85%, 07/02/37 144A		1,500,000		1,481,250

United Kingdom — 2.0%
Barclays Bank PLC
6.00%, 01/23/18(E)		450,000		558,362
Boparan Finance PLC
9.88%, 04/30/18 144A(U)		100,000		162,879
HBOS PLC
6.75%, 05/21/18 144A		500,000		472,285
HSBC Holdings PLC
6.00%, 06/10/19(E)		270,000		369,961
Inmarsat Finance PLC
7.38%, 12/01/17 144A		290,000		311,025
ISS A/S
11.00%, 06/15/14(E)		212,000		285,054
Lloyds TSB Bank PLC
6.50%, 03/24/20(E)D		326,000		361,241
Phones4u Finance PLC
9.50%, 04/01/18 144A(U)		130,000		186,293
Priory Group No. 3 PLC
8.88%, 02/15/19(U)		100,000		136,255
Southern Gas Networks PLC
4.88%, 12/21/20(U)		270,000		462,221
Vedanta Resources PLC
8.75%, 01/15/14D		210,000		218,148
6.75%, 06/07/16 144AD		200,000		189,240

				3,712,964

Venezuela — 0.9%
Venezuela Government International Bond
8.50%, 10/08/14		26,000		25,870
5.75%, 02/26/16D		1,153,000		997,345
7.75%, 10/13/19		360,000		278,100
9.25%, 09/15/27D		184,000		149,960
9.38%, 01/13/34D		207,000		160,425

				1,611,700

Virgin Islands (British) — 0.1%
GTL Trade Finance, Inc.
7.25%, 10/20/17 144A		189,000		212,625

Total Foreign Bonds
(Cost $72,623,390)				74,729,568

MORTGAGE-BACKED SECURITIES — 3.4%
Bayview Commercial Asset Trust
0.48%, 07/25/36 144A†		178,933		116,953
Credit Suisse Mortgage Capital Certificates
5.70%, 09/15/40†		220,000		235,951
Federal National Mortgage Association
3.50%, 07/01/41 TBA		3,700,000		3,889,047


	Par		Value
3.00%, 07/16/27 TBA	$	200,000	$	209,531
3.50%, 08/01/41 TBA		1,800,000		1,886,906
Government National Mortgage Association
4.50%, 07/01/41 TBA		100,000		109,922

Total Mortgage-Backed Securities
(Cost $6,392,527)				6,448,310

MUNICIPAL BOND — 0.2%
State of Illinois, General Obligation
5.10%, 06/01/33
(Cost $330,220)		435,000		411,597

	Number of Contracts
PURCHASED OPTION — 0.0%
Put Option — 0.0%
U.S. Dollar vs. Euro, Strike Price $1.22, Expires 07/10/12 (DEUT) (Cost $54,756)		64,800		4,095

	Par
U.S. TREASURY OBLIGATIONS — 2.7%
U.S. Treasury Bonds
3.50%, 02/15/39‡‡	$	3,700,000		4,282,173
4.25%, 05/15/39		40,000		52,250
4.63%, 02/15/40		140,000		193,681
3.88%, 08/15/40		30,000		36,938

				4,565,042

U.S. Treasury Notes
1.00%, 05/15/14		10,000		10,125
2.63%, 07/31/14		50,000		52,363
2.38%, 09/30/14		110,000		115,036
1.25%, 08/31/15		90,000		92,257
2.00%, 02/15/22		120,000		124,059

				393,840

Total U.S. Treasury Obligations
(Cost $4,114,795)				4,958,882

	Shares
COMMON STOCKS — 1.2%
Consumer Discretionary — 0.0%
Dex One CorporationD*		1,433		1,340

Healthcare — 0.3%
Bristol-Myers Squibb Co.		15,400		553,630

Materials & Processing — 0.4%
Georgia Gulf Corporation		3,161		81,143
PPG Industries, Inc.		5,751		610,296
Rock-Tenn Co. Class A		133		7,255

				698,694

Technology — 0.5%
Corning, Inc.D		70,534		912,005

Total Common Stocks
(Cost $1,798,364)				2,165,669

See Notes to Financial Statements.


	Shares		Value
FOREIGN COMMON STOCKS — 0.6%
Netherlands — 0.2%
Royal Dutch Shell PLC ADRD		6,443	$	434,452

Norway — 0.1%
Deep Ocean Group Holding+@		8,860		141,760

Spain — 0.3%
Repsol SA ADRD		15,133		241,825
Telefonica SA ADR		22,180		290,558

				532,383

Total Foreign Common Stocks
(Cost $1,273,319)				1,108,595

PREFERRED STOCKS — 1.4%
Ally Financial, Inc. 144A		400		356,363
Bank of America Corporation CONV*		602		586,950
Citigroup Capital XII		12,325		308,864
El Paso Energy Capital Trust ID		500		25,325
Lucent Technologies Capital Trust I CONV		1,891		1,276,425

Total Preferred Stocks
(Cost $2,410,358)				2,553,927

RIGHTS/WARRANTS — 0.0%
Buffets Restaurants Holdings, Inc.+		89		1
Charter Communications, Inc.		110		2,585
CMP Susquehanna Radio Holdings Corporation+@		1,706		7,945
Nortek, Inc.@D		184		561

Total Rights/Warrants
(Cost $50,348)				11,092

MONEY MARKET FUNDS — 30.5%
GuideStone Money Market Fund (GS4 Class)¥		22,824,499		22,824,499
Northern Institutional Liquid Assets Portfolio§		34,312,294		34,312,294

Total Money Market Funds
(Cost $57,136,793)				57,136,793

TOTAL INVESTMENTS — 119.6%
(Cost $212,604,492)				223,761,949
Liabilities in Excess of Other Assets — (19.6)%				(36,672,358	)

NET ASSETS — 100.0%			$	187,089,591

PORTFOLIO SUMMARY (based on net assets)


	%
Foreign Bonds		39.9
Corporate Bonds		39.7
Money Market Funds		30.5
Mortgage-Backed Securities		3.4
U.S. Treasury Obligations		2.7
Preferred Stocks		1.4
Common Stocks		1.2
Foreign Common Stocks		0.6
Municipal Bond		0.2
Forward Foreign Currency Contracts		0.1
Purchased Option		—	**
Rights/Warrants		—	**
Futures Contracts		(3.6	)

		116.1

** Rounds to less than 0.005%.

See Notes to Financial Statements.

GLOBAL BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	2,165,669		$	2,165,669		$	—	$	—
Corporate Bonds		74,233,421			—			69,686,089		4,547,332
Foreign Common Stocks		1,108,595			966,835			—		141,760
Foreign Bonds		74,729,568			—			72,950,087		1,779,481
Money Market Funds		57,136,793			57,136,793			—		—
Mortgage-Backed Securities		6,448,310			—			6,448,310		—
Municipal Bond		411,597			—			411,597		—
Preferred Stocks		2,553,927			2,553,927			—		—
Purchased Option		4,095			—			4,095		—
Rights/Warrants		11,092			3,146			—		7,946
U.S. Treasury Obligations		4,958,882			—			4,958,882		—

Total Assets — Investments in Securities	$	223,761,949		$	62,826,369		$	154,459,061	$	6,476,519

Other Financial Instruments***
Forward Foreign Currency Contracts	$	378,405		$	—		$	378,405	$	—

Total Assets — Other Financial Instruments	$	378,405		$	—		$	378,405	$	—

Liabilities:
Other Financial Instruments***
Futures Contracts	$	(46,202	)	$	(46,202	)	$	—	$	—

Total Liabilities — Other Financial Instruments	$	(46,202	)	$	(46,202	)	$	—	$	—

***

See Notes to Financial Statements.

(This page intentionally left blank)


STATEMENTS OF ASSETS AND LIABILITIES		June 30, 2012 (Unaudited)


Assets	Money Market Fund		Low-Duration Bond Fund
Investments in securities of unaffiliated issuers, at value	$	1,288,345,443	$	797,543,634
Investments in repurchase agreements, at value		—		101,400,000
Investments in securities of affiliated issuers, at value		—		21,455,441

Total investments⁽¹⁾⁽²⁾		1,288,345,443		920,399,075
Cash		187		670,531
Cash collateral for derivatives		—		692,000
Foreign currency⁽³⁾		—		4,632,680
Receivables:
Dividends and reclaims		—		270
Interest		547,389		4,121,007
Securities lending		—		4,351
Investment securities sold		—		53,513,828
Maturities		—		64,718
Fund shares sold		3,388,581		607,971
Variation margin on financial futures contracts		—		87,071
Unrealized appreciation on foreign currency exchange contracts		—		1,354,566
Unrealized appreciation on swap agreements		—		2,955,850
Prepaid expenses and other assets		37,786		18,999

Total Assets		1,292,319,386		989,122,917

Liabilities
Cash overdraft		—		—
TBA sale commitments, at value⁽⁵⁾		—		15,152,500
Options written at value⁽⁶⁾		—		416,036
Unrealized depreciation on foreign currency exchange contracts		—		944,808
Unrealized depreciation on swap agreements		—		177,050
Collateral held for securities on loan at value		—		63,148,921
Collateral held for derivatives		—		2,690,000
Payables:
Investment securities purchased		—		116,738,530
Fund shares redeemed		3,532,849		5
Variation margin on exchange traded swaps		—		740,779
Variation margin on financial futures contracts		—		21,459
Distributions		6,888		—
Securities lending		—		869
Accrued expenses:
Investment advisory fees		166,593		168,150
Shareholder servicing fees		84,800		129,356
Other expenses		63,307		110,823

Total Liabilities		3,854,437		200,439,286

Net Assets	$	1,288,464,949	$	788,683,631

Net Assets Consist of:
Paid-in-capital	$	1,288,444,404	$	790,736,400
Undistributed (distributions in excess of) net investment income		38		(210,026	)
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions		20,507		(1,995,499	)
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions		—		152,756

Net Assets	$	1,288,464,949	$	788,683,631

Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class	$	109,863,156	$	127,373,564

GS2 shares outstanding		109,857,196		14,741,006

Net asset value, offering and redemption price per GS2 share	$	1.00	$	8.64

Net assets applicable to the GS4 Class	$	1,178,601,793	$	661,310,067

GS4 shares outstanding		1,178,552,561		49,504,861

Net asset value, offering and redemption price per GS4 share	$	1.00	$	13.36


⁽¹⁾	Investments in securities of unaffiliated issuers, at cost	$	1,288,345,443	$	798,734,455
	Investments in repurchase agreements, at cost		—		101,400,000
	Investments in securities of affiliated issuers, at cost		—		21,455,441

	Total investments at cost	$	1,288,345,443	$	921,589,896

⁽²⁾	Includes securities loaned of:	$	—	$	56,638,978

⁽³⁾	Foreign currency at cost	$	—	$	4,623,625

⁽⁵⁾	TBA sale commitments at cost	$	—	$	15,118,750

⁽⁶⁾	Premiums received on options written	$	—	$	494,906

See Notes to Financial Statements.


Medium-Duration Bond Fund			Extended-Duration Bond Fund		Inflation Protected Bond Fund		Global Bond Fund
$	1,000,028,301		$	456,420,445	$	166,015,643	$	200,937,450
	107,700,000			—		—		—
	117,948,781			7,613,260		10,479,228		22,824,499

	1,225,677,082			464,033,705		176,494,871		223,761,949
	—			—		—		75
	399,966			—		—		500,000
	1,008,412			—		—		363,376

	931			3,239		72		26,851
	5,262,029			5,348,891		813,318		2,609,065
	3,737			2,232		—		6,112
	249,583,064			—		18,221		—
	24,518			—		—		—
	213,453			80,580		174,480		10,392
	273,234			—		114,142		45,941
	813,591			—		—		939,937
	3,127,048			—		—		—
	18,862			15,767		18,220		12,382

	1,486,405,927			469,484,414		177,633,324		228,276,080



	563,230			—		—		—
	14,736,844			—		—		—
	392,108			—		—		—
	974,604			—		—		561,532
	877,189			—		—		—
	60,749,614			29,153,001		—		34,312,294
	3,340,019			—		—		—


	472,361,752			—		931,110		6,111,489
	171,018			48,210		—		33,749
	601,265			—		—		—
	381,814			—		—		1,594
	—			—		—		—
	746			446		—		1,222

	248,017			158,135		43,432		67,219
	135,697			70,333		34,493		36,427
	144,161			62,664		39,076		60,963

	555,678,078			29,492,789		1,048,111		41,186,489

$	930,727,849		$	439,991,625	$	176,585,213	$	187,089,591


$	909,976,685		$	377,346,224	$	162,520,357	$	187,189,971
	(954,987	)		891,835		202,313		(530,052	)

	1,842,569			3,294,480		3,239,028		(11,026,696	)

	19,863,582			58,459,086		10,623,515		11,456,368

$	930,727,849		$	439,991,625	$	176,585,213	$	187,089,591



$	239,336,271		$	81,149,606		N/A		N/A

	32,430,674			12,249,288		N/A		N/A

$	7.38		$	6.62		N/A		N/A

$	691,391,578		$	358,842,019	$	176,585,213	$	187,089,591

	47,670,134			19,892,216		15,638,432		18,797,472

$	14.50		$	18.04	$	11.29	$	9.95


$	981,927,686		$	397,953,957	$	155,540,504	$	189,779,993
	107,700,000			—		—		—
	117,948,781			7,613,260		10,479,228		22,824,499

$	1,207,576,467		$	405,567,217	$	166,019,732	$	212,604,492

$	58,243,587		$	38,776,939	$	—	$	28,934,451

$	1,001,071		$	—	$	—	$	359,195

$	14,731,125		$	—	$	—	$	—

$	615,223		$	—	$	—	$	—

See Notes to Financial Statements.


STATEMENTS OF OPERATIONS		For the Six Months Ended June 30, 2012 (Unaudited)


Investment Income	Money Market Fund			Low-Duration Bond Fund
Dividends	$	—		$	—
Income distributions received from affiliated funds		—			1,485
Interest		1,818,056			8,439,657
Securities lending		2,239			34,554
Less foreign taxes withheld		—			—

Total Investment Income		1,820,295			8,475,696

Expenses
Investment advisory fees		990,021			1,297,120
Transfer agent fees:
GS2 shares		2,014			2,004
GS4 shares		19,931			12,699
Custodian fees		14,827			54,855
Shareholder servicing fees:
GS4 shares		1,398,964			770,099
Accounting and administration fees		135,456			131,278
Professional fees		26,104			42,378
Blue sky fees:
GS2 shares		1,034			633
GS4 shares		17,934			9,576
Shareholder reporting fees:
GS2 shares		429			372
GS4 shares		22,016			8,641
Trustee expenses		6,330			3,852
Line of credit facility fees		7,495			4,385
Other expenses		18,318			25,027

Total expenses		2,660,873			2,362,919
Expenses waived/reimbursed net of amount recaptured⁽²⁾		(956,482	)		(319,447	)

Net expenses		1,704,391			2,043,472

Net Investment Income		115,904			6,432,224

Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investment securities and securities sold short		20,507			(1,573,271	)
Futures transactions		—			80,879
Swap agreements		—			334,206
Option contracts written		—			32,765
Option contracts purchased		—			—
Foreign currency transactions		—			(806,911	)

Net realized gain (loss)		20,507			(1,932,332	)

Net change in unrealized appreciation (depreciation) on:
Investment securities and securities sold short		—			13,042,172
Futures		—			(117,542	)
Swap agreements		—			(141,859	)
Option contracts written		—			46,270
Option contracts purchased		—			208,429
Foreign currency translation		—			(628,627	)

Net change in unrealized appreciation (depreciation)		—			12,408,843

Net Realized and Unrealized Gain		20,507			10,476,511

Net Increase in Net Assets Resulting from Operations	$	136,411		$	16,908,735

⁽¹⁾	Inception date was September 1, 2011.

⁽²⁾	See Note 3a and 3c in Notes to Financial Statements.

See Notes to Financial Statements.


Medium- Duration Bond Fund		Extended- Duration Bond Fund			Inflation Protected Bond Fund			Global Bond Fund
$	90,000	$	10,048		$	—		$	194,141
	3,926		411			599			934
	13,616,035		11,483,494			2,791,014			4,988,587
	37,492		16,159			4,340			35,324
	—		—			—			(6,386	)

	13,747,453		11,510,112			2,795,953			5,212,600


	1,883,855		990,364			265,824			426,059

	2,015		1,968			—			—
	13,298		12,978			11,962			10,796
	106,526		12,800			11,071			24,059

	799,546		414,714			201,742			218,210
	180,916		63,452			22,506			53,867
	41,962		31,856			27,802			33,159

	633		511			—			—
	9,557		9,050			9,865			6,437

	385		276			—			—
	9,954		9,481			5,784			3,104
	4,420		2,276			1,146			1,189
	5,099		2,391			969			1,020
	68,292		8,296			5,370			15,209

	3,126,458		1,560,413			564,041			793,109
	(482,605)		(60,382	)		(14,268	)		(22,291	)

	2,643,853		1,500,031			549,773			770,818

	11,103,600		10,010,081			2,246,180			4,441,782



	4,065,995		3,585,163			3,099,379			1,399,942
	307,762		—			134,963			(195,154	)
	350,277		—			—			—
	136,993		—			—			—
	(32,787)		—			—			99,065
	(526,595)		(20,603	)		1,027			439,169

	4,301,645		3,564,560			3,235,369			1,743,022


	21,351,863		17,568,702			93,485			3,630,136
	(223,887)		—			177,230			(55,229	)
	959,030		—			—			—
	175,041		—			—			—
	(115,879)		—			—			(50,661	)
	224,654		7,735			7,760			(385,759	)

	22,370,822		17,576,437			278,475			3,138,487

	26,672,467		21,140,997			3,513,844			4,881,509

$	37,776,067	$	31,151,078		$	5,760,024		$	9,323,291

See Notes to Financial Statements.

STATEMENTS OF CHANGES IN NET ASSETS


	Money Market Fund
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)
Operations:
Net investment income	$	115,904		$	236,938
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions		20,507			6,991
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions		—			—

Net increase in net assets resulting from operations		136,411			243,929

Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		(57,446	)		(112,938	)
GS4 shares		(58,458	)		(124,000	)
Distributions from net realized capital gains
GS2 shares		—			(1,243	)
GS4 shares		—			(12,969	)

Total dividends and distributions		(115,904	)		(251,150	)

Capital Share Transactions:
Proceeds from shares sold
GS2 shares		38,228,419			154,616,809
GS4 shares		1,679,988,835			3,912,748,853
Reinvestment of dividends and distributions
GS2 shares		50,773			100,970
GS4 shares		22,851			61,686

Total proceeds from shares sold and reinvested		1,718,290,878			4,067,528,318

Value of shares redeemed
GS2 shares		(44,715,547	)		(157,730,463	)
GS4 shares		(1,663,058,601	)		(3,931,314,442	)

Total value of shares redeemed		(1,707,774,148	)		(4,089,044,905	)

Net increase (decrease) from capital share transactions⁽¹⁾		10,516,730			(21,516,587	)

Total increase (decrease) in net assets		10,537,237			(21,523,808	)

Net Assets:
Beginning of Period		1,277,927,712			1,299,451,520

End of Period*	$	1,288,464,949		$	1,277,927,712

*Including undistributed (distributions in excess of) net investment income	$	38		$	38

⁽¹⁾	See Note 7 in Notes to Financial Statements.

See Notes to Financial Statements.


Low-Duration Bond Fund						Bond Fund Medium-Duration
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	6,432,224		$	12,392,085		$	11,103,600		$	23,025,976

	(1,932,332	)		5,973,137			4,301,645			18,058,795

	12,408,843			(6,790,004	)		22,370,822			14,043,152

	16,908,735			11,575,218			37,776,067			55,127,923



	(1,952,030	)		(3,504,911	)		(4,657,772	)		(11,027,359	)
	(5,904,125	)		(9,679,718	)		(6,397,412	)		(14,780,466	)

	(181,052	)		(435,539	)		(912,456	)		(4,078,282	)
	(604,569	)		(1,363,124	)		(1,347,069	)		(5,778,384	)

	(8,641,776	)		(14,983,292	)		(13,314,709	)		(35,664,491	)



	6,166,592			16,099,588			13,269,705			21,121,078
	35,709,456			78,836,387			39,122,994			64,360,174

	2,127,579			3,936,833			5,565,574			15,099,539
	6,506,498			11,038,772			7,742,745			20,555,211

	50,510,125			109,911,580			65,701,018			121,136,002


	(4,123,560	)		(24,039,673	)		(11,874,744	)		(44,591,542	)
	(10,145,036	)		(46,883,049	)		(11,801,437	)		(82,217,273	)

	(14,268,596	)		(70,922,722	)		(23,676,181	)		(126,808,815	)

	36,241,529			38,988,858			42,024,837			(5,672,813	)

	44,508,488			35,580,784			66,486,195			13,790,619


	744,175,143			708,594,359			864,241,654			850,451,035

$	788,683,631		$	744,175,143		$	930,727,849		$	864,241,654

$	(210,026	)	$	1,213,905		$	(954,987	)	$	(1,003,403	)

See Notes to Financial Statements.

STATEMENTS OF CHANGES IN NET ASSETS


	Extended-Duration Bond Fund
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)
Operations:
Net investment income	$	10,010,081		$	20,862,046
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions		3,564,560			16,889,053
Net change in unrealized appreciation on investment securities, foreign currency trans-lations and derivative transactions		17,576,437			11,984,957

Net increase in net assets resulting from operations		31,151,078			49,736,056

Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		(3,588,540	)		(7,964,758	)
GS4 shares		(5,636,112	)		(13,885,510	)
Distributions from net realized capital gains
GS2 shares		(487,324	)		(6,179,790	)
GS4 shares		(823,981	)		(10,868,828	)

Total dividends and distributions		(10,535,957	)		(38,898,886	)

Capital Share Transactions:
Proceeds from shares sold
GS2 shares		6,477,923			9,682,470
GS4 shares		33,815,576			58,099,153
Reinvestment of dividends and distributions
GS2 shares		4,071,801			14,128,478
GS4 shares		6,456,596			24,748,569

Total proceeds from shares sold and reinvested		50,821,896			106,658,670

Value of shares redeemed
GS2 shares		(5,714,180	)		(17,170,249	)
GS4 shares		(31,200,820	)		(105,356,290	)

Total value of shares redeemed		(36,915,000	)		(122,526,539	)

Net increase (decrease) from capital share transactions⁽²⁾		13,906,896			(15,867,869	)

Total increase (decrease) in net assets		34,522,017			(5,030,699	)

Beginning of Period
Beginning of Period		405,469,608			410,500,307

End of Period*	$	439,991,625		$	405,469,608

*Including undistributed (distributions in excess of) net investment income	$	891,835		$	106,406

⁽²⁾	See Note 7 in Notes to Financial Statements.

See Notes to Financial Statements.

100


Inflation Protected Bond Fund						Global Bond Fund
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	2,246,180		$	3,531,837		$	4,441,782		$	8,725,553

	3,235,369			3,591,541			1,743,022			(2,617,065	)

	278,475			7,829,782			3,138,487			999,234

	5,760,024			14,953,160			9,323,291			7,107,722



	—			—			—			—
	(2,010,618	)		(3,711,792	)		(5,425,368	)		(8,997,511	)

	—			—			—			—
	(1,806,254	)		(2,460,477	)		—			—

	(3,816,872	)		(6,172,269	)		(5,425,368	)		(8,997,511	)



	—						—			—
	25,467,754			75,023,418			13,606,433			31,454,693

	—			—			—			—
	3,814,918			6,171,549			5,425,319			8,996,898

	29,282,672			81,194,967			19,031,752			40,451,591


	—			—			—			—
	(17,796,340	)		(34,645,081	)		(6,007,314	)		(29,464,225	)

	(17,796,340	)		(34,645,081	)		(6,007,314	)		(29,464,225	)

	11,486,332			46,549,886			13,024,438			10,987,366

	13,429,484			55,330,777			16,922,361			9,097,577


	163,155,729			107,824,952			170,167,230			161,069,653

$	176,585,213		$	163,155,729		$	187,089,591		$	170,167,230

$	202,313		$	(33,249	)	$	(530,052	)	$	453,534

See Notes to Financial Statements.

101

FINANCIAL HIGHLIGHTS (Unaudited)


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																						Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net			Expenses, Gross(1)			Investment Income, Net(2)			Portfolio Turnover Rate
Money Market Fund
GS2 Class
2012(3)	$	1.00	$	—	†#	$	—	†	$	—	†	$	—		$	1.00		0.05	%	$	109,863		0.18	%		0.19	%		0.10	%		N/A
2011		1.00		—	†#		—	†		—	†		—	†		1.00		0.10			116,298		0.18			0.19			0.09			N/A
2010		1.00		—	†		—	†		—	†		—	†		1.00		0.18			119,311		0.17			0.18			0.17			N/A
2009		1.00		—	†		—	†		—	†		—	†		1.00		0.47			133,323		0.23	(4)		0.23	(4)		0.49			N/A
2008		1.00		0.03			—	†		(0.03	)		—			1.00		2.95			171,739		0.20			0.20			2.86			N/A
2007		1.00		0.05			—	†		(0.05	)		—			1.00		5.23			112,581		0.23			0.23			5.11			N/A
GS4 Class
2012(3)	$	1.00	$	—	†#	$	—	†	$	—	†	$	—		$	1.00		0.01	%	$	1,178,602		0.28	%		0.44	%		0.01	%		N/A
2011		1.00		—	†#		—	†		—	†		—	†		1.00		0.01			1,161,630		0.27			0.42			0.01			N/A
2010		1.00		—	†		—	†		—	†		—	†		1.00		0.02			1,180,141		0.33			0.37			0.01			N/A
2009		1.00		—	†		—	†		—	†		—	†		1.00		0.29			1,064,934		0.41	(4)		0.43	(4)		0.28			N/A
2008		1.00		0.03			—	†		(0.03	)		—			1.00		2.75			970,146		0.40	(4)		0.40	(4)		2.72			N/A
2007		1.00		0.05			—	†		(0.05	)		—			1.00		5.03			939,596		0.43			0.43			4.92			N/A
Low-Duration Bond Fund
GS2 Class
2012(3)	$	8.59	$	0.08	#	$	0.11		$	(0.13	)	$	(0.01	)	$	8.64		2.30	%	$	127,374		0.36	%		0.41	%		1.85	%		118	%
2011		8.70		0.16	#		(0.01	)(5)		(0.23	)		(0.03	)		8.59		1.77			122,462		0.36			0.42			1.84			221
2010		8.70		0.20	#		0.17			(0.28	)		(0.09	)		8.70		4.35			128,143		0.36			0.41			2.27			257
2009		8.11		0.29	#		0.69			(0.39	)		—			8.70		12.29			115,741		0.36			0.42			3.47			322
2008		8.90		0.36	#		(0.60	)		(0.55	)		—			8.11		(2.76	)		105,223		0.36			0.41			4.19			427
2007		8.89		0.42	#		0.12			(0.53	)		—			8.90		6.22			133,374		0.42			0.45			4.71			248
GS4 Class
2012(3)	$	13.20	$	0.11	#	$	0.18		$	(0.12	)	$	(0.01	)	$	13.36		2.24	%	$	661,310		0.57	%		0.66	%		1.64	%		118	%
2011		13.23		0.22	#		(0.01	)(5)		(0.21	)		(0.03	)		13.20		1.58			621,713		0.55			0.65			1.64			221
2010		13.04		0.28	#		0.26			(0.26	)		(0.09	)		13.23		4.20			580,452		0.52			0.61			2.11			257
2009		11.99		0.42	#		1.00			(0.37	)		—			13.04		11.97			569,316		0.52			0.62			3.30			322
2008		12.88		0.51	#		(0.87	)		(0.53	)		—			11.99		(2.84	)		515,996		0.52			0.61			4.03			427
2007		12.63		0.58	#		0.17			(0.50	)		—			12.88		6.11			665,292		0.58			0.64			4.54			248

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(2)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(3)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(4)

The Money Market Fund participated in the U.S. Department of the Treasury (the “Treasury”) Temporary Guarantee Program for Money Market Funds (the “Program”). The Fund bore the expense of its participation in the Program without regard to any expense limitation in effect. The Program expired on September 18, 2009.

(5)	Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share.

See Notes to Financial Statements.

102


																								Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Excess Distribution/ Return of Capital		Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net			Expenses, Gross(1)			Investment Income, Net(2)			Portfolio Turnover Rate
Medium-Duration Bond Fund
GS2 Class
2012(3)	$	7.24	$	0.09	#	$	0.23		$	(0.15	)	$	(0.03	)	$	—	$	7.38		4.39	%	$	239,336		0.48	%		0.51	%		2.58	%		299	%
2011		7.25		0.20	#		0.27	(4)		(0.35	)		(0.13	)		—		7.24		6.56			228,024		0.48			0.52			2.76			609
2010		7.47		0.25	#		0.40			(0.41	)		(0.46	)		—		7.25		8.86			236,369		0.48			0.49			3.21			487
2009		7.13		0.31	#		0.85			(0.51	)		(0.31	)		—		7.47		17.07			139,917		0.48			0.51			4.17			427
2008		8.42		0.40	#		(0.72	)		(0.65	)		(0.32	)		—		7.13		(3.88	)		112,240		0.47			0.48			5.07			566
2007		8.52		0.42	#		0.12			(0.64	)		—	†		—		8.42		6.65			151,466		0.48			0.49			5.02			428
GS4 Class
2012(3)	$	14.07	$	0.17	#	$	0.43		$	(0.14	)	$	(0.03	)	$	—	$	14.50		4.25	%	$	691,392		0.63	%		0.76	%		2.43	%		299	%
2011		13.65		0.37	#		0.51	(4)		(0.33	)		(0.13	)		—		14.07		6.49			636,218		0.61			0.75			2.62			609
2010		13.36		0.43	#		0.71			(0.39	)		(0.46	)		—		13.65		8.65			614,082		0.58			0.68			3.11			487
2009		12.16		0.53	#		1.48			(0.50	)		(0.31	)		—		13.36		16.97			868,800		0.58			0.70			4.08			427
2008		13.64		0.65	#		(1.18	)		(0.63	)		(0.32	)		—		12.16		(3.89	)		738,610		0.58			0.67			4.96			566
2007		13.42		0.66	#		0.18			(0.62	)		—	†		—		13.64		6.46			1,079,034		0.61			0.68			4.88			428
Extended-Duration Bond Fund
GS2 Class
2012(3)	$	6.48	$	0.16	#	$	0.32		$	(0.30	)	$	(0.04	)	$	—	$	6.62		7.68	%		81,150		0.53	%		0.53	%		4.92	%		10	%
2011		6.93		0.37	#		0.49	(4)		(0.74	)		(0.57	)		—		6.48		13.33			74,591		0.54			0.55			5.32			41
2010		7.01		0.40	#		0.43			(0.80	)		(0.11	)		—		6.93		12.25			72,741		0.53			0.53			5.60			39
2009		6.31		0.44	#		1.04			(0.76	)		(0.02	)		—		7.01		25.27			67,699		0.53			0.53			6.78			41
2008		7.95		0.47	#		(1.11	)		(0.85	)		(0.15	)		—		6.31		(8.12	)		64,834		0.52			0.52			6.66			40
2007		8.13		0.41	#		0.23			(0.69	)		(0.13	)		—		7.95		8.45			75,841		0.53			0.53			5.21			101
GS4 Class
2012(3)	$	17.08	$	0.41	#	$	0.87		$	(0.28	)	$	(0.04	)	$	—	$	18.04		7.61	%	$	358,842		0.75	%		0.78	%		4.69	%		10	%
2011		16.28		0.86	#		1.22	(4)		(0.71	)		(0.57	)		—		17.08		13.14			330,879		0.73			0.78			5.13			41
2010		15.34		0.88	#		0.94			(0.77	)		(0.11	)		—		16.28		12.05			337,760		0.69			0.72			5.43			39
2009		12.97		0.91	#		2.22			(0.74	)		(0.02	)		—		15.34		24.97			392,962		0.69			0.73			6.60			41
2008		15.20		0.90	#		(2.15	)		(0.83	)		(0.15	)		—		12.97		(8.28	)		357,073		0.69			0.71			6.45			40
2007		14.81		0.74	#		0.44			(0.66	)		(0.13	)		—		15.20		8.29			500,252		0.72			0.72			5.02			101
Inflation Protected Bond Fund
GS4 Class
2012(3)	$	11.16	$	0.15	#	$	0.23		$	(0.13	)	$	(0.12	)	$	—	$	11.29		3.47	%	$	176,585		0.65	%		0.67	%		2.67	%		63	%
2011		10.43		0.29	#		0.94	(4)		(0.31	)		(0.19	)		—		11.16		12.00			163,156		0.66			0.68			2.65			114
2010		10.32		0.20	#		0.40			(0.21	)		(0.28	)		—		10.43		5.82			107,825		0.65			0.66			1.90			113
2009(5)(6)		10.00		0.19	#		0.32			(0.18	)		(0.01	)		—		10.32		5.12			87,994		0.67			0.70			3.53			55
Global Bond Fund
GS4 Class
2012(3)	$	9.73	$	0.24	#	$	0.28		$	(0.30	)	$	—		$	—	$	9.95		5.33	%	$	187,090		0.85	%		0.87	%		4.89	%		16	%
2011		9.83		0.51	#		(0.09	)(4)		(0.52	)		—			—		9.73		4.35			170,167		0.86			0.88			5.09			68
2010		9.36		0.52	#		0.51			(0.56	)		—			—		9.83		11.29			161,070		0.79			0.81			5.40			40
2009		7.34		0.56	#		2.07			(0.61	)		—			—		9.36		37.35			221,555		0.79			0.81			6.81			96
2008		10.14		0.64	#		(2.59	)		(0.75	)		(0.10	)		—		7.34		(20.28	)		167,465		0.78			0.80			7.20			176
2007		10.12		0.61			0.08			(0.64	)		(0.03	)		—		10.14		7.00			125,333		0.79			0.80			6.07			255

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	The ratio excludes expenses waived/reimbursed net of amount recaptured.

(2)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(3)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(4)	Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share.

(5)	Inception date was June 26, 2009.

(6)	Total return and portfolio turnover are not annualized. Ratios are annualized.

See Notes to Financial Statements.

103

DEFENSIVE MARKET STRATEGIES FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 51.4%
Consumer Discretionary — 6.3%
Aeropostale, Inc.*		11,060	$	197,200
Amazon.com, Inc.*		3,800		867,730
American Eagle Outfitters, Inc.		21,010		414,527
Arctic Cat, Inc.D*		4,500		164,520
Ascena Retail Group, Inc.*		7,520		140,022
AutoZone, Inc.*		2,660		976,672
Bed Bath & Beyond, Inc.*		3,000		185,400
Big Lots, Inc.*		3,100		126,449
Bravo Brio Restaurant Group, Inc.D*		5,710		101,809
Brunswick Corporation		5,520		122,654
Buckle, Inc. (The)D		1,000		39,570
Career Education Corporation*		15,100		101,019
Carnival CorporationD		5,100		174,777
CBS Corporation Class B		17,740		581,517
Chipotle Mexican Grill, Inc.D*		1,700		645,915
Coach, Inc.		6,740		394,155
Coldwater Creek, Inc.*		238,940		130,461
Costco Wholesale Corporation		12,800		1,216,000
Dollar Thrifty Automotive Group, Inc.D*		1,140		92,294
Dollar Tree, Inc.*		14,600		785,480
eBay, Inc.*		11,980		503,280
Estee Lauder Cos., Inc. (The) Class A		3,100		167,772
Family Dollar Stores, Inc.		7,560		502,589
Fossil, Inc.*		2,520		192,881
Gap, Inc. (The)D		9,610		262,930
Genuine Parts Co.		9,700		584,425
Guess ?, Inc.D		7,510		228,079
Hasbro, Inc.D		8,241		279,123
Hibbett Sports, Inc.D*		5,750		331,833
Home Depot, Inc. (The)		13,710		726,493
Kohl’s Corporation		3,800		172,862
Lennar Corporation Class A		2,790		86,239
Lowe’s Cos., Inc.D		54,500		1,549,980
McDonald’s Corporation		10,100		894,153
McGraw-Hill Co., Inc. (The)		5,600		252,000
NIKE, Inc. Class B		2,400		210,672
O’Reilly Automotive, Inc.D*		1,600		134,032
Panera Bread Co. Class AD*		3,900		543,816
PetSmart, Inc.D		3,900		265,902
Polaris Industries, Inc.		1,360		97,213
RadioShack CorporationD		36,700		140,928
Ralph Lauren Corporation		1,845		258,411
Ross Stores, Inc.		3,100		193,657
Scripps Networks Interactive, Inc. Class A		2,300		130,778
Stamps.com, Inc.D*		6,750		166,522
Starbucks Corporation		10,820		576,922
Starwood Hotels & Resorts Worldwide, Inc.		17,290		917,062
Target Corporation		19,480		1,133,541
Teavana Holdings, Inc.*		4,330		58,585
Tempur-Pedic International, Inc.D*		7,890		184,547
TJX Cos., Inc.		2,200		94,446
Tupperware Brands Corporation		2,400		131,424
Vitamin Shoppe, Inc.D*		2,090		114,804
Wal-Mart Stores, Inc.		23,000		1,603,560
Whirlpool CorporationD		10,093		617,288
Yum! Brands, Inc.D		15,830		1,019,769

				22,786,689


	Shares		Value
Consumer Staples — 5.1%
Campbell Soup Co.D		9,700		323,786
Church & Dwight Co., Inc.D		22,310		1,237,536
Clorox Co. (The)D		7,900		572,434
Coca-Cola Co. (The)		11,500		899,185
Colgate-Palmolive Co.		11,100		1,155,510
Crumbs Bake Shop, Inc.D*		13,390		29,458
CVS Caremark Corporation		6,400		299,072
Dr. Pepper Snapple Group, Inc.D		18,050		789,687
General Mills, Inc.		9,300		358,422
GNC Holdings, Inc. Class AD		4,230		165,816
H.J. Heinz Co.		9,900		538,362
Hershey Co. (The)		9,950		716,698
Hormel Foods CorporationD		6,800		206,856
Kellogg Co.		12,400		611,692
Kimberly-Clark CorporationD		15,100		1,264,927
Kraft Foods, Inc. Class A		1,100		42,482
Kroger Co. (The)		36,700		851,073
McCormick & Co., Inc.D		10,100		612,565
Monster Beverage Corporation*		3,300		234,960
PepsiCo, Inc.		16,370		1,156,704
Procter & Gamble Co. (The)		75,800		4,642,750
Safeway, Inc.D		4,000		72,600
Sanderson Farms, Inc.		1,570		71,937
Sysco CorporationD		14,000		417,340
Walgreen Co.		7,400		218,892
Whole Foods Market, Inc.		8,400		800,688

				18,291,432

Energy — 3.4%
Anadarko Petroleum
Corporation		9,830		650,746
Cabot Oil & Gas CorporationD		5,200		204,880
Chevron Corporation		15,500		1,635,250
Cobalt International Energy, Inc.*		9,810		230,535
Comstock Resources, Inc.D*		6,600		108,372
Concho Resources, Inc.*		1,690		143,853
Edgen Group, Inc.*		4,480		33,690
EOG Resources, Inc.		1,490		134,264
EQT Corporation		15,400		825,902
Exxon Mobil Corporation		69,600		5,955,672
FMC Technologies, Inc.*		2,340		91,798
Halcon Resources CorporationD*		1		9
Hercules Offshore, Inc.*		12,870		45,560
Kinder Morgan, Inc.D		11,343		365,472
National Oilwell Varco, Inc.		1,640		105,682
Occidental Petroleum
Corporation		6,810		584,094
Peabody Energy Corporation		3,120		76,502
Schlumberger, Ltd.		7,140		463,457
Spectra Energy CorporationD		8,000		232,480
Stone Energy Corporation*		2,630		66,644
Williams Cos., Inc. (The)		10,000		288,200

				12,243,062

Financial Services — 9.4%
Affiliated Managers Group, Inc.*		4,510		493,620

See Notes to Financial Statements.

104


	Shares		Value
Allstate Corporation (The)D		11,000	$	385,990
American Express Co.		8,390		488,382
American Tower Corporation REIT		12,780		893,450
Annaly Capital Management, Inc. REITD		76,500		1,283,670
Bank of Hawaii CorporationD		16,500		758,175
BlackRock, Inc.		590		100,194
Brown & Brown, Inc.		7,000		190,890
Camden Property Trust REIT		2,930		198,273
Capitol Federal Financial, Inc.D		186,900		2,220,372
Cardinal Financial CorporationD		5,590		68,645
Cardtronics, Inc.*		6,190		187,000
CBRE Group, Inc. Class A*		1,100		17,996
Chubb Corporation (The)		42,000		3,058,440
City National CorporationD		2,900		140,882
Commerce Bancshares, Inc.D		41,910		1,588,389
Cullen/Frost Bankers, Inc.D		13,400		770,366
Duke Realty Corporation REIT		3,260		47,727
Dun & Bradstreet Corporation (The)D		5,400		384,318
Equifax, Inc.		10,300		479,980
Factset Research Systems, Inc.D		4,100		381,054
Fidelity National Information Services, Inc.		14,070		479,506
First Connecticut Bancorp, Inc.		6,490		87,615
First Niagara Financial Group, Inc.		7,500		57,375
First Republic BankD*		8,740		293,664
Fiserv, Inc.*		300		21,666
Fortegra Financial CorporationD*		19,390		155,120
Hanover Capital Mortgage Holdings, Inc.*		6,030		141,343
IntercontinentalExchange, Inc.*		3,240		440,575
JPMorgan Chase & Co.		54,456		1,945,713
KeyCorp		38,900		301,086
LaSalle Hotel Properties REITD		5,510		160,561
M&T Bank Corporation		5,900		487,163
MarketAxess Holdings, Inc.		7,620		202,997
Marsh & McLennan Cos., Inc.		70,200		2,262,546
Mastercard, Inc. Class A		400		172,044
MetroCorp Bancshares, Inc.D*		20,920		223,216
New York Community Bancorp, Inc.D		14,400		180,432
Northern Trust CorporationD		74,100		3,410,082
Ocwen Financial Corporation*		19,450		365,271
OmniAmerican Bancorp, Inc.D*		5,160		110,579
People’s United Financial, Inc.D		72,400		840,564
Piedmont Office Realty Trust, Inc. REIT		46,900		807,149
PNC Financial Services Group, Inc.		12,700		776,097
ProAssurance Corporation		4,780		425,850
Progressive Corporation (The)D		4,800		99,984
Prologis, Inc. REIT		2,960		98,361
Prudential Financial, Inc.		6,010		291,064
Signature BankD*		4,460		271,926
Summit Hotel Properties, Inc. REITD		15,890		132,999
SunTrust Banks, Inc.		13,100		317,413
T Rowe Price Group, Inc.		1,900		119,624
TD Ameritrade Holding Corporation		6,030		102,510


	Shares		Value
Texas Capital Bancshares, Inc.D*		4,580	$	184,986
Total System Services, Inc.		2,100		50,253
Travelers Cos., Inc. (The)		10,310		658,190
US Bancorp		73,400		2,015,428
Visa, Inc. Class A		2,890		357,291
W.R. Berkley CorporationD		11,400		443,688
West Coast BancorpD*		8,070		158,576

				33,788,320

Healthcare — 9.2%
Abbott Laboratories		14,830		956,090
ABIOMED, Inc.*		2,030		46,326
Acadia Healthcare Co., Inc.D*		7,560		132,602
Aetna, Inc.		1,000		38,770
Air Methods CorporationD*		1,070		105,127
Akorn, Inc.D*		11,550		182,144
Alexion Pharmaceuticals, Inc.D*		3,480		345,564
Allergan, Inc.		4,340		401,754
AmerisourceBergen CorporationD		22,470		884,194
Amgen, Inc.		10,600		774,224
Amicus Therapeutics, Inc.*		5,990		32,945
Analogic Corporation		2,580		159,960
Ariad Pharmaceuticals, Inc.D*		4,240		72,970
ArthroCare CorporationD*		10,730		314,174
Baxter International, Inc.		9,750		518,212
Becton, Dickinson and Co.		7,300		545,675
Biogen Idec, Inc.*		10,260		1,481,339
Bristol-Myers Squibb Co.		49,180		1,768,021
C.R. Bard, Inc.		6,700		719,848
Cardinal Health, Inc.		6,600		277,200
Catalyst Health Solutions, Inc.*		1,880		175,667
Celgene Corporation*		7,500		481,200
Cepheid, Inc.D*		1,570		70,258
Cerner Corporation*		6,720		555,475
Cigna Corporation		1,090		47,960
Cubist Pharmaceuticals, Inc.D*		2,490		94,396
Cyberonics, Inc.D*		2,010		90,329
DaVita, Inc.*		100		9,821
Edwards Lifesciences Corporation*		1,100		113,630
Eli Lilly & Co.D		44,700		1,918,077
Express Scripts Holding Co.*		7,640		426,541
Forest Laboratories, Inc.*		3,000		104,970
Gilead Sciences, Inc.*		8,100		415,368
HCA Holdings, Inc.*		3,730		113,504
Health Management Associates, Inc. Class A*		7,780		61,073
Health Net, Inc.*		2,900		70,383
Healthsouth Corporation*		3,380		78,619
Henry Schein, Inc.*		2,400		188,376
Humana, Inc.		600		46,464
IDEXX Laboratories, Inc.D*		2,700		259,551
Incyte Corporation, Ltd.D*		850		19,295
Intuitive Surgical, Inc.*		740		409,805
Johnson & JohnsonD		85,000		5,742,600
Laboratory Corporation of America Holdings*		8,500		787,185
MAKO Surgical Corporation*		2,870		73,501
McKesson Corporation		7,400		693,750
Medicis Pharmaceutical Corporation Class AD		500		17,075
Medivation, Inc.D*		730		66,722

See Notes to Financial Statements.

105

DEFENSIVE MARKET STRATEGIES FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Merck & Co., Inc.		67,470	$	2,816,872
Metropolitan Health Networks, Inc.D*		15,270		146,134
Myriad Genetics, Inc.*		15,300		363,681
OncoGenex Pharmaceutical, Inc.D*		2,770		37,229
Onyx Pharmaceuticals, Inc.*		1,660		110,307
Optimer Pharmaceuticals, Inc.D*		3,130		48,578
Patterson Cos., Inc.		13,400		461,898
Perrigo Co.D		900		106,137
Pfizer, Inc.D		125,370		2,883,510
PSS World Medical, Inc.D*		10,990		230,680
Quest Diagnostics, Inc.		1,900		113,810
Questcor Pharmaceuticals, Inc.D*		5,360		285,366
Regeneron Pharmaceuticals, Inc.*		420		47,972
Santarus, Inc.D*		15,330		108,690
Spectrum Pharmaceuticals, Inc.D*		23,530		366,127
Stryker Corporation		5,650		311,315
SXC Health Solutions Corporation*		870		86,313
Synageva Biopharma Corporation*		720		29,203
United Therapeutics Corporation*		1,900		93,822
UnitedHealth Group, Inc.		13,200		772,200
Universal Health Services, Inc. Class B		2,260		97,542
WellCare Health Plans, Inc.*		3,030		160,590
WellPoint, Inc.		700		44,653
Zimmer Holdings, Inc.		4,000		257,440

				32,868,803

Materials & Processing — 1.4%
Air Products &
Chemicals, Inc.		18,400		1,485,432
CF Industries Holdings, Inc.D		540		104,620
Crown Holdings, Inc.*		11,170		385,253
E.I. du Pont de Nemours & Co.		14,900		753,493
Eastman Chemical Co.		5,860		295,168
Fastenal Co.		4,800		193,488
Freeport-McMoRan Copper & Gold, Inc.		3,400		115,838
Monsanto Co.		3,890		322,014
Newmont Mining Corporation		11,800		572,418
Nucor Corporation		2,690		101,951
Olin Corporation		6,200		129,518
PPG Industries, Inc.		2,190		232,403
Sherwin-Williams Co. (The)D		2,500		330,875

				5,022,471

Producer Durables — 4.7%
3M Co.		4,200		376,320
Agilent Technologies, Inc.		5,800		227,592
Automatic Data Processing, Inc.		19,300		1,074,238
BE Aerospace, Inc.D*		7,550		329,633
Boeing Co. (The)		4,280		318,004
C.H. Robinson Worldwide, Inc.		5,100		298,503
Caterpillar, Inc.		1,245		105,713
Chart Industries, Inc.*		2,170		149,209
Clean Harbors, Inc.D*		8,410		474,492


	Shares		Value
Delta Air Lines, Inc.*		16,540	$	181,113
Emerson Electric Co.		6,400		298,112
General Dynamics Corporation		2,700		178,092
General Electric Co.		5,200		108,368
Honeywell International, Inc.		3,010		168,078
Hub Group, Inc. Class AD*		1,860		67,332
Huron Consulting Group, Inc.D*		11,640		368,406
JB Hunt Transport Services, Inc.		3,250		193,700
Joy Global, Inc.		2,830		160,546
Knight Transportation, Inc.D		9,400		150,306
Lockheed Martin CorporationD		5,200		452,816
Mettler Toledo International, Inc.D*		200		31,170
Middleby CorporationD*		1,700		169,337
Molex, Inc.		102,000		2,063,460
MSC Industrial Direct Co., Inc. Class A		1,100		72,105
Northrop Grumman Corporation		1,400		89,306
OSI Systems, Inc.*		4,550		288,197
Paychex, Inc.		14,700		461,727
Raytheon Co.		18,000		1,018,620
Republic Services, Inc.D		59,200		1,566,432
Rockwell Automation, Inc.		3,200		211,392
SPX Corporation		4,170		272,384
Stericycle, Inc.D*		7,800		715,026
Titan International, Inc.D		2,620		64,269
Trimble Navigation, Ltd.*		3,140		144,471
Union Pacific Corporation		100		11,931
United Parcel Service, Inc. Class B		9,000		708,840
United Technologies Corporation		800		60,424
Waste Management, Inc.D		97,200		3,246,480
Werner Enterprises, Inc.D		1,700		40,613

				16,916,757

Technology — 3.9%
Altera Corporation		9,190		310,990
Analog Devices, Inc.		9,300		350,331
ANSYS, Inc.*		1,920		121,171
Apple, Inc.*		1,430		835,120
Applied Materials, Inc.		127,500		1,461,150
Broadcom Corporation Class A*		17,520		592,176
Cirrus Logic, Inc.*		4,470		133,564
Cisco Systems, Inc.		29,700		509,949
Citrix Systems, Inc.*		4,070		341,636
Corning, Inc.		24,100		311,613
Digimarc Corporation		9,270		237,868
Electronic Arts, Inc.*		12,420		153,387
EMC Corporation*		6,770		173,515
F5 Networks, Inc.*		700		69,692
Facebook, Inc.D*		2,410		74,999
Fortinet, Inc.*		7,920		183,903
Google, Inc. Class A*		1,905		1,105,033
GSI Group, Inc.D*		16,700		191,382
IAC/InterActiveCorp		12,100		551,760
Intel Corporation		21,200		564,980
International Business Machines Corporation		5,300		1,036,574
Intuit, Inc.		8,600		510,410
Jabil Circuit, Inc.		3,200		65,056
Juniper Networks, Inc.*		10,320		168,319

See Notes to Financial Statements.

106


	Shares		Value
Kenexa Corporation*		2,230	$	64,737
Linear Technology CorporationD		11,400		357,162
Manhattan Associates, Inc.*		1,440		65,822
Maxim Integrated Products, Inc.		8,900		228,196
MEMC Electronic Materials, Inc.D*		60,500		131,285
Microsoft Corporation		27,800		850,402
NETGEAR, Inc.*		3,030		104,565
ON Semiconductor Corporation*		19,360		137,456
Power Intergrations, Inc.		1,820		67,886
Red Hat, Inc.*		200		11,296
Remark Media, Inc.*		13,030		44,302
Riverbed Technology, Inc.*		9,300		150,195
Silicon Laboratories, Inc.*		8,400		318,360
Synopsys, Inc.*		8,600		253,098
Tech Data Corporation*		1,100		52,987
Teradata Corporation*		3,500		252,035
Texas Instruments, Inc.		2,300		65,987
TIBCO Software, Inc.*		4,310		128,955
Ubiquiti Networks, Inc.D*		6,150		87,638
VeriSign, Inc.D*		3,300		143,781
VMware, Inc.*		1,210		110,159
Xilinx, Inc.D		10,100		339,057

				14,019,939

Utilities — 8.0%
AES Corporation (The)*		3,870		49,652
AGL Resources, Inc.D		52,956		2,052,045
American Electric Power Co., Inc.		11,600		462,840
American Water Works Co., Inc.		15,600		534,768
AT&T, Inc.		104,600		3,730,036
CenterPoint Energy, Inc.		10,800		223,236
CenturyLink, Inc.D		49,100		1,938,959
Consolidated Edison, Inc.D		44,200		2,748,798
Dominion Resources, Inc.		21,000		1,134,000
DTE Energy Co.		4,600		272,918
Duke Energy Corporation		2,400		55,344
Entergy Corporation		3,600		244,404
Exelon Corporation		5,400		203,148
NextEra Energy, Inc.		4,100		282,121
NiSource, Inc.D		5,100		126,225
NV Energy, Inc.		61,900		1,088,202
ONEOK, Inc.		8,700		368,097
PG&E Corporation		56,500		2,557,755
Piedmont Natural Gas Co., Inc.		53,210		1,712,830
Pinnacle West Capital Corporation		6,100		315,614
Public Service Enterprise Group, Inc.		13,200		429,000
Questar Corporation		26,600		554,876
Sempra Energy		16,600		1,143,408
Southern Co. (The)D		22,200		1,027,860
tw telecom, Inc.D*		9,300		238,638
UGI Corporation		11,600		341,388
Verizon Communications, Inc.		25,900		1,150,996
WGL Holdings, Inc.D		81,900		3,255,525
Wisconsin Energy CorporationD		2,600		102,882
Xcel Energy, Inc.D		8,500		241,485

				28,587,050

Total Common Stocks
(Cost $171,317,003)				184,524,523


	Shares		Value
EQUITY LINKED SECURITIES — 0.7%
Credit Suisse New York NY		20,500	$	1,298,903
Goldman Sachs Group, Inc. @		9,200		611,929
UBS AG		48,536		614,174
Total Equity Linked Securities

(Cost $2,566,934)				2,525,006

FOREIGN COMMON STOCKS — 4.9%
Australia — 0.0%
Whitehaven Coal, Ltd.*		4,680		20,120

Bermuda — 0.4%
Alterra Capital
Holdings, Ltd.D		5,890		137,532
American Safety Insurance
Holdings, Ltd.D*		10,440		195,750
Everest Re Group, Ltd.		8,800		910,712
Invesco, Ltd.		7,160		161,816

				1,405,810

Canada — 0.3%
Agnico-Eagle Mines, Ltd.		2,570		103,982
AuRico Gold, Inc.D*		7,870		63,039
Bellatrix Exploration, Ltd.*		9,590		29,860
Cameco CorporationD		6,000		131,700
CGX Energy, Inc.*		48,455		23,321
Enbridge, Inc.		4,320		172,454
Epsilon Energy, Ltd.D*		21,860		42,299
Niko Resources, Ltd.		5,250		69,202
QLT, Inc.D*		4,130		31,471
Silvercrest Mines, Inc.*		16,323		27,897
Trioil Resources, Ltd.*		15,950		21,776
Yamana Gold, Inc.		17,380		267,652
YM Biosciences, Inc.*		3,720		7,366

				992,019

Cayman Islands — 0.0%
Herbalife, Ltd.		1,580		76,361

China — 0.0%
China Petroleum & Chemical
Corporation Class H		199,440		176,870

France — 0.5%
Total SA		36,500		1,642,829

Germany — 0.2%
Siemens AG		8,200		689,024

Guernsey — 0.0%
Chariot Oil & Gas, Ltd.*		17,500		28,186

Hong Kong — 0.1%
AIA Group, Ltd.		56,616		195,555

Ireland — 0.2%
Accenture PLC, Class A		8,900		534,801
Covidien PLC		1,910		102,185
Elan Corporation PLCD*		5,520		80,537
Jazz Pharmaceuticals PLCD*		2,800		126,028

				843,551

Japan — 0.4%
Astellas Pharma, Inc.		2,930		127,861
Honda Motor Co., Ltd.		13,800		481,559
Honda Motor Co., Ltd. ADRD		18,480		640,517
Ono Pharmaceutical Co., Ltd.		860		54,042

				1,303,979

See Notes to Financial Statements.

107

DEFENSIVE MARKET STRATEGIES FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Luxembourg — 0.1%
Flagstone Reinsurance
Holdings SAD		31,180	$	249,752
Pacific Drilling SAD*		9,130		77,696

				327,448

Mexico — 0.0%
Compartamos SAB de CV		118,570		138,750

Netherlands — 0.7%
Koninklijke Philips Electronics NV		—		9
Royal Dutch Shell PLC Class A		67,300		2,271,426
Ziggo NV		2,950		94,021

				2,365,456

Philippines — 0.1%
Metropolitan Bank & Trust		106,410		234,859

Puerto Rico — 0.0%
Oriental Financial Group, Inc.		9,880		109,470

South Korea — 0.0%
Korea Electric Power Corporation ADR*		9,230		103,191

Switzerland — 0.9%
ABB, Ltd. ADRD		14,300		233,376
ACE, Ltd.		4,800		355,824
Transocean, Ltd.*		12,850		574,780
Tyco International, Ltd.		40,400		2,135,140

				3,299,120

United Kingdom — 1.0%
Aon PLC		4,700		219,866
BHP Billiton PLC		6,690		190,146
BP PLC		72,100		481,497
Ophir Energy PLC*		16,494		149,724
Rockhopper Exploration PLC*		13,979		56,474
Rowan Cos. PLC*		10,480		338,818
Vodafone Group PLC		587,100		1,650,190
Vodafone Group PLC ADR		18,500		521,330

				3,608,045

Total Foreign Common Stocks
(Cost $17,083,686)				17,560,643

EXCHANGE TRADED NOTE — 0.0%
iPath S&P 500 VIX Short-Term Futures ETND* (Cost $39,625)		2,370		36,048

PREFERRED STOCKS — 3.8%
Apache CorporationD*		2,400		120,576
Bank of America Corporation*		200		195,000
Health Care REIT, Inc.*		28,500		1,539,000
Lucent Technologies Capital Trust I		1,600		1,080,000
MetLife, Inc.*		4,800		296,976
National City Capital Trust IVD*		53,900		1,359,897
Stanley Black & Decker, Inc.*		27,500		3,217,775
United Technologies Corporation*		2,144		112,967
Wells Fargo & Co.*		5,000		5,625,000

Total Preferred Stocks
(Cost $13,418,022)				13,547,191


	Shares		Value
RIGHT/WARRANT — 0.0%
Kinder Morgan, Inc.* (Cost $16,925)		8,672	$	18,732

MASTER LIMITED PARTNERSHIPS — 0.7%
El Paso Pipeline Partners LP		29,600		1,000,480
Spectra Energy Partners LP		54,100		1,646,263

Total Master Limited Partnerships
(Cost $2,675,661)				2,646,743

MONEY MARKET FUNDS — 23.1%
GuideStone Money Market
Fund (GS4 Class)¥		25,361,993		25,361,993
Northern Institutional Liquid Assets Portfolio§		57,575,888		57,575,888

Total Money Market Funds
(Cost $82,937,881)				82,937,881

	Par
CORPORATE BONDS — 24.1%
Advanced Micro Devices, Inc.
6.00%, 05/01/15D	$	1,850,000		1,875,438
Affiliated Managers Group, Inc.
3.95%, 08/15/38		1,500,000		1,625,625
Alere, Inc.
3.00%, 05/15/16D		1,200,000		1,083,000
Alliant Techsystems, Inc.
3.00%, 08/15/24D		350,000		352,188
American Axle & Manufacturing, Inc.
7.88%, 03/01/17		350,000		362,250
AmeriGas Finance LLC
6.75%, 05/20/20D		300,000		306,750
Amgen, Inc.
0.38%, 02/01/13D		1,000,000		1,045,000
ARAMARK Corporation
8.50%, 02/01/15		500,000		512,505
ArcelorMittal
5.00%, 05/15/14		500,000		515,000
Archer-Daniels-Midland Co.
0.88%, 02/15/14		1,000,000		1,010,000
Arris Group, Inc.
2.00%, 11/15/26		1,250,000		1,335,937
Avis Budget Group, Inc.
3.50%, 10/01/14		1,400,000		1,753,500
Bill Barrett Corporation
5.00%, 03/15/28		1,500,000		1,507,500
Boston Properties LP
3.63%, 02/15/14 144A		900,000		981,000
Bristow Group, Inc.
3.00%, 06/15/38		1,500,000		1,518,750
CenturyLink, Inc.
5.80%, 03/15/22		200,000		199,466
Charles River Laboratories
International, Inc.
2.25%, 06/15/13		1,500,000		1,507,500
Chesapeake Energy Corporation
2.50%, 05/15/37D		2,000,000		1,722,500
CIT Group, Inc.
5.00%, 05/15/17		240,000		247,350
5.25%, 03/15/18D		400,000		413,500
Covanta Holding Corporation
3.25%, 06/01/14		850,000		1,001,937

See Notes to Financial Statements.

108


	Par		Value
DaVita, Inc.
6.63%, 11/01/20	$	500,000	$	523,750
Electronic Arts, Inc.
0.75%, 07/15/16 144A		1,350,000		1,188,000
Euronet Worldwide, Inc.
3.50%, 10/15/25D		1,000,000		1,010,000
Exterran Holdings, Inc.
4.25%, 06/15/14		1,900,000		1,845,375
Frontier Communications Corporation
8.50%, 04/15/20D		450,000		479,250
General Cable Corporation
0.88%, 11/15/13		1,600,000		1,530,000
Gilead Sciences, Inc.
1.00%, 05/01/14D		925,000		1,153,938
Goodrich Petroleum Corporation
5.00%, 10/01/29D		2,000,000		1,872,500
Goodyear Tire & Rubber Co.
7.00%, 05/15/22D		225,000		225,844
Griffon Corporation
4.00%, 01/15/17 144A		350,000		327,687
Group 1 Automotive, Inc.
2.25%, 06/15/36 STEP		1,400,000		1,449,000
Hanesbrands, Inc.
6.38%, 12/15/20D		500,000		528,750
Health Care REIT, Inc.
3.00%, 12/01/29		1,000,000		1,188,750
Helix Energy Solutions Group, Inc.
3.25%, 12/15/25D		1,250,000		1,256,250
Hercules Offshore, Inc.
3.38%, 06/01/38 STEP		700,000		696,500
Hologic, Inc.
2.00%, 12/15/37 STEPD		1,009,000		991,342
2.00%, 03/01/42 STEPD		1,650,000		1,536,563
Hornbeck Offshore Services, Inc.
1.63%, 11/15/26 STEPD		1,500,000		1,578,750
Host Hotels & Resorts LP
3.25%, 04/15/24 144A@D		2,876,000		3,170,790
Iconix Brand Group, Inc.
2.50%, 06/01/16 144A		1,500,000		1,453,125
Illumina, Inc.
0.25%, 03/15/16 144A		1,300,000		1,166,750
Integra Lifesciences Holdings Corporation
1.63%, 12/15/16D		975,000		939,656
Intel Corporation
2.95%, 12/15/35D		101,000		114,761
Janus Capital Group, Inc.
3.25%, 07/15/14D		1,465,000		1,499,794
Jarden Corporation
7.50%, 05/01/17D		500,000		562,500
L-3 Communications Holdings, Inc.
3.00%, 08/01/35D		1,568,000		1,536,640
Leap Wireless International, Inc.
4.50%, 07/15/14D		2,150,000		2,050,562
Lennar Corporation
2.00%, 12/01/20 144A		1,600,000		2,016,000
Liberty Interactive LLC
3.13%, 03/30/23		750,000		919,688


	Par		Value
LifePoint Hospitals, Inc.
3.50%, 05/15/14	$	3,890,000	$	4,176,888
Limited Brands, Inc.
5.63%, 02/15/22D		200,000		207,000
Lincare Holdings, Inc.
2.75%, 11/01/37		251,000		300,886
Linear Technology Corporation
3.00%, 05/01/27D		1,250,000		1,296,875
Live Nation Entertainment, Inc.
2.88%, 07/15/27		1,000,000		957,500
Mediacom LLC
7.25%, 02/15/22D		350,000		357,875
Medtronic, Inc.
1.63%, 04/15/13		1,589,000		1,600,918
Meritor, Inc.
4.63%, 03/01/26 STEPD		1,300,000		1,135,875
Microchip Technology, Inc.
2.13%, 12/15/37		121,000		151,552
Micron Technology, Inc.
1.88%, 06/01/14		1,250,000		1,231,250
Navistar International Corporation
3.00%, 10/15/14D		375,000		351,562
NBTY, Inc.
9.00%, 10/01/18D		500,000		555,000
NuVasive, Inc.
2.75%, 07/01/17D		1,100,000		1,090,375
Omnicare, Inc.
3.25%, 12/15/35		1,350,000		1,290,938
Owens-Brockway Glass Container, Inc.
3.00%, 06/01/15 144A		1,800,000		1,728,000
Peabody Energy Corporation
4.75%, 12/15/41		521,000		425,266
Prologis LP
3.25%, 03/15/15		1,250,000		1,379,688
Rayonier TRS Holdings, Inc.
3.75%, 10/15/12		302,000		378,255
Reynolds Group Issuer LLC
9.88%, 08/15/19 144AD		250,000		259,688
Rovi Corporation
2.63%, 02/15/40D		1,400,000		1,354,500
Sally Holdings LLC
5.75%, 06/01/22D		200,000		210,250
SanDisk Corporation
1.00%, 05/15/13		1,100,000		1,089,000
SBA Communications Corporation
1.88%, 05/01/13		700,000		973,000
Terex Corporation
6.50%, 04/01/20		250,000		253,750
Teva Pharmaceutical Finance Co. LLC
0.25%, 02/01/26		1,000,000		1,047,500
Trinity Industries, Inc.
3.88%, 06/01/36D		2,000,000		1,982,500
tw telecom, Inc.
2.38%, 04/01/26		2,134,000		3,003,605
WebMD Health Corporation
2.50%, 01/31/18		1,700,000		1,436,500
Xm Satellite Radio, Inc.
7.00%, 12/01/14 144A		300,000		392,250

Total Corporate Bonds
(Cost $83,027,435)				86,307,457

See Notes to Financial Statements.

109

DEFENSIVE MARKET STRATEGIES FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par			Value
FOREIGN BONDS — 0.7%
Canada — 0.3%
PetroBakken Energy, Ltd.
3.13%, 02/08/16	$	1,300,000		$	1,287,000

Netherlands — 0.3%
Siemens Financierings-maatschappij NV
1.05%, 08/16/17		1,000,000			962,450

United Kingdom — 0.1%
Virgin Media Finance PLC
5.25%, 02/15/22D		400,000			411,000

Total Foreign Bonds
(Cost $2,683,359)					2,660,450

	Number of Contracts
PURCHASED OPTION — 0.0%
SPDR US, Strike Price $134.00, Expires 07/21/12 (KS) (Cost $12,556)		86			9,632

TOTAL INVESTMENTS — 109.4%
(Cost $375,779,087)					392,774,306

	Shares
COMMON STOCKS SOLD SHORT — (6.4)%
Consumer Discretionary — (1.3)%
Advance Auto Parts, Inc.		(5,030	)		(343,147	)
AutoNation, Inc.*		(1,900	)		(67,032	)
Cheesecake Factory, Inc. (The)*		(4,120	)		(131,675	)
Chipotle Mexican Grill, Inc.*		(390	)		(148,180	)
Columbia Sportswear Co.		(1,830	)		(98,125	)
Dollar General Corporation*		(1,400	)		(76,146	)
Dunkin’ Brands Group, Inc.		(7,820	)		(268,539	)
Foot Locker, Inc.		(8,680	)		(265,434	)
Genesco, Inc.*		(1,370	)		(82,406	)
Hasbro, Inc.		(6,540	)		(221,510	)
Jos. A. Bank Clothiers, Inc.*		(1,650	)		(70,059	)
LKQ Corporation*		(3,070	)		(102,538	)
Lowes Cos., Inc.		(7,190	)		(204,484	)
Lumber Liquidators Holdings, Inc.*		(1,600	)		(54,064	)
Marriott International, Inc. Class A		(14,450	)		(566,440	)
McDonald’s Corporation		(1,380	)		(122,171	)
Netflix, Inc.*		(750	)		(51,353	)
Omnicom Group, Inc.		(4,450	)		(216,270	)
Papa John’s International, Inc.*		(2,250	)		(107,032	)
PetSmart, Inc.		(4,180	)		(284,992	)
PulteGroup, Inc.*		(7,310	)		(78,217	)
Skechers USA, Inc. Class A*		(4,590	)		(93,498	)
Thor Industries, Inc.		(3,290	)		(90,179	)
Time Warner, Inc.		(8,980	)		(345,730	)
TJX Cos., Inc.		(5,700	)		(244,701	)
Tractor Supply Co.		(720	)		(59,803	)
Voxx International Corporation*		(2,830	)		(26,376	)
Wal-Mart Stores Inc		(3,300	)		(230,076	)

					(4,650,177	)

Consumer Staples — (0.4)%
Coca-Cola Enterprises, Inc.		(4,410	)		(123,656	)
CVS Caremark Corporation		(5,420	)		(253,277	)


	Shares			Value
Dean Foods Co.*		(17,130	)	$	(291,724	)
H.J. Hienz Co.		(6,050	)		(328,999	)
J.M. Smucker Co. (The)		(3,460	)		(261,299	)
Kraft Foods, Inc. Class A		(2,300	)		(88,826	)

					(1,347,781	)

Energy — (0.7)%
Apache Corporation		(6,610	)		(580,953	)
Arch Coal, Inc.		(10,480	)		(72,207	)
Berry Petroleum Co.		(1,770	)		(70,198	)
CARBO Ceramics, Inc.		(2,270	)		(174,177	)
ConocoPhillips		(1,840	)		(102,819	)
Continental Resources, Inc.*		(1,970	)		(131,242	)
Devon Energy Corporation		(1,580	)		(91,624	)
Diamond Offshore Drilling, Inc.		(5,310	)		(313,980	)
Dresser-Rand Group, Inc.*		(1,570	)		(69,928	)
Helmerich & Payne, Inc.		(7,280	)		(316,534	)
Oasis Petroleum, Inc.*		(3,350	)		(81,003	)
Patterson-UTI Energy, Inc.		(5,780	)		(84,157	)
Ultra Petroleum Corporation*		(8,460	)		(195,172	)
Whiting Petroleum Corporation*		(5,430	)		(223,282	)

					(2,507,276	)

Financial Services — (1.4)%
Aflac, Inc.		(4,360	)		(185,692	)
Allstate Corporation (The)		(5,810	)		(203,873	)
Ameriprise Financial, Inc.		(5,140	)		(268,616	)
Bank of America Corporation		(16,000	)		(130,880	)
Bank of New York Mellon Corporation (The)		(6,530	)		(143,333	)
BankUnited, Inc.		(3,520	)		(83,002	)
Charles Schwab Corporation (The)		(8,080	)		(104,474	)
CME Group, Inc.		(650	)		(174,271	)
DCT Industrial Trust, Inc. REIT		(8,860	)		(55,818	)
Dun & Bradstreet Corporation (The)		(4,510	)		(320,977	)
Factset Research Systems, Inc.		(1,620	)		(150,563	)
Government Properties Income Trust REIT		(3,263	)		(73,809	)
Green Dot Corporation Class A*		(4,730	)		(104,628	)
Host Hotels & Resorts, Inc. REIT		(9,140	)		(144,595	)
Jack Henry & Associates, Inc.		(16,710	)		(576,829	)
Jefferies Group, Inc.		(10,020	)		(130,160	)
KBW, Inc.		(6,120	)		(100,674	)
Legg Mason, Inc.		(6,070	)		(160,066	)
MSCI, Inc.*		(5,410	)		(184,048	)
Pebblebrook Hotel Trust REIT		(5,580	)		(130,070	)
Portfolio Recovery Associates, Inc.*		(1,280	)		(116,813	)
StanCorp Financial Group, Inc.		(4,490	)		(166,848	)
Sunstone Hotel Investors, Inc. REIT*		(9,100	)		(100,009	)
T Rowe Price Group, Inc.		(2,650	)		(166,844	)
Trustmark Corporation		(7,830	)		(191,678	)
UDR, Inc. REIT		(3,990	)		(103,102	)
W.R. Berkley Corporation		(5,830	)		(226,904	)
Waddell & Reed Financial, Inc. Class A		(4,810	)		(145,647	)
Zions Bancorporation		(12,440	)		(241,585	)

					(4,885,808	)

See Notes to Financial Statements.

110


	Shares			Value
Healthcare — (1.0)%
Amgen, Inc.		(3,920	)	$	(286,317	)
Becton, Dickinson and Co.		(2,650	)		(198,088	)
Celgene Corporation*		(380	)		(24,381	)
Charles River Laboratories International, Inc.*		(2,330	)		(76,331	)
DENTSPLY International, Inc.		(4,040	)		(152,752	)
Edwards Lifesciences Corporation		(4,060	)		(419,398	)
Henry Schein, Inc.*		(2,580	)		(202,504	)
Humana, Inc.		(1,220	)		(94,477	)
Immunogen, Inc.*		(2,560	)		(42,957	)
Insulet Corporation*		(1,890	)		(40,389	)
Laboratory Corporation of America Holdings*		(1,620	)		(150,028	)
Nektar Therapeutics*		(7,790	)		(62,865	)
Patterson Cos., Inc.		(4,590	)		(158,217	)
Quest Diagnostics, Inc.		(1,260	)		(75,474	)
Seattle Genetics, Inc.*		(2,320	)		(58,905	)
Thermo Fisher Scientific, Inc.		(13,410	)		(696,113	)
Varian Medical Systems, Inc.*		(4,280	)		(260,096	)
Watson Pharmaceuticals, Inc.*		(7,130	)		(527,549	)

					(3,526,841	)

Materials & Processing — (0.4)%
Alcoa, Inc.		(4,670	)		(40,862	)
Allegheny Technologies, Inc.		(2,610	)		(83,233	)
Ball Corporation		(8,180	)		(335,789	)
Celanese Corporation		(2,340	)		(81,011	)
Dow Chemical Co. (The)		(4,530	)		(142,695	)
International Flavors & Fragrances, Inc.		(2,080	)		(113,984	)
International Paper Co.		(2,190	)		(63,313	)
Royal Gold, Inc.		(640	)		(50,176	)
Sherwin Williams Co. (The)		(2,800	)		(370,580	)
Steel Dynamics, Inc.		(7,730	)		(90,827	)
Titanium Metals Corporation		(14,780	)		(167,162	)

					(1,539,632	)

Producer Durables — (0.8)%
3M Co.		(1,170	)		(104,832	)
Albany International Corporation Class A		(1,670	)		(31,246	)
Cintas Corporation		(1,510	)		(58,301	)
Copart, Inc.*		(3,650	)		(86,469	)
CoStar Group, Inc.*		(710	)		(57,652	)
Gardner Denver, Inc.		(2,480	)		(131,217	)
General Dynamics Corporation		(2,820	)		(186,007	)
Graco, Inc.		(1,400	)		(64,512	)
Kansas City Southern		(3,480	)		(242,069	)
Lindsay Corporation		(690	)		(44,781	)
Mettler-Toledo International, Inc.*		(2,480	)		(386,508	)
PACCAR, Inc.		(4,660	)		(182,626	)
Parker Hannifin Corporation		(3,440	)		(264,467	)
Paychex, Inc.		(3,140	)		(98,627	)
Rockwell Automation, Inc.		(4,020	)		(265,561	)
Southwest Airlines Co.		(14,790	)		(136,364	)
Stanley Black & Decker, Inc.		(1,040	)		(66,934	)
Stericycle, Inc.*		(1,893	)		(173,531	)
Tidewater, Inc.		(3,740	)		(173,386	)
Waste Management, Inc.		(5,660	)		(189,044	)

					(2,944,134	)


	Shares			Value
Technology — (0.4)%
Informatica Corporation*		(1,870	)	$	(79,213	)
Intel Corporation		(5,910	)		(157,502	)
Parametric Technology
Corporation*		(3,050	)		(63,928	)
Polycom, Inc.*		(15,880	)		(167,058	)
QLogic Corporation*		(5,500	)		(75,295	)
Rackspace Hosting, Inc.*		(1,230	)		(54,046	)
Rovi Corporation*		(3,120	)		(61,214	)
Sapient Corporation*		(6,360	)		(64,045	)
Syntel, Inc.		(720	)		(43,704	)
Tech Data Corporation*		(7,210	)		(347,306	)
TriQuint Semiconductor, Inc.*		(11,600	)		(63,800	)
Vishay Intertechnology, Inc.*		(6,430	)		(60,635	)
Western Digital Corporation*		(4,910	)		(149,657	)

					(1,387,403	)

Total Common Stocks Sold Short
(Cost $(22,489,003))					(22,789,052	)

FOREIGN COMMON STOCKS SOLD SHORT — (1.2)%
Bermuda — (0.1)%
Nabors Industries, Ltd.*		(9,050	)		(130,320	)
Signet Jewelers, Ltd.		(1,340	)		(58,973	)

					(189,293	)

British Virgin Islands — 0.0%
Michael Kors Holdings, Ltd.*		(1,630	)		(68,199	)

Canada — (0.3)%
Agrium, Inc.		(3,040	)		(268,949	)
Detour Gold Corporation*		(2,130	)		(42,910	)
EnCana Corporation		(15,410	)		(320,990	)
Gildan Activewear, Inc.		(2,290	)		(63,021	)
Royal Bank of Canada		(2,320	)		(118,830	)
Tim Hortons, Inc.		(2,290	)		(120,546	)

					(935,246	)

China — (0.2)%
Great Wall Motor Co., Ltd.
Class H		(33,668	)		(67,880	)
Health Net, Inc.		(4,400	)		(106,788	)
Mindray Medical International, Ltd. ADR		(4,460	)		(135,093	)
Netease, Inc. ADR*		(2,020	)		(118,877	)
PetroChina Co., Ltd. Class H		(139,280	)		(178,634	)

					(607,272	)

Germany — (0.2)%
Bayer AG		(881	)		(63,485	)
Daimler AG		(6,135	)		(275,704	)
Muenchener Rueckversicherungs AG		(720	)		(101,595	)
SAP AG ADR		(3,850	)		(228,536	)
SGL Carbon SE		(1,720	)		(67,319	)

					(736,639	)

Hong Kong — (0.1)%
Focus Media Holding, Ltd. ADR		(7,140	)		(167,647	)
Hong Kong Exchanges and Clearing, Ltd.		(14,940	)		(214,968	)

					(382,615	)

India — 0.0%
Infosys, Ltd. ADR		(1,450	)		(65,337	)

Ireland — 0.0%
Shire PLC ADR		(580	)		(50,106	)

See Notes to Financial Statements.

111

DEFENSIVE MARKET STRATEGIES FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares			Value
Japan — 0.0%
Takeda Pharmaceutical Co., Ltd.		(1,650	)	$	(74,913	)

Luxembourg — 0.0%
ArcelorMittal		(6,800	)		(103,836	)

Mexico — 0.0%
Coca-Cola Femsa SAB de CV ADR		(570	)		(74,602	)
Grupo Financiero Banorte SAB de CV		(14,310	)		(73,954	)

					(148,556	)

Netherlands — (0.1)%
LyondellBasell Industries N.V.
Class A		(5,440	)		(219,069	)
Tornier NV*		(1,790	)		(40,132	)
VistaPrint NV*		(6,420	)		(207,366	)

					(466,567	)

South Africa — (0.1)%
AngloGold Ashanti, Ltd. ADR		(4,780	)		(164,145	)

Sweden — 0.0%
Telefonaktiebolaget LM
Ericsson ADR		(11,820	)		(107,917	)

United Kingdom — (0.1)%
Anglo American PLC		(5,655	)		(185,853	)
Weir Group PLC (The)		(4,030	)		(96,840	)

					(282,693	)

Total Foreign Common Stocks Sold Short
(Cost $(4,337,866))					(4,383,334	)

EXCHANGE TRADED FUNDS SOLD SHORT — (1.0)%
iShares Nasdaq Biotechnology Index Fund		(1,040	)		(135,153	)
Market Vectors Semiconductor*		(6,040	)		(194,669	)
Materials Select Sector SPDR Fund		(7,270	)		(256,558	)
SPDR S&P 500 ETF Trust		(7,090	)		(966,154	)
SPDR S&P Oil & Gas Exploration & Production ETF		(8,040	)		(405,216	)
SPDR S&P Retail ETF		(3,280	)		(193,619	)

Select Sector SPDR Fund		(2,850	)		(124,773	)

Energy Select Sector SPDR Fund		(1,120	)		(74,334	)
Vanguard Small-Cap ETF		(8,140	)		(618,966	)
Vanguard Small-Cap Growth ETF		(8,360	)		(700,150	)

SPDR S&P Biotech ETF*		(540	)		(47,774	)

Total Exchange Traded Funds Sold Short
(Cost $(3,594,461))					(3,717,366	)

TOTAL SECURITIES SOLD SHORT — (8.6)%
(Cost $(30,421,330))					(30,889,752	)

Other Assets in Excess of Liabilities — (0.8)%					(2,895,606	)

NET ASSETS — 100.0%				$	358,988,948

PORTFOLIO SUMMARY (based on net assets)


	%
Corporate Bonds		24.1
Money Market Funds		23.1
Financial Services		9.4
Healthcare		9.2
Utilities		8.0
Consumer Discretionary		6.3
Consumer Staples		5.1
Foreign Common Stocks		4.9
Producer Durables		4.7
Technology		3.9
Preferred Stocks		3.8
Energy		3.4
Futures Contract		3.1
Materials & Processing		1.4
Equity Linked Securities		0.7
Foreign Bonds		0.7
Master Limited Partnerships		0.7
Exhange Traded Note		—	**
Purchased Option		—	**
Right/Warrant		—	**
Exchange Traded Funds Sold Short		(1.0	)
Foreign Common Stocks Sold Short		(1.2	)
Forward Foreign Currency Contracts		(1.7	)
Common Stocks Sold Short		(6.4	)

		102.2

**	Rounds to less than 0.005%.

See Notes to Financial Statements.

112

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs			Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	184,524,523		$	184,524,523		$	—		$	—
Corporate Bonds		86,307,457			—			78,959,779			7,347,678
Equity Linked Securities		2,525,006			—			—			2,525,006
Exchange Traded Note		36,048			36,048			—			—
Foreign Common Stocks		17,560,643			9,110,272			8,450,371			—
Foreign Bonds		2,660,450			—			2,660,450			—
Master Limited Partnerships		2,646,743			2,646,743			—			—
Money Market Funds		82,937,881			82,937,881			—			—
Preferred Stocks		13,547,191			13,547,191			—			—
Purchased Option		9,632			9,632			—			—
Right/Warrant		18,732			18,732			—			—

Total Assets — Investments in Securities	$	392,774,306		$	292,831,022		$	90,070,600		$	9,872,684

Other Financial Instruments***
Futures Contracts	$	344,378		$	344,378		$	—		$	—

Total Assets — Other Financial Instruments	$	344,378		$	344,378		$	—		$	—

Liabilities:
Investments in Securities:
Common Stocks Sold Short	$	(22,789,052	)	$	(22,789,052	)	$	—		$	—
Exchange Traded Funds Sold Short		(3,717,366	)		(3,717,366	)		—			—
Foreign Common Stocks Sold Short		(4,383,334	)		(3,056,143	)		(1,327,191	)		—

Total Liabilities — Investments in Securities	$	(30,889,752	)	$	(29,562,561	)	$	(1,327,191	)	$	—

Other Financial Instruments***
Forward Foreign Currency Contracts	$	(49,762	)	$	—		$	(49,762	)	$	—

Total Liabilities — Other Financial Instruments	$	(49,762	)	$	—		$	(49,762	)	$	—

***

See Notes to Financial Statements.

113

EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 92.9%
Consumer Discretionary — 12.1%
Amazon.com, Inc.*		6,913	$	1,578,584
Apollo Group, Inc. Class A*		2,129		77,049
AutoNation, Inc.D*		696		24,555
AutoZone, Inc.*		524		192,397
Avon Products, Inc.D		8,252		133,765
Bed Bath & Beyond, Inc.*		4,460		275,628
Best Buy Co., Inc.D		5,352		112,178
Big Lots, Inc.*		1,340		54,659
BorgWarner, Inc.*		2,193		143,839
Cablevision Systems Corporation Class AD		4,428		58,848
CarMax, Inc.D*		4,332		112,372
Carnival Corporation		8,611		295,099
CBS Corporation Class B		12,459		408,406
Chipotle Mexican Grill, Inc.*		598		227,210
Coach, Inc.		5,543		324,155
Comcast Corporation Class AD		51,638		1,650,867
Costco Wholesale Corporation		8,261		784,795
D.R. Horton, Inc.		5,490		100,906
Darden Restaurants, Inc.D		2,510		127,081
DeVry, Inc.D		1,239		38,372
DIRECTV Class A*		12,569		613,619
Discovery Communications, Inc. Class A*		4,909		265,086
Dollar Tree, Inc.*		4,412		237,366
eBay, Inc.*		22,157		930,816
Estee Lauder Cos., Inc. (The) Class A		4,352		235,530
Expedia, Inc.D		1,715		82,440
Family Dollar Stores, Inc.		2,176		144,660
Ford Motor Co.		72,774		697,903
Fossil, Inc.*		993		76,004
GameStop Corporation Class AD		2,459		45,147
Gannett Co., Inc.D		4,704		69,290
Gap, Inc. (The)		6,351		173,763
Genuine Parts Co.D		2,997		180,569
Goodyear Tire & Rubber Co. (The)D*		4,943		58,377
H&R Block, Inc.		5,850		93,483
Harley-Davidson, Inc.		4,340		198,468
Harman International Industries, Inc.		1,346		53,302
Hasbro, Inc.D		2,303		78,003
Home Depot, Inc. (The)		29,386		1,557,164
Interpublic Group of Cos., Inc. (The)		8,293		89,979
J.C. Penney Co., Inc.D		2,818		65,688
Johnson Controls, Inc.		12,987		359,870
Kohl’s Corporation		4,566		207,707
Leggett & Platt, Inc.D		2,803		59,227
Lennar Corporation Class AD		3,110		96,130
Limited Brands, Inc.		4,599		195,595
Lowe’s Cos., Inc.		22,582		642,232
Macy’s, Inc.		7,898		271,296
Marriott International, Inc. Class AD		5,050		197,960
Marriott International, Ltd.
Placeholder Shares+		82,125		—
Mattel, Inc.		6,607		214,331
McDonald’s Corporation		19,519		1,728,017
McGraw-Hill Co., Inc. (The)		5,336		240,120


	Shares		Value
Netflix, Inc.D*		1,014	$	69,429
Newell Rubbermaid, Inc.		5,589		101,384
News Corporation Class A		40,543		903,703
NIKE, Inc. Class B		7,079		621,395
Nordstrom, Inc.		3,020		150,064
Omnicom Group, Inc.		5,159		250,727
O’Reilly Automotive, Inc.*		2,424		203,058
priceline.com, Inc.*		960		637,939
PulteGroup, Inc.*		6,461		69,133
Ralph Lauren Corporation		1,237		173,254
Ross Stores, Inc.		4,284		267,621
Scripps Networks Interactive, Inc. Class A		1,727		98,197
Sears Holdings CorporationD*		673		40,178
Snap-on, Inc.		1,158		72,085
Staples, Inc.D		12,983		169,428
Starbucks Corporation		14,477		771,914
Starwood Hotels & Resorts Worldwide, Inc.		3,729		197,786
Target Corporation		12,756		742,272
Tiffany & Co.D		2,450		129,728
Time Warner Cable, Inc.		5,969		490,055
Time Warner, Inc.		18,271		703,434
TJX Cos., Inc.		14,225		610,679
TripAdvisor, Inc.D*		1,715		76,643
Urban Outfitters, Inc.D*		2,249		62,050
VF Corporation		1,637		218,458
Wal-Mart Stores, Inc.		33,065		2,305,292
Walt Disney Co. (The)		34,333		1,665,150
Washington Post Co. (The) Class BD		98		36,634
Whirlpool Corporation		1,462		89,416
Wyndham Worldwide CorporationD		2,882		151,997
Yum! Brands, Inc.		8,750		563,675

				29,522,685

Consumer Staples — 7.3%
Archer-Daniels-Midland Co.		12,738		376,026
Campbell Soup Co.		3,495		116,663
Clorox Co. (The)D		2,462		178,396
Coca-Cola Co. (The)		43,255		3,382,108
Coca-Cola Enterprises, Inc.		5,844		163,866
Colgate-Palmolive Co.		9,128		950,225
ConAgra Foods, Inc.		7,857		203,732
CVS Caremark Corporation		24,565		1,147,922
Dean Foods Co.*		3,527		60,065
Dr. Pepper Snapple Group, Inc.		3,989		174,519
General Mills, Inc.		12,261		472,539
H.J. Heinz Co.		6,176		335,851
Hershey Co. (The)		2,946		212,200
Hormel Foods CorporationD		2,583		78,575
J.M. Smucker Co. (The)		2,229		168,334
Kellogg Co.		4,795		236,537
Kimberly-Clark Corporation		7,497		628,024
Kraft Foods, Inc. Class A		34,004		1,313,234
Kroger Co. (The)		10,809		250,661
McCormick & Co., Inc.		2,535		153,748
Mead Johnson Nutrition Co.		3,925		316,002
Monster Beverage
Corporation*		2,941		209,399
PepsiCo, Inc.		29,903		2,112,946
Procter & Gamble Co. (The)		52,475		3,214,094
Safeway, Inc.D		4,601		83,508

See Notes to Financial Statements.

114


	Shares		Value
Sysco CorporationD		11,174	$	333,097
Tyson Foods, Inc. Class A		5,763		108,517
Walgreen Co.		16,492		487,833
Whole Foods Market, Inc.		3,158		301,021

				17,769,642

Energy — 10.4%
Alpha Natural Resources, Inc.*		4,345		37,845
Anadarko Petroleum Corporation		9,544		631,813
Apache Corporation		7,610		668,843
Baker Hughes, Inc.		8,341		342,815
Cabot Oil & Gas CorporationD		4,014		158,152
Cameron International Corporation*		4,706		200,993
Chesapeake Energy CorporationD		12,636		235,030
Chevron Corporation		37,814		3,989,377
ConocoPhillips		24,319		1,358,946
Consol Energy, Inc.		4,348		131,484
Denbury Resources, Inc.*		7,628		115,259
Devon Energy Corporation		7,668		444,667
Diamond Offshore Drilling, Inc.D		1,330		78,643
EOG Resources, Inc.		5,154		464,427
EQT Corporation		2,869		153,864
Exterran Holdings, Inc.*		13		166
Exxon Mobil Corporation		89,729		7,678,111
First Solar, Inc.D*		1,151		17,334
FMC Technologies, Inc.*		4,610		180,850
Halliburton Co.		17,660		501,367
Helmerich & Payne, Inc.D		2,051		89,177
Hess Corporation		5,789		251,532
Kinder Morgan, Inc.		9,665		311,406
Marathon Oil Corporation		13,606		347,905
Marathon Petroleum Corporation		6,614		297,101
Murphy Oil Corporation		3,710		186,576
National Oilwell Varco, Inc.		8,120		523,253
Newfield Exploration Co.*		2,539		74,418
Noble Energy, Inc.		3,378		286,522
Occidental Petroleum Corporation		15,526		1,331,665
Peabody Energy CorporationD		5,193		127,332
Phillips 66*		11,947		397,118
Pioneer Natural Resources Co.		2,343		206,676
QEP Resources, Inc.D		3,403		101,988
Range Resources CorporationD		3,052		188,827
Schlumberger, Ltd.		25,518		1,656,373
Southwestern Energy Co.*		6,691		213,644
Spectra Energy CorporationD		12,446		361,681
Sunoco, Inc.		1,977		93,908
Tesoro Corporation*		2,765		69,014
Valero Energy Corporation		10,458		252,561
Williams Cos., Inc. (The)		11,975		345,120
WPX Energy, Inc.D*		3,762		60,869

				25,164,652

Financial Services — 14.7%
Aflac, Inc.		8,950		381,180
Allstate Corporation (The)		9,364		328,583
American Express Co.		19,198		1,117,516
American International Group, Inc.*		12,237		392,685
American Tower Corporation
REIT		7,600		531,316


	Shares		Value
Ameriprise Financial, Inc.		4,099	$	214,214
Apartment Investment & Management Co. Class A REIT		2,688		72,657
Assurant, Inc.		1,697		59,123
AvalonBay Communities, Inc. REIT		1,834		259,474
Bank of America Corporation		206,717		1,690,945
Bank of New York Mellon Corporation (The)		22,829		501,097
BB&T Corporation		13,288		409,935
Berkshire Hathaway, Inc. Class B*		33,741		2,811,638
BlackRock, Inc.		2,448		415,719
Boston Properties, Inc. REIT		2,892		313,406
Capital One Financial Corporation		11,136		608,694
CBRE Group, Inc. Class A*		6,321		103,412
Charles Schwab Corporation (The)		20,892		270,134
Chubb Corporation (The)		5,228		380,703
Cincinnati Financial Corporation		3,141		119,578
Citigroup, Inc.		56,035		1,535,919
CME Group, Inc.D		1,283		343,985
Comerica, Inc.		3,797		116,606
Discover Financial Services		10,143		350,745
Dun & Bradstreet Corporation (The)D		881		62,701
ETRADE Financial Corporation		4,860		39,074
Equifax, Inc.		2,346		109,324
Equity Residential REIT		5,667		353,394
Federated Investors, Inc. Class BD		1,746		38,150
Fidelity National Information Services, Inc.		4,463		152,099
Fifth Third Bancorp		17,546		235,116
First Horizon National Corporation		5,011		43,345
First Horizon National Corporation Placeholder Shares+		271,852		—
Fiserv, Inc.D*		2,605		188,133
Franklin Resources, Inc.		2,687		298,230
Genworth Financial, Inc. Class A*		8,940		50,600
Goldman Sachs Group, Inc. (The)		9,473		908,082
Hartford Financial Services Group, Inc.		8,562		150,948
HCP, Inc. REIT		8,079		356,688
Health Care REIT, Inc.D		4,156		242,295
Host Hotels & Resorts, Inc. REITD		13,804		218,379
Hudson City Bancorp, Inc.		10,716		68,261
Huntington Bancshares, Inc.		16,431		105,158
IntercontinentalExchange, Inc.*		1,413		192,140
JPMorgan Chase & Co.		73,038		2,609,648
KeyCorp		18,137		140,380
Kimco Realty Corporation REIT		7,829		148,986
Legg Mason, Inc.		2,496		65,820
Leucadia National CorporationD		3,799		80,805
Lincoln National Corporation		5,427		118,688
Loews Corporation		5,922		242,269

See Notes to Financial Statements.

115

EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
M&T Bank CorporationD		2,358	$	194,700
Marsh & McLennan Cos., Inc.		10,499		338,383
Mastercard, Inc. Class A		2,047		880,435
MetLife, Inc.		20,277		625,545
Moody’s CorporationD		3,806		139,109
Morgan Stanley		29,154		425,357
NASDAQ OMX Group, Inc. (The)		2,495		56,562
Northern Trust Corporation		4,698		216,202
NYSE EuronextD		5,035		128,795
People’s United Financial, Inc.D		7,109		82,535
Plum Creek Timber Co., Inc. REITD		3,098		122,991
PNC Financial Services Group, Inc.		10,085		616,294
Principal Financial Group, Inc.		5,746		150,718
Progressive Corporation (The)		11,522		240,003
Prologis, Inc. REITD		8,739		290,397
Prudential Financial, Inc.		9,029		437,274
Public Storage REIT		2,754		397,705
Regions Financial Corporation		27,045		182,554
Simon Property Group, Inc. REIT		5,780		899,715
SLM Corporation		9,277		145,742
State Street Corporation		9,427		420,821
SunTrust Banks, Inc.		10,272		248,891
T Rowe Price Group, Inc.D		4,978		313,415
Torchmark CorporationD		1,806		91,293
Total System Services, Inc.		3,083		73,776
Travelers Cos., Inc. (The)		7,477		477,332
Unum Group		5,644		107,970
US Bancorp		36,353		1,169,112
Ventas, Inc. REIT		5,474		345,519
Visa, Inc. Class A		9,530		1,178,194
Vornado Realty Trust REIT		3,551		298,213
Wells Fargo & Co.		101,932		3,408,606
Western Union Co. (The)		11,487		193,441
Weyerhaeuser Co. REIT		10,357		231,583
Zions BancorporationD		3,603		69,970

				35,747,129

Healthcare — 11.3%
Abbott Laboratories		30,122		1,941,965
Aetna, Inc.		6,732		261,000
Alexion Pharmaceuticals, Inc.D*		3,693		366,715
Allergan, Inc.		5,931		549,033
AmerisourceBergen CorporationD		4,708		185,260
Amgen, Inc.		14,894		1,087,858
Baxter International, Inc.		10,545		560,467
Becton, Dickinson and Co.		3,843		287,264
Biogen Idec, Inc.*		4,566		659,239
Boston Scientific Corporation*		27,489		155,863
Bristol-Myers Squibb Co.		32,276		1,160,322
C.R. Bard, Inc.		1,644		176,631
Cardinal Health, Inc.		6,730		282,660
CareFusion Corporation*		4,289		110,142
Celgene Corporation*		8,488		544,590
Cerner Corporation*		2,776		229,464
Cigna Corporation		5,494		241,736
Conventry Health Care, Inc.		2,858		90,856
DaVita, Inc.*		1,794		176,189


	Shares		Value
DENTSPLY International, Inc.D		2,702	$	102,163
Edwards Lifesciences Corporation*		2,204		227,673
Eli Lilly & Co.		19,550		838,890
Express Scripts Holding Co.*		15,526		866,817
Forest Laboratories, Inc.D*		5,187		181,493
Gilead Sciences, Inc.*		14,498		743,457
Hospira, Inc.D*		3,221		112,671
Humana, Inc.		3,117		241,380
Intuitive Surgical, Inc.*		755		418,111
Johnson & JohnsonD		52,711		3,561,155
Laboratory Corporation of America HoldingsD*		1,810		167,624
Life Technologies Corporation*		3,431		154,361
McKesson Corporation		4,505		422,344
Medtronic, Inc.		19,962		773,128
Merck & Co., Inc.		58,284		2,433,357
Mylan, Inc.*		8,423		179,999
Patterson Cos., Inc.		1,538		53,015
PerkinElmer, Inc.		2,160		55,728
Perrigo Co.		1,800		212,274
Pfizer, Inc.		143,298		3,295,854
Quest Diagnostics, Inc.		3,019		180,838
St. Jude Medical, Inc.		6,016		240,099
Stryker Corporation		6,196		341,400
Tenet Healthcare Corporation*		7,097		37,188
Thermo Fisher Scientific, Inc.		6,962		361,397
UnitedHealth Group, Inc.		19,847		1,161,049
Varian Medical Systems, Inc.D*		2,193		133,269
Watson Pharmaceuticals, Inc.*		2,430		179,796
WellPoint, Inc.		6,419		409,468
Zimmer Holdings, Inc.		3,364		216,507

				27,369,759

Materials & Processing — 3.6%
Air Products &
Chemicals, Inc.		4,073		328,813
Airgas, Inc.		1,340		112,573
Alcoa, Inc.D		20,431		178,771
Allegheny Technologies, Inc.		2,039		65,024
Ball Corporation		2,964		121,672
Bemis Co., Inc.D		2,125		66,598
CF Industries Holdings, Inc.		1,261		244,306
Cliffs Natural Resources, Inc.		2,719		134,020
Dow Chemical Co. (The)		23,003		724,594
E.I. du Pont de Nemours & Co.		18,067		913,648
Eastman Chemical Co.		2,748		138,417
Ecolab, Inc.		5,598		383,631
Fastenal Co.		5,653		227,872
FMC Corporation		2,546		136,160
Freeport-McMoRan Copper & Gold, Inc.		18,159		618,677
International Flavors & Fragrances, Inc.D		1,535		84,118
International Paper Co.		8,374		242,092
Masco CorporationD		7,193		99,767
MeadWestvaco Corporation		3,222		92,633
Monsanto Co.		10,192		843,694
Mosaic Co. (The)		5,733		313,939
Newmont Mining Corporation		9,519		461,767
Nucor Corporation		6,111		231,607
Owens-Illinois, Inc.*		3,309		63,434
PPG Industries, Inc.		2,912		309,021
Praxair, Inc.		5,707		620,522
Precision Castparts Corporation		2,782		457,611

See Notes to Financial Statements.

116


	Shares		Value
Sealed Air Corporation		3,755	$	57,977
Sherwin-Williams Co. (The)		1,611		213,216
Sigma-Aldrich CorporationD		2,332		172,405
Titanium Metals Corporation		1,727		19,532
United States Steel CorporationD		2,762		56,897
Vulcan Materials Co.		2,491		98,918

				8,833,926

Producer Durables — 10.0%
3M Co.		13,302		1,191,859
Agilent Technologies, Inc.		6,683		262,241
Automatic Data Processing, Inc.		9,390		522,647
Avery Dennison Corporation		2,140		58,508
Boeing Co. (The)		14,429		1,072,075
C.H. Robinson Worldwide, Inc.		3,124		182,848
Caterpillar, Inc.		12,568		1,067,149
Cintas CorporationD		2,141		82,664
Cooper Industries PLC		3,038		207,131
CSX Corporation		19,740		441,386
Cummins, Inc.		3,651		353,818
Danaher Corporation		10,973		571,474
Deere & Co.		7,560		611,377
Dover Corporation		3,420		183,346
Eaton CorporationD		6,436		255,059
Emerson Electric Co.		14,029		653,471
Expeditors International of Washington, Inc.		4,070		157,712
FedEx Corporation		6,075		556,531
FLIR Systems, Inc.		3,049		59,455
Flowserve Corporation		1,067		122,438
Fluor Corporation		3,302		162,921
General Dynamics Corporation		6,973		459,939
General Electric Co.		203,250		4,235,730
Goodrich Corporation		2,400		304,560
Honeywell International, Inc.		14,876		830,676
Illinois Tool Works, Inc.		9,157		484,314
Iron Mountain, Inc.D		3,159		104,121
Jacobs Engineering Group, Inc.*		2,431		92,038
Joy Global, Inc.		2,010		114,027
L-3 Communications Holdings, Inc.		1,883		139,361
Lexmark International, Inc. Class AD		1,212		32,215
Lockheed Martin Corporation		5,043		439,144
Norfolk Southern Corporation		6,186		443,969
Northrop Grumman Corporation		4,844		308,999
PACCAR, Inc.		6,910		270,803
Pall CorporationD		2,222		121,788
Parker Hannifin Corporation		2,901		223,029
Paychex, Inc.D		6,174		193,925
Pitney Bowes, Inc.D		3,922		58,712
Quanta Services, Inc.*		4,125		99,289
Raytheon Co.		6,423		363,478
Republic Services, Inc.		6,110		161,671
Robert Half International, Inc.		2,613		74,653
Rockwell Automation, Inc.		2,758		182,193
Rockwell Collins, Inc.D		2,786		137,489
Roper Industries, Inc.		1,836		180,993
RR Donnelley & Sons Co.D		3,600		42,372
Ryder System, Inc.		987		35,542
Southwest Airlines Co.		15,189		140,043


	Shares		Value
Stanley Black & Decker, Inc.		3,226	$	207,625
Stericycle, Inc.D*		1,646		150,889
Textron, Inc.		5,310		132,060
Union Pacific Corporation		9,130		1,089,300
United Parcel Service, Inc. Class B		18,337		1,444,222
United Technologies Corporation		17,435		1,316,866
W.W. Grainger, Inc.		1,176		224,898
Waste Management, Inc.D		8,786		293,452
Waters Corporation*		1,651		131,205
Xerox Corporation		25,524		200,874
Xylem, Inc.		3,570		89,857

				24,332,431

Technology — 16.9%
Adobe Systems, Inc.*		9,549		309,101
Advanced Micro Devices, Inc.D*		10,882		62,354
Akamai Technologies, Inc.*		3,314		105,220
Altera Corporation		6,189		209,436
Amphenol Corporation Class A		3,142		172,559
Analog Devices, Inc.		5,749		216,565
Apple, Inc.*		17,928		10,469,952
Applied Materials, Inc.		24,332		278,845
Autodesk, Inc.*		4,499		157,420
BMC Software, Inc.*		3,093		132,009
Broadcom Corporation Class A*		9,439		319,038
CA, Inc.		6,776		183,562
Cisco Systems, Inc.		102,526		1,760,371
Citrix Systems, Inc.*		3,612		303,191
Cognizant Technology Solutions Corporation Class A*		5,825		349,500
Computer Sciences Corporation		2,971		73,740
Corning, Inc.		29,121		376,535
Crown Castle International Corporation*		4,944		290,015
Dell, Inc.*		28,327		354,654
Electronic Arts, Inc.*		6,387		78,880
EMC Corporation*		40,356		1,034,324
F5 Networks, Inc.*		1,535		152,825
Google, Inc. Class A*		4,875		2,827,841
Harris Corporation		2,146		89,810
Hewlett-Packard Co.		38,025		764,683
Intel Corporation		96,726		2,577,748
International Business Machines Corporation		22,116		4,325,447
Intuit, Inc.		5,659		335,862
Jabil Circuit, Inc.		3,496		71,074
JDS Uniphase Corporation*		4,366		48,026
Juniper Networks, Inc.D*		10,243		167,063
KLA-Tencor Corporation		3,228		158,979
Lam Research CorporationD*		3,815		143,978
Linear Technology Corporation		4,371		136,943
LSI Corporation*		10,894		69,395
Microchip Technology, Inc.D		3,659		121,040
Micron Technology, Inc.*		18,405		116,136
Microsoft Corporation		143,360		4,385,382
Molex, Inc.D		2,666		63,824
Motorola Solutions, Inc.		5,635		271,100
NetApp, Inc.*		6,999		222,708
NVIDIA Corporation*		11,538		159,455
Oracle Corporation		74,394		2,209,502

See Notes to Financial Statements.

117

EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
QUALCOMM, Inc.		32,921	$	1,833,041
Red Hat, Inc.*		3,707		209,371
SAIC, Inc.D		5,321		64,491
Salesforce.com, Inc.*		2,628		363,347
SanDisk Corporation*		4,586		167,297
Symantec Corporation*		13,868		202,612
Teradata Corporation*		3,237		233,096
Teradyne, Inc.D*		3,577		50,293
Texas Instruments, Inc.		21,932		629,229
VeriSign, Inc.*		2,937		127,965
Western Digital Corporation*		4,459		135,910
Xilinx, Inc.D		5,102		171,274
Yahoo!, Inc.*		23,651		374,395

				41,218,413

Utilities — 6.6%
AES Corporation (The)*		12,613		161,825
AGL Resources, Inc.		2,247		87,071
Ameren Corporation		4,649		155,927
American Electric Power Co., Inc.		9,306		371,309
AT&T, Inc.		112,324		4,005,474
CenterPoint Energy, Inc.		8,168		168,833
CenturyLink, Inc.D		11,800		465,982
CMS Energy Corporation		4,874		114,539
Consolidated Edison, Inc.		5,655		351,684
Dominion Resources, Inc.		11,043		596,322
DTE Energy Co.		3,255		193,119
Duke Energy Corporation		25,594		590,198
Edison International		6,309		291,476
Entergy Corporation		3,423		232,387
Exelon Corporation		16,350		615,087
FirstEnergy CorporationD		8,014		394,209
Frontier Communications CorporationD		19,145		73,325
Integrys Energy Group, Inc.D		1,387		78,879
MetroPCS Communications, Inc.*		6,080		36,784
NextEra Energy, Inc.		8,081		556,054
NiSource, Inc.D		5,375		133,031
Northeast Utilities		5,992		232,550
NRG Energy, Inc.*		4,048		70,273
ONEOK, Inc.		4,108		173,809
Pepco Holdings, Inc.D		4,317		84,484
PG&E Corporation		8,088		366,144
Pinnacle West Capital Corporation		2,095		108,395
PPL Corporation		11,037		306,939
Progress Energy, Inc.		5,680		341,766
Public Service Enterprise Group, Inc.		9,699		315,218
SCANA CorporationD		2,190		104,770
Sempra Energy		4,590		316,159
Southern Co. (The)D		16,595		768,348
Sprint Nextel Corporation*		57,575		187,694
TECO Energy, Inc.D		3,986		71,987
Verizon Communications, Inc.		54,440		2,419,314
Windstream CorporationD		11,506		111,148
Wisconsin Energy CorporationD		4,484		177,432
Xcel Energy, Inc.D		9,302		264,270

				16,094,215

Total Common Stocks
(Cost $175,788,237)				226,052,852


	Shares		Value
FOREIGN COMMON STOCKS — 1.5%
Bermuda — 0.1%
Invesco, Ltd.		8,362	$	188,981
Nabors Industries, Ltd.*		5,522		79,517

				268,498

Ireland — 0.7%
Accenture PLC Class A		12,404		745,356
Covidien PLC		9,285		496,748
Ingersoll-Rand PLC		5,825		245,699
Seagate Technology PLC		7,254		179,391
XL Group PLC		5,999		126,219

				1,793,413

Switzerland — 0.6%
ACE, Ltd.		6,467		479,399
Noble Corporation		4,840		157,445
TE Connectivity, Ltd.		8,049		256,844
Tyco International, Ltd.		8,943		472,637

				1,366,325

United Kingdom — 0.1%
Aon PLC		6,338		296,491
Rowan Cos. PLC*		2,445		79,047

				375,538

Total Foreign Common Stocks
(Cost $3,628,374)				3,803,774

RIGHTS/WARRANTS — 0.0%
American International Group, Inc. Fractional Warrants+ (Cost $0)		65,600		—

MONEY MARKET FUNDS — 13.9%
GuideStone Money Market Fund (GS4 Class)¥		12,326,702		12,326,702
Northern Institutional Liquid Assets Portfolio§		21,429,028		21,429,028

Total Money Market Funds
(Cost $33,755,730)				33,755,730

	Par
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill 0.14%, 11/01/12‡‡ (Cost $534,753)	$	535,000		534,810

TOTAL INVESTMENTS — 108.5%
(Cost $213,707,094)				264,147,166
Liabilities in Excess of Other Assets—(8.5)%				(20,788,263	)

NET ASSETS — 100.0%			$	243,358,903

See Notes to Financial Statements.

118

PORTFOLIO SUMMARY (based on net assets)


	%
Technology		16.9
Financial Services		14.8
Money Market Funds		13.9
Consumer Discretionary		12.1
Healthcare		11.3
Energy		10.4
Producer Durables		10.0
Consumer Staples		7.3
Utilities		6.6
Futures Contracts		5.5
Materials & Processing		3.6
Foreign Common Stocks		1.4
U.S. Treasury Obligation		0.2
Rights/Warrants		—	**

		114.0

**	Rounds to less than 0.005%.

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	226,320,880	$	226,320,880	$	—	$	—
Foreign Common Stocks		3,535,746		3,535,746		—		—
Money Market Funds		33,755,730		33,755,730		—		—
Rights/Warrants		—		—		—		—
U.S. Treasury Obligation		534,810		—		534,810		—

Total Assets — Investments in Securities	$	264,147,166	$	263,612,356	$	534,810	$	—

Other Financial Instruments***
Futures Contracts	$	487,983	$	487,983	$	—	$	—

Total Assets — Other Financial Instruments	$	487,983	$	487,983	$	—	$	—

***

See Notes to Financial Statements.

119


REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 95.8%
Financial Services — 95.8%
Alexander’s, Inc. REITD		3,875	$	1,670,551
Apartment Investment & Management Co. Class A REIT		95,750		2,588,123
AvalonBay Communities, Inc. REITD		21,863		3,093,177
Boston Properties, Inc. REIT		88,642		9,606,134
BRE Properties, Inc. REIT		106,100		5,307,122
Camden Property Trust REIT		100,750		6,817,753
Chesapeake Lodging Trust REIT		42,750		736,155
Colonial Properties Trust REITD		90,050		1,993,707
CubeSmart REITD		164,400		1,918,548
DDR Corporation REITD		242,400		3,548,736
Douglas Emmett, Inc. REITD		235,450		5,438,895
Duke Realty Corporation REITD		288,350		4,221,444
DuPont Fabros Technology, Inc. REITD		121,800		3,478,608
Education Realty Trust, Inc. REIT		52,550		582,254
Equity Lifestyle Properties, Inc. REIT		24,750		1,707,008
Equity Residential REIT		78,800		4,913,968
Extra Space Storage, Inc. REITD		103,850		3,177,810
Federal Realty Investment Trust REITD		49,250		5,126,432
First Potomac Realty Trust REIT		11,050		130,059
General Growth Properties, Inc. REIT		86,050		1,556,644
Glimcher Realty Trust REIT		384,500		3,929,590
Health Care REIT, Inc.D		186,450		10,870,035
Healthcare Realty Trust, Inc. REITD		147,800		3,523,552
Home Properties, Inc. REITD		62,650		3,844,204
Hospitality Properties Trust REITD		41,950		1,039,102
Host Hotels & Resorts, Inc. REITD		74,800		1,183,336
Kilroy Realty Corporation REITD		53,900		2,609,299
Kimco Realty Corporation REIT		145,550		2,769,817
LaSalle Hotel Properties REITD		60,500		1,762,970
LTC Properties, Inc. REIT		44,600		1,618,088
Pebblebrook Hotel Trust REITD		99,100		2,310,021
Pennsylvania Real Estate Investment Trust REIT		21,950		328,811
Prologis, Inc. REITD		80,423		2,672,456


	Shares		Value
PS Business Parks, Inc. REITD		25,500	$	1,726,860
Public Storage REIT		41,230		5,954,024
Regency Centers Corporation REITD		30,300		1,441,371
Retail Properties of America, Inc.D		116,150		1,128,978
Senior Housing Properties Trust REITD		135,335		3,020,677
Simon Property Group, Inc. REIT		149,650		23,294,519
SL Green Realty Corporation REIT		69,950		5,612,788
Strategic Hotels & Resorts, Inc. REITD*		430,050		2,778,123
Sunstone Hotel Investors, Inc. REIT*		143,900		1,581,461
Taubman Centers, Inc. REITD		45,700		3,526,212
UDR, Inc. REIT		145,600		3,762,304
Ventas, Inc. REIT		88,650		5,595,588
Vornado Realty Trust REITD		39,600		3,325,608
Washington Real Estate Investment Trust REITD		94,450		2,687,102

				171,510,024

Total Common Stocks
(Cost $144,888,333)				171,510,024

MONEY MARKET FUNDS — 19.1%
GuideStone Money Market Fund (GS4 Class)¥		6,685,531		6,685,531
Northern Institutional Liquid Assets Portfolio§		27,574,565		27,574,565

Total Money Market Funds
(Cost $34,260,096)				34,260,096

TOTAL INVESTMENTS — 114.9%
(Cost $179,148,429)				205,770,120
Liabilities in Excess of Other Assets — (14.9)%				(26,722,978	)

NET ASSETS — 100.0%			$	179,047,142


PORTFOLIO SUMMARY (based on net assets)
	%
Financial Services		95.8
Money Market Funds		19.1
Futures Contracts		4.0

		118.9

See Notes to Financial Statements.

120

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	171,510,024	$	171,510,024	$	—	$	—
Money Market Funds		34,260,096		34,260,096		—		—

Total Assets — Investments in Securities	$	205,770,120	$	205,770,120	$	—	$	—

Other Financial Instruments***
Futures Contracts	$	176,270	$	176,270	$	—	$	—

Total Assets — Other Financial Instruments	$	176,270	$	176,270	$	—	$	—

***

See Notes to Financial Statements.

121


VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 91.4%
Consumer Discretionary — 9.3%
Apollo Group, Inc. Class AD*		92,200	$	3,336,718
Best Buy Co., Inc.D		46,900		983,024
Carnival CorporationD		269,529		9,236,759
CBS Corporation Class B		234,201		7,677,109
Coach, Inc.		49,200		2,877,216
Comcast Corporation Class AD		438,048		14,004,395
Dana Holding CorporationD		257,000		3,292,170
DIRECTV Class A*		75,900		3,705,438
Foot Locker, Inc.		46,900		1,434,202
Ford Motor Co.		146,651		1,406,383
Gap, Inc. (The)D		304,400		8,328,384
General Motors Co.D*		102,008		2,011,598
Home Depot, Inc. (The)		186,500		9,882,635
Interpublic Group of Cos., Inc. (The)		233,400		2,532,390
Johnson Controls, Inc.		26,578		736,476
Lear Corporation		34,400		1,297,912
Lennar Corporation Class AD		217,951		6,736,865
Lowe’s Cos., Inc.		40,688		1,157,167
News Corporation Class A		53,652		1,195,903
Target Corporation		172,580		10,042,430
Time Warner, Inc.		126,955		4,887,768
Wal-Mart Stores, Inc.		13,928		971,060
Walt Disney Co. (The)		44,115		2,139,578
Whirlpool Corporation		38,100		2,330,196
Wyndham Worldwide CorporationD		48,000		2,531,520

				104,735,296

Consumer Staples — 5.1%
Archer-Daniels-Midland Co.		98,119		2,896,473
Colgate-Palmolive Co.		1,548		161,147
CVS Caremark Corporation		158,434		7,403,621
Dean Foods Co.D*		139,000		2,367,170
Energizer Holdings, Inc.D*		58,200		4,379,550
General Mills, Inc.D		5,512		212,433
Kellogg Co.		445		21,952
Kimberly-Clark Corporation		39,922		3,344,266
Kraft Foods, Inc. Class A		257,755		9,954,498
Kroger Co. (The)		174,900		4,055,931
PepsiCo, Inc.		52,300		3,695,518
Procter & Gamble Co. (The)		99,201		6,076,061
Safeway, Inc.D		64,600		1,172,490
Sysco CorporationD		10,830		322,842
Tyson Foods, Inc. Class A		58,600		1,103,438
Walgreen Co.D		345,595		10,222,700

				57,390,090

Energy — 13.2%
Anadarko Petroleum Corporation		19,500		1,290,900
Apache Corporation		15,257		1,340,938
Baker Hughes, Inc.		149,822		6,157,684
Chevron Corporation		283,429		29,901,760
ConocoPhillips		314,875		17,595,215
Devon Energy Corporation		83,689		4,853,125
Exxon Mobil Corporation		401,904		34,390,925
Halliburton Co.		24,544		696,804
Hess Corporation		44,847		1,948,602
Marathon Oil CorporationD		238,226		6,091,439
Marathon Petroleum Corporation		52,200		2,344,824


	Shares		Value
Murphy Oil Corporation		79,600	$	4,003,084
National Oilwell Varco, Inc.		12,845		827,732
Occidental Petroleum Corporation		131,767		11,301,656
Phillips 66*		157,269		5,227,622
Spectra Energy CorporationD		278,511		8,093,529
Tesoro Corporation*		174,400		4,353,024
Valero Energy Corporation		332,700		8,034,705

				148,453,568

Financial Services — 20.6%
Aflac, Inc.		46,272		1,970,724
Allstate Corporation (The)		133,428		4,681,989
American Express Co.D		327,962		19,090,668
American Financial Group, Inc.		50,600		1,985,038
American International Group, Inc.*		25,175		807,866
Ameriprise Financial, Inc.		142,600		7,452,276
Assurant, Inc.		101,500		3,536,260
Bank of America CorporationD		1,100,968		9,005,918
Bank of New York Mellon Corporation (The)		46,590		1,022,651
BB&T Corporation		27,311		842,544
Berkshire Hathaway, Inc. Class B*		69,552		5,795,768
BlackRock, Inc.		2,315		393,133
Capital One Financial Corporation		269,264		14,717,970
Charles Schwab Corporation (The)		41,974		542,724
Chubb Corporation (The)D		40,143		2,923,213
Citigroup, Inc.		666,119		18,258,322
CME Group, Inc.		2,594		695,477
Discover Financial Services		166,802		5,768,013
Equity Residential REIT		10,816		674,486
Fifth Third Bancorp		249,700		3,345,980
Franklin Resources, Inc.		4,178		463,716
Goldman Sachs Group, Inc. (The)		19,212		1,841,662
Huntington Bancshares, Inc.		645,900		4,133,760
Jones Lang LaSalle, Inc.		24,800		1,745,176
JPMorgan Chase & Co.		873,188		31,199,007
KeyCorp		477,800		3,698,172
Lincoln National Corporation		48,800		1,067,256
Loews Corporation		12,184		498,448
Marsh & McLennan Cos., Inc.		4,439		143,069
MetLife, Inc.		76,619		2,363,696
Morgan Stanley		59,866		873,445
PNC Financial Services Group, Inc.		60,940		3,724,043
Prudential Financial, Inc.		18,240		883,363
Regions Financial Corporation		578,000		3,901,500
Reinsurance Group of America, Inc.		22,800		1,213,188
Simon Property Group, Inc. REIT		1,879		292,485
SLM Corporation		461,000		7,242,310
State Street CorporationD		321,185		14,337,698
Thomson Reuters Corporation		14,504		412,639
Travelers Cos., Inc. (The)		173,500		11,076,240
US BancorpD		218,068		7,013,067
Visa, Inc. Class A		13,200		1,631,916
Wells Fargo & Co.		822,825		27,515,268

				230,782,144

See Notes to Financial Statements.

122


	Shares		Value
Healthcare — 13.7%
Abbott Laboratories		3,190	$	205,659
Aetna, Inc.		117,988		4,574,395
AmerisourceBergen Corporation		61,500		2,420,025
Amgen, Inc.		19,500		1,424,281
Baxter International, Inc.		152,426		8,101,442
Becton, Dickinson and Co.D		538		40,216
Bristol-Myers Squibb Co.		6,063		217,965
Cardinal Health, Inc.		203,500		8,547,000
Eli Lilly & Co.		25,439		1,091,587
Gilead Sciences, Inc.*		63,000		3,230,640
Health Net, Inc.*		52,400		1,271,748
Hologic, Inc.*		266,750		4,812,170
Humana, Inc.		27,800		2,152,832
Johnson & JohnsonD		270,722		18,289,978
McKesson Corporation		22,300		2,090,625
Medtronic, Inc.		385,328		14,923,753
Merck & Co., Inc.		233,975		9,768,456
Mylan, Inc.D*		180,400		3,855,148
Pfizer, Inc.		1,552,816		35,714,768
Stryker Corporation		3,188		175,659
Thermo Fisher Scientific, Inc.		57,042		2,961,050
UnitedHealth Group, Inc.D		261,204		15,280,434
WellPoint, Inc.		193,413		12,337,815

				153,487,646

Materials & Processing — 1.9%
Air Products &
Chemicals, Inc.		8,256		666,507
CF Industries Holdings, Inc.		24,300		4,707,882
Cliffs Natural Resources, Inc.		43,800		2,158,902
Dow Chemical Co. (The)		46,676		1,470,294
E.I. du Pont de Nemours & Co.D		84,100		4,252,937
Freeport-McMoRan Copper & Gold, Inc.		37,090		1,263,656
Huntsman Corporation		167,000		2,160,980
MeadWestvaco Corporation		78,400		2,254,000
Mosaic Co. (The)		11,579		634,066
Newmont Mining Corporation		19,060		924,601
Southern Copper Corporation		1,631		51,393
Timken Co.		24,600		1,126,434

				21,671,652

Producer Durables — 11.2%
3M Co.		2,739		245,414
AGCO Corporation*		31,000		1,417,630
Boeing Co. (The)		2,829		210,195
CSX Corporation		13,107		293,072
Danaher Corporation		14,937		777,919
Delta Air Lines, Inc.*		246,900		2,703,555
Emerson Electric Co.D		178,356		8,307,822
FedEx Corporation		11,541		1,057,271
General Dynamics Corporation		38,501		2,539,526
General Electric Co.		1,685,656		35,129,071
Honeywell International, Inc.		310,400		17,332,736
Illinois Tool Works, Inc.D		180,431		9,542,996
KBR, Inc.		64,100		1,583,911
Lockheed Martin CorporationD		33,598		2,925,714
Norfolk Southern Corporation		12,721		912,986
Northrop Grumman CorporationD		75,411		4,810,468
Raytheon Co.D		261,488		14,797,606
Stanley Black & Decker, Inc.		132,600		8,534,136
Terex CorporationD*		220,600		3,933,298


	Shares		Value
Textron, Inc.D		313,300	$	7,791,771
Waste Management, Inc.D		18,084		604,006

				125,451,103

Technology — 7.9%
Adobe Systems, Inc.*		8,263		267,473
Apple, Inc.*		4,700		2,744,800
Broadcom Corporation Class A*		8,174		276,281
Brocade Communications Systems, Inc.D*		265,400		1,308,422
CA, Inc.		196,500		5,323,185
Cisco Systems, Inc.		747,792		12,839,589
Corning, Inc.		59,266		766,310
Dell, Inc.*		434,481		5,439,702
Hewlett-Packard Co.D		223,522		4,495,027
Intel Corporation		528,794		14,092,360
International Business Machines Corporation		42,900		8,390,382
Lam Research CorporationD*		60,500		2,283,270
Microsoft Corporation		431,100		13,187,349
Oracle Corporation		57,900		1,719,630
Symantec Corporation*		339,600		4,961,556
Texas Instruments, Inc.		177,164		5,082,835
Western Digital Corporation*		38,500		1,173,480
Yahoo!, Inc.*		230,038		3,641,502

				87,993,153

Utilities — 8.5%
AES Corporation (The)*		564,200		7,238,685
Ameren Corporation		29,700		996,138
American Electric Power Co., Inc.		205,358		8,193,784
AT&T, Inc.		1,025,621		36,573,645
CenturyLink, Inc.D		24,263		958,146
Consolidated Edison, Inc.		11,411		709,650
Dominion Resources, Inc.		22,295		1,203,930
DTE Energy Co.		30,400		1,803,632
Duke Energy Corporation		52,245		1,204,770
Edison International		93,200		4,305,840
Entergy CorporationD		133,600		9,070,104
Exelon Corporation		33,284		1,252,144
FirstEnergy Corporation		16,401		806,765
NextEra Energy, Inc.		16,278		1,120,089
NV Energy, Inc.		123,700		2,174,646
PG&E Corporation		16,524		748,041
Public Service Enterprise Group, Inc.		132,341		4,301,082
Sempra Energy		22,200		1,529,136
Southern Co. (The)		33,905		1,569,802
Verizon Communications, Inc.		205,824		9,146,819

				94,906,848

Total Common Stocks
(Cost $971,008,252)				1,024,871,500

FOREIGN COMMON STOCKS — 6.2%
Bermuda — 0.6%
Bunge, Ltd.D		21,300		1,336,362
Everest Re Group, Ltd.		28,700		2,970,163
Nabors Industries, Ltd.D*		170,000		2,448,000

				6,754,525

Canada — 0.5%
Agrium, Inc.D		44,600		3,945,762
Domtar Corporation		16,400		1,258,044

				5,203,806

See Notes to Financial Statements.

123


VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Cayman Islands — 0.1%
Herbalife, Ltd.		20,500	$	990,765

France — 0.7%
Sanofi-Aventis ADRD		221,500		8,368,270

Ireland — 0.5%
Covidien PLC		17,868		955,938
XL Group PLCD		200,900		4,226,936

				5,182,874

Netherlands — 0.5%
LyondellBasell Industries N.V. Class AD		11,684		470,515
Royal Dutch Shell PLC ADRD		82,000		5,529,260

				5,999,775

Switzerland — 1.9%
ACE, Ltd.D		77,932		5,777,099
TE Connectivity, Ltd.D		174,475		5,567,497
Tyco International, Ltd.		171,447		9,060,974
Weatherford International, Ltd.*		101,900		1,286,997

				21,692,567

United Kingdom — 1.4%
BP PLC ADRD		100,000		4,054,000
Ensco PLC Class A		136,900		6,430,193
Vodafone Group PLC ADRD		185,400		5,224,572

				15,708,765

Total Foreign Common Stocks
(Cost $72,849,983)				69,901,347

MONEY MARKET FUNDS — 9.6%
GuideStone Money Market Fund (GS4 Class)¥		23,448,975		23,448,975
Northern Institutional Liquid Assets Portfolio§		83,958,936		83,958,936

Total Money Market Funds
(Cost $107,407,911)				107,407,911

	Par
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill 0.14%, 11/01/12 (Cost $649,698)	$	650,000		649,769

TOTAL INVESTMENTS — 107.3%
(Cost $1,151,915,844)				1,202,830,527
Liabilities in Excess of Other Assets — (7.3)%				(81,578,901	)

Net Assets — 100.0%			$	1,121,251,626


PORTFOLIO SUMMARY (based on net assets)
	%
Financial Services		20.6
Healthcare		13.7
Energy		13.2
Producer Durables		11.2
Money Market Funds		9.6
Consumer Discretionary		9.3
Utilities		8.5
Technology		7.9
Foreign Common Stocks		6.2
Consumer Staples		5.1
Futures Contracts		2.3
Materials & Processing		1.9
U.S. Treasury Obligation		0.1

		109.6

See Notes to Financial Statements.

124

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	1,024,871,500	$	1,024,871,500	$	—	$	—
Foreign Common Stocks		69,901,347		69,901,347		—		—
Money Market Funds		107,407,911		107,407,911		—		—
U.S. Treasury Obligation		649,769		—		649,769		—

Total Assets — Investments in Securities	$	1,202,830,527	$	1,202,180,758	$	649,769	$	—

Other Financial Instruments***
Futures Contracts	$	912,853	$	912,853	$	—	$	—

Total Assets — Other Financial Instruments	$	912,853	$	912,853	$	—	$	—

***

See Notes to Financial Statements.

125


GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 88.7%
Consumer Discretionary — 21.9%
Amazon.com, Inc.*		125,491	$	28,655,870
AutoZone, Inc.D*		6,456		2,370,450
Bed Bath & Beyond, Inc.*		100,050		6,183,090
BorgWarner, Inc.D*		52,600		3,450,034
Chipotle Mexican Grill, Inc.D*		3,200		1,215,840
Coach, Inc.		241,226		14,106,896
Comcast Corporation Class AD		60,700		1,940,579
Costco Wholesale Corporation		94,720		8,998,400
Dick’s Sporting Goods, Inc.D		31,320		1,503,360
DIRECTV Class A*		77,840		3,800,149
Dollar General Corporation*		64,565		3,511,690
Dollar Tree, Inc.*		25,748		1,385,242
eBay, Inc.*		290,640		12,209,786
Estee Lauder Cos., Inc. (The) Class A		185,648		10,047,270
Ford Motor Co.		379,294		3,637,430
Home Depot, Inc. (The)D		224,671		11,905,316
Limited Brands, Inc.D		226,756		9,643,933
Macy’s, Inc.		27,750		953,213
McDonald’s Corporation		81,985		7,258,132
Netflix, Inc.D*		58,900		4,032,883
NIKE, Inc. Class B		245,708		21,568,248
Nordstrom, Inc.		35,460		1,762,007
O’Reilly Automotive, Inc.D*		80,003		6,701,851
PetSmart, Inc.		23,980		1,634,956
priceline.com, Inc.*		37,418		24,865,009
Ralph Lauren Corporation		28,520		3,994,511
Starbucks Corporation		510,094		27,198,212
Starwood Hotels & Resorts Worldwide, Inc.		180,370		9,566,825
TJX Cos., Inc.		275,295		11,818,414
Tractor Supply Co.D		34,190		2,839,821
Ulta Salon Cosmetics & Fragrance, Inc.D*		16,700		1,559,446
Wal-Mart Stores, Inc.		17,050		1,188,726
Yum! Brands, Inc.		144,100		9,282,922

				260,790,511

Consumer Staples — 3.6%
Church & Dwight Co., Inc.D		19,970		1,107,736
Coca-Cola Co. (The)D		290,140		22,686,047
Kraft Foods, Inc. Class A		87,260		3,369,981
Mead Johnson Nutrition Co.		71,194		5,731,829
Monster Beverage Corporation*		32,510		2,314,712
Whole Foods Market, Inc.		82,600		7,873,432

				43,083,737

Energy — 5.8%
Anadarko Petroleum
Corporation		44,270		2,930,674
Cabot Oil & Gas CorporationD		65,754		2,590,708
Chevron Corporation		75,470		7,962,085
Denbury Resources, Inc.*		109,820		1,659,380
FMC Technologies, Inc.*		195,400		7,665,542
Halliburton Co.D		95,901		2,722,629
National Oilwell Varco, Inc.		218,519		14,081,364
Noble Energy, Inc.		26,400		2,239,248
Occidental Petroleum Corporation		46,830		4,016,609
Pioneer Natural Resources Co.		18,030		1,590,426
Plains Exploration & Production Co.*		58,660		2,063,659


	Shares		Value
Schlumberger, Ltd.		215,380	$	13,980,316
Southwestern Energy Co.*		157,900		5,041,747

				68,544,387

Financial Services — 11.2%
Alliance Data Systems CorporationD*		7,480		1,009,800
American Express Co.D		172,840		10,061,016
American Tower Corporation REIT		118,830		8,307,405
Ameriprise Financial, Inc.		36,790		1,922,645
Capital One Financial Corporation		108,705		5,941,815
CBRE Group, Inc. Class A*		81,430		1,332,195
Discover Financial Services		169,191		5,850,625
Fifth Third Bancorp		71,750		961,450
IntercontinentalExchange, Inc.*		57,000		7,750,860
Invesco, Ltd.		126,780		2,865,228
JPMorgan Chase & Co.D		130,330		4,656,691
Mastercard, Inc. Class A		33,910		14,585,030
Raymond James Financial, Inc.		29,850		1,022,064
T Rowe Price Group, Inc.D		65,840		4,145,286
US Bancorp		236,080		7,592,333
Vantiv, Inc. Class AD*		29,370		684,027
Visa, Inc. Class A		347,388		42,947,578
Wells Fargo & Co.		367,302		12,282,579

				133,918,627

Healthcare — 12.0%
Abbott Laboratories		11,360		734,198
Alexion Pharmaceuticals, Inc.D*		198,408		19,701,915
Allergan, Inc.		265,820		24,606,957
athenahealth, Inc.D*		46,300		3,665,571
Biogen Idec, Inc.*		115,217		16,635,030
Bristol-Myers Squibb Co.		98,463		3,539,745
Celgene Corporation*		36,410		2,336,065
Cerner CorporationD*		126,350		10,444,091
Cooper Cos., Inc. (The)		23,030		1,836,873
Edwards Lifesciences Corporation*		19,200		1,983,360
Express Scripts Holding Co.*		158,972		8,875,407
Gilead Sciences, Inc.*		136,900		7,020,232
Hologic, Inc.*		59,250		1,068,870
Intuitive Surgical, Inc.*		24,850		13,761,682
McKesson Corporation		12,540		1,175,625
Merck & Co., Inc.		36,100		1,507,175
Perrigo Co.D		33,720		3,976,600
Pfizer, Inc.D		307,600		7,074,800
Regeneron Pharmaceuticals, Inc.D*		91,900		10,496,818
Watson Pharmaceuticals, Inc.D*		39,880		2,950,721

				143,391,735

Materials & Processing — 5.0%
Airgas, Inc.		16,190		1,360,123
E.I. du Pont de Nemours & Co.		46,880		2,370,722
Ecolab, Inc.		80,710		5,531,056
Masco CorporationD		85,800		1,190,046
Monsanto Co.		203,316		16,830,498
Praxair, Inc.		173,101		18,821,272
Precision Castparts Corporation		75,021		12,340,204
Sherwin-Williams Co. (The)D		11,800		1,561,730

				60,005,651

See Notes to Financial Statements.

126


	Shares		Value
Producer Durables — 7.0%
Agilent Technologies, Inc.		71,370	$	2,800,560
AMETEK, Inc.		100,850		5,033,424
BE Aerospace, Inc.*		37,080		1,618,913
Caterpillar, Inc.		59,900		5,086,109
Cummins, Inc.		66,021		6,398,095
Danaher Corporation		45,176		2,352,766
Deere & Co.		61,763		4,994,774
Eaton CorporationD		115,430		4,574,491
FedEx Corporation		108,030		9,896,628
Fluor Corporation		70,200		3,463,668
Honeywell International, Inc.		100,660		5,620,854
Joy Global, Inc.D		57,100		3,239,283
Stericycle, Inc.D*		20,500		1,879,235
Trimble Navigation, Ltd.*		60,070		2,763,821
Union Pacific Corporation		69,534		8,296,102
Verisk Analytics, Inc. Class AD*		79,520		3,917,155
W.W. Grainger, Inc.		58,701		11,225,979

				83,161,857

Technology — 21.2%
Altera Corporation		29,760		1,007,079
Apple, Inc.*		150,796		88,064,864
Autodesk, Inc.*		89,350		3,126,356
Cisco Systems, Inc.		177,260		3,043,554
Citrix Systems, Inc.D*		70,860		5,947,988
Cognizant Technology Solutions Corporation Class A*		19,940		1,196,400
EMC Corporation*		413,738		10,604,105
F5 Networks, Inc.*		100,820		10,037,639
Facebook, Inc.D*		238,497		7,422,027
Google, Inc. Class A*		56,475		32,759,453
Informatica Corporation*		22,970		973,009
Intuit, Inc.		62,680		3,720,058
JDS Uniphase CorporationD*		90,460		995,060
LinkedIn CorporationD*		29,884		3,175,773
Microsoft Corporation		341,490		10,446,179
QUALCOMM, Inc.		554,137		30,854,348
Red Hat, Inc.D*		39,100		2,208,368
Riverbed Technology, Inc.*		62,900		1,015,835
Rovi Corporation*		7		137
Salesforce.com, Inc.D*		169,520		23,437,835
Teradata Corporation*		87,340		6,289,353
VeriFone Systems, Inc.D*		61,300		2,028,417
VMware, Inc.*		46,120		4,198,765

				252,552,602

Utilities — 1.0%
AES Corporation (The)*		85,650		1,098,890
American Water Works Co., Inc.		31,640		1,084,619
AT&T, Inc.D		182,400		6,504,384
ITC Holdings CorporationD		22,050		1,519,466
NiSource, Inc.D		64,430		1,594,642

				11,802,001

Total Common Stocks
(Cost $802,497,110)				1,057,251,108

FOREIGN COMMON STOCKS — 5.6%
Canada — 0.5%
Lululemon Athletica, Inc.D*		63,704		3,798,670
Valeant Pharmaceuticals International, Inc.D*		52,471		2,350,176

				6,148,846


	Shares		Value
China — 0.5%
Baidu, Inc. ADRD*		54,581	$	6,275,723

Denmark — 0.3%
Novo Nordisk A/S ADRD		27,610		4,012,837

Hong Kong — 0.2%
Michael Kors Holdings, Ltd.*		50,685		2,120,660

Ireland — 1.6%
Accenture PLC Class AD		219,871		13,212,049
Shire PLC ADR		62,850		5,429,612

				18,641,661

Israel — 0.5%
Check Point Software Technologies, Ltd.*		125,367		6,216,950

Netherlands — 1.0%
ASML Holding N.V.D		174,800		8,988,216
LyondellBasell Industries N.V. Class AD		59,000		2,375,930

				11,364,146

Singapore — 0.7%
Avago Technologies, Ltd.D		169,080		6,069,972
Hutchison Port Holdings Trust		3,282,000		2,346,007

				8,415,979

Switzerland — 0.1%
Compagnie Financiere Richemont SA ADR		229,473		1,241,449

United Kingdom — 0.2%
Ensco PLC Class A		63,370		2,976,489

Total Foreign Common Stocks
(Cost $59,555,142)				67,414,740

PREFERRED STOCK — 0.1%
Wells Fargo & Co.D* (Cost $678,134)		35,400		1,069,080

MONEY MARKET FUNDS — 13.9%
GuideStone Money Market Fund (GS4 Class)¥		57,075,395		57,075,395
Northern Institutional Liquid Assets Portfolio§		108,131,663		108,131,663

Total Money Market Funds
(Cost $165,207,058)				165,207,058

TOTAL INVESTMENTS — 108.3%
(Cost $1,027,937,444)				1,290,941,986
Liabilities in Excess of Other Assets —(8.3)%				(98,817,516	)

NET ASSETS — 100.0%			$	1,192,124,470

See Notes to Financial Statements.

127

GROWTH EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

PORTFOLIO SUMMARY (based on net assets)


	%
Consumer Discretionary		21.9
Technology		21.2
Money Market Funds		13.9
Healthcare		12.0
Financial Services		11.2
Producer Durables		7.0
Energy		5.8
Foreign Common Stocks		5.6
Futures Contracts		5.1
Materials & Processing		5.0
Consumer Staples		3.6
Utilities		1.0
Preferred Stock		0.1

		113.4

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value		Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Common Stocks	$	1,057,251,108	$	1,057,251,108	$	—	$	—
Foreign Common Stocks		67,414,740		65,068,734		2,346,006		—
Money Market Funds		165,207,058		165,207,058		—		—
Preferred Stock		1,069,080		1,069,080		—		—

Total Assets — Investments in Securities	$	1,290,941,986	$	1,288,595,980	$	2,346,006	$	—

Other Financial Instruments***
Futures Contracts	$	2,024,443	$	2,024,443	$	—	$	—

Total Assets — Other Financial Instruments	$	2,024,443	$	2,024,443	$	—	$	—

***

See Notes to Financial Statements.

128


SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS		June 30, 2012 (Unaudited)


	Shares		Value
COMMON STOCKS — 78.9%
Consumer Discretionary — 11.2%
Aaron’s, Inc.D		94,300	$	2,669,633
Aeropostale, Inc.*		32,900		586,607
AMERCO, Inc.D*		11,200		1,007,664
American Public Education, Inc.D*		19,200		614,400
ANN, Inc.D*		43,800		1,116,462
Apollo Group, Inc. Class AD*		43,000		1,556,170
Arbitron, Inc.D		34,200		1,197,000
Arctic Cat, Inc.D*		36,500		1,334,440
Asbury Automotive Group, Inc.*		28,600		677,534
Cabela’s, Inc.*		8,912		336,963
Capella Education Co.D*		23,000		799,480
Carter’s, Inc.D*		7,600		399,760
Chico’s FAS, Inc.		76,300		1,132,292
Coinstar, Inc.D*		12,500		858,250
Constant Contact, Inc.D*		60,100		1,074,588
CROCS, Inc.*		77,300		1,248,395
Dana Holding CorporationD		103,600		1,327,116
Destination Maternity Corporation		35,600		768,960
Domino’s Pizza, Inc.D*		19,308		596,810
DSW, Inc.		30,100		1,637,440
Elizabeth Arden, Inc.D*		15,850		615,138
Foot Locker, Inc.		22,000		672,760
Francesca’s Holdings CorporationD*		15,600		421,356
Hot Topic, Inc.D		60,000		581,400
Inter Parfums, Inc.D		36,200		625,174
Interpublic Group of Cos., Inc. (The)		146,700		1,591,695
ITT Educational Services, Inc.D*		19,900		1,208,925
John Wiley & Sons, Inc.D		20,200		989,598
Jos. A. Bank Clothiers, Inc.D*		19,100		810,986
LeapFrog Enterprises, Inc.*		87,400		896,724
Lear Corporation		12,700		479,171
Life Time Fitness, Inc.D*		26,300		1,223,213
Lumber Liquidators Holdings, Inc.D*		20,100		679,179
Meritor, Inc.D*		118,400		618,048
Monro Muffler Brake, Inc.D		33,600		1,116,864
National American University Holdings, Inc.D		54,700		235,210
Pier 1 Imports, Inc.D		30,060		493,886
PulteGroup, Inc.D*		37,000		395,900
Ryland Group, Inc. (The)D		35,600		910,648
Select Comfort Corporation*		25,400		531,368
Six Flags Entertainment Corporation		4,900		265,482
Stamps.com, Inc.*		3,900		96,213
Steven Madden, Ltd.*		7,134		226,505
Tenneco, Inc.D*		48,500		1,300,770
Thor Industries, Inc.D		19,700		539,977
TripAdvisor, Inc.D*		15,250		681,523
Tumi Holdings, Inc.D*		66,400		1,162,000
Ulta Salon Cosmetics & Fragrance, Inc.*		7,184		670,842
Under Armour, Inc. Class AD*		2,350		222,028
Vera Bradley, Inc.D*		40,700		857,956
Vitamin Shoppe, Inc.D*		29,250		1,606,702
WABCO Holdings, Inc.*		32,800		1,736,104
Whirlpool CorporationD		18,300		1,119,228


	Shares		Value
Wolverine World Wide, Inc.D		39,900	$	1,547,322
Zumiez, Inc.D*		20,987		831,085

				48,900,944

Consumer Staples — 3.6%
Annie’s, Inc.D*		13,200		552,552
Cal-Maine Foods, Inc.D		17,800		695,980
Casey’s General Stores, Inc.		25,700		1,516,043
Chef’s Warehouse, Inc. (The)D*		68,800		1,241,840
Dean Foods Co.*		158,100		2,692,443
Fresh Market, Inc. (The)*		14,600		782,998
GNC Holdings, Inc. Class AD		12,423		486,982
Hain Celestial Group, Inc. (The)*		11,100		610,944
Harris Teeter Supermarkets, Inc.		31,600		1,295,284
J & J Snack Foods CorporationD		24,052		1,421,473
PetMed Express, Inc.D		94,000		1,143,040
Smart Balance, Inc.D*		27,038		253,887
United Natural Foods, Inc.D*		40,700		2,232,802
USANA Health Sciences, Inc.D*		15,100		620,912

				15,547,180

Energy — 4.4%
American Standard Energy Corporation@*		158,702		250,749
Dril-Quip, Inc.D*		13,700		898,583
Gulfport Energy Corporation*		32,000		660,160
Helix Energy Solutions Group, Inc.*		152,300		2,499,243
Hornbeck Offshore Services, Inc.D*		55,200		2,140,656
ION Geophysical CorporationD*		71,000		467,890
Key Energy Services, Inc.D*		87,900		668,040
Matador Resources Co.*		45,800		491,892
McMoRan Exploration Co.D*		48,500		614,495
Oasis Petroleum, Inc.D*		44,996		1,088,003
Patterson-UTI Energy, Inc.D		51,500		749,840
Rex Energy CorporationD*		40,310		451,875
Sanchez Energy CorporationD*		19,000		395,200
Sunoco, Inc.		37,500		1,781,250
Swift Energy Co.D*		42,300		787,203
Tesoro Corporation*		90,200		2,251,392
Vaalco Energy, Inc.D*		114,400		987,272
Western Refining, Inc.D		58,300		1,298,341
World Fuel Services CorporationD		18,000		684,540

				19,166,624

Financial Services — 17.6%
Allied World Assurance Company Holdings AG		22,400		1,780,128
American Campus Communities, Inc. REIT		30,700		1,380,886
American Equity Investment Life Holding Co.D		88,500		974,385
American Financial Group, Inc.		42,200		1,655,506
Assurant, Inc.		51,300		1,787,292
Brown & Brown, Inc.		31,900		869,913
Calamos Asset Management, Inc. Class A		46,100		527,845
CapitalSource, Inc.		216,100		1,452,192

See Notes to Financial Statements.

129

SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Cardtronics, Inc.D*		108,000	$	3,262,680
Columbia Banking System, Inc.D		27,000		508,140
Comerica, Inc.		36,500		1,120,915
CommonWealth REIT		100,300		1,917,736
Duff & Phelps CorporationD		46,400		672,800
East West Bancorp, Inc.		47,700		1,119,042
Encore Capital Group, Inc.D*		38,600		1,143,332
Euronet Worldwide, Inc.*		11,100		190,032
Evercore Partners, Inc. Class AD		22,600		528,614
First Citizens BancShares, Inc. Class AD		6,600		1,099,890
FleetCor Technologies, Inc.*		32,800		1,149,312
Global Payments, Inc.		27,700		1,197,471
Heartland Payment Systems, Inc.		54,300		1,633,344
Higher One Holdings, Inc.D*		37,600		459,472
Hospitality Properties Trust REIT		82,200		2,036,094
Huntington Bancshares, Inc.		352,600		2,256,640
IBERIABANK CorporationD		19,700		993,865
Inland Real Estate Corporation REITD		79,700		667,886
Interactive Brokers Group, Inc. Class A		56,600		833,152
International Bancshares Corporation		28,400		554,368
Jack Henry & Associates, Inc.		43,700		1,508,524
Jones Lang LaSalle, Inc.		44,600		3,138,502
LaSalle Hotel Properties REIT		25,400		740,156
Lender Processing Services, Inc.		25,200		637,056
Lincoln National Corporation		32,700		715,149
MarketAxess Holdings, Inc.		21,800		580,752
Mid-America Apartment Communities, Inc. REIT		21,700		1,480,808
National Health Investors, Inc. REITD		24,300		1,237,356
NBH Holdings Corporation PIPE+@		30,300		537,825
Nelnet, Inc. Class AD		25,200		579,600
Ocwen Financial Corporation*		138,100		2,593,518
Pacwest BancorpD		109,800		2,598,966
Pebblebrook Hotel Trust REIT		58,300		1,358,973
Pennsylvania Real Estate Investment Trust REIT		40,000		599,200
Popular, Inc.D*		27,450		455,945
Portfolio Recovery Associates, Inc.*		22,100		2,016,846
Post Properties, Inc. REIT		21,800		1,067,110
PrivateBancorp, Inc.D		22,700		335,052
ProAssurance Corporation		7,200		641,448
Prosperity Bancshares, Inc.		6,372		267,815
Protective Life Corporation		26,400		776,424
PS Business Parks, Inc. REITD		26,100		1,767,492
Reinsurance Group of America, Inc.		39,200		2,085,832
Republic Bancorp, Inc. Class AD		27,600		614,100
RLI CorporationD		23,700		1,616,340
Safety Insurance Group, Inc.D		16,900		686,816
SCBT Financial CorporationD		12,000		423,000
Signature Bank*		15,140		923,086
StanCorp Financial Group, Inc.		15,900		590,844
Stifel Financial CorporationD*		42,000		1,297,800


	Shares		Value
Sunstone Hotel Investors, Inc. REIT*		55,600	$	611,044
Texas Capital Bancshares, Inc.D*		9,700		391,783
Umpqua Holdings Corporation		64,400		847,504
Urstadt Biddle Properties, Inc. Class A REITD		14,800		292,596
Washington Federal, Inc.		111,200		1,878,168
Webster Financial CorporationD		42,900		929,214
Wilshire Bancorp, Inc.*		116,700		639,516
Wintrust Financial CorporationD		33,700		1,196,350
Wright Express Corporation*		30,600		1,888,632
Zillow, Inc. Class AD*		9,900		382,437

				76,702,511

Healthcare — 8.5%
Air Methods CorporationD*		8,600		844,950
Align Technology, Inc.D*		32,679		1,093,439
AVANIR Pharmaceuticals, Inc.D*		103,400		405,328
BioMarin Pharmaceuticals, Inc.D*		17,800		704,524
Bio-Rad Laboratories, Inc. Class A*		6,400		640,064
Brookdale Senior Living, Inc.*		45,900		814,266
Centene CorporationD*		35,600		1,073,696
Community Health Systems, Inc.*		81,700		2,290,051
Cooper Cos., Inc. (The)		8,866		707,152
Covance, Inc.*		28,200		1,349,370
Cubist Pharmaceuticals, Inc.D*		10,434		395,553
Cyberonics, Inc.D*		6,100		274,134
Endologix, Inc.D*		35,497		548,074
ExamWorks Group, Inc.D*		70,400		931,392
Five Star Quality Care, Inc.+		2,086		—
Haemonetics CorporationD*		15,500		1,148,705
Hanger, Inc.*		31,800		815,352
Health Management Associates, Inc. Class AD*		55,078		432,362
Health Net, Inc.D*		50,900		1,235,343
HeartWare International, Inc.D*		2,400		213,120
Hill-Rom Holdings, Inc.		39,700		1,224,745
HMS Holdings CorporationD*		17,817		593,484
Incyte Corporation, Ltd.D*		43,300		982,910
IPC The Hospitalist Co., Inc.D*		43,600		1,975,952
Magellan Health Services, Inc.D*		15,600		707,148
Masimo CorporationD*		46,000		1,029,480
Medivation, Inc.D*		7,800		712,920
Myriad Genetics, Inc.D*		53,100		1,262,187
NuVasive, Inc.*		20,700		524,952
PAREXEL International Corporation*		33,300		940,059
PDL BioPharma, Inc.D		228,900		1,517,607
Pharmacyclics, Inc.D*		5,400		294,894
Providence Service Corporation (The)*		52,300		717,033
Questcor Pharmaceuticals, Inc.*		4,500		239,580
Salix Pharmaceuticals, Ltd.*		7,100		386,524
Sirona Dental Systems, Inc.*		23,700		1,066,737
Sun Healthcare Group, Inc.D*		222,700		1,863,999
SXC Health Solutions Corporation*		8,041		797,748
Team Health Holdings, Inc.*		28,300		681,747
Tenet Healthcare Corporation*		192,000		1,006,080

See Notes to Financial Statements.

130


	Shares		Value
Thoratec Corporation*		19,800	$	664,884
United Therapeutics Corporation*		18,300		903,654
Vivus, Inc.*		8,600		245,444
Volcano CorporationD*		26,800		767,820

				37,024,463

Materials & Processing — 4.2%
A. Schulman, Inc.		55,600		1,103,660
Acuity Brands, Inc.D		4,900		249,459
Airgas, Inc.		6,400		537,664
Boise, Inc.*		79,400		522,452
Chemtura Corporation*		34,300		497,350
Coeur d’Alene Mines Corporation*		26,100		458,316
Cytec Industries, Inc.		12,800		750,592
Eagle Materials, Inc.		25,900		967,106
Eastman Chemical Co.D		17,700		891,549
Georgia Gulf Corporation		37,300		957,491
H.B. Fuller Co.		30,400		933,280
Huntsman CorporationD		97,600		1,262,944
Innospec, Inc.*		35,000		1,036,350
Kronos Worldwide, Inc.		59,100		933,189
Lennox International, Inc.D		14,000		652,820
Louisiana-Pacific Corporation*		32,200		350,336
PH Glatfelter Co.D		83,700		1,370,169
RBC Bearings, Inc.D*		17,000		804,100
Reliance Steel & Aluminum Co.D		18,100		914,050
Sensient Technologies CorporationD		24,700		907,231
ServiceNow, Inc.		9,200		226,320
Timken Co.		30,400		1,392,016
Wausau Paper CorporationD		60,800		591,584

				18,310,028

Producer Durables — 13.8%
A.O. Smith CorporationD		30,847		1,508,110
Advisory Board Co. (The)D*		26,000		1,289,340
AGCO Corporation*		44,500		2,034,985
Alaska Air Group, Inc.*		18,800		674,920
Albany International Corporation Class AD		59,000		1,103,890
Allegiant Travel Co.*		16,000		1,114,880
Alliant Techsystems, Inc.D		27,900		1,410,903
Angie’s List, Inc.D*		34,700		549,648
Applied Industrial Technologies, Inc.D		23,900		880,715
BE Aerospace, Inc.*		17,900		781,514
Chart Industries, Inc.D*		13,400		921,384
Clean Harbors, Inc.D*		38,500		2,172,170
Colfax Corporation*		8,700		239,859
Columbus McKinnon CorporationD*		36,700		553,803
Corporate Executive Board Co. (The)D		32,200		1,316,336
CoStar Group, Inc.*		23,657		1,920,948
Dycom Industries, Inc.*		28,500		530,385
EMCOR Group, Inc.		24,000		667,680
Esterline Technologies CorporationD*		22,300		1,390,405
ExlService Holdings, Inc.D*		48,200		1,187,648
Generac Holdings, Inc.D*		29,000		697,740
Genesee & Wyoming, Inc. Class AD*		37,850		1,999,994


	Shares		Value
Gulfmark Offshore, Inc. Class AD*		21,800	$	742,072
Healthcare Services Group, Inc.D		46,550		902,139
HEICO Corporation Class AD		36,461		1,294,214
Herman Miller, Inc.D		56,600		1,048,232
Huron Consulting Group, Inc.D*		11,700		370,305
IDEX Corporation		33,111		1,290,667
Itron, Inc.D*		29,800		1,228,952
Kaman CorporationD		35,800		1,107,652
KBR, Inc.		56,000		1,383,760
Kennametal, Inc.		21,700		719,355
Liquidity Services, Inc.D*		18,835		964,163
MAXIMUS, Inc.D		22,800		1,179,900
McGrath RentCorpD		36,600		969,900
Middleby CorporationD*		17,000		1,693,370
Mistras Group, Inc.*		37,800		993,384
NACCO Industries, Inc. Class AD		11,700		1,360,125
Old Dominion Freight Line, Inc.D*		20,000		865,800
On Assignment, Inc.D*		87,000		1,388,520
Orbital Sciences Corporation*		52,600		679,592
Oshkosh CorporationD*		49,300		1,032,835
OSI Systems, Inc.D*		8,517		539,467
PHH CorporationD*		58,700		1,026,076
Resources Connection, Inc.D		52,300		643,290
Standard Parking CorporationD*		34,000		731,680
Titan International, Inc.D		47,100		1,155,363
Titan Machinery, Inc.D*		52,400		1,591,388
Trinity Industries, Inc.		22,200		554,556
Triumph Group, Inc.D		41,500		2,335,205
United Rentals, Inc.D*		14,500		493,580
URS Corporation		29,600		1,032,448
US Airways Group, Inc.D*		86,895		1,158,310
WageWorks, Inc.*		41,700		628,002
Watts Water Technologies, Inc.D		23,400		780,156
WESCO International, Inc.D*		17,900		1,030,145

				59,861,860

Technology — 11.8%
ACI Worldwide, Inc.*		14,900		658,729
Active Network, Inc. (The)D*		30,400		467,856
Amdocs, Ltd.D		38,000		1,129,360
Amkor Technology, Inc.D*		117,100		571,448
Anixter International, Inc.D*		24,100		1,278,505
Avnet, Inc.*		44,000		1,357,840
Bankrate, Inc.*		6,163		113,338
Bottomline Technologies, Inc.D*		67,200		1,212,960
BroadSoft, Inc.D*		19,800		573,408
Brocade Communications Systems, Inc.*		113,000		557,090
CACI International, Inc. Class AD*		34,200		1,881,684
Cadence Design Systems, Inc.*		117,700		1,293,523
CommVault Systems, Inc.D*		41,900		2,076,983
Cree, Inc.*		8,600		220,762
Cymer, Inc.D*		16,700		984,465
Cypress Semiconductor Corporation*		101,800		1,345,796
DealerTrack Holdings, Inc.D*		47,300		1,424,203

See Notes to Financial Statements.

131

SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Demandware, Inc.*		2,300	$	54,487
DigitalGlobe, Inc.D*		40,500		613,980
Ebix, Inc.D		40,400		805,980
Hittite Microwave CorporationD*		16,500		843,480
IAC/InterActiveCorp		23,100		1,053,360
Informatica Corporation*		21,500		910,740
Ingram Micro, Inc. Class A*		56,700		990,549
Kenexa Corporation*		8,800		255,464
LSI Corporation*		258,900		1,649,193
Monotype Imaging Holdings, Inc.*		43,500		729,495
NeuStar, Inc. Class AD*		26,500		885,100
NIC, Inc.D*		158,500		2,012,950
Polycom, Inc.D*		104,000		1,094,080
Power Intergrations, Inc.D		22,200		828,060
QLIK Technologies, Inc.*		20,200		446,824
RealPage, Inc.D*		31,000		717,960
Saba Software, Inc.D*		45,400		421,312
SAIC, Inc.D		58,900		713,868
Sanmina-SCI Corporation*		54,000		442,260
ScanSource, Inc.*		34,800		1,066,272
Semtech CorporationD*		69,067		1,679,709
Silicon Laboratories, Inc.D*		31,700		1,201,430
Solera Holdings, Inc.D		39,100		1,633,989
Splunk, Inc.D*		10,500		295,050
SS&C Technologies Holdings, Inc.*		107,300		2,682,500
Stratasys, Inc.D*		8,000		396,400
Tangoe, Inc.D*		24,709		526,549
Tech Data Corporation*		23,000		1,107,910
Ultimate Software Group, Inc.D*		25,100		2,236,912
Ultratech, Inc.*		17,356		546,714
Unisys CorporationD*		96,000		1,876,800
United Online, Inc.D		293,500		1,238,570
Universal Display CorporationD*		10,225		367,486
Veeco Instruments, Inc.D*		14,300		491,348
Vocera Communications, Inc.*		29,000		776,910
Volterra Semiconductor Corporation*		29,700		696,465

				51,438,106

Utilities — 3.8%
Alliant Energy Corporation		42,000		1,913,941
American Water Works Co., Inc.		52,600		1,803,128
Cbeyond, Inc.D*		96,500		653,305
General Communication, Inc. Class AD*		52,400		435,444
j2 Global, Inc.D		39,600		1,046,232
Lumos Networks CorporationD		30,350		286,808
Neutral Tandem, Inc.D*		92,300		1,216,514
NTELOS Holdings CorporationD		23,650		445,802
NV Energy, Inc.		98,200		1,726,356
OGE Energy CorporationD		30,100		1,558,879
Pinnacle West Capital Corporation		45,400		2,348,996
PNM Resources, Inc.D		76,500		1,494,810
Portland General Electric Co.D		51,600		1,375,656

				16,305,871

Total Common Stocks
(Cost $307,068,813)				343,257,587


	Shares		Value
FOREIGN COMMON STOCKS — 7.6%
Bermuda — 3.0%
Assured Guaranty, Ltd.		51,300	$	723,330
Endurance Specialty Holdings, Ltd.		12,200		467,504
Energy XXI Bermuda, Ltd.D		48,100		1,505,049
Everest Re Group, Ltd.		22,500		2,328,525
Maiden Holdings, Ltd.D		79,000		685,720
Montpelier Re Holdings, Ltd.D		173,500		3,693,815
Nabors Industries, Ltd.D*		129,400		1,863,360
PartnerRe, Ltd.		8,400		635,628
RenaissanceRe Holdings, Ltd.		16,900		1,284,569

				13,187,500

British Virgin Islands — 0.2%
UTi Worldwide, Inc.D		64,500		942,345

Canada — 1.1%
AuRico Gold, Inc.D*		134,400		1,076,544
Domtar CorporationD		16,000		1,227,360
Franco-Nevada CorporationD		9,900		447,480
Gran Tierra Energy, Inc.*		109,200		536,172
New Gold, Inc.D*		118,800		1,128,600
Westport Innovations, Inc.D*		10,700		393,225

				4,809,381

Cayman Islands — 0.2%
Herbalife, Ltd.D		13,300		642,789
Home Loan Servicing Solutions, Ltd.		12,500		167,500

				810,289

China — 0.1%
Lihua International, Inc.D*		87,600		480,048

Greece — 0.1%
Aegean Marine Petroleum Network, Inc.D		92,500		494,875

Ireland — 0.1%
Amarin Corporation PLC ADRD*		36,000		520,560

Israel — 0.7%
Allot Communications, Ltd.*		35,700		994,602
EZchip Semiconductor, Ltd.D*		13,184		527,887
Mellanox Technologies, Ltd.D*		12,700		899,668
Radware, Ltd.*		6,900		264,201
SodaStream International, Ltd.D*		13,600		557,192

				3,243,550

Luxembourg — 0.3%
Altisource Portfolio Solutions SA*		16,600		1,215,618

Netherlands — 0.4%
Chicago Bridge & Iron Co. NV		41,000		1,556,360

Panama — 0.3%
Banco Latinoamericano de Commercio Exterior SA, Class ED		60,600		1,298,658

South Africa — 0.1%
Net 1 UEPS Technologies, Inc.D*		72,100		603,477

Switzerland — 0.6%
Foster Wheeler AG*		142,000		2,460,860

See Notes to Financial Statements.

132


	Shares		Value
Taiwan — 0.1%
Silicon Motion Technology Corporation ADRD*		24,733	$	348,983

United Kingdom — 0.3%
Xyratex, Ltd.		120,200		1,359,462

Total Foreign Common Stocks
(Cost $33,197,878)				33,331,966

RIGHTS/WARRANTS — 0.0%
Asen Warrants A+		25,000		7,250
Asen Warrants B+		25,000		4,500
Asen Warrants C+		25,000		11,750

Total Rights/Warrants
(Cost $0)				23,500

MONEY MARKET FUNDS — 35.3%
GuideStone Money Market Fund (GS4 Class)¥		12,911,520		12,911,520
Northern Institutional Liquid Assets Portfolio§		140,541,498		140,541,498

Total Money Market Funds
(Cost $153,453,018)				153,453,018

	Par
AGENCY OBLIGATIONS — 0.3%
Federal Home Loan Bank
5.50%, 07/15/36	$	120,000		162,468
Federal National Mortgage Association
5.25%, 08/01/12		110,000		110,443
2.91%, 10/09/19W†D		480,000		389,771
6.25%, 05/15/29		110,000		158,865
6.63%, 11/15/30D		200,000		304,355
Tennessee Valley Authority
5.25%, 09/15/39		50,000		65,456

Total Agency Obligations
(Cost $1,078,223)				1,191,358

ASSET-BACKED SECURITIES — 0.4%
Ameriquest Mortgage Securities, Inc.
0.59%, 04/25/34†		38,874		32,400
Asset Backed Securities Corporation Home Equity
1.22%, 12/15/33†		28,312		22,134
Avis Budget Rental Car Funding AESOP LLC
2.80%, 05/20/18 144A		25,000		25,781
Bear Stearns Asset-Backed Securities Trust
1.15%, 10/27/32†		10,235		8,789
0.70%, 12/25/33†		152,056		126,692
Education Funding Capital Trust I
2.43%, 12/15/42†		100,000		94,286
1.52%, 06/15/43†		100,000		92,604
2.00%, 06/15/43†		100,000		87,068
EFS Volunteer No 2 LLC
1.59%, 03/25/36 144A†		100,000		99,998
EMC Mortgage Loan Trust
0.90%, 02/25/41 144A†		48,791		40,767
Greenpoint Manufactured Housing
2.99%, 03/18/29†		75,000		60,963
3.64%, 06/19/29†		50,000		39,963
3.74%, 02/20/30†		50,000		39,811


	Par		Value
GSAA Trust
0.52%, 07/25/37†	$	200,000	$	140,580
Hertz Vehicle Financing LLC
5.29%, 03/25/16 144A		90,000		98,793
KeyCorporation Student Loan Trust
0.73%, 10/25/32†		56,593		52,170
Lehman XS Trust
0.55%, 11/25/35†		181,425		122,934
0.55%, 12/25/35†		93,033		26,552
MASTR Specialized Loan Trust
0.60%, 05/25/37 144A†		193,426		82,684
Option One Mortgage Loan Trust
1.05%, 11/25/32†		17,132		13,425
Renaissance Home Equity Loan Trust
1.11%, 06/25/33†		20,767		16,280
Securitized Asset-Backed Receivables LLC
0.48%, 02/25/37†		211,290		71,633
SLM Student Loan Trust
0.90%, 09/16/24†		100,000		91,021
1.22%, 03/15/33 144A†		88,298		85,403
SunTrust Student Loan Trust
0.59%, 01/30/23 144A†		100,000		97,638

Total Asset-Backed Securities
(Cost $2,072,290)				1,670,369

CORPORATE BONDS — 2.7%
AES Corporation
7.75%, 10/15/15D		30,000		33,825
8.00%, 06/01/20D		190,000		218,975
Ally Financial, Inc.
1.75%, 10/30/12		100,000		100,496
American Express Co.
6.80%, 09/01/66†		150,000		155,513
American International Group, Inc.
5.85%, 01/16/18		180,000		199,468
6.40%, 12/15/20		30,000		34,001
Amgen, Inc.
3.88%, 11/15/21		150,000		158,690
Apache Corporation
5.63%, 01/15/17D		110,000		130,076
Arch Coal, Inc.
7.00%, 06/15/19 144AD		70,000		59,500
AT&T, Inc.
5.50%, 02/01/18		180,000		214,148
3.88%, 08/15/21D		30,000		32,741
6.30%, 01/15/38		60,000		74,997
BAC Capital Trust XIV
4.00%, 09/29/49†		10,000		7,160
Baker Hughes, Inc.
7.50%, 11/15/18		60,000		79,339
Bank of America Corporation
5.42%, 03/15/17		60,000		62,190
3.88%, 03/22/17D		20,000		20,396
5.75%, 12/01/17		190,000		203,003
5.00%, 05/13/21		50,000		51,677
5.88%, 02/07/42D		50,000		54,970
Boeing Capital Corporation
4.70%, 10/27/19		40,000		47,177
Boeing Co.
4.88%, 02/15/20		60,000		72,098

See Notes to Financial Statements.

133

SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Calpine Corporation
7.88%, 01/15/23 144AD	$	80,000	$	87,600
Caterpillar Financial Services Corporation
6.20%, 09/30/13		110,000		117,615
CCO Holdings LLC
7.00%, 01/15/19D		70,000		75,950
6.50%, 04/30/21D		10,000		10,700
Cellco Partnership/Verizon Wireless Capital LLC
8.50%, 11/15/18		60,000		82,210
Citigroup, Inc.
6.00%, 12/13/13		110,000		115,645
6.38%, 08/12/14		20,000		21,419
5.00%, 09/15/14		170,000		174,351
5.50%, 10/15/14D		50,000		52,967
3.95%, 06/15/16		70,000		71,791
6.00%, 08/15/17		30,000		32,898
5.38%, 08/09/20		50,000		54,119
6.88%, 03/05/38		60,000		73,635
Comcast Cable Communications Holdings, Inc.
9.46%, 11/15/22		30,000		43,752
Comcast Corporation
6.50%, 01/15/17D		120,000		143,000
5.15%, 03/01/20		20,000		23,255
5.65%, 06/15/35D		10,000		11,231
Community Health Systems, Inc.
8.88%, 07/15/15		15,000		15,413
Concho Resources Inc.
6.50%, 01/15/22		33,000		34,485
ConocoPhillips Holding Co.
6.95%, 04/15/29		60,000		82,537
CONSOL Energy, Inc.
6.38%, 03/01/21D		50,000		47,250
Countrywide Financial Corporation
6.25%, 05/15/16D		50,000		52,084
CVS Caremark Corporation
6.60%, 03/15/19		130,000		162,344
CVS Pass-Through Trust
6.94%, 01/10/30		63,037		74,852
Devon Energy Corporation
5.60%, 07/15/41		90,000		104,821
Dominion Resources, Inc.
5.70%, 09/17/12		120,000		121,234
Duke Energy Carolinas LLC
5.63%, 11/30/12		130,000		132,640
5.30%, 02/15/40		50,000		61,944
Ecolab, Inc.
4.35%, 12/08/21D		20,000		22,211
Energy Future Intermediate
Holding Co., LLC
10.00%, 12/01/20		270,000		294,975
Enterprise Products
Operating LLC
6.30%, 09/15/17		170,000		203,144
6.13%, 10/15/39		10,000		11,368
5.70%, 02/15/42		70,000		77,735
Express Scripts Holding Co.
3.50%, 11/15/16 144A		150,000		158,090


	Par		Value
Farmer Mac Guaranteed Notes Trust
5.13%, 04/19/17 144A	$	250,000	$	294,404
FirstEnergy Corporation
7.38%, 11/15/31		130,000		163,645
Ford Motor Credit Co., LLC
12.00%, 05/15/15		140,000		175,000
Freeport-McMoRan Copper & Gold, Inc.
3.55%, 03/01/22		145,000		142,951
Fresenius Medical Care US Finance, Inc.
6.88%, 07/15/17		40,000		44,600
General Electric Capital Corporation
6.00%, 08/07/19		260,000		304,668
4.63%, 01/07/21		30,000		33,056
5.30%, 02/11/21D		110,000		123,678
6.38%, 11/15/67†		130,000		135,688
Goldman Sachs Capital II
4.00%, 06/01/43†		10,000		6,783
Goldman Sachs Group, Inc.
3.63%, 08/01/12D		20,000		20,037
5.45%, 11/01/12		20,000		20,292
5.25%, 10/15/13D		20,000		20,805
3.30%, 05/03/15D		100,000		100,053
5.95%, 01/18/18		100,000		107,155
5.38%, 03/15/20		60,000		61,862
6.00%, 06/15/20		40,000		42,770
5.25%, 07/27/21		10,000		10,176
6.25%, 02/01/41		130,000		136,018
Hess Corporation
8.13%, 02/15/19		90,000		116,001
HSBC Finance Corporation
6.68%, 01/15/21		240,000		260,277
Humana, Inc.
7.20%, 06/15/18D		60,000		72,191
International Lease Finance Corporation
6.50%, 09/01/14 144AD		30,000		31,800
6.75%, 09/01/16 144AD		150,000		162,000
John Deere Capital Corporation
2.25%, 04/17/19D		150,000		153,556
JPMorgan Chase & Co.
6.13%, 06/27/17D		200,000		222,863
4.40%, 07/22/20		60,000		63,391
4.25%, 10/15/20		100,000		105,235
4.35%, 08/15/21		10,000		10,574
4.50%, 01/24/22D		100,000		107,932
Kerr-McGee Corporation
6.95%, 07/01/24		120,000		148,844
Kinder Morgan Energy
Partners LP
6.00%, 02/01/17		70,000		80,928
Kraft Foods Group, Inc.
3.50%, 06/06/22 144A		60,000		61,698
Kraft Foods, Inc.
5.38%, 02/10/20		120,000		142,229
Lehman Escrow Bonds
0.00%, 03/01/42+		120,000		—
0.00%, 08/19/45+		50,000		—
0.00%, 07/19/47+		160,000		—
0.00%, 11/30/49+		10,000		—

See Notes to Financial Statements.

134


	Par		Value
MarkWest Energy Partners LP
6.25%, 06/15/22D	$	10,000	$	10,350
Medtronic, Inc.
4.45%, 03/15/20D		40,000		45,986
Merrill Lynch & Co., Inc.
5.45%, 02/05/13		220,000		224,456
MetLife, Inc.
6.75%, 06/01/16		50,000		58,681
6.40%, 12/15/66D		120,000		118,233
Morgan Stanley
4.75%, 03/22/17D		10,000		9,988
Noble Energy, Inc.
4.15%, 12/15/21		90,000		94,820
Occidental Petroleum Corporation
3.13%, 02/15/22		50,000		52,232
2.70%, 02/15/23		30,000		30,257
Pacific Gas & Electric Co.
5.63%, 11/30/17		30,000		36,026
6.05%, 03/01/34		90,000		113,790
Pemex Project Funding Master Trust
6.63%, 06/15/35D		90,000		107,550
PepsiCo, Inc.
7.90%, 11/01/18		13,000		17,391
Pfizer, Inc.
6.20%, 03/15/19		70,000		87,859
Raytheon Co.
3.13%, 10/15/20		30,000		31,543
Reed Elsevier Capital, Inc.
8.63%, 01/15/19		80,000		101,625
Regency Energy Partners LP
6.50%, 07/15/21		42,000		44,310
Roche Holdings, Inc.
6.00%, 03/01/19 144A		50,000		62,280
Safeway, Inc.
3.95%, 08/15/20D		30,000		28,997
4.75%, 12/01/21D		140,000		139,103
SESI LLC
7.13%, 12/15/21 144A		10,000		10,925
Sprint Capital Corporation
6.90%, 05/01/19D		100,000		94,500
State Street Corporation
4.96%, 03/15/18		100,000		107,228
Teachers Insurance & Annuity Association of America
6.85%, 12/16/39 144A		60,000		77,748
Thermo Fisher Scientific, Inc.
3.60%, 08/15/21D		20,000		21,554
Time Warner Cable, Inc.
6.75%, 07/01/18		110,000		134,170
8.25%, 04/01/19D		50,000		65,424
4.13%, 02/15/21D		10,000		10,633
5.88%, 11/15/40		80,000		89,861
Time Warner, Inc.
4.70%, 01/15/21		30,000		33,489
6.25%, 03/29/41		10,000		11,670
United Parcel Service, Inc.
4.50%, 01/15/13		50,000		51,109
United Technologies
Corporation
3.10%, 06/01/22		20,000		21,002
4.50%, 06/01/42		40,000		44,124


	Par		Value
UnitedHealth Group, Inc.
4.88%, 02/15/13	$	100,000	$	102,559
Verizon Communications, Inc.
6.10%, 04/15/18		30,000		36,595
8.75%, 11/01/18		10,000		13,763
3.50%, 11/01/21		30,000		32,004
6.00%, 04/01/41		50,000		63,630
Wachovia Capital Trust III
5.57%, 03/29/49†		50,000		47,938
Wachovia Corporation
5.63%, 10/15/16		270,000		304,650
Wal-Mart Stores, Inc.
6.50%, 08/15/37D		100,000		141,549
Waste Management, Inc.
7.38%, 05/15/29		20,000		26,566
WellPoint, Inc.
5.88%, 06/15/17		110,000		129,880
Wells Fargo & Co.
3.68%, 06/15/16 STEP		50,000		53,269
2.10%, 05/08/17D		100,000		100,339
4.60%, 04/01/21		10,000		11,177
Williams Cos., Inc.
7.88%, 09/01/21		24,000		30,362
7.50%, 01/15/31		15,000		18,315
7.75%, 06/15/31		24,000		29,873
8.75%, 03/15/32		5,000		6,803
Williams Partners LP
5.25%, 03/15/20D		20,000		22,507
WPX Energy, Inc.
6.00%, 01/15/22 144AD		20,000		20,000
Wyeth
5.95%, 04/01/37		10,000		13,173

Total Corporate Bonds
(Cost $10,988,807)				11,936,731

FOREIGN BONDS — 1.1%
Australia — 0.1%
BHP Billiton Finance (USA), Ltd.
6.50%, 04/01/19		110,000		140,221
3.25%, 11/21/21		10,000		10,457
Commonwealth Bank of Australia
3.75%, 10/15/14 144A		60,000		62,844
5.00%, 10/15/19 144AD		20,000		22,006
Rio Tinto Finance USA, Ltd.
9.00%, 05/01/19		180,000		246,444

				481,972

Canada — 0.2%
Anadarko Finance Co.
7.50%, 05/01/31D		60,000		75,744
Barrick Gold Corporation
6.95%, 04/01/19		100,000		124,589
Hydro Quebec
1.38%, 06/19/17D		240,000		240,103
Potash Corporation of Saskatchewan, Inc.
4.88%, 03/30/20		20,000		23,116
Province of Ontario
4.40%, 04/14/20D		280,000		326,055
2.45%, 06/29/22D		140,000		138,490

				928,097

See Notes to Financial Statements.

135

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SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Cayman Islands — 0.2%
Petrobras International Finance Co.
3.88%, 01/27/16	$	50,000	$	51,872
6.13%, 10/06/16		40,000		44,935
5.75%, 01/20/20		32,000		35,164
5.38%, 01/27/21		150,000		162,416
Resona Preferred Global Securities Cayman, Ltd.
7.19%, 12/29/49 144A†D		60,000		61,783
Vale Overseas, Ltd.
4.38%, 01/11/22		195,000		199,548
6.88%, 11/21/36D		60,000		69,897

				625,615

Chile — 0.0%
Celulosa Arauco y Constitucion SA
4.75%, 01/11/22 144A		40,000		41,091

France — 0.0%
Credit Agricole SA
8.38%, 10/29/49 144A†		120,000		99,900

Iceland — 0.0%
Glitnir Banki HF
6.69%, 06/15/16+ 144A#		130,000		1
Kaupthing Bank HF
7.63%, 02/28/15 144A#@		310,000		80,600

				80,601

India — 0.0%
ICICI Bank, Ltd.
6.38%, 04/30/22 144A†		110,000		99,000

Japan — 0.0%
Sumitomo Mitsui Banking Corporation
3.15%, 07/22/15 144A		100,000		105,101

Jersey — 0.0%
UBM PLC
5.75%, 11/03/20 144A		30,000		30,928

Mexico — 0.1%
America Movil SAB de CV
5.63%, 11/15/17		30,000		35,421
Mexican Bonos
8.00%, 06/11/20(M)		2,670,000		237,372
6.50%, 06/09/22(M)		2,660,000		216,452
Mexico Government International Bond
6.75%, 09/27/34		40,000		54,800
6.05%, 01/11/40		10,000		12,950

				556,995

Netherlands — 0.2%
Achmea Hypotheekbank NV
3.20%, 11/03/14 144A		370,000		386,175
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
3.38%, 01/19/17		220,000		226,659
Deutsche Telekom International Finance BV
5.75%, 03/23/16		75,000		84,175


	Par		Value
Shell International Finance BV
4.38%, 03/25/20	$	90,000	$	104,977

				801,986

Spain — 0.1%
BBVA US Senior SA Unipersonal
3.25%, 05/16/14		100,000		96,247
Santander US Debt SA Unipersonal
3.72%, 01/20/15 144A		100,000		93,067
Telefonica Emisiones SA Unipersonal
5.88%, 07/15/19D		30,000		26,870

				216,184

United Kingdom — 0.2%
BP Capital Markets PLC
5.25%, 11/07/13		90,000		95,396
3.88%, 03/10/15D		30,000		32,169
3.56%, 11/01/21		10,000		10,542
3.25%, 05/06/22		50,000		51,878
GlaxoSmithKline Capital PLC
2.85%, 05/08/22		60,000		61,163
Lloyds TSB Bank PLC
6.38%, 01/21/21		50,000		56,759
Royal Bank of Scotland PLC
4.88%, 03/16/15		100,000		103,540
3.95%, 09/21/15		50,000		50,967
Royal Bank of Scotland Group PLC
7.65%, 08/29/49†		10,000		8,100
WPP Finance UK
8.00%, 09/15/14		100,000		112,835

				583,349

Total Foreign Bonds
(Cost $4,709,713)				4,650,819

MORTGAGE-BACKED SECURITIES — 4.2%
American Home Mortgage Investment Trust
0.95%, 04/25/44†		32,864		25,519
0.54%, 11/25/45†		174,434		109,995
Banc of America Merrill Lynch Commercial Mortgage, Inc.
4.73%, 07/10/43		10,000		10,396
5.42%, 09/10/45†		17,000		18,359
5.63%, 07/10/46		90,000		101,453
Bear Stearns Adjustable Rate Mortgage Trust
2.83%, 02/25/35†		64,294		40,782
2.81%, 08/25/35†		180,446		121,386
Bear Stearns Mortgage Funding Trust
0.46%, 12/25/46†		179,741		32,713
Commercial Mortgage Lease-Backed Certificates
6.75%, 06/20/31 144A		174,343		185,344
Countrywide Alternative Loan Trust
0.49%, 07/25/35†		169,414		94,956
0.51%, 07/25/35†		224,238		131,337
Credit Suisse First Boston Mortgage Securities Corporation
6.00%, 10/25/35		101,956		58,039

See Notes to Financial Statements.

136


	Par		Value
Federal Home Loan Mortgage Corporation
4.00%, 10/01/25	$	600,000	$	634,445
2.50%, 07/01/27 TBA		600,000		616,688
3.00%, 07/01/27 TBA		500,000		522,734
3.10%, 05/01/37†		9,511		10,186
5.50%, 12/01/38		236,130		256,940
5.50%, 07/01/39 TBA		100,000		108,672
6.00%, 11/01/39		397,465		437,335
3.50%, 07/01/41 TBA		400,000		419,625
4.00%, 07/01/41 TBA		100,000		106,109
4.50%, 06/01/42		100,000		110,157
Federal Home Loan Mortgage Corporation REMIC
6.00%, 05/15/36		143,920		168,523
20.08%, 04/15/39 IOW†		100,000		21,323
10.22%, 01/15/40 IOW†		108,065		15,489
Federal National Mortgage Association
2.50%, 07/01/27 TBA		200,000		206,063
3.00%, 07/16/27 TBA		400,000		419,062
4.50%, 05/01/31		82,856		89,834
5.00%, 07/01/33		34,592		37,642
5.00%, 09/01/33		38,060		41,415
2.44%, 09/01/35†		63,013		67,065
5.00%, 10/01/35		71,932		78,274
7.00%, 04/01/37		92,623		105,373
6.50%, 07/01/37 TBA		100,000		112,531
6.50%, 11/01/37		96,724		109,900
5.50%, 08/01/38		79,095		87,301
7.00%, 02/01/39		441,358		508,437
4.00%, 07/13/39 TBA		100,000		106,422
4.50%, 07/13/40 TBA		300,000		321,797
4.00%, 09/01/41		589,403		628,479
4.00%, 11/01/41		183,901		196,093
4.00%, 06/01/42		500,000		539,868
3.00%, 07/01/42 TBA		500,000		512,734
6.50%, 07/25/42		290,000		338,019
Federal National Mortgage Association Interest Strip
3.00%, 04/25/27 IO		200,000		21,436
4.50%, 11/25/39 IO		100,000		12,065
3.50%, 11/25/41 IO		100,000		16,608
4.00%, 04/25/42 IO		200,000		31,340
Federal National Mortgage Association REMIC
5.10%, 03/25/39 IOW†		99,739		23,516
6.50%, 06/25/39		100,000		112,313
11.96%, 12/25/39 IOW†		37,990		4,622
10.11%, 10/25/40 IOW†		64,646		9,442
4.74%, 12/25/40 IOW†		140,346		22,246
8.25%, 01/25/41 IOW†		74,373		12,207
5.50%, 07/25/41		105,641		125,614
9.21%, 07/25/41 IOW†		75,597		11,788
5.70%, 09/25/41 IO†		189,195		29,447
6.30%, 10/25/41 IO†		260,888		49,208
6.40%, 03/25/42 IOW†		100,000		24,180
6.50%, 03/25/42		300,000		355,112
5.50%, 04/25/42		400,000		452,331
6.00%, 05/25/42		200,000		226,738
7.00%, 05/25/42		200,000		238,169
8.53%, 06/25/42 IOW†		295,533		54,100


	Par		Value
FHLMC Multifamily Structured Pass Through Certificates
5.36%, 08/25/18 IOW†	$	259,735	$	26,019
5.13%, 01/25/20 IOW†		215,524		13,226
5.13%, 04/25/20 IOW†		724,560		50,227
5.27%, 06/25/20 IOW†		669,710		64,748
5.45%, 08/25/20 IOW†		206,747		17,538
5.07%, 04/25/21 IOW†		526,060		44,464
5.11%, 07/25/21 IOW†		209,264		23,806
5.11%, 10/25/21 IOW†		184,513		20,264
5.18%, 12/25/21 IOW†		109,845		10,999
5.27%, 06/25/46 IOW†		275,505		23,370
First Horizon Alternative Mortgage Securities
2.56%, 02/25/36†		147,428		103,306
0.62%, 02/25/37†		67,841		34,250
General Electric Capital Commercial Mortgage Corporation
5.48%, 03/10/44†		100,000		111,444
5.54%, 12/10/49		40,000		43,736
Government National Mortgage Association
7.93%, 12/16/36 IOW†		83,328		12,211
8.81%, 05/20/37 IOW†		88,172		13,264
6.00%, 07/01/37 TBA		200,000		224,531
6.50%, 10/20/37		69,646		79,726
5.50%, 07/01/38 TBA		100,000		110,984
6.00%, 07/20/38		94,798		106,321
6.00%, 09/20/38		647,592		726,312
5.26%, 11/20/38 IOW†		123,781		18,242
5.00%, 07/01/39 TBA		300,000		331,313
5.00%, 10/20/39		128,333		142,149
5.00%, 01/15/40		396,263		438,820
4.50%, 01/20/40		77,613		85,510
12.12%, 01/20/40 IOW†		84,062		12,943
9.72%, 03/20/40 IOW†		77,277		12,332
10.01%, 03/20/40 IOW†		228,913		36,223
4.50%, 05/20/40		80,820		89,301
4.50%, 07/20/40		79,487		87,828
5.00%, 08/20/40		149,792		165,964
9.75%, 09/20/40 IOW†		72,466		11,393
9.80%, 09/20/40 IOW†		72,846		11,352
6.00%, 10/20/40		71,175		80,227
4.50%, 01/20/41		83,675		92,412
9.79%, 01/20/41 IOW†		76,385		11,664
4.50%, 03/20/41		491,158		541,014
4.00%, 07/01/41 TBA		200,000		218,156
4.50%, 07/01/41 TBA		300,000		329,766
3.50%, 07/01/42 TBA		400,000		427,578
1.39%, 11/20/59†		289,221		296,600
1.24%, 05/20/60†		161,670		164,719
0.74%, 01/20/61†		225,900		225,443
0.69%, 02/20/61†		230,406		229,298
0.74%, 03/20/61†		96,215		96,012
Granite Mortgages PLC
0.97%, 07/20/43†		25,817		25,122
Greenpoint Mortgage Funding Trust
0.51%, 10/25/45†		46,805		29,221
GS Mortgage Securities Corporation II
3.55%, 04/01/34 144A		26,000		26,877
GSMPS Mortgage Loan Trust
0.60%, 03/25/35 144A†		29,289		24,222
0.60%, 09/25/35 144A†		88,591		69,435

See Notes to Financial Statements.

137

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SCHEDULE OF INVESTMENTS (Continued)


	Par		Value
Harborview Mortgage Loan Trust
0.48%, 06/19/35†	$	217,565	$	140,873
Homestar Mortgage Acceptance Corporation
0.70%, 07/25/34†		86,003		80,696
Impac CMB Trust
1.05%, 03/25/33†		15,099		12,440
JPMorgan Chase Commercial Mortgage Securities Corporation
5.44%, 05/15/45		16,000		17,175
LB-UBS Commercial Mortgage Trust
5.86%, 07/15/40†		40,000		45,683
MASTR Adjustable Rate Mortgages Trust
0.95%, 12/25/46†		242,430		92,002
Merrill Lynch Mortgage Investors, Inc.
4.96%, 05/25/34†		18,081		18,068
Morgan Stanley Capital I
5.69%, 04/15/49†		200,000		220,122
RBSSP Resecuritization Trust
3.34%, 12/26/35 144A†		30,742		30,769
Residential Accredit Loans, Inc.
3.24%, 12/26/34†		229,321		157,727
Structured Adjustable Rate Mortgage Loan Trust
2.79%, 11/25/34†		65,287		55,415
Structured Asset Securities Corporation
0.55%, 10/25/27†		21,010		19,478
Washington Mutual Mortgage Pass-Through Certificates
2.45%, 02/25/33†		28,366		27,226
2.44%, 10/25/33†		83,285		83,103
2.45%, 01/25/35†		94,097		91,199
2.25%, 11/25/36†		175,130		124,273
0.57%, 08/25/45†		115,912		94,642
Wells Fargo Mortgage Loan Trust
2.77%, 08/27/35 144A†		82,639		79,614
Wells Fargo Mortgage-Backed Securities Trust
2.66%, 04/25/36†		59,665		45,411

Total Mortgage-Backed Securities
(Cost $19,111,935)				18,325,094

MUNICIPAL BONDS — 0.1%
American Municipal Power, Inc., Revenue Bond, Series E
6.27%, 02/15/50		10,000		11,516
Cook County, General Obligation, Series D
6.23%, 11/15/34		10,000		11,026
Los Angeles Department of Water & Power, Revenue Bond
6.57%, 07/01/45		30,000		43,245
Municipal Electric Authority of Georgia, Revenue Bond, Series B
6.64%, 04/01/57		30,000		34,836
6.66%, 04/01/57		10,000		11,472
Northstar Education Finance, Inc. Revenue Bond
0.45%, 01/29/46†		75,000		61,935


	Par		Value
Santa Clara Valley Transportation Authority, Revenue Bond
5.88%, 04/01/32	$	40,000	$	49,173
State of California, General Obligation
7.30%, 10/01/39		20,000		24,849
State of Illinois, General Obligation
5.88%, 03/01/19		10,000		11,099
University of California, Revenue Bond, Series AD
4.86%, 05/15/12		50,000		51,338

Total Municipal Bonds
(Cost $278,329)				310,489

	Number of Contracts
PURCHASED OPTIONS — 0.0%
Call Option — 0.0%
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $147.00, Expires
08/24/12 (MLCS)		6		17,437

Put Option — 0.0%
December 2012 90-Day Eurodollar Futures, Strike Price $98.75, Expires
12/15/12 (MLCS)		20		2,000

Total Purchased Options
(Cost $34,315)				19,437

	Par
U.S. TREASURY OBLIGATIONS — 0.9%
U.S. Treasury Bonds
4.38%, 05/15/41	$	40,000		53,432
3.13%, 11/15/41		1,200,000		1,290,187
3.13%, 02/15/42		165,000		177,246
3.00%, 05/15/42		100,000		104,750

				1,625,615

U.S. Treasury Inflationary Index Bond
0.75%, 02/15/42		480,000		514,433

U.S. Treasury Notes
2.75%, 10/31/13		150,000		154,904
1.88%, 02/28/14		50,000		51,291
0.38%, 06/15/15		200,000		199,859
0.63%, 05/31/17		350,000		348,442
1.50%, 03/31/19		270,000		277,636
1.25%, 04/30/19		40,000		40,450
1.13%, 05/31/19		20,000		20,034
2.00%, 02/15/22		370,000		382,516
1.75%, 05/15/22		180,000		181,491

				1,656,623

Total U.S. Treasury Obligations
(Cost $3,650,456)				3,796,671

TOTAL INVESTMENTS — 131.5%
(Cost $535,643,777)				571,967,039

See Notes to Financial Statements.

138


	Number of Contracts			Value
WRITTEN OPTIONS — 0.0%
Call Options — 0.0%
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $151.00, Expires 08/24/12 (MLCS)		(6	)	$	(7,312	)
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $154.00, Expires 08/24/12 (MLCS)		(6	)		(3,469	)

					(10,781	)

Put Options — 0.0%
December 2012 90-Day Eurodollar Futures, Strike Price $98.25, Expires 12/15/12 (MLCS)		(20	)		(750	)
September 2012 10-Year U.S. Treasury Note Futures, Strike Price $138.00, Expires 08/24/12 (MLCS)		(6	)		(1,031	)

					(1,781	)

Total Written Options
(Premiums received $(28,219))					(12,562	)

Liabilities in Excess of Other Assets — (31.5)%					(137,164,361	)

NET ASSETS — 100.0%				$	434,790,116

PORTFOLIO SUMMARY (based on net assets)


	%
Money Market Funds		35.3
Financial Services		17.6
Producer Durables		13.8
Technology		11.8
Consumer Discretionary		11.2
Healthcare		8.5
Foreign Common Stocks		7.6
Futures Contracts		4.6
Energy		4.4
Materials & Processing		4.2
Mortgage-Backed Securities		4.2
Utilities		3.8
Consumer Staples		3.6
Corporate Bonds		2.7
Foreign Bonds		1.1
U.S. Treasury Obligations		0.9
Asset-Backed Securities		0.4
Agency Obligations		0.3
Municipal Bonds		0.1
Purchased Options		—	**
Rights/Warrants		—	**
Written Options		—	**
Forward Foreign Currency Contracts		(0.3	)

		135.8

**	Rounds to less than 0.005%.

See Notes to Financial Statements.

139

SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Agency Obligations	$	1,191,358		$	—		$	1,191,358	$	—
Asset-Backed Securities		1,670,369			—			1,396,411		273,958
Common Stocks		343,257,587			341,522,291			—		1,735,296
Corporate Bonds		11,936,731			—			11,936,731		—
Foreign Common Stocks		33,331,966			33,331,966			—		—
Foreign Bonds		4,650,819			—			4,650,818		1
Money Market Funds		153,453,018			153,453,018			—		—
Mortgage-Backed Securities		18,325,094			—			18,057,603		267,491
Municipal Bonds		310,489			—			310,489		—
Purchased Options		19,437			19,437			—		—
Rights/Warrants		23,500			—			—		23,500
U.S. Treasury Obligations		3,796,671			—			3,796,671		—

Total Assets — Investments in Securities	$	571,967,039		$	528,326,712		$	41,340,081	$	2,300,246

Other Financial Instruments***
Forward Foreign Currency Contracts	$	36,590		$	—		$	36,590	$	—
Futures Contracts		2,297,333			2,297,333			—		—

Total Assets — Other Financial Instruments	$	2,333,923		$	2,297,333		$	36,590	$	—

Liabilities:
Investments in Securities:
Written Options	$	(12,562	)	$	(12,562	)	$	—	$	—

Total Liabilities — Investments in Securities	$	(12,562	)	$	(12,562	)	$	—	$	—

***

See Notes to Financial Statements.

140

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)


	Shares		Value
FOREIGN COMMON STOCKS — 94.4%
Argentina — 0.0%
Banco Macro SA ADRD*		11,078	$	143,571

Australia — 3.6%
AGL Energy, Ltd.		19,011		288,905
Alumina, Ltd.		34,920		28,641
Amcor, Ltd.		606,382		4,426,648
AMP, Ltd.		833,453		3,316,574
Ansell, Ltd.		11,934		162,211
Asciano, Ltd.		11,884		53,378
ASX, Ltd.		2,537		77,876
Australia & New Zealand Banking Group, Ltd.		50,263		1,144,996
Bendigo and Adelaide Bank, Ltd.		57,171		436,900
BHP Billiton, Ltd.		56,705		1,847,014
Billabong International, Ltd.		110,815		123,610
BlueScope Steel, Ltd.*		1,982,017		616,222
Boart Longyear, Ltd.		139,834		409,323
Brambles, Ltd.		238,276		1,511,219
Caltex Australia, Ltd.		34,969		488,407
CFS Retail Property Trust REIT		37,629		75,104
Coca-Cola Amatil, Ltd.		6,420		88,226
Cochlear, Ltd.D		23,994		1,629,503
Commonwealth Bank of Australia		23,783		1,302,469
Computershare, Ltd.		6,176		47,207
CSL, Ltd.		6,238		253,024
David Jones, Ltd.		7,628		20,397
Dexus Property Group REIT		84,924		81,264
Downer EDI, Ltd.*		554,105		1,792,452
Fairfax Media, Ltd.		89,241		51,191
Flight Centre, Ltd.		13,988		273,421
Fortescue Metals Group, Ltd.D		538,076		2,749,372
Goodman Group REIT		19,815		75,028
GPT Group+*		63,198		—
GPT Group REIT		26,294		88,941
GrainCorp, Ltd.		25,447		249,133
Harvey Norman Holdings, Ltd.		66,748		134,213
Iluka Resources, Ltd.		13,679		161,444
Incitec Pivot, Ltd.		137,785		407,063
Leighton Holdings, Ltd.		19,271		324,590
Lend Lease Group		7,753		57,660
Macquarie Group, Ltd.		21,266		574,265
Mirvac Group REIT		47,808		62,819
Monadelphous Group, Ltd.		5,824		131,647
Mount Gibson Iron, Ltd.		1,099,870		982,764
Myer Holdings, Ltd.		84,500		140,572
National Australia Bank, Ltd.		119,079		2,900,479
Newcrest Mining, Ltd.		13,780		320,676
Nufarm, Ltd.		73,846		385,686
OZ Minerals, Ltd.		4,583		37,391
Pacific Brands, Ltd.		630,117		325,070
Primary Health Care, Ltd.		145,706		443,448
Qantas Airways, Ltd.*		401,270		445,788
QBE Insurance Group, Ltd.		244,626		3,380,913
QR National, Ltd.		4,409		15,444
Ramsay Health Care, Ltd.		8,205		190,645
Rio Tinto, Ltd.		1,222		71,740
Santos, Ltd.		23,966		263,950
Sims Metal Management, Ltd.		62,804		617,730
Sonic Healthcare, Ltd.		34,559		452,000
SP AusNet		157,887		165,467


	Shares		Value
Spark Infrastructure Group 144A		165,168	$	258,960
Stockland REIT		46,149		146,472
Suncorp Group, Ltd.		50,481		421,823
Telstra Corporation, Ltd.		731,564		2,771,837
Toll Holdings, Ltd.		320,167		1,316,416
Wesfarmers, Ltd.		17,338		533,692
Westfield Group REIT		40,245		394,054
Westfield Retail Trust REIT		59,197		173,636
Westpac Banking Corporation		38,069		831,284
Woodside Petroleum, Ltd.		52,222		1,673,509

				45,223,803

Austria — 0.0%
Wiener Versicherung Gruppe		14,958		604,663

Belgium — 0.1%
Ageas*		106,120		134
Belgacom SA		1,422		40,438
Groupe Bruxelles Lambert SA		457		31,021
Nyrstar		14,734		84,092
UCB SA		14,378		726,312
Umicore SA		17,989		831,725

				1,713,722

Bermuda — 0.3%
Catlin Group, Ltd.		731		4,878
Kosmos Energy, Ltd.D*		28,468		314,571
Seadrill, Ltd.D		82,228		2,927,231
Signet Jewelers, Ltd.		19,891		877,753

				4,124,433

Brazil — 3.2%
AES Tiete SA		6,500		92,557
All America Latina Logistica SA		174,700		737,593
Amil Participacoes SA		105,190		1,031,737
Banco Bradesco SA ADRD		8,800		130,856
Banco do Brasil SA		39,500		382,512
Banco do Brasil SA ADRD		85,840		842,090
Banco Santander Brasil SA		170,783		1,307,763
Banco Santander Brasil SA ADR		246,661		1,911,623
BM&FBovespa SA		400,000		2,017,426
BR Malls Participacoes SA		92,800		1,051,133
Brookfield Incorporacoes SA		560,200		937,153
CCR SA		6,500		52,718
Cido SA		39,900		1,167,102
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADRD		13,300		531,867
Companhia de Saneamento Basico do Estado de Sao Paulo		44,300		1,678,481
Companhia Energetica de Minas Gerais ADRD		33,700		620,754
Companhia Hering		11,700		222,233
Cosan SA Industria e Comercio		49,700		760,409
Diagnosticos da America SA		52,500		343,204
Duratex SA		3,000		15,997
EDP — Energias do Brasil SA		1,900		12,288
Embraer SA ADR		68,900		1,827,917
Hypermarcas SA*		104,900		617,858
Itau Unibanco Holding SA ADRD		229,294		3,191,772

See Notes to Financial Statements.

141

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
JBS SA*		68,900	$	206,854
Lojas Americanas SA		31,300		205,238
Lojas Renner SA		27,268		762,309
Magnesita Refratarios SA		52,339		166,776
Marfrig Alimentos SA*		43,367		205,985
Metalurgica Gerdau SA		60,200		659,398
OGX Petroleo e Gas Participacoes SA*		686,120		1,878,845
PDG Realty SA Empreendimentos e Participacoes ADR		89,500		308,775
Petroleo Brasileiro SA ADRD		176,750		3,252,140
Porto Seguro SA		36,100		307,529
Tim Participacoes SA ADRD		152,261		4,181,087
Totvs SA		35,611		686,157
Tractebel Energia SA		28,014		513,416
Ultrapar Participacoes SA		54,968		1,250,156
Vale SA ADRD		187,400		3,656,174

				39,725,882

Canada — 1.2%
Agrium, Inc.D		15,890		1,405,788
Canadian National Railway Co.D		51,380		4,335,444
Enbridge, Inc.D		39,900		1,593,492
First Quantum Minerals, Ltd.D		221,439		3,915,040
Nexen, Inc.		113,701		1,925,356
Potash Corporation of Saskatchewan, Inc.D		35,610		1,555,801
Westjet Airlines, Ltd.		22,305		352,507

				15,083,428

Chile — 0.2%
Banco Santander Chile ADR		400		30,996
Cap SA		7,000		257,913
Embotelladora Andina SA ADR Class AD		8,434		223,923
Embotelladora Andina SA ADR Class BD		14,724		475,585
Empresas COPEC SA		11,100		163,812
Enersis SA ADR		16,700		312,290
Entel Chile SA		31,900		605,192
Sociedad Quimica y Minera de Chile SA ADRD		13,800		768,246

				2,837,957

China — 3.3%
Agricultural Bank of China, Ltd.D		452,000		183,067
Anhui Conch Cement Co., Ltd. Class H		650,096		1,788,719
Anta Sports Products, Ltd.D		164,000		99,989
Baidu, Inc. ADR*		64,100		7,370,218
Bank of China, Ltd. Class H		2,328,000		894,243
Bank of Communications Co., Ltd.		249,000		169,002
China BlueChemical, Ltd.		416,000		237,929
China CITIC Bank Corporation, Ltd.D		49,000		25,329
China Coal Energy Co., Ltd.		235,000		195,114
China Communications Construction Co., Ltd. Class H		304,000		269,854
China Construction Bank Corporation Class H		2,044,000		1,412,148
China Life Insurance Co., Ltd. Class H		249,000		655,743


	Shares		Value
China Merchants Bank Co., Ltd.D		1,396,190	$	2,647,300
China Merchants Bank Co., Ltd. Class HD		96,500		182,973
China Minsheng Banking Corporation, Ltd.D		353,500		316,548
China National Building Material Co., Ltd.		970,000		1,059,746
China Petroleum & Chemical Corporation Class HD		610,000		545,173
China Railway Construction Corporation, Ltd.D		655,500		549,573
China Shenhua Energy Co., Ltd. Class H		30,500		107,918
China Shenhua Energy Co., Ltd.		250,651		886,880
China Telecom Corporation, Ltd. Class H		384,000		168,555
China Yurun Food Group, Ltd.D		165,000		145,741
Chongqing Rural Commercial Bank		127,000		51,828
CNinsure, Inc. ADRD*		14,236		97,374
CNOOC, Ltd.D		1,230,900		2,481,641
Ctrip.com International, Ltd. ADRD*		38,257		641,187
Dongyue GroupD		1,605,000		754,974
ENN Energy Holdings, Ltd.		274,433		968,754
Evergrande Real
Estate Group, Ltd.		169,000		87,524
Industrial & Commercial Bank of China Class H		3,850,750		2,158,686
Jiangsu Express Co., Ltd. Class HD		128,000		120,509
Lenovo Group, Ltd.		1,430,000		1,220,264
Li Ning Co, Ltd.D		638,842		359,443
Longfor Properties Co., Ltd.		521,458		822,382
Parkson Retail Group, Ltd.D		1,261,927		1,127,286
PetroChina Co., Ltd. Class H		46,000		59,536
Tencent Holdings, Ltd.		239,900		7,084,555
Tingyi Cayman Islands Holding Corporation		12,000		30,917
Want Want China Holdings, Ltd.D		1,032,283		1,276,563
West China Cement, Ltd.		1,675,528		330,870
Yangzijiang Shipbuilding Holdings, Ltd.		331,800		266,089
Youku, Inc. ADRD*		28,040		607,907
Zhejiang Expressway Co., Ltd.		128,000		84,947

				40,544,998

Colombia — 0.1%
BanColombia SA		64,300		972,988
BanColombia SA ADRD		8,246		509,933

				1,482,921

Cyprus — 0.1%
Eurasia Drilling Co., Ltd. GDR		15,112		385,356
Global Ports Investment, Ltd. GDR		18,486		252,334
Global Ports Investment, Ltd. GDR 144A		18,105		247,133

				884,823

Denmark — 0.7%
AP Moller — Maersk A/S Class B		82		537,717
Coloplast A/S		295		53,043
Danske Bank A/S*		58,611		814,952

See Notes to Financial Statements.

142


	Shares		Value
DSV A/S		44,739	$	887,085
Novo Nordisk A/S Class B		35,486		5,146,778
Novozymes A/S		36,890		956,609
Vestas Wind Systems A/SD*		26,737		148,234

				8,544,418

Egypt — 0.2%
ElSwedy Electric Co.		80,671		318,691
Orascom Construction Industries		54,630		2,280,269

				2,598,960

Estonia — 0.0%
Tallink Group AS*		491,560		382,744

Finland — 0.3%
Kone OYJ		8,457		510,747
Metso OYJ		45,531		1,569,873
Nokia OYJ		140,059		285,720
Outotec OYJ		23,201		1,060,074
Sampo OYJ		12,161		315,516

				3,741,930

France — 6.9%
Arkema SA		11,687		766,298
AtoS		12,728		761,175
AXA SA		30,296		405,019
BNP Paribas SA		58,782		2,266,329
Bouygues SA		17,919		480,833
Cap Gemini SA		28,716		1,056,915
Carrefour SAD		203,625		3,760,025
Casino Guichard Perrachon SA		42,681		3,751,607
Christian Dior SA		27,889		3,835,498
Cie de St-Gobain		171,281		6,328,711
Cie Generale des Etablissements Michelin Class B		8,351		546,377
Cie Generale d’Optique Essilor International SA		8,954		831,826
Credit Agricole SA*		29,800		131,491
Danone SA		62,966		3,913,132
Edenred		9,332		264,557
Eramet		1,938		223,985
Etablissements Maurel et Prom		33,321		482,625
Faurecia		27,650		459,911
France Telecom SA		446,344		5,868,721
GDF Suez		119,136		2,841,142
Hermes International		2,547		782,548
Klepierre REIT		623		20,474
Lagardere SCA		15,526		433,389
L’Oreal SA		45,608		5,336,389
Natixis		44,299		119,327
Nexans SA		9,540		370,053
PPR		30,192		4,303,320
Publicis Groupe SA		7,064		323,062
Sanofi		158,162		11,973,022
Schneider Electric SA		71,544		3,976,689
Societe BIC SA		8,271		854,395
Societe Generale SA*		67,847		1,590,988
Total SA		158,546		7,136,001
UBISOFT Entertainment*		122,900		823,928
Unibail-Rodamco SE REIT		1,611		296,763
Valeo SA		25,703		1,061,896


	Shares		Value
Vallourec SAD		40,179	$	1,641,765
Vinci SA		76,812		3,589,827
Vivendi SAD		93,357		1,734,660
Zodiac Aerospace		3,470		352,986

				85,697,659

Germany — 7.4%
Adidas AG		34,282		2,457,268
Aixtron SE NAD		63,889		915,615
Allianz SE		22,111		2,224,037
Aurubis AG		20,734		1,001,281
Axel Springer AGD		14,402		618,769
BASF SE		70,340		4,891,062
Bayer AGD		151,220		10,896,833
Bayerische Motoren Werke AG		34,364		2,486,856
Beiersdorf AGD		65,901		4,272,209
Bilfinger Berger SE		14,223		1,159,258
Brenntag AG		425		47,034
Continental AGD		29,965		2,497,912
Daimler AG		86,461		3,885,516
Deutsche Bank AG		43,398		1,566,378
Deutsche Lufthansa AGD		94,678		1,094,555
Deutsche Post AG		94,688		1,675,363
Deutsche Telekom AG		413,059		4,526,905
E.ON AG		45,275		978,356
Fresenius Medical Care AG & Co. KGaA		22,202		1,568,091
Fresenius SE & Co KGaA		1,995		206,558
GEA Group AGD		75,079		2,001,074
Hannover Rueckversicherung AGD		45,654		2,719,547
HeidelbergCement AGD		19,305		926,823
Hugo Boss AG*		8,930		884,719
Johnson & Johnson		1,969		133,053
Kabel Deutschland Holding AGD		15,900		990,887
Leoni AG		22,341		852,279
Linde AGD		36,865		5,741,392
Merck KGaA		15,358		1,533,753
Metro AG		43,230		1,260,595
MTU Aero Engines Holding AG		51,000		3,753,584
Rheinmetall AG		8,633		424,375
RWE AG		137,493		5,622,729
Salzgitter AG		14,059		578,742
SAP AGD		153,350		9,080,704
Siemens AG		12,559		1,055,299
SMA Solar Technology AGD		31,541		1,081,831
Suedzucker AGD		56,913		2,019,020
TUI AG*		118,191		707,025
Volkswagen AGD		8,637		1,305,169

				91,642,456

Greece — 0.1%
Coca Cola Hellenic Bottling Co. SA		50,754		899,210

Guernsey — 0.0%
Resolution, Ltd.		7,614		23,422

Hong Kong — 2.6%
AIA Group, Ltd.		1,088,800		3,760,780
ASM Pacific Technology, Ltd.D		58,957		753,610
Belle International Holdings, Ltd.		359,000		615,025
BOC Hong Kong Holdings, Ltd.		169,500		521,798
Cathay Pacific Airways, Ltd.		57,000		92,411

See Notes to Financial Statements.

143

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Cheung Kong Holdings, Ltd.		51,000	$	629,661
Cheung Kong Infrastructure Holdings, Ltd.		7,000		42,377
China Mengniu Dairy Co., Ltd.		269,000		712,311
China Mobile, Ltd.		510,118		5,599,816
China Overseas Land & Investment, Ltd.D		818,372		1,927,283
China Resources Cement Holdings, Ltd.D		920,782		540,297
China Resources Gas Group, Ltd.		333,469		577,454
China Resources Land, Ltd.		64,000		132,337
CLP Holdings, Ltd.		45,000		382,448
COSCO Pacific, Ltd.		446,000		611,956
Esprit Holdings, Ltd.		77		100
First Pacific Co., Ltd.		38,000		39,416
Foxconn International Holdings, Ltd.*		16,000		5,845
GOME Electrical Appliances Holdings, Ltd.		5,896,000		788,846
Guangdong Investment, Ltd.		272,000		196,902
Hang Lung Group, Ltd.		15,000		92,748
Hang Seng Bank, Ltd.		12,000		164,976
HKT Trust		954		749
Hong Kong & China Gas Co., Ltd.		101,200		214,979
Hong Kong Exchanges and Clearing, Ltd.D		97,600		1,404,344
Hopewell Holdings, Ltd.		32,000		91,609
Hutchison Whampoa, Ltd.		37,000		320,934
Hysan Development Co., Ltd.		86,000		327,815
Jardine Matheson Holdings, Ltd.		61,540		2,997,632
Kerry Properties, Ltd.		66,100		284,440
Kingboard Chemical Holdings, Ltd.		114,400		222,807
Li & Fung, Ltd.D		2,052,924		3,974,976
Lifestyle International Holdings, Ltd.		33,000		72,716
Link (The) REIT		39,500		161,905
Minmetals Resources, Ltd.*		492,000		207,848
MTR Corporation, Ltd.		69,500		238,583
New World Department Store China, Ltd.		463,337		250,388
New World Development Co., Ltd.		64,000		75,415
NWS Holdings, Ltd.		21,000		30,714
PCCW, Ltd.		68,000		25,078
Ports Design, Ltd.+D		133,000		139,141
Power Assets Holdings, Ltd.		127,500		956,784
Shangri-La Asia, Ltd.		1,000		1,921
Shimao Property Holdings, Ltd.		42,500		65,873
Shougang Fushan Resources Group, Ltd.		1,608,000		419,238
Sino Land Co., Ltd.		82,000		124,514
Sun Hung Kai Properties, Ltd.		2,000		23,778
Swire Pacific, Ltd. Class A		13,000		151,201
Swire Properties, Ltd.		100		301
Television Broadcasts, Ltd.		800		5,577
Wharf Holdings, Ltd.		17,000		94,536
Wing Hang Bank, Ltd.		3,000		29,171
Yue Yuen Industrial
Holdings, Ltd.		411,800		1,294,725

				32,398,089


	Shares		Value
Hungary — 0.1%
MOL Hungarian Oil and Gas PLC		24,620	$	1,783,021
OTP Bank PLC		5,200		82,685

				1,865,706

India — 1.9%
ACC, Ltd.		20,600		470,239
Ambuja Cements, Ltd.		294,998		925,673
Andhra Bank		214,848		457,468
Axis Bank, Ltd.		88,770		1,633,151
Bank of India		16,700		104,319
Canara Bank		8,600		64,082
Container Corporation of India		12,622		208,806
Dabur India, Ltd.		335,826		691,970
GAIL India, Ltd.*		4,800		30,488
HCL Technologies, Ltd.		16,600		142,549
Hero MotoCorp, Ltd.		1,900		73,717
Hindustan Unilever, Ltd.		69,900		570,804
Housing Development Finance Corporation		96,100		1,133,226
ICICI Bank, Ltd. ADRD		87,190		2,825,828
Infosys, Ltd. ADR		26,326		1,193,495
Infosys, Ltd. ADR D		103,109		4,646,092
JSW Steel, Ltd.		16,500		202,325
Kotak Mahindra Bank, Ltd.		150,208		1,606,380
Lupin, Ltd.		139,207		1,345,263
Oil & Natural Gas Corporation, Ltd.*		69,100		354,508
Opto Circuits India, Ltd.*		101,293		281,182
Ranbaxy Laboratories, Ltd.*		39,500		350,397
Reliance Capital, Ltd.*		58,236		377,950
Rural Electrification Corporation, Ltd.*		256,800		887,324
Shriram Transport Finance Co., Ltd.		115,811		1,104,737
SKS Microfinance, Ltd.*		17,272		21,530
Tata Consultancy Services, Ltd.		31,334		723,101
Tata Motors, Ltd. ADRD		10,600		232,776
Tata Steel, Ltd.		48,000		383,339
Ultratech Cement, Ltd.		10,700		291,461
Welspun Corporation, Ltd.		67,687		144,889

				23,479,069

Indonesia — 0.8%
Media Nusantara Citra Tbk PT		4,365,000		930,070
PT Bank Danamon Indonesia Tbk		254,897		163,707
PT Bank Negara Indonesia Persero Tbk		596,000		245,058
PT Bank Rakyat Indonesia Tbk		2,103,634		1,440,790
PT Indo Tambangraya Megah Tbk		39,500		152,965
PT Indocement Tunggal Prakarsa Tbk		940,780		1,753,388
PT Indofood Sukses Makmur Tbk		722,000		375,527
PT Ramayana Lestari Sentosa Tbk		2,831,000		285,860
PT Semen Gresik Persero Tbk		537,637		652,498
PT Telekomunikasi Indonesia Tbk		2,833,194		2,475,317
PT Telekomunikasi Indonesia Tbk ADRD		18,500		644,355
PT Unilever Indonesia Tbk		166,500		408,346

See Notes to Financial Statements.

144


	Shares		Value
PT United Tractors Tbk		36,000	$	82,831

				9,610,712

Ireland — 0.4%
Experian PLC		132,929		1,875,379
James Hardie Industries SE		134,257		1,106,945
Shire PLC		60,960		1,753,808
WPP PLC		51,727		627,951

				5,364,083

Israel — 0.7%
Check Point Software Technologies, Ltd.D*		22,700		1,125,693
Teva Pharmaceutical Industries, Ltd. ADR		184,100		7,260,904

				8,386,597

Italy — 1.7%
Assicurazioni Generali SpA		20,976		284,411
Enel SpA		436,063		1,407,988
Eni SpA		412,138		8,755,953
Fiat Industrial SpA		17,752		174,734
Fiat SpAD*		341,067		1,719,595
Finmeccanica SpAD*		113,400		458,521
Intesa Sanpaolo SpA		1,515,622		2,157,109
Prysmian SpA		22,562		336,536
Snam SpA		403,300		1,806,837
Telecom Italia SpA		2,427,501		2,398,722
UniCredit SpA*		283,627		1,075,405
Unione di Banche Italiane SCPA		14,202		46,401

				20,622,212

Japan — 13.3%
Acom Co., Ltd.*		20,230		401,368
Aeon Co., Ltd.		39,800		496,030
Aisin Seiki Co., Ltd.		57,100		1,908,732
Ajinomoto Co., Inc.		40,000		556,704
Amada Co., Ltd.		194,000		1,147,864
Anritsu Corporation		16,000		181,346
Aozora Bank, Ltd.		56,600		134,786
Asahi Glass Co., Ltd.		5,200		35,080
Asahi Kasei Corporation		50,200		272,115
Astellas Pharma, Inc.		141,900		6,192,333
Azbil Corporation		21,000		430,407
Bridgestone Corporation		2,200		50,521
Brother Industries, Ltd.		48,900		559,858
Calsonic Kansei Corporation		141,000		767,174
Canon, Inc.		202,950		8,099,841
Casio Computer Co., Ltd.		30,400		199,334
Central Japan Railway Co.		93		732,456
Chiyoda Corporation		69,000		845,411
Chubu Electric Power Co., Inc.		22,500		364,852
COMSYS Holdings Corporation		42,200		496,346
Credit Saison Co., Ltd.		13,600		302,383
Daicel Corporation		31,000		190,699
Daihatsu Motor Co., Ltd.		47,000		822,837
Daiichi Sankyo Co., Ltd.		5,100		85,995
Dainippon Screen Manufacturing Co., Ltd.		78,000		571,585
Dainippon Sumitomo Pharma Co., Ltd.		10,700		109,325
Daito Trust Construction Co., Ltd.		17,400		1,649,383


	Shares		Value
Daiwa House Industry Co., Ltd.		3,000	$	42,555
Dena Co., Ltd.D		59,700		1,571,396
Denso Corporation		151,000		5,159,824
East Japan Railway Co.		6,000		376,747
Ebara Corporation		79,000		305,917
Exedy Corporation		11,600		253,029
FamilyMart Co., Ltd.		19,100		874,187
FANUC Corporation		11,000		1,808,192
Fuji Heavy Industries, Ltd.		101,900		825,601
Fuji Media Holdings, Inc.		138		237,229
Fujikura, Ltd.		59,000		176,590
Fujitsu, Ltd.D		343,000		1,641,500
Fukuoka Financial Group, Inc.		128,000		499,831
Furukawa Electric Co., Ltd.		52,000		122,994
Gree, Inc.D		59,400		1,181,613
Hino Motors, Ltd.		60,000		434,271
Hitachi High-Technologies Corporation		6,000		147,744
Hitachi, Ltd.		334,000		2,059,391
Hokuetsu Kishu Paper Co., Ltd.		25,000		134,065
Honda Motor Co., Ltd.		8,500		296,612
Hoya Corporation		124,500		2,742,737
Ibiden Co., Ltd.		32,600		590,526
Idemitsu Kosan Co., Ltd.		3,700		331,896
IHI Corporation		268,000		573,249
Inpex Corporation		761		4,274,158
Isetan Mitsukoshi Holdings, Ltd.		39,400		418,600
Isuzu Motors, Ltd.		122,100		654,014
ITOCHU Corporation		354,700		3,728,131
J Front Retailing Co., Ltd.		78,000		392,071
Japan Petroleum Exploration Co.		5,400		205,600
Japan Real Estate Investment Corporation REIT		7		64,181
Japan Retail Fund Investment Corporation REIT		20		31,725
JGC Corporation		81,000		2,348,299
JTEKT Corporation		43,300		448,312
JX Holdings, Inc.		2,770		14,277
Kao Corporation		155,800		4,296,713
KDDI Corporation		158		1,019,244
Keisei Electric Railway Co., Ltd.		54,000		456,167
Kobe Steel, Ltd.		305,000		366,900
Komatsu, Ltd.D		111,900		2,671,203
Konami Corporation		4,500		101,965
Konica Minolta Holdings, Inc.		97,500		768,101
Kuraray Co., Ltd.		64,500		835,886
KYB Co., Ltd.		99,000		445,647
Kyocera Corporation		5,900		510,586
Lawson, Inc.		40,000		2,797,259
Mabuchi Motor Co., Ltd.		40,700		1,622,388
Marubeni Corporation		78,800		525,036
Marui Group Co., Ltd.		38,800		296,754
Miraca Holdings, Inc.		8,700		361,210
Mitsubishi Corporation		109,800		2,219,529
Mitsubishi Electric Corporation		800		6,693
Mitsubishi Estate Co., Ltd.		108,000		1,937,607
Mitsubishi Heavy Industries, Ltd.		108,000		439,038
Mitsubishi Motors Corporation*		25,000		25,210

See Notes to Financial Statements.

145

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Mitsubishi UFJ Financial Group, Inc.		407,100	$	1,950,367
Mitsubishi UFJ Lease & Finance Co., Ltd.		14,760		613,952
Mitsui & Co., Ltd.		85,200		1,266,059
Mitsui Chemicals, Inc.		135,000		338,065
Mitsui Engineering & Shipbuilding Co., Ltd.		144,000		207,534
Mitsui Fudosan Co., Ltd.		18,000		349,251
Mitsui Mining & Smelting Co., Ltd.		137,000		300,550
Mizuho Financial Group, Inc.		234,440		396,026
Mori Seiki Co., Ltd.D		100,800		877,417
Namco Bandai Holdings, Inc.		10,300		141,251
NET One Systems Co., Ltd.		112,400		1,500,428
NHK Spring Co., Ltd.		64,000		691,124
Nintendo Co., Ltd.D		16,200		1,891,852
Nippon Building Fund, Inc. REIT		8		77,349
Nippon Electric Glass Co., Ltd.		49,100		293,252
Nippon Kayaku Co., Ltd.		43,000		404,736
Nippon Meat Packers, Inc.		11,000		145,602
Nippon Shokubai Co., Ltd.		17,000		205,734
Nippon Telegraph & Telephone Corporation		6,900		321,751
Nippon Yusen KK		33,800		89,396
Nishi-Nippon City Bank, Ltd. (The)		200		486
Nissan Motor Co., Ltd.		454,600		4,316,759
Nisshin Seifun Group, Inc.		19,500		228,291
Nitto Denko Corporation		19,000		814,050
NKSJ Holdings, Inc.		66,250		1,410,319
Nomura Holdings, Inc.		68,200		254,968
Nomura Research Institute, Ltd.D		44,000		968,244
NSK, Ltd.		19,000		123,110
NTT DOCOMO, Inc.		306		509,185
OKUMA Corporation		93,000		631,230
Ono Pharmaceutical Co., Ltd.		1,400		87,975
ORIX Corporation		1,590		148,181
Osaka Gas Co., Ltd.		77,000		322,608
Pacific Metals Co., Ltd.		59,000		242,757
Pioneer Corporation*		216,800		767,211
Rakuten, Inc.		354,600		3,666,093
Rengo Co., Ltd.		4,000		24,971
Resona Holdings, Inc.		204,100		840,806
Rohm Co., Ltd.		10,800		416,172
Seiko Epson Corporation		30,800		312,562
Sekisui Chemical Co., Ltd.		74,000		687,516
Sekisui House, Ltd.		8,000		75,536
Seven & I Holdings Co., Ltd.		201,700		6,080,317
Shimadzu Corporation		3,000		25,959
Shimamura Co., Ltd.		12,100		1,398,219
Shin-Etsu Chemical Co., Ltd.		120,000		6,608,160
Shinko Electric Industries Co., Ltd.		31,700		253,177
Shinsei Bank, Ltd.		546,000		664,264
SMC Corporation		12,000		2,080,533
Softbank Corporation		10,700		398,293
Sojitz Corporation		4,700		7,776
Sumitomo Corporation		210,800		2,949,473
Sumitomo Heavy Industries, Ltd.		121,000		544,858


	Shares		Value
Sumitomo Metal Industries, Ltd.		18,000	$	29,693
Sumitomo Metal Mining Co., Ltd.		15,000		169,037
Sumitomo Mitsui Financial Group, Inc.		35,600		1,176,044
Sumitomo Mitsui Trust Holdings, Inc.		562,900		1,682,295
Sumitomo Osaka Cement Co., Ltd.		48,000		159,431
Sumitomo Realty & Development Co., Ltd.		10,000		245,964
Suzuki Motor Corporation		20,700		425,031
T&D Holdings, Inc.		3,000		31,959
Taisei Corporation		292,000		782,648
Takeda Pharmaceutical Co., Ltd.		116,400		5,284,777
TDK Corporation		500		20,354
Teijin, Ltd.		15,000		45,662
THK Co., Ltd.		5,000		94,524
Tohoku Electric Power Co., Inc.		2,300		23,110
Tokai Carbon Co., Ltd.		38,000		167,569
Tokio Marine Holdings, Inc.		163,100		4,092,685
Tokuyama Corporation		155,000		382,875
Tokyo Electric Power Co., Inc.*		8,900		17,227
Tokyo Electron, Ltd.		36,600		1,716,354
Tokyo Gas Co., Ltd.		30,000		153,331
Tokyo Steel Manufacturing Co., Ltd.		27,000		159,726
Toshiba Corporation		330,300		1,257,240
Toshiba TEC Corporation		132,000		497,821
Tosoh Corporation		56,000		152,722
Toyo Seikan Kaisha, Ltd.		5,000		60,681
Toyo Suisan Kaisha, Ltd.		32,000		853,345
Toyota Boshoku Corporation		7,500		91,144
Toyota Motor Corporation		105,500		4,258,214
Trend Micro, Inc.		23,600		695,264
Ube Industries, Ltd.		154,000		358,203
UNY Co., Ltd.		77,700		851,073
USS Co., Ltd.		4,040		435,923
West Japan Railway Co.		10,200		419,607
Yamada Denki Co., Ltd.D		21,160		1,083,358
Yamaha Corporation		7,900		81,296
Yamato Holdings Co., Ltd.		5,200		83,729
Yokogawa Electric Corporation		292,300		3,021,904

				165,258,540

Jersey — 0.0%
Randgold Resources, Ltd.		1,533		137,636

Luxembourg — 0.5%
APERAM		110,083		1,453,312
ArcelorMittal		44,700		683,889
Millicom International Cellular SA ADR		8,205		774,355
O’key Group SA		8,377		64,922
Oriflame Cosmetics SA ADRD		65,186		2,186,101
Ternium SA ADRD		32,137		628,921

				5,791,500

Malaysia — 0.6%
AirAsia Bhd		815,065		922,516
Alliance Financial Group Bhd		158,100		208,605
AMMB Holdings Bhd		745,800		1,484,825
Axiata Group Bhd		575,900		996,908
CIMB Group Holdings Bhd		416,496		998,091

See Notes to Financial Statements.

146


	Shares		Value
Kuala Lumpur Kepong Bhd		49,700	$	361,153
Lafarge Malayan Cement Bhd		148,480		342,694
Malayan Banking Bhd		80,700		221,960
Public Bank Bhd		88,500		384,650
RHB Capital Bhd		223,036		522,340
Tenaga Nasional Bhd		297,800		634,646
UMW Holdings Bhd		232,500		672,541

				7,750,929

Mexico — 1.1%
Alfa SAB de CV		47,200		754,368
America Movil SAB de CV		1,715,600		2,242,934
America Movil SAB de CV ADRD		187,006		4,873,376
Arca Continental SAB de CV		11,200		64,985
Corporacion Moctezuma SAB de CV		164,707		376,587
Genomma Lab Internacional SAB de CVD*		409,214		808,323
Grupo Bimbo SAB de CV		120,100		295,215
Grupo Financiero Banorte SAB de CV		166,279		859,335
Grupo Financiero Inbursa SAB de CV		609,686		1,370,682
Grupo Mexico SAB de CV Series B		228,800		680,069
Grupo Televisa SAB ADR		12,100		259,908
Industrias Penoles SAB de CVD		8,500		364,476
Kimberly-Clark de Mexico SAB de CV Class A		170,400		333,782
Megacable Holdings
SAB de CV*		174,095		351,069

				13,635,109

Mongolia — 0.0%
Mongolian Mining
CorporationD*		688,180		390,512

Netherlands — 4.4%
Aegon NV		214,602		995,237
ASML Holding NV		11,261		578,322
Corio NV REIT		368		16,202
European Aeronautic Defence and Space Co. NVD		59,670		2,117,736
ING Groep NV*		1,381,112		9,259,134
Koninklijke Ahold NV		660,737		8,184,768
Koninklijke DSM NV		16,819		829,170
Koninklijke KPN NVD		145,000		1,386,493
QIAGEN NV*		4,199		70,311
Randstad Holding NVD		115,844		3,415,888
Reed Elsevier NVD		473,709		5,404,303
Royal Dutch Shell PLC Class A		330,323		11,144,914
Royal Dutch Shell PLC Class B		198,782		6,942,190
SBM Offshore NV*		136,699		1,894,414
Unilever NVD		74,697		2,495,292

				54,734,374

New Zealand — 0.0%
Telecom Corporation of New Zealand, Ltd.		314,777		608,195

Nigeria — 0.1%
First City Monument Bank PLC*		9,211,834		182,822
Guaranty Trust Bank PLC		6,797,739		628,631
Guaranty Trust Bank PLC GDR		73,563		404,596


	Shares		Value
United Bank for Africa PLC*		10,931,249	$	246,985

				1,463,034

Norway — 1.1%
Aker Solutions ASA		5,503		78,084
DNB ASA		209,295		2,081,121
Marine Harvest ASA*		3,864,500		2,750,741
Orkla ASA		274,183		1,989,729
Petroleum Geo-Services ASA		87,060		1,064,054
Statoil ASA		62,416		1,488,530
Telenor ASA		62,891		1,051,430
TGS Nopec Geophysical Co. ASAD		86,586		2,337,882
Yara International ASA		9,914		433,854

				13,275,425

Peru — 0.3%
Companhia de Minas Buenaventura SA ADR		4,800		182,304
Credicorp, Ltd.D		24,188		3,045,027
Southern Copper CorporationD		4,200		132,342

				3,359,673

Philippines — 0.2%
International Container Terminal Services, Inc.		660,920		1,160,158
Megaworld Corporation		14,916,000		781,595
Metropolitan Bank & Trust		347,100		766,090

				2,707,843

Poland — 0.1%
KGHM Polska Miedz SA		5,300		231,953
PGE SA		88,200		516,453
Powszechna Kasa Oszczednosci Bank Polski SA		7,000		72,942
Powszechny Zaklad Ubezpieczen SA		1,000		100,560
Tauron Polska Energia SA		196,500		270,165

				1,192,073

Portugal — 0.1%
Jeronimo Martins SGPS SA		58,249		984,805

Russia — 1.2%
Gazprom OAO ADR		180,900		1,718,550
LSR Group		3,640		62,831
LSR Group GDR		89,320		384,821
Lukoil OAO ADR*		22,800		1,278,624
Magnit OJSC		16,108		1,938,456
NOMOS-BANK GDR*		11,774		141,288
NOMOS-BANK GDR144A*		19,426		218,354
NovaTek OAO GDR		18,813		2,008,812
Novorossiysk Commercial Sea Port GDRD		68,934		435,684
Novorossiysk Commercial Sea Port GDR 144A		10,302		65,734
Raspadskaya OAO		194,773		461,612
Rosneft Oil Co. GDR		42,000		264,558
Sberbank of Russia		954,685		2,539,462
Severstal OAO GDRD		25,800		301,295
Surgutneftegas OJSC		55,500		462,870
Tatneft ADR		18,900		634,851
X5 Retail Group NV GDR*		64,753		1,481,216

				14,399,018

Singapore — 1.5%
Ascendas Real Estate Investment Trust REIT		30,000		51,178

See Notes to Financial Statements.

147

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
CapitaMall Trust REIT		33,000	$	49,985
ComfortDelgro Corporation, Ltd.		199,000		243,690
DBS Group Holdings, Ltd.		54,000		596,467
Global Logistic Properties, Ltd.		34,000		56,602
Golden Agri-Resources, Ltd.		454,300		242,630
Hutchison Port Holdings Trust		95,000		67,907
Jardine Cycle & Carriage, Ltd.		108,000		3,980,461
Keppel Corporation, Ltd.		156,700		1,283,768
Keppel Land, Ltd.		39,000		100,361
Neptune Orient Lines, Ltd.*		150,000		132,375
Oversea-Chinese Banking Corporation, Ltd.		2,000		13,986
SembCorp Industries, Ltd.		514,300		2,105,071
Singapore Exchange, Ltd.		205,000		1,029,888
Singapore Press Holdings, Ltd.		12,000		37,070
Singapore Technologies Engineering, Ltd.		26,000		64,097
Singapore Telecom-munications, Ltd.		1,242,700		3,254,336
StarHub, Ltd.		3,000		8,131
United Overseas Bank, Ltd.		375,417		5,574,768
UOL Group, Ltd.		3,186		12,489

				18,905,260

South Africa — 0.9%
ABSA Group, Ltd.D		21,300		369,023
African Bank Investments, Ltd.		143,100		636,920
Aveng, Ltd.		52,200		228,709
Barloworld, Ltd.		40,600		402,507
Bidvest Group, Ltd.		117,272		2,618,656
FirstRand, Ltd.		59,100		191,298
Gold Fields, Ltd. ADR		12,400		158,844
Growthpoint Properties, Ltd.		48,500		136,554
Impala Platinum Holdings, Ltd.		27,100		449,993
Imperial Holdings, Ltd.		45,500		960,418
Liberty Holdings, Ltd.		43,700		464,545
Life Healthcare Group Holdings, Ltd.D		39,000		148,736
MTN Group, Ltd.		75,074		1,300,035
Naspers, Ltd.		8,700		464,688
Nedbank Group, Ltd.		300		6,398
Pick’n Pay Stores, Ltd.		113,226		608,955
Redefine Properties, Ltd.*		82,300		86,277
Royal Bafokeng Platinum, Ltd.*		14,696		96,194
Standard Bank Group, Ltd.		66,547		902,109
Woolworths Holdings, Ltd.		122,100		752,133

				10,982,992

South Korea — 3.0%
Celltrion, Inc.D		33,856		905,128
Daelim Industrial Co., Ltd.		8,000		639,450
DGB Financial Group, Inc.		2,400		29,347
Dongbu Insurance Co., Ltd.		6,500		239,974
Hana Financial Group, Inc.		8,000		255,745
Hyundai Motor Co.		3,500		718,530
Hyundai Securities Co., Ltd.		25,700		192,994
Industrial Bank of Korea		900		10,142
KCC Corporation		600		147,086
Kia Motors Corporation		11,600		764,552
KIWOOM Securities Co., Ltd.		5,133		275,857
Korea Electric Power Corporation*		137,786		3,104,400
Korea Exchange Bank		31,800		227,860
Korea Life Insurance Co., Ltd.		56,500		318,603


	Shares		Value
Korean Air Lines Co., Ltd.*		2,300	$	102,039
KP Chemical Corporation		27,300		321,621
KTB Investment & Securities Co., Ltd.*		6,209		11,542
LG Display Co., Ltd.*		19,100		360,597
LG Electronics, Inc.		14,000		754,356
LG Uplus Corporation		5,700		27,769
MegaStudy Co., Ltd.		3,215		220,297
Mirae Asset Securities Co., Ltd.		2,900		79,512
NHN Corporation		6,434		1,411,196
POSCO ADRD		16,131		1,297,578
Samsung Card Co., Ltd.		5,200		145,946
Samsung Electronics Co., Ltd.		14,620		15,482,397
Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A		1,020		333,514
Samsung Fire & Marine Insurance Co., Ltd.		11,443		2,270,760
Samsung Heavy Industries Co., Ltd.		16,000		529,856
Shinhan Financial Group Co., Ltd.		109,311		3,832,180
Shinsegae Co., Ltd.		1,000		184,289
SK Holdings Co., Ltd.		4,500		528,614
SK Telecom Co., Ltd. ADRD		70,200		849,420
Woongjin Coway Co., Ltd.		1,300		40,592
Woori Finance Holdings Co., Ltd.		49,900		550,057
Woori Investment & Securities Co., Ltd.		4,700		46,103

				37,209,903

Spain — 2.9%
Amadeus IT Holding SAD		259,346		5,494,574
Banco Bilbao Vizcaya Argentaria SA		202,885		1,448,877
Banco Santander SAD		1,510,095		9,989,684
Distribuidora Internacional de Alimentacion SA		113,651		534,359
Ebro Foods SA		104,100		1,792,172
Endesa SA		50,391		884,918
Gas Natural SDG SA		946		12,146
Grifols SA*		2,523		63,918
Iberdrola SA		1,111,075		5,245,644
Inditex SA		44,603		4,610,409
Mediaset Espana Comunicacion SA		2,861		13,904
Red Electrica Corporacion SA		18,800		820,537
Sacyr Vallehermoso SA*		365,058		674,663
Tecnicas Reunidas SA		21,324		891,700
Telefonica SA		305,568		4,022,336

				36,499,841

Sri Lanka — 0.0%
Dialog Axiata PLC		2,452,710		113,188

Sweden — 1.9%
Alfa Laval AB		77,624		1,330,069
Atlas Copco AB Class A		214,189		4,609,514
Boliden AB		22,034		307,459
Electrolux AB		10,514		209,233
Hennes & Mauritz AB Class B		96,631		3,468,468
Investor AB		3,383		64,592
Lundin Petroleum AB*		83,101		1,555,679
NCC AB		20,443		367,866

See Notes to Financial Statements.

148


	Shares		Value
Nordea Bank AB		125,373	$	1,080,457
Sandvik AB		237,897		3,050,962
Scania AB		18,275		313,182
Skandinaviska Enskilda Banken AB		50,367		327,107
Skanska AB		2,880		44,134
SKF AB		41,425		816,569
Svenska Cellulosa AB		49,304		739,730
Svenska Handelsbanken AB		69,290		2,277,964
Swedbank AB		145,414		2,290,847
TeliaSonera AB		37,643		240,491
Trelleborg AB		10,805		99,697

				23,194,020

Switzerland — 6.2%
ABB, Ltd.		381,058		6,221,991
ABB, Ltd. ADRD		32,100		523,872
Actelion, Ltd.*		2,037		83,786
Adecco SA		17,151		762,702
Aryzta AG*		776		38,625
Cie Financiere Richemont SAD		104,824		5,755,865
Credit Suisse Group AG		74,407		1,361,428
Ferrexpo PLC		62,007		209,965
Geberit AG		7,310		1,442,103
Givaudan SA		1,180		1,158,128
Glencore International PLC		10,000		46,372
Helvetia Holding AGD		4,600		1,391,649
Holcim, Ltd.		3,616		200,346
Julius Baer Group, Ltd.*		126,494		4,586,254
Logitech International SA*		88,043		952,925
Nestle SA		163,959		9,784,724
Novartis AG		215,823		12,066,948
OC Oerlikon Corporation AG*		147,181		1,223,044
Roche Holding AG		52,770		9,115,121
STMicroelectronics NV		7,032		38,266
Swatch Group AG (The)		5,396		2,132,723
Swiss Life Holding AG*		3,667		345,625
Swiss Re AG		26,460		1,668,086
Syngenta AGD		12,126		4,151,035
Transocean, Ltd.*		4,575		205,160
UBS AG*		27,569		322,617
Wolseley PLC		53,638		1,999,226
Xstrata PLC		134,717		1,693,847
Zurich Financial Services AG		34,265		7,748,139

				77,230,572

Taiwan — 2.1%
Acer, Inc.		69,000		72,009
Asustek Computer, Inc.		54,000		496,350
Catcher Technology Co., Ltd.		208,000		1,403,911
China Petrochemical Development Corporation		787,000		666,256
Chroma ATE, Inc.		131,573		300,356
Eva Airways Corporation		577,000		354,121
Far Eastone
Telecommunications Co., Ltd.		144,000		313,295
Feng Hsin Iron & Steel Co.		66,000		111,124
Foxconn Technology Co., Ltd.		163,000		593,469
Hon Hai Precision Industry Co., Ltd.		87,000		263,049
HTC Corporation		34,000		448,903
Kinsus Interconnect Technology Corporation		4,000		11,039


	Shares		Value
Lite-On Technology Corporation		92,000	$	115,880
MediaTek, Inc.		103,719		957,964
MStar Semiconductor, Inc.		96,000		647,556
Nan Ya Printed Circuit Board Corporation		148,000		251,871
President Chain Store Corporation		34,000		181,410
Quanta Computer, Inc.		239,000		641,816
Realtek Semiconductor Corporation		346,000		634,583
Richtek Technology Corporation		54,337		322,408
Siliconware Precision Industries Co. ADRD		59,100		306,729
Sinopac Financial Holdings Co., Ltd.		243,000		92,118
Taiwan Cooperative Financial Holding*		52,000		30,933
Taiwan Semiconductor Manufacturing Co., Ltd.		3,287,011		8,998,088
Taiwan Semiconductor Manufacturing Co., Ltd. ADRD		408,036		5,696,183
Teco Electric and Machinery Co., Ltd.		1,598,300		1,041,296
Uni-President Enterprises Corporation		861,000		1,388,028
Walsin Lihwa Corporation		379,000		105,916
Wistron Corporation		70,000		86,410

				26,533,071

Thailand — 1.0%
Advanced Info Service PCL		47,000		275,006
Advanced Info Service PCL		216,000		1,254,786
Bangkok Bank PCL NVDR		162,600		989,248
Bangkok Dusit Medical Services PCL		294,700		904,699
Bank of Ayudhya PCL ADR		2,512,548		2,353,856
Big C Supercenter PCL NVDR		16,800		113,706
Central Pattana PCLD		755,766		1,106,521
Central Pattana PCL ADR		81,300		120,070
Charoen Pokphand Foods PCL		877,700		1,063,963
Kasikornbank PCL NVDR		90,700		467,682
Krung Thai Bank PCL NVDR		829,900		424,589
Siam Commercial Bank PCL NVDRD		530,526		2,456,576
Thai Oil PCL NVDR		180,500		330,253

				11,860,955

Turkey — 0.8%
Akfen Holding AS*		46,621		241,040
Asya Katilim Bankasi AS*		243,800		244,381
BIM Birlesik Magazalar AS		22,407		924,991
Coca-Cola Icecek AS		65,888		1,022,321
TAV Havalimanlari Holding AS		47,600		256,428
Turk Hava Yollari*		282,600		498,296
Türkiye Garanti Bankasi AS		924,346		3,638,694
Türkiye Halk Bankasi AS		179,040		1,404,659
Turkiye Vakiflar Bankasi Tao		100,600		209,755
Yapi ve Kredi Bankasi AS*		506,890		1,042,761

				9,483,326

United Kingdom — 15.2%
Aberdeen Asset
Management PLC		244,200		994,622
AMEC PLC		70,000		1,103,508

See Notes to Financial Statements.

149

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares		Value
Anglo American PLCD		390,275	$	12,946,383
ARM Holdings PLC		344,246		2,727,321
AstraZeneca PLC		55,099		2,462,239
Aviva PLC		446,370		1,911,330
Babcock International Group PLC		46,176		618,446
BAE Systems PLC		64,369		291,825
Barclays PLC		951,167		2,430,465
Barratt Developments PLC*		142,093		310,739
Berkeley Group Holdings PLC*		37,888		838,162
BG Group PLC		301,002		6,161,937
BHP Billiton PLC		314,274		8,932,406
BP PLC		1,951,116		13,029,906
British Land Co. PLC REIT		11,811		94,576
Britvic PLC		241,594		1,249,433
BT Group PLC		386,964		1,282,213
Cairn Energy PLC*		7,744		32,246
Capital Shopping Centres Group PLC REIT		3,152		15,923
Centrica PLC		553,555		2,767,745
Cobham PLC		11,978		43,637
Compass Group PLC		899,692		9,444,067
Cookson Group PLC		44,530		412,052
Daily Mail & General
Trust PLC		50,246		333,480
Dairy Crest Group PLC		218,900		1,133,924
Dixons Retail PLC*		549,506		158,000
Drax Group PLC		21,021		184,922
DS Smith PLC		427,100		986,090
easyJet PLC		49,991		416,637
Eurasian Natural Resources Corporation PLC		4,582		29,905
G4S PLC		71,267		311,472
GKN PLC		731,937		2,075,166
GlaxoSmithKline PLC		532,997		12,106,481
Hammerson PLC REIT		6,134		42,602
Hikma Pharmaceuticals PLC		17,326		177,139
HSBC Holdings PLC		1,469,049		12,944,986
Inchcape PLC		20,341		105,587
Inmarsat PLC		215,369		1,662,048
Intercontinental Hotels Group PLC		18,737		451,083
Intermediate Capital Group PLC		146,620		621,403
International Consolidated Airlines Group SA*		116,233		291,628
Invensys PLC		111,900		389,999
Investec PLC		30,806		179,835
ITV PLC		772,579		929,637
J Sainsbury PLC		144,927		684,945
John Wood Group PLC		10,025		108,127
Kazakhmys PLC		61,620		698,637
Kesa Electricals PLC		214,584		166,616
Kingfisher PLC		57,471		259,252
Land Securities Group PLC REIT		10,536		122,069
Legal & General Group PLC		483,970		967,585
Lloyds Banking Group PLC*		473,736		231,424
London Stock Exchange Group PLC		82,400		1,300,822
Meggitt PLC		490,424		2,967,571
Mondi PLC		87,827		752,271
National Grid PLC		271,368		2,875,958
Next PLC		8,314		417,463
Pearson PLC		85,552		1,697,497


	Shares		Value
Pennon Group PLC		9,525	$	114,015
Persimmon PLC		119,249		1,141,673
Petrofac, Ltd.		20,262		442,263
Polyus Gold International, Ltd.*		28,367		88,854
Provident Financial PLC		1,710		32,558
Prudential PLC		571,028		6,621,062
Reckitt Benckiser Group PLC		18,477		976,636
Reed Elsevier PLC		17,027		136,474
Rentokil Initial PLC		572,366		659,768
Rexam PLC		214,371		1,414,830
Rio Tinto PLC		107,021		5,086,015
Rolls-Royce Holdings PLC		480,319		6,473,601
Rotork PLC		59,458		1,838,934
Royal Bank of Scotland Group PLC*		349,827		1,184,979
RSA Insurance Group PLC		262,850		446,210
Sage Group PLC (The)		269,404		1,172,518
Segro PLC REIT		12,232		41,674
Severn Trent PLC		6,537		169,458
Smith & Nephew PLC		144,419		1,444,541
Spirax-Sarco Engineering PLC		49,416		1,540,056
SSE PLC		20,478		446,737
Standard Chartered PLC		361,052		7,843,106
Tate & Lyle PLC		111,262		1,129,966
TESCO PLC		1,478,770		7,186,542
Thomas Cook Group PLC		40,467		9,487
TUI Travel PLC		67,031		178,202
Tullow Oil PLC		223,958		5,176,231
Unilever PLC		158,456		5,319,946
Vodafone Group PLC		3,285,914		9,235,877
WM Morrison Supermarkets PLC		472,379		1,971,128

				188,406,783

Total Foreign Common Stocks
(Cost $1,223,640,823)				1,173,736,045

FOREIGN PREFERRED STOCKS — 0.5%
Brazil — 0.1%
Banco do Estado do Rio Grande do Sul		7,900		55,853
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		40,700		512,473
Itau Unibanco Holding SA		15,200		212,429
Usinas Siderurgicas de Minas Gerais SA		70,900		225,920

				1,006,675

Chile — 0.0%
Embotelladora Andina SA Class A		38,000		166,191
Embotelladora Andina SA Class B		22,900		125,304

				291,495

Germany — 0.2%
Porsche Automobil Holding SED		25,162		1,251,654
ProSiebenSat.1 Media AG		36,168		810,788
Volkswagen AG		2,052		325,095

				2,387,537

South Korea — 0.2%
Samsung Electronics Co., Ltd.		3,127		2,064,294

See Notes to Financial Statements.

150


	Shares			Value
United Kingdom — 0.0%
Rolls-Royce Holdings PLC +*		38,960,088		$	61,023

Total Foreign Preferred Stocks
(Cost $5,230,004)					5,811,024

RIGHTS — 0.0%
Billabong International, Ltd.+		94,984			—
Brambles, Ltd.+		11,914			2,073

Total Rights
(Cost $0)					2,073

MONEY MARKET FUNDS — 14.2%
GuideStone Money Market Fund (GS4 Class)¥		80,565,749			80,565,749
Northern Institutional Liquid Assets Portfolio§		96,481,005			96,481,005

Total Money Market Funds
(Cost $177,046,754)					177,046,754

TOTAL INVESTMENTS — 109.1%
(Cost $1,405,917,581)					1,356,595,896

SECURITIES SOLD SHORT — (5.2)%
Australia — (0.4)%
Adelaide Brighton, Ltd.		(34,079	)		(111,802	)
AMP, Ltd.		(37,948	)		(151,007	)
APA Group		(40,709	)		(208,978	)
Bank of Queensland, Ltd.		(14,518	)		(99,324	)
Bradken, Ltd.		(77,231	)		(414,872	)
Brambles, Ltd.		(105,847	)		(671,314	)
Campbell Brothers, Ltd.		(4,492	)		(251,830	)
Challenger, Ltd.		(55,449	)		(186,235	)
Cochlear, Ltd.		(2,253	)		(153,008	)
DUET Group		(71,863	)		(136,153	)
Insurance Australia Group, Ltd.		(62,030	)		(222,478	)
IOOF Holdings, Ltd.		(27,305	)		(170,938	)
Mineral Resources, Ltd.		(20,000	)		(185,524	)
OneSteel, Ltd.		(263,968	)		(238,048	)
Orica, Ltd.		(9,274	)		(236,225	)
Origin Energy, Ltd.		(10,533	)		(132,652	)
Seek, Ltd.		(121,245	)		(794,396	)
Ten Network Holdings, Ltd.+*		(130,712	)		(68,073	)
Transfield Services, Ltd.		(51,852	)		(97,179	)
Transurban Group		(20,500	)		(119,741	)
UGL, Ltd.		(6,790	)		(86,943	)
Whitehaven Coal, Ltd.*		(16,010	)		(68,829	)
Woodside Petroleum, Ltd.		(4,632	)		(148,437	)

					(4,953,986	)

Belgium — 0.0%
Delhaize Group SA		(6,408	)		(234,738	)
Solvay SA		(74	)		(7,306	)

					(242,044	)

Bermuda — 0.0%
Seadrill, Ltd.		(9,431	)		(336,361	)

Denmark — (0.2)%
FLSmidth & Co. A/S		(16,519	)		(903,798	)
Novozymes A/S		(47,933	)		(1,242,969	)

					(2,146,767	)

Finland — (0.2)%
Cargotec OYJ Class B		(2,512	)		(57,747	)
Konecranes OYJ		(2,781	)		(73,112	)


	Shares			Value
Nokian Renkaat OYJ		(19,971	)	$	(758,643	)
Outokumpu OYJ*		(488,326	)		(475,337	)
Rautaruukki OYJ		(59,757	)		(376,863	)
Wartsila OYJ Abp		(5,500	)		(180,191	)
YIT OYJ		(34,657	)		(588,776	)

					(2,510,669	)

France — (0.4)%
Alcatel-Lucent*		(614,872	)		(1,012,014	)
Alstom SA		(14,738	)		(466,290	)
Carrefour SA		(12,079	)		(223,044	)
Cie Generale de Geophysique- Veritas*		(10,326	)		(267,080	)
Electricite de France SA		(11,274	)		(250,842	)
Lafarge SA		(12,301	)		(549,342	)
Neopost SA		(8,286	)		(442,198	)
Vallourec SA		(16,216	)		(662,606	)
Veolia Environnement SA		(57,718	)		(730,894	)

					(4,604,310	)

Germany — (0.5)%
Commerzbank AG*		(448,990	)		(762,585	)
Dialog Semiconductor PLC*		(61,860	)		(1,122,972	)
Fraport AG		(8,899	)		(479,159	)
Hamburger Hafen Und Logistik AG		(3,846	)		(98,210	)
Hochtief AG*		(4,089	)		(198,211	)
K+S AG		(23,895	)		(1,093,938	)
Porsche Automobil Holding SE		(3,697	)		(183,903	)
Puma SE		(125	)		(36,102	)
Sky Deutschland AG*		(287,313	)		(1,043,944	)
Symrise AG		(3,086	)		(94,052	)
ThyssenKrupp AG		(77,705	)		(1,265,791	)

					(6,378,867	)

Ireland — 0.0%
Shire PLC		(3,767	)		(108,376	)

Italy — (0.2)%
A2A SpA		(1,505,383	)		(807,294	)
Autogrill SpA		(40,230	)		(365,010	)
Enel Green Power SpA		(154,518	)		(244,858	)
Fiat SpA*		(60,431	)		(304,682	)
Finmeccanica SpA*		(45,732	)		(184,913	)
Impregilo SpA		(44,495	)		(190,392	)
Pirelli & C SpA		(24,060	)		(253,757	)

					(2,350,906	)

Japan — (1.2)%
ABC-Mart, Inc.		(1,200	)		(44,899	)
Advantest Corporation		(18,200	)		(284,511	)
Cyberagent, Inc.		(232	)		(596,051	)
Daikin Industries, Ltd.		(5,700	)		(160,525	)
Daiwa Securities Group, Inc.		(52,000	)		(195,974	)
Denki Kagaku Kogyo KK		(76,000	)		(265,674	)
Denso Corporation		(300	)		(10,251	)
Disco Corporation		(13,200	)		(747,554	)
Don Quijote Co., Ltd.		(2,400	)		(82,656	)
Dowa Holdings Co., Ltd.		(26,000	)		(161,232	)
GS Yuasa Corporation		(130,000	)		(594,357	)
Hisamitsu Pharmaceutical Co., Inc.		(1,300	)		(63,979	)
Hitachi Construction Machinery Co., Ltd.		(4,700	)		(88,765	)
Hitachi Metals, Ltd.		(37,000	)		(441,561	)
JS Group Corporation		(4,400	)		(92,858	)

See Notes to Financial Statements.

151

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)


	Shares			Value
Kakaku.com, Inc.		(16,500	)	$	(559,902	)
Kansai Paint Co., Ltd.		(20,000	)		(214,316	)
Kawasaki Heavy Industries, Ltd.		(49,000	)		(134,380	)
Komatsu, Ltd.		(9,000	)		(214,842	)
Mabuchi Motor Co., Ltd.		(3,100	)		(123,573	)
Makita Corporation		(12,700	)		(445,510	)
Minebea Co., Ltd.		(22,000	)		(87,673	)
Mitsubishi Gas Chemical Co., Inc.		(37,000	)		(210,345	)
Mitsui OSK Lines, Ltd.		(84,000	)		(302,809	)
Murata Manufacturing Co., Ltd.		(9,900	)		(520,746	)
Nabtesco Corporation		(25,200	)		(562,063	)
NGK Insulators, Ltd.		(51,000	)		(564,750	)
Nidec Corporation		(8,500	)		(646,287	)
Nintendo Co., Ltd.		(1,600	)		(186,850	)
Nitori Holdings Co., Ltd.		(550	)		(52,007	)
NTN Corporation		(84,000	)		(264,425	)
OSAKA Titanium Technologies Co.		(23,100	)		(710,808	)
Rakuten, Inc.		(92,400	)		(955,293	)
SBI Holdings, Inc.		(12,914	)		(959,614	)
Sharp Corporation		(41,000	)		(208,893	)
SMC Corporation		(1,000	)		(173,378	)
Start Today Co., Ltd.		(46,900	)		(655,404	)
Sumco Corporation*		(22,000	)		(200,126	)
Sumitomo Chemical Co., Ltd.		(33,000	)		(101,437	)
Taiyo Nippon Sanso Corporation		(21,000	)		(122,697	)
Terumo Corporation		(11,500	)		(472,612	)
Toho Titanium Co., Ltd.		(3,900	)		(42,269	)
Trend Micro, Inc.		(1,100	)		(32,406	)
Tsumura & Co.		(6,900	)		(182,731	)
Ushio, Inc.		(13,500	)		(167,327	)
Yahoo! Japan Corporation		(694	)		(224,692	)
Yaskawa Electric Corporation		(53,000	)		(403,792	)

					(14,534,804	)

Liberia — 0.0%
Royal Caribbean Cruises, Ltd.		(8,768	)		(226,251	)

Luxembourg — 0.0%
ArcelorMittal		(13,734	)		(210,124	)

Netherlands — (0.1)%
Fugro NV		(7,718	)		(468,166	)
SBM Offshore NV*		(51,138	)		(708,685	)
Wolters Kluwer NV		(6,095	)		(96,909	)

					(1,273,760	)

New Zealand — 0.0%
Fletcher Building, Ltd.		(86,596	)		(410,604	)

Norway — (0.1)%
Norsk Hydro ASA		(43,198	)		(194,809	)
Storebrand ASA*		(149,433	)		(585,568	)
Veripos, Inc.*		(3,977	)		(1,269	)

					(781,646	)

Papua New Guinea — 0.0%
Oil Search, Ltd.		(75,951	)		(517,343	)

Spain — (0.1)%
Actividades de Construccion y Servicios SA		(17,430	)		(373,361	)
Enagas SA		(23,191	)		(423,148	)
Indra Sistemas SA		(32,625	)		(303,741	)


	Shares			Value
Obrascon Huarte Lain SA		(14,173	)	$	(293,243	)

					(1,393,493	)

Sweden — (0.2)%
Elekta AB		(10,717	)		(489,721	)
Hexagon AB		(43,506	)		(746,777	)
Husqvarna AB		(169,301	)		(798,509	)
Modern Times Group AB		(19,129	)		(885,405	)
SSAB AB		(8,126	)		(67,540	)

					(2,987,952	)

Switzerland — (0.3)%
Clariant AG*		(58,683	)		(579,928	)
Informa PLC		(78,111	)		(466,084	)
Kuehne + Nagel International AG		(3,261	)		(345,481	)
Sika AG		(308	)		(594,754	)
Sonova Holding AG		(4,556	)		(440,677	)
Sulzer AG		(2,393	)		(283,719	)
Swiss Re AG*		(1,886	)		(118,897	)
Temenos Group AG*		(36,576	)		(604,738	)

					(3,434,278	)

United Kingdom — (1.3)%
Admiral Group PLC		(64,001	)		(1,193,886	)
Aegis Group PLC		(126,674	)		(320,918	)
Aggreko PLC		(4,505	)		(146,505	)
AMEC PLC		(43,008	)		(677,995	)
Antofagasta PLC		(30,526	)		(522,172	)
Burberry Group PLC		(3,089	)		(64,315	)
Capita PLC		(109,503	)		(1,125,209	)
Carnival PLC		(7,122	)		(243,504	)
Firstgroup PLC		(12,958	)		(45,734	)
Home Retail Group PLC		(249,546	)		(331,478	)
ICAP PLC		(3,412	)		(18,060	)
IMI PLC		(22,837	)		(298,344	)
Intertek Group PLC		(16,341	)		(684,618	)
Invensys PLC		(152,751	)		(532,374	)
Johnson Matthey PLC		(4,230	)		(146,695	)
Lonmin PLC		(44,187	)		(537,514	)
Man Group PLC		(1,286,869	)		(1,539,825	)
Marks & Spencer Group PLC		(94,683	)		(482,848	)
Michael Page International PLC		(61,047	)		(357,763	)
Old Mutual PLC		(238,956	)		(568,298	)
Rolls-Royce Holdings PLC+*		(942,234	)		(1,476	)
Smith & Nephew PLC		(44,495	)		(445,058	)
Smiths Group PLC		(15,465	)		(245,605	)
Standard Chartered PLC		(9,701	)		(210,734	)
Subsea 7 SA		(39,776	)		(787,171	)
Travis Perkins PLC		(41,461	)		(631,274	)
United Utilities Group PLC		(53,745	)		(569,330	)
Vedanta Resources PLC		(59,912	)		(858,748	)
Weir Group PLC (The)		(70,204	)		(1,686,980	)
Whitbread PLC		(9,429	)		(299,795	)

					(15,574,226	)

Total Securities Sold Short
(Cost $(71,008,379))					(64,976,767	)

Liabilities in Excess of Other
Assets — (3.9)%					(48,903,172	)

NET ASSETS — 100.0%				$	1,242,715,957

See Notes to Financial Statements.

152

PORTFOLIO SUMMARY (based on net assets)


	%
Financial		18.9
Consumer Discretionary		14.4
Money Market Funds		14.2
Technology		13.7
Materials & Processing		12.3
Futures Contracts		10.1
Energy		9.0
Producer Durables		8.7
Health Care		7.4
Consumer Staples		6.4
Utilities		3.6
Foreign Preferred Stocks		0.5
Rights/Warrant		—	**
Forward Foreign Currency Contracts		(1.7	)
Securities Sold Short		(5.2	)

		112.3

**	Rounds to less than 0.005%.

See Notes to Financial Statements.

153

INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

VALUATION HIERARCHY

The following is a summary of the inputs used, as of June 30, 2012, in valuing the Fund’s investments carried at fair value:


	Total Value			Level 1 Quoted Prices			Level 2 Other Significant Observable Inputs			Level 3 Significant Unobservable Inputs
Assets:
Investments in Securities:
Foreign Common Stocks	$	1,173,736,045		$	133,812,627		$	1,039,784,278		$	139,140
Foreign Preferred Stocks		5,811,024			1,298,170			4,451,831			61,023
Money Market Funds		177,046,754			177,046,754			—			—
Rights		2,073			—			—			2,073

Total Assets — Investments in Securities	$	1,356,595,896		$	312,157,551		$	1,044,236,109		$	202,236

Other Financial Instruments***
Forward Foreign Currency Contracts	$	685,656		$	—		$	685,656		$	—
Futures Contracts		6,138,660			6,138,660			—			—

Total Assets — Other Financial Instruments	$	6,824,316		$	6,138,660		$	685,656		$	—

Liabilities:
Investments in Securities:
Securities Sold Short	$	(64,976,767	)	$	(226,251	)	$	(64,747,771	)	$	(2,745	)

Total Liabilities — Investments in Securities	$	(64,976,767	)	$	(226,251	)	$	(64,747,771	)	$	(2,745	)

***

See Notes to Financial Statements.

154

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155


STATEMENTS OF ASSETS AND LIABILITIES		June 30, 2012 (Unaudited)


	Defensive Market Strategies Fund		Equity Index Fund
Assets
Investments in securities of unaffiliated issuers, at value	$	367,412,313	$	251,820,464
Investments in securities of affiliated issuers, at value		25,361,993		12,326,702

Total investments⁽¹⁾⁽²⁾		392,774,306		264,147,166
Cash		226		—
Cash collateral for derivatives		651,000		462,000
Deposits with broker for securities sold short		49,020,846		—
Foreign currency⁽³⁾		—		—
Receivables:
Dividends and reclaims		479,996		257,888
Interest		596,789		—
Securities lending		17,048		2,365
Investment securities sold		16,423,562		208,666
Fund shares sold		128,932		19,464
Variation margin on financial futures contracts		275,400		322,225
Unrealized appreciation on foreign currency exchange contracts		2,399		—
Prepaid expenses and other assets		14,552		13,882

Total Assets		460,385,056		265,433,656

Liabilities
Cash overdraft		—		33,744
Foreign currency overdraft⁽³⁾		57,085		—
Securities sold short, at value⁽⁴⁾		30,889,752		—
Options written at value⁽⁶⁾		—		—
Unrealized depreciation on foreign currency exchange contracts		52,161		—
Collateral held for securities on loan at value		57,575,888		21,429,028
Collateral held for derivatives		—		—
Payables:
Investment securities purchased		12,456,499		381,138
Dividends on short sales		8,797		—
Fund shares redeemed		—		41,516
Variation margin on financial futures contracts		—		—
Securities lending		3,405		472
Deferred foreign capital gains taxes		—		—
Accrued expenses:
Investment advisory fees		228,098		11,269
Shareholder servicing fees		53,853		38,596
Other expenses		70,570		138,990

Total Liabilities		101,396,108		22,074,753

Net Assets	$	358,988,948	$	243,358,903

Net Assets Consist of:
Paid-in-capital	$	339,905,871	$	198,157,185
Undistributed (distributions in excess of) net investment income		151,511		93,748
Undistributed (accumulated) net realized gain (loss) on investments, foreign currency translations and derivative transactions		2,110,902		(5,820,085	)
Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions		16,820,664		50,928,055

Net Assets	$	358,988,948	$	243,358,903

Net Asset Value:
$0.001 par value, unlimited shares authorized
Net assets applicable to the GS2 Class	$	77,679,925	$	39,758,240

GS2 shares outstanding		7,315,833		5,910,014

Net asset value, offering and redemption price per GS2 share	$	10.62	$	6.73

Net assets applicable to the GS4 Class	$	281,309,023	$	203,600,663

GS4 shares outstanding		26,501,764		13,202,595

Net asset value, offering and redemption price per GS4 share	$	10.61	$	15.42


⁽¹⁾	Investments in securities of unaffiliated issuers, at cost	$	350,417,094		$	201,380,392
	Investments in securities of affiliated issuers, at cost		25,361,993			12,326,702

	Total investments at cost	$	375,779,087		$	213,707,094

⁽²⁾	Includes securities loaned of:	$	57,465,697		$	18,278,281

⁽³⁾	Foreign currency at cost	$	(56,145	)	$	—

⁽⁵⁾	TBA sale commitments at cost	$	30,421,330		$	—

⁽⁶⁾	Premiums received on options written	$	—		$	—

⁽⁶⁾	Net of $(44,882) accrued foreign capital gains taxes on appreciated securities

See Notes to Financial Statements.

156


Real Estate Securities Fund		Value Equity Fund			Growth Equity Fund			Small Cap Equity Fund		International Equity Fund

$	199,084,589	$	1,179,381,552		$	1,233,866,591		$	559,055,519	$	1,276,030,147
	6,685,531		23,448,975			57,075,395			12,911,520		80,565,749

	205,770,120		1,202,830,527			1,290,941,986			571,967,039		1,356,595,896
	4,313		—			—			—		2,990,270
	395,250		1,274,000			3,238,000			7,477,465		10,428,340
	—		—			—			—		11,516,713
	—		—			—			42,976		12,206,528

	414,192		1,529,785			739,565			219,354		4,430,447
	—		—			—			290,833		—
	2,028		5,894			14,993			67,903		141,993
	1,621,740		875,033			16,846,002			4,380,717		6,820,428
	178,183		48,909			59,542			5,079		2,950
	206,360		647,700			1,531,700			1,808,676		5,094,881
	—		—			—			44,828		3,180,013
	11,341		18,638			21,683			15,178		19,142

	208,603,527		1,207,230,486			1,313,393,471			586,320,048		1,413,427,601


	—		—			—			1,559		—
	—		—			—			—		—
	—		—			—			—		64,976,767
	—		—			—			12,562		—
	—		—			—			8,238		2,494,357
	27,574,565		83,958,936			108,131,663			140,541,498		96,481,005
	—		—			—			—		210,000

	1,792,949		1,106,681			12,000,314			10,003,120		4,179,121
	—		—			—			—		187,891
	15,000		101,101			110,021			494,480		57,146
	—		—			—			—		801,714
	404		1,178			2,998			13,566		28,399
	—		—			—			—		56,026

	97,127		565,288			752,089			294,754		789,552
	33,386		172,759			191,941			69,577		189,670
	42,954		72,917			79,975			90,578		259,996

	29,556,385		85,978,860			121,269,001			151,529,932		170,711,644

$	179,047,142	$	1,121,251,626		$	1,192,124,470		$	434,790,116	$	1,242,715,957


$	162,038,601	$	1,208,183,865		$	900,895,562		$	387,427,021	$	1,452,218,887
	95,300		452,633			(608,822	)		603,927		16,438,614

	(9,884,720)		(139,212,408	)		26,808,745			8,095,690		(189,517,935	)

	26,797,961		51,827,536			265,028,985			38,663,478		(36,423,609	)⁽⁶⁾

$	179,047,142	$	1,121,251,626		$	1,192,124,470		$	434,790,116	$	1,242,715,957



	N/A	$	210,992,588		$	196,682,191		$	65,836,453	$	232,883,397

	N/A		28,419,319			15,016,087			6,350,372		26,230,901

	N/A	$	7.42		$	13.10		$	10.37	$	8.88

$	179,047,142	$	910,259,038		$	995,442,279		$	368,953,663	$	1,009,832,560

	17,173,323		60,758,313			48,005,070			23,627,233		87,166,402

$	10.43	$	14.98		$	20.74		$	15.62	$	11.59


$	172,462,898	$	1,128,466,869		$	970,862,049		$	522,732,257	$	1,325,351,832
	6,685,531		23,448,975			57,075,395			12,911,520		80,565,749

$	179,148,429	$	1,151,915,844		$	1,027,937,444		$	535,643,777	$	1,405,917,581

$	21,685,047	$	83,861,352		$	136,274,158		$	131,106,756	$	134,841,485

$	—	$	—		$	—		$	43,531	$	12,171,399

$	—	$	—		$	—		$	—	$	71,008,379

$	—	$	—		$	—		$	28,219	$	—

See Notes to Financial Statements.

157


STATEMENTS OF OPERATIONS		For the Six Months Ended June 30, 2012 (Unaudited)


	Defensive Market Strategies Fund			Equity Index Fund
Investment Income
Dividends	$	3,307,683		$	2,324,190
Income distributions received from affiliated funds		1,428			542
Interest		1,220,369			55
Securities lending		82,183			17,159
Less foreign taxes withheld		(22,614	)		—

Total Investment Income		4,589,049			2,341,946

Expenses
Investment advisory fees		1,466,652			184,801
Transfer agent fees:
GS2 shares		1,866			1,915
GS4 shares		9,290			12,325
Custodian fees		113,274			21,541
Shareholder servicing fees:
GS4 shares		314,836			237,863
Accounting and administration fees		71,556			38,756
Professional fees		30,471			29,253
Blue sky fees:
GS2 shares		1,083			635
GS4 shares		8,530			8,800
Shareholder reporting fees:
GS2 shares		120			179
GS4 shares		482			7,935
Trustee expenses		1,885			1,429
Line of credit facility fees		1,890			1,312
Other expenses		92,415			8,557

Total expenses		2,114,350			555,301
Dividends on securities sold short		89,699			—
Expenses waived/reimbursed net of amount recaptured⁽¹⁾		(94,053	)		(135,676	)
Fees paid indirectly		—			—

Net expenses		2,109,996			419,625

Net Investment Income (Loss)		2,479,053			1,922,321

Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investment securities and securities sold short		5,570,483			885,206
Futures transactions		306,334			686,606
Option contracts written		49,010			—
Option contracts purchased		(159,048	)		—
Foreign currency transactions		153,799			—

Net realized gain (loss)		5,920,578			1,571,812

Net change in unrealized appreciation (depreciation) on:
Investment securities and securities sold short (net of estimated capital gains taxes of $(29,169) for International Equity)		7,667,643			16,579,076
Futures		230,911			233,425
Option contracts written		(3,192	)		—
Option contracts purchased		28,201			—
Foreign currency translation		(66,647	)		—

Net change in unrealized appreciation		7,856,916			16,812,501

Net Realized and Unrealized Gain		13,777,494			18,384,313

Net Increase in Net Assets Resulting from Operations	$	16,256,547		$	20,306,634

⁽¹⁾	See Note 3a and 3c in Notes to Financial Statements.

See Notes to Financial Statements.

158


Real Estate Securities Fund			Value Equity Fund			Growth Equity Fund			Small Cap Equity Fund			International Equity Fund

$	1,664,466		$	13,839,792		$	5,484,277		$	2,089,205		$	27,156,842
	260			1,154			2,546			944			4,022
	—			200			267			732,147			—
	19,203			68,607			101,003			336,060			776,851
	—			(73,724	)		(30,912	)		(615	)		(2,325,657	)

	1,683,929			13,836,029			5,557,181			3,157,741			25,612,058


	578,045			3,573,295			5,106,293			2,017,481			5,835,033

	—			2,015			2,029			2,042			2,043
	13,247			13,530			13,318			14,388			15,457
	17,882			25,971			44,355			69,242			510,473

	196,809			1,086,563			1,207,986			447,982			1,209,302
	21,092			123,474			129,145			86,517			307,311
	29,169			29,228			29,121			31,332			30,837

	—			650			697			637			618
	6,391			10,131			9,387			9,552			9,223

	—			391			322			453			518
	8,480			10,223			10,184			12,004			13,750
	1,093			5,381			5,719			2,381			6,006
	900			6,327			6,746			2,529			7,113
	5,643			18,964			20,497			13,736			206,239

	878,751			4,906,143			6,585,799			2,710,276			8,153,923
	—			—			—			—			1,377,494
	(6,183	)		(27,510	)		(399,402	)		(126,431	)		(1,061,708	)
	—			(37,272	)		(20,934	)		(57,912	)		—

	872,568			4,841,361			6,165,463			2,525,933			8,469,709

	811,361			8,994,668			(608,282	)		631,808			17,142,349



	11,987,091			11,479,203			46,867,404			20,403,237			(18,091,050	)
	330,858			1,807,776			3,673,828			3,613,330			(8,984,359	)
	—			—			—			29,778			—
	—			—			—			(12,754	)		—
	—			—			152			93,693			(36,035	)

	12,317,949			13,286,979			50,541,384			24,127,284			(27,111,444	)



	8,318,663			64,227,700			73,867,817			2,778,604			32,595,660
	122,650			199,167			1,270,359			1,126,456			4,951,152
	—			—			—			15,305			—
	—			—			—			(14,524	)		—
	—			—			1,906			(57,546	)		332,962

	8,441,313			64,426,867			75,140,082			3,848,295			37,879,774

	20,759,262			77,713,846			125,681,466			27,975,579			10,768,330

$	21,570,623		$	86,708,514		$	125,073,184		$	28,607,387		$	27,910,679

See Notes to Financial Statements.

159

STATEMENTS OF CHANGES IN NET ASSETS


	Defensive Market Strategies Fund						Equity Index Fund
	For the Six Months Ended 06/30/12			For the Period 09/01/11⁽¹⁾- 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)						(Unaudited)
Operations:
Net investment income	$	2,479,053		$	936,692		$	1,922,321		$	5,258,974
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions		5,920,578			(2,374,664	)		1,571,812			32,991,580
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions		7,856,916			8,963,748			16,812,501			(32,744,998	)

Net increase in net assets resulting from operations		16,256,547			7,525,776			20,306,634			5,505,556

Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		(566,936	)		(318,933	)		(606,612	)		(1,954,809	)
GS4 shares		(1,741,514	)		(817,166	)		(1,221,961	)		(4,382,332	)
Distributions from net realized capital gains
GS2 shares		(221,119	)		(59,110	)		(213,962	)		(9,790,218	)
GS4 shares		(793,964	)		(180,504	)		(481,104	)		(25,535,709	)

Total dividends and distributions		(3,323,533	)		(1,375,713	)		(2,523,639	)		(41,663,068	)

Capital Share Transactions:
Proceeds from shares sold
GS2 shares		2,401,002			79,296,691			2,247,860			2,712,853
GS4 shares		31,468,127			237,229,968			15,253,166			22,558,530
Reinvestment of dividends and distributions
GS2 shares		787,126			377,748			819,199			11,720,330
GS4 shares		2,535,478			997,670			1,702,437			29,913,775

Total proceeds from shares sold and reinvested		37,191,733			317,902,077			20,022,662			66,905,488

Value of shares redeemed
GS2 shares		(3,091,297	)		(6,649,396	)		(2,603,010	)		(38,120,249	)
GS4 shares		(3,089,650	)		(2,357,596	)		(11,640,238	)		(179,783,388	)

GS8 shares		—			—			—			—

Total value of shares redeemed		(6,180,947	)		(9,006,992	)		(14,243,248	)		(217,903,637	)

Net increase (decrease) from capital share transactions⁽¹⁾		31,010,786			308,895,085			5,779,414			(150,998,149	)

Total increase (decrease) in net assets		43,943,800			315,045,148			23,562,409			(187,155,661	)

Net Assets:
Beginning of Period		315,045,148			—			219,796,494			406,952,155

End of Period*	$	358,988,948		$	315,045,148		$	243,358,903		$	219,796,494

*Including undistributed (distributions in excess of) net investment income	$	151,511		$	(19,092	)	$	93,748		$	—


⁽¹⁾		Inception date was September 1, 2011.

See Notes to Financial Statements.

160


Real Estate Securities Fund						Value Equity Fund
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	811,361		$	1,263,887		$	8,994,668		$	16,621,802

	12,317,949			17,066,499			13,286,979			26,274,574

	8,441,313			(7,100,897	)		64,426,867			(40,133,852	)

	21,570,623			11,229,489			86,708,514			2,762,524



	—			—			(5,445,810	)		(5,981,447	)
	(900,558	)		(1,079,417	)		(10,780,401	)		(10,675,839	)

	—			—			—			—
	—			—			—			—

	(900,558	)		(1,079,417	)		(16,226,211	)		(16,657,286	)



	—			—			4,982,896			18,209,835
	22,278,350			43,753,345			22,386,512			78,987,992

	—			—			5,440,943			5,976,208
	900,433			1,079,272			10,779,279			10,674,516

	23,178,783			44,832,617			43,589,630			113,848,551


	—			—			(10,998,397	)		(49,726,476	)
	(15,028,568	)		(46,656,025	)		(35,088,383	)		(186,250,779	)

	—			—			—			—

	(15,028,568	)		(46,656,025	)		(46,086,780	)		(235,977,255	)

	8,150,215			(1,823,408	)		(2,497,150	)		(122,128,704	)

	28,820,280			8,326,664			67,985,153			(136,023,466	)


	150,226,862			141,900,198			1,053,266,473			1,189,289,939

$	179,047,142		$	150,226,862		$	1,121,251,626		$	1,053,266,473


$	95,300		$	184,497		$	452,633		$	7,684,176

See Notes to Financial Statements.

161


	Growth Equity Fund
	For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
	(Unaudited)
Operations:
Net investment income (loss)	$	(608,282	)	$	(1,251,646	)
Net realized gain (loss) on investment securities, foreign currency transactions and derivative transactions		50,541,384			112,048,038
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations and derivative transactions		75,140,082			(129,401,549	)

Net increase (decrease) in net assets resulting from operations		125,073,184			(18,605,157	)

Dividends and Distributions to Shareholders:
Dividends from net investment income
GS2 shares		—			—
GS4 shares		—

Total dividends		—			—

Capital Share Transactions:
Proceeds from shares sold
GS2 shares		3,784,156			12,614,849
GS4 shares		32,446,732			84,754,555
Reinvestment of dividends and distributions
GS2 shares		—			—
GS4 shares		—			—

Total proceeds from shares sold and reinvested		36,230,888			97,369,404

Value of shares redeemed
GS2 shares		(12,738,102	)		(41,012,966	)
GS4 shares		(56,819,613	)		(197,296,374	)

Total value of shares redeemed		(69,557,715	)		(238,309,340	)

Net increase (decrease) from capital share transactions⁽²⁾		(33,326,827	)		(140,939,936	)

Total increase (decrease) in net assets		91,746,357			(159,545,093	)

Net Assets:
Beginning of Period		1,100,378,113			1,259,923,206

End of Period*	$	1,192,124,470		$	1,100,378,113

*Including undistributed (distributions in excess of) net investment income	$	(608,822	)	$	(540	)


⁽¹⁾		See Note 7 in Notes to Financial Statements.

See Notes to Financial Statements.

162


Small Cap Equity Fund						International Equity Fund
For the Six Months Ended 06/30/12			For the Year Ended 12/31/11			For the Six Months Ended 06/30/12			For the Year Ended 12/31/11
(Unaudited)						(Unaudited)

$	631,808		$	588,385		$	17,142,349		$	25,408,601

	24,127,284			55,393,288			(27,111,444	)		55,235,655

	3,848,295			(48,864,420	)		37,879,774			(266,338,287	)

	28,607,387			7,117,253			27,910,679			(185,694,031	)



	—			(296,485	)		—			(6,224,885	)
	—			(407,452	)		—			(18,014,995	)

	—			(703,937	)		—			(24,239,880	)



	1,868,289			5,576,712			9,349,343			34,462,759
	15,736,545			47,768,412			50,389,971			181,280,843

	—			296,176			—			6,222,532
	—			407,371			—			18,014,075

	17,604,834			54,048,671			59,739,314			239,980,209


	(4,373,145	)		(17,341,615	)		(5,737,246	)		(35,990,466	)
	(24,964,400	)		(99,700,166	)		(18,179,080	)		(106,493,355	)

	(29,337,545	)		(117,041,781	)		(23,916,326	)		(142,483,821	)

	(11,732,711	)		(62,993,110	)		35,822,988			97,496,388

	16,874,676			(56,579,794	)		63,733,667			(112,437,523	)


	417,915,440			474,495,234			1,178,982,290			1,291,419,813

$	434,790,116		$	417,915,440		$	1,242,715,957		$	1,178,982,290

$	603,927		$	(27,881	)	$	16,438,614		$	(703,735	)

See Notes to Financial Statements.

163

FINANCIAL HIGHLIGHTS (Unaudited)


For a Share Outstanding For the Years Ending December 31, unless otherwise indicated																									Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Excess Distribution/ Return of Capital			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net			Expenses, Gross(1)			Investment Income/ (Loss), Net(2)			Portfolio Turnover Rate
Defensive Market Strategies Fund
GS2 Class
2012(3)	$	10.20	$	0.09	#	$	0.44		$	(0.08	)	$	(0.03	)	$	—		$	10.62		5.20	%	$	77,680		0.99	%(4)		1.11	%		1.71	%		170	%
2011(5)		10.00		0.04	#		0.21	(6)		(0.04	)		(0.01	)		—			10.20		2.51			74,516		0.99	(4)		1.10			1.11			120
GS4 Class
2012(3)	$	10.20	$	0.08	#	$	0.43		$	(0.07	)	$	(0.03	)	$	—		$	10.61		4.99	%	$	281,309		1.25	%(4)		1.36	%		1.46	%		170	%
2011(5)		10.00		0.03	#		0.21	(6)		(0.03	)		(0.01	)		—			10.20		2.43			240,529		1.25	(4)		1.35			0.86			120
Equity Index Fund
GS2 Class
2012(3)	$	6.29	$	0.06	#	$	0.52		$	(0.10	)	$	(0.04	)	$	—		$	6.73		9.29	%	$	39,758		0.23	%		0.25	%		1.74	%		1	%
2011		8.63		0.15	#		0.04	(6)		(0.31	)		(2.22	)		—			6.29		3.00			36,721		0.23			0.24			1.71			4
2010		7.77		0.14	#		0.97			(0.25	)		—			—			8.63		14.57			71,093		0.22			0.22			1.77			5
2009		6.36		0.14	#		1.49			(0.22	)		—			—			7.77		26.38			65,217		0.22			0.24			2.05			4
2008		10.57		0.18	#		(4.06	)		(0.24	)		(0.09	)		—			6.36		(37.32	)		49,472		0.21			0.22			2.11			5
2007		11.08		0.20	#		0.39			(0.32	)		(0.78	)		—			10.57		5.19			81,104		0.22			0.22			1.77			5
GS4 Class
2012(3)	$	14.24	$	0.12	#	$	1.19		$	(0.09	)	$	(0.04	)	$	—		$	15.42		9.22	%	$	203,601		0.38	%		0.51	%		1.59	%		1	%
2011		16.36		0.26	#		0.12	(6)		(0.28	)		(2.22	)		—			14.24		2.75			183,076		0.38			0.47			1.57			4
2010		14.51		0.24	#		1.84			(0.23	)		—			—			16.36		14.45			335,859		0.37			0.41			1.60			5
2009		11.70		0.24	#		2.77			(0.20	)		—			—			14.51		26.14			321,486		0.37			0.43			1.90			4
2008		19.07		0.31	#		(7.37	)		(0.22	)		(0.09	)		—			11.70		(37.37	)		247,077		0.37			0.42			1.95			5
2007		19.17		0.32	#		0.64			(0.28	)		(0.78	)		—			19.07		4.95			429,423		0.39			0.42			1.59			5
Real Estate Securities Fund
GS4 Class
2012(3)	$	9.18	$	0.05	#	$	1.25		$	(0.05	)	$	—		$	—		$	10.43		14.22	%	$	179,047		1.06	%		1.07	%		0.99	%		51	%
2011		8.52		0.08	#		0.65	(6)		(0.07	)		—			—			9.18		8.51			150,227		1.14			1.14			0.85			90
2010		6.74		0.11	#		1.82			(0.15	)		—			—			8.52		28.80			141,900		1.19			1.19			1.41			105
2009		5.25		0.12	#		1.49			(0.12	)		—			—	†		6.74		31.21			121,533		1.27			1.28			2.29			128
2008		9.04		0.18	#		(3.80	)		(0.16	)		—			(0.01	)		5.25		(40.35	)		80,579		1.26			1.25			2.21			94
2007		12.55		0.11	#		(2.12	)		(0.11	)		(1.39	)		—			9.04		(16.23	)		96,775		1.20			1.22			0.94			119

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)

The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short increased the ratio by 0.04% and 0.05% for the year 2011 and the period ended June 30, 2012, respectively.

(2)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(3)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(4)	The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio for the Defensive Market Strategies Fund excludes the effect of dividend expense on securities sold short.

(5)	Inception date was September 1, 2011. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(6)	Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share.

See Notes to Financial Statements.

164


																									Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income/(Loss)			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Excess Distribution/ Return of Capital			Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net			Expenses, Gross(1)			Investment Income/ (Loss), Net(2)			Portfolio Turnover Rate
Value Equity Fund
GS2 Class
2012(3)	$	7.03	$	0.07	#	$	0.52		$	(0.20	)	$	—		$	—		$	7.42		8.39	%	$	210,993		0.67	%(4)		0.68	%		1.81	%		16	%
2011		7.18		0.12	#		(0.07	)(5)		(0.20	)		—			—			7.03		0.57			200,308		0.67	(4)		0.68			1.62			35
2010		6.46		0.10	#		0.78			(0.16	)		—			—			7.18		14.01			231,079		0.67			0.68			1.52			36
2009		5.52		0.11	#		1.02			(0.19	)		—			—			6.46		21.35			181,123		0.68			0.69			2.06			32
2008		9.10		0.17	#		(3.46	)		(0.22	)		(0.07	)		—			5.52		(36.81	)		143,506		0.66	(4)		0.67			2.29			52
2007		10.62		0.18	#		(0.27	)		(0.28	)		(1.15	)		—			9.10		(1.18	)		230,436		0.69			0.69			1.70			45
GS4 Class
2012(3)	$	14.00	$	0.12	#	$	1.04		$	(0.18	)	$	—		$	—		$	14.98		8.30	%	$	910,259		0.91	%(4)		0.93	%		1.57	%		16	%
2011		14.12		0.20	#		(0.16	)(5)		(0.16	)		—			—			14.00		0.27			852,958		0.90	(4)		0.91			1.39			35
2010		12.54		0.17	#		1.56			(0.15	)		—			—			14.12		13.96			958,211		0.85	(4)		0.87			1.35			36
2009		10.53		0.20	#		1.98			(0.17	)		—			—			12.54		21.16			1,001,814		0.85	(4)		0.88			1.89			32
2008		17.03		0.30	#		(6.54	)		(0.19	)		(0.07	)		—			10.53		(36.95	)		844,459		0.85	(4)		0.86			2.09			52
2007		18.65		0.29	#		(0.52	)		(0.24	)		(1.15	)		—			17.03		(1.39	)		1,407,534		0.88			0.88			1.50			45
Growth Equity Fund
GS2 Class
2012(3)	$	11.76	$	—	†#	$	1.34		$	—		$	—		$	—		$	13.10		11.40	%	$	196,682		0.87	%(4)		0.89	%		0.05	%		29	%
2011		11.91		—	†#		(0.15	)(5)		—			—			—			11.76		(1.26	)		184,418		0.88	(4)		0.89			0.02			60
2010		10.00		—	†		1.91			—	†		—			—			11.91		19.13			215,863		0.88	(4)		0.89			0.06			63
2009		7.26		0.02			2.74			(0.02	)		—			—			10.00		38.14			196,026		0.88	(4)		0.89			0.22			78
2008		12.76		0.03			(5.49	)		(0.04	)		—			—			7.26		(42.84	)		141,138		0.87	(4)		0.87			0.26			99
2007		11.23		0.02			1.55			(0.04	)		—			—			12.76		13.99			242,557		0.89			0.88			0.24			51
GS4 Class
2012(3)	$	18.63	$	(0.01	)#	$	2.12		$	—		$	—		$	—		$	20.74		11.33	%	$	995,442		1.05	%(4)		1.13	%		(0.13	)%		29	%
2011		18.90		(0.02	)#		(0.25	)(5)		—			—			—			18.63		(1.43	)		915,960		1.03	(4)		1.11			(0.13	)		60
2010		15.88		(0.01	)		3.03			—	†		—			—			18.90		19.03			1,044,060		0.97	(4)		1.08			(0.04	)		63
2009		11.52		0.01			4.36			(0.01	)		—			—			15.88		37.99			1,067,654		0.97	(4)		1.09			0.13			78
2008		20.22		0.02			(8.70	)		(0.02	)		—			—			11.52		(42.92	)		817,315		0.97	(4)		1.06			0.16			99
2007		17.77		0.02			2.45			(0.02	)		—			—			20.22		13.90			1,488,091		1.00			1.07			0.13			51
Small Cap Equity Fund
GS2 Class
2012(3)	$	9.70	$	0.02	#	$	0.65		$	—		$	—		$	—		$	10.37		6.91	%	$	65,836		0.98	%(4)		1.02	%		0.45	%		69	%
2011		9.61		0.03	#		0.11	(5)		(0.05	)		—			—			9.70		1.40			63,903		1.01	(4)		1.03			0.27			165
2010		7.57		0.03	#		2.06			(0.05	)		—			—			9.61		27.64			74,424		1.00	(4)		1.02			0.42			177
2009		5.94		0.03	#		1.64			(0.04	)		—			—			7.57		28.12			64,033		1.04	(4)		1.05			0.44			130
2008		9.60		0.05	#		(3.61	)		(0.08	)		—			(0.02	)		5.94		(37.05	)		48,159		1.03	(4)		1.04			0.66			147
2007		11.33		0.06	#		0.09			(0.07	)		(1.81	)		—			9.60		1.05			76,792		1.05			1.05			0.48			119
GS4 Class
2012(3)	$	14.62	$	0.02	#	$	0.98		$	—		$	—		$	—		$	15.62		6.84	%	$	368,954		1.18	%(4)		1.27	%		0.26	%		69	%
2011		14.46		0.01	#		0.17	(5)		(0.02	)		—			—			14.62		1.22			354,013		1.19	(4)		1.26			0.10			165
2010		11.37		0.03	#		3.09			(0.03	)		—			—			14.46		27.47			400,072		1.15	(4)		1.21			0.27			177
2009		8.91		0.03	#		2.46			(0.03	)		—			—			11.37		27.93			356,043		1.15	(4)		1.25			0.33			130
2008		14.31		0.07	#		(5.39	)		(0.06	)		—			(0.02	)		8.91		(37.19	)		272,588		1.15	(4)		1.24			0.55			147
2007		16.00		0.06	#		0.11			(0.05	)		(1.81	)		—			14.31		0.87			466,522		1.18			1.25			0.34			119

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)	The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown.

(2)	The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(3)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(4)	The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown.

(5)	Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share.

See Notes to Financial Statements.

165

FINANCIAL HIGHLIGHTS (Unaudited) (Continued)


For a Share Outstanding For the Years Ended December 31, unless otherwise indicated																								Ratios to Average Net Assets
	Net Asset Value, Beginning of Period		Net Investment Income			Realized and Unrealized Gain (Loss) on Investments			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Excess Distribution/ Return of Capital		Net Asset Value, End of Period		Total Return			Net Assets, End of Period (000)		Expenses, Net			Expenses, Gross(1)			Investment Income/ (Loss), Net(2)			Portfolio Turnover Rate
International Equity Fund
GS2 Class
2012(3)	$	8.67	$	0.12	#	$	0.09		$	—		$	—		$	—	$	8.88		2.42	%	$	232,883		0.95	%(4)		1.33	%		2.95	%		35	%
2011		10.35		0.22	#		(1.66	)(5)		(0.24	)		—			—		8.67		(13.86	)		223,677		0.94	(4)		1.22			2.17			82
2010		9.64		0.17	#		0.83			(0.29	)		—			—		10.35		10.45			262,103		0.94	(4)		1.19			1.81			56
2009		7.32		0.17	#		2.42			(0.27	)		—	†		—		9.64		35.81			240,483		0.94	(4)		1.21			2.12			59
2008		14.61		0.34	#		(6.89	)		(0.39	)		(0.35	)		—		7.32		(44.72	)		193,281		0.94	(4)		1.08			2.92			88
2007		15.80		0.26	#		1.79			(0.27	)		(2.97	)		—		14.61		13.21			279,652		0.96			1.07			1.55			66
GS4 Class
2012(3)	$	11.33	$	0.15	#	$	0.11		$	—		$	—		$	—	$	11.59		2.29	%	$	1,009,833		1.19	%(4)		1.58	%		2.71	%		35	%
2011		13.43		0.25	#		(2.13	)(5)		(0.22	)		—			—		11.33		(14.01	)		955,305		1.16	(4)		1.45			1.95			82
2010		12.44		0.21	#		1.05			(0.27	)		—			—		13.43		10.14			1,029,317		1.12	(4)		1.38			1.67			56
2009		9.38		0.20	#		3.11			(0.25	)		—	†		—		12.44		35.61			1,101,628		1.12	(4)		1.40			1.98			59
2008		18.32		0.40	#		(8.63	)		(0.36	)		(0.35	)		—		9.38		(44.81	)		873,618		1.12	(4)		1.28			2.46			88
2007		19.09		0.28	#		2.16			(0.24	)		(2.97	)		—		18.32		12.96			1,400,548		1.14			1.27			1.11			66

†	Amount represents less than $0.005 per share.

#	Calculated using the average shares outstanding method.

(1)

The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. The ratio has been revised to include the effect of dividend expense on securities sold short which increased the ratio by 0.04% for the year 2009. The effect of dividend expense on securities sold short increased the ratio by 0.04%, 0.08% and 0.22% for the years 2010 and 2011 and the period ended June 30, 2012, respectively.

(2)	The ratio has been revised to include expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been lower than the ratio shown.

(3)	For the six months ended June 30, 2012. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

(4)	The ratio excludes the effect of expense offsets for fees paid indirectly; if expense offsets were included, the ratio would have been lower than the ratio shown. The ratio excludes the effect of dividend expense on securities sold short.

(5)	Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share.

See Notes to Financial Statements.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. DESCRIPTION OF THE FUNDS

GuideStone Funds (the “Trust”) was organized as a Delaware statutory trust on March 2, 2000. The Trust has established twenty-seven series (each, a “Fund” and together, the “Funds”). Each Fund is a diversified, open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The MyDestination 2005, MyDestination 2015, MyDestination 2025, MyDestination 2035, MyDestination 2045 and MyDestination 2055 Funds, each referred to as a “Date Target Fund” and together as the “Date Target Funds.” The Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I are each referred to as an “Asset Allocation Fund” and together as the “Asset Allocation Funds.” The remaining Funds are each referred to as a “Select Fund” and are together referred to as the “Select Funds.” The Money Market Fund is referred to as the “Money Market Fund.” The Low-Duration Bond Fund, Medium-Duration Bond Fund, Extended-Duration Bond Fund, Inflation Protected Bond Fund and Global Bond Fund are together referred to as the “Bond Funds.” The Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund and International Equity Fund are together referred to as the “Equity Funds.” The Inflation Protected Bond Fund and the Real Estate Securities Fund may also be referenced as the “Real Return Select Fund(s).” The Defensive Market Strategies Fund commenced operations as a registered investment company on September 1, 2011. The MyDestination 2055 Fund commenced operations as a registered investment company on January 1, 2012.

There are two classes of shares issued by the Funds — the GS2 Class and the GS4 Class (each, a “Class” and together the “Classes”), except for the Date Target Funds, the Inflation Protected Bond Fund, the Global Bond Fund, and the Real Estate Securities Fund, which issued the GS4 Class only. The Conservative Allocation Fund I, Balanced Allocation Fund I, Growth Allocation Fund I and Aggressive Allocation Fund I issued the GS2 Class only. All Classes of shares have identical voting, dividend and liquidation rights. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each Class of shares based upon its relative net assets.

Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed-income obligations, stocks and other investments. The Asset Allocation and Date Target Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Asset Allocation and Date Target Funds are commonly referred to as “Fund of Funds.”

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America which require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

a. Valuation of Securities

The Funds (except the Money Market Fund) each value securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in the absence of any sale or official close price, at the closing bid price. Securities which are primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when an occurrence subsequent to the time when the foreign security is valued is likely to have changed such value, then the fair value of those securities will be determined through procedures established by or under the direction of the Board of Trustees of the Trust (the ‘‘Board of Trustees”). Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price.

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Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and ask prices available. Asset-backed and mortgage-backed securities are generally valued at the last bid price, if available. Certain debt securities may be valued on the basis of broker quotations, valuations provided by a pricing service which may use a matrix, formula or other objective methods that take into consideration market indices, matrices, yield curves and other specific adjustments or by a sub-adviser using various methodologies approved by the Board of Trustees.

Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and ask prices; those maturing in 60 days or less are generally valued at amortized cost which approximates current market value in accordance with Rule 2a-7 of the 1940 Act.

Forward foreign exchange contracts are valued based upon closing exchange rates from each respective foreign market.

Futures contracts are valued at the closing settlement price on the exchange on which they are primarily traded.

Options, rights and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options, rights and warrants not traded on a national securities exchange are valued at the last quoted bid price.

Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty.

To the extent available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees. Due to the potential excessive volatility at the time valuations are developed, pricing techniques may materially vary from the actual amounts realized upon sale of the securities.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its NAV. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its NAV if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its NAV. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, a Valuation Committee meeting may be called. The Trust uses Interactive Data Corporation (“IDC”) as a third party fair valuation vendor. IDC provides a fair value for foreign equity securities held by the Trust based on certain factors and methodologies applied by IDC in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Board of Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures, a “confidence interval” is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Valuation Committee is exceeded on a specific day, the Trust will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by IDC.

The Asset Allocation and Date Target Funds value their investments in the underlying Select Funds daily at the closing NAV of each respective Select Fund.

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The Financial Accounting Standards Board’s (“FASB”) “Fair Value Measurements and Disclosures” defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, which segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:

Level 1 – quoted prices in active markets for identical securities which include:

Equity securities, including restricted securities, for which market quotations are readily available, that are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded; and

Investments in open-end mutual funds, including the GuideStone Funds and the Northern Institutional Liquid Assets Portfolio, which are valued at their closing net asset value each business day.


Level 2 –		prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) which include:

Equity securities for which there were no sales or closing prices for that day, that are valued at the last quoted bid price or that may be valued using the last available price;

Foreign equity securities for which a Significant Event has occurred and a fair value price is provided by IDC;

Debt securities, including restricted securities that are valued based on evaluated quotations received from independent pricing. For corporate bonds, pricing services that utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices; and

Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available and are valued at amortized cost.


Level 3 –		prices determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) which include:

Restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used; and

Debt securities, including restricted securities that are valued based on evaluated quotations received from dealers who make markets in such securities.

Valuation levels are not necessarily an indication of the risk associated with investing in those securities and changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Management has determined that the amount of transfers between Level 1 and Level 2 and between Level 2 and Level 3 compared to total net assets of the applicable Funds is not material; therefore, the transfers between Level 1 and Level 2 and between Level 2 and Level 3 are not shown for the six months ended June 30, 2012.

b. Equity Linked Securities

The Defensive Market Strategies Fund invests in equity-linked securities. Equity-linked securities are hybrid financial instruments that generally combine both debt and equity characteristics into a single note form. Income received from equity linked securities will be recorded as realized gains in the Statement of Operations and may be based on the performance of an underlying equity security, an equity index, or an option position. The risks of investing in equity-linked securities include

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unfavorable price movements in the underlying security and the credit risk of the issuing financial institution. There may be no guarantee of a return of principal with equity linked securities and the appreciation potential may be limited. Equity-linked securities may be more volatile and less liquid than other investments held by the Fund.

c. Fixed Income Securities

The Bond Funds, Defensive Market Strategies Fund and the Small Cap Equity Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of pre-payments on underlying mortgages will affect the price and volatility of a mortgage-related security and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the United States Government. Pools created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.

Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities. Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.

Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.

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“TBA” (to be announced) purchase commitments are commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described in the section entitled “Valuation of Securities”.

During the six months ended June 30, 2012, the Low-Duration Bond Fund and Medium-Duration Bond Fund entered into dollar roll transactions, pursuant to which they sell a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Funds may execute a “roll” to obtain better underlying mortgage securities or to increase yield. The Funds account for dollar roll transactions as purchases and sales, which has the effect of increasing their portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Funds may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts.

TBA sale commitments are commitments to sell mortgage-backed securities for a fixed price at a future date. TBAs may be considered securities in themselves and involve a risk of loss if the value of the security to be sold increases prior to settlement date of the Fund’s other assets.

U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. The U.S. Government does not guarantee the NAV of the Funds’ shares. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the United States Government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.

Government-related guarantors (i.e., not backed by the full faith and credit of the United States Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation, the common stock of which is owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the United States Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the United States Government.

The U.S. Treasury has historically had the authority to purchase obligations of Fannie Mae and Freddie Mac (collectively, the “GSEs”). However, in 2008, due to capitalization concerns, Congress provided the U.S. Treasury with additional authority to lend the GSEs emergency funds and to purchase their stock. In September 2008, those capital concerns led the U.S. Treasury and the Federal Housing Finance Authority (“FHFA”) to announce that the GSEs had been placed in conservatorship.

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Since that time, the GSEs have received significant capital support through U.S. Treasury preferred stock purchases, as well as Treasury and Federal Reserve purchases, of their mortgage backed securities (“MBS”). The FHFA and the U.S. Treasury (through its agreement to purchase GSE preferred stock) have imposed strict limits on the size of their mortgage portfolios. While the MBS purchase programs ended in 2010, the U.S. Treasury announced in December 2009 that it would continue its support for the entities’ capital as necessary to prevent a negative net worth through at least 2012. While the U.S. Treasury is committed to offset negative equity at the GSEs through its preferred stock purchases through 2012, no assurance can be given that the Federal Reserve, U.S. Treasury, or FHFA initiatives will ensure that the GSEs will remain successful in meeting their obligations with respect to the debt and MBS they issue beyond that date.

The problems faced by the GSEs resulting in their being placed into federal conservatorship and receiving significant U.S. Government support have sparked serious debate among federal policy makers regarding the continued role of the U.S. Government in providing liquidity for mortgage loans. The Obama Administration produced a report to Congress on February 11, 2011 outlining a proposal to wind down the GSEs by increasing their guarantee fees, reducing their conforming loan limits (the maximum amount of each loan they are authorized to purchase), and continuing progressive limits on the size of their investment portfolio. Congress is currently considering several pieces of legislation that would reform the GSEs and possibly wind down their existence, addressing portfolio limits and guarantee fees, among other issues.

Based on quarterly loss figures, in August 2011, both GSEs requested additional support from the U.S. Treasury (Fannie Mae requested $2.8 billion and Freddie Mac requested $1.5 billion, net of dividend payments to the U.S. Treasury). In November 2011, Freddie Mac also requested an additional $6 billion in aid from the U.S. Treasury. Further, when a ratings agency down graded long-term U.S. government debt in August 2011, the agency also down graded the GSEs’ bond ratings, from AAA to AA+, based on their direct reliance on the U.S. Government (although that rating did not directly relate to their MBS). The U.S. Government’s commitment to ensure that the GSEs have sufficient capital to meet their obligations is, however, unaffected by the down grade.

Serious discussions among policymakers continue, however, as to whether the GSEs should be nationalized, privatized, restructured, or eliminated altogether. Fannie Mae and Freddie Mac also are the subject to several continuing legal actions and investigations over certain accounting, disclosure or corporate governance matters, which (along with any resulting financial restatements) may continue to have an adverse effect on the guaranteeing entities. Importantly, the future of the GSEs is in serious question as the U.S. Government considers multiple options.

Importantly, the future of the GSEs is in serious question as the U.S. Government considers multiple options.

d. Foreign Currency Translations

Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

The Funds isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.

Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in the exchange rate.

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e. Loan Participations

The Bond Funds and the Small Cap Equity Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate borrowers. A Fund’s investments in loans may be in the form of participations in loans. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense on the Statements of Operations.

f. PIPEs

The Small Cap Equity Fund invests in Private Investment in Public Equity (“PIPE”) securities. PIPES involve the purchase of securities directly from a publicly traded company by a Fund. PIPES are restricted securities and cannot be immediately resold into the public markets. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. Risks include the potential decline in the value of the publicly traded company, the potential dilution of shareholder equity and the inability of the Fund to liquidate the position quickly.

g. REITs

The Real Estate Securities Fund invests substantial assets in real estate investment trusts (“REITs”) that involve risks not associated with investing in stocks. Risks include declines in the value of real estate, general and economic conditions, changes in the value of the underlying property and defaults by borrowers. The value of assets in the real estate industry may go through cycles of relative underperformance and outperformance in comparison to equity securities markets in general.

Dividend income is recorded using management’s estimate of the income included in distributions received from REIT investments. The actual amounts of income, return of capital and capital gains are only determined by each REIT after its fiscal year-end and may differ from the estimated amount. Estimates of income are adjusted in the Funds to the actual amounts when the amounts are determined.

h. Repurchase Agreements

Each Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.

i. Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by cash equivalents deposited in an account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss; and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs.

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The Equity Funds may sell short exchange-listed equity futures contracts to reduce market exposure. The Date Target Funds, Asset Allocation Funds, Bond Funds and Small Cap Equity Fund may sell short U.S. Treasury securities and exchange-listed U.S. Treasury futures contracts to reduce market exposure. The Low-Duration Bond and Medium-Duration Bond Funds will occasionally enter into a short sale to initiate a dollar roll transaction. The Defensive Market Strategies Fund may establish short positions in stocks of companies with a market value of up to 30% of the Fund’s assets. The International Equity Fund may establish short positions in stocks of foreign companies with a market value of up to 5% of the Fund’s assets.

At June 30, 2012, the value of securities sold short in the Defensive Market Strategies and International Equity Fund amounted to $30,889,752 and $64,976,767, respectively.

j. Derivative Financial Instruments

The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ exposure may include future claims that may be made against the Funds that have not yet occurred.

Financial Futures Contracts — The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, demonstrating purchase of securities or gaining market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

Foreign Currency Options and Futures — The Bond Funds, Defensive Market Strategies Fund, Small Cap Equity Fund and International Equity Fund may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates.

Forward Foreign Exchange Contracts — Certain Funds may enter into forward foreign currency exchange contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

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Options — Certain Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and that party’s ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Options purchased are recorded as an asset, and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities.

Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed-rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked-to-market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the associated option and swap contract amounts reported in the Statement of Assets and Liabilities. The Funds bear the market risk arising from any change in index values or interest rates.

Swap Agreements — Each Select Fund, except the Money Market Fund, may enter into swap agreements. The Defensive Market Strategies Fund and Equity Funds may enter into equity swap contracts and the Bond Funds and the Small Cap Equity Fund may enter into interest rate and credit default swaps. The Bond Funds and International Equity Fund may enter into cross-currency swaps, and each Select Fund may enter into total return swaps.

Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund’s portfolio, to protect a Fund’s value from changes in interest rates, to expose a Fund to a different security or market, or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfill its obligation under the agreement). Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities are set aside as collateral by the Fund’s custodian.

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Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued pursuant to guidelines established by the Board of Trustees. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by the Fund’s sub-adviser.

Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.

Certain of the Fund’s derivative agreements contain provisions that require the Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over one-month, three-month and 12-month periods. If a Fund were to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. For the six months ended June 30, 2012, all of the Funds maintained the required level of net assets and/or the NAV of the Fund did not decline below the limits set forth in the derivative agreements.

Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.

Credit Default Swaps — Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

Any upfront payments made or received upon entering a credit default swap contract are treated as part of the cost and are reflected as part of the unrealized gain (loss) on valuation. Upon termination of the swap contract, the amount included in the cost is reversed and becomes part of the swap’s realized gain (loss).

The sub-advisers monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of its ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. Any current or future declines in the fair value of the swap may be partially offset by upfront payments received by the Fund as a seller of protection if applicable. The change in value is recorded within unrealized appreciation (depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain (loss) is recorded.

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If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a 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, other deliverable obligations 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. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations 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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.

Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other write down or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector.

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Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

Credit default swaps involve greater risks than if the Funds had invested in the referenced obligation directly. In addition to general market risks, credit default swaps are subject to liquidity risk and counterparty credit risk. The Funds enter into credit default swaps with counterparties meeting defined criteria for financial strength. A buyer also may lose its investment and recover nothing should a credit event not occur. If a credit event did occur, the value of the referenced obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value.

Exchange Traded Swap Agreements — Exchange traded swaps are either interest rate or credit default swap agreements brokered by the Chicago Mercantile Exchange (the “CME”) where the CME is the counterparty to both the buyer and seller of protection. Exchange traded swaps involve a lesser degree of risk because the CME, as counterparty, monitors risk factors for the involved parties. Exchange traded swaps are subject to general market risks and to liquidity risk. Pursuant to the agreement, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract (the “Margin”) and daily interest on the margin. In the case of exchange traded interest rate swaps, the daily settlement also includes the daily portion of interest. Such payments are recorded by the Funds as unrealized gains or losses until the contract is closed or settled.

Exchange traded swaps require no payments at the beginning of the measurement period nor are there liquidation payments at the termination of the swap.

Cross-Currency Swap Agreements — Cross-currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take

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place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows but only for exchanging interest cash flows.

Interest Rate Swap Agreements — Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spread locks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets.

Total Return Swap Agreements — Total return swap agreements on commodities involve commitments where exchanged cash flows are based on the price of a commodity and in return receives either fixed or determined by floating price or rate. One party would receive payments based on the market value of the commodity involved and pay a fixed amount. Total return swap agreements on indices involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.

FASB “Derivatives and Hedging” includes required disclosure for (i) the nature and terms of the derivative, reasons for entering into the derivative, the events or circumstances that would require the seller to perform under the derivative, and the current status of the payment/performance risk of the derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the derivative, (iii) the fair value of the derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. FASB “Guarantees” require additional disclosures about the current status of the payment/performance risk of a guarantee. All of this information has been incorporated for the current period as part of the Schedules of Investments within the Swap agreements outstanding disclosure and in the Notes to Financial Statements.

As of June 30, 2012, the Low-Duration Bond Fund and the Medium-Duration Bond Fund are the buyers (“receiving protection”) on a total notional amount of $39,041,121 and $46,132,000, respectively, and the sellers (“providing protection”) on a total notional amount of $700,000 and $18,250,000, respectively. The notional amounts of the swaps are not recorded in the financial statements; however, the notional amount does approximate the maximum potential amount of future payments that the Funds could be required to make if the Funds were the seller of protection and a credit event were to occur. Those credit default swaps for which the Funds are providing protection at balance sheet date are summarized as follows:

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Written Credit Derivative Contracts	Single Name Credit Default Swaps						Credit Default Swap Index
Reference Asset	Corporate Debt			Sovereign Debt			Asset-Backed Securities			Corporate Debt		Total

Low-Duration Bond Fund
Fair value of written credit derivatives	$	2,072		$	—		$	—		$	—	$	2,072
Maximum potential amount of future payments		700,000			—			—			—		700,000
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)		—			—			—			—		—
Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event		—			—			—			—		—

Medium-Duration Bond Fund

Fair value of written credit derivatives	$	(72,365	)	$	(18,280	)	$	(59,035	)	$	—	$	(149,680	)
Maximum potential amount of future payments		5,000,000			1,000,000			12,250,000			—		18,250,000
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)		—			—			—			—		—
Collateral held by the Funds or other third parties which the Funds can obtain upon occurrence of triggering event		—			—			—			—		—

The credit spread disclosed below for each referenced obligation where the Funds are the seller of protection is a representation of the current payment/performance risk of the swap.


	Maximum Potential Amount of Future Payments by Contract Term
Current credit spread on underlying (in basis points)	0-6 Months		6-12 Months		1-5 Years		5-10 Years		More Than 10 Years		Total

Low-Duration Bond Fund
0 - 100	$	—	$	—	$	700,000	$	—	$	—	$	700,000
101 - 250		—		—		—		—		—		—
251 - 500		—		—		—		—		—		—
501 - 1,000		—		—		—		—		—		—
Greater than 1,000				—		—		—		—		—

Total	$	—	$	—	$	700,000	$	—	$	—	$	700,000


Medium-Duration Bond Fund

0 - 100	$	—	$	—	$	13,150,000	$	—	$	—	$	13,150,000
101 - 250		—		—		1,000,000		—		—		1,000,000
251 - 500		—		—		—		4,100,000		—		4,100,000
501 - 1,000		—		—		—		—		—		—
Greater than 1,000		—		—				—		—		—

Total	$	—	$	—	$	14,150,000	$	4,100,000	$	—	$	18,250,000

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Derivative Holdings Categorized by Risk Exposure

FASB “Derivatives and Hedging” also requires all companies to disclose information intended to enable financial statement users to understand how and why the entity uses derivative instruments, how derivatives are accounted for, and how derivative instruments affect the entity’s financial position, results of operations, and cash flows.


	Location on the Statements of Assets and Liabilities
Derivative Type	Asset Derivatives	Liability Derivatives
Interest rate contracts	Investments in securities of unaffiliated issuers,	Options written at value
	at value
	Receivables: Variation margin on financial futures	Payables: Variation margin on financial futures
	contracts*	contracts*
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
Foreign exchange contracts	Investments in securities of unaffiliated issuers,	Options written at value
	at value
	Receivables: Variation margin on financial futures	Payables: Variation margin on financial futures
	contracts*	contracts*
	Unrealized appreciation on foreign currency	Unrealized depreciation on foreign currency
	exchange contracts	exchange contracts
Credit contracts	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
Equity contracts	Investments in securities of unaffiliated issuers,	Options written at value
	at value
	Receivables: Variation margin on financial futures	Payables: Variation margin on financial futures
	contracts*	contracts*

The variation margin shown on the Statements of Assets and Liabilities is the daily change in the unrealized appreciation (depreciation) for open futures and exchange traded swap contracts. The variation margin presented below is the cumulative change in unrealized appreciation (depreciation) from the date the contract was opened until June 30, 2012.


	Asset Derivative Value
Fund	Total Value at 06/30/12		Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
MyDestination 2005 Futures	$	15,550	$	(297	)	$	—	$	—	$	15,847

MyDestination 2015 Futures	$	108,114	$	156		$	—	$	—	$	107,958

MyDestination 2025 Futures	$	123,273	$	1,328		$	—	$	—	$	121,945

MyDestination 2035 Futures	$	104,653	$	1,781		$	—	$	—	$	102,872

MyDestination 2045 Futures	$	61,614	$	594		$	—	$	—	$	61,020

Conservative Allocation Futures	$	44,212	$	(1,778	)	$	—	$	—	$	45,990

Balanced Allocation Futures	$	519,007	$	16,455		$	—	$	—	$	502,552

Growth Allocation Futures	$	446,393	$	5,235		$	—	$	—	$	441,158

Aggressive Allocation Futures	$	649,996	$	—		$	—	$	—	$	649,996

Conservative Allocation I Futures	$	10,550	$	(250	)	$	—	$	—	$	10,800

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	Asset Derivative Value
Fund	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
Balanced Allocation I Futures	$	119,526		$	2,666		$	—	$	—	$	116,860

Growth Allocation I Futures	$	99,243		$	1,249		$	—	$	—	$	97,994

Aggressive Allocation I Futures	$	87,633		$	—		$	—	$	—	$	87,633

Low-Duration Bond
Forwards	$	1,354,566		$	—		$	1,354,566	$	—	$	—
Futures		(27,333	)		(27,333	)		—		—		—
Purchased Options		301,916			—			301,916		—		—
Swaps		2,955,850			895,188			—		2,060,662		—

Totals	$	4,584,999		$	867,855		$	1,656,482	$	2,060,662	$	—

Medium-Duration Bond
Forwards	$	813,591		$	—		$	813,591	$	—	$	—
Futures		171,738			171,738			—		—		—
Purchased Options		53,519			53,519			—		—		—
Swaps		3,127,048			2,539,215			—		587,833		—

Totals	$	4,165,896		$	2,764,472		$	813,591	$	587,833	$	—

Inflation Protected Bond Futures	$	(17,144	)	$	(17,144	)	$	—	$	—	$	—

Global Bond Fund
Forwards	$	939,937		$	—		$	939,937	$	—	$	—
Futures		2,146			2,146			—		—		—
Purchased Options		4,095			—			4,095		—		—

Total	$	946,178		$	2,146		$	944,032	$	—	$	—

Defensive Market Strategies
Forwards	$	2,399		$	—		$	2,399	$	—	$	—
Futures		344,378			—			—		—		344,378
Purchased Options		9,632			—			—		—		9,632

Total	$	356,409		$	—		$	2,399	$	—	$	354,010

Equity Index Futures	$	487,983		$	—		$	—	$	—	$	487,983

Real Estate Securities Futures	$	176,270		$	—		$	—	$	—	$	176,270

Value Equity Futures	$	912,853		$	—		$	—	$	—	$	912,853

Growth Equity Fund Futures	$	2,024,443		$	—		$	—	$	—	$	2,024,443

Small Cap Equity
Forwards	$	44,828		$	—		$	44,828	$	—	$	—
Futures		2,396,557			(1,698	)		—		—		2,398,255
Purchased Options		19,437			19,437			—		—		—

Total	$	2,460,822		$	17,739		$	44,828	$	—	$	2,398,255

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	Asset Derivative Value
Fund	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
International Equity
Forwards	$	3,180,013		$	—		$	3,180,013	$	—	$	—
Futures		6,294,778			—			269,925		—		6,024,853

Total	$	9,474,791		$	—		$	3,449,938	$	—	$	6,024,853


	Liability Derivative Value
Fund	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
Low-Duration Bond
Forwards	$	944,808		$	—		$	944,808	$	—	$	—
Futures		50,089			50,089			—		—		—
Written Options		416,036			307,713			108,323		—		—
Swaps		177,050			101,034			—		76,016		—

Totals	$	1,587,983		$	458,836		$	1,053,131	$	76,016	$	—

Medium-Duration Bond
Forwards	$	974,604		$	—		$	974,604	$	—	$	—
Futures		237,325			237,325			—		—		—
Written Options		392,108			392,108			—		—		—
Swaps		877,189			448,033			—		429,156		—

Totals	$	2,481,226		$	1,077,466		$	974,604	$	429,156	$	—

Inflation Protected Bond
Futures	$	(156,604	)	$	(156,604	)	$	—	$	—	$	—

Global Bond
Forwards	$	561,532		$	—		$	561,532	$	—	$	—
Futures		48,348			48,348			—		—		—

Totals	$	609,880		$	48,348		$	561,532	$	—	$	—

Defensive Market Strategies
Forwards	$	52,161		$	—		$	52,161	$	—	$	—

Totals	$	52,161		$	—		$	52,161	$	—	$	—

Small Cap Equity
Forwards	$	8,238		$	—		$	8,238	$	—	$	—
Futures		99,224			99,224			—		—		—
Written Options		12,562			12,562			—		—		—

Totals	$	120,024		$	111,786		$	8,238	$	—	$	—

International Equity
Forwards	$	2,494,357		$	—		$	2,494,357	$	—	$	—
Futures		156,118			—			—		—		156,118

Totals	$	2,650,475		$	—		$	2,494,357	$	—	$	156,118

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Derivative Type		Location on the Statements of Operations
Interest rate contracts		Net realized gain (loss) from: Futures transactions
		Net realized gain (loss) from: Swap agreements
		Net realized gain (loss) from: Option contracts written
		Net realized gain (loss) from: Option contracts purchased
		Net change in unrealized appreciation (depreciation) on: Futures
		Net change in unrealized appreciation (depreciation) on: Swap agreements
		Net change in unrealized appreciation (depreciation) on: Option contracts written
		Net change in unrealized appreciation (depreciation) on: Option contracts purchased
Foreign exchange contracts		Net realized gain (loss) from: Foreign currency transactions
		Net realized gain (loss) from: Option contracts written
		Net realized gain (loss) from: Option contracts purchased
		Net realized gain (loss) from: Futures transactions
		Net change in unrealized appreciation (depreciation) on: Foreign currency translations
		Net change in unrealized appreciation (depreciation) on: Option contracts purchased
		Net change in unrealized appreciation (depreciation) on: Option contracts written
		Net change in unrealized appreciation (depreciation) on: Futures
Credit contracts		Net realized gain (loss) from: Swap agreements
		Net change in unrealized appreciation (depreciation) on: Swap agreements
Equity contracts		Net realized gain (loss) from: Futures transactions
		Net realized gain (loss) from: Option contracts written
		Net realized gain (loss) from: Option contracts purchased
		Net change in unrealized appreciation (depreciation) on: Futures
		Net change in unrealized appreciation (depreciation) on: Option contracts written
		Net change in unrealized appreciation (depreciation) on: Option contracts purchased


	Realized Gain (Loss) on Derivatives Recognized in Income
	Total Value at 06/30/12		Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts
MyDestination 2005 Futures	$	24,122	$	9,126	$	—	$	—	$	14,996

MyDestination 2015 Futures	$	186,394	$	63,730	$	—	$	—	$	122,664

MyDestination 2025 Futures	$	148,071	$	51,087	$	—	$	—	$	96,984

MyDestination 2035 Futures	$	161,520	$	10,526	$	—	$	—	$	150,994

MyDestination 2045 Futures	$	85,590	$	3,518	$	—	$	—	$	82,072

Conservative Allocation Futures	$	74,544	$	1,312	$	—	$	—	$	73,232

Balanced Allocation Futures	$	905,644	$	261,185	$	—	$	—	$	644,459

Growth Allocation Futures	$	1,120,507	$	67,956	$	—	$	—	$	1,052,551

Aggressive Allocation Futures	$	969,834	$	—	$	—	$	—	$	969,834

184


	Realized Gain (Loss) on Derivatives Recognized in Income
	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts			Equity Contracts
Conservative Allocation I Futures	$	6,130		$	(307	)	$	—	$	—		$	6,437

Balanced Allocation I Futures	$	276,318		$	33,187		$	—	$	—		$	243,131

Growth Allocation I Futures	$	223,575		$	10,714		$	—	$	—		$	212,861

Aggressive Allocation I Futures	$	128,731		$	—		$	—	$	—		$	128,731

Low-Duration Bond
Forwards	$	1,518,884		$	—		$	1,518,884	$	—		$	—
Futures		80,879			80,879			—		—			—
Swaps		334,206			392,282			—		(58,076	)		—
Written Options		32,765			32,765			—		—			—

Totals	$	1,966,734		$	505,926		$	1,518,884	$	(58,076	)	$	—

Medium-Duration Bond
Forwards	$	73,888		$	—		$	73,888	$	—		$	—
Futures		307,762			307,762			—		—			—
Purchased Options		(32,787	)		(32,787	)		—		—			—
Swaps		350,277			679,281			—		(329,004	)		—
Written Options		136,993			136,993			—		—			—

Totals	$	836,133		$	1,091,249		$	73,888	$	(329,004	)	$	—

Inflation Protected Bond
Futures	$	134,963		$	134,963		$	—	$	—		$	—

Global Bond
Forwards	$	493,717		$	—		$	493,717	$	—		$	—
Futures		(195,154	)		(195,154	)		—		—			—
Purchased Options		99,065			(21,398	)		120,463		—			—

Total	$	397,628		$	(216,552	)	$	614,180	$	—		$	—

Defensive Market Strategies
Forwards	$	178,557		$	—		$	178,557	$	—		$	—
Futures		306,334			—			—		—			306,334
Purchased Options		(159,048	)		—			—		—			(159,048	)
Written Options		49,010			—			—		—			49,010

Total	$	374,853		$	—		$	178,557	$	—		$	196,296

Equity Index
Futures	$	686,606		$	—		$	—	$	—		$	686,606

Real Estate Securities
Futures	$	330,858		$	—		$	—	$	—		$	330,858

Value Equity
Futures	$	1,807,776		$	—		$	—	$	—		$	1,807,776

Growth Equity
Futures	$	3,673,828		$	—		$	—	$	—		$	3,673,828

185


	Realized Gain (Loss) on Derivatives Recognized in Income
	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
Small Cap Equity
Forwards	$	93,488		$	—		$	93,488	$	—	$	—
Futures		3,613,330			(302,574	)		—		—		3,915,904
Purchased Options		(12,754	)		(12,754	)		—		—		—
Written Options		29,778			29,778			—		—		—

Total	$	3,723,842		$	(285,550	)	$	93,488	$	—	$	3,915,904

International Equity
Forwards	$	1,269,525		$	—		$	1,269,525	$	—	$	—
Futures		(8,984,359	)		153,089			262,886		—		(9,400,334	)

Total	$	(7,714,834	)	$	153,089		$	1,532,411	$	—	$	(9,400,334	)


	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts		Credit Contracts		Equity Contracts
MyDestination 2005 Futures	$	10,523		$	(2,750	)	$	—	$	—	$	13,273

MyDestination 2015 Futures	$	80,547		$	(15,345	)	$	—	$	—	$	95,892

MyDestination 2025 Futures	$	78,762		$	(8,423	)	$	—	$	—	$	87,185

MyDestination 2035 Futures	$	78,450		$	(172	)	$	—	$	—	$	78,622

MyDestination 2045 Futures	$	48,893		$	110		$	—	$	—	$	48,783

Conservative Allocation Futures	$	32,727		$	(4,029	)	$	—	$	—	$	36,756

Balanced Allocation Futures	$	309,841		$	(38,443	)	$	—	$	—	$	348,284

Growth Allocation Futures	$	168,845		$	(8,215	)	$	—	$	—	$	177,060

Aggressive Allocation Futures	$	260,877		$	—		$	—	$	—	$	260,877

Conservative Allocation I Futures	$	6,353		$	125		$	—	$	—	$	6,228

Balanced Allocation I Futures	$	9,166		$	4,682		$	—	$	—	$	4,484

Growth Allocation I Futures	$	3,893		$	2,202		$	—	$	—	$	1,691

Aggressive Allocation I Futures	$	8,490		$	—		$	—	$	—	$	8,490

186


	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
	Total Value at 06/30/12			Interest Rate Contracts			Foreign Exchange Contracts			Credit Contracts			Equity Contracts
Low-Duration Bond
Forwards	$	(507,756	)	$	—		$	(507,756	)	$	—		$	—
Futures		(117,542	)		(117,542	)		—			—			—
Purchased Options		208,429			—			208,429			—			—
Swaps		(141,859	)		131,134			—			(272,993	)		—
Written Options		46,270			93,937			(47,667	)		—			—

Totals	$	(512,458	)	$	107,529		$	(346,994	)	$	(272,993	)	$	—

Medium-Duration Bond
Forwards	$	378,481		$	—		$	378,481		$	—		$	—
Futures		(223,887	)		(223,887	)		—			—			—
Purchased Options		(115,879	)		(115,879	)		—			—			—
Swaps		958,967			778,749			—			180,218			—
Written Options		175,041			175,041			—			—			—

Totals	$	1,172,723		$	614,024		$	378,481		$	180,218		$	—

Inflation Protected Bond
Futures	$	177,230		$	177,230		$	—		$	—		$	—

Global Bond
Forwards	$	(425,972	)	$	—		$	(425,972	)	$	—		$	—
Futures		(55,229	)		(55,229	)		—			—			—
Purchased Options		(50,661	)		—			(50,661	)		—			—

Total	$	(531,862	)	$	(55,229	)	$	(476,633	)	$	—		$	—

Defensive Market Strategies
Forwards	$	(67,657	)	$	—		$	(67,657	)	$	—		$	—
Futures		230,911			—			—			—			230,911
Purchased Options		28,201			—			—			—			28,201
Written Options		(3,192	)		—			—			—			(3,192	)

Total	$	188,263		$	—		$	(67,657	)	$	—		$	255,920

Equity Index
Futures	$	233,425		$	—		$	—		$	—		$	233,425

Real Estate Securities
Futures	$	122,650		$	—		$	—		$	—		$	122,650

Value Equity
Futures	$	199,167		$	—		$	—		$	—		$	199,167

Growth Equity
Futures	$	1,270,359		$	—		$	—		$	—		$	1,270,359

Small Cap Equity
Forwards	$	(57,180	)	$	—		$	(57,180	)	$	—		$	—
Futures		1,126,456			(128,773	)		—			—			1,255,229
Purchased Options		(14,524	)		(14,524	)		—			—			—
Written Options		15,305			15,305			—			—			—

Total	$	1,070,057		$	(127,992	)	$	(57,180	)	$	—		$	1,255,229

International Equity
Forwards	$	224,517		$	—		$	224,517		$	—		$	—
Futures		4,951,152			—			(179,954	)		—			5,131,106

Total	$	5,175,669		$	—		$	44,563		$	—		$	5,131,106

187

Volume of Derivative Transactions

The table below summarizes the average balance of derivative holdings by fund during the six months ended June 30, 2012. The average balance of derivatives held is indicative of the trading volume of each Fund.


	Asset Derivative Volume
	Forward Foreign Currency Contracts (Average Cost)		Futures Contracts (Average Notional Value)		Purchased Option Contracts (Average Notional Cost)		Swap Contracts (Average Notional Amount)
MyDestination 2005	$	—	$	1,345,827	$	—	$	—
MyDestination 2015		—		4,722,858		—		—
MyDestination 2025		—		5,048,065		—		—
MyDestination 2035		—		3,212,870		—		—
MyDestination 2045		—		2,165,896		—		—
Conservative Allocation		—		4,296,227		—		—
Balanced Allocation		—		22,944,769		—		—
Growth Allocation		—		15,630,039		—		—
Aggressive Allocation		—		14,549,305		—		—
Conservative Allocation I		—		1,020,841		—		—
Balanced Allocation I		—		5,392,457		—		—
Growth Allocation I		—		3,670,122		—		—
Aggressive Allocation I		—		2,412,139		—		—
Low-Duration Bond		25,685,150		134,739,333		58,392		65,332,804
Medium-Duration Bond		41,332,965		72,607,165		88,765		134,057,183
Inflation Protected Bond		—		22,170,773		—		—
Global Bond		41,568,270		1,998,384		39,559		—
Defensive Market Strategies		602,288		8,978,803		55,753		—
Equity Index		—		26,580,565		—		—
Real Estate Securities		—		5,433,665		—		—
Value Equity		—		25,181,394		—		—
Growth Equity		—		53,020,485		—		—
Small Cap Equity		659,832		63,158,791		23,611		—
International Equity		194,824,597		155,113,587		—		—

	Liability Derivative Volume
	Forward Foreign Currency Contracts (Average Cost)		Futures Contracts (Average Notional Value)		Written Option Contracts (Average Notional Cost)		Swap Contracts (Average Notional Amount)
Low-Duration Bond	$	80,448,439	$	26,409,128	$	273,453	$	—
Medium-Duration Bond		82,025,276		75,754,382		367,266		—
Inflation Protected Bond		—		16,822,714		—		—
Global Bond		41,908,123		7,399,276		—		—
Defensive Market Strategies		4,570,419		—		22,472		—
Small Cap Equity		1,781,750		21,747,665		21,175		—
International Equity		209,016,366		38,276,458		—		—

k. Dividends and Distributions to Shareholders

Dividends from net investment income for the Money Market Fund are declared daily and paid monthly. Dividends from net investment income for the Bond Funds are declared and paid monthly. Dividends from net investment income, if any, for the Defensive Market Strategies Fund, Equity Index Fund, Real Estate Securities Fund, Value Equity Fund and Growth Equity Fund are declared and paid semi-annually. Dividends from net investment income, if any, for the Small Cap Equity Fund, International

188

Equity Fund, the Asset Allocation Funds and the Date Target Funds are declared and paid annually. Net realized capital gains, if any, will be distributed at least annually by each of the Funds. Dividends and distributions to shareholders are recorded on the ex-dividend date.

l. Expenses

Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds are generally allocated to each Fund in proportion to their relative net assets. Each Class of shares bears its pro-rata portion of expenses attributable to its Class, except that each Class separately bears expenses related specifically to that Class, such as shareholder reporting, registration, transfer agent, shareholder servicing and distribution fees.

m. Security Transactions, Income and Realized Gains and Losses

Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date, except certain dividends from foreign securities where the ex-date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income is accrued daily, including the amortization of market premium and the accretion of market discount. Realized gains and losses from security transactions are on an identified cost basis.

3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES

a. Investment Advisory Fees

Pursuant to a separate investment advisory agreement, GuideStone Capital Management (“GSCM” or “Adviser”) acts as the Adviser to the Funds. As Adviser, it supervises the investments of the Funds and for such services is paid a fee. GSCM and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund’s investments. Under the general supervision of GSCM, the sub-advisers make the day-to-day investment decisions for the Select Funds, and for such services, each sub-adviser receives a fee from the Funds.

189

The advisory fees paid to GSCM and aggregate sub-advisory fees paid to the sub-advisers, listed at the end of this report, are computed daily based upon the net assets of each Fund. The actual advisory fees accrued and the sub-advisory fees accrued during the six months ended June 30, 2012, based upon average daily net assets, were as follows:


Fund	Advisory Fees	Sub-Adviser Fees
MyDestination 2005	0.10%	0.00%
MyDestination 2015	0.10%	0.00%
MyDestination 2025	0.10%	0.00%
MyDestination 2035	0.10%	0.00%
MyDestination 2045	0.10%	0.00%
MyDestination 2055	0.10%	0.00%
Conservative Allocation	0.10%	0.00%
Balanced Allocation	0.10%	0.00%
Growth Allocation	0.10%	0.00%
Aggressive Allocation	0.10%	0.00%
Conservative Allocation I	0.10%	0.00%
Balanced Allocation I	0.10%	0.00%
Growth Allocation I	0.10%	0.00%
Aggressive Allocation I	0.10%	0.00%
Money Market	0.09%	0.07%
Low-Duration Bond	0.13%	0.21%
Medium-Duration Bond	0.21%	0.21%
Extended-Duration Bond	0.25%	0.22%
Inflation Protected Bond	0.20%	0.12%
Global Bond	0.21%	0.26%
Defensive Market Strategies	0.37%	0.50%
Equity Index	0.13%	0.03%
Real Estate Securities	0.28%	0.43%
Value Equity	0.40%	0.24%
Growth Equity	0.45%	0.40%
Small Cap Equity	0.27%	0.65%
International Equity	0.47%	0.47%

For the six months ended June 30, 2012, advisory fees (excluding sub-advisory fees) and waivers for each Fund were as follows:


	Gross Advisory Fee		Waiver/ Reimbursements			Net Advisory Fee (Reimbursement)
MyDestination 2005	$	34,329	$	(29,951	)	$	4,378
MyDestination 2015		150,258		—			150,258
MyDestination 2025		153,650		—			153,650
MyDestination 2035		74,842		5,981			80,823
MyDestination 2045		51,190		(14,750	)		36,440
MyDestination 2055		1,883		(54,706	)		(52,823	)
Conservative Allocation		149,595		(68,145	)		81,450
Balanced Allocation		570,622		(73,051	)		497,571
Growth Allocation		411,507		(64,085	)		347,422
Aggressive Allocation		355,597		(59,387	)		296,210
Conservative Allocation I		38,381		(26,194	)		12,187
Balanced Allocation I		162,338		—			162,338
Growth Allocation I		102,906		(1,737	)		101,169
Aggressive Allocation I		68,180		(11,072	)		57,108
Money Market		574,851		—			574,851
Low-Duration Bond		498,531		(319,447	)		179,084
Medium-Duration Bond		944,155		(482,605	)		461,550
Extended-Duration Bond		528,844		(60,382	)		468,462
Inflation Protected Bond		168,119		(14,268	)		153,851

190


	Gross Advisory Fee		Waiver/ Reimbursements			Net Advisory Fee (Reimbursement)
Global Bond	$	190,934	$	(22,291	)	$	168,643
Defensive Market Strategies		627,584		(94,053	)		533,531
Equity Index		154,363		(135,676	)		18,687
Real Estate Securities		229,611		(6,183	)		223,428
Value Equity		2,233,279		(27,510	)		2,205,769
Growth Equity		2,716,082		(399,402	)		2,316,680
Small Cap Equity		594,117		(126,431	)		467,686
International Equity		2,921,617		(1,061,708	)		1,859,909

b. Distribution and Shareholder Servicing Fees

The Board of Trustees has adopted a Shareholder Service Plan for the GS4 Class of each Select Fund. Under this Plan, the GS4 Class of each Select Fund is authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4 Class of each Select Fund was authorized to pay service fees of 0.24% of average daily net assets.

The Board of Trustees voluntarily agreed to waive shareholder servicing fees and/or reimburse expenses for the GS4 Class of the Money Market Fund to the extent necessary to maintain a minimum daily net yield of at least 0.01%. This voluntary shareholder servicing fee waiver and expense reimbursement may be changed or terminated by the Board of Trustees at any time.

c. Expense Limitation

GSCM has agreed, through April 30, 2013, to waive fees and reimburse expenses of the GS2 Class and GS4 Class of each Fund (excluding interest, taxes, brokerage commissions, dividend expense on securities sold short and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each Class’s average daily net assets as follows:


	For the Period January 1, 2012 to June 30, 2012
Fund	GS2 Class	GS4 Class
MyDestination 2005	NA	0.20%
MyDestination 2015	NA	0.20%
MyDestination 2025	NA	0.20%
MyDestination 2035	NA	0.20%
MyDestination 2045	NA	0.20%
MyDestination 2055	NA	0.20%
Conservative Allocation	NA	0.12%
Balanced Allocation	NA	0.12%
Growth Allocation	NA	0.12%
Aggressive Allocation	NA	0.12%
Conservative Allocation I	0.15%	NA
Balanced Allocation I	0.15%	NA
Growth Allocation I	0.15%	NA
Aggressive Allocation I	0.15%	NA
Money Market	0.20%	0.39%
Low-Duration Bond	0.36%	0.57%
Medium-Duration Bond	0.48%	0.63%
Extended-Duration Bond	0.63%	0.75%
Inflation Protected Bond	NA	0.67%
Global Bond	NA	1.02%
Defensive Market Strategies	0.99%	1.25%
Equity Index	0.23%	0.38%
Real Estate Securities	NA	1.29%

191


	For the Period January 1, 2012 to June 30, 2012
Fund	GS2 Class	GS4 Class
Value Equity	0.74%	0.94%
Growth Equity	0.88%	1.06%
Small Cap Equity	1.12%	1.21%
International Equity⁽¹⁾	0.96%	1.20%

⁽¹⁾	Expense limitation for the period May 1, 2012 to June 30, 2012. For the period January 1, 2012 to April 30, 2012, the expense limitation was 0.94% for GS2 Class and 1.18% for GS4 Class.

Each Fund in turn agrees to reimburse GSCM for any operating expenses in excess of the expense limitation paid, waived or assumed by GSCM for that Fund during the limitation period, provided GSCM would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation during the year in which the reimbursement would be made, and provided further that no amount will be reimbursed by the Fund more than three years after the year in which it was incurred or waived by GSCM.

At June 30, 2012, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:

GS2 Class

GS4 Class

2009

2010

2011

2012

2009

2010

2011

2012

MyDestination 2005

34,663

37,982

91,223

29,951

MyDestination 2015

MyDestination 2025

MyDestination 2035

36,941

29,344

40,727

MyDestination 2045

60,981

53,661

74,220

14,750

MyDestination 2055

54,706

Conservative Allocation

94,137

85,986

148,927

68,145

Balanced Allocation

97,716

44,858

157,363

73,051

Growth Allocation

102,990

65,662

133,967

64,085

Aggressive Allocation

116,674

59,666

129,580

59,387

Conservative Allocation I

41,261

33,009

66,248

26,194

Balanced Allocation I

Growth Allocation I

2,458

1,737

Aggressive Allocation I

14,709

7,100

38,072

11,072

Money Market

Low-Duration Bond

62,697

55,742

59,610

27,560

480,368

468,377

501,417

256,462

Medium-Duration Bond

21,118

962

34,814

16,052

829,796

799,436

701,423

372,292

Extended-Duration Bond

112,701

108,124

141,631

50,542

Inflation Protected Bond

Global Bond

Defensive Market Strategies

8,654

18,863

20,289

48,675

Equity Index

963

2,911

152,180

128,840

240,739

119,836

Real Estate Securities

Value Equity

233,562

159,664

Growth Equity

4,179

2,253

990,164

1,049,330

775,619

335,761

Small Cap Equity

244,965

188,066

232,755

103,957

International Equity

451,372

483,790

494,427

178,445

2,302,219

2,260,849

2,083,992

787,243

During

the six months ended June 30, 2012, GSCM recaptured the following amounts:


	GS2 Class	GS4 Class
MyDestination 2035	NA	$	5,982

192

d. Brokerage Service Arrangements

The Adviser directs the sub-advisers to place a certain percentage of security trades (if feasible) with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Funds shown below.


Fund	Expenses Paid Through Brokerage Service Arrangements
Value Equity	$	37,272
Growth Equity		20,934
Small Cap Equity		57,912

e. Administrator, Transfer Agent and Distributor

For its services as Administrator, BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees, excluding out of pocket expenses, currently range between 0.004% and 0.02% of average daily net assets. For its services as Transfer Agent, BNY Mellon receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply. For the six months ended June 30, 2012, BNY Mellon received $1,831,424 in aggregate fees and expenses for services rendered under the various agreements described above.

Certain employees of BNY Mellon are officers of the Funds. BNY Mellon serves as Administrator and Transfer Agent of the Funds.

Effective March 31, 2012, the Bank of New York Mellon Corporation sold BNY Mellon Distributors LLC and its four subsidiaries to Foreside Distributors, a subsidiary of Foreside Financial Group (the “Transaction”). Upon the closing of the Transaction, the Distributor became an indirect, wholly owned subsidiary of Foreside Financial Group, and the Distributor was named Foreside Funds Distributors LLC.

Foreside Funds Distributors LLC serves as the Underwriter and does not receive any fees in its capacity as Underwriter from GuideStone Funds. The fees are paid by GSCM.

f. Investments in Affiliates

A summary of the Fund of Fund’s total long-term and short-term purchases and sales of the shares of the underlying Select Funds during the six months ended June 30, 2012 is as follows:


	Total Value at 12/31/11		Total Value at 06/30/12		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains
MyDestination 2005
Money Market	$	1,386,612	$	1,427,361	$	10,768,014	$	10,727,265	$	62	$	—
Low-Duration Bond		16,235,367		19,887,205		3,693,442		250,000		169,419		17,104
Medium-Duration Bond		11,308,110		12,252,756		1,204,311		620,000		114,760		24,291
Inflation Protected Bond		9,377,236		10,585,429		1,719,031		625,000		122,528		110,128
Global Bond		52,899		—		233		55,583		233		—
Defensive Market Strategies		9,038,741		9,756,033		550,993		198,840		60,446		27,557
Real Estate Securities		1,702,039		1,673,899		123,487		369,000		8,607		—
Value Equity		4,541,842		4,986,919		462,002		340,000		60,002		—
Growth Equity		4,431,783		4,954,946		360,000		347,500		—		—
Small Cap Equity		1,126,770		1,233,501		134,000		109,000		—		—
International Equity		5,341,531		6,103,776		994,700		390,000		—		—

	$	64,542,930	$	72,861,825	$	20,010,213	$	14,032,188	$	536,057	$	179,080

193


	Total Value at 12/31/11		Total Value at 06/30/12		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains
MyDestination 2015
Money Market	$	4,844,410	$	4,679,270	$	29,149,507	$	29,314,647	$	238	$	—
Low-Duration Bond		21,071,512		26,597,050		5,485,605		240,000		227,661		22,943
Medium-Duration Bond		32,459,757		38,627,410		5,249,971		175,000		354,689		73,802
Extended-Duration Bond		11,127,277		12,037,354		545,112		275,000		188,897		27,715
Inflation Protected Bond		31,725,979		38,358,536		8,036,369		1,787,000		438,699		392,030
Global Bond		11,504,217		12,936,511		1,342,603		165,000		370,603		—
Defensive Market Strategies		52,836,889		62,618,098		7,663,474		—		387,212		176,532
Real Estate Securities		15,453,303		17,452,374		1,092,385		1,153,000		88,385		—
Value Equity		27,702,598		30,700,540		1,523,445		500,000		363,445		—
Growth Equity		26,610,921		29,964,559		810,000		500,000		—		—
Small Cap Equity		7,117,321		7,934,986		317,500		—		—		—
International Equity		31,421,274		37,696,747		5,738,650		177,000		—		—

	$	273,875,458	$	319,603,435	$	66,954,621	$	34,286,647	$	2,419,829	$	693,022

MyDestination 2025
Money Market	$	4,563,617	$	5,237,362	$	31,001,439	$	30,327,694	$	251	$	—
Low-Duration Bond		3,907,553		6,088,051		2,122,743		—		48,474		4,738
Medium-Duration Bond		22,775,602		27,209,485		4,145,819		500,000		253,495		52,824
Extended-Duration Bond		18,932,605		21,063,723		1,863,269		855,000		332,700		49,569
Inflation Protected Bond		5,127,095		7,589,122		2,545,033		153,935		84,850		71,683
Global Bond		18,375,272		21,063,085		2,449,662		175,000		606,312		—
Defensive Market Strategies		42,253,683		52,912,587		8,960,436		—		326,811		148,995
Real Estate Securities		18,463,641		21,101,634		1,274,769		1,130,000		106,769		—
Value Equity		41,020,132		45,994,866		2,094,505		—		544,505		—
Growth Equity		39,763,711		45,008,305		735,000		—		—		—
Small Cap Equity		12,987,798		14,180,511		296,000		—		—		—
International Equity		49,595,383		56,636,740		6,483,100		475,000		—		—

	$	277,766,092	$	324,085,471	$	63,971,775	$	33,616,629	$	2,304,167	$	327,809

MyDestination 2035
Money Market	$	3,087,962	$	3,517,075	$	15,244,755	$	14,815,642	$	161	$	—
Medium-Duration Bond		2,765,813		3,877,272		1,005,178		—		34,630		7,048
Extended-Duration Bond		2,903,731		3,825,851		857,894		130,000		57,405		8,489
Global Bond		8,136,904		10,373,509		2,316,079		260,000		293,399		—
Real Estate Securities		9,369,933		11,118,425		1,192,896		765,000		55,396		—
Value Equity		29,263,689		35,084,079		3,817,833		—		412,308		—
Growth Equity		28,653,926		34,617,500		2,696,480		—		—		—
Small Cap Equity		10,461,907		12,520,691		1,351,500		—		—		—
International Equity		36,407,178		44,645,928		7,622,508		—		—		—

	$	131,051,043	$	159,580,330	$	36,105,123	$	15,970,642	$	853,299	$	15,537

194


	Total Value at 12/31/11		Total Value at 06/30/12		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains
MyDestination 2045
Money Market	$	2,134,540	$	2,104,251	$	10,685,729	$	10,716,018	$	110	$	—
Extended-Duration Bond Fund		823,344		1,076,860		240,279		43,500		16,686		2,492
Global Bond Fund		4,414,133		5,258,938		872,978		125,000		152,478		—
Real Estate Securities		7,964,747		9,755,257		1,095,060		448,000		48,560		—
Value Equity		20,375,280		24,720,686		2,925,848		—		290,848		—
Growth Equity		20,022,846		24,408,133		2,099,930		35,500		—		—
Small Cap Equity		7,707,387		9,395,437		1,192,500		19,500		—		—
International Equity		26,136,474		31,865,231		5,502,311		270,000		—		—

	$	89,578,751	$	108,584,793	$	24,614,635	$	11,657,518	$	508,682	$	2,492

MyDestination 2055 Fund
Money Market	$	—	$	118,951	$	4,256,705	$	4,137,755	$	2	$	—
Global Bond Fund		—		221,690		219,345		—		5,549		—
Real Estate Securities Fund		—		452,149		408,948		1,500		2,191		—
Value Equity		—		1,034,006		1,002,091		—		11,778		—
Growth Equity		—		1,016,824		953,900		—		—		—
Small Cap Equity		—		394,059		380,700		—		—		—
International Equity		—		1,329,704		1,349,900		—		—		—

	$	—	$	4,567,383	$	8,571,589	$	4,139,255	$	19,520	$	—

Conservative Allocation
Money Market	$	6,146,479	$	4,451,845	$	14,529,673	$	16,224,307	$	186	$	—
Low-Duration Bond		171,140,785		179,250,469		7,065,761		1,050,000		1,611,472		165,709
Inflation Protected Bond		42,477,796		44,092,767		1,700,328		590,000		512,220		469,108
Defensive Market Strategies		21,686,756		22,746,944		606,898		425,000		142,110		64,788
Value Equity		15,809,176		16,149,884		441,188		1,250,000		191,188		—
Growth Equity		15,024,688		15,779,311		250,000		1,250,000		—		—
Small Cap Equity		3,594,583		3,587,235		340,000		650,000		—		—
International Equity		17,324,412		19,518,527		1,650,000		—		—		—

	$	293,204,675	$	305,576,982	$	26,583,848	$	21,439,307	$	2,457,176	$	699,605

Balanced Allocation
Money Market	$	27,644,304	$	23,489,350	$	24,517,460	$	28,672,414	$	1,349	$	—
Low-Duration Bond		158,119,436		164,186,593		4,132,360		—		1,480,280		152,080
Medium-Duration Bond		224,775,387		240,819,294		9,718,194		700,000		2,243,810		474,385
Extended-Duration Bond		91,687,129		97,199,361		4,377,787		4,120,000		1,549,824		225,963
Global Bond		52,881,287		56,407,210		2,339,664		—		1,639,664		—
Defensive Market Strategies		108,238,087		112,597,599		1,024,148		1,000,000		703,445		320,704
Value Equity		130,871,501		137,794,629		1,631,265		3,800,000		1,631,265		—
Growth Equity		126,729,193		133,373,260		—		7,850,000		—		—
Small Cap Equity		29,331,011		30,370,053		—		1,000,000		—		—
International Equity		146,063,033		151,832,044		4,050,000		2,000,000		—		—

	$	1,096,340,368	$	1,148,069,393	$	51,790,878	$	49,142,414	$	9,249,637	$	1,173,132

195


	Total Value at 12/31/11		Total Value at 06/30/12		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains
Growth Allocation
Money Market	$	19,900,650	$	13,832,923	$	20,756,461	$	26,824,189	$	862	$	—
Low-Duration Bond		56,051,733		57,421,618		2,082,887		1,400,000		528,401		54,487
Medium-Duration Bond		79,774,068		86,922,993		4,981,201		350,000		809,780		171,421
Extended-Duration Bond		31,171,733		32,393,317		2,606,271		3,200,000		529,449		76,823
Global Bond		18,983,314		19,743,396		582,264		250,000		582,264		—
Value Equity		173,231,995		180,732,428		2,139,579		6,600,000		2,139,579		—
Growth Equity		167,612,841		175,408,649		—		11,350,000		—		—
Small Cap Equity		39,738,385		41,489,286		—		1,000,000		—		—
International Equity		195,689,851		205,956,095		5,450,000		—		—		—

	$	782,154,570	$	813,900,705	$	38,598,663	$	50,974,189	$	4,590,335	$	302,731

Aggressive Allocation
Money Market	$	16,535,540	$	15,194,581	$	26,094,589	$	27,435,547	$	694	$	—
Value Equity		197,124,381		205,244,868		2,429,767		7,900,000		2,429,767		—
Growth Equity		192,888,334		199,284,990		—		15,750,000		—		—
Small Cap Equity		44,228,930		45,169,661		—		2,078,000		—		—
International Equity		225,653,215		234,254,827		3,250,000		—		—		—

	$	676,430,400	$	699,148,927	$	31,774,356	$	53,163,547	$	2,430,461	$	—

Conservative Allocation I
Money Market	$	859,133	$	1,097,170	$	5,753,166	$	5,515,129	$	139	$	—
Low-Duration Bond		43,559,455		45,645,750		2,952,350		1,121,000		702,944		65,406
Inflation Protected Bond		10,807,705		11,221,879		734,851		450,000		131,262		120,589
Defensive Market Strategies		5,515,960		5,796,932		282,891		232,000		42,367		16,524
Value Equity		4,017,696		4,109,272		270,238		417,000		106,238		—
Growth Equity		3,819,314		4,017,510		164,000		417,000		—		—
Small Cap Equity		911,766		913,473		107,000		182,500		—		—
International Equity		4,406,763		4,964,634		520,000		102,000		—		—

	$	73,897,792	$	77,766,620	$	10,784,496	$	8,436,629	$	982,950	$	202,519

Balanced Allocation I
Money Market	$	7,010,111	$	5,920,629	$	11,001,412	$	12,090,894	$	3,172	$	—
Low-Duration Bond		44,791,872		46,965,830		2,140,971		228,000		720,148		66,823
Medium-Duration Bond		63,623,363		68,907,373		4,472,549		456,000		1,344,838		263,711
Extended-Duration Bond		25,954,308		27,784,965		2,535,604		1,300,000		1,259,835		171,769
Global Bond		14,982,036		16,131,140		929,178		116,000		469,178		—
Defensive Market Strategies		30,655,348		32,227,670		803,555		493,000		235,647		91,908
Value Equity		37,077,070		39,391,098		1,602,843		1,346,000		1,018,843		—
Growth Equity		35,923,504		38,137,108		540,000		2,471,000		—		—
Small Cap Equity		8,320,866		8,682,628		148,000		369,000		—		—
International Equity		41,343,318		43,370,420		1,940,000		996,000		—		—

	$	309,681,796	$	327,518,861	$	26,114,112	$	19,865,894	$	5,051,661	$	594,211

196


	Total Value at 12/31/11		Total Value at 06/30/12		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains
Growth Allocation I
Money Market	$	3,847,733	$	3,205,733	$	8,774,538	$	9,416,538	$	1,917	$	—
Low-Duration Bond		14,239,026		14,455,680		800,798		668,000		223,991		20,807
Medium-Duration Bond		20,245,166		21,893,212		1,767,036		520,000		423,286		82,750
Extended-Duration Bond		7,916,608		8,150,766		978,996		932,000		377,254		50,742
Global Bond		4,821,627		4,969,420		205,611		168,000		145,611		—
Value Equity		44,000,680		45,473,566		1,663,573		2,647,000		1,171,558		—
Growth Equity		42,565,649		44,148,841		228,000		3,526,000		—		—
Small Cap Equity		10,088,993		10,438,801		138,000		500,000		—		—
International Equity		49,669,938		51,785,957		2,008,000		1,256,000		—		—

	$	197,395,420	$	204,521,976	$	16,564,552	$	19,633,538	$	2,343,617	$	154,299

Aggressive Allocation I
Money Market	$	2,463,786	$	2,093,313	$	6,246,491	$	6,616,964	$	1,180	$	—
Value Equity		37,889,295		39,464,957		1,307,042		1,840,000		1,018,932		—
Growth Equity		37,068,247		38,333,969		96,000		3,124,000		—		—
Small Cap Equity		8,495,806		8,686,684		150,000		548,000		—		—
International Equity		43,344,744		45,011,350		1,442,000		872,000		—		—

	$	129,261,878	$	133,590,273	$	9,241,533	$	13,000,964	$	1,020,112	$	—

4. SECURITIES LENDING

Through an agreement with The Northern Trust Company (“Northern Trust”) (the Funds’ custodian) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. The Select Funds receive cash or U.S. government securities as collateral against the loaned securities in an amount at least equal to the market value of the loaned securities. The Funds continue to own the loaned securities and the securities remain in the investment portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term money market fund of Northern Trust, an affiliate of the Funds, that invests in securities that satisfy the quality requirements of Rule 2a-7 and have short maturities. At June 30, 2012, the market values of loaned securities and collateral received were as follows:


Fund	Value of Securities Loaned		Value of Cash Collateral			Value of Non-cash Collateral		Total Value of Collateral
Low-Duration Bond	$	56,638,978	$	(63,148,921	)	$	—	$	(63,148,921	)
Medium-Duration Bond		58,243,587		(60,749,614	)		104,680		(60,644,934	)
Extended-Duration Bond		38,776,939		(29,153,001	)		—		(29,153,001	)
Global Bond		28,934,451		(34,312,294	)		23,538		(34,288,756	)
Defensive Market Strategies		57,465,697		(57,575,888	)		53,027		(57,522,861	)
Equity Index		18,278,281		(21,429,028	)		122,507		(21,306,521	)
Real Estate Securities		21,685,047		(27,574,565	)		—		(27,574,565	)
Value Equity		83,861,352		(83,958,936	)		—		(83,958,936	)
Growth Equity		136,274,158		(108,131,663	)		2,184,182		(105,947,481	)
Small Cap Equity		131,106,756		(140,541,498	)		1,247,442		(139,294,056	)
International Equity		134,841,485		(96,481,005	)		7,653,563		(88,827,442	)

197

5. 10% SHAREHOLDERS

The Date Target and Asset Allocation Funds do not invest in the underlying Select Funds for the purpose of exercising management or control; however, investments made by each Date Target and Asset Allocation Fund within each of its principal investment strategies may represent a significant portion of an underlying Select Fund’s net assets. At June 30, 2012, the Date Target and Asset Allocation Funds were the owner of record of the following approximate percentages of the total outstanding shares of the underlying Select Funds as detailed below:


Fund	Low- Duration Bond			Medium- Duration Bond			Extended- Duration Bond			Inflation Protected Bond			Global Bond		Defensive Market Strategies			Real Estate Securities			Value Equity			Growth Equity			Small Cap Equity			International Equity
MyDestination 2005		2.32	%		1.05	%		—			6.00	%		—		2.72	%		0.93	%		0.37	%		0.38	%		0.26	%		0.46	%
MyDestination 2015		3.10			3.33			2.08	%		21.73			6.92		17.45			9.74			2.30			2.29			1.69			2.87
MyDestination 2025		0.71			2.34			3.63			4.30			11.26		14.75			11.78			3.44			3.44			3.03			4.31
MyDestination 2035		—			0.33			0.66			—			5.55		—			6.21			2.63			2.65			2.67			3.40
MyDestination 2045		—			—			0.19			—			2.81		—			5.45			1.85			1.87			2.01			2.42
MyDestination 2055		—			—			—			—			0.12		—			0.25			0.08			0.08			0.08			0.10
Conservative Allocation		20.88			—			—			24.97			—		6.34			—			1.21			1.21			0.77			1.49
Balanced Allocation		19.13			20.73			16.76			—			30.16		31.38			—			10.31			10.20			6.49			11.55
Growth Allocation		6.69			7.48			5.59			—			10.56		—			—			13.53			13.42			8.86			15.67
Aggressive Allocation		—			—			—			—			—		—			—			15.36			15.25			9.65			17.82
Conservative Allocation I		8.22			—			—			6.36			—		1.61			—			0.62			0.49			0.29			0.49
Balanced Allocation I		8.46			11.66			13.06			—			8.62		8.97			—			5.95			4.62			2.79			4.31
Growth Allocation I		2.60			3.70			3.83			—			2.66		—			—			6.87			5.35			3.36			5.14
Aggressive Allocation I		—			—			—			—			—		—			—			5.96			4.64			2.79			4.47

6. INVESTMENT TRANSACTIONS

For the six months ended June 30, 2012, the cost of purchases and proceeds from sales and maturities for each Fund were as follows:


	Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations)				Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations
	Purchases		Sale and Maturity Proceeds		Purchases		Sale and Maturity Proceeds
MyDestination 2005	$	8,527,124	$	3,304,923	$	—	$	—
MyDestination 2015		34,692,500		4,972,000		—		—
MyDestination 2025		30,338,612		3,288,935		—		—
MyDestination 2035		19,991,693		1,155,000		—		—
MyDestination 2045		13,417,841		941,500		—		—
Conservative Allocation		8,897,580		5,215,000		—		—
Balanced Allocation		16,852,000		20,470,000		—		—
Growth Allocation		12,950,000		24,150,000		—		—
Aggressive Allocation		3,250,000		25,728,000		—		—
Conservative Allocation I		3,486,000		2,921,500		—		—
Balanced Allocation I		9,470,000		7,775,000		—		—
Growth Allocation I		5,294,000		10,217,000		—		—
Aggressive Allocation I		1,976,000		6,384,000		—		—
Low-Duration Bond		607,916,244		606,218,841		242,979,565		230,966,780
Medium-Duration Bond		2,478,560,045		2,578,707,918		255,109,447		245,991,796
Extended-Duration Bond		44,903,293		37,859,611		9,341,656		4,944,107
Inflation Protected Bond		—		—		111,608,548		99,265,437
Defensive Market Strategies		585,464,357		567,641,825		—		—
Equity Index		4,085,031		3,213,546		—		—
Real Estate Securities		89,428,694		82,282,876		—		—

198


	Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations)						Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations
	Purchases			Sale and Maturity Proceeds			Purchases		Sale and Maturity Proceeds
Value Equity	$	169,375,137	)	$	180,735,203	)	$	—	$	—
Growth Equity		329,195,054			371,591,489			—		—
Small Cap Equity		280,994,677			284,063,651			11,767,786		11,315,294
International Equity		466,969,882			434,896,567			—		—

Financial Futures Contracts

Investments as of June 30, 2012, included cash and securities that were valued and pledged as collateral to cover initial margin

deposits. The market value of the open futures contracts is as follows:


Fund/Future Type	Expiration Date		Open Long (Short) Contracts		Notional Market Value of Contracts		Counter- party		Net Unrealized Appreciation (Depreciation) on Futures
MyDestination 2005 Fund
MSCI EAFE Index E-Mini		09/2012		2	$	142,380		GSC	$	3,714
MSCI Emerging Markets E-Mini		09/2012		1		47,235		GSC		1,246
S&P 500^® E-Mini		09/2012		5		339,125		GSC		10,887
5-Year U.S. Treasury Note		09/2012		7		867,781		GSC		(297	)

					$	1,396,521			$	15,550

MyDestination 2015 Fund
10-Year U.S. Treasury Note		09/2012		13	$	1,733,875		GSC	$	156
MSCI EAFE Index E-Mini		09/2012		9		640,710		GSC		37,681
MSCI Emerging Markets E-Mini		09/2012		6		283,410		GSC		7,473
S&P 500^® E-Mini		09/2012		27		1,831,275		GSC		62,804

					$	4,489,270			$	108,114

MyDestination 2025 Fund
10-Year U.S. Treasury Note		09/2012		11	$	1,467,125		GSC	$	1,328
MSCI EAFE Index E-Mini		09/2012		15		1,067,850		GSC		43,859
MSCI Emerging Markets E-Mini		09/2012		8		377,880		GSC		6,573
S&P 500^® E-Mini		09/2012		39		2,645,175		GSC		71,513

					$	5,558,030			$	123,273

MyDestination 2035 Fund
10-Year U.S. Treasury Note		09/2012		3	$	400,125		GSC	$	1,781
MSCI EAFE Index E-Mini		09/2012		12		854,280		GSC		38,004
MSCI Emerging Markets E-Mini		09/2012		5		236,175		GSC		5,715
S&P 500^® E-Mini		09/2012		32		2,170,400		GSC		59,153

					$	3,660,980			$	104,653

MyDestination 2045 Fund
10-Year U.S. Treasury Note		09/2012		1	$	133,375		GSC	$	594
MSCI EAFE Index E-Mini		09/2012		7		498,330		GSC		23,268
MSCI Emerging Markets E-Mini		09/2012		4		188,940		GSC		4,982
S&P 500^® E-Mini		09/2012		19		1,288,675		GSC		32,770

					$	2,109,320			$	61,614

199


Fund/Future Type	Expiration Date		Open Long (Short) Contracts		Notional Market Value of Contracts		Counter- party		Net Unrealized Appreciation (Depreciation) on Futures
Conservative Allocation Fund
MSCI EAFE Index E-Mini		09/2012		5	$	355,950		GSC	$	21,193
MSCI Emerging Markets E-Mini		09/2012		2		94,470		GSC		2,491
S&P 500^® E-Mini		09/2012		10		678,200		GSC		22,306
2-Year U.S. Treasury Note		09/2012		13		2,862,438		GSC		(1,778	)

					$	3,991,058			$	44,212

Balanced Allocation Fund
10-Year U.S. Treasury Note		09/2012		12	$	1,600,500		GSC	$	7,125
Long U.S. Treasury Bond		09/2012		15		2,219,531		GSC		4,080
MSCI EAFE Index E-Mini		09/2012		45		3,203,550		GSC		190,735
MSCI Emerging Markets E-Mini		09/2012		23		1,086,405		GSC		28,647
S&P 500^® E-Mini		09/2012		122		8,274,040		GSC		283,170
5-Year U.S. Treasury Note		09/2012		42		5,206,688		GSC		5,250

					$	21,590,714			$	519,007

Growth Allocation Fund
10-Year U.S. Treasury Note		09/2012		4	$	533,500		GSC	$	2,375
Long U.S. Treasury Bond		09/2012		5		739,844		GSC		1,360
MSCI EAFE Index E-Mini		09/2012		41		2,918,790		GSC		173,781
MSCI Emerging Markets E-Mini		09/2012		19		897,465		GSC		23,665
S&P 500^® E-Mini		09/2012		105		7,121,100		GSC		243,712
5-Year U.S. Treasury Note		09/2012		12		1,487,625		GSC		1,500

					$	13,698,324			$	446,393

Aggressive Allocation Fund
MSCI EAFE Index E-Mini		09/2012		61	$	4,342,590		GSC	$	252,361
MSCI Emerging Markets E-Mini		09/2012		30		1,417,050		GSC		37,366
S&P 500^® E-Mini		09/2012		156		10,579,920		GSC		360,269

					$	16,339,560			$	649,996

Conservative Allocation Fund I
MSCI EAFE Index E-Mini		09/2012		1	$	71,190		GSC	$	4,239
S&P 500^® E-Mini		09/2012		3		203,460		GSC		6,561
2-Year U.S. Treasury Note		09/2012		3		660,562		GSC		(250	)

					$	935,212			$	10,550

Balanced Allocation Fund I
10-Year U.S. Treasury Note		09/2012		4	$	533,500		GSC	$	453
Long U.S. Treasury Bond		09/2012		4		591,875		GSC		1,088
MSCI EAFE Index E-Mini		09/2012		11		783,090		GSC		44,527
MSCI Emerging Markets E-Mini		09/2012		5		236,175		GSC		6,228
S&P 500^® E-Mini		09/2012		29		1,966,780		GSC		66,105
5-Year U.S. Treasury Note		09/2012		9		1,115,719		GSC		1,125

					$	5,227,139			$	119,526

200


Fund/Future Type	Expiration Date		Open Long (Short) Contracts			Notional Market Value of Contracts			Counter- party		Net Unrealized Appreciation (Depreciation) on Futures
Growth Allocation Fund I
10-Year U.S. Treasury Note		09/2012		1		$	133,375			GSC	$	594
Long U.S. Treasury Bond		09/2012		1			147,969			GSC		272
MSCI EAFE Index E-Mini		09/2012		11			783,090			GSC		46,624
MSCI Emerging Markets E-Mini		09/2012		4			188,940			GSC		4,982
S&P 500^® E-Mini		09/2012		24			1,627,680			GSC		46,388
5-Year U.S. Treasury Note		09/2012		3			371,906			GSC		383

						$	3,252,960				$	99,243

Aggressive Allocation Fund I
MSCI EAFE Index E-Mini		09/2012		8		$	569,520			GSC	$	33,909
MSCI Emerging Markets E-Mini		09/2012		4			188,940			GSC		4,982
S&P 500^® E-Mini		09/2012		21			1,424,220			GSC		48,742

						$	2,182,680				$	87,633

Low-Duration Bond Fund
Euro-Bund		09/2012		(1	)	$	(178,309	)		GSC	$	3,453
10-Year Japanese Bond		09/2012		(4	)		(7,190,342	)		GSC		(19,042	)
90-Day Euro		09/2012		2			497,600			CITI		119
10-Year U.S. Treasury Note		09/2012		(8	)		(1,067,000	)		CS		3,737
10-Year U.S. Treasury Note		09/2012		(9	)		(1,200,375	)		JPM		(952	)
2-Year U.S. Treasury Note		09/2012		321			70,680,188			UBS		(22,078	)
2-Year U.S. Treasury Note		09/2012		56			12,330,500			GSC		(7,106	)
2-Year U.S. Treasury Note		09/2012		55			12,110,312			CS		(10,403	)
5-Year U.S. Treasury Note		09/2012		(14	)		(1,735,562	)		JPM		(461	)
5-Year U.S. Treasury Note		09/2012		(29	)		(3,595,094	)		GSC		(5,717	)
5-Year U.S. Treasury Note		09/2012		(33	)		(4,090,969	)		UBS		(3,148	)
5-Year U.S. Treasury Note		09/2012		(55	)		(6,818,281	)		CITI		(6,427	)
5-Year U.S. Treasury Note		09/2012		(81	)		(10,041,469	)		CS		5,753
5-Year U.S. Treasury Note		09/2012		(101	)		(12,520,844	)		MLCS		(23,630	)
90-Day Euro		12/2012		1			248,738			CITI		60
90-Day Euro		06/2013		2			497,250			CITI		10,082
90-Day Euro		06/2013		2			497,250			CITI		44
90-Day Euro		09/2013		2			497,150			CITI		119
90-Day Euro		09/2013		3			746,062			CITI		142
90-Day Euro		12/2013		2			497,000			CITI		194
90-Day Euro		06/2014		(1	)		(248,312	)		CITI		(1,640	)
90-Day Euro		09/2014		(1	)		(248,175	)		CITI		(2,015	)
90-Day Euro		12/2014		1			247,962			CITI		647
90-Day Euro		12/2014					—			GSC		—
90-Day Euro		03/2015		1			247,762			CITI		847

						$	50,163,042				$	(77,422	)

201


Fund/Future Type	Expiration Date		Open Long (Short) Contracts			Notional Market Value of Contracts			Counter- party		Net Unrealized Appreciation (Depreciation) on Futures
Medium-Duration Bond Fund
10-Year U.S. Treasury Note		09/2012		124		$	16,538,500			CITI	$	1,876
10-Year U.S. Treasury Note		09/2012		(2	)		(266,750	)		GSC		(1,366	)
10-Year U.S. Treasury Note		09/2012		(35	)		(4,668,125	)		MLCS		(28,551	)
10-Year U.S. Treasury Note		09/2012		(40	)		(5,335,000	)		MSCS		(13,255	)
10-Year U.S. Treasury Note		09/2012		(134	)		(17,872,250	)		JPM		736
Long U.S. Treasury Bond		09/2012		59			8,730,156			CITI		(9,562	)
Long U.S. Treasury Bond		09/2012		(7	)		(1,035,781	)		GSC		10,040
Long U.S. Treasury Bond		09/2012		(9	)		(1,331,719	)		MSCS		5,877
Long U.S. Treasury Bond		09/2012		(12	)		(1,775,625	)		MLCS		11,055
Long U.S. Treasury Bond		09/2012		(32	)		(4,735,000	)		JPM		(21,760	)
Ultra Long U.S. Treasury Bond		09/2012		65			10,844,844			CITI		84,626
Ultra Long U.S. Treasury Bond		09/2012		(4	)		(667,375	)		GSC		9,987
2-Year U.S. Treasury Note		09/2012		(1	)		(220,187	)		CITI		159
2-Year U.S. Treasury Note		09/2012		(1	)		(220,188	)		MLCS		28
2-Year U.S. Treasury Note		09/2012		(1	)		(220,188	)		MSCS		28
5-Year U.S. Treasury Note		09/2012		123			15,248,156			CITI		(3,174	)
5-Year U.S. Treasury Note		09/2012		(1	)		(123,969	)		CITI		442
5-Year U.S. Treasury Note		09/2012		(2	)		(247,938	)		GSC		(491	)
5-Year U.S. Treasury Note		09/2012		(54	)		(6,694,312	)		BAR		(7,613	)
5-Year U.S. Treasury Note		09/2012		(91	)		(11,281,156	)		MSCS		(18,549	)
90-Day Euro		09/2013		75			18,651,563			GSC		7,181
90-Day Euro		03/2014		36			8,943,300			CITI		17,112
90-Day Euro		03/2014		(75	)		(18,631,875	)		GSC		(13,569	)
90-Day Euro		09/2014		71			17,620,425			CITI		73,679
90-Day Euro		03/2015		(36	)		(8,919,450	)		CITI		(41,121	)
90-Day Euro		09/2015		(71	)		(17,549,425	)		CITI		(129,402	)

						$	(5,219,369	)			$	(65,587	)

Inflation Protected Bond Fund
10-Year U.S. Treasury Note		09/2012		129		$	17,205,375			UBS	$	(21,586	)
Long U.S. Treasury Bond		09/2012		(45	)		(6,658,594	)		UBS		52,487
Ultra Long U.S. Treasury Bond		09/2012		(41	)		(6,840,594	)		UBS		104,116
2-Year U.S. Treasury Note		09/2012		7			1,541,313			UBS		(490	)
5-Year U.S. Treasury Note		09/2012		41			5,082,719			UBS		4,933

						$	10,330,219				$	139,460

Global Bond Fund
10-Year U.S. Treasury Note		09/2012		(14	)	$	(1,867,250	)		GSC	$	(5,342	)
10-Year U.S. Treasury Note		09/2012		(19	)		(2,534,125	)		BAR		(15,710	)
Long U.S. Treasury Bond		09/2012		3			443,906			BAR		2,146
Ultra Long U.S. Treasury Bond		09/2012		(10	)		(1,668,438	)		BAR		(26,822	)
5-Year U.S. Treasury Note		09/2012		(3	)		(371,906	)		BAR		(689	)
5-Year U.S. Treasury Note		09/2012		(6	)		(743,812	)		GSC		215

						$	(6,741,625	)			$	(46,202	)

Defensive Market Strategies Fund
S&P 500^® E-Mini		09/2012		162		$	10,986,840			GSC	$	344,378

202


Fund/Future Type	Expiration Date		Open Long (Short) Contracts			Notional Market Value of Contracts			Counter- party		Net Unrealized Appreciation (Depreciation) on Futures
Equity Index Fund
S&P 500^®		09/2012		14		$	4,747,400			GSC	$	228,866
S&P 500^® E-Mini		09/2012		127			8,613,140			GSC		259,117

						$	13,360,540				$	487,983

Real Estate Securities Fund
S&P 500^® MidCap 400		09/2012		77		$	7,234,150			GSC	$	176,270

Value Equity Fund
S&P 500^® E-Mini		09/2012		381		$	25,839,420			GSC	$	912,853

Growth Equity Fund
S&P 500^® E-Mini		09/2012		901		$	61,105,820			GSC	$	2,024,443

Small Cap Equity Fund
90-Day Euro		09/2012		(14	)	$	(3,483,200	)		GSC	$	(2,420	)
10-Year U.S. Treasury Note		09/2012		(82	)		(10,936,750	)		GSC		(49,306	)
Long U.S. Treasury Bond		09/2012		(4	)		(591,875	)		GSC		2,807
Ultra Long U.S. Treasury Bond		09/2012		(14	)		(2,335,812	)		GSC		(29,530	)
Russell 2000^® IMM-Mini		09/2012		733			58,302,820			GSC		2,398,255
2-Year U.S. Treasury Note		09/2012		(51	)		(11,229,563	)		GSC		1,475
5-Year U.S. Treasury Note		09/2012		20			2,479,375			GSC		(1,698	)
90-Day Euro		06/2013		(5	)		(1,243,125	)		GSC		(1,266	)
90-Day Euro		12/2014		(45	)		(11,158,312	)		GSC		(20,984	)

						$	19,803,558				$	2,297,333

International Equity Fund
AEX Index		07/2012		(21	)	$	(1,633,067	)		BAR	$	(85,203	)
CAC40 Index		07/2012		344			13,895,824			BAR		733,074
IBEX 35		07/2012		55			4,862,370			BAR		388,278
OMX 30 Index		07/2012		140			2,082,053			BAR		98,176
Hang Seng Index		07/2012		(27	)		(3,384,418	)		BAR		(78,398	)
MSCI Singapore Index		07/2012		11			576,767			BAR		13,195
TOPIX Index^®		09/2012		59			5,675,987			BAR		424,326
ASX SPI 200 Index		09/2012		(192	)		(19,931,230	)		BAR		191,589
S&P/TSE 60 Index		09/2012		250			31,550,181			GSC		871,722
S&P/TSE 60 Index		09/2012		(140	)		(18,189,962	)		BAR		(359,185	)
Canadian Dollar		09/2012		295			28,957,200			GSC		269,925
DAX Index		09/2012		25			5,071,106			BAR		232,283
FTSE MIB Index		09/2012		18			1,628,246			BAR		167,222
MSCI EAFE Index E-Mini		09/2012		574			40,863,060			GSC		2,361,493
MSCI Emerging Markets E-Mini		09/2012		300			14,170,500			GSC		369,809
FTSE 100 Index^®		09/2012		222			19,202,610			BAR		365,275
Swiss Market Index Future		09/2012		(127	)		(175,079	)		JPM		175,079

						$	125,222,148				$	6,138,660

Forward Foreign Currency Contracts

As of June 30, 2012, the following Funds have forward foreign currency exchange contracts that obligate them to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows.

203


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
Low-Duration Bond Fund
07/16/12	Euro		77,000	U.S. Dollars		100,282		RBC	$	(2,824	)
07/18/12	Norwegian Krone		10,732,000	U.S. Dollars		1,794,103		UBS		8,739
10/17/12	U.S. Dollars		1,787,819	Norwegian Krone		10,732,000		UBS		(8,862	)
02/01/13	Chinese Yuan Renminbi		2,090,196	U.S. Dollars		332,146		DEUT		(4,851	)
07/02/12	Euro		7,300,000	U.S. Dollars		9,110,401		HKSB		127,996
07/03/12	British Pounds		434,000	U.S. Dollars		677,257		UBS		2,444
07/03/12	U.S. Dollars		342,453	British Pounds		217,000		GSC		2,603
07/03/12	U.S. Dollars		342,149	British Pounds		217,000		HKSB		2,299
07/11/12	British Pounds		564,000	U.S. Dollars		883,698		HKSB		(416	)
07/11/12	U.S. Dollars		5,370,879	Euro		4,278,000		CITI		(43,474	)
07/11/12	U.S. Dollars		1,120,491	Norwegian Krone		6,809,000		RBS		(23,631	)
07/11/12	U.S. Dollars		871,910	British Pounds		564,000		HKSB		(11,372	)
07/12/12	South Korean Won		3,119,000	U.S. Dollars		2,699		BAR		21
07/12/12	U.S. Dollars		2,767	South Korean Won		3,119,000		UBS		46
07/16/12	Euro		386,000	U.S. Dollars		491,423		BAR		(2,871	)
07/16/12	Euro		76,000	U.S. Dollars		99,805		BAR		(3,613	)
07/16/12	Euro		45,000	U.S. Dollars		56,098		DEUT		858
07/16/12	U.S. Dollars		9,676,116	Euro		7,413,000		UBS		293,634
07/18/12	British Pounds		1,320,000	U.S. Dollars		2,126,674		RBS		(59,453	)
07/18/12	U.S. Dollars		6,679,158	British Pounds		4,185,500		GSC		124,345
07/18/12	U.S. Dollars		1,846,204	Norwegian Krone		10,732,000		RBS		43,362
07/19/12	Australian Dollars		2,887,000	U.S. Dollars		2,850,872		UBS		98,211
07/19/12	Australian Dollars		1,171,000	U.S. Dollars		1,158,002		DEUT		38,180
07/19/12	Australian Dollars		1,154,000	U.S. Dollars		1,148,501		JPM		30,315
07/19/12	Australian Dollars		1,005,000	U.S. Dollars		991,644		RBC		34,968
07/19/12	Australian Dollars		341,000	U.S. Dollars		337,573		MSCS		10,760
07/19/12	U.S. Dollars		9,807,910	Australian Dollars		10,078,000		WEST		(486,810	)
07/19/12	U.S. Dollars		121,550	Australian Dollars		121,000		CS		(2,052	)
07/25/12	Euro		1,025,000	U.S. Dollars		1,306,659		RBS		(9,241	)
07/25/12	U.S. Dollars		11,431,738	Euro		8,660,000		JPM		470,138
07/27/12	Norwegian Krone		1,195,000	U.S. Dollars		198,225		UBS		2,453
07/27/12	Norwegian Krone		1,195,000	U.S. Dollars		198,620		HKSB		2,058
07/27/12	Norwegian Krone		1,195,000	U.S. Dollars		199,030		BNP		1,649
07/30/12	Mexican Pesos		7,800,000	U.S. Dollars		572,813		RBS		10,079
07/30/12	U.S. Dollars		1,811,000	Chinese Yuan Renminbi		11,481,740		HSBC		7,107
07/30/12	U.S. Dollars		1,496,000	Chinese Yuan Renminbi		9,486,136		JPM		5,635
07/30/12	U.S. Dollars		1,196,000	Chinese Yuan Renminbi		7,582,640		UBS		4,693
08/02/12	U.S. Dollars		677,198	British Pounds		434,000		UBS		(2,453	)
08/02/12	U.S. Dollars		203,798	Brazilian Reals		398,465		BAR		6,861
08/03/12	Singapore Dollars		17,277	U.S. Dollars		13,841		UBS		(202	)
08/15/12	Mexican Pesos		1,168,232	U.S. Dollars		89,369		JPM		(2,208	)
09/20/12	U.S. Dollars		5,128,854	Canadian Dollars		5,272,000		UBS		(39,652	)
09/20/12	U.S. Dollars		122,769	Canadian Dollars		126,000		CS		(758	)
09/28/12	U.S. Dollars		2,686	South Korean Won		3,119,000		BAR		(21	)
10/17/12	Norwegian Krone		10,732,000	U.S. Dollars		1,772,383		CS		24,299
11/30/12	Taiwan Dollars		36,726,480	U.S. Dollars		1,246,233		BAR		(14,599	)
11/30/12	U.S. Dollars		580,000	Taiwan Dollars		17,278,200		UBS		570
11/30/12	U.S. Dollars		375,000	Taiwan Dollars		11,175,000		CITI		243
11/30/12	U.S. Dollars		270,000	Taiwan Dollars		8,051,400		UBS		(6	)
02/01/13	Chinese Yuan Renminbi		39,210,806	U.S. Dollars		6,220,482		UBS		(80,628	)
02/01/13	Chinese Yuan Renminbi		3,309,368	U.S. Dollars		522,229		DEUT		(4,030	)

204


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
02/01/13	Chinese Yuan Renminbi		2,490,150	U.S. Dollars		390,826		JPM	$	(904	)
02/01/13	Chinese Yuan Renminbi		1,254,600	U.S. Dollars		200,000		GSC		(3,548	)
02/01/13	Chinese Yuan Renminbi		319,176	U.S. Dollars		50,832		JPM		(854	)
09/13/13	U.S. Dollars		9,163,326	Euro		7,300,000		HKSB		(135,475	)

									$	409,758


Medium-Duration Bond Fund
08/08/12	U.S. Dollars		911,403	South African Rand		7,660,072		BAR	$	(19,816	)
09/19/12	Australian Dollars		57,000	U.S. Dollars		56,765		DEUT		1,126
09/19/12	Australian Dollars		57,000	U.S. Dollars		56,916		DEUT		976
09/19/12	Australian Dollars		53,919	U.S. Dollars		53,787		JPM		975
09/19/12	Australian Dollars		50,000	U.S. Dollars		50,037		JPM		745
09/19/12	Australian Dollars		46,000	New Zealand Dollars		58,678		MLCS		14
09/19/12	Australian Dollars		32,000	U.S. Dollars		31,584		DEUT		917
09/19/12	Australian Dollars		28,679	U.S. Dollars		28,507		MLCS		621
09/19/12	British Pounds		44,000	U.S. Dollars		68,823		DEUT		72
09/19/12	British Pounds		39,368	U.S. Dollars		61,706		BAR		(64	)
09/19/12	British Pounds		36,856	U.S. Dollars		57,243		DEUT		467
09/19/12	British Pounds		29,000	U.S. Dollars		45,011		BAR		398
09/19/12	British Pounds		18,666	U.S. Dollars		29,016		MLCS		211
09/19/12	Canadian Dollars		117,150	U.S. Dollars		115,000		RBS		(147	)
09/19/12	Canadian Dollars		58,314	U.S. Dollars		57,000		RBS		170
09/19/12	Canadian Dollars		47,113	U.S. Dollars		46,000		RBS		189
09/19/12	Euro		50,800	British Pounds		40,933		DEUT		247
09/19/12	Euro		49,177	U.S. Dollars		61,701		HKSB		584
09/19/12	Euro		47,702	U.S. Dollars		59,841		DEUT		575
09/19/12	Euro		46,778	U.S. Dollars		59,029		MLCS		216
09/19/12	Euro		46,000	U.S. Dollars		57,331		JPM		929
09/19/12	Japanese Yen		2,230,226	U.S. Dollars		28,086		MLCS		(154	)
09/19/12	New Zealand Dollars		290,000	Japanese Yen		18,184,305		SS		3,079
09/19/12	New Zealand Dollars		43,329	Australian Dollars		34,000		WEST		(43	)
09/19/12	Norwegian Krone		615,000	Swedish Kronor		724,458		DEUT		(1,349	)
09/19/12	Norwegian Krone		342,000	Swedish Kronor		401,761		BAR		(591	)
09/19/12	Swedish Kronor		1,218,847	Euro		136,268		HKSB		3,084
09/19/12	U.S. Dollars		2,259,797	Australian Dollars		2,277,000		WEST		(52,810	)
09/19/12	U.S. Dollars		332,285	Euro		265,382		SS		(3,830	)
09/19/12	U.S. Dollars		229,000	Japanese Yen		18,182,187		MLCS		1,275
09/19/12	U.S. Dollars		117,085	Australian Dollars		119,328		SS		(4,109	)
09/19/12	U.S. Dollars		114,055	Euro		90,000		CITIG		67
09/19/12	U.S. Dollars		114,000	Japanese Yen		9,171,072		RBS		(864	)
09/19/12	U.S. Dollars		99,020	British Pounds		63,859		RBS		(971	)
09/19/12	U.S. Dollars		67,012	Euro		52,772		MLCS		175
09/19/12	U.S. Dollars		61,399	British Pounds		39,368		BAR		(244	)
09/19/12	U.S. Dollars		60,051	British Pounds		38,628		MLCS		(433	)
09/19/12	U.S. Dollars		59,732	British Pounds		38,128		JPM		31
09/19/12	U.S. Dollars		59,729	Euro		47,702		CS		(687	)
09/19/12	U.S. Dollars		59,565	Canadian Dollars		61,255		DEUT		(489	)
09/19/12	U.S. Dollars		58,861	Euro		46,778		MLCS		(384	)
09/19/12	U.S. Dollars		57,789	Australian Dollars		57,232		DEUT		(338	)
09/19/12	U.S. Dollars		57,616	Euro		46,000		MLCS		(645	)
09/19/12	U.S. Dollars		57,584	Euro		46,000		MLCS		(676	)
09/19/12	U.S. Dollars		57,537	Euro		46,000		JPM		(724	)

205


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
09/19/12	U.S. Dollars		57,466	Euro		46,000		JPM	$	(795	)
09/19/12	U.S. Dollars		57,427	Euro		46,000		DEUT		(834	)
09/19/12	U.S. Dollars		57,308	Euro		46,000		DEUT		(953	)
09/19/12	U.S. Dollars		57,200	Euro		46,000		JPM		(1,060	)
09/19/12	U.S. Dollars		57,044	British Pounds		36,856		DEUT		(666	)
09/19/12	U.S. Dollars		57,000	Canadian Dollars		58,675		RBS		(524	)
09/19/12	U.S. Dollars		57,000	Canadian Dollars		58,834		UBS		(681	)
09/19/12	U.S. Dollars		56,860	Euro		45,000		MLCS		(134	)
09/19/12	U.S. Dollars		56,786	Euro		45,000		JPM		(208	)
09/19/12	U.S. Dollars		56,678	Australian Dollars		57,000		CS		(1,213	)
09/19/12	U.S. Dollars		56,652	Australian Dollars		57,000		DEUT		(1,240	)
09/19/12	U.S. Dollars		56,641	Australian Dollars		57,000		CS		(1,250	)
09/19/12	U.S. Dollars		56,572	Euro		45,000		CS		(422	)
09/19/12	U.S. Dollars		56,339	Australian Dollars		56,000		WEST		(536	)
09/19/12	U.S. Dollars		56,160	New Zealand Dollars		71,859		HKSB		(1,038	)
09/19/12	U.S. Dollars		54,271	Euro		42,639		MLCS		267
09/19/12	U.S. Dollars		53,664	Australian Dollars		53,919		UBS		(1,098	)
09/19/12	U.S. Dollars		53,405	Australian Dollars		53,919		MLCS		(1,357	)
09/19/12	U.S. Dollars		50,987	British Pounds		32,830		HKSB		(418	)
09/19/12	U.S. Dollars		50,547	Canadian Dollars		52,313		RBS		(740	)
09/19/12	U.S. Dollars		50,155	Australian Dollars		50,000		DEUT		(627	)
09/19/12	U.S. Dollars		45,521	Australian Dollars		46,000		JPM		(1,196	)
09/19/12	U.S. Dollars		44,966	British Pounds		29,000		BAR		(443	)
09/19/12	U.S. Dollars		33,153	Australian Dollars		33,632		HKSB		(1,005	)
09/19/12	U.S. Dollars		28,976	British Pounds		18,666		JPM		(251	)
09/19/12	U.S. Dollars		27,575	Australian Dollars		27,768		DEUT		(627	)
02/01/13	Chinese Yuan Renminbi		6,583,005	U.S. Dollars		1,048,750		CITI		(17,945	)
02/01/13	Chinese Yuan Renminbi		4,127,477	U.S. Dollars		655,884		DEUT		(9,580	)
08/15/13	Chinese Yuan Renminbi		1,000,000	U.S. Dollars		159,642		DEUT		(3,522	)
07/03/12	British Pounds		1,193,000	U.S. Dollars		1,861,677		UBS		6,719
07/03/12	U.S. Dollars		941,305	British Pounds		597,000		HKSB		6,324
07/03/12	U.S. Dollars		940,563	British Pounds		596,000		GSC		7,148
07/12/12	Indian Rupees		56,916,480	U.S. Dollars		1,224,537		JPM		(208,047	)
07/12/12	Indian Rupees		961,930	U.S. Dollars		16,861		HKSB		318
07/12/12	South Korean Won		14,660,600	U.S. Dollars		12,689		BAR		99
07/12/12	U.S. Dollars		290,000	Indian Rupees		15,819,500		HSBC		7,474
07/12/12	U.S. Dollars		290,000	Indian Rupees		15,819,500		UBS		7,474
07/12/12	U.S. Dollars		280,000	Indian Rupees		15,262,800		HSBC		7,417
07/12/12	U.S. Dollars		201,000	Indian Rupees		10,976,610		DEUT		4,965
07/12/12	U.S. Dollars		13,004	South Korean Won		14,660,600		UBS		216
07/16/12	Euro		506,000	U.S. Dollars		644,197		BAR		(3,763	)
07/16/12	Euro		153,000	U.S. Dollars		201,334		CS		(7,685	)
07/16/12	Euro		110,000	U.S. Dollars		136,278		DEUT		2,947
07/16/12	Euro		54,000	U.S. Dollars		67,317		DEUT		1,029
07/16/12	Malaysian Ringgits		8,484	U.S. Dollars		2,751		JPM		(82	)
07/16/12	U.S. Dollars		12,113,092	Euro		9,280,000		UBS		367,586
07/16/12	U.S. Dollars		82,026	Euro		66,000		BAR		(1,509	)
07/27/12	Mexican Pesos		806,978	U.S. Dollars		57,709		DEUT		2,615
07/27/12	Norwegian Krone		378,000	U.S. Dollars		62,702		UBS		776
07/27/12	Norwegian Krone		378,000	U.S. Dollars		62,957		BNP		521
07/27/12	Norwegian Krone		377,000	U.S. Dollars		62,661		HSBC		649
07/27/12	U.S. Dollars		885,361	Mexican Pesos		12,455,265		DEUT		(45,699	)

206


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
07/30/12	U.S. Dollars		3,313,000	Chinese Yuan Renminbi		21,004,420		HKSB	$	13,000
07/30/12	U.S. Dollars		2,736,000	Chinese Yuan Renminbi		17,348,976		JPM		10,306
07/30/12	U.S. Dollars		2,188,000	Chinese Yuan Renminbi		13,871,920		UBS		8,586
08/02/12	U.S. Dollars		1,861,515	British Pounds		1,193,000		UBS		(6,744	)
08/02/12	U.S. Dollars		959,891	Brazilian Reals		1,876,778		BAR		32,314
08/03/12	U.S. Dollars		5,104	Singapore Dollars		6,371		UBS		75
08/09/12	U.S. Dollars		10,133,836	Australian Dollars		10,142,000		DEUT		(204,968	)
08/15/12	Brazilian Reals		2,385,470	U.S. Dollars		1,196,324		JPM		(20,002	)
08/15/12	Brazilian Reals		799,160	U.S. Dollars		393,094		JPM		987
08/15/12	Mexican Pesos		74,599	U.S. Dollars		5,707		JPM		(141	)
08/16/12	Canadian Dollars		3,084,000	U.S. Dollars		3,086,546		CITIC		(60,736	)
08/16/12	U.S. Dollars		4,778,655	Euro		3,674,701		CITIC		126,231
08/16/12	U.S. Dollars		3,388,057	Euro		2,612,000		MLCS		81,085
08/16/12	U.S. Dollars		3,042,470	Canadian Dollars		3,084,000		CITIC		16,660
08/16/12	U.S. Dollars		1,083,153	Euro		824,514		UBS		39,262
09/10/12	U.S. Dollars		1,508,643	Japanese Yen		117,763,000		CITI		33,883
09/13/12	U.S. Dollars		11,171,726	Euro		8,900,000		HKSB		(99,701	)
09/19/12	British Pounds		35,520	U.S. Dollars		55,863		JPM		(245	)
09/19/12	Danish Kroner		682,557	Euro		92,000		DEUT		(71	)
09/19/12	Euro		54,000	U.S. Dollars		68,150		JPM		243
09/19/12	Euro		44,998	U.S. Dollars		56,637		JPM		355
09/19/12	Japanese Yen		4,495,789	U.S. Dollars		57,000		MLCS		(692	)
09/19/12	Swedish Kronor		411,392	Norwegian Krone		348,000		BAR		973
09/19/12	U.S. Dollars		243,540	Norwegian Krone		1,472,847		MLCS		(3,290	)
09/19/12	U.S. Dollars		114,000	Canadian Dollars		118,162		RBS		(1,845	)
09/19/12	U.S. Dollars		59,158	British Pounds		38,276		BAR		(776	)
09/19/12	U.S. Dollars		56,942	Euro		45,000		DEUT		(52	)
09/19/12	U.S. Dollars		56,635	Australian Dollars		58,000		MLCS		(2,272	)
09/19/12	U.S. Dollars		55,748	British Pounds		35,520		SS		130
09/20/12	U.S. Dollars		2,959,403	Canadian Dollars		3,042,000		UBS		(22,879	)
09/28/12	U.S. Dollars		12,626	South Korean Won		14,660,600		BAR		(98	)
10/03/12	U.S. Dollars		16,562	Indian Rupees		961,930		HKSB		(343	)
11/30/12	Taiwan Dollars		48,062,980	U.S. Dollars		1,630,912		BAR		(19,105	)
11/30/12	U.S. Dollars		754,000	Taiwan Dollars		22,461,660		UBS		741
11/30/12	U.S. Dollars		489,000	Taiwan Dollars		14,572,200		CITI		317
11/30/12	U.S. Dollars		352,000	Taiwan Dollars		10,496,640		UBS		(8	)
02/01/13	Chinese Yuan Renminbi		49,659,451	U.S. Dollars		7,878,076		UBS		(102,113	)
02/01/13	Chinese Yuan Renminbi		8,277,236	U.S. Dollars		1,299,103		JPM		(3,006	)
02/01/13	Chinese Yuan Renminbi		3,959,304	U.S. Dollars		624,792		DEUT		(4,821	)
08/05/13	Chinese Yuan Renminbi		3,364,650	U.S. Dollars		532,803		UBS		(7,424	)

									$	(161,013	)


Global Bond Fund
08/08/12	Malaysian Ringgits		2,640,000	U.S. Dollars		834,651		CITIC	$	(5,561	)
08/08/12	South Korean Won		590,596,400	U.S. Dollars		511,760		DEUT		2,436
08/08/12	U.S. Dollars		283,758	Brazilian Reals		565,190		JPM		4,712
08/16/12	Australian Dollars		745,608	U.S. Dollars		758,157		DEUT		1,397
08/16/12	Australian Dollars		630,000	U.S. Dollars		641,652		CS		131
08/16/12	Australian Dollars		587,221	U.S. Dollars		601,256		MSCS		(3,053	)
08/16/12	British Pounds		1,277,800	U.S. Dollars		2,066,875		SG		(65,898	)
08/16/12	British Pounds		1,051,619	U.S. Dollars		1,699,540		JPM		(52,753	)
08/16/12	Canadian Dollars		2,271,498	U.S. Dollars		2,293,145		JPM		(64,506	)

207


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
08/16/12	Canadian Dollars		1,570,000	U.S. Dollars		1,590,751		CS	$	(50,374	)
08/16/12	Canadian Dollars		940,000	U.S. Dollars		917,521		JPM		4,743
08/16/12	Canadian Dollars		191,315	U.S. Dollars		193,552		DEUT		(5,846	)
08/16/12	Euro		2,466,003	U.S. Dollars		3,250,032		CS		(127,903	)
08/16/12	Euro		1,320,000	U.S. Dollars		1,734,067		UBS		(62,856	)
08/16/12	Euro		1,000,000	U.S. Dollars		1,294,720		CS		(28,651	)
08/16/12	Euro		400,000	U.S. Dollars		515,217		CITIC		(8,789	)
08/16/12	Euro		200,000	U.S. Dollars		252,841		JPM		373
08/16/12	Japanese Yen		736,299,570	U.S. Dollars		9,198,283		GSC		19,336
08/16/12	Japanese Yen		193,977,460	U.S. Dollars		2,417,858		DEUT		10,516
08/16/12	Japanese Yen		87,020,000	U.S. Dollars		1,086,460		UBS		2,930
08/16/12	Japanese Yen		59,000,000	U.S. Dollars		734,758		CS		3,853
08/16/12	Mexican Pesos		12,880,000	U.S. Dollars		915,228		CITIC		45,644
08/16/12	Mexican Pesos		8,940,000	U.S. Dollars		615,236		CITIC		51,704
08/16/12	Mexican Pesos		4,650,275	U.S. Dollars		355,635		GSC		(8,716	)
08/16/12	Polish Zloty		346,297	U.S. Dollars		107,606		JPM		(4,296	)
08/16/12	South African Rand		988,065	U.S. Dollars		125,601		GSC		(5,633	)
08/16/12	U.S. Dollars		4,909,550	Japanese Yen		393,427,248		JPM		(15,705	)
08/16/12	U.S. Dollars		4,556,183	Euro		3,503,624		CITIC		120,354
08/16/12	U.S. Dollars		4,009,178	Euro		3,046,552		SG		152,033
08/16/12	U.S. Dollars		3,878,410	Euro		2,952,008		JPM		140,965
08/16/12	U.S. Dollars		2,560,315	Euro		1,947,319		GSC		94,876
08/16/12	U.S. Dollars		2,379,176	Euro		1,808,255		MSCS		89,800
08/16/12	U.S. Dollars		1,604,209	Japanese Yen		128,025,470		CITIC		1,478
08/16/12	U.S. Dollars		1,459,689	Euro		1,110,000		BAR		54,353
08/16/12	U.S. Dollars		1,344,952	Australian Dollars		1,324,802		JPM		(4,628	)
08/16/12	U.S. Dollars		1,050,507	British Pounds		650,000		CS		32,637
08/16/12	U.S. Dollars		935,847	British Pounds		580,000		BAR		27,594
08/16/12	U.S. Dollars		928,802	Canadian Dollars		930,000		JPM		16,349
08/16/12	U.S. Dollars		902,011	Mexican Pesos		12,450,000		CITIC		(26,782	)
08/16/12	U.S. Dollars		885,994	British Pounds		547,510		BAR		28,618
08/16/12	U.S. Dollars		744,614	Japanese Yen		59,645,180		SG		(2,075	)
08/16/12	U.S. Dollars		694,613	Mexican Pesos		9,420,000		CITIC		(8,136	)
08/16/12	U.S. Dollars		633,773	Australian Dollars		631,336		CITIC		(9,371	)
08/16/12	U.S. Dollars		406,315	Euro		309,451		RBS		14,529
08/16/12	U.S. Dollars		356,131	Mexican Pesos		4,659,275		DEUT		8,541
08/16/12	U.S. Dollars		323,226	British Pounds		200,000		GSC		10,035

									$	378,405


Defensive Market Strategies Fund
07/31/12	Japanese Yen		760,320	U.S. Dollars		9,542		CS	$	(25	)
07/31/12	U.S. Dollars		3,520,842	Euro		2,817,868		UBS		(46,137	)
07/31/12	U.S. Dollars		2,073,793	British Pounds		1,328,069		CS		(5,999	)
07/31/12	U.S. Dollars		389,462	Japanese Yen		30,942,720		CS		2,181
07/31/12	U.S. Dollars		27,710	Japanese Yen		2,196,540		CS		218

									$	(49,762	)


Small Cap Equity Fund
08/16/12	Canadian Dollars		409,000	U.S. Dollars		409,338		CITIG	$	(8,054	)
08/16/12	Japanese Yen		4,882,000	U.S. Dollars		61,173		CITIG		(56	)
08/16/12	U.S. Dollars		937,862	Euro		721,200		CITIG		24,774
08/16/12	U.S. Dollars		472,796	Euro		359,341		MSCS		17,845

208


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
08/16/12	U.S. Dollars		403,492	Canadian Dollars		409,000		CITIG	$	2,209
08/16/12	U.S. Dollars		60,990	Japanese Yen		4,882,084		GSC		(128	)

									$	36,590


International Equity Fund
09/19/12	Israeli Shekels		4,487,000	U.S. Dollars		1,155,146		RBS	$	(11,058	)
07/31/12	U.S. Dollars		8,981,739	Australian Dollars		8,775,000		RBS		28,549
09/19/12	Australian Dollars		4,721,000	U.S. Dollars		4,744,888		RBS		49,937
09/19/12	Australian Dollars		2,114,000	U.S. Dollars		2,074,877		RBS		72,181
09/19/12	Australian Dollars		1,588,000	U.S. Dollars		1,582,767		RBS		30,065
09/19/12	British Pounds		18,885,000	U.S. Dollars		29,207,951		RBS		362,383
09/19/12	British Pounds		1,506,000	U.S. Dollars		2,312,602		RBS		45,509
09/19/12	British Pounds		281,000	U.S. Dollars		434,271		RBS		5,722
09/19/12	Danish Kroner		8,734,000	U.S. Dollars		1,485,277		RBS		4,806
09/19/12	Danish Kroner		297,000	U.S. Dollars		50,080		RBS		590
09/19/12	Danish Kroner		183,000	U.S. Dollars		30,863		RBS		358
09/19/12	Danish Kroner		117,000	U.S. Dollars		19,894		RBS		67
09/19/12	Euro		4,991,000	U.S. Dollars		6,218,200		RBS		103,064
09/19/12	Euro		1,129,000	U.S. Dollars		1,413,009		RBS		16,906
09/19/12	Euro		167,000	U.S. Dollars		210,559		RBS		952
09/19/12	Hong Kong Dollars		2,625,000	U.S. Dollars		338,007		RBS		451
09/19/12	Hong Kong Dollars		442,000	U.S. Dollars		56,991		RBS		(1	)
09/19/12	Hong Kong Dollars		342,000	U.S. Dollars		44,102		RBS		(5	)
09/19/12	Hong Kong Dollars		256,000	U.S. Dollars		33,008		RBS		—
09/19/12	Hong Kong Dollars		18,000	U.S. Dollars		2,321		RBS		—
09/19/12	Israeli Shekels		242,000	U.S. Dollars		61,416		RBS		289
09/19/12	Israeli Shekels		58,000	U.S. Dollars		14,885		RBS		(97	)
09/19/12	Japanese Yen		351,144,000	U.S. Dollars		4,455,367		RBS		(57,419	)
09/19/12	Japanese Yen		73,023,000	U.S. Dollars		933,512		RBS		(18,926	)
09/19/12	New Zealand Dollars		6,059,000	U.S. Dollars		4,769,788		RBS		52,985
09/19/12	New Zealand Dollars		5,466,000	U.S. Dollars		4,308,974		RBS		41,790
09/19/12	New Zealand Dollars		2,565,000	U.S. Dollars		1,969,718		RBS		71,941
09/19/12	Norwegian Krone		219,560,000	U.S. Dollars		36,124,076		RBS		671,341
09/19/12	Norwegian Krone		1,354,000	U.S. Dollars		226,714		RBS		199
09/19/12	Singapore Dollars		651,000	U.S. Dollars		510,281		RBS		3,694
09/19/12	Singapore Dollars		53,000	U.S. Dollars		41,306		RBS		538
09/19/12	Singapore Dollars		38,000	U.S. Dollars		29,989		RBS		13
09/19/12	Singapore Dollars		28,000	U.S. Dollars		21,853		RBS		253
09/19/12	Singapore Dollars		21,000	U.S. Dollars		16,407		RBS		173
09/19/12	Swedish Kronor		242,348,000	U.S. Dollars		33,739,286		RBS		1,190,096
09/19/12	Swedish Kronor		19,798,000	U.S. Dollars		2,796,617		RBS		56,849
09/19/12	Swedish Kronor		1,185,000	U.S. Dollars		168,158		RBS		2,635
09/19/12	Switzerland Francs		1,564,000	U.S. Dollars		1,630,615		RBS		20,757
09/19/12	Switzerland Francs		1,564,000	U.S. Dollars		1,632,569		RBS		18,803
09/19/12	Switzerland Francs		1,365,000	U.S. Dollars		1,436,634		RBS		4,620
09/19/12	U.S. Dollars		40,299,836	Euro		32,200,000		RBS		(482,506	)
09/19/12	U.S. Dollars		31,302,236	Japanese Yen		2,473,838,000		RBS		318,338
09/19/12	U.S. Dollars		28,510,306	Switzerland Francs		27,355,000		RBS		(372,864	)
09/19/12	U.S. Dollars		16,034,549	Australian Dollars		16,419,000		RBS		(641,205	)
09/19/12	U.S. Dollars		6,447,281	Canadian Dollars		6,720,000		RBS		(140,939	)
09/19/12	U.S. Dollars		5,350,955	Australian Dollars		5,531,000		RBS		(266,540	)
09/19/12	U.S. Dollars		5,026,603	New Zealand Dollars		6,645,000		RBS		(262,607	)

209


Fund/Expiration Date	Currency Purchased	Amount of Currency Purchased		Currency Sold	Amount of Currency Sold		Counter- party		Net Unrealized Appreciation (Depreciation)
09/19/12	U.S. Dollars		4,984,891	Canadian Dollars		5,110,000		RBS	$	(24,902	)
09/19/12	U.S. Dollars		4,863,935	Euro		3,854,000		RBS		(17,281	)
09/19/12	U.S. Dollars		4,704,843	Euro		3,759,000		RBS		(56,052	)
09/19/12	U.S. Dollars		2,464,978	Norwegian Krone		14,851,000		RBS		(23,858	)
09/19/12	U.S. Dollars		2,248,162	Canadian Dollars		2,322,000		RBS		(28,303	)
09/19/12	U.S. Dollars		2,137,711	British Pounds		1,380,000		RBS		(23,108	)
09/19/12	U.S. Dollars		1,620,626	Danish Kroner		9,545,000		RBS		(7,820	)
09/19/12	U.S. Dollars		1,047,138	British Pounds		672,000		RBS		(5,087	)
09/19/12	U.S. Dollars		966,927	Swedish Kronor		6,977,000		RBS		(38,661	)
09/19/12	U.S. Dollars		541,947	Canadian Dollars		556,000		RBS		(3,149	)
09/19/12	U.S. Dollars		384,672	Australian Dollars		389,000		RBS		(10,411	)
09/19/12	U.S. Dollars		268,011	Japanese Yen		21,211,000		RBS		2,351
09/19/12	U.S. Dollars		154,541	Switzerland Francs		147,000		RBS		(671	)
09/19/12	U.S. Dollars		91,026	Hong Kong Dollars		706,000		RBS		(3	)
09/19/12	U.S. Dollars		53,646	Singapore Dollars		69,000		RBS		(830	)
09/19/12	U.S. Dollars		46,532	Japanese Yen		3,703,000		RBS		153
09/19/12	U.S. Dollars		44,124	Israeli Shekels		171,000		RBS		522
09/19/12	U.S. Dollars		24,611	Israeli Shekels		96,000		RBS		133
09/19/12	U.S. Dollars		4,552	Danish Kroner		27,000		RBS		(54	)

									$	685,656

Options Written

Transactions in options written during the six months ended June 30, 2012 were as follows:


Fund	Number of Contracts			Premiums Received			Notional Amount			Premiums Received			Total Premiums Received
Low-Duration Bond
Options written, 12/31/11		—		$	—		$	5,300,000		$	32,965		$	32,965

Options written		375			60,656			28,000,000			434,250			494,906
Options expired		—			—			—			—			—
Options closed		—			—			(5,300,000	)		(32,965	)		(32,965	)

Options written, 06/30/12		375		$	60,656		$	28,000,000		$	434,250		$	494,906


Medium-Duration Bond
Options written, 12/31/11		—		$	—		$	7,800,000		$	48,601		$	48,601

Options written		616			229,279			33,400,000			517,840			747,119
Options expired		(68	)		(27,404	)		—			—			(27,404	)
Options closed		(166	)		(104,492	)		(7,800,000	)		(48,601	)		(153,093	)

Options written, 06/30/12		382		$	97,384		$	33,400,000		$	517,840		$	615,223


Defensive Market Strategies
Options written, 12/31/11		168		$	4,032		$	—		$	—		$	4,032

Options written		849			115,410			—			—			115,410
Options expired		(212	)		(7,591	)		—			—			(7,591	)
Options closed		(805	)		(111,851	)		—			—			(111,851	)

Options written, 06/30/12		—		$	—		$	—		$	—		$	—

210


Fund	Number of Contracts			Premiums Received			Notional Amount		Premiums Received		Total Premiums Received
Small Cap Equity
Options written, 12/31/11		7		$	2,015		$	—	$	—	$	2,015

Options written		89			61,741			—		—		61,741
Options expired		(16	)		(5,323	)		—		—		(5,323	)
Options closed		(42	)		(30,214	)		—		—		(30,214	)

Options written, 06/30/12		38		$	28,219		$	—	$	—	$	28,219

7. CAPITAL SHARE TRANSACTIONS

Transactions in shares of capital stock were as follows:


	Six Months Ended 06/30/12				Year Ended 12/31/11
	GS2	GS4			GS2	GS4
MyDestination 2005
Shares sold			1,105,268				2,593,793
Shares reinvested			(1	)			116,996
Shares redeemed			(576,312	)			(1,716,136	)

Net increase			528,955				994,653

MyDestination 2015
Shares sold			3,938,793				5,730,134
Shares reinvested			1				497,753
Shares redeemed			(964,646	)			(3,226,397	)

Net increase			2,974,148				3,001,490

MyDestination 2025
Shares sold			4,027,707				6,560,758
Shares reinvested			—				466,906
Shares redeemed			(1,080,882	)			(1,915,678	)

Net increase			2,946,825				5,111,986

MyDestination 2035
Shares sold			2,393,968				3,815,906
Shares reinvested			—				270,804
Shares redeemed			(242,368	)			(889,088	)

Net increase			2,151,600				3,197,622

MyDestination 2045
Shares sold			1,666,286				3,205,647
Shares reinvested			—				342,765
Shares redeemed			(226,951	)			(1,142,646	)

Net increase			1,439,335				2,405,766

MyDestination 2055⁽¹⁾
Shares sold			440,625
Shares redeemed			(7,134	)

Net increase (decrease)			433,491

⁽¹⁾	Inception date was January 1, 2012

211


	Six Months Ended 06/30/12						Year Ended 12/31/11
	GS2			GS4			GS2			GS4
Conservative Allocation
Shares sold					1,611,264						4,736,842
Shares reinvested					—						774,598
Shares redeemed					(1,432,712	)					(2,522,493	)

Net increase					178,552						2,988,947

Balanced Allocation
Shares sold					2,357,974						4,925,459
Shares reinvested					(63	)					3,591,708
Shares redeemed					(3,023,342	)					(7,775,874	)

Net increase (decrease)					(665,431	)					741,293

Growth Allocation
Shares sold					1,370,223						2,685,458
Shares reinvested					—						2,175,136
Shares redeemed					(2,843,801	)					(5,925,560	)

Net decrease					(1,473,578	)					(1,064,966	)

Aggressive Allocation
Shares sold					994,222						2,783,580
Shares reinvested					—						1,630,524
Shares redeemed					(2,814,695	)					(5,718,840	)

Net decrease					(1,820,473	)					(1,304,736	)

Conservative Allocation I
Shares sold		556,692						1,923,738
Shares reinvested		—						206,197
Shares redeemed		(451,327	)					(1,832,819	)

Net increase		105,365						297,116

Balanced Allocation I
Shares sold		1,039,837						2,078,500
Shares reinvested		—						1,356,300
Shares redeemed		(1,028,324	)					(6,285,739	)

Net increase (decrease)		11,513						(2,850,939	)

Growth Allocation I
Shares sold		502,894						1,070,053
Shares reinvested		—						622,547
Shares redeemed		(1,082,289	)					(4,153,900	)

Net decrease		(579,395	)					(2,461,300	)

Aggressive Allocation I
Shares sold		262,568						669,885
Shares reinvested		—						247,967
Shares redeemed		(716,292	)					(2,692,430	)

Net decrease		(453,724	)					(1,774,578	)

212


	Six Months Ended 06/30/12						Year Ended 12/31/11
	GS2			GS4			GS2			GS4
Money Market
Shares sold		38,228,419			1,679,988,835			154,616,809			3,912,748,853
Shares reinvested		50,773			22,851			100,970			61,686
Shares redeemed		(44,715,547	)		(1,663,058,601	)		(157,730,463	)		(3,931,314,442	)

Net increase (decrease)		(6,436,355	)		16,953,085			(3,012,684	)		(18,503,903	)

Low-Duration Bond
Shares sold		712,853			2,681,587			1,843,874			5,924,041
Shares reinvested		247,243			490,197			453,647			831,464
Shares redeemed		(476,705	)		(761,505	)		(2,767,300	)		(3,520,556	)

Net increase (decrease)		483,391			2,410,279			(469,779	)		3,234,949

Medium-Duration Bond
Shares sold		1,809,785			2,740,448			2,860,917			4,602,896
Shares reinvested		763,703			542,779			2,063,646			1,463,559
Shares redeemed		(1,620,612	)		(823,120	)		(6,053,161	)		(5,830,313	)

Net increase (decrease)		952,876			2,460,107			(1,128,598	)		236,142

Extended-Duration Bond
Shares sold		985,786			1,924,929			1,402,230			3,436,087
Shares reinvested		624,556			368,642			2,118,633			1,472,133
Shares redeemed		(867,684	)		(1,773,370	)		(2,508,010	)		(6,281,134	)

Net increase (decrease)		742,658			520,201			1,012,853			(1,372,914	)

Inflation Protected Bond
Shares sold					2,254,737						6,870,551
Shares reinvested					339,544						571,192
Shares redeemed					(1,576,624	)					(3,163,833	)

Net increase					1,017,657						4,277,910

Global Bond
Shares sold					1,362,496						3,165,430
Shares reinvested					545,132						909,471
Shares redeemed					(600,745	)					(2,970,896	)

Net increase					1,306,883						1,104,005

Defensive Market Strategies ⁽¹⁾
Shares sold		228,294			2,972,109			7,926,676			23,725,418
Shares reinvested		74,964			241,474			37,096			98,014
Shares redeemed		(292,650	)		(294,712	)		(658,547	)		(240,539	)

Net increase		10,608			2,918,871			7,305,225			23,582,893

⁽¹⁾ Inception date was September 1, 2011.
Equity Index
Shares sold		333,445			999,057			317,917			1,368,781
Shares reinvested		123,560			112,002			1,795,569			2,092,530
Shares redeemed		(387,189	)		(761,139	)		(4,509,217	)		(11,137,054	)

Net increase (decrease)		69,816			349,920			(2,395,731	)		(7,675,743	)

213


	Six Months Ended 06/30/12						Year Ended 12/31/11
	GS2			GS4			GS2			GS4
Real Estate Securities
Shares sold					2,257,027						4,891,242
Shares reinvested					89,417						116,999
Shares redeemed					(1,540,141	)					(5,295,002	)

Net increase (decrease)					806,303						(286,761	)

Value Equity
Shares sold		661,193			1,492,890			2,589,631			5,616,574
Shares reinvested		745,335			731,791			826,519			741,275
Shares redeemed		(1,476,876	)		(2,386,082	)		(7,091,548	)		(13,316,054	)

Net decrease		(70,348	)		(161,401	)		(3,675,398	)		(6,958,205	)

Growth Equity
Shares sold		291,608			1,555,336			1,066,279			4,475,293
Shares redeemed		(962,155	)		(2,718,989	)		(3,506,557	)		(10,551,276	)

Net decrease		(670,547	)		(1,163,653	)		(2,440,278	)		(6,075,983	)

Small Cap Equity
Shares sold		180,275			1,008,571			570,932			3,248,230
Shares reinvested		—			—			30,315			27,656
Shares redeemed		(419,042	)		(1,593,778	)		(1,756,626	)		(6,727,792	)

Net decrease		(238,767	)		(585,207	)		(1,155,379	)		(3,451,906	)

International Equity
Shares sold		1,054,408			4,354,110			3,565,561			14,411,184
Shares reinvested		—			—			719,368			1,592,756
Shares redeemed		(620,864	)		(1,516,595	)		(3,823,440	)		(8,324,290	)

Net increase		433,544			2,837,515			461,489			7,679,650

8. BANK BORROWINGS

On October 28, 2011, the Board of Trustees approved the renewal of a credit agreement with Bank of America, N.A. dated December 2, 2011 through December 1, 2012. The agreement permits up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank Prime plus 0.60% or the Wall Street Journal LIBOR One Month Floating Rate plus 1.00%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.30% per annum.

No Funds borrowed for the period ended June 30, 2012, and there were no outstanding loans at June 30, 2012.

9. FEDERAL INCOME TAXES

Each Fund’s policy is to comply with all sections of the Internal Revenue Code of 1986, as amended, that apply to regulated investment companies and to distribute substantially all of its taxable income and capital gains to shareholders. No provision for income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.

The Funds may be subject to taxes imposed by countries in which they invest in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned. Dividend and interest income is recorded net of non-U.S. taxes paid. Gains realized by the Funds on the sale of securities in certain countries

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are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities. For the six months ended June 30, 2012, the International Equity Fund accrued non-U.S. taxes on unrealized gains of $44,882.

Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. However, management’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to new tax laws, regulations and administrative interpretations (including court decisions). Each of the Funds’ federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Funds. Income dividends and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, paydowns, losses deferred due to wash sales, straddles and investments in Passive Foreign Investment Companies (“PFIC’s”). Distributions during the year ended December 31, 2011, were characterized as follows for tax purposes:


Fund		Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distribution
MyDestination 2005	2011	$	1,118,885	$	—	$	—	$	1,118,885
	2010		1,382,009		—		—		1,382,009
MyDestination 2015	2011		4,639,060		—		—		4,639,060
	2010		5,104,591		—		—		5,104,591
MyDestination 2025	2011		4,085,427		—		—		4,085,427
	2010		3,787,639		—		—		3,787,639
MyDestination 2035	2011		1,557,736		641,898		—		2,199,634
	2010		1,312,038		—		—		1,312,038
MyDestination 2045	2011		778,529		1,902,435		—		2,680,964
	2010		774,737		86,307		—		861,044
Conservative Allocation	2011		4,849,965		4,252,565		—		9,102,530
	2010		6,148,217		1,177,999		—		7,326,216
Balanced Allocation	2011		24,215,019		18,074,022		—		42,289,041
	2010		30,794,116		—		—		30,794,116
Growth Allocation	2011		12,007,052		13,021,185		—		25,028,237
	2010		17,932,584		5,229,092		—		23,161,676
Aggressive Allocation	2011		7,015,783		10,439,039		—		17,454,822
	2010		7,735,097		6,394,992		—		14,130,089
Conservative Allocation I	2011		1,925,326		—		—		1,925,326
	2010		2,200,764		—		—		2,200,764
Balanced Allocation I	2011		12,643,249		—		—		12,643,249
	2010		15,332,084		—		—		15,332,084
Growth Allocation I	2011		5,922,267		—		—		5,922,267
	2010		6,706,135		—		—		6,706,135
Aggressive Allocation I	2011		2,389,446		—		—		2,389,446
	2010		2,510,802		—		—		2,510,802
Money Market	2011		251,150		—		—		251,150
	2010		408,875		—		—		408,875
Low-Duration Bond	2011		14,375,468		607,824		—		14,983,292
	2010		19,384,900		1,577,570		—		20,962,470

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Fund		Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distribution
Medium-Duration Bond	2011	$	35,664,491	$	—	$	—	$	35,664,491
	2010		56,868,924		6,383,322		—		63,252,246
Extended-Duration Bond	2011		22,914,621		15,984,265		—		38,898,886
	2010		26,346,080		3,455,445		—		29,801,525
Inflation Protected Bond	2011		5,135,441		1,036,828		—		6,172,269
	2010		4,258,151		498,839		—		4,756,990
Global Bond	2011		8,997,511		—		—		8,997,511
	2010		12,273,443		—		—		12,273,443
Defensive Market Strategies	2011		1,375,713		—		—		1,375,713
Equity Index	2011		6,801,014		34,862,054		—		41,663,068
	2010		6,944,528		—		—		6,944,528
Real Estate Securities	2011		1,079,417		—		—		1,079,417
	2010		2,634,670		—		—		2,634,670
Value Equity	2011		16,657,286		—		—		16,657,286
	2010		16,090,315		—		—		16,090,315
Growth Equity	2011		—		—		—		—
	2010		174,095		—		—		174,095
Small Cap Equity	2011		703,937		—		—		703,937
	2010		1,340,931		—		—		1,340,931
International Equity	2011		24,239,880		—		—		24,239,880
	2010		27,463,589		—		—		27,463,589

At December 31, 2011, the components of distributable earnings on a tax basis were as follows:


Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain/(Capital Loss Carryforward)			Late Year Loss Deferrals			Net Unrealized Appreciation (Depreciation) on Investments
MyDestination 2005	$	101,776	$	(3,901,075	)	$	(4,204	)	$	(643,039	)
MyDestination 2015		1,380,630		(14,160,461	)		—			5,398,440
MyDestination 2025		607,362		(2,461,097	)		(9,889	)		(821,681	)
MyDestination 2035		—		—			(19,797	)		(1,158,886	)
MyDestination 2045		—		134,417			(15,860	)		2,774,840
Conservative Allocation		—		247,642			(4,648	)		13,988,022
Balanced Allocation		50,914		2,939,626			—			26,588,163
Growth Allocation		45,039		1,322,301			—			(14,515,819	)
Aggressive Allocation		42,648		1,409,043			—			(42,399,775	)
Conservative Allocation I		710,653		(3,828,995	)		(1,003	)		(1,748,740	)
Balanced Allocation I		5,272,598		(20,642,924	)		(2,950,881	)		(28,420,598	)
Growth Allocation I		1,464,387		(7,718,852	)		(4,551,784	)		(29,838,522	)
Aggressive Allocation I		2,287,519		(9,405,198	)		(2,406,803	)		(31,644,360	)
Money Market		38		—			—			—
Low-Duration Bond		3,023,788		430,869			—			(13,774,385	)
Medium-Duration Bond		3,888,726		—			—			(7,598,920	)
Extended-Duration Bond		220,138		1,194,165			—			40,615,977
Inflation Protected Bond		1,768,527		36,045			—			10,317,132
Global Bond		1,370,849		(11,694,277	)		(970,419	)		7,295,544
Defensive Market Strategies		1,019,123		—			(2,201	)		5,133,141
Equity Index		73,937		619,636			—			26,725,150
Real Estate Securities		184,497		(18,541,454	)		—			14,695,433
Value Equity		7,684,176		(115,825,440	)		(2,706,046	)		(46,567,232	)
Growth Equity		—		—			(1,718,911	)		167,874,635
Small Cap Equity		65,981		(9,852,173	)		(3,110,962	)		31,652,862
International Equity		—		(111,653,443	)		(12,118,261	)		(113,641,905	)

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For Federal income tax purposes, realized capital losses may be carried forward and applied against future realized capital gains. Capital loss carryovers and their expiration dates, were as follows as of December 31, 2011:


Expiring December 31,	2016		2017		2018		Unlimited		Total
MyDestination 2005	$	—	$	2,332,745	$	1,568,330	$	—	$	3,901,075
MyDestination 2015		889,637		3,304,014		3,056,941		6,909,869		14,160,461
MyDestination 2025		—		1,284,239		—		1,176,858		2,461,097
Conservative Allocation I		574,891		2,885,574		368,530		—		3,828,995
Balanced Allocation I		4,262,186		5,929,663		3,461,879		6,989,196		20,642,924
Growth Allocation I		412,556		2,508,443		1,253,278		3,544,575		7,718,852
Aggressive Allocation I		3,489,043		902,289		2,119,350		2,894,516		9,405,198
Global Bond		—		9,635,041		—		2,059,236		11,694,277
Real Estate Securities		—		18,541,454		—		—		18,541,454
Value Equity		12,474,679		103,350,761		—		—		115,825,440
Small Cap Equity		—		9,852,173		—		—		9,852,173
International Equity		—		111,653,443		—		—		111,653,443

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carryforward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. Such losses are presented in the table above under the column heading “Unlimited.” However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term losses as under previous law.

At June 30, 2012, the aggregate cost of investment securities for federal income tax purposes (excluding foreign currency, securities sold short and derivative related items) and the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over value (based on cost for federal income tax purposes) were as follows:


Fund	Federal Tax Cost		Net Unrealized Appreciation (Depreciation)			Appreciated Securities		Depreciated Securities
MyDestination 2005	$	72,049,925	$	811,900		$	811,907	$	(7	)
MyDestination 2015		301,878,111		17,725,324			17,725,336		(12	)
MyDestination 2025		309,624,508		14,460,963			21,804,698		(7,343,735	)
MyDestination 2035		152,832,958		6,747,372			12,419,957		(5,672,585	)
MyDestination 2045		99,935,839		8,648,954			9,762,676		(1,113,722	)
MyDestination 2055		7,215,169		(2,647,786	)		—		(2,647,786	)
Conservative Allocation		284,866,189		20,710,793			20,710,875		(82	)
Balanced Allocation		1,077,196,366		70,873,027			91,940,307		(21,067,280	)
Growth Allocation		786,488,957		27,411,748			61,972,926		(34,561,178	)
Aggressive Allocation		701,567,047		(2,418,120	)		54,144,484		(56,562,604	)
Conservative Allocation I		78,461,994		(695,374	)		—		(695,374	)
Balanced Allocation I		343,211,705		(15,692,844	)		—		(15,692,844	)
Growth Allocation I		222,735,922		(18,213,946	)		—		(18,213,946	)
Aggressive Allocation I		156,361,525		(22,771,252	)		—		(22,771,252	)
Money Market		1,288,345,443		—			—		—
Low-Duration Bond		922,081,919		(1,682,844	)		9,143,368		(10,826,212	)
Medium-Duration Bond		1,212,771,070		12,906,012			31,167,858		(18,261,846	)
Extended-Duration Bond		405,833,889		58,199,816			63,200,715		(5,000,899	)

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Fund	Federal Tax Cost		Net Unrealized Appreciation (Depreciation)			Appreciated Securities		Depreciated Securities
Inflation Protected Bond	$	166,052,162	$	10,442,709		$	11,141,148	$	(698,439	)
Global Bond		216,228,132		7,533,817			11,201,541		(3,667,724	)
Defensive Market Strategies		379,404,088		13,370,218			17,353,626		(3,983,408	)
Equity Index		220,662,940		43,484,226			60,344,338		(16,860,112	)
Real Estate Securities		182,756,024		23,014,096			23,281,380		(267,284	)
Value Equity		1,191,170,059		17,660,468			115,490,074		(97,829,606	)
Growth Equity		1,049,197,628		241,744,358			270,698,687		(28,954,329	)
Small Cap Equity		537,556,200		34,410,839			52,272,790		(17,861,951	)
International Equity		1,444,948,266		(88,352,370	)		56,179,058		(144,531,428	)

The differences between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and investments in PFIC’s.

At December 31, 2011, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of PFICs, paydown losses, net operating losses, swaps, foreign currency transactions, distributions received from regulated investment companies, defaulted bonds, reclassifications of dividends paid and non-deductible expenses. The following amounts were reclassified within the capital accounts:


Fund	Paid in Capital			Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions
MyDestination 2005	$	(746	)	$	219,485		$	(218,739	)
MyDestination 2015		(149	)		669,804			(669,655	)
MyDestination 2025		—			326,670			(326,670	)
MyDestination 2035		(825	)		31,033			(30,208	)
MyDestination 2045		—			1,504			(1,504	)
Conservative Allocation		—			643,918			(643,918	)
Balanced Allocation		—			2,533,832			(2,533,832	)
Growth Allocation		—			875,345			(875,345	)
Aggressive Allocation		—			94			(94	)
Conservative Allocation I		—			209,688			(209,688	)
Balanced Allocation I		(37	)		1,466,233			(1,466,196	)
Growth Allocation I		—			460,458			(460,458	)
Aggressive Allocation I		—			19			(19	)
Money Market		—			(7,221	)		7,221
Low-Duration Bond		—			2,089,361			(2,089,361	)
Medium-Duration Bond		—			1,496,640			(1,496,640	)
Extended-Duration Bond		—			600,009			(600,009	)
Inflation Protected Bond		—			146,706			(146,706	)
Global Bond		—			60,396			(60,396	)
Defensive Market Strategies		—			180,315			(180,315	)
Equity Index		—			2,654			(2,654	)
Real Estate Securities		—			27			(27	)
Value Equity		—			214			(214	)
Growth Equity		(1,254,162	)		1,251,106			3,056
Small Cap Equity		—			82,768			(82,768	)
International Equity		(401,193	)		1,618,819			(1,217,626	)

Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications.

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10. MARKET AND CREDIT RISK

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (market risk) or due to the failure of the other party to a transaction to perform (credit and counterparty risks).

Market Risks — A Fund’s investments in derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, a Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund.

The market values of equities, such as common stocks and preferred stocks, or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. Market values may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.

A Fund’s investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Credit and Counterparty Risks — A Fund will be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

219

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. The investment advisers minimize counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the Counterparty Risk Committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

The Low-Duration Bond Fund, Medium-Duration Bond Fund and International Equity Fund are parties to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Funds is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s portfolio or Statements of Assets and Liabilities. Collateral posted to the Funds which can not be sold or repledged totaled $2,690,000, $3,340,020 and $210,000 in the Low-Duration Bond Fund, Medium-Duration Bond Fund and International Equity Fund, respectively, at June 30, 2012. Collateral can be in the form of cash, debt securities, equities or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty.

11. LEHMAN BROTHERS

On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code. On September 19, 2008, a proceeding under the Securities Investor Protection Act (SIPA) was commenced with respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed under SIPA is administering the bankruptcy estate of Lehman Brothers Inc. Lehman Brothers International (Europe) was placed in administration under the UK Insolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code on October 3, 2008. In connection with these filings, the Lehman Brothers group of companies (collectively “Lehman Brothers”) will be reorganized and/or liquidated in an orderly fashion, subject to court approval. Each Lehman Brothers entity is a separate legal entity that is subject to its own bankruptcy proceeding.

The Low-Duration Bond, Medium-Duration Bond, Global Bond and Small Cap Equity Funds had select holdings, credit default swap agreements, and securities and derivatives transactions outstanding with Lehman Brothers entities as issuer, referenced entity, counterparty or guarantor at the time the relevant Lehman Brothers entity filed for protection or was placed in administration. The security holdings, credit default swap agreements, and securities and derivatives transactions associated with Lehman Brothers have been written down to their estimated recoverable values. Anticipated losses for securities and derivatives transactions associated with Lehman Brothers have been incorporated as components of other receivables on the Statement of Assets and Liabilities and net changes in unrealized appreciation (depreciation) on the Statement of Operations. A facilitated auction occurred on October 10, 2008, comprising multiple pre-approved brokerage agencies to determine the estimated recovery rate for holdings and credit default swap agreements with Lehman Brothers Holdings Inc. as referenced entity. These recovery rates have been utilized in determining estimated recovery values. Claims against Lehman Brothers have been filed on behalf of GuideStone Funds in accordance with the filing requirements.

220

The Funds’ Sub-Advisers, on behalf of GSCM, have delivered notices of default to the relevant Lehman Brothers entities in accordance with the terms of the applicable agreements. For transactions with Lehman Brothers’ counterparties, the Sub-Advisers have terminated the trades, have obtained quotations from brokers for replacement trades and, where deemed appropriate, have re-opened positions with new counterparties.

In March 2012, notification regarding the plan of bankruptcy for certain Lehman bonds was received. On March 30, 2012, these bonds held in Low-Duration Bond, Medium-Duration Bond and Small Cap Equity Funds were converted to escrow bonds at a 1:1 ratio. There was no impact to the net assets of the Funds.

12. SUBSEQUENT EVENTS

Subsequent events have been evaluated through the date that the financial statements were available to be issued. All subsequent events determined to be relevant and material to the financial statements have been appropriately recorded or disclosed.

221

FUND MANAGEMENT (Unaudited)

Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling 1-888-98-GUIDE (1-888-984-8433).


Name, (DOB), Address and Position(s) with Trust	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Trusteeships/ Directorships Held by Trustee

DISINTERESTED TRUSTEES²
Michael R. Buster (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2005	Executive Pastor, Prestonwood Baptist Church, 1989 – present.	27	Ouachita Baptist University – Board of Trustees Member

Peter L. Chamberlain, Ph.D. (1951) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2008	Retired — Senior Financial Analyst, Summit Wealth Management, Inc., 2007 – 2010; President, B.R. Chamberlain & Sons, Inc., 1990 – 2006 Registered Investment Adviser.	27	First Baptist Church of Orlando — Board of Trustees Member and Strategy Team; Rollins College Board of Overseers/Corporate Council — Member; The B.R. Chamberlain Foundation for Public Entertainment — President

Carson L. Eddy (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2011	Partner in Charge (Orlando office), Carr, Riggs & Ingram, LLC, 2007 – present — Certified Public Accountants; President, Quantum Consulting Group LLC, 2000 – present; Managing Partner, Cuthill & Eddy LLC, 1993 – 2007 – Certified Public Accountants.	27	N/A

William Craig George (1958) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2004	Chief Credit Officer, CapStone Bank, 2011 – present; Executive Vice President/ Regional Credit Officer, SunTrust Bank, 1995 – 2011.	27	N/A

Grady R. Hazel (1947) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2011	G400 Field Representative, American Institute of Certified Public Accountants, 2012 – present; Executive Director, Society of Louisiana CPAs, 1995 – 2012.	27	Neighbors Federal Credit Union —Board of Directors Member and Chairman of Audit Committee; Stonetrust Commercial Insurance Company — Board of Directors Member and Member of Audit Committee

Joseph A. Mack (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2002	Retired — Director, Office of Public Policy, South Carolina Baptist Convention, 1999 – 2010.	27	N/A

Franklin R. Morgan (1943) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2005	Retired — Senior Vice President, Director of International Administration, Prudential Securities, Inc., January 1962 – May 2003.	27	N/A

William T. Patterson (1939) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2009	Managing Partner, Patterson Capital, LLC, October 2007 – present; Senior Vice President, Wachovia Securities LLC, July 2003 – January 2007; Senior Vice President, Prudential Financial Inc., October 2000 – July 2003.	27	Therizo Capital Management — Director and Chairman of Audit Committee

INTERESTED TRUSTEES²³

James W. Hixson (1931) 2401 Cedar Springs Road Dallas, TX 75201-1407 Trustee	Since 2010	Retired	27	GuideStone Financial Resources — Board of Trustees Member, June 2008 — present; GuideStone Advisors — Board of Directors Member, July 2008 — present; GuideStone Financial Services — Board of Directors Member, July 2008 — present

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FUND MANAGEMENT (Continued)


Name, (DOB), Address and Position(s) with Trust	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Trusteeships/ Directorships Held by Trustee

OFFICERS WHO ARE NOT TRUSTEES⁴

Ron W. Bass (1966) 2401 Cedar Springs Road Dallas, TX 75201-1407 Chief Compliance Officer and AML Officer.	Since 2009	Director of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, June 2009 – present; Manager of Broker/Dealer and RIA Compliance, GuideStone Financial Resources, 2008 – May 2009; Marketing Compliance Manager, GuideStone Financial Resources, 2005 – present; Compliance Specialist, GuideStone Financial Resources, 2004 –2005.	N/A	N/A

Jeffrey P. Billinger (1946) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Treasurer	Since 2000	Executive Officer and Treasurer, GuideStone Financial Resources, 1995 – present.	N/A	N/A

Rodric E. Cummins (1957) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President and Investment Officer	Since 2000	Executive Officer and Chief Investment Officer, GuideStone Financial Resources, 1998 – present.	N/A	N/A

John R. Jones (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 President	Since 2000	Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1995 – present.	N/A	N/A

Rodney R. Miller (1953) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President, Secretary and Chief Legal Officer	Since 2000	General Counsel, Legal and Compliance, GuideStone Financial Resources, 1995 – present.	N/A	N/A

Patricia A. Weiland (1959) 2401 Cedar Springs Road Dallas, TX 75201-1407 Vice President – Fund Operations and Sales	Since 2000	Executive Officer, Financial Solutions and Services, GuideStone Financial Resources, 2006 – present; Director, Mutual Funds, GuideStone Financial Resources, 2000 – 2006.	N/A	N/A

Each Independent Trustee serves until his or her resignation, removal or mandatory retirement. Each Interested Trustee serves until his or her resignation, removal or mandatory retirement or until he or she ceases to be a member of the board of trustees of GuideStone Financial Resources. All Trustees must retire after reaching the age of seventy-seven years or after achieving ten years of service, whichever occurs last. Officers serve at the pleasure of the Board of Trustees.

²	The Trust pays no compensation to the Trustees. The Trust reimburses the Trustees for any expenses incurred in attending meetings. The Trust does not compensate the officers for the services they provide to the Funds.

³	Mr. Hixson is an “interested person” of the Trust as the term is defined in the Investment Company Act of 1940, due to his position on the Board of Trustees of GuideStone Financial Resources.

⁴	The executive officers of the Trust may be deemed to be affiliates of the Adviser due to their positions with the Adviser and/or GuideStone Financial Resources.

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PROXY VOTING

A description of the policies and procedures that GuideStone Funds uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how GuideStone Funds voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-888-98-GUIDE (1-888-984-8433), by visiting our website at www.GuideStoneFunds.org or by visiting the SEC’s website at www.sec.gov.

FORM N-MFP

Beginning December 2009, the GuideStone Money Market Fund began filing Form N-MFP with the SEC. Form N-MFP is filed on a monthly basis by money market mutual funds and includes detailed information about a money market fund’s investments and the market-based price of its portfolio known as its “shadow NAV” or mark-to-market valuation. The portfolio holdings information is posted on our website, www.GuideStoneFunds.org within five business days after the end of the month. Form N-MFP is made available online with a 60-day delay at www.sec.gov.

QUARTERLY SCHEDULES OF INVESTMENTS

In addition to the semi-annual and annual reports that GuideStone Funds delivers to shareholders and makes available through its website, GuideStone Funds files a complete schedule of portfolio holdings with the SEC for each Fund’s first and third fiscal quarters on Form N-Q. GuideStone Funds does not deliver the schedule for the first and third fiscal quarters to shareholders, however the schedule is posted to our website, www.GuideStoneFunds.org. You may also obtain the Form N-Q filings by accessing the SEC’s website at www.sec.gov or copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at (800) 732-0330. You can also request copies of this information, upon payment of a fee for duplication, at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.

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BOARD REVIEW OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENT FOR MYDESTINATION 2055 FUND (Unaudited)

As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Trustees (the “Board”) of GuideStone Funds (the “Trust”), including all of the Trustees who are not “interested persons” of the Trust, as that term is defined within the meaning of Section 2(a)(19) of the 1940 Act (the “Independent Trustees”), considered the approval of the Advisory Agreement between GuideStone Capital Management (the “Adviser”) and the Trust on behalf of the MyDestination 2055 Fund (the “New Fund” or “2055 Fund”) (the “New Advisory Agreement”) and the approval of a sub-advisory agreement with The Clifton Group Investment Management Company (“Clifton”) for cash management services with respect to the cash overlay program (the “2055 Fund Sub-Advisory Agreement”). The Board approved the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement for a two-year term at an in-person meeting of the Board held on September 8-9, 2011. The New Fund commenced operations on January 1, 2012.

The Board’s decision to approve the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement reflects the exercise of its business judgment to enter into such agreements. In approving the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement, the Board considered information provided by the Adviser and Clifton to the New Fund with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.

The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement. The factors considered by the Board included, but were not limited to, the following: (i) the resources of the Adviser and Clifton; (ii) the experience and expertise of the Adviser and Clifton; (iii) the financial capability of the Adviser and Clifton; (iv) the compliance procedures and history of the Adviser and Clifton; (v) the amount of the contractual advisory and sub-advisory fees in comparison to similarly-managed funds and the Adviser’s and Clifton’s other clients and the effect of any fee waiver and expense reimbursement arrangement; (vi) the total expenses of the New Fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (vii) the anticipated profitability of the Adviser and Clifton with respect to the New Fund and its overall business; (viii) the extent of any anticipated economies of scale and whether the fee structure reflects such economies of scale; (ix) the existence of any collateral benefits to be realized by the Adviser and Clifton; and (x) the existence of any collateral benefits to be realized by the New Fund. No one factor was determinative in the Board’s consideration of the agreements.

The Board undertook a review of the terms of the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement and the nature and quality of the services to be provided by the Adviser and Clifton. The Adviser provided the Board with substantial information in the form of reports about the New Fund, the Adviser and Clifton prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about the Adviser and the sub-adviser in a presentation made during the meeting, discussed the screening process used to recommend Clifton and responded to questions from the Board. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Advisory Agreement and the 2055 Fund Sub-Advisory Agreement as well as the Board’s responsibilities and duties in approving each matter.

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT FOR MYDESTINATION 2055 FUND

In considering the approval of the New Advisory Agreement on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the discussions during the meeting, including the discussion the Independent Trustees had during their executive session with counsel to the Independent Trustees. More specifically, the Board examined the nature, extent and quality of the services to be provided by the Adviser to the New Fund. The Board evaluated the Adviser’s experience in serving as an investment adviser to the existing Date Target Funds. The Board noted the experience of key personnel in providing investment management and administrative services and the systems used by such persons and the Adviser’s ability to attract and retain capable personnel. The Board noted the reputation, compliance history, compliance program and financial condition of the Adviser. The Board noted the terms of the agreement and the responsibilities that the Adviser has as an investment adviser to the New Fund, including oversight of general fund compliance and compliance with social restrictions and the implementation of Board directives as they relate to the New

225

Fund. The Board also noted that, except for the identity of the New Fund and its management fee, the New Advisory Agreement is identical in all material respects to the other advisory agreements entered into by the Trust. The Board concluded that the New Fund is likely to benefit from the extent and quality of these services as a result of the Adviser’s experience, personnel, operations and resources.

Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the New Advisory Agreement.

In considering the approval of the 2055 Fund Sub-Advisory Agreement on behalf of the New Fund, the Board took into account all the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussion the Independent Trustees had during their executive session with their independent legal counsel. The Board considered its responsibilities with respect to reviewing and approving the terms of the 2055 Fund Sub-Advisory Agreement, the investment management process at Clifton, the reasonableness of the sub-advisory fees and whether the appointment of Clifton would benefit the New Fund. The Board reviewed the factors that it should consider in evaluating whether to approve the 2055 Fund Sub-Advisory Agreement and the materials provided to support each factor.

The Board considered the reputation, compliance history, compliance program and financial condition of Clifton. The Board also considered the experience of key personnel at the sub-adviser in providing investment management services to the New Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of Clifton to attract and retain capable personnel. The Board also noted the terms of the 2055 Fund Sub-Advisory Agreement and the responsibilities that the sub-adviser has to the New Fund. The Board noted the various dimensions that Clifton brought to the cash overlay program, namely the ability to use both U.S. Treasury futures and physical securities and the firm’s performance reporting capabilities. The Board noted that although Clifton’s fee schedule did not provide for any future breakpoints, the Adviser had been able to negotiate fees that were favorable to the Trust. The Board noted that the Sub-Advisory Agreement with Clifton would remain the same as the Trust’s other current contractual arrangements with Clifton. The Board considered the Adviser’s assessment of Clifton’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by Clifton, felt comfortable that Clifton was financially sound.

BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND

As required by the 1940 Act, the Board, including all the Independent Trustees, considered the approval of the following new sub-advisory agreements on behalf of the International Equity Fund: (i) Barrow, Hanley, Mewhinney & Strauss, LLC (“BHMS”) and (ii) AQR Capital Management, LLC (“AQR”). The Board approved the new sub-advisory agreement with BHMS for a two-year term at an in-person meeting of the Board held on February 24, 2012. The Board approved the new sub-advisory agreement with AQR for a two-year term at an in-person meeting of the Board held on May 22, 2012 (the sub-advisory agreements for BHMS and AQR are collectively referred to herein as the “New Sub-Advisory Agreements”).

The Board’s decision to approve the New Sub-Advisory Agreements reflects the exercise of its business judgment to enter into new or amended sub-advisory arrangements. In approving the New Sub-Advisory Agreements, the Board considered information provided by the Adviser and each of the aforementioned sub-advisers with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust.

With respect to the International Equity Fund, the Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the New Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to, the following: (i) the resources of BHMS and AQR; (ii) the experience and expertise of BHMS and AQR; (iii) the financial capability of BHMS and AQR; (iv) the compliance procedures and history of BHMS and AQR; (v) the performance of similarly-managed funds and accounts in comparison to relevant benchmarks for the International Equity Fund; (vi) the costs of the services to be provided by AQR or BHMS; (vii) the amount of the contractual sub-advisory fee in comparison to similarly-managed funds and any available information for BHMS and AQR’s other similarly situated clients; (viii) the total expenses of the International Equity Fund in comparison to similarly-managed funds and the use of any anticipated expense caps; (ix) to the extent available, the anticipated profitability of BHMS

226

and AQR with respect to the International Equity Fund and its overall business; (x) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (xi) the existence of any collateral benefits to be realized by BHMS and AQR; and (xii) the existence of any collateral benefits to be realized by the International Equity Fund. No one factor was determinative in the Board’s consideration of the New Sub-Advisory Agreements.

The Board undertook a review of the terms of the New Sub-Advisory Agreements, and the nature and quality of the services to be provided by BHMS and AQR. The Adviser provided the Board with detailed information in the form of reports about BHMS and AQR prior to the meeting which addressed most, if not all, of the factors listed previously. The Adviser also provided additional information about BHMS and AQR in a presentation made during the meeting, discussed the comprehensive screening process used to recommend BHMS and AQR and responded to questions from the Board.

The Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the New Sub-Advisory Agreements, including the Board’s responsibilities and duties in approving each matter.

BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR INTERNATIONAL EQUITY FUND

In considering the approval of the New Sub-Advisory Agreements for the International Equity Fund, the Board took into account the materials provided prior to and during the meeting, the presentations made during the meeting and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with counsel to the Independent Trustees. The Board considered its responsibilities with respect to reviewing and approving the terms of the New Sub-Advisory Agreements, the investment management teams at BHMS and AQR, the reasonableness of the sub-advisory fees and whether the appointment of each sub-adviser would be reasonable and fair to the shareholders of the International Equity Fund. The Board reviewed the factors that it should consider in evaluating whether to approve the New Sub-Advisory Agreements and the materials provided to support each factor.

The Board considered the reputation, compliance history, compliance program and financial condition of BHMS and AQR. The Board also considered the experience of key personnel at each sub-adviser in providing investment management services to the International Equity Fund, the systems and resources used by such persons to implement and manage the strategy and the ability of each sub-adviser to attract and retain capable personnel. The Board also noted the terms of the New Sub-Advisory Agreements and the responsibilities that each sub-adviser has to the International Equity Fund, including the responsibility of day-to-day management and compliance with the Fund’s policies and objective. The Board concluded that the International Equity Fund is likely to benefit from the extent and quality of the services with respect to each sub-adviser’s experience, personnel, operations and resources.

More specifically, the Board examined the nature, extent and quality of the services to be provided by BHMS on behalf of the International Equity Fund. The Board noted the experience of BHMS in providing investment management services to another Fund in the Trust complex. In particular, the Board noted the experience BHMS provides in managing a portion of another Fund within the Trust. The Board considered the core value-oriented strategy to be implemented by BHMS and noted that the strategy will complement other strategies currently utilized in the International Equity Fund and, as such, will enhance the Fund’s valueoriented exposure. While noting that past performance does not indicate future results, the Trustees noted that the proposed BHMS International Value Equity strategy had outperformed its benchmark index (MSCI EAFE Index), which is not a specific value-oriented index, over the one-, three- and five-year and since inception periods ended December 31, 2011. The Trustees noted that the investment performance of the BHMS International Value Equity strategy ranked in the second quartile among peers for the one-, three and five-year and since inception periods ended December 31, 2011.

The Board examined the proposed fees, noting that the proposed sub-advisory fees to be paid to BHMS had been negotiated and included relationship pricing. The Board received and considered information about the potential of BHMS to contribute economies of scale as the Fund grows in size. The Board noted that the Fund’s aggregate management fees would increase by approximately 0.01% (one basis point), based on current Fund assets, as a result of the appointment of BHMS. The Board also noted that the Fund, and not the Adviser, pays fees to BHMS directly. Therefore, the appointment of BHMS is not expected to affect the Adviser’s profitability.

227

The Board examined the nature, extent and quality of the services to be provided by AQR on behalf of the International Equity Fund. The Board noted the experience of key personnel at AQR in providing investment management services. In particular, the Board noted the experience AQR provides in managing a portion of other series within the Trust, including the International Equity Fund. While noting that past performance does not indicate future results, the Trustees noted that the proposed AQR Emerging Markets Equity Strategy had outperformed its benchmark index (MSCI EM Index), over the one-, two- and three-year and since inception periods ended March 31, 2012. The Board noted that the investment performance of the AQR Emerging Markets Equity Strategy ranked in the second quartile for the one-year period and in the first quartile for the two- and three-year and since inception periods ended March 31, 2012. The Board noted that although AQR had not yet managed the strategy for a registered investment company, the Adviser did not believe that the investment performance of the strategy would be adversely affected by restrictions that apply to registered investment companies. The Board noted that AQR’s Emerging Markets Equity Strategy would provide diversification benefits to the overall sub-adviser composite and, as such, will enhance the International Equity Fund’s emerging markets exposure. The Board noted that although AQR’s fee schedule did not provide for future breakpoints in the sub-advisory fee given the proposed allocation of assets to the Emerging Markets Equity Strategy, the Adviser had been able to negotiate fees that were favorable in comparison to AQR’s standard fee schedule. The Board considered that the aggregate management fee for the International Equity Fund would not increase, based on current fund assets, as a result of the appointment of AQR.

The Board noted the terms of the New Sub-Advisory Agreements and the responsibilities of each sub-adviser, including oversight of general fund compliance and compliance with the Trust’s social restrictions. The Board considered the Adviser’s assessment of each sub-adviser’s financial condition. The Board noted that the Adviser, after reviewing certain financial information provided by each sub-adviser, felt comfortable that each sub-adviser was financially sound.

Based on all the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the New Sub-Advisory Agreements.

228

INVESTMENT SUB-ADVISERS (Assets under management as of June 30, 2012) (Unaudited)

GuideStone Funds employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in its investment management process and business approach.


Fund	Sub-Adviser	Firm Established		Total Assets Managed
Money Market	BlackRock Advisors, LLC		1994	$	3.6Tr
Low-Duration Bond	BlackRock Financial Management, Inc.		1988	$	3.6Tr
	Payden & Rygel		1983	$	72.3B
	PIMCO (Pacific Investment Management Company LLC)		1971	$	1.8Tr
Medium-Duration Bond	Goldman Sachs Asset Management, L.P.		1984	$	716.1B
	PIMCO (Pacific Investment Management Company LLC)		1971	$	1.8Tr
	Western Asset Management Company		1971	$	346.1B
	Western Asset Management Company Limited		1971	$	40.2B
Extended-Duration Bond	Loomis, Sayles & Company, L.P.		1926	$	171.4B
	STW Fixed Income Management Ltd.		1977	$	11.7B
Inflation Protected Bond	BlackRock Financial Management, Inc.		1988	$	3.6Tr
Global Bond	Loomis, Sayles & Company, L.P.		1926	$	171.4B
	Western Asset Management Company		1971	$	346.1B
	Western Asset Management Company Limited		1971	$	40.2B
Defensive Market Strategies	American Century Investment Management, Inc.		1958	$	118.6B
	AQR Capital Management, LLC		1998	$	54.6B
	Shenkman Capital Management, Inc.		1985	$	20.3B
	Turner Investments, L.P.		1990	$	11.8B
Equity Index	Northern Trust Investments, Inc.		1889	$	704.3B
Real Estate Securities	RREEF America L.L.C.		1975	$	52.4B
Value Equity	Aronson Johnson Ortiz, LP		1984	$	20.3B
	Barrow, Hanley, Mewhinney & Straus, LLC		1979	$	65.2B
	Northern Trust Investments, Inc.		1889	$	704.3B
	TCW Investment Management Company		1971	$	127.3B
Growth Equity	Columbus Circle Investors		1975	$	14.8B
	Marsico Capital Management, LLC		1997	$	32.6B
	Rainier Investment Management, Inc.^®		1991	$	14.5B
	Sands Capital Management, LLC		1992	$	23.5B
Small Cap Equity	Aronson Johnson Ortiz, LP		1984	$	20.3B
	Columbus Circle Investors		1975	$	14.8B
	Lord, Abbett & Co. LLC		1929	$	117.4B
	TimesSquare Capital Management, LLC		2000	$	14.1B
	Western Asset Management Company		1971	$	346.1B
	Western Asset Management Company Limited		1971	$	40.2B
International Equity	AQR Capital Management, LLC		1998	$	54.6B
	Baillie Gifford Overseas Limited		1908	$	119.2B
	Barrow, Hanley, Mewhinney & Strauss		1979	$	65.2B
	Genesis Asset Managers, LLP		1989	$	31.0B
	McKinley Capital Management, LLC		1990	$	7.6B
	MFS Institutional Advisors, Inc.		1970	$	277.3B
	Mondrian Investment Partners Ltd.		1990	$	66.1B
	Philadelphia International Advisors, L.P.		1956	$	3.2B
	The Clifton Group Investment Management Company		1992	$	30.8B
Custodian for GuideStone Funds Assets	The Northern Trust Company		1889	$	4.6Tr
Cash Overlay for Date Target, Asset Allocation, Bond and Equity Funds	The Clifton Group Investment Management Company		1992	$	30.8B

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		2401 Cedar Springs Road, Dallas, TX 75201-1498 1-888-98-GUIDE • www.GuideStoneFunds.org		Funds distributed by Foreside Funds Distributors LLC 400 Berwyn Park, 899 Cassatt Road, Berwyn, PA 19312

				© 2012 GuideStone Funds 20176 6/12 2239

Item 2.

Code of Ethics.

Not applicable.

Item 3.

Audit Committee Financial Expert.

Not applicable.

Item 4.

Principal Accountant Fees and Services.

Not applicable.

Item 5.

Audit Committee of Listed registrants.

Not applicable.

Item 6.

Investments.

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

(b)	Not applicable.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders.

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

Item 11.

Controls and Procedures.

(a)

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

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12.

Exhibits.

(a)(1)

Not applicable.

(a)(2)

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)

Not applicable.

(b)

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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



(Registrant)		GuideStone Funds



By (Signature and Title)*		/s/ John R. Jones
		John R. Jones, President (principal executive officer)



Date		August 28, 2012

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/ John R. Jones
		John R. Jones, President (principal executive officer)



Date		August 28, 2012



By (Signature and Title)*		/s/ Jeffrey P. Billinger
		Jeffrey P. Billinger, Vice President and Treasurer (principal financial officer)



Date		August 28, 2012

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