N-CSRS 1 a07-32241_1ncsrs.htm N-CSRS

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

 811-21114

 

ProShares Trust

(Exact name of registrant as specified in charter)

 

7501 Wisconsin Avenue, Suite 1000
Bethesda, MD

 

20814

(Address of principal executive offices)

 

(Zip code)

 

ProShare Advisors LLC
7501 Wisconsin Avenue, Suite 1000
Bethesda, MD 20814

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(240) 497-6400

 

 

Date of fiscal year end:

May 31

 

 

Date of reporting period:

November 30, 2007

 

 


 

Item 1. Reports to Stockholders.

 

The following is a copy of the semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

 


Ultra ProShares

Ultra MarketCap

ULTRA ®
ULTRA Dow30SM
ULTRA S&P500®
ULTRA MidCap400
ULTRA SmallCap600
ULTRA Russell2000

Ultra Style

ULTRA Russell1000 Value
ULTRA Russell1000 Growth
ULTRA Russell MidCap Value
ULTRA Russell MidCap Growth
ULTRA Russell2000 Value
ULTRA Russell2000 Growth

Ultra Sector

ULTRA Basic Materials
ULTRA Consumer Goods
ULTRA Consumer Services
ULTRA Financials
ULTRA Health Care
ULTRA Industrials
ULTRA Oil & Gas
ULTRA Real Estate
ULTRA Semiconductors
ULTRA Technology
ULTRA Utilities

Short ProShares

Short/UltraShort MarketCap

SHORT ®
SHORT Dow30SM
SHORT S&P500®
SHORT MidCap400
SHORT SmallCap600
SHORT Russell2000
ULTRASHORT ®
ULTRASHORT Dow30SM
ULTRASHORT S&P500®
ULTRASHORT MidCap400
ULTRASHORT SmallCap600
ULTRASHORT Russell2000

UltraShort Style

ULTRASHORT Russell1000 Value
ULTRASHORT Russell1000 Growth
ULTRASHORT Russell MidCap Value
ULTRASHORT Russell MidCap Growth
ULTRASHORT Russell2000 Value
ULTRASHORT Russell2000 Growth

UltraShort Sector

ULTRASHORT Basic Materials
ULTRASHORT Consumer Goods
ULTRASHORT Consumer Services
ULTRASHORT Financials
ULTRASHORT Health Care
ULTRASHORT Industrials
ULTRASHORT Oil & Gas
ULTRASHORT Real Estate
ULTRASHORT Semiconductors
ULTRASHORT Technology
ULTRASHORT Utilities

Short/UltraShort International

SHORT MSCI EAFE
SHORT MSCI Emerging Markets
ULTRASHORT MSCI EAFE
ULTRASHORT MSCI Emerging Markets
ULTRASHORT FTSE/Xinhua China 25
ULTRASHORT MSCI Japan

Semiannual Report

ProShares Trust

NOVEMBER 30, 2007


Table of Contents

  1     Shareholder Letter  
  2     Allocation of Portfolio Holdings and Index Composition  
  31     Expense Examples  
  37     Premium and Discount Information  
Schedule of Portfolio Investments  
  56     ULTRA QQQ®  
  59     ULTRA Dow30SM  
  61     ULTRA S&P500®  
  69     ULTRA MidCap400  
  76     ULTRA SmallCap600  
  85     ULTRA Russell2000  
  88     ULTRA Russell1000 Value  
  91     ULTRA Russell1000 Growth  
  94     ULTRA Russell MidCap Value  
  97     ULTRA Russell MidCap Growth  
  100     ULTRA Russell2000 Value  
  103     ULTRA Russell2000 Growth  
  106     ULTRA Basic Materials  
  109     ULTRA Consumer Goods  
  113     ULTRA Consumer Services  
  118     ULTRA Financials  
  123     ULTRA Health Care  
  126     ULTRA Industrials  
  132     ULTRA Oil & Gas  
  135     ULTRA Real Estate  
  138     ULTRA Semiconductors  
  140     ULTRA Technology  
  144     ULTRA Utilities  
  147     SHORT QQQ®  
  149     SHORT Dow30SM  
  151     SHORT S&P500®  
  153     SHORT MidCap400  
  155     SHORT SmallCap600  
  156     SHORT Russell2000  
  157     ULTRASHORT QQQ®  
  159     ULTRASHORT Dow30SM  
  161     ULTRASHORT S&P500®  
  163     ULTRASHORT MidCap400  
  165     ULTRASHORT SmallCap600  
  166     ULTRASHORT Russell2000  
  168     ULTRASHORT Russell1000 Value  
  169     ULTRASHORT Russell1000 Growth  
  170     ULTRASHORT Russell MidCap Value  
  171     ULTRASHORT Russell MidCap Growth  
  172     ULTRASHORT Russell2000 Value  
  173     ULTRASHORT Russell2000 Growth  
  174     ULTRASHORT Basic Materials  
  175     ULTRASHORT Consumer Goods  
  176     ULTRASHORT Consumer Services  
  177     ULTRASHORT Financials  
  178     ULTRASHORT Health Care  
  179     ULTRASHORT Industrials  
  180     ULTRASHORT Oil & Gas  
  181     ULTRASHORT Real Estate  
  182     ULTRASHORT Semiconductors  
  183     ULTRASHORT Technology  
  184     ULTRASHORT Utilities  
  185     SHORT MSCI EAFE  
  186     SHORT MSCI Emerging Markets  
  187     ULTRASHORT MSCI EAFE  
  188     ULTRASHORT MSCI Emerging Markets  
  189     ULTRASHORT FTSE/Xinhua China 25  
  190     ULTRASHORT MSCI Japan  
  191     Statement of Assets and Liabilities  
  201     Statement of Operations  
  211     Statement of Changes in Net Assets  
  230     Financial Highlights  
  245     Notes to Financial Statements  
  262     Board Approval of Investment Advisory Agreement  
  264     Proxy Voting & Quarterly Portfolio Holdings Information  
  265     Change in Auditors  

 



Dear Shareholder,

At the beginning of this reporting period, ProShares had just completed the most successful first year of any ETF company, ever.(1) Since that time, the enthusiastic response to ProShares ETFs has continued.

In fact, ProShares' assets under management grew by more than 65% during the reporting period, fueled in part by the introduction of six Short International ProShares. They are the only ETFs built to go up when foreign markets go down, making it simple for investors to get short exposure to markets abroad. UltraShort FTSE/Xinhua China 25 ProShares (FXP) had a particularly strong debut, trading more than 525,000 shares on its first day.(2)

ProShares now manages over $11 billion across a broad lineup of 58 ETFs that provides short or magnified exposure to practically any segment of the market, including a range of market cap, style, sector and international indexes. In the upcoming months, we plan to launch more innovative products, including the first ETFs that provide short exposure to the fixed-income market.

I believe our rapid growth demonstrates that investors value the newfound simplicity ProShares bring to implementing sophisticated investment strategies. I hope that our ETFs have indeed made it simple for you to execute your strategies, and on behalf of everyone at ProShares, I thank you for your confidence and trust.

Sincerely,

Michael Sapir
Chairman

Carefully consider the investment objectives, risks, and charges and expenses of ProShares before investing. This and other information can be found in the prospectus. For a ProShares prospectus, please download it at www.proshares.com and seek advice from your financial adviser or broker. Financial professionals can call ProShares at 866-PRO-5125.

Investing involves risk, including possible loss of principal. ProShares ETFs entail certain risks, including aggressive investment technique, inverse correlation and market price variance risks, all of which can increase volatility and decrease performance. In addition, ProShares ETFs are not diversified investments, and narrowly focused investments typically exhibit higher volatility and may be more susceptible to single-issuer risk than a more diversified fund. International investments, including emerging markets, may be subject to currency fluctuations and economic or political instability. ProShares ETFs are distributed by SEI Investments Distribution Co., which is not affiliated with the advisor or any other affiliate.

(1) According to FRC, the total assets in ProShares ETFs after the first 12 months of operation were more than any other ETF provider's assets after its first 12 months of operation.

(2) Source: Bloomberg.


1


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited)

Ultra QQQ® (Ticker: QLD)

Ultra QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     88 %  
Swap Agreements     102 %  
Futures Contracts     10 %  
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Apple, Inc.     11.1 %  
Microsoft Corp.     5.4 %  
Google, Inc., Class A     4.9 %  
Qualcomm, Inc.     4.1 %  
Research In Motion Ltd.     3.2 %  

 

Nasdaq-100
Index – Composition

    % of
Index		  
Technology     44.0 %  
Communications     28.9 %  
Consumer, Non-Cyclical     14.5 %  
Consumer, Cyclical     8.2 %  
Industrial     3.9 %  
Basic Materials     0.3 %  
Energy     0.2 %  

 

Ultra Dow 30SM (Ticker: DDM)

Ultra Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     86 %  
Swap Agreements     103 %  
Futures Contracts     11 %  
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
International Business
Machines Corp.		     5.5 %  
Boeing Co.     4.9 %  
Exxon Mobil Corp.     4.7 %  
3M Co.     4.4 %  
Altria Group, Inc.     4.1 %  

 

Dow Jones U.S. Industrials Average
Index – Composition

    % of
Index		  
Industrial     25.4 %  
Consumer, Non-Cyclical     22.1 %  
Technology     13.2 %  
Financial     11.9 %  
Consumer, Cyclical     10.0 %  
Communications     7.0 %  
Energy     5.4 %  
Basic Materials     5.0 %  

 


2


Ultra S&P500® (Ticker: SSO)

Ultra S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     86 %  
Swap Agreements     103 %  
Futures Contracts     11 %  
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Exxon Mobil Corp.     3.3 %  
General Electric Co.     2.6 %  
Microsoft Corp.     1.8 %  
AT&T, Inc.     1.5 %  
Procter & Gamble Co.     1.5 %  

 

S&P 500
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     20.9 %  
Financial     18.4 %  
Energy     11.9 %  
Industrial     11.9 %  
Communications     11.4 %  
Technology     11.3 %  
Consumer, Cyclical     7.3 %  
Utilities     3.5 %  
Basic Materials     3.3 %  
Diversified     0.1 %  

 

Ultra MidCap400 (Ticker: MVV)

Ultra MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     88 %  
Swap Agreements     101 %  
Futures Contracts     11 %  
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Intuitive Surgical, Inc.     1.0 %  
Lyondell Chemical Co.     0.9 %  
Cameron International Corp.     0.8 %  
GameStop Corp., Class A     0.7 %  
Harris Corp.     0.7 %  

 

S&P MidCap400
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     19.5 %  
Industrial     16.2 %  
Financial     13.9 %  
Consumer, Cyclical     12.6 %  
Energy     9.9 %  
Technology     8.7 %  
Basic Materials     6.6 %  
Utilities     6.5 %  
Communications     6.1 %  

 


3


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Ultra SmallCap600 (Ticker:SAA)

Ultra SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     91 %  
Swap Agreements     108 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Shaw Group, Inc. (The)     0.9 %  
Flir Systems, Inc.     0.8 %  
Trimble Navigation Ltd.     0.8 %  
Idexx Laboratories, Inc.     0.6 %  
Helix Energy Solutions
Group, Inc.		     0.6 %  

 

S&P SmallCap600
Index – Composition

    % of
Index		  
Industrial     21.6 %  
Consumer, Non-Cyclical     18.3 %  
Financial     15.5 %  
Consumer, Cyclical     15.2 %  
Technology     10.0 %  
Energy     7.5 %  
Utilities     4.7 %  
Communications     4.2 %  
Basic Materials     3.0 %  

 

Ultra Russell2000 (Ticker: UWM)

Ultra Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     90 %  
Swap Agreements     100 %  
Futures Contracts     10 %  
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Hologic, Inc.     0.6 %  
CF Industries Holdings, Inc.     0.4 %  
Exterran Holdings, Inc.     0.3 %  
Flir Systems, Inc.     0.3 %  
Priceline.com, Inc.     0.3 %  

 

Russell 2000
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     21.8 %  
Financial     19.1 %  
Industrial     14.9 %  
Consumer, Cyclical     12.0 %  
Technology     9.4 %  
Communications     9.3 %  
Energy     5.9 %  
Basic Materials     4.4 %  
Utilities     3.0 %  
Diversified     0.2 %  

 


4


Ultra Russell1000 Value (Ticker: UVG)

Ultra Russell1000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 1000® Value Index. The Russell 1000 Value Index is a subset of the Russell 1000 Index.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     92 %  
Swap Agreements     107 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Exxon Mobil Corp.     5.2 %  
General Electric Co.     4.5 %  
AT&T, Inc.     3.1 %  
Bank of America Corp.     2.7 %  
Chevron Corp.     2.4 %  

 

Russell 1000Value
Index – Composition

    % of
Index		  
Financial     30.1 %  
Consumer, Non-Cyclical     15.3 %  
Energy     15.2 %  
Industrial     11.4 %  
Communications     10.5 %  
Utilities     6.4 %  
Consumer, Cyclical     4.8 %  
Basic Materials     4.2 %  
Technology     2.0 %  
Diversified     0.1 %  

 

Ultra Russell1000 Growth (Ticker: UKF)

Ultra Russell1000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 1000® Growth Index. The Russell 1000 Growth Index is a subset of the Russell 1000 Index.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     90 %  
Swap Agreements     109 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Microsoft Corp.     3.2 %  
Cisco Systems, Inc.     2.0 %  
Google, Inc., Class A     1.8 %  
Apple, Inc.     1.8 %  
Intel Corp.     1.8 %  

 

Russell 1000 Growth
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     25.4 %  
Technology     19.4 %  
Industrial     12.9 %  
Communications     11.7 %  
Consumer, Cyclical     10.7 %  
Energy     8.4 %  
Financial     7.2 %  
Basic Materials     3.0 %  
Utilities     1.3 %  

 


5


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Ultra Russell MidCap Value (Ticker: UVU)

Ultra Russell MidCap Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell MidCap® Value Index. The Russell MidCap Value Index measures the performance of the mid-capitalization value sector of the United States equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     90 %  
Swap Agreements     109 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Hess Corp.     1.0 %  
American Electric
Power Co., Inc.		     0.9 %  
Edison International     0.9 %  
Principal Financial Group, Inc.     0.8 %  
Sempra Energy     0.8 %  

 

Russell MidCap Value
Index – Composition

    % of
Index		  
Financial     28.1 %  
Utilities     13.5 %  
Industrial     11.7 %  
Consumer, Non-Cyclical     11.1 %  
Consumer, Cyclical     8.1 %  
Energy     7.8 %  
Communications     7.1 %  
Basic Materials     6.8 %  
Technology     5.4 %  
Diversified     0.4 %  

 

Ultra Russell MidCap Growth (Ticker: UKW)

Ultra Russell MidCap Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell MidCap® Growth Index. The Russell MidCap Growth Index measures the performance of the mid-capitalization growth sector of the United States equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     88 %  
Swap Agreements     111 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
National Oilwell Varco, Inc.     0.9 %  
Weatherford International Ltd.     0.8 %  
Allergan, Inc.     0.7 %  
Precision Castparts Corp.     0.7 %  
Yum! Brands, Inc.     0.7 %  

 

Russell MidCap Growth
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     18.8 %  
Industrial     16.6 %  
Technology     15.2 %  
Consumer, Cyclical     14.6 %  
Energy     11.8 %  
Financial     8.4 %  
Communications     7.7 %  
Basic Materials     3.8 %  
Utilities     3.1 %  

 


6


Ultra Russell2000 Value (Ticker: UVT)

Ultra Russell2000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Value Index. The Russell 2000 Value Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization value sector of the United States equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     93 %  
Swap Agreements     106 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Exterran Holdings, Inc.     0.7 %  
CF Industries Holdings, Inc.     0.7 %  
Realty Income Corp. (REIT)     0.4 %  
Aptargroup, Inc.     0.4 %  
Westar Energy, Inc.     0.4 %  

 

Russell 2000 Value
Index – Composition

    % of
Index		  
Financial     32.2 %  
Industrial     13.9 %  
Consumer, Non-Cyclical     12.9 %  
Consumer, Cyclical     10.6 %  
Communications     7.4 %  
Technology     6.1 %  
Basic Materials     5.9 %  
Utilities     5.8 %  
Energy     4.9 %  
Diversified     0.3 %  

 

Ultra Russell2000 Growth (Ticker: UKK)

Ultra Russell2000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Growth Index. The Russell 2000 Growth Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization growth sector of the United States equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     91 %  
Swap Agreements     108 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Hologic, Inc.     1.1 %  
Flir Systems, Inc.     0.6 %  
priceline.com, Inc.     0.6 %  
Chipotle Mexican Grill,
Inc., Class B		     0.5 %  
Equinix, Inc.     0.5 %  

 

Russell 2000 Growth
Index – Composition

    % of
Index		  
Consumer, Non-Cyclical     29.7 %  
Industrial     15.8 %  
Consumer, Cyclical     13.2 %  
Technology     12.3 %  
Communications     11.0 %  
Financial     7.7 %  
Energy     6.7 %  
Basic Materials     3.0 %  
Utilities     0.6 %  

 


7


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Ultra Basic Materials (Ticker: UYM)

Ultra Basic Materials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Basic Materials Index. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     83 %  
Swap Agreements     116 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Monsanto Co.     8.0 %  
EI Du Pont de Nemours & Co.     6.4 %  
Dow Chemical Co. (The)     6.1 %  
Freeport-McMoRan
Copper & Gold, Inc.		     5.6 %  
Alcoa, Inc.     4.8 %  

 

Dow Jones U.S. Basic Materials
Index – Composition

    % of
Index		  
Chemicals     55.9 %  
Industrial Metals     26.6 %  
Mining     11.0 %  
Forestry and Paper     6.5 %  

 

Ultra Consumer Goods (Ticker: UGE)

Ultra Consumer Goods ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Consumer Goods Index. The Dow Jones U.S. Consumer Goods Index measures the performance of consumer spending in the goods industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     90 %  
Swap Agreements     109 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Procter & Gamble Co.     14.6 %  
Altria Group, Inc.     10.3 %  
Coca-Cola Co. (The)     8.4 %  
PepsiCo, Inc.     7.9 %  
Kraft Foods, Inc.     3.5 %  

 

Dow Jones U.S. Consumer Goods
Index – Composition

    % of
Index		  
Beverages     23.4 %  
Household Goods     22.9 %  
Food Producers     16.5 %  
Tobacco     13.8 %  
Personal Goods     11.3 %  
Automobiles and Parts     6.9 %  
Leisure Goods     5.2 %  

 


8


Ultra Consumer Services (Ticker: UCC)

Ultra Consumer Services ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Consumer Services Index. The Dow Jones U.S. Consumer Services Index measures the performance of consumer spending in the services industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     85 %  
Swap Agreements     114 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Wal-Mart Stores, Inc.     6.1 %  
McDonald's Corp.     3.5 %  
Time Warner, Inc.     3.2 %  
Walt Disney Co. (The)     3.0 %  
CVS Caremark Corp.     3.0 %  

 

Dow Jones U.S. Consumer Services
Index – Composition

    % of
Index		  
General Retailers     38.6 %  
Media     29.3 %  
Travel and Leisure     18.8 %  
Food and Drug Retailers     13.3 %  

 

Ultra Financials (Ticker: UYG)

Ultra Financials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Financials Index. The Dow Jones U.S. Financials Index measures the performance of the financial services industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     85 %  
Swap Agreements     114 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Bank of America Corp.     6.3 %  
Citigroup, Inc.     5.1 %  
JPMorgan Chase & Co.     4.7 %  
American International
Group, Inc.		     4.0 %  
Wells Fargo & Co.     3.2 %  

 

Dow Jones U.S. Financials
Index – Composition

    % of
Index		  
Banks     39.1 %  
General Financial     26.8 %  
Nonlife Insurance     16.4 %  
Real Estate     11.0 %  
Life Insurance     6.7 %  

 


9


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Ultra Health Care (Ticker: RXL)

Ultra Health Care ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Health Care Index. The Dow Jones U.S. Health Care Index measures the performance of the healthcare industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     84 %  
Swap Agreements     115 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Johnson & Johnson     9.1 %  
Pfizer, Inc.     7.7 %  
Merck & Co., Inc.     6.0 %  
Abbott Laboratories     4.1 %  
UnitedHealth Group, Inc.     3.4 %  

 

Dow Jones U.S. Health Care
Index – Composition

    % of
Index		  
Pharmaceuticals and Biotech     63.2 %  
Health Care and Equipment
Services		     36.8 %  

 

Ultra Industrials (Ticker: UXI)

Ultra Industrials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Industrials Index. The Dow Jones U.S. Industrials Index measures the performance of the industrial industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     89 %  
Swap Agreements     111 %  
Futures Contracts     —    
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
General Electric Co.     16.8 %  
United Technologies Corp.     2.9 %  
Boeing Co.     2.8 %  
3M Co.     2.4 %  
United Parcel Service, Inc.,
Class B		     2.1 %  

 

Dow Jones U.S. Industrials
Index – Composition

    % of
Index		  
General Industrials     29.7 %  
Aerospace and Defense     17.3 %  
Support Services     12.4 %  
Industrial Engineering     11.9 %  
Industrial Transportation     11.0 %  
Electronic & Electrical
Equipment		     11.0 %  
Construction and Materials     6.7 %  

 


10


Ultra Oil & Gas (Ticker: DIG)

Ultra Oil & Gas ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Oil & Gas Index. The Dow Jones U.S. Oil & Gas Index measures the performance of the oil and gas industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     89 %  
Swap Agreements     110 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Exxon Mobil Corp.     26.8 %  
Chevron Corp.     10.1 %  
ConocoPhillips     6.6 %  
Schlumberger Ltd.     6.0 %  
Occidental Petroleum Corp.     3.2 %  

 

Dow Jones U.S. Oil & Gas
Index – Composition

    % of
Index		  
Oil and Gas Producers     75.2 %  
Oil Equipment, Services
and Distribution		     24.8 %  

 

Ultra Real Estate (Ticker: URE)

Ultra Real Estate ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index measures the performance of the real estate sector of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     85 %  
Swap Agreements     114 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Simon Property Group, Inc.     6.1 %  
Prologis     4.7 %  
Vornado Realty Trust     3.6 %  
Boston Properties, Inc.     3.3 %  
General Growth Properties, Inc.     3.0 %  

 

Dow Jones U.S. Real Estate
Index – Composition

    % of
Index		  
Real Estate     100 %  

 


11


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Ultra Semiconductors (Ticker: USD)

Ultra Semiconductors ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Semiconductors Index. The Dow Jones U.S. Semiconductors Index measures the performance of the semiconductor subsector of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     87 %  
Swap Agreements     112 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Intel Corp.     30.7 %  
Texas Instruments, Inc.     9.2 %  
Applied Materials, Inc.     5.3 %  
MEMC Electronic Materials, Inc.     3.5 %  
Nvidia Corp.     3.5 %  

 

Dow Jones U.S. Semiconductors
Index – Composition

    % of
Index		  
Semiconductors     100 %  

 

Ultra Technology (Ticker: ROM)

Ultra Technology ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Technology Index. The Dow Jones U.S. Technology Index measures the performance of the technology industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     90 %  
Swap Agreements     109 %  
Futures Contracts     —    
      199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Microsoft Corp.     11.2 %  
Cisco Systems, Inc.     6.8 %  
Google, Inc., Class A     6.3 %  
Apple, Inc.     6.3 %  
Intel Corp.     6.1 %  

 

Dow Jones U.S. Technology
Index – Composition

    % of
Index		  
Technology Hardware and
Equipment		     58.7 %  
Software and Computer
Services		     41.3 %  

 


12


Ultra Utilities (Ticker: UPW)

Ultra Utilities ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Utilities Index. The Dow Jones U.S. Utilities Index measures the performance of the utilities industry of the U.S. equity market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     85 %  
Swap Agreements     115 %  
Futures Contracts     —    
      200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of
Net Assets		  
Exelon Corp.     7.4 %  
Southern Co.     3.9 %  
Dominion Resources, Inc.     3.8 %  
FPL Group, Inc.     3.5 %  
Duke Energy Corp.     3.4 %  

 

Dow Jones U.S. Utilities
Index – Composition

    % of
Index		  
Electricity     74.2 %  
Gas, Water & Multi Utilities     25.8 %  

 

Short QQQ® (Ticker: PSQ)

Short QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.

Market Exposure

Investment Type   % of
Net Assets		  
Equity Securities     —    
Swap Agreements     -90 %  
Futures Contracts     -10 %  
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Nasdaq-100 Index – Composition

    % of
Index		  
Technology     44.0 %  
Communications     28.9 %  
Consumer, Non-Cyclical     14.5 %  
Consumer, Cyclical     8.2 %  
Industrial     3.9 %  
Basic Materials     0.3 %  
Energy     0.2 %  

 


13


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Short Dow30SM (Ticker: DOG)

Short Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip"U.S. stocks, excluding utility and transportation companies.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -91 %  
Futures Contracts     -9 %  
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones Industrial Average Index – Composition

    % of Index  
Industrial     25.4 %  
Consumer, Non-Cyclical     22.1 %  
Technology     13.2 %  
Financial     11.9 %  
Consumer, Cyclical     10.0 %  
Communications     7.0 %  
Energy     5.4 %  
Basic Materials     5.0 %  

 

Short S&P500® (Ticker: SH)

Short S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -91 %  
Futures Contracts     -9 %  
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P 500 Index – Composition

    % of Index  
Consumer, Non-Cyclical     20.9 %  
Financial     18.4 %  
Energy     11.9 %  
Industrial     11.9 %  
Communications     11.4 %  
Technology     11.3 %  
Consumer, Cyclical     7.3 %  
Utilities     3.5 %  
Basic Materials     3.3 %  
Diversified     0.1 %  

 


14


Short MidCap400 (Ticker: MYY)

Short MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -91 %  
Futures Contracts     -9 %  
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P MidCap400 Index – Composition

    % of Index  
Consumer, Non-Cyclical     19.5 %  
Industrial     16.2 %  
Financial     13.9 %  
Consumer, Cyclical     12.6 %  
Energy     9.9 %  
Technology     8.7 %  
Basic Materials     6.6 %  
Utilities     6.5 %  
Communications     6.1 %  

 

Short SmallCap600 (Ticker: SBB)

Short SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -100 %  
Futures Contracts     —    
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P SmallCap 600 Index – Composition

    % of Index  
Industrial     21.6 %  
Consumer, Non-Cyclical     18.3 %  
Financial     15.5 %  
Consumer, Cyclical     15.2 %  
Technology     10.0 %  
Energy     7.5 %  
Utilities     4.7 %  
Communications     4.2 %  
Basic Materials     3.0 %  

 


15


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Short Russell2000 (Ticker: RWM)

Short Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -90 %  
Futures Contracts     -10 %  
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 2000 Index – Composition

    % of Index  
Consumer, Non-Cyclical     21.8 %  
Financial     19.1 %  
Industrial     14.9 %  
Consumer, Cyclical     12.0 %  
Technology     9.4 %  
Communications     9.3 %  
Energy     5.9 %  
Basic Materials     4.4 %  
Utilities     3.0 %  
Diversified     0.2 %  

 

UltraShort QQQ® (Ticker: QID)

UltraShort QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -192 %  
Futures Contracts     -8 %  
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Nasdaq-100 Index – Composition

    % of Index  
Technology     44.0 %  
Communications     28.9 %  
Consumer, Non-Cyclical     14.5 %  
Consumer, Cyclical     8.2 %  
Industrial     3.9 %  
Basic Materials     0.3 %  
Energy     0.2 %  

 


16


UltraShort Dow30SM (Ticker: DXD)

UltraShort Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -192 %  
Futures Contracts     -8 %  
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones Industrial Average Index – Composition

    % of Index  
Industrial     25.4 %  
Consumer, Non-Cyclical     22.1 %  
Technology     13.2 %  
Financial     11.9 %  
Consumer, Cyclical     10.0 %  
Communications     7.0 %  
Energy     5.4 %  
Basic Materials     5.0 %  

 

UltraShort S&P500® (Ticker: SDS)

UltraShort S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -192 %  
Futures Contracts     -8 %  
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P 500 Index – Composition

    % of Index  
Consumer, Non-Cyclical     20.9 %  
Financial     18.4 %  
Energy     11.9 %  
Industrial     11.9 %  
Communications     11.4 %  
Technology     11.3 %  
Consumer, Cyclical     7.3 %  
Utilities     3.5 %  
Basic Materials     3.3 %  
Diversified     0.1 %  

 


17


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort MidCap400 (Ticker: MZZ)

UltraShort MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -192 %  
Futures Contracts     -8 %  
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P MidCap400 Index – Composition

    % of Index  
Consumer, Non-Cyclical     19.5 %  
Industrial     16.2 %  
Financial     13.9 %  
Consumer, Cyclical     12.6 %  
Energy     9.9 %  
Technology     8.7 %  
Basic Materials     6.6 %  
Utilities     6.5 %  
Communications     6.1 %  

 

UltraShort SmallCap600 (Ticker: SDD)

UltraShort SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

S&P SmallCap 600 Index – Composition

    % of Index  
Industrial     21.6 %  
Consumer, Non-Cyclical     18.3 %  
Financial     15.5 %  
Consumer, Cyclical     15.2 %  
Technology     10.0 %  
Energy     7.5 %  
Utilities     4.7 %  
Communications     4.2 %  
Basic Materials     3.0 %  

 


18


UltraShort Russell2000 (Ticker: TWM)

UltraShort Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -190 %  
Futures Contracts     -10 %  
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 2000 Index – Composition

    % of Index  
Consumer, Non-Cyclical     21.8 %  
Financial     19.1 %  
Industrial     14.9 %  
Consumer, Cyclical     12.0 %  
Technology     9.4 %  
Communications     9.3 %  
Energy     5.9 %  
Basic Materials     4.4 %  
Utilities     3.0 %  
Diversified     0.2 %  

 

UltraShort Russell1000 Value (Ticker: SJF)

UltraShort Russell1000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 1000® Value Index. The Russell 1000 Value Index is a subset of the Russell 1000 Index.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 1000 Value Index – Composition

    % of Index  
Financial     30.1 %  
Consumer, Non-Cyclical     15.3 %  
Energy     15.2 %  
Industrial     11.4 %  
Communications     10.5 %  
Utilities     6.4 %  
Consumer, Cyclical     4.8 %  
Basic Materials     4.2 %  
Technology     2.0 %  
Diversified     0.1 %  

 


19


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort Russell1000 Growth (Ticker: SKF)

UltraShort Russell1000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 1000® Growth Index. The Russell 1000 Growth Index is a subset of the Russell 1000 Index.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 1000 Growth Index – Composition

    % of Index  
Consumer, Non-Cyclical     25.4 %  
Technology     19.4 %  
Industrial     12.9 %  
Communications     11.7 %  
Consumer, Cyclical     10.7 %  
Energy     8.4 %  
Financial     7.2 %  
Basic Materials     3.0 %  
Utilities     1.3 %  

 

UltraShort Russell MidCap Value (Ticker: SJL)

UltraShort Russell MidCap Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell MidCap® Value Index. The Russell MidCap Value Index measures the performance of the mid-capitalization value sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell MidCap Value Index – Composition

    % of Index  
Financial     28.1 %  
Utilities     13.5 %  
Industrial     11.7 %  
Consumer, Non-Cyclical     11.1 %  
Consumer, Cyclical     8.1 %  
Energy     7.8 %  
Communications     7.1 %  
Basic Materials     6.8 %  
Technology     5.4 %  
Diversified     0.4 %  

 


20


UltraShort Russell MidCap Growth (Ticker: SDK)

UltraShort Russell MidCap Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell MidCap® Growth Index. The Russell MidCap Growth Index measures the performance of the mid-capitalization growth sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell MidCap Growth Index – Composition

    % of Index  
Consumer, Non-Cyclical     18.8 %  
Industrial     16.6 %  
Technology     15.2 %  
Consumer, Cyclical     14.6 %  
Energy     11.8 %  
Financial     8.4 %  
Communications     7.7 %  
Basic Materials     3.8 %  
Utilities     3.1 %  

 

UltraShort Russell2000 Value (Ticker: SJH)

UltraShort Russell2000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Value Index. The Russell 2000 Value Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization value sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 2000 Value Index – Composition

    % of Index  
Financial     32.2 %  
Industrial     13.9 %  
Consumer, Non-Cyclical     12.9 %  
Consumer, Cyclical     10.6 %  
Communications     7.4 %  
Technology     6.1 %  
Basic Materials     5.9 %  
Utilities     5.8 %  
Energy     4.9 %  
Diversified     0.3 %  

 


21


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort Russell2000 Growth (Ticker: SKK)

UltraShort Russell2000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Growth Index. The Russell 2000 Growth Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization growth sector of the United States equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Russell 2000 Growth Index – Composition

    % of Index  
Consumer, Non-Cyclical     29.7 %  
Industrial     15.8 %  
Consumer, Cyclical     13.2 %  
Technology     12.3 %  
Communications     11.0 %  
Financial     7.7 %  
Energy     6.7 %  
Basic Materials     3.0 %  
Utilities     0.6 %  

 

UltraShort Basic Materials (Ticker: SMN)

UltraShort Basic Materials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Basic Materials Index. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Basic Materials Index – Composition

    % of Index  
Chemicals     55.9 %  
Industrial Metals     26.6 %  
Mining     11.0 %  
Forestry and Paper     6.5 %  

 


22


UltraShort Consumer Goods (Ticker: SZK)

UltraShort Consumer Goods ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Consumer Goods Index. The Dow Jones U.S. Consumer Goods Index measures the performance of consumer spending in the goods industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -202 %  
Futures Contracts     —    
      -202 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Consumer Goods Index – Composition

    % of Index  
Beverages     23.4 %  
Household Goods     22.9 %  
Food Producers     16.5 %  
Tobacco     13.8 %  
Personal Goods     11.3 %  
Automobiles and Parts     6.9 %  
Leisure Goods     5.2 %  

 

UltraShort Consumer Services (Ticker: SCC)

UltraShort Consumer Services ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Consumer Services Index. The Dow Jones U.S. Consumer Services Index measures the performance of consumer spending in the services industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Consumer Services Index – Composition

    % of Index  
General Retailers     38.6 %  
Media     29.3 %  
Travel and Leisure     18.8 %  
Food and Drug Retailers     13.3 %  

 


23


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort Financials (Ticker: SKF)

UltraShort Financials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Financials Index. The Dow Jones U.S. Financials Index measures the performance of the financial services industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -203 %  
Futures Contracts     —    
      -203 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Financials Index – Composition

    % of Index  
Banks     39.1 %  
General Financial     26.8 %  
Nonlife Insurance     16.4 %  
Real Estate     11.0 %  
Life Insurance     6.7 %  

 

UltraShort Health Care (Ticker: RXD)

UltraShort Health Care ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Health Care Index. The Dow Jones U.S. Health Care Index measures the performance of the healthcare industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -200 %  
Futures Contracts     —    
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Health Care Index – Composition

    % of Index  
Pharmaceuticals and Biotech     63.2 %  
Health Care and Equipment Services     36.8 %  

 


24


UltraShort Industrials (Ticker: SIJ)

UltraShort Industrials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Industrials Index. The Dow Jones U.S. Industrials Index measures the performance of the industrial industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Industrials Index – Composition

    % of Index  
General Industrials     29.7 %  
Aerospace and Defense     17.3 %  
Support Services     12.4 %  
Industrial Engineering     11.9 %  
Industrial Transportation     11.0 %  
Electronic & Electrical Equipment     11.0 %  
Construction and Materials     6.7 %  

 

UltraShort Oil & Gas (Ticker: DUG)

UltraShort Oil & Gas ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Oil & Gas Index. The Dow Jones U.S. Oil & Gas Index measures the performance of the oil and gas industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -202 %  
Futures Contracts     —    
      -202 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Oil & Gas Index – Composition

    % of Index  
Oil and Gas Producers     75.2 %  
Oil Equipment, Services and Distribution     24.8 %  

 


25


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort Real Estate (Ticker: SRS)

UltraShort Real Estate ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index measures the performance of the real estate sector of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -202 %  
Futures Contracts     —    
      -202 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Real Estate Index – Composition

    % of Index  
Real Estate     100 %  

 

UltraShort Semiconductors (Ticker: SSG)

UltraShort Semiconductors ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Semiconductors Index. The Dow Jones U.S. Semiconductors Index measures the performance of the semiconductor subsector of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -200 %  
Futures Contracts     —    
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Semiconductors Index – Composition

    % of Index  
Semiconductors     100 %  

 


26


UltraShort Technology (Ticker: REW)

UltraShort Technology ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Technology Index. The Dow Jones U.S. Technology Index measures the performance of the technology industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Technology Index – Composition

    % of Index  
Technology Hardware and Equipment     58.7 %  
Software and Computer Services     41.3 %  

 

UltraShort Utilities (Ticker: SDP)

UltraShort Utilities ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Utilities Index. The Dow Jones U.S. Utilities Index measures the performance of the utilities industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -201 %  
Futures Contracts     —    
      -201 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

Dow Jones U.S. Utilities Index – Composition

    % of Index  
Electricity     74.2 %  
Gas, Water & Multi Utilities     25.8 %  

 


27


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

Short MSCI EAFE (Ticker: EFZ)

Short MSCI EAFE ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the MSCI EAFE Index. The MSCI EAFE Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in developed market countries, excluding the US and Canada.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -100 %  
Futures Contracts     —    
      -100 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

MSCI Emerging Markets Index – Composition

Industry Breakdown   % of Index  
Financial     27.11 %  
Consumer, Non-cyclical     15.65 %  
Industrial     11.96 %  
Consumer, Cyclical     10.52 %  
Communications     9.66 %  
Basic Materials     8.99 %  
Energy     7.53 %  
Utilities     5.78 %  
Technology     1.99 %  
Diversified     0.81 %  
Country Breakdown  
UK     22.43 %  
Japan     20.24 %  
France     10.64 %  
Germany     9.02 %  
Switzerland     6.79 %  
Australia     6.57 %  
All Other **     24.31 %  

 

** All other countries, none of which comprise more than 5.00% of the Index.

Short MSCI Emerging Markets (Ticker: EUM)

Short MSCI Emerging Markets ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in global emerging markets countries.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -101 %  
Futures Contracts     —    
      -101 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

MSCI Emerging Markets Index – Composition

Industry Breakdown   % of Index  
Financial     21.73 %  
Energy     17.06 %  
Communications     13.34 %  
Basic Materials     13.29 %  
Industrial     11.56 %  
Technology     6.91 %  
Consumer, Non-cyclical     5.18 %  
Consumer, Cyclical     5.18 %  
Utilities     3.29 %  
Diversified     2.46 %  
Country Breakdown  
CHINA     16.62 %  
KOREA     14.61 %  
BRAZIL     12.98 %  
TAIWAN     10.12 %  
RUSSIA     9.75 %  
INDIA     7.79 %  
SOUTH AFRICA     6.99 %  
All Other **     21.14 %  

 

** All other countries, none of which comprise more than 5.00% of the Index.


28


UltraShort MSCI EAFE (Ticker: EFU)

UltraShort MSCI EAFE ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI EAFE Index. The MSCI EAFE Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in developed market countries, excluding the US and Canada.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -200 %  
Futures Contracts     —    
      -200 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

MSCI EAFE Index – Composition

Industry Breakdown   % of Index  
Financial     27.11 %  
Consumer, Non-cyclical     15.65 %  
Industrial     11.96 %  
Consumer, Cyclical     10.52 %  
Communications     9.66 %  
Basic Materials     8.99 %  
Energy     7.53 %  
Utilities     5.78 %  
Technology     1.99 %  
Diversified     0.81 %  
Country Breakdown  
UK     22.43 %  
Japan     20.24 %  
France     10.64 %  
Germany     9.02 %  
Switzerland     6.79 %  
Australia     6.57 %  
All Other **     24.31 %  

 

** All other countries, none of which comprise more than 5.00% of the Index.

UltraShort MSCI Emerging Markets (Ticker: EEV)

UltraShort MSCI Emerging Markets ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in global emerging markets countries.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -202 %  
Futures Contracts     —    
      -202 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

MSCI Emerging Markets Index – Composition

Industry Breakdown   % of Index  
Financial     21.73 %  
Energy     17.06 %  
Communications     13.34 %  
Basic Materials     13.29 %  
Industrial     11.56 %  
Technology     6.91 %  
Consumer, Non-cyclical     5.18 %  
Consumer, Cyclical     5.18 %  
Utilities     3.29 %  
Diversified     2.46 %  
Country Breakdown  
CHINA     16.62 %  
KOREA     14.61 %  
BRAZIL     12.98 %  
TAIWAN     10.12 %  
RUSSIA     9.75 %  
INDIA     7.79 %  
SOUTH AFRICA     6.99 %  
All Other **     21.14 %  

 

** All other countries, none of which comprise more than 5.00% of the Index.


29


Allocation of Portfolio Holdings & Index Composition

November 30, 2007 (Unaudited) (continued)

UltraShort FTSE/Xinhua China 25 (Ticker: FXP)

UltraShort FTSE/Xinhua China 25 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the FTSE/Xinhua Chaina 25 Index. The FTSE/Xinhua China 25 Index is comprised of 25 of the largest and most liquid Chinese stacks listed on the Hong Kong Stock Exchange (HKEX). This free float adjusted index caps the weight of any of constituent stock at 10 percent to ensure broad representation of the Chinese economy.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -204 %  
Futures Contracts     —    
      -204 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

FTSE/Xinhua China 25 Index – Composition

Industry Breakdown   % of Index  
Financial     40.84 %  
Energy     24.19 %  
Communications     18.86 %  
Industrial     6.78 %  
Diversified     4.89 %  
Basic Materials     2.34 %  
Utilities     2.10 %  

 

UltraShort MSCI Japan (Ticker: EWV)

UltraShort MSCI Japan ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI Japan Index. The MSCI Japan Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in Japan.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -199 %  
Futures Contracts     —    
      -199 %  

 

"Market Exposure" excludes any short-term investments and cash equivalents.

MSCI Japan Index – Composition

Industry Breakdown   % of Index  
Consumer, Cyclical     26.29 %  
Industrial     21.68 %  
Financial     19.05 %  
Consumer, Non-cyclical     9.80 %  
Basic Materials     8.46 %  
Technology     4.80 %  
Utilities     4.43 %  
Communications     4.21 %  
Energy     1.28 %  

 


30



ProShares Trust
Expense Examples (Unaudited)

As a shareholder, you incur two types of costs: (1) transactions costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in exchange-traded funds.

Actual Expenses

The actual expense examples are based on an investment of $1,000 invested at the beginning of the six-month (or less if the Fund has been in operations for less than six months) period and held through the period ended, November 30, 2007.

The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of the six month period and held through the period ended, November 30, 2007. For Funds that have been in operation for less than six months, the "Hypothetical Expenses Paid During the Period" reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for each Fund was in effect during the period from June 1, 2007 to November 30, 2007.

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds 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 and do not reflect any transaction costs, such as creation or redemption fees, or brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra QQQ®  
Actual   $ 1,000.00     $ 1,115.70     $ 5.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Dow30SM  
Actual   $ 1,000.00     $ 939.80     $ 4.61       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra S&P500®  
Actual   $ 1,000.00     $ 906.80     $ 4.53       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 


31


ProShares Trust
Expense Examples (Unaudited)

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra MidCap400  
Actual   $ 1,000.00     $ 849.80     $ 4.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra SmallCap600  
Actual   $ 1,000.00     $ 785.40     $ 4.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell2000  
Actual   $ 1,000.00     $ 785.90     $ 4.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell1000 Value  
Actual   $ 1,000.00     $ 816.60     $ 4.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell1000 Growth  
Actual   $ 1,000.00     $ 996.80     $ 4.74       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell MidCap Value  
Actual   $ 1,000.00     $ 754.80     $ 4.17       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell MidCap Growth  
Actual   $ 1,000.00     $ 920.20     $ 4.56       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell2000 Value  
Actual   $ 1,000.00     $ 692.60     $ 4.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Russell2000 Growth  
Actual   $ 1,000.00     $ 888.00     $ 4.48       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Basic Materials  
Actual   $ 1,000.00     $ 1,062.90     $ 4.90       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Consumer Goods  
Actual   $ 1,000.00     $ 1,028.70     $ 4.82       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Consumer Services  
Actual   $ 1,000.00     $ 787.10     $ 4.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 


32


ProShares Trust
Expense Examples (Unaudited)

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra Financials  
Actual   $ 1,000.00     $ 655.10     $ 3.93       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Health Care  
Actual   $ 1,000.00     $ 989.20     $ 4.72       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Industrials  
Actual   $ 1,000.00     $ 952.30     $ 4.64       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Oil & Gas  
Actual   $ 1,000.00     $ 1,092.70     $ 4.97       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Real Estate  
Actual   $ 1,000.00     $ 645.30     $ 3.91       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Semiconductors  
Actual   $ 1,000.00     $ 938.40     $ 4.60       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Technology  
Actual   $ 1,000.00     $ 1,051.00     $ 4.87       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Utilities  
Actual   $ 1,000.00     $ 991.40     $ 4.73       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short QQQ®  
Actual   $ 1,000.00     $ 941.00     $ 4.61       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short Dow30SM  
Actual   $ 1,000.00     $ 1,037.30     $ 4.84       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short S&P500®  
Actual   $ 1,000.00     $ 1,051.50     $ 4.87       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short MidCap400  
Actual   $ 1,000.00     $ 1,087.60     $ 4.96       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 


33


ProShares Trust
Expense Examples (Unaudited)

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Short SmallCap600  
Actual   $ 1,000.00     $ 1,122.10     $ 5.04       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short Russell2000  
Actual   $ 1,000.00     $ 1,113.10     $ 5.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short QQQ®  
Actual   $ 1,000.00     $ 848.10     $ 4.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Dow30SM  
Actual   $ 1,000.00     $ 1,038.50     $ 4.84       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short S&P500®  
Actual   $ 1,000.00     $ 1,064.70     $ 4.70       0.91 %  
Hypothetical   $ 1,000.00     $ 1,020.45     $ 4.60       0.91 %  
Ultra Short MidCap400  
Actual   $ 1,000.00     $ 1,137.90     $ 5.08       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short SmallCap600  
Actual   $ 1,000.00     $ 1,204.30     $ 5.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell2000  
Actual   $ 1,000.00     $ 1,180.50     $ 5.18       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell1000 Value  
Actual   $ 1,000.00     $ 1,181.10     $ 5.18       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell1000 Growth  
Actual   $ 1,000.00     $ 978.40     $ 4.70       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell MidCap Value  
Actual   $ 1,000.00     $ 1,278.00     $ 5.41       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell MidCap Growth  
Actual   $ 1,000.00     $ 1,047.10     $ 4.86       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 


34


ProShares Trust
Expense Examples (Unaudited)

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra Short Russell2000 Value  
Actual   $ 1,000.00     $ 1,336.60     $ 5.55       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Russell2000 Growth  
Actual   $ 1,000.00     $ 1,061.20     $ 4.90       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Basic Materials  
Actual   $ 1,000.00     $ 849.90     $ 4.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Consumer Goods  
Actual   $ 1,000.00     $ 970.50     $ 4.68       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Consumer Services  
Actual   $ 1,000.00     $ 1,235.80     $ 5.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Financials  
Actual   $ 1,000.00     $ 1,367.90     $ 5.62       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Health Care  
Actual   $ 1,000.00     $ 1,014.30     $ 4.78       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Industrials  
Actual   $ 1,000.00     $ 1,017.00     $ 4.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Oil & Gas  
Actual   $ 1,000.00     $ 833.80     $ 4.36       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Real Estate  
Actual   $ 1,000.00     $ 1,358.80     $ 5.60       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Semiconductors  
Actual   $ 1,000.00     $ 989.10     $ 4.72       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short Technology  
Actual   $ 1,000.00     $ 904.30     $ 4.52       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 


35


ProShares Trust
Expense Examples (Unaudited)

    Beginning
Account
Value		   Ending
Account
Value
11/30/07		   Expenses Paid
 During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra Short Utilities  
Actual   $ 1,000.00     $ 963.20     $ 4.66       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short MSCI EAFE**  
Actual   $ 1,000.00     $ 1,006.00     $ 0.99       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Short MSCI Emerging Markets***  
Actual   $ 1,000.00     $ 1,035.40     $ 0.82       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short MSCI EAFE**  
Actual   $ 1,000.00     $ 1,001.00     $ 0.99       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short MSCI Emerging Markets***  
Actual   $ 1,000.00     $ 1,045.10     $ 0.82       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short FTSE/Xinhua China 25****  
Actual   $ 1,000.00     $ 993.60     $ 0.62       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  
Ultra Short MSCI Japan****  
Actual   $ 1,000.00     $ 992.10     $ 0.62       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.25     $ 4.80       0.95 %  

 

*  Expenses are equal to the average account value over the period multiplied by the Fund's annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one half year period).

**  The Fund commenced operations on October 23, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 38 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).

***  The Fund commenced operations on October 30, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 31 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).

****  The Fund commenced operations on November 6, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 24 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).


36


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited)

The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund's net asset value. Net asset value, or "NAV", is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of such Fund is listed for trading, as of the time that the Fund's NAV is calculated. Each Fund's Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.

Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV.

The following information shows the frequency distributions of premiums and discounts for each of the Funds. The information shown for each Fund is for the full calendar quarter completed after the inception date of such Fund through the date of the most recent calendar quarter-end. Information for the SHORT MSCI EAFE, SHORT MSCI Emerging Markets, ULTRASHORT MSCI EAFE, ULTRASHORT MSCI Emerging Markets, ULTRASHORT FTSE/XINHUA China 25, and ULTRASHORT MSCI Japan Funds are not presented as these Funds commenced operations during the most recent calendar quarter-end. The specific periods covered for each Fund is disclosed in the table for such Fund.

Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.


37


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRA QQQ®

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       0.64 %  
100.0 — 149.9     1       0.32    
50.0 — 99.9     3       0.96    
25.0 — 49.9     13       4.15    
-24.9 — 24.9     280       89.45    
-49.9 — -25.0     9       2.88    
-99.9 — -50.0     1       0.32    
-149.9 — -100.0     1       0.32    
<-150.0     3       0.96    
      313       100.00 %  

 

ULTRA Dow30SM

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.32 %  
100.0 — 149.9     1       0.32    
50.0 — 99.9     7       2.24    
25.0 — 49.9     9       2.88    
-24.9 — 24.9     287       91.68    
-49.9 — -25.0     6       1.92    
-99.9 — -50.0     1       0.32    
-149.9 — -100.0     1       0.32    
<-150.0     —       —    
      313       100.00 %  

 

ULTRA S&P500®

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       0.64 %  
100.0 — 149.9     1       0.32    
50.0 — 99.9     3       0.96    
25.0 — 49.9     7       2.24    
-24.9 — 24.9     294       93.92    
-49.9 — -25.0     4       1.28    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.32    
<-150.0     1       0.32    
      313       100.00 %  

 


38


ULTRA MidCap400

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.32 %  
100.0 — 149.9     1       0.32    
50.0 — 99.9     5       1.60    
25.0 — 49.9     17       5.43    
-24.9 — 24.9     267       85.30    
-49.9 — -25.0     18       5.75    
-99.9 — -50.0     2       0.64    
-149.9 — -100.0     —       —    
<-150.0     2       0.64    
      313       100.00 %  

 

ULTRA SmallCap600

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     2       1.59    
50.0 — 99.9     1       0.79    
25.0 — 49.9     5       3.97    
-24.9 — 24.9     96       76.20    
-49.9 — -25.0     17       13.49    
-99.9 — -50.0     4       3.17    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Russell2000

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     2       1.59    
25.0 — 49.9     4       3.17    
-24.9 — 24.9     95       75.40    
-49.9 — -25.0     21       16.67    
-99.9 — -50.0     2       1.59    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 


39


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRA Russell1000 Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     1       0.79    
25.0 — 49.9     3       2.38    
-24.9 — 24.9     118       93.66    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Russell1000 Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     4       3.17 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     6       4.76    
-24.9 — 24.9     100       79.37    
-49.9 — -25.0     12       9.53    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     2       1.59    
      126       100.00 %  

 

ULTRA Russell MidCap Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     2       1.59 %  
25.0 — 49.9     9       7.14    
-24.9 — 24.9     107       84.92    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     3       2.38    
-149.9 — -100.0     1       0.79    
<-150.0     2       1.59    
      126       100.00 %  

 


40


ULTRA Russell MidCap Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     3       2.38 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     —       —    
-24.9 — 24.9     118       93.66    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     1       0.79    
<-150.0     2       1.59    
      126       100.00 %  

 

ULTRA Russell2000 Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     4       3.17 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     —       —    
25.0 — 49.9     2       1.59    
-24.9 — 24.9     110       87.31    
-49.9 — -25.0     9       7.14    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Russell2000 Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     3       2.38 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     —       —    
-24.9 — 24.9     119       94.45    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 


41


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRA Basic Materials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     3       2.38 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     2       1.59    
-24.9 — 24.9     113       89.68    
-49.9 — -25.0     7       5.56    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Consumer Goods

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     —       —    
25.0 — 49.9     1       0.79    
-24.9 — 24.9     119       94.46    
-49.9 — -25.0     4       3.17    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Consumer Services

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     —       —    
50.0 — 99.9     2       1.59    
25.0 — 49.9     1       0.79    
-24.9 — 24.9     120       95.24    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 


42


ULTRA Financials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     2       1.59    
25.0 — 49.9     3       2.38    
-24.9 — 24.9     110       87.31    
-49.9 — -25.0     6       4.76    
-99.9 — -50.0     3       2.38    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Health Care

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     5       3.97    
-24.9 — 24.9     116       92.07    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Industrials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     2       1.59    
-24.9 — 24.9     122       96.83    
-49.9 — -25.0     —       —    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 


43


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRA Oil & Gas

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     8       6.35    
-24.9 — 24.9     112       88.89    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Real Estate

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     8       6.35    
-24.9 — 24.9     94       74.60    
-49.9 — -25.0     18       14.29    
-99.9 — -50.0     4       3.17    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Semiconductor

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     3       2.38 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     3       2.38    
-24.9 — 24.9     119       94.45    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 


44


ULTRA Technology

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     1       0.79    
-24.9 — 24.9     119       94.45    
-49.9 — -25.0     4       3.17    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

ULTRA Utilities

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     3       2.38    
-24.9 — 24.9     117       92.86    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     —       —    
      126       100.00 %  

 

SHORT QQQ®

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.32 %  
100.0 — 149.9     1       0.32    
50.0 — 99.9     4       1.28    
25.0 — 49.9     12       3.83    
-24.9 — 24.9     285       91.05    
-49.9 — -25.0     4       1.28    
-99.9 — -50.0     3       0.96    
-149.9 — -100.0     —       —    
<-150.0     3       0.96    
      313       100.00 %  

 


45


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

SHORT Dow30SM

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     2       0.64 %  
25.0 — 49.9     1       0.32    
-24.9 — 24.9     302       96.48    
-49.9 — -25.0     5       1.60    
-99.9 — -50.0     2       0.64    
-149.9 — -100.0     —       —    
<-150.0     1       0.32    
      313       100.00 %  

 

SHORT S&P500®

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.32 %  
25.0 — 49.9     2       0.64    
-24.9 — 24.9     307       98.08    
-49.9 — -25.0     1       0.32    
-99.9 — -50.0     1       0.32    
-149.9 — -100.0     —       —    
<-150.0     1       0.32    
      313       100.00 %  

 

SHORT MidCap400

Period Covered: July 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       0.64 %  
100.0 — 149.9     4       1.28    
50.0 — 99.9     2       0.64    
25.0 — 49.9     8       2.56    
-24.9 — 24.9     284       90.73    
-49.9 — -25.0     11       3.51    
-99.9 — -50.0     1       0.32    
-149.9 — -100.0     —       —    
<-150.0     1       0.32    
      313       100.00 %  

 


46


SHORT SmallCap600

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     8       6.35 %  
-24.9 — 24.9     114       90.48    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     2       1.59    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

SHORT Russell2000

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     4       3.17 %  
-24.9 — 24.9     118       93.66    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT QQQ®

Period Covered: October 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.40 %  
100.0 — 149.9     1       0.40    
50.0 — 99.9     3       1.20    
25.0 — 49.9     11       4.40    
-24.9 — 24.9     217       86.80    
-49.9 — -25.0     11       4.40    
-99.9 — -50.0     2       0.80    
-149.9 — -100.0     1       0.40    
<-150.0     3       1.20    
      250       100.00 %  

 


47


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRASHORT Dow30SM

Period Covered: October 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.40 %  
100.0 — 149.9     —       —    
50.0 — 99.9     3       1.20    
25.0 — 49.9     21       8.40    
-24.9 — 24.9     213       85.20    
-49.9 — -25.0     4       1.60    
-99.9 — -50.0     5       2.00    
-149.9 — -100.0     1       0.40    
<-150.0     2       0.80    
      250       100.00 %  

 

ULTRASHORT S&P500®

Period Covered: October 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.40 %  
100.0 —  149.9     —       —    
50.0 — 99.9     2       0.80    
25.0 — 49.9     17       6.80    
-24.9 — 24.9     224       89.60    
-49.9 — -25.0     2       0.80    
-99.9 — -50.0     2       0.80    
-149.9 — -100.0     1       0.40    
<-150.0     1       0.40    
      250       100.00 %  

 

ULTRASHORT MidCap400

Period Covered: October 1, 2006 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     5       2.00 %  
25.0 — 49.9     24       9.60    
-24.9 — 24.9     199       79.60    
-49.9 — -25.0     15       6.00    
-99.9 — -50.0     6       2.40    
-149.9 — -100.0     —       —    
<-150.0     1       0.40    
      250       100.00 %  

 


48


ULTRASHORT SmallCap600

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     5       3.97 %  
25.0 — 49.9     18       14.29    
-24.9 — 24.9     95       75.40    
-49.9 — -25.0     4       3.17    
-99.9 — 50.0     1       0.79    
-149.9 — -100.0     2       1.59    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Russell2000

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     3       2.38 %  
25.0 — 49.9     17       13.49    
-24.9 — 24.9     98       77.78    
-49.9 — -25.0     4       3.18    
-99.9 — -50.0     2       1.59    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Russell1000 Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     1       0.79    
-24.9 — 24.9     114       90.49    
-49.9 — -25.0     6       4.76    
-99.9 — -50.0     3       2.38    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 


49


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRASHORT Russell1000 Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     2       1.59    
50.0 — 99.9     3       2.38    
25.0 — 49.9     11       8.73    
-24.9 — 24.9     100       79.37    
-49.9 — -25.0     6       4.76    
-99.9 — -50.0     2       1.59    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Russell MidCap Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     2       1.59 %  
25.0 — 49.9     9       7.14    
-24.9 — 24.9     107       84.92    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     3       2.38    
-149.9 — -100.0     1       0.79    
<-150.0     2       1.59    
      126       100.00 %  

 

ULTRASHORT Russell MidCap Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     2       1.59 %  
100.0 — 149.9     1       0.79    
50.0 — 99.9     —       —    
25.0 — 49.9     1       0.79    
-24.9 — 24.9     119       94.46    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 


50


ULTRASHORT Russell2000 Value

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     1       0.79 %  
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79    
25.0 — 49.9     8       6.36    
-24.9 — 24.9     113       89.69    
-49.9 — -25.0     1       0.79    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Russell2000 Growth

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     1       0.79 %  
50.0 — 99.9     3       2.38    
25.0 — 49.9     4       3.17    
-24.9 — 24.9     117       92.87    
-49.9 — -25.0     —       —    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Basic Materials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79 %  
25.0 — 49.9     7       5.56    
-24.9 — 24.9     113       89.68    
-49.9 — -25.0     2       1.59    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     2       1.59    
      126       100.00 %  

 


51


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRASHORT Consumer Goods

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     3       2.38 %  
-24.9 — 24.9     111       88.10    
-49.9 — -25.0     10       7.94    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Consumer Services

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     2       1.59 %  
-24.9 — 24.9     119       94.45    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Financials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     1       0.79 %  
25.0 — 49.9     5       3.97    
-24.9 — 24.9     108       85.72    
-49.9 — -25.0     5       3.97    
-99.9 — -50.0     4       3.17    
-149.9 — -100.0     2       1.59    
<-150.0     1       0.79    
      126       100.00 %  

 


52


ULTRASHORT Health Care

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     2       1.59 %  
-24.9 — 24.9     110       87.31    
-49.9 — -25.0     11       8.73    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Industrials

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     2       1.59 %  
-24.9 — 24.9     118       93.66    
-49.9 — -25.0     4       3.17    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Oil & Gas

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     2       1.59 %  
25.0 — 49.9     17       13.50    
-24.9 — 24.9     98       77.78    
-49.9 — -25.0     6       4.76    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 


53


ProShares Trust
Premium/Discount

November 30, 2007 (Unaudited) (continued)

ULTRASHORT Real Estate

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     3       2.38 %  
25.0 — 49.9     12       9.52    
-24.9 — 24.9     105       83.34    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     1       0.79    
-149.9 — -100.0     —       —    
<-150.0     2       1.59    
      126       100.00 %  

 

ULTRASHORT Semiconductor

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     7       5.56 %  
-24.9 — 24.9     111       88.10    
-49.9 — -25.0     6       4.76    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 

ULTRASHORT Technology

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     1       0.79 %  
50.0 — 99.9     1       0.79    
25.0 — 49.9     2       1.59    
-24.9 — 24.9     117       92.87    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     —       —    
-149.9 — -100.0     1       0.79    
<-150.0     1       0.79    
      126       100.00 %  

 


54


ULTRASHORT Utilities

Period Covered: April 1, 2007 through September 30, 2007

Basis Point Differential   Number
of Days		   Percentage of
Total Days		  
> 150.0     —       —    
100.0 — 149.9     —       —    
50.0 — 99.9     —       —    
25.0 — 49.9     7       5.56 %  
-24.9 — 24.9     114       90.47    
-49.9 — -25.0     3       2.38    
-99.9 — -50.0     —       —    
-149.9 — -100.0     —       —    
<-150.0     2       1.59    
      126       100.00 %  

 


55



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra QQQ®

Shares  
  Value  
    Common Stocks (a) — 87.6%  
    Consumer Discretionary — 12.5%  
  105,738     Amazon.Com, Inc.*   $ 9,575,633    
  67,504     Apollo Group, Inc., Class A*     5,165,406    
  140,572     Bed Bath & Beyond, Inc.*     4,420,989    
  559,359     Comcast Corp., Class A*     11,489,234    
  91,860     Discovery Holding Co., Class A*     2,246,896    
  83,127     EchoStar Communications Corp.,
Class A*		     3,582,774    
  105,802     Expedia, Inc.*     3,449,145    
  77,408     Garmin Ltd.     8,309,749    
  115,499     IAC/InterActiveCorp*     3,214,337    
  30,248     Lamar Advertising Co., Class A     1,573,198    
  75,023     Liberty Global, Inc., Class A*     3,047,434    
  223,663     Liberty Media Corp. - Interactive,
Class A*		     4,506,809    
  51,349     PetSmart, Inc.     1,462,420    
  52,590     Ross Stores, Inc.     1,387,324    
  57,546     Sears Holdings Corp.*     6,071,678    
  609,799     Sirius Satellite Radio, Inc.*     2,335,530    
  184,740     Staples, Inc.     4,378,338    
  399,727     Starbucks Corp.*     9,349,615    
  137,276     Virgin Media, Inc.     2,608,244    
  46,158     Wynn Resorts Ltd.     5,859,297    
  121,876     XM Satellite Radio Holdings, Inc.,
Class A*		     1,901,266    
      95,935,316    
    Consumer Staples — 1.1%  
  88,860     Costco Wholesale Corp.     5,989,164    
  52,509     Whole Foods Market, Inc.     2,258,412    
      8,247,576    
    Energy — 0.1%  
  61,160     Patterson-UTI Energy, Inc.     1,152,866    
    Health Care — 11.5%  
  195,126     Amgen, Inc.*     10,780,711    
  49,071     Amylin Pharmaceuticals, Inc.*     1,874,021    
  120,572     Biogen Idec, Inc.*     8,936,797    
  146,189     Celgene Corp.*     8,997,933    
  25,088     Cephalon, Inc.*     1,879,593    
  56,224     Dentsply International, Inc.     2,405,263    
  88,637     Express Scripts, Inc.*     6,005,157    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  127,073     Genzyme Corp.*   $ 9,521,580    
  351,433     Gilead Sciences, Inc.*     16,355,692    
  34,231     Henry Schein, Inc.*     2,024,764    
  14,531     Intuitive Surgical, Inc.*     4,761,518    
  51,702     Patterson Cos., Inc.*     1,663,770    
  40,144     Sepracor, Inc.*     1,065,020    
  235,572     Teva Pharmaceutical
Industries Ltd. (ADR)		     10,513,578    
  53,086     Vertex Pharmaceuticals, Inc.*     1,347,854    
      88,133,251    
    Industrials — 4.1%  
  65,707     CH Robinson Worldwide, Inc.     3,387,196    
  73,421     Cintas Corp.     2,348,738    
  80,604     Expeditors International
Washington, Inc.		     3,781,940    
  55,451     Fastenal Co.     2,198,077    
  28,698     Foster Wheeler Ltd.*     4,276,002    
  40,877     Joy Global, Inc.     2,370,866    
  51,559     Monster Worldwide, Inc.*     1,741,147    
  161,008     Paccar, Inc.     8,148,615    
  44,789     Ryanair Holdings plc (ADR)*     1,817,090    
  41,805     UAL Corp.*     1,711,497    
      31,781,168    
    Information Technology — 56.6%  
  98,200     Activision, Inc.*     2,175,130    
  222,158     Adobe Systems, Inc.*     9,361,738    
  61,127     Akamai Technologies, Inc.*     2,326,494    
  186,563     Altera Corp.     3,503,653    
  467,265     Apple, Inc.*     85,145,028    
  274,548     Applied Materials, Inc.     5,169,739    
  92,320     Autodesk, Inc.*     4,347,349    
  139,999     BEA Systems, Inc.*     2,216,184    
  164,519     Broadcom Corp., Class A*     4,399,238    
  112,016     Cadence Design Systems, Inc.*     1,859,466    
  84,728     Check Point Software Technologies*     1,933,493    
  32,418     Checkfree Corp.*     1,543,097    
  835,577     Cisco Systems, Inc.*     23,412,868    
  86,824     Citrix Systems, Inc.*     3,210,752    
  108,621     Cognizant Technology Solutions Corp.,
Class A*		     3,378,113    
  321,932     Dell, Inc.*     7,900,211    
  390,292     eBay, Inc.*     13,086,491    

 

See accompanying notes to the financial statements.


56


Shares  
  Value  
    Common Stocks (a) (continued)  
  121,141     Electronic Arts, Inc.*   $ 6,806,913    
  79,503     Fiserv, Inc.*     4,080,889    
  347,608     Flextronics International Ltd.*     4,157,392    
  54,582     Google, Inc., Class A*     37,825,326    
  43,093     Infosys Technologies Ltd. (ADR)     1,816,370    
  787,785     Intel Corp.     20,545,433    
  163,413     Intuit, Inc.*     4,791,269    
  130,157     Juniper Networks, Inc.*     3,868,266    
  85,031     Kla-Tencor Corp.     4,088,290    
  49,143     Lam Research Corp.*     2,253,207    
  114,301     Linear Technology Corp.     3,481,608    
  68,313     Logitech International S.A.
(Registered)*		     2,324,691    
  217,061     Marvell Technology Group Ltd.*     3,242,891    
  70,061     Microchip Technology, Inc.     2,017,056    
  1,243,006     Microsoft Corp.     41,765,002    
  143,329     Network Appliance, Inc.*     3,541,660    
  207,606     Nvidia Corp.*     6,547,893    
  821,283     Oracle Corp.*     16,573,491    
  139,953     Paychex, Inc.     5,458,167    
  777,866     Qualcomm, Inc.     31,721,375    
  215,752     Research In Motion Ltd.*     24,556,893    
  80,525     SanDisk Corp.*     3,014,856    
  148,202     Sun Microsystems, Inc.*     3,079,632    
  355,493     Symantec Corp.*     6,327,775    
  54,636     Telefonaktiebolaget LM
Ericsson (ADR)		     1,336,397    
  96,463     Tellabs, Inc.*     671,382    
  80,255     VeriSign, Inc.*     3,282,429    
  152,509     Xilinx, Inc.     3,339,947    
  248,060     Yahoo!, Inc.*     6,650,489    
      434,136,033    
    Materials — 0.3%  
  48,307     Sigma-Aldrich Corp.     2,543,364    
    Telecommunication Services — 1.4%  
  26,105     Leap Wireless International, Inc.*     906,104    
  576,146     Level 3 Communications, Inc.*     1,935,851    
  37,603     Millicom International Cellular S.A.*     4,485,286    
  64,724     NII Holdings, Inc.*     3,570,176    
      10,897,417    
        Total Common Stock
(Cost $630,540,689)		     672,826,991    

 

Principal
Amount		  
  Value  
    Repurchase Agreements — 17.3%  
$ 26,443,489     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $26,453,714 **		   $ 26,443,489    
  30,415,686     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $30,427,219 ***		     30,415,686    
  5,288,698     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,290,703 ****		     5,288,698    
  70,515,971     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $70,542,708 *****		     70,515,971    
        Total Repurchase Agreements
(Cost $132,663,844)		     132,663,844    
        Total Investments
(Cost $763,204,533) — 104.9%		     805,490,835    
        Liabilities in excess of
other assets — (4.9%)		     (37,814,347 )  
        Net Assets — 100.0%   $ 767,676,488    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $26,972,475. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $31,024,097. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


57


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra QQQ® (continued)

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $5,394,494. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $71,926,306. The investment in the repurchase agreement was through participation in a pooled account.

ADR  American Depositary Receipt

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 59,856,131    
Aggregated gross unrealized depreciation     (28,997,568 )  
Net unrealized appreciation   $ 30,858,563    
Federal income tax cost of investments   $ 774,632,272    

 

Futures Contracts Purchased

Ultra QQQ® had the following open long futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini NASDAQ-100® Futures Contracts     1,794     December - 07   $ 75,043,020     $ 2,272,303    

 

Cash collateral in the amount of $4,510,025 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Ultra QQQ® had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07   $ 515,042,486     $ (32,483,605 )  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     126,248,267       (2,784,793 )  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     125,578,527       (2,670,507 )  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     61,723,934       (4,201,369 )  
            $ (42,140,274 )  

 

See accompanying notes to the financial statements.


58


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Dow 30SM

Shares  
  Value  
    Common Stocks (a) — 86.3%  
    Consumer Discretionary — 7.9%  
  135,764     General Motors Corp.   $ 4,049,840    
  135,764     Home Depot, Inc.     3,877,420    
  135,764     McDonald's Corp.     7,938,121    
  135,764     Walt Disney Co. (The)     4,500,577    
      20,365,958    
    Consumer Staples — 13.7%  
  135,764     Altria Group, Inc.     10,529,856    
  135,764     Coca-Cola Co. (The)     8,430,944    
  135,764     Procter & Gamble Co.     10,046,536    
  135,764     Wal-Mart Stores, Inc.     6,503,096    
      35,510,432    
    Energy — 4.7%  
  135,764     Exxon Mobil Corp.     12,104,718    
    Financials — 10.3%  
  135,764     American Express Co.     8,007,361    
  135,764     American International Group, Inc.     7,891,961    
  135,764     Citigroup, Inc.     4,520,941    
  135,764     JPMorgan Chase & Co.     6,193,554    
      26,613,817    
    Health Care — 7.9%  
  135,764     Johnson & Johnson     9,196,653    
  135,764     Merck & Co., Inc.     8,058,951    
  135,764     Pfizer, Inc.     3,225,753    
      20,481,357    
    Industrials — 21.9%  
  135,764     3M Co.     11,303,711    
  135,764     Boeing Co.     12,563,601    
  135,764     Caterpillar, Inc.     9,761,432    
  135,764     General Electric Co.     5,198,403    
  135,764     Honeywell International, Inc.     7,686,958    
  135,764     United Technologies Corp.     10,151,074    
      56,665,179    
    Information Technology — 11.3%  
  135,764     Hewlett-Packard Co.     6,945,686    
  135,764     Intel Corp.     3,540,725    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  135,764     International Business
Machines Corp.		   $ 14,279,658    
  135,764     Microsoft Corp.     4,561,670    
      29,327,739    
    Materials — 4.3%  
  135,764     Alcoa, Inc.     4,937,737    
  135,764     EI Du Pont de Nemours & Co.     6,265,508    
      11,203,245    
    Telecommunication Services — 4.3%  
  135,764     AT&T, Inc.     5,187,542    
  135,764     Verizon Communications, Inc.     5,866,363    
      11,053,905    
        Total Common Stock
(Cost $220,250,424)		     223,326,350    
Principal
Amount		  
 
 
    Repurchase Agreements — 15.5%  
$ 7,974,072     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $7,977,155 **		     7,974,072    
  9,171,893     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $9,175,371 ***		     9,171,893    
  1,594,814     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,595,419 ****		     1,594,814    
  21,264,191     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $21,272,254 *****		     21,264,191    
        Total Repurchase Agreements
(Cost $40,004,970)		     40,004,970    
        Total Investments
(Cost $260,255,394) — 101.8%		     263,331,320    
        Liabilities in excess of
other assets — (1.8%)		     (4,724,108 )  
        Net Assets — 100.0%   $ 258,607,212    

 

See accompanying notes to the financial statements.


59


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Dow 30SM (continued)

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $8,133,588. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $9,355,361. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows:

Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,626,717. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $21,689,480. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 7,951,621    
Aggregate gross unrealized depreciation     (6,183,940 )  
Net unrealized appreciation   $ 1,767,681    
Federal income tax cost of investments   $ 261,563,639    

 

Futures Contracts Purchased

Ultra Dow 30SM had the following open futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     422     December - 07   $ 28,297,210     $ 747,270    

 

Cash collateral in the amount of $1,392,571 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Ultra Dow 30SM had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index,
expiring 12/27/07		   $ 88,935,201     $ (361,457 )  
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index,
expiring 12/27/07		     20,848,089       (437,765 )  
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index,
expiring 12/27/07		     160,000,000       (3,364,830 )  
    $ (4,164,052 )  

 

See accompanying notes to the financial statements.


60


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra S&P500®

Shares  
  Value  
    Common Stocks (a) — 85.9%  
    Consumer Discretionary — 7.6%  
  3,499     Abercrombie & Fitch Co.   $ 287,058    
  12,338     Amazon.Com, Inc.*     1,117,329    
  5,736     Apollo Group, Inc., Class A*     438,919    
  5,570     AutoNation, Inc.*     91,905    
  1,847     Autozone, Inc.*     206,181    
  10,954     Bed Bath & Beyond, Inc.*     344,503    
  14,167     Best Buy Co., Inc.     723,225    
  4,109     Big Lots, Inc.*     76,715    
  2,652     Black & Decker Corp.     219,188    
  3,589     Brunswick Corp.     73,180    
  17,615     Carnival Corp.     794,789    
  27,650     CBS Corp., Class B     758,439    
  4,843     Centex Corp.     101,025    
  6,803     Circuit City Stores, Inc.     44,015    
  20,101     Clear Channel Communications, Inc.     721,626    
  15,062     Coach, Inc.*     559,403    
  124,766     Comcast Corp., Class A*     2,562,694    
  5,720     Darden Restaurants, Inc.     227,599    
  2,456     Dillard's, Inc., Class A     50,078    
  28,981     DIRECTV Group, Inc. (The)*     720,757    
  2,634     Dow Jones & Co., Inc.     157,381    
  11,031     DR Horton, Inc.     132,041    
  11,586     Eastman Kodak Co.     272,039    
  3,623     EW Scripps Co., Class A     157,419    
  8,249     Expedia, Inc.*     268,917    
  5,877     Family Dollar Stores, Inc.     138,403    
  84,759     Ford Motor Co.*     636,540    
  6,184     Fortune Brands, Inc.     474,004    
  9,402     Gannett Co., Inc.     345,523    
  19,979     Gap, Inc. (The)     407,572    
  22,844     General Motors Corp.     681,436    
  6,860     Genuine Parts Co.     329,623    
  8,518     Goodyear Tire & Rubber Co. (The)*     244,892    
  13,105     H&R Block, Inc.     257,906    
  10,141     Harley-Davidson, Inc.     486,971    
  2,441     Harman International Industries, Inc.     179,658    
  7,559     Harrah's Entertainment, Inc.     665,721    
  5,937     Hasbro, Inc.     164,870    
  68,167     Home Depot, Inc.     1,946,849    
  7,713     IAC/InterActiveCorp*     214,653    
  13,548     International Game Technology     591,506    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  19,033     Interpublic Group of Cos., Inc.*   $ 180,623    
  8,948     JC Penney Co., Inc.     394,786    
  23,979     Johnson Controls, Inc.     926,069    
  3,442     Jones Apparel Group, Inc.     64,159    
  3,108     KB Home     64,926    
  12,829     Kohl's Corp.*     632,213    
  7,053     Leggett & Platt, Inc.     145,151    
  5,629     Lennar Corp., Class A     89,163    
  4,128     Liz Claiborne, Inc.     103,572    
  59,690     Lowe's Cos., Inc.     1,457,033    
  12,871     Ltd Brands, Inc.     258,450    
  17,501     Macy's, Inc.     518,905    
  12,900     Marriott International, Inc., Class A     483,750    
  14,809     Mattel, Inc.     295,884    
  48,111     McDonald's Corp.     2,813,050    
  13,681     McGraw-Hill Cos., Inc. (The)     671,463    
  1,553     Meredith Corp.     85,493    
  5,810     New York Times Co., (The), Class A     95,865    
  11,154     Newell Rubbermaid, Inc.     298,704    
  93,456     News Corp., Class A     1,969,118    
  15,608     Nike, Inc., Class B     1,024,665    
  7,986     Nordstrom, Inc.     267,850    
  11,012     Office Depot, Inc.*     188,746    
  3,041     OfficeMax, Inc.     75,812    
  13,253     Omnicom Group, Inc.     646,084    
  2,418     Polo Ralph Lauren Corp.     166,794    
  8,575     Pulte Homes, Inc.     87,636    
  5,562     RadioShack Corp.     102,897    
  3,056     Sears Holdings Corp.*     322,439    
  4,383     Sherwin-Williams Co. (The)     275,384    
  2,338     Snap-On, Inc.     114,281    
  3,314     Stanley Works (The)     172,825    
  28,821     Staples, Inc.     683,058    
  30,087     Starbucks Corp.*     703,735    
  8,039     Starwood Hotels &
Resorts Worldwide, Inc.		     431,534    
  34,177     Target Corp.     2,052,671    
  5,519     Tiffany & Co.     256,247    
  150,550     Time Warner, Inc.     2,598,493    
  17,949     TJX Cos., Inc.     526,624    
  3,108     Tribune Co.     96,472    
  3,588     VF Corp.     268,347    
  27,718     Viacom, Inc., Class B*     1,164,710    

 

See accompanying notes to the financial statements.


61


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra S&P500® (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  78,354     Walt Disney Co. (The)   $ 2,597,435    
  3,526     Wendy's International, Inc.     98,834    
  3,149     Whirlpool Corp.     254,943    
  7,210     Wyndham Worldwide Corp.     210,316    
  20,991     Yum! Brands, Inc.     779,816    
      46,589,577    
    Consumer Staples — 8.8%  
  84,986     Altria Group, Inc.     6,591,514    
  30,260     Anheuser-Busch Cos., Inc.     1,595,307    
  25,981     Archer-Daniels-Midland Co.     944,409    
  17,466     Avon Products, Inc.     716,979    
  3,491     Brown-Forman Corp., Class B     246,604    
  9,072     Campbell Soup Co.     333,124    
  5,586     Clorox Co.     362,420    
  80,322     Coca-Cola Co. (The)     4,987,996    
  11,507     Coca-Cola Enterprises, Inc.     298,837    
  20,586     Colgate-Palmolive Co.     1,648,527    
  19,773     ConAgra Foods, Inc.     494,720    
  7,832     Constellation Brands, Inc., Class A*     184,444    
  17,679     Costco Wholesale Corp.     1,191,565    
  59,783     CVS Caremark Corp.     2,396,700    
  5,229     Dean Foods Co.     130,411    
  4,627     Estee Lauder Cos., Inc. (The)     207,660    
  13,329     General Mills, Inc.     801,739    
  6,825     Hershey Co. (The)     272,386    
  12,884     HJ Heinz Co.     609,413    
  10,711     Kellogg Co.     578,822    
  17,182     Kimberly-Clark Corp.     1,199,475    
  63,651     Kraft Foods, Inc.     2,199,142    
  28,561     Kroger Co. (The)     821,129    
  5,236     McCormick & Co., Inc. (Non-Voting)     200,068    
  5,503     Molson Coors Brewing Co., Class B     296,282    
  5,657     Pepsi Bottling Group, Inc.     241,384    
  65,228     PepsiCo, Inc.     5,034,297    
  125,983     Procter & Gamble Co.     9,322,742    
  6,907     Reynolds American, Inc.     483,628    
  17,726     Safeway, Inc.     616,865    
  29,249     Sara Lee Corp.     492,261    
  8,482     SUPERVALU, Inc.     355,141    
  24,624     SYSCO Corp.     800,526    
  11,105     Tyson Foods, Inc., Class A     165,576    
  6,434     UST, Inc.     372,529    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  96,897     Wal-Mart Stores, Inc.   $ 4,641,366    
  40,113     Walgreen Co.     1,467,735    
  5,611     Whole Foods Market, Inc.     241,329    
  8,770     WM. Wrigley Jr. Co.     561,280    
      54,106,332    
    Energy — 10.2%  
  18,727     Anadarko Petroleum Corp.     1,059,948    
  13,403     Apache Corp.     1,297,276    
  12,900     Baker Hughes, Inc.     1,035,483    
  11,773     BJ Services Co.     289,380    
  17,871     Chesapeake Energy Corp.     676,417    
  86,056     Chevron Corp.     7,553,135    
  65,689     ConocoPhillips     5,257,748    
  7,360     CONSOL Energy, Inc.     436,301    
  18,005     Devon Energy Corp.     1,490,994    
  28,281     El Paso Corp.     454,759    
  5,975     ENSCO International, Inc.     321,754    
  9,883     EOG Resources, Inc.     818,115    
  223,899     Exxon Mobil Corp.     19,962,835    
  35,935     Halliburton Co.     1,315,580    
  11,168     Hess Corp.     795,385    
  27,496     Marathon Oil Corp.     1,537,026    
  7,610     Murphy Oil Corp.     544,267    
  11,351     Nabors Industries Ltd.*     305,342    
  14,380     National Oilwell Varco, Inc.*     979,997    
  10,839     Noble Corp.     565,037    
  6,908     Noble Energy, Inc.     497,652    
  33,537     Occidental Petroleum Corp.     2,339,877    
  10,718     Peabody Energy Corp.     596,350    
  4,461     Rowan Cos., Inc.     157,919    
  48,123     Schlumberger Ltd.     4,497,094    
  8,095     Smith International, Inc.     507,718    
  25,519     Spectra Energy Corp.     628,788    
  4,859     Sunoco, Inc.     326,039    
  5,524     Tesoro Corp.     271,670    
  12,502     Transocean, Inc.     1,716,394    
  22,358     Valero Energy Corp.     1,454,835    
  13,604     Weatherford International Ltd.*     851,883    
  24,231     Williams Cos., Inc.     841,058    
  15,575     XTO Energy, Inc.     962,847    
      62,346,903    

 

See accompanying notes to the financial statements.


62


Shares  
  Value  
    Common Stocks (a) (continued)  
    Financials — 15.9%  
  13,282     ACE Ltd.   $ 794,662    
  19,720     Aflac, Inc.     1,235,261    
  23,616     Allstate Corp. (The)     1,207,250    
  4,107     AMBAC Financial Group, Inc.     111,834    
  7,587     American Capital Strategies Ltd.     285,347    
  47,752     American Express Co.     2,816,413    
  103,523     American International Group, Inc.     6,017,792    
  9,498     Ameriprise Financial, Inc.     557,438    
  11,819     AON Corp.     590,595    
  3,905     Apartment Investment &
Management Co. (REIT)		     155,302    
  3,895     Assurant, Inc.     254,850    
  3,219     AvalonBay Communities, Inc. (REIT)     320,097    
  179,133     Bank of America Corp.     8,263,405    
  45,934     Bank of New York Mellon Corp. (The)     2,202,995    
  22,282     BB&T Corp.     803,935    
  4,688     Bear Stearns Cos., Inc. (The)     467,394    
  4,805     Boston Properties, Inc. (REIT)     472,908    
  16,862     Capital One Financial Corp.     898,913    
  7,960     CB Richard Ellis Group, Inc., Class A*     189,050    
  38,261     Charles Schwab Corp. (The)     930,125    
  15,878     Chubb Corp.     866,145    
  6,944     Cincinnati Financial Corp.     277,621    
  7,702     CIT Group, Inc.     204,873    
  200,820     Citigroup, Inc.     6,687,306    
  2,144     CME Group, Inc.     1,412,038    
  6,177     Comerica, Inc.     282,783    
  7,761     Commerce Bancorp, Inc.     309,043    
  23,253     Countrywide Financial Corp.     251,597    
  5,014     Developers Diversified Realty
Corp. (REIT)		     222,672    
  19,266     Discover Financial Services     334,650    
  17,167     E*Trade Financial Corp.*     78,968    
  11,188     Equity Residential (REIT)     416,305    
  39,298     Fannie Mae     1,509,829    
  3,534     Federated Investors, Inc., Class B     144,152    
  21,626     Fifth Third Bancorp     646,834    
  5,096     First Horizon National Corp.     112,520    
  6,553     Franklin Resources, Inc.     807,199    
  26,246     Freddie Mac     920,447    
  9,914     General Growth Properties,
Inc. (REIT)		     460,406    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  17,871     Genworth Financial, Inc.   $ 468,935    
  16,376     Goldman Sachs Group, Inc. (The)     3,711,457    
  12,825     Hartford Financial Services
Group, Inc.		     1,222,479    
  21,084     Host Hotels & Resorts, Inc. (REIT)     404,602    
  21,470     Hudson City Bancorp, Inc.     326,773    
  14,772     Huntington Bancshares, Inc.     231,773    
  2,797     IntercontinentalExchange, Inc.*     466,987    
  6,372     Janus Capital Group, Inc.     213,908    
  136,606     JPMorgan Chase & Co.     6,231,966    
  15,718     Keycorp     414,012    
  10,182     Kimco Realty Corp. (REIT)     402,087    
  5,360     Legg Mason, Inc.     409,022    
  21,428     Lehman Brothers Holdings, Inc.     1,342,036    
  6,646     Leucadia National Corp.     312,096    
  10,927     Lincoln National Corp.     672,775    
  17,947     Loews Corp.     857,687    
  3,028     M&T Bank Corp.     275,427    
  21,880     Marsh & McLennan Cos., Inc.     549,626    
  7,173     Marshall & Ilsley Corp.     225,734    
  5,109     MBIA, Inc.     186,530    
  34,795     Merrill Lynch & Co., Inc.     2,085,612    
  29,989     MetLife, Inc.     1,966,979    
  3,308     MGIC Investment Corp.     77,804    
  8,943     Moody's Corp.     336,793    
  42,491     Morgan Stanley     2,240,126    
  25,565     National City Corp.     505,164    
  7,730     Northern Trust Corp.     626,053    
  10,658     NYSE Euronext     922,983    
  7,048     Plum Creek Timber Co., Inc. (REIT)     326,816    
  13,806     PNC Financial Services Group, Inc.     1,010,737    
  10,723     Principal Financial Group, Inc.     702,249    
  29,232     Progressive Corp. (The)     537,869    
  10,374     Prologis (REIT)     678,667    
  18,530     Prudential Financial, Inc.     1,744,414    
  5,025     Public Storage (REIT)     388,633    
  28,417     Regions Financial Corp.     751,061    
  3,817     Safeco Corp.     220,279    
  9,018     Simon Property Group, Inc. (REIT)     887,822    
  16,657     SLM Corp.     634,299    
  14,507     Sovereign Bancorp, Inc.     170,747    
  15,725     State Street Corp.     1,256,270    
  14,091     SunTrust Banks, Inc.     987,920    

 

See accompanying notes to the financial statements.


63


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra S&P500® (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  13,218     Synovus Financial Corp.   $ 328,996    
  10,705     T. Rowe Price Group, Inc.     658,143    
  3,863     Torchmark Corp.     238,270    
  26,503     Travelers Cos., Inc. (The)     1,407,574    
  69,695     U.S. Bancorp     2,306,208    
  14,565     Unum Group     361,795    
  5,400     Vornado Realty Trust (REIT)     486,000    
  76,824     Wachovia Corp.     3,303,432    
  35,352     Washington Mutual, Inc.     689,364    
  134,933     Wells Fargo & Co.     4,375,877    
  7,337     XL Capital Ltd., Class A     429,435    
  4,343     Zions Bancorporation     236,998    
      97,328,255    
    Health Care — 10.5%  
  62,389     Abbott Laboratories     3,587,991    
  20,645     Aetna, Inc.     1,153,643    
  12,414     Allergan, Inc.     832,235    
  7,274     AmerisourceBergen Corp.     330,021    
  43,871     Amgen, Inc.*     2,423,873    
  7,403     Applera Corp.- Applied Biosystems
Group		     252,886    
  4,328     Barr Pharmaceuticals, Inc.*     232,414    
  26,027     Baxter International, Inc.     1,558,236    
  9,825     Becton Dickinson & Co.     812,822    
  11,623     Biogen Idec, Inc.*     861,497    
  53,857     Boston Scientific Corp.*     680,214    
  79,847     Bristol-Myers Squibb Co.     2,365,867    
  14,716     Cardinal Health, Inc.     891,054    
  15,451     Celgene Corp.*     951,009    
  11,419     Cigna Corp.     612,173    
  6,310     Coventry Health Care, Inc.*     365,223    
  20,071     Covidien Ltd.     805,048    
  4,173     CR Bard, Inc.     352,744    
  39,838     Eli Lilly & Co.     2,109,422    
  10,409     Express Scripts, Inc.*     705,210    
  12,763     Forest Laboratories, Inc.*     492,014    
  10,645     Genzyme Corp.*     797,630    
  37,397     Gilead Sciences, Inc.*     1,740,456    
  6,342     Hospira, Inc.*     274,609    
  6,805     Humana, Inc.*     524,189    
  7,871     IMS Health, Inc.     183,788    
  116,850     Johnson & Johnson     7,915,419    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  9,857     King Pharmaceuticals, Inc.*   $ 104,386    
  4,735     Laboratory Corp. of America
Holdings*		     344,092    
  11,949     McKesson Corp.     797,357    
  10,931     Medco Health Solutions, Inc.*     1,092,991    
  45,784     Medtronic, Inc.     2,328,116    
  87,859     Merck & Co., Inc.     5,215,310    
  2,178     Millipore Corp.*     178,335    
  12,204     Mylan, Inc.     175,493    
  5,650     Patterson Cos., Inc.*     181,817    
  4,897     PerkinElmer, Inc.     133,590    
  279,643     Pfizer, Inc.     6,644,318    
  6,311     Quest Diagnostics, Inc.     347,484    
  65,374     Schering-Plough Corp.     2,046,206    
  13,762     St. Jude Medical, Inc.*     547,039    
  9,578     Stryker Corp.     695,650    
  19,130     Tenet Healthcare Corp.*     105,406    
  17,221     Thermo Fisher Scientific, Inc.*     992,618    
  53,485     UnitedHealth Group, Inc.     2,941,675    
  5,103     Varian Medical Systems, Inc.*     254,946    
  4,029     Waters Corp.*     314,423    
  4,138     Watson Pharmaceuticals, Inc.*     121,285    
  23,064     WellPoint, Inc.*     1,942,219    
  54,282     Wyeth     2,665,246    
  9,534     Zimmer Holdings, Inc.*     617,136    
      64,598,825    
    Industrials — 9.9%  
  28,897     3M Co.     2,405,964    
  11,641     Allied Waste Industries, Inc.*     132,824    
  4,299     Avery Dennison Corp.     224,021    
  31,638     Boeing Co.     2,927,781    
  12,127     Burlington Northern Santa Fe Corp.     1,012,847    
  25,802     Caterpillar, Inc.     1,855,164    
  6,968     CH Robinson Worldwide, Inc.     359,200    
  5,446     Cintas Corp.     174,218    
  7,416     Cooper Industries Ltd., Class A     372,432    
  17,723     CSX Corp.     744,366    
  4,200     Cummins, Inc.     490,980    
  9,953     Danaher Corp.     864,119    
  8,957     Deere & Co.     1,538,813    
  8,259     Dover Corp.     382,227    
  5,882     Eaton Corp.     525,321    

 

See accompanying notes to the financial statements.


64


Shares  
  Value  
    Common Stocks (a) (continued)  
  31,974     Emerson Electric Co.   $ 1,823,158    
  5,322     Equifax, Inc.     198,138    
  8,598     Expeditors International
Washington, Inc.		     403,418    
  12,465     FedEx Corp.     1,227,429    
  3,565     Fluor Corp.     524,661    
  16,378     General Dynamics Corp.     1,454,039    
  413,632     General Electric Co.     15,837,969    
  5,056     Goodrich Corp.     360,442    
  30,212     Honeywell International, Inc.     1,710,603    
  16,937     Illinois Tool Works, Inc.     940,004    
  11,572     Ingersoll-Rand Co., Ltd., Class A     597,578    
  7,310     ITT Corp.     471,056    
  4,841     Jacobs Engineering Group, Inc.*     405,531    
  5,088     L-3 Communications Holdings, Inc.     562,987    
  14,017     Lockheed Martin Corp.     1,551,261    
  5,064     Manitowoc Co., Inc. (The)     222,056    
  14,821     Masco Corp.     331,990    
  5,343     Monster Worldwide, Inc.*     180,433    
  15,889     Norfolk Southern Corp.     813,676    
  13,874     Northrop Grumman Corp.     1,093,132    
  15,054     Paccar, Inc.     761,883    
  4,949     Pall Corp.     189,299    
  7,035     Parker Hannifin Corp.     558,790    
  8,876     Pitney Bowes, Inc.     341,726    
  5,565     Precision Castparts Corp.     819,947    
  8,966     R.R. Donnelley & Sons Co.     328,694    
  17,655     Raytheon Co.     1,091,962    
  6,618     Robert Half International, Inc.     178,421    
  6,159     Rockwell Automation, Inc.     418,135    
  6,728     Rockwell Collins, Inc.     485,223    
  2,415     Ryder System, Inc.     104,714    
  30,169     Southwest Airlines Co.     426,891    
  4,114     Terex Corp.*     265,147    
  10,081     Textron, Inc.     696,093    
  6,920     Trane, Inc.     254,033    
  20,069     Tyco International Ltd.     805,369    
  10,755     Union Pacific Corp.     1,356,636    
  42,379     United Parcel Service, Inc., Class B     3,122,485    
  40,038     United Technologies Corp.     2,993,641    
  20,956     Waste Management, Inc.     719,210    
  2,719     WW Grainger, Inc.     240,088    
      60,878,225    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Information Technology — 14.0%  
  23,755     Adobe Systems, Inc.*   $ 1,001,036    
  24,181     Advanced Micro Devices, Inc.*     236,007    
  4,019     Affiliated Computer Services, Inc.,
Class A*		     168,637    
  15,605     Agilent Technologies, Inc.*     590,337    
  6,685     Akamai Technologies, Inc.*     254,431    
  13,559     Altera Corp.     254,638    
  12,562     Analog Devices, Inc.     386,658    
  35,107     Apple, Inc.*     6,397,198    
  55,633     Applied Materials, Inc.     1,047,569    
  9,285     Autodesk, Inc.*     437,231    
  21,439     Automatic Data Processing, Inc.     966,041    
  8,122     BMC Software, Inc.*     268,676    
  18,937     Broadcom Corp., Class A*     506,375    
  15,689     CA, Inc.     384,224    
  3,470     Ciena Corp.*     152,611    
  245,885     Cisco Systems, Inc.*     6,889,698    
  7,658     Citrix Systems, Inc.*     283,193    
  11,675     Cognizant Technology Solutions Corp.,
Class A*		     363,092    
  7,024     Computer Sciences Corp.*     371,008    
  11,554     Compuware Corp.*     95,436    
  5,473     Convergys Corp.*     89,265    
  63,501     Corning, Inc.     1,542,439    
  91,704     Dell, Inc.*     2,250,416    
  46,057     eBay, Inc.*     1,544,291    
  12,556     Electronic Arts, Inc.*     705,522    
  20,545     Electronic Data Systems Corp.     416,242    
  84,666     EMC Corp.*     1,631,514    
  6,858     Fidelity National Information
Services, Inc.		     296,403    
  6,737     Fiserv, Inc.*     345,810    
  9,325     Google, Inc., Class A*     6,462,225    
  104,075     Hewlett-Packard Co.     5,324,477    
  235,757     Intel Corp.     6,148,543    
  54,919     International Business Machines Corp.     5,776,380    
  13,681     Intuit, Inc.*     401,127    
  8,379     Jabil Circuit, Inc.     142,024    
  8,544     JDS Uniphase Corp.*     115,002    
  20,754     Juniper Networks, Inc.*     616,809    
  7,353     Kla-Tencor Corp.     353,532    
  3,815     Lexmark International, Inc., Class A*     133,067    

 

See accompanying notes to the financial statements.


65


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra S&P500® (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  8,962     Linear Technology Corp.   $ 272,982    
  28,907     LSI Corp.*     160,434    
  9,087     MEMC Electronic Materials, Inc.*     704,969    
  1     Metavante Technologies, Inc.*     8    
  8,778     Microchip Technology, Inc.     252,719    
  30,554     Micron Technology, Inc.*     254,209    
  325,496     Microsoft Corp.     10,936,666    
  5,797     Molex, Inc.     159,765    
  93,439     Motorola, Inc.     1,492,221    
  9,705     National Semiconductor Corp.     221,856    
  14,364     Network Appliance, Inc.*     354,934    
  14,123     Novell, Inc.*     99,143    
  4,689     Novellus Systems, Inc.*     121,961    
  22,155     Nvidia Corp.*     698,769    
  158,936     Oracle Corp.*     3,207,328    
  13,732     Paychex, Inc.     535,548    
  5,526     QLogic Corp.*     74,712    
  67,588     Qualcomm, Inc.     2,756,239    
  9,198     SanDisk Corp.*     344,373    
  33,450     Sun Microsystems, Inc.*     695,086    
  36,309     Symantec Corp.*     646,300    
  17,694     Tellabs, Inc.*     123,150    
  7,287     Teradata Corp.*     189,171    
  7,010     Teradyne, Inc.*     76,339    
  57,691     Texas Instruments, Inc.     1,821,305    
  20,071     Tyco Electronics Ltd.     750,455    
  14,127     Unisys Corp.*     70,070    
  8,920     VeriSign, Inc.*     364,828    
  31,192     Western Union Co. (The)     704,939    
  37,780     Xerox Corp.*     637,726    
  11,945     Xilinx, Inc.     261,595    
  54,385     Yahoo!, Inc.*     1,458,062    
      85,797,046    
    Materials — 2.9%  
  8,723     Air Products & Chemicals, Inc.     863,926    
  35,688     Alcoa, Inc.     1,297,973    
  4,126     Allegheny Technologies, Inc.     403,316    
  2,257     Ashland, Inc.     111,135    
  4,134     Ball Corp.     191,197    
  4,219     Bemis Co., Inc.     114,461    
  38,353     Dow Chemical Co. (The)     1,608,525    
  3,393     Eastman Chemical Co.     217,865    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  7,031     Ecolab, Inc.   $ 336,785    
  37,161     EI Du Pont de Nemours & Co.     1,714,980    
  15,410     Freeport-McMoRan Copper &
Gold, Inc.		     1,524,511    
  4,683     Hercules, Inc.     90,897    
  3,284     International Flavors &
Fragrances, Inc.		     164,660    
  17,344     International Paper Co.     585,360    
  7,405     MeadWestvaco Corp.     243,402    
  22,020     Monsanto Co.     2,188,127    
  18,228     Newmont Mining Corp.     905,749    
  11,622     Nucor Corp.     688,139    
  5,277     Pactiv Corp.*     134,036    
  6,623     PPG Industries, Inc.     454,603    
  12,912     Praxair, Inc.     1,102,427    
  5,127     Rohm & Haas Co.     278,755    
  6,520     Sealed Air Corp.     152,372    
  5,301     Sigma-Aldrich Corp.     279,098    
  4,278     Temple-Inland, Inc.     196,660    
  3,536     Titanium Metals Corp.*     104,913    
  4,772     United States Steel Corp.     466,224    
  4,360     Vulcan Materials Co.     387,168    
  8,714     Weyerhaeuser Co.     637,691    
      17,444,955    
    Telecommunication Services — 3.0%  
  16,584     American Tower Corp., Class A*     755,235    
  246,212     AT&T, Inc.     9,407,761    
  4,518     CenturyTel, Inc.     192,602    
  13,736     Citizens Communications Co.     178,293    
  6,159     Embarq Corp.     313,801    
  64,497     Qwest Communications
International, Inc.*		     427,615    
  114,916     Sprint Nextel Corp.     1,783,496    
  117,174     Verizon Communications, Inc.     5,063,089    
  19,272     Windstream Corp.     249,573    
      18,371,465    
    Utilities — 3.1%  
  26,992     AES Corp. (The)*     589,775    
  6,704     Allegheny Energy, Inc.     407,268    
  8,381     Ameren Corp.     451,317    
  16,116     American Electric Power Co., Inc.     768,250    
  12,966     Centerpoint Energy, Inc.     231,443    

 

See accompanying notes to the financial statements.


66


Shares  
  Value  
    Common Stocks (a) (continued)  
  9,066     CMS Energy Corp.   $ 158,020    
  10,939     Consolidated Edison, Inc.     529,995    
  7,286     Constellation Energy Group, Inc.     730,130    
  23,497     Dominion Resources, Inc.     1,109,763    
  6,889     DTE Energy Co.     337,905    
  50,875     Duke Energy Corp.     1,006,816    
  20,006     Dynegy, Inc., Class A*     152,246    
  13,153     Edison International     736,305    
  7,900     Entergy Corp.     944,366    
  27,216     Exelon Corp.     2,206,401    
  12,306     FirstEnergy Corp.     843,699    
  16,424     FPL Group, Inc.     1,145,738    
  3,068     Integrys Energy Group, Inc.     156,499    
  1,821     Nicor, Inc.     76,737    
  11,068     NiSource, Inc.     204,869    
  7,812     Pepco Holdings, Inc.     219,517    
  14,265     PG&E Corp.     660,042    
  4,049     Pinnacle West Capital Corp.     173,540    
  15,466     PPL Corp.     788,147    
  10,452     Progress Energy, Inc.     510,267    
  10,265     Public Service Enterprise Group, Inc.     982,771    
  6,969     Questar Corp.     372,493    
  10,658     Sempra Energy     667,404    
  30,537     Southern Co.     1,148,802    
  8,499     TECO Energy, Inc.     147,203    
  16,950     Xcel Energy, Inc.     391,715    
      18,849,443    
        Total Common Stock
(Cost $508,677,683)		     526,311,026    
Principal
Amount		  
 
 
    Repurchase Agreements — 15.5%  
$ 18,876,425     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $18,883,724 **		     18,876,425    
  21,711,938     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $21,720,170 ***		     21,711,938    
  3,775,285     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,776,716 ****		     3,775,285    

 

Principal
Amount		  
 
Value		  
    Repurchase Agreements (continued)  
$ 50,337,133     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $50,356,219 *****		   $ 50,337,133    
    Total Repurchase Agreements
(Cost $94,700,781)		     94,700,781    
    Total Investments
(Cost $603,378,464) — 101.4%		     621,011,807    
    Liabilities in excess of
other assets — (1.4%)		     (8,550,218 )  
    Net Assets — 100.0%   $ 612,461,589    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $19,254,036. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $22,146,247. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,850,807. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


67


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra S&P500® (continued)

*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $51,343,887. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 33,718,569    
Aggregate gross unrealized depreciation     (21,169,572 )  
Net unrealized appreciation   $ 12,548,997    
Federal income tax cost of investments   $ 608,462,810    

 

Futures Contracts Purchased

Ultra S&P500® had the following open long futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     903     December - 07   $ 67,036,463     $ 1,870,631    

 

Cash collateral in the amount of $3,911,262 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Ultra S&P500® had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07   $ 392,303,041     $ (10,607,150 )  
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     151,432,213       690,347    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     99,557,445       (2,571,750 )  
    $ (12,488,553 )  

 

See accompanying notes to the financial statements.


68


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra MidCap400

Shares  
  Value  
    Common Stocks (a) — 88.3%  
    Consumer Discretionary — 12.6%  
  2,949     99 Cents Only Stores*   $ 23,769    
  6,293     Advance Auto Parts, Inc.     226,296    
  4,844     Aeropostale, Inc.*     123,764    
  13,505     American Eagle Outfitters, Inc.     309,129    
  3,497     American Greetings Corp., Class A     81,340    
  3,910     AnnTaylor Stores Corp.*     119,060    
  4,542     ArvinMeritor, Inc.     45,920    
  3,186     Barnes & Noble, Inc.     122,502    
  5,523     Belo Corp., Class A     91,461    
  1,613     Blyth, Inc.     31,728    
  2,222     Bob Evans Farms, Inc.     68,527    
  3,697     Borders Group, Inc.     46,250    
  3,641     BorgWarner, Inc.     351,757    
  3,527     Boyd Gaming Corp.     136,565    
  6,608     Brinker International, Inc.     152,182    
  4,165     Callaway Golf Co.     71,055    
  5,731     Career Education Corp.*     164,652    
  13,677     Carmax, Inc.*     312,793    
  1,537     CBRL Group, Inc.     51,428    
  7,701     Charming Shoppes, Inc.*     42,587    
  4,534     Cheesecake Factory (The)*     105,597    
  11,061     Chico's FAS, Inc.*     125,100    
  2,063     Chipotle Mexican Grill, Inc., Class A*     274,688    
  3,883     Coldwater Creek, Inc.*     32,035    
  4,118     Collective Brands, Inc.*     63,129    
  5,316     Corinthian Colleges, Inc.*     92,817    
  3,753     DeVry, Inc.     206,340    
  5,211     Dick's Sporting Goods, Inc.*     162,896    
  5,981     Dollar Tree Stores, Inc.*     171,416    
  1,661     Entercom Communications Corp.,
Class A		     27,058    
  9,700     Foot Locker, Inc.     126,585    
  3,037     Furniture Brands International, Inc.     30,765    
  9,994     GameStop Corp., Class A*     574,155    
  9,033     Gentex Corp.     179,034    
  2,979     Getty Images, Inc.*     86,838    
  3,430     Guess?, Inc.     160,970    
  6,026     Hanesbrands, Inc.*     170,114    
  3,110     Harte-Hanks, Inc.     52,248    
  2,306     Hovnanian Enterprises, Inc., Class A*     17,433    
  1,962     International Speedway Corp.,
Class A		     83,601    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,877     ITT Educational Services, Inc.*   $ 212,364    
  2,808     John Wiley & Sons, Inc., Class A     118,357    
  5,135     Lamar Advertising Co., Class A     267,071    
  4,844     Lear Corp.*     142,607    
  2,496     Lee Enterprises, Inc.     34,944    
  2,113     Life Time Fitness, Inc.*     114,778    
  1,967     Matthews International Corp.,
Class A		     86,823    
  2,189     MDC Holdings, Inc.     77,469    
  1,422     Media General, Inc., Class A     35,223    
  2,067     Modine Manufacturing Co.     42,043    
  3,464     Mohawk Industries, Inc.*     278,644    
  3,103     NetFlix, Inc.*     71,679    
  323     NVR, Inc.*     158,916    
  7,216     O'Reilly Automotive, Inc.*     237,118    
  4,399     Pacific Sunwear of California*     72,056    
  8,457     PetSmart, Inc.     240,855    
  3,548     Phillips-Van Heusen     150,506    
  2,775     Regis Corp.     81,557    
  4,346     Rent-A-Center, Inc.*     61,539    
  8,616     Ross Stores, Inc.     227,290    
  3,247     Ruby Tuesday, Inc.     42,568    
  2,630     Ryland Group, Inc.     60,490    
  9,012     Saks, Inc. *     185,647    
  1,634     Scholastic Corp.*     57,582    
  4,078     Scientific Games Corp.*     132,086    
  18,041     Service Corp. International     239,585    
  4,161     Sotheby's     155,829    
  911     Strayer Education, Inc.     164,764    
  2,173     Thor Industries, Inc.     76,598    
  3,158     Timberland Co., Class A*     51,412    
  7,979     Toll Brothers, Inc.*     164,926    
  3,881     Tupperware Brands Corp.     135,369    
  7,086     Urban Outfitters, Inc.*     185,653    
  3,009     Valassis Communications, Inc.*     37,101    
  2,859     Warnaco Group, Inc. (The)*     105,497    
  364     Washington Post Co. (The), Class B     293,566    
  5,661     Williams-Sonoma, Inc.     164,792    
      10,280,888    
    Consumer Staples — 2.9%  
  5,291     Alberto-Culver Co.     135,238    
  4,090     BJ's Wholesale Club, Inc.*     153,171    

 

See accompanying notes to the financial statements.


69


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra MidCap400 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  4,141     Church & Dwight Co., Inc.   $ 232,393    
  4,671     Corn Products International, Inc.     183,710    
  3,579     Energizer Holdings, Inc.*     406,682    
  3,717     Hansen Natural Corp.*     161,355    
  4,547     Hormel Foods Corp.     180,743    
  3,614     JM Smucker Co. (The)     177,556    
  1,374     Lancaster Colony Corp.     52,926    
  3,556     NBTY, Inc.*     106,218    
  3,722     PepsiAmericas, Inc.     125,990    
  2,322     Ruddick Corp.     83,104    
  7,339     Smithfield Foods, Inc.*     220,537    
  1,694     Tootsie Roll Industries, Inc.     41,740    
  1,720     Universal Corp.     92,330    
      2,353,693    
    Energy — 8.0%  
  8,992     Arch Coal, Inc.     340,437    
  2,105     Bill Barrett Corp.*     81,253    
  6,830     Cameron International Corp.*     636,761    
  5,223     Cimarex Energy Co.     201,764    
  7,669     Denbury Resources, Inc.*     408,911    
  3,342     Encore Acquisition Co.*     108,782    
  4,134     Exterran Holdings, Inc.*     330,885    
  8,142     FMC Technologies, Inc.*     452,532    
  5,528     Forest Oil Corp.*     260,258    
  6,733     Frontier Oil Corp.     297,599    
  8,061     Grant Prideco, Inc.*     387,734    
  6,489     Helmerich & Payne, Inc.     224,195    
  8,166     Newfield Exploration Co.*     407,075    
  1,786     Overseas Shipholding Group, Inc.     127,878    
  9,842     Patterson-UTI Energy, Inc.     185,522    
  7,625     Pioneer Natural Resources Co.     339,846    
  7,089     Plains Exploration & Production Co.*     357,356    
  10,480     Pride International, Inc.*     345,526    
  3,203     Quicksilver Resources, Inc.*     162,072    
  10,697     Southwestern Energy Co.*     532,390    
  5,119     Superior Energy Services*     178,653    
  3,504     Tidewater, Inc.     171,311    
      6,538,740    
    Financials — 13.1%  
  6,278     AMB Property Corp. (REIT)     383,963    
  4,724     American Financial Group, Inc.     138,035    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  7,195     AmeriCredit Corp.*   $ 82,527    
  5,989     Arthur J. Gallagher & Co.     157,391    
  7,987     Associated Banc-Corp.     217,326    
  5,167     Astoria Financial Corp.     129,382    
  3,107     Bank of Hawaii Corp.     161,782    
  3,191     BRE Properties, Inc. (REIT)     142,159    
  7,143     Brown & Brown, Inc.     175,718    
  3,527     Camden Property Trust (REIT)     185,555    
  3,140     Cathay General Bancorp     90,997    
  2,572     City National Corp.     165,688    
  9,636     Colonial BancGroup, Inc. (The)     153,405    
  2,856     Commerce Group, Inc.     102,673    
  2,346     Cousins Properties, Inc. (REIT)     55,764    
  3,712     Cullen/Frost Bankers, Inc.     195,288    
  9,046     Duke Realty Corp. (REIT)     237,819    
  7,767     Eaton Vance Corp.     339,884    
  2,320     Equity One, Inc. (REIT)     54,914    
  3,972     Everest Re Group Ltd.     416,782    
  13,882     Fidelity National Financial, Inc.,
Class A		     216,837    
  6,018     First American Corp.     205,695    
  1,664     First Community Bancorp, Inc.     74,863    
  6,621     First Niagara Financial Group, Inc.     82,299    
  5,057     FirstMerit Corp.     104,225    
  3,261     Hanover Insurance Group, Inc. (The)     147,071    
  7,076     HCC Insurance Holdings, Inc.     217,516    
  5,090     Health Care REIT, Inc. (REIT)     228,083    
  3,590     Highwoods Properties, Inc. (REIT)     113,911    
  2,711     Horace Mann Educators Corp.     53,027    
  5,899     Hospitality Properties Trust (REIT)     215,549    
  5,058     IndyMac Bancorp, Inc.     48,304    
  7,038     Jefferies Group, Inc.     179,891    
  2,352     Jones Lang LaSalle, Inc.     197,733    
  5,735     Liberty Property Trust (REIT)     179,563    
  4,516     Macerich Co. (The) (REIT)     350,667    
  4,269     Mack-Cali Realty Corp. (REIT)     152,361    
  2,235     Mercury General Corp.     115,974    
  5,716     Nationwide Health Properties,
Inc. (REIT)		     178,796    
  19,723     New York Community Bancorp, Inc.     367,045    
  14,552     Old Republic International Corp.     218,426    
  5,098     PMI Group, Inc. (The)     67,447    
  2,453     Potlatch Corp. (REIT)     112,617    

 

See accompanying notes to the financial statements.


70


Shares  
  Value  
    Common Stocks (a) (continued)  
  4,408     Protective Life Corp.   $ 182,403    
  5,052     Radian Group, Inc.     57,290    
  5,928     Raymond James Financial, Inc.     192,541    
  4,892     Rayonier, Inc. (REIT)     226,891    
  6,351     Realty Income Corp. (REIT)     181,004    
  4,368     Regency Centers Corp. (REIT)     290,210    
  7,999     SEI Investments Co.     248,129    
  3,112     Stancorp Financial Group, Inc.     162,104    
  2,161     SVB Financial Group*     111,248    
  6,861     TCF Financial Corp.     133,172    
  8,467     UDR, Inc. (REIT)     186,528    
  3,295     Unitrin, Inc.     152,427    
  5,266     Waddell & Reed Financial, Inc.     179,992    
  5,490     Washington Federal, Inc.     128,850    
  3,434     Webster Financial Corp.     115,691    
  4,835     Weingarten Realty Investors (REIT)     172,368    
  1,868     Westamerica Bancorporation     87,815    
  4,273     Wilmington Trust Corp.     152,632    
  10,356     WR Berkley Corp.     316,687    
      10,692,934    
    Health Care — 11.0%  
  3,799     Advanced Medical Optics, Inc.*     95,811    
  4,305     Affymetrix, Inc.*     89,759    
  2,747     Apria Healthcare Group, Inc.*     59,527    
  3,890     Beckman Coulter, Inc.     275,140    
  4,202     Cephalon, Inc.*     314,814    
  4,124     Cerner Corp.*     246,409    
  4,267     Charles River Laboratories
International, Inc.*		     271,083    
  6,025     Community Health Systems, Inc.*     201,356    
  4,003     Covance, Inc.*     349,582    
  9,552     Dentsply International, Inc.     408,635    
  3,599     Edwards Lifesciences Corp.*     177,971    
  8,423     Endo Pharmaceuticals Holdings, Inc.*     230,874    
  3,326     Gen-Probe, Inc.*     222,476    
  15,236     Health Management Associates, Inc.,
Class A		     103,757    
  6,991     Health Net, Inc.*     339,623    
  5,597     Henry Schein, Inc.*     331,063    
  3,892     Hillenbrand Industries, Inc.     209,545    
  7,197     Hologic, Inc.*     477,809    
  2,372     Intuitive Surgical, Inc.*     777,257    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,910     Invitrogen Corp.*   $ 282,299    
  1,877     Kindred Healthcare, Inc.*     46,118    
  3,372     Kinetic Concepts, Inc.*     197,734    
  3,648     LifePoint Hospitals, Inc.*     115,423    
  5,038     Lincare Holdings, Inc.*     172,249    
  3,508     Medicis Pharmaceutical Corp.,
Class A		     94,365    
  20,137     Millennium Pharmaceuticals, Inc.*     296,819    
  7,643     Omnicare, Inc.     194,744    
  2,229     Par Pharmaceutical Cos., Inc.*     42,886    
  7,342     PDL BioPharma, Inc.*     130,027    
  4,887     Perrigo Co.     151,008    
  6,566     Pharmaceutical Product
Development, Inc.		     278,004    
  3,414     Psychiatric Solutions, Inc.*     124,713    
  4,869     Resmed, Inc.*     223,000    
  6,743     Sepracor, Inc.*     178,892    
  4,084     STERIS Corp.     114,189    
  2,483     Techne Corp.*     161,767    
  3,387     Universal Health Services, Inc.,
Class B		     172,568    
  5,778     Valeant Pharmaceuticals International*     66,736    
  1,917     Varian, Inc.*     134,286    
  5,278     VCA Antech, Inc.*     216,556    
  1,838     Ventana Medical Systems, Inc.*     163,251    
  8,280     Vertex Pharmaceuticals, Inc.*     210,229    
  2,621     WellCare Health Plans, Inc.*     101,983    
      9,052,337    
    Industrials — 13.3%  
  5,748     AGCO Corp.*     396,267    
  5,758     Airtran Holdings, Inc.*     48,885    
  2,544     Alaska Air Group, Inc.*     64,440    
  2,701     Alexander & Baldwin, Inc.     138,777    
  2,111     Alliant Techsystems, Inc.*     246,628    
  6,727     Ametek, Inc.     295,988    
  6,521     Avis Budget Group, Inc.*     98,011    
  3,048     Brink's Co. (The)     195,011    
  3,920     Carlisle Cos., Inc.     156,055    
  4,723     ChoicePoint, Inc.*     178,766    
  2,878     Con-way, Inc.     121,682    
  4,532     Copart, Inc.*     169,316    
  2,273     Corporate Executive Board Co.     152,496    
  3,185     Crane Co.     143,134    

 

See accompanying notes to the financial statements.


71


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra MidCap400 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,280     Deluxe Corp.   $ 103,615    
  4,485     Donaldson Co., Inc.     209,808    
  2,584     DRS Technologies, Inc.     152,999    
  3,698     Dun & Bradstreet Corp.     329,973    
  7,948     Fastenal Co.     315,059    
  3,014     Federal Signal Corp.     34,661    
  3,583     Flowserve Corp.     337,125    
  3,011     GATX Corp.     111,497    
  4,124     Graco, Inc.     153,578    
  2,214     Granite Construction, Inc.     90,818    
  5,290     Harsco Corp.     317,770    
  3,865     Herman Miller, Inc.     106,094    
  3,012     HNI Corp.     110,028    
  3,726     Hubbell, Inc., Class B     204,669    
  5,114     IDEX Corp.     182,570    
  5,501     JB Hunt Transport Services, Inc.     144,621    
  11,313     JetBlue Airways Corp.*     79,191    
  6,790     Joy Global, Inc.     393,820    
  10,619     KBR, Inc.*     422,849    
  1,477     Kelly Services, Inc., Class A     28,137    
  2,448     Kennametal, Inc.     191,066    
  3,039     Korn/Ferry International*     52,362    
  2,695     Lincoln Electric Holdings, Inc.     188,030    
  5,319     Manpower, Inc.     324,991    
  1,844     Mine Safety Appliances Co.     90,374    
  2,986     MSC Industrial Direct Co.     129,055    
  2,803     Navigant Consulting, Inc.*     36,383    
  2,121     Nordson Corp.     111,989    
  4,654     Oshkosh Truck Corp.     223,811    
  6,270     Pentair, Inc.     212,678    
  10,669     Quanta Services, Inc.*     292,117    
  10,318     Republic Services, Inc.     342,248    
  1,793     Rollins, Inc.     52,786    
  5,566     Roper Industries, Inc.     353,163    
  460     Sequa Corp., Class A*     80,477    
  3,423     SPX Corp.     348,325    
  5,506     Stericycle, Inc.*     324,028    
  2,475     Teleflex, Inc.     149,317    
  3,187     Thomas & Betts Corp.*     173,245    
  5,963     Timken Co.     190,160    
  5,096     Trinity Industries, Inc.     128,980    
  4,589     United Rentals, Inc.*     106,786    
  5,200     URS Corp.*     298,948    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,065     Wabtec Corp.   $ 104,026    
  2,888     Werner Enterprises, Inc.     50,684    
  3,624     YRC Worldwide, Inc.*     64,181    
      10,854,548    
    Information Technology — 13.2%  
  25,105     3Com Corp.*     108,203    
  2,304     ACI Worldwide, Inc.*     52,600    
  17,940     Activision, Inc.*     397,371    
  4,346     Acxiom Corp.     53,543    
  7,384     ADC Telecommunications, Inc.*     122,279    
  3,830     Adtran, Inc.     83,073    
  1,099     Advent Software, Inc.*     55,785    
  4,947     Alliance Data Systems Corp.*     384,382    
  11,186     Amphenol Corp., Class A     484,913    
  9,804     Andrew Corp.*     143,727    
  7,776     Arrow Electronics, Inc.*     287,790    
  28,222     Atmel Corp.*     123,895    
  9,418     Avnet, Inc.*     324,921    
  3,175     Avocent Corp.*     79,057    
  8,748     Broadridge Financial Solutions, Inc.     199,192    
  17,440     Cadence Design Systems, Inc.*     289,504    
  5,547     Checkfree Corp.*     264,037    
  3,875     CommScope, Inc.*     156,937    
  5,326     Cree, Inc.*     131,179    
  2,232     CSG Systems International, Inc.*     36,984    
  9,701     Cypress Semiconductor Corp.*     322,267    
  4,135     Diebold, Inc.     140,425    
  2,522     Digital River, Inc.*     97,526    
  3,349     DST Systems, Inc.*     283,828    
  2,577     Dycom Industries, Inc.*     72,517    
  5,293     F5 Networks, Inc.*     139,841    
  3,590     Fair Isaac Corp.     132,686    
  7,807     Fairchild Semiconductor
International, Inc.*		     123,819    
  4,376     Gartner, Inc.*     82,663    
  5,087     Global Payments, Inc.     219,860    
  8,635     Harris Corp.     542,019    
  2,148     Imation Corp.     43,110    
  9,184     Ingram Micro, Inc.*     182,762    
  12,333     Integrated Device Technology, Inc.*     149,599    
  4,557     International Rectifier Corp.*     148,194    
  8,367     Intersil Corp., Class A     208,673    

 

See accompanying notes to the financial statements.


72


Shares  
  Value  
    Common Stocks (a) (continued)  
  4,937     Jack Henry & Associates, Inc.   $ 132,114    
  5,263     Kemet Corp.*     32,631    
  8,488     Lam Research Corp.*     389,175    
  3,449     Macrovision Corp.*     85,949    
  10,025     McAfee, Inc.*     390,474    
  5,629     Mentor Graphics Corp.*     61,300    
  5,583     Metavante Technologies, Inc.*     127,181    
  5,208     MoneyGram International, Inc.     80,411    
  6,395     MPS Group, Inc.*     70,984    
  3,600     National Instruments Corp.     120,132    
  11,343     NCR Corp.*     271,551    
  4,802     NeuStar, Inc., Class A*     152,560    
  6,539     Palm, Inc.     45,577    
  7,217     Parametric Technology Corp.*     120,524    
  3,020     Plantronics, Inc.     81,087    
  5,747     Polycom, Inc.*     139,480    
  8,216     Powerwave Technologies, Inc.*     34,014    
  18,135     RF Micro Devices, Inc.*     104,820    
  3,994     Semtech Corp.*     60,948    
  3,469     Silicon Laboratories, Inc.*     128,839    
  2,661     SRA International, Inc., Class A*     72,752    
  5,742     Sybase, Inc.*     147,225    
  9,107     Synopsys, Inc.*     224,123    
  3,471     Tech Data Corp.*     130,544    
  8,738     TriQuint Semiconductor, Inc.*     51,816    
  6,305     Valueclick, Inc.*     149,050    
  11,710     Vishay Intertechnology, Inc.*     146,258    
  13,762     Western Digital Corp.*     380,244    
  4,812     Wind River Systems, Inc.*     49,131    
  4,339     Zebra Technologies Corp.*     167,355    
      10,817,410    
    Materials — 6.7%  
  4,979     Airgas, Inc.     246,361    
  4,982     Albemarle Corp.     219,906    
  4,254     Cabot Corp.     146,423    
  3,246     Carpenter Technology Corp.     244,911    
  3,009     CF Industries Holdings, Inc.     273,759    
  15,182     Chemtura Corp.     113,865    
  2,578     Cleveland-Cliffs, Inc.     232,536    
  7,522     Commercial Metals Co.     232,505    
  2,638     Cytec Industries, Inc.     161,815    
  2,730     Ferro Corp.     57,849    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  4,781     FMC Corp.   $ 261,616    
  6,561     Louisiana-Pacific Corp.     100,908    
  4,340     Lubrizol Corp.     278,368    
  15,927     Lyondell Chemical Co.     751,754    
  2,626     Martin Marietta Materials, Inc.     353,328    
  1,211     Minerals Technologies, Inc.     81,016    
  4,644     Olin Corp.     97,245    
  5,825     Packaging Corp. of America     164,789    
  4,170     Reliance Steel & Aluminum Co.     215,130    
  7,615     RPM International, Inc.     145,066    
  2,758     Scotts Miracle-Gro Co. (The),
Class A		     101,798    
  2,961     Sensient Technologies Corp.     81,931    
  6,335     Sonoco Products Co.     192,457    
  6,549     Steel Dynamics, Inc.     329,480    
  5,772     Terra Industries, Inc.*     218,066    
  6,319     Valspar Corp.     142,430    
  1     Vulcan Materials Co.     63    
  4,334     Worthington Industries, Inc.     91,837    
      5,537,212    
    Telecommunication Services — 0.6%  
  15,591     Cincinnati Bell, Inc.*     74,213    
  6,695     Telephone & Data Systems, Inc.     416,764    
      490,977    
    Utilities — 6.9%  
  4,882     AGL Resources, Inc.     181,024    
  7,034     Alliant Energy Corp.     292,052    
  8,331     Aqua America, Inc.     184,448    
  23,553     Aquila, Inc.*     93,270    
  2,372     Black Hills Corp.     98,817    
  7,136     DPL, Inc.     216,078    
  4,509     Energen Corp.     287,404    
  9,946     Energy East Corp.     274,907    
  7,644     Equitable Resources, Inc.     404,062    
  5,410     Great Plains Energy, Inc.     160,569    
  5,186     Hawaiian Electric Industries, Inc.     120,056    
  2,784     Idacorp, Inc.     97,885    
  11,444     MDU Resources Group, Inc.     312,307    
  5,250     National Fuel Gas Co.     250,162    
  9,734     Northeast Utilities     307,400    
  6,712     NSTAR     234,920    

 

See accompanying notes to the financial statements.


73


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra MidCap400 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  5,766     OGE Energy Corp.   $ 205,270    
  6,528     Oneok, Inc.     303,552    
  4,822     PNM Resources, Inc.     106,952    
  7,354     Puget Energy, Inc.     206,427    
  7,331     SCANA Corp.     312,374    
  13,927     Sierra Pacific Resources     239,544    
  4,808     Vectren Corp.     141,163    
  5,749     Westar Energy, Inc.     148,957    
  3,099     WGL Holdings, Inc.     102,391    
  7,349     Wisconsin Energy Corp.     351,576    
      5,633,567    
        Total Common Stock
(Cost $73,157,292)		     72,252,306    
Principal
Amount		  
 
 
    Repurchase Agreements —15.2%  
$ 2,471,862     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,472,818 **		     2,471,862    
  2,843,171     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,844,249 ***		     2,843,171    
  494,372     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $494,559 ****		     494,372    
  6,591,632     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,594,131 *****		     6,591,632    
        Total Repurchase Agreements
(Cost $12,401,037)		     12,401,037    
        Total Investments
(Cost $85,558,329) — 103.5%		     84,653,343    
        Liabilities in excess of
other assets — (3.5%)		     (2,870,928 )  
        Net Assets — 100.0%   $ 81,782,415    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,521,310. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,900,044. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $504,262. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,723,465. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 5,252,825    
Aggregate gross unrealized depreciation     (7,407,799 )  
Net unrealized depreciation   $ (2,154,974 )  
Federal income tax cost of investments   $ 86,808,317    

 

See accompanying notes to the financial statements.


74


Futures Contracts Purchased

Ultra MidCap400 had the following open long futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P MidCap400 Futures Contracts     104     December - 07   $ 8,963,760     $ 136,909    

 

Cash collateral in the amount of $444,647 was pledged for open futures contracts as of November 30, 2007:

Swap Agreements

Ultra MidCap400 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07   $ 61,000,000     $ (2,161,871 )  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     9,015,141       (640,389 )  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     7,291,656       (258,871 )  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     8,122,500       (332,062 )  
    $ (3,393,193 )  

 

See accompanying notes to the financial statements.


75


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra SmallCap600

Shares  
  Value  
    Common Stocks (a) — 91.2%  
    Consumer Discretionary — 12.4%  
  220     4Kids Entertainment, Inc.*   $ 2,750    
  902     Aaron Rents, Inc.     18,139    
  470     Arbitron, Inc.     18,729    
  205     Arctic Cat, Inc.     2,187    
  244     Ashworth, Inc.*     930    
  306     Audiovox Corp.*     3,908    
  196     Bassett Furniture Industries, Inc.     1,744    
  375     Big 5 Sporting Goods Corp.     6,161    
  264     Blue Nile, Inc.*     19,486    
  436     Bright Horizons Family Solutions, Inc.*     16,476    
  736     Brown Shoe Co., Inc.     12,490    
  255     Buffalo Wild Wings, Inc.*     7,372    
  489     Building Materials Holding Corp.     2,797    
  657     Cabela's, Inc.*     10,867    
  485     California Pizza Kitchen, Inc.*     7,716    
  542     Cato Corp. (The), Class A     8,163    
  490     CEC Entertainment, Inc.*     13,965    
  1,279     Champion Enterprises, Inc.*     11,537    
  422     Charlotte Russe Holding, Inc.*     6,946    
  388     Childrens Place Retail Stores, Inc. (The)*     11,042    
  603     Christopher & Banks Corp.     9,720    
  952     CKE Restaurants, Inc.     13,918    
  262     Coachmen Industries, Inc.     1,381    
  464     Coinstar, Inc.*     12,124    
  88     CPI Corp.     2,443    
  1,357     CROCS, Inc.*     52,964    
  213     Deckers Outdoor Corp.*     30,708    
  781     Dress Barn, Inc.*     11,043    
  301     Drew Industries, Inc.*     8,223    
  499     Ethan Allen Interiors, Inc.     14,251    
  707     Finish Line, Class A     2,651    
  1,069     Fleetwood Enterprises, Inc.*     5,847    
  760     Fossil, Inc.*     32,938    
  669     Fred's, Inc., Class A     6,971    
  379     Genesco, Inc.*     11,749    
  379     Group 1 Automotive, Inc.     10,188    
  505     Gymboree Corp.*     16,847    
  378     Haverty Furniture Cos., Inc.     3,213    
  518     Hibbett Sports, Inc.*     11,096    
  739     HOT Topic, Inc.*     4,663    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  945     Iconix Brand Group, Inc.*   $ 21,537    
  247     Ihop Corp.     12,533    
  1,046     Jack in the Box, Inc.*     31,328    
  468     Jakks Pacific, Inc.*     11,812    
  415     Jo-Ann Stores, Inc.*     6,831    
  302     JOS. A. Bank Clothiers, Inc.*     7,819    
  445     K-Swiss, Inc., Class A     8,077    
  431     Kellwood Co.     6,461    
  862     La-Z-Boy, Inc.     4,707    
  207     Landry's Restaurants, Inc.     4,889    
  242     Libbey, Inc.     3,753    
  266     Lithia Motors, Inc., Class A     4,150    
  1,221     Live Nation, Inc.*     16,386    
  900     LKQ Corp.*     35,739    
  206     M/I Homes, Inc.     2,066    
  322     Maidenform Brands, Inc.*     4,209    
  360     Marcus Corp.     6,487    
  313     MarineMax, Inc.*     5,118    
  886     Men's Wearhouse, Inc.     30,585    
  437     Meritage Homes Corp.*     5,974    
  244     Midas, Inc.*     3,997    
  499     Monaco Coach Corp.     4,506    
  235     Monarch Casino & Resort, Inc.*     6,011    
  321     Movado Group, Inc.     8,892    
  384     Multimedia Games, Inc.*     3,049    
  79     National Presto Industries, Inc.     4,279    
  525     Nautilus, Inc.     3,019    
  369     O'Charleys, Inc.     5,502    
  259     Oxford Industries, Inc.     6,415    
  534     Panera Bread Co., Class A*     21,397    
  358     Papa John's International, Inc.*     8,431    
  206     Peet's Coffee & Tea, Inc.*     5,504    
  697     PEP Boys-Manny Moe & Jack     7,618    
  404     PetMed Express, Inc.*     5,147    
  430     PF Chang's China Bistro, Inc.*     11,004    
  995     Pinnacle Entertainment, Inc.*     27,313    
  594     Polaris Industries, Inc.     27,063    
  821     Pool Corp.     17,504    
  150     Pre-Paid Legal Services, Inc.*     7,501    
  2,047     Quiksilver, Inc.*     21,698    
  1,349     Radio One, Inc., Class D*     2,752    
  316     RC2 Corp.*     9,189    
  279     Red Robin Gourmet Burgers, Inc.*     11,037    

 

See accompanying notes to the financial statements.


76


Shares  
  Value  
    Common Stocks (a) (continued)  
  278     Russ Berrie & Co., Inc.*   $ 4,615    
  317     Ruth's Chris Steak House*     3,836    
  755     Select Comfort Corp.*     8,033    
  587     Shuffle Master, Inc.*     7,848    
  540     Skechers U.S.A., Inc., Class A*     12,231    
  113     Skyline Corp.     3,831    
  516     Sonic Automotive, Inc., Class A     11,925    
  1,047     Sonic Corp.*     25,547    
  543     Spartan Motors, Inc.     5,419    
  689     Stage Stores, Inc.     11,658    
  283     Stamps.com, Inc.*     3,594    
  202     Standard Motor Products, Inc.     1,497    
  1,079     Standard-Pacific Corp.     3,733    
  474     Steak N Shake Co. (The)*     5,484    
  439     Stein Mart, Inc.     2,379    
  378     Sturm Ruger & Co., Inc.*     3,496    
  385     Superior Industries International, Inc.     7,130    
  896     Texas Roadhouse, Inc., Class A*     11,281    
  578     Tractor Supply Co.*     23,710    
  1,050     Triarc Cos., Inc., Class B     8,830    
  497     Tuesday Morning Corp.     3,698    
  513     Tween Brands, Inc.*     12,917    
  237     Unifirst Corp.     8,857    
  238     Universal Electronics, Inc.*     8,794    
  390     Universal Technical Institute, Inc.*     6,876    
  243     Volcom, Inc.*     6,554    
  512     Winnebago Industries     11,018    
  683     WMS Industries, Inc.*     22,812    
  890     Wolverine World Wide, Inc.     22,045    
  816     Zale Corp.*     14,598    
  296     Zumiez, Inc.*     8,229    
      1,198,107    
    Consumer Staples — 3.1%  
  1,478     Alliance One International, Inc.*     6,104    
  169     Boston Beer Co., Inc., Class A*     5,609    
  843     Casey's General Stores, Inc.     24,447    
  1,194     Central Garden and Pet Co., Class A*     6,269    
  319     Chattem, Inc.*     22,620    
  1,293     Flowers Foods, Inc.     30,036    
  327     Great Atlantic & Pacific Tea Co.*     9,826    
  661     Hain Celestial Group, Inc.*     21,866    
  233     J&J Snack Foods Corp.     7,545    
  518     Lance, Inc.     10,743    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  528     Longs Drug Stores Corp.   $ 27,942    
  260     Mannatech, Inc.     1,641    
  224     Nash Finch Co.     7,995    
  590     Performance Food Group Co.*     16,337    
  432     Ralcorp Holdings, Inc.*     26,520    
  255     Sanderson Farms, Inc.     7,920    
  363     Spartan Stores, Inc.     8,168    
  679     Spectrum Brands, Inc.*     3,510    
  519     TreeHouse Foods, Inc.*     12,233    
  713     United Natural Foods, Inc.*     20,884    
  141     USANA Health Sciences, Inc.*     5,877    
  287     WD-40 Co.     11,385    
      295,477    
    Energy — 7.1%  
  459     Atwood Oceanics, Inc.*     40,048    
  374     Basic Energy Services, Inc.*     7,293    
  395     Bristow Group, Inc.*     21,725    
  1,612     Cabot Oil & Gas Corp.     55,485    
  338     CARBO Ceramics, Inc.     13,419    
  451     Dril-Quip, Inc.*     25,445    
  182     Gulf Island Fabrication, Inc.     5,789    
  1,520     Helix Energy Solutions Group, Inc.*     61,697    
  384     Hornbeck Offshore Services, Inc.*     15,809    
  1,177     ION Geophysical Corp.*     18,161    
  249     Lufkin Industries, Inc.     12,950    
  1,351     Massey Energy Co.     45,866    
  443     Matrix Service Co.*     11,558    
  302     NATCO Group, Inc.*     14,357    
  907     Oceaneering International, Inc.*     57,876    
  442     Patriot Coal Corp.*     14,944    
  631     Penn Virginia Corp.     26,262    
  248     Petroleum Development Corp.*     12,566    
  826     Pioneer Drilling Co.*     9,838    
  403     SEACOR Holdings, Inc.*     36,500    
  1,056     St. Mary Land & Exploration Co.     41,501    
  466     Stone Energy Corp.*     21,063    
  262     Superior Well Services, Inc.*     5,080    
  500     Swift Energy Co.*     20,255    
  1,207     Tetra Technologies, Inc.*     19,083    
  773     Unit Corp.*     34,569    
  509     W-H Energy Services, Inc.*     25,704    
  476     World Fuel Services Corp.     15,061    
      689,904    

 

See accompanying notes to the financial statements.


77


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra SmallCap600 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
    Financials — 14.4%  
  535     Acadia Realty Trust (REIT)   $ 14,119    
  282     Alabama National Bancorporation     21,796    
  295     Anchor Bancorp Wisconsin, Inc.     7,499    
  919     Bank Mutual Corp.     9,300    
  716     BankAtlantic Bancorp, Inc., Class A     2,757    
  518     BankUnited Financial Corp., Class A     4,134    
  621     Boston Private Financial Holdings, Inc.     17,102    
  992     Brookline Bancorp, Inc.     10,168    
  474     Cascade Bancorp     8,219    
  492     Cash America International, Inc.     17,702    
  507     Central Pacific Financial Corp.     10,246    
  826     Chittenden Corp.     28,935    
  782     Colonial Properties Trust (REIT)     19,151    
  298     Columbia Banking System, Inc.     9,181    
  496     Community Bank System, Inc.     10,004    
  548     Corus Bankshares, Inc.     5,201    
  732     Delphi Financial Group, Inc.     28,138    
  1,577     DiamondRock Hospitality Co. (REIT)     27,314    
  434     Dime Community Bancshares     5,889    
  325     Downey Financial Corp.     13,523    
  1,046     East West Bancorp, Inc.     28,190    
  396     EastGroup Properties, Inc. (REIT)     18,267    
  467     Entertainment Properties Trust (REIT)     24,886    
  419     Essex Property Trust, Inc. (REIT)     43,467    
  429     Financial Federal Corp.     9,477    
  1,263     First Bancorp     8,260    
  465     First Cash Financial Services, Inc.*     7,905    
  1,069     First Commonwealth Financial Corp.     12,443    
  531     First Financial Bancorp     6,096    
  215     First Indiana Corp.     6,848    
  824     First Midwest Bancorp, Inc.     26,945    
  227     FirstFed Financial Corp.*     7,950    
  612     Flagstar Bancorp, Inc.     3,856    
  422     Franklin Bank Corp.*     1,793    
  1,128     Fremont General Corp.     2,831    
  645     Frontier Financial Corp.     12,358    
  891     Glacier Bancorp, Inc.     17,740    
  410     Hancock Holding Co.     16,076    
  670     Hanmi Financial Corp.     6,425    
  613     Hilb Rogal & Hobbs Co.     26,206    
  332     Independent Bank Corp.     3,174    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  272     Infinity Property & Casualty Corp.   $ 10,632    
  967     Inland Real Estate Corp. (REIT)     14,138    
  739     Investment Technology Group, Inc.*     33,758    
  311     Irwin Financial Corp.     2,528    
  544     Kilroy Realty Corp. (REIT)     30,404    
  481     Kite Realty Group Trust (REIT)     7,528    
  900     LaBranche & Co., Inc.*     4,779    
  259     LandAmerica Financial Group, Inc.     6,817    
  1,066     Lexington Realty Trust (REIT)     18,858    
  342     LTC Properties, Inc. (REIT)     8,051    
  825     Medical Properties Trust, Inc. (REIT)     9,256    
  425     Mid-America Apartment
Communities, Inc. (REIT)		     20,523    
  362     Nara Bancorp, Inc.     4,829    
  1,183     National Retail Properties, Inc. (REIT)     28,972    
  734     optionsXpress Holdings, Inc.     22,321    
  265     Parkway Properties, Inc. (REIT)     10,486    
  963     Philadelphia Consolidated Holding Co.*     41,005    
  291     Piper Jaffray Cos.*     13,479    
  251     Portfolio Recovery Associates, Inc.     10,110    
  359     Presidential Life Corp.     6,189    
  309     PrivateBancorp, Inc.     9,458    
  555     ProAssurance Corp.*     30,436    
  634     Prosperity Bancshares, Inc.     20,377    
  537     Provident Bankshares Corp.     12,593    
  266     PS Business Parks, Inc. (REIT)     14,351    
  447     Rewards Network, Inc.*     2,338    
  328     RLI Corp.     19,559    
  270     Safety Insurance Group, Inc.     9,858    
  138     SCPIE Holdings, Inc.*     3,749    
  890     Selective Insurance Group     20,995    
  1,392     Senior Housing Properties Trust (REIT)     30,749    
  494     Signature Bank*     18,303    
  1,231     South Financial Group, Inc. (The)     22,060    
  359     Sovran Self Storage, Inc. (REIT)     15,692    
  300     Sterling Bancorp     4,008    
  1,216     Sterling Bancshares, Inc.     15,005    
  854     Sterling Financial Corp.     15,312    
  304     Stewart Information Services Corp.     8,229    
  1,419     Susquehanna Bancshares, Inc.     28,224    
  374     SWS Group, Inc.     5,071    
  521     Tanger Factory Outlet Centers (REIT)     21,939    
  336     Tower Group, Inc.     10,893    

 

See accompanying notes to the financial statements.


78


Shares  
  Value  
    Common Stocks (a) (continued)  
  481     TradeStation Group, Inc.*   $ 5,738    
  206     Triad Guaranty, Inc.*     1,774    
  1,249     Trustco Bank Corp. NY     13,277    
  1,727     UCBH Holdings, Inc.     27,770    
  1,021     Umpqua Holdings Corp.     16,479    
  639     United Bankshares, Inc.     19,860    
  682     United Community Banks, Inc.     12,931    
  368     United Fire & Casualty Co.     11,342    
  1,123     Whitney Holding Corp.     30,770    
  293     Wilshire Bancorp, Inc.     2,731    
  402     Wintrust Financial Corp.     14,199    
  291     World Acceptance Corp.*     9,187    
  617     Zenith National Insurance Corp.     25,932    
      1,397,423    
    Health Care — 11.9%  
  934     Allscripts Healthcare Solutions, Inc.*     16,522    
  726     Alpharma, Inc., Class A*     15,246    
  432     Amedisys, Inc.*     18,429    
  1,199     American Medical Systems
Holdings, Inc.*		     16,390    
  873     AMERIGROUP Corp.*     30,005    
  516     AMN Healthcare Services, Inc.*     8,710    
  513     Amsurg Corp.*     13,266    
  220     Analogic Corp.     11,840    
  574     Arqule, Inc.*     3,725    
  457     Arthrocare Corp.*     24,737    
  398     Biolase Technology, Inc.*     1,166    
  226     Bradley Pharmaceuticals, Inc.*     4,450    
  474     Cambrex Corp.     3,669    
  727     Centene Corp.*     18,175    
  398     Chemed Corp.     21,552    
  469     Conmed Corp.*     11,669    
  745     Cooper Cos., Inc. (The)     32,057    
  533     Cross Country Healthcare, Inc.*     7,760    
  412     CryoLife, Inc.*     2,958    
  367     Cyberonics, Inc.*     5,006    
  215     Datascope Corp.     7,867    
  311     Dionex Corp.*     26,270    
  519     Enzo Biochem, Inc.*     5,688    
  465     Gentiva Health Services, Inc.*     8,398    
  374     Greatbatch, Inc.*     7,697    
  441     Haemonetics Corp.*     25,582    
  610     HealthExtras, Inc.*     16,208    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  588     Healthways, Inc.*   $ 34,322    
  1,142     Hooper Holmes, Inc.*     1,861    
  214     ICU Medical, Inc.*     7,944    
  1,032     Idexx Laboratories, Inc.*     62,436    
  1,151     Immucor, Inc.*     38,179    
  306     Integra LifeSciences Holdings Corp.*     12,684    
  532     Invacare Corp.     13,832    
  537     inVentiv Health, Inc.*     15,670    
  213     Kendle International, Inc.*     9,195    
  199     Kensey Nash Corp.*     5,365    
  317     LCA-Vision, Inc.     5,154    
  240     LHC Group, Inc.*     6,144    
  506     Lifecell Corp.*     20,518    
  537     Martek Biosciences Corp.*     13,887    
  355     Matria Healthcare, Inc.*     8,066    
  227     Medcath Corp.*     5,770    
  563     Mentor Corp.     21,163    
  662     Meridian Bioscience, Inc.     20,423    
  461     Merit Medical Systems, Inc.*     6,698    
  1,332     MGI Pharma, Inc.*     46,101    
  235     Molina Healthcare, Inc.*     8,810    
  414     Noven Pharmaceuticals, Inc.*     6,554    
  549     Odyssey HealthCare, Inc.*     5,490    
  566     Omnicell, Inc.*     14,925    
  290     Osteotech, Inc.*     2,384    
  672     Owens & Minor, Inc.     26,389    
  306     Palomar Medical Technologies, Inc.*     5,367    
  460     Parexel International Corp.*     20,355    
  816     Pediatrix Medical Group, Inc.*     52,763    
  311     PharmaNet Development Group, Inc.*     12,285    
  506     PharMerica Corp.*     7,453    
  700     Phase Forward, Inc.*     17,080    
  285     Possis Medical, Inc.*     4,435    
  1,121     PSS World Medical, Inc.*     21,501    
  1,100     Regeneron Pharmaceuticals, Inc.*     23,958    
  285     RehabCare Group, Inc.*     6,584    
  414     Res-Care, Inc.*     9,431    
  1,228     Respironics, Inc.*     60,491    
  728     Savient Pharmaceuticals, Inc.*     10,236    
  587     Sciele Pharma, Inc.*     13,102    
  934     Sierra Health Services, Inc.*     38,995    
  746     Sunrise Senior Living, Inc.*     23,417    
  251     SurModics, Inc.*     12,962    

 

See accompanying notes to the financial statements.


79


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra SmallCap600 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  590     Symmetry Medical, Inc.*   $ 9,936    
  553     Theragenics Corp.*     2,173    
  1,162     Viropharma, Inc.*     10,388    
  133     Vital Signs, Inc.     7,037    
      1,154,955    
    Industrials — 15.9%  
  629     AAR Corp.*     20,770    
  731     ABM Industries, Inc.     14,912    
  727     Acuity Brands, Inc.     28,709    
  395     Administaff, Inc.     12,909    
  436     Albany International Corp.     16,860    
  160     Angelica Corp.     2,773    
  369     AO Smith Corp.     13,059    
  481     Apogee Enterprises, Inc.     10,688    
  611     Applied Industrial Technologies, Inc.     18,458    
  206     Applied Signal Technology, Inc.     2,631    
  417     Arkansas Best Corp.     9,508    
  313     Astec Industries, Inc.*     11,756    
  337     ASV, Inc.*     3,929    
  763     Baldor Electric Co.     25,751    
  748     Barnes Group, Inc.     23,158    
  751     Belden, Inc.     34,584    
  444     Bowne & Co., Inc.     8,019    
  899     Brady Corp., Class A     35,987    
  827     Briggs & Stratton Corp.     18,856    
  427     C&D Technologies, Inc.*     2,259    
  159     Cascade Corp.     9,592    
  225     CDI Corp.     6,001    
  454     Ceradyne, Inc.*     22,446    
  829     Clarcor, Inc.     29,521    
  201     Consolidated Graphics, Inc.*     10,398    
  258     Cubic Corp.     10,186    
  740     Curtiss-Wright Corp.     39,916    
  283     EDO Corp.     15,797    
  1,072     EMCOR Group, Inc.*     28,558    
  359     EnPro Industries, Inc.*     10,985    
  487     Esterline Technologies Corp.*     25,431    
  490     Forward Air Corp.     15,861    
  610     Frontier Airlines Holdings, Inc.*     3,721    
  354     G&K Services, Inc., Class A     14,397    
  890     Gardner Denver, Inc.*     29,468    
  937     GenCorp, Inc.*     11,338    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  497     Gibraltar Industries, Inc.   $ 6,948    
  438     Griffon Corp.*     5,659    
  692     Healthcare Services Group     15,155    
  965     Heartland Express, Inc.     14,021    
  302     Heidrick & Struggles International, Inc.     10,954    
  657     HUB Group, Inc., Class A*     17,135    
  454     Insituform Technologies, Inc.*     5,897    
  912     Interface, Inc., Class A     15,905    
  408     Kaman Corp.     13,015    
  1,279     Kansas City Southern*     44,036    
  470     Kaydon Corp.     23,787    
  889     Kirby Corp.*     42,734    
  964     Knight Transportation, Inc.     14,653    
  732     Labor Ready, Inc.*     11,017    
  913     Landstar System, Inc.     36,319    
  70     Lawson Products     2,368    
  1,065     Lennox International, Inc.     36,040    
  194     Lindsay Corp.     10,266    
  274     Lydall, Inc.*     2,655    
  503     Magnetek, Inc.*     2,208    
  478     Mesa Air Group, Inc.*     1,807    
  574     Mobile Mini, Inc.*     11,032    
  707     Moog, Inc., Class A*     31,872    
  617     Mueller Industries, Inc.     18,652    
  334     NCI Building Systems, Inc.*     11,466    
  472     Old Dominion Freight Line, Inc.*     10,634    
  587     On Assignment, Inc.*     3,751    
  519     Regal-Beloit Corp.     24,434    
  285     Robbins & Myers, Inc.     19,522    
  299     School Specialty, Inc.*     10,671    
  1,344     Shaw Group, Inc. (The)*     85,236    
  621     Simpson Manufacturing Co., Inc.     16,525    
  1,035     Skywest, Inc.     27,231    
  935     Spherion Corp.*     7,274    
  210     Standard Register Co. (The)     2,535    
  207     Standex International Corp.     3,950    
  583     Teledyne Technologies, Inc.*     31,610    
  971     Tetra Tech, Inc.*     20,119    
  661     Toro Co.     36,785    
  387     Tredegar Corp.     5,596    
  277     Triumph Group, Inc.     22,509    
  416     United Stationers, Inc.*     21,075    
  317     Universal Forest Products, Inc.     9,069    

 

See accompanying notes to the financial statements.


80


Shares  
  Value  
    Common Stocks (a) (continued)  
  288     Valmont Industries, Inc.   $ 22,605    
  350     Viad Corp.     10,853    
  318     Vicor Corp.     4,592    
  228     Volt Information Sciences, Inc.*     2,900    
  504     Wabash National Corp.     3,483    
  1,133     Waste Connections, Inc.*     36,063    
  410     Watsco, Inc.     14,862    
  703     Watson Wyatt Worldwide, Inc., Class A     32,373    
  522     Watts Water Technologies, Inc., Class A     15,274    
  494     Woodward Governor Co.     33,859    
      1,540,183    
    Information Technology — 17.9%  
  434     Actel Corp.*     4,757    
  1,979     Adaptec, Inc.*     6,630    
  595     Advanced Energy Industries, Inc.*     8,633    
  445     Agilysys, Inc.     6,181    
  1,082     AMIS Holdings, Inc.*     8,299    
  521     Anixter International, Inc.*     33,604    
  265     Ansoft Corp.*     7,688    
  1,294     Ansys, Inc.*     50,285    
  1,832     Arris Group, Inc.*     19,108    
  572     ATMI, Inc.*     17,211    
  576     Avid Technology, Inc.*     15,281    
  1,700     Axcelis Technologies, Inc.*     8,058    
  214     Bankrate, Inc.*     8,376    
  198     Bel Fuse, Inc., Class B     5,924    
  506     Bell Microproducts, Inc.*     2,834    
  1,201     Benchmark Electronics, Inc.*     21,558    
  292     Black Box Corp.     10,746    
  734     Blackbaud, Inc.     20,890    
  539     Blue Coat Systems, Inc.*     19,517    
  851     Brightpoint, Inc.*     14,135    
  1,172     Brooks Automation, Inc.*     15,740    
  837     C-COR, Inc.*     10,278    
  397     Cabot Microelectronics Corp.*     14,848    
  499     CACI International, Inc., Class A*     22,650    
  454     Captaris, Inc.*     1,843    
  157     Catapult Communications Corp.*     1,138    
  655     Checkpoint Systems, Inc.*     15,563    
  908     Ciber, Inc.*     6,193    
  720     Cognex Corp.     14,594    
  520     Coherent, Inc.*     14,960    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  381     Cohu, Inc.   $ 5,963    
  386     Comtech Telecommunications Corp.*     19,169    
  713     Concur Technologies, Inc.*     26,780    
  597     CTS Corp.     6,310    
  1,136     Cybersource Corp.*     16,597    
  532     Cymer, Inc.*     21,849    
  554     Daktronics, Inc.     12,925    
  488     DealerTrack Holdings, Inc.*     20,759    
  420     Digi International, Inc.*     6,460    
  516     Diodes, Inc.*     15,181    
  425     Ditech Networks, Inc.*     1,373    
  540     DSP Group, Inc.*     7,306    
  469     Electro Scientific Industries, Inc.*     9,497    
  971     Epicor Software Corp.*     10,506    
  442     EPIQ Systems, Inc.*     7,700    
  816     Exar Corp.*     7,499    
  716     Factset Research Systems, Inc.     44,879    
  276     FARO Technologies, Inc.*     7,457    
  602     FEI Co.*     14,996    
  1,103     Flir Systems, Inc.*     75,809    
  386     Gerber Scientific, Inc.*     3,667    
  388     Gevity HR, Inc.     1,649    
  1,528     Harmonic, Inc.*     15,845    
  434     Hutchinson Technology, Inc.*     11,419    
  1,448     Informatica Corp.*     24,833    
  552     Infospace, Inc.     9,831    
  817     Insight Enterprises, Inc.*     16,185    
  359     Intevac, Inc.*     5,636    
  505     Itron, Inc.*     39,163    
  825     j2 Global Communications, Inc.*     20,064    
  435     JDA Software Group, Inc.*     9,109    
  235     Keithley Instruments, Inc.     2,232    
  461     Knot, Inc. (The)*     6,085    
  1,130     Kopin Corp.*     4,068    
  897     Kulicke & Soffa Industries, Inc.*     6,351    
  372     Littelfuse, Inc.*     12,406    
  313     LoJack Corp.*     5,481    
  433     Manhattan Associates, Inc.*     11,747    
  323     Mantech International Corp., Class A*     12,497    
  369     MAXIMUS, Inc.     14,391    
  377     Mercury Computer Systems, Inc.*     5,527    
  633     Methode Electronics, Inc.     7,628    
  929     Micrel, Inc.     8,287    

 

See accompanying notes to the financial statements.


81


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra SmallCap600 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  678     Micros Systems, Inc.*   $ 48,911    
  1,269     Microsemi Corp.*     29,035    
  536     MIVA, Inc.*     1,544    
  843     MKS Instruments, Inc.*     15,317    
  298     MTS Systems Corp.     12,215    
  772     Napster, Inc.*     2,146    
  583     Netgear, Inc.*     19,758    
  445     Network Equipment Technologies, Inc.*     5,536    
  617     Newport Corp.*     8,181    
  537     Novatel Wireless, Inc.*     8,345    
  338     Park Electrochemical Corp.     9,954    
  374     PC-Tel, Inc.*     2,801    
  496     Perficient, Inc.*     8,318    
  433     Pericom Semiconductor Corp.*     7,175    
  445     Phoenix Technologies Ltd.*     6,052    
  277     Photon Dynamics, Inc.*     2,493    
  697     Photronics, Inc.*     7,172    
  292     Planar Systems, Inc.*     1,659    
  772     Plexus Corp.*     22,975    
  693     Progress Software Corp.*     21,920    
  290     Quality Systems, Inc.     8,581    
  437     Radiant Systems, Inc.*     6,979    
  367     Radisys Corp.*     5,703    
  295     Rogers Corp.*     12,998    
  485     Rudolph Technologies, Inc.*     5,796    
  431     Scansource, Inc.*     15,206    
  957     Secure Computing Corp.*     8,680    
  219     SI International, Inc.*     5,685    
  2,670     Skyworks Solutions, Inc.*     24,244    
  499     Smith Micro Software, Inc.*     3,997    
  433     Sonic Solutions, Inc.*     4,300    
  317     SPSS, Inc.*     11,456    
  386     Standard Microsystems Corp.*     13,614    
  189     Startek, Inc.*     1,847    
  348     Stratasys, Inc.*     8,696    
  230     Supertex, Inc.*     7,808    
  543     SYKES Enterprises, Inc.*     10,024    
  773     Symmetricom, Inc.*     3,332    
  437     Synaptics, Inc.*     24,271    
  276     SYNNEX Corp.*     5,702    
  1,232     Take-Two Interactive Software, Inc.*     18,455    
  681     Technitrol, Inc.     18,230    
  1,110     THQ, Inc.*     27,139    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  221     Tollgrade Communications, Inc.*   $ 1,755    
  1,977     Trimble Navigation Ltd.*     73,287    
  703     TTM Technologies, Inc.*     8,499    
  575     Tyler Technologies, Inc.*     8,659    
  388     Ultratech, Inc.*     4,648    
  1,123     United Online, Inc.     16,890    
  1,273     Varian Semiconductor Equipment
Associates, Inc.*		     52,842    
  528     Veeco Instruments, Inc.*     8,860    
  431     Viasat, Inc.*     14,374    
  748     Websense, Inc.*     12,222    
  662     Wright Express Corp.*     25,123    
  479     X-Rite, Inc.*     5,954    
      1,728,001    
    Materials — 4.1%  
  269     AM Castle & Co.     6,752    
  371     AMCOL International Corp.     14,091    
  1,144     Aptargroup, Inc.     48,288    
  408     Arch Chemicals, Inc.     16,789    
  339     Brush Engineered Materials, Inc.*     15,163    
  650     Buckeye Technologies, Inc.*     9,282    
  485     Caraustar Industries, Inc.*     2,003    
  484     Century Aluminum Co.*     27,753    
  331     Chesapeake Corp.     2,019    
  177     Deltic Timber Corp.     8,523    
  573     Georgia Gulf Corp.     4,263    
  1,012     HB Fuller Co.     25,594    
  703     Headwaters, Inc.*     8,436    
  211     Material Sciences Corp.*     1,745    
  468     Myers Industries, Inc.     9,341    
  249     Neenah Paper, Inc.     7,515    
  500     OM Group, Inc.*     28,145    
  701     Omnova Solutions, Inc.*     3,610    
  150     Penford Corp.     3,630    
  1,549     PolyOne Corp.*     9,712    
  168     Quaker Chemical Corp.     3,659    
  619     Quanex Corp.     30,975    
  587     Rock-Tenn Co., Class A     15,485    
  384     RTI International Metals, Inc.*     28,201    
  454     Schulman (A.), Inc.     9,788    
  261     Schweitzer-Mauduit International, Inc.     6,969    
  455     Texas Industries, Inc.     31,568    

 

See accompanying notes to the financial statements.


82


Shares  
  Value  
    Common Stocks (a) (continued)  
  690     Tronox, Inc., Class B   $ 5,589    
  842     Wausau Paper Corp.     7,940    
  363     Zep, Inc.*     4,766    
      397,594    
    Telecommunication Services — 0.1%  
  760     General Communication, Inc., Class A*     6,734    
    Utilities — 4.3%  
  429     Allete, Inc.     17,572    
  284     American States Water Co.     11,829    
  1,484     Atmos Energy Corp.     38,866    
  879     Avista Corp.     18,793    
  170     Central Vermont Public Service Corp.     4,702    
  226     CH Energy Group, Inc.     10,016    
  997     Cleco Corp.     27,856    
  764     El Paso Electric Co.*     19,642    
  360     Laclede Group, Inc. (The)     12,388    
  467     New Jersey Resources Corp.     23,560    
  442     Northwest Natural Gas Co.     21,203    
  1,233     Piedmont Natural Gas Co.     32,107    
  491     South Jersey Industries, Inc.     18,118    
  1,998     Southern Union Co.     59,640    
  706     Southwest Gas Corp.     20,417    
  1,774     UGI Corp.     46,905    
  419     UIL Holdings Corp.     15,009    
  588     Unisource Energy Corp.     18,187    
      416,810    
        Total Common Stock
(Cost $9,208,147)		     8,825,188    
Principal
Amount		  
 
 
    Repurchase Agreements — 15.2%  
$ 293,643     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $293,757 **		     293,643    
  337,753     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $337,881 ***		     337,753    

 

Principal
Amount		  
 
Value		  
    Repurchase Agreements (continued)  
$ 58,729     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $58,751 ****		   $ 58,729    
  783,048     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $783,345 *****		     783,048    
    Total Repurchase Agreements
(Cost $1,473,173)		     1,473,173    
    Total Investments
(Cost $10,681,320) — 106.4%		     10,298,361    
    Liabilities in excess of
other assets — (6.4%)		     (623,491 )  
    Net Assets — 100.0%   $ 9,674,870    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $299,517. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $344,509. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $59,903. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


83


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra SmallCap600 (continued)

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $798,710. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 908,976    
Aggregate gross unrealized depreciation     (1,315,024 )  
Net unrealized depreciation   $ (406,048 )  
Federal income tax cost of investments   $ 10,704,409    

 

Swap Agreements

Ultra SmallCap600 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07   $ 3,499,378     $ (211,680 )  
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07     7,500,000       (316,430 )  
    $ (528,110 )  

 

See accompanying notes to the financial statements.


84



Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) — 89.7%  
  1,557     Alexandria Real Estate
Equities, Inc.
(REIT) (Financials)		     0.2 %   $ 152,944    
  1,779     Alexion
Pharmaceuticals, Inc.*
(Health Care)		     0.2 %     129,369    
  7,608     Andrew Corp.*
(Information
Technology)		     0.2 %     111,533    
  3,787     Ansys, Inc.*
(Information
Technology)		     0.2 %     147,163    
  3,381     Aptargroup, Inc.
(Materials)		     0.2 %     142,712    
  4,306     Aspen Insurance
Holdings Ltd.
(Financials)		     0.2 %     124,013    
  1,339     Atwood Oceanics, Inc.*
(Energy)		     0.2 %     116,828    
  4,680     BioMarin
Pharmaceutical, Inc.*
(Health Care)		     0.2 %     128,700    
  1,827     Bucyrus International, Inc.
(Industrials)		     0.2 %     160,246    
  2,705     CF Industries Holdings,
Inc. (Materials)		     0.3 %     246,101    
  1,602     Chipotle Mexican Grill, Inc.,
Class B*
(Consumer
Discretionary)		     0.2 %     185,063    
  2,164     Curtiss-Wright Corp.
(Industrials)		     0.2 %     116,726    
  2,929     DeVry, Inc. (Consumer
Discretionary)		     0.2 %     161,036    
  1,757     Equinix, Inc.*
(Information
Technology)		     0.2 %     182,921    
  2,947     Exterran Holdings, Inc.*
(Energy)		     0.3 %     235,878    
  3,239     Flir Systems, Inc.*
(Information
Technology)		     0.3 %     222,616    
  7,117     Foundry Networks, Inc.*
(Information
Technology)		     0.2 %     125,473    
  2,315     FTI Consulting, Inc.*
(Industrials)		     0.2 %     131,955    

 

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) (continued)  
  1,390     Genlyte Group, Inc.*
(Industrials)		     0.2 %   $ 131,007    
  5,696     Hercules, Inc.
(Materials)		     0.1 %     110,559    
  4,608     Hexcel Corp.
(Industrials)		     0.2 %     117,366    
  5,977     Hologic, Inc.*
(Health Care)		     0.6 %     396,813    
  2,619     Illumina, Inc.*
(Health Care)		     0.2 %     151,352    
  3,365     Immucor, Inc.*
(Health Care)		     0.2 %     111,617    
  1,900     International Securities
Exchange Holdings,
Inc. (Financials)		     0.2 %     127,661    
  3,289     Inverness Medical
Innovations, Inc.*
(Health Care)		     0.2 %     192,999    
  1,466     Itron, Inc.* (Information
Technology)		     0.2 %     113,688    
  3,746     Lear Corp.* (Consumer
Discretionary)		     0.1 %     110,282    
  2,749     LKQ Corp.* (Consumer
Discretionary)		     0.1 %     109,163    
  3,897     MGI Pharma, Inc.*
(Health Care)		     0.2 %     134,875    
  1,980     Micros Systems, Inc.*
(Information
Technology)		     0.2 %     142,837    
  4,360     Nationwide Health
Properties, Inc.
(REIT) (Financials)		     0.2 %     136,381    
  6,437     Nuance
Communications, Inc.*
(Information
Technology)		     0.2 %     129,899    
  2,673     Onyx Pharmaceuticals, Inc.*
(Health Care)		     0.2 %     145,785    
  2,817     OSI Pharmaceuticals, Inc.*
(Health Care)		     0.2 %     131,357    
  3,755     Perrigo Co.
(Health Care)		     0.2 %     116,030    
  8,285     PetroHawk Energy
Corp.* (Energy)		     0.2 %     135,046    
  1,851     priceline.com, Inc.*
(Consumer
Discretionary)		     0.3 %     210,644    

 

See accompanying notes to the financial statements.


85


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  4,935     Realty Income Corp.
(REIT) (Financials)		     0.2 %   $ 140,647    
  6,259     SAIC, Inc.* (Information
Technology)		     0.2 %     124,804    
  3,228     Sotheby's (Consumer
Discretionary)		     0.2 %     120,889    
  710     Strayer Education, Inc.
(Consumer
Discretionary)		     0.2 %     128,411    
  4,462     Sybase, Inc.*
(Information
Technology)		     0.2 %     114,406    
  4,536     Terra Industries, Inc.*
(Materials)		     0.2 %     171,370    
  7,069     Time Warner Telecom, Inc.,
Class A*
(Telecommunication
Services)		     0.2 %     158,558    
  4,877     Valueclick, Inc.*
(Information
Technology)		     0.2 %     115,292    
  1,311     Ventana Medical
Systems, Inc.*
(Health Care)		     0.2 %     116,443    
  4,100     Waddell & Reed
Financial, Inc.
(Financials)		     0.2 %     140,138    
  4,883     Westar Energy, Inc.
(Utilities)		     0.2 %     126,519    
  3,230,054     Other Common Stocks     79.4 %     55,637,963    
        Total Common Stock
(Cost $65,481,424)		             62,872,078    
Principal
Amount		  
 
 
 
    Repurchase Agreements — 13.4%  
$ 1,870,259     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,870,982 **		           1,870,259    
  2,151,200     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,152,016 ***		           2,151,200    
  374,052     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $374,194 ****		           374,052    

 

Principal
Amount		  
 
 
Value		  
    Repurchase Agreements (continued)  
$ 4,987,359     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $4,989,250 *****		       $ 4,987,359    
    Total Repurchase Agreements
(Cost $9,382,870)		         9,382,870    
    Total Investments
(Cost $74,864,294) — 103.1%		         72,254,948    
    Liabilities in excess of
other assets — (3.1)%		         (2,204,881 )  
    Net Assets — 100.0%       $ 70,050,067    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,907,673. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,194,231. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $381,535. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


86


*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,087,107. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 3,091,127    
Aggregated gross unrealized depreciation     (6,328,784 )  
Net unrealized depreciation   $ (3,237,657 )  
Federal income tax cost of investments   $ 75,492,605    

 

Futures Contracts Purchased

Ultra Russell2000 had the following open long futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Depreciation		  
E-Mini Russell 2000 Index® Futures Contracts     91     December - 07   $ 6,983,340     $ (18,675 )  

 

Cash collateral in the amount of $402,036 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Ultra Russell 2000 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07   $ 30,492,065     $ (678,678 )  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07     42,000,000       (1,860,592 )  
        $ (2,539,270 )  

 

Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2007:

Consumer Discretionary     12.5 %  
Consumer Staples     2.7 %  
Energy     5.7 %  
Financials     17.7 %  
Health Care     12.5 %  
Industrials     13.2 %  
Information Technology     16.6 %  
Materials     4.8 %  
Telecommunication Services     1.3 %  
Utilities     2.7 %  
Other1     10.3 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


87


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 92.3%  
  1,038     Alcoa, Inc. (Materials)     0.4 %   $ 37,752    
  681     Allstate Corp. (The)
(Financials)		     0.4 %     34,813    
  1,077     Altria Group, Inc.
(Consumer Staples)		     0.9 %     83,532    
  2,489     American International
Group, Inc.
(Financials)		     1.6 %     144,686    
  395     Apache Corp. (Energy)     0.4 %     38,232    
  7,361     AT&T, Inc.
(Telecommunication
Services)		     3.1 %     281,264    
  5,298     Bank of America Corp
(Financials)		     2.7 %     244,397    
  882     Bank of New York
Mellon Corp. (The)
(Financials)		     0.5 %     42,301    
  2,566     Chevron Corp.
(Energy)		     2.4 %     225,218    
  5,906     Citigroup, Inc.
(Financials)		     2.1 %     196,670    
  938     Coca-Cola Co. (The)
(Consumer Staples)		     0.6 %     58,250    
  1,952     ConocoPhillips
(Energy)		     1.7 %     156,238    
  256     Deere & Co.
(Industrials)		     0.5 %     43,981    
  532     Devon Energy Corp.
(Energy)		     0.5 %     44,055    
  1,138     Dow Chemical Co.
(The) (Materials)		     0.5 %     47,728    
  927     EI Du Pont de
Nemours & Co.
(Materials)		     0.5 %     42,781    
  440     Exelon Corp. (Utilities)     0.4 %     35,671    
  5,353     Exxon Mobil Corp.
(Energy)		     5.2 %     477,273    
  1,162     Fannie Mae
(Financials)		     0.5 %     44,644    
  416     General Dynamics
Corp. (Industrials)		     0.4 %     36,932    
  10,919     General Electric Co.
(Industrials)		     4.5 %     418,088    
  275     Goldman Sachs
Group, Inc. (The)
(Financials)		     0.7 %     62,326    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  378     Hartford Financial
Services Group, Inc.
(Financials)		     0.4 %   $ 36,031    
  333     International Business
Machines Corp.
(Information
Technology)		     0.4 %     35,025    
  2,161     Johnson & Johnson
(Health Care)		     1.6 %     146,386    
  4,078     JPMorgan Chase & Co.
(Financials)		     2.0 %     186,038    
  1,915     Kraft Foods, Inc.
(Consumer Staples)		     0.7 %     66,163    
  636     Lehman Brothers
Holdings, Inc.
(Financials)		     0.4 %     39,833    
  859     Marathon Oil Corp.
(Energy)		     0.5 %     48,018    
  1,130     McDonald's Corp.
(Consumer
Discretionary)		     0.7 %     66,071    
  787     Merrill Lynch & Co.,
Inc. (Financials)		     0.5 %     47,173    
  563     MetLife, Inc.
(Financials)		     0.4 %     36,927    
  1,186     Morgan Stanley
(Financials)		     0.7 %     62,526    
  2,763     Motorola, Inc.
(Information
Techology)		     0.5 %     44,125    
  995     Occidental Petroleum
Corp. (Energy)		     0.8 %     69,421    
  8,379     Pfizer, Inc.
(Health Care)		     2.2 %     199,085    
  2,270     Procter & Gamble Co.
(Consumer Staples)		     1.8 %     167,980    
  420     Prudential Financial,
Inc. (Financials)		     0.4 %     39,539    
  3,358     Sprint Nextel Corp.
(Telecommunication
Services)		     0.6 %     52,116    
  3,850     Time Warner, Inc.
(Consumer
Discretionary)		     0.7 %     66,451    
  793     Travelers Cos., Inc.
(The) (Financials)		     0.5 %     42,116    
  463     United Technologies
Corp. (Industrials)		     0.3 %     34,618    

 

See accompanying notes to the financial statements.


88


Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  2,076     U.S. Bancorp
(Financials)		     0.7 %   $ 68,695    
  3,466     Verizon Communications,
Inc. (Telecommunication
Services)		     1.6 %     149,766    
  2,373     Wachovia Corp.
(Financials)		     1.1 %     102,039    
  766     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.4 %     36,691    
  1,327     Walt Disney Co.
(The) (Consumer
Discretionary)		     0.5 %     43,990    
  4,056     Wells Fargo & Co.
(Financials)		     1.4 %     131,536    
  761     Wyeth (Health Care)     0.4 %     37,365    
  108,050     Other Common Stocks     39.6 %     3,639,773    
        Total Common Stock
(Cost $8,885,064)		             8,492,329    
Principal
Amount		  
 
   
 		 
    Repurchase Agreements — 19.4%  
$ 356,608     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $356,746 **		           356,608    
  410,175     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $410,331 ***		           410,175    
  71,322     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $71,349 ****		           71,322    
  950,954     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $951,315 *****		           950,954    
        Total Repurchase Agreements
(Cost $1,789,059)		             1,789,059    
        Total Investments
(Cost $10,674,123) — 111.7%		             10,281,388    
        Liabilities in excess of
other assets — (11.7)%		             (1,078,812 )  
        Net Assets — 100.0%           $ 9,202,576    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $363,742. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $418,380. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $72,748. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $969,974. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 502,889    
Aggregate gross unrealized depreciation     (1,022,040 )  
Net unrealized depreciation   $ (519,151 )  
Federal income tax cost of investments   $ 10,800,539    

 

See accompanying notes to the financial statements.


89


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value (continued)

Swap Agreements

Ultra Russell1000 Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on Russell 1000® Value Index, expiring 12/27/07   $ 10,126,379     $ (264,110 )  

 

Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     6.9 %  
Consumer Staples     8.0 %  
Energy     13.9 %  
Financials     28.0 %  
Health Care     6.9 %  
Industrials     9.8 %  
Information Technology     3.1 %  
Materials     3.9 %  
Telecommunication Services     5.7 %  
Utilities     6.1 %  
Other 1     7.7 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


90


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth


Shares		  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 90.4%  
  1,768     3M Co. (Industrials)     0.7 %   $ 147,204    
  4,040     Abbott Laboratories
(Health Care)		     1.0 %     232,340    
  3,150     Altria Group, Inc.
(Consumer Staples)		     1.1 %     244,314    
  2,716     American Express
Co. (Financials)		     0.7 %     160,190    
  2,038     Amgen, Inc.*
(Health Care)		     0.5 %     112,600    
  2,269     Apple, Inc.*
(Information
Technology)		     1.8 %     413,457    
  1,709     Baxter International, Inc.
(Health Care)		     0.5 %     102,318    
  2,065     Boeing Co.
(Industrials)		     0.9 %     191,095    
  5,162     Bristol-Myers
Squibb Co.
(Health Care)		     0.7 %     152,950    
  1,680     Caterpillar, Inc.
(Industrials)		     0.5 %     120,792    
  15,925     Cisco Systems, Inc.*
(Information
Technology)		     2.0 %     446,219    
  3,999     Coca-Cola Co. (The)
(Consumer Staples)		     1.1 %     248,338    
  1,237     Colgate-Palmolive Co.
(Consumer Staples)		     0.4 %     99,059    
  4,749     Comcast Corp.,
Class A* (Consumer
Discretionary)		     0.4 %     97,544    
  4,125     Corning, Inc.
(Information
Technology)		     0.4 %     100,196    
  5,958     Dell, Inc.*
(Information
Technology)		     0.7 %     146,209    
  2,998     eBay, Inc.*
(Information
Technology)		     0.4 %     100,523    
  5,504     EMC Corp.*
(Information
Technology)		     0.5 %     106,062    
  1,733     Emerson Electric Co.
(Industrials)		     0.4 %     98,816    
  3,014     Exxon Mobil Corp.
(Energy)		     1.2 %     268,728    

 


Shares		  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  2,995     General Electric Co.
(Industrials)		     0.5 %   $ 114,679    
  2,449     Gilead Sciences, Inc.*
(Health Care)		     0.5 %     113,976    
  469     Goldman Sachs
Group, Inc. (The)
(Financials)		     0.5 %     106,294    
  601     Google, Inc., Class A*
(Information
Technology)		     1.8 %     416,493    
  7,020     Hewlett-Packard Co.
(Information
Technology)		     1.6 %     359,143    
  1,751     Honeywell
International, Inc.
(Industrials)		     0.4 %     99,142    
  15,239     Intel Corp.
(Information
Technology)		     1.8 %     397,433    
  2,852     International
Business Machines
Corp. (Information
Technology)		     1.3 %     299,973    
  2,849     Johnson & Johnson
(Health Care)		     0.9 %     192,991    
  923     Lockheed Martin
Corp. (Industrials)		     0.5 %     102,148    
  3,949     Lowe's Cos., Inc.
(Consumer
Discretionary)		     0.4 %     96,395    
  3,014     Medtronic, Inc.
(Health Care)		     0.7 %     153,262    
  4,696     Merck & Co., Inc.
(Health Care)		     1.2 %     278,755    
  21,530     Microsoft Corp.
(Information
Technology)		     3.2 %     723,408    
  1,428     Monsanto Co.
(Materials)		     0.6 %     141,900    
  10,113     Oracle Corp.*
(Information
Technology)		     0.9 %     204,080    
  4,273     PepsiCo, Inc.
(Consumer Staples)		     1.5 %     329,790    
  3,271     Procter & Gamble Co.
(Consumer Staples)		     1.1 %     242,054    

 

See accompanying notes to the financial statements.


91


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)


Shares		  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  4,372     Qualcomm, Inc.
(Information
Technology)		     0.8 %   $ 178,290    
  4,248     Schering-Plough Corp.
(Health Care)		     0.6 %     132,962    
  3,091     Schlumberger Ltd.
(Energy)		     1.3 %     288,854    
  2,243     Target Corp.
(Consumer
Discretionary)		     0.6 %     134,715    
  3,761     Texas Instruments,
Inc. (Information
Technology)		     0.5 %     118,735    
  814     Transocean, Inc.
(Energy)		     0.5 %     111,804    
  1,761     United Parcel Service,
Inc., Class B
(Industrials)		     0.6 %     129,750    
  1,591     United Technologies
Corp. (Industrials)		     0.5 %     118,959    
  3,515     UnitedHealth Group,
Inc. (Health Care)		     0.9 %     193,325    
  2,616     Walgreen Co.
(Consumer Staples)		     0.4 %     95,719    
  4,642     Wal-Mart Stores, Inc.
(Consumer Staples)		     1.0 %     222,352    
  256,014     Other Common
Stocks		     47.4 %     10,693,906    
    Total Common Stock
(Cost $19,747,996)		             20,380,241    
Principal
Amount 
 
 
 
 
    Repurchase Agreements — 14.0%  
$ 630,639     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $630,883 **		           630,639    
  725,370     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $725,645 ***		           725,370    
  126,128     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $126,176 ****		           126,128    

 

Principal
Amount		  
 
 
Value		  
    Repurchase Agreements (continued)  
$ 1,681,704     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,682,342 *****		     $ 1,681,704    
    Total Repurchase Agreements
(Cost $3,163,841)		         3,163,841    
    Total Investments
(Cost $22,911,837) — 104.4%		         23,544,082    
    Liabilities in excess of
other assets — (4.4)%		         (982,840 )  
    Net Assets — 100.0%       $ 22,561,242    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $643,254. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $739,880. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $128,651. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


92


*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,715,338. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,542,322    
Aggregate gross unrealized depreciation     (935,296 )  
Net unrealized appreciation   $ 607,026    
Federal income tax cost of investments   $ 22,937,056    

 

Swap Agreements

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07   $ 8,516,205     $ (379,776 )  
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07     17,000,000       (533,186 )  
        $ (912,962 )  

 

Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     10.7 %  
Consumer Staples     9.4 %  
Energy     7.4 %  
Financials     6.4 %  
Health Care     14.7 %  
Industrials     11.7 %  
Information Technology     25.1 %  
Materials     3.0 %  
Telecommunication Services     0.7 %  
Utilities     1.3 %  
Other 1     9.6 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


93


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 90.1%  
  476     Air Products &
Chemicals, Inc.
(Materials)		     0.6 %   $ 47,143    
  860     Ameren Corp. (Utilities)     0.6 %     46,311    
  1,656     American Electric Power
Co., Inc. (Utilities)		     0.9 %     78,941    
  977     Ameriprise Financial, Inc.
(Financials)		     0.7 %     57,340    
  1,219     AON Corp. (Financials)     0.7 %     60,913    
  426     Boston Properties, Inc.
(REIT) (Financials)		     0.5 %     41,927    
  501     Bunge Ltd.
(Consumer Staples)		     0.7 %     56,282    
  719     Computer Sciences
Corp.* (Information
Technology)		     0.4 %     37,978    
  2,069     ConAgra Foods, Inc.
(Consumer Staples)		     0.6 %     51,766    
  1,124     Consolidated Edison,
Inc. (Utilities)		     0.6 %     54,458    
  1,505     CSX Corp. (Industrials)     0.8 %     63,210    
  537     Eaton Corp. (Industrials)     0.6 %     47,960    
  1,353     Edison International
(Utilities)		     0.9 %     75,741    
  2,908     El Paso Corp. (Energy)     0.6 %     46,761    
  1,126     Equity Residential
(REIT) (Financials)		     0.5 %     41,898    
  8,397     Ford Motor Co.*
(Consumer
Discretionary)		     0.7 %     63,062    
  634     Fortune Brands, Inc.
(Consumer
Discretionary)		     0.6 %     48,596    
  975     Gannett Co., Inc.
(Consumer
Discretionary)		     0.4 %     35,831    
  2,490     Gap, Inc. (The)
(Consumer
Discretionary)		     0.6 %     50,796    
  1,806     Genworth Financial,
Inc. (Financials)		     0.6 %     47,389    
  1,153     Hess Corp. (Energy)     1.0 %     82,117    
  2,168     Host Hotels & Resorts,
Inc. (REIT) (Financials)		     0.5 %     41,604    
  1,061     Ingersoll-Rand Co.,
Ltd., Class A
(Industrials)		     0.6 %     54,790    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  660     ITT Corp. (Industrials)     0.5 %   $ 42,530    
  1,629     Keycorp (Financials)     0.5 %     42,908    
  345     L-3 Communications
Holdings, Inc.
(Industrials)		     0.5 %     38,174    
  536     Liberty Media Corp. -
Capital, Class A*
(Consumer
Discretionary)		     0.8 %     63,816    
  961     Lyondell Chemical Co.
(Materials)		     0.5 %     45,359    
  781     Murphy Oil Corp.
(Energy)		     0.7 %     55,857    
  609     Noble Energy, Inc.
(Energy)		     0.5 %     43,872    
  722     Parker Hannifin Corp.
(Industrials)		     0.7 %     57,349    
  1,460     PG&E Corp. (Utilities)     0.8 %     67,554    
  682     PPG Industries, Inc.
(Materials)		     0.6 %     46,812    
  1,050     Principal Financial
Group, Inc. (Financials)		     0.8 %     68,765    
  1,071     Progress Energy, Inc.
(Utilities)		     0.6 %     52,286    
  478     Public Storage (REIT)
(Financials)		     0.4 %     36,969    
  6,682     Qwest Communications
International, Inc.*
(Telecommunication
Services)		     0.5 %     44,302    
  1,419     Reliant Energy, Inc.*
(Utilities)		     0.4 %     36,951    
  1,834     Safeway, Inc.
(Consumer Staples)		     0.8 %     63,823    
  1,402     Seagate Technology
(Information
Technology)		     0.4 %     36,158    
  1,096     Sempra Energy (Utilities)     0.8 %     68,632    
  2,624     Spectra Energy Corp.
(Energy)		     0.8 %     64,655    
  873     SUPERVALU, Inc.
(Consumer Staples)		     0.4 %     36,553    
  491     United States Steel
Corp. (Materials)		     0.6 %     47,971    
  1,498     Unum Group (Financials)     0.4 %     37,210    
  554     Vornado Realty Trust
(REIT) (Financials)		     0.6 %     49,860    

 

See accompanying notes to the financial statements.


94


Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,698     Xcel Energy, Inc.
(Utilities)		     0.5 %   $ 39,241    
  3,893     Xerox Corp.*
(Information
Technology)		     0.8 %     65,714    
  682     XL Capital Ltd.,
Class A (Financials)		     0.5 %     39,917    
  177,827     Other Common Stocks     60.0 %     5,037,829    
        Total Common Stock
(Cost $8,196,307)		             7,563,881    
Principal
Amount		  
 
 
 
    Repurchase Agreements — 14.6%  
$ 244,611     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $244,706 **		           244,611    
  281,355     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $281,462 ***		           281,355    
  48,922     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $48,941 ****		           48,922    
  652,296     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $652,543 *****		           652,296    
        Total Repurchase Agreements
(Cost $1,227,184)		             1,227,184    
        Total Investments
(Cost $9,423,491) — 104.7%		             8,791,065    
        Liabilities in excess of
other assets — (4.7)%		             (391,277 )  
        Net Assets — 100.0%           $ 8,399,788    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $249,504. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $286,983. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $49,901. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $665,342. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 387,014    
Aggregate gross unrealized depreciation     (1,282,072 )  
Net unrealized depreciation   $ (895,058 )  
Federal income tax cost of investments   $ 9,686,123    

 

See accompanying notes to the financial statements.


95


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value (continued)

Swap Agreements

Ultra Russell MidCap Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07   $ 9,492,599     $ (337,207 )  

 

Ultra Russell MidCap Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     11.8 %  
Consumer Staples     6.8 %  
Energy     6.5 %  
Financials     26.4 %  
Health Care     2.1 %  
Industrials     9.2 %  
Information Technology     6.2 %  
Materials     6.3 %  
Telecommunication Services     1.8 %  
Utilities     13.0 %  
Other 1     9.9 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


96


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) — 88.5%  
  3,831     AES Corp. (The)*
(Utilities)		     0.5 %   $ 83,707    
  2,316     Agilent Technologies, Inc.*
(Information
Technology)		     0.6 %     87,614    
  1,751     Allergan, Inc.
(Health Care)		     0.7 %     117,387    
  2,398     American Tower Corp.,
Class A*
(Telecommunication
Services)		     0.7 %     109,205    
  830     Apollo Group, Inc.,
Class A* (Consumer
Discretionary)		     0.4 %     63,512    
  1,324     Autodesk, Inc.*
(Information
Technology)		     0.4 %     62,347    
  2,322     Avon Products, Inc.
(Consumer Staples)		     0.6 %     95,318    
  2,688     Broadcom Corp.,
Class A*
(Information
Technology)		     0.5 %     71,877    
  1,651     Cigna Corp.
(Health Care)		     0.6 %     88,510    
  2,130     Coach, Inc.*
(Consumer
Discretionary)		     0.5 %     79,108    
  1,045     CONSOL Energy, Inc.
(Energy)		     0.4 %     61,948    
  803     Constellation Energy
Group, Inc. (Utilities)		     0.5 %     80,469    
  598     Cummins, Inc.
(Industrials)		     0.5 %     69,906    
  1,787     Electronic Arts, Inc.*
(Information
Technology)		     0.6 %     100,411    
  1,262     Express Scripts, Inc.*
(Health Care)		     0.5 %     85,500    
  506     Fluor Corp. (Industrials)     0.5 %     74,468    
  1,836     Forest Laboratories,
Inc.* (Health Care)		     0.5 %     70,778    
  404     Foster Wheeler Ltd.*
(Industrials)		     0.4 %     60,196    
  663     Garmin Ltd.
(Consumer
Discretionary)		     0.5 %     71,173    

 

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) (continued)  
  1,386     Harley-Davidson, Inc.
(Consumer
Discretionary)		     0.4 %   $ 66,556    
  964     Humana, Inc.*
(Health Care)		     0.5 %     74,257    
  404     Intercontinental Exchange,
Inc.* (Financials)		     0.4 %     67,452    
  1,908     International Game
Technology
(Consumer
Discretionary)		     0.5 %     83,303    
  215     Intuitive Surgical, Inc.*
(Health Care)		     0.4 %     70,451    
  2,115     Juniper Networks, Inc.
(Information
Technology)		     0.4 %     62,858    
  457     Mastercard, Inc.,
Class A (Information
Technology)		     0.6 %     91,697    
  1,277     McDermott
International, Inc.*
(Industrials)		     0.4 %     66,787    
  1,288     MEMC Electronic
Materials, Inc.*
(Information
Technology)		     0.6 %     99,923    
  2,038     National Oilwell Varco, Inc.*
(Energy)		     0.9 %     138,890    
  1,538     Noble Corp. (Energy)     0.5 %     80,176    
  1,068     Northern Trust Corp.
(Financials)		     0.6 %     86,497    
  3,124     Nvidia Corp.*
(Information
Technology)		     0.6 %     98,531    
  528     Nymex Holdings, Inc.
(Financials)		     0.4 %     65,762    
  1,946     Paychex, Inc.
(Information
Technology)		     0.5 %     75,894    
  1,520     Peabody Energy
Corp. (Energy)		     0.5 %     84,573    
  1,652     PPL Corp. (Utilities)     0.5 %     84,186    
  790     Precision Castparts
Corp. (Industrials)		     0.7 %     116,399    
  1,288     Prologis (REIT)
(Financials)		     0.5 %     84,261    
  960     Rockwell Collins, Inc.
(Industrials)		     0.4 %     69,235    

 

See accompanying notes to the financial statements.


97


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth (continued)

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,150     Smith International, Inc.
(Energy)		     0.5 %   $ 72,128    
  1,941     St. Jude Medical, Inc.*
(Health Care)		     0.5 %     77,155    
  1,155     Starwood Hotels &
Resorts Worldwide, Inc.
(Consumer
Discretionary)		     0.4 %     62,000    
  1,524     T. Rowe Price Group, Inc.
(Financials)		     0.6 %     93,696    
  1,430     Textron, Inc.
(Industrials)		     0.6 %     98,741    
  2,609     TJX Cos., Inc.
(Consumer
Discretionary)		     0.5 %     76,548    
  1,936     Weatherford
International Ltd.*
(Energy)		     0.8 %     121,232    
  2,876     Williams Cos.,
Inc. (Energy)		     0.6 %     99,826    
  1,210     WM. Wrigley Jr. Co.
(Consumer Staples)		     0.5 %     77,440    
  3,006     Yum! Brands, Inc.
(Consumer
Discretionary)		     0.7 %     111,673    
  289,919     Other Common Stocks     62.6 %     9,852,857    
        Total Common Stock
(Cost $13,637,418)		             13,944,418    
Principal
Amount		  
 
 
 
    Repurchase Agreements — 16.0%  
$ 503,136     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $503,331 **		           503,136    
  578,715     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $578,934 ***		           578,715    
  100,627     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $100,665 ****		           100,627    

 

Principal
Amount		  
 
 
Value		  
    Repurchase Agreements (continued)  
$ 1,341,696     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,342,205 *****		  


  $ 1,341,696    
    Total Repurchase Agreements
(Cost $2,524,174)		         2,524,174    
    Total Investments
(Cost $16,161,592) — 104.5%		         16,468,592    
    Liabilities in excess of
other assets — (4.5)%		         (716,127 )  
    Net Assets — 100.0%       $ 15,752,465    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $513,201. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $590,291. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $102,640. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


98


*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,368,531. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,331,367    
Aggregate gross unrealized depreciation     (1,056,658 )  
Net unrealized appreciation   $ 274,709    
Federal income tax cost of investments   $ 16,193,883    

 

Swap Agreements

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07   $ 6,214,532     $ (301,389 )  
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07     12,000,000       (431,559 )  
        $ (732,948 )  

 

Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     15.4 %  
Consumer Staples     4.0 %  
Energy     9.8 %  
Financials     7.1 %  
Health Care     11.1 %  
Industrials     14.6 %  
Information Technology     17.2 %  
Materials     4.2 %  
Telecommunication Services     2.0 %  
Utilities     3.1 %  
Other 1     11.5 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


99


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 92.6%  
  4,340     3Com Corp.*
(Information
Technology)		     0.3 %   $ 18,705    
  177     Alexandria Real Estate
Equities, Inc. (REIT)
(Financials)		     0.2 %     17,387    
  588     AMERIGROUP
Corp.* (Health Care)		     0.3 %     20,210    
  1,737     Andrew Corp.*
(Information
Technology)		     0.3 %     25,464    
  1,331     Apollo Investment
Corp. (Financials)		     0.3 %     23,572    
  711     Aptargroup, Inc.
(Materials)		     0.4 %     30,011    
  983     Aspen Insurance
Holdings Ltd.
(Financials)		     0.4 %     28,310    
  208     Bio-Rad Laboratories, Inc.,
Class A*
(Health Care)		     0.3 %     20,989    
  420     Black Hills Corp.
(Utilities)		     0.2 %     17,497    
  562     Brady Corp., Class A
(Industrials)		     0.3 %     22,497    
  557     CF Industries
Holdings, Inc.
(Materials)		     0.7 %     50,676    
  514     Chittenden Corp.
(Financials)		     0.2 %     18,005    
  666     Cleco Corp. (Utilities)     0.3 %     18,608    
  545     Commerce Group, Inc.
(Financials)		     0.3 %     19,593    
  1,878     DCT Industrial Trust, Inc.
(REIT)
(Financials)		     0.3 %     18,949    
  484     Delphi Financial
Group, Inc.
(Financials)		     0.3 %     18,605    
  579     Deluxe Corp.
(Industrials)		     0.2 %     18,291    
  1,054     DiamondRock
Hospitality Co.
(REIT) (Financials)		     0.2 %     18,255    
  711     EMCOR Group, Inc.*
(Industrials)		     0.3 %     18,941    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  593     Encore Acquisition Co.*
(Energy)		     0.3 %   $ 19,302    
  673     Exterran Holdings, Inc.*
(Energy)		     0.7 %     53,867    
  555     First Midwest
Bancorp, Inc./IL
(Financials)		     0.2 %     18,148    
  897     FirstMerit Corp.
(Financials)		     0.3 %     18,487    
  1,163     GrafTech
International Ltd.*
(Industrials)		     0.3 %     18,689    
  878     Healthsouth Corp.*
(Health Care)		     0.2 %     17,411    
  453     Inverness Medical
Innovations, Inc.*
(Health Care)		     0.4 %     26,582    
  674     IPC Holdings Ltd.
(Financials)		     0.3 %     19,923    
  673     Max Capital Group Ltd.
(Financials)		     0.3 %     19,053    
  1,147     Montpelier Re
Holdings Ltd.
(Financials)		     0.3 %     19,866    
  798     National Retail
Properties, Inc.
(REIT) (Financials)		     0.3 %     19,543    
  502     Nicor, Inc. (Utilities)     0.3 %     21,154    
  549     Oil States International, Inc.*
(Energy)		     0.2 %     17,409    
  332     OM Group, Inc.*
(Materials)		     0.3 %     18,688    
  832     Piedmont Natural
Gas Co. (Utilities)		     0.3 %     21,665    
  668     Platinum Underwriters
Holdings Ltd.
(Financials)		     0.3 %     24,262    
  855     PNM Resources, Inc.
(Utilities)		     0.3 %     18,964    
  435     Potlatch Corp. (REIT)
(Financials)		     0.3 %     19,971    
  372     ProAssurance Corp.*
(Financials)		     0.3 %     20,400    
  414     Quanex Corp.
(Materials)		     0.3 %     20,717    

 

See accompanying notes to the financial statements.


100


Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,127     Realty Income Corp.
(REIT) (Financials)		     0.4 %   $ 32,119    
  1,429     SAIC, Inc.*
(Information
Technology)		     0.4 %     28,494    
  933     Senior Housing
Properties Trust  
(REIT) (Financials)		     0.3 %     20,610    
  679     Skywest, Inc.
(Industrials)		     0.2 %     17,865    
  949     Susquehanna
Bancshares, Inc.
(Financials)		     0.3 %     18,876    
  912     Sybase, Inc.*
(Information
Technology)		     0.3 %     23,384    
  1,114     UCBH Holdings, Inc.
(Financials)		     0.2 %     17,913    
  1,115     Westar Energy, Inc.
(Utilities)		     0.4 %     28,890    
  549     WGL Holdings, Inc.
(Utilities)		     0.2 %     18,139    
  469     Whiting Petroleum
Corp.* (Energy)		     0.3 %     24,726    
  363,725     Other Common Stocks     77.6 %     5,649,147    
        Total Common Stock
(Cost $7,739,050)		             6,738,829    
Principal
Amount		  
 
 
 
    Repurchase Agreements — 13.8%  
$ 199,769     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $199,846 **		           199,769    
  229,778     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $229,865 ***		           229,778    
  39,954     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/3/07, total to be
received $39,969 ****		           39,954    

 

Principal
Amount		  
 
 
Value		  
    Repurchase Agreements (continued)  
$ 532,718     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/3/07, total to be
received $532,920 *****		  


  $ 532,718    
    Total Repurchase Agreements
(Cost $1,002,219)		         1,002,219    
    Total Investments
(Cost $8,741,269) — 106.4%		         7,741,048    
    Liabilities in excess of
other assets — (6.4)%		         (466,662 )  
    Net Assets — 100.0%       $ 7,274,386    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22 which had a total value of $203,766. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17 which had a total value of $234,374. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30 which had a total value of $40,753. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


101


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Value (continued)

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38 which had a total value of $543,373. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 306,604    
Aggregate gross unrealized depreciation     (1,641,389 )  
Net unrealized depreciation   $ (1,334,785 )  
Federal income tax cost of investments   $ 9,075,833    

 

Swap Agreements

Ultra Russell2000 Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07   $ 8,108,477     $ (365,866 )  

 

Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     10.7 %  
Consumer Staples     3.5 %  
Energy     5.4 %  
Financials     30.4 %  
Health Care     5.4 %  
Industrials     11.9 %  
Information Technology     12.1 %  
Materials     6.5 %  
Telecommunication Services     1.4 %  
Utilities     5.3 %  
Other 1     7.4 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


102



Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth


Shares		     Percentage of
Net Assets		   Value  
    Common Stocks (a) — 90.7%  
  1,013     Aeropostale, Inc.*
(Consumer
Discretionary)		     0.3 %   $ 25,882    
  476     Alexion
Pharmaceuticals, Inc.*
(Health Care)		     0.3 %     34,615    
  1,013     Ansys, Inc.*
(Information
Technology)		     0.4 %     39,365    
  358     Atwood Oceanics, Inc.*
(Energy)		     0.3 %     31,235    
  696     Bally Technologies, Inc.*
(Consumer
Discretionary)		     0.3 %     29,023    
  589     Belden, Inc.
(Industrials)		     0.3 %     27,123    
  1,252     BioMarin
Pharmaceutical, Inc.*
(Health Care)		     0.3 %     34,430    
  488     Bucyrus International,Inc.
(Industrials)		     0.4 %     42,802    
  428     Chipotle Mexican Grill, Inc.,
Class B*
(Consumer
Discretionary)		     0.5 %     49,443    
  783     DeVry, Inc.
(Consumer
Discretionary)		     0.4 %     43,049    
  737     Digital Realty Trust, Inc.
(REIT)
(Financials)		     0.3 %     28,124    
  470     Equinix, Inc.*
(Information
Technology)		     0.5 %     48,932    
  866     Flir Systems, Inc.*
(Information
Technology)		     0.6 %     59,520    
  1,656     Foundry Networks, Inc.*
(Information
Technology)		     0.3 %     29,195    
  619     FTI Consulting, Inc.*
(Industrials)		     0.4 %     35,283    
  372     Genlyte Group, Inc.*
(Industrials)		     0.4 %     35,061    
  458     Healthways, Inc.*
(Health Care)		     0.3 %     26,733    
  1,085     Hercules Offshore, Inc.*
(Energy)		     0.3 %     27,136    

 


Shares		     Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,232     Hexcel Corp.*
(Industrials)		     0.3 %   $ 31,379    
  1,598     Hologic, Inc.*
(Health Care)		     1.1 %     106,091    
  411     IHS, Inc., Class A*
(Industrials)		     0.3 %     28,828    
  700     Illumina, Inc.*
(Health Care)		     0.4 %     40,453    
  900     Immucor, Inc.*
(Health Care)		     0.3 %     29,853    
  508     International Securities
Exchange Holdings,
Inc. (Financials)		     0.3 %     34,133    
  555     ITC Holdings Corp.
(Utilities)		     0.3 %     28,327    
  392     Itron, Inc.*
(Information
Technology)		     0.3 %     30,400    
  1,029     Jack Henry &
Associates, Inc.
(Information
Technology)		     0.3 %     27,536    
  735     LKQ Corp.*
(Consumer
Discretionary)		     0.3 %     29,187    
  1,042     MGI Pharma, Inc.*
(Health Care)		     0.4 %     36,064    
  529     Micros Systems, Inc.*
(Information
Technology)		     0.4 %     38,162    
  562     Myriad Genetics, Inc.*
(Health Care)		     0.3 %     27,088    
  1,035     Nationwide Health
Properties, Inc.
(REIT) (Financials)		     0.3 %     32,375    
  1,721     Nuance
Communications, Inc.*
(Information
Technology)		     0.3 %     34,730    
  3,171     ON Semiconductor
Corp.* (Information
Technology)		     0.3 %     29,141    
  715     Onyx
Pharmaceuticals,
Inc.* (Health Care)		     0.4 %     38,996    
  753     OSI Pharmaceuticals, Inc.*
(Health Care)		     0.4 %     35,112    

 

See accompanying notes to the financial statements.


103


Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)


Shares		     Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,198     Polycom, Inc.*
(Information
Technology)		     0.3 %   $ 29,075    
  495     priceline.com, Inc.*
(Consumer
Discretionary)		     0.6 %     56,331    
  709     Psychiatric Solutions, Inc.*
(Health Care)		     0.3 %     25,900    
  863     Sotheby's (Consumer
Discretionary)		     0.3 %     32,319    
  190     Strayer Education, Inc.
(Consumer
Discretionary)		     0.3 %     34,363    
  982     Tempur-Pedic
International, Inc.
(Consumer
Discretionary)		     0.3 %     29,156    
  1,213     Terra Industries, Inc.*
(Materials)		     0.5 %     45,827    
  1,749     Time Warner Telecom, Inc.,
Class A*
Telecommunication
Services)		     0.4 %     39,230    
  272     United Therapeutics
Corp.* (Health Care)		     0.3 %     27,222    
  1,304     Valueclick, Inc.*
(Information
Technology)		     0.3 %     30,827    
  351     Ventana Medical
Systems, Inc.*
(Health Care)		     0.3 %     31,176    
  917     Waddell & Reed
Financial, Inc.
(Financials)		     0.3 %     31,343    
  392     Woodward Governor
Co. (Industrials)		     0.3 %     26,868    
  395,488     Other Common
Stocks		     72.9 %     7,174,872    
        Total Common Stock
Cost ($8,990,781)		             8,919,315    

 

Principal
Amount		  
 
  Value  
    Repurchase Agreements — 16.8  
$ 329,842     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $329,970 **		  


  $ 329,842    
  379,389     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $379,533 ***		  


    379,389    
  65,969     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $65,994 ****		  


    65,969    
  879,580     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $879,914 *****.		  


    879,580    
        Total Repurchase Agreements
(Cost $1,654,780)		         1,654,780    
        Total Investments
(Cost $10,645,561) — 107.5%		         10,574,095    
        Liabilities in excess of
other assets — (7.5)%		         (734,892 )  
        Net Assets — 100.0%       $ 9,839,203    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $336,441. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of

See accompanying notes to the financial statements.


104


$386,978. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $67,288. The investment in the repurchase agreement was through participation in a pooled account.

*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $897,171. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,091,592    
Aggregate gross unrealized depreciation     (1,208,702 )  
Net unrealized depreciation   $ (117,110 )  
Federal income tax cost of investments   $ 10,691,205    

 

Swap Agreements

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07   $ 3,306,402     $ (239,238 )  
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07     8,000,000       (401,183 )  
        $ (640,421 )  

 

Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:

Consumer Discretionary     14.5 %  
Consumer Staples     2.1 %  
Energy     6.1 %  
Financials     7.5 %  
Health Care     19.3 %  
Industrials     14.9 %  
Information Technology     21.1 %  
Materials     3.5 %  
Telecommunication Services     1.2 %  
Utilities     0.5 %  
Other1     9.3 %  

 

1  Includes any non-equity securities and net other assets (liabilities).

See accompanying notes to the financial statements.


105


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Basic Materials

Shares  
  Value  
    Common Stocks (a) — 83.4%  
    Chemicals — 46.0%  
  4,389     Air Products & Chemicals, Inc.   $ 434,687    
  1,524     Airgas, Inc.     75,407    
  1,666     Albemarle Corp.     73,537    
  1,210     Ashland, Inc.     59,580    
  1,315     Cabot Corp.     45,262    
  3,222     Celanese Corp., Class A     127,849    
  1,071     CF Industries Holdings, Inc.     97,440    
  5,188     Chemtura Corp.     38,910    
  902     Cytec Industries, Inc.     55,329    
  20,837     Dow Chemical Co. (The)     873,904    
  1,816     Eastman Chemical Co.     116,605    
  3,803     Ecolab, Inc.     182,164    
  19,862     EI Du Pont de Nemours & Co.     916,631    
  935     Ferro Corp.     19,813    
  1,562     FMC Corp.     85,473    
  737     Georgia Gulf Corp.     5,483    
  1,310     HB Fuller Co.     33,130    
  2,511     Hercules, Inc.     48,738    
  1,950     Huntsman Corp.     49,452    
  1,782     International Flavors & Fragrances, Inc.     89,349    
  1,497     Lubrizol Corp.     96,018    
  4,954     Lyondell Chemical Co.     233,829    
  414     Minerals Technologies, Inc.     27,697    
  11,683     Monsanto Co.     1,160,940    
  3,163     Mosaic Co. (The)*     218,721    
  1,412     Olin Corp.     29,567    
  657     OM Group, Inc.*     36,983    
  3,571     PPG Industries, Inc.     245,113    
  6,923     Praxair, Inc.     591,086    
  3,600     Rohm & Haas Co.     195,732    
  2,618     RPM International, Inc.     49,873    
  517     Schulman (A.), Inc.     11,146    
  1,001     Sensient Technologies Corp.     27,698    
  2,440     Sigma-Aldrich Corp.     128,466    
  2,013     Terra Industries, Inc.*     76,051    
  2,039     Valspar Corp.     45,959    
  1,266     W.R. Grace & Co.*     34,195    
      6,637,817    
    Commercial Services & Supplies — 0.7%  
  2,034     Avery Dennison Corp.     105,992    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Industrial Conglomerates — 0.1%  
  610     Tredegar Corp.   $ 8,820    
    Life Sciences Tools & Services — 0.0%  
  624     Cambrex Corp.     4,830    
    Metals & Mining — 25.2%  
  2,376     AK Steel Holding Corp.*     105,898    
  19,086     Alcoa, Inc.     694,158    
  2,078     Allegheny Technologies, Inc.     203,124    
  1,130     Carpenter Technology Corp.     85,258    
  889     Cleveland-Cliffs, Inc.     80,188    
  6,001     Coeur d'Alene Mines Corp.*     25,024    
  2,555     Commercial Metals Co.     78,975    
  8,229     Freeport-McMoRan Copper &
Gold, Inc.		     814,095    
  307     Kaiser Aluminum Corp.     21,840    
  9,162     Newmont Mining Corp.     455,260    
  5,927     Nucor Corp.     350,938    
  1,336     Reliance Steel & Aluminum Co.     68,924    
  497     RTI International Metals, Inc.*     36,500    
  1,584     Southern Copper Corp.     175,270    
  1,958     Steel Dynamics, Inc.     98,507    
  954     Stillwater Mining Co.*     9,254    
  1,892     Titanium Metals Corp.*     56,136    
  2,558     United States Steel Corp.     249,916    
  1,492     Worthington Industries, Inc.     31,615    
      3,640,880    
    Oil, Gas & Consumable Fuels — 6.0%  
  1,415     Alpha Natural Resources, Inc.*     39,762    
  3,091     Arch Coal, Inc.     117,025    
  3,963     CONSOL Energy, Inc.     234,927    
  980     Foundation Coal Holdings, Inc.     44,531    
  2,603     International Coal Group, Inc.*     13,041    
  1,632     Massey Energy Co.     55,406    
  571     Patriot Coal Corp.*     19,306    
  5,713     Peabody Energy Corp.     317,871    
  2,309     USEC, Inc.*     18,957    
      860,826    

 

See accompanying notes to the financial statements.


106


Shares  
  Value  
    Common Stocks (a) (continued)  
    Paper & Forest Products — 5.4%  
  1,227     AbitibiBowater, Inc.   $ 27,554    
  10,016     Domtar Corp.*     76,122    
  9,276     International Paper Co.     313,065    
  319     Neenah Paper, Inc.     9,627    
  1,102     Wausau Paper Corp.     10,392    
  4,661     Weyerhaeuser Co.     341,092    
      777,852    
        Total Common Stock
(Cost $10,527,497)		     12,037,017    
Principal
Amount		  
 
 
    Repurchase Agreements — 27.4%  
$ 788,681     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $788,986 **		     788,681    
  907,153     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $907,497 ***		     907,153    
  157,736     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $157,796 ****		     157,736    
  2,103,151     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,103,948 *****		     2,103,151    
        Total Repurchase Agreements
(Cost $3,956,721)		     3,956,721    
        Total Investments
(Cost $14,484,218) — 110.8%		     15,993,738    
        Liabilities in excess of
other assets — (10.8%)		     (1,560,593 )  
        Net Assets — 100.0%   $ 14,433,145    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $804,458. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $925,299. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $160,892. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $2,145,214. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,751,583    
Aggregate gross unrealized depreciation     (295,650 )  
Net unrealized appreciation   $ 1,455,933    
Federal income tax cost of investments   $ 14,537,805    

 

See accompanying notes to the financial statements.


107


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Basic Materials (continued)

Swap Agreements

Ultra Basic Materials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index,
expiring 12/27/07		   $ 2,258,185     $ (884,746 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index,
expiring 12/27/07		     16,000,000       (650,413 )  
        $ (1,535,159 )  

 

See accompanying notes to the financial statements.


108


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Goods

Shares  
  Value  
    Common Stocks (a) — 89.8%  
    Auto Components — 3.0%  
  168     American Axle & Manufacturing
Holdings, Inc.		   $ 3,884    
  268     ArvinMeritor, Inc.     2,709    
  215     BorgWarner, Inc.     20,771    
  227     Cooper Tire & Rubber Co.     3,491    
  530     Gentex Corp.     10,505    
  780     Goodyear Tire & Rubber Co. (The)*     22,425    
  2,181     Johnson Controls, Inc.     84,230    
  239     Lear Corp.*     7,036    
  109     Modine Manufacturing Co.     2,217    
  80     Superior Industries International, Inc.     1,482    
  197     TRW Automotive Holdings Corp.*     4,423    
  474     Visteon Corp.*     2,086    
  209     WABCO Holdings, Inc.     9,815    
      175,074    
    Automobiles — 2.8%  
  238     Fleetwood Enterprises, Inc.*     1,302    
  7,452     Ford Motor Co.*     55,964    
  1,818     General Motors Corp.     54,231    
  930     Harley-Davidson, Inc.     44,659    
  102     Monaco Coach Corp.     921    
  140     Thor Industries, Inc.     4,935    
  108     Winnebago Industries     2,324    
      164,336    
    Beverages — 21.0%  
  2,775     Anheuser-Busch Cos., Inc.     146,298    
  170     Brown-Forman Corp., Class B     12,009    
  7,883     Coca-Cola Co. (The)     489,534    
  1,039     Coca-Cola Enterprises, Inc.     26,983    
  709     Constellation Brands, Inc., Class A*     16,697    
  267     Hansen Natural Corp.*     11,591    
  566     Molson Coors Brewing Co., Class B     30,473    
  520     Pepsi Bottling Group, Inc.     22,188    
  239     PepsiAmericas, Inc.     8,090    
  5,982     PepsiCo, Inc.     461,691    
      1,225,554    
    Biotechnology — 0.1%  
  119     Martek Biosciences Corp.*     3,077    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Chemicals — 0.1%  
  158     Scotts Miracle-Gro Co. (The), Class A   $ 5,832    
  80     Zep, Inc.*     1,050    
      6,882    
    Commercial Services & Supplies — 0.4%  
  200     ACCO Brands Corp.*     3,342    
  226     Herman Miller, Inc.     6,204    
  139     HNI Corp.     5,077    
  204     Interface, Inc., Class A     3,558    
  233     Steelcase, Inc.     3,525    
      21,706    
    Distributors — 0.5%  
  631     Genuine Parts Co.     30,320    
    Diversified Consumer Services — 0.1%  
  134     Weight Watchers International, Inc.     6,399    
    Food Products — 14.3%  
  2,174     Archer-Daniels-Midland Co.     79,025    
  447     Bunge Ltd.     50,216    
  893     Campbell Soup Co.     32,791    
  156     Chiquita Brands International, Inc.*     2,994    
  1,817     ConAgra Foods, Inc.     45,461    
  274     Corn Products International, Inc.     10,776    
  479     Dean Foods Co.     11,946    
  738     Del Monte Foods Co.     6,494    
  312     Flowers Foods, Inc.     7,248    
  1,206     General Mills, Inc.     72,541    
  146     Hain Celestial Group, Inc.*     4,830    
  575     Hershey Co. (The)     22,948    
  1,138     HJ Heinz Co.     53,827    
  275     Hormel Foods Corp.     10,931    
  211     JM Smucker Co. (The)     10,367    
  925     Kellogg Co.     49,987    
  5,838     Kraft Foods, Inc.     201,703    
  93     Lancaster Colony Corp.     3,582    
  404     McCormick & Co., Inc. (Non-Voting)     15,437    
  153     Pilgrim's Pride Corp.     3,990    
  96     Ralcorp Holdings, Inc.*     5,894    
  2,682     Sara Lee Corp.     45,138    

 

See accompanying notes to the financial statements.


109


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Goods (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  463     Smithfield Foods, Inc.*   $ 13,913    
  86     Tootsie Roll Industries, Inc.     2,119    
  115     TreeHouse Foods, Inc.*     2,711    
  1,059     Tyson Foods, Inc., Class A     15,790    
  807     WM. Wrigley Jr. Co.     51,648    
      834,307    
    Household Durables — 5.2%  
  146     Beazer Homes USA, Inc.     1,239    
  248     Black & Decker Corp.     20,497    
  106     Blyth, Inc.     2,085    
  445     Centex Corp.     9,283    
  282     Champion Enterprises, Inc.*     2,544    
  1,012     DR Horton, Inc.     12,114    
  111     Ethan Allen Interiors, Inc.     3,170    
  179     Furniture Brands International, Inc.     1,813    
  473     Garmin Ltd.     50,776    
  241     Harman International Industries, Inc.     17,738    
  166     Hovnanian Enterprises, Inc., Class A*     1,255    
  258     Jarden Corp.*     6,801    
  287     KB Home     5,995    
  191     La-Z-Boy, Inc.     1,043    
  639     Leggett & Platt, Inc.     13,151    
  477     Lennar Corp., Class A     7,556    
  39     Lennar Corp., Class B     571    
  132     MDC Holdings, Inc.     4,671    
  90     Meritage Homes Corp.*     1,230    
  202     Mohawk Industries, Inc.*     16,249    
  1,033     Newell Rubbermaid, Inc.     27,664    
  18     NVR, Inc.*     8,856    
  780     Pulte Homes, Inc.     7,972    
  157     Ryland Group, Inc.     3,611    
  215     Snap-On, Inc.     10,509    
  239     Standard-Pacific Corp.     827    
  307     Stanley Works (The)     16,010    
  276     Tempur-Pedic International, Inc.     8,194    
  497     Toll Brothers, Inc.*     10,273    
  224     Tupperware Brands Corp.     7,813    
  121     WCI Communities, Inc.*     407    
  292     Whirlpool Corp.     23,640    
      305,557    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Household Products — 20.4%  
  243     Church & Dwight Co., Inc.   $ 13,637    
  512     Clorox Co.     33,219    
  1,918     Colgate-Palmolive Co.     153,593    
  210     Energizer Holdings, Inc.*     23,862    
  1,576     Kimberly-Clark Corp.     110,021    
  11,556     Procter & Gamble Co.     855,144    
  62     WD-40 Co.     2,460    
      1,191,936    
    Internet & Catalog Retail — 0.0%  
  120     NutriSystem, Inc.*     3,018    
    Leisure Equipment & Products — 1.6%  
  327     Brunswick Corp.     6,667    
  242     Callaway Golf Co.     4,128    
  1,062     Eastman Kodak Co.     24,936    
  528     Hasbro, Inc.     14,663    
  104     Jakks Pacific, Inc.*     2,625    
  1,460     Mattel, Inc.     29,171    
  111     Nautilus, Inc.     638    
  132     Polaris Industries, Inc.     6,014    
  184     Pool Corp.     3,923    
      92,765    
    Machinery — 0.1%  
  183     Briggs & Stratton Corp.     4,172    
    Media — 0.1%  
  200     Marvel Entertainment, Inc.*     5,540    
    Personal Products — 1.9%  
  316     Alberto-Culver Co.     8,077    
  1,602     Avon Products, Inc.     65,762    
  385     Estee Lauder Cos., Inc. (The)     17,279    
  188     Herbalife Ltd.     7,871    
  224     NBTY, Inc.*     6,691    
  193     Nu Skin Enterprises, Inc., Class A     3,414    
      109,094    

 

See accompanying notes to the financial statements.


110


Shares  
  Value  
    Common Stocks (a) (continued)  
    Software — 1.7%  
  1,059     Activision, Inc.*   $ 23,457    
  1,148     Electronic Arts, Inc.*     64,506    
  269     Take-Two Interactive Software, Inc.*     4,030    
  248     THQ, Inc.*     6,063    
      98,056    
    Specialty Retail — 0.0%  
  168     Select Comfort Corp.*     1,788    
    Textiles, Apparel & Luxury Goods — 4.1%  
  190     Carter's, Inc.*     4,262    
  1,371     Coach, Inc.*     50,919    
  281     CROCS, Inc.*     10,967    
  177     Fossil, Inc.*     7,671    
  356     Hanesbrands, Inc.*     10,050    
  403     Jones Apparel Group, Inc.     7,512    
  90     Kellwood Co.     1,349    
  378     Liz Claiborne, Inc.     9,484    
  1,326     Nike, Inc., Class B     87,052    
  204     Phillips-Van Heusen     8,654    
  460     Quiksilver, Inc.*     4,876    
  188     Timberland Co., Class A*     3,061    
  118     Under Armour, Inc., Class A*     5,862    
  323     V.F. Corp.     24,157    
  198     Wolverine World Wide, Inc.     4,904    
      240,780    
    Tobacco — 12.4%  
  7,770     Altria Group, Inc.     602,641    
  400     Loews Corp. - Carolina Group     35,580    
  633     Reynolds American, Inc.     44,323    
  101     Universal Corp.     5,422    
  599     UST, Inc.     34,682    
      722,648    
        Total Common Stock
(Cost $4,942,314)		     5,243,009    

 

Principal
Amount		  
 
Value 		 
    Repurchase Agreements — 9.5%  
$ 110,131     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $110,174 **		   $ 110,131    
  126,675     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $126,723 ***		     126,675    
  22,026     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $22,034 ****		     22,026    
  293,683     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $293,794 *****		     293,683    
        Total Repurchase Agreements
(Cost $552,515)		     552,515    
        Total Investments
(Cost $5,494,829) — 99.3%		     5,795,524    
        Other assets less liabilities — 0.7%     42,152    
        Net Assets — 100.0%   $ 5,837,676    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $112,334. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $129,208. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


111


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Goods (continued)

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $22,467. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $299,557. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 575,145    
Aggregate gross unrealized depreciation     (274,502 )  
Net unrealized appreciation   $ 300,643    
Federal income tax cost of investments   $ 5,494,881    

 

Swap Agreements

Ultra Consumer Goods had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index,
expiring 12/27/07		   $ 1,776,307     $ 16,751    
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index,
expiring 12/27/07		     4,500,000       68,872    
        $ 85,623    

 

See accompanying notes to the financial statements.


112


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Services

Shares  
  Value  
    Common Stocks (a) — 85.4%  
    Airlines — 1.7%  
  196     Airtran Holdings, Inc.*   $ 1,664    
  87     Alaska Air Group, Inc.*     2,204    
  498     AMR Corp.*     10,547    
  208     Continental Airlines, Inc., Class B*     5,855    
  518     Delta Air Lines, Inc.*     10,236    
  358     JetBlue Airways Corp.*     2,506    
  135     Skywest, Inc.     3,552    
  1,613     Southwest Airlines Co.     22,824    
  250     UAL Corp.*     10,235    
  182     US Airways Group, Inc.*     3,780    
      73,403    
    Commercial Services & Supplies — 0.4%  
  144     Copart, Inc.*     5,380    
  127     Dun & Bradstreet Corp.     11,332    
      16,712    
    Computers & Peripherals — 0.1%  
  88     Avid Technology, Inc.*     2,335    
    Diversified Consumer Services — 2.1%  
  306     Apollo Group, Inc., Class A*     23,415    
  197     Career Education Corp.*     5,660    
  186     Corinthian Colleges, Inc.*     3,248    
  132     DeVry, Inc.     7,257    
  645     H&R Block, Inc.     12,694    
  88     ITT Educational Services, Inc.*     9,956    
  69     Matthews International Corp., Class A     3,046    
  19     Pre-Paid Legal Services, Inc.*     950    
  98     Regis Corp.     2,880    
  620     Service Corp. International     8,234    
  144     Sotheby's     5,393    
  205     Stewart Enterprises, Inc., Class A     1,681    
  32     Strayer Education, Inc.     5,787    
      90,201    
    Food & Staples Retailing — 16.4%  
  140     BJ's Wholesale Club, Inc.*     5,243    
  110     Casey's General Stores, Inc.     3,190    
  946     Costco Wholesale Corp.     63,760    
  3,197     CVS Caremark Corp.     128,168    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,422     Kroger Co. (The)   $ 40,882    
  71     Longs Drug Stores Corp.     3,757    
  49     Pantry, Inc. (The)*     1,411    
  71     Performance Food Group Co.*     1,966    
  1,165     Rite Aid Corp.*     4,334    
  952     Safeway, Inc.     33,130    
  460     SUPERVALU, Inc.     19,260    
  1,317     SYSCO Corp.     42,816    
  85     United Natural Foods, Inc.*     2,490    
  5,495     Wal-Mart Stores, Inc.     263,210    
  2,185     Walgreen Co.     79,949    
  300     Whole Foods Market, Inc.     12,903    
      706,469    
    Health Care Providers & Services — 2.9%  
  389     AmerisourceBergen Corp.     17,649    
  787     Cardinal Health, Inc.     47,653    
  52     Chemed Corp.     2,816    
  639     McKesson Corp.     42,640    
  262     Omnicare, Inc.     6,676    
  179     VCA Antech, Inc.*     7,344    
      124,778    
    Hotels, Restaurants & Leisure — 13.4%  
  104     Bally Technologies, Inc.*     4,337    
  74     Bob Evans Farms, Inc.     2,282    
  124     Boyd Gaming Corp.     4,801    
  227     Brinker International, Inc.     5,228    
  911     Carnival Corp.     41,104    
  53     CBRL Group, Inc.     1,773    
  70     CEC Entertainment, Inc.*     1,995    
  148     Cheesecake Factory (The)*     3,447    
  78     Choice Hotels International, Inc.     2,703    
  280     Darden Restaurants, Inc.     11,141    
  88     Gaylord Entertainment Co.*     3,701    
  401     Harrah's Entertainment, Inc.     35,316    
  36     Ihop Corp.     1,827    
  702     International Game Technology     30,649    
  67     International Speedway Corp., Class A     2,855    
  134     Jack in the Box, Inc.*     4,013    
  130     Krispy Kreme Doughnuts, Inc.*     347    
  226     Las Vegas Sands Corp.*     25,628    
  74     Life Time Fitness, Inc.*     4,020    

 

See accompanying notes to the financial statements.


113


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Services (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  709     Marriott International, Inc., Class A   $ 26,588    
  2,598     McDonald's Corp.     151,905    
  259     MGM Mirage*     22,404    
  91     Orient-Express Hotels Ltd.     5,634    
  66     Panera Bread Co., Class A*     2,645    
  46     Papa John's International, Inc.*     1,083    
  161     Penn National Gaming, Inc.*     9,588    
  56     PF Chang's China Bistro, Inc.*     1,433    
  129     Pinnacle Entertainment, Inc.*     3,541    
  304     Royal Caribbean Cruises Ltd.     12,330    
  111     Ruby Tuesday, Inc.     1,455    
  150     Scientific Games Corp.*     4,859    
  163     Six Flags, Inc.*     381    
  138     Sonic Corp.*     3,367    
  1,600     Starbucks Corp.*     37,424    
  453     Starwood Hotels & Resorts
Worldwide, Inc.		     24,317    
  99     Triarc Cos., Inc., Class B     833    
  66     Vail Resorts, Inc.*     3,664    
  189     Wendy's International, Inc.     5,298    
  94     WMS Industries, Inc.*     3,140    
  385     Wyndham Worldwide Corp.     11,230    
  131     Wynn Resorts Ltd.     16,629    
  1,130     Yum! Brands, Inc.     41,979    
      578,894    
    Household Durables — 0.1%  
  104     American Greetings Corp., Class A     2,419    
    Internet & Catalog Retail — 2.9%  
  644     Amazon.Com, Inc.*     58,321    
  486     Expedia, Inc.*     15,844    
  431     IAC/InterActiveCorp*     11,995    
  1,355     Liberty Media Corp. - Interactive,
Class A*		     27,303    
  114     NetFlix, Inc.*     2,633    
  74     priceline.com, Inc.*     8,421    
  68     ValueVision Media, Inc., Class A*     447    
      124,964    
    Internet Software & Services — 2.1%  
  297     CNET Networks, Inc.*     2,251    
  2,530     eBay, Inc.*     84,831    
  216     Valueclick, Inc.*     5,106    
      92,188    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Media — 23.5%  
  65     Arbitron, Inc.   $ 2,590    
  190     Belo Corp., Class A     3,146    
  496     Cablevision Systems Corp.*     13,407    
  31     CBS Corp., Class A     851    
  1,261     CBS Corp., Class B     34,589    
  809     Charter Communications, Inc., Class A*     1,068    
  971     Clear Channel Communications, Inc.     34,859    
  4,134     Comcast Corp., Class A*     84,912    
  2,240     Comcast Corp., Special Class A*     45,270    
  78     CTC Media, Inc.*     1,877    
  1,550     DIRECTV Group, Inc. (The)*     38,548    
  579     Discovery Holding Co., Class A*     14,162    
  134     Dow Jones & Co., Inc.     8,007    
  151     DreamWorks Animation SKG, Inc.,
Class A*		     3,971    
  445     EchoStar Communications Corp.,
Class A*		     19,179    
  62     Entercom Communications Corp.,
Class A		     1,010    
  176     EW Scripps Co., Class A     7,647    
  506     Gannett Co., Inc.     18,595    
  538     Gemstar-TV Guide International, Inc.*     3,174    
  111     Getty Images, Inc.*     3,236    
  104     Harte-Hanks, Inc.     1,747    
  313     Idearc, Inc.     5,922    
  1,012     Interpublic Group of Cos., Inc.*     9,604    
  101     John Wiley & Sons, Inc., Class A     4,257    
  152     Lamar Advertising Co., Class A     7,906    
  85     Lee Enterprises, Inc.     1,190    
  398     Liberty Global, Inc., Class A*     16,167    
  414     Liberty Global, Inc., Class C*     15,836    
  266     Liberty Media Corp. - Capital, Class A*     31,670    
  129     Live Nation, Inc.*     1,731    
  123     McClatchy Co., Class A     1,662    
  732     McGraw-Hill Cos., Inc. (The)     35,927    
  43     Media General, Inc., Class A     1,065    
  83     Meredith Corp.     4,569    
  308     New York Times Co. (The), Class A     5,082    
  4,014     News Corp., Class A     84,575    
  939     News Corp., Class B     20,358    
  718     Omnicom Group, Inc.     35,002    
  151     R.H. Donnelley Corp.*     6,707    

 

See accompanying notes to the financial statements.


114


Shares  
  Value  
    Common Stocks (a) (continued)  
  161     Radio One, Inc., Class D*   $ 328    
  169     Regal Entertainment Group, Class A     3,345    
  71     Scholastic Corp.*     2,502    
  114     Sinclair Broadcast Group, Inc., Class A     1,180    
  2,860     Sirius Satellite Radio, Inc.*     10,954    
  336     Time Warner Cable, Inc., Class A*     8,746    
  8,051     Time Warner, Inc.     138,960    
  169     Tribune Co.     5,246    
  103     Valassis Communications, Inc.*     1,270    
  27     Viacom, Inc., Class A*     1,134    
  1,277     Viacom, Inc., Class B*     53,660    
  3,926     Walt Disney Co. (The)     130,147    
  98     Warner Music Group Corp.     740    
  13     Washington Post Co. (The), Class B     10,485    
  150     Westwood One, Inc.     287    
  659     XM Satellite Radio Holdings, Inc.,
Class A*		     10,280    
      1,010,339    
    Multiline Retail — 5.6%  
  116     99 Cents Only Stores*     935    
  230     Big Lots, Inc.*     4,294    
  142     Dillard's, Inc., Class A     2,895    
  211     Dollar Tree Stores, Inc.*     6,047    
  296     Family Dollar Stores, Inc.     6,971    
  81     Fred's, Inc., Class A     844    
  421     JC Penney Co., Inc.     18,575    
  619     Kohl's Corp.*     30,504    
  940     Macy's, Inc.     27,871    
  463     Nordstrom, Inc.     15,529    
  271     Saks, Inc.*     5,583    
  167     Sears Holdings Corp.*     17,620    
  1,678     Target Corp.     100,781    
  65     Tuesday Morning Corp.     484    
      238,933    
    Road & Rail — 0.2%  
  220     Avis Budget Group, Inc.*     3,306    
  288     Hertz Global Holdings, Inc.*     5,501    
      8,807    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Software — 0.5%  
  97     Factset Research Systems, Inc.   $ 6,080    
  211     NAVTEQ Corp.*     15,802    
      21,882    
    Specialty Retail — 13.3%  
  189     Abercrombie & Fitch Co.     15,506    
  221     Advance Auto Parts, Inc.     7,947    
  167     Aeropostale, Inc.*     4,267    
  407     American Eagle Outfitters, Inc.     9,316    
  139     AnnTaylor Stores Corp.*     4,233    
  321     AutoNation, Inc.*     5,297    
  98     Autozone, Inc.*     10,940    
  115     Barnes & Noble, Inc.     4,422    
  592     Bed Bath & Beyond, Inc.*     18,618    
  833     Best Buy Co., Inc.     42,525    
  238     Blockbuster, Inc., Class A*     850    
  126     Borders Group, Inc.     1,576    
  95     Brown Shoe Co., Inc.     1,612    
  466     Carmax, Inc.*     10,657    
  66     Cato Corp. (The), Class A     994    
  278     Charming Shoppes, Inc.*     1,537    
  379     Chico's FAS, Inc.*     4,286    
  51     Childrens Place Retail
Stores, Inc. (The)*		     1,451    
  78     Christopher & Banks Corp.     1,257    
  364     Circuit City Stores, Inc.     2,355    
  130     Coldwater Creek, Inc.*     1,073    
  142     Collective Brands, Inc.*     2,177    
  182     Dick's Sporting Goods, Inc.*     5,689    
  98     Dress Barn, Inc.*     1,386    
  338     Foot Locker, Inc.     4,411    
  318     GameStop Corp., Class A*     18,269    
  1,275     Gap, Inc. (The)     26,010    
  49     Genesco, Inc.*     1,519    
  53     Group 1 Automotive, Inc.     1,425    
  118     Guess ?, Inc.     5,538    
  67     Gymboree Corp.*     2,235    
  3,626     Home Depot, Inc.     103,559    
  96     HOT Topic, Inc.*     606    
  91     J. Crew Group, Inc.*     4,373    
  3,206     Lowe's Cos., Inc.     78,258    
  668     Ltd Brands, Inc.     13,413    

 

See accompanying notes to the financial statements.


115


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Consumer Services (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  106     Men's Wearhouse, Inc.   $ 3,659    
  245     O'Reilly Automotive, Inc.*     8,051    
  589     Office Depot, Inc.*     10,095    
  161     OfficeMax, Inc.     4,014    
  151     Pacific Sunwear of California*     2,473    
  84     PEP Boys-Manny Moe & Jack     918    
  293     PetSmart, Inc.     8,345    
  172     Pier 1 Imports, Inc.*     709    
  297     RadioShack Corp.     5,495    
  151     Rent-A-Center, Inc.*     2,138    
  300     Ross Stores, Inc.     7,914    
  182     Sally Beauty Holdings, Inc.*     1,658    
  1,544     Staples, Inc.     36,593    
  58     Stein Mart, Inc.     314    
  48     Talbots, Inc.     744    
  293     Tiffany & Co.     13,604    
  960     TJX Cos., Inc.     28,166    
  73     Tractor Supply Co.*     2,994    
  66     Tween Brands, Inc.*     1,662    
  254     Urban Outfitters, Inc.*     6,655    
  192     Williams-Sonoma, Inc.     5,589    
  103     Zale Corp.*     1,843    
      573,220    
    Textiles, Apparel & Luxury Goods — 0.2%  
  129     Polo Ralph Lauren Corp.     8,899    
        Total Common Stock
(Cost $3,934,270)		     3,674,443    
Principal
Amount		  
 
 
    Repurchase Agreements — 17.9%  
$ 153,645     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $153,704 **		     153,645    
  176,725     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $176,792 ***		     176,725    
  30,729     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $30,741 ****		     30,729    

 

Principal
Amount		  
  Value  
    Repurchase Agreements (continued)  
$ 409,721     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $409,876 *****		   $ 409,721    
    Total Repurchase Agreements
(Cost $770,820)		     770,820    
    Total Investments
(Cost $4,705,090) — 103.3%		     4,445,263    
    Liabilities in excess of
other assets — (3.3%)		     (140,289 )  
    Net Assets — 100.0%   $ 4,304,974    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $156,719. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $180,260. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $31,344. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


116


*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $417,915. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 249,376    
Aggregate gross unrealized depreciation     (526,898 )  
Net unrealized depreciation   $ (277,522 )  
Federal income tax cost of investments   $ 4,722,785    

 

Swap Agreements

Ultra Consumer Services had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index,
expiring 12/27/07		   $ 5,010,568     $ (93,698 )  

 

See accompanying notes to the financial statements.


117


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Financials

Shares  
  Value  
    Common Stocks (a) — 85.4%  
    Capital Markets — 14.3%  
  1,400     Affiliated Managers Group, Inc.*   $ 173,950    
  10,903     Ameriprise Financial, Inc.     639,897    
  52,996     Bank of New York Mellon Corp. (The)     2,541,688    
  4,830     Bear Stearns Cos., Inc. (The)     481,551    
  929     BlackRock, Inc.     184,286    
  47,322     Charles Schwab Corp. (The)     1,150,398    
  19,506     E*Trade Financial Corp.*     89,728    
  5,732     Eaton Vance Corp.     250,832    
  4,345     Federated Investors, Inc., Class B     177,233    
  7,607     Franklin Resources, Inc.     937,030    
  17,029     Goldman Sachs Group, Inc. (The)     3,859,453    
  1,955     Investment Technology Group, Inc.*     89,304    
  8,057     Janus Capital Group, Inc.     270,473    
  4,829     Jefferies Group, Inc.     123,429    
  4,676     Knight Capital Group, Inc., Class A*     62,425    
  2,769     LaBranche & Co., Inc.*     14,703    
  2,369     Lazard Ltd., Class A     115,275    
  6,106     Legg Mason, Inc.     465,949    
  24,570     Lehman Brothers Holdings, Inc.     1,538,819    
  37,056     Merrill Lynch & Co., Inc.     2,221,137    
  44,464     Morgan Stanley     2,344,142    
  8,977     Northern Trust Corp.     727,047    
  908     Piper Jaffray Cos.*     42,059    
  4,321     Raymond James Financial, Inc.     140,346    
  6,585     SEI Investments Co.     204,267    
  18,387     State Street Corp.     1,468,937    
  1,355     SWS Group, Inc.     18,374    
  12,244     T. Rowe Price Group, Inc.     752,761    
  10,978     TD Ameritrade Holding Corp.*     205,179    
  3,816     Waddell & Reed Financial, Inc.     130,431    
      21,421,103    
    Commercial Banks — 15.2%  
  916     Alabama National Bancorporation     70,798    
  954     Amcore Financial, Inc.     22,419    
  5,600     Associated Banc-Corp.     152,376    
  3,410     Bancorpsouth, Inc.     83,409    
  2,335     Bank of Hawaii Corp.     121,583    
  25,201     BB&T Corp.     909,252    
  982     BOK Financial Corp.     53,755    
  1,920     Cathay General Bancorp     55,642    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,275     Chittenden Corp.   $ 79,693    
  3,387     Citizens Republic Bancorp, Inc.     48,163    
  1,875     City National Corp.     120,788    
  7,096     Colonial BancGroup, Inc. (The)     112,968    
  7,076     Comerica, Inc.     323,939    
  8,946     Commerce Bancorp, Inc.     356,230    
  3,041     Commerce Bancshares, Inc.     137,867    
  2,805     Cullen/Frost Bankers, Inc.     147,571    
  2,757     East West Bancorp, Inc.     74,301    
  22,360     Fifth Third Bancorp     668,788    
  3,410     First Bancorp/Puerto Rico     22,301    
  1,351     First Community Bancorp, Inc.     60,781    
  5,721     First Horizon National Corp.     126,320    
  2,338     First Midwest Bancorp, Inc.     76,453    
  3,365     FirstMerit Corp.     69,353    
  2,811     FNB Corp.     43,599    
  1,947     Frontier Financial Corp.     37,305    
  8,017     Fulton Financial Corp.     100,293    
  1,341     Hancock Holding Co.     52,581    
  16,968     Huntington Bancshares, Inc.     266,228    
  2,417     International Bancshares Corp.     53,271    
  16,992     Keycorp     447,569    
  3,414     M&T Bank Corp.     310,537    
  10,935     Marshall & Ilsley Corp.     344,124    
  26,083     National City Corp.     515,400    
  2,928     Old National Bancorp     46,789    
  2,282     Pacific Capital Bancorp     46,895    
  497     Park National Corp.     37,558    
  15,625     PNC Financial Services Group, Inc.     1,143,906    
  11,792     Popular, Inc.     113,321    
  1,937     Prosperity Bancshares, Inc.     62,255    
  1,446     Provident Bankshares Corp.     33,909    
  32,284     Regions Financial Corp.     853,266    
  3,331     South Financial Group, Inc. (The)     59,692    
  3,339     Sterling Bancshares, Inc.     41,203    
  2,357     Sterling Financial Corp.     42,261    
  16,085     SunTrust Banks, Inc.     1,127,719    
  3,859     Susquehanna Bancshares, Inc.     76,756    
  1,488     SVB Financial Group*     76,602    
  12,785     Synovus Financial Corp.     318,219    
  5,614     TCF Financial Corp.     108,968    
  2,350     Trustmark Corp.     59,831    
  79,204     U.S. Bancorp     2,620,860    

 

See accompanying notes to the financial statements.


118


Shares  
  Value  
    Common Stocks (a) (continued)  
  4,751     UCBH Holdings, Inc.   $ 76,396    
  2,835     Umpqua Holdings Corp.     45,757    
  2,402     UnionBanCal Corp.     129,684    
  1,930     United Bankshares, Inc.     59,984    
  2,317     United Community Banks, Inc.     43,930    
  5,635     Valley National Bancorp     110,446    
  6,070     W Holding Co., Inc.     7,102    
  91,850     Wachovia Corp.     3,949,550    
  2,421     Webster Financial Corp.     81,563    
  146,849     Wells Fargo & Co.     4,762,313    
  1,398     Westamerica Bancorporation     65,720    
  3,232     Whitney Holding Corp.     88,557    
  3,242     Wilmington Trust Corp.     115,804    
  1,007     Wintrust Financial Corp.     35,567    
  4,831     Zions Bancorporation     263,628    
      22,771,668    
    Commercial Services & Supplies — 0.2%  
  6,566     Equifax, Inc.     244,452    
    Consumer Finance — 3.4%  
  48,771     American Express Co.     2,876,514    
  5,287     AmeriCredit Corp.*     60,642    
  19,008     Capital One Financial Corp.     1,013,316    
  1,446     CompuCredit Corp.*     18,740    
  19,952     Discover Financial Services     346,566    
  2,816     First Marblehead Corp. (The)     84,508    
  18,958     SLM Corp.     721,921    
      5,122,207    
    Diversified Financial Services — 18.9%  
  205,445     Bank of America Corp.     9,477,178    
  8,938     CIT Group, Inc.     237,751    
  228,385     Citigroup, Inc.     7,605,220    
  2,429     CME Group, Inc.     1,599,739    
  3,257     IntercontinentalExchange, Inc.*     543,789    
  1,818     International Securities Exchange
Holdings, Inc.		     122,151    
  155,435     JPMorgan Chase & Co.     7,090,945    
  10,425     Moody's Corp.     392,606    
  4,347     Nasdaq Stock Market, Inc. (The)*     188,486    
  2,887     Nymex Holdings, Inc.     359,576    
  8,625     NYSE Euronext     746,925    
      28,364,366    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Insurance — 20.0%  
  15,073     ACE Ltd.   $ 901,818    
  22,666     Aflac, Inc.     1,419,798    
  378     Alleghany Corp.*     154,602    
  1,491     Allied World Assurance Holdings Ltd.     69,003    
  26,954     Allstate Corp. (The)     1,377,889    
  4,713     AMBAC Financial Group, Inc.     128,335    
  3,288     American Financial Group, Inc.     96,075    
  103,372     American International Group, Inc.     6,009,014    
  857     American National Insurance     102,454    
  11,870     AON Corp.     593,144    
  2,290     Arch Capital Group Ltd.*     159,796    
  4,309     Arthur J. Gallagher & Co.     113,241    
  3,387     Aspen Insurance Holdings Ltd.     97,546    
  4,672     Assurant, Inc.     305,689    
  2,313     Assured Guaranty Ltd.     52,204    
  6,550     Axis Capital Holdings Ltd.     249,817    
  5,210     Brown & Brown, Inc.     128,166    
  18,033     Chubb Corp.     983,700    
  7,520     Cincinnati Financial Corp.     300,650    
  2,759     Commerce Group, Inc.     99,186    
  8,586     Conseco, Inc.*     110,244    
  1,942     Delphi Financial Group, Inc.     74,650    
  2,769     Endurance Specialty Holdings Ltd.     111,840    
  2,289     Erie Indemnity Co., Class A     118,433    
  2,867     Everest Re Group Ltd.     300,834    
  10,007     Fidelity National Financial, Inc.,
Class A		     156,309    
  3,817     First American Corp.     130,465    
  20,279     Genworth Financial, Inc.     532,121    
  2,356     Hanover Insurance Group, Inc. (The)     106,256    
  14,624     Hartford Financial Services Group, Inc.     1,393,960    
  5,187     HCC Insurance Holdings, Inc.     159,448    
  1,808     Hilb Rogal & Hobbs Co.     77,292    
  1,922     Horace Mann Educators Corp.     37,594    
  2,818     IPC Holdings Ltd.     83,300    
  12,379     Lincoln National Corp.     762,175    
  20,878     Loews Corp.     997,760    
  467     Markel Corp.*     225,164    
  24,727     Marsh & McLennan Cos., Inc.     621,142    
  5,721     MBIA, Inc.     208,874    
  1,336     Mercury General Corp.     69,325    

 

See accompanying notes to the financial statements.


119


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Financials (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  20,829     MetLife, Inc.   $ 1,366,174    
  4,318     Montpelier Re Holdings Ltd.     74,788    
  1,822     National Financial Partners Corp.     82,719    
  2,368     Nationwide Financial Services     105,992    
  10,505     Old Republic International Corp.     157,680    
  2,746     PartnerRe Ltd.     226,737    
  2,806     Philadelphia Consolidated Holding Co.*     119,479    
  4,828     Phoenix Cos., Inc. (The)     58,033    
  2,805     Platinum Underwriters Holdings Ltd.     101,878    
  12,342     Principal Financial Group, Inc.     808,278    
  1,417     ProAssurance Corp.*     77,708    
  31,202     Progressive Corp. (The)     574,117    
  3,269     Protective Life Corp.     135,271    
  21,225     Prudential Financial, Inc.     1,998,122    
  1,384     Reinsurance Group of America, Inc.     74,888    
  2,937     RenaissanceRe Holdings Ltd.     173,606    
  966     RLI Corp.     57,603    
  4,726     Safeco Corp.     272,737    
  2,403     Selective Insurance Group     56,687    
  2,382     Stancorp Financial Group, Inc.     124,078    
  4,261     Torchmark Corp.     262,819    
  1,337     Transatlantic Holdings, Inc.     99,406    
  30,258     Travelers Cos., Inc. (The)     1,607,002    
  2,296     Unitrin, Inc.     106,213    
  16,579     Unum Group     411,822    
  430     White Mountains Insurance Group Ltd.     221,450    
  5,140     Willis Group Holdings Ltd.     205,292    
  7,557     WR Berkley Corp.     231,093    
  8,455     XL Capital Ltd., Class A     494,871    
  1,821     Zenith National Insurance Corp.     76,537    
      29,982,393    
    IT Services — 0.4%  
  2,906     Mastercard, Inc., Class A     583,089    
  1     Metavante Technologies, Inc.*     23    
  3,810     MoneyGram International, Inc.     58,826    
      641,938    
    Real Estate Investment Trusts — 8.8%  
  1,393     Alexandria Real Estate Equities, Inc.     136,834    
  4659     AMB Property Corp.     284,944    
  5771     American Financial Realty Trust     46,572    
  14,976     Annaly Capital Management, Inc.     257,737    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  4,345     Apartment Investment &
Management Co.		   $ 172,801    
  3,730     AvalonBay Communities, Inc.     370,911    
  2,912     BioMed Realty Trust, Inc.     65,753    
  5,596     Boston Properties, Inc.     550,758    
  3,881     Brandywine Realty Trust     79,561    
  2,360     BRE Properties, Inc.     105,138    
  2,460     Camden Property Trust     129,421    
  6,559     CapitalSource, Inc.     109,929    
  2,910     CBL & Associates Properties, Inc.     84,041    
  1,983     Colonial Properties Trust     48,564    
  2,279     Corporate Office Properties Trust
SBI MD		     82,317    
  1,897     Cousins Properties, Inc.     45,092    
  7,643     DCT Industrial Trust, Inc.     77,118    
  5,708     Developers Diversified Realty Corp.     253,492    
  4,318     DiamondRock Hospitality Co.     74,788    
  2,451     Digital Realty Trust, Inc.     93,530    
  4,651     Douglas Emmett, Inc.     111,671    
  6,211     Duke Realty Corp.     163,287    
  1,338     Entertainment Properties Trust     71,302    
  981     Equity Lifestyle Properties, Inc.     45,509    
  12,769     Equity Residential     475,134    
  1032     Essex Property Trust, Inc.     107,060    
  2,460     Federal Realty Investment Trust     204,647    
  2,847     FelCor Lodging Trust, Inc.     49,851    
  1,974     First Industrial Realty Trust, Inc.     72,090    
  2,882     Franklin Street Properties Corp.     47,697    
  7,511     Friedman Billings Ramsey Group,
Inc., Class A		     22,458    
  10,490     General Growth Properties, Inc.     487,156    
  9,462     HCP, Inc.     316,504    
  3,754     Health Care REIT, Inc.     168,217    
  2,297     Healthcare Realty Trust, Inc.     58,413    
  2,465     Highwoods Properties, Inc.     78,214    
  1,465     Home Properties, Inc.     66,203    
  4,285     Hospitality Properties Trust     156,574    
  24,070     Host Hotels & Resorts, Inc.     461,903    
  9,542     HRPT Properties Trust     79,008    
  5,768     iStar Financial, Inc.     168,829    
  1,448     Kilroy Realty Corp.     80,929    
  10,003     Kimco Realty Corp.     395,018    
  1,872     LaSalle Hotel Properties     69,638    
  2,859     Lexington Realty Trust     50,576    

 

See accompanying notes to the financial statements.


120


Shares  
  Value  
    Common Stocks (a) (continued)  
  4,241     Liberty Property Trust   $ 132,786    
  3,303     Macerich Co. (The)     256,478    
  3,230     Mack-Cali Realty Corp.     115,279    
  1,802     Maguire Properties, Inc.     45,555    
  1,035     Mid-America Apartment
Communities, Inc.		     49,980    
  3,223     National Retail Properties, Inc.     78,931    
  4,228     Nationwide Health Properties, Inc.     132,252    
  2,390     Newcastle Investment Corp.     31,094    
  1,849     Pennsylvania Real Estate
Investment Trust		     63,846    
  8,042     Plum Creek Timber Co., Inc.     372,908    
  1,933     Post Properties, Inc.     70,187    
  1,854     Potlatch Corp.     85,117    
  11,817     Prologis     773,068    
  5,774     Public Storage     446,561    
  2,825     RAIT Financial Trust     24,436    
  3,695     Rayonier, Inc.     171,374    
  4,698     Realty Income Corp.     133,893    
  1,338     Redwood Trust, Inc.     40,849    
  3,260     Regency Centers Corp.     216,594    
  3,810     Senior Housing Properties Trust     84,163    
  10,358     Simon Property Group, Inc.     1,019,745    
  2,792     SL Green Realty Corp.     290,089    
  3,356     Strategic Hotels & Resorts, Inc.     61,448    
  2,806     Sunstone Hotel Investors, Inc.     65,099    
  2,405     Taubman Centers, Inc.     128,740    
  5,670     Thornburg Mortgage, Inc.     60,442    
  6,192     UDR, Inc.     136,410    
  6,146     Ventas, Inc.     267,966    
  6,591     Vornado Realty Trust     593,190    
  2,277     Washington Real Estate
Investment Trust		     72,955    
  3,746     Weingarten Realty Investors     133,545    
      13,232,169    
    Real Estate Management &
Development — 0.6%		  
  9,462     Brookfield Properties Corp.     203,433    
  9,420     CB Richard Ellis Group, Inc., Class A*     223,725    
  2,879     Forest City Enterprises, Inc., Class A     144,353    
  1,824     Jones Lang LaSalle, Inc.     153,344    
  3,362     St. Joe Co. (The)     95,649    
      820,504    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Thrifts & Mortgage Finance — 3.6%  
  920     Anchor Bancorp Wisconsin, Inc.   $ 23,386    
  4,189     Astoria Financial Corp.     104,893    
  26,505     Countrywide Financial Corp.     286,784    
  1,430     Dime Community Bancshares     19,405    
  951     Downey Financial Corp.     39,571    
  44,511     Fannie Mae     1,710,113    
  4,782     First Niagara Financial Group, Inc.     59,440    
  555     FirstFed Financial Corp.*     19,436    
  30,346     Freddie Mac     1,064,234    
  3,269     Fremont General Corp.     8,205    
  22,362     Hudson City Bancorp, Inc.     340,350    
  3,333     IndyMac Bancorp, Inc.     31,830    
  3,776     MGIC Investment Corp.     88,812    
  13,186     New York Community Bancorp, Inc.     245,391    
  4,785     NewAlliance Bancshares, Inc.     61,727    
  5,705     People's United Financial, Inc.     96,814    
  948     PFF Bancorp, Inc.     8,911    
  3,852     PMI Group, Inc. (The)     50,962    
  2,812     Provident Financial Services, Inc.     41,786    
  3,752     Radian Group, Inc.     42,548    
  15,175     Sovereign Bancorp, Inc.     178,610    
  3,356     Trustco Bank Corp. NY     35,674    
  3,867     Washington Federal, Inc.     90,758    
  39,770     Washington Mutual, Inc.     775,515    
      5,425,155    
        Total Common Stock
(Cost $129,603,218)		     128,025,955    
Principal
Amount		  
 
 
    Repurchase Agreements — 18.8%  
$ 5,620,768     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $5,622,941 **		     5,620,768    
  6,465,089     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,467,540 ***		     6,465,089    
  1,124,154     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,124,580 ****		     1,124,154    

 

See accompanying notes to the financial statements.


121


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Financials (continued)

Principal
Amount 		 
  Value  
    Repurchase Agreements (continued)  
$ 14,988,715     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $14,994,398 *****		   $ 14,988,715    
    Total Repurchase Agreements
(Cost $28,198,726)		     28,198,726    
    Total Investments
(Cost $157,801,944) — 104.2%		     156,224,681    
    Liabilities in excess of
other assets — (4.2%)		     (6,366,932 )  
    Net Assets — 100.0%   $ 149,857,749    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $5,733,208. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $6,594,412. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,146,641. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $15,288,493. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 2,556,444    
Aggregate gross unrealized depreciation     (5,394,751 )  
Net unrealized depreciation   $ (2,838,307 )  
Federal income tax cost of investments   $ 159,062,988    

 

Swap Agreements

Ultra Financials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index,
expiring 12/27/07		   $ 2,063,997     $ (44,346 )  
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index,
expiring 12/27/07		     167,741,338       280,281    
        $ 235,935    

 

See accompanying notes to the financial statements.


122


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Health Care

Shares  
  Value  
    Common Stocks (a) — 84.5%  
    Biotechnology — 11.8%  
  30     Abraxis Bioscience, Inc.*   $ 1,769    
  198     Alexion Pharmaceuticals, Inc.*     14,399    
  538     Alkermes, Inc.*     7,672    
  5,793     Amgen, Inc.*     320,063    
  694     Amylin Pharmaceuticals, Inc.*     26,504    
  422     Applera Corp.- Celera Group*     6,381    
  1,523     Biogen Idec, Inc.*     112,885    
  510     BioMarin Pharmaceutical, Inc.*     14,025    
  2,024     Celgene Corp.*     124,577    
  356     Cephalon, Inc.*     26,671    
  295     Cubist Pharmaceuticals, Inc.*     6,266    
  296     CV Therapeutics, Inc.*     2,581    
  234     Enzon Pharmaceuticals, Inc.*     2,214    
  2,472     Genentech, Inc.*     188,490    
  1,393     Genzyme Corp.*     104,377    
  4,960     Gilead Sciences, Inc.*     230,838    
  716     Human Genome Sciences, Inc.*     7,454    
  319     ImClone Systems, Inc.*     14,384    
  407     Incyte Corp.*     3,492    
  141     InterMune, Inc.*     2,290    
  670     Medarex, Inc.*     8,509    
  1,706     Millennium Pharmaceuticals, Inc.*     25,146    
  229     Myriad Genetics, Inc.*     11,038    
  202     Neurocrine Biosciences, Inc.*     2,630    
  291     Onyx Pharmaceuticals, Inc.*     15,871    
  304     OSI Pharmaceuticals, Inc.*     14,176    
  621     PDL BioPharma, Inc.*     10,998    
  340     Regeneron Pharmaceuticals, Inc.*     7,405    
  282     Savient Pharmaceuticals, Inc.*     3,965    
  270     Theravance, Inc.*     6,504    
  103     United Therapeutics Corp.*     10,308    
  698     Vertex Pharmaceuticals, Inc.*     17,722    
      1,351,604    
    Health Care Equipment & Supplies — 14.4%  
  316     Advanced Medical Optics, Inc.*     7,970    
  407     Alcon, Inc.     56,630    
  384     American Medical Systems
Holdings, Inc.*		     5,249    
  146     Arthrocare Corp.*     7,903    
  3,465     Baxter International, Inc.     207,450    
  334     Beckman Coulter, Inc.     23,624    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,226     Becton Dickinson & Co.   $ 101,427    
  7,333     Boston Scientific Corp.*     92,616    
  237     Cooper Cos., Inc. (The)     10,198    
  2,635     Covidien Ltd.     105,690    
  558     CR Bard, Inc.     47,168    
  68     Datascope Corp.     2,488    
  758     Dentsply International, Inc.     32,427    
  311     Edwards Lifesciences Corp.*     15,379    
  278     Gen-Probe, Inc.*     18,595    
  142     Haemonetics Corp.*     8,237    
  311     Hillenbrand Industries, Inc.     16,744    
  610     Hologic, Inc.*     40,498    
  833     Hospira, Inc.*     36,069    
  332     Idexx Laboratories, Inc.*     20,086    
  367     Immucor, Inc.*     12,173    
  199     Intuitive Surgical, Inc.*     65,208    
  165     Invacare Corp.     4,290    
  353     Inverness Medical Innovations, Inc.*     20,714    
  282     Kinetic Concepts, Inc.*     16,537    
  6,077     Medtronic, Inc.     309,016    
  180     Mentor Corp.     6,766    
  407     Resmed, Inc.*     18,641    
  389     Respironics, Inc.*     19,162    
  1,816     St. Jude Medical, Inc.*     72,186    
  345     STERIS Corp.     9,646    
  1,672     Stryker Corp.     121,437    
  672     Varian Medical Systems, Inc.*     33,573    
  1,272     Zimmer Holdings, Inc.*     82,337    
      1,648,134    
    Health Care Providers & Services — 14.4%  
  2,751     Aetna, Inc.     153,726    
  279     AMERIGROUP Corp.*     9,589    
  232     Apria Healthcare Group, Inc.*     5,027    
  273     Brookdale Senior Living, Inc.     9,036    
  232     Centene Corp.*     5,800    
  1,508     Cigna Corp.     80,844    
  510     Community Health Systems, Inc.*     17,044    
  832     Coventry Health Care, Inc.*     48,156    
  561     DaVita, Inc.*     34,760    
  1,162     Express Scripts, Inc.*     78,725    
  1,283     Health Management Associates, Inc.,
Class A		     8,737    
  598     Health Net, Inc.*     29,051    

 

See accompanying notes to the financial statements.


123


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Health Care (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  420     Healthsouth Corp.*   $ 8,329    
  184     Healthways, Inc.*     10,740    
  471     Henry Schein, Inc.*     27,860    
  886     Humana, Inc.*     68,249    
  627     Laboratory Corp. of America Holdings*     45,564    
  306     LifePoint Hospitals, Inc.*     9,682    
  453     Lincare Holdings, Inc.*     15,488    
  208     Magellan Health Services, Inc.*     9,454    
  1,444     Medco Health Solutions, Inc.*     144,386    
  175     Odyssey HealthCare, Inc.*     1,750    
  214     Owens & Minor, Inc.     8,404    
  689     Patterson Cos., Inc.*     22,172    
  258     Pediatrix Medical Group, Inc.*     16,682    
  150     PharMerica Corp.*     2,209    
  361     PSS World Medical, Inc.*     6,924    
  289     Psychiatric Solutions, Inc.*     10,557    
  802     Quest Diagnostics, Inc.     44,158    
  272     Sierra Health Services, Inc.*     11,356    
  234     Sunrise Senior Living, Inc.*     7,345    
  2,522     Tenet Healthcare Corp.*     13,896    
  7,063     UnitedHealth Group, Inc.     388,465    
  269     Universal Health Services, Inc., Class B     13,706    
  190     WellCare Health Plans, Inc.*     7,393    
  3,200     WellPoint, Inc.*     269,472    
      1,644,736    
    Life Sciences Tools & Services — 3.6%  
  365     Affymetrix, Inc.*     7,610    
  977     Applera Corp.- Applied Biosystems
Group		     33,374    
  98     Bio-Rad Laboratories, Inc., Class A*     9,889    
  362     Charles River Laboratories
International, Inc.*		     22,998    
  340     Covance, Inc.*     29,692    
  195     Enzo Biochem, Inc.*     2,137    
  286     Illumina, Inc.*     16,528    
  247     Invitrogen Corp.*     23,962    
  288     Millipore Corp.*     23,581    
  489     Nektar Therapeutics*     3,262    
  147     Parexel International Corp.*     6,505    
  556     Pharmaceutical Product
Development, Inc.		     23,541    
  199     Techne Corp.*     12,965    
  2,274     Thermo Fisher Scientific, Inc.*     131,073    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  163     Varian, Inc.*   $ 11,418    
  186     Ventana Medical Systems, Inc.*     16,521    
  532     Waters Corp.*     41,517    
      416,573    
    Pharmaceuticals — 40.3%  
  8,202     Abbott Laboratories     471,697    
  167     Adams Respiratory Therapeutics, Inc.*     7,204    
  1,612     Allergan, Inc.     108,069    
  233     Alpharma, Inc., Class A*     4,893    
  125     APP Pharmaceuticals, Inc.*     1,469    
  572     Barr Pharmaceuticals, Inc.*     30,716    
  10,491     Bristol-Myers Squibb Co.     310,848    
  5,155     Eli Lilly & Co.     272,957    
  710     Endo Pharmaceuticals Holdings, Inc.*     19,461    
  1,688     Forest Laboratories, Inc.*     65,073    
  15,457     Johnson & Johnson     1,047,057    
  1,289     King Pharmaceuticals, Inc.*     13,651    
  276     Medicines Co. (The)*     4,880    
  298     Medicis Pharmaceutical Corp., Class A     8,016    
  11,601     Merck & Co., Inc.     688,635    
  425     MGI Pharma, Inc.*     14,709    
  1,326     Mylan, Inc.     19,068    
  132     Noven Pharmaceuticals, Inc.*     2,090    
  192     Par Pharmaceutical Cos., Inc.*     3,694    
  412     Perrigo Co.     12,731    
  36,929     Pfizer, Inc.     877,433    
  7,977     Schering-Plough Corp.     249,680    
  567     Sepracor, Inc.*     15,043    
  420     Valeant Pharmaceuticals International*     4,851    
  545     Watson Pharmaceuticals, Inc.*     15,974    
  7,113     Wyeth     349,248    
      4,619,147    
        Total Common Stock
(Cost $9,131,438)		     9,680,194    
Principal
Amount		  
 
 
    Repurchase Agreements — 13.6%  
$ 309,887     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $310,007 **		     309,887    
  356,436     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $356,571 ***		     356,436    

 

See accompanying notes to the financial statements.


124


Principal
Amount		  
  Value  
    Repurchase Agreements (continued)  
$ 61,977     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $62,000 ****		   $ 61,977    
  826,365     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $826,678 *****		     826,365    
    Total Repurchase Agreements
(Cost $1,554,665)		     1,554,665    
    Total Investments
(Cost $10,686,103) — 98.1%		     11,234,859    
    Other assets less liabilities — 1.9%     221,337    
    Net Assets — 100.0%   $ 11,456,196    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $316,086. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $363,566. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $63,217. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $842,892. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 990,642    
Aggregate gross unrealized depreciation     (447,062 )  
Net unrealized appreciation   $ 543,580    
Federal income tax cost of investments   $ 10,691,279    

 

Swap Agreements

Ultra Health Care had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index,
expiring 12/27/07		   $ 4,871,055     $ 85,395    
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index,
expiring 12/27/07		     8,000,000       173,022    
        $ 258,417    

 

See accompanying notes to the financial statements.


125



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Industrials

Shares  
  Value  
    Common Stocks (a) — 88.6%  
    Aerospace & Defense — 16.0%  
  199     AAR Corp.*   $ 6,571    
  176     Alliant Techsystems, Inc.*     20,562    
  484     BE Aerospace, Inc.*     22,748    
  3,729     Boeing Co.     345,082    
  133     Ceradyne, Inc.*     6,576    
  232     Curtiss-Wright Corp.     12,514    
  216     DRS Technologies, Inc.     12,789    
  151     Esterline Technologies Corp.*     7,885    
  1,765     General Dynamics Corp.     156,697    
  655     Goodrich Corp.     46,695    
  495     Hexcel Corp.*     12,608    
  3,596     Honeywell International, Inc.     203,606    
  656     L-3 Communications Holdings, Inc.     72,586    
  1,729     Lockheed Martin Corp.     191,348    
  200     Moog, Inc., Class A*     9,016    
  1,679     Northrop Grumman Corp.     132,288    
  314     Orbital Sciences Corp.*     7,555    
  720     Precision Castparts Corp.     106,085    
  2,298     Raytheon Co.     142,131    
  878     Rockwell Collins, Inc.     63,321    
  538     Spirit Aerosystems Holdings, Inc.,
Class A*		     18,803    
  326     Taser International, Inc.*     4,567    
  171     Teledyne Technologies, Inc.*     9,272    
  4,825     United Technologies Corp.     360,765    
      1,972,070    
    Air Freight & Logistics — 4.3%  
  913     CH Robinson Worldwide, Inc.     47,065    
  1,120     Expeditors International
Washington, Inc.		     52,550    
  1,498     FedEx Corp.     147,508    
  155     Forward Air Corp.     5,017    
  182     Pacer International, Inc.     2,504    
  3,583     United Parcel Service, Inc., Class B     263,996    
  435     UTi Worldwide, Inc.     10,323    
      528,963    
    Building Products — 1.0%  
  337     Lennox International, Inc.     11,404    
  1,984     Masco Corp.     44,442    
  106     NCI Building Systems, Inc.*     3,639    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  465     Owens Corning, Inc.*   $ 10,235    
  197     Simpson Manufacturing Co., Inc.     5,242    
  936     Trane, Inc.     34,360    
  380     USG Corp.*     13,942    
      123,264    
    Chemicals — 0.1%  
  758     Nalco Holding Co.     18,162    
    Commercial Services & Supplies — 4.0%  
  127     Administaff, Inc.     4,150    
  1,502     Allied Waste Industries, Inc.*     17,138    
  146     Bowne & Co., Inc.     2,637    
  264     Brady Corp., Class A     10,568    
  215     Brink's Co. (The)     13,756    
  395     ChoicePoint, Inc.*     14,951    
  719     Cintas Corp.     23,001    
  190     Corporate Executive Board Co.     12,747    
  641     Corrections Corp. of America*     19,557    
  563     Covanta Holding Corp.*     15,195    
  270     Deluxe Corp.     8,529    
  224     FTI Consulting, Inc.*     12,768    
  112     G&K Services, Inc., Class A     4,555    
  243     Labor Ready, Inc.*     3,657    
  446     Manpower, Inc.     27,251    
  117     Mine Safety Appliances Co.     5,734    
  623     Monster Worldwide, Inc.*     21,039    
  250     Navigant Consulting, Inc.*     3,245    
  280     PHH Corp.*     6,205    
  1,151     R.R. Donnelley & Sons Co.     42,196    
  876     Republic Services, Inc.     29,057    
  244     Resources Connection, Inc.     5,031    
  861     Robert Half International, Inc.     23,212    
  297     Spherion Corp.*     2,311    
  464     Stericycle, Inc.*     27,306    
  210     TeleTech Holdings, Inc.*     4,349    
  304     Tetra Tech, Inc.*     6,299    
  146     United Stationers, Inc.*     7,396    
  105     Viad Corp.     3,256    
  359     Waste Connections, Inc.*     11,427    

 

See accompanying notes to the financial statements.


126


Shares  
  Value  
    Common Stocks (a) (continued)  
  2,718     Waste Management, Inc.   $ 93,282    
  223     Watson Wyatt Worldwide, Inc.,
Class A		     10,269    
      492,074    
    Communications Equipment — 0.2%  
  91     Black Box Corp.     3,349    
  319     CommScope, Inc.*     12,919    
  591     Powerwave Technologies, Inc.*     2,447    
      18,715    
    Construction & Engineering — 2.5%  
  335     EMCOR Group, Inc.*     8,924    
  462     Fluor Corp.     67,992    
  368     Foster Wheeler Ltd.*     54,832    
  181     Granite Construction, Inc.     7,425    
  142     Insituform Technologies, Inc.*     1,845    
  630     Jacobs Engineering Group, Inc.*     52,775    
  881     KBR, Inc.*     35,081    
  890     Quanta Services, Inc.*     24,368    
  397     Shaw Group, Inc. (The)*     25,178    
  395     URS Corp.*     22,709    
      301,129    
    Construction Materials — 0.8%  
  254     Eagle Materials, Inc.     9,904    
  221     Headwaters, Inc.*     2,652    
  220     Martin Marietta Materials, Inc.     29,601    
  143     Texas Industries, Inc.     9,921    
  502     Vulcan Materials Co.     44,620    
      96,698    
    Containers & Packaging — 1.7%  
  336     Aptargroup, Inc.     14,183    
  536     Ball Corp.     24,790    
  528     Bemis Co., Inc.     14,325    
  857     Crown Holdings, Inc.*     21,991    
  757     Owens-Illinois, Inc.*     33,982    
  489     Packaging Corp. of America     13,834    
  685     Pactiv Corp.*     17,399    
  847     Sealed Air Corp.     19,794    
  1,333     Smurfit-Stone Container Corp.*     14,676    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  530     Sonoco Products Co.   $ 16,101    
  515     Temple-Inland, Inc.     23,674    
      214,749    
    Electrical Equipment — 4.4%  
  229     Acuity Brands, Inc.     9,043    
  557     Ametek, Inc.     24,508    
  221     Baldor Electric Co.     7,459    
  236     Belden, Inc.     10,868    
  1,100     Cooper Industries Ltd., Class A     55,242    
  4,161     Emerson Electric Co.     237,260    
  208     Energy Conversion Devices, Inc.*     5,381    
  275     General Cable Corp.*     20,455    
  133     Genlyte Group, Inc.*     12,535    
  548     GrafTech International Ltd.*     8,806    
  268     Hubbell, Inc., Class B     14,721    
  394     Power-One, Inc.*     1,840    
  168     Regal-Beloit Corp.     7,910    
  716     Rockwell Automation, Inc.     48,609    
  464     Roper Industries, Inc.     29,441    
  191     Sunpower Corp., Class A*     23,768    
  308     Thomas & Betts Corp.*     16,743    
      534,589    
    Electronic Equipment & Instruments — 4.4%  
  2,080     Agilent Technologies, Inc.*     78,686    
  936     Amphenol Corp., Class A     40,576    
  169     Anixter International, Inc.*     10,900    
  651     Arrow Electronics, Inc.*     24,093    
  785     Avnet, Inc.*     27,082    
  270     AVX Corp.     3,869    
  379     Benchmark Electronics, Inc.*     6,803    
  206     Checkpoint Systems, Inc.*     4,895    
  214     Cognex Corp.     4,338    
  164     Coherent, Inc.*     4,718    
  189     CTS Corp.     1,998    
  136     Electro Scientific Industries, Inc.*     2,754    
  4,349     Flextronics International Ltd.*     52,014    
  348     Flir Systems, Inc.*     23,918    
  157     Itron, Inc.*     12,175    
  946     Jabil Circuit, Inc.     16,035    
  440     Kemet Corp.*     2,728    
  117     Littelfuse, Inc.*     3,902    

 

See accompanying notes to the financial statements.


127


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Industrials (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  196     Methode Electronics, Inc.   $ 2,362    
  195     Mettler Toledo International, Inc.*     22,690    
  353     Molex, Inc.     9,729    
  403     Molex, Inc., Class A     10,792    
  307     National Instruments Corp.     10,245    
  186     Newport Corp.*     2,466    
  173     Orbotech Ltd.*     2,659    
  97     Park Electrochemical Corp.     2,857    
  243     Plexus Corp.*     7,232    
  2,796     Sanmina-SCI Corp.*     4,949    
  212     Technitrol, Inc.     5,675    
  631     Trimble Navigation, Ltd.*     23,391    
  2,597     Tyco Electronics Ltd.*     97,102    
  904     Vishay Intertechnology, Inc.*     11,291    
      534,924    
    Health Care Equipment & Supplies — 0.1%  
  173     West Pharmaceutical Services, Inc.     6,500    
    Health Care Technology — 0.3%  
  953     HLTH Corp.*     13,332    
  1,028     IMS Health, Inc.     24,004    
      37,336    
    Household Durables — 0.5%  
  801     Fortune Brands, Inc.     61,397    
    Industrial Conglomerates — 21.5%  
  3,470     3M Co.     288,912    
  328     Carlisle Cos., Inc.     13,058    
  54,022     General Electric Co.     2,068,502    
  1,179     McDermott International, Inc.*     61,662    
  205     Teleflex, Inc.     12,368    
  1,312     Textron, Inc.     90,593    
  2,597     Tyco International Ltd.     104,218    
  273     Walter Industries, Inc.     9,470    
      2,648,783    
    Internet Software & Services — 0.1%  
  211     VistaPrint Ltd.*     9,368    
    IT Services — 5.6%  
  3,070     Accenture Ltd., Class A     106,099    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  365     Acxiom Corp.   $ 4,497    
  485     Affiliated Computer Services, Inc.,
Class A*		     20,351    
  413     Alliance Data Systems Corp.*     32,090    
  2,790     Automatic Data Processing, Inc.     125,717    
  1,059     BearingPoint, Inc.*     3,865    
  725     Broadridge Financial Solutions, Inc.     16,508    
  383     Checkfree Corp.*     18,231    
  724     Convergys Corp.*     11,808    
  1,012     Fidelity National Information
Services, Inc.		     43,739    
  867     Fiserv, Inc.*     44,503    
  76     Forrester Research, Inc.*     1,990    
  426     Global Payments, Inc.     18,412    
  517     Hewitt Associates, Inc., Class A*     19,388    
  957     Iron Mountain, Inc.*     34,911    
  419     Metavante Technologies, Inc.*     9,545    
  540     MPS Group, Inc.*     5,994    
  401     NeuStar, Inc., Class A*     12,740    
  1,770     Paychex, Inc.     69,030    
  4,014     Western Union Co. (The)     90,716    
      690,134    
    Life Sciences Tools & Services — 0.2%  
  101     Dionex Corp.*     8,532    
  622     PerkinElmer, Inc.     16,968    
      25,500    
    Machinery — 13.6%  
  288     Actuant Corp., Class A     9,121    
  480     AGCO Corp.*     33,091    
  136     Albany International Corp.     5,259    
  87     Astec Industries, Inc.*     3,268    
  193     Bucyrus International, Inc.     16,928    
  3,393     Caterpillar, Inc.     243,957    
  262     Clarcor, Inc.     9,330    
  274     Crane Co.     12,314    
  494     Cummins, Inc.     57,749    
  1,266     Danaher Corp.     109,914    
  1,191     Deere & Co.     204,614    
  367     Donaldson Co., Inc.     17,168    
  1,068     Dover Corp.     49,427    
  769     Eaton Corp.     68,679    
  136     ESCO Technologies, Inc.*     5,029    

 

See accompanying notes to the financial statements.


128


Shares  
  Value  
    Common Stocks (a) (continued)  
  300     Flowserve Corp.   $ 28,227    
  275     Gardner Denver, Inc.*     9,105    
  343     Graco, Inc.     12,773    
  442     Harsco Corp.     26,551    
  423     IDEX Corp.     15,101    
  2,491     Illinois Tool Works, Inc.     138,251    
  1,506     Ingersoll-Rand Co., Ltd., Class A     77,770    
  953     ITT Corp.     61,411    
  575     Joy Global, Inc.     33,350    
  148     Kaydon Corp.     7,490    
  203     Kennametal, Inc.     15,844    
  213     Lincoln Electric Holdings, Inc.     14,861    
  659     Manitowoc Co., Inc. (The)     28,897    
  195     Mueller Industries, Inc.     5,895    
  451     Mueller Water Products, Inc., Class B     4,515    
  161     Nordson Corp.     8,501    
  385     Oshkosh Truck Corp.     18,515    
  1,971     Paccar, Inc.     99,752    
  642     Pall Corp.     24,557    
  912     Parker Hannifin Corp.     72,440    
  524     Pentair, Inc.     17,774    
  286     SPX Corp.     29,103    
  540     Terex Corp.*     34,803    
  398     Timken Co.     12,692    
  208     Toro Co.     11,575    
  419     Trinity Industries, Inc.     10,605    
  152     Wabash National Corp.     1,050    
  255     Wabtec Corp.     8,655    
      1,675,911    
    Marine — 0.2%  
  226     Alexander & Baldwin, Inc.     11,612    
  222     American Commercial Lines, Inc.*     3,861    
  277     Kirby Corp.*     13,315    
      28,788    
    Metals & Mining — 0.1%  
  194     Quanex Corp.     9,708    
    Multi-Utilities — 0.2%  
  884     MDU Resources Group, Inc.     24,124    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Office Electronics — 0.1%  
  363     Zebra Technologies Corp.*   $ 14,001    
    Oil, Gas & Consumable Fuels — 0.3%  
  142     General Maritime Corp.     3,792    
  158     Overseas Shipholding Group, Inc.     11,313    
  224     Teekay Corp.     12,600    
  149     World Fuel Services Corp.     4,714    
      32,419    
    Paper & Forest Products — 0.3%  
  548     Louisiana-Pacific Corp.     8,428    
  963     MeadWestvaco Corp.     31,654    
      40,082    
    Road & Rail — 4.9%  
  118     Arkansas Best Corp.     2,690    
  1,679     Burlington Northern Santa Fe Corp.     140,230    
  237     Con-way, Inc.     10,020    
  2,286     CSX Corp.     96,012    
  202     Genesee & Wyoming, Inc.*     5,293    
  523     JB Hunt Transport Services, Inc.     13,750    
  403     Kansas City Southern*     13,875    
  292     Landstar System, Inc.     11,616    
  2,068     Norfolk Southern Corp.     105,902    
  172     Old Dominion Freight Line, Inc.*     3,875    
  314     Ryder System, Inc.     13,615    
  77     Saia, Inc.*     1,004    
  1,406     Union Pacific Corp.     177,353    
  277     Werner Enterprises, Inc.     4,861    
  304     YRC Worldwide, Inc.*     5,384    
      605,480    
    Semiconductors & Semiconductor
Equipment — 0.0%		  
  155     Veeco Instruments, Inc.*     2,601    
    Specialty Retail — 0.3%  
  583     Sherwin-Williams Co. (The)     36,630    
    Trading Companies & Distributors — 0.9%  
  739     Fastenal Co.     29,294    

 

See accompanying notes to the financial statements.


129


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Industrials (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  231     GATX Corp.   $ 8,554    
  129     Kaman Corp.     4,115    
  248     MSC Industrial Direct Co.     10,718    
  388     United Rentals, Inc.*     9,029    
  128     Watsco, Inc.     4,640    
  233     WESCO International, Inc.*     9,432    
  396     WW Grainger, Inc.     34,967    
      110,749    
        Total Common Stock
(Cost $10,674,129)		     10,894,848    
Principal
Amount		  
 
 
    Repurchase Agreement — 16.2%  
$ 397,018     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $397,172 **		     397,018    
  456,655     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $456,828 ***		     456,655    
  79,404     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $79,434 ****		     79,404    
  1,058,714     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,059,115 *****		     1,058,714    
        Total Repurchase Agreements
(Cost $1,991,791)		     1,991,791    
        Total Investments
(Cost $12,665,920) — 104.8%		     12,886,639    
        Liabilities in excess of
other assets — (4.8%)		     (593,899 )  
        Net Assets — 100.0%   $ 12,292,740    

 

(a)  All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.

*    Non-income producing security.

**    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $404,960. The investment in the repurchase agreement was through participation in a pooled account.

***    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $465,790. The investment in the repurchase agreement was through participation in a pooled account.

****    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $80,992. The investment in the repurchase agreement was through participation in a pooled account.

*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,079,888. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 523,357    
Aggregate gross unrealized depreciation     (351,723 )  
Net unrealized appreciation   $ 171,634    
Federal income tax cost of investments   $ 12,715,005    

 

See accompanying notes to the financial statements.


130


Swap Agreements

Ultra Industrials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index,
expiring 12/27/07		   $ 5,000,627     $ (213,092 )  
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index,
expiring 12/27/07		     9,200,000       (335,965 )  
        $ (549,057 )  

 

See accompanying notes to the financial statements.


131


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Oil & Gas

Shares  
  Value  
    Common Stocks (a) — 89.7%  
    Energy Equipment & Services — 21.4%  
  896     Atwood Oceanics, Inc.*   $ 78,176    
  10,765     Baker Hughes, Inc.     864,107    
  9,840     BJ Services Co.     241,867    
  750     Bristow Group, Inc.*     41,250    
  3,650     Cameron International Corp.*     340,289    
  803     Core Laboratories NV*     94,152    
  2,199     Diamond Offshore Drilling, Inc.     256,030    
  2,868     Dresser-Rand Group, Inc.*     102,101    
  4,947     ENSCO International, Inc.     266,396    
  2,213     Exterran Holdings, Inc.*     177,129    
  4,358     FMC Technologies, Inc.*     242,218    
  2,936     Global Industries Ltd.*     65,091    
  4,299     Grant Prideco, Inc.*     206,782    
  6,205     Grey Wolf, Inc.*     31,521    
  29,878     Halliburton Co.     1,093,834    
  2,799     Helix Energy Solutions Group, Inc.*     113,611    
  3,208     Helmerich & Payne, Inc.     110,836    
  2,362     ION Geophysical Corp.*     36,446    
  9,445     Nabors Industries Ltd.*     254,070    
  11,912     National Oilwell Varco, Inc.*     811,803    
  2,999     Newpark Resources*     16,135    
  9,013     Noble Corp.     469,848    
  1,830     Oceaneering International, Inc.*     116,772    
  1,657     Oil States International, Inc.*     52,543    
  3,751     Parker Drilling Co.*     26,820    
  5,260     Patterson-UTI Energy, Inc.     99,151    
  5,562     Pride International, Inc.*     183,379    
  3,710     Rowan Cos., Inc.     131,334    
  40,012     Schlumberger Ltd.     3,739,121    
  791     SEACOR Holdings, Inc.*     71,641    
  6,712     Smith International, Inc.     420,977    
  2,707     Superior Energy Services*     94,474    
  2,490     Tetra Technologies, Inc.*     39,367    
  1,871     Tidewater, Inc.     91,473    
  10,504     Transocean, Inc.     1,442,066    
  1,552     Unit Corp.*     69,405    
  1,019     W-H Energy Services, Inc.*     51,459    
  11,402     Weatherford International Ltd.*     713,993    
      13,257,667    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Independent Power Producers &
Energy Traders — 0.2%		  
  13,466     Dynegy, Inc., Class A*   $ 102,476    
    Multi-Utilities — 0.2%  
  3,073     OGE Energy Corp.     109,399    
    Oil, Gas & Consumable Fuels — 67.9%  
  15,713     Anadarko Petroleum Corp.     889,356    
  11,013     Apache Corp.     1,065,948    
  1,186     Berry Petroleum Co., Class A     49,053    
  3,264     Cabot Oil & Gas Corp.     112,347    
  1,497     Cheniere Energy, Inc.*     52,096    
  15,015     Chesapeake Energy Corp.     568,318    
  71,550     Chevron Corp.     6,279,943    
  2,775     Cimarex Energy Co.     107,198    
  1,489     Comstock Resources, Inc.*     49,882    
  51,078     ConocoPhillips     4,088,283    
  1,542     Crosstex Energy, Inc.     55,358    
  2,205     Delta Petroleum Corp.*     33,891    
  4,055     Denbury Resources, Inc.*     216,213    
  14,070     Devon Energy Corp.     1,165,137    
  23,676     El Paso Corp.     380,710    
  1,707     Encore Acquisition Co.*     55,563    
  8,196     EOG Resources, Inc.     678,465    
  2,828     EXCO Resources, Inc.*     39,535    
  186,160     Exxon Mobil Corp.     16,598,026    
  2,615     Forest Oil Corp.*     123,114    
  3,596     Frontier Oil Corp.     158,943    
  9,573     Hess Corp.     681,789    
  1,542     Holly Corp.     74,710    
  24,264     Marathon Oil Corp.     1,356,358    
  2,694     Mariner Energy, Inc.*     58,406    
  5,938     Murphy Oil Corp.     424,686    
  4,330     Newfield Exploration Co.*     215,850    
  5,728     Noble Energy, Inc.     412,645    
  27,986     Occidental Petroleum Corp.     1,952,583    
  1,261     Penn Virginia Corp.     52,483    
  5,693     PetroHawk Energy Corp.*     92,796    
  4,116     Pioneer Natural Resources Co.     183,450    
  4,129     Plains Exploration & Production Co.*     208,123    
  1,839     Quicksilver Resources, Inc.*     93,053    

 

See accompanying notes to the financial statements.


132


Shares  
  Value  
    Common Stocks (a) (continued)  
  4,984     Range Resources Corp.   $ 202,750    
  5,677     Southwestern Energy Co.*     282,544    
  2,106     St. Mary Land & Exploration Co.     82,766    
  878     Stone Energy Corp.*     39,686    
  4,073     Sunoco, Inc.     273,298    
  1,004     Swift Energy Co.*     40,672    
  4,585     Tesoro Corp.     225,490    
  5,101     Ultra Petroleum Corp.*     331,055    
  18,428     Valero Energy Corp.     1,199,110    
  1,409     Whiting Petroleum Corp.*     74,282    
  12,871     XTO Energy, Inc.     795,685    
      42,121,649    
        Total Common Stock
(Cost $53,097,894)		     55,591,191    
Principal
Amount		  
 
 
    Repurchase Agreements — 17.2%  
$ 2,126,435     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,127,257 **		     2,126,435    
  2,445,856     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,446,783 ***		     2,445,856    
  425,287     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $425,448 ****		     425,287    
  5,670,492     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,672,642 *****		     5,670,492    
        Total Repurchase Agreements
(Cost $10,668,070)		     10,668,070    
        Total Investments
(Cost $63,765,964) — 106.9%		     66,259,261    
        Liabilities in excess of
other assets — (6.9%)		     (4,280,520 )  
        Net Assets — 100.0%   $ 61,978,741    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*    Non-income producing security.

**    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,168,973. The investment in the repurchase agreement was through participation in a pooled account.

***    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,494,781. The investment in the repurchase agreement was through participation in a pooled account.

****    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $433,794. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,783,904. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 3,139,861    
Aggregated gross unrealized depreciation     (1,410,924 )  
Net unrealized appreciation   $ 1,728,937    
Federal income tax cost of investments   $ 64,530,324    

 

See accompanying notes to the financial statements.


133


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Oil & Gas (continued)

Swap Agreements

Ultra Oil & Gas had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index,
expiring 12/27/07		   $ 16,050,012     $ (1,435,341 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index,
expiring 12/27/07		     56,163,025       (2,875,149 )  
        $ (4,310,490 )  

 

See accompanying notes to the financial statements.


134


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Real Estate

Shares  
  Value  
    Common Stocks (a) — 85.4%  
    Diversified REIT's — 5.4%  
  2,254     Colonial Properties Trust   $ 55,200    
  2,028     Cousins Properties, Inc.     48,206    
  4,489     Liberty Property Trust     140,551    
  6,964     Vornado Realty Trust     626,760    
  2,287     Washington Real Estate
Investment Trust		     73,275    
      943,992    
    Industrial REIT's — 7.3%  
  4,851     AMB Property Corp.     296,687    
  8,257     DCT Industrial Trust, Inc.     83,313    
  2,225     First Industrial Realty Trust, Inc.     81,257    
  12,568     Prologis     822,199    
      1,283,456    
    Mortgage REIT's — 4.6%  
  18,885     Annaly Capital Management, Inc.     325,011    
  6,883     CapitalSource, Inc.     115,359    
  7,905     Friedman Billings Ramsey Group, Inc.,
Class A		     23,636    
  6,284     iStar Financial, Inc.     183,932    
  2,589     Newcastle Investment Corp.     33,683    
  2,992     RAIT Financial Trust     25,881    
  1,297     Redwood Trust, Inc.     39,597    
  6,027     Thornburg Mortgage, Inc.     64,248    
      811,347    
    Office REIT's — 12.7%  
  1,447     Alexandria Real Estate Equities, Inc.     142,139    
  6,294     American Financial Realty Trust     50,793    
  3,213     BioMed Realty Trust, Inc.     72,550    
  5,834     Boston Properties, Inc.     574,182    
  4,283     Brandywine Realty Trust     87,802    
  2,294     Corporate Office Properties
Trust SBI MD		     82,859    
  2,749     Digital Realty Trust, Inc.     104,902    
  4,835     Douglas Emmett, Inc.     116,088    
  6,714     Duke Realty Corp.     176,511    
  3,135     Franklin Street Properties Corp.     51,884    
  2,782     Highwoods Properties, Inc.     88,273    
  10,291     HRPT Properties Trust     85,209    
  1,588     Kilroy Realty Corp.     88,753    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,078     Lexington Realty Trust   $ 54,450    
  3,318     Mack-Cali Realty Corp.     118,419    
  1,775     Maguire Properties, Inc.     44,872    
  2,901     SL Green Realty Corp.     301,414    
      2,241,100    
    Real Estate Management &
Development — 5.5%		  
  10,076     Brookfield Properties Corp.     216,634    
  9,971     CB Richard Ellis Group, Inc., Class A*     236,811    
  3,206     CBL & Associates Properties, Inc.     92,589    
  3,125     Forest City Enterprises, Inc., Class A     156,688    
  1,834     Jones Lang LaSalle, Inc.     154,185    
  3,658     St. Joe Co. (The)     104,070    
      960,977    
    Residential REIT's — 10.7%  
  4,762     Apartment Investment &
Management Co.		     189,385    
  3,889     AvalonBay Communities, Inc.     386,723    
  2,507     BRE Properties, Inc.     111,687    
  2,764     Camden Property Trust     145,414    
  1,097     Equity Lifestyle Properties, Inc.     50,890    
  13,591     Equity Residential     505,721    
  1,235     Essex Property Trust, Inc.     128,119    
  1,633     Home Properties, Inc.     73,795    
  1,243     Mid-America Apartment
Communities, Inc.		     60,024    
  2,121     Post Properties, Inc.     77,014    
  6,662     UDR, Inc.     146,764    
      1,875,536    
    Retail REIT's — 20.4%  
  6,126     Developers Diversified Realty Corp.     272,056    
  2,763     Federal Realty Investment Trust     229,854    
  11,301     General Growth Properties, Inc.     524,818    
  10,758     Kimco Realty Corp.     424,833    
  3,505     Macerich Co. (The)     272,163    
  3,290     National Retail Properties, Inc.     80,572    
  1,901     Pennsylvania Real Estate
Investment Trust		     65,642    
  4,955     Realty Income Corp.     141,218    
  3,394     Regency Centers Corp.     225,497    
  10,956     Simon Property Group, Inc.     1,078,618    

 

See accompanying notes to the financial statements.


135


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Real Estate (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,630     Taubman Centers, Inc.   $ 140,784    
  3,935     Weingarten Realty Investors     140,283    
      3,596,338    
    Specialized REIT's — 18.8%  
  4,689     DiamondRock Hospitality Co.     81,213    
  1,298     Entertainment Properties Trust     69,170    
  3,042     FelCor Lodging Trust, Inc.     53,265    
  10,076     HCP, Inc.     337,042    
  3,950     Health Care REIT, Inc.     177,000    
  2,341     Healthcare Realty Trust, Inc.     59,532    
  4,601     Hospitality Properties Trust     168,121    
  25,548     Host Hotels & Resorts, Inc.     490,266    
  1,961     LaSalle Hotel Properties     72,949    
  4,462     Nationwide Health Properties, Inc.     139,571    
  8,561     Plum Creek Timber Co., Inc.     396,974    
  1,914     Potlatch Corp.     87,872    
  6,306     Public Storage     487,706    
  3,796     Rayonier, Inc.     176,058    
  4,102     Senior Housing Properties Trust     90,613    
  3,648     Strategic Hotels & Resorts, Inc.     66,795    
  2,934     Sunstone Hotel Investors, Inc.     68,069    
  6,543     Ventas, Inc.     285,275    
      3,307,491    
        Total Common Stocks
(Cost $15,723,303)		     15,020,237    
Principal
Amount		  
 
 
    Repurchase Agreements — 19.6%  
$ 686,708     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $686,974 **		     686,708    
  789,862     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $790,161 ***		     789,862    
  137,341     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $137,393 ****		     137,341    

 

Principal
Amount		  
 
Value		  
    Repurchase Agreements (continued)  
$ 1,831,222     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,831,916 *****		   $ 1,831,222    
    Total Repurchase Agreements
(Cost $3,445,133)		     3,445,133    
    Total Investments
(Cost $19,168,446) — 105.0%		     18,465,370    
    Liabilities in excess of
other assets — (5.0%)		     (880,898 )  
    Net Assets — 100.0%   $ 17,584,472    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $700,445. The investment in the repurchase agreement was through participation in a pooled account.

***    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $805,661. The investment in the repurchase agreement was through participation in a pooled account.

****    Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $140,089. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


136


*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,867,847. The investment in the repurchase agreement was through participation in a pooled account.

REIT    Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 314,646    
Aggregated gross unrealized depreciation     (1,576,830 )  
Net unrealized depreciation   $ (1,262,184 )  
Federal income tax cost of investments   $ 19,727,554    

 

Swap Agreements

Ultra Real Estate had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index,
expiring 12/27/07		   $ 20,824,019     $ (841,495 )  

 

See accompanying notes to the financial statements.


137


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Semiconductors

Shares  
  Value  
    Common Stocks (a) — 87.0%  
    Communications Equipment — 0.2%  
  3,129     InterDigital, Inc.*   $ 56,322    
    Computers & Peripherals — 1.7%  
  15,255     SanDisk Corp.*     571,147    
    Electrical Equipment — 1.6%  
  2,302     First Solar, Inc.*     545,919    
    Semiconductors & Semiconductor
Equipment — 83.5%		  
  1,734     Actel Corp.*     19,006    
  36,647     Advanced Micro Devices, Inc.*     357,675    
  22,994     Altera Corp.     431,827    
  7,022     Amkor Technology, Inc.*     57,861    
  20,793     Analog Devices, Inc.     640,009    
  92,311     Applied Materials, Inc.     1,738,216    
  18,829     Applied Micro Circuits Corp.*     47,261    
  3,313     Asyst Technologies, Inc.*     11,397    
  3,752     Atheros Communications, Inc.*     110,646    
  30,307     Atmel Corp.*     133,048    
  2,291     ATMI, Inc.*     68,936    
  6,748     Axcelis Technologies, Inc.*     31,986    
  31,268     Broadcom Corp., Class A*     836,106    
  4,428     Brooks Automation, Inc.*     59,468    
  1,600     Cabot Microelectronics Corp.*     59,840    
  5,360     Cirrus Logic, Inc.*     30,552    
  1,415     Cohu, Inc.     22,145    
  32,576     Conexant Systems, Inc.*     36,159    
  5,634     Cree, Inc.*     138,765    
  2,138     Cymer, Inc.*     87,808    
  10,197     Cypress Semiconductor Corp.*     338,744    
  1,902     DSP Group, Inc.*     25,734    
  7,742     Entegris, Inc.*     67,046    
  2,956     Exar Corp.*     27,166    
  8,283     Fairchild Semiconductor
International, Inc.*		     131,368    
  2,959     Formfactor, Inc.*     112,264    
  12,794     Integrated Device Technology, Inc.*     155,191    
  388,524     Intel Corp.     10,132,706    
  4,784     International Rectifier Corp.*     155,576    
  8,956     Intersil Corp., Class A     223,363    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  12,794     Kla-Tencor Corp.   $ 615,135    
  3,604     Kulicke & Soffa Industries, Inc.*     25,516    
  8,258     Lam Research Corp.*     378,629    
  7,663     Lattice Semiconductor Corp.*     25,748    
  14,827     Linear Technology Corp.     451,630    
  47,837     LSI Corp.*     265,495    
  4,147     LTX Corp.*     9,953    
  30,772     Marvell Technology Group Ltd.*     459,734    
  14,995     MEMC Electronic Materials, Inc.*     1,163,312    
  3,800     Micrel, Inc.     33,896    
  14,599     Microchip Technology, Inc.     420,305    
  50,386     Micron Technology, Inc.*     419,212    
  4,628     Microsemi Corp.*     105,889    
  17,636     National Semiconductor Corp.     403,159    
  8,264     Novellus Systems, Inc.*     214,947    
  36,369     Nvidia Corp.*     1,147,078    
  3,638     Omnivision Technologies, Inc.*     67,740    
  19,608     ON Semiconductor Corp.*     180,198    
  2,602     Photronics, Inc.*     26,775    
  14,200     PMC - Sierra, Inc.*     99,684    
  6,437     Rambus, Inc.*     124,813    
  17,639     RF Micro Devices, Inc.*     101,953    
  4,198     Semtech Corp.*     64,061    
  5,695     Silicon Image, Inc.*     26,766    
  3,642     Silicon Laboratories, Inc.*     135,264    
  6,058     Silicon Storage Technology, Inc.*     17,205    
  3,693     SiRF Technology Holdings, Inc.*     88,964    
  10,669     Skyworks Solutions, Inc.*     96,875    
  12,268     Teradyne, Inc.*     133,599    
  3,132     Tessera Technologies, Inc.*     120,958    
  96,259     Texas Instruments, Inc.     3,038,897    
  3,818     Trident Microsystems, Inc.*     23,977    
  9,297     TriQuint Semiconductor, Inc.*     55,131    
  5,102     Varian Semiconductor Equipment
Associates, Inc.*		     211,784    
  19,899     Xilinx, Inc.     435,788    
  3,315     Zoran Corp.*     72,333    
      27,550,272    
        Total Common Stock
(Cost $27,942,918)		     28,723,660    

 

See accompanying notes to the financial statements.


138


Principal
Amount		  
  Value  
    Repurchase Agreements — 20.8%  
$ 1,366,312     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,366,840 **		   $ 1,366,312    
  1,571,551     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,572,147 ***		     1,571,551    
  273,262     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $273,366 ****		     273,262    
  3,643,498     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,644,879 *****		     3,643,498    
        Total Repurchase Agreements
(Cost $6,854,623)		     6,854,623    
        Total Investments
(Cost $34,797,541) — 107.8%		     35,578,283    
        Liabilities in excess of
other assets — (7.8%)		     (2,577,317 )  
        Net Assets — 100.0%   $ 33,000,966    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,393,644. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,602,988. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $278,729. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $3,716,369. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,772,224    
Aggregate gross unrealized depreciation     (1,533,479 )  
Net unrealized appreciation   $ 238,745    
Federal income tax cost of investments   $ 35,339,538    

 

Swap Agreements

Ultra Semiconductors had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index,
expiring 12/27/07		   $ 16,590,465     $ (959,997 )  
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index,
expiring 12/27/07		     23,000,000       (1,599,535 )  
        $ (2,559,532 )  

 

See accompanying notes to the financial statements.


139


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Technology

Shares  
  Value  
    Common Stocks (a) — 90.2%  
    Commercial Services & Supplies — 0.4%  
  2,577     IKON Office Solutions, Inc.   $ 32,548    
  5,413     Pitney Bowes, Inc.     208,400    
      240,948    
    Communications Equipment — 14.9%  
  9,641     3Com Corp.*     41,553    
  2,899     ADC Telecommunications, Inc.*     48,007    
  1,504     Adtran, Inc.     32,622    
  3,856     Andrew Corp.*     56,529    
  2,624     Arris Group, Inc.*     27,368    
  1,099     Avocent Corp.*     27,365    
  1,092     C-COR, Inc.*     13,410    
  2,068     Ciena Corp.*     90,951    
  149,067     Cisco Systems, Inc.*     4,176,857    
  38,302     Corning, Inc.     930,356    
  973     Dycom Industries, Inc.*     27,380    
  2,787     Extreme Networks*     10,145    
  2,054     F5 Networks, Inc.*     54,267    
  6,093     Finisar Corp.*     10,358    
  3,159     Foundry Networks, Inc.*     55,693    
  2,309     Harmonic, Inc.*     23,944    
  3,354     Harris Corp.     210,531    
  1,136     InterDigital, Inc.*     20,448    
  5,174     JDS Uniphase Corp.*     69,642    
  12,586     Juniper Networks, Inc.*     374,056    
  56,715     Motorola, Inc.     905,738    
  3,005     MRV Communications, Inc.*     6,731    
  1,158     Plantronics, Inc.     31,092    
  2,237     Polycom, Inc.*     54,292    
  41,020     Qualcomm, Inc.     1,672,796    
  6,343     Sonus Networks, Inc.*     41,737    
  4,609     Sycamore Networks, Inc.*     17,745    
  1,508     Tekelec*     18,548    
  9,808     Tellabs, Inc.*     68,264    
  2,588     Utstarcom, Inc.*     7,505    
      9,125,930    
    Computers & Peripherals — 24.2%  
  2,917     Adaptec, Inc.*     9,772    
  21,100     Apple, Inc.*     3,844,842    
  9,810     Brocade Communications
Systems, Inc.*		     71,515    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  49,184     Dell, Inc.*   $ 1,206,975    
  1,625     Diebold, Inc.     55,185    
  1,424     Electronics for Imaging*     32,666    
  51,410     EMC Corp.*     990,671    
  2,159     Emulex Corp.*     36,163    
  64,150     Hewlett-Packard Co.     3,281,914    
  606     Hutchinson Technology, Inc.*     15,944    
  868     Imation Corp.     17,421    
  1,143     Intermec, Inc.*     24,540    
  33,461     International Business Machines Corp.     3,519,428    
  2,344     Lexmark International, Inc., Class A*     81,759    
  4,388     NCR Corp.*     105,049    
  8,890     Network Appliance, Inc.*     219,672    
  2,348     Palm, Inc.     16,365    
  3,679     QLogic Corp.*     49,740    
  4,856     Quantum Corp.*     15,393    
  5,579     SanDisk Corp.*     208,878    
  13,097     Seagate Technology     337,772    
  21,663     Sun Microsystems, Inc.*     450,147    
  4,330     Teradata Corp.*     112,407    
  5,392     Western Digital Corp.*     148,981    
      14,853,199    
    Electrical Equipment — 0.3%  
  870     First Solar, Inc.*     206,320    
    Electronic Equipment & Instruments — 0.3%  
  760     Agilysys, Inc.     10,557    
  1,251     Brightpoint, Inc.*     20,779    
  3,659     Ingram Micro, Inc.*     72,814    
  1,231     Insight Enterprises, Inc.*     24,386    
  1,330     Tech Data Corp.*     50,021    
      178,557    
    Health Care Technology — 0.2%  
  1,524     Cerner Corp.*     91,059    
    Internet Software & Services — 8.9%  
  4,036     Akamai Technologies, Inc.*     153,610    
  1,906     Ariba, Inc.*     22,624    
  965     Digital River, Inc.*     37,317    
  2,989     Earthlink, Inc.*     20,295    
  683     Equinix, Inc.*     71,107    

 

See accompanying notes to the financial statements.


140


Shares  
  Value  
    Common Stocks (a) (continued)  
  5,608     Google, Inc., Class A*   $ 3,886,344    
  787     Infospace, Inc.     14,016    
  952     Interwoven, Inc.*     11,691    
  1,171     j2 Global Communications, Inc.*     28,479    
  1,726     Openwave Systems, Inc.     4,747    
  2,427     RealNetworks, Inc.*     14,975    
  1,305     S1 Corp.*     9,683    
  711     SAVVIS, Inc.*     22,780    
  1,610     SonicWALL, Inc.*     16,293    
  1,639     United Online, Inc.     24,651    
  6,103     VeriSign, Inc.*     249,613    
  696     Vignette Corp.*     10,704    
  1,101     Websense, Inc.*     17,990    
  31,245     Yahoo!, Inc.*     837,678    
      5,454,597    
    IT Services — 1.8%  
  746     CACI International, Inc., Class A*     33,861    
  1,304     Ciber, Inc.*     8,893    
  7,036     Cognizant Technology Solutions Corp.,
Class A*		     218,820    
  4,259     Computer Sciences Corp.*     224,960    
  1,048     CSG Systems International, Inc.*     17,365    
  1,257     DST Systems, Inc.*     106,531    
  12,440     Electronic Data Systems Corp.     252,034    
  1,702     Gartner, Inc.*     32,151    
  2,173     Perot Systems Corp., Class A*     28,575    
  2,776     SAIC, Inc.*     55,354    
  1,071     SRA International, Inc., Class A*     29,281    
  8,499     Unisys Corp.*     42,155    
  1,633     VeriFone Holdings, Inc.*     78,433    
      1,128,413    
    Office Electronics — 0.6%  
  22,948     Xerox Corp.*     387,362    
    Semiconductors & Semiconductor
Equipment — 16.5%		  
  612     Actel Corp.*     6,708    
  13,456     Advanced Micro Devices, Inc.*     131,331    
  8,456     Altera Corp.     158,804    
  2,580     Amkor Technology, Inc.*     21,259    
  7,609     Analog Devices, Inc.     234,205    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  33,845     Applied Materials, Inc.   $ 637,301    
  6,885     Applied Micro Circuits Corp.*     17,281    
  1,238     Asyst Technologies, Inc.*     4,259    
  1,351     Atheros Communications, Inc.*     39,841    
  11,108     Atmel Corp.*     48,764    
  867     ATMI, Inc.*     26,088    
  2,452     Axcelis Technologies, Inc.*     11,623    
  11,465     Broadcom Corp., Class A*     306,574    
  1,636     Brooks Automation, Inc.*     21,972    
  576     Cabot Microelectronics Corp.*     21,542    
  1,987     Cirrus Logic, Inc.*     11,326    
  529     Cohu, Inc.     8,279    
  11,967     Conexant Systems, Inc.*     13,283    
  2,054     Cree, Inc.*     50,590    
  769     Cymer, Inc.*     31,583    
  3,727     Cypress Semiconductor Corp.*     123,811    
  710     DSP Group, Inc.*     9,606    
  2,817     Entegris, Inc.*     24,395    
  1,092     Exar Corp.*     10,035    
  3,013     Fairchild Semiconductor
International, Inc.*		     47,786    
  1,092     Formfactor, Inc.*     41,431    
  4,668     Integrated Device Technology, Inc.*     56,623    
  142,494     Intel Corp.     3,716,244    
  1,725     International Rectifier Corp.*     56,097    
  3,298     Intersil Corp., Class A     82,252    
  4,671     Kla-Tencor Corp.     224,582    
  1,312     Kulicke & Soffa Industries, Inc.*     9,289    
  3,005     Lam Research Corp.*     137,779    
  2,799     Lattice Semiconductor Corp.*     9,405    
  5,414     Linear Technology Corp.     164,910    
  17,547     LSI Corp.*     97,386    
  1,507     LTX Corp.*     3,617    
  11,281     Marvell Technology Group Ltd.*     168,538    
  5,512     MEMC Electronic Materials, Inc.*     427,621    
  1,420     Micrel, Inc.     12,666    
  5,357     Microchip Technology, Inc.     154,228    
  18,481     Micron Technology, Inc.*     153,762    
  1,687     Microsemi Corp.*     38,599    
  6,467     National Semiconductor Corp.     147,836    
  3,009     Novellus Systems, Inc.*     78,264    
  13,327     Nvidia Corp.*     420,334    
  1,323     Omnivision Technologies, Inc.*     24,634    

 

See accompanying notes to the financial statements.


141


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Technology (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  7,196     ON Semiconductor Corp.*   $ 66,131    
  946     Photronics, Inc.*     9,734    
  5,198     PMC - Sierra, Inc.*     36,490    
  2,373     Rambus, Inc.*     46,012    
  6,465     RF Micro Devices, Inc.*     37,368    
  1,521     Semtech Corp.*     23,210    
  2,071     Silicon Image, Inc.*     9,734    
  1,324     Silicon Laboratories, Inc.*     49,173    
  2,219     Silicon Storage Technology, Inc.*     6,302    
  1,335     SiRF Technology Holdings, Inc.*     32,160    
  3,902     Skyworks Solutions, Inc.*     35,430    
  4,481     Teradyne, Inc.*     48,798    
  1,137     Tessera Technologies, Inc.*     43,911    
  35,304     Texas Instruments, Inc.     1,114,547    
  1,424     Trident Microsystems, Inc.*     8,943    
  3,383     TriQuint Semiconductor, Inc.*     20,061    
  1,866     Varian Semiconductor Equipment
Associates, Inc.*		     77,458    
  7,270     Xilinx, Inc.     159,213    
  1,242     Zoran Corp.*     27,100    
      10,096,118    
    Software — 20.7%  
  915     ACI Worldwide, Inc.*     20,889    
  14,416     Adobe Systems, Inc.*     607,490    
  412     Advent Software, Inc.*     20,913    
  4,782     Amdocs Ltd.*     158,236    
  1,883     Ansys, Inc.*     73,173    
  5,685     Autodesk, Inc.*     267,707    
  9,564     BEA Systems, Inc.*     151,398    
  4,950     BMC Software, Inc.*     163,746    
  1,802     Borland Software Corp.*     5,820    
  10,108     CA, Inc.     247,545    
  6,810     Cadence Design Systems, Inc.*     113,046    
  4,404     Check Point Software Technologies*     100,499    
  4,454     Citrix Systems, Inc.*     164,709    
  7,397     Compuware Corp.*     61,099    
  1,338     Fair Isaac Corp.     49,453    
  2,092     Informatica Corp.*     35,878    
  7,570     Intuit, Inc.*     221,952    
  2,056     Jack Henry & Associates, Inc.     55,019    
  728     JDA Software Group, Inc.*     15,244    
  1,329     Macrovision Corp.*     33,119    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,895     McAfee, Inc.*   $ 151,710    
  2,070     Mentor Graphics Corp.*     22,542    
  973     Micros Systems, Inc.*     70,192    
  204,263     Microsoft Corp.     6,863,237    
  8,540     Novell, Inc.*     59,951    
  3,733     Nuance Communications, Inc.*     75,332    
  96,154     Oracle Corp.*     1,940,388    
  2,785     Parametric Technology Corp.*     46,510    
  1,048     Progress Software Corp.*     33,148    
  1,333     Quest Software, Inc.*     21,555    
  4,755     Red Hat, Inc.*     95,195    
  2,395     Salesforce.com, Inc.*     135,868    
  2,228     Sybase, Inc.*     57,126    
  21,611     Symantec Corp.*     384,676    
  3,524     Synopsys, Inc.*     86,726    
  4,862     TIBCO Software, Inc.*     38,070    
  1,993     Wind River Systems, Inc.*     20,349    
      12,669,510    
    Wireless Telecommunication Services — 1.4%  
  10,038     American Tower Corp., Class A*     457,131    
  6,900     Crown Castle International Corp.*     289,455    
  2,375     SBA Communications Corp., Class A*     88,920    
      835,506    
        Total Common Stock
(Cost $54,861,440)		     55,267,519    
Principal
Amount		  
 
 
    Repurchase Agreement — 19.8%  
$ 2,412,868     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,413,801 **		     2,412,868    
  2,775,316     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,776,368 ***		     2,775,316    
  482,574     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $482,757 ****		     482,574    

 

See accompanying notes to the financial statements.


142


Principal
Amount		  
 
Value		  
    Repurchase Agreement (continued)  
$ 6,434,315     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,436,755 *****		   $ 6,434,315    
    Total Repurchase Agreements
(Cost $12,105,073)		     12,105,073    
    Total Investments
(Cost $66,966,513) — 110.0%		     67,372,592    
    Liabilities in excess of
other assets — (10.0%)		     (6,114,894 )  
    Net Assets — 100.0%   $ 61,257,698    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,461,136. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,830,831. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $492,227. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,563,003. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 2,653,294    
Aggregate gross unrealized depreciation     (2,881,967 )  
Net unrealized depreciation   $ (228,673 )  
Federal income tax cost of investments   $ 67,601,265    

 

Swap Agreements

Ultra Technology had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index,
 expiring 12/27/07		   $ 20,737,871     $ (1,819,056 )  
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index,
expiring 12/27/07		     52,000,000       (4,259,105 )  
        $ (6,078,161 )  

 

See accompanying notes to the financial statements.


143


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Utilities

Shares  
  Value  
    Common Stocks (a) — 84.7%  
    Electric Utilities — 40.9%  
  2,982     Allegheny Energy, Inc.   $ 181,156    
  455     Allete, Inc.     18,637    
  7,103     American Electric Power Co., Inc.     338,600    
  1,077     Cleco Corp.     30,091    
  2,038     DPL, Inc.     61,711    
  22,626     Duke Energy Corp.     447,769    
  5,399     Edison International     302,236    
  830     El Paso Electric Co.*     21,339    
  3,530     Entergy Corp.     421,976    
  12,098     Exelon Corp.     980,785    
  5,500     FirstEnergy Corp.     377,080    
  6,707     FPL Group, Inc.     467,880    
  1,550     Great Plains Energy, Inc.     46,004    
  1,470     Hawaiian Electric Industries, Inc.     34,031    
  793     Idacorp, Inc.     27,882    
  2,771     Northeast Utilities     87,508    
  3,479     Pepco Holdings, Inc.     97,760    
  1,789     Pinnacle West Capital Corp.     76,677    
  6,948     PPL Corp.     354,070    
  4,643     Progress Energy, Inc.     226,671    
  6,120     Reliant Energy, Inc.*     159,365    
  3,985     Sierra Pacific Resources     68,542    
  13,560     Southern Co.     510,127    
  633     Unisource Energy Corp.     19,579    
  1,650     Westar Energy, Inc.     42,751    
      5,400,227    
    Gas Utilities — 6.5%  
  1,407     AGL Resources, Inc.     52,172    
  1,598     Atmos Energy Corp.     41,852    
  1,175     Energen Corp.     74,894    
  2,081     Equitable Resources, Inc.     110,002    
  1,268     National Fuel Gas Co.     60,420    
  498     New Jersey Resources Corp.     25,124    
  811     Nicor, Inc.     34,176    
  480     Northwest Natural Gas Co.     23,026    
  1,751     Oneok, Inc.     81,421    
  1,275     Piedmont Natural Gas Co.     33,201    
  3,106     Questar Corp.     166,016    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,816     Southern Union Co.   $ 54,208    
  758     Southwest Gas Corp.     21,921    
  1,894     UGI Corp.     50,077    
  887     WGL Holdings, Inc.     29,306    
      857,816    
    Independent Power Producers &
Energy Traders — 7.2%		  
  12,043     AES Corp. (The)*     263,140    
  3,283     Constellation Energy Group, Inc.     328,989    
  4,637     Mirant Corp.*     178,942    
  4,326     NRG Energy, Inc.*     183,379    
      954,450    
    Multi-Utilities — 24.7%  
  2,019     Alliant Energy Corp.     83,829    
  3,729     Ameren Corp.     200,807    
  6,737     Aquila, Inc.*     26,678    
  950     Avista Corp.     20,311    
  679     Black Hills Corp.     28,287    
  5,102     Centerpoint Energy, Inc.     91,071    
  4,044     CMS Energy Corp.     70,487    
  4,880     Consolidated Edison, Inc.     236,436    
  10,506     Dominion Resources, Inc.     496,198    
  3,079     DTE Energy Co.     151,025    
  2,851     Energy East Corp.     78,802    
  1,364     Integrys Energy Group, Inc.     69,578    
  4,942     NiSource, Inc.     91,476    
  651     NorthWestern Corp.     18,130    
  1,791     NSTAR     62,685    
  6,329     PG&E Corp.     292,843    
  1,243     PNM Resources, Inc.     27,570    
  4,531     Public Service Enterprise Group, Inc.     433,798    
  2,106     Puget Energy, Inc.     59,115    
  1,900     SCANA Corp.     80,959    
  4,203     Sempra Energy     263,192    
  3,758     TECO Energy, Inc.     65,089    
  1,371     Vectren Corp.     40,253    
  2,110     Wisconsin Energy Corp.     100,942    
  7,575     Xcel Energy, Inc.     175,058    
      3,264,619    

 

See accompanying notes to the financial statements.


144


Shares  
  Value  
    Common Stocks (a) (continued)  
    Oil, Gas & Consumable Fuels — 5.0%  
  11,313     Spectra Energy Corp.   $ 278,752    
  10,738     Williams Cos., Inc.     372,716    
      651,468    
    Water Utilities — 0.4%  
  2,380     Aqua America, Inc.     52,693    
        Total Common Stock
(Cost $9,939,708)		     11,181,273    
Principal
Amount		  
 
 
    Repurchase Agreement — 16.0%  
$ 422,351     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $422,514 **		     422,351    
  485,795     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $485,979 ***		     485,795    
  84,470     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $84,534 ****		     84,470    
  1,126,271     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,126,698 *****		     1,126,271    
        Total Repurchase Agreements
(Cost $2,118,887)		     2,118,887    
        Total Investments
(Cost $12,058,595) — 100.7%		     13,300,160    
        Liabilities in excess of
other assets — (0.7%)		     (90,550 )  
        Net Assets — 100.0%   $ 13,209,610    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $430,800. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $495,512. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $86,160. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,148,796. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,310,691    
Aggregate gross unrealized depreciation     (114,158 )  
Net unrealized appreciation   $ 1,186,533    
Federal income tax cost of investments   $ 12,103,627    

 

See accompanying notes to the financial statements.


145


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Utilities (continued)

Swap Agreements

Ultra Utilities had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07   $ 5,307,261     $ (42,664 )  
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07     10,000,000       (43,027 )  
        $ (85,691 )  

 

See accompanying notes to the financial statements.


146


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short QQQ®

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 94.9%  
$ 12,911,596     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $12,916,588 **		   $ 12,911,596    
  14,851,105     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $14,856,736 ***		     14,851,105    
  2,582,319     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,583,298 ****		     2,582,319    
  34,430,923     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $34,443,978 *****		     34,430,923    
        Total Investments
(Cost $64,775,943) †		     64,775,943    
        Other assets less liabilities — 5.1%     3,448,027    
        Net Assets — 100.0%   $ 68,223,970    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $13,169,885. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $15,148,175. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $2,633,977. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $35,119,549. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short QQQ® had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini NASDAQ-100® Futures Contracts     157     December - 07   $ 6,567,310     $ 297,055    

 

Cash collateral in the amount of $372,754 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


147


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short QQQ® (continued)

Swap Agreements

Short QQQ® had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07   $ (19,127,361 )   $ 329,472    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (10,173,705 )     574,987    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (24,717,131 )     1,553,016    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (10,633,563 )     666,970    
            $ 3,124,445    

 

See accompanying notes to the financial statements.


148


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short Dow30SM

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 98.1%  
$ 25,201,487     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $25,211,232 **		   $ 25,201,487    
  28,987,116     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $28,998,107 ***		     28,987,116    
  5,040,298     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,042,209 ****		     5,040,298    
  67,203,965     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $67,229,447 *****		     67,203,965    
        Total Investments
(Cost $126,432,866) †		     126,432,866    
        Other assets less liabilities — 1.9%     2,392,168    
        Net Assets — 100.0%   $ 128,825,034    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $25,705,627. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $29,566,952. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $5,141,125. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $68,548,059. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short Dow30SM had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     180     December - 07   $ 12,069,900     $ 456,922    

 

Cash collateral in the amount of $485,455 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


149


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short Dow30SM (continued)

Swap Agreements

Short Dow30SM had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07   $ (37,088,370 )   $ 304,352    
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07     (81,743,011 )     1,712,484    
        $ 2,016,836    

 

See accompanying notes to the financial statements.


150


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short S&P500®

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 98.3%  
$ 45,424,800     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $45,442,364 **		   $ 45,424,800    
  52,248,265     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $52,268,076 ***		     52,248,265    
  9,084,960     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $9,088,405 ****		     9,084,960    
  121,132,800     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $121,178,730 *****		     121,132,800    
    Total Investments
(Cost $227,890,825) †		     227,890,825    
        Other assets less liabilities — 1.7%     3,879,010    
    Net Assets — 100.0%   $ 231,769,835    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $46,333,495. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $53,293,399. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $9,266,698. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $123,555,482. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short S&P500® had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     277     December - 07   $ 20,563,788     $ 553,494    

 

Cash collateral in the amount of $1,029,952 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


151


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short S&P500® (continued)

Swap Agreements

Short S&P500® had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07   $ (83,193,186 )   $ 5,019    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (101,984,674 )     2,227,911    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (28,830,148 )     776,246    
            $ 3,009,176    

 

See accompanying notes to the financial statements.


152


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short MidCap400

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 96.9%  
$ 9,571,967     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $9,575,668 **		   $ 9,571,967    
  11,009,816     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $11,013,991 ***		     11,009,816    
  1,914,394     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,915,120 ****		     1,914,394    
  25,525,246     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $25,534,924 *****		     25,525,246    
        Total Investments
(Cost $48,021,423) †		     48,021,423    
        Other assets less liabilities — 3.1%     1,557,430    
        Net Assets — 100.0%   $ 49,578,853    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $9,763,449. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $11,230,048. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,952,689. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $26,035,757. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short MidCap400 had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P MidCap400 Futures Contracts     49     December - 07   $ 4,223,310     $ 213,009    

 

Cash collateral in the amount of $180,384 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


153


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short MidCap400 (continued)

Swap Agreements

Short MidCap400 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07   $ (11,017,266 )   $ 187,028    
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     (10,029,648 )     351,989    
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     (25,707,341 )     872,229    
            $ 1,411,246    

 

See accompanying notes to the financial statements.


154



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short SmallCap600

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 102.9%  
$ 2,181,979     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,182,823 **		   $ 2,181,979    
  2,509,743     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,510,695 ***		     2,509,743    
  436,396     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $436,561 ****		     436,396    
  5,818,609     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,820,815 *****		     5,818,609    
        Total Investments
(Cost $10,946,727) †		     10,946,727    
        Liabilities in excess of
other assets — (2.9%)		     (303,350 )  
        Net Assets — 100.0%   $ 10,643,377    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,225,628. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,559,946. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $445,125. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,934,983. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

Short SmallCap600 had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07   $ (10,422,114 )   $ (262,799 )  

 

See accompanying notes to the financial statements.


155


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short Russell2000

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 101.8%  
$ 8,801,482     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $8,804,885 **		   $ 8,801,482    
  10,123,592     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $10,127,431 ***		     10,123,592    
  1,760,296     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,760,963 ****		     1,760,296    
  23,470,619     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $23,479,518 *****		     23,470,619    
        Total Investments
(Cost $44,155,989) †		     44,155,989    
        Liabilities in excess of
other assets — (1.8%)		     (790,902 )  
        Net Assets — 100.0%   $ 43,365,087    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $8,977,550. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $10,326,097. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,795,510. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $23,940,036. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short Russell2000 had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     58     December - 07   $ 4,450,920     $ 218,261    

 

Cash collateral in the amount of $237,513 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Short Russell2000 had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07   $ (38,042,513 )   $ (981,983 )  

 

See accompanying notes to the financial statements.


156


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort QQQ®

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 81.0%  
$ 223,983,874     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $224,070,481 **		   $ 223,983,874    
  257,629,506     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $257,727,191 ***		     257,629,506    
  44,796,775     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $44,813,760 ****		     44,796,775    
  597,290,332     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $597,516,805 *****		     597,290,332    
        Total Investments
(Cost $1,123,700,487) †		     1,123,700,487    
        Other assets
less liabilities — 19.0%		     263,906,453    
        Net Assets — 100.0%   $ 1,387,606,940    

 

(a)  All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $228,464,533. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $262,782,927. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $45,692,901. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $609,236,265. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort QQQ® had the following open short futures as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini NASDAQ-100® Index Futures Contracts     2,679     December - 07   $ 112,062,570     $ 4,920,589    

 

Cash collateral in the amount of $6,802,477 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


157


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort QQQ® (continued)

Swap Agreements

UltraShort QQQ® had the following open swap agreements as of November 30, 2007:

   
Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07   $ (629,353,993 )   $ 39,931,213    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (548,017,318 )     29,063,157    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (977,797,939 )     17,256,387    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (320,245,338 )     12,721,287    
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07     (250,281,220 )     (31,642,211 )  
            $ 67,329,833    

 

See accompanying notes to the financial statements.


158


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Dow30SM

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 98.4%  
$ 82,878,550     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $82,910,596 **		   $ 82,878,550    
  95,328,112     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $95,364,257 ***		     95,328,112    
  16,575,710     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $16,581,995 ****		     16,575,710    
  221,009,467     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $221,093,266 *****		     221,009,467    
        Total Investments
(Cost $415,791,839) †		     415,791,839    
        Other assets
less liabilities — 1.6%		     6,639,334    
        Net Assets — 100.0%   $ 422,431,173    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $84,536,484. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $97,234,982. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $16,907,295. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $225,429,703. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort Dow30SM had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     525     December - 07   $ 35,203,875     $ 1,243,510    

 

Cash collateral in the amount of $1,661,508 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


159


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Dow30SM (continued)

Swap Agreements

UltraShort Dow30SM had the following open swap agreements as of November 30, 2007:

   
Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index,
expiring 12/27/07		   $ (191,109,406 )   $ 2,075,208    
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index,
expiring 12/27/07		     (304,225,838 )     (13,458,386 )  
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index,
expiring 12/27/07		     (290,326,703 )     (12,688,319 )  
            $ (24,071,497 )  

 

See accompanying notes to the financial statements.


160


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort S&P500®

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 90.8%  
$ 307,704,800     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $307,823,779 **		   $ 307,704,800    
  353,926,530     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $354,060,727 ***		     353,926,530    
  61,540,960     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $61,564,294 ****		     61,540,960    
  820,546,132     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $820,857,256 *****		     820,546,132    
        Total Investments
(Cost $1,543,718,422) †		     1,543,718,422    
        Other assets less liabilities — 9.2%     156,313,182    
        Net Assets — 100.0%   $ 1,700,031,604    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $313,860,243. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $361,006,202. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $62,772,041. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $836,957,229. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort S&P500® had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     1,862     December - 07   $ 138,230,225     $ 5,286,545    

 

Cash collateral in the amount of $7,491,723 was pledged to cover margin requirements for open futures contracts as of May 31, 2007.

See accompanying notes to the financial statements.


161


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort S&P500® (continued)

Swap Agreements

UltraShort S&P500® had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07   $ (977,799,268 )   $ 26,307,515    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (277,429,779 )     33,637,858    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (465,284,334 )     1,363,987    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (687,934,230 )     14,034,040    
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07     (922,110,195 )     (2,672,454 )  
            $ 72,670,946    

 

See accompanying notes to the financial statements.


162


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort MidCap400

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 98.5%  
$ 34,809,987     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $34,823,447 **		   $ 34,809,987    
  40,038,953     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $40,054,134 ***		     40,038,953    
  6,961,997     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,964,637 ****		     6,961,997    
  92,826,631     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $92,861,828 *****		     92,826,631    
        Total Investments
(Cost $174,637,568) †		     174,637,568    
        Other assets less liabilities — 1.5%     2,593,450    
        Net Assets — 100.0%   $ 177,231,018    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $35,506,339. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $40,839,861. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $7,101,267. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $94,683,184. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort MidCap400 had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini S&P MidCap400 Futures Contracts     158     December - 07   $ 13,618,020     $ 631,439    

 

Cash collateral in the amount of $671,315 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


163


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort MidCap400 (continued)

Swap Agreements

UltraShort MidCap400 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07   $ (75,195,744 )   $ 2,445,696    
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     (79,623,820 )     2,181,095    
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07     (188,119,474 )     (2,573,213 )  
            $ 2,053,578    

 

See accompanying notes to the financial statements.


164


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort SmallCap600

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 104.4%  
$ 10,881,374     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $10,885,581 **		   $ 10,881,374    
  12,515,915     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $12,520,661 ***		     12,515,915    
  2,176,275     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,177,100 ****		     2,176,275    
  29,016,997     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $29,027,999 *****		     29,016,997    
        Total Investments
(Cost $54,590,561) †		     54,590,561    
        Liabilities in excess of
other assets — (4.4%)		     (2,320,100 )  
        Net Assets — 100.0%   $ 52,270,461    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $11,099,049. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $12,766,273. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $2,219,810. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $29,597,344. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort SmallCap600 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07   $ (95,344,488 )   $ (2,565,543 )  
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07     (7,500,000 )     312,930    
        $ (2,252,613 )  

 

See accompanying notes to the financial statements.


165


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell2000

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 91.0%  
$ 121,617,443     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $121,664,468 **		   $ 121,617,443    
  139,886,150     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $139,939,190 ***		     139,886,150    
  24,323,489     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $24,332,712 ****		     24,323,489    
  324,313,182     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $324,436,151 *****		     324,313,182    
        Total Investments
(Cost $610,140,264) †		     610,140,264    
        Other assets less liabilities — 9.0%     60,449,428    
        Net Assets — 100.0%   $ 670,589,692    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $124,050,325. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $142,684,324. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $24,810,062. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $330,799,515. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort Russell2000 had the following open short futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     832     December - 07   $ 63,847,680     $ 4,057,650    

 

Cash collateral in the amount of $2,918,641 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

See accompanying notes to the financial statements.


166


Swap Agreements

UltraShort Russell2000 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07   $ (445,126,153 )   $ 13,080,442    
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07     (350,149,764 )     13,862,874    
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07     (125,222,848 )     3,145,587    
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07     (403,940,759 )     17,137,369    
            $ 47,226,272    

 

See accompanying notes to the financial statements.


167


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell1000 Value

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 110.9%  
$ 2,465,352     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,466,305 **		   $ 2,465,352    
  2,835,683     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,836,758 ***		     2,835,683    
  493,070     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $493,257 ****		     493,070    
  6,574,271     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,576,764 *****		     6,574,271    
        Total Investments
(Cost $12,368,376) †		     12,368,376    
        Liabilities in excess of
other assets — (10.9%)		     (1,212,796 )  
        Net Assets — 100.0%   $ 11,155,580    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,514,669. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,892,406. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $502,934. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,705,758. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell1000 Value had the following swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 1000® Value Index, expiring 12/27/07   $ (21,304,381 )   $ (1,172,857 )  

 

See accompanying notes to the financial statements.


168


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell1000 Growth

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 109.3%  
$ 4,054,608     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $4,056,176 **		   $ 4,054,608    
  4,663,669     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $4,665,437 ***		     4,663,669    
  810,921     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $811,228 ****		     810,921    
  10,812,288     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $10,816,388 *****		     10,812,288    
        Total Investments
(Cost $20,341,486) †		     20,341,486    
        Liabilities in excess of
other assets — (9.3%)		     (1,738,496 )  
        Net Assets — 100.0%   $ 18,602,990    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $4,135,718. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $4,756,957. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $827,143. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $11,028,536. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell1000 Growth had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07   $ (35,810,072 )   $ (1,593,109 )  

 

See accompanying notes to the financial statements.


169


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell MidCap Value

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 95.8%  
$ 1,169,057     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,169,509 **		   $ 1,169,057    
  1,344,666     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,345,176 ***		     1,344,666    
  233,811     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $233,900 ****		     233,811    
  3,117,484     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,118,666 *****		     3,117,484    
        Total Investments
(Cost $5,865,018) †		     5,865,018    
        Other assets less liabilities — 4.2%     254,306    
        Net Assets — 100.0%   $ 6,119,324    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,192,443. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,371,563. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $238,489. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $3,179,834. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell MidCap Value had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07   $ (3,618,481 )   $ 24,183    
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07     (9,000,000 )     268,384    
        $ 292,567    

 

See accompanying notes to the financial statements.


170


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell MidCap Growth

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 111.5%  
$ 1,081,119     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,081,537 **		   $ 1,081,119    
  1,243,519     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,243,991 ***		     1,243,519    
  216,224     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $216,306 ****		     216,224    
  2,882,985     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,884,078 *****		     2,882,985    
        Total Investments
(Cost $5,423,847) †		     5,423,847    
        Liabilities in excess of
other assets — (11.5)%		     (559,153 )  
        Net Assets — 100.0%   $ 4,864,694    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,102,746. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,268,394. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $220,549. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $2,940,645. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell MidCap Growth had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07   $ (9,258,324 )   $ (523,018 )  

 

See accompanying notes to the financial statements.


171


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell2000 Value

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 101.3%  
$ 9,452,828     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $9,456,483 **		   $ 9,452,828    
  10,872,781     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $10,876,904 ***		     10,872,781    
  1,890,566     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,891,283 ****		     1,890,566    
  25,207,543     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $25,217,101 *****		     25,207,543    
        Total Investments
(Cost $47,423,718) †		     47,423,718    
        Liabilities in excess of
other assets — (1.3%)		     (599,329 )  
        Net Assets — 100.0%   $ 46,824,389    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $9,641,297. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $11,090,272. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,928,385. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $25,711,699. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell2000 Value had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07   $ (42,000,000 )   $ 1,575,777    
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07     (51,755,346 )     (2,116,996 )  
        $ (541,219 )  

 

See accompanying notes to the financial statements.


172


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Russell2000 Growth

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 106.8%  
$ 5,414,455     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $5,416,549 **		   $ 5,414,455    
  6,227,785     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,230,146 ***		     6,227,785    
  1,082,891     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,083,302 ****		     1,082,891    
  14,438,548     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $14,444,023 *****		     14,438,548    
        Total Investments
(Cost $27,163,679) †		     27,163,679    
        Liabilities in excess of
other assets — (6.8%)		     (1,721,650 )  
        Net Assets — 100.0%   $ 25,442,029    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $5,552,768. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $6,352,361. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,104,553. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $14,727,322. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell2000 Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Russell 2000® Growth Index, expiring 12/27/07   $ (41,492,015 )   $ (2,067,338 )  
Equity Index Swap Agreement based on the Russell 2000® Growth Index, expiring 12/27/07     (8,000,000 )     395,316    
        $ (1,672,022 )  

 

See accompanying notes to the financial statements.


173


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Basic Materials

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 111.5%  
$ 16,865,384     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $16,871,905 **		   $ 16,865,384    
  19,398,810     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $19,406,165 ***		     19,398,810    
  3,373,077     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,374,356 ****		     3,373,077    
  44,974,358     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $44,991,411 *****		     44,974,358    
        Total Investments
(Cost $84,611,629) †		     84,611,629    
        Liabilities in excess of
other assets — (11.5%)		     (8,716,075 )  
        Net Assets — 100.0%   $ 75,895,554    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $17,202,766. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $19,786,849. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,440,553. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $45,873,855. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Basic Materials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index,
expiring 12/27/07		   $ (65,346,861 )   $ (2,971,903 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index,
expiring 12/27/07		     (78,668,037 )     (5,676,139 )  
        $ (8,648,042 )  

 

See accompanying notes to the financial statements.


174


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Consumer Goods

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 62.5%  
$ 2,861,968     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,863,075 **		   $ 2,861,968    
  3,291,877     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,293,125 ***		     3,291,877    
  572,394     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $572,611 ****		     572,394    
  7,631,915     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $7,634,809 *****		     7,631,915    
        Total Investments
(Cost $14,358,154) †		     14,358,154    
        Other assets less liabilities — 37.5%     8,629,098    
        Net Assets — 100.0%   $ 22,987,252    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,919,220. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,357,725. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $583,844. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $7,784,555. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Consumer Goods had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index,
expiring 12/27/07		   $ (41,177,959 )   $ (589,171 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index,
expiring 12/27/07		     (4,500,000 )     (71,123 )  
        $ (660,294 )  

 

See accompanying notes to the financial statements.


175


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Consumer Services

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 99.7%  
$ 6,036,321     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $6,038,655 **		   $ 6,036,321    
  6,943,065     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,945,698 ***		     6,943,065    
  1,207,264     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,207,722 ****		     1,207,264    
  16,096,857     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $16,102,960 *****		     16,096,857    
        Total Investments
(Cost $30,283,507) †		     30,283,507    
        Other assets less liabilities — 0.3%     100,193    
        Net Assets — 100.0%   $ 30,383,700    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $6,157,074. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $7,081,948. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,231,415. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $16,418,798. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Consumer Services had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index,
expiring 12/27/07		   $ (31,354,279 )   $ (364,078 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index,
expiring 12/27/07		     (30,000,000 )     516,588    
        $ 152,510    

 

See accompanying notes to the financial statements.


176


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Financials

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 101.9%  
$ 197,063,461     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $197,139,659 **		   $ 197,063,461    
  226,665,256     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $226,751,200 ***		     226,665,256    
  39,412,692     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $39,427,636 ****		     39,412,692    
  525,502,564     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $525,701,817 *****		     525,502,564    
        Total Investments
(Cost $988,643,973) †		     988,643,973    
        Liabilities in excess of
other assets — (1.9%)		     (18,473,610 )  
        Net Assets — 100.0%   $ 970,170,363    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $201,005,594. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $231,199,292. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $40,201,114. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $536,012,727. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Financials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07   $ (404,194,195 )   $ (9,505,402 )  
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07     (408,590,537 )     455,796    
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07     (123,799,721 )     1,588,647    
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07     (424,370,458 )     (5,260,947 )  
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07     (595,421,462 )     790,822    
            $ (11,931,084 )  

 

See accompanying notes to the financial statements.


177


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Health Care

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 105.4%  
$ 1,981,892     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,982,658 **		   $ 1,981,892    
  2,279,602     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,280,466 ***		     2,279,602    
  396,379     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $396,529 ****		     396,379    
  5,285,046     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,287,050 *****		     5,285,046    
        Total Investments
(Cost $9,942,919) †		     9,942,919    
        Liabilities in excess of
other assets — (5.4%)		     (513,394 )  
        Net Assets — 100.0%   $ 9,429,525    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,021,539. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,325,201. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $404,308. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,390,749. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Health Care had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index,
expiring 12/27/07		   $ (10,433,327 )   $ (295,460 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index,
expiring 12/27/07		     (8,000,000 )     (176,755 )  
        $ (472,215 )  

 

See accompanying notes to the financial statements.


178


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Industrials

Principal
Amount		  
 
Value		  
    Repurchase Agreements (a) — 103.6%  
$ 4,353,031     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $4,354,714 **		   $ 4,353,031    
  5,006,920     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,008,818 ***		     5,006,920    
  870,606     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $870,936 ****		     870,606    
  11,608,083     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $11,612,484 *****		     11,608,083    
        Total Investments
(Cost $21,838,640) †		     21,838,640    
        Liabilities in excess of
other assets — (3.6%)		     (754,892 )  
        Net Assets — 100.0%   $ 21,083,748    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $4,440,111. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $5,107,074. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $888,022. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $11,840,247. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Industrials had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index,
expiring 12/27/07		   $ (32,471,841 )   $ (1,042,215 )  
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index,
expiring 12/27/07		     (9,200,000 )     331,672    
        $ (710,543 )  

 

See accompanying notes to the financial statements.


179



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Oil & Gas

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 98.7%  
$ 60,659,224     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $60,682,679 **		   $ 60,659,224    
  69,771,121     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $69,797,576 ***		     69,771,121    
  12,131,845     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $12,136,445 ****		     12,131,845    
  161,757,932     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $161,819,265 *****		     161,757,932    
        Total Investments
(Cost $304,320,122) †		     304,320,122    
        Other assets less liabilities — 1.3%     4,007,216    
        Net Assets — 100.0%   $ 308,327,338    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $61,872,675. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $71,166,768. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $12,374,533. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $164,993,125. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Oil & Gas had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07   $ (370,563,238 )   $ (12,127,838 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07     (233,365,642 )     (6,084,844 )  
        $ (18,212,682 )  

 

See accompanying notes to the financial statements.


180


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Real Estate

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 100.1%  
$ 113,872,578     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $113,916,609 **		   $ 113,872,578    
  130,977,893     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $131,027,555 ***		     130,977,893    
  22,774,516     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $22,783,151 ****		     22,774,516    
  303,660,208     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $303,775,346 *****		     303,660,208    
        Total Investments
(Cost $571,285,195) †		     571,285,195    
        Liabilities in excess of
other assets — (0.1%)		     (313,503 )  
        Net Assets — 100.0%   $ 570,971,692    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $116,150,528. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $133,597,873. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $23,230,103. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $309,733,477. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Real Estate had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07   $ (341,839,078 )   $ (25,601,429 )  
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07     (104,500,986 )     3,635,225    
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07     (226,787,770 )     6,527,873    
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07     (440,970,226 )     (24,631,541 )  
            $ (40,069,872 )  

 

See accompanying notes to the financial statements.


181


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Semiconductors

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 110.1%  
$ 1,944,764     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,945,516 **		   $ 1,944,764    
  2,236,896     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,237,744 ***		     2,236,896    
  388,953     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $389,100 ****		     388,953    
  5,186,038     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $5,188,004 *****		     5,186,038    
        Total Investments
(Cost $9,756,651) †		     9,756,651    
        Liabilities in excess of
other assets — (10.1%)		     (891,340 )  
        Net Assets — 100.0%   $ 8,865,311    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,983,668. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,281,641. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $396,734. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,289,760. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Semiconductors had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorSM Index,
expiring 12/27/07		   $ (16,917,783 )   $ (842,536 )  

 

See accompanying notes to the financial statements.


182


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Technology

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 103.4%  
$ 3,388,419     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $3,389,729 **		   $ 3,388,419    
  3,897,409     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,898,887 ***		     3,897,409    
  677,684     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $677,941 ****		     677,684    
  9,035,785     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $9,039,211 *****		     9,035,785    
        Total Investments
(Cost $16,999,297) †		     16,999,297    
        Liabilities in excess of
other assets — (3.4%)		     (560,943 )  
        Net Assets — 100.0%   $ 16,438,354    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,456,203. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,975,370. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $691,240. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $9,216,503. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Technology had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index,
expiring 12/27/07		   $ (32,576,266 )   $ (520,399 )  

 

See accompanying notes to the financial statements.


183


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort Utilities

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 100.1%  
$ 2,290,173     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,291,059 **		   $ 2,290,173    
  2,634,190     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,635,189 ***		     2,634,190    
  458,035     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $458,209 ****		     458,035    
  6,107,129     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,109,445 *****.		     6,107,129    
        Total Investments
(Cost $11,489,527) †		     11,489,527    
        Liabilities in excess of
other assets — (0.1%)		     (15,040 )  
        Net Assets — 100.0%   $ 11,474,487    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,335,987. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,686,883. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $467,197. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,229,273. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Utilities had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07   $ (13,089,001 )   $ (11,153 )  
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07   $ (10,000,000 )     38,360    
        $ 27,207    

 

See accompanying notes to the financial statements.


184


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short MSCI EAFE

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 99.5%  
$ 3,142,943     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $3,144,158 **		   $ 3,142,943    
  3,615,059     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,616,430 ***		     3,615,059    
  628,589     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $628,827 ****		     628,589    
  8,381,183     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $8,384,361 *****		     8,381,183    
        Total Investments
(Cost $15,767,774) †		     15,767,774    
        Other assets less liabilities — 0.5%     77,494    
        Net Assets — 100.0%   $ 15,845,268    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,205,816. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,687,372. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $641,163. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $8,548,808. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

Short MSCI EAFE had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07   $ (9,653,693 )   $ 215,081    
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07     (6,326,891 )     (125,281 )  
        $ 89,800    

 

See accompanying notes to the financial statements.


185


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Short MSCI Emerging Markets

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 108.3%  
$ 3,521,297     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $3,522,659 **		   $ 3,521,297    
  4,050,247     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $4,051,783 ***		     4,050,247    
  704,260     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $704,527 ****		     704,260    
  9,390,126     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $9,393,686 *****		     9,390,126    
        Total Investments
(Cost $17,665,930) †		     17,665,930    
        Liabilities in excess of
other assets — (8.3%)		     (1,358,310 )  
        Net Assets — 100.0%   $ 16,307,620    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,591,739. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $4,131,265. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $718,348. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $9,577,930. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

Short MSCI Emerging Markets had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the MSCI Emerging Markets Index, expiring 12/27/07   $ (15,038,780 )   $ (1,350,874 )  

 

See accompanying notes to the financial statements.


186


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort MSCI EAFE

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 106.4%  
$ 6,687,299     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $6,689,885 **		   $ 6,687,299    
  7,691,828     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $7,694,744 ***		     7,691,828    
  1,337,460     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,337,967 ****		     1,337,460    
  17,832,796     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $17,839,558 *****		     17,832,796    
Total Investments
(Cost $33,549,383) †		     33,549,383    
        Liabilities in excess of
other assets — (6.4%)		     (2,020,028 )  
        Net Assets — 100.0%   $ 31,529,355    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $6,821,074. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $7,845,690. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,364,215. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $18,189,456. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort MSCI EAFE had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07   $ (17,736,401 )   $ (210,452 )  
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07     (43,200,051 )     (1,796,029 )  
        $ (2,006,481 )  

 

See accompanying notes to the financial statements.


187


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort MSCI Emerging Markets

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 117.9%  
$ 18,050,771     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $18,057,751 **		   $ 18,050,771    
  20,762,258     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $20,770,130 ***		     20,762,258    
  3,610,154     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $3,611,523 ****		     3,610,154    
  48,135,388     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $48,153,639 *****		     48,135,388    
        Total Investments
(Cost $90,558,571) †		     90,558,571    
        Liabilities in excess of
 other assets — (17.9%)		     (13,745,378 )  
        Net Assets — 100.0%   $ 76,813,193    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $18,411,865. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $21,177,570. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,682,373. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $49,098,106. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort MSCI Emerging Markets had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the MSCI Emerging MarketsSM Index, expiring 12/27/07   $ (141,131,120 )   $ (13,721,987 )  

 

See accompanying notes to the financial statements.


188


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort FTSE/Xinhua China 25

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 97.2%  
$ 70,728,042     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $70,755,390 **		   $ 70,728,042    
  81,352,422     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $81,383,268 ***		     81,352,422    
  14,145,608     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $14,150,972 ****		     14,145,608    
  188,608,113     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $188,679,627 *****		     188,608,113    
        Total Investments
(Cost $354,834,185) †		     354,834,185    
        Other assets less liabilities — 2.8%     10,319,577    
        Net Assets — 100.0%   $ 365,153,762    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $72,142,913. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $82,979,732. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $14,428,581. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $192,380,315. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort FTSE/Xinhua China 25 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index, expiring 12/27/07   $ (558,839,054 )   $ (79,457,345 )  
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index, expiring 12/27/07     (102,170,000 )     (5,441,891 )  
        $ (84,899,236 )  

 

See accompanying notes to the financial statements.


189


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

UltraShort MSCI Japan

Principal
Amount		  
  Value  
    Repurchase Agreements (a) — 113.5%  
$ 2,356,511     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $2,357,422 **		   $ 2,356,511    
  2,710,493     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,711,521 ***		     2,710,493    
  471,302     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $471,481 ****		     471,302    
  6,284,029     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $6,286,412 *****		     6,284,029    
        Total Investments
(Cost $11,822,335) †		     11,822,335    
        Liabilities in excess of
other assets — (13.5%)		     (1,404,637 )  
        Net Assets — 100.0%   $ 10,417,698    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,403,651. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,764,712. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $480,730. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,409,711. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort MSCI Japan had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the MSCI Japan Index, expiring 12/27/07   $ (19,353,209 )   $ (1,399,152 )  

 

See accompanying notes to the financial statements.


190



ProShares Trust Statements of Assets and Liabilities

November 30, 2007 (Unaudited)

    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
MidCap400		   Ultra
SmallCap600		   Ultra
Russell2000		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 763,204,533     $ 260,255,394     $ 603,378,464     $ 85,558,329     $ 10,681,320     $ 74,864,294    
Securities, at value     672,826,991       223,326,350       526,311,026       72,252,306       8,825,188       62,872,078    
Repurchase agreements, at value     132,663,844       40,004,970       94,700,781       12,401,037       1,473,173       9,382,870    
Total Investment Securities     805,490,835       263,331,320       621,011,807       84,653,343       10,298,361       72,254,948    
Cash     463,643       —       —       102,247       —       66,124    
Segregated cash balances with brokers for
futures contracts		     4,510,025       1,392,571       3,911,262       444,647       —       402,036    
Dividends and interest receivable     600,508       668,270       974,889       79,333       4,060       44,722    
Receivable for investments sold     195,614       —       65,873       207,661       18,452       287,487    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       8,213       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       141,533       536,290       46,258       —       350    
Unrealized appreciation on swap agreements     —       —       —       —       —       —    
Prepaid licensing fees     —       —       347       1,776       —       —    
Total Assets     811,260,625       265,533,694       626,500,468       85,535,265       10,329,086       73,055,667    
LIABILITIES:  
Cash overdraft     —       167,428       1,044,292       —       —       —    
Payable for investments purchased     199,437       2,381,327       64,998       209,876       18,170       283,736    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     409,456       116,483       301,927       19,940       —       —    
Management Services fees payable     55,820       17,587       41,961       6,589       —       4,785    
Custodian fees payable     49,860       12,243       49,323       93,325       71,176       131,965    
Administration fees payable     21,500       13,650       19,492       9,976       1,650       8,687    
Trustee fees payable     1,090       358       856       235       28       110    
Licensing fees payable     93,090       33,676       —       —       17,652       17,361    
Professional fees payable     18,708       12,809       17,684       13,279       16,651       18,460    
Payable for variation margin on futures contracts     583,050       —       —       —       —       —    
Unrealized depreciation on swap agreements     42,140,274       4,164,052       12,488,553       3,393,193       528,110       2,539,270    
Other liabilities     11,852       6,869       9,793       6,437       779       1,226    
Total Liabilities     43,584,137       6,926,482       14,038,879       3,752,850       654,216       3,005,600    
NET ASSETS   $ 767,676,488     $ 258,607,212     $ 612,461,589     $ 81,782,415     $ 9,674,870     $ 70,050,067    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 634,617,226     $ 245,830,528     $ 589,299,170     $ 73,564,952     $ 9,880,915     $ 72,108,359    
Accumulated undistributed net investment income (loss)     245,084       817,190       1,908,279       197,796       9,394       116,246    
Accumulated net realized gains (losses) on investments     130,395,847       12,300,350       14,238,719       12,180,937       695,630       2,992,753    
Net unrealized appreciation (depreciation) on:  
Investments     42,286,302       3,075,926       17,633,343       (904,986 )     (382,959 )     (2,609,346 )  
Futures contracts     2,272,303       747,270       1,870,631       136,909       —       (18,675 )  
Swap agreements     (42,140,274 )     (4,164,052 )     (12,488,553 )     (3,393,193 )     (528,110 )     (2,539,270 )  
NET ASSETS   $ 767,676,488     $ 258,607,212     $ 612,461,589     $ 81,782,415     $ 9,674,870     $ 70,050,067    
Shares (unlimited number of shares authorized,
no par value)		     7,275,001       2,850,001       6,900,001       975,001       150,001       1,125,001    
Net Asset Value   $ 105.52     $ 90.74     $ 88.76     $ 83.88     $ 64.50     $ 62.27    

 

See accompanying notes to the financial statements.


191


ProShares Trust Statements of Assets and Liabilities (continued)

November 30, 2007 (Unaudited)

    Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra Russell
MidCap
Value		   Ultra Russell
MidCap
Growth		   Ultra
Russell
2000 Value		   Ultra
Russell
2000 Growth		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 10,674,123     $ 22,911,837     $ 9,423,491     $ 16,161,592     $ 8,741,269     $ 10,645,561    
Securities, at value     8,492,329       20,380,241       7,563,881       13,944,418       6,738,829       8,919,315    
Repurchase agreements, at value     1,789,059       3,163,841       1,227,184       2,524,174       1,002,219       1,654,780    
Total Investment Securities     10,281,388       23,544,082       8,791,065       16,468,592       7,741,048       10,574,095    
Cash     1,295       —       —       83,988       2,548       21,884    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       —    
Dividends and interest receivable     22,542       25,952       13,775       12,386       7,774       3,833    
Receivable for investments sold     15,544       26,861       34,042       42,103       35,755       36,620    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     5,929       —       4,528       1,041       18,107       16,794    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       —       —       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Total Assets     10,326,698       23,596,895       8,843,410       16,608,110       7,805,232       10,653,226    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     776,107       27,169       34,186       41,841       35,949       35,285    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       —       —       —       —    
Management Services fees payable     —       236       —       —       —       —    
Custodian fees payable     47,533       56,329       36,262       43,463       91,319       100,039    
Administration fees payable     1,515       3,679       1,404       2,586       1,248       1,668    
Trustee fees payable     27       40       24       34       21       25    
Licensing fees payable     17,255       17,531       16,988       17,126       18,940       19,036    
Professional fees payable     16,601       16,660       16,593       16,633       16,573       16,593    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     264,110       912,962       337,207       732,948       365,866       640,421    
Other liabilities     974       1,047       958       1,014       930       956    
Total Liabilities     1,124,122       1,035,653       443,622       855,645       530,846       814,023    
NET ASSETS   $ 9,202,576     $ 22,561,242     $ 8,399,788     $ 15,752,465     $ 7,274,386     $ 9,839,203    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 10,502,380     $ 21,761,919     $ 10,502,380     $ 15,505,196     $ 10,502,380     $ 10,502,380    
Accumulated undistributed net investment income (loss)     40,489       49,357       25,404       13,654       32,194       3,137    
Accumulated net realized gains (losses) on investments     (683,448 )     1,030,683       (1,158,363 )     659,563       (1,894,101 )     45,573    
Net unrealized appreciation (depreciation) on:  
Investments     (392,735 )     632,245       (632,426 )     307,000       (1,000,221 )     (71,466 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     (264,110 )     (912,962 )     (337,207 )     (732,948 )     (365,866 )     (640,421 )  
NET ASSETS   $ 9,202,576     $ 22,561,242     $ 8,399,788     $ 15,752,465     $ 7,274,386     $ 9,839,203    
Shares (unlimited number of shares authorized,
no par value)		     150,001       300,001       150,001       225,001       150,001       150,001    
Net Asset Value   $ 61.35     $ 75.20     $ 56.00     $ 70.01     $ 48.50     $ 65.59    

 

See accompanying notes to the financial statements.


192


    Ultra
Basic
Materials		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		   Ultra
Health
Care		   Ultra
Industrials		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 14,484,218     $ 5,494,829     $ 4,705,090     $ 157,801,944     $ 10,686,103     $ 12,665,920    
Securities, at value     12,037,017       5,243,009       3,674,443       128,025,955       9,680,194       10,894,848    
Repurchase agreements, at value     3,956,721       552,515       770,820       28,198,726       1,554,665       1,991,791    
Total Investment Securities     15,993,738       5,795,524       4,445,263       156,224,681       11,234,859       12,886,639    
Cash     —       —       4,105       —       —       —    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       —    
Dividends and interest receivable     —       8,538       8,921       188,093       21,606       17,009    
Receivable for investments sold     32,448       —       —       3,419,773       —       —    
Receivable for capital shares issued     —       —       —       3,486,156       —       —    
Receivable from Advisor     —       1,605       3,230       —       —       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       85,623       —       235,935       258,417       —    
Prepaid licensing fees     —       —       —       —       —       —    
Total Assets     16,026,186       5,891,290       4,461,519       163,554,638       11,514,882       12,903,648    
LIABILITIES:  
Cash overdraft     —       —       —       4,673       —       —    
Payable for investments purchased     —       —       —       10,082,357       —       —    
Payable for capital shares redeemed     —       —       —       3,485,065       —       —    
Advisory fees payable     5,843       —       —       45,106       1,005       556    
Management Services fees payable     1,637       —       —       7,773       —       —    
Custodian fees payable     9,674       17,561       27,600       19,126       19,941       23,610    
Administration fees payable     3,314       943       717       9,963       1,810       2,028    
Trustee fees payable     43       19       9       90       27       11    
Licensing fees payable     19,781       17,773       17,513       24,773       18,523       18,133    
Professional fees payable     16,666       16,565       16,317       16,874       16,580       16,763    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     1,535,159       —       93,698       —       —       549,057    
Other liabilities     924       753       691       1,089       800       750    
Total Liabilities     1,593,041       53,614       156,545       13,696,889       58,686       610,908    
NET ASSETS   $ 14,433,145     $ 5,837,676     $ 4,304,974     $ 149,857,749     $ 11,456,196     $ 12,292,740    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 9,214,002     $ 5,038,830     $ 5,187,547     $ 158,693,263     $ 10,502,380     $ 11,081,742    
Accumulated undistributed net investment income (loss)     65,253       11,649       8,456       363,354       22,684       25,239    
Accumulated net realized gains (losses) on investments     5,179,529       400,879       (537,504 )     (7,857,540 )     123,959       1,514,097    
Net unrealized appreciation (depreciation) on:  
Investments     1,509,520       300,695       (259,827 )     (1,577,263 )     548,756       220,719    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,535,159 )     85,623       (93,698 )     235,935       258,417       (549,057 )  
NET ASSETS   $ 14,433,145     $ 5,837,676     $ 4,304,974     $ 149,857,749     $ 11,456,196     $ 12,292,740    
Shares (unlimited number of shares authorized,
no par value)		     150,001       75,001       75,001       3,225,001       150,001       150,001    
Net Asset Value   $ 96.22     $ 77.83     $ 57.40     $ 46.47     $ 76.37     $ 81.95    

 

See accompanying notes to the financial statements.


193


ProShares Trust Statements of Assets and Liabilities (continued)

November 30, 2007 (Unaudited)

    Ultra Oil &
Gas		   Ultra
Real Estate		   Ultra
Semiconductors		   Ultra
Technology		   Ultra
Utilities		   Short
QQQ®		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 63,765,964     $ 19,168,446     $ 34,797,541     $ 66,966,513     $ 12,058,595     $ 64,775,943    
Securities, at value     55,591,191       15,020,237       28,723,660       55,267,519       11,181,273       —    
Repurchase agreements, at value     10,668,070       3,445,133       6,854,623       12,105,073       2,118,887       64,775,943    
Total Investment Securities     66,259,261       18,465,370       35,578,283       67,372,592       13,300,160       64,775,943    
Cash     —       —       —       —       —       —    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       372,754    
Dividends and interest receivable     146,465       14,781       49,295       57,634       46,280       9,652    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       —       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       50,710    
Unrealized appreciation on swap agreements     —       —       —       —       —       3,124,445    
Prepaid licensing fees     —       —       —       —       —       393    
Total Assets     66,405,726       18,480,151       35,627,578       67,430,226       13,346,440       68,333,897    
LIABILITIES:  
Cash overdraft     24,330       —       —       —       —       40,525    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     26,502       4,877       11,327       24,069       2,571       31,980    
Management Services fees payable     5,148       1,460       2,556       4,840       1,057       5,440    
Custodian fees payable     6,109       8,697       9,524       15,899       8,967       6,349    
Administration fees payable     8,826       2,956       5,154       8,629       2,152       7,691    
Trustee fees payable     91       24       52       62       33       189    
Licensing fees payable     27,381       19,036       20,859       23,185       18,811       —    
Professional fees payable     16,999       16,429       16,684       16,721       16,674       12,716    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     4,310,490       841,495       2,559,532       6,078,161       85,691       —    
Other liabilities     1,109       705       924       962       874       5,037    
Total Liabilities     4,426,985       895,679       2,626,612       6,172,528       136,830       109,927    
NET ASSETS   $ 61,978,741     $ 17,584,472     $ 33,000,966     $ 61,257,698     $ 13,209,610     $ 68,223,970    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 50,785,260     $ 23,853,253     $ 35,377,114     $ 62,352,054     $ 10,502,380     $ 97,204,236    
Accumulated undistributed net investment income (loss)     604,261       96,938       44,860       46,109       54,762       436,601    
Accumulated net realized gains (losses) on investments     12,406,413       (4,821,148 )     (642,218 )     4,531,617       1,496,594       (32,838,367 )  
Net unrealized appreciation (depreciation) on:  
Investments     2,493,297       (703,076 )     780,742       406,079       1,241,565       —    
Futures contracts     —       —       —       —       —       297,055    
Swap agreements     (4,310,490 )     (841,495 )     (2,559,532 )     (6,078,161 )     (85,691 )     3,124,445    
NET ASSETS   $ 61,978,741     $ 17,584,472     $ 33,000,966     $ 61,257,698     $ 13,209,610     $ 68,223,970    
Shares (unlimited number of shares authorized,
no par value)		     600,001       450,001       450,001       750,001       150,001       1,275,001    
Net Asset Value   $ 103.30     $ 39.08     $ 73.34     $ 81.68     $ 88.06     $ 53.51    

 

See accompanying notes to the financial statements.


194


    Short
Dow30SM		   Short
S&P500®		   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		   UltraShort
QQQ®		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 126,432,866     $ 227,890,825     $ 48,021,423     $ 10,946,727     $ 44,155,989     $ 1,123,700,487    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     126,432,866       227,890,825       48,021,423       10,946,727       44,155,989       1,123,700,487    
Total Investment Securities     126,432,866       227,890,825       48,021,423       10,946,727       44,155,989       1,123,700,487    
Cash     73,291       155,569       29,878       —       11,029       —    
Segregated cash balances with brokers for
futures contracts		     485,455       1,029,952       180,384       —       237,513       6,802,477    
Dividends and interest receivable     18,117       32,656       6,875       1,374       6,359       176,502    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       196,982,437    
Receivable from Advisor     —       —       —       —       —       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       856,470    
Unrealized appreciation on swap agreements     2,016,836       3,009,176       1,411,246       —       —       67,329,833    
Prepaid licensing fees     —       5,891       5,986       —       —       —    
Total Assets     129,026,565       232,124,069       49,655,792       10,948,101       44,410,890       1,395,848,206    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       6,809,031    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     64,196       118,051       17,562       3,299       12,273       926,504    
Management Services fees payable     10,760       17,537       4,091       872       3,289       116,363    
Custodian fees payable     8,329       13,147       6,302       1,330       2,224       114,615    
Administration fees payable     9,042       11,095       7,182       1,425       5,314       28,090    
Trustee fees payable     267       406       180       25       68       4,209    
Licensing fees payable     24,927       —       —       17,652       22,527       149,184    
Professional fees payable     12,719       15,208       11,947       16,664       16,920       75,570    
Payable for variation margin on futures contracts     65,700       173,125       24,500       —       458       —    
Unrealized depreciation on swap agreements     —       —       —       262,799       981,983       —    
Other liabilities     5,591       5,665       5,175       658       747       17,700    
Total Liabilities     201,531       354,234       76,939       304,724       1,045,803       8,241,266    
NET ASSETS   $ 128,825,034     $ 231,769,835     $ 49,578,853     $ 10,643,377     $ 43,365,087     $ 1,387,606,940    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 139,572,827     $ 250,193,097     $ 65,001,475     $ 10,501,225     $ 41,369,274     $ 1,949,403,737    
Accumulated undistributed net
investment income (loss)		     884,422       1,339,243       357,341       75,147       260,522       10,813,624    
Accumulated net realized gains (losses) on investments     (14,105,973 )     (23,325,175 )     (17,404,218 )     329,804       2,499,013       (644,860,843 )  
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —       —       —    
Futures contracts     456,922       553,494       213,009       —       218,261       4,920,589    
Swap agreements     2,016,836       3,009,176       1,411,246       (262,799 )     (981,983 )     67,329,833    
NET ASSETS   $ 128,825,034     $ 231,769,835     $ 49,578,853     $ 10,643,377     $ 43,365,087     $ 1,387,606,940    
Shares (unlimited number of shares authorized,
no par value)		     2,175,001       3,826,429       825,001       150,001       600,001       36,225,001    
Net Asset Value   $ 59.23     $ 60.57     $ 60.10     $ 70.96     $ 72.28     $ 38.31    

 

See accompanying notes to the financial statements.


195


ProShares Trust Statements of Assets and Liabilities (continued)

November 30, 2007 (Unaudited)

    UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
MidCap400		   UltraShort
SmallCap600		   UltraShort
Russell2000		   UltraShort
Russell1000
Value		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 415,791,839     $ 1,543,718,422     $ 174,637,568     $ 54,590,561     $ 610,140,264     $ 12,368,376    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     415,791,839       1,543,718,422       174,637,568       54,590,561       610,140,264       12,368,376    
Total Investment Securities     415,791,839       1,543,718,422       174,637,568       54,590,561       610,140,264       12,368,376    
Cash     —       992,216       89,616       —       167,949       —    
Segregated cash balances with brokers for
futures contracts		     1,661,508       7,491,723       671,315       —       2,918,641       —    
Dividends and interest receivable     60,010       227,194       25,230       6,850       90,015       1,552    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     45,403,178       77,435,794       —       —       10,646,869       —    
Receivable from Advisor     —       —       —       —       —       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       72,670,946       2,053,578       —       47,226,272       —    
Prepaid licensing fees     —       6,056       6,029       —       —       —    
Total Assets     462,916,535       1,702,542,351       177,483,336       54,597,411       671,190,010       12,369,928    
LIABILITIES:  
Cash overdraft     15,755,178       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     252,157       1,070,961       110,220       25,431       175,919       4,684    
Management Services fees payable     38,097       142,794       16,095       4,197       55,982       778    
Custodian fees payable     36,871       92,836       13,914       2,877       28,438       1,151    
Administration fees payable     16,088       24,670       10,717       6,502       17,080       1,260    
Trustee fees payable     1,334       3,094       460       66       980       15    
Licensing fees payable     110,844       —       —       17,652       277,189       16,437    
Professional fees payable     22,224       42,692       16,584       16,828       22,675       16,314    
Payable for variation margin on futures contracts     171,913       1,120,140       79,000       —       16,967       —    
Unrealized depreciation on swap agreements     24,071,497       —       —       2,252,613       —       1,172,857    
Other liabilities     9,159       13,560       5,328       784       5,088       852    
Total Liabilities     40,485,362       2,510,747       252,318       2,326,950       600,318       1,214,348    
NET ASSETS   $ 422,431,173     $ 1,700,031,604     $ 177,231,018     $ 52,270,461     $ 670,589,692     $ 11,155,580    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 470,934,004     $ 1,819,831,964     $ 205,753,870     $ 50,296,137     $ 632,858,105     $ 10,841,371    
Accumulated undistributed net
investment income (loss)		     3,709,993       12,181,208       1,348,428       318,962       4,373,812       49,375    
Accumulated net realized gains (losses) on investments     (29,384,837 )     (209,939,059 )     (32,556,297 )     3,907,975       (17,926,147 )     1,437,691    
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —       —       —    
Futures contracts     1,243,510       5,286,545       631,439       —       4,057,650       —    
Swap agreements     (24,071,497 )     72,670,946       2,053,578       (2,252,613 )     47,226,272       (1,172,857 )  
NET ASSETS   $ 422,431,173     $ 1,700,031,604     $ 177,231,018     $ 52,270,461     $ 670,589,692     $ 11,155,580    
Shares (unlimited number of shares authorized,
no par value)		     8,475,001       31,800,001       3,225,001       750,001       9,450,001       150,001    
Net Asset Value   $ 49.84     $ 53.46     $ 54.96     $ 69.69     $ 70.96     $ 74.37    

 

See accompanying notes to the financial statements.


196


    UltraShort
Russell1000
Growth		   UltraShort
Russell
MidCap
Value		   UltraShort
Russell
MidCap
Growth		   UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		   UltraShort
Basic
Materials		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 20,341,486     $ 5,865,018     $ 5,423,847     $ 47,423,718     $ 27,163,679     $ 84,611,629    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     20,341,486       5,865,018       5,423,847       47,423,718       27,163,679       84,611,629    
Total Investment Securities     20,341,486       5,865,018       5,423,847       47,423,718       27,163,679       84,611,629    
Cash     —       —       —       —       —       —    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       —    
Dividends and interest receivable     2,552       736       681       5,951       3,409       10,618    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       —       —    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       292,567       —       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Total Assets     20,344,038       6,158,321       5,424,528       47,429,669       27,167,088       84,622,247    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     6,589       2,876       731       11,987       4,822       27,023    
Management Services fees payable     1,231       510       409       3,481       2,093       4,442    
Custodian fees payable     1,327       1,136       1,120       2,172       1,914       2,451    
Administration fees payable     1,987       832       677       5,596       3,390       6,029    
Trustee fees payable     21       16       9       44       50       49    
Licensing fees payable     17,468       16,449       16,503       23,113       23,072       21,235    
Professional fees payable     16,341       16,319       16,512       16,655       16,688       16,606    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     1,593,109       —       523,018       541,219       1,672,022       8,648,042    
Other liabilities     102,975       859       855       1,013       1,008       816    
Total Liabilities     1,741,048       38,997       559,834       605,280       1,725,059       8,726,693    
NET ASSETS   $ 18,602,990     $ 6,119,324     $ 4,864,694     $ 46,824,389     $ 25,442,029     $ 75,895,554    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 19,770,027     $ 5,083,321     $ 4,972,049     $ 43,449,472     $ 24,864,868     $ 90,037,548    
Accumulated undistributed net investment income (loss)     93,512       42,270       36,075       250,235       176,776       315,993    
Accumulated net realized gains (losses) on investments     332,560       701,166       379,588       3,665,901       2,072,407       (5,809,945 )  
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,593,109 )     292,567       (523,018 )     (541,219 )     (1,672,022 )     (8,648,042 )  
NET ASSETS   $ 18,602,990     $ 6,119,324     $ 4,864,694     $ 46,824,389     $ 25,442,029     $ 75,895,554    
Shares (unlimited number of shares authorized,
no par value)		     300,001       75,001       75,001       525,001       375,001       1,725,001    
Net Asset Value   $ 62.01     $ 81.59     $ 64.86     $ 89.19     $ 67.85     $ 44.00    

 

See accompanying notes to the financial statements.


197


ProShares Trust Statements of Assets and Liabilities (continued)

November 30, 2007 (Unaudited)

    UltraShort
Consumer
Goods		   UltraShort
Consumer
Services		   UltraShort
Financials		   UltraShort
Health
Care		   UltraShort
Industrials		   UltraShort
Oil & Gas		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 14,358,154     $ 30,283,507     $ 988,643,973     $ 9,942,919     $ 21,838,640     $ 304,320,122    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     14,358,154       30,283,507       988,643,973       9,942,919       21,838,640       304,320,122    
Total Investment Securities     14,358,154       30,283,507       988,643,973       9,942,919       21,838,640       304,320,122    
Cash     —       —       —       —       —       —    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       —    
Dividends and interest receivable     1,802       3,800       124,059       1,248       2,740       38,188    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     9,334,386       —       14,348,012       —       —       22,435,199    
Receivable from Advisor     —       —       —       —       —       —    
Other receivable     —       —       540,070       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       152,510       —       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Total Assets     23,694,342       30,439,817       1,003,656,114       9,944,167       21,841,380       326,793,509    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       20,642,344       —       —       —    
Advisory fees payable     5,955       12,572       628,959       3,353       6,974       160,269    
Management Services fees payable     1,245       2,278       82,502       822       1,387       22,041    
Custodian fees payable     1,508       1,527       32,982       1,341       1,286       6,857    
Administration fees payable     2,023       3,673       19,371       1,344       2,242       11,243    
Trustee fees payable     30       22       930       24       13       118    
Licensing fees payable     18,709       18,754       120,254       18,300       18,045       34,798    
Professional fees payable     16,567       16,538       22,475       16,529       16,483       17,091    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     660,294               11,931,084       472,215       710,543       18,212,682    
Other liabilities     759       753       4,850       714       659       1,072    
Total Liabilities     707,090       56,117       33,485,751       514,642       757,632       18,466,171    
NET ASSETS   $ 22,987,252     $ 30,383,700     $ 970,170,363     $ 9,429,525     $ 21,083,748     $ 308,327,338    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 24,926,813     $ 28,807,277     $ 907,053,134     $ 10,502,380     $ 23,200,157     $ 313,960,110    
Accumulated undistributed net investment income (loss)     106,644       135,811       5,625,438       73,481       122,505       1,207,498    
Accumulated net realized gains (losses) on investments     (1,385,911 )     1,288,102       69,422,875       (674,121 )     (1,528,371 )     11,372,412    
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (660,294 )     152,510       (11,931,084 )     (472,215 )     (710,543 )     (18,212,682 )  
NET ASSETS   $ 22,987,252     $ 30,383,700     $ 970,170,363     $ 9,429,525     $ 21,083,748     $ 308,327,338    
Shares (unlimited number of shares authorized,
no par value)		     375,001       375,001       10,575,001       150,001       375,001       7,350,001    
Net Asset Value   $ 61.30     $ 81.02     $ 91.74     $ 62.86     $ 56.22     $ 41.95    

 

See accompanying notes to the financial statements.


198


    UltraShort
Real Estate		   UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Utilities		   Short
MSCI EAFE		   Short MSCI
Emerging
Markets		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 571,285,195     $ 9,756,651     $ 16,999,297     $ 11,489,527     $ 15,767,774     $ 17,665,930    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     571,285,195       9,756,651       16,999,297       11,489,527       15,767,774       17,665,930    
Total Investment Securities     571,285,195       9,756,651       16,999,297       11,489,527       15,767,774       17,665,930    
Cash     —       —       —       —       —       —    
Segregated cash balances with brokers for
futures contracts		     —       —       —       —       —       —    
Dividends and interest receivable     71,687       1,225       2,133       1,442       1,979       2,217    
Receivable for investments sold     —       —       —       —       —       —    
Receivable for capital shares issued     47,950,068       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       3,244       5,087    
Other receivable     —       —       —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized appreciation on swap agreements     —       —       —       27,207       89,800       —    
Prepaid licensing fees     —       —       —       —       —       —    
Total Assets     619,306,950       9,757,876       17,001,430       11,518,176       15,862,797       17,673,234    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     7,715,955       —       —       —       —       —    
Advisory fees payable     351,447       11,638       4,288       3,414       —       —    
Management Services fees payable     46,078       723       957       969       —       —    
Custodian fees payable     22,450       1,260       1,124       1,434       366       285    
Administration fees payable     15,866       1,185       1,552       1,577       1,860       1,562    
Trustee fees payable     619       21       8       11       8       7    
Licensing fees payable     88,423       17,976       17,619       19,273       11,177       9,416    
Professional fees payable     21,061       16,529       16,478       16,485       3,391       2,857    
Payable for variation margin on futures contracts     —       —       —       —       —       —    
Unrealized depreciation on swap agreements     40,069,872       842,536       520,399       —       —       1,350,874    
Other liabilities     3,487       697       651       526       727       613    
Total Liabilities     48,335,258       892,565       563,076       43,689       17,529       1,365,614    
NET ASSETS   $ 570,971,692     $ 8,865,311     $ 16,438,354     $ 11,474,487     $ 15,845,268     $ 16,307,620    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 504,665,067     $ 10,502,380     $ 17,754,253     $ 13,353,504     $ 15,860,807     $ 16,455,154    
Accumulated undistributed net investment income (loss)     3,569,656       61,478       86,876       92,177       47,472       35,275    
Accumulated net realized gains (losses) on investments     102,806,841       (856,011 )     (882,376 )     (1,998,401 )     (152,811 )     1,168,065    
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (40,069,872 )     (842,536 )     (520,399 )     27,207       89,800       (1,350,874 )  
NET ASSETS   $ 570,971,692     $ 8,865,311     $ 16,438,354     $ 11,474,487     $ 15,845,268     $ 16,307,620    
Shares (unlimited number of shares authorized,
no par value)		     5,550,001       150,001       300,001       225,001       225,001       225,001    
Net Asset Value   $ 102.88     $ 59.10     $ 54.79     $ 51.00     $ 70.42     $ 72.48    

 

See accompanying notes to the financial statements.


199


ProShares Trust Statements of Assets and Liabilities (continued)

November 30, 2007 (Unaudited)

    UltraShort
MSCI EAFE		   UltraShort
MSCI
Emerging Markets		   UltraShort
FTSE/Xinhua
China 25		   UltraShort
MSCI
Japan		  
ASSETS:  
Securities and repurchase agreements, at cost   $ 33,549,383     $ 90,558,571     $ 354,834,185     $ 11,822,335    
Securities, at value     —       —       —       —    
Repurchase agreements, at value     33,549,383       90,558,571       354,834,185       11,822,335    
Total Investment Securities     33,549,383       90,558,571       354,834,185       11,822,335    
Cash     —       —       —       —    
Segregated cash balances with brokers for futures contracts     —       —       —       —    
Dividends and interest receivable     4,210       11,364       44,526       1,484    
Receivable for investments sold     —       —       —       —    
Receivable for capital shares issued     —       —       95,266,346       —    
Receivable from Advisor     498       —       —       10,604    
Other receivable     —       —       —       —    
Receivable for variation margin on futures contracts     —       —       —       —    
Unrealized appreciation on swap agreements     —       —       —       —    
Prepaid licensing fees     —       —       —       —    
Total Assets     33,554,091       90,569,935       450,145,057       11,834,423    
LIABILITIES:  
Cash overdraft     —       —       —       —    
Payable for investments purchased     —       —       —       —    
Payable for capital shares redeemed     —       —       —       —    
Advisory fees payable     —       12,416       59,839       —    
Management Services fees payable     —       3,658       9,844       —    
Custodian fees payable     504       730       1,552       277    
Administration fees payable     2,448       5,058       6,459       1,180    
Trustee fees payable     8       7       6       6    
Licensing fees payable     11,177       9,416       11,583       13,333    
Professional fees payable     3,391       2,857       2,286       2,286    
Payable for variation margin on futures contracts     —       —       —       —    
Unrealized depreciation on swap agreements     2,006,481       13,721,987       84,899,236       1,399,152    
Other liabilities     727       613       490       491    
Total Liabilities     2,024,736       13,756,742       84,991,295       1,416,725    
NET ASSETS   $ 31,529,355     $ 76,813,193     $ 365,153,762     $ 10,417,698    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 33,188,068     $ 80,331,614     $ 420,510,778     $ 10,502,380    
Accumulated undistributed net investment income (loss)     52,788       118,020       289,543       26,908    
Accumulated net realized gains (losses) on investments     294,980       10,085,546       29,252,677       1,287,562    
Net unrealized appreciation (depreciation) on:  
Investments     —       —       —       —    
Futures contracts     —       —       —       —    
Swap agreements     (2,006,481 )     (13,721,987 )     (84,899,236 )     (1,399,152 )  
NET ASSETS   $ 31,529,355     $ 76,813,193     $ 365,153,762     $ 10,417,698    
Shares (unlimited number of shares authorized, no par value)     450,001       1,050,001       5,250,001       150,001    
Net Asset Value   $ 70.07     $ 73.16     $ 69.55     $ 69.45    

 

See accompanying notes to the financial statements.


200



ProShares Trust Statements of Operations

For the Periods Indicated (Unaudited)

    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
MidCap400		   Ultra
SmallCap600		   Ultra
Russell2000		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ 1,046,385     $ 1,787,602     $ 3,958,020     $ 602,064     $ 54,610     $ 320,770    
Interest     1,437,015       559,207       1,261,190       306,233       34,290       147,947    
Foreign withholding tax
on dividends		     —       —       —       —       (20 )     (61 )  
Total Investment Income     2,483,400       2,346,809       5,219,210       908,297       88,880       468,656    
EXPENSES:  
Advisory fees (Note 4)     1,739,128       620,652       1,498,145       377,914       41,866       175,677    
Management Services
fees (Note 4)		     231,882       82,753       199,751       50,389       5,582       23,423    
Professional fees     15,046       11,203       14,053       10,643       7,356       7,793    
Administration fees (Note 5)     103,830       72,625       100,378       62,429       11,179       43,029    
Custodian fees (Note 6)     68,365       18,844       101,774       114,207       73,623       172,872    
Printing and Shareholder reports     17,320       7,620       16,678       6,853       641       1,765    
Licensing fees     238,241       39,502       7,652       7,652       7,652       7,361    
Trustee fees     1,916       702       1,624       568       71       208    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     9,339       4,470       8,719       3,719       2,150       2,797    
Total Gross Expenses before
fees waived and/or  
reimbursed		     2,425,067       858,371       1,948,774       634,374       150,120       434,925    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (226,018 )     (74,645 )     (56,989 )     (157,393 )     (97,308 )     (213,188 )  
Total Net Expenses     2,199,049       783,726       1,891,785       476,981       52,812       221,737    
Net Investment Income (Loss)     284,351       1,563,083       3,327,425       431,316       36,068       246,919    
NET REALIZED GAIN (LOSS) ON:  
Investments     (10,113,045 )     (1,271,309 )     (4,206,898 )     (798,027 )     120,306       (469,990 )  
Futures contracts     1,182,390       (840,553 )     (2,371,318 )     (319,428 )     —       (457,915 )  
Swap agreements     77,072,816       (844,662 )     1,221,250       (3,645,505 )     (978,544 )     (876,807 )  
In-kind redemptions     25,153,521       4,129,134       5,300,399       6,138,902       —       2,182,576    
Net realized gain (loss)     93,295,682       1,172,610       (56,567 )     1,375,942       (858,238 )     377,864    
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     24,960,306       (5,035,241 )     (4,580,970 )     (10,418,982 )     (1,140,050 )     (3,942,445 )  
Futures contracts     865,613       197,292       823,871       (350,493 )     —       (177,035 )  
Swap agreements     (45,993,005 )     (5,151,544 )     (14,595,440 )     (5,188,971 )     (686,181 )     (2,887,403 )  
Change in net unrealized
appreciation (depreciation)		     (20,167,086 )     (9,989,493 )     (18,352,539 )     (15,958,446 )     (1,826,231 )     (7,006,883 )  
Net realized and unrealized
gain (loss)		     73,128,596       (8,816,883 )     (18,409,106 )     (14,582,504 )     (2,684,469 )     (6,629,019 )  
Change in Net Assets Resulting
from Operations		   $ 73,412,947     $ (7,253,800 )   $ (15,081,681 )   $ (14,151,188 )   $ (2,648,401 )   $ (6,382,100 )  

 

See accompanying notes to the financial statements.


201


ProShares Trust Statements of Operations (continued)

For the Periods Indicated (Unaudited)

    Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra
Russell MidCap
Value		   Ultra
Russell MidCap
Growth		   Ultra
Russell2000
Value		   Ultra
Russell2000
Growth		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ 111,197     $ 111,135     $ 88,828     $ 48,078     $ 95,648     $ 41,752    
Interest     31,699       45,502       29,548       38,961       26,178       29,842    
Foreign withholding tax
on dividends		     (11 )     —       (42 )     —       (26 )     —    
Total Investment Income     142,885       156,637       118,334       87,039       121,800       71,594    
EXPENSES:  
Advisory fees (Note 4)     38,223       61,626       35,963       49,761       33,246       39,678    
Management Services
fees (Note 4)		     5,096       8,217       4,795       6,635       4,433       5,290    
Professional fees     7,360       7,422       7,351       7,394       7,338       7,354    
Administration fees (Note 5)     10,206       16,454       9,603       13,287       8,878       10,595    
Custodian fees (Note 6)     51,904       59,983       42,598       47,102       110,667       110,815    
Printing and Shareholder reports     3,514       3,730       3,506       3,529       3,468       3,591    
Licensing fees     7,255       7,531       6,988       7,126       8,940       9,036    
Trustee fees     63       76       60       70       56       61    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,126       2,151       2,118       2,138       2,101       2,116    
Total Gross Expenses before
fees waived and/or  
reimbursed		     125,747       167,190       112,982       137,042       179,127       188,536    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (77,527 )     (89,348 )     (67,633 )     (74,206 )     (137,218 )     (138,448 )  
Total Net Expenses     48,220       77,842       45,349       62,836       41,909       50,088    
Net Investment Income (Loss)     94,665       78,795       72,985       24,203       79,891       21,506    
NET REALIZED GAIN (LOSS) ON:  
Investments     (41,772 )     3,623       (202,736 )     99,300       (315,246 )     (8,712 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     (975,815 )     770,254       (1,153,592 )     325,941       (1,430,265 )     (42,855 )  
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     (1,017,587 )     773,877       (1,356,328 )     425,241       (1,745,511 )     (51,567 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     (810,659 )     201,627       (983,784 )     (173,051 )     (1,091,704 )     (408,402 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     (343,505 )     (1,063,073 )     (475,368 )     (937,260 )     (485,553 )     (803,240 )  
Change in net unrealized
appreciation (depreciation)		     (1,154,164 )     (861,446 )     (1,459,152 )     (1,110,311 )     (1,577,257 )     (1,211,642 )  
Net realized and unrealized
gain (loss)		     (2,171,751 )     (87,569 )     (2,815,480 )     (685,070 )     (3,322,768 )     (1,263,209 )  
Change in Net Assets Resulting
from Operations		   $ (2,077,086 )   $ (8,774 )   $ (2,742,495 )   $ (660,867 )   $ (3,242,877 )   $ (1,241,703 )  

 

See accompanying notes to the financial statements.


202


    Ultra
Basic
Materials		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		  
Ultra
Health Care		   Ultra
Industrials		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ 142,386     $ 79,671     $ 22,855     $ 599,561     $ 68,665     $ 53,438    
Interest     56,895       22,113       16,050       131,263       35,455       25,639    
Foreign withholding tax
on dividends		     —       —       —       (354 )     —       —    
Total Investment Income     199,281       101,784       38,905       730,470       104,120       79,077    
EXPENSES:  
Advisory fees (Note 4)     65,630       27,002       18,179       157,355       40,592       29,943    
Management Services
fees (Note 4)		     8,751       3,600       2,424       20,981       5,412       3,992    
Professional fees     7,429       7,337       7,259       7,617       7,351       7,276    
Administration fees (Note 5)     17,523       7,214       4,855       34,680       10,840       7,993    
Custodian fees (Note 6)     11,671       19,198       24,979       27,992       20,713       28,834    
Printing and Shareholder reports     771       384       205       807       573       364    
Licensing fees     9,900       7,840       7,370       14,792       8,565       7,997    
Trustee fees     86       56       35       125       65       41    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,196       2,106       1,941       2,235       2,131       1,960    
Total Gross Expenses before
fees waived and/or  
reimbursed		     123,957       74,737       67,247       266,584       96,242       88,400    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (41,005 )     (40,635 )     (44,317 )     (68,234 )     (44,974 )     (50,605 )  
Total Net Expenses     82,952       34,102       22,930       198,350       51,268       37,795    
Net Investment Income (Loss)     116,329       67,682       15,975       532,120       52,852       41,282    
NET REALIZED GAIN (LOSS) ON:  
Investments     (120,729 )     2,935       (38,938 )     (1,402,422 )     38,904       (76,542 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     2,780,948       (178,337 )     (580,197 )     (5,343,374 )     (474,442 )     21,531    
In-kind redemptions     1,074,508       181,572       —       (564,233 )     —       —    
Net realized gain (loss)     3,734,727       6,170       (619,135 )     (7,310,029 )     (435,538 )     (55,011 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     106,880       (174,906 )     (417,227 )     (1,745,873 )     (711 )     (256,002 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,802,683 )     16,432       (146,430 )     167,606       250,016       (656,680 )  
Change in net unrealized
appreciation (depreciation)		     (1,695,803 )     (158,474 )     (563,657 )     (1,578,267 )     249,305       (912,682 )  
Net realized and unrealized
gain (loss)		     2,038,924       (152,304 )     (1,182,792 )     (8,888,296 )     (186,233 )     (967,693 )  
Change in Net Assets Resulting
from Operations		   $ 2,155,253     $ (84,622 )   $ (1,166,817 )   $ (8,356,176 )   $ (133,381 )   $ (926,411 )  

 

See accompanying notes to the financial statements.


203


ProShares Trust Statements of Operations (continued)

For the Periods Indicated (Unaudited)

    Ultra
Oil & Gas		   Ultra
Real Estate		   Ultra
Semiconductors		   Ultra
Technology		   Ultra
Utilities		   Short
QQQ®		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ 845,723     $ 155,907     $ 111,794     $ 120,720     $ 155,181     $ —    
Interest     188,637       41,802       69,157       104,960       38,999       2,032,646    
Foreign withholding tax
on dividends		     —       (255 )     —       —       —       —    
Total Investment Income     1,034,360       197,454       180,951       225,680       194,180       2,032,646    
EXPENSES:  
Advisory fees (Note 4)     227,016       43,233       85,394       125,546       45,724       303,306    
Management Services
fees (Note 4)		     30,268       5,764       11,385       16,739       6,097       40,440    
Professional fees     7,767       7,326       7,465       7,499       7,381       10,344    
Administration fees (Note 5)     51,089       11,541       22,797       32,360       12,211       44,782    
Custodian fees (Note 6)     16,762       12,291       12,108       23,777       10,020       8,318    
Printing and Shareholder reports     2,048       372       699       621       907       9,101    
Licensing fees     18,508       8,706       10,955       13,096       8,839       46,841    
Trustee fees     179       54       92       90       77       520    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,602       1,985       2,183       2,051       2,175       3,894    
Total Gross Expenses before
fees waived and/or  
reimbursed		     356,239       91,272       153,078       221,779       93,431       467,546    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (69,356 )     (36,765 )     (45,283 )     (63,212 )     (35,683 )     (84,620 )  
Total Net Expenses     286,883       54,507       107,795       158,567       57,748       382,926    
Net Investment Income (Loss)     747,477       142,947       73,156       67,113       136,432       1,649,720    
NET REALIZED GAIN (LOSS) ON:  
Investments     (837,472 )     (837,161 )     (632,909 )     (602,078 )     62,407       —    
Futures contracts     —       —       —       —       —       (1,167,930 )  
Swap agreements     6,848,317       (1,019,509 )     210,427       4,506,119       26,323       (10,477,344 )  
In-kind redemptions     2,276,518       —       (762,200 )     —       —       —    
Net realized gain (loss)     8,287,363       (1,856,670 )     (1,184,682 )     3,904,041       88,730       (11,645,274 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     1,011,742       (561,721 )     170,051       84,265       (76,263 )     —    
Futures contracts     —       —       —       —       —       386,560    
Swap agreements     (4,714,515 )     (946,649 )     (2,636,880 )     (6,162,375 )     (288,391 )     4,421,894    
Change in net unrealized
appreciation (depreciation)		     (3,702,773 )     (1,508,370 )     (2,466,829 )     (6,078,110 )     (364,654 )     4,808,454    
Net realized and unrealized
gain (loss)		     4,584,590       (3,365,040 )     (3,651,511 )     (2,174,069 )     (275,924 )     (6,836,820 )  
Change in Net Assets Resulting
from Operations		   $ 5,332,067     $ (3,222,093 )   $ (3,578,355 )   $ (2,106,956 )   $ (139,492 )   $ (5,187,100 )  

 

See accompanying notes to the financial statements.


204


    Short
Dow30SM		   Short
S&P500®		   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		   UltraShort
QQQ®		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     3,097,284       5,104,825       2,004,782       253,905       832,339       44,774,115    
Foreign withholding tax
on dividends		     —       —       —       —       —       —    
Total Investment Income     3,097,284       5,104,825       2,004,782       253,905       832,339       44,774,115    
EXPENSES:  
Advisory fees (Note 4)     469,544       783,704       295,384       38,007       127,515       6,556,998    
Management Services
fees (Note 4)		     62,606       104,494       39,384       5,067       17,002       874,261    
Professional fees     10,835       11,756       10,367       7,331       7,568       38,526    
Administration fees (Note 5)     50,892       61,374       44,071       8,121       27,237       128,399    
Custodian fees (Note 6)     12,133       19,990       8,296       1,674       3,833       164,468    
Printing and Shareholder reports     11,416       16,971       8,654       882       2,347       128,459    
Licensing fees     31,443       7,652       7,652       7,652       12,527       880,660    
Trustee fees     640       1,016       536       58       130       11,098    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     4,687       7,005       4,177       2,093       2,496       76,650    
Total Gross Expenses before
fees waived and/or  
reimbursed		     654,196       1,013,962       418,521       70,885       200,655       8,859,519    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (60,985 )     (23,858 )     (45,239 )     (22,851 )     (39,503 )     (582,802 )  
Total Net Expenses     593,211       990,104       373,282       48,034       161,152       8,276,717    
Net Investment Income (Loss)     2,504,073       4,114,721       1,631,500       205,871       671,187       36,497,398    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (581,816 )     (1,118,719 )     (53,118 )     —       (113,267 )     (17,826,399 )  
Swap agreements     (540,683 )     (1,120,742 )     2,595,428       1,114,422       3,301,726       (335,892,461 )  
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     (1,122,499 )     (2,239,461 )     2,542,310       1,114,422       3,188,459       (353,718,860 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     584,227       721,472       383,497       —       256,015       6,507,377    
Swap agreements     2,896,318       4,461,602       3,099,540       (151,026 )     (753,965 )     132,846,745    
Change in net unrealized
appreciation (depreciation)		     3,480,545       5,183,074       3,483,037       (151,026 )     (497,950 )     139,354,122    
Net realized and unrealized
gain (loss)		     2,358,046       2,943,613       6,025,347       963,396       2,690,509       (214,364,738 )  
Change in Net Assets Resulting
from Operations		   $ 4,862,119     $ 7,058,334     $ 7,656,847     $ 1,169,267     $ 3,361,696     $ (177,867,340 )  

 

See accompanying notes to the financial statements.


205


ProShares Trust Statements of Operations (continued)

For the Periods Indicated (Unaudited)

    UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
MidCap400		   UltraShort
SmallCap600		   UltraShort
Russell2000		   UltraShort
Russell1000
Value		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     13,026,048       35,798,805       4,835,369       941,292       11,135,818       146,472    
Foreign withholding tax
on dividends		     —       —       —       —       —       —    
Total Investment Income     13,026,048       35,798,805       4,835,369       941,292       11,135,818       146,472    
EXPENSES:  
Advisory fees (Note 4)     1,956,715       5,532,199       725,786       141,273       1,749,362       22,119    
Management Services
fees (Note 4)		     260,893       737,621       96,771       18,836       233,246       2,950    
Professional fees     17,174       27,200       11,932       7,571       12,386       7,270    
Administration fees (Note 5)     92,547       123,983       59,546       29,876       85,703       4,725    
Custodian fees (Note 6)     48,864       134,092       18,822       4,117       41,795       1,275    
Printing and Shareholder reports     37,188       64,142       13,324       1,524       13,024       3,309    
Licensing fees     110,759       7,652       7,652       7,652       267,189       6,437    
Trustee fees     2,823       6,022       1,070       134       1,553       33    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       48,162       —       —       —       —    
Other fees     20,411       35,433       7,594       2,560       9,701       1,940    
Total Gross Expenses before
fees waived and/or  
reimbursed		     2,547,374       6,716,506       942,497       213,543       2,413,959       50,058    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (74,953 )     —       (24,943 )     (34,934 )     (202,651 )     (22,095 )  
Total Net Expenses     2,472,421       6,716,506       917,554       178,609       2,211,308       27,963    
Net Investment Income (Loss)     10,553,627       29,082,299       3,917,815       762,683       8,924,510       118,509    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (3,554,454 )     (16,013,400 )     (692,847 )     —       (5,083,123 )     —    
Swap agreements     39,344,086       (53,262,901 )     17,825,085       7,068,802       4,486,328       1,680,635    
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     35,789,632       (69,276,301 )     17,132,238       7,068,802       (596,795 )     1,680,635    
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     1,487,952       5,718,832       748,102       —       4,290,283       —    
Swap agreements     (15,489,553 )     87,913,915       8,198,019       (1,740,812 )     51,831,833       (1,107,517 )  
Change in net unrealized
appreciation (depreciation)		     (14,001,601 )     93,632,747       8,946,121       (1,740,812 )     56,122,116       (1,107,517 )  
Net realized and unrealized
gain (loss)		     21,788,031       24,356,446       26,078,359       5,327,990       55,525,321       573,118    
Change in Net Assets Resulting
from Operations		   $ 32,341,658     $ 53,438,745     $ 29,996,174     $ 6,090,673     $ 64,449,831     $ 691,627    

 

See accompanying notes to the financial statements.


206


    UltraShort
Russell1000
Growth		   UltraShort
Russell MidCap
Value		   UltraShort
Russell MidCap
Growth		   UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		   UltraShort
Basic
Materials		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     212,654       141,525       131,941       524,292       548,809       633,706    
Foreign withholding tax
on dividends		     —       —       —       —       —       —    
Total Investment Income     212,654       141,525       131,941       524,292       548,809       633,706    
EXPENSES:  
Advisory fees (Note 4)     32,207       21,096       19,397       80,840       80,509       91,842    
Management Services
fees (Note 4)		     4,295       2,813       2,586       10,778       10,735       12,246    
Professional fees     7,296       7,275       7,271       7,406       7,468       7,429    
Administration fees (Note 5)     6,880       4,507       4,144       17,261       17,199       18,502    
Custodian fees (Note 6)     1,488       1,262       1,227       2,572       2,683       2,787    
Printing and Shareholder reports     3,378       3,280       3,286       3,503       4,050       622    
Licensing fees     7,468       6,449       6,502       13,113       13,072       11,298    
Trustee fees     38       33       34       65       96       78    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,951       1,944       1,944       2,011       2,299       2,106    
Total Gross Expenses before
fees waived and/or  
reimbursed		     65,001       48,659       46,391       137,549       138,111       146,910    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (24,340 )     (21,975 )     (21,875 )     (35,332 )     (36,362 )     (31,166 )  
Total Net Expenses     40,661       26,684       24,516       102,217       101,749       115,744    
Net Investment Income (Loss)     171,993       114,841       107,425       422,075       447,060       517,962    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     450,125       831,417       943,511       3,775,986       3,112,310       (3,417,410 )  
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     450,125       831,417       943,511       3,775,986       3,112,310       (3,417,410 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,477,866 )     401,757       (365,287 )     (435,356 )     (1,283,515 )     (8,355,841 )  
Change in net unrealized
appreciation (depreciation)		     (1,477,866 )     401,757       (365,287 )     (435,356 )     (1,283,515 )     (8,355,841 )  
Net realized and unrealized
gain (loss)		     (1,027,741 )     1,233,174       578,224       3,340,630       1,828,795       (11,773,251 )  
Change in Net Assets Resulting
from Operations		   $ (855,748 )   $ 1,348,015     $ 685,649     $ 3,762,705     $ 2,275,855     $ (11,255,289 )  

 

See accompanying notes to the financial statements.


207


ProShares Trust Statements of Operations (continued)

For the Periods Indicated (Unaudited)

    UltraShort
Consumer
Goods		   UltraShort
Consumer
Services		   UltraShort
Financials		   UltraShort
Health Care		   UltraShort
Industrials		   UltraShort
Oil & Gas		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     296,682       265,099       12,031,052       256,959       183,532       2,269,337    
Foreign withholding tax
on dividends		     —       —       —       —       —       —    
Total Investment Income     296,682       265,099       12,031,052       256,959       183,532       2,269,337    
EXPENSES:  
Advisory fees (Note 4)     45,359       42,585       1,972,025       38,135       28,969       367,867    
Management Services
fees (Note 4)		     6,048       5,678       262,934       5,084       3,862       49,048    
Professional fees     7,354       7,315       11,595       7,326       7,269       7,867    
Administration fees (Note 5)     9,692       9,097       84,953       8,148       6,188       44,070    
Custodian fees (Note 6)     1,828       1,683       45,293       1,682       1,397       8,690    
Printing and Shareholder reports     417       334       7,351       340       271       1,858    
Licensing fees     8,819       8,672       111,576       8,434       7,945       26,020    
Trustee fees     64       47       1,138       57       36       197    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,105       1,966       5,245       2,090       1,935       2,867    
Total Gross Expenses before
fees waived and/or  
reimbursed		     81,686       77,377       2,502,110       71,296       57,872       508,484    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (24,410 )     (23,518 )     (7,788 )     (23,126 )     (21,283 )     (43,708 )  
Total Net Expenses     57,276       53,859       2,494,322       48,170       36,589       464,776    
Net Investment Income (Loss)     239,406       211,240       9,536,730       208,789       146,943       1,804,561    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (546,910 )     1,570,946       74,227,495       404,145       228,155       16,568,987    
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     (546,910 )     1,570,946       74,227,495       404,145       228,155       16,568,987    
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (554,835 )     240,584       (11,283,153 )     (459,068 )     (579,928 )     (17,452,127 )  
Change in net unrealized
appreciation (depreciation)		     (554,835 )     240,584       (11,283,153 )     (459,068 )     (579,928 )     (17,452,127 )  
Net realized and unrealized
gain (loss)		     (1,101,745 )     1,811,530       62,944,342       (54,923 )     (351,773 )     (883,140 )  
Change in Net Assets Resulting
from Operations		   $ (862,339 )   $ 2,022,770     $ 72,481,072     $ 153,866     $ (204,830 )   $ 921,421    

 

See accompanying notes to the financial statements.


208


    UltraShort
Real
Estate		   UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Utilities		   Short
MSCI EAFE		   Short
MSCI
Emerging Markets		  
    Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   Six Months
Ended
November 30,
2007		   October 23,
2007*
through
November 30, 2007		   October 30,
2007*
through
November 30, 2007 		 
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     9,325,488       214,410       138,614       476,220       60,617       44,775    
Foreign withholding tax
on dividends		     —       —       —       —       —       —    
Total Investment Income     9,325,488       214,410       138,614       476,220       60,617       44,775    
EXPENSES:  
Advisory fees (Note 4)     1,434,581       31,025       21,132       68,459       10,405       7,521    
Management Services
fees (Note 4)		     191,275       4,136       2,818       9,128       1,387       1,003    
Professional fees     10,556       7,310       7,249       7,325       3,391       2,857    
Administration fees (Note 5)     78,972       6,630       4,514       14,618       2,224       1,608    
Custodian fees (Note 6)     34,405       1,505       1,242       2,480       366       285    
Printing and Shareholder reports     8,435       477       245       1,137       45       38    
Licensing fees     82,912       8,055       7,527       10,051       11,177       9,416    
Trustee fees     960       52       33       57       8       7    
Recoupment of prior
expenses reimbursed by 
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     5,591       2,078       1,935       2,209       682       575    
Total Gross Expenses before
fees waived and/or  
reimbursed		     1,847,687       61,268       46,695       115,464       29,685       23,310    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (33,234 )     (22,092 )     (20,019 )     (28,973 )     (16,540 )     (13,810 )  
Total Net Expenses     1,814,453       39,176       26,676       86,491       13,145       9,500    
Net Investment Income (Loss)     7,511,035       175,234       111,938       389,729       47,472       35,275    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     96,533,388       430,823       74,101       69,084       (152,811 )     1,168,065    
In-kind redemptions     —       —       —       —       —       —    
Net realized gain (loss)     96,533,388       430,823       74,101       69,084       (152,811 )     1,168,065    
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (35,488,767 )     (723,215 )     (395,730 )     397,524       89,800       (1,350,874 )  
Change in net unrealized
appreciation (depreciation)		     (35,488,767 )     (723,215 )     (395,730 )     397,524       89,800       (1,350,874 )  
Net realized and unrealized
gain (loss)		     61,044,621       (292,392 )     (321,629 )     466,608       (63,011 )     (182,809 )  
Change in Net Assets Resulting
from Operations		   $ 68,555,656     $ (117,158 )   $ (209,691 )   $ 856,337     $ (15,539 )   $ (147,534 )  

 

*Commencement of investment operations.

See accompanying notes to the financial statements.


209


ProShares Trust Statements of Operations (continued)

For the Periods Indicated (Unaudited)

    UltraShort
MSCI EAFE		   UltraShort
MSCI
Emerging Markets		   UltraShort
FTSE/Xinhua
China 25		   UltraShort
MSCI Japan		  
    October 23,
2007*
through
November 30, 2007		   October 30,
2007*
through
November 30, 2007		   November 6,
2007*
through
November 30, 2007		   November 6,
2007*
through
November 30, 2007		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —    
Interest     69,358       152,620       381,602       33,877    
Foreign withholding tax
on dividends		     —       —       —       —    
Total Investment Income     69,358       152,620       381,602       33,877    
EXPENSES:  
Advisory fees (Note 4)     13,145       27,436       73,828       5,517    
Management Services fees (Note 4)     1,752       3,658       9,844       736    
Professional fees     3,391       2,857       2,286       2,286    
Administration fees (Note 5)     2,808       5,103       6,459       1,180    
Custodian fees (Note 6)     504       730       1,552       277    
Printing and Shareholder reports     45       38       30       30    
Licensing fees     11,177       9,416       11,583       13,333    
Trustee fees     8       7       6       6    
Recoupment of prior expenses
reimbursed by Advisor (Note 4)		     —       —       —       —    
Other fees     682       575       460       461    
Total Gross Expenses before
fees waived and/or  
reimbursed		     33,512       49,820       106,048       23,826    
LESS:  
Advisory fees
waived and reimbursed,  
if any (Note 4)		     (16,942 )     (15,220 )     (13,989 )     (16,857 )  
Total Net Expenses     16,570       34,600       92,059       6,969    
Net Investment Income (Loss)     52,788       118,020       289,543       26,908    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —    
Futures contracts     —       —       —       —    
Swap agreements     294,980       10,085,546       29,252,677       1,287,562    
In-kind redemptions     —       —       —       —    
Net realized gain (loss)     294,980       10,085,546       29,252,677       1,287,562    
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       —       —    
Futures contracts     —       —       —       —    
Swap agreements     (2,006,481 )     (13,721,987 )     (84,899,236 )     (1,399,152 )  
Change in net unrealized
appreciation (depreciation)		     (2,006,481 )     (13,721,987 )     (84,899,236 )     (1,399,152 )  
Net realized and unrealized
gain (loss)		     (1,711,501 )     (3,636,441 )     (55,646,559 )     (111,590 )  
Change in Net Assets Resulting
from Operations		   $ (1,658,713 )   $ (3,518,421 )   $ (55,357,016 )   $ (84,682 )  

 

*Commencement of investment operations.

See accompanying notes to the financial statements.


210



ProShares Trust Statements of Changes in Net Assets

For the Periods Indicated

    Ultra QQQ®   Ultra Dow30SM   Ultra S&P500®  
    Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 284,351     $ 327,096     $ 1,563,083     $ 1,104,314     $ 3,327,425     $ 1,844,513    
Net realized gain (loss)     93,295,682       53,836,089       1,172,610       16,711,180       (56,567 )     20,362,657    
Change in net unrealized
appreciation (depreciation)		     (20,167,086 )     22,585,417       (9,989,493 )     9,648,637       (18,352,539 )     25,367,960    
Change in Net Assets Resulting
from Operations		     73,412,947       76,748,602       (7,253,800 )     27,464,131       (15,081,681 )     47,575,130    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (380,775 )     (1,017,808 )     (844,257 )     (1,963,077 )     (1,310,935 )  
Net realized gains     —       (16,735,924 )     —       (5,072,065 )     —       (6,067,371 )  
Total distributions     —       (17,116,699 )     (1,017,808 )     (5,916,322 )     (1,963,077 )     (7,378,306 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     622,872,204       310,933,214       170,703,130       183,697,403       413,056,829       203,382,483    
Cost of shares redeemed     (176,870,096 )     (122,303,684 )     (27,780,772 )     (81,288,750 )     (27,129,789 )     —    
Change in net assets resulting
from capital transactions		     446,002,108       188,629,530       142,922,358       102,408,653       385,927,040       203,382,483    
Change in net assets     519,415,055       248,261,433       134,650,750       123,956,462       368,882,282       243,579,307    
NET ASSETS:  
Beginning of period   $ 248,261,433     $ —     $ 123,956,462     $ —     $ 243,579,307     $ —    
End of period   $ 767,676,488     $ 248,261,433     $ 258,607,212     $ 123,956,462     $ 612,461,589     $ 243,579,307    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 245,084     $ (39,267 )   $ 817,190     $ 271,915     $ 1,908,279     $ 543,931    
SHARE TRANSACTIONS:  
Beginning of period     2,625,001       —       1,275,001       —       2,475,001       —    
Issued     3,900,000       3,900,001       1,275,000       2,325,001       2,625,000       2,475,001    
Issued in-kind     2,475,000       150,000       600,000       —       2,100,000       —    
Redeemed     (150,000 )     —       —       (600,000 )     —       —    
Redemption in-kind     (1,575,000 )     (1,425,000 )     (300,000 )     (450,000 )     (300,000 )     —    
Shares outstanding, end of period     7,275,001       2,625,001       2,850,001       1,275,001       6,900,001       2,475,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


211


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Ultra MidCap400   Ultra SmallCap600   Ultra Russell2000  
    Six Months
Ended
November 30,
2007
(Unaudited)		   June 19,
2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 23,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 23,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 431,316     $ 644,922     $ 36,068     $ 43,031     $ 246,919     $ 110,770    
Net realized gain (loss)     1,375,942       13,459,706       (858,238 )     1,553,868       377,864       2,614,889    
Change in net unrealized
appreciation (depreciation)		     (15,958,446 )     11,797,176       (1,826,231 )     915,162       (7,006,883 )     1,839,592    
Change in Net Assets Resulting
from Operations		     (14,151,188 )     25,901,804       (2,648,401 )     2,512,061       (6,382,100 )     4,565,251    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (351,219 )     (539,508 )     (69,705 )     —       (241,443 )     —    
Net realized gains     —       (2,654,711 )     —       —       —       —    
Total distributions     (351,219 )     (3,194,219 )     (69,705 )     —       (241,443 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     26,339,125       93,441,635       —       15,754,165       72,652,806       36,426,312    
Cost of shares redeemed     (34,040,023 )     (12,163,500 )     —       (5,873,250 )     (25,894,759 )     (11,076,000 )  
Change in net assets resulting
from capital transactions		     (7,700,898 )     81,278,135       —       9,880,915       46,758,047       25,350,312    
Change in net assets     (22,203,305 )     103,985,720       (2,718,106 )     12,392,976       40,134,504       29,915,563    
NET ASSETS:  
Beginning of period   $ 103,985,720     $ —     $ 12,392,976     $ —     $ 29,915,563     $ —    
End of period   $ 81,782,415     $ 103,985,720     $ 9,674,870     $ 12,392,976     $ 70,050,067     $ 29,915,563    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 197,796     $ 117,699     $ 9,394     $ 43,031     $ 116,246     $ 110,770    
SHARE TRANSACTIONS:  
Beginning of period     1,050,001       —       150,001       —       375,001       —    
Issued     300,000       1,200,001       —       225,001       900,000       525,001    
Issued in-kind     —       —       —       —       225,000       —    
Redeemed     —       —       —       —       —       —    
Redemption in-kind     (375,000 )     (150,000 )     —       (75,000 )     (375,000 )     (150,000 )  
Shares outstanding, end of period     975,001       1,050,001       150,001       150,001       1,125,001       375,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


212


    Ultra Russell1000 Value   Ultra Russell1000 Growth   Ultra Russell MidCap Value  
    Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 94,665     $ 60,566     $ 78,795     $ 30,134     $ 72,985     $ 59,116    
Net realized gain (loss)     (1,017,587 )     334,139       773,877       256,806       (1,356,328 )     197,965    
Change in net unrealized
appreciation (depreciation)		     (1,154,164 )     497,319       (861,446 )     580,729       (1,459,152 )     489,519    
Change in Net Assets Resulting
from Operations		     (2,077,086 )     892,024       (8,774 )     867,669       (2,742,495 )     746,600    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (114,742 )     —       (59,572 )     —       (106,697 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (114,742 )     —       (59,572 )     —       (106,697 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       10,502,380       11,259,539       10,502,380       —       10,502,380    
Cost of shares redeemed     —       —       —       —       —       —    
Change in net assets resulting
from capital transactions		     —       10,502,380       11,259,539       10,502,380       —       10,502,380    
Change in net assets     (2,191,828 )     11,394,404       11,191,193       11,370,049       (2,849,192 )     11,248,980    
NET ASSETS:  
Beginning of period   $ 11,394,404     $ —     $ 11,370,049     $ —     $ 11,248,980     $ —    
End of period   $ 9,202,576     $ 11,394,404     $ 22,561,242     $ 11,370,049     $ 8,399,788     $ 11,248,980    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 40,489     $ 60,566     $ 49,357     $ 30,134     $ 25,404     $ 59,116    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       150,001       —       150,001       —    
Issued     —       150,001       150,000       150,001       —       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       —       —       —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     150,001       150,001       300,001       150,001       150,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


213


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Ultra Russell MidCap Growth   Ultra Russell2000 Value   Ultra Russell2000 Growth  
    Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 24,203     $ 20,137     $ 79,891     $ 53,757     $ 21,506     $ 10,014    
Net realized gain (loss)     425,241       234,322       (1,745,511 )     (148,590 )     (51,567 )     97,140    
Change in net unrealized
appreciation (depreciation)		     (1,110,311 )     684,363       (1,577,257 )     211,170       (1,211,642 )     499,755    
Change in Net Assets Resulting
from Operations		     (660,867 )     938,822       (3,242,877 )     116,337       (1,241,703 )     606,909    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (30,686 )     —       (101,454 )     —       (28,383 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (30,686 )     —       (101,454 )     —       (28,383 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     5,002,816       10,502,380       —       10,502,380       —       10,502,380    
Cost of shares redeemed     —       —       —       —       —       —    
Change in net assets resulting
from capital transactions		     5,002,816       10,502,380       —       10,502,380       —       10,502,380    
Change in net assets     4,311,263       11,441,202       (3,344,331 )     10,618,717       (1,270,086 )     11,109,289    
NET ASSETS:  
Beginning of period   $ 11,441,202     $ —     $ 10,618,717     $ —     $ 11,109,289     $ —    
End of period   $ 15,752,465     $ 11,441,202     $ 7,274,386     $ 10,618,717     $ 9,839,203     $ 11,109,289    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 13,654     $ 20,137     $ 32,194     $ 53,757     $ 3,137     $ 10,014    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       150,001       —       150,001       —    
Issued     75,000       150,001       —       150,001       —       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       —       —       —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     225,001       150,001       150,001       150,001       150,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


214


    Ultra Basic Materials   Ultra Consumer Goods   Ultra Consumer Services  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 116,329     $ 74,800     $ 67,682     $ 65,268     $ 15,975     $ 22,379    
Net realized gain (loss)     3,734,727       1,444,802       6,170       394,709       (619,135 )     81,631    
Change in net unrealized
appreciation (depreciation)		     (1,695,803 )     1,670,164       (158,474 )     544,792       (563,657 )     210,132    
Change in Net Assets Resulting
from Operations		     2,155,253       3,189,766       (84,622 )     1,004,769       (1,166,817 )     314,142    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (125,876 )     —       (121,301 )     —       (29,898 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (125,876 )     —       (121,301 )     —       (29,898 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     5,222,444       10,502,380       598       10,502,380       —       10,503,531    
Cost of shares redeemed     (6,510,822 )     —       (5,464,148 )     —       —       (5,315,984 )  
Change in net assets resulting
from capital transactions		     (1,288,378 )     10,502,380       (5,463,550 )     10,502,380       —       5,187,547    
Change in net assets     740,999       13,692,146       (5,669,473 )     11,507,149       (1,196,715 )     5,501,689    
NET ASSETS:  
Beginning of period   $ 13,692,146     $ —     $ 11,507,149     $ —     $ 5,501,689     $ —    
End of period   $ 14,433,145     $ 13,692,146     $ 5,837,676     $ 11,507,149     $ 4,304,974     $ 5,501,689    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 65,253     $ 74,800     $ 11,649     $ 65,268     $ 8,456     $ 22,379    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       150,001       —       75,001       —    
Issued     75,000       150,001       —       150,001       —       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       —       —       (75,000 )  
Redemption in-kind     (75,000 )     —       (75,000 )     —       —       —    
Shares outstanding, end of period     150,001       150,001       75,001       150,001       75,001       75,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


215


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Ultra Financials   Ultra Health Care   Ultra Industrials  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 532,120     $ 98,367     $ 52,852     $ 77,897     $ 41,282     $ 47,610    
Net realized gain (loss)     (7,310,029 )     (547,511 )     (435,538 )     559,497       (55,011 )     1,569,108    
Change in net unrealized
appreciation (depreciation)		     (1,578,267 )     236,939       249,305       557,868       (912,682 )     584,344    
Change in Net Assets Resulting
from Operations		     (8,356,176 )     (212,205 )     (133,381 )     1,195,262       (926,411 )     2,201,062    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (267,133 )     —       (108,065 )     —       (63,653 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (267,133 )     —       (108,065 )     —       (63,653 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     151,181,015       15,754,563       —       10,502,380       6,763,563       10,503,062    
Cost of shares redeemed     (3,485,065 )     (4,757,250 )     —       —       —       (6,184,883 )  
Change in net assets resulting
from capital transactions		     147,695,950       10,997,313       —       10,502,380       6,763,563       4,318,179    
Change in net assets     139,072,641       10,785,108       (241,446 )     11,697,642       5,773,499       6,519,241    
NET ASSETS:  
Beginning of period   $ 10,785,108     $ —     $ 11,697,642     $ —     $ 6,519,241     $ —    
End of period   $ 149,857,749     $ 10,785,108     $ 11,456,196     $ 11,697,642     $ 12,292,740     $ 6,519,241    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 363,354     $ 98,367     $ 22,684     $ 77,897     $ 25,239     $ 47,610    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       150,001       —       75,001       —    
Issued     2,850,000       225,001       —       150,001       75,000       150,001    
Issued in-kind     300,000       —       —       —       —       —    
Redeemed     —       (75,000 )     —       —       —       —    
Redemption in-kind     (75,000 )     —       —       —       —       (75,000 )  
Shares outstanding, end of period     3,225,001       150,001       150,001       150,001       150,001       75,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


216


    Ultra Oil & Gas   Ultra Real Estate   Ultra Semiconductors  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		  
January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 747,477     $ 95,881     $ 142,947     $ 102,961     $ 73,156     $ 42,308    
Net realized gain (loss)     8,287,363       4,119,050       (1,856,670 )     (2,964,478 )     (1,184,682 )     542,464    
Change in net unrealized
appreciation (depreciation)		     (3,702,773 )     1,885,580       (1,508,370 )     (36,201 )     (2,466,829 )     688,039    
Change in Net Assets Resulting
from Operations		     5,332,067       6,100,511       (3,222,093 )     (2,897,718 )     (3,578,355 )     1,272,811    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (239,097 )     —       (148,970 )     —       (70,604 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (239,097 )     —       (148,970 )     —       (70,604 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     37,415,020       35,008,700       16,319,245       21,007,670       30,463,369       10,502,380    
Cost of shares redeemed     (9,010,710 )     (12,627,750 )     —       (13,473,662 )     (5,588,635 )     —    
Change in net assets resulting
from capital transactions		     28,404,310       22,380,950       16,319,245       7,534,008       24,874,734       10,502,380    
Change in net assets     33,497,280       28,481,461       12,948,182       4,636,290       21,225,775       11,775,191    
NET ASSETS:  
Beginning of period   $ 28,481,461     $ —     $ 4,636,290     $ —     $ 11,775,191     $ —    
End of period   $ 61,978,741     $ 28,481,461     $ 17,584,472     $ 4,636,290     $ 33,000,966     $ 11,775,191    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 604,261     $ 95,881     $ 96,938     $ 102,961     $ 44,860     $ 42,308    
SHARE TRANSACTIONS:  
Beginning of period     300,001       —       75,001       —       150,001       —    
Issued     75,000       300,001       375,000       300,001       —       150,001    
Issued in-kind     300,000       150,000       —       —       375,000       —    
Redeemed     —       —       —       (225,000 )     —       —    
Redemption in-kind     (75,000 )     (150,000 )     —       —       (75,000 )     —    
Shares outstanding, end of period     600,001       300,001       450,001       75,001       450,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


217


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Ultra Technology   Ultra Utilities   Short QQQ®  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   June 19,
2006*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 67,113     $ 20,794     $ 136,432     $ 110,286     $ 1,649,720     $ 3,870,039    
Net realized gain (loss)     3,904,041       627,576       88,730       1,407,864       (11,645,274 )     (21,193,093 )  
Change in net unrealized
appreciation (depreciation)		     (6,078,110 )     406,028       (364,654 )     1,520,528       4,808,454       (1,386,954 )  
Change in Net Assets Resulting
from Operations		     (2,106,956 )     1,054,398       (139,492 )     3,038,678       (5,187,100 )     (18,710,008 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (41,798 )     —       (191,956 )     —       (2,058,277 )     (2,541,079 )  
Net realized gains     —       —       —       —       —       —    
Total distributions     (41,798 )     —       (191,956 )     —       (2,058,277 )     (2,541,079 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     57,554,069       10,503,610       —       10,502,380       244,935,757       229,163,471    
Cost of shares redeemed     —       (5,705,625 )     —       —       (261,428,794 )     (115,950,000 )  
Change in net assets resulting
from capital transactions		     57,554,069       4,797,985       —       10,502,380       (16,493,037 )     113,213,471    
Change in net assets     55,405,315       5,852,383       (331,448 )     13,541,058       (23,738,414 )     91,962,384    
NET ASSETS:  
Beginning of period   $ 5,852,383     $ —     $ 13,541,058     $ —     $ 91,962,384     $ —    
End of period   $ 61,257,698     $ 5,852,383     $ 13,209,610     $ 13,541,058     $ 68,223,970     $ 91,962,384    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 46,109     $ 20,794     $ 54,762     $ 110,286     $ 436,601     $ 845,158    
SHARE TRANSACTIONS:  
Beginning of period     75,001       —       150,001       —       1,575,001       —    
Issued     675,000       150,001       —       150,001       4,350,000       3,375,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (75,000 )     —       —       (4,650,000 )     (1,800,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     750,001       75,001       150,001       150,001       1,275,001       1,575,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


218


    Short Dow30SM   Short S&P500®   Short MidCap400  
    Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   June 19, 2006*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 2,504,073     $ 2,658,389     $ 4,114,721     $ 4,623,209     $ 1,631,500     $ 4,211,231    
Net realized gain (loss)     (1,122,499 )     (12,983,474 )     (2,239,461 )     (21,085,714 )     2,542,310       (19,946,528 )  
Change in net unrealized
appreciation (depreciation)		     3,480,545       (1,006,787 )     5,183,074       (1,620,404 )     3,483,037       (1,858,782 )  
Change in Net Assets Resulting
from Operations		     4,862,119       (11,331,872 )     7,058,334       (18,082,909 )     7,656,847       (17,594,079 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (2,408,495 )     (1,877,899 )     (4,158,476 )     (3,260,155 )     (2,173,012 )     (3,330,179 )  
Net realized gains     —       —       —       —       —       —    
Total distributions     (2,408,495 )     (1,877,899 )     (4,158,476 )     (3,260,155 )     (2,173,012 )     (3,330,179 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     168,163,415       144,817,204       275,771,135       244,227,855       8,499,587       229,927,225    
Cost of shares redeemed     (168,490,688 )     (4,908,750 )     (232,455,699 )     (37,430,250 )     (75,294,786 )     (98,112,750 )  
Change in net assets resulting
from capital transactions		     (327,273 )     139,908,454       43,315,436       206,797,605       (66,795,199 )     131,814,475    
Change in net assets     2,126,351       126,698,683       46,215,294       185,454,541       (61,311,364 )     110,890,217    
NET ASSETS:  
Beginning of period   $ 126,698,683     $ —     $ 185,554,541     $ 100,000     $ 110,890,217     $ —    
End of period   $ 128,825,034     $ 126,698,683     $ 231,769,835     $ 185,554,541     $ 49,578,853     $ 110,890,217    
Accumulated undistributed
net investment income (loss)  
included in end of period  
net assets		   $ 884,422     $ 788,844     $ 1,339,243     $ 1,382,998     $ 357,341     $ 898,853    
SHARE TRANSACTIONS:  
Beginning of period     2,175,001       —       3,151,429       1,428       1,950,001       —    
Issued     2,850,000       2,250,001       4,500,000       3,750,001       150,000       3,450,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (2,850,000 )     (75,000 )     (3,825,000 )     (600,000 )     (1,275,000 )     (1,500,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     2,175,001       2,175,001       3,826,429       3,151,429       825,001       1,950,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


219


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Short SmallCap600   Short Russell2000   UltraShort QQQ®  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 23,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 23,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   July 11,
2006*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 205,871     $ 158,070     $ 671,187     $ 182,103     $ 36,497,398     $ 31,562,224    
Net realized gain (loss)     1,114,422       (784,618 )     3,188,459       (689,446 )     (353,718,860 )     (291,141,983 )  
Change in net unrealized
appreciation (depreciation)		     (151,026 )     (111,773 )     (497,950 )     (265,772 )     139,354,122       (67,103,700 )  
Change in Net Assets Resulting
from Operations		     1,169,267       (738,321 )     3,361,696       (773,115 )     (177,867,340 )     (326,683,459 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (288,794 )     —       (592,768 )     —       (40,771,562 )     (16,494,853 )  
Net realized gains     —       —       —       —       —       —    
Total distributions     (288,794 )     —       (592,768 )     —       (40,771,562 )     (16,494,853 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       10,501,225       26,138,473       25,595,128       2,340,837,896       2,830,563,857    
Cost of shares redeemed     —       —       (10,364,327 )     —       (3,049,878,974 )     (172,098,625 )  
Change in net assets resulting
from capital transactions		     —       10,501,225       15,774,146       25,595,128       (709,041,078 )     2,658,465,232    
Change in net assets     880,473       9,762,904       18,543,074       24,822,013       (927,679,980 )     2,315,286,920    
NET ASSETS:  
Beginning of period   $ 9,762,904     $ —     $ 24,822,013     $ —     $ 2,315,286,920     $ —    
End of period   $ 10,643,377     $ 9,762,904     $ 43,365,087     $ 24,822,013     $ 1,387,606,940     $ 2,315,286,920    
Accumulated undistributed
net investment income (loss)  
included in end of period  
net assets		   $ 75,147     $ 158,070     $ 260,522     $ 182,103     $ 10,813,624     $ 15,087,788    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       375,001       —       50,100,001       —    
Issued     —       150,001       375,000       375,001       56,850,000       53,400,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       (150,000 )     —       (70,725,000 )     (3,300,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     150,001       150,001       600,001       375,001       36,225,001       50,100,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


220


    UltraShort Dow30SM   UltraShort S&P500®   UltraShort MidCap400  
    Six Months
Ended
November 30,
2007
(Unaudited)		   July 11, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   July 11, 2006*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   July 11, 2006*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 10,553,627     $ 6,463,791     $ 29,082,299     $ 14,507,397     $ 3,917,815     $ 4,329,134    
Net realized gain (loss)     35,789,632       (65,174,469 )     (69,276,301 )     (140,662,758 )     17,132,238       (49,688,535 )  
Change in net unrealized
appreciation (depreciation)		     (14,001,601 )     (8,826,386 )     93,632,747       (15,675,256 )     8,946,121       (6,261,104 )  
Change in Net Assets Resulting
from Operations		     32,341,658       (67,537,064 )     53,438,745       (141,830,617 )     29,996,174       (51,620,505 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (9,841,316 )     (3,472,997 )     (23,384,376 )     (8,038,350 )     (4,067,909 )     (2,841,797 )  
Net realized gains     —       —       —       —       —       —    
Total distributions     (9,841,316 )     (3,472,997 )     (23,384,376 )     (8,038,350 )     (4,067,909 )     (2,841,797 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,118,786,107       695,292,803       2,646,230,578       1,167,757,699       76,187,833       273,577,397    
Cost of shares redeemed     (1,294,139,994 )     (48,998,024 )     (1,918,189,453 )     (75,952,622 )     (113,627,425 )     (30,372,750 )  
Change in net assets resulting
from capital transactions		     (175,353,887 )     646,294,779       728,041,125       1,091,805,077       (37,439,592 )     243,204,647    
Change in net assets     (152,853,545 )     575,284,718       758,095,494       941,936,110       (11,511,327 )     188,742,345    
NET ASSETS:  
Beginning of period   $ 575,284,718     $ —     $ 941,936,110     $ —     $ 188,742,345     $ —    
End of period   $ 422,431,173     $ 575,284,718     $ 1,700,031,604     $ 941,936,110     $ 177,231,018     $ 188,742,345    
Accumulated undistributed
net investment income (loss)  
included in end of period  
net assets		   $ 3,709,993     $ 2,997,682     $ 12,181,208     $ 6,483,285     $ 1,348,428     $ 1,498,522    
SHARE TRANSACTIONS:  
Beginning of period     11,775,001       —       18,450,001       —       3,825,001       —    
Issued     22,200,000       12,750,001       49,350,000       19,800,001       1,425,000       4,350,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (25,500,000 )     (975,000 )     (36,000,000 )     (1,350,000 )     (2,025,000 )     (525,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     8,475,001       11,775,001       31,800,001       18,450,001       3,225,001       3,825,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


221


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    UltraShort SmallCap600   UltraShort Russell2000   UltraShort Russell1000 Value  
    Six Months
Ended
November 30,
2007
(Unaudited)		  
January 23,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		  
January 23,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		  
February 20,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 762,683     $ 262,884     $ 8,924,510     $ 1,333,557     $ 118,509     $ 85,140    
Net realized gain (loss)     7,068,802       (3,160,827 )     (596,795 )     (17,329,352 )     1,680,635       (242,944 )  
Change in net unrealized
appreciation (depreciation)		     (1,740,812 )     (511,801 )     56,122,116       (4,838,194 )     (1,107,517 )     (65,340 )  
Change in Net Assets Resulting
from Operations		     6,090,673       (3,409,744 )     64,449,831       (20,833,989 )     691,627       (223,144 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (706,605 )     —       (5,884,255 )     —       (154,274 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (706,605 )     —       (5,884,255 )     —       (154,274 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     34,547,335       30,422,327       676,445,075       236,259,274       5,752,049       10,503,572    
Cost of shares redeemed     (9,835,257 )     (4,838,268 )     (274,881,994 )     (4,964,250 )     —       (5,414,250 )  
Change in net assets resulting
from capital transactions		     24,712,078       25,584,059       401,563,081       231,295,024       5,752,049       5,089,322    
Change in net assets     30,096,146       22,174,315       460,128,657       210,461,035       6,289,402       4,866,178    
NET ASSETS:  
Beginning of period   $ 22,174,315     $ —     $ 210,461,035     $ —     $ 4,866,178     $ —    
End of period   $ 52,270,461     $ 22,174,315     $ 670,589,692     $ 210,461,035     $ 11,155,580     $ 4,866,178    
Accumulated undistributed
net investment income (loss)  
included in end of period  
net assets		   $ 318,962     $ 262,884     $ 4,373,812     $ 1,333,557     $ 49,375     $ 85,140    
SHARE TRANSACTIONS:  
Beginning of period     375,001       —       3,450,001       —       75,001       —    
Issued     525,000       450,001       9,975,000       3,525,001       75,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (150,000 )     (75,000 )     (3,975,000 )     (75,000 )     —       (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     750,001       375,001       9,450,001       3,450,001       150,001       75,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


222


    UltraShort
Russell1000 Growth		   UltraShort
Russell MidCap Value		   UltraShort
Russell MidCap Growth		  
    Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 171,993     $ 85,517     $ 114,841     $ 86,987     $ 107,425     $ 123,370    
Net realized gain (loss)     450,125       (117,565 )     831,417       (130,251 )     943,511       (563,923 )  
Change in net unrealized
appreciation (depreciation)		     (1,477,866 )     (115,243 )     401,757       (109,190 )     (365,287 )     (157,731 )  
Change in Net Assets Resulting
from Operations		     (855,748 )     (147,291 )     1,348,015       (152,454 )     685,649       (598,284 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (163,998 )     —       (159,558 )     —       (194,720 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (163,998 )     —       (159,558 )     —       (194,720 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     14,742,196       10,503,581       —       10,503,571       4,580,158       10,503,509    
Cost of shares redeemed     —       (5,475,750 )     —       (5,420,250 )     (5,037,033 )     (5,074,585 )  
Change in net assets resulting
from capital transactions		     14,742,196       5,027,831       —       5,083,321       (456,875 )     5,428,924    
Change in net assets     13,722,450       4,880,540       1,188,457       4,930,867       34,054       4,830,640    
NET ASSETS:  
Beginning of period   $ 4,880,540     $ —     $ 4,930,867     $ —     $ 4,830,640     $ —    
End of period   $ 18,602,990     $ 4,880,540     $ 6,119,324     $ 4,930,867     $ 4,864,694     $ 4,830,640    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 93,512     $ 85,517     $ 42,270     $ 86,987     $ 36,075     $ 123,370    
SHARE TRANSACTIONS:  
Beginning of period     75,001       —       75,001       —       75,001       —    
Issued     225,000       150,001       —       150,001       75,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (75,000 )     —       (75,000 )     (75,000 )     (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     300,001       75,001       75,001       75,001       75,001       75,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


223


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    UltraShort
Russell2000 Value		   UltraShort
Russell2000 Growth		   UltraShort
Basic Materials		  
    Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   February 20,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 422,075     $ 112,920     $ 447,060     $ 163,296     $ 517,962     $ 143,745    
Net realized gain (loss)     3,775,986       (110,085 )     3,112,310       (1,039,903 )     (3,417,410 )     (2,392,535 )  
Change in net unrealized
appreciation (depreciation)		     (435,356 )     (105,863 )     (1,283,515 )     (388,507 )     (8,355,841 )     (292,201 )  
Change in Net Assets Resulting
from Operations		     3,762,705       (103,028 )     2,275,855       (1,265,114 )     (11,255,289 )     (2,540,991 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (284,760 )     —       (433,580 )     —       (345,714 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (284,760 )     —       (433,580 )     —       (345,714 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     44,116,524       15,887,975       14,331,524       21,368,447       97,628,324       10,502,380    
Cost of shares redeemed     (5,919,687 )     (10,635,340 )     (5,481,603 )     (5,353,500 )     (18,093,156 )     —    
Change in net assets resulting
from capital transactions		     38,196,837       5,252,635       8,849,921       16,014,947       79,535,168       10,502,380    
Change in net assets     41,674,782       5,149,607       10,692,196       14,749,833       67,934,165       7,961,389    
NET ASSETS:  
Beginning of period   $ 5,149,607     $ —     $ 14,749,833     $ —     $ 7,961,389     $ —    
End of period   $ 46,824,389     $ 5,149,607     $ 25,442,029     $ 14,749,833     $ 75,895,554     $ 7,961,389    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 250,235     $ 112,920     $ 176,776     $ 163,296     $ 315,993     $ 143,745    
SHARE TRANSACTIONS:  
Beginning of period     75,001       —       225,001       —       150,001       —    
Issued     525,000       225,001       225,000       300,001       1,875,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (75,000 )     (150,000 )     (75,000 )     (75,000 )     (300,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     525,001       75,001       375,001       225,001       1,725,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


224


    UltraShort
Consumer Goods		   UltraShort
Consumer Services		   UltraShort Financials  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 239,406     $ 152,722     $ 211,240     $ 148,550     $ 9,536,730     $ 601,247    
Net realized gain (loss)     (546,910 )     (839,001 )     1,570,946       (282,844 )     74,227,495       (4,804,620 )  
Change in net unrealized
appreciation (depreciation)		     (554,835 )     (105,459 )     240,584       (88,074 )     (11,283,153 )     (647,931 )  
Change in Net Assets Resulting
from Operations		     (862,339 )     (791,738 )     2,022,770       (222,368 )     72,481,072       (4,851,304 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (285,484 )     —       (223,979 )     —       (4,512,539 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (285,484 )     —       (223,979 )     —       (4,512,539 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     14,424,433       10,502,380       23,524,101       10,503,547       1,140,893,155       61,064,378    
Cost of shares redeemed     —       —       —       (5,220,371 )     (294,904,399 )     —    
Change in net assets resulting
from capital transactions		     14,424,433       10,502,380       23,524,101       5,283,176       845,988,756       61,064,378    
Change in net assets     13,276,610       9,710,642       25,322,892       5,060,808       913,957,289       56,213,074    
NET ASSETS:  
Beginning of period   $ 9,710,642     $ —     $ 5,060,808     $ —     $ 56,213,074     $ —    
End of period   $ 22,987,252     $ 9,710,642     $ 30,383,700     $ 5,060,808     $ 970,170,363     $ 56,213,074    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 106,644     $ 152,722     $ 135,811     $ 148,550     $ 5,625,438     $ 601,247    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       75,001       —       825,001       —    
Issued     225,000       150,001       300,000       150,001       12,975,000       825,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       (75,000 )     (3,225,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     375,001       150,001       375,001       75,001       10,575,001       825,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


225


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    UltraShort Health Care   UltraShort Industrials   UltraShort Oil & Gas  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 208,789     $ 153,333     $ 146,943     $ 141,698     $ 1,804,561     $ 279,435    
Net realized gain (loss)     404,145       (1,078,266 )     228,155       (1,756,526 )     16,568,987       (5,196,575 )  
Change in net unrealized
appreciation (depreciation)		     (459,068 )     (13,147 )     (579,928 )     (130,615 )     (17,452,127 )     (760,555 )  
Change in Net Assets Resulting
from Operations		     153,866       (938,080 )     (204,830 )     (1,745,443 )     921,421       (5,677,695 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (288,641 )     —       (166,136 )     —       (876,498 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (288,641 )     —       (166,136 )     —       (876,498 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       10,502,380       17,185,830       10,503,365       305,037,964       40,669,373    
Cost of shares redeemed     —       —       —       (4,489,038 )     (27,350,727 )     (4,396,500 )  
Change in net assets resulting
from capital transactions		     —       10,502,380       17,185,830       6,014,327       277,687,237       36,272,873    
Change in net assets     (134,775 )     9,564,300       16,814,864       4,268,884       277,732,160       30,595,178    
NET ASSETS:  
Beginning of period   $ 9,564,300     $ —     $ 4,268,884     $ —     $ 30,595,178     $ —    
End of period   $ 9,429,525     $ 9,564,300     $ 21,083,748     $ 4,268,884     $ 308,327,338     $ 30,595,178    
Accumulated undistributed
net investment income (loss)  
included in end of period
net assets		   $ 73,481     $ 153,333     $ 122,505     $ 141,698     $ 1,207,498     $ 279,435    
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       75,001       —       600,001       —    
Issued     —       150,001       300,000       150,001       7,350,000       675,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       (75,000 )     (600,000 )     (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     150,001       150,001       375,001       75,001       7,350,001       600,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


226


    UltraShort Real Estate   UltraShort Semiconductors   UltraShort Technology  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
 2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   Six Months
Ended
November 30,
 2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 7,511,035     $ 755,518     $ 175,234     $ 150,274     $ 111,938     $ 148,460    
Net realized gain (loss)     96,533,388       6,273,453       430,823       (1,286,834 )     74,101       (956,477 )  
Change in net unrealized
appreciation (depreciation)		     (35,488,767 )     (4,581,105 )     (723,215 )     (119,321 )     (395,730 )     (124,669 )  
Change in Net Assets Resulting
from Operations		     68,555,656       2,447,866       (117,158 )     (1,255,881 )     (209,691 )     (932,686 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (4,696,897 )     —       (264,030 )     —       (173,522 )     —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (4,696,897 )     —       (264,030 )     —       (173,522 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     681,688,629       116,498,305       —       10,502,380       12,094,358       10,503,468    
Cost of shares redeemed     (272,404,867 )     (21,117,000 )     —       —       —       (4,843,573 )  
Change in net assets resulting
from capital transactions		     409,283,762       95,381,305       —       10,502,380       12,094,358       5,659,895    
Change in net assets     473,142,521       97,829,171       (381,188 )     9,246,499       11,711,145       4,727,209    
NET ASSETS:  
Beginning of period   $ 97,829,171     $ —     $ 9,246,499     $ —     $ 4,727,209     $ —    
End of period   $ 570,971,692     $ 97,829,171     $ 8,865,311     $ 9,246,499     $ 16,438,354     $ 4,727,209    
Accumulated undistributed
net investment income (loss) 
included in end of period
net assets		   $ 3,569,656     $ 755,518     $ 61,478     $ 150,274     $ 86,876     $ 148,460    
SHARE TRANSACTIONS:  
Beginning of period     1,275,001       —       150,001       —       75,001       —    
Issued     6,825,000       1,575,001       —       150,001       225,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (2,550,000 )     (300,000 )     —       —       —       (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     5,550,001       1,275,001       150,001       150,001       300,001       75,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


227


ProShares Trust Statements of Changes in Net Assets (continued)

For the Periods Indicated

    Ultra
Short Utilities		   Short
MSCI EAFE		   Short
MSCI Emerging
 Markets		   Ultra
Short
 MSCI EAFE		   Ultra Short
MSCI Emerging
Markets		  
    Six Months
Ended
November 30,
2007
(Unaudited)		   January 30,
2007*
through
May 31, 2007		   October 23,
2007* through
November 30,
2007
(Unaudited)		   October 30,
2007* through
November 30,
 2007
(Unaudited)		   October 23,
2007* through
November 30,
 2007
(Unaudited)		   October 30,
2007* through
November 30,
 2007
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 389,729     $ 137,099     $ 47,472     $ 35,275     $ 52,788     $ 118,020    
Net realized gain (loss)     69,084       (2,067,485 )     (152,811 )     1,168,065       294,980       10,085,546    
Change in net unrealized
appreciation (depreciation)		     397,524       (370,317 )     89,800       (1,350,874 )     (2,006,481 )     (13,721,987 )  
Change in Net Assets Resulting
from Operations		     856,337       (2,300,703 )     (15,539 )     (147,534 )     (1,658,713 )     (3,518,421 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (434,651 )     —       —       —       —       —    
Net realized gains     —       —       —       —       —       —    
Total distributions     (434,651 )     —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     13,398,529       18,630,259       15,860,807       16,455,154       33,188,068       80,331,614    
Cost of shares redeemed     (18,675,284 )     —       —       —       —       —    
Change in net assets resulting
from capital transactions		     (5,276,755 )     18,630,259       15,860,807       16,455,154       33,188,068       80,331,614    
Change in net assets     (4,855,069 )     16,329,556       15,845,268       16,307,620       31,529,355       76,813,193    
NET ASSETS:  
Beginning of period   $ 16,329,556     $ —     $ —     $ —     $ —     $ —    
End of period   $ 11,474,487     $ 16,329,556     $ 15,845,268     $ 16,307,620     $ 31,529,355     $ 76,813,193    
Accumulated undistributed
net investment income (loss) 
included in end of period
net assets		   $ 92,177     $ 137,099     $ 47,472     $ 35,275     $ 52,788     $ 118,020    
SHARE TRANSACTIONS:  
Beginning of period     300,001       —       —       —       —       —    
Issued     225,000       300,001       225,001       225,001       450,001       1,050,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (300,000 )     —       —       —       —       —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     225,001       300,001       225,001       225,001       450,001       1,050,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


228


    UltraShort FTSE/
Xinhua China 25		   UltraShort
MSCI Japan		  
    November 6,
2007* through
November 30,
2007
(Unaudited)		   November 6,
2007* through
November 30,
2007
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 289,543     $ 26,908    
Net realized gain (loss)     29,252,677       1,287,562    
Change in net unrealized appreciation (depreciation)     (84,899,236 )     (1,399,152 )  
Change in Net Assets Resulting from Operations     (55,357,016 )     (84,682 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —    
Net realized gains     —       —    
Total distributions     —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     420,510,778       10,502,380    
Cost of shares redeemed     —       —    
Change in net assets resulting from capital transactions     420,510,778       10,502,380    
Change in net assets     365,153,762       10,417,698    
NET ASSETS:  
Beginning of period   $ —     $ —    
End of period   $ 365,153,762     $ 10,417,698    
Accumulated undistributed net investment income (loss) included in end of period net assets   $ 289,543     $ 26,908    
SHARE TRANSACTIONS:  
Beginning of period     —       —    
Issued     5,250,001       150,001    
Issued in-kind     —       —    
Redeemed     —       —    
Redemption in-kind     —       —    
Shares outstanding, end of period     5,250,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

See accompanying notes to the financial statements.


229



ProShares Trust Financial Highlights

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS  
  TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra QQQ®  
Six months ended
November 30, 2007
(Unaudited)		   $ 94.58     $ 0.06     $ 10.88     $ 10.94     $ —     $ —     $ —     $ 105.52       11.57 %     11.35 %  
June 19, 2006*
through
May 31, 2007		     70.00       0.14       29.87       30.01       (0.12 )     (5.31 )     (5.43 )     94.58       43.94       44.14    
Ultra Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		     97.22       0.88       (6.70 )     (5.82 )     (0.66 )     —       (0.66 )     90.74       (6.02 )     (6.13 )  
June 19, 2006*
through
May 31, 2007		     70.00       1.44       32.95       34.39       (1.02 )     (6.15 )     (7.17 )     97.22       50.99       50.91    
Ultra S&P 500®  
Six months ended
November 30, 2007
(Unaudited)		     98.42       0.77       (9.91 )     (9.14 )     (0.52 )     —       (0.52 )     88.76       (9.32 )     (8.93 )  
June 19, 2006*
through
May 31, 2007		     70.00       1.22       31.25       32.47       (0.68 )     (3.37 )     (4.05 )     98.42       47.17       47.28    
Ultra MidCap400  
Six months ended
November 30, 2007
(Unaudited)		     99.03       0.39       (15.25 )     (14.86 )     (0.29 )     —       (0.29 )     83.88       (15.02 )     (15.29 )  
June 19, 2006*
through
May 31, 2007		     70.00       0.91       32.78       33.69       (0.73 )     (3.93 )     (4.66 )     99.03       49.76       50.02    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra QQQ®  
Six months ended
November 30, 2007
(Unaudited)		     1.05 %     0.95 %     0.03 %     0.12 %   $ 767,676       23 %  
June 19, 2006*
through
May 31, 2007		     1.07       0.95       0.05       0.18       248,261       20    
Ultra Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		     1.04       0.95       1.80       1.89       258,607       10    
June 19, 2006*
through
May 31, 2007		     1.22       0.95       1.57       1.84       123,956       81    
Ultra S&P 500®  
Six months ended
November 30, 2007
(Unaudited)		     0.98       0.95       1.64       1.67       612,462       12    
June 19, 2006*
through
May 31, 2007		     1.11       0.95       1.32       1.48       243,579       12    
Ultra MidCap400  
Six months ended
November 30, 2007
(Unaudited)		     1.26       0.95       0.55       0.86       81,782       30    
June 19, 2006*
through
May 31, 2007		     1.34       0.95       0.77       1.16       103,986       28    

 

See accompanying notes to the financial statements.


230


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		   $ 82.62     $ 0.24     $ (17.90 )   $ (17.66 )   $ (0.46 )   $ —     $ (0.46 )   $ 64.50       (21.46 )%     (21.99 )%  
January 23, 2007*
through
May 31, 2007		     70.00       0.22       12.40       12.62       —       —       —       82.62       18.03       18.50    
Ultra Russell2000  
Six months ended
November 30, 2007
(Unaudited)		     79.77       0.37       (17.38 )     (17.01 )     (0.49 )     —       (0.49 )     62.27       (21.41 )     (21.99 )  
January 23, 2007*
through
May 31, 2007		     70.00       0.27       9.50       9.77       —       —       —       79.77       13.96       14.29    
Ultra Russell1000 Value  
Six months ended
November 30, 2007
(Unaudited)		     75.96       0.63       (14.48 )     (13.85 )     (0.76 )     —       (0.76 )     61.35       (18.34 )     (18.29 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.40       5.56       5.96       —       —       —       75.96       8.51       8.04    
Ultra Russell1000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     75.80       0.36       (0.62 )     (0.26 )     (0.34 )     —       (0.34 )     75.20       (0.32 )     (1.23 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.20       5.60       5.80       —       —       —       75.80       8.29       8.43    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		     2.70 %     0.95 %     (1.10 )%     0.65 %   $ 9,675       13 %  
January 23, 2007*
through
May 31, 2007		     2.48       0.95       (0.70 )     0.83       12,393       12    
Ultra Russell2000  
Six months ended
November 30, 2007
(Unaudited)		     1.86       0.95       0.14       1.06       70,050       24    
January 23, 2007*
through
May 31, 2007		     2.50       0.95       (0.49 )     1.06       29,916       14    
Ultra Russell1000 Value  
Six months ended
November 30, 2007
(Unaudited)		     2.48       0.95       0.34       1.86       9,203       26    
February 20, 2007*
through
May 31, 2007		     2.26       0.95       0.81       2.12       11,394       3    
Ultra Russell1000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     2.04       0.95       (0.13 )     0.96       22,561       14    
February 20, 2007*
through
May 31, 2007		     2.30       0.95       (0.28 )     1.06       11,370       2    

 

See accompanying notes to the financial statements.


231


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra Russell MidCap Value  
Six months ended
November 30, 2007
(Unaudited)		   $ 74.99     $ 0.49     $ (18.77 )   $ (18.28 )   $ (0.71 )   $ —     $ (0.71 )   $ 56.00       (24.52 )%     (24.71 )%  
February 20, 2007*
through
May 31, 2007		     70.00       0.39       4.60       4.99       —       —       —       74.99       7.13       6.96    
Ultra Russell MidCap Growth  
Six months ended
November 30, 2007
(Unaudited)		     76.27       0.13       (6.20 )     (6.07 )     (0.19 )     —       (0.19 )     70.01       (7.98 )     (8.43 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.13       6.14       6.27       —       —       —       76.27       8.97       8.91    
Ultra Russell2000 Value  
Six months ended
November 30, 2007
(Unaudited)		     70.79       0.53       (22.14 )     (21.61 )     (0.68 )     —       (0.68 )     48.50       (30.74 )     (30.46 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.36       0.43       0.79       —       —       —       70.79       1.13       0.59    
Ultra Russell2000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     74.06       0.14       (8.42 )     (8.28 )     (0.19 )     —       (0.19 )     65.59       (11.20 )     (10.08 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.07       3.99       4.06       —       —       —       74.06       5.80       4.13    

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra Russell MidCap Value  
Six months ended
November 30, 2007
(Unaudited)		     2.37 %     0.95 %     0.11 %     1.53 %   $ 8,400       41 %  
February 20, 2007*
through
May 31, 2007		     2.21       0.95       0.82       2.07       11,249       3    
Ultra Russell MidCap Growth  
Six months ended
November 30, 2007
(Unaudited)		     2.07       0.95       (0.76 )     0.37       15,752       35    
February 20, 2007*
through
May 31, 2007		     2.23       0.95       (0.57 )     0.71       11,441       2    
Ultra Russell2000 Value  
Six months ended
November 30, 2007
(Unaudited)		     4.06       0.95       (1.30 )     1.81       7,274       43    
February 20, 2007*
through
May 31, 2007		     2.64       0.95       0.27       1.96       10,619       4    
Ultra Russell2000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     3.58       0.95       (2.22 )     0.41       9,839       40    
February 20, 2007*
through
May 31, 2007		     2.60       0.95       (1.29 )     0.36       11,109       5    

 

See accompanying notes to the financial statements.


232


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra Basic Materials  
Six months ended
November 30, 2007
(Unaudited)		   $ 91.28     $ 0.61     $ 5.06     $ 5.67     $ (0.73 )   $ —     $ (0.73 )   $ 96.22       6.29 %     5.40 %  
January 30, 2007*
through
May 31, 2007		     70.00       0.50       20.78       21.28       —       —       —       91.28       30.40       30.59    
Ultra Consumer Goods  
Six months ended
November 30, 2007
(Unaudited)		     76.71       0.69       1.43       2.12       (1.00 )     —       (1.00 )     77.83       2.87       3.26    
January 30, 2007*
through
May 31, 2007		     70.00       0.44       6.27       6.71       —       —       —       76.71       9.59       8.59    
Ultra Consumer Services  
Six months ended
November 30, 2007
(Unaudited)		     73.35       0.21       (15.76 )     (15.55 )     (0.40 )     —       (0.40 )     57.40       (21.29 )     (20.53 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.16       3.19       3.35       —       —       —       73.35       4.80       3.49    
Ultra Financials  
Six months ended
November 30, 2007
(Unaudited)		     71.90       0.66       (25.23 )     (24.57 )     (0.86 )     —       (0.86 )     46.47       (34.49 )     (34.11 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.55       1.35       1.90       —       —       —       71.90       2.71       2.86    

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra Basic Materials  
Six months ended
November 30, 2007
(Unaudited)		     1.42 %     0.95 %     0.86 %     1.33 %   $ 14,433       21 %  
January 30, 2007*
through
May 31, 2007		     1.95       0.95       0.90       1.90       13,692       8    
Ultra Consumer Goods  
Six months ended
November 30, 2007
(Unaudited)		     2.08       0.95       0.75       1.89       5,838       3    
January 30, 2007*
through
May 31, 2007		     2.02       0.95       0.76       1.83       11,507       1    
Ultra Consumer Services  
Six months ended
November 30, 2007
(Unaudited)		     2.79       0.95       (1.17 )     0.66       4,305       7    
January 30, 2007*
through
May 31, 2007		     2.40       0.95       (0.76 )     0.68       5,502       60    
Ultra Financials  
Six months ended
November 30, 2007
(Unaudited)		     1.28       0.95       2.22       2.55       149,858       25    
January 30, 2007*
through
May 31, 2007		     2.28       0.95       1.10       2.43       10,785       46    

 

See accompanying notes to the financial statements.


233


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra Health Care  
Six months ended
November 30, 2007
(Unaudited)		   $ 77.98     $ 0.35     $ (1.24 )   $ (0.89 )   $ (0.72 )   $ —     $ (0.72 )   $ 76.37       (1.08 )%     (1.37 )%  
January 30, 2007*
through
May 31, 2007		     70.00       0.52       7.46       7.98       —       —       —       77.98       11.40       11.53    
Ultra Industrials  
Six months ended
November 30, 2007
(Unaudited)		     86.92       0.44       (4.56 )     (4.12 )     (0.85 )     —       (0.85 )     81.95       (4.77 )     (4.94 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.34       16.58       16.92       —       —       —       86.92       24.17       24.29    
Ultra Oil & Gas  
Six months ended
November 30, 2007
(Unaudited)		     94.94       1.28       7.51       8.79       (0.43 )     —       (0.43 )     103.30       9.27       8.91    
January 30, 2007*
through
May 31, 2007		     70.00       0.36       24.58       24.94       —       —       —       94.94       35.63       36.01    
Ultra Real Estate  
Six months ended
November 30, 2007
(Unaudited)		     61.82       0.56       (22.31 )     (21.75 )     (0.99 )     —       (0.99 )     39.08       (35.47 )     (35.58 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.44       (8.62 )     (8.18 )     —       —       —       61.82       (11.69 )     (11.86 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra Health Care  
Six months ended
November 30, 2007
(Unaudited)		     1.78 %     0.95 %     0.15 %     0.98 %   $ 11,456       6 %  
January 30, 2007*
through
May 31, 2007		     2.00       0.95       1.13       2.17       11,698       2    
Ultra Industrials  
Six months ended
November 30, 2007
(Unaudited)		     2.22       0.95       (0.23 )     1.04       12,293       16    
January 30, 2007*
through
May 31, 2007		     2.12       0.95       0.18       1.35       6,519       1    
Ultra Oil & Gas  
Six months ended
November 30, 2007
(Unaudited)		     1.18       0.95       2.25       2.48       61,979       48    
January 30, 2007*
through
May 31, 2007		     1.62       0.95       0.75       1.42       28,481       18    
Ultra Real Estate  
Six months ended
November 30, 2007
(Unaudited)		     1.59       0.95       1.85       2.49       17,584       44    
January 30, 2007*
through
May 31, 2007		     1.87       0.95       1.09       2.01       4,636       114    

 

See accompanying notes to the financial statements.


234


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Ultra Semiconductors  
Six months ended
November 30, 2007
(Unaudited)		   $ 78.50     $ 0.27     $ (5.06 )   $ (4.79 )   $ (0.37 )   $ —     $ (0.37 )   $ 73.34       (6.16 )%     (6.34 )%  
January 30, 2007*
through
May 31, 2007		     70.00       0.28       8.22       8.50       —       —       —       78.50       12.14       12.34    
Ultra Technology  
Six months ended
November 30, 2007
(Unaudited)		     78.03       0.17       3.80       3.97       (0.32 )     —       (0.32 )     81.68       5.10       4.80    
January 30, 2007*
through
May 31, 2007		     70.00       0.15       7.88       8.03       —       —       —       78.03       11.47       11.37    
Ultra Utilities  
Six months ended
November 30, 2007
(Unaudited)		     90.27       0.91       (1.84 )     (0.93 )     (1.28 )     —       (1.28 )     88.06       (0.86 )     (1.74 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.74       19.53       20.27       —       —       —       90.27       28.96       29.24    
Short QQQ®  
Six months ended
November 30, 2007
(Unaudited)		     58.39       1.15       (4.54 )     (3.39 )     (1.49 )     —       (1.49 )     53.51       (5.90 )     (6.02 )  
June 19, 2006*
through
May 31, 2007		     70.00       2.66       (12.69 )     (10.03 )     (1.58 )     —       (1.58 )     58.39       (14.48 )     (14.39 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Ultra Semiconductors  
Six months ended
November 30, 2007
(Unaudited)		     1.35 %     0.95 %     0.25 %     0.64 %   $ 33,001       33 %  
January 30, 2007*
through
May 31, 2007		     1.94       0.95       0.17       1.16       11,775       3    
Ultra Technology  
Six months ended
November 30, 2007
(Unaudited)		     1.33       0.95       0.02       0.40       61,258       16    
January 30, 2007*
through
May 31, 2007		     2.25       0.95       (0.66 )     0.63       5,852       63    
Ultra Utilities  
Six months ended
November 30, 2007
(Unaudited)		     1.54       0.95       1.66       2.24       13,210       20    
January 30, 2007*
through
May 31, 2007		     1.88       0.95       1.73       2.66       13,541       — (g)  
Short QQQ®  
Six months ended
November 30, 2007
(Unaudited)		     1.16       0.95       3.88       4.09       68,224       —    
June 19, 2006*
through
May 31, 2007		     1.14       0.95       4.20       4.38       91,962       —    

 

See accompanying notes to the financial statements.


235


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Short Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		   $ 58.25     $ 1.18     $ 0.97     $ 2.15     $ (1.17 )   $ —     $ (1.17 )   $ 59.23       3.73 %     3.51 %  
June 19, 2006*
through
May 31, 2007		     70.00       2.63       (12.91 )     (10.28 )     (1.47 )     —       (1.47 )     58.25       (14.83 )     (14.79 )  
Short S&P 500®  
Six months ended
November 30, 2007
(Unaudited)		     58.88       1.19       1.81       3.00       (1.31 )     —       (1.31 )     60.57       5.15       5.01    
June 19, 2006*
through
May 31, 2007		     70.00       2.59       (12.11 )     (9.52 )     (1.60 )     —       (1.60 )     58.88       (13.70 )     (13.60 )  
Short MidCap400  
Six months ended
November 30, 2007
(Unaudited)		     56.87       1.22       3.70       4.92       (1.69 )     —       (1.69 )     60.10       8.76       8.73    
June 19, 2006*
through
May 31, 2007		     70.00       2.65       (13.33 )     (10.68 )     (2.45 )     —       (2.45 )     56.87       (15.54 )     (15.51 )  
Short SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		     65.09       1.37       6.43       7.80       (1.93 )     —       (1.93 )     70.96       12.21       12.19    
January 23, 2007*
through
May 31, 2007		     70.00       1.05       (5.96 )     (4.91 )     —       —       —       65.09       (7.01 )     (6.84 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Short Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		     1.05 %     0.95 %     3.91 %     4.01 %   $ 128,825       — %  
June 19, 2006*
through
May 31, 2007		     1.21       0.95       4.13       4.39       126,699       —    
Short S&P 500®  
Six months ended
November 30, 2007
(Unaudited)		     0.97       0.95       3.93       3.95       231,770       —    
June 19, 2006*
through
May 31, 2007		     1.08       0.95       4.20       4.33       185,555       —    
Short MidCap400  
Six months ended
November 30, 2007
(Unaudited)		     1.07       0.95       4.04       4.15       49,579       —    
June 19, 2006*
through
May 31, 2007		     1.07       0.95       4.24       4.36       110,890       —    
Short SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		     1.40       0.95       3.62       4.07       10,643       —    
January 23, 2007*
through
May 31, 2007		     1.89       0.95       3.49       4.43       9,763       —    

 

See accompanying notes to the financial statements.


236


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Short Russell2000  
Six months ended
November 30, 2007
(Unaudited)		   $ 66.19     $ 1.38     $ 6.02     $ 7.40     $ (1.31 )   $ —     $ (1.31 )   $ 72.28       11.31 %     11.42 %  
January 23, 2007*
through
May 31, 2007		     70.00       1.02       (4.83 )     (3.81 )     —       —       —       66.19       (5.44 )     (5.29 )  
UltraShort QQQ®  
Six months ended
November 30, 2007
(Unaudited)		     46.21       0.89       (7.82 )     (6.93 )     (0.97 )     —       (0.97 )     38.31       (15.19 )     (15.20 )  
July 11, 2006*
through
May 31, 2007		     70.00       1.98       (24.86 )     (22.88 )     (0.91 )     —       (0.91 )     46.21       (32.86 )     (33.01 )  
UltraShort Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		     48.86       1.00       0.86       1.86       (0.88 )     —       (0.88 )     49.84       3.85       3.88    
July 11, 2006*
through
May 31, 2007		     70.00       2.13       (22.17 )     (20.04 )     (1.10 )     —       (1.10 )     48.86       (28.86 )     (28.80 )  
UltraShort S&P500®  
Six months ended
November 30, 2007
(Unaudited)		     51.05       1.05       2.23       3.28       (0.87 )     —       (0.87 )     53.46       6.47       6.37    
July 11, 2006*
through
May 31, 2007		     70.00       2.21       (20.09 )     (17.88 )     (1.07 )     —       (1.07 )     51.05       (25.72 )     (25.76 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Short Russell2000  
Six months ended
November 30, 2007
(Unaudited)		     1.18 %     0.95 %     3.72 %     3.96 %   $ 43,365       — %  
January 23, 2007*
through
May 31, 2007		     1.70       0.95       3.52       4.27       24,822       —    
UltraShort QQQ®  
Six months ended
November 30, 2007
(Unaudited)		     1.02       0.95       4.12       4.19       1,387,607       —    
July 11, 2006*
through
May 31, 2007		     0.98       0.95       4.27       4.30       2,315,287       —    
UltraShort Dow30SM  
Six months ended
November 30, 2007
(Unaudited)		     0.98       0.95       4.03       4.06       422,431       —    
July 11, 2006*
through
May 31, 2007		     1.05       0.95       4.21       4.31       575,285       —    
UltraShort S&P500®  
Six months ended
November 30, 2007
(Unaudited)		     0.91       0.91       3.95       3.95       1,700,032       —    
July 11, 2006*
through
May 31, 2007		     0.96       0.95       4.33       4.35       941,936       —    

 

See accompanying notes to the financial statements.


237


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
UltraShort MidCap400  
Six months ended
November 30, 2007
(Unaudited)		   $ 49.34     $ 1.08     $ 5.69     $ 6.77     $ (1.15 )   $ —     $ (1.15 )   $ 54.96       13.79 %     13.46 %  
July 11, 2006*
through
May 31, 2007		     70.00       2.31       (21.45 )     (19.14 )     (1.52 )     —       (1.52 )     49.34       (27.71 )     (27.83 )  
UltraShort SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		     59.13       1.31       10.61       11.92       (1.36 )     —       (1.36 )     69.69       20.43       20.54    
January 23, 2007*
through
May 31, 2007		     70.00       1.03       (11.90 )     (10.87 )     —       —       —       59.13       (15.53 )     (15.23 )  
UltraShort Russell2000  
Six months ended
November 30, 2007
(Unaudited)		     61.00       1.28       9.64       10.92       (0.96 )     —       (0.96 )     70.96       18.05       18.15    
January 23, 2007*
through
May 31, 2007		     70.00       0.95       (9.95 )     (9.00 )     —       —       —       61.00       (12.86 )     (13.04 )  
UltraShort Russell1000 Value  
Six months ended
November 30, 2007
(Unaudited)		     64.88       1.43       10.12       11.55       (2.06 )     —       (2.06 )     74.37       18.11       18.81    
February 20, 2007*
through
May 31, 2007		     70.00       0.87       (5.99 )     (5.12 )     —       —       —       64.88       (7.31 )     (7.70 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
UltraShort MidCap400  
Six months ended
November 30, 2007
(Unaudited)		     0.98 %     0.95 %     4.03 %     4.06 %   $ 177,231       — %  
July 11, 2006*
through
May 31, 2007		     1.05       0.95       4.29       4.39       188,742       —    
UltraShort SmallCap600  
Six months ended
November 30, 2007
(Unaudited)		     1.14       0.95       3.87       4.06       52,270       —    
January 23, 2007*
through
May 31, 2007		     1.59       0.95       3.87       4.51       22,174       —    
UltraShort Russell2000  
Six months ended
November 30, 2007
(Unaudited)		     1.04       0.95       3.75       3.83       670,590       —    
January 23, 2007*
through
May 31, 2007		     1.08       0.95       4.02       4.15       210,461       —    
UltraShort Russell1000 Value  
Six months ended
November 30, 2007
(Unaudited)		     1.70       0.95       3.28       4.03       11,156       —    
February 20, 2007*
through
May 31, 2007		     2.37       0.95       3.03       4.45       4,866       —    

 

See accompanying notes to the financial statements.


238


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
UltraShort Russell1000 Growth  
Six months ended
November 30, 2007
(Unaudited)		   $ 65.07     $ 1.28     $ (2.59 )   $ (1.31 )   $ (1.75 )   $ —     $ (1.75 )   $ 62.01       (2.16 )%     (1.61 )%  
February 20, 2007*
through
May 31, 2007		     70.00       0.88       (5.81 )     (4.93 )     —       —       —       65.07       (7.04 )     (7.46 )  
UltraShort Russell MidCap Value  
Six months ended
November 30, 2007
(Unaudited)		     65.74       1.53       16.45       17.98       (2.13 )     —       (2.13 )     81.59       27.80       27.77    
February 20, 2007*
through
May 31, 2007		     70.00       0.89       (5.15 )     (4.26 )     —       —       —       65.74       (6.09 )     (5.79 )  
UltraShort Russell MidCap Growth  
Six months ended
November 30, 2007
(Unaudited)		     64.41       1.36       1.69       3.05       (2.60 )     —       (2.60 )     64.86       4.71       4.55    
February 20, 2007*
through
May 31, 2007		     70.00       0.89       (6.48 )     (5.59 )     —       —       —       64.41       (7.99 )     (7.86 )  
UltraShort Russell2000 Value  
Six months ended
November 30, 2007
(Unaudited)		     68.66       1.61       21.02       22.63       (2.10 )     —       (2.10 )     89.19       33.66       33.86    
February 20, 2007*
through
May 31, 2007		     70.00       0.96       (2.30 )     (1.34 )     —       —       —       68.66       (1.91 )     (1.61 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
UltraShort Russell1000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     1.52 %     0.95 %     3.45 %     4.02 %   $ 18,603       — %  
February 20, 2007*
through
May 31, 2007		     2.36       0.95       3.03       4.44       4,881       —    
UltraShort Russell MidCap Value  
Six months ended
November 30, 2007
(Unaudited)		     1.73       0.95       3.31       4.09       6,119       —    
February 20, 2007*
through
May 31, 2007		     2.37       0.95       3.12       4.53       4,931       —    
UltraShort Russell MidCap Growth  
Six months ended
November 30, 2007
(Unaudited)		     1.80       0.95       3.32       4.16       4,865       —    
February 20, 2007*
through
May 31, 2007		     1.99       0.95       3.51       4.55       4,831       —    
UltraShort Russell2000 Value  
Six months ended
November 30, 2007
(Unaudited)		     1.28       0.95       3.59       3.92       46,824       —    
February 20, 2007*
through
May 31, 2007		     2.12       0.95       3.59       4.76       5,150       —    

 

See accompanying notes to the financial statements.


239


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
UltraShort Russell2000 Growth  
Six months ended
November 30, 2007
(Unaudited)		   $ 65.55     $ 1.39     $ 2.58     $ 3.97     $ (1.67 )   $ —     $ (1.67 )   $ 67.85       6.12 %     6.38 %  
February 20, 2007*
through
May 31, 2007		     70.00       0.92       (5.37 )     (4.45 )     —       —       —       65.55       (6.36 )     (6.17 )  
UltraShort Basic Materials  
Six months ended
November 30, 2007
(Unaudited)		     53.08       1.03       (8.77 )     (7.74 )     (1.34 )     —       (1.34 )     44.00       (15.01 )     (14.47 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.96       (17.88 )     (16.92 )     —       —       —       53.08       (24.17 )     (24.54 )  
UltraShort Consumer Goods  
Six months ended
November 30, 2007
(Unaudited)		     64.74       1.30       (3.08 )     (1.78 )     (1.66 )     —       (1.66 )     61.30       (2.95 )     (2.41 )  
January 30, 2007*
through
May 31, 2007		     70.00       1.02       (6.28 )     (5.26 )     —       —       —       64.74       (7.51 )     (7.57 )  
UltraShort Consumer Services  
Six months ended
November 30, 2007
(Unaudited)		     67.48       1.44       14.20       15.64       (2.10 )     —       (2.10 )     81.02       23.58       23.89    
January 30, 2007*
through
May 31, 2007		     70.00       1.06       (3.58 )     (2.52 )     —       —       —       67.48       (3.60 )     (3.70 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
UltraShort Russell2000 Growth  
Six months ended
November 30, 2007
(Unaudited)		     1.29 %     0.95 %     3.83 %     4.17 %   $ 25,442       — %  
February 20, 2007*
through
May 31, 2007		     1.78       0.95       3.84       4.66       14,750       —    
UltraShort Basic Materials  
Six months ended
November 30, 2007
(Unaudited)		     1.21       0.95       4.00       4.25       75,896       —    
January 30, 2007*
through
May 31, 2007		     2.00       0.95       3.64       4.69       7,961       —    
UltraShort Consumer Goods  
Six months ended
November 30, 2007
(Unaudited)		     1.36       0.95       3.57       3.97       22,987       —    
January 30, 2007*
through
May 31, 2007		     1.91       0.95       3.52       4.47       9,711       —    
UltraShort Consumer Services  
Six months ended
November 30, 2007
(Unaudited)		     1.37       0.95       3.31       3.73       30,384       —    
January 30, 2007*
through
May 31, 2007		     1.94       0.95       3.56       4.55       5,601       —    

 

See accompanying notes to the financial statements.


240


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
UltraShort Financials  
Six months ended
November 30, 2007
(Unaudited)		   $ 68.14     $ 1.55     $ 23.26     $ 24.81     $ (1.21 )   $ —     $ (1.21 )   $ 91.74       36.79 %     36.08 %  
January 30, 2007*
through
May 31, 2007		     70.00       1.01       (2.87 )     (1.86 )     —       —       —       68.14       (2.66 )     (2.86 )  
UltraShort Health Care  
Six months ended
November 30, 2007
(Unaudited)		     63.76       1.39       (0.37 )     1.02       (1.92 )     —       (1.92 )     62.86       1.43       1.98    
January 30, 2007*
through
May 31, 2007		     70.00       1.02       (7.26 )     (6.24 )     —       —       —       63.76       (8.91 )     (9.09 )  
UltraShort Industrials  
Six months ended
November 30, 2007
(Unaudited)		     56.92       1.07       (0.12 )     0.95       (1.65 )     —       (1.65 )     56.22       1.70       2.13    
January 30, 2007*
through
May 31, 2007		     70.00       1.00       (14.08 )     (13.08 )     —       —       —       56.92       (18.69 )     (18.64 )  
UltraShort Oil & Gas  
Six months ended
November 30, 2007
(Unaudited)		     50.99       0.79       (9.21 )     (8.42 )     (0.62 )     —       (0.62 )     41.95       (16.62 )     (16.52 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.94       (19.95 )     (19.01 )     —       —       —       50.99       (27.16 )     (27.16 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
UltraShort Financials  
Six months ended
November 30, 2007
(Unaudited)		     0.95 %     0.95 %     3.63 %     3.63 %   $ 970,170       — %  
January 30, 2007*
through
May 31, 2007		     1.30       0.95       3.92       4.27       56,213       —    
UltraShort Health Care  
Six months ended
November 30, 2007
(Unaudited)		     1.41       0.95       3.66       4.12       9,430       —    
January 30, 2007*
through
May 31, 2007		     1.91       0.95       3.53       4.49       9,564       —    
UltraShort Industrials  
Six months ended
November 30, 2007
(Unaudited)		     1.50       0.95       3.26       3.82       21,084       —    
January 30, 2007*
through
May 31, 2007		     2.00       0.95       3.57       4.62       4,269       —    
UltraShort Oil & Gas  
Six months ended
November 30, 2007
(Unaudited)		     1.04       0.95       3.60       3.69       308,327       —    
January 30, 2007*
through
May 31, 2007		     1.59       0.95       3.87       4.51       30,595       —    

 

See accompanying notes to the financial statements.


241


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
UltraShort Real Estate  
Six months ended
November 30, 2007
(Unaudited)		   $ 76.73     $ 1.90     $ 25.49     $ 27.39     $ (1.24 )   $ —     $ (1.24 )   $ 102.88       35.88 %     35.69 %  
January 30, 2007*
through
May 31, 2007		     70.00       1.10       5.63       6.73       —       —       —       76.73       9.61       9.90    
UltraShort Semiconductors  
Six months ended
November 30, 2007
(Unaudited)		     61.64       1.17       (1.95 )     (0.78 )     (1.76 )     —       (1.76 )     59.10       (1.09 )     (0.60 )  
January 30, 2007*
through
May 31, 2007		     70.00       1.00       (9.36 )     (8.36 )     —       —       —       61.64       (11.94 )     (12.16 )  
UltraShort Technology  
Six months ended
November 30, 2007
(Unaudited)		     63.03       1.14       (7.07 )     (5.93 )     (2.31 )     —       (2.31 )     54.79       (9.57 )     (9.41 )  
January 30, 2007*
through
May 31, 2007		     70.00       1.06       (8.03 )     (6.97 )     —       —       —       63.03       (9.96 )     (9.71 )  
UltraShort Utilities  
Six months ended
November 30, 2007
(Unaudited)		     54.43       1.25       (3.08 )     (1.83 )     (1.60 )     —       (1.60 )     51.00       (3.68 )     (3.42 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.88       (16.45 )     (15.57 )     —       —       —       54.43       (22.24 )     (22.39 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
UltraShort Real Estate  
Six months ended
November 30, 2007
(Unaudited)		     0.97 %     0.95 %     3.92 %     3.93 %   $ 570,972       — %  
January 30, 2007*
through
May 31, 2007		     1.24       0.95       4.00       4.29       97,829       —    
UltraShort Semiconductors  
Six months ended
November 30, 2007
(Unaudited)		     1.49       0.95       3.71       4.25       8,865       —    
January 30, 2007*
through
May 31, 2007		     1.94       0.95       3.57       4.55       9,246       —    
UltraShort Technology  
Six months ended
November 30, 2007
(Unaudited)		     1.66       0.95       3.27       3.99       16,438       —    
January 30, 2007*
through
May 31, 2007		     1.95       0.95       3.56       4.55       4,727       —    
UltraShort Utilities  
Six months ended
November 30, 2007
(Unaudited)		     1.27       0.95       3.96       4.28       11,474       —    
January 30, 2007*
through
May 31, 2007		     2.00       0.95       3.44       4.49       16,330       —    

 

See accompanying notes to the financial statements.


242


ProShares Trust Financial Highlights (continued)

FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (b)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (c)		   Market
value (d)		  
Short MSCI EAFE  
October 23, 2007*
through
November 30, 2007
(Unaudited)		   $ 70.00     $ 0.25 (h)   $ 0.17 (h)   $ 0.42     $ —     $ —     $ —     $ 70.42       0.60 %     0.90 %  
Short MSCI Emerging Markets  
October 30, 2007*
through
November 30, 2007
(Unaudited)		     70.00       0.22 (h)     2.26 (h)     2.48       —       —       —       72.48       3.54       3.76    
UltraShort MSCI EAFE  
October 23, 2007*
through
November 30, 2007
(Unaudited)		     70.00       0.23 (h)     (0.16 )(h)     0.07       —       —       —       70.07       0.10       0.49    
UltraShort MSCI Emerging Markets  
October 30, 2007*
through
November 30, 2007
(Unaudited)		     70.00       0.22 (h)     2.94 (h)     3.16       —       —       —       73.16       4.51       5.19    
UltraShort FTSE/Xinhua China 25  
November 6, 2007*
through
November 30, 2007
(Unaudited)		     70.00       0.16 (h)     (0.61 )(h)     (0.45 )     —       —       —       69.55       (0.64 )     0.74    
UltraShort MSCI Japan  
November 6, 2007*
through
November 30, 2007
(Unaudited)		     70.00       0.18 (h)     (0.73 )(h)     (0.55 )     —       —       —       69.45       (0.79 )     (0.67 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (e)   SUPPLEMENTAL
DATA		  
    Expenses
before
expense
reductions		   Expenses
net of
waivers,
if any		   Net
investment
income
(loss)
before
expense
reductions		   Net
investment
income
(loss) net
of waivers,
if any		   Net
assets
end of
period
(000's)		   Portfolio
turnover
rate (b)(f)		  
Short MSCI EAFE  
October 23, 2007*
through
November 30, 2007
(Unaudited)		     2.15 %     0.95 %     2.24 %     3.43 %   $ 15,845       — %  
Short MSCI Emerging Markets  
October 30, 2007*
through
November 30, 2007
(Unaudited)		     2.33       0.95       2.15       3.53       16,308       —    
UltraShort MSCI EAFE  
October 23, 2007*
through
November 30, 2007
(Unaudited)		     1.92       0.95       2.06       3.03       31,529       —    
UltraShort MSCI Emerging Markets  
October 30, 2007*
through
November 30, 2007
(Unaudited)		     1.37       0.95       2.83       3.24       76,813       —    
UltraShort FTSE/Xinhua China 25  
November 6, 2007*
through
November 30, 2007
(Unaudited)		     1.10       0.95       2.85       3.00       365,154       —    
UltraShort MSCI Japan  
November 6, 2007*
through
November 30, 2007
(Unaudited)		     3.25       0.95       1.37       3.67       10,418       —    

 

See accompanying notes to the financial statements.


243



ProShares Trust Notes to Financial Highlights:

*  Commencement of investment operations.

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  Not annualized for periods less than one year.

(c)  Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.

(d)  Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the American Stock Exchange (AMEX). Market value may be greater or less than net asset value, depending on the Fund's closing price on the AMEX.

(e)  Annualized for periods less than one year.

(f)  Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period.

(g)  Less than 0.5%

(h)  The amount shown for a share outstanding throughout the period does not accord with the aggregate net income and/or gain on investments for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

See accompanying notes to the financial statements.


244



ProShares Trust Notes to Financial Statements

November 30, 2007 (Unaudited)

1. Organization

ProShares Trust, a Delaware statutory trust, (the "Trust") was formed on May 29, 2002, and has authorized capital of unlimited shares at no par value. The Trust is comprised of 58 active Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is a "non-diversified" series of the Trust pursuant to the Investment Company Act of 1940 ("1940 Act").

The Funds had no operations prior to June 19, 2006, other than matters relating to their organization and registration and the sale and issuance to ProShares Advisors LLC of 1,428 shares of Short S&P 500® ProShares at an aggregate price of $100,000.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by each Fund in preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles. The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.

Security Valuation

Security prices are generally provided by a third party pricing service. The securities in the portfolio of a Fund, except as otherwise noted, that are listed or traded on a stock exchange or the NASDAQ National Market System, are valued at the closing price, if available, or the last sale price, on the exchange or market where the security is principally traded. If there have been no sales for that day on the exchange or system where the security is principally traded, then the value may be determined with reference to the last sale price, or the closing price, if applicable, on any other exchange or system. If there have been no sales for that day on any exchange or system, a security may be valued at the mean between the closing bid and asked quotes on the exchange or system where the security is principally traded, or at the most recent closing price, if applicable, or at such other price that ProShare Advisors LLC (the "Advisor") deems appropriate in accordance with procedures approved by the Trust's Board of Trustees.

Securities regularly traded in the over-the-counter ("OTC") markets, including securities listed on an exchange but that are primarily traded OTC other than those traded on the NASDAQ Stock Market, are valued on the basis of the mean between the bid and asked quotes based upon quotes furnished by primary market makers for those instruments. Short-term debt securities maturing in sixty days or less are generally valued at amortized cost, which approximates market value.

Debt securities, futures contracts and options on securities, indices and futures contracts are generally valued at their last sale price prior to the time at which the net asset value per share of a Fund is determined. If there was no sale on that day, fair valuation procedures as described below may be applied. Valuation of certain derivatives is performed using procedures approved by the Trust's Board of Trustees.

When the Advisor determines that the price of a security is not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price), it may in good faith establish a fair value for that security in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees.

American Depositary Receipts ("ADRs")

ADRs represent the right to receive securities of foreign issuers deposited in a bank or trust company. ADRs are an alternative to purchasing the underlying securities in their national markets and currencies. Investment in ADRs has certain advantages over direct investment in the underlying foreign securities since: (i) ADRs are U.S. dollar-denominated investments that are easily transferable and for which market quotations are readily available, and (ii) issuers whose securities are represented by ADRs are generally subject to auditing, accounting and financial reporting standards similar to those applied to domestic issuers.


245


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Repurchase Agreements

Under a repurchase agreement, the Fund purchases a debt security and simultaneously agrees to sell the security back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser's holding period. While the maturities of the underlying collateral securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. A Fund will enter into repurchase agreements only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a counterparty to a repurchase agreement will be monitored by the Advisor.

In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. The Funds invest in repurchase agreements jointly, therefore, each Fund holds a pro rata share of the collateral based upon the dollar amount of the repurchase agreements entered into by each Fund. The collateral underlying the repurchase agreement is held by the Fund's custodian. Repurchase agreement risk is the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because: it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may default or declare bankruptcy or the Fund may have difficulty exercising rights to the collateral.

Real Estate Investment Trusts

The Funds may own shares of real estate investment trusts ("REITS") which report information on the source of their distributions annually. Certain distributions received from REITS during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Futures Contracts

The Funds may purchase or sell stock index futures contracts as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements. A futures contract generally obligates the seller to deliver (and the purchaser to take delivery of) the specified commodity on the expiration date of the contract. A stock index futures contract obligates the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount multiplied by the difference between the final settlement price of a specific stock index futures contract and the price at which the agreement is made. The underlying stocks in the index are not physically delivered. Futures contracts may also be closed by entering into an offsetting transaction before final settlement.

Upon entering into a contract, the Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. A portion of the initial margin is segregated cash balances with brokers for futures contracts, as disclosed in the Statement of Assets and Liabilities, and is restricted as to its use. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract.

Swap Agreements

The Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in securities (or shorting securities), or to hedge a position. Index swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a "net basis" with a single payment. Consequently, a Fund's current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the "net amount"). In a "long" swap agreement, the counterparty will generally agree to pay the Fund


246


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. The Fund will agree to pay to the counterparty an amount equal to a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions of trading spreads on the notional amount. Therefore, the return to the Fund on a long swap agreement should be the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Fund on the notional amount. Swap agreements do not involve the delivery of securities or other underlying instruments. The net amount of the excess, if any, of a Fund's obligations over its entitlements with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets, having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by a Fund's custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount plus dividends or interest on the underlying instruments less the interest payable by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swap agreements" and when cash is exchanged, the gain or loss realized is recorded as "realized gains or losses on swap agreements". Swap agreements are collateralized by certain securities of each particular Fund.

The Fund may also enter into swap agreements that provide the opposite return of their benchmark index or security ("short" the index or security). Their operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swap, plus, in certain instances, the Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted with any unrealized gain or loss to determine the value of the swap.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the net asset value of the Fund. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying investments and the inability of counterparties to perform. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will enter into swap agreements only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms which is a party to a swap agreement is monitored by the Advisor.

Distributions

Distributions to shareholders from net investment income and net capital gain, if any, are declared and paid at least annually. The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These tax differences are due to differing treatments of income and gain on various investment securities held by the Funds, timing differences and differing characterizations of distributions made by the Funds.

Taxes

Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.

Effective November 30, 2007, the Funds adopted Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is more-likely-than-not (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense.


247


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Implementation of FIN 48 requires Management of the Funds to analyze all open tax years, as defined by the Statute of Limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by taxing authorities (i.e., the last 4 tax year ends and the interim tax period since then). The Funds have no examinations in progress and none are expected at this time.

As of November 30, 2007, Management of the Funds has reviewed all open tax years and major jurisdictions and concluded the adoption of FIN48 resulted in no impact the Funds' net assets or results of operations. There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also 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 12 months.

The tax character of distributions paid may differ from the character of distributions shown on the Statement of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid for the tax year ended October 31, 2007, were as follows:

Fund   Distributions paid from
ordinary income		   Distributions paid from
net long term capital gains		   Total
distributions		  
ULTRA QQQ®   $ 16,571,347     $ 545,360     $ 17,116,707    
ULTRA Dow30SM     6,783,155       150,978       6,934,133    
ULTRA S&P500®     9,127,884       213,505       9,341,389    
ULTRA MidCap400     3,429,286       116,157       3,545,443    
ULTRA SmallCap 600     69,706       —       69,706    
ULTRA Russell2000     241,443       —       241,443    
ULTRA Russell1000 Value     114,742       —       114,742    
ULTRA Russell1000 Growth     59,572       —       59,572    
ULTRA Russell MidCap Value     106,697       —       106,697    
ULTRA Russell MidCap Growth     30,686       —       30,686    
ULTRA Russell2000 Value     101,455       —       101,455    
ULTRA Russell2000 Growth     28,383       —       28,383    
ULTRA Basic Materials     125,876       —       125,876    
ULTRA Consumer Goods     121,302       —       121,302    
UTLRA Consumer Services     29,898       —       29,898    
ULTRA Financials     267,133       —       267,133    
ULTRA Health Care     108,065       —       108,065    
ULTRA Industrials     63,653       —       63,653    
ULTRA Oil & Gas     239,097       —       239,097    
ULTRA Real Estate     148,970       —       148,970    
ULTRA Semiconductors     70,604       —       70,604    
ULTRA Technology     41,799       —       41,799    
ULTRA Utilities     191,956       —       191,956    
SHORT QQQ®     4,599,356       —       4,599,356    
SHORT Dow30SM     4,286,394       —       4,286,394    
SHORT S&P500®     7,418,631       —       7,418,631    
SHORT MidCap400     5,503,191       —       5,503,191    
SHORT SmallCap600     288,794       —       288,794    
SHORT Russell2000     592,768       —       592,768    
ULTRASHORT QQQ®     57,266,415       —       57,266,415    
ULTRASHORT Dow30SM     13,314,314       —       13,314,314    

 


248


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Distributions paid from
ordinary income		   Distributions paid from
net long term capital gains		   Total
distributions		  
ULTRASHORT S&P500®   $ 31,422,726       —     $ 31,422,726    
ULTRASHORT MidCap400     6,909,701       —       6,909,701    
ULTRASHORT SmallCap600     706,605       —       706,605    
ULTRASHORT Russell2000     5,884,255       —       5,884,255    
ULTRASHORT Russell1000 Value     154,274       —       154,274    
ULTRASHORT Russell1000 Growth     163,998       —       163,998    
ULTRASHORT Russell MidCap Value     159,558       —       159,558    
ULTRASHORT Russell MidCap Growth     194,720       —       194,720    
ULTRASHORT Russell2000 Value     284,761       —       284,761    
ULTRASHORT Russell2000 Growth     433,580       —       433,580    
ULTRASHORT Basic Materials     345,714       —       345,714    
ULTRASHORT Consumer Goods     285,484       —       285,484    
ULTRASHORT Consumer Services     223,979       —       223,979    
ULTRASHORT Financials     4,512,539       —       4,512,539    
ULTRASHORT Health Care     288,641       —       288,641    
ULTRASHORT Industrials     166,136       —       166,136    
ULTRASHORT Oil & Gas     876,498       —       876,498    
ULTRASHORT Real Estate     4,696,897       —       4,696,897    
ULTRASHORT Semiconductors     264,030       —       264,030    
ULTRASHORT Technology     173,522       —       173,522    
ULTRASHORT Utilities     434,651       —       434,651    

 

The amount and character of income and gains to be distributed are determined in accordance with the income tax regulations which may differ from U.S. generally accepted accounting principles. These book/tax differences are either considered temporary or permanent in nature.

Temporary differences are generally due to differing book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions and the timing and the deductibility of certain expenses.

At October 31, 2007, the Funds' tax year end, the components of accumulated earnings (deficit) on a tax basis were as follows:

Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
ULTRA QQQ®   $ 45,645,227     $ 3,631,483       —     $ (9,009,408 )  
ULTRA Dow30SM     10,219,498       334,429       —       (1,649,101 )  
ULTRA S&P500®     23,419,827       1,376,197       —       1,931,075    
ULTRA MidCap400     3,259,681       370,144       —       (5,411,258 )  
ULTRA SmallCap 600     391,286       4,885       —       (934,158 )  
ULTRA Russell2000     1,138,715       30,960       —       (5,795,602 )  
ULTRA Russell1000 Value     16,353       —     $ (130,032 )     (783,261 )  
ULTRA Russell1000 Growth     771,244       —       —       (305,936 )  
ULTRA Russell MidCap Value     530       —       (487,807 )     (1,232,265 )  

 


249


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
ULTRA Russell MidCap Growth   $ 611,477     $ 866       —     $ (458,239 )  
ULTRA Russell2000 Value     811       —     $ (988,098 )     (1,700,651 )  
ULTRA Russell2000 Growth     90,370       1,171       —       (757,531 )  
ULTRA Basic Materials     3,531,715       —       —       (79,226 )  
ULTRA Consumer Goods     42,213       —       —       386,266    
UTLRA Consumer Services     2,298       —       (291,486 )     (371,220 )  
ULTRA Financials     94,638       —       (317,962 )     (2,602,372 )  
ULTRA Health Care     204,503       —       —       801,997    
ULTRA Industrials     509,626       —       —       (377,423 )  
ULTRA Oil & Gas     6,355,854       —       —       (2,581,553 )  
ULTRA Real Estate     52,312       —       (1,156,071 )     (2,103,679 )  
ULTRA Semiconductors     1,651,669       —       —       (2,320,787 )  
ULTRA Technology     1,583,667       —       —       (6,306,834 )  
ULTRA Utilities     967,997       —       —       (1,110,842 )  
SHORT QQQ®     283,546       —       (29,838,281 )     3,421,500    
SHORT Dow30SM     546,982       —       (16,312,932 )     2,473,758    
SHORT S&P500®     788,226       —       (24,643,417 )     3,562,670    
SHORT MidCap400     242,043       —       (17,259,064 )     1,624,255    
SHORT SmallCap600     45,758       —       (608,042 )     (262,799 )  
SHORT Russell2000     —       —       (127,092 )     (763,722 )  
ULTRASHORT QQQ®     6,996,287       —       (603,350,892 )     72,250,422    
ULTRASHORT Dow30SM     2,409,274       —       (91,657,575 )     (22,827,987 )  
ULTRASHORT S&P500®     7,568,604       —       (228,792,720 )     77,957,491    
ULTRASHORT MidCap400     816,996       —       (42,914,424 )     2,685,017    
ULTRASHORT SmallCap600     —       —       (3,494,033 )     (2,252,613 )  
ULTRASHORT Russell2000     —       —       (31,597,502 )     51,283,922    
ULTRASHORT Russell1000 Value     —       —       —       (1,172,857 )  
ULTRASHORT Russell1000 Growth     —       —       (1,004,536 )     (1,593,109 )  
ULTRASHORT Russell MidCap Value     55,796       —       —       292,567    
ULTRASHORT Russell MidCap Growth     —       —       (332,637 )     (523,018 )  
ULTRASHORT Russell2000 Value     35,213       —       —       (541,219 )  
ULTRASHORT Russell2000 Growth     —       —       (1,195,488 )     (1,672,022 )  
ULTRASHORT Basic Materials     113,904       —       (10,983,370 )     (8,648,042 )  
ULTRASHORT Consumer Goods     66,675       —       (1,283,480 )     (660,294 )  
ULTRASHORT Consumer Services     954,416       —       —       152,510    
ULTRASHORT Financials     1,368,822       —       (44,904,963 )     (11,931,084 )  
ULTRASHORT Health Care     46,086       —       (761,500 )     (472,215 )  
ULTRASHORT Industrials     79,814       —       (2,555,682 )     (710,543 )  
ULTRASHORT Oil & Gas     481,821       —       (17,972,815 )     (18,212,682 )  
ULTRASHORT Real Estate     —       —       (11,860,408 )     (40,069,872 )  
ULTRASHORT Semiconductors     45,810       —       (2,425,997 )     (842,536 )  

 


250


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
ULTRASHORT Technology   $ 57,077     $ —       —     $ (520,399 )  
ULTRASHORT Utilities     —       —     $ (866,821 )     27,207    
SHORT MSCI EAFE     8,850       —       —       89,800    
SHORT MSCI Emerging Markets     1,106       —       —       (1,350,874 )  
ULTRASHORT MSCI EAFE     8,881       —       —       (2,006,481 )  
ULTRASHORT MSCI Emerging Markets     1,106       —       —       (13,721,987 )  
ULTRASHORT FTSE/Xinhua China 25     —       —       —       (84,899,236 )  
ULTRASHORT MSCI Japan     —       —       —       (1,399,152 )  

 

For the tax year ended October 31, 2007, the following Funds had available capital loss carryforwards to offset future net capital gains, to the extent provided by regulations, through the indicated expiration date:

Fund   Expiring October 31,
2014		   Expiring October 31,
2015		  
ULTRA Russell1000 Value     —     $ 130,032    
ULTRA Russell MidCap Value     —       487,807    
ULTRA Russell2000 Value     —       988,098    
UTLRA Consumer Services     —       291,486    
ULTRA Financials     —       317,962    
ULTRA Real Estate     —       1,156,071    
SHORT QQQ®   $ 11,785,145       18,053,136    
SHORT Dow30SM     3,884,813       12,428,119    
SHORT S&P500®     7,147,858       17,495,559    
SHORT MidCap400     6,889,918       10,369,146    
SHORT SmallCap600     —       608,042    
SHORT Russell2000     —       127,092    
ULTRASHORT QQQ®     65,260,977       538,089,915    
ULTRASHORT Dow30SM     8,492,428       83,165,147    
ULTRASHORT S&P500®     24,105,023       204,687,697    
ULTRASHORT MidCap400     12,189,910       30,724,514    
ULTRASHORT SmallCap600     —       3,494,033    
ULTRASHORT Russell2000     —       31,957,502    
ULTRASHORT Russell1000 Growth     —       1,004,536    
ULTRASHORT Russell MidCap Growth     —       332,637    
ULTRASHORT Russell2000 Growth     —       1,195,488    
ULTRASHORT Basic Materials     —       10,983,370    
ULTRASHORT Consumer Goods     —       1,283,480    
ULTRASHORT Financials     —       44,904,963    
ULTRASHORT Health Care     —       761,500    
ULTRASHORT Industrials     —       2,555,682    
ULTRASHORT Oil & Gas     —       17,972,815    
ULTRASHORT Real Estate     —       11,860,408    
ULTRASHORT Semiconductors     —       2,425,997    
ULTRASHORT Utilities     —       866,821    

 


251


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

New Accounting Pronouncements

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is evaluating the application of the SFAS 157 and has not at this time determined the impact, if any, resulting from the adoption of the Fund's financial statements.

In addition, in February 2007, the FASB issued Statement of Financial Accounting Standards No. 159, "The Fair Value Option for Financial Assets and Financial Liabilities - including an amendment of FASB Statement No. 115." ("SFAS 159"), which is effective for fiscal years beginning after November 15, 2007. SFAS 159 permits entities to elect to measure certain financial assets and liabilities at fair value. The fair value option may be applied instrument by instrument, is irrevocable and is applied only to entire instruments and not to portions of instruments. SFAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. Management continues to evaluate the impact the adoption of SFAS 159 will have on the Funds' financial statement disclosures.

3. Securities Transactions, Related Income and Allocations

During the period, security transactions are accounted for no later than one business day following the trade date. However, for financial reporting purposes, security transactions are accounted for on the trade date of the last business day of the reporting period. Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Expenses directly attributable to a Fund are charged to the Fund, while expenses which are attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or another reasonable basis.

4. Advisory and Management Service Fees

ProShare Advisors LLC serves as the Trust's investment adviser pursuant to an Investment Advisory Agreement and provides management and other administrative services to the Trust pursuant to a separate Management Services Agreement. The Advisor is responsible for developing, implementing and supervising each Fund's investment program. The Advisor manages the investment and the reinvestment of the assets of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and officers of the Trust. For these and other services, the Funds pay the Advisor advisory and management services fees at an annualized rate based upon each Fund's average daily net assets of 0.75% and 0.10%, respectively.

The Advisor has contractually agreed to waive advisory and management services fees, and if necessary reimburse certain other expenses, in order to limit the annual operating expenses of each Fund to 0.95% of average daily net assets.

The limitation for each of the Funds is as follows:

For the period June 1, 2007 to September 30, 2008  
Fund   Expense Limit  
ULTRA QQQ®     0.95 %  
ULTRA Dow30SM     0.95 %  
ULTRA S&P500®     0.95 %  
ULTRA MidCap400     0.95 %  
SHORT QQQ®     0.95 %  
SHORT Dow30SM     0.95 %  
SHORT S&P500®     0.95 %  
SHORT MidCap400     0.95 %  
ULTRASHORT QQQ®     0.95 %  
ULTRASHORT Dow30SM     0.95 %  
ULTRASHORT S&P500®     0.95 %  
ULTRASHORT MidCap400     0.95 %  

 


252


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

For the period January 23, 2007 to September 30, 2008  
Fund   Expense Limit  
ULTRA SmallCap 600     0.95 %  
ULTRA Russell2000 .     0.95 %  
ULTRA Russell1000 Value     0.95 %  
ULTRA Russell1000 Growth     0.95 %  
ULTRA Russell MidCap Value .     0.95 %  
ULTRA Russell MidCap Growth     0.95 %  
ULTRA Russell2000 Value     0.95 %  
ULTRA Russell2000 Growth .     0.95 %  
ULTRA Basic Materials     0.95 %  
ULTRA Consumer Goods     0.95 %  
UTLRA Consumer Services .     0.95 %  
ULTRA Financials     0.95 %  
ULTRA Health Care .     0.95 %  
ULTRA Industrials .     0.95 %  
ULTRA Oil & Gas     0.95 %  
ULTRA Real Estate     0.95 %  
ULTRA Semiconductors .     0.95 %  
ULTRA Technology     0.95 %  
ULTRA Utilities     0.95 %  
SHORT SmallCap600     0.95 %  
SHORT Russell2000 .     0.95 %  
ULTRASHORT SmallCap600     0.95 %  
ULTRASHORT Russell2000     0.95 %  
ULTRASHORT Russell1000 Value     0.95 %  
ULTRASHORT Russell1000 Growth     0.95 %  
ULTRASHORT Russell MidCap Value     0.95 %  
ULTRASHORT Russell MidCap Growth     0.95 %  
ULTRASHORT Russell2000 Value     0.95 %  
ULTRASHORT Russell2000 Growth     0.95 %  
ULTRASHORT Basic Materials     0.95 %  
ULTRASHORT Consumer Goods     0.95 %  
ULTRASHORT Consumer Services     0.95 %  
ULTRASHORT Financials     0.95 %  
ULTRASHORT Health Care     0.95 %  
ULTRASHORT Industrials     0.95 %  
ULTRASHORT Oil & Gas     0.95 %  
ULTRASHORT Real Estate     0.95 %  
ULTRASHORT Semiconductors     0.95 %  
ULTRASHORT Technology     0.95 %  
ULTRASHORT Utilities     0.95 %  
For the period October 23, 2007 to October 23, 2008  
Fund   Expense Limit  
SHORT MSCI EAFE     0.95 %  
ULTRASHORT MSCI EAFE     0.95 %  

 


253


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

For the period October 30, 2007 to October 30, 2008  
Fund   Expense Limit  
SHORT MSCI Emerging Markets     0.95 %  
ULTRASHORT MSCI Emerging Markets     0.95 %  
For the period November 6, 2007 to November 6, 2008  
Fund   Expense Limit  
ULTRASHORT FTSE/Xinhua China 25     0.95 %  
ULTRASHORT MSCI Japan     0.95 %  

 

For the six months ended November 30, 2007, advisory and management services fees waivers and expense reimbursements were as follows:

Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		  
ULTRA QQQ®   $ 226,018       —       —    
ULTRA Dow30SM     74,645       —       —    
ULTRA S&P500®     56,989       —       —    
ULTRA MidCap400     157,393       —       —    
ULTRA SmallCap 600     41,866     $ 5,582     $ 49,860    
ULTRA Russell2000     175,677       23,423       14,088    
ULTRA Russell1000 Value     38,223       5,096       34,208    
ULTRA Russell1000 Growth     61,626       8,217       19,504    
ULTRA Russell MidCap Value     35,963       4,795       26,875    
ULTRA Russell MidCap Growth     49,761       6,635       17,810    
ULTRA Russell2000 Value     33,246       4,433       99,539    
ULTRA Russell2000 Growth     39,678       5,290       93,480    
ULTRA Basic Materials     41,005       —       —    
ULTRA Consumer Goods     27,002       3,600       10,033    
UTLRA Consumer Services             18,179       2,424    
ULTRA Financials     68,234       —       —    
ULTRA Health Care     40,592       4,382       —    
ULTRA Industrials     29,943       3,992       16,670    
ULTRA Oil & Gas     69,356       —       —    
ULTRA Real Estate     36,765       —       —    
ULTRA Semiconductors     45,283       —       —    
ULTRA Technology     63,212       —       —    
ULTRA Utilities     35,683       —       —    
SHORT QQQ®     84,620       —       —    
SHORT Dow30SM     60,985       —       —    
SHORT S&P500®     23,858       —       —    
SHORT MidCap400     45,239       —       —    
SHORT SmallCap600     22,851       —       —    
SHORT Russell2000     39,503       —       —    
ULTRASHORT QQQ®     582,802       —       —    
ULTRASHORT Dow30SM     74,953       —       —    
ULTRASHORT S&P500®     —       —       —    

 


254


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		  
ULTRASHORT MidCap400   $ 24,943       —       —    
ULTRASHORT SmallCap600     34,934       —       —    
ULTRASHORT Russell2000     202,651       —       —    
ULTRASHORT Russell1000 Value     22,095       —       —    
ULTRASHORT Russell1000 Growth     24,340       —       —    
ULTRASHORT Russell MidCap Value     21,096     $ 879       —    
ULTRASHORT Russell MidCap Growth     19,397       2,478       —    
ULTRASHORT Russell2000 Value     35,332       —       —    
ULTRASHORT Russell2000 Growth     36,362       —       —    
ULTRASHORT Basic Materials     31,166       —       —    
ULTRASHORT Consumer Goods     24,410       —       —    
ULTRASHORT Consumer Services     23,518       —       —    
ULTRASHORT Financials     7,788       —       —    
ULTRASHORT Health Care     23,126       —       —    
ULTRASHORT Industrials     21,283       —       —    
ULTRASHORT Oil & Gas     43,708       —       —    
ULTRASHORT Real Estate     33,234       —       —    
ULTRASHORT Semiconductors     22,092       —       —    
ULTRASHORT Technology     20,019       —       —    
ULTRASHORT Utilities     28,973       —       —    
SHORT MSCI EAFE     10,405       1,387     $ 4,748    
SHORT MSCI Emerging Markets     7,521       1,003       5,286    
ULTRASHORT MSCI EAFE     13,145       1,752       2,045    
ULTRASHORT MSCI Emerging Markets     15,220       —       —    
ULTRASHORT FTSE/Xinhua China 25     13,989       —       —    
ULTRASHORT MSCI Japan     5,517       736       10,604    

 

Amounts waived or reimbursed by the Advisor in a particular fiscal year may be recouped by the Advisor within five years of the waiver or reimbursement to the extent that such recoupment will not cause the Fund's expenses to exceed any expense limitation in place at that time. As of November 30, 2007, the amounts that Advisor may potentially be reimbursed are as follows:

Fund   Expires 2011   Expires 2012   Total Amount
Eligible for
Reimbursement		  
ULTRA QQQ®   $ 228,566     $ 226,018     $ 454,584    
ULTRA Dow30SM     158,554       74,645       233,199    
ULTRA S&P500®     200,112       56,989       257,101    
ULTRA MidCap400     217,801       157,393       375,194    
ULTRA SmallCap 600     79,440       97,308       176,748    
ULTRA Russell2000     161,781       213,188       374,969    
ULTRA Russell1000 Value     37,482       77,527       115,009    
ULTRA Russell1000 Growth     38,222       89,348       127,570    
ULTRA Russell MidCap Value     35,888       67,633       103,521    
ULTRA Russell MidCap Growth     36,463       74,206       110,669    

 


255


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Expires 2011   Expires 2012   Total Amount
Eligible for
Reimbursement		  
ULTRA Russell2000 Value   $ 46,441     $ 137,218     $ 183,659    
ULTRA Russell2000 Growth     45,999       138,448       184,447    
ULTRA Basic Materials     39,506       41,005       80,511    
ULTRA Consumer Goods     38,119       40,635       78,754    
UTLRA Consumer Services     47,434       44,317       91,751    
ULTRA Financials     53,756       68,234       121,990    
ULTRA Health Care     37,543       44,974       82,517    
ULTRA Industrials     41,329       50,605       91,934    
ULTRA Oil & Gas     45,444       69,356       114,800    
ULTRA Real Estate     46,989       36,979       83,968    
ULTRA Semiconductors     36,242       45,283       81,525    
ULTRA Technology     42,523       63,212       105,735    
ULTRA Utilities     38,375       35,683       74,058    
SHORT QQQ®     164,375       84,620       248,995    
SHORT Dow30SM     154,968       60,985       215,953    
SHORT S&P500®     133,369       24,970       158,339    
SHORT MidCap400     116,362       45,239       161,601    
SHORT SmallCap600     33,570       22,851       56,421    
SHORT Russell2000     32,031       39,503       71,534    
ULTRASHORT QQQ®     136,708       668,786       805,494    
ULTRASHORT Dow30SM     145,884       74,953       220,837    
ULTRASHORT S&P500®     —       —       —    
ULTRASHORT MidCap400     95,078       25,923       121,001    
ULTRASHORT SmallCap600     37,182       34,934       72,116    
ULTRASHORT Russell2000     —       244,590       244,590    
ULTRASHORT Russell1000 Value     27,166       22,095       49,261    
ULTRASHORT Russell1000 Growth     27,174       24,340       51,514    
ULTRASHORT Russell MidCap Value     27,187       21,975       49,162    
ULTRASHORT Russell MidCap Growth     28,193       21,875       50,068    
ULTRASHORT Russell2000 Value     27,854       35,332       63,186    
ULTRASHORT Russell2000 Growth     28,943       36,362       65,305    
ULTRASHORT Basic Materials     32,123       31,166       63,289    
ULTRASHORT Consumer Goods     32,621       24,410       57,031    
ULTRASHORT Consumer Services     32,412       23,518       55,930    
ULTRASHORT Financials     36,710       20,368       57,078    
ULTRASHORT Health Care     32,629       23,126       55,755    
ULTRASHORT Industrials     32,149       21,283       53,432    
ULTRASHORT Oil & Gas     39,849       43,708       83,557    
ULTRASHORT Real Estate     45,554       39,091       84,645    
ULTRASHORT Semiconductors     26,324       28,304       54,628    
ULTRASHORT Technology     32,468       20,019       52,487    
ULTRASHORT Utilities     32,116       28,973       61,089    
SHORT MSCI EAFE     —       16,540       16,540    

 


256


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Expires 2011   Expires 2012   Total Amount
Eligible for
Reimbursement		  
SHORT MSCI Emerging Markets     —     $ 13,810     $ 13,810    
ULTRASHORT MSCI EAFE     —       16,942       16,942    
ULTRASHORT MSCI Emerging Markets     —       15,220       15,220    
ULTRASHORT FTSE/Xinhua China 25     —       13,989       13,989    
ULTRASHORT MSCI Japan     —       16,857       16,857    

 

5. Administration Fees

J.P. Morgan Investor Services Co. acts as Administrator to the Funds. The Administrator provides certain administrative services to the Funds. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Certain employees of the Administrator are also officers of the Trust.

6. Custodian Fees

JPMorgan Chase Bank acts as custodian for the Funds in accordance with a custodian agreement. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. Custodian fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses.

7. Trustees Fees

Each Trustee of ProShares and other affiliated funds are paid quarterly an aggregate fee consisting of a $65,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $3,000, a special in-person meeting fee of $3,000 and a telephonic meeting fee of $1,000.

8. Distribution and Service Plan

SEI Investments serves as the Funds' distributor. The Trust has adopted a Distribution and Service (12b-1) Plan pursuant to which each Fund may bear a 12b-1 fee not to exceed 0.25% per annum of the Fund's average daily net assets. No 12b-1 fees are currently paid by the Funds, and there are currently no plans to impose these fees.

9. Creation and Redemption of Creation Units

Each Fund issues and redeems Shares only in Creation Units, a bundle of a specified number of shares. Certain funds are permitted to do such transactions on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value of each Fund of the Trust on the transaction date. Each Fund will impose transaction fees to those investors creating or redeeming creation units.

Transaction Fees on Creation and Redemption Transactions

Each Fund will impose Transaction Fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total Transaction Fee on transactions in Creation Units. A fixed Transaction Fee is applicable to each creation and redemption transaction, regardless of the number of Creation Units transacted. A variable Transaction Fee based upon the value of each Creation Unit is applicable to each creation and redemption transaction. Purchasers and redeemers of Creation Units of Ultra Share Funds affected through in-kind transactions are required to pay an additional charge to compensate for brokerage and other expenses. In addition, purchasers of Creation Units are responsible for payment of the costs of transferring the securities to the Trust. Redeemers of Creation Units are responsible for the costs of transferring securities from the Trust to their accounts or on their order. Investors who use the services of a broker or other such intermediary may pay fees for such services.


257


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

In addition, the maximum additional variable transaction fee for in-kind and cash purchases and redemptions is 0.10% of the amount invested.

For the six months ended November 30, 2007, transaction fees which are included in the proceeds from shares issued on the Statements of Changes in Net Assets, were as follows:

Fund   Transaction Fees  
ULTRA QQQ®   $ 132,468    
ULTRA Dow30SM     34,371    
ULTRA S&P500®     73,858    
ULTRA MidCap400     9,616    
ULTRA SmallCap 600     —    
ULTRA Russell2000     17,296    
ULTRA Russell1000 Value     —    
ULTRA Russell1000 Growth     2,528    
ULTRA Russell MidCap Value     —    
ULTRA Russell MidCap Growth     1,114    
ULTRA Russell2000 Value     —    
ULTRA Russell2000 Growth     —    
ULTRA Basic Materials     1,871    
ULTRA Consumer Goods     598    
ULTRA Consumer Services     —    
ULTRA Financials     31,926    
ULTRA Health Care     —    
ULTRA Industrials     1,510    
ULTRA Oil & Gas     5,966    
ULTRA Real Estate     3,565    
ULTRA Semiconductors     3,997    
ULTRA Technology     12,459    
ULTRA Utilities     —    
SHORT QQQ®     55,879    
SHORT Dow30SM     37,123    
SHORT S&P500®     56,087    
SHORT MidCap400     9,201    
SHORT SmallCap 600     —    
SHORT Russell2000     4,049    
ULTRASHORT QQQ®     1,174,053    
ULTRASHORT Dow30SM     531,049    
ULTRASHORT S&P500®     1,005,572    
ULTRASHORT MidCap400     41,394    
ULTRASHORT SmallCap600     9,645    
ULTRASHORT Russell2000     210,583    
ULTRASHORT Russell1000 Value     1,243    
ULTRASHORT Russell1000 Growth     3,174    
ULTRASHORT Russell MidCap Value     —    

 


258


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Transaction Fees  
ULTRASHORT Russell MidCap Growth   $ 2,054    
ULTRASHORT Russell2000 Value     11,071    
ULTRASHORT Russell2000 Growth     4,463    
ULTRASHORT Basic Materials     25,665    
ULTRASHORT Consumer Goods     3,261    
ULTRASHORT Consumer Services     5,232    
ULTRASHORT Financials     316,416    
ULTRASHORT Health Care     —    
ULTRASHORT Industrials     3,722    
ULTRASHORT Oil & Gas     72,579    
ULTRASHORT Real Estate     208,794    
ULTRASHORT Semiconductors     —    
ULTRASHORT Technology     2,719    
ULTRASHORT Utilities     7,047    
SHORT MSCI EAFE     1,733    
SHORT MSCI Emerging Markets     1,785    
ULTRASHORT MSCI EAFE     7,283    
ULTRASHORT MSCI Emerging Markets     18,338    
ULTRASHORT FTSE/Xinhua China 25     91,953    
ULTRASHORT MSCI Japan     2,310    

 

10. Investment Transactions

For the periods ended November 30, 2007, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:

Fund   Purchases   Sales  
ULTRA QQQ®   $ 389,996,180     $ 93,032,505    
ULTRA Dow30SM     106,823,039       14,129,363    
ULTRA S&P500®     210,963,222       44,124,370    
ULTRA MidCap400     47,613,915       26,472,336    
ULTRA SmallCap 600     1,285,573       2,349,904    
ULTRA Russell2000     61,033,459       10,199,109    
ULTRA Russell1000 Value     2,315,047       3,345,701    
ULTRA Russell1000 Growth     11,782,360       2,018,572    
ULTRA Russell Mid Cap Value     3,574,825       5,172,074    
ULTRA Russell Mid Cap Growth     7,632,110       4,059,325    
ULTRA Russell2000 Value     3,515,257       5,376,115    
ULTRA Russell2000 Growth     3,783,900       4,688,106    
ULTRA Basic Materials     8,524,409       3,139,328    
ULTRA Consumer Goods     774,409       166,076    
ULTRA Consumer Services     317,951       917,899    
ULTRA Financials     124,396,888       10,826,952    
ULTRA Health Care     547,992       991,587    

 


259


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

Fund   Purchases   Sales  
ULTRA Industrials   $ 6,527,545     $ 1,138,825    
ULTRA Oil & Gas     32,296,775       24,254,926    
ULTRA Real Estate     16,838,757       4,452,755    
ULTRA Semiconductors     6,676,924       12,178,904    
ULTRA Technology     55,213,409       4,720,952    
ULTRA Utilities     2,141,353       2,293,444    

 

11. In-Kind Transactions

During the periods, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at a fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.

For the six months ended November 30, 2007, the fair value of the cash and securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:

Fund   Fair Value   Net Realized
Gains (Losses)		  
ULTRA QQQ®   $ 134,227,253     $ 25,153,521    
ULTRA Dow30SM     27,459,258       4,129,134    
ULTRA S&P500®     26,837,980       5,300,399    
ULTRA MidCap400     33,789,473       6,138,902    
ULTRA Russell2000     26,026,162       2,182,576    
Ultra Basic Materials     7,481,572       1,074,508    
ULTRA Consumer Goods     5,447,854       181,572    
ULTRA Financials     3,419,773       (564,233 )  
ULTRA Oil & Gas     8,996,032       2,276,518    
ULTRA Semiconductors     5,681,030       (762,200 )  

 

In addition, during the period, certain Funds of the Trust received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the six months ended November 30, 2007, the fair value of the securities received for subscriptions were as follows:

Fund   Fair Value  
ULTRA QQQ®   $ 253,433,331    
ULTRA Dow30SM     52,832,041    
ULTRA S&P500®     177,998,374    
ULTRA Russell2000     13,775,291    
ULTRA Financials     12,147,083    
ULTRA Oil & Gas     29,374,122    
ULTRA Semiconductors     30,755,646    

 

12. Leverage Risk

Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap agreements, borrowing, futures


260


ProShares Trust Notes to Financial Statements (cont.)

November 30, 2007 (Unaudited)

contracts, forward contracts, options on securities indexes, reverse repurchase agreements and short sales, all may be used to create leverage. While only the Ultra ProShares and certain Short ProShares employ leverage to the extent that the Funds' exposure to the markets exceed the net assets of the Fund, each Fund employs leveraged investment techniques to achieve its investment objective.

13. Concentration Risk

Each Ultra Sector and UltraShort Sector Fund may concentrate its investments in one or more particular industries to the same extent that its underlying index is so concentrated. These Funds are subject to the risk that those issuers (or industry sectors) will perform poorly, and the Funds will be negatively impacted by that poor performance. The ULTRASHORT FTSE/Xinhua China 25 and the ULTRASHORT MSCI Japan Funds may be particularly susceptible to economic, political or regulatory events affecting companies and countries within the specific geographic region in which they focus their investments.

14. Liquidity Risk

In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of ProShare Advisors. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its Underlying Benchmark.

15. Indemnifications

In the normal course of business the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.


261


ProShares Trust Board Approval of Investment Advisory Agreements

(Unaudited)

Under an amended investment advisory agreement between ProShare Advisors, LLC ("ProShare Advisors" or "Advisor") and the Trust, on behalf of each Fund, dated December 14, 2005 ("Advisory Agreement"), each Fund pays ProShare Advisors a fee at an annualized rate, based on its average daily net assets, of 0.75%. ProShare Advisors manages the investment and the reinvestment of the assets of each of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and the officers of the Funds. ProShare Advisors bears the costs associated with providing these advisory services. ProShare Advisors has contractually agreed to waive investment advisory and management services fees and to reimburse other expenses to the extent total annual operating expenses, as a percentage of average daily net assets, exceed 0.95% through October 23, 2008 for SHORT MSCI EAFE ProShares and ULTRASHORT MSCI EAFE ProShares, through November 1, 2008 for SHORT MSCI Emerging Markets ProShares and ULTRASHORT Emerging Market ProShares and through November 8, 2008 for ULTRASHORT MSCI Japan ProShares and ULTRASHORT FTSE/Xinhua China 25 ProShares. After such dates, the expense waiver and reimbursement may be terminated or revised. For the other Funds covered by the period of this Report, ProShare Advisors has contractually agreed to waive investment advisory and management services fees and to reimburse other expenses to the extent total annual operating expenses, as a percentage of average daily net assets, exceed 0.95% through September 30, 2008. After such date, the expense limitation may be terminated or revised. Amounts waived or reimbursed in a particular fiscal year may be recouped by ProShare Advisors within five years of waiver or reimbursement to the extent that recoupment will not cause a Fund's expenses to exceed any expense limitation in place at that time. ProShare Advisors, from its own resources, including profits from advisory fees received from the Funds, also may make payments to broker-dealers and other financial institutions for their expenses in connection with the distribution of the Funds' Shares. The address of ProShare Advisors is 7501 Wisconsin Avenue, Suite 1000, Bethesda, Maryland 20814.

At a meeting held on December 10, 2007, the Board unanimously approved the continuance of the Advisory Agreement with respect to Funds covered by the period of this Report. The Board considered all factors it considered relevant, none of which was considered dispositive by itself, including (i) the nature, extent, and quality of the services to be provided to each Fund and its shareholders by the Advisor; (ii) the costs of the services provided and the profits to be realized by the Advisor from the relationship with the Funds; (iii) the extent to which economies of scale would be realized as the Funds grow; and (iv) whether fee levels reflect these economies of scale, if any, for the benefit of Fund shareholders. The Board considered each Fund's performance in their review of the Advisory Agreement.

These factors and the conclusions that formed the basis of the Board's determination that the terms of the Advisory Agreement were fair and reasonable, in the best interest of the shareholders and consistent with the Advisor's fiduciary duty under applicable law are discussed in more detail below. In reaching its determination to approve the Advisory Agreement, the Board considered that the Funds were unique in the ETF marketplace. The Board reviewed substantial detailed information that it believed to be reasonably necessary to reach its conclusion, including the terms of the Advisory Agreement itself, the Advisor's Form ADV, the background and experience of the people primarily responsible for providing investment advisory services to the Funds, detailed comparative industry fee data, information regarding brokerage allocation and best execution and developments in the financial services industry. The Board carefully evaluated this information, and was advised by legal counsel with respect to its deliberations. The Trustees who were not "interested persons" of the Funds ("Non-Interested Trustees") were also advised by independent legal counsel.

Nature, Quality and Extent of Services

The Board reviewed the nature, quality and extent of the investment advisory services of the Advisor in light of the high quality services the Trust expects to be provided by the Advisor in its management of the Funds and the success of each Fund in achieving its stated investment objective. The Board focused on the overall high quality of the personnel and operations at the Advisor and the systems and processes required to effectively manage the Funds, which systems and processes may not be present at other investment advisory organizations. The Board noted the nature of, and the special advisory skills needed to manage, each Fund. Specifically, the Board considered the fact that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. The Board also considered the Advisor's development of investment strategies, including those involving the use of complex financial instruments, and processes that maximize the Funds' ability to meet their stated investment objectives. The Board considered the size and experience of the Advisor's portfolio staff and the Advisor's ability to recruit, train and retain personnel with relevant experience. The Board considered the structure of the portfolio staff compensation


262


ProShares Trust Board Approval of Investment Advisory Agreements

(Unaudited)

program and the Board considered whether it provided appropriate incentives. The Board also considered information regarding how Fund brokerage would be allocated. Finally, the Board reviewed the proposed compliance activities of the Advisor. Based upon its review, the Board concluded that the Advisor had sufficient resources and expertise to provide appropriately high quality services to the Funds consistent with the terms of the Advisory Agreement, and that the expected high quality of services will benefit Fund shareholders, particularly in light of the unique nature of the Funds and the services required to support them. The Board also concluded that the portfolio manager compensation structure was appropriate and did not provide any inappropriate incentives, and that the Advisor's brokerage practices were reasonable.

Cost of Services

The Board considered the fairness and reasonableness of the investment advisory fee payable to the Advisor in light of the investment advisory services to be provided, the expected costs of these services and the comparability of the fees paid to fees paid by other investment companies, including investment companies offering services similar in nature and extent to the Trust. The Board considered the fact that obtaining useful industry fee comparisons for the Funds is complicated by the fact that there are few similar funds in the marketplace. Notwithstanding, the Board found such comparisons useful in that each comparison contained information for certain categories of ETFs and mutual funds that, when taken together, provided a comprehensive presentation for the Trustees' consideration. The Board noted that fees paid by traditional ETFs were not necessarily appropriate benchmarks for comparison, because traditional ETFs do not involve leverage or portfolio management in the usual sense. The Board also considered the significant drivers of cost (leverage, intellectual capital (trading, tax, regulatory) and daily rebalancing) and also examined the costs to investors to achieve the objectives of the Funds on their own accord, noting that it would be more expensive or impossible to do so. The Board also considered the Advisor's performance of non-advisory services, including those performed under a Management Services Agreement. The Board discussed with management the indirect or "fall-out" benefits the Advisor may derive from its relationship to the Funds, noting in particular that while the Advisor may receive research provided by broker-dealers, it will only obtain generic or other research not ascribed significant value and therefore not requiring the commitment of trading. The Board also considered the financial condition of the Advisor, which they found to be sound. The Board, including the Non-Interested Trustees, concluded that the investment advisory fees and other compensation payable by each Fund to the Advisor were reasonable in relation to the services provided, and also concluded that the proposed fees were reasonable in relation to the fees paid by other investment companies referenced by the Advisor, including funds offering services similar in nature and extent to those of the Funds.

The Board discussed with representatives of the Advisor the potential economies of scale as well as the effect of the contractual expense limitations undertaken by the Advisor. The Board discussed the fact that economies of scale are best achieved when a fund grows to be very large and remains that way and that the Funds' expected asset volatility may offset such economies. In addition, the Advisor discussed with the Board that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. As a consequence, regardless of asset growth, the Advisor's workload will depend more on volatility in markets and the challenges of trading larger portfolios, as the Funds grow, to meet the daily investment objectives of the Funds. The Board also considered the extended period associated with the start-up of the Funds and the associated costs borne by the Advisor. Based on these considerations, the Board determined that it was not necessary for the Funds to impose advisory fee breakpoints at this time.

Conclusion

Based upon its evaluation, including their consideration of each of the factors noted above for each Fund, the Board and the Non-Interested Trustees acting separately, unanimously concluded that the Advisory Agreement is fair and reasonable to each Fund and in the best interest of its shareholders.


263


Proxy Voting Information

You may obtain a description of ProShares Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how ProShares Trust voted any proxies related to portfolio securities for the most recent twelve-month period ended June 30, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the EDGAR Database on the SEC's Website (http://www.sec.gov).

Quarterly Portfolio Holdings Information

ProShares Trust will file its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. ProShares Trust Form N-Q will be available on the SEC's Website at http://www.sec.gov. The Trust's Form N-Q may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


264


Change in Auditors

Other Information (Unaudited)

On June 5, 2007, the Trust's Board of Trustees, upon the recommendation of the Audit Committee of the Board of Trustees, determined not to retain Ernst & Young LLP ("E&Y") and approved a change of the Trust's independent auditors to PricewaterhouseCoopers LLP ("PwC"). For the period ended May 31, 2007, E&Y served as the Trust's independent auditor. During the period ended May 31, 2007, E&Y's audit report, concerning the Trust, contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, in connection with its audit for the period ended May 31, 2007 and through June 5, 2007, there were no disagreements between the Trust and E&Y on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which if not resolved to the satisfaction of E&Y would have caused it to make reference to the disagreements in its report on the financial statements for such periods.


265


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ProShares

ProShares Trust
7501 Wisconsin Avenue
Suite 1000
Bethesda, MD 20814

866.PRO.5125

www.proshares.com

"Standard & Poor's®," "S&P®," "S&P 500®," "Standard & Poor's 500," "500," "S&P MidCap 400," and "Standard & Poor's MidCap 400," are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by ProShares. "Dow Jones," "Dow 30," and "Dow Jones Industrial AverageTM," are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by ProShares. "NASDAQ-100® Index" is a trademark of The NASDAQ Stock Market, Inc. ProShares are not sponsored, endorsed, sold or promoted by these organizations and the organizations make no representations regarding the advisability of investing in ProShares.



 

Item 2. Code of Ethics.

 

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

 

Not Applicable.

 

Item 6. Schedule of Investments

 

Please see the schedules of investments contained in the reports to shareholders included under Item 1 of this Report except as discussed below. Provided below is a complete schedule of investments for each series of the Registrant that provided a summary schedule of portfolio holdings in a report to shareholders included under Item 1 in lieu of a complete schedule of investments. The schedules of investments for the following series are provided below:

 

 


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000

Shares  
  Value  
    Common Stocks (a) — 89.7%  
    Consumer Discretionary — 12.5%  
  1,181     1-800-FLOWERS.COM, Inc., Class A*   $ 12,365    
  2,291     99 Cents Only Stores*     18,465    
  988     A.C. Moore Arts & Crafts, Inc.*     15,679    
  2,258     Aaron Rents, Inc.     45,408    
  3,787     Aeropostale, Inc.*     96,758    
  1,355     AFC Enterprises*     14,783    
  1,067     Aftermarket Technology Corp.*     29,791    
  768     Ambassadors Group, Inc.     14,085    
  436     Ambassadors International, Inc.     5,241    
  2,186     American Axle & Manufacturing
Holdings, Inc.		     50,540    
  2,706     American Greetings Corp., Class A     62,942    
  1,056     Amerigon, Inc.*     19,304    
  1,235     Ameristar Casinos, Inc.     38,767    
  1,379     Arbitron, Inc.     54,953    
  587     Arctic Cat, Inc.     6,263    
  3,488     ArvinMeritor, Inc.     35,264    
  1,252     Asbury Automotive Group, Inc.     20,958    
  820     Audiovox Corp.*     10,471    
  280     Avatar Holdings, Inc.*     12,197    
  2,602     Bally Technologies, Inc.*     108,503    
  1,910     Beazer Homes USA, Inc.     16,216    
  1,239     Bebe Stores, Inc.     16,726    
  4,136     Belo Corp., Class A     68,492    
  602     Benihana, Inc., Class A*     8,428    
  1,109     Big 5 Sporting Goods Corp.     18,221    
  831     BJ's Restaurants, Inc.*     14,783    
  9,382     Blockbuster, Inc., Class A*     33,494    
  655     Blue Nile, Inc.*     48,346    
  1,037     Bluegreen Corp.*     7,446    
  1,242     Blyth, Inc.     24,430    
  1,748     Bob Evans Farms, Inc.     53,908    
  500     Bon-Ton Stores, Inc. (The)     5,840    
  725     Books-A-Million, Inc.     8,765    
  2,861     Borders Group, Inc.     35,791    
  1,278     Bright Horizons Family Solutions, Inc.*     48,296    
  552     Brookfield Homes Corp.     9,307    
  2,150     Brown Shoe Co., Inc.     36,485    
  686     Buckle, Inc. (The)     24,223    
  749     Buffalo Wild Wings, Inc.*     21,654    
  766     Build-A-Bear Workshop, Inc.*     12,080    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,436     Building Materials Holding Corp.   $ 8,214    
  1,899     Cabela's, Inc.*     31,409    
  602     Cache, Inc.*     8,061    
  1,420     California Pizza Kitchen, Inc.*     22,592    
  3,238     Callaway Golf Co.     55,240    
  525     Capella Education Co.*     36,970    
  616     Carmike Cinemas, Inc.     7,269    
  486     Carrols Restaurant Group, Inc.*     5,186    
  2,854     Carter's, Inc.*     64,015    
  1,765     Casual Male Retail Group, Inc.*     10,943    
  1,460     Cato Corp. (The), Class A     21,988    
  1,204     CBRL Group, Inc.     40,286    
  1,266     CEC Entertainment, Inc.*     36,081    
  3,750     Champion Enterprises, Inc.*     33,825    
  1,237     Charlotte Russe Holding, Inc.*     20,361    
  6,045     Charming Shoppes, Inc.*     33,429    
  19,964     Charter Communications, Inc., Class A*     26,352    
  366     Cherokee, Inc.     11,533    
  1,099     Childrens Place Retail Stores, Inc. (The)*     31,278    
  1,602     Chipotle Mexican Grill, Inc., Class B*     185,063    
  1,769     Christopher & Banks Corp.     28,516    
  462     Churchill Downs, Inc.     24,246    
  1,368     Cinemark Holdings, Inc.     22,832    
  8,900     Citadel Broadcasting Corp.     20,470    
  677     Citi Trends, Inc.*     10,460    
  2,795     CKE Restaurants, Inc.     40,863    
  1,849     CKX, Inc.*     22,428    
  1,359     Coinstar, Inc.*     35,511    
  3,189     Collective Brands, Inc.*     48,887    
  676     Columbia Sportswear Co.     32,455    
  595     Conn's, Inc.*     10,769    
  3,013     Cooper Tire & Rubber Co.     46,340    
  448     Core-Mark Holding Co., Inc.*     12,020    
  4,233     Corinthian Colleges, Inc.*     73,908    
  1,624     Cox Radio, Inc., Class A*     19,131    
  254     CPI Corp.     7,051    
  788     Crown Media Holdings, Inc., Class A*     5,729    
  2,147     CSK Auto Corp.*     20,933    
  383     CSS Industries, Inc.     15,159    
  1,387     Cumulus Media, Inc., Class A*     11,665    
  625     Deckers Outdoor Corp.*     90,106    
  4,576     Denny's Corp.*     18,762    
  2,929     DeVry, Inc.     161,036    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  728     DG FastChannel, Inc.*   $ 14,240    
  545     Dolan Media Co.*     14,442    
  2,140     Domino's Pizza, Inc.     29,660    
  764     Dover Downs Gaming &
Entertainment, Inc.		     8,442    
  2,298     Dress Barn, Inc.*     32,494    
  887     Drew Industries, Inc.*     24,233    
  792     DSW, Inc., Class A*     17,812    
  1,488     Eddie Bauer Holdings, Inc.*     9,955    
  1,471     Emmis Communications Corp.,
Class A*		     6,340    
  1,599     Entercom Communications Corp.,
Class A		     26,048    
  3,378     Entravision Communications Corp.,
Class A*		     25,267    
  1,293     Ethan Allen Interiors, Inc.     36,928    
  3,644     Exide Technologies*     25,617    
  2,077     Finish Line, Class A     7,789    
  305     Fisher Communications, Inc.*     12,423    
  3,129     Fleetwood Enterprises, Inc.*     17,116    
  2,132     Fossil, Inc.*     92,401    
  1,957     Fred's, Inc., Class A     20,392    
  935     FTD Group, Inc.     12,529    
  2,362     Furniture Brands International, Inc.     23,927    
  636     G-lII Apparel Group Ltd.*     9,139    
  845     Gaiam, Inc., Class A*     19,900    
  249     Gander Mountain Co.*     1,208    
  1,091     GateHouse Media, Inc.     8,946    
  2,001     Gaylord Entertainment Co.*     84,162    
  12,233     Gemstar-TV Guide International, Inc.*     72,175    
  1,112     Genesco, Inc.*     34,472    
  767     Global Sources Ltd.*     23,340    
  2,045     Gray Television, Inc.     17,403    
  1,499     Great Wolf Resorts, Inc.*     16,219    
  1,113     Group 1 Automotive, Inc.     29,917    
  976     GSI Commerce, Inc.*     25,493    
  1,504     Gymboree Corp.*     50,173    
  2,576     Harris Interactive, Inc.*     10,793    
  968     Haverty Furniture Cos., Inc.     8,228    
  4,885     Hayes Lemmerz International, Inc.*     20,175    
  314     Heelys, Inc.*     1,912    
  1,480     Helen of Troy Ltd.*     26,832    
  458     hhgregg, Inc.*     6,435    
  1,544     Hibbett Sports, Inc.*     33,072    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,926     Home Solutions of America, Inc.*   $ 2,042    
  541     Hooker Furniture Corp.     9,100    
  2,162     HOT Topic, Inc.*     13,642    
  1,829     Hovnanian Enterprises, Inc., Class A*     13,827    
  2,477     Iconix Brand Group, Inc.*     56,451    
  852     Ihop Corp.     43,230    
  1,763     Interactive Data Corp.     55,058    
  2,555     INVESTools, Inc.*     39,475    
  751     iRobot Corp.*     12,031    
  785     Isle of Capri Casinos, Inc.*     13,722    
  1,903     J. Crew Group, Inc.*     91,439    
  3,059     Jack in the Box, Inc.*     91,617    
  1,468     Jackson Hewitt Tax Service, Inc.     47,343    
  1,375     Jakks Pacific, Inc.*     34,705    
  2,541     Jamba, Inc.*     8,690    
  1,219     Jo-Ann Stores, Inc.*     20,065    
  883     JOS. A. Bank Clothiers, Inc.*     22,861    
  2,135     Journal Communications, Inc., Class A     19,428    
  1,263     K-Swiss, Inc., Class A     22,923    
  1,270     Kellwood Co.     19,037    
  486     Kenneth Cole Productions, Inc., Class A     9,166    
  1,285     Kimball International, Inc., Class B     17,142    
  1,272     Knology, Inc.*     17,096    
  3,158     Krispy Kreme Doughnuts, Inc.*     8,432    
  2,510     La-Z-Boy, Inc.     13,705    
  870     Lakes Entertainment, Inc.*     5,777    
  611     Landry's Restaurants, Inc.     14,432    
  1,682     Leapfrog Enterprises, Inc.*     11,269    
  3,746     Lear Corp.*     110,282    
  2,250     Lee Enterprises, Inc.     31,500    
  703     Libbey, Inc.     10,904    
  1,635     Life Time Fitness, Inc.*     88,813    
  503     Lifetime Brands, Inc.     6,448    
  1,332     Lin TV Corp., Class A*     14,945    
  229     Lincoln Educational Services Corp.*     3,179    
  775     Lithia Motors, Inc., Class A     12,090    
  3,583     Live Nation, Inc.*     48,084    
  2,749     LKQ Corp.*     109,163    
  1,110     Lodgenet Entertainment Corp.*     21,312    
  916     Lodgian, Inc.*     10,497    
  615     Lululemon Athletica, Inc.*     22,552    
  589     M/I Homes, Inc.     5,908    
  1,967     Magna Entertainment Corp., Class A*     2,872    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,123     Maidenform Brands, Inc.*   $ 14,678    
  1,034     Marcus Corp.     18,633    
  579     Marine Products Corp.     4,261    
  798     MarineMax, Inc.*     13,047    
  1,298     Martha Stewart Living Omnimedia,
Class A*		     13,175    
  2,422     Marvel Entertainment, Inc.*     67,089    
  1,544     Matthews International Corp., Class A     68,152    
  715     McCormick & Schmick's Seafood
Restaurants, Inc.*		     10,482    
  1,080     Media General, Inc., Class A     26,752    
  2,649     Mediacom Communications Corp.,
Class A*		     11,947    
  2,648     Men's Wearhouse, Inc.     91,409    
  1,281     Meritage Homes Corp.*     17,511    
  722     Midas, Inc.*     11,826    
  1,584     Modine Manufacturing Co.     32,219    
  1,463     Monaco Coach Corp.     13,211    
  587     Monarch Casino & Resort, Inc.*     15,015    
  862     Monro Muffler, Inc.     18,162    
  1,079     Morgans Hotel Group Co.*     19,951    
  601     Morningstar, Inc.*     48,891    
  520     Morton's Restaurant Group, Inc.*     5,970    
  841     Movado Group, Inc.     23,296    
  1,001     MTR Gaming Group, Inc.*     6,927    
  1,125     Multimedia Games, Inc.*     8,933    
  2,052     National CineMedia, Inc.     56,799    
  218     National Presto Industries, Inc.     11,807    
  1,541     Nautilus, Inc.     8,861    
  2,294     NetFlix, Inc.*     52,991    
  1,063     New York & Co., Inc.*     7,834    
  2,233     NexCen Brands, Inc.*     10,049    
  519     Nexstar Broadcasting Group, Inc.,
Class A*		     4,707    
  574     Noble International Ltd.     9,368    
  1,084     O'Charleys, Inc.     16,162    
  1,661     Orbitz Worldwide, Inc.*     13,288    
  804     Overstock.com, Inc.*     18,629    
  752     Oxford Industries, Inc.     18,627    
  3,430     Pacific Sunwear of California*     56,183    
  478     Palm Harbor Homes, Inc.*     5,392    
  1,051     Papa John's International, Inc.*     24,751    
  667     Peet's Coffee & Tea, Inc.*     17,822    
  1,946     PEP Boys-Manny Moe & Jack     21,270    
  555     Perry Ellis International, Inc.*     8,947    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,044     PetMed Express, Inc.*   $ 13,301    
  1,260     PF Chang's China Bistro, Inc.*     32,243    
  4,314     Pier 1 Imports, Inc.*     17,774    
  2,916     Pinnacle Entertainment, Inc.*     80,044    
  1,077     Playboy Enterprises, Inc., Class B*     10,135    
  1,747     Polaris Industries, Inc.     79,593    
  440     Pre-Paid Legal Services, Inc.*     22,004    
  1,428     Premier Exhibitions, Inc.*     15,537    
  1,851     priceline.com, Inc.*     210,644    
  2,154     Primedia, Inc.     17,663    
  6,074     Quiksilver, Inc.*     64,384    
  3,737     Radio One, Inc., Class D*     7,623    
  1,518     Raser Technologies, Inc.*     18,929    
  926     RC2 Corp.*     26,928    
  1,493     RCN Corp.*     21,678    
  814     Red Robin Gourmet Burgers, Inc.*     32,202    
  2,164     Regis Corp.     63,600    
  3,437     Rent-A-Center, Inc.*     48,668    
  1,351     Retail Ventures, Inc.*     9,376    
  497     Riviera Holdings Corp.*     13,568    
  2,653     Ruby Tuesday, Inc.     34,781    
  812     Russ Berrie & Co., Inc.*     13,479    
  929     Ruth's Chris Steak House*     11,241    
  449     Salem Communications Corp., Class A     3,592    
  4,572     Sally Beauty Holdings, Inc.*     41,651    
  536     Sauer-Danfoss, Inc.     13,025    
  1,501     Scholastic Corp.*     52,895    
  2,185     Sealy Corp.     28,492    
  2,288     Select Comfort Corp.*     24,344    
  428     Shoe Carnival, Inc.*     4,982    
  1,721     Shuffle Master, Inc.*     23,010    
  713     Shutterfly, Inc.*     20,313    
  2,403     Sinclair Broadcast Group, Inc., Class A     24,871    
  3,446     Six Flags, Inc.*     8,064    
  996     Skechers U.S.A., Inc., Class A*     22,559    
  333     Skyline Corp.     11,289    
  1,449     Smith & Wesson Holding Corp.*     14,432    
  1,514     Sonic Automotive, Inc., Class A     34,989    
  2,969     Sonic Corp.*     72,444    
  3,228     Sotheby's     120,889    
  1,680     Source Interlink Cos., Inc.*     3,377    
  1,969     Spanish Broadcasting System, Inc.,
Class A*		     3,780    
  1,573     Spartan Motors, Inc.     15,699    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  680     Speedway Motorsports, Inc.   $ 22,950    
  2,121     Stage Stores, Inc.     35,887    
  805     Stamps.com, Inc.*     10,224    
  769     Standard Motor Products, Inc.     5,698    
  3,163     Standard-Pacific Corp.     10,944    
  1,390     Steak N Shake Co. (The)*     16,082    
  1,326     Stein Mart, Inc.     7,187    
  787     Steiner Leisure Ltd.*     33,605    
  392     Steinway Musical Instruments     11,074    
  1,001     Steven Madden Ltd.*     22,753    
  4,641     Stewart Enterprises, Inc., Class A     38,056    
  693     Stoneridge, Inc.*     5,766    
  710     Strayer Education, Inc.     128,411    
  1,106     Sturm Ruger & Co., Inc.*     10,231    
  3,187     Sun-Times Media Group, Inc.*     3,187    
  1,115     Superior Industries International, Inc.     20,650    
  335     Syms Corp.     5,427    
  2,802     Syntax-Brillian Corp.*     8,154    
  519     Systemax, Inc.     10,250    
  1,132     Talbots, Inc.     17,557    
  678     Tarragon Corp.*     1,153    
  3,671     Tempur-Pedic International, Inc.     108,992    
  2,261     Tenneco, Inc.*     66,903    
  2,573     Texas Roadhouse, Inc., Class A*     32,394    
  2,307     Timberland Co., Class A*     37,558    
  4,762     Tivo, Inc.*     35,667    
  794     Town Sports International
Holdings, Inc.*		     8,019    
  3,076     Triarc Cos., Inc., Class B     25,869    
  681     True Religion Apparel, Inc.*     11,863    
  1,519     Trump Entertainment Resorts, Inc.*     7,853    
  1,466     Tuesday Morning Corp.     10,907    
  3,003     Tupperware Brands Corp.     104,745    
  1,207     Tween Brands, Inc.*     30,392    
  1,210     Under Armour, Inc., Class A*     60,113    
  699     Unifirst Corp.     26,122    
  704     Universal Electronics, Inc.*     26,013    
  1,149     Universal Technical Institute, Inc.*     20,257    
  1,535     Vail Resorts, Inc.*     85,208    
  2,339     Valassis Communications, Inc.*     28,840    
  66     Value Line, Inc.     2,730    
  1,499     ValueVision Media, Inc., Class A*     9,863    
  6,333     Visteon Corp.*     27,865    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  715     Volcom, Inc.*   $ 19,284    
  2,262     Warnaco Group, Inc. (The)*     83,468    
  1,508     WCI Communities, Inc.*     5,067    
  721     West Marine, Inc.*     6,366    
  3,467     Westwood One, Inc.     6,622    
  4,120     Wet Seal, Inc. (The), Class A*     8,776    
  362     Weyco Group, Inc.     9,912    
  1,444     Winnebago Industries     31,075    
  1,986     WMS Industries, Inc.*     66,332    
  2,661     Wolverine World Wide, Inc.     65,913    
  1,102     World Wrestling Entertainment, Inc.,
Class A		     17,368    
  2,393     Zale Corp.*     42,811    
  843     Zumiez, Inc.*     23,435    
      8,760,307    
    Consumer Staples — 2.7%  
  176     Alico, Inc.     7,813    
  4,674     Alliance One International, Inc.*     19,304    
  334     American Dairy, Inc.*     5,595    
  2,612     American Oriental Bioengineering, Inc.*     30,560    
  760     Andersons, Inc. (The)     32,239    
  55     Arden Group, Inc.     7,921    
  441     Boston Beer Co., Inc., Class A*     14,637    
  616     Cal-Maine Foods, Inc.     15,172    
  2,468     Casey's General Stores, Inc.     71,572    
  1,727     Central European Distribution Corp.*     86,350    
  3,412     Central Garden and Pet Co., Class A*     17,913    
  829     Chattem, Inc.*     58,784    
  2,074     Chiquita Brands International, Inc.*     39,800    
  291     Coca-Cola Bottling Co. Consolidated     16,511    
  3,951     Darling International, Inc.*     40,498    
  1,191     Elizabeth Arden, Inc.*     28,620    
  329     Farmer Bros. Co.     7,564    
  3,750     Flowers Foods, Inc.     87,112    
  1,498     Fresh Del Monte Produce, Inc.*     46,318    
  959     Great Atlantic & Pacific Tea Co.*     28,818    
  841     Green Mountain Coffee Roasters, Inc.*     27,433    
  1,939     Hain Celestial Group, Inc.*     64,142    
  574     Imperial Sugar Co.     13,099    
  606     Ingles Markets, Inc., Class A     14,417    
  420     Inter Parfums, Inc.     7,673    
  684     J&J Snack Foods Corp.     22,148    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,263     Jones Soda Co.*   $ 8,336    
  1,097     Lancaster Colony Corp.     42,256    
  1,514     Lance, Inc.     31,400    
  1,610     Longs Drug Stores Corp.     85,201    
  764     Mannatech, Inc.     4,821    
  217     Maui Land & Pineapple Co., Inc.*     6,109    
  483     MGP Ingredients, Inc.     3,970    
  655     Nash Finch Co.     23,377    
  500     National Beverage Corp.     3,700    
  2,457     Nu Skin Enterprises, Inc., Class A     43,464    
  1,118     Pantry, Inc. (The)*     32,187    
  1,568     Pathmark Stores, Inc.*     20,227    
  1,726     Performance Food Group Co.*     47,793    
  1,974     Pilgrim's Pride Corp.     51,482    
  1,656     Prestige Brands Holdings, Inc.*     13,894    
  654     Pricesmart, Inc.     19,509    
  1,254     Ralcorp Holdings, Inc.*     76,983    
  1,065     Reddy Ice Holdings, Inc.     27,786    
  9,608     Revlon, Inc., Class A*     10,761    
  2,008     Ruddick Corp.     71,866    
  826     Sanderson Farms, Inc.     25,656    
  17     Seaboard Corp.     25,653    
  1,059     Spartan Stores, Inc.     23,827    
  1,912     Spectrum Brands, Inc.*     9,885    
  211     Synutra International, Inc.*     7,887    
  171     Tiens Biotech Group USA, Inc.*     491    
  1,744     Tootsie Roll Industries, Inc.     42,972    
  1,524     TreeHouse Foods, Inc.*     35,921    
  2,091     United Natural Foods, Inc.*     61,245    
  1,320     Universal Corp.     70,858    
  412     USANA Health Sciences, Inc.*     17,172    
  1,518     Vector Group Ltd.     33,426    
  150     Village Super Market, Class A     8,038    
  859     WD-40 Co.     34,077    
  606     Weis Markets, Inc.     24,798    
  1,672     Winn-Dixie Stores, Inc.*     31,618    
      1,890,659    
    Energy — 5.7%  
  1,227     Allis-Chalmers Energy, Inc.*     18,589    
  633     Alon USA Energy, Inc.     17,610    
  3,202     Alpha Natural Resources, Inc.*     89,976    
  446     APCO Argentina, Inc.     11,957    
  1,488     Arena Resources, Inc.*     55,934    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  648     Arlington Tankers Ltd.   $ 13,906    
  1,116     Atlas America, Inc.     63,367    
  1,043     ATP Oil & Gas Corp.*     46,497    
  1,339     Atwood Oceanics, Inc.*     116,828    
  1,470     Aventine Renewable Energy
Holdings, Inc.*		     14,480    
  1,996     Basic Energy Services, Inc.*     38,922    
  1,930     Berry Petroleum Co., Class A     79,825    
  1,508     Bill Barrett Corp.*     58,209    
  889     Bois d'Arc Energy, Inc.*     17,424    
  2,525     BPZ Resources, Inc.*     28,785    
  2,229     Brigham Exploration Co.*     15,402    
  989     Bristow Group, Inc.*     54,395    
  1,271     Bronco Drilling Co., Inc.*     18,252    
  1,092     Cal Dive International, Inc.*     13,552    
  1,014     Callon Petroleum Co.*     15,159    
  991     CARBO Ceramics, Inc.     39,343    
  1,191     Carrizo Oil & Gas, Inc.*     57,704    
  270     Clayton Williams Energy, Inc.*     7,765    
  488     Clean Energy Fuels Corp.*     7,281    
  2,088     Complete Production Services, Inc.*     36,999    
  2,169     Comstock Resources, Inc.*     72,662    
  1,126     Concho Resources, Inc.*     21,236    
  641     Contango Oil & Gas Co.*     30,255    
  1,801     Crosstex Energy, Inc.     64,656    
  372     Dawson Geophysical Co.*     24,931    
  575     Delek U.S. Holdings, Inc.     10,603    
  3,209     Delta Petroleum Corp.*     49,322    
  1,038     Double Hull Tankers, Inc.     13,764    
  1,302     Dril-Quip, Inc.*     73,459    
  1,390     Edge Petroleum Corp.*     8,201    
  2,595     Encore Acquisition Co.*     84,467    
  1,380     Energy Partners Ltd.*     17,084    
  817     ENGlobal Corp.*     8,832    
  4,087     Evergreen Energy, Inc.*     14,999    
  3,012     EXCO Resources, Inc.*     42,108    
  2,947     Exterran Holdings, Inc.*     235,878    
  1,846     FX Energy, Inc.*     13,734    
  1,398     General Maritime Corp.     37,327    
  1,576     GeoGlobal Resources, Inc.*     4,917    
  334     Geokinetics, Inc.*     7,275    
  883     GeoMet, Inc.*     4,291    
  563     GMX Resources, Inc.*     18,010    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,704     Golar LNG Ltd.   $ 36,278    
  758     Goodrich Petroleum Corp.*     18,518    
  9,032     Grey Wolf, Inc.*     45,883    
  524     Gulf Island Fabrication, Inc.     16,668    
  1,117     Gulfmark Offshore, Inc.*     49,640    
  965     Gulfport Energy Corp.*     20,091    
  1,704     Harvest Natural Resources, Inc.*     22,203    
  4,057     Hercules Offshore, Inc.*     101,466    
  1,597     Horizon Offshore, Inc.*     27,053    
  1,123     Hornbeck Offshore Services, Inc.*     46,234    
  6,207     International Coal Group, Inc.*     31,097    
  3,474     ION Geophysical Corp.*     53,604    
  489     Kayne Anderson Energy
Development Co.		     11,316    
  835     Knightsbridge Tankers Ltd.     21,050    
  735     Lufkin Industries, Inc.     38,227    
  4,257     Mariner Energy, Inc.*     92,292    
  313     Markwest Hydrocarbon, Inc.     19,187    
  1,299     Matrix Service Co.*     33,891    
  2,086     McMoRan Exploration Co.*     24,531    
  4,365     Meridian Resource Corp.*     7,595    
  901     NATCO Group, Inc.*     42,834    
  4,392     Newpark Resources*     23,629    
  1,464     Nordic American Tanker Shipping     50,084    
  1,532     Nova Biosource Fuels, Inc.*     2,436    
  2,406     Oil States International, Inc.*     76,294    
  6,112     Oilsands Quest, Inc.*     27,504    
  194     OYO Geospace Corp.*     20,312    
  1,738     Pacific Ethanol, Inc.*     10,619    
  1,842     Parallel Petroleum Corp.*     35,274    
  5,453     Parker Drilling Co.*     38,989    
  1,836     Penn Virginia Corp.     76,414    
  8,285     PetroHawk Energy Corp.*     135,046    
  727     Petroleum Development Corp.*     36,837    
  2,029     Petroquest Energy, Inc.*     26,965    
  665     PHI, Inc. (Non-Voting)*     21,207    
  2,425     Pioneer Drilling Co.*     28,882    
  7,951     Rentech, Inc.*     16,538    
  469     Rex Energy Corp.*     4,638    
  2,480     Rosetta Resources, Inc.*     45,384    
  1,574     RPC, Inc.     17,471    
  1,539     Ship Finance International Ltd.     39,198    
  1,369     Stone Energy Corp.*     61,879    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,167     Sulphco, Inc.*   $ 11,485    
  497     Superior Offshore International, Inc.*     3,067    
  766     Superior Well Services, Inc.*     14,853    
  1,461     Swift Energy Co.*     59,185    
  299     T-3 Energy Services, Inc.*     15,073    
  738     Toreador Resources Corp.*     4,812    
  581     Trico Marine Services, Inc.*     20,550    
  1,647     TXCO Resources, Inc.*     19,846    
  673     Union Drilling, Inc.*     8,547    
  2,549     Uranium Resources, Inc.*     30,231    
  661     U.S. BioEnergy Corp.*     5,995    
  5,249     USEC, Inc.*     43,094    
  2,888     Vaalco Energy, Inc.*     12,592    
  696     Venoco, Inc.*     12,709    
  1,947     VeraSun Energy Corp.*     22,994    
  1,988     Verenium Corp.*     7,256    
  1,486     W-H Energy Services, Inc.*     75,043    
  2,843     Warren Resources, Inc.*     36,277    
  2,054     Whiting Petroleum Corp.*     108,287    
  1,809     Willbros Group, Inc.*     67,783    
  1,394     World Fuel Services Corp.     44,106    
      3,975,215    
    Financials — 17.7%  
  674     1st Source Corp.     13,574    
  513     Abington Bancorp, Inc.     4,545    
  373     ACA Capital Holdings, Inc.*     306    
  1,570     Acadia Realty Trust (REIT)     41,432    
  3,260     Advance America Cash Advance
Centers, Inc.		     29,731    
  1,811     Advanta Corp., Class B     18,128    
  379     Agree Realty Corp. (REIT)     11,389    
  831     Alabama National Bancorporation     64,228    
  2,023     Aldabra 2 Acquisition Corp.*     19,279    
  2,979     Alesco Financial, Inc. (REIT)     11,082    
  98     Alexander's, Inc. (REIT)*     38,186    
  1,557     Alexandria Real Estate Equities,
Inc. (REIT)		     152,944    
  1,601     Alfa Corp.     34,598    
  2,023     Alternative Asset Management
Acquisition Corp.*		     18,531    
  1,128     Amcore Financial, Inc.     26,508    
  1,323     American Campus Communities,
Inc. (REIT)		     34,213    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  2,777     American Equity Investment Life
Holding Co.		   $ 25,021    
  6,364     American Financial Realty Trust (REIT)     51,357    
  442     American Physicians Capital, Inc.     18,546    
  840     AmericanWest Bancorp     15,246    
  661     Ameris Bancorp     11,125    
  918     Amerisafe, Inc.*     14,009    
  998     Ampal American Israel, Class A*     6,497    
  1,251     Amtrust Financial Services, Inc.     15,888    
  956     Anchor Bancorp Wisconsin, Inc.     24,302    
  3,133     Anthracite Capital, Inc. (REIT)     23,936    
  2,229     Anworth Mortgage Asset Corp. (REIT)     15,648    
  5,828     Apollo Investment Corp.     103,214    
  661     Arbor Realty Trust, Inc. (REIT)     11,303    
  3,395     Ares Capital Corp.     51,129    
  1,434     Argo Group International Holdings Ltd.*     56,657    
  5,175     Ashford Hospitality Trust, Inc. (REIT)     40,054    
  4,306     Aspen Insurance Holdings Ltd.     124,013    
  729     Asset Acceptance Capital Corp.     8,238    
  718     Associated Estates Realty Corp. (REIT)     8,953    
  3,312     Assured Guaranty Ltd.     74,752    
  549     Asta Funding, Inc.     19,852    
  397     Baldwin & Lyons, Inc., Class B     10,695    
  390     Bancfirst Corp.     18,236    
  1,329     Banco Latinoamericano de
Exportaciones S.A., Class E		     23,736    
  525     Bancorp, Inc.*     8,484    
  2,703     Bank Mutual Corp.     27,354    
  597     Bank of the Ozarks, Inc.     17,367    
  2,040     BankAtlantic Bancorp, Inc., Class A     7,854    
  1,132     BankFinancial Corp.     17,897    
  1,560     BankUnited Financial Corp., Class A     12,449    
  756     Banner Corp.     22,650    
  1,780     Beneficial Mutual Bancorp, Inc.*     17,355    
  522     Berkshire Hills Bancorp, Inc.     12,669    
  3,198     BioMed Realty Trust, Inc. (REIT)     72,211    
  487     BlackRock Kelso Capital Corp.     6,954    
  1,810     Boston Private Financial Holdings, Inc.     49,847    
  3,080     Brookline Bancorp, Inc.     31,570    
  343     BRT Realty Trust (REIT)     5,179    
  1,042     Calamos Asset Management, Inc.,
Class A		     30,854    
  620     Capital City Bank Group, Inc.     17,999    
  467     Capital Corp. of the West     8,775    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  149     Capital Southwest Corp.   $ 17,916    
  667     Capital Trust, Inc., Class A (REIT)     20,517    
  696     Capitol Bancorp Ltd.     13,948    
  2,125     CapLease, Inc. (REIT)     18,700    
  1,097     Cascade Bancorp     19,022    
  1,451     Cash America International, Inc.     52,207    
  387     Castlepoint Holdings Ltd.     4,551    
  2,500     Cathay General Bancorp     72,450    
  1,424     CBRE Realty Finance, Inc. (REIT)     10,110    
  2,159     Cedar Shopping Centers, Inc. (REIT)     25,260    
  2,697     Centennial Bank Holdings, Inc.*     13,620    
  491     Center Financial Corp.     6,039    
  2,488     Centerline Holding Co.     30,080    
  1,502     Central Pacific Financial Corp.     30,355    
  1,212     Chemical Financial Corp.     30,421    
  2,253     Chittenden Corp.     78,923    
  3,699     Citizens Republic Bancorp, Inc.     52,600    
  1,689     Citizens, Inc./Texas*     11,080    
  667     City Bank     13,874    
  838     City Holding Co.     30,151    
  586     Clayton Holdings, Inc.*     2,303    
  583     Clifton Savings Bancorp, Inc.     6,180    
  808     CNA Surety Corp.*     16,669    
  904     CoBiz Financial, Inc.     14,771    
  854     Cohen & Steers, Inc.     24,228    
  874     Columbia Banking System, Inc.     26,928    
  2,388     Commerce Group, Inc.     85,849    
  509     Community Bancorp*     9,177    
  1,470     Community Bank System, Inc.     29,650    
  1,211     Community Banks, Inc.     35,652    
  743     Community Trust Bancorp, Inc.     20,990    
  1,034     Compass Diversified Holdings     15,396    
  994     CompuCredit Corp.*     12,882    
  279     Consolidated-Tomoka Land Co.     17,605    
  1,906     Corporate Office Properties Trust
SBI MD (REIT)		     68,845    
  1,901     Corus Bankshares, Inc.     18,040    
  1,980     Cousins Properties, Inc. (REIT)     47,065    
  772     Cowen Group, Inc.*     8,284    
  1,240     Crawford & Co., Class B*     4,960    
  250     Credit Acceptance Corp.*     4,768    
  1,221     Crystal River Capital, Inc. (REIT)     17,253    
  3,240     CVB Financial Corp.     36,029    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  375     Darwin Professional
Underwriters, Inc.*		   $ 8,625    
  8,228     DCT Industrial Trust, Inc. (REIT)     83,021    
  2,527     Deerfield Triarc Capital Corp. (REIT)     18,978    
  2,122     Delphi Financial Group, Inc.     81,570    
  808     Delta Financial Corp.     1,487    
  4,618     DiamondRock Hospitality Co. (REIT)     79,984    
  2,754     Digital Realty Trust, Inc. (REIT)     105,093    
  1,203     Dime Community Bancshares     16,325    
  784     Dollar Financial Corp.*     23,426    
  649     Donegal Group, Inc., Class A     10,962    
  1,031     Downey Financial Corp.     42,900    
  1,160     EastGroup Properties, Inc. (REIT)     53,511    
  1,367     Education Realty Trust, Inc. (REIT)     16,390    
  652     eHealth, Inc.*     20,205    
  292     EMC Insurance Group, Inc.     7,110    
  2,424     Employers Holdings, Inc.     43,123    
  785     Encore Capital Group, Inc.*     8,062    
  1,091     Energy Infrastructure Acquisition Corp.*     10,986    
  342     Enstar Group Ltd.*     37,107    
  503     Enterprise Financial Services Corp.     11,534    
  1,372     Entertainment Properties Trust (REIT)     73,114    
  425     Epoch Holding Corp.     5,946    
  984     Equity Lifestyle Properties, Inc. (REIT)     45,648    
  1,778     Equity One, Inc. (REIT)     42,085    
  450     Evercore Partners, Inc., Class A     9,437    
  3,145     Extra Space Storage, Inc. (REIT)     44,848    
  1,810     Ezcorp, Inc., Class A*     22,734    
  703     FBL Financial Group, Inc., Class A     26,060    
  1,518     FBR Capital Markets Corp.*     15,286    
  430     FCStone Group, Inc.*     18,150    
  504     Federal Agricultural Mortgage Corp.,
Class C		     13,714    
  3,048     FelCor Lodging Trust, Inc. (REIT)     53,370    
  1,314     Financial Federal Corp.     29,026    
  835     First Acceptance Corp.*     3,373    
  588     First Bancorp/North Carolina     11,237    
  4,519     First Bancorp/Puerto Rico     29,554    
  1,268     First Busey Corp.     26,489    
  1,216     First Cash Financial Services, Inc.*     20,672    
  1,717     First Charter Corp.     51,716    
  3,615     First Commonwealth Financial Corp.     42,079    
  1,264     First Community Bancorp, Inc.     56,867    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  491     First Community Bancshares, Inc.   $ 15,766    
  1,622     First Financial Bancorp     18,621    
  1,014     First Financial Bankshares, Inc.     39,546    
  645     First Financial Corp.     18,305    
  583     First Financial Holdings, Inc.     15,980    
  604     First Indiana Corp.     19,237    
  2,217     First Industrial Realty Trust, Inc. (REIT)     80,965    
  895     First Merchants Corp.     19,413    
  604     First Mercury Financial Corp.*     12,817    
  2,429     First Midwest Bancorp, Inc.     79,428    
  4,952     First Niagara Financial Group, Inc.     61,553    
  852     First Place Financial Corp.     12,303    
  1,183     First Potomac Realty Trust (REIT)     22,311    
  408     First Regional Bancorp*     8,992    
  416     First South Bancorp, Inc.     10,030    
  999     First State Bancorporation     14,605    
  666     FirstFed Financial Corp.*     23,323    
  3,931     FirstMerit Corp.     81,018    
  2,173     Flagstar Bancorp, Inc.     13,690    
  671     Flagstone Reinsurance Holdings Ltd.     9,495    
  1,032     Flushing Financial Corp.     16,574    
  2,949     FNB Corp./Pennsylvania     45,739    
  446     Fpic Insurance Group, Inc.*     19,058    
  1,238     Franklin Bank Corp.*     5,262    
  2,907     Franklin Street Properties Corp. (REIT)     48,111    
  3,310     Fremont General Corp.     8,308    
  6,857     Friedman Billings Ramsey Group, Inc.,
Class A (REIT)		     20,502    
  1,913     Frontier Financial Corp.     36,653    
  270     GAMCO Investors, Inc.     14,391    
  847     Getty Realty Corp. (REIT)     22,971    
  783     GFI Group, Inc.*     76,249    
  2,574     Glacier Bancorp, Inc.     51,248    
  696     Gladstone Capital Corp.     13,635    
  1,813     Glimcher Realty Trust (REIT)     35,190    
  1,535     GMH Communities Trust (REIT)     8,964    
  1,216     Gramercy Capital Corp. (REIT)     28,916    
  508     Great Southern Bancorp, Inc.     11,293    
  558     Green Bankshares, Inc.     16,667    
  874     Greenhill & Co., Inc.     63,181    
  524     Greenlight Capital Re Ltd., Class A*     11,387    
  772     Grubb & Ellis Co.*     3,984    
  224     Hallmark Financial Services*     3,351    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,307     Hancock Holding Co.   $ 51,247    
  1,985     Hanmi Financial Corp.     19,036    
  722     Harleysville Group, Inc.     25,270    
  1,501     Harleysville National Corp.     23,040    
  2,476     Healthcare Realty Trust, Inc. (REIT)     62,965    
  621     Heartland Financial USA, Inc.     12,414    
  1,582     Hercules Technology Growth
Capital, Inc.		     18,683    
  653     Heritage Commerce Corp.     11,623    
  1,992     Hersha Hospitality Trust (REIT)     20,279    
  803     HFF, Inc., Class A*     5,484    
  2,779     Highwoods Properties, Inc. (REIT)     88,178    
  1,796     Hilb Rogal & Hobbs Co.     76,779    
  2,317     Hilltop Holdings, Inc.*     25,116    
  562     Home Bancshares, Inc.     11,257    
  1,624     Home Properties, Inc. (REIT)     73,389    
  2,110     Horace Mann Educators Corp.     41,272    
  599     Horizon Financial Corp.     10,309    
  567     IBERIABANK Corp.     27,443    
  3,717     IMPAC Mortgage Holdings, Inc. (REIT)     2,267    
  269     Imperial Capital Bancorp, Inc.     6,133    
  309     Independence Holding Co.     4,190    
  694     Independent Bank Corp./Massachusetts     20,084    
  1,103     Independent Bank Corp./Michigan     10,545    
  799     Infinity Property & Casualty Corp.     31,233    
  1,580     Information Services Group, Inc.*     10,633    
  2,838     Inland Real Estate Corp. (REIT)     41,492    
  1,015     Integra Bank Corp.     16,311    
  1,954     Interactive Brokers Group, Inc.*     57,448    
  2,503     International Bancshares Corp.     55,166    
  1,900     International Securities Exchange
Holdings, Inc.		     127,661    
  2,494     Investors Bancorp, Inc.*     36,587    
  2,356     Investors Real Estate Trust (REIT)     23,701    
  2,954     IPC Holdings Ltd.     87,320    
  919     Irwin Financial Corp.     7,471    
  285     James River Group, Inc.     9,747    
  1,264     JER Investors Trust, Inc. (REIT)     12,362    
  240     K-Fed Bancorp     2,918    
  227     Kansas City Life Insurance Co.     10,233    
  1,430     KBW, Inc.*     37,752    
  1,046     Kearny Financial Corp.     13,242    
  1,019     Kite Realty Group Trust (REIT)     15,947    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,348     KNBT Bancorp, Inc.   $ 21,379    
  4,744     Knight Capital Group, Inc., Class A*     63,332    
  698     Kohlberg Capital Corp.     7,322    
  2,598     LaBranche & Co., Inc.*     13,795    
  4,785     Ladenburg Thalmann Financial
Services, Inc.*		     9,235    
  980     Lakeland Bancorp, Inc.     11,280    
  595     Lakeland Financial Corp.     11,269    
  761     LandAmerica Financial Group, Inc.     20,030    
  1,959     LaSalle Hotel Properties (REIT)     72,875    
  3,233     Lexington Realty Trust (REIT)     57,192    
  1,156     LTC Properties, Inc. (REIT)     27,212    
  2,116     Luminent Mortgage Capital, Inc. (REIT)     2,179    
  756     Macatawa Bank Corp.     7,545    
  1,830     Maguire Properties, Inc. (REIT)     46,262    
  915     MainSource Financial Group, Inc.     13,780    
  1,849     Marathon Acquisition Corp.*     14,626    
  1,517     MarketAxess Holdings, Inc.*     21,784    
  2,946     Max Capital Group Ltd.     83,401    
  1,782     MB Financial, Inc.     56,489    
  3,053     MCG Capital Corp.     34,499    
  1,566     Meadowbrook Insurance Group, Inc.*     14,392    
  2,422     Medical Properties Trust, Inc. (REIT)     27,175    
  2,234     Meruelo Maddux Properties, Inc.*     9,383    
  5,955     MFA Mortgage Investments, Inc. (REIT)     52,285    
  1,243     Mid-America Apartment Communities,
Inc. (REIT)		     60,024    
  482     Midland Co. (The)     30,829    
  1,078     Midwest Banc Holdings, Inc.     13,583    
  959     Mission West Properties (REIT)     9,820    
  5,025     Montpelier Re Holdings Ltd.     87,033    
  1,185     MVC Capital, Inc.     19,043    
  1,093     Nara Bancorp, Inc.     14,581    
  184     NASB Financial, Inc.     5,511    
  1,840     National Financial Partners Corp.     83,536    
  1,137     National Health Investors, Inc. (REIT)     32,314    
  259     National Interstate Corp.     8,529    
  2,397     National Penn Bancshares, Inc.     37,657    
  3,494     National Retail Properties, Inc. (REIT)     85,568    
  110     National Western Life Insurance Co.,
Class A		     22,107    
  4,360     Nationwide Health Properties,
Inc. (REIT)		     136,381    
  641     Navigators Group, Inc.*     37,627    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,575     NBT Bancorp, Inc.   $ 39,265    
  855     Nelnet, Inc., Class A     11,790    
  5,543     NewAlliance Bancshares, Inc.     71,505    
  2,029     Newcastle Investment Corp. (REIT)     26,397    
  675     NewStar Financial, Inc.*     6,197    
  852     NGP Capital Resources Co.     12,499    
  2,997     NorthStar Realty Finance Corp. (REIT)     27,482    
  896     Northwest Bancorp, Inc.     24,855    
  463     Novastar Financial, Inc. (REIT)     912    
  1,200     NTR Acquisition Co.*     11,508    
  285     NYMAGIC, Inc.     6,350    
  1,735     Ocwen Financial Corp.*     9,716    
  1,384     Odyssey Re Holdings Corp.     53,339    
  3,245     Old National Bancorp     51,855    
  593     Old Second Bancorp, Inc.     15,709    
  618     Omega Financial Corp.     19,127    
  3,285     Omega Healthcare Investors,
Inc. (REIT)		     53,118    
  2,134     optionsXpress Holdings, Inc.     64,895    
  1,012     Oriental Financial Group     13,642    
  594     Oritani Financial Corp.*     7,663    
  2,297     Pacific Capital Bancorp     47,203    
  592     Park National Corp.     44,737    
  776     Parkway Properties, Inc. (REIT)     30,706    
  2,130     Partners Trust Financial Group, Inc.     27,157    
  1,009     Patriot Capital Funding, Inc.     10,816    
  977     PennantPark Investment Corp.     11,226    
  1,570     Pennsylvania Real Estate Investment
Trust (REIT)		     54,212    
  710     Penson Worldwide, Inc.*     10,884    
  514     Peoples Bancorp, Inc.     12,434    
  1,105     PFF Bancorp, Inc.     10,387    
  5,574     Phoenix Cos., Inc. (The)     66,999    
  745     Pico Holdings, Inc.*     28,675    
  759     Pinnacle Financial Partners, Inc.*     22,110    
  855     Piper Jaffray Cos.*     39,604    
  2,924     Platinum Underwriters Holdings Ltd.     106,200    
  1,594     PMA Capital Corp., Class A*     13,932    
  738     Portfolio Recovery Associates, Inc.     29,727    
  2,132     Post Properties, Inc. (REIT)     77,413    
  1,906     Potlatch Corp. (REIT)     87,504    
  451     Preferred Bank     12,055    
  1,055     Presidential Life Corp.     18,188    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,200     Primus Guaranty Ltd.*   $ 14,058    
  922     PrivateBancorp, Inc.     28,222    
  1,629     ProAssurance Corp.*     89,334    
  1,149     Prospect Capital Corp.     16,109    
  1,735     Prosperity Bancshares, Inc.     55,763    
  1,575     Provident Bankshares Corp.     36,934    
  3,020     Provident Financial Services, Inc.     44,877    
  2,071     Provident New York Bancorp     25,266    
  777     PS Business Parks, Inc. (REIT)     41,919    
  387     QC Holdings, Inc.     5,375    
  814     Quadra Realty Trust, Inc. (REIT)     5,885    
  3,093     RAIT Financial Trust (REIT)     26,754    
  889     RAM Holdings Ltd.*     5,156    
  908     Ramco-Gershenson Properties Trust
(REIT)		     22,972    
  4,935     Realty Income Corp. (REIT)     140,647    
  1,032     Redwood Trust, Inc. (REIT)     31,507    
  1,035     Renasant Corp.     20,193    
  463     Republic Bancorp, Inc., Class A     7,524    
  645     Resource America, Inc., Class A     10,462    
  1,076     Resource Capital Corp. (REIT)     10,276    
  1,029     RLI Corp.     61,359    
  434     Rockville Financial, Inc.     5,933    
  496     Roma Financial Corp.     7,961    
  265     Royal Bancshares of Pennsylvania     3,169    
  1,212     S & T Bancorp, Inc.     38,820    
  793     Safety Insurance Group, Inc.     28,952    
  908     Sanders Morris Harris Group, Inc.     8,835    
  769     Sandy Spring Bancorp, Inc.     22,578    
  214     Santander BanCorp.     2,093    
  524     Saul Centers, Inc. (REIT)     29,915    
  449     SCBT Financial Corp.     13,919    
  3,322     Scottish Re Group Ltd.*     3,820    
  1,016     SeaBright Insurance Holdings, Inc.*     15,758    
  725     Seacoast Banking Corp. of Florida     9,099    
  799     Security Bank Corp.     9,005    
  1,164     Security Capital Assurance Ltd.     8,241    
  2,680     Selective Insurance Group     63,221    
  4,086     Senior Housing Properties Trust (REIT)     90,260    
  370     Sierra Bancorp     9,235    
  1,450     Signature Bank*     53,722    
  690     Simmons First National Corp., Class A     18,002    
  3,623     South Financial Group, Inc. (The)     64,924    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  560     Southside Bancshares, Inc.   $ 10,724    
  698     Southwest Bancorp, Inc.     12,529    
  1,058     Sovran Self Storage, Inc. (REIT)     46,245    
  922     Star Maritime Acquisition Corp.*     13,664    
  705     State Auto Financial Corp.     19,655    
  912     Sterling Bancorp     12,184    
  3,635     Sterling Bancshares, Inc.     44,856    
  1,290     Sterling Financial Corp./Pennsylvania     22,124    
  2,505     Sterling Financial Corp./Washington     44,915    
  840     Stewart Information Services Corp.     22,739    
  730     Stifel Financial Corp.*     33,981    
  3,632     Strategic Hotels & Resorts, Inc. (REIT)     66,502    
  242     Stratus Properties, Inc.*     7,599    
  491     Suffolk Bancorp     15,152    
  768     Sun Bancorp, Inc.*     12,941    
  782     Sun Communities, Inc. (REIT)     19,143    
  3,051     Sunstone Hotel Investors, Inc. (REIT)     70,783    
  1,968     Superior Bancorp*     11,788    
  4,158     Susquehanna Bancshares, Inc.     82,703    
  1,675     SVB Financial Group*     86,229    
  1,090     SWS Group, Inc.     14,780    
  601     SY Bancorp, Inc.     14,220    
  1,528     Tanger Factory Outlet Centers (REIT)     64,344    
  283     Taylor Capital Group, Inc.     6,266    
  1,043     Technology Investment Capital Corp.     10,899    
  540     Tejon Ranch Co.*     20,871    
  1,144     Texas Capital Bancshares, Inc.*     24,116    
  1,160     Thomas Properties Group, Inc.     12,087    
  1,054     Thomas Weisel Partners Group, Inc.*     14,482    
  882     TierOne Corp.     20,639    
  321     Tompkins Financial Corp.     13,659    
  974     Tower Group, Inc.     31,577    
  1,415     TradeStation Group, Inc.*     16,881    
  559     Triad Guaranty, Inc.*     4,813    
  685     Trico Bancshares     14,529    
  3,670     Trustco Bank Corp. NY     39,012    
  2,391     Trustmark Corp.     60,875    
  2,263     U-Store-It Trust (REIT)     22,743    
  577     U.S. Global Investors, Inc., Class A     9,503    
  4,881     UCBH Holdings, Inc.     78,486    
  1,513     UMB Financial Corp.     56,919    
  2,993     Umpqua Holdings Corp.     48,307    
  652     Union Bankshares Corp.     13,503    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,205     United America Indemnity Ltd.,
Class A*		   $ 23,859    
  1,872     United Bankshares, Inc.     58,182    
  2,030     United Community Banks, Inc.     38,489    
  1,310     United Community Financial Corp.     7,428    
  1,070     United Fire & Casualty Co.     32,977    
  400     United Security Bancshares     6,220    
  576     Universal Health Realty Income Trust
(REIT)		     18,950    
  634     Univest Corp. of Pennsylvania     13,504    
  1,033     Urstadt Biddle Properties, Inc.,
Class A (REIT)		     17,437    
  552     USB Holding Co., Inc.     11,636    
  772     Validus Holdings Ltd.*     19,223    
  567     ViewPoint Financial Group     10,110    
  837     Virginia Commerce Bancorp*     10,488    
  5,575     W Holding Co., Inc.     6,523    
  4,100     Waddell & Reed Financial, Inc.     140,138    
  2,201     Washington Real Estate Investment
Trust (REIT)		     70,520    
  558     Washington Trust Bancorp, Inc.     13,866    
  478     Wauwatosa Holdings, Inc.*     6,377    
  1,021     WesBanco, Inc.     24,484    
  767     West Coast Bancorp     15,309    
  1,468     Westamerica Bancorporation     69,011    
  810     Western Alliance Bancorp*     17,869    
  505     Westfield Financial, Inc.     4,878    
  861     Wilshire Bancorp, Inc.     8,025    
  2,471     Winthrop Realty Trust (REIT)     13,195    
  1,180     Wintrust Financial Corp.     41,678    
  856     World Acceptance Corp.*     27,024    
  1,071     WP Stewart & Co., Ltd.     6,094    
  307     WSFS Financial Corp.     17,155    
  1,810     Zenith National Insurance Corp.     76,074    
      12,416,561    
    Health Care — 12.5%  
  1,021     Abaxis, Inc.*     33,867    
  1,412     Abiomed, Inc.*     18,144    
  1,513     Acadia Pharmaceuticals, Inc.*     17,157    
  804     Accuray, Inc.*     13,354    
  1,217     Acorda Therapeutics, Inc.*     22,770    
  1,740     Adams Respiratory Therapeutics, Inc.*     75,064    
  208     Affymax, Inc.*     5,296    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,352     Affymetrix, Inc.*   $ 69,889    
  510     Air Methods Corp.*     26,852    
  2,690     Akorn, Inc.*     20,552    
  1,193     Albany Molecular Research, Inc.*     15,760    
  1,779     Alexion Pharmaceuticals, Inc.*     129,369    
  991     Alexza Pharmaceuticals, Inc.*     8,681    
  2,891     Align Technology, Inc.*     48,829    
  4,913     Alkermes, Inc.*     70,059    
  1,246     Alliance Imaging, Inc.*     11,899    
  2,041     Allos Therapeutics, Inc.*     14,103    
  2,704     Allscripts Healthcare Solutions, Inc.*     47,834    
  1,710     Alnylam Pharmaceuticals, Inc.*     55,780    
  2,118     Alpharma, Inc., Class A*     44,478    
  1,037     Altus Pharmaceuticals, Inc.*     10,982    
  818     AMAG Pharmaceuticals, Inc.*     47,141    
  1,268     Amedisys, Inc.*     54,093    
  613     American Dental Partners, Inc.*     12,217    
  3,520     American Medical Systems
Holdings, Inc.*		     48,118    
  2,578     AMERIGROUP Corp.*     88,606    
  244     Amicus Therapeutics, Inc.*     3,733    
  1,695     AMN Healthcare Services, Inc.*     28,612    
  1,493     Amsurg Corp.*     38,609    
  647     Analogic Corp.     34,822    
  1,025     Angiodynamics, Inc.*     19,895    
  576     Animal Health International, Inc.*     6,912    
  3,852     Applera Corp.- Celera Group*     58,242    
  2,132     Apria Healthcare Group, Inc.*     46,201    
  3,526     Arena Pharmaceuticals, Inc.*     30,853    
  3,355     Ariad Pharmaceuticals, Inc.*     15,098    
  1,902     Arqule, Inc.*     12,344    
  2,296     Array Biopharma, Inc.*     25,417    
  1,344     Arthrocare Corp.*     72,751    
  756     Aspect Medical Systems, Inc.*     11,234    
  2,941     Assisted Living Concepts, Inc.,
Class A*		     20,234    
  1,527     Auxilium Pharmaceuticals, Inc.*     42,832    
  1,492     Beijing Med-Pharm Corp.*     15,099    
  934     Bentley Pharmaceuticals, Inc.*     11,759    
  913     Bio-Rad Laboratories, Inc., Class A*     92,131    
  542     Bio-Reference Labs, Inc.*     18,141    
  245     Biodel, Inc.*     4,305    
  4,680     BioMarin Pharmaceutical, Inc.*     128,700    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  524     BioMimetic Therapeutics, Inc.*   $ 6,388    
  2,567     Bionovo, Inc.*     4,826    
  622     Bradley Pharmaceuticals, Inc.*     12,247    
  3,174     Bruker BioSciences Corp.*     29,487    
  790     Cadence Pharmaceuticals, Inc.*     10,633    
  1,401     Cambrex Corp.     10,844    
  563     Cantel Medical Corp.*     9,960    
  1,135     Capital Senior Living Corp.*     9,318    
  519     Caraco Pharmaceutical
Laboratories Ltd.*		     7,660    
  3,813     Cell Genesys, Inc.*     8,884    
  2,131     Centene Corp.*     53,275    
  2,692     Cepheid, Inc.*     58,228    
  1,168     Chemed Corp.     63,247    
  444     Computer Programs & Systems, Inc.     9,888    
  1,437     Conceptus, Inc.*     28,869    
  1,382     Conmed Corp.*     34,384    
  372     Corvel Corp.*     8,649    
  1,566     Cross Country Healthcare, Inc.*     22,801    
  1,203     CryoLife, Inc.*     8,638    
  2,704     Cubist Pharmaceuticals, Inc.*     57,433    
  620     Cutera, Inc.*     9,387    
  2,900     CV Therapeutics, Inc.*     25,288    
  1,085     Cyberonics, Inc.*     14,799    
  392     Cynosure, Inc., Class A*     11,639    
  1,807     Cypress Bioscience, Inc.*     22,045    
  1,681     Cytokinetics, Inc.*     8,170    
  4,241     CytRx Corp.*     14,165    
  628     Datascope Corp.     22,979    
  4,080     Dendreon Corp.*     20,400    
  929     Dionex Corp.*     78,473    
  4,133     Discovery Laboratories, Inc.*     12,068    
  3,618     Durect Corp.*     20,984    
  2,232     Eclipsys Corp.*     51,782    
  454     Emergency Medical Services Corp.*     13,965    
  290     Emergent Biosolutions, Inc.*     1,621    
  597     Emeritus Corp.*     15,044    
  3,328     Encysive Pharmaceuticals, Inc.*     2,230    
  1,517     Enzo Biochem, Inc.*     16,626    
  2,153     Enzon Pharmaceuticals, Inc.*     20,367    
  1,913     eResearchTechnology, Inc.*     22,688    
  2,263     ev3, Inc.*     33,130    
  5,094     Exelixis, Inc.*     44,471    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  667     Genomic Health, Inc.*   $ 16,155    
  1,349     Gentiva Health Services, Inc.*     24,363    
  3,237     GenVec, Inc.*     5,956    
  3,560     Geron Corp.*     23,033    
  1,091     Greatbatch, Inc.*     22,453    
  823     GTx, Inc.*     11,827    
  1,297     Haemonetics Corp.*     75,239    
  3,146     Halozyme Therapeutics, Inc.*     26,678    
  468     Hansen Medical, Inc.*     13,801    
  1,510     HealthExtras, Inc.*     40,121    
  3,847     Healthsouth Corp.*     76,286    
  2,336     Healthspring, Inc.*     44,150    
  1,713     Healthways, Inc.*     99,988    
  1,026     HMS Holdings Corp.*     31,857    
  5,977     Hologic, Inc.*     396,813    
  6,560     Human Genome Sciences, Inc.*     68,290    
  1,818     Hythiam, Inc.*     5,872    
  1,002     I-Flow Corp.*     16,703    
  631     ICU Medical, Inc.*     23,423    
  1,216     Idenix Pharmaceuticals, Inc.*     2,906    
  2,619     Illumina, Inc.*     151,352    
  3,365     Immucor, Inc.*     111,617    
  2,836     Immunomedics, Inc.*     6,409    
  4,103     Incyte Corp.*     35,204    
  2,978     Indevus Pharmaceuticals, Inc.*     22,305    
  383     Insulet Corp.*     10,517    
  879     Integra LifeSciences Holdings Corp.*     36,435    
  1,461     InterMune, Inc.*     23,727    
  1,406     Invacare Corp.     36,556    
  1,521     inVentiv Health, Inc.*     44,383    
  3,289     Inverness Medical Innovations, Inc.*     192,999    
  4,248     Isis Pharmaceuticals, Inc.*     75,147    
  2,077     Javelin Pharmaceuticals, Inc.*     8,640    
  293     Jazz Pharmaceuticals, Inc.*     4,544    
  620     Kendle International, Inc.*     26,765    
  583     Kensey Nash Corp.*     15,718    
  2,128     Keryx Biopharmaceuticals, Inc.*     19,578    
  1,403     Kindred Healthcare, Inc.*     34,472    
  2,078     Kosan Biosciences, Inc.*     9,912    
  1,728     KV Pharmaceutical Co., Class A*     48,730    
  449     Landauer, Inc.     22,544    
  931     LCA-Vision, Inc.     15,138    
  709     LHC Group, Inc.*     18,150    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,656     Lifecell Corp.*   $ 67,151    
  4,159     Ligand Pharmaceuticals, Inc., Class B     20,421    
  1,750     Luminex Corp.*     28,018    
  1,910     Magellan Health Services, Inc.*     86,810    
  2,578     MannKind Corp.*     24,233    
  1,576     Martek Biosciences Corp.*     40,755    
  670     Masimo Corp.*     24,763    
  1,042     Matria Healthcare, Inc.*     23,674    
  1,192     Maxygen, Inc.*     9,023    
  6,153     Medarex, Inc.*     78,143    
  492     Medcath Corp.*     12,507    
  680     Medical Action Industries, Inc.*     13,607    
  2,527     Medicines Co. (The)*     44,677    
  2,728     Medicis Pharmaceutical Corp., Class A     73,383    
  1,042     Medivation, Inc.*     14,171    
  1,651     Mentor Corp.     62,061    
  1,940     Meridian Bioscience, Inc.     59,849    
  1,338     Merit Medical Systems, Inc.*     19,441    
  706     Metabolix, Inc.*     15,193    
  3,897     MGI Pharma, Inc.*     134,875    
  733     Micrus Endovascular Corp.*     13,421    
  2,301     Minrad International, Inc.*     6,236    
  246     Molecular Insight Pharmaceuticals, Inc.*     2,162    
  667     Molina Healthcare, Inc.*     25,006    
  1,158     Momenta Pharmaceuticals, Inc.*     6,184    
  416     MWI Veterinary Supply, Inc.*     17,505    
  2,103     Myriad Genetics, Inc.*     101,365    
  2,963     Nabi Biopharmaceuticals*     9,778    
  1,245     Nastech Pharmaceutical Co., Inc.*     4,731    
  341     National Healthcare Corp.     16,743    
  1,054     Natus Medical, Inc.*     17,781    
  4,479     Nektar Therapeutics*     29,875    
  1,856     Neurocrine Biosciences, Inc.*     24,165    
  1,546     Neurogen Corp.*     5,102    
  1,030     Nighthawk Radiology Holdings, Inc.*     21,774    
  954     Northstar Neuroscience, Inc.*     8,805    
  349     Novacea, Inc.*     995    
  1,213     Noven Pharmaceuticals, Inc.*     19,202    
  1,686     NuVasive, Inc.*     71,773    
  987     NxStage Medical, Inc.*     12,693    
  261     Obagi Medical Products, Inc.*     4,802    
  1,650     Odyssey HealthCare, Inc.*     16,500    
  1,643     Omnicell, Inc.*     43,326    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  669     Omrix Biopharmaceuticals, Inc.*   $ 22,338    
  2,673     Onyx Pharmaceuticals, Inc.*     145,785    
  2,256     OraSure Technologies, Inc.*     21,387    
  356     Orexigen Therapeutics, Inc.*     4,689    
  808     Orthofix International N.V.*     47,195    
  2,817     OSI Pharmaceuticals, Inc.*     131,357    
  664     Osiris Therapeutics, Inc.*     7,417    
  1,979     Owens & Minor, Inc.     77,715    
  1,758     Pain Therapeutics, Inc.*     18,441    
  896     Palomar Medical Technologies, Inc.*     15,716    
  1,652     Par Pharmaceutical Cos., Inc.*     31,785    
  1,360     Parexel International Corp.*     60,180    
  1,138     Penwest Pharmaceuticals Co.*     6,930    
  3,755     Perrigo Co.     116,030    
  912     PharmaNet Development Group, Inc.*     36,024    
  1,321     PharMerica Corp.*     19,458    
  1,271     Pharmion Corp.*     81,141    
  2,009     Phase Forward, Inc.*     49,020    
  1,136     Poniard Pharmaceuticals, Inc.*     5,112    
  1,245     Pozen, Inc.*     12,985    
  970     PRA International*     29,391    
  1,248     Progenics Pharmaceuticals, Inc.*     24,211    
  111     Protalix BioTherapeutics, Inc.*     405    
  565     Providence Service Corp. (The)*     15,809    
  3,283     PSS World Medical, Inc.*     62,968    
  2,652     Psychiatric Solutions, Inc.*     96,878    
  1,402     Quidel Corp.*     26,498    
  634     Radiation Therapy Services, Inc.*     19,775    
  1,455     Regeneration Technologies, Inc.*     12,920    
  3,110     Regeneron Pharmaceuticals, Inc.*     67,736    
  853     RehabCare Group, Inc.*     19,704    
  1,190     Res-Care, Inc.*     27,108    
  1,476     Rigel Pharmaceuticals, Inc.*     10,568    
  2,304     Salix Pharmaceuticals Ltd.*     26,173    
  2,480     Santarus, Inc.*     6,299    
  2,594     Savient Pharmaceuticals, Inc.*     36,472    
  1,723     Sciele Pharma, Inc.*     38,457    
  2,383     Seattle Genetics, Inc.*     26,189    
  1,482     Senomyx, Inc.*     10,374    
  818     Sirona Dental Systems, Inc.*     22,135    
  296     Sirtris Pharmaceuticals, Inc.*     4,763    
  1,094     Skilled Healthcare Group, Inc.*     16,574    
  496     Somaxon Pharmaceuticals, Inc.*     2,882    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,289     Sonic Innovations, Inc.*   $ 10,737    
  811     SonoSite, Inc.*     26,941    
  1,522     Spectranetics Corp.*     23,089    
  1,278     Stereotaxis, Inc.*     17,240    
  3,184     STERIS Corp.     89,025    
  211     Sucampo Pharmaceuticals, Inc.,
Class A*		     2,798    
  2,098     Sun Healthcare Group, Inc.*     34,806    
  2,184     Sunrise Senior Living, Inc.*     68,556    
  2,608     SuperGen, Inc.*     11,032    
  741     SurModics, Inc.*     38,265    
  1,724     Symmetry Medical, Inc.*     29,032    
  244     Synta Pharmaceuticals Corp.*     1,818    
  2,563     Telik, Inc.*     8,586    
  1,610     Tercica, Inc.*     10,690    
  2,599     Thoratec Corp.*     50,914    
  574     TomoTherapy, Inc.*     10,676    
  2,211     Trizetto Group*     34,116    
  424     Trubion Pharmaceuticals, Inc.*     4,236    
  1,015     United Therapeutics Corp.*     101,581    
  2,383     Universal American Financial Corp.*     56,811    
  4,642     Valeant Pharmaceuticals International*     53,615    
  1,298     Vanda Pharmaceuticals, Inc.*     11,669    
  1,498     Varian, Inc.*     104,935    
  1,311     Ventana Medical Systems, Inc.*     116,443    
  3,410     Viropharma, Inc.*     30,485    
  750     Visicu, Inc.*     6,285    
  834     Vital Images, Inc.*     15,045    
  529     Vital Signs, Inc.     27,989    
  2,851     Vivus, Inc.*     16,137    
  1,409     Volcano Corp.*     20,586    
  1,612     West Pharmaceutical Services, Inc.     60,563    
  1,731     Wright Medical Group, Inc.*     46,702    
  1,053     XenoPort, Inc.*     55,377    
  6,434     XOMA Ltd.*     23,162    
  996     Zoll Medical Corp.*     23,187    
  1,900     Zymogenetics, Inc.*     27,892    
      8,802,248    
    Industrials — 13.2%  
  860     3D Systems Corp.*     15,110    
  676     AAON, Inc.     12,864    
  1,822     AAR Corp.*     60,162    
  2,116     ABM Industries, Inc.     43,166    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  2,867     ABX Air, Inc.*   $ 12,758    
  2,636     ACCO Brands Corp.*     44,048    
  1,151     Accuride Corp.*     8,736    
  2,678     Actuant Corp., Class A     84,812    
  2,122     Acuity Brands, Inc.     83,798    
  1,142     Administaff, Inc.     37,321    
  882     Advisory Board Co. (The)*     57,339    
  2,095     Aecom Technology Corp.*     55,706    
  340     Aerovironment, Inc.*     8,191    
  4,470     Airtran Holdings, Inc.*     37,950    
  1,977     Alaska Air Group, Inc.*     50,077    
  1,433     Albany International Corp.     55,414    
  258     Allegiant Travel Co.*     9,133    
  561     Altra Holdings, Inc.*     8,993    
  489     Amerco, Inc.*     32,015    
  2,450     American Commercial Lines, Inc.*     42,605    
  792     American Ecology Corp.     17,614    
  478     American Railcar Industries, Inc.     7,352    
  1,454     American Reprographics Co.*     22,508    
  448     American Science & Engineering, Inc.     25,917    
  1,984     American Superconductor Corp.*     47,894    
  532     American Woodmark Corp.     10,305    
  445     Ameron International Corp.     47,072    
  353     Ampco-Pittsburgh Corp.     12,433    
  84     Amrep Corp.     2,777    
  1,005     AO Smith Corp.     35,567    
  1,407     Apogee Enterprises, Inc.     31,264    
  2,104     Applied Industrial Technologies, Inc.     63,562    
  636     Argon ST, Inc.*     11,588    
  1,102     Arkansas Best Corp.     25,126    
  1,654     Arrowhead Research Corp.*     6,748    
  919     Astec Industries, Inc.*     34,518    
  995     ASV, Inc.*     11,602    
  652     Atlas Air Worldwide Holdings, Inc.*     34,328    
  569     AZZ, Inc.*     15,238    
  695     Badger Meter, Inc.     27,105    
  2,236     Baldor Electric Co.     75,465    
  2,251     Barnes Group, Inc.     69,691    
  363     Barrett Business Services, Inc.     5,946    
  2,163     Beacon Roofing Supply, Inc.*     19,921    
  2,201     Belden, Inc.     101,356    
  1,859     Blount International, Inc.*     22,810    
  563     BlueLinx Holdings, Inc.     2,308    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,348     Bowne & Co., Inc.   $ 24,345    
  2,462     Brady Corp., Class A     98,554    
  2,416     Briggs & Stratton Corp.     55,085    
  1,827     Bucyrus International, Inc.     160,246    
  747     Builders FirstSource, Inc.*     5,169    
  577     Cascade Corp.     34,810    
  1,111     Casella Waste Systems, Inc.*     16,632    
  2,318     CBIZ, Inc.*     21,418    
  631     CDI Corp.     16,829    
  1,149     Celadon Group, Inc.*     8,962    
  2,623     Cenveo, Inc.*     53,929    
  1,329     Ceradyne, Inc.*     65,706    
  665     Chart Industries, Inc.*     18,487    
  799     CIRCOR International, Inc.     34,669    
  2,505     Clarcor, Inc.     89,203    
  810     Clean Harbors, Inc.*     43,529    
  410     Coleman Cable, Inc.*     4,260    
  920     Columbus McKinnon Corp.*     28,630    
  2,001     Comfort Systems USA, Inc.     23,512    
  1,045     Commercial Vehicle Group, Inc.*     13,930    
  60     Compx International, Inc.     846    
  857     COMSYS IT Partners, Inc.*     11,441    
  454     Consolidated Graphics, Inc.*     23,485    
  519     Cornell Cos., Inc.*     12,207    
  938     CoStar Group, Inc.*     45,202    
  509     Courier Corp.     16,731    
  537     CRA International, Inc.*     24,842    
  760     Cubic Corp.     30,005    
  2,164     Curtiss-Wright Corp.     116,726    
  2,535     Deluxe Corp.     80,081    
  1,380     Diamond Management & Technology
Consultants, Inc.		     10,253    
  1,049     Dollar Thrifty Automotive Group*     27,211    
  518     Dynamex, Inc.*     14,229    
  591     Dynamic Materials Corp.     37,511    
  1,220     DynCorp International, Inc., Class A*     25,498    
  2,283     Eagle Bulk Shipping, Inc.     65,294    
  861     EDO Corp.     48,061    
  846     Electro Rent Corp.     11,573    
  3,116     EMCOR Group, Inc.*     83,010    
  1,141     Encore Wire Corp.     19,511    
  1,935     Energy Conversion Devices, Inc.*     50,058    
  1,045     EnerSys*     24,317    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,250     Ennis, Inc.   $ 22,950    
  1,048     EnPro Industries, Inc.*     32,069    
  1,267     ESCO Technologies, Inc.*     46,854    
  1,429     Esterline Technologies Corp.*     74,622    
  4,177     Evergreen Solar, Inc.*     55,011    
  725     Exponent, Inc.*     20,191    
  2,648     ExpressJet Holdings, Inc.*     6,620    
  2,342     Federal Signal Corp.     26,933    
  363     First Advantage Corp., Class A*     6,607    
  1,821     Flow International Corp.*     14,386    
  3,325     Force Protection, Inc.*     35,943    
  1,474     Forward Air Corp.     47,713    
  943     Franklin Electric Co., Inc.     36,739    
  599     FreightCar America, Inc.     20,348    
  2,315     FTI Consulting, Inc.*     131,955    
  846     Fuel Tech, Inc.*     20,651    
  3,237     FuelCell Energy, Inc.*     29,360    
  1,051     G&K Services, Inc., Class A     42,744    
  512     Gehl Co.*     8,300    
  982     Genco Shipping & Trading Ltd.     62,161    
  2,741     GenCorp, Inc.*     33,166    
  1,526     Genesee & Wyoming, Inc.*     39,981    
  1,390     Genlyte Group, Inc.*     131,007    
  2,463     Geo Group, Inc. (The)*     62,708    
  855     GeoEye, Inc.*     27,121    
  1,222     Gibraltar Industries, Inc.     17,084    
  1,838     Goodman Global, Inc.*     43,469    
  561     Gorman-Rupp Co. (The)     22,131    
  5,094     GrafTech International Ltd.*     81,861    
  1,760     Granite Construction, Inc.     72,195    
  574     Great Lakes Dredge & Dock Corp.     5,114    
  781     Greenbrier Cos., Inc.     17,323    
  1,457     Griffon Corp.*     18,824    
  869     H&E Equipment Services, Inc.*     15,008    
  543     Hardinge, Inc.     8,563    
  2,032     Healthcare Services Group     44,501    
  2,832     Heartland Express, Inc.     41,149    
  1,249     Heico Corp.     61,526    
  879     Heidrick & Struggles International, Inc.     31,881    
  3,102     Herman Miller, Inc.     85,150    
  4,608     Hexcel Corp.*     117,366    
  1,643     Horizon Lines, Inc., Class A     32,712    
  766     Houston Wire & Cable Co.     11,344    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,894     HUB Group, Inc., Class A*   $ 49,396    
  1,233     Hudson Highland Group, Inc.*     10,986    
  273     Hurco Cos., Inc.*     11,267    
  911     Huron Consulting Group, Inc.*     66,749    
  396     ICT Group, Inc.*     4,388    
  1,537     IHS, Inc., Class A*     107,805    
  1,158     II-Vi, Inc.*     38,839    
  5,253     IKON Office Solutions, Inc.     66,345    
  1,139     Innerworkings, Inc.*     18,053    
  616     Innovative Solutions & Support, Inc.*     8,766    
  1,333     Insituform Technologies, Inc.*     17,316    
  893     Insteel Industries, Inc.     10,153    
  654     Integrated Electrical Services, Inc.*     12,276    
  2,673     Interface, Inc., Class A     46,617    
  1,352     Interline Brands, Inc.*     32,353    
  1,559     Ionatron, Inc.*     5,394    
  8,723     JetBlue Airways Corp.*     61,061    
  681     Kadant, Inc.*     20,062    
  1,189     Kaman Corp.     37,929    
  1,382     Kaydon Corp.     69,943    
  1,138     Kelly Services, Inc., Class A     21,679    
  1,234     Kenexa Corp.*     23,903    
  1,582     Kforce, Inc.*     17,165    
  2,795     Knight Transportation, Inc.     42,484    
  2,427     Knoll, Inc.     42,424    
  2,328     Korn/Ferry International*     40,111    
  516     L.B. Foster Co., Class A*     23,638    
  2,147     Labor Ready, Inc.*     32,312    
  709     Ladish Co., Inc.*     31,309    
  204     Lawson Products     6,901    
  817     Layne Christensen Co.*     46,528    
  1,234     LECG Corp.*     19,571    
  569     Lindsay Corp.     30,111    
  897     LSI Industries, Inc.     18,532    
  592     M&F Worldwide Corp.*     30,411    
  747     Marten Transport Ltd.*     8,187    
  1,230     Mcgrath Rentcorp     32,706    
  1,118     Medis Technologies Ltd.*     14,277    
  353     Michael Baker Corp.*     12,330    
  668     Middleby Corp.*     50,695    
  1,201     Midwest Air Group, Inc.*     18,712    
  489     Miller Industries, Inc.*     6,372    
  1,374     Mine Safety Appliances Co.     67,340    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,754     Mobile Mini, Inc.*   $ 33,712    
  1,851     Moog, Inc., Class A*     83,443    
  461     MTC Technologies, Inc.*     7,537    
  1,810     Mueller Industries, Inc.     54,716    
  5,607     Mueller Water Products, Inc., Class A     58,705    
  398     Multi-Color Corp.     9,512    
  284     NACCO Industries, Inc., Class A     28,798    
  2,319     Navigant Consulting, Inc.*     30,101    
  985     NCI Building Systems, Inc.*     33,815    
  1,646     Nordson Corp.     86,909    
  436     Northwest Pipe Co.*     14,506    
  750     Nuco2, Inc.*     20,685    
  2,008     Odyssey Marine Exploration, Inc.*     11,305    
  1,450     Old Dominion Freight Line, Inc.*     32,668    
  1,716     On Assignment, Inc.*     10,965    
  2,899     Orbital Sciences Corp.*     69,750    
  1,688     Pacer International, Inc.     23,227    
  392     Park-Ohio Holdings Corp.*     9,228    
  79     Patriot Transportation Holding, Inc.*     7,417    
  1,151     PeopleSupport, Inc.*     16,172    
  1,304     Perini Corp.*     69,360    
  509     PGT, Inc.*     2,810    
  2,614     PHH Corp.*     57,926    
  868     Pike Electric Corp.*     13,801    
  901     Pinnacle Airlines Corp.*     14,650    
  733     Polypore International, Inc.*     12,762    
  394     Powell Industries, Inc.*     16,095    
  3,430     Power-One, Inc.*     16,018    
  121     Preformed Line Products Co.     6,516    
  319     Protection One, Inc.*     3,723    
  782     Raven Industries, Inc.     27,159    
  1,038     RBC Bearings, Inc.*     38,178    
  1,561     Regal-Beloit Corp.     73,492    
  1,647     Republic Airways Holdings, Inc.*     33,072    
  2,395     Resources Connection, Inc.     49,385    
  688     Robbins & Myers, Inc.     47,128    
  1,384     Rollins, Inc.     40,745    
  1,018     RSC Holdings, Inc.*     12,501    
  1,622     Rush Enterprises, Inc., Class A*     25,563    
  653     Saia, Inc.*     8,515    
  719     Schawk, Inc.     10,332    
  1,034     School Specialty, Inc.*     36,903    
  353     Sequa Corp., Class A*     61,757    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,802     Simpson Manufacturing Co., Inc.   $ 47,951    
  2,975     Skywest, Inc.     78,272    
  2,755     Spherion Corp.*     21,434    
  240     Standard Parking Corp.*     11,129    
  869     Standard Register Co. (The)     10,489    
  607     Standex International Corp.     11,582    
  391     Stanley, Inc.*     13,411    
  545     Sun Hydraulics Corp.     15,832    
  998     Superior Essex, Inc.*     24,211    
  803     TAL International Group, Inc.     18,188    
  3,033     Taser International, Inc.*     42,492    
  237     TBS International Ltd., Class A*     10,347    
  774     Team, Inc.*     23,127    
  756     Tecumseh Products Co., Class A*     17,970    
  1,708     Teledyne Technologies, Inc.*     92,608    
  2,042     TeleTech Holdings, Inc.*     42,290    
  823     Tennant Co.     36,072    
  2,838     Tetra Tech, Inc.*     58,803    
  1,177     Titan International, Inc.     32,320    
  458     TransDigm Group, Inc.*     21,837    
  1,458     Tredegar Corp.     21,083    
  584     Trex Co., Inc.*     4,024    
  689     Trimas Corp.*     7,648    
  805     Triumph Group, Inc.     65,414    
  961     TurboChef Technologies, Inc.*     14,290    
  223     Twin Disc, Inc.     13,855    
  2,515     UAP Holding Corp.     75,224    
  743     Ultrapetrol Bahamas Ltd.*     12,906    
  1,222     United Stationers, Inc.*     61,907    
  815     Universal Forest Products, Inc.     23,317    
  290     Universal Truckload Services, Inc.*     5,060    
  909     Valmont Industries, Inc.     71,347    
  1,030     Viad Corp.     31,940    
  950     Vicor Corp.     13,718    
  693     Volt Information Sciences, Inc.*     8,815    
  1,491     Wabash National Corp.     10,303    
  2,379     Wabtec Corp.     80,743    
  2,543     Walter Industries, Inc.     88,217    
  3,355     Waste Connections, Inc.*     106,790    
  247     Waste Industries USA, Inc.     8,349    
  950     Waste Services, Inc.*     8,778    
  1,118     Watsco, Inc.     40,527    
  2,089     Watson Wyatt Worldwide, Inc., Class A     96,198    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,535     Watts Water Technologies, Inc.,
Class A		   $ 44,914    
  2,272     Werner Enterprises, Inc.     39,874    
  1,464     Woodward Governor Co.     100,343    
  961     Xerium Technologies, Inc.     5,718    
      9,254,176    
    Information Technology — 16.6%  
  19,012     3Com Corp.*     81,942    
  1,461     Acacia Research - Acacia Technologies*     13,470    
  1,815     ACI Worldwide, Inc.*     41,436    
  1,079     Acme Packet, Inc.*     13,272    
  1,273     Actel Corp.*     13,952    
  2,958     Actuate Corp.*     22,392    
  5,782     Adaptec, Inc.*     19,370    
  2,877     Adtran, Inc.     62,402    
  1,864     Advanced Analogic Technologies, Inc.*     20,075    
  1,750     Advanced Energy Industries, Inc.*     25,393    
  848     Advent Software, Inc.*     43,044    
  1,289     Agilysys, Inc.     17,904    
  416     Airvana, Inc.*     2,629    
  3,265     AMIS Holdings, Inc.*     25,043    
  5,110     Amkor Technology, Inc.*     42,106    
  2,875     Anadigics, Inc.*     31,654    
  779     Anaren, Inc.*     11,997    
  7,608     Andrew Corp.*     111,533    
  1,509     Anixter International, Inc.*     97,331    
  831     Ansoft Corp.*     24,107    
  3,787     Ansys, Inc.*     147,163    
  13,836     Applied Micro Circuits Corp.*     34,728    
  3,829     Ariba, Inc.*     45,450    
  5,326     Arris Group, Inc.*     55,550    
  6,249     Art Technology Group, Inc.*     26,121    
  409     Aruba Networks, Inc.*     5,701    
  1,547     AsiaInfo Holdings, Inc.*     18,255    
  4,303     Aspen Technology, Inc.*     72,979    
  2,405     Asyst Technologies, Inc.*     8,273    
  2,700     Atheros Communications, Inc.*     79,623    
  1,686     ATMI, Inc.*     50,732    
  379     AuthenTec, Inc.*     6,481    
  9,501     Avanex Corp.*     14,252    
  2,017     Avid Technology, Inc.*     53,511    
  2,465     Avocent Corp.*     61,379    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  4,966     Axcelis Technologies, Inc.*   $ 23,539    
  550     Bankrate, Inc.*     21,527    
  9,849     BearingPoint, Inc.*     35,949    
  581     Bel Fuse, Inc., Class B     17,384    
  3,548     Benchmark Electronics, Inc.*     63,687    
  602     BigBand Networks, Inc.*     3,606    
  848     Black Box Corp.     31,206    
  2,147     Blackbaud, Inc.     61,104    
  1,396     Blackboard, Inc.*     54,444    
  283     BladeLogic, Inc.*     6,922    
  1,360     Blue Coat Systems, Inc.*     49,246    
  3,552     Borland Software Corp.*     11,473    
  1,058     Bottomline Technologies, Inc.*     13,331    
  2,485     Brightpoint, Inc.*     41,276    
  3,439     Brooks Automation, Inc.*     46,186    
  2,421     C-COR, Inc.*     29,730    
  1,162     Cabot Microelectronics Corp.*     43,459    
  1,510     CACI International, Inc., Class A*     68,539    
  341     Cass Information Systems, Inc.     12,709    
  330     Cavium Networks, Inc.*     8,465    
  1,926     Checkpoint Systems, Inc.*     45,762    
  1,600     Chordiant Software, Inc.*     16,048    
  2,652     Ciber, Inc.*     18,087    
  4,307     Cirrus Logic, Inc.*     24,550    
  2,381     CMGI, Inc.*     24,688    
  7,388     CNET Networks, Inc.*     56,001    
  2,127     Cogent, Inc.*     23,610    
  2,161     Cognex Corp.     43,803    
  1,535     Coherent, Inc.*     44,162    
  1,111     Cohu, Inc.     17,387    
  1,734     Commvault Systems, Inc.*     38,616    
  292     comScore, Inc.*     9,475    
  960     Comtech Group, Inc.*     17,030    
  1,131     Comtech Telecommunications Corp.*     56,165    
  289     Comverge, Inc.*     9,098    
  2,092     Concur Technologies, Inc.*     78,576    
  23,962     Conexant Systems, Inc.*     26,598    
  351     CPI International, Inc.*     5,893    
  1,586     Cray, Inc.*     9,246    
  4,942     Credence Systems Corp.*     10,131    
  1,814     CSG Systems International, Inc.*     30,058    
  1,753     CTS Corp.     18,529    
  3,131     Cybersource Corp.*     45,744    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,561     Cymer, Inc.*   $ 64,110    
  1,553     Daktronics, Inc.     36,231    
  442     Data Domain, Inc.*     11,395    
  1,748     DealerTrack Holdings, Inc.*     74,360    
  830     Dice Holdings, Inc.*     8,200    
  1,234     Digi International, Inc.*     18,979    
  2,020     Digital River, Inc.*     78,113    
  1,455     Diodes, Inc.*     42,806    
  1,262     Ditech Networks, Inc.*     4,076    
  1,135     DivX, Inc.*     19,216    
  410     Double-Take Software, Inc.*     10,168    
  1,584     DSP Group, Inc.*     21,432    
  889     DTS, Inc.*     22,003    
  1,994     Dycom Industries, Inc.*     56,111    
  599     Eagle Test Systems, Inc.*     6,559    
  6,025     Earthlink, Inc.*     40,910    
  1,462     Echelon Corp.*     24,547    
  1,428     Electro Scientific Industries, Inc.*     28,917    
  2,776     Electronics for Imaging*     63,681    
  750     EMS Technologies, Inc.*     21,833    
  4,170     Emulex Corp.*     69,848    
  200     EnerNOC, Inc.*     9,154    
  5,657     Entegris, Inc.*     48,990    
  2,839     Epicor Software Corp.*     30,718    
  1,266     EPIQ Systems, Inc.*     22,054    
  1,757     Equinix, Inc.*     182,921    
  951     eSpeed, Inc., Class A*     9,605    
  2,240     Euronet Worldwide, Inc.*     73,382    
  2,124     Exar Corp.*     19,520    
  594     Excel Technology, Inc.*     16,020    
  1,104     ExlService Holdings, Inc.*     26,463    
  5,787     Extreme Networks*     21,065    
  1,563     FalconStor Software, Inc.*     18,928    
  810     FARO Technologies, Inc.*     21,886    
  1,913     FEI Co.*     47,653    
  13,088     Finisar Corp.*     22,250    
  3,239     Flir Systems, Inc.*     222,616    
  2,334     Formfactor, Inc.*     88,552    
  738     Forrester Research, Inc.*     19,321    
  7,117     Foundry Networks, Inc.*     125,473    
  3,370     Gartner, Inc.*     63,659    
  1,809     Genesis Microchip, Inc.*     9,117    
  1,129     Gerber Scientific, Inc.*     10,726    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,194     Gevity HR, Inc.   $ 5,075    
  2,158     Global Cash Access Holdings, Inc.*     7,510    
  362     Glu Mobile, Inc.*     1,977    
  1,060     Greenfield Online, Inc.*     15,942    
  160     Guidance Software, Inc.*     1,970    
  3,877     Harmonic, Inc.*     40,204    
  1,234     Harris Stratex Networks, Inc., Class A*     21,249    
  798     Heartland Payment Systems, Inc.     25,759    
  800     Hittite Microwave Corp.*     34,552    
  641     HSW International, Inc.*     3,397    
  314     Hughes Communications, Inc.*     16,689    
  1,272     Hutchinson Technology, Inc.*     33,466    
  2,602     Hypercom Corp.*     13,921    
  756     i2 Technologies, Inc.*     12,232    
  1,621     Ibasis, Inc.     8,575    
  1,067     iGate Corp.*     9,027    
  1,719     Imation Corp.     34,500    
  602     Imergent, Inc.     7,441    
  1,473     Immersion Corp.*     19,340    
  834     Infinera Corp.*     18,190    
  4,275     Informatica Corp.*     73,316    
  1,612     Infospace, Inc.     28,710    
  1,588     infoUSA, Inc.     13,704    
  2,362     Insight Enterprises, Inc.*     46,791    
  458     Integral Systems, Inc.     11,418    
  636     Interactive Intelligence, Inc.*     16,587    
  2,292     InterDigital, Inc.*     41,256    
  2,960     Intermec, Inc.*     63,551    
  2,390     Internap Network Services Corp.*     23,781    
  1,888     Internet Capital Group, Inc.*     21,089    
  1,898     InterVoice, Inc.*     18,562    
  2,129     Interwoven, Inc.*     26,144    
  1,045     Intevac, Inc.*     16,407    
  2,466     Ipass, Inc.*     10,776    
  491     IPG Photonics Corp.*     9,992    
  416     Isilon Systems, Inc.*     2,350    
  1,466     Itron, Inc.*     113,688    
  2,141     Ixia*     22,117    
  1,265     IXYS Corp.*     9,778    
  2,412     j2 Global Communications, Inc.*     58,660    
  3,846     Jack Henry & Associates, Inc.     102,919    
  1,254     JDA Software Group, Inc.*     26,259    
  4,102     Kemet Corp.*     25,432    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  767     Keynote Systems, Inc.*   $ 10,554    
  1,349     Knot, Inc. (The)*     17,807    
  2,634     Kulicke & Soffa Industries, Inc.*     18,649    
  2,893     L-1 Identity Solutions, Inc.*     53,752    
  5,607     Lattice Semiconductor Corp.*     18,840    
  6,029     Lawson Software, Inc.*     58,602    
  902     Limelight Networks, Inc.*     7,171    
  2,956     Lionbridge Technologies*     8,986    
  518     Liquidity Services, Inc.*     6,185    
  1,086     Littelfuse, Inc.*     36,218    
  1,975     LivePerson, Inc.*     9,875    
  915     LoJack Corp.*     16,022    
  1,324     LoopNet, Inc.*     20,337    
  560     Loral Space & Communications, Inc.*     19,174    
  3,035     LTX Corp.*     7,284    
  2,591     Macrovision Corp.*     64,568    
  1,986     Magma Design Automation, Inc.*     26,533    
  1,248     Manhattan Associates, Inc.*     33,858    
  954     Mantech International Corp., Class A*     36,910    
  1,367     Marchex, Inc., Class B     16,828    
  2,074     MasTec, Inc.*     20,968    
  2,574     Mattson Technology, Inc.*     21,210    
  1,069     MAXIMUS, Inc.     41,691    
  697     Measurement Specialties, Inc.*     17,153    
  4,376     Mentor Graphics Corp.*     47,655    
  786     Mercadolibre, Inc.*     33,334    
  1,085     Mercury Computer Systems, Inc.*     15,906    
  1,786     Methode Electronics, Inc.     21,521    
  2,713     Micrel, Inc.     24,200    
  1,980     Micros Systems, Inc.*     142,837    
  3,726     Microsemi Corp.*     85,251    
  467     MicroStrategy, Inc.*     47,097    
  2,618     Microtune, Inc.*     13,614    
  1,130     Midway Games, Inc.*     2,746    
  2,119     MIPS Technologies, Inc.*     12,036    
  2,471     MKS Instruments, Inc.*     44,898    
  1,159     Monolithic Power Systems, Inc.*     22,114    
  537     Monotype Imaging Holdings, Inc.*     8,587    
  5,095     Move, Inc.*     11,973    
  5,009     MPS Group, Inc.*     55,600    
  7,731     MRV Communications, Inc.*     17,317    
  2,144     MSC.Software Corp.*     28,322    
  866     MTS Systems Corp.     35,497    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  410     Multi-Fineline Electronix, Inc.*   $ 7,491    
  1,668     Ness Technologies, Inc.*     15,696    
  2,043     Net 1 UEPS Technologies, Inc.*     63,251    
  495     Netezza Corp.*     6,559    
  1,691     Netgear, Inc.*     57,308    
  804     Netlogic Microsystems, Inc.*     23,517    
  1,288     Network Equipment Technologies, Inc.*     16,023    
  1,708     Newport Corp.*     22,648    
  1,451     Nextwave Wireless, Inc.*     8,721    
  1,916     NIC, Inc.     14,945    
  1,576     Novatel Wireless, Inc.*     24,491    
  6,437     Nuance Communications, Inc.*     129,899    
  1,676     Omniture, Inc.*     47,615    
  2,683     Omnivision Technologies, Inc.*     49,957    
  11,858     ON Semiconductor Corp.*     108,975    
  7,804     On2 Technologies, Inc.*     5,853    
  1,408     Online Resources Corp.*     13,235    
  4,577     OpenTV Corp., Class A*     5,447    
  4,043     Openwave Systems, Inc.     11,118    
  1,088     Oplink Communications, Inc.*     17,571    
  912     OpNext, Inc.*     7,387    
  598     Optium Corp.*     5,023    
  1,282     Orbcomm, Inc.*     9,987    
  740     OSI Systems, Inc.*     18,345    
  1,758     Packeteer, Inc.*     11,884    
  5,054     Palm, Inc.     35,226    
  5,611     Parametric Technology Corp.*     93,704    
  987     Park Electrochemical Corp.     29,067    
  454     PC Connection, Inc.*     5,807    
  1,110     PDF Solutions, Inc.*     8,802    
  655     Pegasystems, Inc.     8,109    
  1,431     Perficient, Inc.*     23,998    
  1,271     Pericom Semiconductor Corp.*     21,060    
  4,265     Perot Systems Corp., Class A*     56,085    
  2,042     Photronics, Inc.*     21,012    
  2,348     Plantronics, Inc.     63,044    
  2,264     Plexus Corp.*     67,377    
  1,401     PLX Technology, Inc.*     13,786    
  10,438     PMC - Sierra, Inc.*     73,275    
  4,479     Polycom, Inc.*     108,705    
  6,365     Powerwave Technologies, Inc.*     26,351    
  2,004     Progress Software Corp.*     63,387    
  383     PROS Holdings, Inc.*     6,588    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  706     QAD, Inc.   $ 6,008    
  832     Quality Systems, Inc.     24,619    
  9,575     Quantum Corp.*     30,353    
  3,333     Quest Software, Inc.*     53,895    
  1,398     Rackable Systems, Inc.*     14,889    
  1,282     Radiant Systems, Inc.*     20,474    
  1,073     Radisys Corp.*     16,674    
  4,699     RealNetworks, Inc.*     28,993    
  416     Renaissance Learning, Inc.     5,416    
  12,917     RF Micro Devices, Inc.*     74,662    
  882     RightNow Technologies, Inc.*     16,008    
  493     Rimage Corp.*     12,290    
  759     Rofin-Sinar Technologies, Inc.*     69,099    
  863     Rogers Corp.*     38,024    
  1,421     Rudolph Technologies, Inc.*     16,981    
  2,522     S1 Corp.*     18,713    
  5,908     Safeguard Scientifics, Inc.*     11,639    
  6,259     SAIC, Inc.*     124,804    
  3,982     Sapient Corp.*     28,830    
  1,342     SAVVIS, Inc.*     42,998    
  1,258     Scansource, Inc.*     44,382    
  1,439     Seachange International, Inc.*     10,850    
  2,276     Secure Computing Corp.*     20,643    
  1,083     Semitool, Inc.*     10,007    
  3,072     Semtech Corp.*     46,879    
  444     ShoreTel, Inc.*     6,891    
  640     SI International, Inc.*     16,614    
  1,372     Sigma Designs, Inc.*     89,207    
  318     Silicon Graphics, Inc.*     5,409    
  4,287     Silicon Image, Inc.*     20,149    
  4,437     Silicon Storage Technology, Inc.*     12,601    
  2,932     SiRF Technology Holdings, Inc.*     70,632    
  7,811     Skyworks Solutions, Inc.*     70,924    
  2,449     Smart Modular
Technologies WWH, Inc.*		     20,572    
  1,448     Smith Micro Software, Inc.*     11,598    
  1,342     Sohu.com, Inc.*     77,004    
  1,283     Solera Holdings, Inc.*     29,522    
  1,091     Sonic Solutions, Inc.*     10,834    
  3,161     SonicWALL, Inc.*     31,989    
  13,059     Sonus Networks, Inc.*     85,928    
  324     Sourcefire, Inc.*     2,628    
  3,304     SourceForge, Inc.*     7,632    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  4,395     Spansion, Inc., Class A*   $ 23,469    
  899     SPSS, Inc.*     32,490    
  2,018     SRA International, Inc., Class A*     55,172    
  1,117     Standard Microsystems Corp.*     39,397    
  634     Starent Networks Corp.*     13,251    
  1,581     STEC, Inc.*     14,735    
  1,008     Stratasys, Inc.*     25,190    
  451     Super Micro Computer, Inc.*     3,725    
  557     Supertex, Inc.*     18,910    
  623     Switch & Data Facilities Co., Inc.*     11,831    
  4,462     Sybase, Inc.*     114,406    
  9,004     Sycamore Networks, Inc.*     34,665    
  1,607     SYKES Enterprises, Inc.*     29,665    
  2,268     Symmetricom, Inc.*     9,775    
  1,254     Synaptics, Inc.*     69,647    
  900     Synchronoss Technologies, Inc.*     29,628    
  796     SYNNEX Corp.*     16,445    
  615     Syntel, Inc.     22,158    
  3,563     Take-Two Interactive Software, Inc.*     53,374    
  807     Taleo Corp., Class A*     22,782    
  1,993     Technitrol, Inc.     53,353    
  376     TechTarget, Inc.*     5,136    
  731     Techwell, Inc.*     8,926    
  2,976     Tekelec*     36,605    
  2,474     Terremark Worldwide, Inc.*     13,879    
  2,341     Tessera Technologies, Inc.*     90,409    
  1,067     TheStreet.com, Inc.     13,124    
  3,269     THQ, Inc.*     79,927    
  9,310     TIBCO Software, Inc.*     72,897    
  1,183     TNS, Inc.     18,597    
  343     Travelzoo, Inc.*     5,238    
  2,790     Trident Microsystems, Inc.*     17,521    
  6,797     TriQuint Semiconductor, Inc.*     40,306    
  2,061     TTM Technologies, Inc.*     24,917    
  1,903     Tyler Technologies, Inc.*     28,659    
  1,205     Ultimate Software Group, Inc.*     39,367    
  927     Ultra Clean Holdings*     13,321    
  1,135     Ultratech, Inc.*     13,597    
  479     Unica Corp.*     4,311    
  3,260     United Online, Inc.     49,030    
  1,320     Universal Display Corp.*     21,859    
  5,189     Utstarcom, Inc.*     15,048    
  4,877     Valueclick, Inc.*     115,292    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,278     Vasco Data Security
International, Inc.*		   $ 28,678    
  1,522     Veeco Instruments, Inc.*     25,539    
  443     Veraz Networks, Inc.*     2,100    
  1,184     Viasat, Inc.*     39,486    
  1,301     Vignette Corp.*     20,009    
  215     Virtusa Corp.*     3,799    
  2,108     VistaPrint Ltd.*     93,595    
  997     Visual Sciences, Inc.*     15,773    
  633     Vocus, Inc.*     19,876    
  1,040     Volterra Semiconductor Corp.*     12,875    
  2,197     Websense, Inc.*     35,899    
  3,647     Wind River Systems, Inc.*     37,236    
  1,951     Wright Express Corp.*     74,040    
  1,420     X-Rite, Inc.*     17,651    
  2,423     Zoran Corp.*     52,870    
  798     Zygo Corp.*     9,009    
      11,618,902    
    Materials — 4.8%  
  688     A.M. Castle & Co.     17,269    
  2,638     AbitibiBowater, Inc.     59,245    
  274     AEP Industries, Inc.*     9,374    
  1,253     AMCOL International Corp.     47,589    
  889     American Vanguard Corp.     14,535    
  2,865     Apex Silver Mines Ltd.*     48,848    
  3,381     Aptargroup, Inc.     142,712    
  1,188     Arch Chemicals, Inc.     48,886    
  872     Balchem Corp.     18,643    
  992     Brush Engineered Materials, Inc.*     44,372    
  1,856     Buckeye Technologies, Inc.*     26,504    
  1,963     Calgon Carbon Corp.*     28,581    
  1,428     Century Aluminum Co.*     81,882    
  2,705     CF Industries Holdings, Inc.     246,101    
  973     Chesapeake Corp.     5,935    
  425     Claymont Steel Holdings, Inc.*     9,125    
  13,605     Coeur d'Alene Mines Corp.*     56,733    
  1,571     Compass Minerals International, Inc.     57,687    
  513     Deltic Timber Corp.     24,701    
  631     Esmark, Inc.*     12,241    
  2,120     Ferro Corp.     44,923    
  887     Flotek Industries, Inc.*     32,695    
  2,372     General Moly, Inc.*     25,286    
  423     GenTek, Inc.*     12,690    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,680     Georgia Gulf Corp.   $ 12,499    
  2,200     Glatfelter     33,066    
  3,357     Graphic Packaging Corp.*     13,764    
  1,622     Greif, Inc., Class A     95,812    
  569     Haynes International, Inc.*     48,086    
  2,963     HB Fuller Co.     74,934    
  1,925     Headwaters, Inc.*     23,100    
  5,875     Hecla Mining Co.*     68,914    
  5,696     Hercules, Inc.     110,559    
  273     Horsehead Holding Corp.*     4,540    
  1,015     Innophos Holdings, Inc.     14,525    
  1,173     Innospec, Inc.     20,598    
  738     Kaiser Aluminum Corp.     52,501    
  857     Koppers Holdings, Inc.     32,943    
  117     Kronos Worldwide, Inc.     1,945    
  1,061     Landec Corp.*     13,942    
  759     LSB Industries, Inc.*     17,214    
  1,557     Mercer International, Inc.*     12,331    
  1,251     Metal Management, Inc.     57,571    
  932     Minerals Technologies, Inc.     62,351    
  1,368     Myers Industries, Inc.     27,305    
  724     Neenah Paper, Inc.     21,850    
  699     NewMarket Corp.     37,508    
  349     NL Industries, Inc.     3,521    
  3,602     Olin Corp.     75,426    
  427     Olympic Steel, Inc.     11,162    
  1,456     OM Group, Inc.*     81,958    
  4,543     PolyOne Corp.*     28,485    
  1,812     Quanex Corp.     90,672    
  1,715     Rock-Tenn Co., Class A     45,242    
  1,712     Rockwood Holdings, Inc.*     57,660    
  1,243     Royal Gold, Inc.     35,699    
  1,127     RTI International Metals, Inc.*     82,767    
  1,069     Schnitzer Steel Industries, Inc.     66,727    
  1,317     Schulman (A.), Inc.     28,395    
  767     Schweitzer-Mauduit International, Inc.     20,479    
  2,297     Sensient Technologies Corp.     63,558    
  1,398     ShengdaTech, Inc.*     11,436    
  1,211     Silgan Holdings, Inc.     64,946    
  1,562     Spartech Corp.     21,337    
  303     Stepan Co.     9,254    
  2,042     Stillwater Mining Co.*     19,807    
  1,623     Symyx Technologies*     12,432    
  4,536     Terra Industries, Inc.*     171,370    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  1,334     Texas Industries, Inc.   $ 92,553    
  2,025     Tronox, Inc., Class B     16,403    
  1,661     U.S. Concrete, Inc.*     6,245    
  2,517     U.S. Gold Corp.*     8,633    
  324     Universal Stainless & Alloy*     9,992    
  329     Valhi, Inc.     6,027    
  3,424     W.R. Grace & Co.*     92,482    
  2,172     Wausau Paper Corp.     20,482    
  3,375     Worthington Industries, Inc.     71,516    
  1,061     Zep, Inc.*     13,931    
  1,219     Zoltek Cos., Inc.*     51,954    
      3,366,966    
    Telecommunication Services — 1.3%  
  2,087     Alaska Communications Systems
Group, Inc.		     31,305    
  460     Atlantic Tele-Network, Inc.     17,544    
  1,008     Cbeyond, Inc.*     41,701    
  1,166     Centennial Communications Corp.*     10,377    
  12,099     Cincinnati Bell, Inc.*     57,591    
  2,441     Cogent Communications Group, Inc.*     50,724    
  964     Consolidated Communications
Holdings, Inc.		     15,501    
  1,721     Fairpoint Communications, Inc.     25,677    
  5,029     FiberTower Corp.*     11,466    
  2,620     General Communication, Inc., Class A*     23,213    
  1,742     Global Crossing Ltd.*     31,931    
  947     Globalstar, Inc.*     8,589    
  768     Golden Telecom, Inc.*     77,921    
  176     Hungarian Telephone & Cable Corp.*     3,073    
  5,025     ICO Global Communications
Holdings Ltd.*		     19,799    
  2,418     IDT Corp., Class B     19,610    
  1,549     Iowa Telecommunications
Services, Inc.		     26,395    
  830     iPCS, Inc.     28,718    
  733     North Pittsburgh Systems, Inc.     17,313    
  1,356     NTELOS Holdings Corp.     35,975    
  3,645     PAETEC Holding Corp.*     39,002    
  3,017     Premiere Global Services, Inc.*     41,574    
  596     Rural Cellular Corp., Class A*     26,260    
  1,140     Shenandoah Telecom Co.     28,124    
  707     SureWest Communications     12,804    
  1,334     Syniverse Holdings, Inc.*     20,837    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  7,069     Time Warner Telecom, Inc., Class A*   $ 158,558    
  1,128     USA Mobility, Inc.*     14,878    
  3,159     Vonage Holdings Corp.*     6,666    
      903,126    
    Utilities — 2.7%  
  1,253     Allete, Inc.     51,323    
  833     American States Water Co.     34,694    
  18,305     Aquila, Inc.*     72,488    
  2,577     Avista Corp.     55,096    
  1,840     Black Hills Corp.     76,654    
  581     Cadiz, Inc.*     11,539    
  956     California Water Service Group     37,351    
  498     Central Vermont Public Service Corp.     13,775    
  770     CH Energy Group, Inc.     34,126    
  2,916     Cleco Corp.     81,473    
  702     Consolidated Water Co., Inc.     21,397    
  2,237     El Paso Electric Co.*     57,513    
  1,483     Empire District Electric Co. (The)     34,168    
  346     EnergySouth, Inc.     19,127    
  2,149     Idacorp, Inc.     75,559    
  2,076     ITC Holdings Corp.     105,959    
  1,055     Laclede Group, Inc. (The)     36,303    
  1,036     MGE Energy, Inc.     36,333    
  1,368     New Jersey Resources Corp.     69,016    
  2,200     Nicor, Inc.     92,708    
  1,318     Northwest Natural Gas Co.     63,224    
  1,754     NorthWestern Corp.     48,849    
  670     Ormat Technologies, Inc.     33,835    
  1,452     Otter Tail Corp.     48,657    
  3,644     Piedmont Natural Gas Co.     94,890    
  3,746     PNM Resources, Inc.     83,086    
  1,490     Portland General Electric Co.     39,887    
  741     SJW Corp.     24,794    
  1,440     South Jersey Industries, Inc.     53,136    
  2,060     Southwest Gas Corp.     59,575    
  1,176     Southwest Water Co.     14,088    
  1,229     UIL Holdings Corp.     44,023    
  1,723     Unisource Energy Corp.     53,292    
  4,883     Westar Energy, Inc.     126,519    
  2,405     WGL Holdings, Inc.     79,461    
      1,883,918    
        Total Common Stock
(Cost $65,481,424)		     62,872,078    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 (continued)

Principal
Amount		  
  Value  
    Repurchase Agreements — 13.4%  
$ 1,870,259     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $1,870,982 **		   $ 1,870,259    
  2,151,200     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $2,152,016 ***		     2,151,200    
  374,052     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $374,194 ****		     374,052    
  4,987,359     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $4,989,250 *****		     4,987,359    
        Total Repurchase Agreements
(Cost $9,382,870)		     9,382,870    
        Total Investments
(Cost $74,864,294) — 103.1%		     72,254,948    
        Liabilities in excess of
other assets — (3.1%)		     (2,204,881 )  
        Net Assets — 100.0%   $ 70,050,067    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,907,673. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%,due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,194,231. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $381,535. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,087,107. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 3,091,127    
Aggregated gross unrealized depreciation     (6,328,784 )  
Net unrealized depreciation   $ (3,237,657 )  
Federal income tax cost of investments   $ 75,492,605    

 

See accompanying notes to the financial statements.


Futures Contracts Purchased

Ultra Russell2000 had the following open long futures contracts as of November 30, 2007:

    Number of
Contracts		   Expiration Date   Notional Value   Unrealized
Depreciation		  
E-Mini Russell 2000 Index® Futures Contracts     91     December - 07   $ 6,983,340     $ (18,675 )  

 

Cash collateral in the amount of $402,036 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.

Swap Agreements

Ultra Russell 2000 had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07   $ 30,492,065     $ (678,678 )  
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07     42,000,000       (1,860,592 )  
        $ (2,539,270 )  

 

See accompanying notes to the financial statements.



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value

Shares  
  Value  
    Common Stocks (a) — 92.3%  
    Consumer Discretionary — 6.9%  
  15     AnnTaylor Stores Corp.*   $ 457    
  38     Autoliv, Inc.     2,219    
  165     AutoNation, Inc.*     2,723    
  56     Barnes & Noble, Inc.     2,153    
  36     Black & Decker Corp.     2,975    
  55     BorgWarner, Inc.     5,314    
  108     Brunswick Corp.     2,202    
  177     Cablevision Systems Corp.*     4,784    
  305     Carnival Corp.     13,762    
  717     CBS Corp., Class B     19,667    
  136     Centex Corp.     2,837    
  3     Central European Media
Enterprises Ltd.*		     329    
  115     Circuit City Stores, Inc.     744    
  466     Clear Channel Communications, Inc.     16,729    
  1,364     Comcast Corp., Class A*     28,017    
  74     Dillard's, Inc., Class A     1,509    
  149     Discovery Holding Co., Class A*     3,645    
  375     DR Horton, Inc.     4,489    
  16     DreamWorks Animation SKG, Inc.,
Class A*		     421    
  344     Eastman Kodak Co.     8,077    
  108     EW Scripps Co., Class A     4,693    
  226     Expedia, Inc.*     7,368    
  186     Foot Locker, Inc.     2,427    
  2,414     Ford Motor Co.*     18,129    
  182     Fortune Brands, Inc.     13,950    
  280     Gannett Co., Inc.     10,290    
  716     Gap, Inc. (The)     14,606    
  576     General Motors Corp.     17,182    
  203     Genuine Parts Co.     9,754    
  31     Getty Images, Inc.*     904    
  94     Harrah's Entertainment, Inc.     8,279    
  18     Harte-Hanks, Inc.     302    
  116     Hasbro, Inc.     3,221    
  30     Hearst-Argyle Television, Inc.     587    
  848     Home Depot, Inc.     24,219    
  194     IAC/InterActiveCorp*     5,399    
  176     Idearc, Inc.     3,330    
  42     International Speedway Corp., Class A     1,790    
  214     Interpublic Group of Cos., Inc.*     2,031    
  40     Jarden Corp.*     1,054    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  146     Johnson Controls, Inc.   $ 5,639    
  102     Jones Apparel Group, Inc.     1,901    
  92     KB Home     1,922    
  212     Leggett & Platt, Inc.     4,363    
  163     Lennar Corp., Class A     2,582    
  225     Liberty Global, Inc., Class A*     9,139    
  154     Liberty Media Corp. - Capital, Class A*     18,335    
  291     Liberty Media Corp. - Interactive,
Class A*		     5,864    
  116     Liz Claiborne, Inc.     2,910    
  520     Macy's, Inc.     15,418    
  242     Mattel, Inc.     4,835    
  54     McClatchy Co., Class A     730    
  1,130     McDonald's Corp.     66,071    
  42     MDC Holdings, Inc.     1,486    
  66     Mohawk Industries, Inc.*     5,309    
  127     New York Times Co. (The), Class A     2,096    
  160     Newell Rubbermaid, Inc.     4,285    
  923     News Corp., Class A     19,448    
  3     NVR, Inc.*     1,476    
  48     OfficeMax, Inc.     1,197    
  2     Orient-Express Hotels Ltd.     124    
  67     Penske Auto Group, Inc.     1,340    
  163     Pulte Homes, Inc.     1,666    
  85     R.H. Donnelley Corp.*     3,776    
  48     RadioShack Corp.     888    
  18     Regal Entertainment Group, Class A     356    
  159     Royal Caribbean Cruises Ltd.     6,449    
  50     Ryland Group, Inc.     1,150    
  23     Saks, Inc.*     474    
  90     Sears Holdings Corp.*     9,496    
  333     Service Corp. International     4,422    
  69     Snap-On, Inc.     3,373    
  68     Stanley Works (The)     3,546    
  3     Thor Industries, Inc.     106    
  83     Time Warner Cable, Inc., Class A*     2,160    
  3,850     Time Warner, Inc.     66,451    
  150     Toll Brothers, Inc.*     3,100    
  100     Tribune Co.     3,104    
  51     TRW Automotive Holdings Corp.*     1,145    
  107     VF Corp.     8,003    
  350     Virgin Media, Inc.     6,650    
  1,327     Walt Disney Co. (The)     43,990    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  19     Warner Music Group Corp.   $ 143    
  7     Washington Post Co. (The), Class B     5,645    
  26     Whirlpool Corp.     2,105    
  201     Wyndham Worldwide Corp.     5,863    
      633,099    
    Consumer Staples — 8.0%  
  83     Alberto-Culver Co.     2,122    
  1,077     Altria Group, Inc.     83,532    
  336     Anheuser-Busch Cos., Inc.     17,714    
  780     Archer-Daniels-Midland Co.     28,353    
  41     Avon Products, Inc.     1,683    
  78     BJ's Wholesale Club, Inc.*     2,921    
  27     Brown-Forman Corp., Class B     1,907    
  144     Bunge Ltd.     16,177    
  119     Campbell Soup Co.     4,370    
  4     Church & Dwight Co., Inc.     224    
  13     Clorox Co.     843    
  938     Coca-Cola Co. (The)     58,250    
  372     Coca-Cola Enterprises, Inc.     9,661    
  47     Colgate-Palmolive Co.     3,764    
  594     ConAgra Foods, Inc.     14,862    
  228     Constellation Brands, Inc., Class A*     5,369    
  89     Corn Products International, Inc.     3,500    
  166     Costco Wholesale Corp.     11,188    
  819     CVS Caremark Corp.     32,834    
  145     Dean Foods Co.     3,616    
  241     Del Monte Foods Co.     2,121    
  19     Energizer Holdings, Inc.*     2,159    
  355     General Mills, Inc.     21,353    
  59     Hershey Co. (The)     2,355    
  175     HJ Heinz Co.     8,278    
  88     Hormel Foods Corp.     3,498    
  68     JM Smucker Co. (The)     3,341    
  92     Kellogg Co.     4,972    
  282     Kimberly-Clark Corp.     19,686    
  1,915     Kraft Foods, Inc.     66,163    
  309     Kroger Co. (The)     8,884    
  53     Loews Corp. - Carolina Group     4,714    
  53     McCormick & Co., Inc. (Non-Voting)     2,025    
  131     Molson Coors Brewing Co., Class B     7,053    
  126     Pepsi Bottling Group, Inc.     5,376    
  70     PepsiAmericas, Inc.     2,370    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,270     Procter & Gamble Co.   $ 167,980    
  204     Reynolds American, Inc.     14,284    
  813     Rite Aid Corp.*     3,024    
  527     Safeway, Inc.     18,340    
  418     Sara Lee Corp.     7,035    
  131     Smithfield Foods, Inc.*     3,937    
  250     SUPERVALU, Inc.     10,468    
  315     Tyson Foods, Inc., Class A     4,697    
  86     UST, Inc.     4,979    
  766     Wal-Mart Stores, Inc.     36,691    
  34     WM. Wrigley Jr. Co.     2,176    
      740,849    
    Energy — 13.9%  
  554     Anadarko Petroleum Corp.     31,356    
  395     Apache Corp.     38,232    
  230     Chesapeake Energy Corp.     8,705    
  2,566     Chevron Corp.     225,218    
  100     Cimarex Energy Co.     3,863    
  1,952     ConocoPhillips     156,238    
  19     Continental Resources, Inc.*     453    
  532     Devon Energy Corp.     44,055    
  836     El Paso Corp.     13,443    
  13     ENSCO International, Inc.     700    
  292     EOG Resources, Inc.     24,172    
  5,353     Exxon Mobil Corp.     477,273    
  94     Forest Oil Corp.*     4,426    
  66     Frontier Oil Corp.     2,917    
  22     Helix Energy Solutions Group, Inc.*     893    
  123     Helmerich & Payne, Inc.     4,250    
  332     Hess Corp.     23,645    
  859     Marathon Oil Corp.     48,018    
  224     Murphy Oil Corp.     16,020    
  40     Nabors Industries Ltd.*     1,076    
  155     Newfield Exploration Co.*     7,727    
  175     Noble Energy, Inc.     12,607    
  995     Occidental Petroleum Corp.     69,421    
  37     Overseas Shipholding Group, Inc.     2,649    
  187     Patterson-UTI Energy, Inc.     3,525    
  147     Pioneer Natural Resources Co.     6,552    
  133     Plains Exploration & Production Co.*     6,705    
  52     Pride International, Inc.*     1,714    
  37     Rowan Cos., Inc.     1,310    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  29     SEACOR Holdings, Inc.*   $ 2,627    
  755     Spectra Energy Corp.     18,603    
  75     St. Mary Land & Exploration Co.     2,947    
  48     Teekay Corp.     2,700    
  23     Tidewater, Inc.     1,124    
  12     Unit Corp.*     537    
  138     Valero Energy Corp.     8,980    
  12     W&T Offshore, Inc.     317    
  15     Western Refining, Inc.     434    
  116     Williams Cos., Inc.     4,026    
      1,279,458    
    Financials — 28.0%  
  371     ACE Ltd.     22,197    
  49     Aflac, Inc.     3,069    
  6     Alleghany Corp.*     2,454    
  182     Allied Capital Corp.     4,428    
  72     Allied World Assurance Holdings Ltd.     3,332    
  681     Allstate Corp. (The)     34,813    
  119     AMB Property Corp. (REIT)     7,278    
  122     AMBAC Financial Group, Inc.     3,322    
  224     American Capital Strategies Ltd.     8,425    
  98     American Financial Group, Inc.     2,864    
  2,489     American International Group, Inc.     144,686    
  19     American National Insurance     2,271    
  131     AmeriCredit Corp.*     1,503    
  281     Ameriprise Financial, Inc.     16,492    
  480     Annaly Capital Management,
Inc. (REIT)		     8,261    
  350     AON Corp.     17,489    
  110     Apartment Investment &
Management Co. (REIT)		     4,375    
  57     Arch Capital Group Ltd.*     3,977    
  90     Arthur J. Gallagher & Co.     2,365    
  153     Associated Banc-Corp.     4,163    
  145     Assurant, Inc.     9,487    
  103     Astoria Financial Corp.     2,579    
  96     AvalonBay Communities, Inc. (REIT)     9,546    
  183     Axis Capital Holdings Ltd.     6,980    
  98     Bancorpsouth, Inc.     2,397    
  5,298     Bank of America Corp.     244,397    
  40     Bank of Hawaii Corp.     2,083    
  882     Bank of New York Mellon Corp. (The)     42,301    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  658     BB&T Corp.   $ 23,741    
  142     Bear Stearns Cos., Inc. (The)     14,157    
  33     BlackRock, Inc.     6,546    
  26     BOK Financial Corp.     1,423    
  122     Boston Properties, Inc. (REIT)     12,007    
  104     Brandywine Realty Trust (REIT)     2,132    
  60     BRE Properties, Inc. (REIT)     2,673    
  68     Camden Property Trust (REIT)     3,577    
  467     Capital One Financial Corp.     24,896    
  69     CapitalSource, Inc. (REIT)     1,156    
  8     Capitol Federal Financial     271    
  78     CBL & Associates Properties,
Inc. (REIT)		     2,253    
  479     Chubb Corp.     26,129    
  205     Cincinnati Financial Corp.     8,196    
  228     CIT Group, Inc.     6,065    
  5,906     Citigroup, Inc.     196,670    
  48     City National Corp.     3,092    
  32     CNA Financial Corp.     1,134    
  190     Colonial BancGroup, Inc. (The)     3,025    
  56     Colonial Properties Trust (REIT)     1,371    
  187     Comerica, Inc.     8,561    
  163     Commerce Bancorp, Inc.     6,491    
  87     Commerce Bancshares, Inc.     3,950    
  225     Conseco, Inc.*     2,889    
  708     Countrywide Financial Corp.     7,661    
  71     Cullen/Frost Bankers, Inc.     3,735    
  149     Developers Diversified Realty
Corp. (REIT)		     6,617    
  537     Discover Financial Services     9,328    
  124     Douglas Emmett, Inc. (REIT)     2,977    
  47     Duke Realty Corp. (REIT)     1,236    
  318     E*Trade Financial Corp.*     1,463    
  76     East West Bancorp, Inc.     2,048    
  70     Endurance Specialty Holdings Ltd.     2,827    
  324     Equity Residential (REIT)     12,056    
  44     Erie Indemnity Co., Class A     2,277    
  15     Essex Property Trust, Inc. (REIT)     1,556    
  76     Everest Re Group Ltd.     7,975    
  1,162     Fannie Mae     44,644    
  32     Federal Realty Investment Trust (REIT)     2,662    
  265     Fidelity National Financial, Inc., Class A     4,139    
  657     Fifth Third Bancorp     19,651    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  110     First American Corp.   $ 3,760    
  8     First Citizens BancShares, Inc., Class A     1,254    
  150     First Horizon National Corp.     3,312    
  480     Freddie Mac     16,834    
  207     Fulton Financial Corp.     2,590    
  115     General Growth Properties, Inc. (REIT)     5,341    
  519     Genworth Financial, Inc.     13,619    
  13     GLG Partners, Inc.*     179    
  275     Goldman Sachs Group, Inc. (The)     62,326    
  58     Hanover Insurance Group, Inc. (The)     2,616    
  378     Hartford Financial Services Group, Inc.     36,031    
  76     HCC Insurance Holdings, Inc.     2,336    
  246     HCP, Inc. (REIT)     8,229    
  85     Health Care REIT, Inc. (REIT)     3,809    
  112     Hospitality Properties Trust (REIT)     4,092    
  623     Host Hotels & Resorts, Inc. (REIT)     11,955    
  269     HRPT Properties Trust (REIT)     2,227    
  391     Hudson City Bancorp, Inc.     5,951    
  436     Huntington Bancshares, Inc.     6,841    
  96     IndyMac Bancorp, Inc.     917    
  153     iStar Financial, Inc. (REIT)     4,478    
  47     Janus Capital Group, Inc.     1,578    
  149     Jefferies Group, Inc.     3,808    
  4,078     JPMorgan Chase & Co.     186,038    
  468     Keycorp     12,327    
  256     Kimco Realty Corp. (REIT)     10,109    
  92     Legg Mason, Inc.     7,021    
  636     Lehman Brothers Holdings, Inc.     39,833    
  196     Leucadia National Corp.     9,204    
  110     Liberty Property Trust (REIT)     3,444    
  323     Lincoln National Corp.     19,887    
  520     Loews Corp.     24,851    
  82     M&T Bank Corp.     7,459    
  81     Mack-Cali Realty Corp. (REIT)     2,891    
  12     Markel Corp.*     5,786    
  621     Marsh & McLennan Cos., Inc.     15,599    
  310     Marshall & Ilsley Corp.     9,756    
  156     MBIA, Inc.     5,696    
  32     Mercury General Corp.     1,660    
  787     Merrill Lynch & Co., Inc.     47,173    
  563     MetLife, Inc.     36,927    
  54     MF Global Ltd.*     1,557    
  99     MGIC Investment Corp.     2,328    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,186     Morgan Stanley   $ 62,526    
  26     Nasdaq Stock Market, Inc. (The)*     1,127    
  690     National City Corp.     13,634    
  64     Nationwide Financial Services     2,865    
  384     New York Community Bancorp, Inc.     7,146    
  40     Northern Trust Corp.     3,240    
  277     Old Republic International Corp.     4,158    
  34     OneBeacon Insurance Group Ltd.     717    
  53     PartnerRe Ltd.     4,376    
  79     People's United Financial, Inc.     1,341    
  16     Philadelphia Consolidated Holding Co.*     681    
  194     Plum Creek Timber Co., Inc. (REIT)     8,996    
  97     PMI Group, Inc. (The)     1,283    
  415     PNC Financial Services Group, Inc.     30,382    
  334     Popular, Inc.     3,210    
  302     Principal Financial Group, Inc.     19,778    
  834     Progressive Corp. (The)     15,346    
  38     Prologis (REIT)     2,486    
  83     Protective Life Corp.     3,435    
  420     Prudential Financial, Inc.     39,539    
  137     Public Storage (REIT)     10,596    
  96     Radian Group, Inc.     1,089    
  112     Raymond James Financial, Inc.     3,638    
  87     Rayonier, Inc. (REIT)     4,035    
  83     Regency Centers Corp. (REIT)     5,515    
  841     Regions Financial Corp.     22,228    
  35     Reinsurance Group of America, Inc.     1,894    
  87     RenaissanceRe Holdings Ltd.     5,143    
  113     Safeco Corp.     6,521    
  118     Simon Property Group, Inc. (REIT)     11,617    
  71     SL Green Realty Corp. (REIT)     7,377    
  512     Sovereign Bancorp, Inc.     6,026    
  59     Stancorp Financial Group, Inc.     3,073    
  90     State Street Corp.     7,190    
  4     Student Loan Corp. (The)     562    
  426     SunTrust Banks, Inc.     29,867    
  206     Synovus Financial Corp.     5,127    
  29     Taubman Centers, Inc. (REIT)     1,552    
  155     TCF Financial Corp.     3,009    
  103     TFS Financial Corp.*     1,272    
  156     Thornburg Mortgage, Inc. (REIT)     1,663    
  114     Torchmark Corp.     7,031    
  21     Transatlantic Holdings, Inc.     1,561    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  793     Travelers Cos., Inc. (The)   $ 42,116    
  2,076     U.S. Bancorp     68,695    
  57     UnionBanCal Corp.     3,077    
  55     Unitrin, Inc.     2,544    
  431     Unum Group     10,706    
  144     Valley National Bancorp     2,822    
  159     Vornado Realty Trust (REIT)     14,310    
  2,373     Wachovia Corp.     102,039    
  104     Washington Federal, Inc.     2,441    
  1,053     Washington Mutual, Inc.     20,533    
  64     Webster Financial Corp.     2,156    
  4,056     Wells Fargo & Co.     131,536    
  2     Wesco Financial Corp.     864    
  11     White Mountains Insurance Group Ltd.     5,665    
  80     Whitney Holding Corp.     2,192    
  82     Wilmington Trust Corp.     2,929    
  141     WR Berkley Corp.     4,312    
  196     XL Capital Ltd., Class A     11,472    
  130     Zions Bancorporation     7,094    
      2,577,775    
    Health Care — 6.9%  
  116     Aetna, Inc.     6,482    
  108     AmerisourceBergen Corp.     4,900    
  370     Amgen, Inc.*     20,442    
  165     Applera Corp. - Applied Biosystems
Group		     5,636    
  14     Beckman Coulter, Inc.     990    
  278     Biogen Idec, Inc.*     20,605    
  1,590     Boston Scientific Corp.*     20,082    
  34     Brookdale Senior Living, Inc.     1,125    
  53     Charles River Laboratories
International, Inc.*		     3,367    
  104     Community Health Systems, Inc.*     3,476    
  32     Cooper Cos., Inc. (The)     1,377    
  12     Coventry Health Care, Inc.*     695    
  592     Covidien Ltd.     23,745    
  606     Eli Lilly & Co.     32,088    
  289     Health Management Associates, Inc.,
Class A		     1,968    
  61     Hillenbrand Industries, Inc.     3,284    
  25     IMS Health, Inc.     584    
  35     Invitrogen Corp.*     3,395    
  2,161     Johnson & Johnson     146,386    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  12     Kinetic Concepts, Inc.*   $ 704    
  291     King Pharmaceuticals, Inc.*     3,082    
  69     LifePoint Hospitals, Inc.*     2,183    
  27     McKesson Corp.     1,802    
  450     Merck & Co., Inc.     26,712    
  171     Millennium Pharmaceuticals, Inc.*     2,521    
  127     Omnicare, Inc.     3,236    
  108     PerkinElmer, Inc.     2,946    
  8,379     Pfizer, Inc.     199,085    
  13     Quest Diagnostics, Inc.     716    
  127     Tenet Healthcare Corp.*     700    
  254     Thermo Fisher Scientific, Inc.*     14,641    
  40     Universal Health Services, Inc., Class B     2,038    
  52     Watson Pharmaceuticals, Inc.*     1,524    
  375     WellPoint, Inc.*     31,579    
  761     Wyeth     37,365    
      631,461    
    Industrials — 9.8%  
  55     3M Co.     4,579    
  37     AGCO Corp.*     2,551    
  52     Alexander & Baldwin, Inc.     2,672    
  5     Alliant Techsystems, Inc.*     584    
  290     Allied Waste Industries, Inc.*     3,309    
  23     Armstrong World Industries, Inc.*     982    
  19     Avery Dennison Corp.     990    
  78     Avis Budget Group, Inc.*     1,172    
  24     Burlington Northern Santa Fe Corp.     2,004    
  54     Carlisle Cos., Inc.     2,150    
  38     Cintas Corp.     1,216    
  12     Con-way, Inc.     507    
  148     Cooper Industries Ltd., Class A     7,433    
  5     Copart, Inc.*     187    
  60     Crane Co.     2,696    
  433     CSX Corp.     18,186    
  256     Deere & Co.     43,981    
  166     Dover Corp.     7,682    
  46     DRS Technologies, Inc.     2,724    
  154     Eaton Corp.     13,754    
  160     Emerson Electric Co.     9,123    
  59     FedEx Corp.     5,810    
  7     Flowserve Corp.     659    
  63     Gardner Denver, Inc.*     2,086    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  35     GATX Corp.   $ 1,296    
  416     General Dynamics Corp.     36,932    
  10,919     General Electric Co.     418,088    
  133     Hertz Global Holdings, Inc.*     2,540    
  134     Honeywell International, Inc.     7,587    
  47     Hubbell, Inc., Class B     2,582    
  150     Illinois Tool Works, Inc.     8,325    
  305     Ingersoll-Rand Co., Ltd., Class A     15,750    
  190     ITT Corp.     12,244    
  36     Kansas City Southern*     1,239    
  201     KBR, Inc.*     8,004    
  20     Kennametal, Inc.     1,561    
  99     L-3 Communications Holdings, Inc.     10,954    
  56     Lennox International, Inc.     1,895    
  16     Lincoln Electric Holdings, Inc.     1,116    
  425     Masco Corp.     9,520    
  231     Norfolk Southern Corp.     11,830    
  386     Northrop Grumman Corp.     30,413    
  105     Northwest Airlines Corp.*     1,909    
  132     Owens Corning, Inc.*     2,905    
  13     Pall Corp.     497    
  208     Parker Hannifin Corp.     16,521    
  119     Pentair, Inc.     4,036    
  47     Pitney Bowes, Inc.     1,809    
  263     R.R. Donnelley & Sons Co.     9,642    
  257     Raytheon Co.     15,895    
  21     Republic Services, Inc.     697    
  69     Ryder System, Inc.     2,992    
  8     Shaw Group, Inc. (The)*     507    
  692     Southwest Airlines Co.     9,792    
  15     Spirit Aerosystems Holdings, Inc.,
Class A*		     524    
  63     SPX Corp.     6,411    
  21     Steelcase, Inc.     318    
  47     Teleflex, Inc.     2,836    
  113     Timken Co.     3,604    
  12     Trinity Industries, Inc.     304    
  592     Tyco International Ltd.     23,757    
  56     UAL Corp.*     2,293    
  124     Union Pacific Corp.     15,641    
  102     United Rentals, Inc.*     2,374    
  463     United Technologies Corp.     34,618    
  75     URS Corp.*     4,312    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  97     US Airways Group, Inc.*   $ 2,015    
  96     USG Corp.*     3,522    
  271     Waste Management, Inc.     9,301    
  13     WW Grainger, Inc.     1,148    
  69     YRC Worldwide, Inc.*     1,222    
      900,315    
    Information Technology — 3.1%  
  140     ADC Telecommunications, Inc.*     2,318    
  427     Advanced Micro Devices, Inc.*     4,167    
  65     Affiliated Computer Services, Inc.,
Class A*		     2,727    
  67     Arrow Electronics, Inc.*     2,480    
  536     Atmel Corp.*     2,353    
  74     Avnet, Inc.*     2,553    
  48     AVX Corp.     688    
  185     CA, Inc.     4,531    
  241     Cadence Design Systems, Inc.*     4,001    
  21     Checkfree Corp.*     1,000    
  207     Computer Sciences Corp.*     10,934    
  68     Compuware Corp.*     562    
  164     Convergys Corp.*     2,675    
  76     Cree, Inc.*     1,872    
  255     Electronic Data Systems Corp.     5,166    
  62     Fair Isaac Corp.     2,292    
  87     Fairchild Semiconductor
International, Inc.*		     1,380    
  36     Fidelity National Information
Services, Inc.		     1,556    
  7     Genpact Ltd.*     100    
  43     Hewitt Associates, Inc., Class A*     1,612    
  174     Ingram Micro, Inc.*     3,463    
  157     Integrated Device Technology, Inc.*     1,904    
  333     International Business Machines Corp.     35,025    
  67     International Rectifier Corp.*     2,179    
  74     Intersil Corp., Class A     1,846    
  81     Jabil Circuit, Inc.     1,373    
  111     JDS Uniphase Corp.*     1,494    
  174     Juniper Networks, Inc.*     5,171    
  52     Lexmark International, Inc., Class A*     1,814    
  349     LSI Corp.*     1,937    
  103     Metavante Technologies, Inc.*     2,346    
  608     Micron Technology, Inc.*     5,059    
  70     Molex, Inc.     1,929    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  2,763     Motorola, Inc.   $ 44,125    
  188     NCR Corp.*     4,501    
  362     Novell, Inc.*     2,541    
  48     Novellus Systems, Inc.*     1,248    
  18     QLogic Corp.*     243    
  26     Rambus, Inc.*     504    
  111     SanDisk Corp.*     4,156    
  492     Sanmina-SCI Corp.*     871    
  403     Seagate Technology     10,393    
  794     Sun Microsystems, Inc.*     16,504    
  920     Symantec Corp.*     16,376    
  66     Tech Data Corp.*     2,482    
  523     Tellabs, Inc.*     3,640    
  188     Teradata Corp.*     4,880    
  102     Teradyne, Inc.*     1,111    
  592     Tyco Electronics Ltd.     22,135    
  415     Unisys Corp.*     2,058    
  183     Vishay Intertechnology, Inc.*     2,286    
  8     VMware, Inc., Class A*     731    
  186     Western Digital Corp.*     5,139    
  53     Western Union Co. (The)     1,198    
  1,119     Xerox Corp.*     18,889    
      286,518    
    Materials — 3.9%  
  137     Air Products & Chemicals, Inc.     13,569    
  6     Airgas, Inc.     297    
  1,038     Alcoa, Inc.     37,752    
  67     Ashland, Inc.     3,299    
  125     Bemis Co., Inc.     3,391    
  23     Cabot Corp.     792    
  26     Carpenter Technology Corp.     1,962    
  54     Celanese Corp., Class A     2,143    
  270     Chemtura Corp.     2,025    
  143     Commercial Metals Co.     4,420    
  50     Cytec Industries, Inc.     3,067    
  279     Domtar Corp.*     2,120    
  1,138     Dow Chemical Co. (The)     47,728    
  100     Eastman Chemical Co.     6,421    
  927     EI Du Pont de Nemours & Co.     42,781    
  91     FMC Corp.     4,980    
  80     Freeport-McMoRan Copper & Gold, Inc.     7,914    
  108     Huntsman Corp.     2,739    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  24     International Flavors & Fragrances, Inc.   $ 1,203    
  520     International Paper Co.     17,550    
  124     Louisiana-Pacific Corp.     1,907    
  61     Lubrizol Corp.     3,913    
  277     Lyondell Chemical Co.     13,074    
  220     MeadWestvaco Corp.     7,231    
  105     Mosaic Co. (The)*     7,261    
  296     Newmont Mining Corp.     14,708    
  279     Nucor Corp.     16,520    
  12     Owens-Illinois, Inc.*     539    
  196     PPG Industries, Inc.     13,453    
  70     Reliance Steel & Aluminum Co.     3,611    
  76     Rohm & Haas Co.     4,132    
  20     RPM International, Inc.     381    
  43     Scotts Miracle-Gro Co. (The), Class A     1,587    
  166     Sealed Air Corp.     3,879    
  110     Sigma-Aldrich Corp.     5,792    
  304     Smurfit-Stone Container Corp.*     3,347    
  120     Sonoco Products Co.     3,646    
  69     Steel Dynamics, Inc.     3,471    
  126     Temple-Inland, Inc.     5,792    
  142     United States Steel Corp.     13,873    
  108     Valspar Corp.     2,434    
  23     Westlake Chemical Corp.     455    
  258     Weyerhaeuser Co.     18,881    
      356,040    
    Telecommunication Services — 5.7%  
  7,361     AT&T, Inc.     281,264    
  131     CenturyTel, Inc.     5,585    
  337     Citizens Communications Co.     4,374    
  27     Clearwire Corp., Class A*     420    
  51     Crown Castle International Corp.*     2,140    
  180     Embarq Corp.     9,171    
  1,921     Qwest Communications
International, Inc.*		     12,736    
  3,358     Sprint Nextel Corp.     52,116    
  68     Telephone & Data Systems, Inc.     4,233    
  13     U.S. Cellular Corp.*     1,066    
  3,466     Verizon Communications, Inc.     149,766    
  255     Windstream Corp.     3,302    
      526,173    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
    Utilities — 6.1%  
  93     AGL Resources, Inc.   $ 3,448    
  136     Alliant Energy Corp.     5,647    
  247     Ameren Corp.     13,301    
  476     American Electric Power Co., Inc.     22,691    
  147     Aqua America, Inc.     3,255    
  106     Atmos Energy Corp.     2,776    
  268     CMS Energy Corp.     4,671    
  323     Consolidated Edison, Inc.     15,649    
  48     Constellation Energy Group, Inc.     4,810    
  695     Dominion Resources, Inc.     32,825    
  63     DPL, Inc.     1,908    
  195     DTE Energy Co.     9,565    
  1,504     Duke Energy Corp.     29,764    
  338     Dynegy, Inc., Class A*     2,572    
  389     Edison International     21,776    
  86     Energen Corp.     5,482    
  189     Energy East Corp.     5,224    
  235     Entergy Corp.     28,092    
  35     Equitable Resources, Inc.     1,850    
  440     Exelon Corp.     35,671    
  364     FirstEnergy Corp.     24,956    
  485     FPL Group, Inc.     33,834    
  102     Great Plains Energy, Inc.     3,027    
  98     Hawaiian Electric Industries, Inc.     2,269    
  90     Integrys Energy Group, Inc.     4,591    
  217     MDU Resources Group, Inc.     5,922    
  97     Mirant Corp.*     3,743    
  100     National Fuel Gas Co.     4,765    
  327     NiSource, Inc.     6,053    
  185     Northeast Utilities     5,842    
  56     NRG Energy, Inc.*     2,374    
  127     NSTAR     4,445    
  110     OGE Energy Corp.     3,916    
  124     Oneok, Inc.     5,766    
  231     Pepco Holdings, Inc.     6,491    
  420     PG&E Corp.     19,433    
  120     Pinnacle West Capital Corp.     5,143    
  117     PPL Corp.     5,962    
  308     Progress Energy, Inc.     15,036    
  303     Public Service Enterprise Group, Inc.     29,009    
  139     Puget Energy, Inc.     3,902    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  135     Questar Corp.   $ 7,216    
  408     Reliant Energy, Inc.*     10,624    
  139     SCANA Corp.     5,923    
  315     Sempra Energy     19,725    
  225     Sierra Pacific Resources     3,870    
  897     Southern Co.     33,745    
  128     Southern Union Co.     3,821    
  250     TECO Energy, Inc.     4,330    
  126     UGI Corp.     3,331    
  91     Vectren Corp.     2,672    
  139     Wisconsin Energy Corp.     6,650    
  488     Xcel Energy, Inc.     11,278    
      560,641    
        Total Common Stock
(Cost $8,885,064)		     8,492,329    
Principal
Amount		  
 
 
    Repurchase Agreements — 19.4%  
$ 356,608     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $356,746 **		     356,608    
  410,175     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $410,331 ***		     410,175    
  71,322     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $71,349 ****		     71,322    
  950,954     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $951,315 *****		     950,954    
        Total Repurchase Agreements
(Cost $1,789,059)		     1,789,059    
        Total Investments
(Cost $10,674,123) — 111.7%		     10,281,388    
        Liabilities in excess of
other assets — (11.7%)		     (1,078,812 )  
        Net Assets — 100.0%   $ 9,202,576    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Value (continued)

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $363,742. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $418,380. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $72,748. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $969,974. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 502,889    
Aggregate gross unrealized depreciation     (1,022,040 )  
Net unrealized depreciation   $ (519,151 )  
Federal income tax cost of investments   $ 10,800,539    

 

Swap Agreements

Ultra Russell1000 Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on Russell 1000® Value Index, expiring 12/27/07   $ 10,126,379     $ (264,110 )  

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth

Shares  
  Value  
    Common Stocks (a) — 90.4%  
    Consumer Discretionary — 10.7%  
  230     Abercrombie & Fitch Co.   $ 18,869    
  265     Advance Auto Parts, Inc.     9,529    
  798     Amazon.Com, Inc.*     72,267    
  487     American Eagle Outfitters, Inc.     11,147    
  136     AnnTaylor Stores Corp.*     4,141    
  379     Apollo Group, Inc., Class A*     29,001    
  124     Autoliv, Inc.     7,242    
  122     Autozone, Inc.*     13,619    
  12     Barnes & Noble, Inc.     461    
  727     Bed Bath & Beyond, Inc.*     22,864    
  905     Best Buy Co., Inc.     46,200    
  280     Big Lots, Inc.*     5,228    
  85     Black & Decker Corp.     7,025    
  32     BorgWarner, Inc.     3,092    
  148     Boyd Gaming Corp.     5,731    
  276     Brinker International, Inc.     6,356    
  167     Burger King Holdings, Inc.     4,392    
  191     Cablevision Systems Corp.*     5,163    
  249     Career Education Corp.*     7,154    
  567     Carmax, Inc.*     12,967    
  476     Carnival Corp.     21,477    
  16     Centex Corp.     334    
  81     Central European Media
Enterprises Ltd.*		     8,887    
  189     Cheesecake Factory (The)*     4,402    
  462     Chico's FAS, Inc.*     5,225    
  93     Choice Hotels International, Inc.     3,222    
  193     Circuit City Stores, Inc.     1,249    
  279     Clear Channel Communications, Inc.     10,016    
  104     Clear Channel Outdoor Holdings, Inc.,
Class A*		     2,835    
  973     Coach, Inc.*     36,137    
  162     Coldwater Creek, Inc.*     1,336    
  4,749     Comcast Corp., Class A*     97,544    
  210     CROCS, Inc.*     8,196    
  136     CTC Media, Inc.*     3,272    
  371     Darden Restaurants, Inc.     14,762    
  212     Dick's Sporting Goods, Inc.*     6,627    
  1,871     DIRECTV Group, Inc. (The)*     46,532    
  406     Discovery Holding Co., Class A*     9,931    
  256     Dollar Tree Stores, Inc.*     7,337    
  156     Dow Jones & Co., Inc.     9,321    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  137     DreamWorks Animation SKG, Inc.,
Class A*		   $ 3,603    
  546     EchoStar Communications Corp.,
Class A*		     23,533    
  368     Family Dollar Stores, Inc.     8,666    
  413     GameStop Corp., Class A*     23,727    
  303     Garmin Ltd.     32,527    
  374     Gentex Corp.     7,413    
  64     Getty Images, Inc.*     1,866    
  550     Goodyear Tire & Rubber Co. (The)*     15,812    
  143     Guess ?, Inc.     6,711    
  847     H&R Block, Inc.     16,669    
  253     Hanesbrands, Inc.*     7,142    
  633     Harley-Davidson, Inc.     30,397    
  159     Harman International Industries, Inc.     11,702    
  281     Harrah's Entertainment, Inc.     24,748    
  92     Harte-Hanks, Inc.     1,546    
  130     Hasbro, Inc.     3,610    
  2,571     Home Depot, Inc.     73,428    
  31     IAC/InterActiveCorp*     863    
  872     International Game Technology     38,072    
  759     Interpublic Group of Cos., Inc.*     7,203    
  107     ITT Educational Services, Inc.*     12,106    
  92     Jarden Corp.*     2,425    
  592     JC Penney Co., Inc.     26,119    
  133     John Wiley & Sons, Inc., Class A     5,606    
  1,231     Johnson Controls, Inc.     47,541    
  842     Kohl's Corp.*     41,494    
  217     Lamar Advertising Co., Class A     11,286    
  274     Las Vegas Sands Corp.*     31,072    
  513     Liberty Global, Inc., Class A*     20,838    
  956     Liberty Media Corp. - Interactive,
Class A*		     19,263    
  19     Liz Claiborne, Inc.     477    
  3,949     Lowe's Cos., Inc.     96,395    
  835     Ltd Brands, Inc.     16,767    
  863     Marriott International, Inc., Class A     32,362    
  431     Mattel, Inc.     8,611    
  648     McDonald's Corp.     37,889    
  900     McGraw-Hill Cos., Inc. (The)     44,172    
  126     Meredith Corp.     6,936    
  310     MGM Mirage*     26,815    
  95     New York Times Co., (The), Class A     1,567    
  378     Newell Rubbermaid, Inc.     10,123    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  3,951     News Corp., Class A   $ 83,248    
  935     Nike, Inc., Class B     61,383    
  641     Nordstrom, Inc.     21,499    
  90     NutriSystem, Inc.*     2,263    
  5     NVR, Inc.*     2,460    
  299     O'Reilly Automotive, Inc.*     9,825    
  721     Office Depot, Inc.*     12,358    
  91     OfficeMax, Inc.     2,269    
  868     Omnicom Group, Inc.     42,315    
  105     Orient-Express Hotels Ltd.     6,501    
  74     Panera Bread Co., Class A*     2,965    
  193     Penn National Gaming, Inc.*     11,493    
  357     PetSmart, Inc.     10,167    
  147     Phillips-Van Heusen     6,236    
  161     Polo Ralph Lauren Corp.     11,106    
  129     Pool Corp.     2,750    
  198     Pulte Homes, Inc.     2,024    
  250     RadioShack Corp.     4,625    
  166     Regal Entertainment Group, Class A     3,285    
  364     Ross Stores, Inc.     9,602    
  318     Saks, Inc.*     6,551    
  170     Scientific Games Corp.*     5,506    
  291     Sherwin-Williams Co. (The)     18,284    
  3,835     Sirius Satellite Radio, Inc.*     14,688    
  70     Stanley Works (The)     3,650    
  1,876     Staples, Inc.     44,461    
  1,943     Starbucks Corp.*     45,447    
  528     Starwood Hotels & Resorts
Worldwide, Inc.		     28,343    
  2,243     Target Corp.     134,715    
  83     Thor Industries, Inc.     2,926    
  358     Tiffany & Co.     16,622    
  497     Tim Hortons, Inc.     19,100    
  225     Time Warner Cable, Inc., Class A*     5,857    
  1,423     Time Warner, Inc.     24,561    
  1,193     TJX Cos., Inc.     35,003    
  91     Tractor Supply Co.*     3,733    
  297     Urban Outfitters, Inc.*     7,781    
  1,598     Viacom, Inc., Class B*     67,148    
  158     WABCO Holdings, Inc.     7,420    
  2,282     Walt Disney Co. (The)     75,648    
  52     Warner Music Group Corp.     393    
  93     Weight Watchers International, Inc.     4,441    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  229     Wendy's International, Inc.   $ 6,419    
  148     Whirlpool Corp.     11,982    
  239     Williams-Sonoma, Inc.     6,957    
  35     Wyndham Worldwide Corp.     1,021    
  144     Wynn Resorts Ltd.     18,279    
  749     XM Satellite Radio Holdings, Inc.,
Class A*		     11,684    
  1,374     Yum! Brands, Inc.     51,044    
      2,418,230    
    Consumer Staples — 9.4%  
  37     Alberto-Culver Co.     946    
  3,150     Altria Group, Inc.     244,314    
  1,256     Anheuser-Busch Cos., Inc.     66,216    
  1,061     Avon Products, Inc.     43,554    
  102     Bare Escentuals, Inc.*     2,147    
  144     Brown-Forman Corp., Class B     10,172    
  345     Campbell Soup Co.     12,668    
  163     Church & Dwight Co., Inc.     9,148    
  334     Clorox Co.     21,670    
  3,999     Coca-Cola Co. (The)     248,338    
  1,237     Colgate-Palmolive Co.     99,059    
  806     Costco Wholesale Corp.     54,324    
  2,072     CVS Caremark Corp.     83,066    
  23     Dean Foods Co.     574    
  106     Energizer Holdings, Inc.*     12,045    
  287     Estee Lauder Cos., Inc. (The)     12,880    
  68     General Mills, Inc.     4,090    
  179     Hansen Natural Corp.*     7,770    
  126     Herbalife Ltd.     5,276    
  312     Hershey Co. (The)     12,452    
  469     HJ Heinz Co.     22,184    
  417     Kellogg Co.     22,535    
  497     Kimberly-Clark Corp.     34,696    
  1,185     Kroger Co. (The)     34,069    
  169     Loews Corp.- Carolina Group     15,032    
  227     McCormick & Co., Inc./MD
(Non-Voting)		     8,674    
  145     NBTY, Inc.*     4,331    
  93     Pepsi Bottling Group, Inc.     3,968    
  4,273     PepsiCo, Inc.     329,790    
  3,271     Procter & Gamble Co.     242,054    
  1,008     Sara Lee Corp.     16,965    
  1,621     SYSCO Corp.     52,699    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  232     UST, Inc.   $ 13,433    
  4,642     Wal-Mart Stores, Inc.     222,352    
  2,616     Walgreen Co.     95,719    
  371     Whole Foods Market, Inc.     15,957    
  553     WM. Wrigley Jr. Co.     35,392    
      2,120,559    
    Energy — 7.4%  
  374     Arch Coal, Inc.     14,160    
  840     Baker Hughes, Inc.     67,427    
  769     BJ Services Co.     18,902    
  254     Cabot Oil & Gas Corp.     8,743    
  289     Cameron International Corp.*     26,943    
  111     Cheniere Energy, Inc.*     3,863    
  705     Chesapeake Energy Corp.     26,684    
  73     CNX Gas Corp.*     2,248    
  478     CONSOL Energy, Inc.     28,336    
  36     Continental Resources, Inc./OK*     857    
  318     Denbury Resources, Inc.*     16,956    
  179     Diamond Offshore Drilling, Inc.     20,841    
  225     Dresser-Rand Group, Inc.*     8,010    
  363     ENSCO International, Inc.     19,548    
  3,014     Exxon Mobil Corp.     268,728    
  341     FMC Technologies, Inc.*     18,953    
  119     Foundation Coal Holdings, Inc.     5,407    
  145     Frontier Oil Corp.     6,409    
  127     Frontline Ltd.     5,912    
  241     Global Industries Ltd.*     5,343    
  334     Grant Prideco, Inc.*     16,065    
  2,398     Halliburton Co.     87,791    
  191     Helix Energy Solutions Group, Inc.*     7,753    
  119     Holly Corp.     5,766    
  213     Massey Energy Co.     7,231    
  651     Nabors Industries Ltd.*     17,512    
  932     National Oilwell Varco, Inc.*     63,516    
  703     Noble Corp.     36,647    
  64     Noble Energy, Inc.     4,611    
  143     Oceaneering International, Inc.*     9,125    
  70     Patriot Coal Corp.*     2,367    
  695     Peabody Energy Corp.     38,670    
  322     Pride International, Inc.*     10,616    
  131     Quicksilver Resources, Inc.*     6,629    
  388     Range Resources Corp.     15,784    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  207     Rowan Cos., Inc.   $ 7,328    
  3,091     Schlumberger Ltd.     288,854    
  526     Smith International, Inc.     32,991    
  445     Southwestern Energy Co.*     22,148    
  319     Sunoco, Inc.     21,405    
  212     Superior Energy Services*     7,399    
  358     Tesoro Corp.     17,606    
  190     Tetra Technologies, Inc.*     3,004    
  97     Tidewater, Inc.     4,742    
  814     Transocean, Inc.     111,804    
  95     Unit Corp.*     4,248    
  1,136     Valero Energy Corp.     73,919    
  46     W&T Offshore, Inc.     1,214    
  885     Weatherford International Ltd.*     55,419    
  37     Western Refining, Inc.     1,069    
  1,315     Williams Cos., Inc.     45,644    
  1,015     XTO Energy, Inc.     62,747    
      1,665,894    
    Financials — 6.4%  
  47     ACE Ltd.     2,812    
  78     Affiliated Managers Group, Inc.*     9,691    
  1,175     Aflac, Inc.     73,602    
  2,716     American Express Co.     160,190    
  412     American International Group, Inc.     23,950    
  21     AmeriCredit Corp.*     241    
  14     Apartment Investment &
Management Co. (REIT)		     557    
  48     Arthur J. Gallagher & Co.     1,261    
  44     Bank of Hawaii Corp.     2,291    
  1,030     Bank of New York Mellon Corp. (The)     49,399    
  95     BlackRock, Inc.     18,845    
  294     Brown & Brown, Inc.     7,232    
  218     CapitalSource, Inc. (REIT)     3,654    
  40     Capitol Federal Financial     1,356    
  512     CB Richard Ellis Group, Inc., Class A*     12,160    
  2,460     Charles Schwab Corp. (The)     59,803    
  143     CME Group, Inc.     94,180    
  7     CNA Financial Corp.     248    
  144     Commerce Bancorp, Inc.     5,734    
  71     Discover Financial Services     1,233    
  279     Duke Realty Corp. (REIT)     7,335    
  421     E*Trade Financial Corp.*     1,937    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  289     Eaton Vance Corp.   $ 12,647    
  23     Erie Indemnity Co., Class A     1,190    
  29     Essex Property Trust, Inc. (REIT)     3,008    
  77     Federal Realty Investment Trust (REIT)     6,406    
  229     Federated Investors, Inc., Class B     9,341    
  160     First Marblehead Corp. (The)     4,802    
  189     Forest City Enterprises, Inc., Class A     9,476    
  435     Franklin Resources, Inc.     53,583    
  680     Freddie Mac     23,848    
  313     General Growth Properties, Inc. (REIT)     14,536    
  110     GLG Partners, Inc.*     1,512    
  469     Goldman Sachs Group, Inc. (The)     106,294    
  7     Hanover Insurance Group, Inc. (The)     316    
  127     HCC Insurance Holdings, Inc.     3,904    
  26     Health Care REIT, Inc. (REIT)     1,165    
  568     Hudson City Bancorp, Inc.     8,645    
  185     IntercontinentalExchange, Inc.*     30,888    
  116     Investment Technology Group, Inc.*     5,299    
  357     Janus Capital Group, Inc.     11,984    
  97     Jones Lang LaSalle, Inc.     8,155    
  86     Kilroy Realty Corp. (REIT)     4,806    
  135     Lazard Ltd., Class A     6,569    
  142     Legg Mason, Inc.     10,836    
  188     Macerich Co. (The) (REIT)     14,598    
  577     Merrill Lynch & Co., Inc.     34,585    
  138     MF Global Ltd.*     3,979    
  561     Moody's Corp.     21,127    
  158     Morgan Stanley     8,330    
  236     Nasdaq Stock Market, Inc. (The)*     10,233    
  488     Northern Trust Corp.     39,523    
  242     Nymex Holdings, Inc.     30,141    
  692     NYSE Euronext     59,927    
  33     PartnerRe Ltd.     2,725    
  394     People's United Financial, Inc.     6,686    
  114     Philadelphia Consolidated Holding Co.*     4,854    
  36     Plum Creek Timber Co., Inc. (REIT)     1,669    
  39     Principal Financial Group, Inc.     2,554    
  589     Prologis (REIT)     38,532    
  293     Prudential Financial, Inc.     27,583    
  25     Public Storage (REIT)     1,933    
  12     Rayonier, Inc. (REIT)     557    
  340     SEI Investments Co.     10,547    
  319     Simon Property Group, Inc. (REIT)     31,406    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,079     SLM Corp.   $ 41,088    
  195     St. Joe Co. (The)     5,548    
  843     State Street Corp.     67,347    
  274     Synovus Financial Corp.     6,820    
  697     T. Rowe Price Group, Inc.     42,852    
  78     Taubman Centers, Inc. (REIT)     4,175    
  651     TD Ameritrade Holding Corp.*     12,167    
  49     TFS Financial Corp.*     605    
  25     Transatlantic Holdings, Inc.     1,859    
  356     UDR, Inc. (REIT)     7,843    
  350     Ventas, Inc. (REIT)     15,260    
  202     Weingarten Realty Investors (REIT)     7,201    
  114     WR Berkley Corp.     3,486    
  57     XL Capital Ltd., Class A     3,336    
      1,447,997    
    Health Care — 14.7%  
  4,040     Abbott Laboratories     232,340    
  17     Abraxis Bioscience, Inc.*     1,003    
  157     Advanced Medical Optics, Inc.*     3,960    
  1,087     Aetna, Inc.     60,742    
  800     Allergan, Inc.     53,632    
  201     AmerisourceBergen Corp.     9,119    
  2,038     Amgen, Inc.*     112,600    
  345     Amylin Pharmaceuticals, Inc.*     13,176    
  67     APP Pharmaceuticals, Inc.*     787    
  79     Applera Corp.- Applied Biosystems Group     2,699    
  288     Barr Pharmaceuticals, Inc.*     15,466    
  1,709     Baxter International, Inc.     102,318    
  132     Beckman Coulter, Inc.     9,336    
  643     Becton Dickinson & Co.     53,195    
  144     Biogen Idec, Inc.*     10,673    
  5,162     Bristol-Myers Squibb Co.     152,950    
  24     Brookdale Senior Living, Inc.     794    
  956     Cardinal Health, Inc.     57,886    
  996     Celgene Corp.*     61,304    
  174     Cephalon, Inc.*     13,036    
  172     Cerner Corp.*     10,277    
  60     Charles River Laboratories
International, Inc.*		     3,812    
  755     Cigna Corp.     40,476    
  22     Community Health Systems, Inc.*     735    
  47     Cooper Cos., Inc. (The)     2,022    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  167     Covance, Inc.*   $ 14,584    
  383     Coventry Health Care, Inc.*     22,168    
  271     CR Bard, Inc.     22,908    
  276     DaVita, Inc.*     17,101    
  398     Dentsply International, Inc.     17,026    
  151     Edwards Lifesciences Corp.*     7,467    
  1,274     Eli Lilly & Co.     67,458    
  351     Endo Pharmaceuticals Holdings, Inc.*     9,621    
  577     Express Scripts, Inc.*     39,092    
  839     Forest Laboratories, Inc.*     32,343    
  138     Gen-Probe, Inc.*     9,231    
  1,221     Genentech, Inc.*     93,101    
  693     Genzyme Corp.*     51,926    
  2,449     Gilead Sciences, Inc.*     113,976    
  294     Health Net, Inc.*     14,283    
  233     Henry Schein, Inc.*     13,782    
  28     Hillenbrand Industries, Inc.     1,508    
  476     HLTH Corp.*     6,659    
  411     Hospira, Inc.*     17,796    
  441     Humana, Inc.*     33,970    
  163     Idexx Laboratories, Inc.*     9,862    
  157     ImClone Systems, Inc.*     7,079    
  460     IMS Health, Inc.     10,741    
  98     Intuitive Surgical, Inc.*     32,113    
  46     Invitrogen Corp.*     4,462    
  2,849     Johnson & Johnson     192,991    
  114     Kinetic Concepts, Inc.*     6,685    
  308     Laboratory Corp. of America Holdings*     22,382    
  220     Lincare Holdings, Inc.*     7,522    
  719     McKesson Corp.     47,979    
  735     Medco Health Solutions, Inc.*     73,493    
  3,014     Medtronic, Inc.     153,262    
  4,696     Merck & Co., Inc.     278,755    
  465     Millennium Pharmaceuticals, Inc.*     6,854    
  142     Millipore Corp.*     11,627    
  793     Mylan, Inc.     11,403    
  39     Omnicare, Inc.     994    
  365     Patterson Cos., Inc.*     11,746    
  306     PDL BioPharma, Inc.*     5,419    
  127     Pediatrix Medical Group, Inc.*     8,212    
  79     PerkinElmer, Inc.     2,155    
  271     Pharmaceutical Product Development, Inc.     11,474    
  380     Quest Diagnostics, Inc.     20,923    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  204     Resmed, Inc.*   $ 9,343    
  193     Respironics, Inc.*     9,507    
  4,248     Schering-Plough Corp.     132,962    
  279     Sepracor, Inc.*     7,402    
  145     Sierra Health Services, Inc.*     6,054    
  887     St. Jude Medical, Inc.*     35,258    
  796     Stryker Corp.     57,813    
  103     Techne Corp.*     6,710    
  960     Tenet Healthcare Corp.*     5,290    
  550     Thermo Fisher Scientific, Inc.*     31,702    
  3,515     UnitedHealth Group, Inc.     193,325    
  33     Universal Health Services, Inc., Class B     1,681    
  334     Varian Medical Systems, Inc.*     16,687    
  220     VCA Antech, Inc.*     9,027    
  344     Vertex Pharmaceuticals, Inc.*     8,734    
  238     Warner Chilcott Ltd., Class A*     4,344    
  265     Waters Corp.*     20,681    
  156     Watson Pharmaceuticals, Inc.*     4,572    
  108     WellCare Health Plans, Inc.*     4,202    
  676     WellPoint, Inc.*     56,926    
  1,856     Wyeth     91,130    
  621     Zimmer Holdings, Inc.*     40,197    
      3,322,018    
    Industrials — 11.7%  
  1,768     3M Co.     147,204    
  157     AGCO Corp.*     10,824    
  76     Aircastle Ltd.     2,008    
  75     Alliant Techsystems, Inc.*     8,762    
  114     Allied Waste Industries, Inc.*     1,301    
  280     Ametek, Inc.     12,320    
  631     AMR Corp.*     13,365    
  239     Avery Dennison Corp.     12,454    
  95     Avis Budget Group, Inc.*     1,428    
  242     BE Aerospace, Inc.*     11,374    
  2,065     Boeing Co.     191,095    
  114     Brink's Co. (The)     7,294    
  881     Burlington Northern Santa Fe Corp.     73,581    
  44     Carlisle Cos., Inc.     1,752    
  1,680     Caterpillar, Inc.     120,792    
  444     CH Robinson Worldwide, Inc.     22,888    
  188     ChoicePoint, Inc.*     7,116    
  271     Cintas Corp.     8,669    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  93     Con-way, Inc.   $ 3,932    
  255     Continental Airlines, Inc., Class B*     7,178    
  155     Cooper Industries Ltd., Class A     7,784    
  46     Copa Holdings SA, Class A     1,662    
  167     Copart, Inc.*     6,239    
  93     Corporate Executive Board Co.     6,239    
  322     Corrections Corp. of America*     9,824    
  315     Covanta Holding Corp.*     8,502    
  196     CSX Corp.     8,232    
  274     Cummins, Inc.     32,031    
  645     Danaher Corp.     55,999    
  33     Deere & Co.     5,669    
  706     Delta Air Lines, Inc.*     13,951    
  208     Donaldson Co., Inc.     9,730    
  173     Dover Corp.     8,006    
  6     DRS Technologies, Inc.     355    
  156     Dun & Bradstreet Corp.     13,920    
  45     Eaton Corp.     4,019    
  1,733     Emerson Electric Co.     98,816    
  346     Equifax, Inc.     12,882    
  559     Expeditors International Washington, Inc.     26,228    
  332     Fastenal Co.     13,160    
  677     FedEx Corp.     66,664    
  94     First Solar, Inc.*     22,292    
  135     Flowserve Corp.     12,702    
  231     Fluor Corp.     33,996    
  185     Foster Wheeler Ltd.*     27,565    
  49     GATX Corp.     1,814    
  137     General Cable Corp.*     10,190    
  148     General Dynamics Corp.     13,139    
  2,995     General Electric Co.     114,679    
  328     Goodrich Corp.     23,383    
  165     Graco, Inc.     6,145    
  221     Harsco Corp.     13,275    
  548     Hertz Global Holdings, Inc.*     10,467    
  126     HNI Corp.     4,603    
  1,751     Honeywell International, Inc.     99,142    
  52     Hubbell, Inc., Class B     2,856    
  213     IDEX Corp.     7,604    
  971     Illinois Tool Works, Inc.     53,890    
  44     Ingersoll-Rand Co., Ltd., Class A     2,272    
  60     ITT Corp.     3,866    
  313     Jacobs Engineering Group, Inc.*     26,220    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  230     JB Hunt Transport Services, Inc.   $ 6,047    
  285     Joy Global, Inc.     16,530    
  121     Kansas City Southern*     4,166    
  59     Kennametal, Inc.     4,605    
  140     Kirby Corp.*     6,730    
  110     L-3 Communications Holdings, Inc.     12,172    
  146     Landstar System, Inc.     5,808    
  19     Lennox International, Inc.     643    
  77     Lincoln Electric Holdings, Inc.     5,372    
  923     Lockheed Martin Corp.     102,148    
  327     Manitowoc Co., Inc. (The)     14,339    
  222     Manpower, Inc.     13,564    
  57     Masco Corp.     1,277    
  584     McDermott International, Inc.*     30,543    
  330     Monster Worldwide, Inc.*     11,144    
  121     MSC Industrial Direct Co.     5,230    
  524     Norfolk Southern Corp.     26,834    
  57     Northrop Grumman Corp.     4,491    
  458     Northwest Airlines Corp.*     8,326    
  194     Oshkosh Truck Corp.     9,329    
  977     Paccar, Inc.     49,446    
  295     Pall Corp.     11,284    
  471     Pitney Bowes, Inc.     18,134    
  361     Precision Castparts Corp.     53,190    
  431     Quanta Services, Inc.*     11,801    
  601     Raytheon Co.     37,172    
  390     Republic Services, Inc.     12,936    
  385     Robert Half International, Inc.     10,380    
  391     Rockwell Automation, Inc.     26,545    
  439     Rockwell Collins, Inc.     31,661    
  232     Roper Industries, Inc.     14,720    
  194     Shaw Group, Inc. (The)*     12,303    
  404     Southwest Airlines Co.     5,717    
  151     Spirit Aerosystems Holdings, Inc.,
Class A*		     5,277    
  171     Steelcase, Inc.     2,587    
  230     Stericycle, Inc.*     13,535    
  65     Sunpower Corp., Class A*     8,089    
  270     Terex Corp.*     17,402    
  654     Textron, Inc.     45,159    
  153     Thomas & Betts Corp.*     8,317    
  106     Toro Co.     5,899    
  473     Trane, Inc.     17,364    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  184     Trinity Industries, Inc.   $ 4,657    
  180     UAL Corp.*     7,369    
  434     Union Pacific Corp.     54,745    
  1,761     United Parcel Service, Inc., Class B     129,750    
  1,591     United Technologies Corp.     118,959    
  45     URS Corp.*     2,587    
  260     UTi Worldwide, Inc.     6,170    
  761     Waste Management, Inc.     26,118    
  120     WESCO International, Inc.*     4,858    
  148     WW Grainger, Inc.     13,068    
      2,641,846    
    Information Technology — 25.1%  
  1,557     Accenture Ltd., Class A     53,810    
  743     Activision, Inc.*     16,457    
  166     Acxiom Corp.     2,045    
  1,542     Adobe Systems, Inc.*     64,980    
  644     Advanced Micro Devices, Inc.*     6,285    
  101     Affiliated Computer Services, Inc.,
Class A*		     4,238    
  1,059     Agilent Technologies, Inc.*     40,062    
  433     Akamai Technologies, Inc.*     16,480    
  206     Alliance Data Systems Corp.*     16,006    
  881     Altera Corp.     16,545    
  519     Amdocs Ltd.*     17,174    
  469     Amphenol Corp., Class A     20,331    
  858     Analog Devices, Inc.     26,409    
  2,269     Apple, Inc.*     413,457    
  3,625     Applied Materials, Inc.     68,259    
  179     Arrow Electronics, Inc.*     6,625    
  605     Autodesk, Inc.*     28,489    
  1,451     Automatic Data Processing, Inc.     65,382    
  230     Avnet, Inc.*     7,935    
  26     AVX Corp.     373    
  1,028     BEA Systems, Inc.*     16,273    
  526     BMC Software, Inc.*     17,400    
  1,229     Broadcom Corp., Class A*     32,863    
  365     Broadridge Financial Solutions, Inc.     8,311    
  1,051     Brocade Communications Systems, Inc.*     7,662    
  675     CA, Inc.     16,531    
  202     Cadence Design Systems, Inc.*     3,353    
  164     Checkfree Corp.*     7,806    
  224     Ciena Corp.*     9,852    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  15,925     Cisco Systems, Inc.*   $ 446,219    
  498     Citrix Systems, Inc.*     18,416    
  754     Cognizant Technology Solutions Corp.,
Class A*		     23,449    
  161     CommScope, Inc.*     6,521    
  641     Compuware Corp.*     5,295    
  4,125     Corning, Inc.     100,196    
  55     Cree, Inc.*     1,355    
  418     Cypress Semiconductor Corp.*     13,886    
  5,958     Dell, Inc.*     146,209    
  173     Diebold, Inc.     5,875    
  103     Dolby Laboratories, Inc., Class A*     5,175    
  142     DST Systems, Inc.*     12,035    
  2,998     eBay, Inc.*     100,523    
  817     Electronic Arts, Inc.*     45,907    
  774     Electronic Data Systems Corp.     15,681    
  5,504     EMC Corp.*     106,062    
  219     F5 Networks, Inc.*     5,786    
  113     Factset Research Systems, Inc.     7,083    
  15     Fair Isaac Corp.     554    
  134     Fairchild Semiconductor
International, Inc.*		     2,125    
  426     Fidelity National Information
Services, Inc.		     18,412    
  441     Fiserv, Inc.*     22,637    
  78     Genpact Ltd.*     1,115    
  212     Global Payments, Inc.     9,163    
  601     Google, Inc., Class A*     416,493    
  352     Harris Corp.     22,095    
  156     Hewitt Associates, Inc., Class A*     5,850    
  7,020     Hewlett-Packard Co.     359,143    
  174     Integrated Device Technology, Inc.*     2,111    
  15,239     Intel Corp.     397,433    
  2,852     International Business Machines Corp.     299,973    
  43     International Rectifier Corp.*     1,398    
  194     Intersil Corp., Class A     4,838    
  883     Intuit, Inc.*     25,890    
  464     Iron Mountain, Inc.*     16,927    
  303     Jabil Circuit, Inc.     5,136    
  296     JDS Uniphase Corp.*     3,984    
  967     Juniper Networks, Inc.*     28,739    
  503     Kla-Tencor Corp.     24,184    
  324     Lam Research Corp.*     14,855    
  135     Lexmark International, Inc., Class A*     4,709    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  582     Linear Technology Corp.   $ 17,728    
  1,112     LSI Corp.*     6,172    
  1,239     Marvell Technology Group Ltd.*     18,511    
  209     Mastercard, Inc., Class A     41,936    
  418     McAfee, Inc.*     16,281    
  589     MEMC Electronic Materials, Inc.*     45,695    
  99     Mettler Toledo International, Inc.*     11,520    
  573     Microchip Technology, Inc.     16,497    
  647     Micron Technology, Inc.*     5,383    
  21,530     Microsoft Corp.     723,408    
  206     Molex, Inc.     5,677    
  219     MoneyGram International, Inc.     3,381    
  151     National Instruments Corp.     5,039    
  708     National Semiconductor Corp.     16,185    
  256     NAVTEQ Corp.*     19,172    
  59     NCR Corp.*     1,412    
  973     Network Appliance, Inc.*     24,043    
  199     NeuStar, Inc., Class A*     6,322    
  114     Novell, Inc.*     800    
  198     Novellus Systems, Inc.*     5,150    
  1,428     Nvidia Corp.*     45,039    
  10,113     Oracle Corp.*     204,080    
  890     Paychex, Inc.     34,710    
  321     QLogic Corp.*     4,340    
  4,372     Qualcomm, Inc.     178,290    
  212     Rambus, Inc.*     4,111    
  507     Red Hat, Inc.*     10,150    
  51     Riverbed Technology, Inc.*     1,442    
  249     Salesforce.com, Inc.*     14,126    
  356     SanDisk Corp.*     13,329    
  309     Sanmina-SCI Corp.*     547    
  540     Seagate Technology     13,927    
  144     Silicon Laboratories, Inc.*     5,348    
  598     Sun Microsystems, Inc.*     12,421    
  340     Symantec Corp.*     6,052    
  380     Synopsys, Inc.*     9,352    
  59     Teradata Corp.*     1,532    
  230     Teradyne, Inc.*     2,505    
  3,761     Texas Instruments, Inc.     118,735    
  98     Total System Services, Inc.     2,748    
  313     Trimble Navigation Ltd.*     11,603    
  206     Varian Semiconductor Equipment
Associates, Inc.*		     8,551    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  163     VeriFone Holdings, Inc.*   $ 7,829    
  580     VeriSign, Inc.*     23,722    
  82     Vishay Intertechnology, Inc.*     1,024    
  82     VMware, Inc., Class A*     7,492    
  20     WebMD Health Corp., Class A*     853    
  173     Western Digital Corp.*     4,780    
  1,911     Western Union Co. (The)     43,189    
  781     Xilinx, Inc.     17,104    
  3,172     Yahoo!, Inc.*     85,041    
  181     Zebra Technologies Corp.*     6,981    
      5,656,095    
    Materials — 3.0%  
  268     Air Products & Chemicals, Inc.     26,543    
  193     Airgas, Inc.     9,550    
  292     AK Steel Holding Corp.*     13,014    
  209     Albemarle Corp.     9,225    
  268     Allegheny Technologies, Inc.     26,197    
  268     Ball Corp.     12,395    
  128     Cabot Corp.     4,406    
  72     Carpenter Technology Corp.     5,432    
  215     Celanese Corp., Class A     8,531    
  40     Chemtura Corp.     300    
  108     Cleveland-Cliffs, Inc.     9,742    
  429     Crown Holdings, Inc.*     11,008    
  604     Domtar Corp.*     4,590    
  116     Eagle Materials, Inc.     4,523    
  458     Ecolab, Inc.     21,938    
  385     EI Du Pont de Nemours & Co.     17,768    
  824     Freeport-McMoRan Copper & Gold, Inc.     81,518    
  158     International Flavors & Fragrances, Inc.     7,922    
  48     Lubrizol Corp.     3,079    
  112     Martin Marietta Materials, Inc.     15,070    
  1,428     Monsanto Co.     141,900    
  174     Mosaic Co. (The)*     12,032    
  379     Nalco Holding Co.     9,081    
  465     Newmont Mining Corp.     23,106    
  178     Nucor Corp.     10,539    
  380     Owens-Illinois, Inc.*     17,058    
  243     Packaging Corp. of America     6,874    
  342     Pactiv Corp.*     8,687    
  836     Praxair, Inc.     71,378    
  17     Reliance Steel & Aluminum Co.     877    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  195     Rohm & Haas Co.   $ 10,602    
  273     RPM International, Inc.     5,201    
  21     Scotts Miracle-Gro Co. (The), Class A     775    
  58     Sealed Air Corp.     1,355    
  104     Sigma-Aldrich Corp.     5,476    
  192     Southern Copper Corp.     21,245    
  76     Steel Dynamics, Inc.     3,824    
  179     Titanium Metals Corp.*     5,311    
  32     Valspar Corp.     721    
  275     Vulcan Materials Co.     24,398    
      673,191    
    Telecommunication Services — 0.7%  
  1,096     American Tower Corp., Class A*     49,912    
  158     Citizens Communications Co.     2,051    
  497     Crown Castle International Corp.*     20,849    
  134     Leap Wireless International, Inc.*     4,651    
  4,013     Level 3 Communications, Inc.*     13,484    
  151     MetroPCS Communications, Inc.*     2,582    
  454     NII Holdings, Inc.*     25,043    
  270     SBA Communications Corp., Class A*     10,109    
  121     Telephone & Data Systems, Inc.     7,532    
  15     U.S. Cellular Corp.*     1,230    
  691     Windstream Corp.     8,948    
      146,391    
    Utilities — 1.3%  
  1,751     AES Corp. (The)*     38,259    
  435     Allegheny Energy, Inc.     26,426    
  24     Aqua America, Inc.     531    
  841     Centerpoint Energy, Inc.     15,012    
  367     Constellation Energy Group, Inc.     36,777    
  160     DPL, Inc.     4,845    
  143     Dynegy, Inc., Class A*     1,088    
  242     Equitable Resources, Inc.     12,792    
  797     Exelon Corp.     64,613    
  460     Mirant Corp.*     17,751    
  512     NRG Energy, Inc.*     21,704    
  755     PPL Corp.     38,475    
  155     Questar Corp.     8,285    
  85     Sierra Pacific Resources     1,462    
      288,020    
        Total Common Stock
(Cost $19,747,996)		     20,380,241    

 

Principal
Amount		  
  Value  
    Repurchase Agreements — 14.0%  
$ 630,639     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $630,883 **		   $ 630,639    
  725,370     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $725,645 ***		     725,370    
  126,128     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $126,176 ****		     126,128    
  1,681,704     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,682,342 *****		     1,681,704    
        Total Repurchase Agreements
(Cost $3,163,841)		     3,163,841    
        Total Investments
(Cost $22,911,837) — 104.4%		     23,544,082    
        Liabilities in excess of
other assets — (4.4%)		     (982,840 )  
        Net Assets — 100.0%   $ 22,561,242    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $643,254. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $739,880. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell1000 Growth (continued)

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $128,651. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,715,338. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,542,322    
Aggregate gross unrealized depreciation     (935,296 )  
Net unrealized appreciation   $ 607,026    
Federal income tax cost of investments   $ 22,937,056    

 

Swap Agreements

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07   $ 8,516,205     $ (379,776 )  
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07     17,000,000       (533,186 )  
        $ (912,962 )  

 

See accompanying notes to the financial statements.



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value

Shares  
  Value  
    Common Stocks (a) — 90.1%  
    Consumer Discretionary — 11.8%  
  54     AnnTaylor Stores Corp.*   $ 1,644    
  135     Autoliv, Inc.     7,884    
  573     AutoNation, Inc.*     9,455    
  195     Barnes & Noble, Inc.     7,498    
  125     Black & Decker Corp.     10,331    
  191     BorgWarner, Inc.     18,453    
  375     Brunswick Corp.     7,646    
  614     Cablevision Systems Corp.*     16,596    
  473     Centex Corp.     9,867    
  13     Central European Media
Enterprises Ltd.*		     1,426    
  403     Circuit City Stores, Inc.     2,607    
  254     Dillard's, Inc., Class A     5,179    
  521     Discovery Holding Co., Class A*     12,744    
  1,305     DR Horton, Inc.     15,621    
  57     DreamWorks Animation SKG, Inc.,
Class A*		     1,499    
  1,195     Eastman Kodak Co.     28,059    
  374     EW Scripps Co., Class A     16,250    
  788     Expedia, Inc.*     25,689    
  645     Foot Locker, Inc.     8,417    
  8,397     Ford Motor Co.*     63,062    
  634     Fortune Brands, Inc.     48,596    
  975     Gannett Co., Inc.     35,831    
  2,490     Gap, Inc. (The)     50,796    
  708     Genuine Parts Co.     34,019    
  106     Getty Images, Inc.*     3,090    
  330     Harrah's Entertainment, Inc.     29,063    
  63     Harte-Hanks, Inc.     1,058    
  405     Hasbro, Inc.     11,247    
  103     Hearst-Argyle Television, Inc.     2,017    
  677     IAC/InterActiveCorp*     18,841    
  610     Idearc, Inc.     11,541    
  144     International Speedway Corp.,
Class A		     6,136    
  746     Interpublic Group of Cos., Inc.*     7,080    
  138     Jarden Corp.*     3,638    
  354     Jones Apparel Group, Inc.     6,599    
  320     KB Home     6,685    
  736     Leggett & Platt, Inc.     15,147    
  564     Lennar Corp., Class A     8,934    
  783     Liberty Global, Inc., Class A*     31,805    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  536     Liberty Media Corp. - Capital, Class A*   $ 63,816    
  1,013     Liberty Media Corp. - Interactive,
Class A*		     20,412    
  405     Liz Claiborne, Inc.     10,161    
  841     Mattel, Inc.     16,803    
  188     McClatchy Co., Class A     2,540    
  145     MDC Holdings, Inc.     5,132    
  229     Mohawk Industries, Inc.*     18,421    
  444     New York Times Co., (The), Class A     7,326    
  559     Newell Rubbermaid, Inc.     14,970    
  10     NVR, Inc.*     4,920    
  169     OfficeMax, Inc.     4,213    
  9     Orient-Express Hotels Ltd.     557    
  232     Penske Automotive Group, Inc.     4,640    
  566     Pulte Homes, Inc.     5,785    
  295     R.H. Donnelley Corp.*     13,104    
  168     RadioShack Corp.     3,108    
  61     Regal Entertainment Group, Class A     1,207    
  553     Royal Caribbean Cruises Ltd.     22,430    
  175     Ryland Group, Inc.     4,025    
  82     Saks, Inc.*     1,689    
  1,157     Service Corp. International     15,365    
  241     Snap-On, Inc.     11,780    
  235     Stanley Works (The)     12,255    
  12     Thor Industries, Inc.     423    
  523     Toll Brothers, Inc.*     10,810    
  346     Tribune Co.     10,740    
  176     TRW Automotive Holdings Corp.*     3,951    
  371     VF Corp.     27,747    
  1,217     Virgin Media, Inc.     23,123    
  67     Warner Music Group Corp.     506    
  24     Washington Post Co. (The), Class B     19,356    
  93     Whirlpool Corp.     7,529    
  701     Wyndham Worldwide Corp.     20,448    
      991,342    
    Consumer Staples — 6.8%  
  289     Alberto-Culver Co.     7,387    
  142     Avon Products, Inc.     5,829    
  271     BJ's Wholesale Club, Inc.*     10,149    
  96     Brown-Forman Corp., Class B     6,781    
  501     Bunge Ltd.     56,282    
  414     Campbell Soup Co.     15,202    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  16     Church & Dwight Co., Inc.   $ 898    
  46     Clorox Co.     2,985    
  1,294     Coca-Cola Enterprises, Inc.     33,605    
  2,069     ConAgra Foods, Inc.     51,766    
  796     Constellation Brands, Inc., Class A*     18,746    
  309     Corn Products International, Inc.     12,153    
  504     Dean Foods Co.     12,570    
  839     Del Monte Foods Co.     7,383    
  66     Energizer Holdings, Inc.*     7,500    
  206     Hershey Co. (The)     8,221    
  606     HJ Heinz Co.     28,664    
  307     Hormel Foods Corp.     12,203    
  235     JM Smucker Co. (The)     11,546    
  183     Loews Corp.- Carolina Group     16,278    
  183     McCormick & Co., Inc. (Non-Voting)     6,992    
  455     Molson Coors Brewing Co., Class B     24,497    
  438     Pepsi Bottling Group, Inc.     18,690    
  245     PepsiAmericas, Inc.     8,293    
  2,827     Rite Aid Corp.*     10,516    
  1,834     Safeway, Inc.     63,823    
  1,455     Sara Lee Corp.     24,488    
  453     Smithfield Foods, Inc.*     13,613    
  873     SUPERVALU, Inc.     36,553    
  1,097     Tyson Foods, Inc., Class A     16,356    
  298     UST, Inc.     17,254    
  119     WM. Wrigley Jr. Co.     7,616    
      574,839    
    Energy — 6.5%  
  798     Chesapeake Energy Corp.     30,204    
  346     Cimarex Energy Co.     13,366    
  65     Continental Resources, Inc.*     1,548    
  2,908     El Paso Corp.     46,761    
  45     ENSCO International, Inc.     2,423    
  328     Forest Oil Corp.*     15,442    
  227     Frontier Oil Corp.     10,034    
  77     Helix Energy Solutions Group, Inc.*     3,126    
  429     Helmerich & Payne, Inc.     14,822    
  1,153     Hess Corp.     82,117    
  781     Murphy Oil Corp.     55,857    
  138     Nabors Industries Ltd.*     3,712    
  540     Newfield Exploration Co.*     26,919    
  609     Noble Energy, Inc.     43,872    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  130     Overseas Shipholding Group, Inc.   $ 9,308    
  651     Patterson-UTI Energy, Inc.     12,271    
  513     Pioneer Natural Resources Co.     22,865    
  463     Plains Exploration & Production Co.*     23,340    
  178     Pride International, Inc.*     5,869    
  131     Rowan Cos., Inc.     4,637    
  100     SEACOR Holdings, Inc.*     9,057    
  2,624     Spectra Energy Corp.     64,655    
  261     St. Mary Land & Exploration Co.     10,257    
  168     Teekay Corp.     9,450    
  80     Tidewater, Inc.     3,911    
  42     Unit Corp.*     1,878    
  43     W&T Offshore, Inc.     1,135    
  54     Western Refining, Inc.     1,561    
  405     Williams Cos., Inc.     14,058    
      544,455    
    Financials — 26.4%  
  21     Alleghany Corp.*     8,589    
  632     Allied Capital Corp.     15,377    
  251     Allied World Assurance Holdings Ltd.     11,616    
  414     AMB Property Corp. (REIT)     25,320    
  423     AMBAC Financial Group, Inc.     11,518    
  781     American Capital Strategies Ltd.     29,373    
  342     American Financial Group, Inc.     9,993    
  65     American National Insurance     7,771    
  456     AmeriCredit Corp.*     5,230    
  977     Ameriprise Financial, Inc.     57,340    
  1,669     Annaly Capital Management, Inc. (REIT)     28,724    
  1,219     AON Corp.     60,913    
  382     Apartment Investment &
Management Co. (REIT)		     15,192    
  198     Arch Capital Group Ltd.*     13,816    
  314     Arthur J. Gallagher & Co.     8,252    
  530     Associated Banc-Corp.     14,421    
  503     Assurant, Inc.     32,911    
  361     Astoria Financial Corp.     9,039    
  331     AvalonBay Communities, Inc. (REIT)     32,915    
  639     Axis Capital Holdings Ltd.     24,371    
  341     Bancorpsouth, Inc.     8,341    
  136     Bank of Hawaii Corp.     7,082    
  114     BlackRock, Inc.     22,614    
  92     BOK Financial Corp.     5,036    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  426     Boston Properties, Inc. (REIT)   $ 41,927    
  362     Brandywine Realty Trust (REIT)     7,421    
  211     BRE Properties, Inc. (REIT)     9,400    
  236     Camden Property Trust (REIT)     12,416    
  239     CapitalSource, Inc. (REIT)     4,006    
  28     Capitol Federal Financial     949    
  273     CBL & Associates Properties, Inc. (REIT)     7,884    
  713     Cincinnati Financial Corp.     28,506    
  797     CIT Group, Inc.     21,200    
  170     City National Corp.     10,951    
  113     CNA Financial Corp.     4,005    
  660     Colonial BancGroup, Inc. (The)     10,507    
  193     Colonial Properties Trust (REIT)     4,727    
  648     Comerica, Inc.     29,665    
  567     Commerce Bancorp, Inc.     22,578    
  304     Commerce Bancshares, Inc.     13,798    
  783     Conseco, Inc.*     10,054    
  249     Cullen/Frost Bankers, Inc.     13,100    
  519     Developers Diversified Realty
Corp. (REIT)		     23,049    
  430     Douglas Emmett, Inc. (REIT)     10,324    
  163     Duke Realty Corp. (REIT)     4,285    
  1,106     E*Trade Financial Corp.*     5,088    
  262     East West Bancorp, Inc.     7,061    
  244     Endurance Specialty Holdings Ltd.     9,855    
  1,126     Equity Residential (REIT)     41,898    
  151     Erie Indemnity Co., Class A     7,813    
  55     Essex Property Trust, Inc. (REIT)     5,706    
  262     Everest Re Group Ltd.     27,492    
  113     Federal Realty Investment Trust (REIT)     9,400    
  921     Fidelity National Financial, Inc.,
Class A		     14,386    
  381     First American Corp.     13,023    
  25     First Citizens BancShares, Inc.,
Class A		     3,917    
  522     First Horizon National Corp.     11,526    
  719     Fulton Financial Corp.     8,995    
  403     General Growth Properties, Inc. (REIT)     18,715    
  1,806     Genworth Financial, Inc.     47,389    
  45     GLG Partners, Inc.*     619    
  203     Hanover Insurance Group, Inc. (The)     9,155    
  264     HCC Insurance Holdings, Inc.     8,115    
  856     HCP, Inc. (REIT)     28,633    
  293     Health Care REIT, Inc. (REIT)     13,129    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  390     Hospitality Properties Trust (REIT)   $ 14,251    
  2,168     Host Hotels & Resorts, Inc. (REIT)     41,604    
  936     HRPT Properties Trust (REIT)     7,750    
  1,361     Hudson City Bancorp, Inc.     20,714    
  1,517     Huntington Bancshares, Inc.     23,802    
  334     IndyMac Bancorp, Inc.     3,190    
  532     iStar Financial, Inc. (REIT)     15,572    
  164     Janus Capital Group, Inc.     5,506    
  521     Jefferies Group, Inc.     13,317    
  1,629     Keycorp     42,908    
  892     Kimco Realty Corp. (REIT)     35,225    
  322     Legg Mason, Inc.     24,572    
  681     Leucadia National Corp.     31,980    
  382     Liberty Property Trust (REIT)     11,960    
  285     M&T Bank Corp.     25,924    
  282     Mack-Cali Realty Corp. (REIT)     10,065    
  41     Markel Corp.*     19,768    
  1,076     Marshall & Ilsley Corp.     33,862    
  543     MBIA, Inc.     19,825    
  110     Mercury General Corp.     5,708    
  186     MF Global Ltd.*     5,362    
  345     MGIC Investment Corp.     8,114    
  94     Nasdaq Stock Market, Inc. (The)*     4,076    
  220     Nationwide Financial Services     9,847    
  1,335     New York Community Bancorp, Inc.     24,844    
  139     Northern Trust Corp.     11,258    
  961     Old Republic International Corp.     14,425    
  118     OneBeacon Insurance Group Ltd.     2,490    
  184     PartnerRe Ltd.     15,193    
  277     People's United Financial, Inc.     4,701    
  56     Philadelphia Consolidated Holding Co.*     2,384    
  677     Plum Creek Timber Co., Inc. (REIT)     31,393    
  337     PMI Group, Inc. (The)     4,459    
  1,160     Popular, Inc.     11,148    
  1,050     Principal Financial Group, Inc.     68,765    
  133     Prologis (REIT)     8,701    
  291     Protective Life Corp.     12,042    
  478     Public Storage (REIT)     36,969    
  333     Radian Group, Inc.     3,776    
  391     Raymond James Financial, Inc.     12,700    
  302     Rayonier, Inc. (REIT)     14,007    
  289     Regency Centers Corp. (REIT)     19,201    
  122     Reinsurance Group of America, Inc.     6,601    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  300     RenaissanceRe Holdings Ltd.   $ 17,733    
  393     Safeco Corp.     22,680    
  247     SL Green Realty Corp. (REIT)     25,663    
  1,781     Sovereign Bancorp, Inc.     20,962    
  206     StanCorp Financial Group, Inc.     10,731    
  17     Student Loan Corp. (The)     2,389    
  717     Synovus Financial Corp.     17,846    
  100     Taubman Centers, Inc. (REIT)     5,353    
  537     TCF Financial Corp.     10,423    
  360     TFS Financial Corp.*     4,446    
  543     Thornburg Mortgage, Inc. (REIT)     5,788    
  397     Torchmark Corp.     24,487    
  72     Transatlantic Holdings, Inc.     5,353    
  199     UnionBanCal Corp.     10,744    
  190     Unitrin, Inc.     8,789    
  1,498     Unum Group     37,210    
  500     Valley National Bancorp     9,800    
  554     Vornado Realty Trust (REIT)     49,860    
  363     Washington Federal, Inc.     8,520    
  222     Webster Financial Corp.     7,479    
  6     Wesco Financial Corp.     2,592    
  38     White Mountains Insurance
Group Ltd.		     19,570    
  281     Whitney Holding Corp.     7,699    
  285     Wilmington Trust Corp.     10,180    
  489     WR Berkley Corp.     14,954    
  682     XL Capital Ltd., Class A     39,917    
  449     Zions Bancorporation     24,502    
      2,214,050    
    Health Care — 2.1%  
  376     AmerisourceBergen Corp.     17,059    
  574     Applera Corp.- Applied Biosystems
Group		     19,608    
  48     Beckman Coulter, Inc.     3,395    
  118     Brookdale Senior Living, Inc.     3,906    
  184     Charles River Laboratories
International, Inc.*		     11,690    
  363     Community Health Systems, Inc.*     12,132    
  111     Cooper Cos., Inc. (The)     4,776    
  42     Coventry Health Care, Inc.*     2,431    
  1,006     Health Management Associates, Inc.,
Class A		     6,851    
  212     Hillenbrand Industries, Inc.     11,414    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  87     IMS Health, Inc.   $ 2,031    
  121     Invitrogen Corp.*     11,738    
  40     Kinetic Concepts, Inc.*     2,346    
  1,012     King Pharmaceuticals, Inc.*     10,717    
  240     LifePoint Hospitals, Inc.*     7,594    
  597     Millennium Pharmaceuticals, Inc.*     8,800    
  444     Omnicare, Inc.     11,313    
  373     PerkinElmer, Inc.     10,175    
  47     Quest Diagnostics, Inc.     2,588    
  444     Tenet Healthcare Corp.*     2,446    
  137     Universal Health Services, Inc.,
Class B		     6,980    
  178     Watson Pharmaceuticals, Inc.*     5,217    
      175,207    
    Industrials — 9.2%  
  131     AGCO Corp.*     9,031    
  178     Alexander & Baldwin, Inc.     9,146    
  19     Alliant Techsystems, Inc.*     2,220    
  1,007     Allied Waste Industries, Inc.*     11,490    
  81     Armstrong World Industries, Inc.*     3,459    
  65     Avery Dennison Corp.     3,387    
  273     Avis Budget Group, Inc.*     4,103    
  188     Carlisle Cos., Inc.     7,484    
  135     Cintas Corp.     4,319    
  42     Con-way, Inc.     1,776    
  515     Cooper Industries Ltd., Class A     25,863    
  19     Copart, Inc.*     710    
  212     Crane Co.     9,527    
  1,505     CSX Corp.     63,210    
  576     Dover Corp.     26,657    
  160     DRS Technologies, Inc.     9,474    
  537     Eaton Corp.     47,960    
  24     Flowserve Corp.     2,258    
  220     Gardner Denver, Inc.*     7,284    
  121     GATX Corp.     4,481    
  463     Hertz Global Holdings, Inc.*     8,843    
  165     Hubbell, Inc., Class B     9,063    
  1,061     Ingersoll-Rand Co., Ltd., Class A     54,790    
  660     ITT Corp.     42,530    
  127     Kansas City Southern*     4,373    
  701     KBR, Inc.*     27,914    
  68     Kennametal, Inc.     5,307    
  345     L-3 Communications Holdings, Inc.     38,174    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  194     Lennox International, Inc.   $ 6,565    
  56     Lincoln Electric Holdings, Inc.     3,907    
  1,478     Masco Corp.     33,107    
  368     Northwest Airlines Corp.*     6,690    
  458     Owens Corning, Inc.*     10,081    
  44     Pall Corp.     1,683    
  722     Parker Hannifin Corp.     57,349    
  414     Pentair, Inc.     14,043    
  166     Pitney Bowes, Inc.     6,391    
  914     R.R. Donnelley & Sons Co.     33,507    
  73     Republic Services, Inc.     2,421    
  241     Ryder System, Inc.     10,450    
  29     Shaw Group, Inc. (The)*     1,839    
  2,408     Southwest Airlines Co.     34,073    
  53     Spirit Aerosystems Holdings, Inc.,
Class A*		     1,852    
  218     SPX Corp.     22,184    
  71     Steelcase, Inc.     1,074    
  163     Teleflex, Inc.     9,834    
  394     Timken Co.     12,565    
  42     Trinity Industries, Inc.     1,063    
  195     UAL Corp.*     7,983    
  356     United Rentals, Inc.*     8,284    
  259     URS Corp.*     14,890    
  338     US Airways Group, Inc.*     7,020    
  333     USG Corp.*     12,218    
  46     WW Grainger, Inc.     4,062    
  239     YRC Worldwide, Inc.*     4,233    
      774,201    
    Information Technology — 6.2%  
  487     ADC Telecommunications, Inc.*     8,065    
  1,487     Advanced Micro Devices, Inc.*     14,513    
  224     Affiliated Computer Services, Inc.,
Class A*		     9,399    
  232     Arrow Electronics, Inc.*     8,586    
  1,865     Atmel Corp.*     8,187    
  256     Avnet, Inc.*     8,832    
  168     AVX Corp.     2,407    
  641     CA, Inc.     15,698    
  837     Cadence Design Systems, Inc.*     13,894    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  71     Checkfree Corp.*   $ 3,380    
  719     Computer Sciences Corp.*     37,978    
  236     Compuware Corp.*     1,949    
  569     Convergys Corp.*     9,280    
  263     Cree, Inc.*     6,478    
  888     Electronic Data Systems Corp.     17,991    
  215     Fair Isaac Corp.     7,946    
  302     Fairchild Semiconductor
International, Inc.*		     4,790    
  126     Fidelity National Information
Services, Inc.		     5,446    
  23     Genpact Ltd.*     329    
  148     Hewitt Associates, Inc., Class A*     5,550    
  603     Ingram Micro, Inc.*     12,000    
  546     Integrated Device Technology, Inc.*     6,623    
  233     International Rectifier Corp.*     7,577    
  254     Intersil Corp., Class A     6,335    
  283     Jabil Circuit, Inc.     4,797    
  386     JDS Uniphase Corp.*     5,196    
  604     Juniper Networks, Inc.*     17,951    
  179     Lexmark International, Inc., Class A*     6,243    
  1,213     LSI Corp.*     6,732    
  359     Metavante Technologies, Inc.*     8,178    
  2,117     Micron Technology, Inc.*     17,613    
  246     Molex, Inc.     6,780    
  654     NCR Corp.*     15,657    
  1,260     Novell, Inc.*     8,845    
  168     Novellus Systems, Inc.*     4,370    
  60     QLogic Corp.*     811    
  91     Rambus, Inc.*     1,764    
  385     SanDisk Corp.*     14,414    
  1,712     Sanmina-SCI Corp.*     3,030    
  1,402     Seagate Technology     36,158    
  228     Tech Data Corp.*     8,575    
  1,818     Tellabs, Inc.*     12,653    
  654     Teradata Corp.*     16,978    
  357     Teradyne, Inc.*     3,888    
  1,444     Unisys Corp.*     7,162    
  638     Vishay Intertechnology, Inc.*     7,969    
  647     Western Digital Corp.*     17,877    
  3,893     Xerox Corp.*     65,714    
      522,588    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
    Materials — 6.3%  
  476     Air Products & Chemicals, Inc.   $ 47,143    
  21     Airgas, Inc.     1,039    
  233     Ashland, Inc.     11,473    
  434     Bemis Co., Inc.     11,774    
  79     Cabot Corp.     2,719    
  91     Carpenter Technology Corp.     6,866    
  189     Celanese Corp., Class A     7,499    
  939     Chemtura Corp.     7,042    
  495     Commercial Metals Co.     15,300    
  175     Cytec Industries, Inc.     10,734    
  971     Domtar Corp.*     7,380    
  349     Eastman Chemical Co.     22,409    
  318     FMC Corp.     17,401    
  375     Huntsman Corp.     9,510    
  86     International Flavors & Fragrances, Inc.     4,312    
  433     Louisiana-Pacific Corp.     6,660    
  212     Lubrizol Corp.     13,598    
  961     Lyondell Chemical Co.     45,359    
  766     MeadWestvaco Corp.     25,178    
  367     Mosaic Co. (The)*     25,378    
  40     Owens-Illinois, Inc.*     1,796    
  682     PPG Industries, Inc.     46,812    
  246     Reliance Steel & Aluminum Co.     12,691    
  262     Rohm & Haas Co.     14,245    
  70     RPM International, Inc.     1,333    
  147     Scotts Miracle-Gro Co. (The), Class A     5,426    
  578     Sealed Air Corp.     13,508    
  381     Sigma-Aldrich Corp.     20,060    
  1,059     Smurfit-Stone Container Corp.*     11,660    
  415     Sonoco Products Co.     12,608    
  241     Steel Dynamics, Inc.     12,125    
  439     Temple-Inland, Inc.     20,181    
  491     United States Steel Corp.     47,971    
  376     Valspar Corp.     8,475    
  80     Westlake Chemical Corp.     1,582    
      529,247    
    Telecommunication Services — 1.8%  
  455     CenturyTel, Inc.     19,397    
  1,172     Citizens Communications Co.     15,212    
  96     Clearwire Corp., Class A*     1,495    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  175     Crown Castle International Corp.*   $ 7,341    
  627     Embarq Corp.     31,946    
  6,682     Qwest Communications
International, Inc.*		     44,302    
  235     Telephone & Data Systems, Inc.     14,629    
  47     U.S. Cellular Corp.*     3,854    
  888     Windstream Corp.     11,499    
      149,675    
    Utilities — 13.0%  
  323     AGL Resources, Inc.     11,977    
  472     Alliant Energy Corp.     19,597    
  860     Ameren Corp.     46,311    
  1,656     American Electric Power Co., Inc.     78,941    
  513     Aqua America, Inc.     11,358    
  369     Atmos Energy Corp.     9,664    
  932     CMS Energy Corp.     16,245    
  1,124     Consolidated Edison, Inc.     54,458    
  168     Constellation Energy Group, Inc.     16,835    
  218     DPL, Inc.     6,601    
  680     DTE Energy Co.     33,354    
  1,177     Dynegy, Inc., Class A*     8,957    
  1,353     Edison International     75,741    
  298     Energen Corp.     18,995    
  656     Energy East Corp.     18,132    
  121     Equitable Resources, Inc.     6,396    
  357     Great Plains Energy, Inc.     10,596    
  340     Hawaiian Electric Industries, Inc.     7,871    
  314     Integrys Energy Group, Inc.     16,017    
  755     MDU Resources Group, Inc.     20,604    
  335     Mirant Corp.*     12,928    
  347     National Fuel Gas Co.     16,535    
  1,138     NiSource, Inc.     21,064    
  642     Northeast Utilities     20,274    
  196     NRG Energy, Inc.*     8,308    
  444     NSTAR     15,540    
  381     OGE Energy Corp.     13,564    
  431     Oneok, Inc.     20,041    
  802     Pepco Holdings, Inc.     22,536    
  1,460     PG&E Corp.     67,554    
  416     Pinnacle West Capital Corp.     17,830    
  407     PPL Corp.     20,741    
  1,071     Progress Energy, Inc.     52,286    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  485     Puget Energy, Inc.   $ 13,614    
  471     Questar Corp.     25,175    
  1,419     Reliant Energy, Inc.*     36,951    
  485     SCANA Corp.     20,666    
  1,096     Sempra Energy     68,632    
  785     Sierra Pacific Resources     13,502    
  446     Southern Union Co.     13,313    
  871     TECO Energy, Inc.     15,086    
  441     UGI Corp.     11,660    
  318     Vectren Corp.     9,336    
  486     Wisconsin Energy Corp.     23,250    
  1,698     Xcel Energy, Inc.     39,241    
      1,088,277    
        Total Common Stock
(Cost $8,196,307)		     7,563,881    
Principal
Amount		  
 
 
    Repurchase Agreements — 14.6%  
$ 244,611     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $244,706 **		     244,611    
  281,355     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $281,462 ***		     281,355    
  48,922     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $48,941 ****		     48,922    
  652,296     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $652,543 *****		     652,296    
        Total Repurchase Agreements
(Cost $1,227,184)		     1,227,184    
        Total Investments
(Cost $9,423,491) — 104.7%		     8,791,065    
        Liabilities in excess of
other assets — (4.7%)		     (391,277 )  
        Net Assets — 100.0%   $ 8,399,788    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $249,504. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $286,983. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $49,901. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $665,342. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 387,014    
Aggregate gross unrealized depreciation     (1,282,072 )  
Net unrealized depreciation   $ (895,058 )  
Federal income tax cost of investments   $ 9,686,123    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Value (continued)

Swap Agreements

Ultra Russell MidCap Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07   $ 9,492,599     $ (337,207 )  

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth

Shares  
  Value  
    Common Stocks (a) — 88.5%  
    Consumer Discretionary — 15.4%  
  504     Abercrombie & Fitch Co.   $ 41,348    
  579     Advance Auto Parts, Inc.     20,821    
  1066     American Eagle Outfitters, Inc.     24,401    
  297     AnnTaylor Stores Corp.*     9,044    
  830     Apollo Group, Inc., Class A*     63,512    
  270     Autoliv, Inc.     15,768    
  266     Autozone, Inc.*     29,694    
  26     Barnes & Noble, Inc.     1,000    
  1590     Bed Bath & Beyond, Inc.*     50,005    
  613     Big Lots, Inc.*     11,445    
  186     Black & Decker Corp.     15,373    
  70     BorgWarner, Inc.     6,763    
  323     Boyd Gaming Corp.     12,507    
  603     Brinker International, Inc.     13,887    
  365     Burger King Holdings, Inc.     9,599    
  418     Cablevision Systems Corp.*     11,299    
  545     Career Education Corp.*     15,658    
  1241     Carmax, Inc.*     28,382    
  35     Centex Corp.     730    
  178     Central European Media
Enterprises Ltd.*		     19,528    
  413     Cheesecake Factory (The)*     9,619    
  1010     Chico's FAS, Inc.*     11,423    
  204     Choice Hotels International, Inc.     7,069    
  423     Circuit City Stores, Inc.     2,737    
  228     Clear Channel Outdoor Holdings, Inc.,
Class A*		     6,215    
  2,130     Coach, Inc.*     79,108    
  354     Coldwater Creek, Inc.*     2,920    
  459     CROCS, Inc.*     17,915    
  298     CTC Media, Inc.*     7,170    
  811     Darden Restaurants, Inc.     32,270    
  464     Dick's Sporting Goods, Inc.*     14,505    
  888     Discovery Holding Co., Class A*     21,720    
  560     Dollar Tree Stores, Inc.*     16,050    
  342     Dow Jones & Co., Inc.     20,434    
  300     DreamWorks Animation SKG, Inc.,
Class A*		     7,890    
  1195     EchoStar Communications Corp.,
Class A*		     51,504    
  806     Family Dollar Stores, Inc.     18,981    
  903     GameStop Corp., Class A*     51,877    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  663     Garmin Ltd.   $ 71,173    
  819     Gentex Corp.     16,233    
  139     Getty Images, Inc.*     4,052    
  1203     Goodyear Tire & Rubber Co. (The)*     34,586    
  312     Guess ?, Inc.     14,642    
  1,853     H&R Block, Inc.     36,467    
  553     Hanesbrands, Inc.*     15,611    
  1386     Harley-Davidson, Inc.     66,556    
  347     Harman International Industries, Inc.     25,539    
  615     Harrah's Entertainment, Inc.     54,163    
  201     Harte-Hanks, Inc.     3,377    
  284     Hasbro, Inc.     7,887    
  67     IAC/InterActiveCorp*     1,865    
  1908     International Game Technology     83,303    
  1,660     Interpublic Group of Cos., Inc.*     15,753    
  234     ITT Educational Services, Inc.*     26,475    
  202     Jarden Corp.*     5,325    
  1296     JC Penney Co., Inc.     57,179    
  291     John Wiley & Sons, Inc., Class A     12,266    
  475     Lamar Advertising Co., Class A     24,705    
  1121     Liberty Global, Inc., Class A*     45,535    
  2091     Liberty Media Corp. - Interactive,
Class A*		     42,134    
  41     Liz Claiborne, Inc.     1,029    
  1,827     Ltd Brands, Inc.     36,686    
  943     Mattel, Inc.     18,841    
  276     Meredith Corp.     15,194    
  207     New York Times Co., (The), Class A     3,415    
  827     Newell Rubbermaid, Inc.     22,147    
  1401     Nordstrom, Inc.     46,989    
  197     NutriSystem, Inc.*     4,955    
  10     NVR, Inc.*     4,920    
  655     O'Reilly Automotive, Inc.*     21,523    
  1577     Office Depot, Inc.*     27,030    
  198     OfficeMax, Inc.     4,936    
  230     Orient-Express Hotels Ltd.     14,239    
  163     Panera Bread Co., Class A*     6,531    
  421     Penn National Gaming, Inc.*     25,071    
  780     PetSmart, Inc.     22,214    
  321     Phillips-Van Heusen     13,617    
  351     Polo Ralph Lauren Corp.     24,212    
  283     Pool Corp.     6,034    
  432     Pulte Homes, Inc.     4,415    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  546     RadioShack Corp.   $ 10,101    
  364     Regal Entertainment Group, Class A     7,204    
  797     Ross Stores, Inc.     21,025    
  695     Saks, Inc.*     14,317    
  372     Scientific Games Corp.*     12,049    
  637     Sherwin-Williams Co. (The)     40,023    
  8390     Sirius Satellite Radio, Inc.*     32,134    
  154     Stanley Works (The)     8,031    
  1155     Starwood Hotels & Resorts
Worldwide, Inc.		     62,000    
  181     Thor Industries, Inc.     6,380    
  782     Tiffany & Co.     36,308    
  1087     Tim Hortons, Inc.     41,773    
  2609     TJX Cos., Inc.     76,548    
  198     Tractor Supply Co.*     8,122    
  650     Urban Outfitters, Inc.*     17,030    
  345     WABCO Holdings, Inc.     16,201    
  114     Warner Music Group Corp.     861    
  203     Weight Watchers International, Inc.     9,693    
  501     Wendy's International, Inc.     14,043    
  324     Whirlpool Corp.     26,231    
  522     Williams-Sonoma, Inc.     15,195    
  77     Wyndham Worldwide Corp.     2,246    
  315     Wynn Resorts Ltd.     39,986    
  1639     XM Satellite Radio Holdings, Inc.,
Class A*		     25,568    
  3006     Yum! Brands, Inc.     111,673    
      2,423,737    
    Consumer Staples — 4.0%  
  81     Alberto-Culver Co.     2,070    
  2,322     Avon Products, Inc.     95,318    
  223     Bare Escentuals, Inc.*     4,694    
  314     Brown-Forman Corp., Class B     22,181    
  755     Campbell Soup Co.     27,724    
  356     Church & Dwight Co., Inc.     19,979    
  730     Clorox Co.     47,362    
  49     Dean Foods Co.     1,222    
  233     Energizer Holdings, Inc.*     26,476    
  627     Estee Lauder Cos., Inc. (The)     28,140    
  391     Hansen Natural Corp.*     16,973    
  275     Herbalife Ltd.     11,514    
  682     Hershey Co. (The)     27,219    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1027     HJ Heinz Co.   $ 48,577    
  369     Loews Corp.- Carolina Group     32,823    
  497     McCormick & Co., Inc. (Non-Voting)     18,990    
  317     NBTY, Inc.*     9,469    
  203     Pepsi Bottling Group, Inc.     8,662    
  2,205     Sara Lee Corp.     37,110    
  507     UST, Inc.     29,355    
  811     Whole Foods Market, Inc.     34,881    
  1210     WM. Wrigley Jr. Co.     77,440    
      628,179    
    Energy — 9.8%  
  818     Arch Coal, Inc.     30,969    
  1,683     BJ Services Co.     41,368    
  556     Cabot Oil & Gas Corp.     19,137    
  632     Cameron International Corp.*     58,921    
  244     Cheniere Energy, Inc.*     8,491    
  1541     Chesapeake Energy Corp.     58,327    
  160     CNX Gas Corp.*     4,928    
  1045     CONSOL Energy, Inc.     61,948    
  79     Continental Resources, Inc.*     1,882    
  695     Denbury Resources, Inc.*     37,057    
  391     Diamond Offshore Drilling, Inc.     45,524    
  493     Dresser-Rand Group, Inc.*     17,551    
  793     ENSCO International, Inc.     42,703    
  745     FMC Technologies, Inc.*     41,407    
  259     Foundation Coal Holdings, Inc.     11,769    
  318     Frontier Oil Corp.     14,056    
  278     Frontline Ltd.     12,941    
  528     Global Industries Ltd.*     11,706    
  731     Grant Prideco, Inc.*     35,161    
  418     Helix Energy Solutions Group, Inc.*     16,967    
  259     Holly Corp.     12,548    
  465     Massey Energy Co.     15,787    
  1424     Nabors Industries Ltd.*     38,306    
  2038     National Oilwell Varco, Inc.*     138,890    
  1538     Noble Corp.     80,176    
  139     Noble Energy, Inc.     10,013    
  313     Oceaneering International, Inc.*     19,972    
  152     Patriot Coal Corp.*     5,139    
  1520     Peabody Energy Corp.     84,573    
  705     Pride International, Inc.*     23,244    
  288     Quicksilver Resources, Inc.*     14,573    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  849     Range Resources Corp.   $ 34,537    
  453     Rowan Cos., Inc.     16,036    
  1150     Smith International, Inc.     72,128    
  975     Southwestern Energy Co.*     48,526    
  697     Sunoco, Inc.     46,769    
  463     Superior Energy Services*     16,159    
  784     Tesoro Corp.     38,557    
  417     Tetra Technologies, Inc.*     6,593    
  212     Tidewater, Inc.     10,365    
  208     Unit Corp.*     9,302    
  101     W&T Offshore, Inc.     2,666    
  1936     Weatherford International Ltd.*     121,232    
  81     Western Refining, Inc.     2,341    
  2876     Williams Cos., Inc.     99,826    
      1,541,071    
    Financials — 7.1%  
  171     Affiliated Managers Group, Inc.*     21,247    
  46     AmeriCredit Corp.*     528    
  30     Apartment Investment &
Management Co. (REIT)		     1,193    
  105     Arthur J. Gallagher & Co.     2,759    
  96     Bank of Hawaii Corp.     4,999    
  209     BlackRock, Inc.     41,459    
  642     Brown & Brown, Inc.     15,793    
  478     CapitalSource, Inc. (REIT)     8,011    
  87     Capitol Federal Financial     2,948    
  1121     CB Richard Ellis Group, Inc., Class A*     26,624    
  16     CNA Financial Corp.     567    
  315     Commerce Bancorp, Inc.     12,543    
  611     Duke Realty Corp. (REIT)     16,063    
  921     E*Trade Financial Corp.*     4,237    
  633     Eaton Vance Corp.     27,700    
  51     Erie Indemnity Co., Class A     2,639    
  64     Essex Property Trust, Inc. (REIT)     6,639    
  168     Federal Realty Investment Trust (REIT)     13,976    
  500     Federated Investors, Inc., Class B     20,395    
  351     First Marblehead Corp. (The)     10,534    
  414     Forest City Enterprises, Inc., Class A     20,758    
  685     General Growth Properties, Inc. (REIT)     31,811    
  240     GLG Partners, Inc.*     3,300    
  15     Hanover Insurance Group, Inc. (The)     677    
  278     HCC Insurance Holdings, Inc.     8,546    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  58     Health Care REIT, Inc. (REIT)   $ 2,599    
  1243     Hudson City Bancorp, Inc.     18,919    
  404     IntercontinentalExchange, Inc.*     67,452    
  254     Investment Technology Group, Inc.*     11,603    
  780     Janus Capital Group, Inc.     26,185    
  211     Jones Lang LaSalle, Inc.     17,739    
  188     Kilroy Realty Corp. (REIT)     10,507    
  296     Lazard Ltd., Class A     14,403    
  312     Legg Mason, Inc.     23,809    
  411     Macerich Co. (The) (REIT)     31,914    
  302     MF Global Ltd.*     8,707    
  517     Nasdaq Stock Market, Inc. (The)*     22,417    
  1068     Northern Trust Corp.     86,497    
  528     Nymex Holdings, Inc.     65,762    
  72     PartnerRe Ltd.     5,945    
  863     People's United Financial, Inc.     14,645    
  250     Philadelphia Consolidated Holding Co.*     10,645    
  79     Plum Creek Timber Co., Inc. (REIT)     3,663    
  86     Principal Financial Group, Inc.     5,632    
  1288     Prologis (REIT)     84,261    
  55     Public Storage (REIT)     4,254    
  27     Rayonier, Inc. (REIT)     1,252    
  743     SEI Investments Co.     23,048    
  427     St. Joe Co. (The)     12,148    
  600     Synovus Financial Corp.     14,934    
  1524     T. Rowe Price Group, Inc.     93,696    
  170     Taubman Centers, Inc. (REIT)     9,100    
  1425     TD Ameritrade Holding Corp.*     26,633    
  108     TFS Financial Corp.*     1,334    
  55     Transatlantic Holdings, Inc.     4,089    
  780     UDR, Inc. (REIT)     17,183    
  765     Ventas, Inc. (REIT)     33,354    
  441     Weingarten Realty Investors (REIT)     15,722    
  248     WR Berkley Corp.     7,584    
  125     XL Capital Ltd., Class A     7,316    
      1,110,897    
    Health Care — 11.1%  
  37     Abraxis Bioscience, Inc.*     2,183    
  344     Advanced Medical Optics, Inc.*     8,676    
  1,751     Allergan, Inc.     117,387    
  439     AmerisourceBergen Corp.     19,917    
  755     Amylin Pharmaceuticals, Inc.*     28,833    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  147     APP Pharmaceuticals, Inc.*   $ 1,727    
  172     Applera Corp. - Applied Biosystems
Group		     5,876    
  630     Barr Pharmaceuticals, Inc.*     33,831    
  289     Beckman Coulter, Inc.     20,441    
  53     Brookdale Senior Living, Inc.     1,754    
  380     Cephalon, Inc.*     28,470    
  377     Cerner Corp.*     22,526    
  132     Charles River Laboratories
International, Inc.*		     8,386    
  1651     Cigna Corp.     88,510    
  47     Community Health Systems, Inc.*     1,571    
  103     Cooper Cos., Inc. (The)     4,432    
  365     Covance, Inc.*     31,875    
  839     Coventry Health Care, Inc.*     48,561    
  594     CR Bard, Inc.     50,211    
  604     DaVita, Inc.*     37,424    
  872     Dentsply International, Inc.     37,304    
  331     Edwards Lifesciences Corp.*     16,368    
  768     Endo Pharmaceuticals Holdings, Inc.*     21,051    
  1262     Express Scripts, Inc.*     85,500    
  1836     Forest Laboratories, Inc.*     70,778    
  301     Gen-Probe, Inc.*     20,134    
  644     Health Net, Inc.*     31,286    
  510     Henry Schein, Inc.*     30,166    
  61     Hillenbrand Industries, Inc.     3,284    
  1041     HLTH Corp.*     14,564    
  899     Hospira, Inc.*     38,927    
  964     Humana, Inc.*     74,257    
  356     Idexx Laboratories, Inc.*     21,538    
  343     ImClone Systems, Inc.*     15,466    
  1006     IMS Health, Inc.     23,490    
  215     Intuitive Surgical, Inc.*     70,451    
  101     Invitrogen Corp.*     9,798    
  250     Kinetic Concepts, Inc.*     14,660    
  675     Laboratory Corp. of America Holdings*     49,052    
  481     Lincare Holdings, Inc.*     16,445    
  1017     Millennium Pharmaceuticals, Inc.*     14,991    
  310     Millipore Corp.*     25,383    
  1735     Mylan, Inc.     24,949    
  84     Omnicare, Inc.     2,140    
  798     Patterson Cos., Inc.*     25,680    
  669     PDL BioPharma, Inc.*     11,848    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  278     Pediatrix Medical Group, Inc.*   $ 17,975    
  172     PerkinElmer, Inc.     4,692    
  594     Pharmaceutical Product
Development, Inc.		     25,150    
  831     Quest Diagnostics, Inc.     45,755    
  447     Resmed, Inc.*     20,473    
  423     Respironics, Inc.*     20,837    
  611     Sepracor, Inc.*     16,210    
  318     Sierra Health Services, Inc.*     13,277    
  1941     St. Jude Medical, Inc.*     77,155    
  226     Techne Corp.*     14,724    
  2101     Tenet Healthcare Corp.*     11,577    
  72     Universal Health Services, Inc.,
Class B		     3,668    
  731     Varian Medical Systems, Inc.*     36,521    
  482     VCA Antech, Inc.*     19,776    
  752     Vertex Pharmaceuticals, Inc.*     19,093    
  520     Warner Chilcott Ltd., Class A*     9,490    
  579     Waters Corp.*     45,185    
  342     Watson Pharmaceuticals, Inc.*     10,024    
  237     WellCare Health Plans, Inc.*     9,222    
      1,752,905    
    Industrials — 14.6%  
  343     AGCO Corp.*     23,646    
  166     Aircastle Ltd.     4,386    
  164     Alliant Techsystems, Inc.*     19,160    
  249     Allied Waste Industries, Inc.*     2,841    
  612     Ametek, Inc.     26,928    
  1381     AMR Corp.*     29,250    
  522     Avery Dennison Corp.     27,201    
  208     Avis Budget Group, Inc.*     3,126    
  529     BE Aerospace, Inc.*     24,863    
  250     Brink's Co. (The)     15,995    
  97     Carlisle Cos., Inc.     3,862    
  971     CH Robinson Worldwide, Inc.     50,055    
  410     ChoicePoint, Inc.*     15,519    
  592     Cintas Corp.     18,938    
  204     Con-way, Inc.     8,625    
  557     Continental Airlines, Inc., Class B*     15,680    
  338     Cooper Industries Ltd., Class A     16,974    
  100     Copa Holdings SA, Class A     3,613    
  366     Copart, Inc.*     13,674    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  203     Corporate Executive Board Co.   $ 13,619    
  705     Corrections Corp. of America*     21,510    
  689     Covanta Holding Corp.*     18,596    
  429     CSX Corp.     18,018    
  598     Cummins, Inc.     69,906    
  1544     Delta Air Lines, Inc.*     30,509    
  455     Donaldson Co., Inc.     21,285    
  378     Dover Corp.     17,494    
  13     DRS Technologies, Inc.     770    
  341     Dun & Bradstreet Corp.     30,427    
  99     Eaton Corp.     8,842    
  757     Equifax, Inc.     28,183    
  1223     Expeditors International
Washington, Inc.		     57,383    
  726     Fastenal Co.     28,779    
  205     First Solar, Inc.*     48,616    
  294     Flowserve Corp.     27,662    
  506     Fluor Corp.     74,468    
  404     Foster Wheeler Ltd.*     60,196    
  107     GATX Corp.     3,962    
  300     General Cable Corp.*     22,314    
  718     Goodrich Corp.     51,186    
  361     Graco, Inc.     13,444    
  483     Harsco Corp.     29,014    
  1200     Hertz Global Holdings, Inc.*     22,920    
  275     HNI Corp.     10,046    
  115     Hubbell, Inc., Class B     6,317    
  466     IDEX Corp.     16,636    
  97     Ingersoll-Rand Co., Ltd., Class A     5,009    
  130     ITT Corp.     8,377    
  684     Jacobs Engineering Group, Inc.*     57,299    
  502     JB Hunt Transport Services, Inc.     13,198    
  623     Joy Global, Inc.     36,134    
  265     Kansas City Southern*     9,124    
  129     Kennametal, Inc.     10,068    
  306     Kirby Corp.*     14,709    
  241     L-3 Communications Holdings, Inc.     26,667    
  319     Landstar System, Inc.     12,690    
  43     Lennox International, Inc.     1,455    
  168     Lincoln Electric Holdings, Inc.     11,721    
  716     Manitowoc Co., Inc. (The)     31,397    
  485     Manpower, Inc.     29,634    
  126     Masco Corp.     2,822    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  1277     McDermott International, Inc.*   $ 66,787    
  722     Monster Worldwide, Inc.*     24,382    
  264     MSC Industrial Direct Co.     11,410    
  1001     Northwest Airlines Corp.*     18,198    
  425     Oshkosh Truck Corp.     20,438    
  644     Pall Corp.     24,633    
  1031     Pitney Bowes, Inc.     39,694    
  790     Precision Castparts Corp.     116,399    
  944     Quanta Services, Inc.*     25,847    
  853     Republic Services, Inc.     28,294    
  843     Robert Half International, Inc.     22,727    
  856     Rockwell Automation, Inc.     58,114    
  960     Rockwell Collins, Inc.     69,235    
  507     Roper Industries, Inc.     32,169    
  424     Shaw Group, Inc. (The)*     26,890    
  885     Southwest Airlines Co.     12,523    
  331     Spirit Aerosystems Holdings, Inc.,
Class A*		     11,568    
  373     Steelcase, Inc.     5,643    
  503     Stericycle, Inc.*     29,602    
  142     Sunpower Corp., Class A*     17,670    
  592     Terex Corp.*     38,154    
  1430     Textron, Inc.     98,741    
  334     Thomas & Betts Corp.*     18,156    
  231     Toro Co.     12,855    
  1036     Trane, Inc.     38,032    
  403     Trinity Industries, Inc.     10,200    
  393     UAL Corp.*     16,089    
  97     URS Corp.*     5,577    
  568     UTi Worldwide, Inc.     13,479    
  262     WESCO International, Inc.*     10,606    
  323     WW Grainger, Inc.     28,521    
      2,299,375    
    Information Technology — 17.2%  
  1,626     Activision, Inc.*     36,016    
  364     Acxiom Corp.     4,484    
  1410     Advanced Micro Devices, Inc.*     13,762    
  222     Affiliated Computer Services, Inc.,
Class A*		     9,315    
  2,316     Agilent Technologies, Inc.*     87,614    
  946     Akamai Technologies, Inc.*     36,005    
  452     Alliance Data Systems Corp.*     35,120    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,927     Altera Corp.   $ 36,189    
  1134     Amdocs Ltd.*     37,524    
  1027     Amphenol Corp., Class A     44,520    
  1,877     Analog Devices, Inc.     57,774    
  393     Arrow Electronics, Inc.*     14,545    
  1324     Autodesk, Inc.*     62,347    
  503     Avnet, Inc.*     17,353    
  56     AVX Corp.     802    
  2249     BEA Systems, Inc.*     35,602    
  1,151     BMC Software, Inc.*     38,075    
  2688     Broadcom Corp., Class A*     71,877    
  799     Broadridge Financial Solutions, Inc.     18,193    
  2299     Brocade Communications
Systems, Inc.*		     16,760    
  1,477     CA, Inc.     36,172    
  441     Cadence Design Systems, Inc.*     7,321    
  358     Checkfree Corp.*     17,041    
  490     Ciena Corp.*     21,550    
  1089     Citrix Systems, Inc.*     40,271    
  1650     Cognizant Technology Solutions
Corp., Class A*		     51,315    
  351     CommScope, Inc.*     14,215    
  1401     Compuware Corp.*     11,572    
  120     Cree, Inc.*     2,956    
  913     Cypress Semiconductor Corp.*     30,330    
  378     Diebold, Inc.     12,837    
  226     Dolby Laboratories, Inc., Class A*     11,354    
  310     DST Systems, Inc.*     26,272    
  1787     Electronic Arts, Inc.*     100,411    
  1694     Electronic Data Systems Corp.     34,320    
  479     F5 Networks, Inc.*     12,655    
  246     Factset Research Systems, Inc.     15,419    
  33     Fair Isaac Corp.     1,220    
  293     Fairchild Semiconductor
International, Inc.*		     4,647    
  931     Fidelity National Information
Services, Inc.		     40,238    
  965     Fiserv, Inc.*     49,533    
  171     Genpact Ltd.*     2,445    
  463     Global Payments, Inc.     20,011    
  771     Harris Corp.     48,396    
  341     Hewitt Associates, Inc., Class A*     12,787    
  381     Integrated Device Technology, Inc.*     4,621    
  94     International Rectifier Corp.*     3,057    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  424     Intersil Corp., Class A   $ 10,575    
  1932     Intuit, Inc.*     56,646    
  1016     Iron Mountain, Inc.*     37,064    
  662     Jabil Circuit, Inc.     11,221    
  647     JDS Uniphase Corp.*     8,709    
  2115     Juniper Networks, Inc.*     62,858    
  1100     Kla-Tencor Corp.     52,888    
  709     Lam Research Corp.*     32,508    
  295     Lexmark International, Inc., Class A*     10,290    
  1274     Linear Technology Corp.     38,806    
  2432     LSI Corp.*     13,498    
  2710     Marvell Technology Group Ltd.*     40,487    
  457     Mastercard, Inc., Class A     91,697    
  915     McAfee, Inc.*     35,639    
  1288     MEMC Electronic Materials, Inc.*     99,923    
  217     Mettler Toledo International, Inc.*     25,250    
  1253     Microchip Technology, Inc.     36,074    
  1415     Micron Technology, Inc.*     11,773    
  450     Molex, Inc.     12,402    
  479     MoneyGram International, Inc.     7,396    
  330     National Instruments Corp.     11,012    
  1550     National Semiconductor Corp.     35,433    
  561     NAVTEQ Corp.*     42,013    
  129     NCR Corp.*     3,088    
  2129     Network Appliance, Inc.*     52,608    
  435     NeuStar, Inc., Class A*     13,820    
  249     Novell, Inc.*     1,748    
  434     Novellus Systems, Inc.*     11,288    
  3124     Nvidia Corp.*     98,531    
  1946     Paychex, Inc.     75,894    
  703     QLogic Corp.*     9,505    
  463     Rambus, Inc.*     8,978    
  1109     Red Hat, Inc.*     22,202    
  112     Riverbed Technology, Inc.*     3,167    
  545     Salesforce.com, Inc.*     30,918    
  778     SanDisk Corp.*     29,128    
  675     Sanmina-SCI Corp.*     1,195    
  1182     Seagate Technology     30,484    
  314     Silicon Laboratories, Inc.*     11,662    
  831     Synopsys, Inc.*     20,451    
  129     Teradata Corp.*     3,349    
  503     Teradyne, Inc.*     5,478    
  214     Total System Services, Inc.     6,001    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  685     Trimble Navigation, Ltd.*   $ 25,393    
  451     Varian Semiconductor Equipment
Associates, Inc.*		     18,721    
  357     VeriFone Holdings, Inc.*     17,147    
  1268     VeriSign, Inc.*     51,861    
  179     Vishay Intertechnology, Inc.*     2,236    
  44     WebMD Health Corp., Class A*     1,877    
  379     Western Digital Corp.*     10,472    
  1709     Xilinx, Inc.     37,427    
  396     Zebra Technologies Corp.*     15,274    
      2,710,908    
    Materials — 4.2%  
  585     Air Products & Chemicals, Inc.     57,938    
  423     Airgas, Inc.     20,930    
  639     AK Steel Holding Corp.*     28,480    
  458     Albemarle Corp.     20,216    
  586     Allegheny Technologies, Inc.     57,282    
  586     Ball Corp.     27,103    
  280     Cabot Corp.     9,638    
  157     Carpenter Technology Corp.     11,846    
  470     Celanese Corp., Class A     18,650    
  87     Chemtura Corp.     653    
  235     Cleveland-Cliffs, Inc.     21,197    
  938     Crown Holdings, Inc.*     24,069    
  1320     Domtar Corp.*     10,032    
  255     Eagle Materials, Inc.     9,942    
  1003     Ecolab, Inc.     48,044    
  346     International Flavors & Fragrances, Inc.     17,348    
  104     Lubrizol Corp.     6,671    
  245     Martin Marietta Materials, Inc.     32,965    
  381     Mosaic Co. (The)*     26,346    
  828     Nalco Holding Co.     19,839    
  832     Owens-Illinois, Inc.*     37,348    
  531     Packaging Corp. of America     15,022    
  748     Pactiv Corp.*     18,999    
  38     Reliance Steel & Aluminum Co.     1,960    
  427     Rohm & Haas Co.     23,216    
  597     RPM International, Inc.     11,373    
  47     Scotts Miracle-Gro Co. (The), Class A     1,735    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  128     Sealed Air Corp.   $ 2,991    
  228     Sigma-Aldrich Corp.     12,004    
  167     Steel Dynamics, Inc.     8,402    
  391     Titanium Metals Corp.*     11,601    
  69     Valspar Corp.     1,555    
  600     Vulcan Materials Co.     53,246    
      668,641    
    Telecommunication Services — 2.0%  
  2,398     American Tower Corp., Class A*     109,205    
  346     Citizens Communications Co.     4,491    
  1088     Crown Castle International Corp.*     45,642    
  293     Leap Wireless International, Inc.*     10,170    
  8,779     Level 3 Communications, Inc.*     29,497    
  330     MetroPCS Communications, Inc.*     5,643    
  992     NII Holdings, Inc.*     54,719    
  590     SBA Communications Corp., Class A*     22,090    
  264     Telephone & Data Systems, Inc.     16,434    
  32     U.S. Cellular Corp.*     2,624    
  1512     Windstream Corp.     19,580    
      320,095    
    Utilities — 3.1%  
  3,831     AES Corp. (The)*     83,707    
  951     Allegheny Energy, Inc.     57,773    
  52     Aqua America, Inc.     1,151    
  1,841     Centerpoint Energy, Inc.     32,862    
  803     Constellation Energy Group, Inc.     80,469    
  349     DPL, Inc.     10,568    
  312     Dynegy, Inc., Class A*     2,374    
  530     Equitable Resources, Inc.     28,016    
  1006     Mirant Corp.*     38,822    
  1119     NRG Energy, Inc.*     47,434    
  1,652     PPL Corp.     84,186    
  338     Questar Corp.     18,066    
  185     Sierra Pacific Resources     3,182    
      488,610    
        Total Common Stock
(Cost $13,637,418)		     13,944,418    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell MidCap Growth (continued)

Principal
Amount		  
  Value  
    Repurchase Agreements — 16.0%  
$ 503,136     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $503,331 **		   $ 503,136    
  578,715     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $578,934 ***		     578,715    
  100,627     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $100,665 ****		     100,627    
  1,341,696     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $1,342,205 *****		     1,341,696    
        Total Repurchase Agreements
(Cost $2,524,174)		     2,524,174    
        Total Investments
(Cost $16,161,592) — 104.5%		     16,468,592    
        Liabilities in excess of
other assets — (4.5)%		     (716,127 )  
        Net Assets — 100.0%   $ 15,752,465    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $513,201. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $590,291. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $102,640. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,368,531. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust.

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,331,367    
Aggregate gross unrealized depreciation     (1,056,658 )  
Net unrealized appreciation   $ 274,709    
Federal income tax cost of investments   $ 16,193,883    

 

Swap Agreements

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07   $ 6,214,532     $ (301,389 )  
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07     12,000,000       (431,559 )  
        $ (732,948 )  

 

See accompanying notes to the financial statements.



Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value

Shares  
  Value  
    Common Stocks (a) — 92.6%  
    Consumer Discretionary — 10.7%  
  231     99 Cents Only Stores*   $ 1,862    
  35     A.C. Moore Arts & Crafts, Inc.*     555    
  202     Aaron Rents, Inc.     4,062    
  125     AFC Enterprises*     1,364    
  244     Aftermarket Technology Corp.*     6,812    
  63     Ambassadors International, Inc.     757    
  499     American Axle & Manufacturing
Holdings, Inc.		     11,537    
  618     American Greetings Corp., Class A     14,375    
  161     Ameristar Casinos, Inc.     5,054    
  134     Arctic Cat, Inc.     1,430    
  796     ArvinMeritor, Inc.     8,048    
  286     Asbury Automotive Group, Inc.     4,788    
  187     Audiovox Corp.*     2,388    
  64     Avatar Holdings, Inc.*     2,788    
  436     Beazer Homes USA, Inc.     3,702    
  944     Belo Corp., Class A     15,633    
  15     Benihana, Inc., Class A*     210    
  2,142     Blockbuster, Inc., Class A*     7,647    
  237     Bluegreen Corp.*     1,702    
  246     Blyth, Inc.     4,839    
  399     Bob Evans Farms, Inc.     12,305    
  78     Bon-Ton Stores, Inc. (The)     911    
  166     Books-A-Million, Inc.     2,007    
  653     Borders Group, Inc.     8,169    
  126     Brookfield Homes Corp.     2,124    
  262     Brown Shoe Co., Inc.     4,446    
  328     Building Materials Holding Corp.     1,876    
  377     Cabela's, Inc.*     6,236    
  38     Cache, Inc.*     509    
  739     Callaway Golf Co.     12,607    
  141     Carmike Cinemas, Inc.     1,664    
  34     Casual Male Retail Group, Inc.*     211    
  248     Cato Corp. (The), Class A     3,735    
  109     CBRL Group, Inc.     3,647    
  156     CEC Entertainment, Inc.*     4,446    
  134     Champion Enterprises, Inc.*     1,209    
  1,380     Charming Shoppes, Inc.*     7,631    
  4,558     Charter Communications, Inc.,
Class A*		     6,017    
  23     Cherokee, Inc.     725    
  105     Churchill Downs, Inc.     5,510    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  169     Cinemark Holdings, Inc.   $ 2,821    
  1,288     Citadel Broadcasting Corp.     2,962    
  35     CKX, Inc.*     425    
  223     Coinstar, Inc.*     5,827    
  403     Collective Brands, Inc.*     6,178    
  120     Columbia Sportswear Co.     5,761    
  127     Conn's, Inc.*     2,299    
  688     Cooper Tire & Rubber Co.     10,581    
  102     Core-Mark Holding Co., Inc.*     2,737    
  371     Cox Radio, Inc., Class A*     4,370    
  81     Crown Media Holdings, Inc., Class A*     589    
  461     CSK Auto Corp.*     4,495    
  87     CSS Industries, Inc.     3,443    
  169     Cumulus Media, Inc., Class A*     1,421    
  166     DG FastChannel, Inc.*     3,247    
  56     Dolan Media Co.*     1,484    
  489     Domino's Pizza, Inc.     6,778    
  120     Dress Barn, Inc.*     1,697    
  340     Eddie Bauer Holdings, Inc.*     2,275    
  336     Emmis Communications Corp.,
Class A*		     1,448    
  365     Entercom Communications Corp.,
Class A		     5,946    
  418     Entravision Communications Corp.,
Class A*		     3,127    
  269     Ethan Allen Interiors, Inc.     7,683    
  832     Exide Technologies*     5,849    
  474     Finish Line, Class A     1,777    
  70     Fisher Communications, Inc.*     2,851    
  447     Fred's, Inc., Class A     4,658    
  213     FTD Group, Inc.     2,854    
  539     Furniture Brands International, Inc.     5,460    
  9     G-lII Apparel Group Ltd.*     129    
  47     Gaiam, Inc., Class A*     1,107    
  26     Gander Mountain Co.*     126    
  249     GateHouse Media, Inc.     2,042    
  259     Gaylord Entertainment Co.*     10,894    
  237     Gemstar-TV Guide International, Inc.*     1,398    
  42     Genesco, Inc.*     1,302    
  467     Gray Television, Inc.     3,974    
  342     Great Wolf Resorts, Inc.*     3,700    
  254     Group 1 Automotive, Inc.     6,827    
  263     Harris Interactive, Inc.*     1,102    
  221     Haverty Furniture Cos., Inc.     1,878    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  338     Helen of Troy Ltd.*   $ 6,128    
  76     hhgregg, Inc.*     1,068    
  339     Home Solutions of America, Inc.*     359    
  124     Hooker Furniture Corp.     2,086    
  244     HOT Topic, Inc.*     1,540    
  418     Hovnanian Enterprises, Inc., Class A*     3,160    
  110     Ihop Corp.     5,581    
  260     Interactive Data Corp.     8,120    
  137     INVESTools, Inc.*     2,117    
  161     Isle of Capri Casinos, Inc.*     2,814    
  318     Jack in the Box, Inc.*     9,524    
  58     Jackson Hewitt Tax Service, Inc.     1,870    
  314     Jakks Pacific, Inc.*     7,925    
  580     Jamba, Inc.*     1,984    
  252     Jo-Ann Stores, Inc.*     4,148    
  487     Journal Communications, Inc.,
Class A		     4,432    
  195     K-Swiss, Inc., Class A     3,539    
  290     Kellwood Co.     4,347    
  111     Kenneth Cole Productions, Inc.,
Class A		     2,093    
  143     Kimball International, Inc., Class B     1,908    
  141     Knology, Inc.*     1,895    
  573     La-Z-Boy, Inc.     3,129    
  97     Lakes Entertainment, Inc.*     644    
  139     Landry's Restaurants, Inc.     3,283    
  384     Leapfrog Enterprises, Inc.*     2,573    
  570     Lear Corp.*     16,781    
  514     Lee Enterprises, Inc.     7,196    
  150     Libbey, Inc.     2,326    
  91     Lifetime Brands, Inc.     1,167    
  304     Lin TV Corp., Class A*     3,411    
  14     Lincoln Educational Services Corp.*     194    
  177     Lithia Motors, Inc., Class A     2,761    
  757     Live Nation, Inc.*     10,159    
  73     Lodgenet Entertainment Corp.*     1,402    
  209     Lodgian, Inc.*     2,395    
  61     Lululemon Athletica, Inc.*     2,237    
  135     M/I Homes, Inc.     1,354    
  449     Magna Entertainment Corp., Class A*     656    
  99     Maidenform Brands, Inc.*     1,294    
  152     Marcus Corp.     2,739    
  111     Marine Products Corp.     817    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  182     MarineMax, Inc.*   $ 2,976    
  182     Marvel Entertainment, Inc.*     5,041    
  11     McCormick & Schmick's Seafood
Restaurants, Inc.*		     161    
  247     Media General, Inc., Class A     6,118    
  605     Mediacom Communications Corp.,
Class A*		     2,729    
  292     Meritage Homes Corp.*     3,992    
  362     Modine Manufacturing Co.     7,363    
  334     Monaco Coach Corp.     3,016    
  25     Monro Muffler, Inc.     527    
  70     Morton's Restaurant Group, Inc.*     804    
  192     Movado Group, Inc.     5,318    
  257     Multimedia Games, Inc.*     2,041    
  50     National Presto Industries, Inc.     2,708    
  220     Nautilus, Inc.     1,265    
  85     Nexstar Broadcasting Group, Inc.,
Class A*		     771    
  248     O'Charleys, Inc.     3,698    
  146     Orbitz Worldwide, Inc.*     1,168    
  172     Oxford Industries, Inc.     4,260    
  145     Pacific Sunwear of California*     2,375    
  109     Palm Harbor Homes, Inc.*     1,229    
  91     Papa John's International, Inc.*     2,143    
  365     PEP Boys-Manny Moe & Jack     3,989    
  127     Perry Ellis International, Inc.*     2,047    
  985     Pier 1 Imports, Inc.*     4,058    
  308     Pinnacle Entertainment, Inc.*     8,455    
  246     Playboy Enterprises, Inc., Class B*     2,315    
  63     Polaris Industries, Inc.     2,870    
  492     Primedia, Inc.     4,034    
  960     Quiksilver, Inc.*     10,176    
  853     Radio One, Inc., Class D*     1,740    
  211     RC2 Corp.*     6,136    
  341     RCN Corp.*     4,951    
  494     Regis Corp.     14,519    
  785     Rent-A-Center, Inc.*     11,116    
  52     Riviera Holdings Corp.*     1,420    
  118     Ruby Tuesday, Inc.     1,547    
  185     Russ Berrie & Co., Inc.*     3,071    
  102     Salem Communications Corp.,
Class A		     816    
  55     Sauer-Danfoss, Inc.     1,336    
  343     Scholastic Corp.*     12,087    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  153     Sealy Corp.   $ 1,995    
  69     Shoe Carnival, Inc.*     803    
  289     Sinclair Broadcast Group, Inc.,
Class A		     2,991    
  787     Six Flags, Inc.*     1,842    
  76     Skyline Corp.     2,576    
  346     Sonic Automotive, Inc., Class A     7,996    
  309     Source Interlink Cos., Inc.*     621    
  218     Spanish Broadcasting System, Inc.,
Class A*		     419    
  155     Speedway Motorsports, Inc.     5,231    
  484     Stage Stores, Inc.     8,189    
  176     Standard Motor Products, Inc.     1,304    
  722     Standard-Pacific Corp.     2,498    
  317     Steak N Shake Co. (The)*     3,668    
  259     Stein Mart, Inc.     1,404    
  45     Steiner Leisure Ltd.*     1,921    
  90     Steinway Musical Instruments     2,542    
  115     Steven Madden Ltd.*     2,614    
  1,059     Stewart Enterprises, Inc., Class A     8,684    
  158     Stoneridge, Inc.*     1,315    
  329     Sun-Times Media Group, Inc.*     329    
  255     Superior Industries International, Inc.     4,723    
  77     Syms Corp.     1,247    
  47     Syntax-Brillian Corp.*     137    
  49     Systemax, Inc.     968    
  258     Talbots, Inc.     4,002    
  155     Tarragon Corp.*     263    
  399     Tenneco, Inc.*     11,806    
  335     Timberland Co., Class A*     5,454    
  13     Town Sports International
Holdings, Inc.*		     131    
  347     Trump Entertainment Resorts, Inc.*     1,794    
  335     Tuesday Morning Corp.     2,492    
  346     Tupperware Brands Corp.     12,068    
  160     Unifirst Corp.     5,979    
  272     Valassis Communications, Inc.*     3,354    
  54     ValueVision Media, Inc., Class A*     355    
  703     Visteon Corp.*     3,093    
  251     Warnaco Group, Inc. (The)*     9,262    
  344     WCI Communities, Inc.*     1,156    
  165     West Marine, Inc.*     1,457    
  88     Westwood One, Inc.     168    
  83     Weyco Group, Inc.     2,273    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  25     Winnebago Industries   $ 538    
  280     Wolverine World Wide, Inc.     6,936    
  546     Zale Corp.*     9,768    
      778,968    
    Consumer Staples — 3.5%  
  174     Andersons, Inc. (The)     7,381    
  14     Boston Beer Co., Inc., Class A*     465    
  131     Cal-Maine Foods, Inc.     3,227    
  563     Casey's General Stores, Inc.     16,327    
  58     Central European Distribution Corp.*     2,900    
  779     Central Garden and Pet Co., Class A*     4,090    
  20     Chattem, Inc.*     1,418    
  473     Chiquita Brands International, Inc.*     9,077    
  272     Elizabeth Arden, Inc.*     6,536    
  75     Farmer Bros. Co.     1,724    
  495     Flowers Foods, Inc.     11,499    
  342     Fresh Del Monte Produce, Inc.*     10,575    
  175     Great Atlantic & Pacific Tea Co.*     5,259    
  443     Hain Celestial Group, Inc.*     14,654    
  131     Imperial Sugar Co.     2,989    
  20     Ingles Markets, Inc., Class A     476    
  14     Inter Parfums, Inc.     256    
  51     J&J Snack Foods Corp.     1,651    
  22     Lancaster Colony Corp.     847    
  249     Lance, Inc.     5,164    
  20     Longs Drug Stores Corp.     1,058    
  31     Maui Land & Pineapple Co., Inc.*     873    
  101     MGP Ingredients, Inc.     830    
  82     Nash Finch Co.     2,927    
  188     Nu Skin Enterprises, Inc., Class A     3,326    
  153     Pantry, Inc. (The)*     4,405    
  394     Performance Food Group Co.*     10,910    
  451     Pilgrim's Pride Corp.     11,762    
  378     Prestige Brands Holdings, Inc.*     3,171    
  102     Pricesmart, Inc.     3,043    
  213     Ralcorp Holdings, Inc.*     13,076    
  133     Reddy Ice Holdings, Inc.     3,470    
  2,193     Revlon, Inc., Class A*     2,456    
  458     Ruddick Corp.     16,392    
  74     Sanderson Farms, Inc.     2,298    
  4     Seaboard Corp.     6,036    
  156     Spartan Stores, Inc.     3,510    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  436     Spectrum Brands, Inc.*   $ 2,254    
  36     Tiens Biotech Group USA, Inc.*     103    
  305     Tootsie Roll Industries, Inc.     7,515    
  348     TreeHouse Foods, Inc.*     8,202    
  301     Universal Corp.     16,158    
  127     Vector Group Ltd.     2,797    
  34     Village Super Market, Class A     1,822    
  119     WD-40 Co.     4,721    
  138     Weis Markets, Inc.     5,647    
  361     Winn-Dixie Stores, Inc.*     6,827    
      252,104    
    Energy — 5.4%  
  280     Allis-Chalmers Energy, Inc.*     4,242    
  129     Aventine Renewable Energy
Holdings, Inc.*		     1,271    
  123     Basic Energy Services, Inc.*     2,399    
  265     Berry Petroleum Co., Class A     10,960    
  72     Bill Barrett Corp.*     2,779    
  27     Bois d'Arc Energy, Inc.*     529    
  509     Brigham Exploration Co.*     3,517    
  226     Bristow Group, Inc.*     12,430    
  290     Bronco Drilling Co., Inc.*     4,164    
  231     Callon Petroleum Co.*     3,453    
  62     Clayton Williams Energy, Inc.*     1,783    
  129     Comstock Resources, Inc.*     4,321    
  48     Concho Resources, Inc.*     905    
  7     Dawson Geophysical Co.*     469    
  57     Delek U.S. Holdings, Inc.     1,051    
  317     Edge Petroleum Corp.*     1,870    
  593     Encore Acquisition Co.*     19,302    
  315     Energy Partners Ltd.*     3,900    
  602     Evergreen Energy, Inc.*     2,209    
  688     EXCO Resources, Inc.*     9,618    
  673     Exterran Holdings, Inc.*     53,867    
  319     General Maritime Corp.     8,517    
  202     GeoMet, Inc.*     982    
  303     Golar LNG Ltd.     6,451    
  1,899     Grey Wolf, Inc.*     9,647    
  11     Gulf Island Fabrication, Inc.     350    
  255     Gulfmark Offshore, Inc.*     11,332    
  389     Harvest Natural Resources, Inc.*     5,069    
  364     Horizon Offshore, Inc.*     6,166    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  256     Hornbeck Offshore Services, Inc.*   $ 10,540    
  653     International Coal Group, Inc.*     3,272    
  112     Kayne Anderson Energy
Development Co.		     2,592    
  10     Knightsbridge Tankers Ltd.     252    
  452     Mariner Energy, Inc.*     9,799    
  242     McMoRan Exploration Co.*     2,846    
  997     Meridian Resource Corp.*     1,735    
  138     Newpark Resources*     742    
  334     Nordic American Tanker Shipping     11,426    
  549     Oil States International, Inc.*     17,409    
  1,395     Oilsands Quest, Inc.*     6,277    
  140     Pacific Ethanol, Inc.*     855    
  251     Parker Drilling Co.*     1,795    
  229     Penn Virginia Corp.     9,531    
  915     PetroHawk Energy Corp.*     14,914    
  143     Petroleum Development Corp.*     7,246    
  74     PHI, Inc. (Non-Voting)*     2,360    
  554     Pioneer Drilling Co.*     6,598    
  54     Rex Energy Corp.*     534    
  260     Rosetta Resources, Inc.*     4,758    
  313     Stone Energy Corp.*     14,148    
  185     Sulphco, Inc.*     981    
  42     Superior Offshore International, Inc.*     259    
  46     Superior Well Services, Inc.*     892    
  333     Swift Energy Co.*     13,490    
  4     T-3 Energy Services, Inc.*     202    
  169     Toreador Resources Corp.*     1,102    
  133     Trico Marine Services, Inc.*     4,704    
  154     Union Drilling, Inc.*     1,956    
  308     Uranium Resources, Inc.*     3,653    
  55     US BioEnergy Corp.*     499    
  1,198     USEC, Inc.*     9,836    
  659     Vaalco Energy, Inc.*     2,873    
  56     VeraSun Energy Corp.*     661    
  33     Warren Resources, Inc.*     421    
  469     Whiting Petroleum Corp.*     24,726    
  76     World Fuel Services Corp.     2,405    
      391,842    
    Financials — 30.4%  
  154     1st Source Corp.     3,102    
  91     Abington Bancorp, Inc.     806    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  85     ACA Capital Holdings, Inc.*   $ 70    
  59     Advance America Cash Advance
Centers, Inc.		     538    
  214     Advanta Corp., Class B     2,142    
  86     Agree Realty Corp. (REIT)     2,584    
  190     Alabama National Bancorporation     14,685    
  275     Aldabra 2 Acquisition Corp.*     2,621    
  680     Alesco Financial, Inc. (REIT)     2,530    
  177     Alexandria Real Estate Equities,
Inc. (REIT)		     17,387    
  365     Alfa Corp.     7,888    
  275     Alternative Asset Management
Acquisition Corp.*		     2,519    
  258     Amcore Financial, Inc.     6,063    
  302     American Campus Communities,
Inc. (REIT)		     7,810    
  634     American Equity Investment Life
Holding Co.		     5,712    
  1,453     American Financial Realty Trust
(REIT)		     11,726    
  101     American Physicians Capital, Inc.     4,238    
  192     AmericanWest Bancorp     3,485    
  151     Ameris Bancorp     2,541    
  210     Amerisafe, Inc.*     3,205    
  228     Ampal American Israel, Class A*     1,484    
  69     Amtrust Financial Services, Inc.     876    
  218     Anchor Bancorp Wisconsin, Inc.     5,542    
  715     Anthracite Capital, Inc. (REIT)     5,463    
  509     Anworth Mortgage Asset Corp. (REIT)     3,573    
  1,331     Apollo Investment Corp.     23,572    
  151     Arbor Realty Trust, Inc. (REIT)     2,582    
  775     Ares Capital Corp.     11,671    
  327     Argo Group International
Holdings Ltd.*		     12,920    
  1,181     Ashford Hospitality Trust, Inc. (REIT)     9,141    
  983     Aspen Insurance Holdings Ltd.     28,310    
  166     Asset Acceptance Capital Corp.     1,876    
  756     Assured Guaranty Ltd.     17,063    
  42     Asta Funding, Inc.     1,519    
  91     Baldwin & Lyons, Inc., Class B     2,452    
  89     Bancfirst Corp.     4,162    
  303     Banco Latinoamericano de
Exportaciones S.A., Class E		     5,412    
  120     Bancorp, Inc.*     1,939    
  617     Bank Mutual Corp.     6,244    
  28     Bank of the Ozarks, Inc.     815    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  466     BankAtlantic Bancorp, Inc., Class A   $ 1,794    
  258     BankFinancial Corp.     4,079    
  356     BankUnited Financial Corp., Class A     2,841    
  173     Banner Corp.     5,183    
  370     Beneficial Mutual Bancorp, Inc.*     3,607    
  119     Berkshire Hills Bancorp, Inc.     2,888    
  730     BioMed Realty Trust, Inc. (REIT)     16,483    
  79     BlackRock Kelso Capital Corp.     1,128    
  413     Boston Private Financial
Holdings, Inc.		     11,374    
  703     Brookline Bancorp, Inc.     7,206    
  78     BRT Realty Trust (REIT)     1,178    
  223     Calamos Asset Management, Inc.,
Class A		     6,603    
  142     Capital City Bank Group, Inc.     4,122    
  107     Capital Corp. of the West     2,011    
  34     Capital Southwest Corp.     4,088    
  152     Capital Trust, Inc., Class A (REIT)     4,676    
  159     Capitol Bancorp Ltd.     3,186    
  485     CapLease, Inc. (REIT)     4,268    
  225     Cascade Bancorp     3,901    
  18     Cash America International, Inc.     648    
  88     Castlepoint Holdings Ltd.     1,035    
  571     Cathay General Bancorp     16,548    
  325     CBRE Realty Finance, Inc. (REIT)     2,308    
  493     Cedar Shopping Centers, Inc. (REIT)     5,768    
  616     Centennial Bank Holdings, Inc.*     3,111    
  112     Center Financial Corp.     1,378    
  253     Centerline Holding Co.     3,059    
  343     Central Pacific Financial Corp.     6,932    
  277     Chemical Financial Corp.     6,953    
  514     Chittenden Corp.     18,005    
  358     Citizens, Inc./Texas*     2,348    
  844     Citizens Republic Bancorp, Inc.     12,002    
  136     City Bank     2,829    
  191     City Holding Co.     6,872    
  111     Clayton Holdings, Inc.*     436    
  133     Clifton Savings Bancorp, Inc.     1,410    
  184     CNA Surety Corp.*     3,796    
  101     CoBiz Financial, Inc.     1,650    
  200     Columbia Banking System, Inc.     6,162    
  545     Commerce Group, Inc.     19,593    
  116     Community Bancorp*     2,091    
  336     Community Bank System, Inc.     6,777    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  277     Community Banks, Inc.   $ 8,155    
  170     Community Trust Bancorp, Inc.     4,802    
  236     Compass Diversified Holdings     3,514    
  91     CompuCredit Corp.*     1,179    
  392     Corporate Office Properties Trust
SBI MD (REIT)		     14,159    
  434     Corus Bankshares, Inc.     4,119    
  176     Cowen Group, Inc.*     1,888    
  283     Crawford & Co., Class B*     1,132    
  279     Crystal River Capital, Inc. (REIT)     3,942    
  740     CVB Financial Corp.     8,229    
  29     Darwin Professional Underwriters, Inc.*     667    
  1,878     DCT Industrial Trust, Inc. (REIT)     18,949    
  577     Deerfield Triarc Capital Corp. (REIT)     4,333    
  484     Delphi Financial Group, Inc.     18,605    
  184     Delta Financial Corp.     339    
  1,054     DiamondRock Hospitality Co. (REIT)     18,255    
  275     Dime Community Bancshares     3,732    
  148     Donegal Group, Inc., Class A     2,500    
  235     Downey Financial Corp.     9,778    
  50     EastGroup Properties, Inc. (REIT)     2,307    
  312     Education Realty Trust, Inc. (REIT)     3,741    
  67     EMC Insurance Group, Inc.     1,631    
  553     Employers Holdings, Inc.     9,838    
  151     Encore Capital Group, Inc.*     1,551    
  249     Energy Infrastructure Acquisition Corp.*     2,507    
  32     Enterprise Financial Services Corp.     734    
  313     Entertainment Properties Trust (REIT)     16,680    
  406     Equity One, Inc. (REIT)     9,610    
  96     Evercore Partners, Inc., Class A     2,013    
  718     Extra Space Storage, Inc. (REIT)     10,239    
  160     FBL Financial Group, Inc., Class A     5,931    
  245     FBR Capital Markets Corp.*     2,467    
  115     Federal Agricultural Mortgage Corp.,
Class C		     3,129    
  300     Financial Federal Corp.     6,627    
  191     First Acceptance Corp.*     772    
  134     First Bancorp/NC     2,561    
  1,032     First Bancorp/Puerto Rico     6,749    
  264     First Busey Corp.     5,515    
  392     First Charter Corp.     11,807    
  825     First Commonwealth Financial Corp.     9,603    
  289     First Community Bancorp, Inc./CA     13,002    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  112     First Community Bancshares, Inc./VA   $ 3,596    
  370     First Financial Bancorp     4,248    
  218     First Financial Bankshares, Inc.     8,502    
  147     First Financial Corp./IN     4,172    
  133     First Financial Holdings, Inc.     3,646    
  138     First Indiana Corp.     4,395    
  198     First Industrial Realty Trust, Inc. (REIT)     7,231    
  204     First Merchants Corp.     4,425    
  62     First Mercury Financial Corp.*     1,316    
  555     First Midwest Bancorp, Inc./IL     18,148    
  1,130     First Niagara Financial Group, Inc.     14,046    
  194     First Place Financial Corp./OH     2,801    
  270     First Potomac Realty Trust (REIT)     5,092    
  93     First Regional Bancorp/CA*     2,050    
  228     First State Bancorporation/NM     3,333    
  152     FirstFed Financial Corp.*     5,323    
  897     FirstMerit Corp.     18,487    
  496     Flagstar Bancorp, Inc.     3,125    
  153     Flagstone Reinsurance Holdings Ltd.     2,165    
  235     Flushing Financial Corp.     3,774    
  673     FNB Corp./PA     10,438    
  102     Fpic Insurance Group, Inc.*     4,358    
  283     Franklin Bank Corp./TX*     1,203    
  664     Franklin Street Properties Corp. (REIT)     10,989    
  756     Fremont General Corp.     1,898    
  1,565     Friedman Billings Ramsey Group,
Inc., Class A (REIT)		     4,679    
  408     Frontier Financial Corp.     7,817    
  46     GAMCO Investors, Inc.     2,452    
  588     Glacier Bancorp, Inc.     11,707    
  159     Gladstone Capital Corp.     3,115    
  350     GMH Communities Trust (REIT)     2,044    
  278     Gramercy Capital Corp./
New York (REIT)		     6,611    
  116     Great Southern Bancorp, Inc.     2,579    
  127     Green Bankshares, Inc.     3,793    
  106     Greenlight Capital Re Ltd., Class A*     2,303    
  51     Hallmark Financial Services*     763    
  298     Hancock Holding Co.     11,685    
  453     Hanmi Financial Corp.     4,344    
  165     Harleysville Group, Inc.     5,775    
  323     Harleysville National Corp.     4,958    
  565     Healthcare Realty Trust, Inc. (REIT)     14,368    
  142     Heartland Financial USA, Inc.     2,839    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  361     Hercules Technology Growth
Capital, Inc.		   $ 4,263    
  149     Heritage Commerce Corp.     2,652    
  455     Hersha Hospitality Trust (REIT)     4,632    
  183     HFF, Inc., Class A*     1,250    
  186     Highwoods Properties, Inc. (REIT)     5,902    
  384     Hilb Rogal & Hobbs Co.     16,416    
  529     Hilltop Holdings, Inc.*     5,734    
  128     Home Bancshares, Inc./Conway, AR     2,564    
  85     Home Properties, Inc. (REIT)     3,841    
  482     Horace Mann Educators Corp.     9,428    
  137     Horizon Financial Corp.     2,358    
  129     IBERIABANK Corp.     6,244    
  849     IMPAC Mortgage Holdings, Inc. (REIT)     518    
  61     Imperial Capital Bancorp, Inc.     1,391    
  70     Independence Holding Co.     949    
  252     Independent Bank Corp./MI     2,409    
  158     Independent Bank Corp./ Rockland, MA     4,573    
  182     Infinity Property & Casualty Corp.     7,114    
  215     Information Services Group, Inc.*     1,447    
  529     Inland Real Estate Corp. (REIT)     7,734    
  232     Integra Bank Corp.     3,728    
  248     Interactive Brokers Group, Inc.*     7,291    
  571     International Bancshares Corp.     12,585    
  569     Investors Bancorp, Inc.*     8,347    
  538     Investors Real Estate Trust (REIT)     5,412    
  674     IPC Holdings Ltd.     19,923    
  210     Irwin Financial Corp.     1,707    
  61     James River Group, Inc.     2,086    
  140     JER Investors Trust, Inc. (REIT)     1,369    
  4     K-Fed Bancorp     49    
  52     Kansas City Life Insurance Co.     2,344    
  307     KBW, Inc.*     8,105    
  239     Kearny Financial Corp.     3,026    
  218     Kite Realty Group Trust (REIT)     3,412    
  308     KNBT Bancorp, Inc.     4,885    
  637     Knight Capital Group, Inc., Class A*     8,504    
  159     Kohlberg Capital Corp.     1,668    
  593     LaBranche & Co., Inc.*     3,149    
  224     Lakeland Bancorp, Inc.     2,578    
  136     Lakeland Financial Corp.     2,576    
  174     LandAmerica Financial Group, Inc.     4,580    
  447     LaSalle Hotel Properties (REIT)     16,628    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  738     Lexington Realty Trust (REIT)   $ 13,055    
  264     LTC Properties, Inc. (REIT)     6,215    
  483     Luminent Mortgage Capital, Inc. (REIT)     497    
  173     Macatawa Bank Corp.     1,727    
  238     Maguire Properties, Inc. (REIT)     6,017    
  209     MainSource Financial Group, Inc.     3,148    
  422     Marathon Acquisition Corp.*     3,338    
  673     Max Capital Group Ltd.     19,053    
  407     MB Financial, Inc.     12,902    
  697     MCG Capital Corp.     7,876    
  357     Meadowbrook Insurance Group, Inc.*     3,281    
  553     Medical Properties Trust, Inc. (REIT)     6,205    
  510     Meruelo Maddux Properties, Inc.*     2,142    
  1,360     MFA Mortgage Investments, Inc. (REIT)     11,941    
  110     Midland Co. (The)     7,036    
  246     Midwest Banc Holdings, Inc.     3,100    
  219     Mission West Properties (REIT)     2,243    
  1,147     Montpelier Re Holdings Ltd.     19,866    
  271     MVC Capital, Inc.     4,355    
  249     Nara Bancorp, Inc.     3,322    
  42     NASB Financial, Inc.     1,258    
  138     National Financial Partners Corp.     6,265    
  242     National Health Investors, Inc. (REIT)     6,878    
  44     National Interstate Corp.     1,449    
  547     National Penn Bancshares, Inc.     8,593    
  798     National Retail Properties, Inc. (REIT)     19,543    
  25     National Western Life Insurance Co.,
Class A		     5,024    
  111     Nationwide Health Properties, Inc.
(REIT)		     3,472    
  146     Navigators Group, Inc.*     8,570    
  360     NBT Bancorp, Inc.     8,975    
  180     Nelnet, Inc., Class A     2,482    
  659     NewAlliance Bancshares, Inc.     8,501    
  463     Newcastle Investment Corp. (REIT)     6,024    
  77     NewStar Financial, Inc.*     707    
  195     NGP Capital Resources Co.     2,861    
  684     NorthStar Realty Finance Corp. (REIT)     6,272    
  204     Northwest Bancorp, Inc.     5,659    
  106     Novastar Financial, Inc. (REIT)     209    
  274     NTR Acquisition Co.*     2,628    
  65     NYMAGIC, Inc.     1,448    
  396     Ocwen Financial Corp.*     2,218    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  316     Odyssey Re Holdings Corp.   $ 12,179    
  741     Old National Bancorp/IN     11,841    
  135     Old Second Bancorp, Inc.     3,576    
  141     Omega Financial Corp.     4,364    
  231     Oriental Financial Group     3,114    
  75     Oritani Financial Corp.*     968    
  524     Pacific Capital Bancorp     10,768    
  135     Park National Corp.     10,202    
  177     Parkway Properties, Inc. (REIT)     7,004    
  486     Partners Trust Financial Group, Inc.     6,196    
  230     Patriot Capital Funding, Inc.     2,466    
  62     PennantPark Investment Corp.     712    
  358     Pennsylvania Real Estate Investment
Trust (REIT)		     12,362    
  9     Penson Worldwide, Inc.*     138    
  117     Peoples Bancorp, Inc./OH     2,830    
  252     PFF Bancorp, Inc.     2,369    
  1,273     Phoenix Cos., Inc. (The)     15,301    
  170     Pico Holdings, Inc.*     6,543    
  78     Pinnacle Financial Partners, Inc.*     2,272    
  195     Piper Jaffray Cos.*     9,032    
  668     Platinum Underwriters Holdings Ltd.     24,262    
  364     PMA Capital Corp., Class A*     3,181    
  405     Post Properties, Inc. (REIT)     14,706    
  435     Potlatch Corp. (REIT)     19,971    
  88     Preferred Bank/California     2,352    
  241     Presidential Life Corp.     4,155    
  405     Primus Guaranty Ltd.*     2,588    
  77     PrivateBancorp, Inc.     2,357    
  372     ProAssurance Corp.*     20,400    
  262     Prospect Capital Corp.     3,673    
  396     Prosperity Bancshares, Inc.     12,727    
  360     Provident Bankshares Corp.     8,442    
  689     Provident Financial Services, Inc.     10,239    
  473     Provident New York Bancorp     5,771    
  20     QC Holdings, Inc.     278    
  112     Quadra Realty Trust, Inc. (REIT)     810    
  706     RAIT Financial Trust (REIT)     6,107    
  203     RAM Holdings Ltd.*     1,177    
  74     Ramco-Gershenson Properties Trust
(REIT)		     1,872    
  1,127     Realty Income Corp. (REIT)     32,119    
  236     Redwood Trust, Inc. (REIT)     7,205    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  236     Renasant Corp.   $ 4,604    
  106     Republic Bancorp, Inc.,/Kentucky,
Class A		     1,723    
  147     Resource America, Inc., Class A     2,384    
  246     Resource Capital Corp. (REIT)     2,349    
  235     RLI Corp.     14,013    
  99     Rockville Financial, Inc.     1,353    
  113     Roma Financial Corp.     1,814    
  61     Royal Bancshares of Pennsylvania     730    
  277     S & T Bancorp, Inc.     8,872    
  181     Safety Insurance Group, Inc.     6,608    
  207     Sanders Morris Harris Group, Inc.     2,014    
  176     Sandy Spring Bancorp, Inc.     5,167    
  49     Santander BanCorp.     479    
  102     SCBT Financial Corp.     3,162    
  758     Scottish Re Group Ltd.*     872    
  232     SeaBright Insurance Holdings, Inc.*     3,598    
  165     Seacoast Banking Corp. of Florida     2,071    
  182     Security Bank Corp./Georgia     2,051    
  266     Security Capital Assurance Ltd.     1,883    
  612     Selective Insurance Group     14,437    
  933     Senior Housing Properties Trust (REIT)     20,610    
  17     Signature Bank/New York*     630    
  158     Simmons First National Corp., Class A     4,122    
  827     South Financial Group, Inc. (The)     14,820    
  115     Southside Bancshares, Inc.     2,202    
  159     Southwest Bancorp, Inc./OK     2,854    
  242     Sovran Self Storage, Inc. (REIT)     10,578    
  210     Star Maritime Acquisition Corp.*     3,112    
  161     State Auto Financial Corp.     4,489    
  208     Sterling Bancorp/NY     2,779    
  830     Sterling Bancshares, Inc./TX     10,242    
  294     Sterling Financial Corp./PA     5,042    
  572     Sterling Financial Corp./WA     10,256    
  192     Stewart Information Services Corp.     5,197    
  829     Strategic Hotels & Resorts, Inc. (REIT)     15,179    
  55     Stratus Properties, Inc.*     1,727    
  19     Suffolk Bancorp     586    
  175     Sun Bancorp, Inc./NJ*     2,949    
  697     Sunstone Hotel Investors, Inc. (REIT)     16,170    
  218     Superior Bancorp*     1,306    
  949     Susquehanna Bancshares, Inc.     18,876    
  310     SVB Financial Group*     15,959    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  218     SWS Group, Inc.   $ 2,956    
  137     SY Bancorp, Inc.     3,241    
  65     Taylor Capital Group, Inc.     1,439    
  238     Technology Investment Capital Corp.     2,487    
  230     Texas Capital Bancshares, Inc.*     4,848    
  241     Thomas Weisel Partners Group, Inc.*     3,311    
  201     TierOne Corp.     4,703    
  73     Tompkins Financial Corp.     3,106    
  128     Triad Guaranty, Inc.*     1,102    
  156     Trico Bancshares     3,309    
  546     Trustmark Corp.     13,901    
  517     U-Store-It Trust (REIT)     5,196    
  1,114     UCBH Holdings, Inc.     17,913    
  345     UMB Financial Corp.     12,979    
  683     Umpqua Holdings Corp.     11,024    
  149     Union Bankshares Corp./VA     3,086    
  275     United America Indemnity Ltd.,
Class A*		     5,445    
  401     United Bankshares, Inc.     12,463    
  464     United Community Banks, Inc./GA     8,797    
  299     United Community Financial Corp./OH     1,695    
  244     United Fire & Casualty Co.     7,520    
  88     Universal Health Realty Income
Trust (REIT)		     2,895    
  145     Univest Corp. of Pennsylvania     3,089    
  236     Urstadt Biddle Properties, Inc.,
Class A (REIT)		     3,984    
  126     USB Holding Co., Inc.     2,656    
  157     Validus Holdings Ltd.*     3,909    
  129     ViewPoint Financial Group     2,300    
  27     Virginia Commerce Bancorp*     338    
  1,273     W Holding Co., Inc.     1,489    
  153     Waddell & Reed Financial, Inc.     5,230    
  127     Washington Trust Bancorp, Inc.     3,156    
  100     Wauwatosa Holdings, Inc.*     1,334    
  233     WesBanco, Inc.     5,587    
  175     West Coast Bancorp/OR     3,493    
  247     Westamerica Bancorporation     11,611    
  80     Western Alliance Bancorp*     1,765    
  115     Westfield Financial, Inc.     1,111    
  170     Wilshire Bancorp, Inc.     1,584    
  564     Winthrop Realty Trust (REIT)     3,012    
  269     Wintrust Financial Corp.     9,501    
  133     WP Stewart & Co., Ltd.     757    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  70     WSFS Financial Corp.   $ 3,912    
  413     Zenith National Insurance Corp.     17,358    
      2,209,295    
    Health Care — 5.4%  
  163     Albany Molecular Research, Inc.*     2,153    
  115     Alliance Imaging, Inc.*     1,098    
  484     Alpharma, Inc., Class A*     10,164    
  17     Amedisys, Inc.*     725    
  9     American Dental Partners, Inc.*     179    
  588     AMERIGROUP Corp.*     20,210    
  8     Amicus Therapeutics, Inc.*     122    
  341     Amsurg Corp.*     8,818    
  148     Analogic Corp.     7,965    
  129     Angiodynamics, Inc.*     2,504    
  53     Animal Health International, Inc.*     636    
  879     Applera Corp.- Celera Group*     13,290    
  287     Apria Healthcare Group, Inc.*     6,219    
  805     Arena Pharmaceuticals, Inc.*     7,044    
  323     Ariad Pharmaceuticals, Inc.*     1,454    
  478     Assisted Living Concepts, Inc.,
Class A*		     3,289    
  101     Bentley Pharmaceuticals, Inc.*     1,272    
  83     Bionovo, Inc.*     156    
  208     Bio-Rad Laboratories, Inc., Class A*     20,989    
  100     Bradley Pharmaceuticals, Inc.*     1,969    
  320     Cambrex Corp.     2,477    
  128     Cantel Medical Corp.*     2,264    
  191     Capital Senior Living Corp.*     1,568    
  148     Centene Corp.*     3,700    
  19     Chemed Corp.     1,029    
  30     Computer Programs & Systems, Inc.     668    
  316     Conmed Corp.*     7,862    
  329     Cross Country Healthcare, Inc.*     4,790    
  106     Cytokinetics, Inc.*     515    
  143     Datascope Corp.     5,232    
  66     Emergent Biosolutions, Inc.*     369    
  63     Emeritus Corp.*     1,588    
  69     Enzon Pharmaceuticals, Inc.*     653    
  213     Gentiva Health Services, Inc.*     3,847    
  31     Greatbatch, Inc.*     638    
  22     Haemonetics Corp.*     1,276    
  20     Hansen Medical, Inc.*     590    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  878     Healthsouth Corp.*   $ 17,411    
  201     Healthspring, Inc.*     3,799    
  47     ICU Medical, Inc.*     1,745    
  91     Immunomedics, Inc.*     206    
  378     Incyte Corp.*     3,243    
  61     Indevus Pharmaceuticals, Inc.*     457    
  17     Insulet Corp.*     467    
  47     InterMune, Inc.*     763    
  321     Invacare Corp.     8,346    
  453     Inverness Medical Innovations, Inc.*     26,582    
  471     Isis Pharmaceuticals, Inc.*     8,332    
  6     Jazz Pharmaceuticals, Inc.*     93    
  34     Kensey Nash Corp.*     917    
  320     Kindred Healthcare, Inc.*     7,862    
  48     Landauer, Inc.     2,410    
  367     Magellan Health Services, Inc.*     16,680    
  589     MannKind Corp.*     5,537    
  360     Martek Biosciences Corp.*     9,310    
  19     Masimo Corp.*     702    
  47     Matria Healthcare, Inc.*     1,068    
  272     Maxygen, Inc.*     2,059    
  78     Medcath Corp.*     1,983    
  25     Medical Action Industries, Inc.*     500    
  264     Merit Medical Systems, Inc.*     3,836    
  5     Molecular Insight Pharmaceuticals, Inc.*     44    
  152     Molina Healthcare, Inc.*     5,698    
  149     Momenta Pharmaceuticals, Inc.*     796    
  390     Nabi Biopharmaceuticals*     1,287    
  28     National Healthcare Corp.     1,375    
  200     Neurocrine Biosciences, Inc.*     2,604    
  350     Odyssey HealthCare, Inc.*     3,500    
  11     Orexigen Therapeutics, Inc.*     145    
  76     Orthofix International N.V.*     4,439    
  371     Owens & Minor, Inc.     14,569    
  39     Par Pharmaceutical Cos., Inc.*     750    
  406     Perrigo Co.     12,545    
  108     PharmaNet Development Group, Inc.*     4,266    
  220     PharMerica Corp.*     3,241    
  74     PRA International*     2,242    
  31     Providence Service Corp. (The)*     867    
  195     RehabCare Group, Inc.*     4,504    
  272     Res-Care, Inc.*     6,196    
  45     Rigel Pharmaceuticals, Inc.*     322    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  58     Salix Pharmaceuticals Ltd.*   $ 659    
  61     Sciele Pharma, Inc.*     1,362    
  6     Sirtris Pharmaceuticals, Inc.*     97    
  116     Skilled Healthcare Group, Inc.*     1,757    
  392     STERIS Corp.     10,960    
  7     Sucampo Pharmaceuticals, Inc.,
Class A*		     93    
  74     Sunrise Senior Living, Inc.*     2,323    
  358     Symmetry Medical, Inc.*     6,029    
  41     Telik, Inc.*     137    
  16     TomoTherapy, Inc.*     298    
  418     Universal American Financial Corp.*     9,965    
  143     Varian, Inc.*     10,017    
  90     Viropharma, Inc.*     805    
  10     Vital Images, Inc.*     180    
  11     Vital Signs, Inc.     582    
  21     Wright Medical Group, Inc.*     567    
  207     XOMA Ltd.*     745    
  56     Zoll Medical Corp.*     1,304    
      390,900    
    Industrials — 11.9%  
  28     AAR Corp.*     925    
  447     ABM Industries, Inc.     9,119    
  654     ABX Air, Inc.*     2,910    
  444     ACCO Brands Corp.*     7,419    
  263     Accuride Corp.*     1,996    
  76     Actuant Corp., Class A     2,407    
  140     Acuity Brands, Inc.     5,529    
  108     Aecom Technology Corp.*     2,872    
  451     Alaska Air Group, Inc.*     11,424    
  327     Albany International Corp.     12,645    
  112     Amerco, Inc.*     7,333    
  13     American Ecology Corp.     289    
  121     American Woodmark Corp.     2,344    
  93     Ameron International Corp.     9,838    
  74     Ampco-Pittsburgh Corp.     2,606    
  12     Amrep Corp.     397    
  229     AO Smith Corp.     8,104    
  397     Applied Industrial Technologies, Inc.     11,993    
  89     Argon ST, Inc.*     1,622    
  252     Arkansas Best Corp.     5,746    
  92     ASV, Inc.*     1,073    
  149     Atlas Air Worldwide Holdings, Inc.*     7,845    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  24     Badger Meter, Inc.   $ 936    
  47     Barnes Group, Inc.     1,455    
  27     Barrett Business Services, Inc.     442    
  45     Beacon Roofing Supply, Inc.*     414    
  424     Blount International, Inc.*     5,203    
  128     BlueLinx Holdings, Inc.     525    
  308     Bowne & Co., Inc.     5,563    
  562     Brady Corp., Class A     22,497    
  552     Briggs & Stratton Corp.     12,586    
  158     Builders FirstSource, Inc.*     1,093    
  107     Cascade Corp.     6,455    
  254     Casella Waste Systems, Inc.*     3,802    
  381     CBIZ, Inc.*     3,520    
  113     CDI Corp.     3,014    
  89     Ceradyne, Inc.*     4,400    
  54     Chart Industries, Inc.*     1,501    
  183     CIRCOR International, Inc.     7,940    
  288     Clarcor, Inc.     10,256    
  93     Columbus McKinnon Corp./NY*     2,894    
  407     Comfort Systems USA, Inc.     4,782    
  239     Commercial Vehicle Group, Inc.*     3,186    
  14     Compx International, Inc.     197    
  16     Consolidated Graphics, Inc.*     828    
  119     Cornell Cos., Inc.*     2,799    
  32     Courier Corp.     1,052    
  14     CRA International, Inc.*     648    
  62     Cubic Corp.     2,448    
  261     Curtiss-Wright Corp.     14,078    
  579     Deluxe Corp.     18,291    
  239     Dollar Thrifty Automotive Group*     6,200    
  241     DynCorp International, Inc., Class A*     5,037    
  381     Eagle Bulk Shipping, Inc.     10,897    
  183     EDO Corp.     10,215    
  193     Electro Rent Corp.     2,640    
  711     EMCOR Group, Inc.*     18,941    
  260     Encore Wire Corp.     4,446    
  239     EnerSys*     5,562    
  285     Ennis, Inc.     5,233    
  239     EnPro Industries, Inc.*     7,313    
  261     Esterline Technologies Corp.*     13,629    
  44     Exponent, Inc.*     1,225    
  554     ExpressJet Holdings, Inc.*     1,385    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  535     Federal Signal Corp.   $ 6,153    
  30     First Advantage Corp., Class A*     546    
  75     Forward Air Corp.     2,428    
  128     FreightCar America, Inc.     4,348    
  240     G&K Services, Inc., Class A     9,761    
  117     Gehl Co.*     1,897    
  211     Genco Shipping & Trading Ltd.     13,356    
  164     Genesee & Wyoming, Inc.*     4,297    
  57     GeoEye, Inc.*     1,808    
  279     Gibraltar Industries, Inc.     3,900    
  77     Goodman Global, Inc.*     1,821    
  1,163     GrafTech International Ltd.*     18,689    
  171     Granite Construction, Inc.     7,014    
  18     Great Lakes Dredge & Dock Corp.     160    
  178     Greenbrier Cos., Inc.     3,948    
  333     Griffon Corp.*     4,302    
  124     Hardinge, Inc.     1,955    
  433     Heartland Express, Inc.     6,292    
  12     Heidrick & Struggles International, Inc.     435    
  36     ICT Group, Inc.*     399    
  1,199     IKON Office Solutions, Inc.     15,143    
  304     Insituform Technologies, Inc.*     3,949    
  109     Insteel Industries, Inc.     1,239    
  76     Integrated Electrical Services, Inc.*     1,427    
  185     Interline Brands, Inc.*     4,427    
  1,717     JetBlue Airways Corp.*     12,019    
  147     Kadant, Inc.*     4,331    
  180     Kaman Corp.     5,742    
  56     Kaydon Corp.     2,834    
  204     Kelly Services, Inc., Class A     3,886    
  77     Kforce, Inc.*     835    
  97     Korn/Ferry International*     1,671    
  10     L.B. Foster Co., Class A*     458    
  100     Ladish Co., Inc.*     4,416    
  47     Lawson Products     1,590    
  157     LECG Corp.*     2,490    
  79     Lindsay Corp.     4,181    
  205     LSI Industries, Inc.     4,235    
  170     Marten Transport Ltd.*     1,863    
  82     Miller Industries, Inc.*     1,068    
  196     Mine Safety Appliances Co.     9,606    
  81     Mobile Mini, Inc.*     1,557    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  317     Moog, Inc., Class A*   $ 14,290    
  78     MTC Technologies, Inc.*     1,275    
  413     Mueller Industries, Inc.     12,485    
  1,280     Mueller Water Products, Inc.,
Class A		     13,402    
  10     Multi-Color Corp.     239    
  65     NACCO Industries, Inc., Class A     6,591    
  160     Navigant Consulting, Inc.*     2,077    
  192     NCI Building Systems, Inc.*     6,591    
  90     Nordson Corp.     4,752    
  100     Northwest Pipe Co.*     3,327    
  39     Nuco2, Inc.*     1,076    
  22     Old Dominion Freight Line, Inc.*     496    
  308     On Assignment, Inc.*     1,968    
  102     Orbital Sciences Corp.*     2,454    
  264     Pacer International, Inc.     3,633    
  89     Park-Ohio Holdings Corp.*     2,095    
  18     Patriot Transportation Holding, Inc.*     1,690    
  128     PeopleSupport, Inc.*     1,798    
  69     Perini Corp.*     3,670    
  82     PGT, Inc.*     453    
  597     PHH Corp.*     13,230    
  46     Pike Electric Corp.*     731    
  104     Polypore International, Inc.*     1,811    
  30     Powell Industries, Inc.*     1,226    
  783     Power-One, Inc.*     3,657    
  28     Preformed Line Products Co.     1,508    
  13     Protection One, Inc.*     152    
  356     Regal-Beloit Corp.     16,761    
  376     Republic Airways Holdings, Inc.*     7,550    
  157     Robbins & Myers, Inc.     10,755    
  105     RSC Holdings, Inc.*     1,289    
  370     Rush Enterprises, Inc., Class A*     5,831    
  132     Saia, Inc.*     1,721    
  147     Schawk, Inc.     2,112    
  190     School Specialty, Inc.*     6,781    
  81     Sequa Corp., Class A*     14,171    
  217     Simpson Manufacturing Co., Inc.     5,774    
  679     Skywest, Inc.     17,865    
  314     Spherion Corp.*     2,443    
  23     Standard Parking Corp.*     1,067    
  154     Standard Register Co. (The)     1,859    
  139     Standex International Corp.     2,652    
  228     Superior Essex, Inc.*     5,531    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  163     TAL International Group, Inc.   $ 3,692    
  54     TBS International Ltd., Class A*     2,358    
  173     Tecumseh Products Co., Class A*     4,112    
  60     Teledyne Technologies, Inc.*     3,253    
  91     Tennant Co.     3,989    
  261     Tetra Tech, Inc.*     5,408    
  333     Tredegar Corp.     4,815    
  117     Trex Co., Inc.*     806    
  157     Trimas Corp.*     1,743    
  143     Triumph Group, Inc.     11,620    
  242     UAP Holding Corp.     7,238    
  111     Ultrapetrol Bahamas Ltd.*     1,928    
  102     United Stationers, Inc.*     5,167    
  186     Universal Forest Products, Inc.     5,321    
  36     Universal Truckload Services, Inc.*     628    
  235     Viad Corp.     7,287    
  158     Volt Information Sciences, Inc.*     2,010    
  340     Wabash National Corp.     2,349    
  218     Waste Connections, Inc.*     6,939    
  217     Waste Services, Inc.*     2,005    
  18     Watsco, Inc.     653    
  362     Watson Wyatt Worldwide, Inc.,
Class A		     16,670    
  350     Watts Water Technologies, Inc.,
Class A		     10,241    
  519     Werner Enterprises, Inc.     9,108    
  117     Xerium Technologies, Inc.     696    
      865,315    
    Information Technology — 12.1%  
  4,340     3Com Corp.*     18,705    
  291     Actel Corp.*     3,189    
  1,320     Adaptec, Inc.*     4,422    
  317     Adtran, Inc.     6,876    
  294     Agilysys, Inc.     4,084    
  42     Airvana, Inc.*     265    
  168     Anaren, Inc.*     2,587    
  1,737     Andrew Corp.*     25,464    
  58     Anixter International, Inc.*     3,741    
  1,952     Applied Micro Circuits Corp.*     4,900    
  874     Ariba, Inc.*     10,374    
  84     Arris Group, Inc.*     876    
  37     Aruba Networks, Inc.*     516    
  353     AsiaInfo Holdings, Inc.*     4,165    
  56     Asyst Technologies, Inc.*     193    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  52     ATMI, Inc.*   $ 1,565    
  30     AuthenTec, Inc.*     513    
  461     Avid Technology, Inc.*     12,230    
  563     Avocent Corp.*     14,019    
  1,134     Axcelis Technologies, Inc.*     5,375    
  2,248     BearingPoint, Inc.*     8,205    
  133     Bel Fuse, Inc., Class B     3,979    
  653     Benchmark Electronics, Inc.*     11,721    
  194     Black Box Corp.     7,139    
  77     Blackbaud, Inc.     2,191    
  19     BladeLogic, Inc.*     465    
  811     Borland Software Corp.*     2,620    
  242     Bottomline Technologies, Inc.*     3,049    
  59     Brightpoint, Inc.*     980    
  710     Brooks Automation, Inc.*     9,535    
  51     Cabot Microelectronics Corp.*     1,907    
  316     CACI International, Inc., Class A*     14,343    
  26     Cavium Networks, Inc.*     667    
  440     Checkpoint Systems, Inc.*     10,454    
  605     Ciber, Inc.*     4,126    
  433     Cirrus Logic, Inc.*     2,468    
  543     CMGI, Inc.*     5,631    
  103     Cognex Corp.     2,088    
  235     Coherent, Inc.*     6,761    
  138     Cohu, Inc.     2,160    
  20     comScore, Inc.*     649    
  20     Comverge, Inc.*     630    
  4,021     Conexant Systems, Inc.*     4,463    
  170     Cray, Inc.*     991    
  1,128     Credence Systems Corp.*     2,312    
  240     CSG Systems International, Inc.*     3,977    
  400     CTS Corp.     4,228    
  82     Cymer, Inc.*     3,368    
  58     Data Domain, Inc.*     1,495    
  70     Dice Holdings, Inc.*     692    
  241     Digi International, Inc.*     3,707    
  178     Ditech Networks, Inc.*     575    
  342     DSP Group, Inc.*     4,627    
  237     Dycom Industries, Inc.*     6,669    
  9     Eagle Test Systems, Inc.*     99    
  1,375     Earthlink, Inc.*     9,336    
  326     Electro Scientific Industries, Inc.*     6,601    
  634     Electronics for Imaging*     14,544    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  85     EMS Technologies, Inc.*   $ 2,474    
  386     Emulex Corp.*     6,465    
  9     EnerNOC, Inc.*     412    
  1,112     Entegris, Inc.*     9,630    
  217     eSpeed, Inc., Class A*     2,192    
  256     Exar Corp.*     2,353    
  109     Excel Technology, Inc.*     2,940    
  50     ExlService Holdings, Inc.*     1,199    
  1,247     Extreme Networks*     4,539    
  9     Forrester Research, Inc.*     236    
  211     Foundry Networks, Inc.*     3,720    
  315     Genesis Microchip, Inc.*     1,588    
  258     Gerber Scientific, Inc.*     2,451    
  167     Gevity HR, Inc.     710    
  27     Global Cash Access Holdings, Inc.*     94    
  65     HSW International, Inc.*     345    
  290     Hutchinson Technology, Inc.*     7,630    
  252     Hypercom Corp.*     1,348    
  173     i2 Technologies, Inc.*     2,799    
  392     Imation Corp.     7,867    
  336     Immersion Corp.*     4,412    
  76     Infinera Corp.*     1,658    
  179     Infospace, Inc.     3,188    
  240     infoUSA, Inc.     2,071    
  539     Insight Enterprises, Inc.*     10,678    
  30     Integral Systems, Inc.     748    
  431     Internet Capital Group, Inc.*     4,814    
  90     Interwoven, Inc.*     1,105    
  265     Ipass, Inc.*     1,158    
  148     Ixia*     1,529    
  120     IXYS Corp.*     928    
  198     JDA Software Group, Inc.*     4,146    
  936     Kemet Corp.*     5,803    
  175     Keynote Systems, Inc.*     2,408    
  54     Kulicke & Soffa Industries, Inc.*     382    
  308     L-1 Identity Solutions, Inc.*     5,723    
  1,280     Lattice Semiconductor Corp.*     4,301    
  1,376     Lawson Software, Inc.*     13,375    
  62     Limelight Networks, Inc.*     493    
  101     Lionbridge Technologies*     307    
  171     Littelfuse, Inc.*     5,703    
  128     Loral Space & Communications, Inc.*     4,383    
  51     Manhattan Associates, Inc.*     1,384    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  180     Mantech International Corp., Class A*   $ 6,964    
  69     Marchex, Inc., Class B     849    
  78     MasTec, Inc.*     789    
  86     Mattson Technology, Inc.*     709    
  223     MAXIMUS, Inc.     8,697    
  96     Measurement Specialties, Inc.*     2,363    
  390     Mentor Graphics Corp.*     4,247    
  54     Mercadolibre, Inc.*     2,290    
  248     Mercury Computer Systems, Inc.*     3,636    
  408     Methode Electronics, Inc.     4,916    
  15     MicroStrategy, Inc.*     1,513    
  533     MKS Instruments, Inc.*     9,685    
  37     Monotype Imaging Holdings, Inc.*     592    
  1,031     MPS Group, Inc.*     11,444    
  1,765     MRV Communications, Inc.*     3,954    
  489     MSC.Software Corp.*     6,460    
  76     MTS Systems Corp.     3,115    
  51     Multi-Fineline Electronix, Inc.*     932    
  243     Ness Technologies, Inc.*     2,287    
  34     Netezza Corp.*     451    
  390     Newport Corp.*     5,171    
  331     Nextwave Wireless, Inc.*     1,989    
  449     Omnivision Technologies, Inc.*     8,360    
  391     OpenTV Corp., Class A*     465    
  923     Openwave Systems, Inc.     2,538    
  142     Oplink Communications, Inc.*     2,293    
  90     Optium Corp.*     756    
  90     OSI Systems, Inc.*     2,231    
  66     Packeteer, Inc.*     446    
  1,154     Palm, Inc.     8,043    
  696     Parametric Technology Corp.*     11,623    
  225     Park Electrochemical Corp.     6,626    
  81     PC Connection, Inc.*     1,036    
  122     PDF Solutions, Inc.*     967    
  134     Pegasystems, Inc.     1,659    
  202     Pericom Semiconductor Corp.*     3,347    
  974     Perot Systems Corp., Class A*     12,808    
  466     Photronics, Inc.*     4,795    
  536     Plantronics, Inc.     14,392    
  204     Plexus Corp.*     6,071    
  169     PMC - Sierra, Inc.*     1,186    
  1,453     Powerwave Technologies, Inc.*     6,015    
  26     PROS Holdings, Inc.*     447    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  51     QAD, Inc.   $ 434    
  2,186     Quantum Corp.*     6,930    
  92     Quest Software, Inc.*     1,488    
  288     Rackable Systems, Inc.*     3,067    
  197     Radisys Corp.*     3,061    
  1,073     RealNetworks, Inc.*     6,620    
  1,147     RF Micro Devices, Inc.*     6,630    
  20     Rimage Corp.*     499    
  18     Rofin-Sinar Technologies, Inc.*     1,639    
  197     Rogers Corp.*     8,680    
  158     Rudolph Technologies, Inc.*     1,888    
  576     S1 Corp.*     4,274    
  1,349     Safeguard Scientifics, Inc.*     2,658    
  1,429     SAIC, Inc.*     28,494    
  92     SAVVIS, Inc.*     2,948    
  30     Scansource, Inc.*     1,058    
  192     Seachange International, Inc.*     1,448    
  482     Secure Computing Corp.*     4,372    
  202     Semitool, Inc.*     1,866    
  133     Semtech Corp.*     2,030    
  40     ShoreTel, Inc.*     621    
  146     SI International, Inc.*     3,790    
  68     Silicon Graphics, Inc.*     1,157    
  91     Silicon Image, Inc.*     428    
  1,013     Silicon Storage Technology, Inc.*     2,877    
  1,543     Skyworks Solutions, Inc.*     14,010    
  88     Solera Holdings, Inc.*     2,025    
  183     Sonic Solutions, Inc.*     1,817    
  535     SonicWALL, Inc.*     5,414    
  1,003     Spansion, Inc., Class A*     5,356    
  197     SRA International, Inc., Class A*     5,386    
  168     Standard Microsystems Corp.*     5,925    
  58     Starent Networks Corp.*     1,212    
  243     STEC, Inc.*     2,265    
  912     Sybase, Inc.*     23,384    
  1,270     Sycamore Networks, Inc.*     4,889    
  257     Symmetricom, Inc.*     1,108    
  182     SYNNEX Corp.*     3,760    
  96     Take-Two Interactive Software, Inc.*     1,438    
  286     Technitrol, Inc.     7,656    
  26     TechTarget, Inc.*     355    
  679     Tekelec*     8,352    
  2,125     TIBCO Software, Inc.*     16,639    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  270     TNS, Inc.   $ 4,244    
  1,552     TriQuint Semiconductor, Inc.*     9,203    
  415     TTM Technologies, Inc.*     5,017    
  187     Ultra Clean Holdings*     2,687    
  123     Ultratech, Inc.*     1,474    
  537     United Online, Inc.     8,076    
  110     Universal Display Corp.*     1,822    
  641     Utstarcom, Inc.*     1,859    
  300     Veeco Instruments, Inc.*     5,034    
  137     Vignette Corp.*     2,107    
  15     Virtusa Corp.*     265    
  37     Wright Express Corp.*     1,404    
  240     X-Rite, Inc.*     2,983    
  373     Zoran Corp.*     8,139    
  182     Zygo Corp.*     2,055    
      880,674    
    Materials — 6.5%  
  604     AbitibiBowater, Inc.     13,563    
  102     AM Castle & Co.     2,560    
  199     AMCOL International Corp.     7,558    
  711     Aptargroup, Inc.     30,011    
  271     Arch Chemicals, Inc.     11,152    
  424     Buckeye Technologies, Inc.*     6,055    
  448     Calgon Carbon Corp.*     6,523    
  148     Century Aluminum Co.*     8,486    
  557     CF Industries Holdings, Inc.     50,676    
  222     Chesapeake Corp.     1,354    
  97     Claymont Steel Holdings, Inc.*     2,083    
  1,497     Coeur d'Alene Mines Corp.*     6,242    
  359     Compass Minerals International, Inc.     13,182    
  135     Esmark, Inc.*     2,619    
  484     Ferro Corp.     10,256    
  384     Georgia Gulf Corp.     2,857    
  502     Glatfelter     7,545    
  677     HB Fuller Co.     17,121    
  440     Headwaters, Inc.*     5,280    
  685     Hercules, Inc.     13,296    
  30     Horsehead Holding Corp.*     499    
  118     Innophos Holdings, Inc.     1,689    
  268     Innospec, Inc.     4,706    
  89     Koppers Holdings, Inc.     3,421    
  355     Mercer International, Inc.*     2,812    
  263     Metal Management, Inc.     12,103    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  213     Minerals Technologies, Inc.   $ 14,250    
  52     Neenah Paper, Inc.     1,569    
  126     NewMarket Corp.     6,761    
  80     NL Industries, Inc.     807    
  822     Olin Corp.     17,213    
  97     Olympic Steel, Inc.     2,536    
  332     OM Group, Inc.*     18,688    
  1,037     PolyOne Corp.*     6,502    
  414     Quanex Corp.     20,717    
  392     Rock-Tenn Co., Class A     10,341    
  391     Rockwood Holdings, Inc.*     13,169    
  180     Royal Gold, Inc.     5,170    
  244     Schnitzer Steel Industries, Inc.     15,230    
  301     Schulman A, Inc.     6,490    
  175     Schweitzer-Mauduit International, Inc.     4,672    
  524     Sensient Technologies Corp.     14,499    
  127     Silgan Holdings, Inc.     6,811    
  357     Spartech Corp.     4,877    
  69     Stepan Co.     2,107    
  438     Stillwater Mining Co.*     4,249    
  169     Symyx Technologies*     1,295    
  180     Texas Industries, Inc.     12,488    
  462     Tronox, Inc., Class B     3,742    
  234     U.S. Concrete, Inc.*     880    
  34     Universal Stainless & Alloy*     1,049    
  496     Wausau Paper Corp.     4,677    
  771     Worthington Industries, Inc.     16,337    
  484     WR Grace & Co.*     13,073    
  70     Zep, Inc.*     919    
      474,767    
    Telecommunication Services — 1.4%  
  476     Alaska Communications Systems
Group, Inc.		     7,140    
  105     Atlantic Tele-Network, Inc.     4,005    
  2,762     Cincinnati Bell, Inc.*     13,147    
  96     Consolidated Communications
Holdings, Inc.		     1,544    
  346     Fairpoint Communications, Inc.     5,162    
  1,148     FiberTower Corp.*     2,617    
  520     General Communication, Inc.,
Class A*		     4,607    
  229     Global Crossing Ltd.*     4,198    
  101     Golden Telecom, Inc.*     10,247    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell 2000 Value (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  24     Hungarian Telephone & Cable Corp.*   $ 419    
  661     ICO Global Communications
Holdings Ltd.*		     2,604    
  552     IDT Corp., Class B     4,477    
  354     Iowa Telecommunications
Services, Inc.		     6,032    
  49     iPCS, Inc.     1,695    
  22     North Pittsburgh Systems, Inc.     520    
  479     PAETEC Holding Corp.*     5,125    
  608     Premiere Global Services, Inc.*     8,378    
  78     Rural Cellular Corp., Class A*     3,437    
  238     Shenandoah Telecom Co.     5,871    
  161     SureWest Communications     2,916    
  304     Syniverse Holdings, Inc.*     4,749    
  121     Time Warner Telecom, Inc., Class A*     2,714    
  257     USA Mobility, Inc.*     3,390    
  380     Vonage Holdings Corp.*     802    
      105,796    
    Utilities — 5.3%  
  286     Allete, Inc.     11,715    
  190     American States Water Co.     7,914    
  4,179     Aquila, Inc.*     16,549    
  588     Avista Corp.     12,571    
  420     Black Hills Corp.     17,497    
  218     California Water Service Group     8,517    
  114     Central Vermont Public Service Corp.     3,153    
  176     CH Energy Group, Inc.     7,800    
  666     Cleco Corp.     18,608    
  511     El Paso Electric Co.*     13,138    
  339     Empire District Electric Co. (The)     7,811    
  57     EnergySouth, Inc.     3,151    
  491     Idacorp, Inc.     17,264    
  241     Laclede Group, Inc. (The)     8,293    
  237     MGE Energy, Inc.     8,312    
  312     New Jersey Resources Corp.     15,740    
  502     Nicor, Inc.     21,154    
  301     Northwest Natural Gas Co.     14,439    
  400     NorthWestern Corp.     11,140    
  332     Otter Tail Corp.     11,125    
  832     Piedmont Natural Gas Co.     21,665    
  855     PNM Resources, Inc.     18,964    
  340     Portland General Electric Co.     9,102    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  160     SJW Corp.   $ 5,354    
  329     South Jersey Industries, Inc.     12,140    
  470     Southwest Gas Corp.     13,592    
  268     Southwest Water Co.     3,211    
  281     UIL Holdings Corp.     10,065    
  393     Unisource Energy Corp.     12,155    
  1,115     Westar Energy, Inc.     28,890    
  549     WGL Holdings, Inc.     18,139    
      389,168    
        Total Common Stock
(Cost $7,739,050)		     6,738,829    
Principal
Amount		  
 
 
    Repurchase Agreements — 13.8%  
$ 199,769     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $199,846 **		     199,769    
  229,778     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $229,865 ***		     229,778    
  39,954     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/3/07, total to be
received $39,969 ****		     39,954    
  532,718     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/3/07, total to be
received $532,920 *****		     532,718    
        Total Repurchase Agreements
(Cost $1,002,219)		     1,002,219    
        Total Investments
(Cost $8,741,269) — 106.4%		     7,741,048    
        Liabilities in excess of
other assets — (6.4%)		     (466,662 )  
        Net Assets — 100.0%   $ 7,274,386    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

See accompanying notes to the financial statements.


**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22 which had a total value of $203,766. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17 which had a total value of $234,374. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30 which had a total value of $40,753. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38 which had a total value of $543,373. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 306,604    
Aggregate gross unrealized depreciation     (1,641,389 )  
Net unrealized depreciation   $ (1,334,785 )  
Federal income tax cost of investments   $ 9,075,833    

 

Swap Agreements

Ultra Russell2000 Value had the following open swap agreement as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07   $ 8,108,477     $ (365,866 )  

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth

Shares  
  Value  
    Common Stocks (a) — 90.7%  
    Consumer Discretionary — 14.5%  
  316     1-800-FLOWERS.COM, Inc., Class A*   $ 3,309    
  342     99 Cents Only Stores*     2,757    
  223     A.C. Moore Arts & Crafts, Inc.*     3,539    
  367     Aaron Rents, Inc.     7,380    
  1,013     Aeropostale, Inc.*     25,882    
  216     AFC Enterprises*     2,357    
  205     Ambassadors Group, Inc.     3,760    
  43     Ambassadors International, Inc.     517    
  282     Amerigon, Inc.*     5,155    
  142     Ameristar Casinos, Inc.     4,457    
  369     Arbitron, Inc.     14,705    
  696     Bally Technologies, Inc.*     29,023    
  331     Bebe Stores, Inc.     4,469    
  144     Benihana, Inc., Class A*     2,016    
  296     Big 5 Sporting Goods Corp.     4,863    
  222     BJ's Restaurants, Inc.*     3,949    
  175     Blue Nile, Inc.*     12,917    
  44     Blyth, Inc.     865    
  42     Bon-Ton Stores, Inc. (The)     491    
  342     Bright Horizons Family Solutions, Inc.*     12,924    
  268     Brown Shoe Co., Inc.     4,548    
  183     Buckle, Inc. (The)     6,462    
  200     Buffalo Wild Wings, Inc.*     5,782    
  205     Build-A-Bear Workshop, Inc.*     3,233    
  67     Cabela's, Inc.*     1,108    
  116     Cache, Inc.*     1,553    
  380     California Pizza Kitchen, Inc.*     6,046    
  140     Capella Education Co.*     9,859    
  130     Carrols Restaurant Group, Inc.*     1,387    
  763     Carter's, Inc.*     17,114    
  432     Casual Male Retail Group, Inc.*     2,678    
  100     Cato Corp. (The), Class A     1,506    
  194     CBRL Group, Inc.     6,491    
  156     CEC Entertainment, Inc.*     4,446    
  846     Champion Enterprises, Inc.*     7,631    
  331     Charlotte Russe Holding, Inc.*     5,448    
  71     Cherokee, Inc.     2,237    
  294     Childrens Place Retail Stores,
Inc. (The)*		     8,367    
  428     Chipotle Mexican Grill, Inc., Class B*     49,443    
  473     Christopher & Banks Corp.     7,625    
  168     Cinemark Holdings, Inc.     2,804    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  871     Citadel Broadcasting Corp.   $ 2,003    
  181     Citi Trends, Inc.*     2,796    
  748     CKE Restaurants, Inc.     10,936    
  454     CKX, Inc.*     5,507    
  102     Coinstar, Inc.*     2,665    
  381     Collective Brands, Inc.*     5,841    
  41     Columbia Sportswear Co.     1,968    
  10     Conn's, Inc.*     181    
  1,132     Corinthian Colleges, Inc.*     19,765    
  68     CPI Corp.     1,888    
  116     Crown Media Holdings, Inc., Class A*     843    
  34     CSK Auto Corp.*     332    
  172     Cumulus Media, Inc., Class A*     1,447    
  167     Deckers Outdoor Corp.*     24,076    
  1,224     Denny's Corp.*     5,018    
  783     DeVry, Inc.     43,049    
  80     Dolan Media Co.*     2,120    
  204     Dover Downs Gaming &
Entertainment, Inc.		     2,254    
  474     Dress Barn, Inc.*     6,702    
  237     Drew Industries, Inc.*     6,475    
  212     DSW, Inc., Class A*     4,768    
  414     Entravision Communications Corp.,
Class A*		     3,097    
  31     Ethan Allen Interiors, Inc.     885    
  837     Fleetwood Enterprises, Inc.*     4,578    
  570     Fossil, Inc.*     24,704    
  159     G-lII Apparel Group Ltd.*     2,285    
  171     Gaiam, Inc., Class A*     4,027    
  36     Gander Mountain Co.*     175    
  231     Gaylord Entertainment Co.*     9,716    
  2,993     Gemstar-TV Guide International, Inc.*     17,659    
  248     Genesco, Inc.*     7,688    
  205     Global Sources Ltd.*     6,238    
  261     GSI Commerce, Inc.*     6,817    
  402     Gymboree Corp.*     13,411    
  380     Harris Interactive, Inc.*     1,592    
  1,306     Hayes Lemmerz International, Inc.*     5,394    
  84     Heelys, Inc.*     512    
  34     hhgregg, Inc.*     478    
  413     Hibbett Sports, Inc.*     8,846    
  117     Home Solutions of America, Inc.*     124    
  293     HOT Topic, Inc.*     1,849    
  662     Iconix Brand Group, Inc.*     15,087    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  99     Ihop Corp.   $ 5,023    
  166     Interactive Data Corp.     5,184    
  523     INVESTools, Inc.*     8,080    
  201     iRobot Corp.*     3,220    
  21     Isle of Capri Casinos, Inc.*     367    
  509     J. Crew Group, Inc.*     24,457    
  446     Jack in the Box, Inc.*     13,358    
  324     Jackson Hewitt Tax Service, Inc.     10,449    
  31     Jo-Ann Stores, Inc.*     510    
  236     JOS. A. Bank Clothiers, Inc.*     6,110    
  110     K-Swiss, Inc., Class A     1,997    
  177     Kimball International, Inc., Class B     2,361    
  175     Knology, Inc.*     2,352    
  845     Krispy Kreme Doughnuts, Inc.*     2,256    
  120     Lakes Entertainment, Inc.*     797    
  334     Lear Corp.*     9,833    
  12     Libbey, Inc.     186    
  437     Life Time Fitness, Inc.*     23,738    
  28     Lifetime Brands, Inc.     359    
  44     Lincoln Educational Services Corp.*     611    
  72     Live Nation, Inc.*     966    
  735     LKQ Corp.*     29,187    
  211     Lodgenet Entertainment Corp.*     4,051    
  93     Lululemon Athletica, Inc.*     3,410    
  184     Maidenform Brands, Inc.*     2,405    
  99     Marcus Corp.     1,784    
  24     Marine Products Corp.     177    
  347     Martha Stewart Living Omnimedia,
Class A*		     3,522    
  435     Marvel Entertainment, Inc.*     12,049    
  413     Matthews International Corp., Class A     18,230    
  179     McCormick & Schmick's Seafood
Restaurants, Inc.*		     2,624    
  708     Men's Wearhouse, Inc.     24,440    
  193     Midas, Inc.*     3,161    
  157     Monarch Casino & Resort, Inc.*     4,016    
  201     Monro Muffler, Inc.     4,235    
  289     Morgans Hotel Group Co.*     5,344    
  161     Morningstar, Inc.*     13,097    
  57     Morton's Restaurant Group, Inc.*     654    
  268     MTR Gaming Group, Inc.*     1,855    
  549     National CineMedia, Inc.     15,196    
  154     Nautilus, Inc.     886    
  614     NetFlix, Inc.*     14,183    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  284     New York & Co., Inc.*   $ 2,093    
  597     NexCen Brands, Inc.*     2,687    
  39     Nexstar Broadcasting Group, Inc.,
Class A*		     354    
  153     Noble International Ltd.     2,497    
  273     Orbitz Worldwide, Inc.*     2,184    
  215     Overstock.com, Inc.*     4,982    
  748     Pacific Sunwear of California*     12,252    
  174     Papa John's International, Inc.*     4,098    
  178     Peet's Coffee & Tea, Inc.*     4,756    
  93     PEP Boys-Manny Moe & Jack     1,016    
  279     PetMed Express, Inc.*     3,554    
  337     PF Chang's China Bistro, Inc.*     8,624    
  420     Pinnacle Entertainment, Inc.*     11,529    
  393     Polaris Industries, Inc.     17,905    
  118     Pre-Paid Legal Services, Inc.*     5,901    
  382     Premier Exhibitions, Inc.*     4,156    
  495     priceline.com, Inc.*     56,331    
  500     Quiksilver, Inc.*     5,300    
  406     Raser Technologies, Inc.*     5,063    
  218     Red Robin Gourmet Burgers, Inc.*     8,624    
  361     Retail Ventures, Inc.*     2,505    
  72     Riviera Holdings Corp.*     1,966    
  571     Ruby Tuesday, Inc.     7,486    
  248     Ruth's Chris Steak House*     3,001    
  1,223     Sally Beauty Holdings, Inc.*     11,142    
  79     Sauer-Danfoss, Inc.     1,920    
  405     Sealy Corp.     5,281    
  612     Select Comfort Corp.*     6,512    
  34     Shoe Carnival, Inc.*     396    
  460     Shuffle Master, Inc.*     6,150    
  191     Shutterfly, Inc.*     5,442    
  304     Sinclair Broadcast Group, Inc., Class A     3,146    
  266     Skechers U.S.A., Inc., Class A*     6,025    
  387     Smith & Wesson Holding Corp.*     3,855    
  794     Sonic Corp.*     19,374    
  863     Sotheby's     32,319    
  87     Source Interlink Cos., Inc.*     175    
  271     Spanish Broadcasting System, Inc.,
Class A*		     520    
  421     Spartan Motors, Inc.     4,202    
  215     Stamps.com, Inc.*     2,731    
  51     Stein Mart, Inc.     276    
  158     Steiner Leisure Ltd.*     6,747    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  133     Steven Madden Ltd.*   $ 3,023    
  190     Strayer Education, Inc.     34,363    
  296     Sturm Ruger & Co., Inc.*     2,738    
  467     Sun-Times Media Group, Inc.*     467    
  694     Syntax-Brillian Corp.*     2,020    
  81     Systemax, Inc.     1,600    
  982     Tempur-Pedic International, Inc.     29,156    
  137     Tenneco, Inc.*     4,054    
  688     Texas Roadhouse, Inc., Class A*     8,662    
  224     Timberland Co., Class A*     3,647    
  1,273     Tivo, Inc.*     9,535    
  197     Town Sports International
Holdings, Inc.*		     1,990    
  823     Triarc Cos., Inc., Class B     6,921    
  182     True Religion Apparel, Inc.*     3,170    
  397     Tupperware Brands Corp.     13,847    
  323     Tween Brands, Inc.*     8,133    
  323     Under Armour, Inc., Class A*     16,047    
  188     Universal Electronics, Inc.*     6,947    
  307     Universal Technical Institute, Inc.*     5,412    
  410     Vail Resorts, Inc.*     22,759    
  307     Valassis Communications, Inc.*     3,785    
  18     Value Line, Inc.     744    
  337     ValueVision Media, Inc., Class A*     2,217    
  871     Visteon Corp.*     3,832    
  191     Volcom, Inc.*     5,151    
  311     Warnaco Group, Inc. (The)*     11,476    
  824     Westwood One, Inc.     1,574    
  1,102     Wet Seal, Inc. (The), Class A*     2,347    
  357     Winnebago Industries     7,683    
  531     WMS Industries, Inc.*     17,735    
  384     Wolverine World Wide, Inc.     9,512    
  295     World Wrestling Entertainment, Inc.,
Class A		     4,649    
  225     Zumiez, Inc.*     6,255    
      1,430,147    
    Consumer Staples — 2.1%  
  47     Alico, Inc.     2,086    
  1,250     Alliance One International, Inc.*     5,162    
  89     American Dairy, Inc.*     1,491    
  698     American Oriental Bioengineering, Inc.*     8,167    
  15     Arden Group, Inc.     2,160    
  101     Boston Beer Co., Inc., Class A*     3,352    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  11     Cal-Maine Foods, Inc.   $ 271    
  394     Central European Distribution Corp.*     19,700    
  198     Chattem, Inc.*     14,040    
  78     Coca-Cola Bottling Co. Consolidated     4,426    
  1,056     Darling International, Inc.*     10,824    
  423     Flowers Foods, Inc.     9,826    
  52     Great Atlantic & Pacific Tea Co.*     1,563    
  225     Green Mountain Coffee Roasters, Inc.*     7,339    
  139     Ingles Markets, Inc., Class A     3,307    
  96     Inter Parfums, Inc.     1,754    
  124     J&J Snack Foods Corp.     4,015    
  338     Jones Soda Co.*     2,231    
  267     Lancaster Colony Corp.     10,285    
  114     Lance, Inc.     2,364    
  407     Longs Drug Stores Corp.     21,538    
  204     Mannatech, Inc.     1,287    
  21     Maui Land & Pineapple Co., Inc.*     591    
  11     MGP Ingredients, Inc.     90    
  79     Nash Finch Co.     2,820    
  134     National Beverage Corp.     992    
  436     Nu Skin Enterprises, Inc., Class A     7,713    
  120     Pantry, Inc. (The)*     3,455    
  419     Pathmark Stores, Inc.*     5,405    
  56     Pricesmart, Inc.     1,670    
  86     Ralcorp Holdings, Inc.*     5,280    
  130     Reddy Ice Holdings, Inc.     3,392    
  135     Sanderson Farms, Inc.     4,193    
  101     Spartan Stores, Inc.     2,273    
  56     Synutra International, Inc.*     2,093    
  4     Tiens Biotech Group USA, Inc.*     11    
  109     Tootsie Roll Industries, Inc.     2,686    
  559     United Natural Foods, Inc.*     16,373    
  110     USANA Health Sciences, Inc.*     4,585    
  257     Vector Group Ltd.     5,659    
  91     WD-40 Co.     3,610    
  24     Winn-Dixie Stores, Inc.*     454    
      210,533    
    Energy — 6.1%  
  169     Alon USA Energy, Inc.     4,702    
  856     Alpha Natural Resources, Inc.*     24,054    
  119     APCO Argentina, Inc.     3,190    
  398     Arena Resources, Inc.*     14,961    
  173     Arlington Tankers Ltd.     3,713    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  299     Atlas America, Inc.   $ 16,977    
  279     ATP Oil & Gas Corp.*     12,438    
  358     Atwood Oceanics, Inc.*     31,235    
  242     Aventine Renewable Energy
Holdings, Inc.*		     2,384    
  390     Basic Energy Services, Inc.*     7,605    
  206     Berry Petroleum Co., Class A     8,520    
  319     Bill Barrett Corp.*     12,313    
  206     Bois d'Arc Energy, Inc.*     4,038    
  675     BPZ Resources, Inc.*     7,695    
  292     Cal Dive International, Inc.*     3,624    
  265     CARBO Ceramics, Inc.     10,521    
  319     Carrizo Oil & Gas, Inc.*     15,456    
  130     Clean Energy Fuels Corp.*     1,940    
  558     Complete Production Services, Inc.*     9,888    
  429     Comstock Resources, Inc.*     14,372    
  245     Concho Resources, Inc.*     4,621    
  171     Contango Oil & Gas Co.*     8,071    
  482     Crosstex Energy, Inc.     17,304    
  92     Dawson Geophysical Co.*     6,166    
  87     Delek U.S. Holdings, Inc.     1,604    
  858     Delta Petroleum Corp.*     13,187    
  278     Double Hull Tankers, Inc.     3,686    
  348     Dril-Quip, Inc.*     19,634    
  219     ENGlobal Corp.*     2,367    
  388     Evergreen Energy, Inc.*     1,424    
  494     FX Energy, Inc.*     3,675    
  421     GeoGlobal Resources, Inc.*     1,314    
  89     Geokinetics, Inc.*     1,938    
  151     GMX Resources, Inc.*     4,830    
  101     Golar LNG Ltd.     2,150    
  203     Goodrich Petroleum Corp.*     4,959    
  191     Grey Wolf, Inc.*     970    
  127     Gulf Island Fabrication, Inc.     4,040    
  258     Gulfport Energy Corp.*     5,372    
  1,085     Hercules Offshore, Inc.*     27,136    
  895     International Coal Group, Inc.*     4,484    
  929     ION Geophysical Corp.*     14,334    
  211     Knightsbridge Tankers Ltd.     5,319    
  197     Lufkin Industries, Inc.     10,246    
  609     Mariner Energy, Inc.*     13,203    
  84     Markwest Hydrocarbon, Inc.     5,149    
  347     Matrix Service Co.*     9,053    
  275     McMoRan Exploration Co.*     3,234    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  241     NATCO Group, Inc.*   $ 11,457    
  1,012     Newpark Resources*     5,445    
  410     Nova Biosource Fuels, Inc.*     652    
  52     OYO Geospace Corp.*     5,444    
  301     Pacific Ethanol, Inc.*     1,839    
  493     Parallel Petroleum Corp.*     9,441    
  1,164     Parker Drilling Co.*     8,323    
  223     Penn Virginia Corp.     9,281    
  1,143     PetroHawk Energy Corp.*     18,631    
  27     Petroleum Development Corp.*     1,368    
  543     Petroquest Energy, Inc.*     7,216    
  91     PHI, Inc. (Non-Voting)*     2,902    
  2,126     Rentech, Inc.*     4,422    
  62     Rex Energy Corp.*     613    
  358     Rosetta Resources, Inc.*     6,551    
  421     RPC, Inc.     4,673    
  412     Ship Finance International Ltd.     10,494    
  363     Sulphco, Inc.*     1,924    
  83     Superior Offshore International, Inc.*     512    
  151     Superior Well Services, Inc.*     2,928    
  75     T-3 Energy Services, Inc.*     3,781    
  440     TXCO Resources, Inc.*     5,302    
  320     Uranium Resources, Inc.*     3,795    
  112     US BioEnergy Corp.*     1,016    
  186     Venoco, Inc.*     3,396    
  454     VeraSun Energy Corp.*     5,362    
  532     Verenium Corp.*     1,942    
  397     W-H Energy Services, Inc.*     20,049    
  721     Warren Resources, Inc.*     9,200    
  484     Willbros Group, Inc.*     18,135    
  284     World Fuel Services Corp.     8,986    
      604,176    
    Financials — 7.5%  
  30     Abington Bancorp, Inc.     266    
  420     Acadia Realty Trust (REIT)     11,084    
  803     Advance America Cash Advance
Centers, Inc.		     7,323    
  234     Advanta Corp., Class B     2,342    
  219     Aldabra 2 Acquisition Corp.*     2,087    
  26     Alexander's, Inc. (REIT)*     10,131    
  209     Alexandria Real Estate Equities, Inc.
(REIT)		     20,530    
  219     Alternative Asset Management
Acquisition Corp.*		     2,006    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  254     Amtrust Financial Services, Inc.   $ 3,226    
  192     Associated Estates Realty Corp. (REIT)     2,394    
  98     Asta Funding, Inc.     3,544    
  127     Bank of the Ozarks, Inc.     3,694    
  43     Beneficial Mutual Bancorp, Inc.*     419    
  38     BlackRock Kelso Capital Corp.     543    
  18     Calamos Asset Management, Inc.,
Class A		     533    
  30     Cascade Bancorp     520    
  367     Cash America International, Inc.     13,205    
  369     Centerline Holding Co.     4,461    
  33     Citizens, Inc.*     217    
  19     City Bank     395    
  26     Clayton Holdings, Inc.*     102    
  123     CoBiz Financial, Inc.     2,010    
  228     Cohen & Steers, Inc.     6,468    
  159     CompuCredit Corp.*     2,061    
  75     Consolidated-Tomoka Land Co.     4,733    
  51     Corporate Office Properties Trust
SBI MD (REIT)		     1,842    
  529     Cousins Properties, Inc. (REIT)     12,574    
  67     Credit Acceptance Corp.*     1,278    
  67     Darwin Professional Underwriters, Inc.*     1,541    
  737     Digital Realty Trust, Inc. (REIT)     28,124    
  210     Dollar Financial Corp.*     6,275    
  252     EastGroup Properties, Inc. (REIT)     11,625    
  174     eHealth, Inc.*     5,392    
  34     Encore Capital Group, Inc.*     349    
  91     Enstar Group Ltd.*     9,874    
  97     Enterprise Financial Services Corp.     2,224    
  114     Epoch Holding Corp.     1,595    
  263     Equity Lifestyle Properties, Inc. (REIT)     12,201    
  8     Evercore Partners, Inc., Class A     168    
  484     Ezcorp, Inc., Class A*     6,079    
  119     FBR Capital Markets Corp.*     1,198    
  115     FCStone Group, Inc.*     4,854    
  815     FelCor Lodging Trust, Inc. (REIT)     14,271    
  30     First Busey Corp.     627    
  325     First Cash Financial Services, Inc.*     5,525    
  16     First Financial Bankshares, Inc.     624    
  361     First Industrial Realty Trust, Inc. (REIT)     13,184    
  89     First Mercury Financial Corp.*     1,889    
  111     First South Bancorp, Inc.     2,676    
  33     Frontier Financial Corp.     632    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  19     GAMCO Investors, Inc.   $ 1,013    
  226     Getty Realty Corp. (REIT)     6,129    
  209     GFI Group, Inc.*     20,352    
  485     Glimcher Realty Trust (REIT)     9,414    
  234     Greenhill & Co., Inc.     16,916    
  15     Greenlight Capital Re Ltd., Class A*     326    
  206     Grubb & Ellis Co.*     1,063    
  23     Harleysville National Corp.     353    
  525     Highwoods Properties, Inc. (REIT)     16,658    
  31     Hilb Rogal & Hobbs Co.     1,325    
  335     Home Properties, Inc. (REIT)     15,139    
  171     Information Services Group, Inc.*     1,151    
  140     Inland Real Estate Corp. (REIT)     2,047    
  233     Interactive Brokers Group, Inc.*     6,850    
  508     International Securities Exchange
Holdings, Inc.		     34,133    
  4     James River Group, Inc.     137    
  174     JER Investors Trust, Inc. (REIT)     1,702    
  59     K-Fed Bancorp     717    
  23     KBW, Inc.*     607    
  17     Kite Realty Group Trust (REIT)     266    
  523     Knight Capital Group, Inc., Class A*     6,982    
  1,280     Ladenburg Thalmann Financial
Services, Inc.*		     2,470    
  211     Maguire Properties, Inc. (REIT)     5,334    
  406     MarketAxess Holdings, Inc.*     5,830    
  332     Mid-America Apartment
Communities, Inc. (REIT)		     16,032    
  330     National Financial Partners Corp.     14,982    
  20     National Health Investors, Inc. (REIT)     568    
  18     National Interstate Corp.     593    
  1,035     Nationwide Health Properties, Inc.
(REIT)		     32,375    
  18     Nelnet, Inc., Class A     248    
  710     NewAlliance Bancshares, Inc.     9,159    
  90     NewStar Financial, Inc.*     826    
  878     Omega Healthcare Investors, Inc.
(REIT)		     14,197    
  571     optionsXpress Holdings, Inc.     17,364    
  71     Oritani Financial Corp.*     916    
  189     PennantPark Investment Corp.     2,172    
  179     Penson Worldwide, Inc.*     2,744    
  112     Pinnacle Financial Partners, Inc.*     3,263    
  197     Portfolio Recovery Associates, Inc.     7,935    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  96     Post Properties, Inc. (REIT)   $ 3,486    
  17     Preferred Bank     454    
  114     Primus Guaranty Ltd.*     728    
  156     PrivateBancorp, Inc.     4,775    
  208     PS Business Parks, Inc. (REIT)     11,222    
  80     QC Holdings, Inc.     1,111    
  86     Quadra Realty Trust, Inc. (REIT)     622    
  156     Ramco-Gershenson Properties (REIT)     3,947    
  140     Saul Centers, Inc. (REIT)     7,993    
  99     Sierra Bancorp     2,471    
  368     Signature Bank*     13,634    
  15     Southside Bancshares, Inc.     287    
  195     Stifel Financial Corp.*     9,077    
  109     Suffolk Bancorp     3,364    
  209     Sun Communities, Inc. (REIT)     5,116    
  271     Superior Bancorp*     1,623    
  84     SVB Financial Group*     4,324    
  36     SWS Group, Inc.     488    
  409     Tanger Factory Outlet Centers (REIT)     17,223    
  144     Tejon Ranch Co.*     5,566    
  37     Texas Capital Bancshares, Inc.*     780    
  310     Thomas Properties Group, Inc.     3,230    
  260     Tower Group, Inc.     8,429    
  379     TradeStation Group, Inc.*     4,521    
  981     Trustco Bank Corp. NY     10,428    
  154     U.S. Global Investors, Inc., Class A     2,536    
  31     United Bankshares, Inc.     964    
  107     United Security Bancshares     1,664    
  51     Universal Health Realty Income
Trust (REIT)		     1,678    
  23     Validus Holdings Ltd.*     573    
  193     Virginia Commerce Bancorp*     2,418    
  917     Waddell & Reed Financial, Inc.     31,343    
  588     Washington Real Estate Investment
Trust (REIT)		     18,840    
  10     Wauwatosa Holdings, Inc.*     133    
  103     Westamerica Bancorporation     4,842    
  123     Western Alliance Bancorp*     2,713    
  32     Wilshire Bancorp, Inc.     298    
  229     World Acceptance Corp.*     7,230    
  130     WP Stewart & Co., Ltd.     740    
      732,074    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
    Health Care — 19.3%  
  273     Abaxis, Inc.*   $ 9,055    
  378     Abiomed, Inc.*     4,857    
  405     Acadia Pharmaceuticals, Inc.*     4,593    
  215     Accuray, Inc.*     3,571    
  326     Acorda Therapeutics, Inc.*     6,099    
  465     Adams Respiratory Therapeutics, Inc.*     20,060    
  56     Affymax, Inc.*     1,426    
  896     Affymetrix, Inc.*     18,682    
  136     Air Methods Corp.*     7,160    
  719     Akorn, Inc.*     5,493    
  128     Albany Molecular Research, Inc.*     1,691    
  476     Alexion Pharmaceuticals, Inc.*     34,615    
  265     Alexza Pharmaceuticals, Inc.*     2,321    
  773     Align Technology, Inc.*     13,056    
  1,314     Alkermes, Inc.*     18,738    
  199     Alliance Imaging, Inc.*     1,900    
  546     Allos Therapeutics, Inc.*     3,773    
  723     Allscripts Healthcare Solutions, Inc.*     12,790    
  457     Alnylam Pharmaceuticals, Inc.*     14,907    
  277     Altus Pharmaceuticals, Inc.*     2,933    
  219     AMAG Pharmaceuticals, Inc.*     12,621    
  319     Amedisys, Inc.*     13,609    
  154     American Dental Partners, Inc.*     3,069    
  941     American Medical Systems
Holdings, Inc.*		     12,863    
  56     Amicus Therapeutics, Inc.*     857    
  453     AMN Healthcare Services, Inc.*     7,647    
  123     Angiodynamics, Inc.*     2,387    
  92     Animal Health International, Inc.*     1,104    
  234     Apria Healthcare Group, Inc.*     5,071    
  519     Ariad Pharmaceuticals, Inc.*     2,336    
  509     Arqule, Inc.*     3,303    
  614     Array Biopharma, Inc.*     6,797    
  359     Arthrocare Corp.*     19,433    
  202     Aspect Medical Systems, Inc.*     3,002    
  227     Assisted Living Concepts, Inc.,
Class A*		     1,562    
  408     Auxilium Pharmaceuticals, Inc.*     11,444    
  399     Beijing Med-Pharm Corp.*     4,038    
  131     Bentley Pharmaceuticals, Inc.*     1,649    
  145     Bio-Reference Labs, Inc.*     4,853    
  65     Biodel, Inc.*     1,142    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  1,252     BioMarin Pharmaceutical, Inc.*   $ 34,430    
  140     BioMimetic Therapeutics, Inc.*     1,707    
  590     Bionovo, Inc.*     1,109    
  49     Bradley Pharmaceuticals, Inc.*     965    
  849     Bruker BioSciences Corp.*     7,887    
  211     Cadence Pharmaceuticals, Inc.*     2,840    
  79     Capital Senior Living Corp.*     649    
  139     Caraco Pharmaceutical
Laboratories Ltd.*		     2,052    
  1,020     Cell Genesys, Inc.*     2,377    
  397     Centene Corp.*     9,925    
  720     Cepheid, Inc.*     15,574    
  290     Chemed Corp.     15,704    
  83     Computer Programs & Systems, Inc.     1,848    
  384     Conceptus, Inc.*     7,715    
  99     Corvel Corp.*     2,302    
  34     Cross Country Healthcare, Inc.*     495    
  322     CryoLife, Inc.*     2,312    
  723     Cubist Pharmaceuticals, Inc.*     15,357    
  166     Cutera, Inc.*     2,513    
  776     CV Therapeutics, Inc.*     6,767    
  290     Cyberonics, Inc.*     3,956    
  105     Cynosure, Inc., Class A*     3,117    
  483     Cypress Bioscience, Inc.*     5,893    
  325     Cytokinetics, Inc.*     1,580    
  1,134     CytRx Corp.*     3,788    
  1,091     Dendreon Corp.*     5,455    
  249     Dionex Corp.*     21,033    
  1,105     Discovery Laboratories, Inc.*     3,227    
  968     Durect Corp.*     5,614    
  597     Eclipsys Corp.*     13,850    
  121     Emergency Medical Services Corp.*     3,722    
  85     Emeritus Corp.*     2,142    
  890     Encysive Pharmaceuticals, Inc.*     596    
  406     Enzo Biochem, Inc.*     4,450    
  494     Enzon Pharmaceuticals, Inc.*     4,673    
  512     eResearchTechnology, Inc.*     6,072    
  605     ev3, Inc.*     8,857    
  1,362     Exelixis, Inc.*     11,890    
  178     Genomic Health, Inc.*     4,311    
  111     Gentiva Health Services, Inc.*     2,005    
  866     GenVec, Inc.*     1,593    
  952     Geron Corp.*     6,159    
  255     Greatbatch, Inc.*     5,248    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  220     GTx, Inc.*   $ 3,161    
  321     Haemonetics Corp.*     18,621    
  841     Halozyme Therapeutics, Inc.*     7,132    
  101     Hansen Medical, Inc.*     2,978    
  404     HealthExtras, Inc.*     10,734    
  390     Healthspring, Inc.*     7,371    
  458     Healthways, Inc.*     26,733    
  274     HMS Holdings Corp.*     8,508    
  1,598     Hologic, Inc.*     106,091    
  1,754     Human Genome Sciences, Inc.*     18,259    
  486     Hythiam, Inc.*     1,570    
  268     I-Flow Corp.*     4,468    
  113     ICU Medical, Inc.*     4,195    
  325     Idenix Pharmaceuticals, Inc.*     777    
  700     Illumina, Inc.*     40,453    
  900     Immucor, Inc.*     29,853    
  652     Immunomedics, Inc.*     1,474    
  655     Incyte Corp.*     5,620    
  725     Indevus Pharmaceuticals, Inc.*     5,430    
  83     Insulet Corp.*     2,279    
  235     Integra LifeSciences Holdings Corp.*     9,741    
  336     InterMune, Inc.*     5,457    
  407     inVentiv Health, Inc.*     11,876    
  349     Inverness Medical Innovations, Inc.*     20,479    
  584     Isis Pharmaceuticals, Inc.*     10,331    
  555     Javelin Pharmaceuticals, Inc.*     2,309    
  71     Jazz Pharmaceuticals, Inc.*     1,101    
  166     Kendle International, Inc.*     7,166    
  115     Kensey Nash Corp.*     3,100    
  569     Keryx Biopharmaceuticals, Inc.*     5,235    
  556     Kosan Biosciences, Inc.*     2,652    
  462     KV Pharmaceutical Co., Class A*     13,028    
  64     Landauer, Inc.     3,213    
  249     LCA-Vision, Inc.     4,049    
  190     LHC Group, Inc.*     4,864    
  443     Lifecell Corp.*     17,964    
  1,112     Ligand Pharmaceuticals, Inc., Class B     5,460    
  468     Luminex Corp.*     7,493    
  81     Magellan Health Services, Inc.*     3,681    
  157     Masimo Corp.*     5,803    
  224     Matria Healthcare, Inc.*     5,089    
  1,645     Medarex, Inc.*     20,892    
  41     Medcath Corp.*     1,042    
  153     Medical Action Industries, Inc.*     3,062    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  676     Medicines Co. (The)*   $ 11,952    
  730     Medicis Pharmaceutical Corp., Class A     19,637    
  279     Medivation, Inc.*     3,794    
  442     Mentor Corp.     16,615    
  519     Meridian Bioscience, Inc.     16,011    
  49     Merit Medical Systems, Inc.*     712    
  189     Metabolix, Inc.*     4,067    
  1,042     MGI Pharma, Inc.*     36,064    
  196     Micrus Endovascular Corp.*     3,589    
  615     Minrad International, Inc.*     1,667    
  60     Molecular Insight
Pharmaceuticals, Inc.*		     527    
  136     Momenta Pharmaceuticals, Inc.*     726    
  111     MWI Veterinary Supply, Inc.*     4,671    
  562     Myriad Genetics, Inc.*     27,088    
  336     Nabi Biopharmaceuticals*     1,109    
  333     Nastech Pharmaceutical Co., Inc.*     1,265    
  58     National Healthcare Corp.     2,848    
  282     Natus Medical, Inc.*     4,757    
  1,198     Nektar Therapeutics*     7,991    
  262     Neurocrine Biosciences, Inc.*     3,411    
  413     Neurogen Corp.*     1,363    
  275     Nighthawk Radiology Holdings, Inc.*     5,814    
  255     Northstar Neuroscience, Inc.*     2,354    
  93     Novacea, Inc.*     265    
  324     Noven Pharmaceuticals, Inc.*     5,129    
  451     NuVasive, Inc.*     19,199    
  264     NxStage Medical, Inc.*     3,395    
  70     Obagi Medical Products, Inc.*     1,288    
  32     Odyssey HealthCare, Inc.*     320    
  439     Omnicell, Inc.*     11,576    
  179     Omrix Biopharmaceuticals, Inc.*     5,977    
  715     Onyx Pharmaceuticals, Inc.*     38,996    
  603     OraSure Technologies, Inc.*     5,716    
  82     Orexigen Therapeutics, Inc.*     1,080    
  127     Orthofix International N.V.*     7,418    
  753     OSI Pharmaceuticals, Inc.*     35,112    
  178     Osiris Therapeutics, Inc.*     1,988    
  94     Owens & Minor, Inc.     3,691    
  470     Pain Therapeutics, Inc.*     4,930    
  240     Palomar Medical Technologies, Inc.*     4,210    
  396     Par Pharmaceutical Cos., Inc.*     7,619    
  364     Parexel International Corp.*     16,107    
  304     Penwest Pharmaceuticals Co.*     1,851    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  528     Perrigo Co.   $ 16,315    
  118     PharmaNet Development Group, Inc.*     4,661    
  95     PharMerica Corp.*     1,399    
  340     Pharmion Corp.*     21,706    
  537     Phase Forward, Inc.*     13,103    
  304     Poniard Pharmaceuticals, Inc.*     1,368    
  333     Pozen, Inc.*     3,473    
  172     PRA International*     5,212    
  334     Progenics Pharmaceuticals, Inc.*     6,480    
  30     Protalix BioTherapeutics, Inc.*     110    
  115     Providence Service Corp. (The)*     3,218    
  878     PSS World Medical, Inc.*     16,840    
  709     Psychiatric Solutions, Inc.*     25,900    
  375     Quidel Corp.*     7,088    
  170     Radiation Therapy Services, Inc.*     5,302    
  389     Regeneration Technologies, Inc.*     3,454    
  832     Regeneron Pharmaceuticals, Inc.*     18,121    
  342     Rigel Pharmaceuticals, Inc.*     2,449    
  548     Salix Pharmaceuticals Ltd.*     6,225    
  663     Santarus, Inc.*     1,684    
  694     Savient Pharmaceuticals, Inc.*     9,758    
  389     Sciele Pharma, Inc.*     8,682    
  637     Seattle Genetics, Inc.*     7,001    
  396     Senomyx, Inc.*     2,772    
  219     Sirona Dental Systems, Inc.*     5,926    
  72     Sirtris Pharmaceuticals, Inc.*     1,158    
  157     Skilled Healthcare Group, Inc.*     2,379    
  133     Somaxon Pharmaceuticals, Inc.*     773    
  345     Sonic Innovations, Inc.*     2,874    
  217     SonoSite, Inc.*     7,209    
  407     Spectranetics Corp.*     6,174    
  342     Stereotaxis, Inc.*     4,614    
  392     STERIS Corp.     10,960    
  48     Sucampo Pharmaceuticals, Inc.,
Class A*		     636    
  561     Sun Healthcare Group, Inc.*     9,307    
  498     Sunrise Senior Living, Inc.*     15,632    
  697     SuperGen, Inc.*     2,948    
  198     SurModics, Inc.*     10,225    
  42     Symmetry Medical, Inc.*     707    
  65     Synta Pharmaceuticals Corp.*     484    
  637     Telik, Inc.*     2,134    
  431     Tercica, Inc.*     2,862    
  695     Thoratec Corp.*     13,615    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  135     TomoTherapy, Inc.*   $ 2,511    
  591     Trizetto Group*     9,119    
  113     Trubion Pharmaceuticals, Inc.*     1,129    
  272     United Therapeutics Corp.*     27,222    
  148     Universal American Financial Corp.*     3,528    
  1,241     Valeant Pharmaceuticals International*     14,334    
  347     Vanda Pharmaceuticals, Inc.*     3,120    
  233     Varian, Inc.*     16,322    
  351     Ventana Medical Systems, Inc.*     31,176    
  807     Viropharma, Inc.*     7,215    
  201     Visicu, Inc.*     1,684    
  211     Vital Images, Inc.*     3,806    
  129     Vital Signs, Inc.     6,825    
  762     Vivus, Inc.*     4,313    
  377     Volcano Corp.*     5,508    
  431     West Pharmaceutical Services, Inc.     16,193    
  438     Wright Medical Group, Inc.*     11,817    
  282     XenoPort, Inc.*     14,830    
  1,478     XOMA Ltd.*     5,321    
  200     Zoll Medical Corp.*     4,656    
  508     Zymogenetics, Inc.*     7,457    
      1,895,983    
    Industrials — 14.9%  
  230     3D Systems Corp.*     4,041    
  181     AAON, Inc.     3,444    
  455     AAR Corp.*     15,024    
  42     ABM Industries, Inc.     857    
  185     ACCO Brands Corp.*     3,091    
  627     Actuant Corp., Class A     19,857    
  404     Acuity Brands, Inc.     15,954    
  306     Administaff, Inc.     10,000    
  236     Advisory Board Co. (The)*     15,342    
  434     Aecom Technology Corp.*     11,540    
  91     Aerovironment, Inc.*     2,192    
  1,195     Airtran Holdings, Inc.*     10,146    
  69     Allegiant Travel Co.*     2,443    
  150     Altra Holdings, Inc.*     2,404    
  655     American Commercial Lines, Inc.*     11,390    
  197     American Ecology Corp.     4,381    
  128     American Railcar Industries, Inc.     1,969    
  389     American Reprographics Co.*     6,022    
  120     American Science & Engineering, Inc.     6,942    
  530     American Superconductor Corp.*     12,794    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  10     Ameron International Corp.   $ 1,058    
  8     Ampco-Pittsburgh Corp.     282    
  8     Amrep Corp.     264    
  376     Apogee Enterprises, Inc.     8,355    
  97     Applied Industrial Technologies, Inc.     2,930    
  66     Argon ST, Inc.*     1,203    
  442     Arrowhead Research Corp.*     1,803    
  246     Astec Industries, Inc.*     9,240    
  158     ASV, Inc.*     1,842    
  152     AZZ, Inc.*     4,071    
  157     Badger Meter, Inc.     6,123    
  598     Baldor Electric Co.     20,182    
  547     Barnes Group, Inc.     16,935    
  65     Barrett Business Services, Inc.     1,065    
  526     Beacon Roofing Supply, Inc.*     4,844    
  589     Belden, Inc.     27,123    
  488     Bucyrus International, Inc.     42,802    
  15     Builders FirstSource, Inc.*     104    
  29     Cascade Corp.     1,750    
  174     CBIZ, Inc.*     1,608    
  36     CDI Corp.     960    
  307     Celadon Group, Inc.*     2,395    
  701     Cenveo, Inc.*     14,413    
  252     Ceradyne, Inc.*     12,459    
  115     Chart Industries, Inc.*     3,197    
  333     Clarcor, Inc.     11,858    
  217     Clean Harbors, Inc.*     11,662    
  110     Coleman Cable, Inc.*     1,143    
  137     Columbus McKinnon Corp.*     4,263    
  58     Comfort Systems USA, Inc.     682    
  229     COMSYS IT Partners, Inc.*     3,057    
  103     Consolidated Graphics, Inc.*     5,328    
  251     CoStar Group, Inc.*     12,096    
  99     Courier Corp.     3,254    
  127     CRA International, Inc.*     5,875    
  130     Cubic Corp.     5,132    
  273     Curtiss-Wright Corp.     14,726    
  369     Diamond Management & Technology
Consultants, Inc.		     2,742    
  139     Dynamex, Inc.*     3,818    
  158     Dynamic Materials Corp.     10,028    
  43     DynCorp International, Inc., Class A*     899    
  164     Eagle Bulk Shipping, Inc.     4,690    
  16     EDO Corp.     893    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  517     Energy Conversion Devices, Inc.*   $ 13,375    
  339     ESCO Technologies, Inc.*     12,536    
  76     Esterline Technologies Corp.*     3,969    
  1,117     Evergreen Solar, Inc.*     14,711    
  143     Exponent, Inc.*     3,983    
  59     ExpressJet Holdings, Inc.*     148    
  62     First Advantage Corp., Class A*     1,128    
  487     Flow International Corp.*     3,847    
  889     Force Protection, Inc.*     9,610    
  306     Forward Air Corp.     9,905    
  252     Franklin Electric Co., Inc.     9,818    
  10     FreightCar America, Inc.     340    
  619     FTI Consulting, Inc.*     35,283    
  226     Fuel Tech, Inc.*     5,517    
  866     FuelCell Energy, Inc.*     7,855    
  15     Genco Shipping & Trading Ltd.     949    
  733     GenCorp, Inc.*     8,869    
  216     Genesee & Wyoming, Inc.*     5,659    
  372     Genlyte Group, Inc.*     35,061    
  659     Geo Group, Inc. (The)*     16,778    
  161     GeoEye, Inc.*     5,107    
  401     Goodman Global, Inc.*     9,484    
  150     Gorman-Rupp Co. (The)     5,917    
  271     Granite Construction, Inc.     11,116    
  133     Great Lakes Dredge & Dock Corp.     1,185    
  232     H&E Equipment Services, Inc.*     4,007    
  543     Healthcare Services Group     11,892    
  250     Heartland Express, Inc.     3,632    
  334     Heico Corp.     16,453    
  221     Heidrick & Struggles International, Inc.     8,016    
  830     Herman Miller, Inc.     22,783    
  1,232     Hexcel Corp.*     31,379    
  439     Horizon Lines, Inc., Class A     8,740    
  205     Houston Wire & Cable Co.     3,036    
  507     HUB Group, Inc., Class A*     13,223    
  330     Hudson Highland Group, Inc.*     2,940    
  73     Hurco Cos., Inc.*     3,013    
  244     Huron Consulting Group, Inc.*     17,878    
  63     ICT Group, Inc.*     698    
  411     IHS, Inc., Class A*     28,828    
  310     II-VI, Inc.*     10,397    
  304     Innerworkings, Inc.*     4,818    
  165     Innovative Solutions & Support, Inc.*     2,348    
  111     Insteel Industries, Inc.     1,262    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  86     Integrated Electrical Services, Inc.*   $ 1,614    
  715     Interface, Inc., Class A     12,470    
  145     Interline Brands, Inc.*     3,470    
  417     Ionatron, Inc.*     1,443    
  322     JetBlue Airways Corp.*     2,254    
  10     Kadant, Inc.*     295    
  107     Kaman Corp.     3,413    
  304     Kaydon Corp.     15,385    
  66     Kelly Services, Inc., Class A     1,257    
  330     Kenexa Corp.*     6,392    
  333     Kforce, Inc.*     3,613    
  747     Knight Transportation, Inc.     11,354    
  649     Knoll, Inc.     11,345    
  509     Korn/Ferry International*     8,770    
  126     L.B. Foster Co., Class A*     5,772    
  574     Labor Ready, Inc.*     8,639    
  73     Ladish Co., Inc.*     3,224    
  218     Layne Christensen Co.*     12,415    
  146     LECG Corp.*     2,316    
  59     Lindsay Corp.     3,122    
  158     M&F Worldwide Corp.*     8,116    
  329     McGrath Rentcorp     8,748    
  299     Medis Technologies Ltd.*     3,818    
  94     Michael Baker Corp.*     3,283    
  179     Middleby Corp.*     13,584    
  321     Midwest Air Group, Inc.*     5,001    
  34     Miller Industries, Inc.*     443    
  138     Mine Safety Appliances Co.     6,763    
  374     Mobile Mini, Inc.*     7,188    
  124     Moog, Inc., Class A*     5,590    
  32     MTC Technologies, Inc.*     523    
  95     Multi-Color Corp.     2,270    
  432     Navigant Consulting, Inc.*     5,607    
  38     NCI Building Systems, Inc.*     1,305    
  334     Nordson Corp.     17,635    
  155     Nuco2, Inc.*     4,275    
  537     Odyssey Marine Exploration, Inc.*     3,023    
  362     Old Dominion Freight Line, Inc.*     8,156    
  98     On Assignment, Inc.*     626    
  656     Orbital Sciences Corp.*     15,783    
  142     Pacer International, Inc.     1,954    
  158     PeopleSupport, Inc.*     2,220    
  268     Perini Corp.*     14,255    
  40     PGT, Inc.*     221    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  178     Pike Electric Corp.*   $ 2,830    
  241     Pinnacle Airlines Corp.*     3,919    
  75     Polypore International, Inc.*     1,306    
  70     Powell Industries, Inc.*     2,859    
  70     Protection One, Inc.*     817    
  209     Raven Industries, Inc.     7,259    
  277     RBC Bearings, Inc.*     10,188    
  640     Resources Connection, Inc.     13,197    
  370     Rollins, Inc.     10,893    
  149     RSC Holdings, Inc.*     1,830    
  20     Saia, Inc.*     261    
  21     Schawk, Inc.     302    
  54     School Specialty, Inc.*     1,927    
  227     Simpson Manufacturing Co., Inc.     6,040    
  368     Spherion Corp.*     2,863    
  37     Standard Parking Corp.*     1,716    
  52     Standard Register Co. (The)     628    
  104     Stanley, Inc.*     3,567    
  146     Sun Hydraulics Corp.     4,241    
  24     TAL International Group, Inc.     544    
  811     Taser International, Inc.*     11,362    
  207     Team, Inc.*     6,185    
  386     Teledyne Technologies, Inc.*     20,929    
  546     TeleTech Holdings, Inc.*     11,308    
  114     Tennant Co.     4,997    
  453     Tetra Tech, Inc.*     9,386    
  315     Titan International, Inc.     8,650    
  123     TransDigm Group, Inc.*     5,865    
  19     Trex Co., Inc.*     131    
  47     Triumph Group, Inc.     3,819    
  257     TurboChef Technologies, Inc.*     3,822    
  60     Twin Disc, Inc.     3,728    
  389     UAP Holding Corp.     11,635    
  69     Ultrapetrol Bahamas Ltd.*     1,199    
  207     United Stationers, Inc.*     10,487    
  35     Universal Truckload Services, Inc.*     611    
  243     Valmont Industries, Inc.     19,073    
  254     Vicor Corp.     3,668    
  636     Wabtec Corp.     21,586    
  680     Walter Industries, Inc.     23,589    
  642     Waste Connections, Inc.*     20,435    
  66     Waste Industries USA, Inc.     2,231    
  278     Watsco, Inc.     10,077    
  135     Watson Wyatt Worldwide, Inc., Class A     6,217    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  392     Woodward Governor Co.   $ 26,868    
  121     Xerium Technologies, Inc.     720    
      1,461,195    
    Information Technology — 21.1%  
  391     Acacia Research - Acacia Technologies*     3,605    
  485     ACI Worldwide, Inc.*     11,073    
  289     Acme Packet, Inc.*     3,555    
  791     Actuate Corp.*     5,988    
  398     Adtran, Inc.     8,633    
  498     Advanced Analogic Technologies, Inc.*     5,363    
  468     Advanced Energy Industries, Inc.*     6,791    
  227     Advent Software, Inc.*     11,522    
  62     Airvana, Inc.*     392    
  873     AMIS Holdings, Inc.*     6,696    
  1,367     Amkor Technology, Inc.*     11,264    
  769     Anadigics, Inc.*     8,467    
  11     Anaren, Inc.*     169    
  335     Anixter International, Inc.*     21,607    
  222     Ansoft Corp.*     6,440    
  1,013     Ansys, Inc.*     39,365    
  1,413     Applied Micro Circuits Corp.*     3,547    
  1,326     Arris Group, Inc.*     13,830    
  1,671     Art Technology Group, Inc.*     6,985    
  66     Aruba Networks, Inc.*     920    
  1,151     Aspen Technology, Inc.*     19,521    
  578     Asyst Technologies, Inc.*     1,988    
  722     Atheros Communications, Inc.*     21,292    
  390     ATMI, Inc.*     11,735    
  67     AuthenTec, Inc.*     1,146    
  2,541     Avanex Corp.*     3,811    
  147     Bankrate, Inc.*     5,754    
  184     Benchmark Electronics, Inc.*     3,303    
  161     BigBand Networks, Inc.*     964    
  483     Blackbaud, Inc.     13,746    
  373     Blackboard, Inc.*     14,547    
  53     BladeLogic, Inc.*     1,296    
  364     Blue Coat Systems, Inc.*     13,180    
  595     Brightpoint, Inc.*     9,883    
  88     Brooks Automation, Inc.*     1,182    
  648     C-COR, Inc.*     7,957    
  251     Cabot Microelectronics Corp.*     9,387    
  33     CACI International, Inc., Class A*     1,498    
  91     Cass Information Systems, Inc.     3,404    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  58     Cavium Networks, Inc.*   $ 1,488    
  428     Chordiant Software, Inc.*     4,293    
  645     Cirrus Logic, Inc.*     3,676    
  1,976     CNET Networks, Inc.*     14,978    
  569     Cogent, Inc.*     6,316    
  457     Cognex Corp.     9,263    
  135     Coherent, Inc.*     3,884    
  136     Cohu, Inc.     2,128    
  464     Commvault Systems, Inc.*     10,333    
  55     comScore, Inc.*     1,785    
  257     Comtech Group, Inc.*     4,559    
  302     Comtech Telecommunications Corp.*     14,997    
  54     Comverge, Inc.*     1,700    
  559     Concur Technologies, Inc.*     20,996    
  1,698     Conexant Systems, Inc.*     1,885    
  94     CPI International, Inc.*     1,578    
  225     Cray, Inc.*     1,312    
  204     CSG Systems International, Inc.*     3,380    
  837     Cybersource Corp.*     12,229    
  321     Cymer, Inc.*     13,183    
  415     Daktronics, Inc.     9,682    
  50     Data Domain, Inc.*     1,289    
  467     DealerTrack Holdings, Inc.*     19,866    
  140     Dice Holdings, Inc.*     1,383    
  48     Digi International, Inc.*     738    
  540     Digital River, Inc.*     20,882    
  389     Diodes, Inc.*     11,444    
  129     Ditech Networks, Inc.*     417    
  303     DivX, Inc.*     5,130    
  110     Double-Take Software, Inc.*     2,728    
  22     DSP Group, Inc.*     298    
  238     DTS, Inc.*     5,890    
  256     Dycom Industries, Inc.*     7,204    
  149     Eagle Test Systems, Inc.*     1,632    
  391     Echelon Corp.*     6,565    
  101     EMS Technologies, Inc.*     2,940    
  662     Emulex Corp.*     11,088    
  43     EnerNOC, Inc.*     1,968    
  210     Entegris, Inc.*     1,819    
  759     Epicor Software Corp.*     8,212    
  339     EPIQ Systems, Inc.*     5,905    
  470     Equinix, Inc.*     48,932    
  599     Euronet Worldwide, Inc.*     19,623    
  268     Exar Corp.*     2,463    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  31     Excel Technology, Inc.*   $ 836    
  236     ExlService Holdings, Inc.*     5,657    
  87     Extreme Networks*     317    
  418     FalconStor Software, Inc.*     5,062    
  217     FARO Technologies, Inc.*     5,863    
  512     FEI Co.*     12,754    
  3,500     Finisar Corp.*     5,950    
  866     Flir Systems, Inc.*     59,520    
  624     Formfactor, Inc.*     23,675    
  187     Forrester Research, Inc.*     4,896    
  1,656     Foundry Networks, Inc.*     29,195    
  901     Gartner, Inc.*     17,020    
  115     Genesis Microchip, Inc.*     580    
  124     Gevity HR, Inc.     527    
  546     Global Cash Access Holdings, Inc.*     1,900    
  97     Glu Mobile, Inc.*     530    
  284     Greenfield Online, Inc.*     4,271    
  43     Guidance Software, Inc.*     529    
  1,037     Harmonic, Inc.*     10,754    
  330     Harris Stratex Networks, Inc., Class A*     5,683    
  213     Heartland Payment Systems, Inc.     6,876    
  214     Hittite Microwave Corp.*     9,243    
  95     HSW International, Inc.*     503    
  84     Hughes Communications, Inc.*     4,465    
  400     Hypercom Corp.*     2,140    
  433     iBasis, Inc.     2,291    
  285     iGate Corp.*     2,411    
  161     Imergent, Inc.     1,990    
  134     Infinera Corp.*     2,923    
  1,143     Informatica Corp.*     19,602    
  222     Infospace, Inc.     3,954    
  144     infoUSA, Inc.     1,243    
  88     Integral Systems, Inc.     2,194    
  170     Interactive Intelligence, Inc.*     4,434    
  613     InterDigital, Inc.*     11,034    
  792     Intermec, Inc.*     17,004    
  639     Internap Network Services Corp.*     6,358    
  507     InterVoice, Inc.*     4,958    
  464     Interwoven, Inc.*     5,698    
  280     Intevac, Inc.*     4,396    
  349     Ipass, Inc.*     1,525    
  131     IPG Photonics Corp.*     2,666    
  111     Isilon Systems, Inc.*     627    
  392     Itron, Inc.*     30,400    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  399     Ixia*   $ 4,122    
  198     IXYS Corp.*     1,531    
  645     j2 Global Communications, Inc.*     15,686    
  1,029     Jack Henry & Associates, Inc.     27,536    
  103     JDA Software Group, Inc.*     2,157    
  361     Knot, Inc. (The)*     4,765    
  642     Kulicke & Soffa Industries, Inc.*     4,545    
  413     L-1 Identity Solutions, Inc.*     7,673    
  169     Limelight Networks, Inc.*     1,344    
  673     Lionbridge Technologies*     2,046    
  139     Liquidity Services, Inc.*     1,660    
  90     Littelfuse, Inc.*     3,001    
  528     LivePerson, Inc.*     2,640    
  245     LoJack Corp.*     4,290    
  354     LoopNet, Inc.*     5,437    
  812     LTX Corp.*     1,949    
  693     Macrovision Corp.*     17,270    
  531     Magma Design Automation, Inc.*     7,094    
  274     Manhattan Associates, Inc.*     7,434    
  44     Mantech International Corp., Class A*     1,702    
  285     Marchex, Inc., Class B     3,508    
  463     MasTec, Inc.*     4,681    
  588     Mattson Technology, Inc.*     4,845    
  24     MAXIMUS, Inc.     936    
  74     Measurement Specialties, Inc.*     1,821    
  714     Mentor Graphics Corp.*     7,775    
  147     Mercadolibre, Inc.*     6,234    
  726     Micrel, Inc.     6,476    
  529     Micros Systems, Inc.*     38,162    
  996     Microsemi Corp.*     22,788    
  107     MicroStrategy, Inc.*     10,791    
  700     Microtune, Inc.*     3,640    
  302     Midway Games, Inc.*     734    
  567     MIPS Technologies, Inc.*     3,221    
  36     MKS Instruments, Inc.*     654    
  310     Monolithic Power Systems, Inc.*     5,915    
  101     Monotype Imaging Holdings, Inc.*     1,615    
  1,363     Move, Inc.*     3,203    
  131     MPS Group, Inc.*     1,454    
  142     MTS Systems Corp.     5,821    
  50     Multi-Fineline Electronix, Inc.*     913    
  162     Ness Technologies, Inc.*     1,524    
  546     Net 1 UEPS Technologies, Inc.*     16,904    
  93     Netezza Corp.*     1,232    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  452     Netgear, Inc.*   $ 15,318    
  215     Netlogic Microsystems, Inc.*     6,289    
  344     Network Equipment Technologies, Inc.*     4,279    
  512     NIC, Inc.     3,994    
  421     Novatel Wireless, Inc.*     6,542    
  1,721     Nuance Communications, Inc.*     34,730    
  448     Omniture, Inc.*     12,728    
  192     Omnivision Technologies, Inc.*     3,575    
  3,171     ON Semiconductor Corp.*     29,141    
  2,087     On2 Technologies, Inc.*     1,565    
  377     Online Resources Corp.*     3,544    
  766     OpenTV Corp., Class A*     912    
  125     Oplink Communications, Inc.*     2,019    
  244     OpNext, Inc.*     1,976    
  54     Optium Corp.*     454    
  343     Orbcomm, Inc.*     2,672    
  92     OSI Systems, Inc.*     2,281    
  393     Packeteer, Inc.*     2,657    
  686     Parametric Technology Corp.*     11,456    
  26     PC Connection, Inc.*     333    
  153     PDF Solutions, Inc.*     1,213    
  18     Pegasystems, Inc.     223    
  383     Perficient, Inc.*     6,423    
  103     Pericom Semiconductor Corp.*     1,707    
  366     Plexus Corp.*     10,892    
  375     PLX Technology, Inc.*     3,690    
  2,593     PMC - Sierra, Inc.*     18,203    
  1,198     Polycom, Inc.*     29,075    
  536     Progress Software Corp.*     16,954    
  72     PROS Holdings, Inc.*     1,238    
  129     QAD, Inc.     1,098    
  222     Quality Systems, Inc.     6,569    
  784     Quest Software, Inc.*     12,677    
  37     Rackable Systems, Inc.*     394    
  343     Radiant Systems, Inc.*     5,478    
  56     Radisys Corp.*     870    
  111     Renaissance Learning, Inc.     1,445    
  2,111     RF Micro Devices, Inc.*     12,204    
  236     RightNow Technologies, Inc.*     4,283    
  108     Rimage Corp.*     2,692    
  182     Rofin-Sinar Technologies, Inc.*     16,569    
  195     Rudolph Technologies, Inc.*     2,330    
  1,065     Sapient Corp.*     7,711    
  251     SAVVIS, Inc.*     8,042    

 

See accompanying notes to the financial statements.


Shares  
  Value  
    Common Stocks (a) (continued)  
  302     Scansource, Inc.*   $ 10,655    
  160     Seachange International, Inc.*     1,206    
  44     Secure Computing Corp.*     399    
  53     Semitool, Inc.*     490    
  665     Semtech Corp.*     10,148    
  71     ShoreTel, Inc.*     1,102    
  367     Sigma Designs, Inc.*     23,862    
  5     Silicon Graphics, Inc.*     85    
  1,040     Silicon Image, Inc.*     4,888    
  784     SiRF Technology Holdings, Inc.*     18,887    
  282     Skyworks Solutions, Inc.*     2,561    
  655     Smart Modular Technologies
WWH, Inc.*		     5,502    
  387     Smith Micro Software, Inc.*     3,100    
  359     Sohu.com, Inc.*     20,599    
  240     Solera Holdings, Inc.*     5,522    
  77     Sonic Solutions, Inc.*     765    
  218     SonicWALL, Inc.*     2,206    
  3,492     Sonus Networks, Inc.*     22,977    
  87     Sourcefire, Inc.*     706    
  883     SourceForge, Inc.*     2,040    
  240     SPSS, Inc.*     8,674    
  309     SRA International, Inc., Class A*     8,448    
  102     Standard Microsystems Corp.*     3,598    
  102     Starent Networks Corp.*     2,132    
  138     STEC, Inc.*     1,286    
  269     Stratasys, Inc.*     6,722    
  121     Super Micro Computer, Inc.*     999    
  149     Supertex, Inc.*     5,059    
  167     Switch & Data Facilities Co., Inc.*     3,171    
  125     Sybase, Inc.*     3,205    
  920     Sycamore Networks, Inc.*     3,542    
  430     SYKES Enterprises, Inc.*     7,938    
  305     Symmetricom, Inc.*     1,315    
  335     Synaptics, Inc.*     18,606    
  241     Synchronoss Technologies, Inc.*     7,934    
  164     Syntel, Inc.     5,909    
  840     Take-Two Interactive Software, Inc.*     12,583    
  216     Taleo Corp., Class A*     6,098    
  198     Technitrol, Inc.     5,300    
  70     TechTarget, Inc.*     956    
  195     Techwell, Inc.*     2,381    
  662     Terremark Worldwide, Inc.*     3,714    
  626     Tessera Technologies, Inc.*     24,176    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  285     TheStreet.com, Inc.   $ 3,505    
  874     THQ, Inc.*     21,369    
  92     Travelzoo, Inc.*     1,405    
  746     Trident Microsystems, Inc.*     4,685    
  66     TTM Technologies, Inc.*     798    
  509     Tyler Technologies, Inc.*     7,665    
  322     Ultimate Software Group, Inc.*     10,520    
  29     Ultra Clean Holdings*     417    
  159     Ultratech, Inc.*     1,905    
  128     Unica Corp.*     1,152    
  243     United Online, Inc.     3,655    
  224     Universal Display Corp.*     3,709    
  637     Utstarcom, Inc.*     1,847    
  1,304     Valueclick, Inc.*     30,827    
  342     Vasco Data Security International, Inc.*     7,674    
  55     Veeco Instruments, Inc.*     923    
  118     Veraz Networks, Inc.*     559    
  317     Viasat, Inc.*     10,572    
  188     Vignette Corp.*     2,891    
  40     Virtusa Corp.*     707    
  564     VistaPrint Ltd.*     25,042    
  267     Visual Sciences, Inc.*     4,224    
  169     Vocus, Inc.*     5,307    
  278     Volterra Semiconductor Corp.*     3,442    
  588     Websense, Inc.*     9,608    
  975     Wind River Systems, Inc.*     9,955    
  478     Wright Express Corp.*     18,140    
  99     X-Rite, Inc.*     1,231    
  211     Zoran Corp.*     4,604    
      2,075,279    
    Materials — 3.5%  
  73     AEP Industries, Inc.*     2,497    
  65     AM Castle & Co.     1,632    
  102     AMCOL International Corp.     3,874    
  238     American Vanguard Corp.     3,891    
  766     Apex Silver Mines Ltd.*     13,060    
  71     Aptargroup, Inc.     2,997    
  233     Balchem Corp.     4,982    
  265     Brush Engineered Materials, Inc.*     11,853    
  209     Century Aluminum Co.*     11,984    
  72     CF Industries Holdings, Inc.     6,551    
  1,885     Coeur d'Alene Mines Corp.*     7,860    
  137     Deltic Timber Corp.     6,597    

 

See accompanying notes to the financial statements.


Schedule of Portfolio Investments November 30, 2007 (Unaudited)

Ultra Russell2000 Growth (continued)

Shares  
  Value  
    Common Stocks (a) (continued)  
  11     Esmark, Inc.*   $ 213    
  237     Flotek Industries, Inc.*     8,736    
  634     General Moly, Inc.*     6,758    
  113     GenTek, Inc.*     3,390    
  898     Graphic Packaging Corp.*     3,682    
  434     Greif, Inc., Class A     25,636    
  152     Haynes International, Inc.*     12,846    
  1,571     Hecla Mining Co.*     18,428    
  720     Hercules, Inc.     13,975    
  38     Horsehead Holding Corp.*     632    
  133     Innophos Holdings, Inc.     1,903    
  197     Kaiser Aluminum Corp.     14,015    
  125     Koppers Holdings, Inc.     4,805    
  31     Kronos Worldwide, Inc.     515    
  284     Landec Corp.*     3,732    
  203     LSB Industries, Inc.*     4,604    
  26     Metal Management, Inc.     1,197    
  366     Myers Industries, Inc.     7,305    
  133     Neenah Paper, Inc.     4,014    
  39     NewMarket Corp.     2,093    
  122     Royal Gold, Inc.     3,504    
  301     RTI International Metals, Inc.*     22,105    
  374     ShengdaTech, Inc.*     3,059    
  175     Silgan Holdings, Inc.     9,385    
  33     Stillwater Mining Co.*     320    
  236     Symyx Technologies*     1,808    
  1,213     Terra Industries, Inc.*     45,827    
  146     Texas Industries, Inc.     10,130    
  170     U.S. Concrete, Inc.*     639    
  673     U.S. Gold Corp.*     2,308    
  47     Universal Stainless & Alloy*     1,450    
  88     Valhi, Inc.     1,612    
  349     W.R. Grace & Co.*     9,427    
  202     Zep, Inc.*     2,652    
  326     Zoltek Cos., Inc.*     13,894    
      344,377    
    Telecommunication Services — 1.2%  
  270     Cbeyond, Inc.*     11,170    
  312     Centennial Communications Corp.*     2,777    
  653     Cogent Communications Group, Inc.*     13,569    
  146     Consolidated Communications
Holdings, Inc.		     2,348    

 

Shares  
  Value  
    Common Stocks (a) (continued)  
  55     Fairpoint Communications, Inc.   $ 821    
  92     General Communication, Inc., Class A*     815    
  197     Global Crossing Ltd.*     3,611    
  253     Globalstar, Inc.*     2,295    
  87     Golden Telecom, Inc.*     8,827    
  19     Hungarian Telephone & Cable Corp.*     332    
  570     ICO Global Communications
Holdings Ltd.*		     2,246    
  164     iPCS, Inc.     5,674    
  170     North Pittsburgh Systems, Inc.     4,015    
  363     NTELOS Holdings Corp.     9,630    
  413     PAETEC Holding Corp.*     4,419    
  95     Premiere Global Services, Inc.*     1,309    
  68     Rural Cellular Corp., Class A*     2,996    
  26     Shenandoah Telecom Co.     642    
  1,749     Time Warner Telecom, Inc., Class A*     39,230    
  400     Vonage Holdings Corp.*     844    
      117,570    
    Utilities — 0.5%  
  155     Cadiz, Inc.*     3,079    
  188     Consolidated Water Co., Inc.     5,730    
  26     EnergySouth, Inc.     1,437    
  555     ITC Holdings Corp.     28,327    
  179     Ormat Technologies, Inc.     9,040    
  11     SJW Corp.     368    
      47,981    
        Total Common Stock
Cost ($8,990,781)		     8,919,315    
Principal
Amount		  
 
 
    Repurchase Agreements — 16.8%  
$ 329,842     Credit Suisse First Boston Corp.,
4.64%, dated 11/30/07,
due 12/03/07, total to be
received $329,970 **		     329,842    
  379,389     Credit Suisse First Boston Corp.,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $379,533 ***		     379,389    
  65,969     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $65,994 ****		     65,969    

 

See accompanying notes to the financial statements.


Principal
Amount		  
  Value  
    Repurchase Agreements (continued)  
$ 879,580     UBS Warburg LLC,
4.55%, dated 11/30/07,
due 12/03/07, total to be
received $879,914 *****.		   $ 879,580    
    Total Repurchase Agreements
(Cost $1,654,780)		     1,654,780    
    Total Investments
(Cost $10,645,561) — 107.5%		     10,574,095    
    Liabilities in excess of
other assets — (7.5%)		     (734,892 )  
    Net Assets — 100.0%   $ 9,839,203    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.

*  Non-income producing security.

**  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $336,441. The investment in the repurchase agreement was through participation in a pooled account.

***  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to

6.25%, due 4/10/08 to 8/15/17, which had a total value of $386,978. The investment in the repurchase agreement was through participation in a pooled account.

****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $67,288. The investment in the repurchase agreement was through participation in a pooled account.

*****  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $897,171. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,091,592    
Aggregate gross unrealized depreciation     (1,208,702 )  
Net unrealized depreciation   $ (117,110 )  
Federal income tax cost of investments   $ 10,691,205    

 

Swap Agreements

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2007:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07   $ 3,306,402     $ (239,238 )  
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07     8,000,000       (401,183 )  
        $ (640,421 )  

 

See accompanying notes to the financial statements.



 

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. Purchase of Equity Securities by Closed-End Management Investment Company nnd Affiliated Purchasers.

 

Not Applicable.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

The Registrant did not have in place procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

 

Item 11. Controls and Procedures.

 

(a)          The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b)         There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s first fiscal half year covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

 

(a)(1)

 

Not Applicable – See Item 2 above.

 

 

 

(a)(2)

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 to be filed with Form N-CSR are attached hereto.

 

 

 

(a)(3)

 

Not applicable.

 

 

 

(b)

 

Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is 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.

 

ProShares Trust

 

By:

 

 

/s/ Louis M. Mayberg

 

 

Louis M. Mayberg

 

President

 

February 4, 2008

 

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

 

By:

 

 

/s/ Louis M. Mayberg

 

 

Louis M. Mayberg

 

President

 

February 4, 2008

 

By:

 

 

/s/ Simon D. Collier

 

 

Simon D. Collier

 

Treasurer

 

February 4, 2008