N-CSRS 1 a09-35084_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, 2009

 

 


 

Item 1. Reports To Stockholders.

 

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

 


Semiannual Report

November 30, 2009

Ultra ProShares

Ultra MarketCap

QLD  Ultra QQQ®

DDM  Ultra Dow30SM

SSO  Ultra S&P500®

UWC  Ultra Russell3000

MVV  Ultra MidCap400

SAA  Ultra SmallCap600

UWM  Ultra Russell2000

UPRO  UltraPro S&P500®

Ultra Style

UVG  Ultra Russell1000 Value

UKF  Ultra Russell1000 Growth

UVU  Ultra Russell MidCap Value

UKW  Ultra Russell MidCap Growth

UVT  Ultra Russell2000 Value

UKK  Ultra Russell2000 Growth

Ultra Sector

UYM  Ultra Basic Materials

UGE  Ultra Consumer Goods

UCC  Ultra Consumer Services

UYG  Ultra Financials

RXL  Ultra Health Care

UXI  Ultra Industrials

DIG  Ultra Oil & Gas

URE  Ultra Real Estate

USD  Ultra Semiconductors

ROM  Ultra Technology

LTL  Ultra Telecommunications

UPW  Ultra Utilities

Ultra International

EFO  Ultra MSCI EAFE

EET  Ultra MSCI Emerging Markets

XPP  Ultra FTSE/Xinhua China 25

EZJ  Ultra MSCI Japan

Short ProShares

Short MarketCap

PSQ  Short QQQ®

DOG  Short Dow30SM

SH  Short S&P500®

MYY  Short MidCap400

SBB  Short SmallCap600

RWM  Short Russell2000

QID  UltraShort QQQ®

DXD  UltraShort Dow30SM

SDS  UltraShort S&P500®

TWQ  UltraShort Russell3000

MZZ  UltraShort MidCap400

SDD  UltraShort SmallCap600

TWM  UltraShort Russell2000

SPXU  UltraPro Short S&P500®

Short Style

SJF  UltraShort Russell1000 Value

SFK  UltraShort Russell1000 Growth

SJL  UltraShort Russell MidCap Value

SDK  UltraShort Russell MidCap Growth

SJH  UltraShort Russell2000 Value

SKK  UltraShort Russell2000 Growth

Short Sector

SEF  Short Financials

DDG  Short Oil & Gas

SMN  UltraShort Basic Materials

SZK  UltraShort Consumer Goods

SCC  UltraShort Consumer Services

SKF  UltraShort Financials

RXD  UltraShort Health Care

SIJ  UltraShort Industrials

DUG  UltraShort Oil & Gas

SRS  UltraShort Real Estate

SSG  UltraShort Semiconductors

REW  UltraShort Technology

TLL  UltraShort Telecommunications

SDP  UltraShort Utilities

Short International

EFZ  Short MSCI EAFE

EUM  Short MSCI Emerging Markets

EFU  UltraShort MSCI EAFE

EEV  UltraShort MSCI Emerging Markets

EPV  UltraShort MSCI Europe

JPX  UltraShort MSCI Pacific ex-Japan

BZQ  UltraShort MSCI Brazil

FXP  UltraShort FTSE/Xinhua China 25

EWV  UltraShort MSCI Japan

SMK  UltraShort MSCI Mexico
Investable Market

Short Fixed-Income

TBF  Short 20+ Year Treasury

PST  UltraShort 7-10 Year Treasury

TBT  UltraShort 20+ Year Treasury

Alpha ProShares

CSM  Credit Suisse 130/30

ProShares Trust  Distributor: SEI Investments Distribution Co.


Receive investor materials electronically:

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1.  Go to www.icsdelivery.com

2.  Select the first letter of your brokerage firm's name.

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Your information will be kept confidential and will not be used for any purpose other than electronic delivery. If you change your mind, you can cancel electronic delivery at any time and revert to physical delivery of your materials. Just go to www.icsdelivery.com, perform the first three steps above, and follow the instructions for cancelling electronic delivery. If you have any questions, please contact your brokerage firm.

2 :: proshares.com



Table of Contents

  I     Shareholder Letter  
  II     Allocation of Portfolio Holdings and
Index Composition		  
  XXXIV     Expense Examples  
        Schedule of Portfolio Investments  
  2     Ultra QQQ®  
  6     Ultra Dow30SM  
  9     Ultra S&P500®  
  13     Ultra Russell3000  
  17     Ultra MidCap400  
  21     Ultra SmallCap600  
  25     Ultra Russell2000  
  29     UltraPro S&P500®  
  33     Ultra Russell1000 Value  
  37     Ultra Russell1000 Growth  
  41     Ultra Russell MidCap Value  
  45     Ultra Russell MidCap Growth  
  49     Ultra Russell2000 Value  
  53     Ultra Russell2000 Growth  
  57     Ultra Basic Materials  
  60     Ultra Consumer Goods  
  64     Ultra Consumer Services  
  68     Ultra Financials  
  72     Ultra Health Care  
  76     Ultra Industrials  
  80     Ultra Oil & Gas  
  84     Ultra Real Estate  
  87     Ultra Semiconductors  
  90     Ultra Technology  
  95     Ultra Telecommunications  
  98     Ultra Utilities  
  101     Ultra MSCI EAFE  
  107     Ultra MSCI Emerging Markets  
  113     Ultra FTSE/Xinhua China 25  
  115     Ultra MSCI Japan  
  117     Short QQQ®  
  120     Short Dow30SM  
  123     Short S&P500®  
  126     Short MidCap400  
  129     Short SmallCap600  
  131     Short Russell2000  
  134     UltraShort QQQ®  
  137     UltraShort Dow30SM  
  140     UltraShort S&P500®  
  143     UltraShort Russell3000  
  145     UltraShort MidCap400  
  148     UltraShort SmallCap600  
  150     UltraShort Russell2000  
  153     UltraPro Short S&P500®  
  156     UltraShort Russell1000 Value  
  158     UltraShort Russell1000 Growth  
  160     UltraShort Russell MidCap Value  
  162     UltraShort Russell MidCap Growth  

 


  164     UltraShort Russell2000 Value  
  166     UltraShort Russell2000 Growth  
  168     Short Financials  
  170     Short Oil & Gas  
  172     UltraShort Basic Materials  
  174     UltraShort Consumer Goods  
  176     UltraShort Consumer Services  
  178     UltraShort Financials  
  180     UltraShort Health Care  
  182     UltraShort Industrials  
  184     UltraShort Oil & Gas  
  186     UltraShort Real Estate  
  188     UltraShort Semiconductors  
  190     UltraShort Technology  
  192     UltraShort Telecommunications  
  194     UltraShort Utilities  
  196     Short MSCI EAFE  
  198     Short MSCI Emerging Markets  
  200     UltraShort MSCI EAFE  
  202     UltraShort MSCI Emerging Markets  
  204     UltraShort MSCI Europe  
  206     UltraShort MSCI Pacific ex-Japan  
  208     UltraShort MSCI Brazil  
  210     UltraShort FTSE/Xinhua China 25  
  212     UltraShort MSCI Japan  
  214     UltraShort MSCI Mexico Investable Market  
  216     Short 20+ Year Treasury  
  219     UltraShort 7-10 Year Treasury  
  222     UltraShort 20+ Year Treasury  
  225     Credit Suisse 130/30  
  229     Statements of Assets and Liabilities  
  243     Statements of Operations  
  257     Statements of Changes in Net Assets  
  283     Financial Highlights  
  309     Notes to Financial Statements  
  333     Board Approval of Investment Advisory
Agreement		  
  335     Proxy Voting & Quarterly Portfolio
Holdings Information		  

 


Dear Shareholder,

I am pleased to present the ProShares Semiannual Report for the six months ended November 30, 2009.

Most major financial markets showed gains for the six-month period. Investor sentiment improved worldwide, as economic data signaled a potential upturn in the global economy. U.S. large-cap stocks, as measured by the S&P 500®, gained 20.50%; non-U.S. stocks, as represented by the MSCI All World ex-U.S. Index, advanced 20.46%. Prices of raw materials rose as well during the period, with the Dow Jones-UBS Commodity IndexSM rising 9.33%. Fixed-income markets participated in the rally, with the Barclays Capital U.S. Aggregate Bond Index gaining 6.21%.(1) There were signs of decreasing tension in the financial markets, with the volatility of the S&P 500 at 18.35% for the six-month period — significantly lower than the 39.53% for the previous six months, and below the 10-year average of 22.23%.(2)

New ProShares Funds in 2009

ProShares launched 13 new leveraged and inverse exchange traded funds (ETFs) in 2009: eight new Ultra and UltraShort International ProShares; Ultra and UltraShort Russell3000; UltraPro and UltraPro Short S&P 500 (which seek 3x and -3x the performance of the S&P 500 for a single day, respectively); and Short 20+ Year Treasury.

ProShares achieved an industry first in 2009 with the launch of ProShares Credit Suisse 130/30, the first 130/30 ETF. This fund marks the beginning of our new series of Alpha ProShares, which are ETFs designed to provide access to advanced investment strategies.

We manage ProShares with an eye toward minimizing capital gains distributions, so I am delighted to report that ProShares made no 2009 year-end capital gains distributions on any of our 78 equity and fixed-income ETFs.

Finally, ProShares continues to be committed to helping you better understand how leveraged and inverse funds work. To that end, we have added additional educational information about leveraged and inverse investing on www.proshares.com.

As always, we appreciate the trust and confidence you have placed with us by choosing ProShares and look forward to continuing to serve your investing needs.

Sincerely,

Michael Sapir

Chairman

(1)All investment performance index figures above reflect total return performance. Source: Bloomberg. (2)Annualized standard deviation. Source: Bloomberg.

proshares.com :: I



Allocation of Portfolio Holdings & Index Composition

II :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Ultra QQQ® (Ticker: QLD)

ProShares Ultra QQQ® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     71 %  
Swap Agreements     114 %  
Futures Contracts     15 %  
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Apple, Inc.     11.1 %  
QUALCOMM, Inc.     4.0 %  
Microsoft Corp.     4.0 %  
Google, Inc., Class A     3.8 %  
Cisco Systems, Inc.     2.1 %  

 

Nasdaq-100 Index – Composition

    % of Index  
Technology     42.8 %  
Communications     27.4 %  
Consumer, Non-cyclical     17.7 %  
Consumer, Cyclical     7.7 %  
Industrials     3.2 %  
Basic Materials     0.6 %  
Energy     0.6 %  

 

ProShares Ultra Dow30SM (Ticker: DDM)

ProShares Ultra Dow30SM seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones Industrial AverageSM (DJIA) Index. The DJIA Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     66 %  
Swap Agreements     122 %  
Futures Contracts     12 %  
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
International Business
Machines Corp.		     6.1 %  
Chevron Corp.     3.8 %  
3M Co.     3.7 %  
Exxon Mobil Corp.     3.6 %  
United Technologies Corp.     3.2 %  

 

Dow Jones Industrial Average
Index – Composition

    % of Index  
Industrials     19.8 %  
Consumer, Non-cyclical     19.2 %  
Technology     16.4 %  
Energy     11.2 %  
Financials     11.2 %  
Consumer, Cyclical     10.6 %  
Communications     8.2 %  
Basic Materials     3.4 %  

 

ProShares Ultra S&P500® (Ticker: SSO)

ProShares Ultra S&P500® seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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     67 %  
Swap Agreements     121 %  
Futures Contracts     12 %  
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     2.5 %  
Microsoft Corp.     1.6 %  
Procter & Gamble Co. (The)     1.3 %  
Apple, Inc.     1.2 %  
Johnson & Johnson     1.2 %  

 

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     23.2 %  
Financials     14.3 %  
Technology     12.9 %  
Energy     12.2 %  
Communications     11.5 %  
Industrials     10.5 %  
Consumer, Cyclical     8.4 %  
Basic Materials     3.5 %  
Utilities     3.5 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: III


ProShares Ultra Russell3000 (Ticker: UWC)

ProShares Ultra Russell3000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 3000® Index. The Russell 3000® Index offers investors access to the broad U.S. equity universe representing approximately 98% of the U.S. market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     81 %  
Swap Agreements     119 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     2.5 %  
Microsoft Corp.     1.6 %  
Procter & Gamble Co. (The)     1.3 %  
Apple, Inc.     1.2 %  
Johnson & Johnson     1.2 %  

 

Russell 3000 Index – Composition

    % of Index  
Consumer, Non-cyclical     22.9 %  
Financials     15.0 %  
Technology     12.3 %  
Energy     11.3 %  
Communications     11.0 %  
Industrials     11.0 %  
Consumer, Cyclical     9.1 %  
Basic Materials     3.7 %  
Utilities     3.7 %  

 

ProShares Ultra MidCap400 (Ticker: MVV)

ProShares Ultra MidCap400 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P MidCap 400TM Index. The S&P MidCap 400TM Index is a measure of mid-size company U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     62 %  
Swap Agreements     121 %  
Futures Contracts     17 %  
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Vertex Pharmaceuticals, Inc.     0.5 %  
Cliffs Natural Resources, Inc.     0.4 %  
Newfield Exploration Co.     0.4 %  
Ross Stores, Inc.     0.4 %  
Pride International, Inc.     0.4 %  

 

S&P MidCap 400 Index – Composition

    % of Index  
Consumer, Non-cyclical     20.7 %  
Industrials     17.9 %  
Financials     17.6 %  
Consumer, Cyclical     13.7 %  
Technology     8.0 %  
Utilities     6.3 %  
Energy     6.3 %  
Basic Materials     5.1 %  
Communications     4.4 %  

 

ProShares Ultra SmallCap600 (Ticker: SAA)

ProShares Ultra SmallCap600 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     79 %  
Swap Agreements     121 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Senior Housing
Properties Trust		     0.6 %  
Mednax, Inc.     0.5 %  
Green Mountain Coffee
Roasters, Inc.		     0.5 %  
Varian Semiconductor
Equipment Associates, Inc.		     0.4 %  
Atwood Oceanics, Inc.     0.4 %  

 

S&P SmallCap 600 Index – Composition

    % of Index  
Consumer, Non-cyclical     19.5 %  
Industrials     19.0 %  
Financials     18.8 %  
Consumer, Cyclical     15.6 %  
Technology     10.2 %  
Communications     5.2 %  
Energy     5.0 %  
Utilities     3.6 %  
Basic Materials     3.1 %  

 

IV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Ultra Russell2000 (Ticker: UWM)

ProShares Ultra Russell2000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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     71 %  
Swap Agreements     111 %  
Futures Contracts     18 %  
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Human Genome
Sciences, Inc.		     0.4 %  
Tupperware Brands Corp.     0.3 %  
3Com Corp.     0.3 %  
Solera Holdings, Inc.     0.2 %  
E*Trade Financial Corp.     0.2 %  

 

Russell 2000 Index – Composition

    % of Index  
Consumer, Non-cyclical     21.7 %  
Financials     19.8 %  
Industrials     14.6 %  
Consumer, Cyclical     13.8 %  
Technology     10.1 %  
Communications     8.3 %  
Energy     4.2 %  
Basic Materials     3.9 %  
Utilities     3.5 %  
Diversified     0.1 %  

 

ProShares UltraPro S&P500® (Ticker: UPRO)

ProShares UltraPro S&P500® seeks daily investment results, before fees and expenses, that correspond to triple (300%) 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     40 %  
Swap Agreements     225 %  
Futures Contracts     35 %  
Total Exposure     300 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     1.5 %  
Microsoft Corp.     0.9 %  
Procter & Gamble Co. (The)     0.8 %  
Apple, Inc.     0.7 %  
Johnson & Johnson     0.7 %  

 

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     23.2 %  
Financials     14.3 %  
Technology     12.9 %  
Energy     12.2 %  
Communications     11.5 %  
Industrials     10.5 %  
Consumer, Cyclical     8.4 %  
Basic Materials     3.5 %  
Utilities     3.5 %  

 

ProShares Ultra Russell1000 Value (Ticker: UVG)

ProShares Ultra Russell1000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 1000® Value Index. The Russell 1000® Value Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     81 %  
Swap Agreements     119 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     4.1 %  
General Electric Co.     2.6 %  
JPMorgan Chase & Co.     2.4 %  
AT&T, Inc.     2.4 %  
Chevron Corp.     2.4 %  

 

Russell 1000 Value Index – Composition

    % of Index  
Financials     26.4 %  
Consumer, Non-cyclical     13.5 %  
Industrials     11.5 %  
Utilities     8.9 %  
Energy     8.6 %  
Consumer, Cyclical     8.5 %  
Basic Materials     8.5 %  
Communications     7.2 %  
Technology     6.9 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: V


ProShares Ultra Russell1000 Growth (Ticker: UKF)

ProShares Ultra Russell1000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 1000® Growth Index. The Russell 1000® Growth Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     78 %  
Swap Agreements     122 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Microsoft Corp.     3.3 %  
Apple, Inc.     2.6 %  
International Business
Machines Corp.		     2.4 %  
Google, Inc., Class A     2.0 %  
Cisco Systems, Inc.     2.0 %  

 

Russell 1000 Growth
Index – Composition

    % of Index  
Consumer, Non-cyclical     31.5 %  
Technology     21.2 %  
Consumer, Cyclical     12.2 %  
Communications     11.1 %  
Industrials     10.1 %  
Financials     4.7 %  
Energy     4.6 %  
Basic Materials     3.8 %  
Utilities     0.8 %  

 

ProShares Ultra Russell MidCap Value (Ticker: UVU)

ProShares Ultra Russell MidCap Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell Midcap® Value Index. The Russell Midcap® Value Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Sempra Energy     0.7 %  
Spectra Energy Corp.     0.7 %  
SunTrust Banks, Inc.     0.7 %  
Consolidated Edison, Inc.     0.7 %  
Noble Energy, Inc.     0.6 %  

 

Russell Midcap Value
Index – Composition

    % of Index  
Financials     27.6 %  
Consumer, Non-cyclical     12.7 %  
Industrials     11.6 %  
Utilities     11.1 %  
Energy     9.6 %  
Consumer, Cyclical     9.0 %  
Basic Materials     6.6 %  
Communications     6.4 %  
Technology     5.2 %  
Diversified     0.2 %  

 

ProShares Ultra Russell MidCap Growth (Ticker: UKW)

ProShares Ultra Russell MidCap Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell Midcap® Growth Index. The Russell Midcap® Growth Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     86 %  
Swap Agreements     114 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
TJX Cos., Inc.     1.0 %  
Avon Products, Inc.     0.9 %  
Precision Castparts Corp.     0.9 %  
Cognizant Technology
Solutions Corp., Class A		     0.8 %  
T. Rowe Price Group, Inc.     0.8 %  

 

Russell Midcap Growth
Index – Composition

    % of Index  
Consumer, Non-cyclical     25.6 %  
Technology     16.9 %  
Industrials     16.0 %  
Consumer, Cyclical     14.8 %  
Financials     7.9 %  
Communications     6.2 %  
Energy     6.1 %  
Basic Materials     3.8 %  
Utilities     2.6 %  
Diversified     0.1 %  

 

VI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Ultra Russell2000 Value (Ticker: UVT)

ProShares Ultra Russell2000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 2000® Value Index. The Russell 2000® Value Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     82 %  
Swap Agreements     118 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
E*Trade Financial Corp.     0.5 %  
Domtar Corp.     0.4 %  
Highwoods Properties, Inc.     0.4 %  
MFA Financial, Inc.     0.4 %  
Assured Guaranty Ltd.     0.4 %  

 

Russell 2000 Value Index – Composition

    % of Index  
Financials     33.6 %  
Industrials     16.4 %  
Consumer, Cyclical     11.9 %  
Consumer, Non-cyclical     10.9 %  
Utilities     6.5 %  
Basic Materials     6.0 %  
Energy     4.9 %  
Technology     4.9 %  
Communications     4.8 %  
Diversified     0.1 %  

 

ProShares Ultra Russell2000 Growth (Ticker: UKK)

ProShares Ultra Russell2000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 2000® Growth Index. The Russell 2000® Growth Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Human Genome
Sciences, Inc.		     0.9 %  
Tupperware Brands Corp.     0.6 %  
Solera Holdings, Inc.     0.5 %  
3Com Corp.     0.5 %  
Bally Technologies, Inc.     0.5 %  

 

Russell 2000 Growth
Index – Composition

    % of Index  
Consumer, Non-cyclical     33.2 %  
Consumer, Cyclical     15.8 %  
Technology     15.7 %  
Industrials     12.6 %  
Communications     12.1 %  
Financials     5.1 %  
Energy     3.5 %  
Basic Materials     1.6 %  
Utilities     0.4 %  

 

ProShares Ultra Basic Materials (Ticker: UYM)

ProShares Ultra Basic Materials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index. The Dow Jones U.S. Basic MaterialsSM Index measures the performance of the basic materials industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     56 %  
Swap Agreements     144 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Freeport-McMoRan
Copper & Gold, Inc.		     5.0 %  
Dow Chemical Co. (The)     4.7 %  
E.I. du Pont de
Nemours & Co.		     4.3 %  
Newmont Mining Corp.     3.8 %  
Praxair, Inc.     3.7 %  

 

Dow Jones U.S. Basic Materials
Index – Composition

    % of Index  
Chemicals     52.6 %  
Industrials Metals     25.5 %  
Mining     18.5 %  
Forestry and Paper     3.4 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: VII


ProShares Ultra Consumer Goods (Ticker: UGE)

ProShares Ultra Consumer Goods seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index. The Dow Jones U.S. Consumer GoodsSM 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     86 %  
Swap Agreements     115 %  
Futures Contracts     —    
Total Exposure     201 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Procter & Gamble Co. (The)     13.6 %  
Coca-Cola Co. (The)     9.0 %  
PepsiCo, Inc.     7.2 %  
Philip Morris
International, Inc.		     6.9 %  
Monsanto Co.     3.2 %  

 

Dow Jones U.S. Consumer Goods
Index – Composition

    % of Index  
Beverages     22.5 %  
Household Goods     21.9 %  
Food Producers     20.1 %  
Tobacco     13.4 %  
Personal Goods     12.4 %  
Automobiles and Parts     6.3 %  
Leisure Goods     3.4 %  

 

ProShares Ultra Consumer Services (Ticker: UCC)

ProShares Ultra Consumer Services seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index. The Dow Jones U.S. Consumer ServicesSM 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     86 %  
Swap Agreements     114 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Wal-Mart Stores, Inc.     7.9 %  
McDonald's Corp.     4.6 %  
Walt Disney Co. (The)     3.5 %  
Home Depot, Inc.     3.1 %  
CVS Caremark Corp.     3.0 %  

 

Dow Jones U.S. Consumer Services
Index – Composition

    % of Index  
General Retailers     44.7 %  
Media     24.5 %  
Travel and Leisure     17.6 %  
Food and Drug Retailers     13.2 %  

 

ProShares Ultra Financials (Ticker: UYG)

ProShares Ultra Financials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM Index measures the performance of the financial services industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     74 %  
Swap Agreements     126 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
JPMorgan Chase & Co.     7.0 %  
Bank of America Corp.     5.8 %  
Wells Fargo & Co.     5.2 %  
Goldman Sachs
Group, Inc. (The)		     3.1 %  
Citigroup, Inc.     2.6 %  

 

Dow Jones U.S. Financials
Index – Composition

    % of Index  
Banks     40.6 %  
General Financial     27.2 %  
Nonlife Insurance     13.2 %  
Real Estate Investment Trusts     12.6 %  
Life Insurance     5.7 %  
Real Estate Investment &
Services		     0.7 %  

 

VIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Ultra Health Care (Ticker: RXL)

ProShares Ultra Health Care seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Health CareSM Index. The Dow Jones U.S. Health CareSM Index measures the performance of the healthcare industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     64 %  
Swap Agreements     136 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Johnson & Johnson     8.1 %  
Pfizer, Inc.     6.8 %  
Merck & Co., Inc.     5.1 %  
Abbott Laboratories     3.9 %  
Amgen, Inc.     2.6 %  

 

Dow Jones U.S. Health Care
Index – Composition

    % of Index  
Pharmaceuticals and
Biotechnology		     63.5 %  
Health Care Equipment and
Services		     36.5 %  

 

ProShares Ultra Industrials (Ticker: UXI)

ProShares Ultra Industrials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. IndustrialsSM Index. The Dow Jones U.S. IndustrialsSM Index measures the performance of the industrial industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     79 %  
Swap Agreements     121 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
General Electric Co.     9.4 %  
United Technologies Corp.     3.3 %  
3M Co.     2.8 %  
United Parcel Service, Inc.,
Class B		     2.2 %  
Caterpillar, Inc.     2.0 %  

 

Dow Jones U.S. Industrials
Index – Composition

    % of Index  
General Industrials     23.3 %  
Aerospace and Defense     16.9 %  
Support Services     14.7 %  
Industrial Transportation     14.4 %  
Industrial Engineering     14.0 %  
Electronic & Electrical
Equipment		     10.7 %  
Construction and Materials     6.0 %  

 

ProShares Ultra Oil & Gas (Ticker: DIG)

ProShares Ultra Oil & Gas seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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     75 %  
Swap Agreements     125 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     21.3 %  
Chevron Corp.     9.2 %  
Schlumberger Ltd.     4.5 %  
ConocoPhillips     4.0 %  
Occidental Petroleum Corp.     3.9 %  

 

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

    % of Index  
Oil and Gas Producers     76.5 %  
Oil Equipment, Services and
Distribution		     22.9 %  
Alternative Energy     0.6 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: IX


ProShares Ultra Real Estate (Ticker: URE)

ProShares Ultra Real Estate seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Real EstateSM Index. The Dow Jones U.S. Real EstateSM Index measures the performance of the real estate sector of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     78 %  
Swap Agreements     123 %  
Futures Contracts     —    
Total Exposure     201 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Simon Property Group, Inc.     6.9 %  
Vornado Realty Trust     3.9 %  
Public Storage     3.4 %  
Annaly Capital
Management, Inc.		     3.4 %  
Boston Properties, Inc.     3.1 %  

 

Dow Jones U.S. Real Estate
Index – Composition

    % of Index  
Real Estate     100.0 %  

 

ProShares Ultra Semiconductors (Ticker: USD)

ProShares Ultra Semiconductors seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. SemiconductorsSM Index. The Dow Jones U.S. SemiconductorsSM Index measures the performance of the semiconductor subsector of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     75 %  
Swap Agreements     125 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Intel Corp.     26.9 %  
Texas Instruments, Inc.     8.1 %  
Applied Materials, Inc.     4.2 %  
Broadcom Corp., Class A     3.2 %  
Analog Devices, Inc.     2.2 %  

 

Dow Jones U.S. Semiconductors
Index – Composition

    % of Index  
Semiconductors     100.0 %  

 

ProShares Ultra Technology (Ticker: ROM)

ProShares Ultra Technology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. TechnologySM Index. The Dow Jones U.S. TechnologySM Index measures the performance of the technology industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     76 %  
Swap Agreements     124 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Microsoft Corp.     9.4 %  
Apple, Inc.     7.2 %  
International Business
Machines Corp.		     6.7 %  
Google, Inc., Class A     5.7 %  
Cisco Systems, Inc.     5.5 %  

 

Dow Jones U.S. Technology
Index – Composition

    % of Index  
Technology Hardware and
Equipment		     55.2 %  
Software and Computer
Services		     44.8 %  

 

X :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Ultra Telecommunications (Ticker: LTL)

ProShares Ultra Telecommunications seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index. The Dow Jones U.S. Select TelecommunicationsSM Index is a measure of U.S. stock market performance of fixed-line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     86 %  
Swap Agreements     114 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
AT&T, Inc.     16.0 %  
Verizon
Communications, Inc.		     11.8 %  
CenturyTel, Inc.     5.9 %  
Sprint Nextel Corp.     5.5 %  
Virgin Media, Inc.     4.2 %  

 

Dow Jones U.S. Select
Telecommunications
Index – Composition

    % of Index  
Fixed Line
Telecommunications		     76.9 %  
Mobile Telecommunications     23.1 %  

 

ProShares Ultra Utilities (Ticker: UPW)

ProShares Ultra Utilities seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. UtilitiesSM Index. The Dow Jones U.S. UtilitiesSM Index measures the performance of the utilities industry of the U.S. equity market.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     78 %  
Swap Agreements     122 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exelon Corp.     5.7 %  
Southern Co.     4.6 %  
Duke Energy Corp.     3.8 %  
Dominion Resources, Inc.     3.8 %  
FPL Group, Inc.     3.5 %  

 

Dow Jones U.S. Utilities
Index – Composition

    % of Index  
Electricity     72.9 %  
Gas, Water & Multi Utilities     27.1 %  

 

ProShares Ultra MSCI EAFE (Ticker: EFO)

ProShares Ultra MSCI EAFE seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the MSCI EAFE Index®. The MSCI EAFE Index® (Europe, Australasia, Far East) 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 U.S. and Canada.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     55 %  
Swap Agreements     145 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Mitsui & Co., Ltd. (ADR)     2.9 %  
BP plc (ADR)     2.6 %  
Novartis AG (ADR)     2.6 %  
Westpac Banking
Corp. (ADR)		     2.6 %  
AXA S.A. (ADR)     2.3 %  

 

MSCI EAFE Index – Composition

    % of Index  
Financials     25.9 %  
Industrials     11.1 %  
Materials     10.2 %  
Consumer Staples     10.1 %  
Consumer Discretionary     9.5 %  
Health Care     8.4 %  
Energy     8.3 %  
Telecommunication Services     6.0 %  
Utilities     5.9 %  
Information Technology     4.6 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XI


ProShares Ultra MSCI Emerging Markets (Ticker: EET)

ProShares Ultra MSCI Emerging Markets seeks daily investment results, before fees and expenses, that correspond to twice (200%) the 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     65 %  
Swap Agreements     135 %  
Futures Contracts     —    
Total Exposure     200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
China Life Insurance Co.,
Ltd. (ADR)		     4.3 %  
Taiwan Semiconductor
Manufacturing Co., Ltd. (ADR)		     3.8 %  
POSCO (ADR)     2.9 %  
Sasol Ltd. (ADR)     2.7 %  
AngloGold Ashanti Ltd. (ADR)     2.5 %  

 

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     24.6 %  
Energy     15.3 %  
Materials     15.0 %  
Information Technology     13.0 %  
Telecommunication Services     9.0 %  
Industrials     6.5 %  
Consumer Staples     5.5 %  
Consumer Discretionary     5.4 %  
Utilities     3.5 %  
Health Care     2.2 %  

 

ProShares Ultra FTSE/Xinhua China 25 (Ticker: XPP)

ProShares Ultra FTSE/Xinhua China 25 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the FTSE/Xinhua China 25 Index®. The FTSE/Xinhua China 25 Index® is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange (HKEX).

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

FTSE/Xinhua China 25 Index – Composition

    % of Index  
Financials     47.5 %  
Telecommunications     16.7 %  
Basic Materials     12.4 %  
Oil & Gas     11.5 %  
Industrials     8.9 %  
Utilities     1.8 %  
Consumer Services     1.2 %  

 

ProShares Ultra MSCI Japan (Ticker: EZJ)

ProShares Ultra MSCI Japan seeks daily investment results, before fees and expenses, that correspond to twice (200%) the 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     201 %  
Futures Contracts     —    
Total Exposure     201 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Japan Index – Composition

    % of Index  
Consumer Discretionary     19.9 %  
Industrials     18.7 %  
Financials     17.1 %  
Information Technology     13.2 %  
Materials     8.2 %  
Utilities     6.2 %  
Health Care     6.1 %  
Consumer Staples     5.6 %  
Telecommunication Services     3.9 %  
Energy     1.1 %  

 

XII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Short QQQ® (Ticker: PSQ)

ProShares Short QQQ® seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of 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     -75 %  
Futures Contracts     -25 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Nasdaq-100 Index – Composition

    % of Index  
Technology     42.8 %  
Communications     27.4 %  
Consumer, Non-cyclical     17.7 %  
Consumer, Cyclical     7.7 %  
Industrials     3.2 %  
Basic Materials     0.6 %  
Energy     0.6 %  

 

ProShares Short Dow30SM (Ticker: DOG)

ProShares Short Dow30SM seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the Dow Jones Industrial AverageSM (DJIA) Index. The DJIA Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index 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     -76 %  
Futures Contracts     -24 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones Industrial Average Index – Composition

    % of Index  
Industrials     19.8 %  
Consumer, Non-cyclical     19.2 %  
Technology     16.4 %  
Energy     11.2 %  
Financials     11.2 %  
Consumer, Cyclical     10.6 %  
Communications     8.2 %  
Basic Materials     3.4 %  

 

ProShares Short S&P500® (Ticker: SH)

ProShares Short S&P500® seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of 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     —    
Swap Agreements     -75 %  
Futures Contracts     -25 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     23.2 %  
Financials     14.3 %  
Technology     12.9 %  
Energy     12.2 %  
Communications     11.5 %  
Industrials     10.5 %  
Consumer, Cyclical     8.4 %  
Basic Materials     3.5 %  
Utilities     3.5 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XIII


ProShares Short MidCap400 (Ticker: MYY)

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

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -84 %  
Futures Contracts     -16 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P MidCap 400 Index – Composition

    % of Index  
Consumer, Non-cyclical     20.7 %  
Industrials     17.9 %  
Financials     17.6 %  
Consumer, Cyclical     13.7 %  
Technology     8.0 %  
Utilities     6.3 %  
Energy     6.3 %  
Basic Materials     5.1 %  
Communications     4.4 %  

 

ProShares Short SmallCap600 (Ticker: SBB)

ProShares Short SmallCap600 seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P SmallCap 600 Index – Composition

    % of Index  
Consumer, Non-cyclical     19.5 %  
Industrials     19.0 %  
Financials     18.8 %  
Consumer, Cyclical     15.6 %  
Technology     10.2 %  
Communications     5.2 %  
Energy     5.0 %  
Utilities     3.6 %  
Basic Materials     3.1 %  

 

ProShares Short Russell2000 (Ticker: RWM)

ProShares Short Russell2000 seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of 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     —    
Swap Agreements     -76 %  
Futures Contracts     -24 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 2000 Index – Composition

    % of Index  
Consumer, Non-cyclical     21.7 %  
Financials     19.8 %  
Industrials     14.6 %  
Consumer, Cyclical     13.8 %  
Technology     10.1 %  
Communications     8.3 %  
Energy     4.2 %  
Basic Materials     3.9 %  
Utilities     3.5 %  
Diversified     0.1 %  

 

XIV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort QQQ® (Ticker: QID)

ProShares UltraShort QQQ® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of 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     -177 %  
Futures Contracts     -23 %  
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Nasdaq-100 Index – Composition

    % of Index  
Technology     42.8 %  
Communications     27.4 %  
Consumer, Non-cyclical     17.7 %  
Consumer, Cyclical     7.7 %  
Industrials     3.2 %  
Basic Materials     0.6 %  
Energy     0.6 %  

 

ProShares UltraShort Dow30SM (Ticker: DXD)

ProShares UltraShort Dow30SM seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones Industrial AverageSM (DJIA) Index. The DJIA Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index 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     -176 %  
Futures Contracts     -24 %  
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones Industrial Average Index – Composition

    % of Index  
Industrials     19.8 %  
Consumer, Non-cyclical     19.2 %  
Technology     16.4 %  
Energy     11.2 %  
Financials     11.2 %  
Consumer, Cyclical     10.6 %  
Communications     8.2 %  
Basic Materials     3.4 %  

 

ProShares UltraShort S&P500® (Ticker: SDS)

ProShares UltraShort S&P500® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of 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     —    
Swap Agreements     -175 %  
Futures Contracts     -25 %  
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     23.2 %  
Financials     14.3 %  
Technology     12.9 %  
Energy     12.2 %  
Communications     11.5 %  
Industrials     10.5 %  
Consumer, Cyclical     8.4 %  
Basic Materials     3.5 %  
Utilities     3.5 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XV


ProShares UltraShort Russell3000 (Ticker: TWQ)

ProShares UltraShort Russell3000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 3000® Index. The Russell 3000® Index offers investors access to the broad U.S. equity universe representing approximately 98% of the U.S. market.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 3000 Index – Composition

    % of Index  
Consumer, Non-cyclical     22.9 %  
Financials     15.0 %  
Technology     12.3 %  
Energy     11.3 %  
Communications     11.0 %  
Industrials     11.0 %  
Consumer, Cyclical     9.1 %  
Basic Materials     3.7 %  
Utilities     3.7 %  

 

ProShares UltraShort MidCap400 (Ticker: MZZ)

ProShares UltraShort MidCap400 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P MidCap 400TM Index. The S&P MidCap 400TM Index is a measure of mid-size company U.S. stock market performance.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -173 %  
Futures Contracts     -27 %  
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P MidCap 400 Index – Composition

    % of Index  
Consumer, Non-cyclical     20.7 %  
Industrials     17.9 %  
Financials     17.6 %  
Consumer, Cyclical     13.7 %  
Technology     8.0 %  
Utilities     6.3 %  
Energy     6.3 %  
Basic Materials     5.1 %  
Communications     4.4 %  

 

ProShares UltraShort SmallCap600 (Ticker: SDD)

ProShares UltraShort SmallCap600 seeks daily investment results, before fees and expenses that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P SmallCap 600 Index – Composition

    % of Index  
Consumer, Non-cyclical     19.5 %  
Industrials     19.0 %  
Financials     18.8 %  
Consumer, Cyclical     15.6 %  
Technology     10.2 %  
Communications     5.2 %  
Energy     5.0 %  
Utilities     3.6 %  
Basic Materials     3.1 %  

 

XVI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort Russell2000 (Ticker: TWM)

ProShares UltraShort Russell2000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of 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     —    
Swap Agreements     -176 %  
Futures Contracts     -24 %  
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 2000 Index – Composition

    % of Index  
Consumer, Non-cyclical     21.7 %  
Financials     19.8 %  
Industrials     14.6 %  
Consumer, Cyclical     13.8 %  
Technology     10.1 %  
Communications     8.3 %  
Energy     4.2 %  
Basic Materials     3.9 %  
Utilities     3.5 %  
Diversified     0.1 %  

 

ProShares UltraPro Short S&P500® (Ticker: SPXU)

ProShares UltraPro Short S&P500® seeks daily investment results, before fees and expenses, that correspond to triple (300%) the inverse (opposite) of 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     —    
Swap Agreements     -270 %  
Futures Contracts     -30 %  
Total Exposure     -300 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     23.2 %  
Financials     14.3 %  
Technology     12.9 %  
Energy     12.2 %  
Communications     11.5 %  
Industrials     10.5 %  
Consumer, Cyclical     8.4 %  
Basic Materials     3.5 %  
Utilities     3.5 %  

 

ProShares UltraShort Russell1000 Value (Ticker: SJF)

ProShares UltraShort Russell1000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 1000® Value Index. The Russell 1000® Value Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 1000 Value Index – Composition

    % of Index  
Financials     26.4 %  
Consumer, Non-cyclical     13.5 %  
Industrials     11.5 %  
Utilities     8.9 %  
Energy     8.6 %  
Consumer, Cyclical     8.5 %  
Basic Materials     8.5 %  
Communications     7.2 %  
Technology     6.9 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XVII


ProShares UltraShort Russell1000 Growth (Ticker: SFK)

ProShares UltraShort Russell1000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 1000® Growth Index. The Russell 1000® Growth Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 1000 Growth Index – Composition

    % of Index  
Consumer, Non-cyclical     31.5 %  
Technology     21.2 %  
Consumer, Cyclical     12.2 %  
Communications     11.1 %  
Industrials     10.1 %  
Financials     4.7 %  
Energy     4.6 %  
Basic Materials     3.8 %  
Utilities     0.8 %  

 

ProShares UltraShort Russell MidCap Value (Ticker: SJL)

ProShares UltraShort Russell MidCap Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell Midcap® Value Index. The Russell Midcap® Value Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell Midcap Value Index – Composition

    % of Index  
Financials     27.6 %  
Consumer, Non-cyclical     12.7 %  
Industrials     11.6 %  
Utilities     11.1 %  
Energy     9.6 %  
Consumer, Cyclical     9.0 %  
Basic Materials     6.6 %  
Communications     6.4 %  
Technology     5.2 %  
Diversified     0.2 %  

 

ProShares UltraShort Russell MidCap Growth (Ticker: SDK)

ProShares UltraShort Russell MidCap Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell Midcap® Growth Index. The Russell Midcap® Growth Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell Midcap Growth Index – Composition

    % of Index  
Consumer, Non-cyclical     25.6 %  
Technology     16.9 %  
Industrials     16.0 %  
Consumer, Cyclical     14.8 %  
Financials     7.9 %  
Communications     6.2 %  
Energy     6.1 %  
Basic Materials     3.8 %  
Utilities     2.6 %  
Diversified     0.1 %  

 

XVIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort Russell2000 Value (Ticker: SJH)

ProShares UltraShort Russell2000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 2000® Value Index. The Russell 2000® Value Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 2000 Value Index – Composition

    % of Index  
Financials     33.6 %  
Industrials     16.4 %  
Consumer, Cyclical     11.9 %  
Consumer, Non-cyclical     10.9 %  
Utilities     6.5 %  
Basic Materials     6.0 %  
Energy     4.9 %  
Technology     4.9 %  
Communications     4.8 %  
Diversified     0.1 %  

 

ProShares UltraShort Russell2000 Growth (Ticker: SKK)

ProShares UltraShort Russell2000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 2000® Growth Index. The Russell 2000® Growth Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Russell 2000 Growth Index – Composition

    % of Index  
Consumer, Non-cyclical     33.2 %  
Consumer, Cyclical     15.8 %  
Technology     15.7 %  
Industrials     12.6 %  
Communications     12.1 %  
Financials     5.1 %  
Energy     3.5 %  
Basic Materials     1.6 %  
Utilities     0.4 %  

 

ProShares Short Financials (Ticker: SEF)

ProShares Short Financials seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM 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     -100 %  
Futures Contracts     —    
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Financials Index – Composition

    % of Index  
Banks     40.6 %  
General Financial     27.2 %  
Nonlife Insurance     13.2 %  
Real Estate Investment Trusts     12.6 %  
Life Insurance     5.7 %  
Real Estate Investment & Services     0.7 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XIX


ProShares Short Oil & Gas (Ticker: DDG)

ProShares Short Oil & Gas seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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     -100 %  
Futures Contracts     —    
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

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

    % of Index  
Oil and Gas Producers     76.5 %  
Oil Equipment, Services and Distribution     22.9 %  
Alternative Energy     0.6 %  

 

ProShares UltraShort Basic Materials (Ticker: SMN)

ProShares UltraShort Basic Materials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index. The Dow Jones U.S. Basic MaterialsSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Basic Materials Index – Composition

    % of Index  
Chemicals     52.6 %  
Industrial Metals     25.5 %  
Mining     18.5 %  
Forestry and Paper     3.4 %  

 

ProShares UltraShort Consumer Goods (Ticker: SZK)

ProShares UltraShort Consumer Goods seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index. The Dow Jones U.S. Consumer GoodsSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Consumer Goods Index – Composition

    % of Index  
Beverages     22.5 %  
Household Goods     21.9 %  
Food Producers     20.1 %  
Tobacco     13.4 %  
Personal Goods     12.4 %  
Automobiles and Parts     6.3 %  
Leisure Goods     3.4 %  

 

XX :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort Consumer Services (Ticker: SCC)

ProShares UltraShort Consumer Services seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index. The Dow Jones U.S. Consumer ServicesSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Consumer Services Index – Composition

    % of Index  
General Retailers     44.7 %  
Media     24.5 %  
Travel and Leisure     17.6 %  
Food and Drug Retailers     13.2 %  

 

ProShares UltraShort Financials (Ticker: SKF)

ProShares UltraShort Financials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Financials Index – Composition

    % of Index  
Banks     40.6 %  
General Financial     27.2 %  
Nonlife Insurance     13.2 %  
Real Estate Investment Trusts     12.6 %  
Life Insurance     5.7 %  
Real Estate Investment & Services     0.7 %  

 

ProShares UltraShort Health Care (Ticker: RXD)

ProShares UltraShort Health Care seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Health CareSM Index. The Dow Jones U.S. Health CareSM 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     -199 %  
Futures Contracts     —    
Total Exposure     -199 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Health Care Index – Composition

    % of Index  
Pharmaceuticals and Biotechnology     63.5 %  
Health Care Equipment and Services     36.5 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXI


ProShares UltraShort Industrials (Ticker: SIJ)

ProShares UltraShort Industrials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. IndustrialsSM Index. The Dow Jones U.S. IndustrialsSM 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     -199 %  
Futures Contracts     —    
Total Exposure     -199 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Industrials Index – Composition

    % of Index  
General Industrials     23.3 %  
Aerospace and Defense     16.9 %  
Support Services     14.7 %  
Industrial Transportation     14.4 %  
Industrial Engineering     14.0 %  
Electronic & Electrical Equipment     10.7 %  
Construction and Materials     6.0 %  

 

ProShares UltraShort Oil & Gas (Ticker: DUG)

ProShares UltraShort Oil & Gas seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

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

    % of Index  
Oil and Gas Producers     76.5 %  
Oil Equipment, Services and Distribution     22.9 %  
Alternative Energy     0.6 %  

 

ProShares UltraShort Real Estate (Ticker: SRS)

ProShares UltraShort Real Estate seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Real EstateSM Index. The Dow Jones U.S. Real EstateSM 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     -199 %  
Futures Contracts     —    
Total Exposure     -199 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Real Estate Index – Composition

    % of Index  
Real Estate     100.0 %  

 

XXII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort Semiconductors (Ticker: SSG)

ProShares UltraShort Semiconductors seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of Dow Jones U.S. SemiconductorsSM Index. The Dow Jones U.S. SemiconductorsSM 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     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Semiconductors Index – Composition

    % of Index  
Semiconductors     100.0 %  

 

ProShares UltraShort Technology (Ticker: REW)

ProShares UltraShort Technology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. TechnologySM Index. The Dow Jones U.S. TechnologySM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Technology Index – Composition

    % of Index  
Technology Hardware and Equipment     55.2 %  
Software and Computer Services     44.8 %  

 

ProShares UltraShort Telecommunications (Ticker: TLL)

ProShares UltraShort Telecommunications seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index. The Dow Jones U.S. Select TelecommunicationsSM Index is a measure of U.S. stock market performance of fixed- line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Select Telecommunications Index – Composition

    % of Index  
Fixed Line Telecommunications     76.9 %  
Mobile Telecommunications     23.1 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXIII


ProShares UltraShort Utilities (Ticker: SDP)

ProShares UltraShort Utilities seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. UtilitiesSM Index. The Dow Jones U.S. UtilitiesSM 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     -200 %  
Futures Contracts     —    
Total Exposure     -200 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Dow Jones U.S. Utilities Index – Composition

    % of Index  
Electricity     72.9 %  
Gas, Water & Multi Utilities     27.1 %  

 

ProShares Short MSCI EAFE (Ticker: EFZ)

ProShares Short MSCI EAFE seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the MSCI EAFE Index®. The MSCI EAFE Index® (Europe, Australasia, Far East) 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 U.S. and Canada.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI EAFE Index – Country

    % of Index  
United Kingdom     21.5 %  
Japan     20.6 %  
France     10.9 %  
Australia     8.4 %  
Germany     8.2 %  
Switzerland     7.8 %  
Spain     4.8 %  
Italy     3.5 %  
Netherlands     2.6 %  
Sweden     2.6 %  
Hong Kong     2.3 %  
Singapore     1.4 %  
Finland     1.1 %  
Belgium     1.0 %  
Denmark     0.9 %  
Norway     0.8 %  
Greece     0.6 %  
Portugal     0.3 %  
Austria     0.3 %  
Ireland     0.3 %  
New Zealand     0.1 %  

 

MSCI EAFE Index – Composition

    % of Index  
Financials     25.9 %  
Industrials     11.1 %  
Materials     10.2 %  
Consumer Staples     10.1 %  
Consumer Discretionary     9.5 %  
Health Care     8.4 %  
Energy     8.3 %  
Telecommunication Services     6.0 %  
Utilities     5.9 %  
Information Technology     4.6 %  

 

XXIV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares Short MSCI Emerging Markets (Ticker: EUM)

ProShares Short MSCI Emerging Markets seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the 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     -100 %  
Futures Contracts     —    
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Emerging Markets
Index – Country

    % of Index  
China     18.3 %  
Brazil     16.9 %  
Korea     12.4 %  
Taiwan     11.1 %  
India     7.5 %  
South Africa     7.0 %  
Russia     6.4 %  
Mexico     4.5 %  
Israel     2.7 %  
Malaysia     2.7 %  
Indonesia     1.8 %  
Chile     1.4 %  
Poland     1.3 %  
Turkey     1.3 %  
Thailand     1.2 %  
Colombia     0.6 %  
Hungary     0.6 %  
Peru     0.6 %  
Czech Republic     0.5 %  
Egypt     0.5 %  
Philippines     0.4 %  
Morocco     0.3 %  

 

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     24.6 %  
Energy     15.3 %  
Materials     15.0 %  
Information Technology     13.0 %  
Telecommunication Services     9.0 %  
Industrials     6.5 %  
Consumer Staples     5.5 %  
Consumer Discretionary     5.4 %  
Utilities     3.5 %  
Health Care     2.2 %  

 

ProShares UltraShort MSCI EAFE (Ticker: EFU)

ProShares UltraShort MSCI EAFE seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI EAFE Index®. The MSCI EAFE Index® (Europe, Australasia, Far East) 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 U.S. and Canada.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI EAFE Index – Country

    % of Index  
United Kingdom     21.5 %  
Japan     20.6 %  
France     10.9 %  
Australia     8.4 %  
Germany     8.2 %  
Switzerland     7.8 %  
Spain     4.8 %  
Italy     3.5 %  
Netherlands     2.6 %  
Sweden     2.6 %  
Hong Kong     2.3 %  
Singapore     1.4 %  
Finland     1.1 %  
Belgium     1.0 %  
Denmark     0.9 %  
Norway     0.8 %  
Greece     0.6 %  
Portugal     0.3 %  
Austria     0.3 %  
Ireland     0.3 %  
New Zealand     0.1 %  

 

MSCI EAFE Index – Composition

    % of Index  
Financials     25.9 %  
Industrials     11.1 %  
Materials     10.2 %  
Consumer Staples     10.1 %  
Consumer Discretionary     9.5 %  
Health Care     8.4 %  
Energy     8.3 %  
Telecommunication Services     6.0 %  
Utilities     5.9 %  
Information Technology     4.6 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXV


ProShares UltraShort MSCI Emerging Markets (Ticker: EEV)

ProShares UltraShort MSCI Emerging Markets seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the 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     -199 %  
Futures Contracts     —    
Total Exposure     -199 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Emerging Markets
Index – Country

    % of Index  
China     18.3 %  
Brazil     16.9 %  
Korea     12.4 %  
Taiwan     11.1 %  
India     7.5 %  
South Africa     7.0 %  
Russia     6.4 %  
Mexico     4.5 %  
Israel     2.7 %  
Malaysia     2.7 %  
Indonesia     1.8 %  
Chile     1.4 %  
Poland     1.3 %  
Turkey     1.3 %  
Thailand     1.2 %  
Colombia     0.6 %  
Hungary     0.6 %  
Peru     0.6 %  
Czech Republic     0.5 %  
Egypt     0.5 %  
Philippines     0.4 %  
Morocco     0.3 %  

 

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     24.6 %  
Energy     15.3 %  
Materials     15.0 %  
Information Technology     13.0 %  
Telecommunication Services     9.0 %  
Industrials     6.5 %  
Consumer Staples     5.5 %  
Consumer Discretionary     5.4 %  
Utilities     3.5 %  
Health Care     2.2 %  

 

ProShares UltraShort MSCI Europe (Ticker: EPV)

ProShares UltraShort MSCI Europe seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI Europe Index®. The MSCI Europe Index® is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Europe Index – Country

    % of Index  
United Kingdom     31.9 %  
France     16.2 %  
Germany     12.2 %  
Switzerland     11.6 %  
Spain     7.1 %  
Italy     5.3 %  
Netherlands     3.9 %  
Sweden     3.9 %  
Finland     1.7 %  
Belgium     1.5 %  
Denmark     1.3 %  
Norway     1.1 %  
Greece     0.9 %  
Austria     0.5 %  
Portugal     0.5 %  
Ireland     0.4 %  

 

MSCI Europe Index – Composition

    % of Index  
Financials     24.7 %  
Consumer Staples     11.9 %  
Energy     11.2 %  
Health Care     10.2 %  
Industrials     9.4 %  
Materials     9.2 %  
Consumer Discretionary     7.2 %  
Telecommunication Services     7.2 %  
Utilities     6.3 %  
Information Technology     2.7 %  

 

XXVI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort MSCI Pacific ex-Japan (Ticker: JPX)

ProShares UltraShort MSCI Pacific ex-Japan seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI Pacific ex-Japan Index®. The MSCI Pacific ex-Japan Index® is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in the Pacific region, excluding Japan.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Pacific ex-Japan Index – Country

    % of Index  
Australia     68.6 %  
Hong Kong     19.0 %  
Singapore     11.5 %  
New Zealand     0.9 %  

 

MSCI Pacific ex-Japan
Index – Composition

    % of Index  
Financials     47.9 %  
Materials     18.5 %  
Consumer Staples     7.7 %  
Industrials     7.7 %  
Energy     4.8 %  
Consumer Discretionary     4.4 %  
Utilities     3.3 %  
Telecommunication Services     2.9 %  
Health Care     2.1 %  
Information Technology     0.7 %  

 

ProShares UltraShort MSCI Brazil (Ticker: BZQ)

ProShares UltraShort MSCI Brazil seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI Brazil Index®. The MSCI Brazil Index® is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the Brazilian market.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Brazil Index – Composition

    % of Index  
Materials     28.1 %  
Energy     27.2 %  
Financials     22.0 %  
Consumer Staples     6.9 %  
Utilities     5.2 %  
Telecommunication Services     4.0 %  
Consumer Discretionary     2.5 %  
Information Technology     2.1 %  
Industrials     2.0 %  

 

ProShares UltraShort FTSE/Xinhua China 25 (Ticker: FXP)

ProShares UltraShort FTSE/Xinhua China 25 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the FTSE/Xinhua China 25 Index®. The FTSE/Xinhua China 25 Index® is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange (HKEX).

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

FTSE/Xinhua China 25 Index – Composition

    % of Index  
Financials     47.5 %  
Telecommunications     16.7 %  
Basic Materials     12.4 %  
Oil & Gas     11.5 %  
Industrials     8.9 %  
Utilities     1.8 %  
Consumer Services     1.2 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXVII


ProShares UltraShort MSCI Japan (Ticker: EWV)

ProShares UltraShort MSCI Japan seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the 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     -197 %  
Futures Contracts     —    
Total Exposure     -197 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Japan Index – Composition

    % of Index  
Consumer Discretionary     19.9 %  
Industrials     18.7 %  
Financials     17.1 %  
Information Technology     13.2 %  
Materials     8.2 %  
Utilities     6.2 %  
Health Care     6.1 %  
Consumer Staples     5.6 %  
Telecommunication Services     3.9 %  
Energy     1.1 %  

 

ProShares UltraShort MSCI Mexico Investable Market (Ticker: SMK)

ProShares UltraShort MSCI Mexico Investable Market seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI Mexico Investable Market Index®. The MSCI Mexico Investable Market Index® measures the performance of the Mexican equity market. It is a capitalization weighted index that aims to capture 99% of the (publicly available) total market capitalization.

Market Exposure

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

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

MSCI Mexico Investable Market Index – Composition

    % of Index  
Telecommunication Services     38.4 %  
Consumer Staples     20.9 %  
Materials     15.2 %  
Consumer Discretionary     12.7 %  
Industrials     7.0 %  
Financials     5.6 %  
Health Care     0.2 %  

 

ProShares Short 20+ Year Treasury (Ticker: TBF)

ProShares Short 20+ Year Treasury seeks daily investment results, before fees and expenses and interest income earned on cash and financial instruments, that correspond to the inverse (opposite) of the daily performance of the Barclays Capital 20+ Year U.S. Treasury Bond Index. The Barclays Capital 20+ Year U.S. Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -99 %  
Futures Contracts     -1 %  
Total Exposure     -100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Barclays Capital 20+ Year U.S. Treasury Bond
Index – Composition

    % of Index  
20+ Year U.S. Treasury     100.0 %  

 

XXVIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2009 (Unaudited)


ProShares UltraShort 7-10 Year Treasury (Ticker: PST)

ProShares UltraShort 7-10 Year Treasury seeks daily investment results, before fees and expenses and interest income earned on cash and financial instruments, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Barclays Capital 7-10 Year U.S. Treasury Bond Index. The Barclays Capital 7-10 Year U.S. Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -200 %  
Futures Contracts     -1 %  
Total Exposure     -201 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Barclays Capital 7-10 Year U.S. Treasury Bond
Index – Composition

    % of Index  
7-10 Year U.S. Treasury     100.0 %  

 

ProShares UltraShort 20+ Year Treasury (Ticker: TBT)

ProShares UltraShort 20+ Year Treasury seeks daily investment results, before fees and expenses and interest income earned on cash and financial instruments, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Barclays Capital 20+ Year U.S. Treasury Bond Index. The Barclays Capital 20+ Year U.S. Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     —    
Swap Agreements     -199 %  
Futures Contracts     -2 %  
Total Exposure     -201 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Barclays Capital 20+ Year U.S. Treasury Bond
Index – Composition

    % of Index  
20+ Year U.S. Treasury     100.0 %  

 

ProShares Credit Suisse 130/30 (Ticker: CSM)

ProShares Credit Suisse 130/30 seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index. The Credit Suisse 130/30 Large Cap Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of certain of the 500 largest U.S. companies based on market capitalization by applying a rules-based ranking and weighting methodology. The design intends to provide an indexed representation of a quantitatively constructed 130/30 U.S. large cap equity strategy.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     88 %  
Swap Agreements (Long)     42 %  
Swap Agreements (Short)     -30 %  
Futures Contracts     —    
Total Exposure     100 %  

 

"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.

Largest Equity Holdings

Company   % of Net Assets  
Exxon Mobil Corp.     2.3 %  
Apple, Inc.     1.5 %  
JPMorgan Chase & Co.     1.5 %  
Microsoft Corp.     1.4 %  
AT&T, Inc.     1.4 %  

 

Credit Suisse 130/30 Large Cap
Index – Composition

    % of Index  
Consumer, Non-Cyclical     26.8 %  
Technology     13.5 %  
Financials     13.0 %  
Industrials     10.5 %  
Communications     10.4 %  
Consumer, Cyclical     9.5 %  
Energy     9.3 %  
Utilities     5.6 %  
Basic Materials     1.7 %  
Diversified     -0.3 %  

 

November 30, 2009 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXIX



ProShares Trust Performance Data

ULTRA PROSHARES

        NAV TOTAL RETURNS (%)
AS OF 11/30/09		   MARKET VALUE RETURNS† (%)
AS OF 11/30/09		   INDEX* TOTAL RETURNS (%)
AS OF 11/30/09		  
    Inception
Date		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		  
Ultra MarketCap  
Ultra QQQ   06/19/06     102.18       (4.28 )     (13.99 )     103.18       (4.27 )     (13.96 )     50.15       4.49       16.36    
Ultra Dow30   06/19/06     33.56       (8.68 )     (26.88 )     34.04       (8.67 )     (26.87 )     21.05       1.10       3.86    
Ultra S&P500   06/19/06     40.46       (14.08 )     (40.74 )     40.65       (14.09 )     (40.78 )     25.39       (1.39 )     (4.73 )  
Ultra Russell3000   06/30/09     NA       NA       40.60       NA       NA       38.90       NA       NA       19.76    
Ultra MidCap400   06/19/06     57.40       (13.78 )     (40.04 )     57.84       (13.77 )     (40.02 )     35.53       (0.30 )     (1.05 )  
Ultra SmallCap600   01/23/07     27.06       (27.50 )     (60.04 )     26.64       (27.47 )     (59.98 )     22.65       (7.76 )     (20.60 )  
Ultra Russell2000   01/23/07     29.09       (30.05 )     (63.91 )     26.70       (30.10 )     (63.98 )     24.53       (8.79 )     (23.09 )  
UltraPro S&P500   06/23/09     NA       NA       79.24       NA       NA       79.24       NA       NA       23.56    
Ultra Style  
Ultra Russell1000 Value   02/20/07     23.72       (32.47 )     (66.37 )     24.05       (32.47 )     (66.37 )     19.24       (11.26 )     (28.23 )  
Ultra Russell1000 Growth   02/20/07     66.75       (19.37 )     (44.99 )     67.04       (19.35 )     (44.94 )     35.50       (4.58 )     (12.20 )  
Ultra Russell MidCap Value   02/20/07     51.55       (32.55 )     (66.48 )     52.60       (32.53 )     (66.45 )     33.74       (10.99 )     (27.63 )  
Ultra Russell MidCap Growth   02/20/07     78.33       (26.94 )     (58.16 )     79.18       (26.95 )     (58.17 )     42.82       (7.77 )     (20.13 )  
Ultra Russell2000 Value   02/20/07     15.45       (36.48 )     (71.62 )     16.91       (36.57 )     (71.73 )     18.98       (12.57 )     (31.16 )  
Ultra Russell2000 Growth   02/20/07     46.61       (29.38 )     (61.91 )     46.15       (29.39 )     (61.93 )     30.59       (8.92 )     (22.86 )  
Ultra Sector  
Ultra Basic Materials   01/30/07     118.98       (20.71 )     (48.17 )     120.78       (20.73 )     (48.22 )     66.37       0.59       1.69    
Ultra Consumer Goods   01/30/07     38.65       (9.59 )     (24.85 )     39.61       (9.57 )     (24.80 )     21.49       (0.68 )     (1.90 )  
Ultra Consumer Services   01/30/07     67.36       (24.06 )     (54.15 )     68.52       (24.02 )     (54.08 )     36.15       (7.25 )     (19.21 )  
Ultra Financials   01/30/07     (9.89 )     (58.17 )     (91.53 )     (8.90 )     (58.20 )     (91.55 )     18.99       (23.06 )     (52.44 )  
Ultra Health Care   01/30/07     49.91       (10.97 )     (28.05 )     51.00       (10.96 )     (28.02 )     26.96       (1.17 )     (3.28 )  
Ultra Industrials   01/30/07     35.71       (23.92 )     (53.91 )     36.20       (23.89 )     (53.84 )     25.73       (6.05 )     (16.22 )  
Ultra Oil & Gas   01/30/07     7.05       (18.11 )     (43.22 )     7.81       (18.12 )     (43.24 )     12.62       1.20       3.44    
Ultra Real Estate   01/30/07     7.60       (56.26 )     (90.39 )     (2.07 )     (56.31 )     (90.42 )     42.02       (18.61 )     (44.23 )  
Ultra Semiconductors   01/30/07     105.90       (26.92 )     (58.87 )     107.32       (26.90 )     (58.84 )     57.88       (6.56 )     (17.51 )  
Ultra Technology   01/30/07     121.87       (12.22 )     (30.86 )     123.12       (12.19 )     (30.80 )     58.14       0.25       0.72    
Ultra Telecommunications   03/25/08     22.70       (33.22 )     (49.35 )     22.65       (33.49 )     (49.70 )     17.78       (10.27 )     (16.69 )  
Ultra Utilities   01/30/07     1.21       (18.46 )     (43.91 )     1.37       (18.53 )     (44.04 )     4.37       (4.43 )     (12.07 )  

 

†  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, if any, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.

*  See the allocation of Portfolio Holdings and Composition for the related index for each fund.

NA  Not Applicable. Fund in operation less than one year.

XXX :: ProShares Trust :: Performance Data


ProShares Trust Performance Data (continued)

ULTRA PROSHARES

        NAV TOTAL RETURNS (%)
AS OF 11/30/09		   MARKET VALUE RETURNS† (%)
AS OF 11/30/09		   INDEX* TOTAL RETURNS (%)
AS OF 11/30/09		  
    Inception
Date		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		  
Ultra International  
Ultra MSCI EAFE   06/02/09     NA       NA       28.57       NA       NA       28.70       NA       NA       15.32    
Ultra MSCI Emerging Markets   06/02/09     NA       NA       38.47       NA       NA       38.40       NA       NA       19.65    
Ultra FTSE/Xinhua China 25   06/02/09     NA       NA       25.60       NA       NA       25.47       NA       NA       13.89    
Ultra MSCI Japan   06/02/09     NA       NA       (0.65 )     NA       NA       (2.72 )     NA       NA       0.85    
SHORT PROSHARES  
Short MarketCap  
Short QQQ   06/19/06     (39.66 )     (8.08 )     (25.22 )     (39.72 )     (8.07 )     (25.19 )     50.15       4.49       16.36    
Short Dow30   06/19/06     (23.80 )     (2.93 )     (9.74 )     (23.90 )     (2.94 )     (9.78 )     21.05       1.10       3.86    
Short S&P500   06/19/06     (27.87 )     (1.51 )     (5.11 )     (27.91 )     (1.51 )     (5.10 )     25.39       (1.39 )     (4.73 )  
Short MidCap400   06/19/06     (36.22 )     (4.52 )     (14.74 )     (36.13 )     (4.51 )     (14.72 )     35.53       (0.30 )     (1.05 )  
Short SmallCap600   01/23/07     (31.44 )     (0.73 )     (2.06 )     (31.14 )     (0.75 )     (2.13 )     22.65       (7.76 )     (20.60 )  
Short Russell2000   01/23/07     (33.59 )     (1.66 )     (4.66 )     (33.46 )     (1.62 )     (4.56 )     24.53       (8.79 )     (23.09 )  
UltraShort QQQ   07/11/06     (66.62 )     (25.14 )     (62.52 )     (66.73 )     (25.17 )     (62.58 )     50.15       4.89       17.57    
UltraShort Dow30   07/11/06     (45.96 )     (13.34 )     (38.44 )     (46.13 )     (13.35 )     (38.48 )     21.05       0.57       1.95    
UltraShort S&P500   07/11/06     (52.37 )     (11.23 )     (33.23 )     (52.44 )     (11.23 )     (33.23 )     25.39       (2.20 )     (7.25 )  
UltraShort Russell3000   06/30/09     NA       NA       (33.68 )     NA       NA       (33.53 )     NA       NA       19.76    
UltraShort MidCap400   07/11/06     (64.32 )     (17.47 )     (47.84 )     (64.34 )     (17.46 )     (47.82 )     35.53       (1.37 )     (4.59 )  
UltraShort SmallCap600   01/23/07     (59.35 )     (13.94 )     (34.83 )     (59.19 )     (14.00 )     (34.96 )     22.65       (7.76 )     (20.60 )  
UltraShort Russell2000   01/23/07     (62.56 )     (16.95 )     (41.11 )     (62.04 )     (16.95 )     (41.11 )     24.53       (8.79 )     (23.09 )  
UltraPro Short S&P500   06/23/09     NA       NA       (51.63 )     NA       NA       (51.60 )     NA       NA       23.56    
Short Style  
UltraShort Russell1000 Value   02/20/07     (52.40 )     (4.68 )     (12.44 )     (52.60 )     (4.68 )     (12.46 )     19.24       (11.26 )     (28.23 )  
UltraShort Russell1000 Growth   02/20/07     (57.63 )     (8.97 )     (22.96 )     (58.24 )     (9.00 )     (23.04 )     35.50       (4.58 )     (12.20 )  
UltraShort Russell MidCap Value   02/20/07     (65.29 )     (8.04 )     (20.74 )     (65.46 )     (7.98 )     (20.61 )     33.74       (10.99 )     (27.63 )  
UltraShort Russell MidCap Growth   02/20/07     (66.28 )     (11.00 )     (27.62 )     (66.94 )     (11.04 )     (27.72 )     42.82       (7.77 )     (20.13 )  
UltraShort Russell2000 Value   02/20/07     (61.85 )     (13.70 )     (33.56 )     (61.56 )     (13.64 )     (33.43 )     18.98       (12.57 )     (31.16 )  
UltraShort Russell2000 Growth   02/20/07     (63.13 )     (13.77 )     (33.72 )     (63.64 )     (13.83 )     (33.83 )     30.59       (8.92 )     (22.86 )  

 

†  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, if any, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.

*  See the allocation of Portfolio Holdings and Composition for the related index for each fund.

NA  Not Applicable. Fund in operation less than one year.

Performance Data :: ProShares Trust :: XXXI


ProShares Trust Performance Data (continued)

SHORT PROSHARES

        NAV TOTAL RETURNS (%)
AS OF 11/30/09		   MARKET VALUE RETURNS† (%)
AS OF 11/30/09		   INDEX* TOTAL RETURNS (%)
AS OF 11/30/09		  
    Inception
Date		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		  
Short Sector  
Short Financials   06/10/08     (46.33 )     (24.22 )     (33.55 )     (46.58 )     (24.27 )     (33.62 )     18.99       (21.09 )     (29.47 )  
Short Oil & Gas   06/10/08     (23.72 )     (1.35 )     (1.99 )     (24.74 )     (1.43 )     (2.10 )     12.62       (21.79 )     (30.40 )  
UltraShort Basic Materials   01/30/07     (80.83 )     (41.69 )     (78.30 )     (81.17 )     (41.71 )     (78.33 )     66.37       0.59       1.69    
UltraShort Consumer Goods   01/30/07     (42.22 )     (7.38 )     (19.53 )     (42.97 )     (7.43 )     (19.64 )     21.49       (0.68 )     (1.90 )  
UltraShort Consumer Services   01/30/07     (59.36 )     (5.57 )     (14.99 )     (59.61 )     (5.53 )     (14.89 )     36.15       (7.25 )     (19.21 )  
UltraShort Financials   01/30/07     (81.76 )     (30.37 )     (64.13 )     (81.90 )     (30.36 )     (64.12 )     18.99       (23.06 )     (52.44 )  
UltraShort Health Care   01/30/07     (47.29 )     (7.07 )     (18.76 )     (47.73 )     (7.12 )     (18.87 )     26.96       (1.17 )     (3.28 )  
UltraShort Industrials   01/30/07     (58.33 )     (12.58 )     (31.67 )     (58.46 )     (12.61 )     (31.75 )     25.73       (6.05 )     (16.22 )  
UltraShort Oil & Gas   01/30/07     (48.87 )     (39.70 )     (76.15 )     (49.21 )     (39.70 )     (76.15 )     12.62       1.20       3.44    
UltraShort Real Estate   01/30/07     (92.36 )     (50.38 )     (86.27 )     (92.26 )     (50.36 )     (86.25 )     42.02       (18.61 )     (44.23 )  
UltraShort Semiconductors   01/30/07     (76.53 )     (20.78 )     (48.30 )     (76.70 )     (20.78 )     (48.30 )     57.88       (6.56 )     (17.51 )  
UltraShort Technology   01/30/07     (70.78 )     (21.23 )     (49.13 )     (70.73 )     (21.23 )     (49.13 )     58.14       0.25       0.72    
UltraShort Telecommunications   03/25/08     (48.99 )     (24.48 )     (37.69 )     (49.80 )     (24.30 )     (37.44 )     17.78       (10.27 )     (16.69 )  
UltraShort Utilities   01/30/07     (25.46 )     (8.56 )     (22.39 )     (26.24 )     (8.55 )     (22.36 )     4.37       (4.43 )     (12.07 )  
Short International  
Short MSCI EAFE   10/23/07     (37.35 )     0.32       0.68       (37.17 )     0.31       0.65       37.26       (14.51 )     (28.13 )  
Short MSCI Emerging Markets   10/30/07     (55.51 )     (19.48 )     (36.34 )     (55.74 )     (19.53 )     (36.42 )     80.52       (11.33 )     (22.21 )  
UltraShort MSCI EAFE   10/23/07     (65.16 )     (15.24 )     (29.38 )     (64.74 )     (15.13 )     (29.19 )     37.26       (14.51 )     (28.13 )  
UltraShort MSCI Emerging Markets   10/30/07     (83.77 )     (56.53 )     (82.39 )     (83.88 )     (56.53 )     (82.39 )     80.52       (11.33 )     (22.21 )  
UltraShort MSCI Europe   06/16/09     NA       NA       (44.05 )     NA       NA       (44.13 )     NA       NA       26.47    
UltraShort MSCI Pacific ex-Japan   06/16/09     NA       NA       (50.83 )     NA       NA       (49.83 )     NA       NA       34.55    
UltraShort MSCI Brazil   06/16/09     NA       NA       (60.30 )     NA       NA       (60.23 )     NA       NA       44.84    
UltraShort FTSE/Xinhua China 25   11/06/07     (84.37 )     (64.68 )     (88.35 )     (84.26 )     (64.66 )     (88.34 )     67.03       (16.51 )     (31.16 )  
UltraShort MSCI Japan   11/06/07     (40.58 )     (5.98 )     (11.97 )     (39.76 )     (5.92 )     (11.85 )     11.92       (15.85 )     (30.02 )  
UltraShort MSCI Mexico Investable Market   06/16/09     NA       NA       (52.85 )     NA       NA       (52.92 )     NA       NA       35.42    

 

†  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, if any, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.

*  See the allocation of Portfolio Holdings and Composition for the related index for each fund.

NA  Not Applicable. Fund in operation less than one year.

XXXII :: ProShares Trust :: Performance Data


ProShares Trust Performance Data (continued)

SHORT PROSHARES

        NAV TOTAL RETURNS (%)
AS OF 11/30/09		   MARKET VALUE RETURNS† (%)
AS OF 11/30/09		   INDEX* TOTAL RETURNS (%)
AS OF 11/30/09		  
    Inception
Date		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		   One Year
Total Return		   Average Annual
Total Return
since
Inception		   Cumulative
Total Return
since
Inception		  
Short Fixed-Income  
Short 20+ Year Treasury   08/18/09   NA   NA     (5.04 )   NA   NA     (4.96 )   NA   NA     3.73    
UltraShort 7-10 Year Treasury   04/29/08     (14.41 )     (19.11 )     (28.61 )     (14.89 )     (19.14 )     (28.66 )     3.18       7.44       12.08    
UltraShort 20+ Year Treasury   04/29/08     (8.41 )     (24.90 )     (36.55 )     (8.49 )     (24.91 )     (36.56 )     (4.90 )     7.17       11.64    
Alpha ProShares  
Credit Suisse 130/30   07/13/09   NA   NA     22.86     NA   NA     22.93     NA   NA     22.39    

 

Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed may be more or less than the original cost. To obtain performance current to the most recent month please visit www.proshares.com.

†  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, if any, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.

*  See the allocation of Portfolio Holdings and Composition for the related index for each fund.

NA  Not Applicable. Fund in operation less than one year.

Performance Data :: ProShares Trust :: XXXIII



Expense Examples

XXXIV :: 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 period and held through the period ended, November 30, 2009.

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, an $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 period and held through the period ended, November 30, 2009.

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
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra QQQ®  
Actual   $ 1,000.00     $ 1,487.10     $ 5.92       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Dow30SM  
Actual   $ 1,000.00     $ 1,493.80     $ 5.94       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra S&P500®  
Actual   $ 1,000.00     $ 1,417.20     $ 5.64       0.93 %  
Hypothetical   $ 1,000.00     $ 1,020.41     $ 4.71       0.93 %  
Ultra Russell3000 (a)  
Actual   $ 1,000.00     $ 1,406.00     $ 4.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MidCap400  
Actual   $ 1,000.00     $ 1,392.10     $ 5.70       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra SmallCap600  
Actual   $ 1,000.00     $ 1,307.40     $ 5.50       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000  
Actual   $ 1,000.00     $ 1,305.60     $ 5.49       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

Expense Examples (Unaudited) :: ProShares Trust :: XXXV


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraPro S&P500® (b)  
Actual   $ 1,000.00     $ 1,792.40     $ 5.81       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell1000 Value  
Actual   $ 1,000.00     $ 1,402.70     $ 5.72       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell1000 Growth  
Actual   $ 1,000.00     $ 1,426.80     $ 5.78       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell MidCap Value  
Actual   $ 1,000.00     $ 1,477.70     $ 5.90       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell MidCap Growth  
Actual   $ 1,000.00     $ 1,368.20     $ 5.64       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000 Value  
Actual   $ 1,000.00     $ 1,331.90     $ 5.55       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000 Growth  
Actual   $ 1,000.00     $ 1,274.60     $ 5.42       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Basic Materials  
Actual   $ 1,000.00     $ 1,562.40     $ 6.10       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Consumer Goods  
Actual   $ 1,000.00     $ 1,420.30     $ 5.76       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Consumer Services  
Actual   $ 1,000.00     $ 1,446.50     $ 5.83       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Financials  
Actual   $ 1,000.00     $ 1,376.30     $ 5.66       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Health Care  
Actual   $ 1,000.00     $ 1,411.20     $ 5.74       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Industrials  
Actual   $ 1,000.00     $ 1,487.20     $ 5.92       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Oil & Gas  
Actual   $ 1,000.00     $ 1,168.60     $ 5.16       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

XXXVI :: ProShares Trust :: Expense Examples (Unaudited)


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra Real Estate  
Actual   $ 1,000.00     $ 1,608.20     $ 6.21       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Semiconductors  
Actual   $ 1,000.00     $ 1,412.20     $ 5.74       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Technology  
Actual   $ 1,000.00     $ 1,582.30     $ 6.15       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Telecommunications  
Actual   $ 1,000.00     $ 1,097.80     $ 5.00       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Utilities  
Actual   $ 1,000.00     $ 1,269.10     $ 5.40       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI EAFE (c)  
Actual   $ 1,000.00     $ 1,285.70     $ 5.38       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Emerging Markets (c)  
Actual   $ 1,000.00     $ 1,384.70     $ 5.62       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra FTSE/Xinhua China 25 (c)  
Actual   $ 1,000.00     $ 1,256.00     $ 5.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Japan (c)  
Actual   $ 1,000.00     $ 993.50     $ 4.70       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short QQQ®  
Actual   $ 1,000.00     $ 791.90     $ 4.27       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Dow30SM  
Actual   $ 1,000.00     $ 795.60     $ 4.28       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short S&P500®  
Actual   $ 1,000.00     $ 812.80     $ 4.23       0.93 %  
Hypothetical   $ 1,000.00     $ 1,020.41     $ 4.71       0.93 %  
Short MidCap400  
Actual   $ 1,000.00     $ 809.40     $ 4.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short SmallCap600  
Actual   $ 1,000.00     $ 826.50     $ 4.35       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

Expense Examples (Unaudited) :: ProShares Trust :: XXXVII


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Short Russell2000  
Actual   $ 1,000.00     $ 824.70     $ 4.35       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort QQQ®  
Actual   $ 1,000.00     $ 618.30     $ 3.85       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Dow30SM  
Actual   $ 1,000.00     $ 625.80     $ 3.87       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort S&P500®  
Actual   $ 1,000.00     $ 651.20     $ 3.73       0.90 %  
Hypothetical   $ 1,000.00     $ 1,020.56     $ 4.56       0.90 %  
UltraShort Russell3000 (a)  
Actual   $ 1,000.00     $ 663.20     $ 3.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MidCap400  
Actual   $ 1,000.00     $ 641.00     $ 3.91       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort SmallCap600  
Actual   $ 1,000.00     $ 665.40     $ 3.97       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell2000  
Actual   $ 1,000.00     $ 661.10     $ 3.96       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short S&P500® (b)  
Actual   $ 1,000.00     $ 483.70     $ 3.09       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell1000 Value  
Actual   $ 1,000.00     $ 640.20     $ 3.91       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell1000 Growth  
Actual   $ 1,000.00     $ 652.80     $ 3.94       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell MidCap Value  
Actual   $ 1,000.00     $ 589.00     $ 3.78       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell MidCap Growth  
Actual   $ 1,000.00     $ 655.30     $ 3.94       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell2000 Value  
Actual   $ 1,000.00     $ 636.40     $ 3.90       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

XXXVIII :: ProShares Trust :: Expense Examples (Unaudited)


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort Russell2000 Growth  
Actual   $ 1,000.00     $ 686.10     $ 4.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Financials  
Actual   $ 1,000.00     $ 785.60     $ 4.25       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Oil & Gas  
Actual   $ 1,000.00     $ 870.00     $ 4.45       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Basic Materials  
Actual   $ 1,000.00     $ 507.60     $ 3.59       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Consumer Goods  
Actual   $ 1,000.00     $ 665.10     $ 3.97       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Consumer Services  
Actual   $ 1,000.00     $ 631.40     $ 3.89       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Financials  
Actual   $ 1,000.00     $ 590.20     $ 3.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Health Care  
Actual   $ 1,000.00     $ 667.70     $ 3.97       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Industrials  
Actual   $ 1,000.00     $ 592.70     $ 3.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Oil & Gas  
Actual   $ 1,000.00     $ 736.10     $ 4.13       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Real Estate  
Actual   $ 1,000.00     $ 446.40     $ 3.44       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Semiconductors  
Actual   $ 1,000.00     $ 603.30     $ 3.82       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Technology  
Actual   $ 1,000.00     $ 579.50     $ 3.76       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Telecommunications  
Actual   $ 1,000.00     $ 837.40     $ 4.38       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

Expense Examples (Unaudited) :: ProShares Trust :: XXXIX


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort Utilities  
Actual   $ 1,000.00     $ 730.50     $ 4.12       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short MSCI EAFE  
Actual   $ 1,000.00     $ 805.40     $ 4.30       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short MSCI Emerging Markets  
Actual   $ 1,000.00     $ 771.60     $ 4.22       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI EAFE  
Actual   $ 1,000.00     $ 631.90     $ 3.89       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Emerging Markets  
Actual   $ 1,000.00     $ 566.50     $ 3.73       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Europe (d)  
Actual   $ 1,000.00     $ 559.50     $ 3.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Pacific ex-Japan (d)  
Actual   $ 1,000.00     $ 491.70     $ 3.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Brazil (d)  
Actual   $ 1,000.00     $ 397.00     $ 3.04       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort FTSE/Xinhua China 25  
Actual   $ 1,000.00     $ 590.60     $ 3.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Japan  
Actual   $ 1,000.00     $ 895.10     $ 4.51       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Mexico Investable Market (d)  
Actual   $ 1,000.00     $ 471.50     $ 3.20       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short 20+ Year Treasury (e)  
Actual   $ 1,000.00     $ 949.60     $ 2.64       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort 7-10 Year Treasury  
Actual   $ 1,000.00     $ 879.70     $ 4.48       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort 20+ Year Treasury  
Actual   $ 1,000.00     $ 844.00     $ 4.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

 

XL :: ProShares Trust :: Expense Examples (Unaudited)


    Beginning
Account
Value		   Ending
Account
Value
11/30/09		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Credit Suisse 130/30 (f)  
Actual   $ 1,000.00     $ 1,228.60     $ 4.06       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       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).

(a)  The Fund commenced operations on June 30, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 153 divided by 365 (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 365 (to reflect the one half year period).

(b)  The Fund commenced operations on June 23, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 160 divided by 365 (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 365 (to reflect the one half year period).

(c)  The Fund commenced operations on June 2, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181 divided by 365 (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 365 (to reflect the one half year period).

(d)  The Fund commenced operations on June 16, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 167 divided by 365 (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 365 (to reflect the one half year period).

(e)  The Fund commenced operations on August 18, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 104 divided by 365 (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 365 (to reflect the one half year period).

(f)  The Fund commenced operations on July 13, 2009. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 140 divided by 365 (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 365 (to reflect the one half year period).

Expense Examples (Unaudited) :: ProShares Trust :: XLI



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Schedule of Portfolio Investments

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 1


  Ultra QQQ®  QLD

Shares     Value  
    Common Stocks (a) — 70.8%  
    Consumer Discretionary — 9.9%  
  111,903     Amazon.com, Inc.*   $ 15,208,737    
  60,638     Apollo Group, Inc., Class A*     3,460,611    
  137,461     Bed Bath & Beyond, Inc.*     5,135,543    
  563,323     Comcast Corp., Class A     8,263,948    
  277,745     DIRECTV, Class A*     8,785,074    
  83,952     DISH Network Corp., Class A     1,738,646    
  110,777     Expedia, Inc.*     2,822,598    
  72,592     Garmin Ltd.     2,169,049    
  53,920     Liberty Global, Inc., Class A*     1,040,117    
  213,267     Liberty Media Corp. - Interactive,
Class A*		     2,269,161    
  555,231     News Corp., Class A     6,362,947    
  53,205     O'Reilly Automotive, Inc.*     2,063,290    
  17,455     priceline.com, Inc.*     3,737,465    
  49,995     Ross Stores, Inc.     2,198,780    
  48,498     Sears Holdings Corp.*     3,440,933    
  189,382     Staples, Inc.     4,416,388    
  400,006     Starbucks Corp.*     8,760,131    
  64,952     Urban Outfitters, Inc.*     2,055,081    
  52,387     Wynn Resorts Ltd.     3,381,057    
      87,309,556    
    Consumer Staples — 0.8%  
  89,405     Costco Wholesale Corp.     5,356,254    
  34,995     Hansen Natural Corp.*     1,223,775    
      6,580,029    
    Health Care — 11.1%  
  184,734     Amgen, Inc.*     10,409,761    
  122,558     Biogen Idec, Inc.*     5,752,873    
  177,487     Celgene Corp.*     9,841,654    
  28,377     Cephalon, Inc.*     1,559,316    
  31,510     Cerner Corp.*     2,372,388    
  55,673     DENTSPLY International, Inc.     1,855,024    
  95,577     Express Scripts, Inc.*     8,200,507    
  132,265     Genzyme Corp.*     6,705,837    
  347,574     Gilead Sciences, Inc.*     16,005,783    
  35,098     Henry Schein, Inc.*     1,742,967    
  105,322     Hologic, Inc.*     1,524,009    
  47,562     Illumina, Inc.*     1,375,493    
  14,790     Intuitive Surgical, Inc.*     4,149,187    
  69,658     Life Technologies Corp.*     3,467,575    
  45,782     Patterson Cos., Inc.*     1,177,055    
  44,848     Pharmaceutical Product
Development, Inc.		     961,541    
  287,874     Teva Pharmaceutical
Industries Ltd. (ADR)		     15,196,868    
  73,744     Vertex Pharmaceuticals, Inc.*     2,862,742    
  97,737     Warner Chilcott plc, Class A*     2,402,375    
      97,562,955    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Industrials — 3.2%  
  64,904     C.H. Robinson Worldwide, Inc.   $ 3,617,749    
  71,544     Cintas Corp.     2,009,671    
  81,285     Expeditors International of
Washington, Inc.		     2,595,430    
  55,421     Fastenal Co.     2,055,010    
  28,936     First Solar, Inc.*     3,446,567    
  51,552     Foster Wheeler AG*     1,538,312    
  49,474     J.B. Hunt Transport Services, Inc.     1,576,241    
  39,187     Joy Global, Inc.     2,098,072    
  158,948     PACCAR, Inc.     5,893,792    
  45,380     Ryanair Holdings plc (ADR)*     1,189,410    
  34,874     Stericycle, Inc.*     1,908,654    
      27,928,908    
    Information Technology — 44.8%  
  443,149     Activision Blizzard, Inc.*     5,047,467    
  200,822     Adobe Systems, Inc.*     7,044,836    
  64,474     Akamai Technologies, Inc.*     1,547,376    
  161,497     Altera Corp.     3,396,282    
  487,674     Apple, Inc.*     97,490,909    
  269,065     Applied Materials, Inc.     3,312,190    
  93,431     Autodesk, Inc.*     2,190,957    
  138,510     Automatic Data Processing, Inc.     6,018,259    
  10,314     Baidu, Inc. (ADR)*     4,473,594    
  155,220     Broadcom Corp., Class A*     4,532,424    
  196,363     CA, Inc.     4,339,622    
  80,480     Check Point Software Technologies*     2,542,363    
  804,285     Cisco Systems, Inc.*     18,820,269    
  84,879     Citrix Systems, Inc.*     3,240,680    
  111,529     Cognizant Technology Solutions Corp.,
Class A*		     4,899,469    
  280,569     Dell, Inc.*     3,961,634    
  375,778     eBay, Inc.*     9,195,288    
  127,295     Electronic Arts, Inc.*     2,150,013    
  75,375     Fiserv, Inc.*     3,485,340    
  343,423     Flextronics International Ltd.*     2,428,001    
  61,875     FLIR Systems, Inc.*     1,775,813    
  57,458     Google, Inc., Class A*     33,498,014    
  53,297     IAC/InterActiveCorp.*     1,036,627    
  42,016     Infosys Technologies Ltd. (ADR)     2,141,556    
  765,092     Intel Corp.     14,689,766    
  158,844     Intuit, Inc.*     4,639,833    
  80,723     KLA-Tencor Corp.     2,521,787    
  51,038     Lam Research Corp.*     1,734,782    
  115,965     Linear Technology Corp.     3,127,576    
  68,713     Logitech International S.A.
(Registered)*		     1,135,826    
  230,602     Marvell Technology Group Ltd.*     3,555,883    
  117,564     Maxim Integrated Products, Inc.     2,069,126    
  59,361     Microchip Technology, Inc.     1,558,226    

 

See accompanying notes to the financial statements.

2 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  QLD  Ultra QQQ®

Shares     Value  
    Common Stocks (a) (continued)  
  1,196,954     Microsoft Corp.   $ 35,202,417    
  137,222     NetApp, Inc.*     4,229,182    
  209,958     NVIDIA Corp.*     2,742,051    
  816,168     Oracle Corp.     18,020,989    
  133,708     Paychex, Inc.     4,191,746    
  782,503     QUALCOMM, Inc.     35,212,635    
  221,609     Research In Motion Ltd.*     12,828,945    
  192,814     Seagate Technology     2,917,276    
  332,419     Symantec Corp.*     5,900,437    
  70,977     VeriSign, Inc.*     1,592,724    
  142,915     Xilinx, Inc.     3,235,596    
  263,309     Yahoo!, Inc.*     3,941,736    
      393,617,522    
    Materials — 0.4%  
  45,661     Sigma-Aldrich Corp.     2,435,558    
  86,600     Steel Dynamics, Inc.     1,465,272    
      3,900,830    
    Telecommunication Services — 0.6%  
  40,971     Millicom International Cellular S.A.*     3,064,631    
  62,990     NII Holdings, Inc.*     1,877,102    
      4,941,733    
        Total Common Stocks
(Cost $496,177,288)		     621,841,533    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 5.9%  
$ 1,438,023     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,438,029 (b)		     1,438,023    
  2,876,046     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,876,059 (c)		     2,876,046    
  8,628,139     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $8,628,240 (d)		     8,628,139    
  1,729,213     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,729,220 (e)		     1,729,213    
  3,019,849     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,019,862 (f)		     3,019,849    
  5,752,093     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $5,752,216 (g)		     5,752,093    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 1,438,023     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,438,029 (h)		   $ 1,438,023    
  8,628,139     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,628,177 (i)		     8,628,139    
  7,190,116     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,190,148 (j)		     7,190,116    
  4,314,069     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,314,087 (k)		     4,314,069    
  6,638,408     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,638,438 (l)		     6,638,408    
        Total Repurchase Agreements
(Cost $51,652,118)		     51,652,118    
        Total Investment Securities
(Cost $547,829,406) — 76.7%		     673,493,651    
        Other assets less liabilities — 23.3%     204,555,540    
        Net Assets — 100.0%   $ 878,049,191    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $192,073,318.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,466,784. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,933,567. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $8,800,732. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 3


  Ultra QQQ®  QLD

schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,763,798. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,080,269. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,867,147. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,466,785. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $8,800,712. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $7,333,935. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,400,364. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $6,771,186. The investment in the repurchase agreement was through participation in a pooled account.

ADR  American Depositary Receipt

As of November 30, 2009, 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   $ 64,592,990    
Aggregate gross unrealized depreciation     (12,159,034 )  
Net unrealized appreciation   $ 52,433,956    
Federal income tax cost of investments   $ 621,059,695    

 

Futures Contracts Purchased

Ultra QQQ® had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini NASDAQ-100 Futures Contracts     3,751       12/18/09     $ 132,616,605     $ 1,695,095    

 

Cash collateral in the amount of $11,178,193 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

See accompanying notes to the financial statements.

4 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  QLD  Ultra QQQ®

Swap Agreements

Ultra QQQ® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
NASDAQ-100® Index		   $ 122,054,163     $ (3,059,852 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     112,165,724       (2,348,273 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     68,253,428       6,198,357    
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     697,886,963       192,179,415    
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     1,274,611       (28,237 )  
            $ 192,941,410    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 621,841,533     $ —     $ 621,841,533    
Repurchase Agreements     —       51,652,118       51,652,118    
Total Investment Securities     621,841,533       51,652,118       673,493,651    
Other Financial Instruments*:  
Futures Contracts     1,695,095       —       1,695,095    
Swap Agreements     —       192,941,410       192,941,410    
Total Other Financial Instruments     1,695,095       192,941,410       194,636,505    
Total Investments   $ 623,536,628     $ 244,593,528     $ 868,130,156    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 5


  Ultra Dow30SM  DDM

Shares     Value  
    Common Stocks (a) — 66.0%  
    Consumer Discretionary — 5.8%  
  196,909     Home Depot, Inc.   $ 5,387,430    
  196,909     McDonald's Corp.     12,454,494    
  196,909     Walt Disney Co. (The)     5,950,590    
      23,792,514    
    Consumer Staples — 9.7%  
  196,909     Coca-Cola Co. (The)     11,263,195    
  196,909     Kraft Foods, Inc., Class A     5,233,841    
  196,909     Procter & Gamble Co. (The)     12,277,276    
  196,909     Wal-Mart Stores, Inc.     10,741,386    
      39,515,698    
    Energy — 7.4%  
  196,909     Chevron Corp.     15,366,778    
  196,909     Exxon Mobil Corp.     14,781,959    
      30,148,737    
    Financials — 7.4%  
  196,909     American Express Co.     8,236,703    
  196,909     Bank of America Corp.     3,121,008    
  196,909     JPMorgan Chase & Co.     8,366,663    
  196,909     Travelers Cos., Inc. (The)     10,316,063    
      30,040,437    
    Health Care — 5.6%  
  196,909     Johnson & Johnson     12,373,762    
  196,909     Merck & Co., Inc.     7,130,075    
  196,909     Pfizer, Inc.     3,577,836    
      23,081,673    
    Industrials — 13.1%  
  196,909     3M Co.     15,248,633    
  196,909     Boeing Co. (The)     10,320,001    
  196,909     Caterpillar, Inc.     11,497,516    
  196,909     General Electric Co.     3,154,482    
  196,909     United Technologies Corp.     13,240,161    
      53,460,793    
    Information Technology — 11.9%  
  196,909     Cisco Systems, Inc.*     4,607,671    
  196,909     Hewlett-Packard Co.     9,660,355    
  196,909     Intel Corp.     3,780,653    
  196,909     International Business
Machines Corp.		     24,879,452    
  196,909     Microsoft Corp.     5,791,094    
      48,719,225    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Materials — 2.3%  
  196,909     Alcoa, Inc.   $ 2,465,301    
  196,909     E.I. du Pont de Nemours & Co.     6,809,113    
      9,274,414    
    Telecommunication Services — 2.8%  
  196,909     AT&T, Inc.     5,304,729    
  196,909     Verizon Communications, Inc.     6,194,757    
      11,499,486    
        Total Common Stocks
(Cost $220,593,492)		     269,532,977    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 5.9%  
$ 666,683     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $666,686 (b)		     666,683    
  1,333,365     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,333,371 (c)		     1,333,365    
  4,000,095     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $4,000,142 (d)		     4,000,095    
  801,681     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $801,684 (e)		     801,681    
  1,400,033     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,400,039 (f)		     1,400,033    
  2,666,730     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $2,666,787 (g)		     2,666,730    
  666,683     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $666,686 (h)		     666,683    
  4,000,095     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,000,113 (i)		     4,000,095    
  3,333,413     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,333,428 (j)		     3,333,413    

 

See accompanying notes to the financial statements.

6 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DDM  Ultra Dow30SM

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 2,000,048     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,000,056 (k)		   $ 2,000,048    
  3,077,636     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,077,650 (l)		     3,077,636    
    Total Repurchase Agreements
(Cost $23,946,462)		     23,946,462    
    Total Investment Securities
(Cost $244,539,954) — 71.9%		     293,479,439    
    Other assets less liabilities — 28.1%     114,639,867    
    Net Assets — 100.0%   $ 408,119,306    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $86,442,084.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $680,017. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,360,032. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $4,080,111. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $817,715. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,428,044. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,720,070. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $680,018. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $4,080,102. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $3,400,089. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,040,055. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,139,193. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 7


  Ultra Dow30SM  DDM

As of November 30, 2009, 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   $ 22,684,888    
Aggregate gross unrealized depreciation     (325,201 )  
Net unrealized appreciation   $ 22,359,687    
Federal income tax cost of investments   $ 271,119,752    

 

Futures Contracts Purchased

Ultra Dow30SM had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     951       12/18/09     $ 49,152,435     $ 1,775,187    

 

Cash collateral in the amount of $5,152,715 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Ultra Dow30SM had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on Dow Jones
Industrial AverageSM Index		   $ 23,115,141     $ (251,385 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on Dow Jones Industrial AverageSM Index     33,956,600       (455,704 )  
Equity Index Swap Agreement with Goldman Sachs International, based on Dow Jones
Industrial AverageSM Index		     6,376,520       1,416,094    
Equity Index Swap Agreement with Societe Generale, based on Dow Jones Industrial AverageSM Index     432,539,480       108,248,970    
Equity Index Swap Agreement with UBS AG, based on Dow Jones Industrial AverageSM Index     1,565,769       (6,842 )  
            $ 108,951,133    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 269,532,977     $ —     $ 269,532,977    
Repurchase Agreements     —       23,946,462       23,946,462    
Total Investment Securities     269,532,977       23,946,462       293,479,439    
Other Financial Instruments*:  
Futures Contracts     1,775,187       —       1,775,187    
Swap Agreements     —       108,951,133       108,951,133    
Total Other Financial Instruments     1,775,187       108,951,133       110,726,320    
Total Investments   $ 271,308,164     $ 132,897,595     $ 404,205,759    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

8 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SSO  Ultra S&P500®

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 66.9%  
  80,630     3M Co. (Industrials)     0.4 %   $ 6,243,987    
  178,489     Abbott Laboratories
(Health Care)		     0.6 %     9,725,866    
  38,392     Amazon.com, Inc.*
(Consumer Discretionary)		     0.3 %     5,217,857    
  137,302     American Express Co.
(Financials)		     0.3 %     5,743,343    
  117,249     Amgen, Inc.*
(Health Care)		     0.4 %     6,606,981    
  103,421     Apple, Inc.*
(Information Technology)		     1.2 %     20,674,892    
  681,227     AT&T, Inc.
(Telecommunication
Services)		     1.1 %     18,352,255    
  998,935     Bank of America Corp.
(Financials)		     1.0 %     15,833,120    
  228,733     Bristol-Myers Squibb Co.
(Health Care)		     0.3 %     5,789,232    
  231,574     Chevron Corp. (Energy)     1.1 %     18,072,035    
  665,975     Cisco Systems, Inc.*
(Information Technology)		     0.9 %     15,583,815    
  1,505,852     Citigroup, Inc. (Financials)     0.4 %     6,189,052    
  267,572     Coca-Cola Co. (The)
(Consumer Staples)		     0.9 %     15,305,118    
  57,549     Colgate-Palmolive Co.
(Consumer Staples)		     0.3 %     4,845,050    
  331,352     Comcast Corp.,
Class A (Consumer
Discretionary)		     0.3 %     4,860,934    
  171,211     ConocoPhillips (Energy)     0.5 %     8,863,593    
  166,653     CVS Caremark Corp.
(Consumer Staples)		     0.3 %     5,167,910    
  554,902     Exxon Mobil Corp.
(Energy)		     2.5 %     41,656,493    
  1,227,015     General Electric Co.
(Industrials)		     1.2 %     19,656,780    
  104,411     Gilead Sciences, Inc.*
(Health Care)		     0.3 %     4,808,127    
  59,067     Goldman Sachs Group,
Inc. (The) (Financials)		     0.6 %     10,021,307    
  27,780     Google, Inc., Class A*
(Information Technology)		     1.0 %     16,195,740    
  273,777     Hewlett-Packard Co.
(Information Technology)		     0.8 %     13,431,500    
  196,813     Home Depot, Inc.
(Consumer Discretionary)		     0.3 %     5,384,804    
  646,370     Intel Corp.
(Information Technology)		     0.7 %     12,410,304    
  151,372     International Business
Machines Corp.
(Information Technology)		     1.2 %     19,125,852    
  318,203     Johnson & Johnson
(Health Care)		     1.2 %     19,995,877    
  454,071     JPMorgan Chase & Co.
(Financials)		     1.2 %     19,293,477    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  126,001     McDonald's Corp.
(Consumer Discretionary)		     0.5 %   $ 7,969,563    
  127,789     Medtronic, Inc.
(Health Care)		     0.3 %     5,423,365    
  352,297     Merck & Co., Inc.
(Health Care)		     0.8 %     12,756,667    
  895,110     Microsoft Corp.
(Information Technology)		     1.6 %     26,325,185    
  63,043     Monsanto Co. (Materials)     0.3 %     5,090,722    
  156,942     Morgan Stanley
(Financials)		     0.3 %     4,956,228    
  93,624     Occidental Petroleum
Corp. (Energy)		     0.5 %     7,563,883    
  450,947     Oracle Corp.
(Information Technology)		     0.6 %     9,956,910    
  179,883     PepsiCo, Inc.
(Consumer Staples)		     0.7 %     11,192,320    
  931,117     Pfizer, Inc. (Health Care)     1.0 %     16,918,396    
  223,356     Philip Morris International,
Inc. (Consumer Staples)		     0.6 %     10,741,190    
  337,024     Procter & Gamble Co.
(The) (Consumer Staples)		     1.3 %     21,013,446    
  191,942     QUALCOMM, Inc.
(Information Technology)		     0.5 %     8,637,390    
  138,302     Schlumberger Ltd.
(Energy)		     0.5 %     8,836,115    
  220,756     U.S. Bancorp (Financials)     0.3 %     5,326,842    
  114,821     United Parcel Service, Inc.,
Class B (Industrials)		     0.4 %     6,598,763    
  108,671     United Technologies
Corp. (Industrials)		     0.4 %     7,307,038    
  327,969     Verizon Communications,
Inc. (Telecommunication
Services)		     0.6 %     10,317,905    
  249,365     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.8 %     13,602,861    
  214,600     Walt Disney Co. (The)
(Consumer Discretionary)		     0.4 %     6,485,212    
  539,391     Wells Fargo & Co.
(Financials)		     0.9 %     15,124,524    
  18,643,336     Other Common Stocks     32.3 %     537,614,131    
        Total Common Stocks
(Cost $881,453,675)		             1,114,813,957    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 3.4%  
$ 1,609,221     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,609,228 (b)		           1,609,221    
  3,218,443     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,218,457 (c)		           3,218,443    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 9


  Ultra S&P500®  SSO

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 9,655,328     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $9,655,441 (d)		     $ 9,655,328    
  1,935,077     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,935,085 (e)		       1,935,077    
  3,379,365     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,379,380 (f)		       3,379,365    
  6,436,885     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $6,437,023 (g)		       6,436,885    
  1,609,221     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,609,228 (h)		       1,609,221    
  9,655,328     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,655,371 (i)		       9,655,328    
  8,046,107     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,046,143 (j)		       8,046,107    
  4,827,664     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,827,684 (k)		       4,827,664    
  7,428,720     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,428,753 (l) 		      7,428,720    
        Total Repurchase Agreements
(Cost $57,801,359)		       57,801,359    
        Total Investment Securities
(Cost $939,255,034) — 70.3%		       1,172,615,316    
        Other assets in excess of
liabilities — 29.7%		       494,316,712    
        Net Assets — 100.0%     $ 1,666,932,028    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $395,109,025.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,641,406. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,282,812. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $9,848,469. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,973,780. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,446,978. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,565,636. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,641,408. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to

See accompanying notes to the financial statements.

10 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SSO  Ultra S&P500®

04/15/32, which had a total value of $9,848,446. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,207,048. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,924,232. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,577,305. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 82,393,636    
Aggregate gross unrealized depreciation     (8,645,349 )  
Net unrealized appreciation   $ 73,748,287    
Federal income tax cost of investments   $ 1,098,867,029    

 

Futures Contracts Purchased

Ultra S&P500® had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration
Date		   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     3,818       12/18/09     $ 208,987,775     $ 3,415,646    

 

Cash collateral in the amount of $15,605,825 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Ultra S&P500® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index   $ 43,844,343     $ (586,299 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     53,646,345       (716,843 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     50,595,722       6,253,456    
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     1,861,211,790       467,706,209    
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     771,490       19,884    
            $ 472,676,407    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 11


  Ultra S&P500®  SSO

Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     6.3 %  
Consumer Staples     7.8 %  
Energy     8.0 %  
Financials     9.7 %  
Health Care     8.6 %  
Industrials     6.9 %  
Information Technology     12.7 %  
Materials     2.4 %  
Telecommunication Services     2.1 %  
Utilities     2.4 %  
Other1     33.1 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 1,114,813,957     $ —     $ 1,114,813,957    
Repurchase Agreements     —       57,801,359       57,801,359    
Total Investment Securities     1,114,813,957       57,801,359       1,172,615,316    
Other Financial Instruments*:  
Futures Contracts     3,415,646       —       3,415,646    
Swap Agreements     —       472,676,407       472,676,407    
Total Other Financial Instruments     3,415,646       472,676,407       476,092,053    
Total Investments   $ 1,118,229,603     $ 530,477,766     $ 1,648,707,369    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

12 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UWC  Ultra Russell3000

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) — 80.6%  
  270     3M Co. (Industrials)     0.4 %   $ 20,909    
  600     Abbott Laboratories
(Health Care)		     0.6 %     32,694    
  128     Amazon.com, Inc.*
(Consumer Discretionary)		     0.3 %     17,396    
  394     American Express Co.
(Financials)		     0.3 %     16,481    
  393     Amgen, Inc.*(Health Care)     0.4 %     22,146    
  347     Apple, Inc.*(Information
Technology)		     1.2 %     69,369    
  2,293     AT&T, Inc.
(Telecommunication
Services)		     1.1 %     61,773    
  3,361     Bank of America Corp.
(Financials)		     0.9 %     53,272    
  769     Bristol-Myers Squibb Co.
(Health Care)		     0.3 %     19,463    
  779     Chevron Corp. (Energy)     1.1 %     60,793    
  2,241     Cisco Systems, Inc.*
(Information Technology)		     0.9 %     52,439    
  5,901     Citigroup, Inc. (Financials)     0.4 %     24,253    
  900     Coca-Cola Co. (The)
(Consumer Staples)		     0.9 %     51,480    
  195     Colgate-Palmolive Co.
(Consumer Staples)		     0.3 %     16,417    
  1,117     Comcast Corp., Class A
(Consumer Discretionary)		     0.3 %     16,386    
  576     ConocoPhillips (Energy)     0.5 %     29,820    
  566     CVS Caremark Corp.
(Consumer Staples)		     0.3 %     17,552    
  1,896     Exxon Mobil Corp.
(Energy)		     2.5 %     142,333    
  4,114     General Electric Co.
(Industrials)		     1.2 %     65,906    
  352     Gilead Sciences, Inc.*
(Health Care)		     0.3 %     16,210    
  196     Goldman Sachs Group,
Inc. (The) (Financials)		     0.6 %     33,253    
  93     Google, Inc., Class A*
(Information Technology)		     1.0 %     54,219    
  929     Hewlett-Packard Co.
(Information Technology)		     0.8 %     45,577    
  659     Home Depot, Inc.
(Consumer Discretionary)		     0.3 %     18,030    
  2,170     Intel Corp. (Information
Technology)		     0.7 %     41,664    
  513     International Business
Machines Corp.
(Information Technology)		     1.2 %     64,818    
  1,071     Johnson & Johnson
(Health Care)		     1.2 %     67,302    
  1,461     JPMorgan Chase & Co.
(Financials)		     1.1 %     62,078    
  429     McDonald's Corp.
(Consumer Discretionary)		     0.5 %     27,134    

 

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) (continued)  
  435     Medtronic, Inc.
(Health Care)		     0.3 %   $ 18,461    
  1,185     Merck & Co., Inc.
(Health Care)		     0.8 %     42,903    
  2,995     Microsoft Corp.
(Information Technology)		     1.6 %     88,083    
  212     Monsanto Co. (Materials)     0.3 %     17,119    
  528     Morgan Stanley
(Financials)		     0.3 %     16,674    
  315     Occidental Petroleum
Corp. (Energy)		     0.5 %     25,449    
  1,486     Oracle Corp. (Information
Technology)		     0.6 %     32,811    
  605     PepsiCo, Inc.
(Consumer Staples)		     0.7 %     37,643    
  3,133     Pfizer, Inc. (Health Care)     1.0 %     56,927    
  762     Philip Morris
International, Inc.
(Consumer Staples)		     0.7 %     36,645    
  1,132     Procter & Gamble Co.
(The) (Consumer Staples)		     1.3 %     70,580    
  643     QUALCOMM, Inc.
(Information Technology)		     0.5 %     28,935    
  465     Schlumberger Ltd.
(Energy)		     0.5 %     29,709    
  738     U.S. Bancorp (Financials)     0.3 %     17,808    
  268     United Parcel Service, Inc.,
Class B (Industrials)		     0.3 %     15,402    
  325     United Technologies Corp.
(Industrials)		     0.4 %     21,853    
  1,103     Verizon
Communications, Inc.
(Telecommunication
Services)		     0.6 %     34,700    
  859     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.8 %     46,858    
  721     Walt Disney Co. (The)
(Consumer Discretionary)		     0.4 %     21,789    
  1,848     Wells Fargo & Co.
(Financials)		     0.9 %     51,818    
  109,185     Other Common Stocks     46.2 %     2,591,403    
        Total Common Stocks
(Cost $4,542,850)		             4,524,737    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 10.7%  
$ 16,768     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $16,768 (b)		           16,768    
  33,536     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $33,536 (c)		           33,536    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 13


  Ultra Russell3000  UWC

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 100,608     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $100,609 (d)		       $ 100,608    
  20,163     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $20,163 (e)		       20,163    
  35,213     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $35,213 (f)		       35,213    
  67,072     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $67,073 (g)		       67,072    
  16,768     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $16,768 (h)		       16,768    
  100,608     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $100,608 (i)		       100,608    
  83,840     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $83,840 (j)		       83,840    
  50,304     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $50,304 (k)		       50,304    
  77,409     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $77,409 (l)		       77,409    
        Total Repurchase Agreements
(Cost $602,289)		       602,289    
        Total Investment Securities
(Cost $5,145,139) — 91.3%		       5,127,026    
        Other assets in excess of
liabilities — 8.7%		       487,987    
        Net Assets — 100.0%     $ 5,615,013    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $1,427,626.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $17,103. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $34,207. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $102,621. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $20,566. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $35,918. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $68,414. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $17,103. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $102,620. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.

14 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UWC  Ultra Russell3000

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $85,517. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $51,310. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $78,957. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 130,849    
Aggregate gross unrealized depreciation     (150,615 )  
Net unrealized depreciation   $ (19,766 )  
Federal income tax cost of investments   $ 5,146,792    

 

Swap Agreements

Ultra Russell3000 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 3000® Index   $ 2,849,829     $ 469,984    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index     2,411,002       (40,285 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index     1,437,070       14,484    
            $ 444,183    

 

Ultra Russell3000 invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     8.3 %  
Consumer Staples     8.3 %  
Energy     9.0 %  
Financials     12.3 %  
Health Care     10.3 %  
Industrials     8.7 %  
Information Technology     15.0 %  
Materials     3.3 %  
Telecommunication Services     2.3 %  
Utilities     3.1 %  
Other1     19.4 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 15


  Ultra Russell3000  UWC

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 4,524,737     $ —     $ 4,524,737    
Repurchase Agreements     —       602,289       602,289    
Total Investment Securities     4,524,737       602,289       5,127,026    
Other Financial Instruments*:  
Swap Agreements     —       444,183       444,183    
Total Other Financial Instruments     —       444,183       444,183    
Total Investments   $ 4,524,737     $ 1,046,472     $ 5,571,209    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

16 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  MVV  Ultra MidCap400

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 62.0%  
  7,753     Advance Auto Parts, Inc.
(Consumer Discretionary)		     0.3 %   $ 304,693    
  8,733     AMETEK, Inc.
(Industrials)		     0.3 %     319,278    
  12,272     Avnet, Inc.*
(Information Technology)		     0.3 %     334,412    
  5,568     Beckman Coulter, Inc.
(Health Care)		     0.3 %     361,697    
  9,476     BorgWarner, Inc.
(Consumer Discretionary)		     0.2 %     286,270    
  6,102     Bucyrus International,
Inc. (Industrials)		     0.3 %     316,023    
  17,894     CarMax, Inc.*
(Consumer Discretionary)		     0.3 %     355,733    
  5,465     Cerner Corp.*
(Health Care)		     0.4 %     411,460    
  5,710     Church & Dwight Co.,
Inc. (Consumer Staples)		     0.3 %     337,118    
  6,775     Cimarex Energy Co.
(Energy)		     0.3 %     317,341    
  10,641     Cliffs Natural Resources,
Inc. (Materials)		     0.4 %     468,842    
  8,186     Cree, Inc.*
(Information Technology)		     0.3 %     391,536    
  7,261     Dollar Tree, Inc.*
(Consumer Discretionary)		     0.3 %     355,571    
  9,541     Eaton Vance Corp.
(Financials)		     0.2 %     287,566    
  4,582     Edwards Lifesciences
Corp.* (Health Care)		     0.3 %     377,007    
  5,637     Energizer Holdings, Inc.*
(Consumer Staples)		     0.3 %     317,589    
  3,136     Equinix, Inc.*
(Information Technology)		     0.3 %     301,652    
  4,944     Everest Re Group Ltd.
(Financials)		     0.4 %     420,784    
  6,396     F5 Networks, Inc.*
(Information Technology)		     0.3 %     300,804    
  4,970     Federal Realty
Investment Trust
(REIT) (Financials)		     0.3 %     319,670    
  6,543     Global Payments, Inc.
(Information Technology)		     0.3 %     335,394    
  8,566     Helmerich & Payne,
Inc. (Energy)		     0.3 %     321,653    
  7,327     Henry Schein, Inc.*
(Health Care)		     0.3 %     363,859    
  20,847     Hologic, Inc.*
(Health Care)		     0.3 %     301,656    
  8,313     Joy Global, Inc.
(Industrials)		     0.4 %     445,078    
  10,287     Lam Research Corp.*
(Information Technology)		     0.3 %     349,655    
  7,809     Lender Processing
Services, Inc.
(Information Technology)		     0.3 %     326,260    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  5,493     Lubrizol Corp. (Materials)     0.4 %   $ 398,352    
  6,368     Manpower, Inc.
(Industrials)		     0.3 %     313,688    
  3,619     Martin Marietta Materials,
Inc. (Materials)		     0.3 %     308,664    
  14,952     MDU Resources Group,
Inc. (Utilities)		     0.3 %     337,915    
  6,518     National Fuel Gas Co.
(Utilities)		     0.3 %     305,238    
  9,114     Nationwide Health
Properties, Inc.
(REIT) (Financials)		     0.3 %     309,967    
  28,428     New York Community
Bancorp, Inc.
(Financials)		     0.3 %     332,323    
  10,776     Newfield Exploration
Co.* (Energy)		     0.4 %     455,609    
  8,677     NSTAR (Utilities)     0.2 %     287,469    
  472     NVR, Inc.*
(Consumer Discretionary)		     0.3 %     317,727    
  8,561     Oneok, Inc. (Utilities)     0.3 %     342,611    
  7,261     Oshkosh Corp.
(Industrials)		     0.2 %     288,480    
  11,311     Plains Exploration &
Production Co.*
(Energy)		     0.3 %     307,772    
  14,102     Pride International,
Inc.* (Energy)		     0.4 %     446,046    
  6,136     ResMed, Inc.*
(Health Care)		     0.3 %     308,457    
  7,379     Roper Industries, Inc.
(Industrials)		     0.3 %     384,003    
  10,161     Ross Stores, Inc.
(Consumer Discretionary)		     0.4 %     446,881    
  17,041     SAIC, Inc.*
(Information Technology)		     0.3 %     303,671    
  17,478     Steel Dynamics, Inc.
(Materials)		     0.3 %     295,728    
  8,106     Terra Industries, Inc.
(Materials)		     0.3 %     312,729    
  10,527     Urban Outfitters, Inc.*
(Consumer Discretionary)		     0.3 %     333,074    
  14,674     Vertex Pharmaceuticals,
Inc.* (Health Care)		     0.5 %     569,645    
  2,339,080     Other Common Stocks     46.7 %     52,219,613    
        Total Common Stocks
(Cost $46,918,592)		             69,254,263    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 21.9%  
$ 681,459     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $681,462 (b)		           681,459    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 17


  Ultra MidCap400  MVV

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 1,362,918     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,362,924 (c)		     $ 1,362,918    
  4,088,754     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $4,088,802 (d)		       4,088,754    
  819,450     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $819,453 (e)		       819,450    
  1,431,064     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,431,070 (f)		       1,431,064    
  2,725,836     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $2,725,894 (g)		       2,725,836    
  681,459     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $681,462 (h)		       681,459    
  4,088,754     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,088,772 (i)		       4,088,754    
  3,407,295     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,407,310 (j)		       3,407,295    
  2,044,377     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,044,386 (k)		       2,044,377    
  3,145,846     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,145,860 (l)		       3,145,846    
        Total Repurchase Agreements
(Cost $24,477,212)		       24,477,212    
        Total Investment Securities
(Cost $71,395,804) — 83.9%		       93,731,475    
        Other assets in excess of
liabilities — 16.1%		       17,995,666    
        Net Assets — 100.0%     $ 111,727,141    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $40,752,991.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $695,088. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,390,176. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $4,170,543. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $835,840. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,459,696. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,780,358. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $695,089. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

18 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  MVV  Ultra MidCap400

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $4,170,534. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $3,475,449. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,085,271. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,208,767. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ 6,767,721    
Aggregate gross unrealized depreciation     (485,235 )  
Net unrealized appreciation   $ 6,282,486    
Federal income tax cost of investments   $ 87,548,989    

 

Futures Contracts Purchased

Ultra MidCap400 had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     281       12/18/09     $ 19,231,640     $ 73,552    

 

Cash collateral in the amount of $1,823,542 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Ultra MidCap400 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		   $ 23,151,383     $ (859,957 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     26,236,647       (1,245,991 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     63,718,634       16,593,293    
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400TM Index     21,880,136       1,907,009    
            $ 16,394,354    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 19


  Ultra MidCap400  MVV

Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     9.2 %  
Consumer Staples     2.3 %  
Energy     4.0 %  
Financials     11.6 %  
Health Care     7.5 %  
Industrials     9.4 %  
Information Technology     9.3 %  
Materials     4.3 %  
Telecommunication Services     0.3 %  
Utilities     4.1 %  
Other1     38.0 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 69,254,263     $ —     $ 69,254,263    
Repurchase Agreements     —       24,477,212       24,477,212    
Total Investment Securities     69,254,263       24,477,212       93,731,475    
Other Financial Instruments*:  
Futures Contracts     73,552       —       73,552    
Swap Agreements     —       16,394,354       16,394,354    
Total Other Financial Instruments     73,552       16,394,354       16,467,906    
Total Investments   $ 69,327,815     $ 40,871,566     $ 110,199,381    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

20 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SAA  Ultra SmallCap600

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 78.6%  
  4,107     Acuity Brands, Inc.
(Industrials)		     0.3 %   $ 132,574    
  7,085     American Medical
Systems Holdings,
Inc.* (Health Care)		     0.3 %     124,483    
  2,828     Anixter International,
Inc.* (Information
Technology)		     0.3 %     122,226    
  5,390     Atwood Oceanics,
Inc.* (Energy)		     0.4 %     203,095    
  9,362     BioMed Realty Trust,
Inc. (REIT) (Financials)		     0.3 %     128,166    
  4,992     Brady Corp., Class A
(Industrials)		     0.3 %     148,163    
  2,863     CACI International, Inc.,
Class A* (Information
Technology)		     0.3 %     132,900    
  4,853     Casey's General Stores,
Inc. (Consumer Staples)		     0.3 %     148,453    
  3,645     Catalyst Health Solutions,
Inc.* (Health Care)		     0.3 %     123,966    
  4,861     CLARCOR, Inc.
(Industrials)		     0.3 %     154,920    
  4,035     Concur Technologies,
Inc.* (Information
Technology)		     0.3 %     149,537    
  4,316     Cooper Cos., Inc. (The)
(Health Care)		     0.3 %     144,543    
  4,350     Curtiss-Wright Corp.
(Industrials)		     0.3 %     123,801    
  14,778     Cypress Semiconductor
Corp.* (Information
Technology)		     0.3 %     141,425    
  2,829     Dril-Quip, Inc.* (Energy)     0.3 %     152,794    
  8,739     East West Bancorp,
Inc. (Financials)		     0.3 %     127,502    
  6,284     EMCOR Group, Inc.*
(Industrials)		     0.3 %     149,559    
  3,850     Entertainment Properties
Trust (REIT) (Financials)		     0.3 %     121,622    
  4,960     Gardner Denver, Inc.
(Industrials)		     0.4 %     185,653    
  3,321     Green Mountain Coffee
Roasters, Inc.*
(Consumer Staples)		     0.5 %     209,157    
  1,953     Greenhill & Co., Inc.
(Financials)		     0.4 %     159,462    
  2,452     Haemonetics Corp.*
(Health Care)		     0.3 %     130,888    
  5,662     Healthcare Realty Trust,
Inc. (REIT) (Financials)		     0.3 %     125,074    
  3,156     Home Properties, Inc.
(REIT) (Financials)		     0.3 %     141,799    
  4,116     Kilroy Realty Corp.
(REIT) (Financials)		     0.3 %     124,015    
  3,365     Magellan Health Services,
Inc.* (Health Care)		     0.3 %     123,731    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  4,422     Mednax, Inc.*
(Health Care)		     0.5 %   $ 248,561    
  2,696     Mid-America Apartment
Communities, Inc.
(REIT) (Financials)		     0.3 %     125,391    
  7,699     National Retail Properties,
Inc. (REIT) (Financials)		     0.3 %     154,288    
  4,010     New Jersey Resources
Corp. (Utilities)		     0.3 %     141,272    
  4,735     Oil States International,
Inc.* (Energy)		     0.4 %     169,844    
  6,978     Piedmont Natural Gas
Co., Inc. (Utilities)		     0.4 %     165,379    
  3,116     Polaris Industries, Inc.
(Consumer Discretionary)		     0.3 %     135,951    
  3,116     ProAssurance Corp.*
(Financials)		     0.4 %     165,927    
  4,403     Prosperity Bancshares,
Inc. (Financials)		     0.4 %     175,371    
  3,416     Regal-Beloit Corp.
(Industrials)		     0.4 %     162,123    
  3,684     Rock-Tenn Co.,
Class A (Materials)		     0.4 %     166,406    
  1,925     SEACOR Holdings,
Inc.* (Energy)		     0.3 %     147,455    
  12,114     Senior Housing
Properties Trust (REIT)
(Financials)		     0.6 %     251,608    
  16,331     Skyworks Solutions,
Inc.* (Information
Technology)		     0.4 %     201,035    
  5,967     St. Mary Land &
Exploration Co. (Energy)		     0.4 %     193,211    
  2,856     Stifel Financial Corp.*
(Financials)		     0.3 %     153,424    
  3,842     Tanger Factory Outlet
Centers (REIT)
(Financials)		     0.3 %     150,799    
  5,781     Tetra Tech, Inc.*
(Industrials)		     0.3 %     152,272    
  3,261     Toro Co. (Industrials)     0.3 %     129,918    
  3,436     Tractor Supply Co.*
(Consumer Discretionary)		     0.4 %     160,427    
  6,992     Varian Semiconductor
Equipment Associates,
Inc.* (Information
Technology)		     0.4 %     203,677    
  3,036     Watsco, Inc. (Industrials)     0.3 %     152,286    
  2,824     World Fuel Services
Corp. (Energy)		     0.3 %     150,180    
  1,796,214     Other Common Stocks     61.9 %     28,171,415    
        Total Common Stocks
(Cost $29,049,872)		             35,757,728    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 21


  Ultra SmallCap600  SAA

Principal
Amount		      
Value		  
    Repurchase Agreements (a) — 8.2%  
$ 104,327     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $104,327 (b)		     $ 104,327    
  208,655     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $208,656 (c)		       208,655    
  625,964     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $625,971 (d)		       625,964    
  125,453     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $125,454 (e)		       125,453    
  219,087     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $219,088 (f)		       219,087    
  417,309     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $417,318 (g)		       417,309    
  104,327     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $104,327 (h)		       104,327    
  625,964     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $625,967 (i)		       625,964    
  521,637     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $521,639 (j)		       521,637    
  312,982     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $312,983 (k)		       312,982    
  481,612     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $481,614 (l)		       481,612    
        Total Repurchase Agreements
(Cost $3,747,317)		       3,747,317    
        Total Investment Securities
(Cost $32,797,189) — 86.8%		       39,505,045    
        Other assets in excess of
liabilities — 13.2%		       6,012,318    
        Net Assets — 100.0%     $ 45,517,363    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $14,090,851.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $106,414. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $212,828. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $638,485. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $127,962. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $223,470. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $425,656. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $106,414. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

22 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SAA  Ultra SmallCap600

schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $638,484. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $532,071. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $319,243. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $491,245. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (4,232,151 )  
Net unrealized depreciation   $ (4,232,151 )  
Federal income tax cost of investments   $ 43,737,196    

 

Swap Agreements

Ultra SmallCap600 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		   $ 10,360,284     $ 3,456,113    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     10,422,102       (567,053 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     19,695,032       4,862,680    
Equity Index Swap Agreement with UBS AG, based on the S&P SmallCap 600TM Index     14,769,966       (632,162 )  
            $ 7,119,578    

 

Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     11.5 %  
Consumer Staples     3.2 %  
Energy     4.5 %  
Financials     15.1 %  
Health Care     10.5 %  
Industrials     13.3 %  
Information Technology     13.5 %  
Materials     3.7 %  
Telecommunication Services     0.4 %  
Utilities     2.9 %  
Other1     21.4 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 23


  Ultra SmallCap600  SAA

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 35,757,728     $ —     $ 35,757,728    
Repurchase Agreements     —       3,747,317       3,747,317    
Total Investment Securities     35,757,728       3,747,317       39,505,045    
Other Financial Instruments*:  
Swap Agreements     —       7,119,578       7,119,578    
Total Other Financial Instruments     —       7,119,578       7,119,578    
Total Investments   $ 35,757,728     $ 10,866,895     $ 46,624,623    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

24 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UWM  Ultra Russell2000

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 71.4%  
  51,363     3Com Corp.*
(Information Technology)		     0.3 %   $ 378,545    
  21,582     Apollo Investment Corp.
(Financials)		     0.1 %     207,619    
  13,868     Assured Guaranty Ltd.
(Financials)		     0.2 %     314,526    
  8,100     Atheros Communications,
Inc.* (Information
Technology)		     0.1 %     230,607    
  8,956     Atlas Energy, Inc.
(Energy)		     0.1 %     230,169    
  6,118     Auxilium Pharmaceuticals,
Inc.* (Health Care)		     0.1 %     213,335    
  7,229     Bally Technologies, Inc.*
(Consumer Discretionary)		     0.2 %     300,220    
  6,748     CLARCOR, Inc.
(Industrials)		     0.1 %     215,059    
  9,985     Coeur d'Alene Mines
Corp.* (Materials)		     0.1 %     227,758    
  5,499     Domtar Corp.*
(Materials)		     0.2 %     310,254    
  3,862     Dril-Quip, Inc.* (Energy)     0.1 %     208,587    
  194,031     E*Trade Financial
Corp.* (Financials)		     0.2 %     318,211    
  8,724     EMCOR Group, Inc.*
(Industrials)		     0.1 %     207,631    
  10,931     FirstMerit Corp.
(Financials)		     0.1 %     229,004    
  15,942     GrafTech International
Ltd.* (Industrials)		     0.2 %     234,507    
  9,391     Highwoods Properties,
Inc. (REIT) (Financials)		     0.2 %     287,459    
  21,569     Human Genome
Sciences, Inc.*
(Health Care)		     0.4 %     600,050    
  11,549     Informatica Corp.*
(Information Technology)		     0.2 %     259,275    
  6,662     J. Crew Group, Inc.*
(Consumer Discretionary)		     0.2 %     285,067    
  11,110     Jack Henry & Associates,
Inc. (Information
Technology)		     0.2 %     253,863    
  37,140     MFA Financial, Inc.
(REIT) (Financials)		     0.2 %     281,150    
  10,585     National Retail Properties,
Inc. (REIT) (Financials)		     0.1 %     212,123    
  5,993     Nicor, Inc. (Utilities)     0.2 %     234,686    
  4,461     Nordson Corp.
(Industrials)		     0.2 %     239,154    
  8,184     Onyx Pharmaceuticals,
Inc.* (Health Care)		     0.2 %     234,144    
  5,519     Owens & Minor, Inc.
(Health Care)		     0.1 %     214,082    
  21,920     Palm, Inc.*
(Information Technology)		     0.2 %     239,147    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  15,364     Parametric Technology
Corp.* (Information
Technology)		     0.1 %   $ 231,382    
  9,741     Piedmont Natural Gas
Co., Inc. (Utilities)		     0.1 %     230,862    
  6,775     Platinum Underwriters
Holdings Ltd. (Financials)		     0.2 %     239,090    
  11,116     Polycom, Inc.*
(Information Technology)		     0.2 %     239,661    
  4,387     ProAssurance Corp.*
(Financials)		     0.2 %     233,608    
  6,109     Prosperity Bancshares,
Inc. (Financials)		     0.2 %     243,321    
  4,742     Regal-Beloit Corp.
(Industrials)		     0.1 %     225,055    
  5,079     Rock-Tenn Co.,
Class A (Materials)		     0.1 %     229,418    
  22,182     Skyworks Solutions,
Inc.* (Information
Technology)		     0.2 %     273,060    
  9,200     Solera Holdings, Inc.
(Information Technology)		     0.2 %     321,632    
  7,753     STERIS Corp.
(Health Care)		     0.2 %     250,499    
  3,992     Stifel Financial Corp.*
(Financials)		     0.1 %     214,450    
  5,345     Tanger Factory Outlet
Centers (REIT) (Financials)		     0.1 %     209,791    
  9,925     Tempur-Pedic
International, Inc.*
(Consumer Discretionary)		     0.1 %     213,884    
  7,993     Tetra Tech, Inc.*
(Industrials)		     0.1 %     210,536    
  7,473     Thoratec Corp.*
(Health Care)		     0.1 %     222,621    
  4,754     Tractor Supply Co.*
(Consumer Discretionary)		     0.1 %     221,964    
  8,301     Tupperware Brands Corp.
(Consumer Discretionary)		     0.3 %     386,412    
  6,066     Warnaco Group, Inc. (The)*
(Consumer Discretionary)		     0.2 %     246,947    
  5,649     Watson Wyatt Worldwide,
Inc., Class A (Industrials)		     0.2 %     233,530    
  6,639     WGL Holdings, Inc.
(Utilities)		     0.1 %     208,996    
  9,554     WR Grace & Co.*
(Materials)		     0.1 %     218,404    
  8,847,268     Other Common Stocks     63.5 %     101,382,654    
        Total Common Stocks
(Cost $89,412,635)		             113,854,009    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 25


  Ultra Russell2000  UWM

No. of
Warrants		  
  Percentage of
Net Assets		   Value  
    Warrants — 0.0%  
  67     GreenHunter Energy,
Inc., expiring 08/27/11
at $27.50*		     0.0 %   $ —    
        Total Warrants
(Cost $—)		         —    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 4.5%  
$ 201,126     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $201,127 (b)		       201,126    
  402,253     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $402,255 (c)		       402,253    
  1,206,758     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,206,772 (d)		       1,206,758    
  241,853     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $241,854 (e)		       241,853    
  422,365     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $422,367 (f)		       422,365    
  804,506     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $804,523 (g)		       804,506    
  201,126     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $201,127 (h)		       201,126    
  1,206,758     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,206,763 (i)		       1,206,758    
  1,005,632     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,005,636 (j)		       1,005,632    
  603,379     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $603,382 (k)		       603,379    

 

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 928,470     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $928,474 (l)		     $ 928,470    
    Total Repurchase Agreements
(Cost $7,224,226)		       7,224,226    
    Total Investment Securities
(Cost $96,636,861) — 75.9%		       121,078,235    
    Other assets in excess of
liabilities — 24.1%		       38,530,038    
    Net Assets — 100.0%     $ 159,608,273    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $29,742,325.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $205,149. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $410,298. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,230,897. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $246,690. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due

See accompanying notes to the financial statements.

26 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UWM  Ultra Russell2000

12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $430,816. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $820,598. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $205,149. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,230,895. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,025,747. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $615,448. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $947,041. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (25,836,234 )  
Net unrealized depreciation   $ (25,836,234 )  
Federal income tax cost of investments   $ 146,914,469    

 

Futures Contracts Purchased

Ultra Russell2000 had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Russell 2000 Futures Contracts     500       12/18/09     $ 28,950,000     $ (168,172 )  

 

Cash collateral in the amount of $1,237,381 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 27


  Ultra Russell2000  UWM

Swap Agreements

Ultra Russell2000 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Index		   $ 7,013,620     $ (274,360 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     7,532,261       (673,708 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     156,217,420       37,677,076    
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     5,677,571       (223,015 )  
            $ 36,505,993    

 

Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     9.8 %  
Consumer Staples     2.5 %  
Energy     3.5 %  
Financials     14.7 %  
Health Care     10.1 %  
Industrials     11.2 %  
Information Technology     13.1 %  
Materials     3.4 %  
Telecommunication Services     0.7 %  
Utilities     2.4 %  
Other1     28.6 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 113,853,377     $ 632     $ 113,854,009    
Rights/Warrants     —       —       —    
Repurchase Agreements     —       7,224,226       7,224,226    
Total Investment Securities     113,853,377       7,224,858       121,078,235    
Other Financial Instruments*:  
Futures Contracts     (168,172 )     —       (168,172 )  
Swap Agreements     —       36,505,993       36,505,993    
Total Other Financial Instruments     (168,172 )     36,505,993       36,337,821    
Total Investments   $ 113,685,205     $ 43,730,851     $ 157,416,056    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

28 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UPRO  UltraPro S&P500®

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 39.8%  
  2,477     3M Co. (Industrials)     0.2 %   $ 191,819    
  5,483     Abbott Laboratories
(Health Care)		     0.3 %     298,769    
  1,179     Amazon.com, Inc.*
(Consumer Discretionary)		     0.2 %     160,238    
  4,218     American Express Co.
(Financials)		     0.2 %     176,439    
  3,602     Amgen, Inc.*
(Health Care)		     0.2 %     202,973    
  3,177     Apple, Inc.*
(Information Technology)		     0.7 %     635,114    
  20,925     AT&T, Inc.
(Telecommunication
Services)		     0.7 %     563,720    
  30,684     Bank of America Corp.
(Financials)		     0.6 %     486,341    
  7,026     Bristol-Myers Squibb Co.
(Health Care)		     0.2 %     177,828    
  7,113     Chevron Corp. (Energy)     0.6 %     555,099    
  20,457     Cisco Systems, Inc.*
(Information Technology)		     0.6 %     478,694    
  46,254     Citigroup, Inc. (Financials)     0.2 %     190,104    
  8,219     Coca-Cola Co. (The)
(Consumer Staples)		     0.5 %     470,127    
  1,768     Colgate-Palmolive Co.
(Consumer Staples)		     0.2 %     148,848    
  10,178     Comcast Corp.,
Class A (Consumer
Discretionary)		     0.2 %     149,311    
  5,259     ConocoPhillips (Energy)     0.3 %     272,258    
  5,119     CVS Caremark Corp.
(Consumer Staples)		     0.2 %     158,740    
  17,044     Exxon Mobil Corp.
(Energy)		     1.5 %     1,279,493    
  37,690     General Electric Co.
(Industrials)		     0.7 %     603,794    
  3,207     Gilead Sciences, Inc.*
(Health Care)		     0.2 %     147,682    
  1,813     Goldman Sachs Group,
Inc. (The) (Financials)		     0.3 %     307,594    
  853     Google, Inc., Class A*
(Information Technology)		     0.6 %     497,299    
  8,409     Hewlett-Packard Co.
(Information Technology)		     0.5 %     412,546    
  6,045     Home Depot, Inc.
(Consumer Discretionary)		     0.2 %     165,391    
  19,854     Intel Corp.
(Information Technology)		     0.4 %     381,197    
  4,649     International Business
Machines Corp.
(Information Technology)		     0.7 %     587,401    
  9,774     Johnson & Johnson
(Health Care)		     0.7 %     614,198    
  13,947     JPMorgan Chase & Co.
(Financials)		     0.7 %     592,608    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  3,871     McDonald's Corp.
(Consumer Discretionary)		     0.3 %   $ 244,841    
  3,925     Medtronic, Inc.
(Health Care)		     0.2 %     166,577    
  10,822     Merck & Co., Inc.
(Health Care)		     0.5 %     391,865    
  27,495     Microsoft Corp.
(Information Technology)		     0.9 %     808,628    
  1,936     Monsanto Co. (Materials)     0.2 %     156,332    
  4,820     Morgan Stanley
(Financials)		     0.2 %     152,216    
  2,876     Occidental Petroleum
Corp. (Energy)		     0.3 %     232,352    
  13,852     Oracle Corp.
(Information Technology)		     0.3 %     305,852    
  5,525     PepsiCo, Inc.
(Consumer Staples)		     0.4 %     343,766    
  28,601     Pfizer, Inc. (Health Care)     0.6 %     519,680    
  6,861     Philip Morris International,
Inc. (Consumer Staples)		     0.4 %     329,945    
  10,352     Procter & Gamble Co.
(The) (Consumer Staples)		     0.8 %     645,447    
  5,896     QUALCOMM, Inc.
(Information Technology)		     0.3 %     265,320    
  4,248     Schlumberger Ltd.
(Energy)		     0.3 %     271,405    
  6,781     U.S. Bancorp (Financials)     0.2 %     163,626    
  3,527     United Parcel Service, Inc.,
Class B (Industrials)		     0.2 %     202,697    
  3,338     United Technologies
Corp. (Industrials)		     0.3 %     224,447    
  10,075     Verizon Communications,
Inc. (Telecommunication
Services)		     0.4 %     316,960    
  7,660     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.5 %     417,853    
  6,592     Walt Disney Co. (The)
(Consumer Discretionary)		     0.2 %     199,210    
  16,569     Wells Fargo & Co.
(Financials)		     0.5 %     464,595    
  572,312     Other Common Stocks     19.2 %     16,509,991    
        Total Common Stocks
(Cost $34,032,949)		             34,239,230    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 57.7%  
$ 1,379,996     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,380,002 (b)		           1,379,996    
  2,759,992     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,760,004 (c)		           2,759,992    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 29


  UltraPro S&P500®  UPRO

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 8,279,977     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $8,280,074 (d)		     $ 8,279,977    
  1,659,436     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,659,443 (e)		       1,659,436    
  2,897,992     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,898,005 (f)		       2,897,992    
  5,519,985     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $5,520,103 (g)		       5,519,985    
  1,379,996     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,380,002 (h)		       1,379,996    
  8,279,977     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,280,014 (i)		       8,279,977    
  6,899,981     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,900,012 (j)		       6,899,981    
  4,139,989     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,140,006 (k)		       4,139,989    
  6,370,538     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,370,566 (l)		       6,370,538    
        Total Repurchase Agreements
(Cost $49,567,859)		       49,567,859    
        Total Investment Securities
(Cost $83,600,808) — 97.5%		       83,807,089    
        Other assets in excess of
liabilities — 2.5%		       2,183,082    
        Net Assets — 100.0%     $ 85,990,171    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $35,079,187.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,407,596. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,815,192. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $8,445,606. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,692,626. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,955,974. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,630,396. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,407,598. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to

See accompanying notes to the financial statements.

30 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UPRO  UltraPro S&P500®

04/15/32, which had a total value of $8,445,586. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $7,037,997. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,222,802. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $6,497,958. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 703,881    
Aggregate gross unrealized depreciation     (506,637 )  
Net unrealized appreciation   $ 197,244    
Federal income tax cost of investments   $ 83,609,845    

 

Futures Contracts Purchased

UltraPro S&P500® had the following open long futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini S&P 500 Futures Contracts     547       12/18/09     $ 29,941,413     $ 744,344    

 

Cash collateral in the amount of $2,642,462 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraPro S&P500® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index   $ 17,325,442     $ 1,659,813    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     41,463,494       (531,094 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     108,312,722       (1,552,634 )  
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     26,685,081       (309,416 )  
            $ (733,331 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 31


  UltraPro S&P500®  UPRO

UltraPro S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     3.8 %  
Consumer Staples     4.7 %  
Energy     4.8 %  
Financials     5.8 %  
Health Care     5.1 %  
Industrials     4.1 %  
Information Technology     7.5 %  
Materials     1.4 %  
Telecommunication Services     1.2 %  
Utilities     1.4 %  
Other1     60.2 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 34,239,230     $ —     $ 34,239,230    
Repurchase Agreements     —       49,567,859       49,567,859    
Total Investment Securities     34,239,230       49,567,859       83,807,089    
Other Financial Instruments*:  
Futures Contracts     744,344       —       744,344    
Swap Agreements     —       (733,331 )     (733,331 )  
Total Other Financial Instruments     744,344       (733,331 )     11,013    
Total Investments   $ 34,983,574     $ 48,834,528     $ 83,818,102    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

32 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)



  UVG  Ultra Russell1000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 81.2%  
  3,169     American Express Co.
(Financials)		     0.5 %   $ 132,559    
  1,908     Anadarko Petroleum Corp.
(Energy)		     0.4 %     113,583    
  1,281     Apache Corp. (Energy)     0.5 %     122,054    
  22,552     AT&T, Inc.
(Telecommunication
Services)		     2.4 %     607,551    
  33,069     Bank of America Corp.
(Financials)		     2.1 %     524,144    
  3,632     Bank of New York
Mellon Corp. (The)
(Financials)		     0.4 %     96,756    
  2,548     Boeing Co. (The)
(Industrials)		     0.5 %     133,541    
  1,005     Burlington Northern
Santa Fe Corp.
(Industrials)		     0.4 %     98,792    
  7,663     Chevron Corp. (Energy)     2.4 %     598,021    
  58,053     Citigroup, Inc.
(Financials)		     0.9 %     238,598    
  1,894     Coca-Cola Co. (The)
(Consumer Staples)		     0.4 %     108,337    
  10,164     Comcast Corp., Class A
(Consumer Discretionary)		     0.6 %     149,106    
  5,663     ConocoPhillips (Energy)     1.2 %     293,174    
  3,867     CVS Caremark Corp.
(Consumer Staples)		     0.5 %     119,916    
  1,697     Devon Energy Corp.
(Energy)		     0.4 %     114,293    
  4,253     Dow Chemical Co.
(The) (Materials)		     0.5 %     118,148    
  6,894     EMC Corp.*
(Information Technology)		     0.5 %     116,026    
  2,299     Exelon Corp. (Utilities)     0.4 %     110,766    
  13,839     Exxon Mobil Corp.
(Energy)		     4.1 %     1,038,894    
  1,191     FedEx Corp. (Industrials)     0.4 %     100,580    
  11,944     Ford Motor Co.*
(Consumer Discretionary)		     0.4 %     106,182    
  40,477     General Electric Co.
(Industrials)		     2.6 %     648,442    
  1,805     Goldman Sachs
Group, Inc. (The)
(Financials)		     1.2 %     306,236    
  3,429     Halliburton Co. (Energy)     0.4 %     100,675    
  2,065     Hewlett-Packard Co.
(Information Technology)		     0.4 %     101,309    
  6,049     Home Depot, Inc.
(Consumer Discretionary)		     0.7 %     165,501    
  8,176     Intel Corp.
(Information Technology)		     0.6 %     156,979    
  2,380     Johnson & Johnson
(Health Care)		     0.6 %     149,559    
  14,368     JPMorgan Chase & Co.
(Financials)		     2.4 %     610,496    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  5,629     Kraft Foods, Inc.,
Class A
(Consumer Staples)		     0.6 %   $ 149,619    
  2,705     Marathon Oil Corp.
(Energy)		     0.3 %     88,237    
  7,150     Merck & Co., Inc.
(Health Care)		     1.0 %     258,895    
  3,990     Morgan Stanley
(Financials)		     0.5 %     126,004    
  8,702     News Corp., Class A
(Consumer Discretionary)		     0.4 %     99,725    
  3,098     Occidental
Petroleum Corp.
(Energy)		     1.0 %     250,287    
  30,813     Pfizer, Inc. (Health Care)     2.2 %     559,872    
  1,759     PNC Financial Services
Group, Inc.
(Financials)		     0.4 %     100,281    
  3,844     Procter & Gamble Co. (The)
(Consumer Staples)		     1.0 %     239,673    
  2,497     Schlumberger Ltd.
(Energy)		     0.6 %     159,533    
  2,990     Southern Co. (Utilities)     0.4 %     95,949    
  4,573     Time Warner, Inc.
(Consumer Discretionary)		     0.6 %     140,483    
  2,088     Travelers Cos., Inc.
(The) (Financials)		     0.4 %     109,390    
  7,253     U.S. Bancorp
(Financials)		     0.7 %     175,015    
  4,547     UnitedHealth Group, Inc.
(Health Care)		     0.5 %     130,362    
  10,858     Verizon
Communications, Inc.
(Telecommunication
Services)		     1.4 %     341,593    
  7,098     Walt Disney Co. (The)
(Consumer Discretionary)		     0.9 %     214,502    
  1,721     WellPoint, Inc.*
(Health Care)		     0.4 %     92,986    
  15,488     Wells Fargo & Co.
(Financials)		     1.7 %     434,284    
  2,216     XTO Energy, Inc.
(Energy)		     0.4 %     94,047    
  397,363     Other Common Stocks     37.0 %     9,332,029    
        Total Common Stocks
(Cost $16,244,616)		             20,472,984    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 6.4%  
$ 44,903     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $44,903 (b)		           44,903    
  89,805     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $89,805 (c)		           89,805    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 33


  Ultra Russell1000 Value  UVG

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 269,415     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $269,418 (d)		     $ 269,415    
  53,995     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $53,995 (e)		       53,995    
  94,295     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $94,295 (f)		       94,295    
  179,610     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $179,614 (g)		       179,610    
  44,903     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $44,903 (h)		       44,903    
  269,415     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $269,416 (i)		       269,415    
  224,513     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $224,514 (j)		       224,513    
  134,708     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $134,709 (k)		       134,708    
  207,286     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $207,287 (l)		       207,286    
        Total Repurchase Agreements
(Cost $1,612,848)		       1,612,848    
        Total Investment Securities
(Cost $17,857,464) — 87.6%		       22,085,832    
        Other assets in excess of
liabilities — 12.4%		       3,115,146    
        Net Assets — 100.0%     $ 25,200,978    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,722,190.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $45,801. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $91,601. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $274,804. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $55,075. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $96,182. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $183,203. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $45,801. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32,

See accompanying notes to the financial statements.

34 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UVG  Ultra Russell1000 Value

which had a total value of $274,804. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $229,004. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $137,403. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $211,432. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (818,569 )  
Net unrealized depreciation   $ (818,569 )  
Federal income tax cost of investments   $ 22,904,401    

 

Swap Agreements

Ultra Russell1000 Value had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on
Russell 1000® Value Index		   $ 4,397,944     $ 1,462,195    
Equity Index Swap Agreement with Deutsche Bank AG, based on Russell 1000® Value Index     6,607,471       (111,513 )  
Equity Index Swap Agreement with Societe Generale, based on Russell 1000® Value Index     9,263,882       2,408,264    
Equity Index Swap Agreement with UBS AG, based on Russell 1000® Value Index     9,722,809       (138,088 )  
          $ 3,620,858    

 

Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     7.6 %  
Consumer Staples     4.4 %  
Energy     15.5 %  
Financials     20.1 %  
Health Care     7.4 %  
Industrials     8.8 %  
Information Technology     4.0 %  
Materials     3.3 %  
Telecommunication Services     4.5 %  
Utilities     5.6 %  
Other1     18.8 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 35


  Ultra Russell1000 Value  UVG

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 20,472,984     $ —     $ 20,472,984    
Repurchase Agreements     —       1,612,848       1,612,848    
Total Investment Securities     20,472,984       1,612,848       22,085,832    
Other Financial Instruments*:  
Swap Agreements     —       3,620,858       3,620,858    
Total Other Financial Instruments     —       3,620,858       3,620,858    
Total Investments   $ 20,472,984     $ 5,233,706     $ 25,706,690    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

36 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKF  Ultra Russell1000 Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 78.3%  
  2,760     3M Co. (Industrials)     0.8 %   $ 213,734    
  6,148     Abbott Laboratories
(Health Care)		     1.2 %     335,005    
  8,227     Altria Group, Inc.
(Consumer Staples)		     0.6 %     154,750    
  1,308     Amazon.com, Inc.*
(Consumer Discretionary)		     0.6 %     177,770    
  4,030     Amgen, Inc.*
(Health Care)		     0.8 %     227,090    
  3,551     Apple, Inc.*
(Information Technology)		     2.6 %     709,880    
  2,409     Baxter International, Inc.
(Health Care)		     0.5 %     131,411    
  4,368     Bristol-Myers Squibb Co.
(Health Care)		     0.4 %     110,554    
  1,834     Celgene Corp.*
(Health Care)		     0.4 %     101,695    
  22,950     Cisco Systems, Inc.*
(Information Technology)		     2.0 %     537,030    
  7,241     Coca-Cola Co. (The)
(Consumer Staples)		     1.5 %     414,185    
  1,990     Colgate-Palmolive Co.
(Consumer Staples)		     0.6 %     167,538    
  5,280     Corning, Inc.
(Information Technology)		     0.3 %     88,070    
  1,726     Costco Wholesale Corp.
(Consumer Staples)		     0.4 %     103,405    
  6,815     Dell, Inc.*
(Information Technology)		     0.3 %     96,228    
  2,991     Emerson Electric Co.
(Industrials)		     0.4 %     123,857    
  1,089     Express Scripts, Inc.*
(Health Care)		     0.3 %     93,436    
  5,010     Exxon Mobil Corp.
(Energy)		     1.4 %     376,101    
  3,606     Gilead Sciences, Inc.*
(Health Care)		     0.6 %     166,056    
  952     Google, Inc., Class A*
(Information Technology)		     2.0 %     555,016    
  7,367     Hewlett-Packard Co.
(Information Technology)		     1.3 %     361,425    
  2,961     Honeywell International,
Inc. (Industrials)		     0.4 %     113,910    
  13,711     Intel Corp.
(Information Technology)		     1.0 %     263,251    
  5,260     International Business
Machines Corp.
(Information Technology)		     2.4 %     664,601    
  8,485     Johnson & Johnson
(Health Care)		     1.9 %     533,197    
  1,435     Kimberly-Clark Corp.
(Consumer Staples)		     0.3 %     94,667    
  1,265     Lockheed Martin Corp.
(Industrials)		     0.4 %     97,696    
  4,390     McDonald's Corp.
(Consumer Discretionary)		     1.0 %     277,667    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,920     Medco Health Solutions,
Inc.* (Health Care)		     0.4 %   $ 121,267    
  4,453     Medtronic, Inc.
(Health Care)		     0.7 %     188,985    
  4,690     Merck & Co., Inc.
(Health Care)		     0.6 %     169,815    
  30,667     Microsoft Corp.
(Information Technology)		     3.3 %     901,916    
  2,170     Monsanto Co.
(Materials)		     0.6 %     175,227    
  1,906     Newmont Mining Corp.
(Materials)		     0.4 %     102,238    
  1,436     NIKE, Inc., Class B
(Consumer Discretionary)		     0.3 %     93,182    
  15,208     Oracle Corp.
(Information Technology)		     1.2 %     335,793    
  6,195     PepsiCo, Inc.
(Consumer Staples)		     1.4 %     385,453    
  7,804     Philip Morris International,
Inc. (Consumer Staples)		     1.4 %     375,294    
  1,220     Praxair, Inc. (Materials)     0.4 %     100,077    
  7,599     Procter & Gamble Co.
(The) (Consumer Staples)		     1.7 %     473,798    
  6,584     QUALCOMM, Inc.
(Information Technology)		     1.1 %     296,280    
  2,163     Schlumberger Ltd.
(Energy)		     0.5 %     138,194    
  2,994     Target Corp.
(Consumer Discretionary)		     0.5 %     139,401    
  5,068     Texas Instruments, Inc.
(Information Technology)		     0.5 %     128,170    
  2,753     United Parcel Service, Inc.,
Class B (Industrials)		     0.6 %     158,215    
  3,056     United Technologies
Corp. (Industrials)		     0.8 %     205,485    
  1,788     Visa, Inc., Class A
(Information Technology)		     0.5 %     144,828    
  3,948     Walgreen Co.
(Consumer Staples)		     0.6 %     153,538    
  8,797     Wal-Mart Stores, Inc.
(Consumer Staples)		     1.7 %     479,876    
  290,629     Other Common Stocks     32.7 %     9,026,031    
        Total Common Stocks
(Cost $17,722,395)		             21,582,288    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 7.5%  
$ 58,013     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $58,013 (b)		           58,013    
  116,025     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $116,026 (c)		           116,025    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 37


  Ultra Russell1000 Growth  UKF

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 348,076     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $348,080 (d)		     $ 348,076    
  69,760     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $69,760 (e)		       69,760    
  121,827     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $121,828 (f)		       121,827    
  232,051     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $232,056 (g)		       232,051    
  58,013     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $58,013 (h)		       58,013    
  348,076     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $348,078 (i)		       348,076    
  290,063     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $290,064 (j)		       290,063    
  174,038     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $174,039 (k)		       174,038    
  267,806     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $267,807 (l) 		      267,806    
        Total Repurchase Agreements
(Cost $2,083,748)		       2,083,748    
        Total Investment Securities
(Cost $19,806,143) — 85.8%		       23,666,036    
        Other assets in excess of
liabilities — 14.2%		       3,903,059    
        Net Assets — 100.0%     $ 27,569,095    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $8,098,801.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $59,173. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $118,346. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $355,039. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $71,155. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $124,264. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $236,692. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $59,173. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39;

See accompanying notes to the financial statements.

38 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKF  Ultra Russell1000 Growth

U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $355,038. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $295,865. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $177,519. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $273,162. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (3,558,574 )  
Net unrealized depreciation   $ (3,558,574 )  
Federal income tax cost of investments   $ 27,224,610    

 

Swap Agreements

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 1000® Growth Index		   $ 5,782,956     $ 1,835,744    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index     7,163,969       (111,140 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index     13,179,506       3,313,453    
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index     7,511,395       (102,865 )  
            $ 4,935,192    

 

Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     8.2 %  
Consumer Staples     12.8 %  
Energy     3.4 %  
Financials     3.9 %  
Health Care     12.6 %  
Industrials     7.8 %  
Information Technology     25.3 %  
Materials     3.2 %  
Telecommunication Services     0.4 %  
Utilities     0.7 %  
Other1     21.7 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 39


  Ultra Russell1000 Growth  UKF

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 21,582,288     $ —     $ 21,582,288    
Repurchase Agreements     —       2,083,748       2,083,748    
Total Investment Securities     21,582,288       2,083,748       23,666,036    
Other Financial Instruments*:  
Swap Agreements     —       4,935,192       4,935,192    
Total Other Financial Instruments     —       4,935,192       4,935,192    
Total Investments   $ 21,582,288     $ 7,018,940     $ 28,601,228    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

40 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UVU  Ultra Russell MidCap Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 84.6%  
  3,121     Ameriprise Financial,
Inc. (Financials)		     0.5 %   $ 118,973    
  7,232     Annaly Capital
Management, Inc.
(REIT) (Financials)		     0.6 %     133,141    
  3,678     AON Corp. (Financials)     0.6 %     142,449    
  1,841     Boston Properties, Inc.
(REIT) (Financials)		     0.5 %     123,310    
  1,781     Bunge Ltd.
(Consumer Staples)		     0.5 %     110,244    
  8,071     CBS Corp., Class B
(Consumer Discretionary)		     0.4 %     103,390    
  3,942     CenturyTel, Inc.
(Telecommunication
Services)		     0.6 %     140,296    
  3,389     CIGNA Corp.
(Health Care)		     0.5 %     108,719    
  2,013     Computer Sciences Corp.*
(Information Technology)		     0.5 %     111,339    
  5,942     ConAgra Foods, Inc.
(Consumer Staples)		     0.6 %     131,853    
  3,646     Consolidated Edison,
Inc. (Utilities)		     0.7 %     156,450    
  2,477     Crown Castle
International Corp.*
(Telecommunication
Services)		     0.4 %     90,881    
  7,117     Discover Financial
Services (Financials)		     0.5 %     110,029    
  3,373     Dr. Pepper Snapple
Group, Inc.*
(Consumer Staples)		     0.4 %     88,339    
  2,177     DTE Energy Co.
(Utilities)		     0.4 %     87,319    
  2,200     Eaton Corp. (Industrials)     0.6 %     140,580    
  4,329     Edison International
(Utilities)		     0.6 %     147,402    
  3,638     Equity Residential
(REIT) (Financials)		     0.5 %     117,180    
  10,567     Fifth Third Bancorp
(Financials)		     0.4 %     106,515    
  4,007     Forest Laboratories, Inc.*
(Health Care)		     0.5 %     122,855    
  3,115     Harley-Davidson, Inc.
(Consumer Discretionary)		     0.4 %     90,771    
  4,324     Hartford Financial
Services Group, Inc.
(Financials)		     0.4 %     105,765    
  5,742     International Paper Co.
(Materials)		     0.6 %     146,134    
  5,080     Invesco Ltd. (Financials)     0.5 %     113,030    
  2,179     ITT Corp. (Industrials)     0.5 %     112,698    
  2,955     J.C. Penney Co., Inc.
(Consumer Discretionary)		     0.3 %     84,927    
  1,573     J.M. Smucker Co. (The)
(Consumer Staples)		     0.4 %     92,933    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,549     L-3 Communications
Holdings, Inc.
(Industrials)		     0.5 %   $ 121,395    
  5,588     Macy's, Inc.
(Consumer Discretionary)		     0.4 %     91,140    
  6,422     Marsh & McLennan Cos.,
Inc. (Financials)		     0.6 %     144,816    
  2,535     Murphy Oil Corp. (Energy)     0.6 %     142,949    
  2,303     Noble Energy, Inc. (Energy)     0.6 %     150,271    
  2,133     Parker Hannifin Corp.
(Industrials)		     0.5 %     115,097    
  2,186     PPG Industries, Inc.
(Materials)		     0.5 %     129,914    
  3,707     Progress Energy, Inc.
(Utilities)		     0.6 %     144,907    
  8,125     Progressive Corp. (The)*
(Financials)		     0.6 %     136,256    
  2,313     Questar Corp. (Utilities)     0.4 %     91,757    
  15,346     Regions Financial Corp.
(Financials)		     0.4 %     89,928    
  5,659     Safeway, Inc.
(Consumer Staples)		     0.5 %     127,328    
  3,246     Sempra Energy (Utilities)     0.7 %     172,492    
  8,569     Spectra Energy Corp.
(Energy)		     0.7 %     166,324    
  9,939     Sun Microsystems, Inc.*
(Information Technology)		     0.3 %     84,581    
  6,627     SunTrust Banks, Inc.
(Financials)		     0.7 %     156,596    
  1,904     United States Steel
Corp. (Materials)		     0.3 %     85,033    
  2,079     Ventas, Inc. (REIT)
(Financials)		     0.4 %     89,251    
  2,036     Vornado Realty Trust
(REIT) (Financials)		     0.6 %     133,277    
  2,808     Weyerhaeuser Co.
(Materials)		     0.5 %     109,344    
  6,054     Xcel Energy, Inc. (Utilities)     0.5 %     123,017    
  11,490     Xerox Corp.
(Information Technology)		     0.4 %     88,473    
  748,551     Other Common Stocks     59.9 %     14,135,132    
        Total Common Stocks
(Cost $15,639,467)		             19,966,800    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 7.5%  
$ 49,015     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $49,015 (b)		           49,015    
  98,030     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $98,030 (c)		           98,030    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 41


  Ultra Russell MidCap Value  UVU

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 294,091     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $294,094 (d)		     $ 294,091    
  58,940     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $58,940 (e)		       58,940    
  102,932     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $102,932 (f)		       102,932    
  196,061     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $196,065 (g)		       196,061    
  49,015     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $49,015 (h)		       49,015    
  294,091     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $294,092 (i)		       294,091    
  245,076     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $245,077 (j)		       245,076    
  147,046     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $147,047 (k)		       147,046    
  226,273     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $226,274 (l)		       226,273    
        Total Repurchase Agreements
(Cost $1,760,570)		       1,760,570    
        Total Investment Securities
(Cost $17,400,037) — 92.1%		       21,727,370    
        Other assets in excess of
liabilities — 7.9%		       1,873,770    
        Net Assets — 100.0%     $ 23,601,140    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $7,076,833.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $49,995. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $99,991. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $299,974. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $60,119. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $104,991. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $199,983. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $49,995. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39;

See accompanying notes to the financial statements.

42 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UVU  Ultra Russell MidCap Value

U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $299,973. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $249,978. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $149,987. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $230,799. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ 1,030,543    
Aggregate gross unrealized depreciation     (259,135 )  
Net unrealized appreciation   $ 771,408    
Federal income tax cost of investments   $ 20,955,962    

 

Swap Agreements

Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Value Index		   $ 3,155,528     $ 1,208,803    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index     7,417,440       (227,750 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index     5,606,880       1,697,458    
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index     11,025,711       (284,990 )  
            $ 2,393,521    

 

Ultra Russell MidCap Value invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     10.4 %  
Consumer Staples     5.4 %  
Energy     7.8 %  
Financials     23.8 %  
Health Care     3.7 %  
Industrials     9.2 %  
Information Technology     5.7 %  
Materials     6.6 %  
Telecommunication Services     2.1 %  
Utilities     9.9 %  
Other1     15.4 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 43


  Ultra Russell MidCap Value  UVU

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 19,966,800     $ —     $ 19,966,800    
Repurchase Agreements     —       1,760,570       1,760,570    
Total Investment Securities     19,966,800       1,760,570       21,727,370    
Other Financial Instruments*:  
Swap Agreements     —       2,393,521       2,393,521    
Total Other Financial Instruments     —       2,393,521       2,393,521    
Total Investments   $ 19,966,800     $ 4,154,091     $ 24,120,891    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

44 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKW  Ultra Russell MidCap Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 85.9%  
  6,940     AES Corp. (The)* (Utilities)     0.4 %   $ 88,416    
  4,431     Agilent Technologies, Inc.*
(Information Technology)		     0.6 %     128,145    
  2,213     Amphenol Corp., Class A
(Information Technology)		     0.4 %     91,176    
  3,762     Analog Devices, Inc.
(Information Technology)		     0.5 %     112,822    
  1,714     Apollo Group, Inc.,
Class A* (Consumer
Discretionary)		     0.5 %     97,818    
  5,514     Avon Products, Inc.
(Consumer Staples)		     0.9 %     188,855    
  3,369     Bed Bath & Beyond, Inc.*
(Consumer Discretionary)		     0.6 %     125,866    
  2,389     BMC Software, Inc.*
(Information Technology)		     0.4 %     92,526    
  2,189     C.H. Robinson Worldwide,
Inc. (Industrials)		     0.6 %     122,015    
  1,283     C.R. Bard, Inc.
(Health Care)		     0.5 %     105,475    
  2,802     Cameron International
Corp.* (Energy)		     0.5 %     105,916    
  2,337     Citrix Systems, Inc.*
(Information Technology)		     0.4 %     89,227    
  1,594     Clorox Co.
(Consumer Staples)		     0.5 %     96,070    
  4,102     Coach, Inc.
(Consumer Discretionary)		     0.7 %     142,545    
  3,774     Cognizant Technology
Solutions Corp., Class A*
(Information Technology)		     0.8 %     165,792    
  2,333     CONSOL Energy, Inc.
(Energy)		     0.5 %     107,131    
  891     Diamond Offshore
Drilling, Inc. (Energy)		     0.4 %     88,690    
  3,379     Discovery Communications,
Inc., Class C* (Consumer
Discretionary)		     0.4 %     94,747    
  3,054     Ecolab, Inc. (Materials)     0.6 %     137,155    
  2,743     Expeditors International
of Washington, Inc.
(Industrials)		     0.4 %     87,584    
  2,010     Fiserv, Inc.*
(Information Technology)		     0.4 %     92,942    
  2,323     Fluor Corp.
(Industrials)		     0.5 %     98,681    
  1,597     FMC Technologies, Inc.*
(Energy)		     0.4 %     86,989    
  1,600     Goodrich Corp. (Industrials)     0.4 %     94,944    
  4,388     H&R Block, Inc.
(Consumer Discretionary)		     0.4 %     89,076    
  3,292     H. J. Heinz Co.
(Consumer Staples)		     0.7 %     139,745    
  2,073     Hospira, Inc.*
(Health Care)		     0.5 %     97,327    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  940     IntercontinentalExchange,
Inc.* (Financials)		     0.5 %   $ 100,383    
  4,173     Intuit, Inc.*
(Information Technology)		     0.6 %     121,893    
  489     Intuitive Surgical, Inc.*
(Health Care)		     0.6 %     137,184    
  1,399     Laboratory Corp. of
America Holdings*
(Health Care)		     0.5 %     102,071    
  1,999     Life Technologies Corp.*
(Health Care)		     0.5 %     99,510    
  1,918     Lorillard, Inc.
(Consumer Staples)		     0.7 %     149,431    
  5,987     Marvell Technology
Group Ltd.*
(Information Technology)		     0.4 %     92,320    
  4,063     McGraw-Hill Cos., Inc. (The)
(Consumer Discretionary)		     0.6 %     121,727    
  4,298     NetApp, Inc.*
(Information Technology)		     0.6 %     132,464    
  7,055     NVIDIA Corp.*
(Information Technology)		     0.4 %     92,138    
  4,157     Paychex, Inc.
(Information Technology)		     0.6 %     130,322    
  4,857     PPL Corp. (Utilities)     0.7 %     148,236    
  1,810     Precision Castparts
Corp. (Industrials)		     0.9 %     187,661    
  538     priceline.com, Inc.*
(Consumer Discretionary)		     0.5 %     115,197    
  4,013     Principal Financial
Group, Inc. (Financials)		     0.5 %     101,890    
  1,737     Public Storage (REIT)
(Financials)		     0.7 %     138,230    
  2,006     Quest Diagnostics, Inc.
(Health Care)		     0.6 %     116,228    
  2,046     Rockwell Collins, Inc.
(Industrials)		     0.5 %     109,379    
  1,399     Salesforce.com, Inc.*
(Information Technology)		     0.4 %     87,689    
  3,300     T. Rowe Price Group,
Inc. (Financials)		     0.8 %     161,469    
  5,338     TJX Cos., Inc.
(Consumer Discretionary)		     1.0 %     204,872    
  2,594     Western Digital Corp.*
(Information Technology)		     0.5 %     95,563    
  478,051     Other Common Stocks     58.9 %     12,451,245    
        Total Common Stocks
(Cost $14,408,770)		             18,164,777    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 7.0%  
$ 40,921     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $40,921 (b)		           40,921    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 45


  Ultra Russell MidCap Growth  UKW

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 81,843     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $81,843 (c)		     $ 81,843    
  245,529     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $245,532 (d)		       245,529    
  49,208     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $49,208 (e)		       49,208    
  85,935     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $85,935 (f)		       85,935    
  163,686     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $163,690 (g)		       163,686    
  40,921     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $40,921 (h)		       40,921    
  245,529     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $245,530 (i)		       245,529    
  204,607     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $204,608 (j)		       204,607    
  122,764     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $122,765 (k)		       122,764    
  188,908     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $188,909 (l)		       188,908    
        Total Repurchase Agreements
(Cost $1,469,851)		       1,469,851    
        Total Investment Securities
(Cost $15,878,621) — 92.9%		       19,634,628    
        Other assets in excess of
liabilities — 7.1%		       1,499,109    
        Net Assets — 100.0%     $ 21,133,737    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,546,980.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $41,739. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $83,480. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $250,440. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $50,192. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $87,654. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $166,960. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $41,739. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16;

See accompanying notes to the financial statements.

46 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKW  Ultra Russell MidCap Growth

U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $250,440. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $208,700. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $125,220. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $192,686. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ 708,246    
Aggregate gross unrealized depreciation     (449,341 )  
Net unrealized appreciation   $ 258,905    
Federal income tax cost of investments   $ 19,375,723    

 

Swap Agreements

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Growth Index		   $ 2,984,752     $ 1,008,469    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index     7,644,850       (299,482 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index     6,052,027       1,598,117    
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index     7,400,373       (265,155 )  
            $ 2,041,949    

 

Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     15.4 %  
Consumer Staples     6.4 %  
Energy     4.7 %  
Financials     7.6 %  
Health Care     11.7 %  
Industrials     12.5 %  
Information Technology     19.8 %  
Materials     4.3 %  
Telecommunication Services     0.9 %  
Utilities     2.6 %  
Other1     14.1 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 47


  Ultra Russell MidCap Growth  UKW

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 18,164,777     $ —     $ 18,164,777    
Repurchase Agreements     —       1,469,851       1,469,851    
Total Investment Securities     18,164,777       1,469,851       19,634,628    
Other Financial Instruments*:  
Swap Agreements     —       2,041,949       2,041,949    
Total Other Financial Instruments     —       2,041,949       2,041,949    
Total Investments   $ 18,164,777     $ 3,511,800     $ 21,676,577    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

48 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UVT  Ultra Russell2000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 81.8%  
  1,662     American Campus
Communities, Inc.
(REIT) (Financials)		     0.3 %   $ 44,791    
  5,189     Apollo Investment
Corp. (Financials)		     0.3 %     49,918    
  2,921     Assured Guaranty Ltd.
(Financials)		     0.4 %     66,248    
  3,121     BioMed Realty Trust,
Inc. (REIT) (Financials)		     0.3 %     42,726    
  1,527     Brady Corp.,
Class A (Industrials)		     0.3 %     45,321    
  847     CACI International,
Inc., Class A*
(Information Technology)		     0.2 %     39,318    
  4,392     CBL & Associates Properties,
Inc. (REIT) (Financials)		     0.2 %     40,670    
  1,924     Cleco Corp. (Utilities)     0.3 %     49,100    
  2,400     Coeur d'Alene Mines
Corp.* (Materials)		     0.3 %     54,744    
  1,440     Curtiss-Wright Corp.
(Industrials)		     0.2 %     40,982    
  4,555     Developers Diversified
Realty Corp. (REIT)
(Financials)		     0.3 %     46,097    
  1,323     Domtar Corp.* (Materials)     0.4 %     74,644    
  46,630     E*Trade Financial Corp.*
(Financials)		     0.5 %     76,473    
  2,921     East West Bancorp, Inc.
(Financials)		     0.3 %     42,617    
  2,626     FirstMerit Corp. (Financials)     0.3 %     55,015    
  1,887     Healthcare Realty Trust,
Inc. (REIT) (Financials)		     0.3 %     41,684    
  7,536     Hecla Mining Co.*
(Materials)		     0.3 %     49,813    
  2,257     Highwoods Properties, Inc.
(REIT) (Financials)		     0.4 %     69,087    
  1,046     Home Properties, Inc.
(REIT) (Financials)		     0.3 %     46,997    
  1,501     IDACORP, Inc. (Utilities)     0.3 %     44,385    
  8,065     JetBlue Airways Corp.*
(Industrials)		     0.3 %     44,438    
  2,718     Jones Apparel Group, Inc.
(Consumer Discretionary)		     0.3 %     46,070    
  1,375     Kilroy Realty Corp.
(REIT) (Financials)		     0.2 %     41,429    
  1,126     Magellan Health Services,
Inc.* (Health Care)		     0.2 %     41,403    
  1,620     Medicis Pharmaceutical
Corp., Class A
(Health Care)		     0.2 %     38,216    
  8,928     MFA Financial, Inc. (REIT)
(Financials)		     0.4 %     67,585    
  2,747     Montpelier Re Holdings
Ltd. (Financials)		     0.3 %     45,985    
  1,443     Moog, Inc., Class A*
(Industrials)		     0.2 %     38,110    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  2,945     MPS Group, Inc.*
(Industrials)		     0.2 %   $ 40,199    
  2,546     National Retail Properties,
Inc. (REIT)
(Financials)		     0.3 %     51,022    
  1,127     New Jersey Resources
Corp. (Utilities)		     0.2 %     39,704    
  3,399     NewAlliance Bancshares,
Inc. (Financials)		     0.2 %     40,040    
  1,439     Nicor, Inc. (Utilities)     0.3 %     56,351    
  1,345     Nordic American Tanker
Shipping (Energy)		     0.3 %     43,000    
  2,137     Omega Healthcare Investors,
Inc. (REIT)
(Financials)		     0.2 %     38,658    
  2,196     Piedmont Natural Gas Co.,
Inc. (Utilities)		     0.3 %     52,045    
  1,628     Platinum Underwriters
Holdings Ltd. (Financials)		     0.3 %     57,452    
  2,392     Portland General
Electric Co. (Utilities)		     0.3 %     46,907    
  1,055     ProAssurance Corp.*
(Financials)		     0.3 %     56,179    
  1,467     Prosperity Bancshares, Inc.
(Financials)		     0.3 %     58,431    
  1,140     Regal-Beloit Corp.
(Industrials)		     0.3 %     54,104    
  1,551     Sensient Technologies
Corp. (Materials)		     0.2 %     39,302    
  3,788     Solutia, Inc.* (Materials)     0.2 %     40,797    
  1,027     UMB Financial Corp.
(Financials)		     0.2 %     40,361    
  1,271     Unisys Corp.*
(Information Technology)		     0.2 %     40,786    
  757     United Stationers, Inc.*
(Industrials)		     0.2 %     38,562    
  1,647     Washington Real Estate
Investment Trust
(REIT) (Financials)		     0.3 %     42,987    
  1,346     WellCare Health Plans,
Inc.* (Health Care)		     0.3 %     44,405    
  1,599     WGL Holdings, Inc.
(Utilities)		     0.3 %     50,337    
  1,111,600     Other Common Stocks     68.1 %     11,761,475    
        Total Common Stocks
(Cost $12,071,314)		             14,116,970    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 8.2%  
$ 39,704     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $39,704 (b)		           39,704    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 49


  Ultra Russell2000 Value  UVT

Principal
Amount		      
Value		  
    Repurchase Agreements (a) (continued)  
$ 79,407     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $79,407 (c)		     $ 79,407    
  238,222     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $238,225 (d)		       238,222    
  47,743     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $47,743 (e)		       47,743    
  83,378     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $83,378 (f)		       83,378    
  158,814     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $158,817 (g)		       158,814    
  39,704     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $39,704 (h)		       39,704    
  238,222     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $238,223 (i)		       238,222    
  198,518     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $198,519 (j)		       198,518    
  119,111     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $119,111 (k)		       119,111    
  183,284     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $183,285 (l)		       183,284    
        Total Repurchase Agreements
(Cost $1,426,107)		       1,426,107    
        Total Investment Securities
(Cost $13,497,421) — 90.0%		       15,543,077    
        Other assets in excess of
liabilities — 10.0%		       1,720,621    
        Net Assets — 100.0%     $ 17,263,698    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $4,431,293.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $40,498. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $80,995. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $242,987. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $48,698. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $85,046. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $161,991. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $40,498. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to

See accompanying notes to the financial statements.

50 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UVT  Ultra Russell2000 Value

03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $242,987. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $202,489. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $121,494. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $186,950. The investment in the repurchase agreement was through participation in a pooled account.

REIT  Real Estate Investment Trust

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (1,877,801 )  
Net unrealized depreciation   $ (1,877,801 )  
Federal income tax cost of investments   $ 17,420,878    

 

Swap Agreements

Ultra Russell2000 Value had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Value Index		   $ 2,970,489     $ 1,019,165    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index     5,820,705       (241,241 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index     6,513,239       1,604,778    
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index     5,087,434       (179,535 )  
            $ 2,203,167    

 

Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     9.3 %  
Consumer Staples     2.4 %  
Energy     4.8 %  
Financials     28.0 %  
Health Care     4.0 %  
Industrials     13.7 %  
Information Technology     8.5 %  
Materials     5.6 %  
Telecommunication Services     0.4 %  
Utilities     5.1 %  
Other1     18.2 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 51


  Ultra Russell2000 Value  UVT

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 14,116,925     $ 45     $ 14,116,970    
Repurchase Agreements     —       1,426,107       1,426,107    
Total Investment Securities     14,116,925       1,426,152       15,543,077    
Other Financial Instruments*:  
Swap Agreements     —       2,203,167       2,203,167    
Total Other Financial Instruments     —       2,203,167       2,203,167    
Total Investments   $ 14,116,925     $ 3,629,319     $ 17,746,244    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

52 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKK  Ultra Russell2000 Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 85.1%  
  15,332     3Com Corp.*
(Information Technology)		     0.5 %   $ 112,997    
  3,567     American Medical
Systems Holdings,
Inc.* (Health Care)		     0.3 %     62,672    
  2,098     American Superconductor
Corp.* (Industrials)		     0.3 %     69,654    
  2,557     AMERIGROUP
Corp.* (Health Care)		     0.3 %     60,626    
  1,845     Arena Resources, Inc.*
(Energy)		     0.3 %     75,442    
  1,617     athenahealth, Inc.*
(Health Care)		     0.3 %     67,752    
  2,952     Atheros Communications,
Inc.* (Information
Technology)		     0.3 %     84,043    
  2,235     Auxilium Pharmaceuticals,
Inc.* (Health Care)		     0.3 %     77,934    
  2,630     Bally Technologies, Inc.*
(Consumer Discretionary)		     0.5 %     109,224    
  1,530     Blackboard, Inc.*
(Information Technology)		     0.3 %     63,847    
  1,773     Catalyst Health Solutions,
Inc.* (Health Care)		     0.3 %     60,300    
  1,922     Concur Technologies, Inc.*
(Information Technology)		     0.3 %     71,229    
  853     Dionex Corp.*
(Health Care)		     0.2 %     59,804    
  1,404     Dril-Quip, Inc.* (Energy)     0.3 %     75,830    
  2,267     Fossil, Inc.*
(Consumer Discretionary)		     0.3 %     69,937    
  1,238     Haemonetics Corp.*
(Health Care)		     0.3 %     66,084    
  4,266     HealthSouth Corp.*
(Health Care)		     0.3 %     74,826    
  7,864     Human Genome
Sciences, Inc.*
(Health Care)		     0.9 %     218,776    
  3,405     Immucor, Inc.*
(Health Care)		     0.3 %     62,822    
  4,212     Informatica Corp.*
(Information Technology)		     0.4 %     94,559    
  2,430     J. Crew Group, Inc.*
(Consumer Discretionary)		     0.4 %     103,980    
  4,048     Jack Henry & Associates,
Inc. (Information
Technology)		     0.4 %     92,497    
  2,451     Masimo Corp.*
(Health Care)		     0.3 %     64,608    
  1,247     MercadoLibre, Inc.*
(Information Technology)		     0.3 %     61,552    
  3,924     Microsemi Corp.*
(Information Technology)		     0.2 %     59,763    
  2,388     Nu Skin Enterprises, Inc.,
Class A
(Consumer Staples)		     0.3 %     63,951    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  2,980     Onyx Pharmaceuticals,
Inc.* (Health Care)		     0.4 %   $ 85,258    
  1,609     Owens & Minor, Inc.
(Health Care)		     0.3 %     62,413    
  7,063     Palm, Inc.*
(Information Technology)		     0.3 %     77,057    
  5,598     Parametric Technology
Corp.* (Information
Technology)		     0.3 %     84,306    
  1,480     Polaris Industries, Inc.
(Consumer Discretionary)		     0.3 %     64,572    
  1,140     Quality Systems, Inc.
(Health Care)		     0.3 %     67,819    
  3,210     Rackspace Hosting, Inc.*
(Information Technology)		     0.2 %     59,417    
  1,621     Rock-Tenn Co.,
Class A (Materials)		     0.3 %     73,221    
  8,090     Skyworks Solutions, Inc.*
(Information Technology)		     0.4 %     99,588    
  3,359     Solera Holdings, Inc.
(Information Technology)		     0.5 %     117,431    
  1,893     Starent Networks Corp.*
(Information Technology)		     0.3 %     65,290    
  2,826     STERIS Corp.
(Health Care)		     0.4 %     91,308    
  1,454     Stifel Financial Corp.*
(Financials)		     0.3 %     78,109    
  3,619     Tempur-Pedic
International, Inc.*
(Consumer Discretionary)		     0.3 %     77,989    
  2,908     Tetra Tech, Inc.*
(Industrials)		     0.3 %     76,597    
  2,728     Thoratec Corp.*
(Health Care)		     0.3 %     81,267    
  1,733     Tractor Supply Co.*
(Consumer Discretionary)		     0.3 %     80,914    
  3,025     Tupperware Brands Corp.
(Consumer Discretionary)		     0.6 %     140,814    
  2,213     Warnaco Group, Inc. (The)*
(Consumer Discretionary)		     0.4 %     90,091    
  1,688     Watson Wyatt Worldwide,
Inc., Class A
(Industrials)		     0.3 %     69,782    
  1,583     West Pharmaceutical
Services, Inc.
(Health Care)		     0.3 %     61,025    
  2,376     Wolverine World
Wide, Inc.
(Consumer Discretionary)		     0.3 %     60,754    
  1,423     World Fuel Services
Corp. (Energy)		     0.3 %     75,675    
  1,401,987     Other Common Stocks     68.5 %     16,187,451    
        Total Common Stocks
(Cost $17,411,453)		             20,112,857    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 53


  Ultra Russell2000 Growth  UKK

No. of
Warrants		  
  Percentage of
Net Assets		   Value  
    Warrants — 0.0%  
  18     GreenHunter Energy,
Inc., expiring
08/27/11 at $27.50 *		     0.0 %   $ —    
        Total Warrants
(Cost $—)		         —    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 8.7%  
$ 57,638     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $57,638 (b)		       57,638    
  115,275     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $115,276 (c)		       115,275    
  345,825     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $345,829 (d)		       345,825    
  69,309     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $69,309 (e)		       69,309    
  121,039     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $121,040 (f)		       121,039    
  230,550     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $230,555 (g)		       230,550    
  57,638     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $57,638 (h)		       57,638    
  345,825     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $345,827 (i)		       345,825    
  288,188     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $288,189 (j)		       288,188    
  172,913     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $172,914 (k)		       172,913    
  266,074     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $266,075 (l)		       266,074    
        Total Repurchase Agreements
(Cost $2,070,274)		       2,070,274    
        Total Investment Securities
(Cost $19,481,727) — 93.8%		       22,183,131    
        Other assets in excess of
liabilities — 6.2%		       1,461,107    
        Net Assets — 100.0%     $ 23,644,238    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $8,257,378.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $58,791. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $117,581. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $352,743. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $70,695. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $123,461. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $235,161. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $58,791. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.

54 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UKK  Ultra Russell2000 Growth

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $352,742. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $293,952. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $176,372. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $271,396. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 978,913    
Aggregate gross unrealized depreciation     (1,560,134 )  
Net unrealized depreciation   $ (581,221 )  
Federal income tax cost of investments   $ 22,764,352    

 

Swap Agreements

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on
Russell 2000 Growth® Index		   $ 4,391,007     $ 1,419,447    
Equity Index Swap Agreement with Deutsche Bank AG, based on Russell 2000 Growth® Index     7,040,290       (395,955 )  
Equity Index Swap Agreement with Societe Generale, based on Russell 2000 Growth® Index     7,802,501       1,837,400    
Equity Index Swap Agreement with UBS AG, based on Russell 2000 Growth® Index     7,917,121       (389,780 )  
            $ 2,471,112    

 

Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     13.8 %  
Consumer Staples     3.5 %  
Energy     3.5 %  
Financials     5.1 %  
Health Care     20.5 %  
Industrials     12.4 %  
Information Technology     22.7 %  
Materials     2.1 %  
Telecommunication Services     1.3 %  
Utilities     0.2 %  
Other1     14.9 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 55


  Ultra Russell2000 Growth  UKK

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 20,112,834     $ 23     $ 20,112,857    
Rights/Warrants     —       —       —    
Repurchase Agreements     —       2,070,274       2,070,274    
Total Investment Securities     20,112,834       2,070,297       22,183,131    
Other Financial Instruments*:  
Swap Agreements     —       2,471,112       2,471,112    
Total Other Financial Instruments     —       2,471,112       2,471,112    
Total Investments   $ 20,112,834     $ 4,541,409     $ 24,654,243    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

56 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)



  UYM  Ultra Basic Materials

Shares     Value  
    Common Stocks (a) — 55.8%  
    Chemicals — 28.9%  
  14,412     A. Schulman, Inc.   $ 235,204    
  121,656     Air Products & Chemicals, Inc.     10,088,932    
  43,019     Airgas, Inc.     1,989,629    
  56,343     Albemarle Corp.     1,901,576    
  41,060     Ashland, Inc.     1,475,286    
  31,062     Cabot Corp.     712,252    
  33,316     Calgon Carbon Corp.*     466,091    
  88,393     Celanese Corp., Class A     2,630,576    
  34,736     CF Industries Holdings, Inc.     2,965,065    
  29,872     Cytec Industries, Inc.     1,015,050    
  704,845     Dow Chemical Co. (The)     19,580,594    
  522,079     E.I. du Pont de Nemours & Co.     18,053,492    
  42,101     Eastman Chemical Co.     2,531,112    
  145,749     Ecolab, Inc.     6,545,588    
  44,796     FMC Corp.     2,508,128    
  29,856     H.B. Fuller Co.     607,868    
  101,001     Huntsman Corp.     961,529    
  48,429     International Flavors &
Fragrances, Inc.		     1,972,029    
  26,253     Intrepid Potash, Inc.*     799,141    
  41,455     Lubrizol Corp.     3,006,317    
  11,554     Minerals Technologies, Inc.     610,513    
  91,723     Mosaic Co. (The)     4,994,317    
  6,726     NewMarket Corp.     704,347    
  42,493     Olin Corp.     712,608    
  18,939     OM Group, Inc.*     580,101    
  101,962     PPG Industries, Inc.     6,059,602    
  190,086     Praxair, Inc.     15,592,754    
  31,291     Rockwood Holdings, Inc.*     704,360    
  79,332     RPM International, Inc.     1,554,907    
  30,026     Sensient Technologies Corp.     760,859    
  64,482     Sigma-Aldrich Corp.     3,439,470    
  73,360     Solutia, Inc.*     790,087    
  61,453     Terra Industries, Inc.     2,370,857    
  57,289     Valspar Corp.     1,502,118    
  37,143     WR Grace & Co.*     849,089    
      121,271,448    
    Commercial Services & Supplies — 0.6%  
  69,493     Avery Dennison Corp.     2,610,157    
    Industrial Conglomerates — 0.0%  
  14,962     Tredegar Corp.     215,602    
    Metals & Mining — 19.4%  
  67,343     AK Steel Holding Corp.     1,346,860    
  599,584     Alcoa, Inc.     7,506,792    
  56,534     Allegheny Technologies, Inc.     1,923,852    

 

Shares     Value  
    Common Stocks (a) (continued)  
  27,178     Carpenter Technology Corp.   $ 629,986    
  80,732     Cliffs Natural Resources, Inc.     3,557,052    
  46,476     Coeur d'Alene Mines Corp.*     1,060,117    
  69,229     Commercial Metals Co.     1,100,741    
  19,964     Compass Minerals International, Inc.     1,299,457    
  253,775     Freeport-McMoRan Copper &
Gold, Inc.*		     21,012,570    
  145,754     Hecla Mining Co.*     963,434    
  9,556     Kaiser Aluminum Corp.     369,244    
  294,330     Newmont Mining Corp.     15,787,861    
  175,613     Nucor Corp.     7,447,747    
  39,484     Reliance Steel & Aluminum Co.     1,614,106    
  24,915     Royal Gold, Inc.     1,340,925    
  17,965     RTI International Metals, Inc.*     355,887    
  130,558     Southern Copper Corp.     4,548,641    
  132,619     Steel Dynamics, Inc.     2,243,913    
  52,735     Titanium Metals Corp.     515,221    
  88,335     United States Steel Corp.     3,945,041    
  32,591     Walter Energy, Inc.     2,235,743    
  39,642     Worthington Industries, Inc.     464,208    
      81,269,398    
    Oil, Gas & Consumable Fuels — 5.0%  
  96,509     Alpha Natural Resources, Inc.*     3,570,833    
  100,144     Arch Coal, Inc.     2,089,004    
  111,336     CONSOL Energy, Inc.     5,112,549    
  52,689     Massey Energy Co.     1,984,268    
  47,429     Patriot Coal Corp.*     581,005    
  164,346     Peabody Energy Corp.     7,306,823    
  69,249     USEC, Inc.*     253,452    
      20,897,934    
    Paper & Forest Products — 1.9%  
  25,843     Domtar Corp.*     1,458,062    
  245,043     International Paper Co.     6,236,344    
  30,378     Wausau Paper Corp.     308,337    
      8,002,743    
        Total Common Stocks
(Cost $140,701,718)		     234,267,282    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 9.5%  
$ 1,106,518     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,106,523 (b)		     1,106,518    
  2,213,035     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,213,045 (c)		     2,213,035    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 57


  Ultra Basic Materials  UYM

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 6,639,105     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $6,639,182 (d)		   $ 6,639,105    
  1,330,579     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,330,585 (e)		     1,330,579    
  2,323,687     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,323,697 (f)		     2,323,687    
  4,426,070     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $4,426,165 (g)		     4,426,070    
  1,106,518     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,106,523 (h)		     1,106,518    
  6,639,105     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,639,135 (i)		     6,639,105    
  5,532,588     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,532,613 (j)		     5,532,588    
  3,319,553     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,319,567 (k)		     3,319,553    
  5,108,065     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,108,088 (l)		     5,108,065    
        Total Repurchase Agreements
(Cost $39,744,823)		     39,744,823    
        Total Investment Securities
(Cost $180,446,541) — 65.3%		     274,012,105    
        Other assets less liabilities — 34.7%     145,744,564    
        Net Assets — 100.0%   $ 419,756,669    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $141,938,946.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,128,649. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,257,296. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $6,771,910. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,357,191. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,370,178. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $4,514,600. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,128,650. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $6,771,895. The investment in the repurchase agreement was through participation in a pooled account.

See accompanying notes to the financial statements.

58 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UYM  Ultra Basic Materials

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $5,643,253. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $3,385,954. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $5,210,234. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 52,313,902    
Aggregate gross unrealized depreciation     (461,963 )  
Net unrealized appreciation   $ 51,851,939    
Federal income tax cost of investments   $ 222,160,166    

 

Swap Agreements

Ultra Basic Materials had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Basic MaterialsSM Index		   $ 127,069,199     $ 58,113,560    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Basic MaterialsSM Index     60,767,965       (2,557,022 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index     247,997,020       94,376,841    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Basic MaterialsSM Index     170,834,692       (4,820,807 )  
            $ 145,112,572    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 234,267,282     $ —     $ 234,267,282    
Repurchase Agreements     —       39,744,823       39,744,823    
Total Investment Securities     234,267,282       39,744,823       274,012,105    
Other Financial Instruments*:  
Swap Agreements     —       145,112,572       145,112,572    
Total Other Financial Instruments     —       145,112,572       145,112,572    
Total Investments   $ 234,267,282     $ 184,857,395     $ 419,124,677    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 59


  Ultra Consumer Goods  UGE

Shares     Value  
    Common Stocks (a) — 85.6%  
    Auto Components — 2.2%  
  2,580     BorgWarner, Inc.   $ 77,942    
  1,308     Cooper Tire & Rubber Co.     23,439    
  3,060     Gentex Corp.     50,857    
  5,337     Goodyear Tire & Rubber Co. (The)*     73,170    
  13,088     Johnson Controls, Inc.     354,031    
  1,517     TRW Automotive Holdings Corp.*     33,010    
  1,424     WABCO Holdings, Inc.     33,649    
      646,098    
    Automobiles — 2.7%  
  69,946     Ford Motor Co.*     621,820    
  5,174     Harley-Davidson, Inc.     150,771    
  843     Thor Industries, Inc.     23,983    
      796,574    
    Beverages — 19.3%  
  413     Brown-Forman Corp., Class A     22,095    
  2,092     Brown-Forman Corp., Class B     107,048    
  1,327     Central European Distribution Corp.*     36,997    
  47,311     Coca-Cola Co. (The)     2,706,189    
  7,075     Coca-Cola Enterprises, Inc.     139,024    
  4,383     Constellation Brands, Inc., Class A*     74,993    
  5,227     Dr. Pepper Snapple Group, Inc.*     136,895    
  1,598     Hansen Natural Corp.*     55,882    
  3,490     Molson Coors Brewing Co., Class B     157,783    
  3,187     Pepsi Bottling Group, Inc.     120,947    
  1,386     PepsiAmericas, Inc.     41,025    
  34,792     PepsiCo, Inc.     2,164,758    
      5,763,636    
    Biotechnology — 0.0%  
  738     Martek Biosciences Corp.*     12,841    
    Chemicals — 3.4%  
  12,028     Monsanto Co.     971,261    
  983     Scotts Miracle-Gro Co. (The), Class A     39,251    
      1,010,512    
    Commercial Services & Supplies — 0.1%  
  1,241     Herman Miller, Inc.     18,851    
  826     HNI Corp.     20,873    
      39,724    
    Distributors — 0.6%  
  3,544     Genuine Parts Co.     126,981    
  3,106     LKQ Corp.*     54,138    
      181,119    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Food Products — 13.4%  
  13,053     Archer-Daniels-Midland Co.   $ 402,163    
  2,979     Bunge Ltd.     184,400    
  4,867     Campbell Soup Co.     170,199    
  984     Chiquita Brands International, Inc.*     16,718    
  9,937     ConAgra Foods, Inc.     220,502    
  1,644     Corn Products International, Inc.     46,098    
  1,828     Darling International, Inc.*     13,015    
  4,010     Dean Foods Co.*     63,759    
  4,430     Del Monte Foods Co.     46,471    
  1,905     Flowers Foods, Inc.     43,605    
  933     Fresh Del Monte Produce, Inc.*     20,274    
  6,887     General Mills, Inc.     468,316    
  860     Green Mountain Coffee
Roasters, Inc.*		     54,163    
  6,968     H. J. Heinz Co.     295,791    
  900     Hain Celestial Group, Inc. (The)*     15,606    
  3,452     Hershey Co. (The)     122,097    
  1,631     Hormel Foods Corp.     61,195    
  2,621     J.M. Smucker Co. (The)     154,849    
  5,296     Kellogg Co.     278,464    
  29,871     Kraft Foods, Inc., Class A     793,971    
  454     Lancaster Colony Corp.     21,665    
  2,413     McCormick & Co., Inc. (Non-Voting)     86,096    
  1,252     Ralcorp Holdings, Inc.*     72,516    
  14,622     Sara Lee Corp.     177,511    
  2,987     Smithfield Foods, Inc.*     46,239    
  513     Tootsie Roll Industries, Inc.     13,040    
  702     TreeHouse Foods, Inc.*     24,479    
  6,835     Tyson Foods, Inc., Class A     82,157    
      3,995,359    
    Household Durables — 3.6%  
  1,331     Black & Decker Corp.     80,778    
  6,167     D.R. Horton, Inc.     63,397    
  601     Ethan Allen Interiors, Inc.     6,978    
  2,638     Garmin Ltd.     78,823    
  1,541     Harman International Industries, Inc.     57,957    
  1,952     Jarden Corp.     53,582    
  1,696     KB Home     22,981    
  3,472     Leggett & Platt, Inc.     67,565    
  3,201     Lennar Corp., Class A     40,557    
  801     MDC Holdings, Inc.     23,782    
  1,227     Mohawk Industries, Inc.*     50,405    
  6,202     Newell Rubbermaid, Inc.     89,991    
  130     NVR, Inc.*     87,510    
  7,424     Pulte Homes, Inc.     67,855    
  957     Ryland Group, Inc.     17,523    
  1,569     Tempur-Pedic International, Inc.*     33,812    

 

See accompanying notes to the financial statements.

60 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UGE  Ultra Consumer Goods

Shares     Value  
    Common Stocks (a) (continued)  
  2,920     Toll Brothers, Inc.*   $ 56,911    
  1,391     Tupperware Brands Corp.     64,751    
  1,633     Whirlpool Corp.     121,103    
      1,086,261    
    Household Products — 20.0%  
  1,556     Church & Dwight Co., Inc.     91,866    
  3,075     Clorox Co.     185,330    
  11,102     Colgate-Palmolive Co.     934,678    
  1,542     Energizer Holdings, Inc.*     86,876    
  9,228     Kimberly-Clark Corp.     608,771    
  65,135     Procter & Gamble Co. (The)     4,061,167    
  343     WD-40 Co.     11,028    
      5,979,716    
    Leisure Equipment & Products — 1.1%  
  1,946     Brunswick Corp.     19,538    
  1,436     Callaway Golf Co.     10,296    
  5,655     Eastman Kodak Co.*     22,903    
  2,790     Hasbro, Inc.     82,723    
  8,030     Mattel, Inc.     156,264    
  722     Polaris Industries, Inc.     31,501    
  1,074     Pool Corp.     19,396    
      342,621    
    Machinery — 0.5%  
  1,099     Briggs & Stratton Corp.     20,727    
  1,277     Snap-On, Inc.     46,163    
  1,738     Stanley Works (The)     84,415    
      151,305    
    Media — 0.2%  
  1,153     Marvel Entertainment, Inc.*     60,014    
    Personal Products — 2.3%  
  1,947     Alberto-Culver Co.     54,808    
  9,484     Avon Products, Inc.     324,827    
  422     Chattem, Inc.*     27,785    
  2,447     Estee Lauder Cos., Inc. (The),
Class A		     114,593    
  1,368     Herbalife Ltd.     57,374    
  709     Mead Johnson Nutrition Co.,
Class A		     31,104    
  1,242     NBTY, Inc.*     49,854    
  1,139     Nu Skin Enterprises, Inc., Class A     30,502    
      690,847    
    Software — 1.0%  
  12,824     Activision Blizzard, Inc.*     146,065    
  7,151     Electronic Arts, Inc.*     120,781    
  1,785     Take-Two Interactive Software, Inc.*     20,081    

 

Shares     Value  
    Common Stocks (a) (continued)  
  2,408     TiVo, Inc.*   $ 23,839    
      310,766    
    Textiles, Apparel & Luxury Goods — 3.7%  
  1,259     Carter's, Inc.*     27,383    
  7,057     Coach, Inc.     245,231    
  293     Deckers Outdoor Corp.*     27,141    
  1,049     Fossil, Inc.*     32,362    
  2,085     Hanesbrands, Inc.*     50,061    
  1,586     Iconix Brand Group, Inc.*     17,858    
  1,897     Jones Apparel Group, Inc.     32,154    
  6,003     NIKE, Inc., Class B     389,535    
  1,141     Phillips-Van Heusen Corp.     45,640    
  992     Timberland Co. (The), Class A*     16,566    
  832     Under Armour, Inc., Class A*     21,299    
  1,936     VF Corp.     140,786    
  1,016     Warnaco Group, Inc. (The)*     41,361    
  1,087     Wolverine World Wide, Inc.     27,795    
      1,115,172    
    Tobacco — 11.5%  
  45,773     Altria Group, Inc.     860,990    
  3,669     Lorillard, Inc.     285,852    
  42,990     Philip Morris International, Inc.     2,067,389    
  3,756     Reynolds American, Inc.     187,650    
  552     Universal Corp.     23,686    
      3,425,567    
        Total Common Stocks
(Cost $21,146,695)		     25,608,132    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 7.4%  
$ 61,832     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $61,832 (b)		     61,832    
  123,663     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $123,664 (c)		     123,663    
  370,989     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $370,993 (d)		     370,989    
  74,352     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $74,352 (e)		     74,352    
  129,846     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $129,847 (f)		     129,846    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 61


  Ultra Consumer Goods  UGE

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 247,326     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $247,331 (g)		   $ 247,326    
  61,832     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $61,832 (h)		     61,832    
  370,989     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $370,991 (i)		     370,989    
  309,158     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $309,159 (j)		     309,158    
  185,495     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $185,496 (k)		     185,495    
  285,435     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $285,436 (l)		     285,435    
        Total Repurchase Agreements
(Cost $2,220,917)		     2,220,917    
        Total Investment Securities
(Cost $23,367,612) — 93.0%		     27,829,049    
        Other assets less liabilities — 7.0%     2,100,492    
        Net Assets — 100.0%   $ 29,929,541    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,708,463.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $63,069. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $126,136. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $378,410. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $75,839. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $132,444. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $252,273. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $63,069. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $378,409. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $315,342. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

62 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UGE  Ultra Consumer Goods

schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $189,205. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $291,144. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 2,213,103    
Aggregate gross unrealized depreciation     (301,799 )  
Net unrealized appreciation   $ 1,911,304    
Federal income tax cost of investments   $ 25,917,745    

 

Swap Agreements

Ultra Consumer Goods had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Consumer GoodsSM Index		   $ 2,776,617     $ 825,543    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Consumer
GoodsSM Index		     15,098,146       (243,173 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Consumer GoodsSM Index     6,507,076       1,624,798    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer GoodsSM Index     10,051,337       (116,450 )  
            $ 2,090,718    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 25,608,132     $ —     $ 25,608,132    
Repurchase Agreements     —       2,220,917       2,220,917    
Total Investment Securities     25,608,132       2,220,917       27,829,049    
Other Financial Instruments*:  
Swap Agreements     —       2,090,718       2,090,718    
Total Other Financial Instruments     —       2,090,718       2,090,718    
Total Investments   $ 25,608,132     $ 4,311,635     $ 29,919,767    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 63


  Ultra Consumer Services  UCC

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 86.3%  
  3,393     Amazon.com, Inc.*
(Internet & Catalog
Retail)		     2.8 %   $ 461,143    
  3,266     AmerisourceBergen
Corp. (Health Care
Providers & Services)		     0.5 %     80,638    
  1,396     Apollo Group, Inc.,
Class A* (Diversified
Consumer Services)		     0.5 %     79,670    
  2,879     Bed Bath & Beyond, Inc.*
(Specialty Retail)		     0.6 %     107,559    
  3,727     Best Buy Co., Inc.
(Specialty Retail)		     1.0 %     159,627    
  2,714     Cablevision Systems
Corp., Class A (Media)		     0.4 %     67,904    
  3,918     Cardinal Health, Inc.
(Health Care
Providers & Services)		     0.8 %     126,277    
  4,638     Carnival Corp.*
(Hotels, Restaurants &
Leisure)		     0.9 %     148,555    
  6,420     CBS Corp., Class B
(Media)		     0.5 %     82,240    
  22,627     Comcast Corp.,
Class A (Media)		     2.0 %     331,938    
  8,785     Comcast Corp., Special,
Class A (Media)		     0.7 %     121,321    
  4,744     Costco Wholesale Corp.
(Food & Staples
Retailing)		     1.7 %     284,213    
  15,734     CVS Caremark Corp.
(Food & Staples
Retailing)		     3.0 %     487,911    
  8,479     Delta Air Lines, Inc.*
(Airlines)		     0.4 %     69,443    
  10,458     DIRECTV, Class A*
(Media)		     2.0 %     330,784    
  12,060     eBay, Inc.* (Internet
Software & Services)		     1.8 %     295,108    
  5,574     Gap, Inc. (The)
(Specialty Retail)		     0.7 %     119,395    
  3,720     H&R Block, Inc.
(Diversified Consumer
Services)		     0.5 %     75,516    
  18,665     Home Depot, Inc.
(Specialty Retail)		     3.1 %     510,674    
  2,281     J.C. Penney Co., Inc.
(Multiline Retail)		     0.4 %     65,556    
  3,156     Kohl's Corp.*
(Multiline Retail)		     1.0 %     167,710    
  6,698     Kroger Co. (The)
(Food & Staples
Retailing)		     0.9 %     152,313    
  4,751     Las Vegas Sands Corp.*
(Hotels, Restaurants &
Leisure)		     0.4 %     72,785    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  6,203     Liberty Media Corp. -
Interactive, Class A*
(Internet & Catalog
Retail)		     0.4 %   $ 66,000    
  16,073     Lowe's Cos., Inc.
(Specialty Retail)		     2.1 %     350,552    
  4,614     Macy's, Inc.
(Multiline Retail)		     0.5 %     75,254    
  3,423     Marriott International,
Inc., Class A (Hotels,
Restaurants & Leisure)		     0.5 %     88,030    
  11,993     McDonald's Corp.
(Hotels, Restaurants &
Leisure)		     4.6 %     758,557    
  3,455     McGraw-Hill Cos., Inc.
(The) (Media)		     0.6 %     103,512    
  2,953     McKesson Corp.
(Health Care Providers &
Services)		     1.1 %     183,145    
  19,945     News Corp., Class A
(Media)		     1.4 %     228,570    
  4,778     News Corp., Class B
(Media)		     0.4 %     65,411    
  1,851     Nordstrom, Inc.
(Multiline Retail)		     0.4 %     61,916    
  3,416     Omnicom Group, Inc.
(Media)		     0.8 %     125,436    
  458     priceline.com, Inc.*
(Internet & Catalog
Retail)		     0.6 %     98,067    
  4,576     Safeway, Inc. (Food &
Staples Retailing)		     0.6 %     102,960    
  8,149     Southwest Airlines Co.
(Airlines)		     0.4 %     74,971    
  7,861     Staples, Inc.
(Specialty Retail)		     1.1 %     183,319    
  8,025     Starbucks Corp.*
(Hotels, Restaurants &
Leisure)		     1.1 %     175,747    
  6,476     Sysco Corp. (Food &
Staples Retailing)		     1.1 %     175,111    
  7,514     Target Corp.
(Multiline Retail)		     2.1 %     349,852    
  3,873     Time Warner Cable, Inc.
(Media)		     1.0 %     162,240    
  13,107     Time Warner, Inc.
(Media)		     2.4 %     402,647    
  4,542     TJX Cos., Inc.
(Specialty Retail)		     1.0 %     174,322    
  6,033     Viacom, Inc., Class B*
(Media)		     1.1 %     178,818    
  10,893     Walgreen Co. (Food &
Staples Retailing)		     2.6 %     423,629    
  24,045     Wal-Mart Stores, Inc.
(Food & Staples
Retailing)		     7.9 %     1,311,655    

 

See accompanying notes to the financial statements.

64 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UCC  Ultra Consumer Services

Shares  
 		   Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  19,063     Walt Disney Co. (The)
(Media)		     3.5 %   $ 576,084    
  5,084     Yum! Brands, Inc.
(Hotels, Restaurants &
Leisure)		     1.1 %     179,313    
  151,281     Other Common Stocks     19.3 %     3,181,499    
        Total Common Stocks
(Cost $11,014,861)		             14,254,897    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 6.9%  
$ 31,853     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $31,853 (b)		           31,853    
  63,706     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $63,706 (c)		           63,706    
  191,118     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $191,120 (d)		           191,118    
  38,303     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $38,303 (e)		           38,303    
  66,891     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $66,891 (f)		           66,891    
  127,412     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $127,415 (g)		           127,412    
  31,853     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $31,853 (h)		           31,853    
  191,118     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $191,119 (i)		           191,118    
  159,265     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $159,266 (j)		           159,265    
  95,559     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $95,559 (k)		           95,559    

 

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a) (continued)  
$ 147,044     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $147,045(l)		     $ 147,044    
    Total Repurchase Agreements
(Cost $1,144,122)		       1,144,122    
    Total Investment Securities
(Cost $12,158,983) — 93.2%		       15,399,019    
    Other assets in excess of
liabilities — 6.8%		       1,115,409    
    Net Assets — 100.0%     $ 16,514,428    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $3,514,585.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $32,490. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $64,980. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $194,941. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $39,069. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 65


  Ultra Consumer Services  UCC

due 04/01/16 to 02/15/35, which had a total value of $68,229. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $129,961. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $32,490. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $194,941. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $162,451. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $97,470. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $149,985. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 388,154    
Aggregate gross unrealized depreciation     (123,801 )  
Net unrealized appreciation   $ 264,353    
Federal income tax cost of investments   $ 15,134,666    

 

Swap Agreements

Ultra Consumer Services had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Consumer ServicesSM Index		   $ 1,457,044     $ 467,967    
Equity Index Swap with Deutsche Bank AG, based on the Dow Jones U.S. Consumer ServicesSM Index     8,885,574       (201,357 )  
Equity Index Swap with Societe Generale, based on the Dow Jones U.S. Consumer ServicesSM Index     3,999,130       1,033,822    
Equity Index Swap with UBS AG, based on the Dow Jones U.S. Consumer ServicesSM Index     4,563,150       (101,533 )  
            $ 1,198,899    

 

See accompanying notes to the financial statements.

66 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UCC  Ultra Consumer Services

Ultra Consumer Services invested, as a percentage of net assets, in the following industries as of November 30, 2009:

Airlines     1.4 %  
Commercial Services & Supplies     0.2 %  
Computers & Peripherals     0.0 %  
Diversified Consumer Services     2.3 %  
Electronic Equipment, Instruments & Components     0.2 %  
Food & Staples Retailing     18.7 %  
Health Care Providers & Services     2.7 %  
Hotels, Restaurants & Leisure     12.5 %  
Internet & Catalog Retail     4.4 %  
Internet Software & Services     1.8 %  
IT Services     0.1 %  
Media     19.9 %  
Multiline Retail     5.5 %  
Professional Services     0.4 %  
Road & Rail     0.2 %  
Software     0.2 %  
Specialty Retail     15.5 %  
Textiles, Apparel & Luxury Goods     0.3 %  
Other1     13.7 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 14,254,897     $ —     $ 14,254,897    
Repurchase Agreements     —       1,144,122       1,144,122    
Total Investment Securities     14,254,897       1,144,122       15,399,019    
Other Financial Instruments*:  
Swap Agreements     —       1,198,899       1,198,899    
Total Other Financial Instruments     —       1,198,899       1,198,899    
Total Investments   $ 14,254,897     $ 2,343,021     $ 16,597,918    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 67


  Ultra Financials  UYG

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 73.9%  
  282,850     ACE Ltd.* (Insurance)     0.7 %   $ 13,777,623    
  395,928     Aflac, Inc. (Insurance)     0.9 %     18,224,566    
  455,381     Allstate Corp. (The)
(Insurance)		     0.6 %     12,937,374    
  894,074     American Express Co.
(Consumer Finance)		     1.9 %     37,399,116    
  216,618     Ameriprise Financial,
Inc. (Capital Markets)		     0.4 %     8,257,478    
  462,485     Annaly Capital
Management, Inc.
(Real Estate
Investment Trusts)		     0.4 %     8,514,349    
  207,332     AON Corp. (Insurance)     0.4 %     8,029,968    
  7,349,584     Bank of America Corp.
(Diversified Financial
Services)		     5.8 %     116,490,906    
  1,015,545     Bank of New York
Mellon Corp. (The)
(Capital Markets)		     1.3 %     27,054,119    
  578,979     BB&T Corp.
(Commercial Banks)		     0.7 %     14,416,577    
  117,717     Boston Properties, Inc.
(Real Estate
Investment Trusts)		     0.4 %     7,884,685    
  380,403     Capital One Financial
Corp. (Consumer
Finance)		     0.7 %     14,592,259    
  799,846     Charles Schwab Corp.
(The) (Capital Markets)		     0.7 %     14,661,177    
  299,057     Chubb Corp. (Insurance)     0.7 %     14,994,718    
  12,906,496     Citigroup, Inc.
(Diversified Financial
Services)		     2.6 %     53,045,699    
  56,882     CME Group, Inc.
(Diversified Financial
Services)		     0.9 %     18,670,379    
  462,010     Discover Financial
Services (Consumer
Finance)		     0.4 %     7,142,675    
  232,664     Equity Residential
(Real Estate
Investment Trusts)		     0.4 %     7,494,107    
  675,645     Fifth Third Bancorp
(Commercial Banks)		     0.3 %     6,810,502    
  132,346     Franklin Resources, Inc.
(Capital Markets)		     0.7 %     14,297,338    
  366,272     Goldman Sachs
Group, Inc. (The)
(Capital Markets)		     3.1 %     62,141,707    
  327,313     Hartford Financial
Services Group, Inc.
(Insurance)		     0.4 %     8,006,076    
  247,034     HCP, Inc. (Real Estate
Investment Trusts)		     0.4 %     7,732,164    
  61,419     IntercontinentalExchange,
Inc.* (Diversified
Financial Services)		     0.3 %     6,558,935    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  353,424     Invesco Ltd.
(Capital Markets)		     0.4 %   $ 7,863,684    
  3,340,616     JPMorgan Chase & Co.
(Diversified Financial
Services)		     7.0 %     141,942,774    
  301,010     Loews Corp. (Insurance)     0.5 %     10,661,774    
  443,960     Marsh & McLennan Cos.,
Inc. (Insurance)		     0.5 %     10,011,298    
  81,687     Mastercard, Inc.,
Class A (IT Services)		     1.0 %     19,675,131    
  492,055     MetLife, Inc. (Insurance)     0.8 %     16,823,360    
  1,052,902     Morgan Stanley
(Capital Markets)		     1.7 %     33,250,645    
  205,171     Northern Trust Corp.
(Capital Markets)		     0.5 %     10,155,964    
  391,878     PNC Financial Services
Group, Inc.
(Commercial Banks)		     1.1 %     22,340,965    
  255,140     Principal Financial
Group, Inc. (Insurance)		     0.3 %     6,478,005    
  538,734     Progressive Corp. (The)*
(Insurance)		     0.5 %     9,034,569    
  391,505     Prudential Financial, Inc.
(Insurance)		     1.0 %     19,516,524    
  109,080     Public Storage
(Real Estate
Investment Trusts)		     0.4 %     8,680,586    
  1,009,451     Regions Financial Corp.
(Commercial Banks)		     0.3 %     5,915,383    
  240,221     Simon Property Group,
Inc. (Real Estate
Investment Trusts)		     0.9 %     17,454,458    
  419,959     State Street Corp.
(Capital Markets)		     0.9 %     17,344,307    
  423,656     SunTrust Banks, Inc.
(Commercial Banks)		     0.5 %     10,010,991    
  216,948     T. Rowe Price Group,
Inc. (Capital Markets)		     0.5 %     10,615,266    
  482,093     Travelers Cos., Inc.
(The) (Insurance)		     1.3 %     25,256,852    
  1,624,307     U.S. Bancorp
(Commercial Banks)		     1.9 %     39,194,528    
  132,971     Ventas, Inc.
(Real Estate
Investment Trusts)		     0.3 %     5,708,445    
  390,981     Visa, Inc., Class A
(IT Services)		     1.6 %     31,669,461    
  152,380     Vornado Realty Trust
(Real Estate
Investment Trusts)		     0.5 %     9,974,795    
  3,767,723     Wells Fargo & Co.
(Commercial Banks)		     5.2 %     105,646,953    
  595,649     Western Union Co.
(The) (IT Services)		     0.6 %     10,989,724    
  21,423,548     Other Common Stocks     18.6 %     376,505,811    
        Total Common Stocks
(Cost $961,847,765)		             1,491,856,750    

 

See accompanying notes to the financial statements.

68 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UYG  Ultra Financials

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a) — 2.9%  
$ 1,649,724     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,649,731 (b)		     $ 1,649,724    
  3,299,447     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,299,462 (c)		       3,299,447    
  9,898,341     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $9,898,456 (d)		       9,898,341    
  1,983,781     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,983,789 (e)		       1,983,781    
  3,464,419     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,464,434 (f)		       3,464,419    
  6,598,894     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $6,599,035 (g)		       6,598,894    
  1,649,724     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,649,731 (h)		       1,649,724    
  9,898,341     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,898,385 (i)		       9,898,341    
  8,248,618     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,248,655 (j)		       8,248,618    
  4,949,171     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,949,192 (k)		       4,949,171    
  7,615,691     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,615,725 (l)		       7,615,691    
        Total Repurchase Agreements
(Cost $59,256,151)		       59,256,151    
        Total Investment Securities
(Cost $1,021,103,916) — 76.8%		       1,551,112,901    
        Other assets in excess of
liabilities — 23.2%		       467,978,473    
        Net Assets — 100.0%     $ 2,019,091,374    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $639,359,577.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,682,719. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,365,436. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $10,096,343. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $2,023,458. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,533,734. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,730,885. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,682,721. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 69


  Ultra Financials   UYG

schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $10,096,320. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,413,610. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $5,048,170. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,768,016. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 77,070,128    
Aggregate gross unrealized depreciation     (10,643,427 )  
Net unrealized appreciation   $ 66,426,701    
Federal income tax cost of investments   $ 1,484,686,200    

 

Swap Agreements

Ultra Financials had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Dow Jones U.S. FinancialsSM Index		   $ 284,709,009     $ (5,853,765 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     402,020,500       (11,160,450 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. FinancialsSM Index		     287,794,091       3,581,210    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     1,357,959,340       486,636,629    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     221,077,719       (4,817,314 )  
            $ 468,386,310    

 

Ultra Financials invested, as a percentage of net assets, in the following industries as of November 30, 2009:

Capital Markets     12.1 %  
Commercial Banks     13.1 %  
Consumer Finance     3.2 %  
Diversified Financial Services     17.4 %  
Insurance     14.1 %  
IT Services     3.1 %  
Professional Services     0.2 %  
Real Estate Investment Trusts     9.3 %  
Real Estate Management & Development     0.5 %  
Thrifts & Mortgage Finance     0.9 %  
Other1     26.1 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

70 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UYG  Ultra Financials

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 1,491,856,750     $ —     $ 1,491,856,750    
Repurchase Agreements     —       59,256,151       59,256,151    
Total Investment Securities     1,491,856,750       59,256,151       1,551,112,901    
Other Financial Instruments*:  
Swap Agreements     —       468,386,310       468,386,310    
Total Other Financial Instruments     —       468,386,310       468,386,310    
Total Investments   $ 1,491,856,750     $ 527,642,461     $ 2,019,499,211    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 71


  Ultra Health Care  RXL

Shares     Value  
    Common Stocks (a) — 64.1%  
    Biotechnology — 9.1%  
  742     Acorda Therapeutics, Inc.*   $ 17,867    
  1,756     Alexion Pharmaceuticals, Inc.*     79,635    
  1,904     Alkermes, Inc.*     17,098    
  20,267     Amgen, Inc.*     1,142,045    
  2,824     Amylin Pharmaceuticals, Inc.*     40,270    
  5,761     Biogen Idec, Inc.*     270,421    
  1,997     BioMarin Pharmaceutical, Inc.*     32,970    
  1,612     Celera Corp.*     10,059    
  9,209     Celgene Corp.*     510,639    
  1,497     Cephalon, Inc.*     82,260    
  1,150     Cepheid, Inc.*     14,237    
  1,142     Cubist Pharmaceuticals, Inc.*     19,049    
  2,315     Dendreon Corp.*     63,292    
  5,418     Genzyme Corp.*     274,693    
  18,230     Gilead Sciences, Inc.*     839,492    
  3,170     Human Genome Sciences, Inc.*     88,189    
  1,845     Incyte Corp.*     15,369    
  745     InterMune, Inc.*     8,001    
  1,845     Isis Pharmaceuticals, Inc.*     19,760    
  1,897     Myriad Genetics, Inc.*     43,859    
  1,230     Onyx Pharmaceuticals, Inc.*     35,190    
  1,161     OSI Pharmaceuticals, Inc.*     38,673    
  2,398     PDL BioPharma, Inc.     15,587    
  1,250     Regeneron Pharmaceuticals, Inc.*     22,937    
  1,219     Savient Pharmaceuticals, Inc.*     16,371    
  1,079     Theravance, Inc.*     14,200    
  968     United Therapeutics Corp.*     44,131    
  3,636     Vertex Pharmaceuticals, Inc.*     141,150    
      3,917,444    
    Health Care Equipment & Supplies — 12.4%  
  1,513     Alcon, Inc.     223,742    
  1,464     American Medical Systems
Holdings, Inc.*		     25,722    
  12,125     Baxter International, Inc.     661,419    
  1,345     Beckman Coulter, Inc.     87,371    
  4,540     Becton, Dickinson and Co.     339,592    
  30,198     Boston Scientific Corp.*     252,757    
  1,970     C.R. Bard, Inc.     161,954    
  3,555     CareFusion Corp.*     91,826    
  925     Cooper Cos., Inc. (The)     30,978    
  10,074     Covidien plc     471,665    
  2,976     DENTSPLY International, Inc.     99,160    
  1,141     Edwards Lifesciences Corp.*     93,882    
  1,018     Gen-Probe, Inc.*     42,440    
  526     Haemonetics Corp.*     28,078    
  1,240     Hill-Rom Holdings, Inc.     27,503    
  5,092     Hologic, Inc.*     73,681    
  3,172     Hospira, Inc.*     148,925    
  1,172     IDEXX Laboratories, Inc.*     58,659    

 

Shares     Value  
    Common Stocks (a) (continued)  
  1,414     Immucor, Inc.*   $ 26,088    
  747     Intuitive Surgical, Inc.*     209,563    
  625     Invacare Corp.     15,563    
  1,558     Inverness Medical Innovations, Inc.*     65,514    
  1,260     Kinetic Concepts, Inc.*     42,475    
  1,034     Masimo Corp.*     27,256    
  22,229     Medtronic, Inc.     943,399    
  737     NuVasive, Inc.*     23,916    
  1,533     ResMed, Inc.*     77,064    
  6,881     St. Jude Medical, Inc.*     252,602    
  1,064     STERIS Corp.     34,378    
  6,103     Stryker Corp.     307,591    
  1,136     Thoratec Corp.*     33,841    
  2,494     Varian Medical Systems, Inc.*     116,570    
  651     West Pharmaceutical Services, Inc.     25,096    
  4,305     Zimmer Holdings, Inc.*     254,727    
      5,374,997    
    Health Care Providers & Services — 9.6%  
  8,748     Aetna, Inc.     254,654    
  543     Amedisys, Inc.*     20,113    
  1,068     AMERIGROUP Corp.*     25,322    
  1,094     Brookdale Senior Living, Inc.*     17,045    
  746     Catalyst Health Solutions, Inc.*     25,371    
  926     Centene Corp.*     17,427    
  5,460     CIGNA Corp.     175,157    
  1,860     Community Health Systems, Inc.*     56,749    
  2,953     Coventry Health Care, Inc.*     66,590    
  2,084     DaVita, Inc.*     123,456    
  5,105     Express Scripts, Inc.*     438,009    
  4,875     Health Management Associates, Inc.,
Class A*		     29,884    
  2,059     Health Net, Inc.*     43,692    
  1,742     HealthSouth Corp.*     30,555    
  679     Healthways, Inc.*     11,658    
  1,790     Henry Schein, Inc.*     88,891    
  533     HMS Holdings Corp.*     23,564    
  3,394     Humana, Inc.*     140,885    
  2,168     Laboratory Corp. of America Holdings*     158,177    
  1,078     LifePoint Hospitals, Inc.*     31,294    
  1,342     Lincare Holdings, Inc.*     47,668    
  698     Magellan Health Services, Inc.*     25,666    
  9,473     Medco Health Solutions, Inc.*     598,315    
  894     Mednax, Inc.*     50,252    
  653     Odyssey HealthCare, Inc.*     9,488    
  838     Owens & Minor, Inc.     32,506    
  2,014     Patterson Cos., Inc.*     51,780    
  609     PharMerica Corp.*     9,165    
  1,209     PSS World Medical, Inc.*     23,394    
  1,071     Psychiatric Solutions, Inc.*     23,733    
  3,097     Quest Diagnostics, Inc.     179,440    
  9,607     Tenet Healthcare Corp.*     43,712    

 

See accompanying notes to the financial statements.

72 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  RXL  Ultra Health Care

Shares     Value  
    Common Stocks (a) (continued)  
  23,286     UnitedHealth Group, Inc.   $ 667,610    
  927     Universal Health Services, Inc.,
Class B		     51,810    
  840     WellCare Health Plans, Inc.*     27,712    
  9,519     WellPoint, Inc.*     514,312    
      4,135,056    
    Life Sciences Tools & Services — 2.6%  
  1,423     Affymetrix, Inc.*     6,745    
  369     Bio-Rad Laboratories, Inc., Class A*     35,679    
  1,322     Charles River Laboratories
International, Inc.*		     42,502    
  1,281     Covance, Inc.*     68,034    
  2,471     Illumina, Inc.*     71,461    
  3,527     Life Technologies Corp.*     175,574    
  1,117     Millipore Corp.*     76,068    
  1,159     Parexel International Corp.*     13,919    
  2,202     Pharmaceutical Product
Development, Inc.		     47,211    
  734     Techne Corp.     49,824    
  8,169     Thermo Fisher Scientific, Inc.*     385,822    
  600     Varian, Inc.*     30,714    
  1,928     Waters Corp.*     113,328    
      1,116,881    
    Pharmaceuticals — 30.4%  
  30,793     Abbott Laboratories     1,677,911    
  6,175     Allergan, Inc.     358,953    
  874     Auxilium Pharmaceuticals, Inc.*     30,476    
  39,412     Bristol-Myers Squibb Co.     997,518    
  19,653     Eli Lilly & Co.     721,855    
  2,067     Endo Pharmaceuticals Holdings, Inc.*     45,536    
  6,052     Forest Laboratories, Inc.*     185,554    
  55,394     Johnson & Johnson     3,480,959    
  4,933     King Pharmaceuticals, Inc.*     58,357    
  1,191     Medicis Pharmaceutical Corp.,
Class A		     28,096    
  61,045     Merck & Co., Inc.     2,210,423    
  6,038     Mylan, Inc.*     107,899    
  1,843     Nektar Therapeutics*     16,052    
  672     Par Pharmaceutical Cos., Inc.*     15,940    
  1,681     Perrigo Co.     67,475    
  161,307     Pfizer, Inc.     2,930,948    
  1,408     Valeant Pharmaceuticals International*     46,027    
  1,962     Warner Chilcott plc, Class A*     48,226    
  2,130     Watson Pharmaceuticals, Inc.*     79,002    
      13,107,207    
        Total Common Stocks
(Cost $22,441,946)		     27,651,585    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) — 19.2%  
$ 230,914     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $230,915 (b)		   $ 230,914    
  461,828     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $461,830 (c)		     461,828    
  1,385,485     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,385,501 (d)		     1,385,485    
  277,673     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $277,674 (e)		     277,673    
  484,920     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $484,922 (f)		     484,920    
  923,657     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $923,677 (g)		     923,657    
  230,914     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $230,915 (h)		     230,914    
  1,385,485     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,385,491 (i)		     1,385,485    
  1,154,571     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,154,576 (j)		     1,154,571    
  692,743     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $692,746 (k)		     692,743    
  1,065,981     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,065,986 (l)		     1,065,981    
        Total Repurchase Agreements
(Cost $8,294,171)		     8,294,171    
        Total Investment Securities
(Cost $30,736,117) — 83.3%		     35,945,756    
        Other assets less liabilities — 16.7%     7,206,628    
        Net Assets — 100.0%   $ 43,152,384    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 73


  Ultra Health Care  RXL

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $12,495,935.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $235,532. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $471,065. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,413,200. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $283,227. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $494,622. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $942,132. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $235,533. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,413,196. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,177,665. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $706,600. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,087,302. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (870,989 )  
Net unrealized depreciation   $ (870,989 )  
Federal income tax cost of investments   $ 36,816,745    

 

See accompanying notes to the financial statements.

74 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  RXL  Ultra Health Care

Swap Agreements

Ultra Health Care had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Dow Jones U.S. Health CareSM Index		   $ 11,458,636     $ 2,582,896    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Health CareSM Index     15,174,803       (216,503 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Health CareSM Index     23,795,952       4,938,527    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Health CareSM Index     8,382,065       (68,086 )  
            $ 7,236,834    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 27,651,585     $ —     $ 27,651,585    
Repurchase Agreements     —       8,294,171       8,294,171    
Total Investment Securities     27,651,585       8,294,171       35,945,756    
Other Financial Instruments*:  
Swap Agreements     —       7,236,834       7,236,834    
Total Other Financial Instruments     —       7,236,834       7,236,834    
Total Investments   $ 27,651,585     $ 15,531,005     $ 43,182,590    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 75


  Ultra Industrials  UXI

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 79.5%  
  15,218     3M Co. (Industrial
Conglomerates)		     2.8 %   $ 1,178,482    
  13,629     Accenture plc, Class A
(IT Services)		     1.3 %     559,334    
  8,195     Agilent Technologies, Inc.*
(Electronic Equipment,
Instruments &
Components)		     0.6 %     236,999    
  4,062     Amphenol Corp., Class A
(Electronic Equipment,
Instruments &
Components)		     0.4 %     167,354    
  11,908     Automatic Data Processing,
Inc. (IT Services)		     1.2 %     517,403    
  15,536     Boeing Co. (The)
(Aerospace & Defense)		     1.9 %     814,242    
  6,568     Burlington Northern Santa
Fe Corp. (Road & Rail)		     1.5 %     645,634    
  4,029     C.H. Robinson
Worldwide, Inc.
(Air Freight & Logistics)		     0.5 %     224,576    
  14,752     Caterpillar, Inc. (Machinery)     2.0 %     861,369    
  4,126     Cooper Industries plc,
Class A (Electrical
Equipment)		     0.4 %     176,139    
  9,294     CSX Corp. (Road & Rail)     1.0 %     441,279    
  4,285     Cummins, Inc. (Machinery)     0.5 %     192,396    
  5,854     Danaher Corp. (Machinery)     1.0 %     415,166    
  9,993     Deere & Co. (Machinery)     1.3 %     534,725    
  4,413     Dover Corp. (Machinery)     0.4 %     180,403    
  3,931     Eaton Corp. (Machinery)     0.6 %     251,191    
  17,926     Emerson Electric Co.
(Electrical Equipment)		     1.7 %     742,316    
  5,061     Expeditors International of
Washington, Inc.
(Air Freight & Logistics)		     0.4 %     161,598    
  6,907     FedEx Corp. (Air Freight &
Logistics)		     1.4 %     583,296    
  7,363     Fidelity National Information
Services, Inc. (IT Services)		     0.4 %     166,404    
  3,694     Fiserv, Inc.* (IT Services)     0.4 %     170,811    
  4,306     Fluor Corp. (Construction &
Engineering)		     0.4 %     182,919    
  7,639     General Dynamics Corp.
(Aerospace & Defense)		     1.2 %     503,410    
  250,703     General Electric Co.
(Industrial Conglomerates)		     9.4 %     4,016,262    
  2,921     Goodrich Corp.
(Aerospace & Defense)		     0.4 %     173,332    
  16,331     Honeywell International, Inc.
(Aerospace & Defense)		     1.5 %     628,254    
  10,184     Illinois Tool Works, Inc.
(Machinery)		     1.2 %     495,350    
  7,533     Ingersoll-Rand plc
(Machinery)		     0.6 %     266,442    
  4,305     ITT Corp. (Aerospace &
Defense)		     0.5 %     222,655    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  2,769     L-3 Communications
Holdings, Inc.
(Aerospace & Defense)		     0.5 %   $ 217,007    
  7,263     Lockheed Martin Corp.
(Aerospace & Defense)		     1.3 %     560,921    
  8,701     Norfolk Southern Corp.
(Road & Rail)		     1.1 %     447,231    
  7,036     Northrop Grumman Corp.
(Aerospace & Defense)		     0.9 %     385,573    
  8,179     PACCAR, Inc. (Machinery)     0.7 %     303,277    
  3,825     Parker Hannifin Corp.
(Machinery)		     0.5 %     206,397    
  7,694     Paychex, Inc. (IT Services)     0.6 %     241,207    
  3,310     Precision Castparts Corp.
(Aerospace & Defense)		     0.8 %     343,181    
  9,241     Raytheon Co. (Aerospace &
Defense)		     1.1 %     476,189    
  7,352     Republic Services, Inc.
(Commercial Services &
Supplies)		     0.5 %     207,326    
  3,752     Rockwell Collins, Inc.
(Aerospace & Defense)		     0.5 %     200,582    
  2,347     Sherwin-Williams Co. (The)
(Specialty Retail)		     0.3 %     142,791    
  10,865     Tyco Electronics Ltd.
(Electronic Equipment,
Instruments &
Components)		     0.6 %     252,177    
  11,274     Tyco International Ltd.
(Industrial Conglomerates)		     1.0 %     404,398    
  11,946     Union Pacific Corp.
(Road & Rail)		     1.8 %     755,704    
  16,599     United Parcel Service, Inc.,
Class B (Air Freight &
Logistics)		     2.2 %     953,945    
  20,818     United Technologies Corp.
(Aerospace & Defense)		     3.3 %     1,399,802    
  1,467     W.W. Grainger, Inc.
(Trading Companies &
Distributors)		     0.3 %     143,326    
  11,760     Waste Management, Inc.
(Commercial Services &
Supplies)		     0.9 %     386,198    
  4,972     Weyerhaeuser Co. (Paper &
Forest Products)		     0.5 %     193,610    
  370,334     Other Common Stocks     23.2 %     9,870,748    
        Total Common Stocks
(Cost $25,554,554)		             33,801,331    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 8.6%  
$ 101,077     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $101,077 (b)		           101,077    

 

See accompanying notes to the financial statements.

76 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UXI  Ultra Industrials

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a) (continued)  
$ 202,154     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $202,155 (c)		     $ 202,154    
  606,462     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $606,469 (d)		       606,462    
  121,544     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $121,545 (e)		       121,544    
  212,262     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $212,263 (f)		       212,262    
  404,308     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $404,317 (g)		       404,308    
  101,077     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $101,077 (h)		       101,077    
  606,462     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $606,465 (i)		       606,462    
  505,385     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $505,387 (j)		       505,385    
  303,231     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $303,232 (k)		       303,231    
  466,607     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $466,609 (l)		       466,607    
        Total Repurchase Agreements
(Cost $3,630,569)		       3,630,569    
        Total Investment Securities
(Cost $29,185,123) — 88.1%		       37,431,900    
        Other assets in excess of
liabilities —11.9%		       5,077,227    
        Net Assets — 100.0%     $ 42,509,127    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $16,026,385.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $103,099. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $206,197. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $618,593. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $123,975. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $216,509. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $412,395. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $103,099. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16;

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 77


  Ultra Industrials  UXI

U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $618,592. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $515,494. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $309,297. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $475,940. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 4,362,007    
Aggregate gross unrealized depreciation     (144,291 )  
Net unrealized appreciation   $ 4,217,716    
Federal income tax cost of investments   $ 33,214,184    

 

Swap Agreements

Ultra Industrials had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. IndustrialsSM Index		   $ 4,786,819     $ 1,844,785    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index     7,946,484       (234,446 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index     12,944,753       4,092,162    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index     25,680,165       (598,575 )  
          $ 5,103,926    

 

Ultra Industrials invested, as a percentage of net assets, in the following industries as of November 30, 2009:

Aerospace & Defense     14.8 %  
Air Freight & Logistics     4.7 %  
Building Products     0.6 %  
Chemicals     0.2 %  
Commercial Services & Supplies     3.1 %  
Communications Equipment     0.2 %  
Construction & Engineering     1.9 %  
Construction Materials     0.6 %  
Containers & Packaging     2.1 %  
Diversified Consumer Services     0.1 %  
Diversified Financial Services     0.0 %  
Electrical Equipment     3.9 %  
Electronic Equipment, Instruments & Components     3.6 %  
Health Care Equipment & Supplies     0.1 %  
Health Care Technology     0.2 %  
Household Durables     0.3 %  
Industrial Conglomerates     13.9 %  
Internet Software & Services     0.1 %  
IT Services     5.8 %  
Life Sciences Tools & Services     0.4 %  

 

See accompanying notes to the financial statements.

78 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UXI  Ultra Industrials

Machinery     12.6 %  
Marine     0.2 %  
Metals & Mining     0.1 %  
Multi-Utilities     0.2 %  
Office Electronics     0.1 %  
Oil, Gas & Consumable Fuels     0.2 %  
Paper & Forest Products     0.7 %  
Professional Services     1.0 %  
Road & Rail     6.3 %  
Semiconductors & Semiconductor Equipment     0.1 %  
Software     0.1 %  
Specialty Retail     0.3 %  
Trading Companies & Distributors     1.0 %  
Other1     20.5 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 33,801,331     $ —     $ 33,801,331    
Repurchase Agreements     —       3,630,569       3,630,569    
Total Investment Securities     33,801,331       3,630,569       37,431,900    
Other Financial Instruments*:  
Swap Agreements     —       5,103,926       5,103,926    
Total Other Financial Instruments     —       5,103,926       5,103,926    
Total Investments   $ 33,801,331     $ 8,734,495     $ 42,535,826    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 79


  Ultra Oil & Gas  DIG

Shares     Value  
    Common Stocks (a) — 75.3%  
    Electrical Equipment — 0.5%  
  11,318     Energy Conversion Devices, Inc.*   $ 112,275    
  11,700     First Solar, Inc.*     1,393,587    
  13,536     SunPower Corp., Class A*     279,789    
  10,421     SunPower Corp., Class B*     186,223    
      1,971,874    
    Energy Equipment & Services — 15.9%  
  13,791     Atwood Oceanics, Inc.*     519,645    
  76,336     Baker Hughes, Inc.     3,109,929    
  72,593     BJ Services Co.     1,363,296    
  6,816     Bristow Group, Inc.*     233,925    
  60,086     Cameron International Corp.*     2,271,251    
  15,574     Complete Production Services, Inc.*     161,814    
  5,684     Core Laboratories N.V.     603,925    
  16,218     Diamond Offshore Drilling, Inc.     1,614,340    
  20,310     Dresser-Rand Group, Inc.*     570,305    
  7,485     Dril-Quip, Inc.*     404,265    
  35,130     ENSCO International, Inc.     1,545,720    
  15,471     Exterran Holdings, Inc.*     324,117    
  30,611     FMC Technologies, Inc.*     1,667,381    
  25,525     Global Industries Ltd.*     149,832    
  221,302     Halliburton Co.     6,497,427    
  23,386     Helix Energy Solutions Group, Inc.*     275,019    
  23,952     Helmerich & Payne, Inc.     899,398    
  23,399     Hercules Offshore, Inc.*     119,569    
  30,576     Key Energy Services, Inc.*     232,989    
  70,478     Nabors Industries Ltd.*     1,455,371    
  103,547     National Oilwell Varco, Inc.     4,454,592    
  64,682     Noble Corp.     2,672,013    
  12,605     Oceaneering International, Inc.*     688,611    
  12,244     Oil States International, Inc.*     439,192    
  28,513     Parker Drilling Co.*     142,565    
  38,284     Patterson-UTI Energy, Inc.     589,191    
  38,782     Pride International, Inc.*     1,226,675    
  25,882     Rowan Cos., Inc.*     639,027    
  295,182     Schlumberger Ltd.     18,859,178    
  4,709     SEACOR Holdings, Inc.*     360,709    
  54,192     Smith International, Inc.     1,472,938    
  19,205     Superior Energy Services, Inc.*     405,994    
  18,623     Tetra Technologies, Inc.*     192,934    
  12,745     Tidewater, Inc.     572,888    
  79,026     Transocean Ltd.*     6,748,030    
  11,661     Unit Corp.*     438,570    
  172,786     Weatherford International Ltd.*     2,885,526    
      66,808,151    
    Gas Utilities — 0.2%  
  17,919     Energen Corp.     779,476    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Machinery — 0.0%  
  7,031     Chart Industries, Inc.*   $ 116,715    
    Multi-Utilities — 0.2%  
  23,782     OGE Energy Corp.     822,857    
    Oil, Gas & Consumable Fuels — 58.5%  
  121,480     Anadarko Petroleum Corp.     7,231,704    
  82,497     Apache Corp.     7,860,314    
  9,452     Arena Resources, Inc.*     386,492    
  13,969     Atlas Energy, Inc.     359,003    
  9,789     Berry Petroleum Co., Class A     267,533    
  8,262     Bill Barrett Corp.*     235,880    
  25,411     Cabot Oil & Gas Corp.     973,241    
  6,886     Carrizo Oil & Gas, Inc.*     144,950    
  155,243     Chesapeake Energy Corp.     3,713,413    
  496,348     Chevron Corp.     38,734,998    
  20,445     Cimarex Energy Co.     957,644    
  6,908     CNX Gas Corp.*     188,450    
  11,380     Comstock Resources, Inc.*     422,539    
  17,699     Concho Resources, Inc.*     723,535    
  322,388     ConocoPhillips     16,690,027    
  7,676     Continental Resources, Inc.*     289,001    
  61,604     Denbury Resources, Inc.*     817,485    
  103,802     Devon Energy Corp.     6,991,065    
  174,664     El Paso Corp.     1,669,788    
  13,179     Encore Acquisition Co.*     593,319    
  62,383     EOG Resources, Inc.     5,395,506    
  42,307     EXCO Resources, Inc.     715,834    
  1,189,984     Exxon Mobil Corp.     89,332,099    
  25,098     Forest Oil Corp.*     459,795    
  25,637     Frontier Oil Corp.     295,595    
  6,562     Goodrich Petroleum Corp.*     145,217    
  73,121     Hess Corp.     4,238,093    
  10,377     Holly Corp.     264,095    
  175,867     Marathon Oil Corp.     5,736,782    
  25,230     Mariner Energy, Inc.*     315,627    
  46,999     Murphy Oil Corp.     2,650,274    
  32,608     Newfield Exploration Co.*     1,378,666    
  42,934     Noble Energy, Inc.     2,801,444    
  200,551     Occidental Petroleum Corp.     16,202,515    
  11,233     Penn Virginia Corp.     203,542    
  74,499     Petrohawk Energy Corp.*     1,664,308    
  28,217     Pioneer Natural Resources Co.     1,166,773    
  33,914     Plains Exploration & Production Co.*     922,800    
  29,576     Quicksilver Resources, Inc.*     393,657    
  38,765     Range Resources Corp.     1,826,995    
  36,106     SandRidge Energy, Inc.*     338,674    
  25,846     Southern Union Co.     535,529    
  84,677     Southwestern Energy Co.*     3,722,401    

 

See accompanying notes to the financial statements.

80 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DIG  Ultra Oil & Gas

Shares     Value  
    Common Stocks (a) (continued)  
  15,388     St. Mary Land & Exploration Co.   $ 498,263    
  29,101     Sunoco, Inc.     733,345    
  8,984     Swift Energy Co.*     192,887    
  34,253     Tesoro Corp.     437,753    
  37,611     Ultra Petroleum Corp.*     1,767,341    
  139,360     Valero Energy Corp.     2,214,430    
  9,136     W&T Offshore, Inc.     94,558    
  12,496     Whiting Petroleum Corp.*     777,876    
  142,686     Williams Cos., Inc. (The)     2,838,025    
  142,819     XTO Energy, Inc.     6,061,238    
      245,572,318    
        Total Common Stocks
(Cost $250,045,763)		     316,071,391    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 4.8%  
$ 561,670     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $561,672 (b)		     561,670    
  1,123,340     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,123,345 (c)		     1,123,340    
  3,370,020     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $3,370,059 (d)		     3,370,020    
  675,404     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $675,407 (e)		     675,404    
  1,179,507     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,179,512 (f)		     1,179,507    
  2,246,680     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $2,246,728 (g)		     2,246,680    
  561,670     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $561,672 (h)		     561,670    
  3,370,020     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,370,035 (i)		     3,370,020    
  2,808,350     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,808,362 (j)		     2,808,350    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 1,685,010     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,685,017 (k)		   $ 1,685,010    
  2,592,862     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,592,874 (l)		     2,592,862    
    Total Repurchase Agreements
(Cost $20,174,533)		     20,174,533    
    Total Investment Securities
(Cost $270,220,296) — 80.1%		     336,245,924    
    Other assets less liabilities — 19.9%     83,709,536    
    Net Assets — 100.0%   $ 419,955,460    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $113,565,065.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $572,903. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,145,807. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $3,437,432. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $688,913. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 81


  Ultra Oil & Gas  DIG

$1,203,106. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,291,618. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $572,904. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $3,437,424. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,864,524. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,718,715. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $2,644,723. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 18,401,190    
Aggregate gross unrealized depreciation     (1,316,386 )  
Net unrealized appreciation   $ 17,084,804    
Federal income tax cost of investments   $ 319,161,120    

 

Swap Agreements

Ultra Oil & Gas had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Oil & GasSM Index		   $ 17,234,056     $ (1,446,294 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     12,646,380       (927,415 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     20,546,950       (276,929 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     458,128,162       93,150,479    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     18,011,441       (513,114 )  
            $ 89,986,727    

 

See accompanying notes to the financial statements.

82 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DIG  Ultra Oil & Gas

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 316,071,391     $ —     $ 316,071,391    
Repurchase Agreements     —       20,174,533       20,174,533    
Total Investment Securities     316,071,391       20,174,533       336,245,924    
Other Financial Instruments*:  
Swap Agreements     —       89,986,727       89,986,727    
Total Other Financial Instruments     —       89,986,727       89,986,727    
Total Investments   $ 316,071,391     $ 110,161,260     $ 426,232,651    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 83


  Ultra Real Estate  URE

Shares     Value  
    Common Stocks (a) — 78.3%  
    Real Estate Investment Trusts — 74.4%  
  89,944     Alexandria Real Estate
Equities, Inc.		   $ 5,070,143    
  303,176     AMB Property Corp.     7,139,795    
  109,214     American Campus
Communities, Inc.		     2,943,317    
  1,128,465     Annaly Capital Management, Inc.     20,775,041    
  242,187     Apartment Investment &
Management Co., Class A		     3,271,946    
  164,605     AvalonBay Communities, Inc.     11,891,065    
  199,874     BioMed Realty Trust, Inc.     2,736,275    
  287,400     Boston Properties, Inc.     19,250,052    
  266,605     Brandywine Realty Trust     2,618,061    
  109,522     BRE Properties, Inc.     3,431,324    
  132,849     Camden Property Trust     5,147,899    
  285,824     CBL & Associates Properties, Inc.     2,646,730    
  1,302,991     Chimera Investment Corp.     5,251,054    
  125,462     Colonial Properties Trust     1,356,244    
  120,164     Corporate Office Properties Trust     4,108,407    
  423,589     DCT Industrial Trust, Inc.     2,012,048    
  263,820     Developers Diversified Realty Corp.     2,669,858    
  223,752     DiamondRock Hospitality Co.*     1,798,966    
  145,395     Digital Realty Trust, Inc.     7,074,921    
  251,851     Douglas Emmett, Inc.     3,455,396    
  464,219     Duke Realty Corp.     5,203,895    
  53,909     EastGroup Properties, Inc.     2,044,229    
  83,895     Entertainment Properties Trust     2,650,243    
  57,143     Equity Lifestyle Properties, Inc.     2,743,435    
  567,865     Equity Residential     18,290,932    
  56,905     Essex Property Trust, Inc.     4,538,174    
  126,270     Federal Realty Investment Trust     8,121,686    
  147,229     Franklin Street Properties Corp.     1,662,215    
  74,936     Hatteras Financial Corp.     2,293,042    
  602,944     HCP, Inc.     18,872,147    
  248,376     Health Care REIT, Inc.     11,065,151    
  121,979     Healthcare Realty Trust, Inc.     2,694,516    
  146,907     Highwoods Properties, Inc.     4,496,823    
  68,046     Home Properties, Inc.     3,057,307    
  253,273     Hospitality Properties Trust     4,916,029    
  1,236,908     Host Hotels & Resorts, Inc.     13,012,272    
  467,479     HRPT Properties Trust     2,870,321    
  89,255     Kilroy Realty Corp.     2,689,253    
  780,247     Kimco Realty Corp.     9,612,643    
  131,556     LaSalle Hotel Properties     2,450,888    
  198,716     Lexington Realty Trust     965,760    
  231,578     Liberty Property Trust     6,863,972    
  190,090     Macerich Co. (The)     5,657,078    
  162,270     Mack-Cali Realty Corp.     4,980,066    
  565,468     MFA Financial, Inc.     4,280,593    
  58,575     Mid-America Apartment
Communities, Inc.		     2,724,323    
  165,892     National Retail Properties, Inc.     3,324,476    

 

Shares     Value  
    Common Stocks (a) (continued)  
  221,390     Nationwide Health Properties, Inc.   $ 7,529,474    
  172,497     Omega Healthcare Investors, Inc.     3,120,471    
  337,691     Plum Creek Timber Co., Inc.     11,646,963    
  91,552     Post Properties, Inc.     1,687,303    
  81,915     Potlatch Corp.     2,411,578    
  917,843     ProLogis     12,005,387    
  266,469     Public Storage     21,205,603    
  162,441     Rayonier, Inc.     6,455,405    
  216,117     Realty Income Corp.     5,465,599    
  144,494     Redwood Trust, Inc.     2,076,379    
  165,721     Regency Centers Corp.     5,546,682    
  263,247     Senior Housing Properties Trust     5,467,640    
  584,659     Simon Property Group, Inc.     42,481,323    
  159,190     SL Green Realty Corp.     7,071,220    
  197,599     Sunstone Hotel Investors, Inc.*     1,600,552    
  82,732     Tanger Factory Outlet Centers     3,247,231    
  109,039     Taubman Centers, Inc.     3,746,580    
  309,330     UDR, Inc.     4,630,670    
  324,445     Ventas, Inc.     13,928,424    
  371,938     Vornado Realty Trust     24,347,062    
  120,770     Washington Real Estate
Investment Trust		     3,152,097    
  247,864     Weingarten Realty Investors     4,811,040    
      460,364,694    
    Real Estate Management & Development — 3.9%  
  537,226     Brookfield Properties Corp.     6,049,165    
  464,604     CB Richard Ellis Group, Inc.,
Class A*		     5,310,424    
  246,878     Forest City Enterprises, Inc.,
Class A*		     2,649,001    
  73,973     Forestar Group, Inc.*     1,372,199    
  84,868     Jones Lang LaSalle, Inc.     4,317,235    
  190,150     St. Joe Co. (The)*     4,734,735    
      24,432,759    
        Total Common Stocks
(Cost $411,005,688)		     484,797,453    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 9.3%  
$ 1,600,361     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,600,368 (b)		     1,600,361    
  3,200,723     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,200,737 (c)		     3,200,723    
  9,602,168     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $9,602,280 (d)		     9,602,168    

 

See accompanying notes to the financial statements.

84 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  URE  Ultra Real Estate

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 1,924,423     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,924,431 (e)		   $ 1,924,423    
  3,360,759     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,360,774 (f)		     3,360,759    
  6,401,446     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $6,401,583 (g)		     6,401,446    
  1,600,361     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,600,368 (h)		     1,600,361    
  9,602,168     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,602,211 (i)		     9,602,168    
  8,001,807     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,001,843 (j)		     8,001,807    
  4,801,084     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,801,104 (k)		     4,801,084    
  7,387,820     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,387,853 (l)		     7,387,820    
        Total Repurchase Agreements
(Cost $57,483,120)		     57,483,120    
        Total Investment Securities
(Cost $468,488,808) — 87.6%		     542,280,573    
        Other assets less liabilities — 12.4%     76,865,972    
        Net Assets — 100.0%   $ 619,146,545    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $264,738,086.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,632,368. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,264,737. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $9,794,245. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,962,913. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,428,000. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,529,488. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,632,370. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $9,794,223. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 85


  Ultra Real Estate  URE

0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,161,862. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,897,121. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,535,587. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 63,461,811    
Aggregate gross unrealized depreciation     (986,878 )  
Net unrealized appreciation   $ 62,474,933    
Federal income tax cost of investments   $ 479,805,640    

 

Swap Agreements

Ultra Real Estate had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Real EstateSM Index		   $ 57,365,483     $ 24,415,833    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index     424,303,302       (7,372,566 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Real EstateSM Index		     97,233,415       9,559,165    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index     112,506,055       50,194,415    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Real EstateSM Index     67,521,664       (1,175,645 )  
            $ 75,621,202    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 484,797,453     $ —     $ 484,797,453    
Repurchase Agreements     —       57,483,120       57,483,120    
Total Investment Securities     484,797,453       57,483,120       542,280,573    
Other Financial Instruments*:  
Swap Agreements     —       75,621,202       75,621,202    
Total Other Financial Instruments     —       75,621,202       75,621,202    
Total Investments   $ 484,797,453     $ 133,104,322     $ 617,901,775    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

86 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  USD  Ultra Semiconductors

Shares     Value  
    Common Stocks (a) — 74.8%  
    Communications Equipment — 0.3%  
  9,278     InterDigital, Inc.*   $ 220,724    
    Computers & Peripherals — 1.2%  
  48,147     SanDisk Corp.*     949,459    
  7,383     STEC, Inc.*     91,475    
      1,040,934    
    Semiconductors & Semiconductor
Equipment — 73.3%		  
  130,156     Advanced Micro Devices, Inc.*     912,394    
  62,275     Altera Corp.     1,309,643    
  24,737     Amkor Technology, Inc.*     137,290    
  61,578     Analog Devices, Inc.     1,846,724    
  284,794     Applied Materials, Inc.     3,505,814    
  13,796     Applied Micro Circuits Corp.*     102,504    
  13,100     Atheros Communications, Inc.*     372,957    
  85,319     Atmel Corp.*     338,716    
  6,655     ATMI, Inc.*     103,485    
  92,524     Broadcom Corp., Class A*     2,701,701    
  4,975     Cabot Microelectronics Corp.*     152,185    
  19,649     Cree, Inc.*     939,812    
  6,281     Cymer, Inc.*     210,037    
  30,747     Cypress Semiconductor Corp.*     294,249    
  26,336     Fairchild Semiconductor
International, Inc.*		     213,322    
  10,478     Formfactor, Inc.*     177,602    
  34,967     Integrated Device Technology, Inc.*     197,913    
  1,180,652     Intel Corp.     22,668,518    
  15,475     International Rectifier Corp.*     289,692    
  25,948     Intersil Corp., Class A     335,248    
  35,844     KLA-Tencor Corp.     1,119,767    
  26,831     Lam Research Corp.*     911,986    
  43,770     Linear Technology Corp.     1,180,477    
  136,934     LSI Corp.*     724,381    
  103,562     Marvell Technology Group Ltd.*     1,596,926    
  64,699     Maxim Integrated Products, Inc.     1,138,702    
  47,436     MEMC Electronic Materials, Inc.*     571,129    
  38,617     Microchip Technology, Inc.     1,013,696    
  179,764     Micron Technology, Inc.*     1,351,825    
  17,206     Microsemi Corp.*     262,047    
  50,176     National Semiconductor Corp.     732,570    
  20,727     Novellus Systems, Inc.*     428,842    
  115,605     NVIDIA Corp.*     1,509,801    
  10,627     Omnivision Technologies, Inc.*     148,353    
  89,229     ON Semiconductor Corp.*     692,417    
  47,275     PMC-Sierra, Inc.*     374,891    
  22,297     Rambus, Inc.*     397,333    
  51,264     RF Micro Devices, Inc.*     221,460    
  12,831     Semtech Corp.*     205,553    
  9,495     Silicon Laboratories, Inc.*     400,974    

 

Shares     Value  
    Common Stocks (a) (continued)  
  35,418     Skyworks Solutions, Inc.*   $ 435,996    
  36,663     Teradyne, Inc.*     324,834    
  10,515     Tessera Technologies, Inc.*     248,890    
  270,311     Texas Instruments, Inc.     6,836,165    
  31,967     TriQuint Semiconductor, Inc.*     173,901    
  15,409     Varian Semiconductor Equipment
Associates, Inc.*		     448,864    
  58,684     Xilinx, Inc.     1,328,606    
  10,864     Zoran Corp.*     99,297    
      61,689,489    
        Total Common Stocks
(Cost $43,375,375)		     62,951,147    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 6.9%  
$ 162,140     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $162,141 (b)		     162,140    
  324,280     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $324,281 (c)		     324,280    
  972,841     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $972,852 (d)		     972,841    
  194,972     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $194,973 (e)		     194,972    
  340,494     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $340,496 (f)		     340,494    
  648,561     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $648,575 (g)		     648,561    
  162,140     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $162,141 (h)		     162,140    
  972,841     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $972,845 (i)		     972,841    
  810,701     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $810,705 (j)		     810,701    
  486,421     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $486,423 (k)		     486,421    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 87


  Ultra Semiconductors  USD

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 748,496     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $748,499 (l)		   $ 748,496    
    Total Repurchase Agreements
(Cost $5,823,887)		     5,823,887    
    Total Investment Securities
(Cost $49,199,262) — 81.7%		     68,775,034    
    Other assets less liabilities — 18.3%     15,415,493    
    Net Assets — 100.0%   $ 84,190,527    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $26,252,536.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $165,383. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $330,766. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $992,301. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $198,872. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $347,306. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $661,534. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $165,383. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $992,299. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $826,917. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $496,151. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $763,467. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 486,935    
Aggregate gross unrealized depreciation     (534,470 )  
Net unrealized depreciation   $ (47,535 )  
Federal income tax cost of investments   $ 68,822,569    

 

See accompanying notes to the financial statements.

88 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  USD  Ultra Semiconductors

Swap Agreements

Ultra Semiconductors had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. SemiconductorsSM Index		   $ 20,985,446     $ 6,252,801    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. SemiconductorsSM Index     13,490,644       (936,638 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. SemiconductorsSM Index     46,185,567       11,534,716    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. SemiconductorsSM Index     24,822,344       (1,163,850 )  
            $ 15,687,029    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 62,951,147     $ —     $ 62,951,147    
Repurchase Agreements     —       5,823,887       5,823,887    
Total Investment Securities     62,951,147       5,823,887       68,775,034    
Other Financial Instruments*:  
Swap Agreements     —       15,687,029       15,687,029    
Total Other Financial Instruments     —       15,687,029       15,687,029    
Total Investments   $ 62,951,147     $ 21,510,916     $ 84,462,063    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 89


  Ultra Technology  ROM

Shares     Value  
    Common Stocks (a) — 76.3%  
    Commercial Services & Supplies — 0.2%  
  12,058     Pitney Bowes, Inc.   $ 277,816    
    Communications Equipment — 11.1%  
  22,458     3Com Corp.*     165,516    
  5,603     ADC Telecommunications, Inc.*     34,346    
  3,619     ADTRAN, Inc.     76,470    
  7,197     Arris Group, Inc.*     71,898    
  2,592     Avocent Corp.*     64,748    
  23,132     Brocade Communications
Systems, Inc.*		     164,006    
  5,295     Ciena Corp.*     64,334    
  334,927     Cisco Systems, Inc.*     7,837,292    
  1,642     Comtech
Telecommunications Corp.*		     47,191    
  2,200     EchoStar Corp., Class A*     42,746    
  4,774     Emulex Corp.*     46,499    
  4,563     F5 Networks, Inc.*     214,598    
  5,522     Harmonic, Inc.*     27,941    
  7,686     Harris Corp.     337,415    
  2,537     InterDigital, Inc.*     60,355    
  12,447     JDS Uniphase Corp.*     91,983    
  30,651     Juniper Networks, Inc.*     800,911    
  124,749     Motorola, Inc.     999,240    
  7,232     Palm, Inc.*     78,901    
  2,841     Plantronics, Inc.     65,769    
  4,831     Polycom, Inc.*     104,156    
  95,289     QUALCOMM, Inc.     4,288,005    
  3,234     Riverbed Technology, Inc.*     65,844    
  11,858     Sonus Networks, Inc.*     25,851    
  11,113     Sycamore Networks, Inc.*     31,450    
  3,845     Tekelec*     54,676    
  21,141     Tellabs, Inc.*     118,601    
      15,980,742    
    Computers & Peripherals — 23.1%  
  51,623     Apple, Inc.*     10,319,954    
  100,205     Dell, Inc.*     1,414,895    
  3,815     Diebold, Inc.     95,909    
  2,858     Electronics for Imaging, Inc.*     34,325    
  116,890     EMC Corp.*     1,967,259    
  137,686     Hewlett-Packard Co.     6,754,875    
  2,797     Intermec, Inc.*     34,375    
  76,734     International Business
Machines Corp.		     9,695,341    
  4,555     Lexmark International, Inc.,
Class A*		     114,649    
  9,163     NCR Corp.*     86,224    
  19,525     NetApp, Inc.*     601,760    
  6,904     QLogic Corp.*     123,858    
  13,172     SanDisk Corp.*     259,752    

 

Shares     Value  
    Common Stocks (a) (continued)  
  28,142     Seagate Technology   $ 425,788    
  2,020     STEC, Inc.*     25,028    
  43,330     Sun Microsystems, Inc.*     368,738    
  1,972     Synaptics, Inc.*     53,126    
  9,997     Teradata Corp.*     292,912    
  12,820     Western Digital Corp.*     472,289    
      33,141,057    
    Construction & Engineering — 0.0%  
  2,284     Dycom Industries, Inc.*     17,792    
    Electronic Equipment, Instruments &
Components — 1.3%		  
  3,852     Brightpoint, Inc.*     27,657    
  90,835     Corning, Inc.     1,515,128    
  9,401     Ingram Micro, Inc., Class A*     159,723    
  2,646     Insight Enterprises, Inc.*     26,857    
  2,930     Tech Data Corp.*     123,382    
      1,852,747    
    Health Care Technology — 0.3%  
  3,367     Allscripts-Misys Healthcare
Solutions, Inc.*		     64,646    
  1,836     athenahealth, Inc.*     76,929    
  3,704     Cerner Corp.*     278,874    
  1,042     Quality Systems, Inc.     61,989    
      482,438    
    Internet Software & Services — 7.2%  
  10,030     Akamai Technologies, Inc.*     240,720    
  2,218     Digital River, Inc.*     55,960    
  6,160     Earthlink, Inc.     50,697    
  2,201     Equinix, Inc.*     211,714    
  13,994     Google, Inc., Class A*     8,158,502    
  5,279     IAC/InterActiveCorp.*     102,676    
  2,586     j2 Global Communications, Inc.*     51,410    
  4,439     Rackspace Hosting, Inc.*     82,166    
  2,311     SAVVIS, Inc.*     28,934    
  4,853     United Online, Inc.     33,000    
  11,289     VeriSign, Inc.*     253,325    
  76,008     Yahoo!, Inc.*     1,137,840    
      10,406,944    
    IT Services — 1.5%  
  10,975     Amdocs Ltd.*     290,069    
  1,735     CACI International, Inc., Class A*     80,539    
  16,954     Cognizant Technology Solutions
Corp., Class A*		     744,789    
  8,787     Computer Sciences Corp.*     486,009    
  2,031     CSG Systems International, Inc.*     39,320    
  2,294     DST Systems, Inc.*     97,449    
  3,706     Gartner, Inc.*     70,118    

 

See accompanying notes to the financial statements.

90 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  ROM  Ultra Technology

Shares     Value  
    Common Stocks (a) (continued)  
  11,842     SAIC, Inc.*   $ 211,024    
  2,522     SRA International, Inc., Class A*     45,522    
  1,953     Unisys Corp.*     62,672    
  4,338     VeriFone Holdings, Inc.*     57,522    
      2,185,033    
    Office Electronics — 0.3%  
  50,650     Xerox Corp.     390,005    
    Semiconductors & Semiconductor
Equipment — 11.8%		  
  35,608     Advanced Micro Devices, Inc.*     249,612    
  17,043     Altera Corp.     358,414    
  6,771     Amkor Technology, Inc.*     37,579    
  16,843     Analog Devices, Inc.     505,122    
  77,916     Applied Materials, Inc.     959,146    
  3,772     Applied Micro Circuits Corp.*     28,026    
  3,585     Atheros Communications, Inc.*     102,065    
  23,343     Atmel Corp.*     92,672    
  1,824     ATMI, Inc.*     28,363    
  25,311     Broadcom Corp., Class A*     739,081    
  1,360     Cabot Microelectronics Corp.*     41,602    
  5,371     Cree, Inc.*     256,895    
  1,724     Cymer, Inc.*     57,651    
  8,406     Cypress Semiconductor Corp.*     80,445    
  7,209     Fairchild Semiconductor
International, Inc.*		     58,393    
  2,867     Formfactor, Inc.*     48,596    
  9,561     Integrated Device Technology, Inc.*     54,115    
  322,981     Intel Corp.     6,201,235    
  4,235     International Rectifier Corp.*     79,279    
  7,101     Intersil Corp., Class A     91,745    
  9,804     KLA-Tencor Corp.     306,277    
  7,333     Lam Research Corp.*     249,249    
  11,976     Linear Technology Corp.     322,993    
  37,461     LSI Corp.*     198,169    
  28,323     Marvell Technology Group Ltd.*     436,741    
  17,695     Maxim Integrated Products, Inc.     311,432    
  12,976     MEMC Electronic Materials, Inc.*     156,231    
  10,565     Microchip Technology, Inc.     277,331    
  49,178     Micron Technology, Inc.*     369,819    
  4,705     Microsemi Corp.*     71,657    
  13,726     National Semiconductor Corp.     200,400    
  5,668     Novellus Systems, Inc.*     117,271    
  31,622     NVIDIA Corp.*     412,983    
  2,901     Omnivision Technologies, Inc.*     40,498    
  24,414     ON Semiconductor Corp.*     189,453    
  12,930     PMC-Sierra, Inc.*     102,535    
  6,097     Rambus, Inc.*     108,648    
  14,026     RF Micro Devices, Inc.*     60,592    
  3,510     Semtech Corp.*     56,230    
  2,596     Silicon Laboratories, Inc.*     109,629    

 

Shares     Value  
    Common Stocks (a) (continued)  
  9,689     Skyworks Solutions, Inc.*   $ 119,272    
  10,029     Teradyne, Inc.*     88,857    
  2,884     Tessera Technologies, Inc.*     68,264    
  73,947     Texas Instruments, Inc.     1,870,120    
  8,743     TriQuint Semiconductor, Inc.*     47,562    
  4,219     Varian Semiconductor Equipment
Associates, Inc.*		     122,899    
  16,053     Xilinx, Inc.     363,440    
  2,975     Zoran Corp.*     27,191    
      16,875,779    
    Software — 18.3%  
  2,039     ACI Worldwide, Inc.*     33,603    
  30,433     Adobe Systems, Inc.*     1,067,590    
  820     Advent Software, Inc.*     31,094    
  5,094     ANSYS, Inc.*     198,360    
  5,075     Ariba, Inc.*     55,013    
  13,135     Autodesk, Inc.*     308,016    
  1,696     Blackboard, Inc.*     70,774    
  10,719     BMC Software, Inc.*     415,147    
  24,321     CA, Inc.     537,494    
  15,304     Cadence Design Systems, Inc.*     91,824    
  9,762     Check Point Software
Technologies*		     308,382    
  10,547     Citrix Systems, Inc.*     402,684    
  13,790     Compuware Corp.*     95,703    
  2,446     Concur Technologies, Inc.*     90,649    
  2,811     Fair Isaac Corp.     51,301    
  5,057     Informatica Corp.*     113,530    
  17,098     Intuit, Inc.*     499,433    
  1,822     JDA Software Group, Inc.*     42,780    
  9,015     McAfee, Inc.*     343,922    
  5,578     Mentor Graphics Corp.*     41,110    
  4,688     MICROS Systems, Inc.*     131,545    
  459,432     Microsoft Corp.     13,511,895    
  20,049     Novell, Inc.*     78,392    
  12,676     Nuance Communications, Inc.*     192,548    
  222,183     Oracle Corp.     4,905,801    
  6,734     Parametric Technology Corp.*     101,414    
  2,312     Progress Software Corp.*     55,696    
  3,554     Quest Software, Inc.*     59,814    
  10,922     Red Hat, Inc.*     291,617    
  4,784     Rovi Corp.*     142,611    
  5,988     Salesforce.com, Inc.*     375,328    
  4,024     Solera Holdings, Inc.     140,679    
  4,826     Sybase, Inc.*     194,198    
  47,673     Symantec Corp.*     846,196    
  8,327     Synopsys, Inc.*     187,108    
  10,132     TIBCO Software, Inc.*     87,135    
  3,210     VMware, Inc., Class A*     134,756    
  2,372     Websense, Inc.*     37,311    
      26,272,453    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 91


  Ultra Technology  ROM

Shares     Value  
    Common Stocks (a) (continued)  
    Wireless Telecommunication Services — 1.2%  
  22,997     American Tower Corp., Class A*   $ 941,037    
  14,344     Crown Castle International Corp.*     526,281    
  6,774     SBA Communications Corp.,
Class A*		     217,039    
  3,968     Syniverse Holdings, Inc.*     62,933    
      1,747,290    
        Total Common Stocks
(Cost $79,091,004)		     109,630,096    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 7.5%  
$ 298,171     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $298,172 (b)		     298,171    
  596,343     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $596,346 (c)		     596,343    
  1,789,028     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,789,049 (d)		     1,789,028    
  358,549     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $358,550 (e)		     358,549    
  626,160     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $626,163 (f)		     626,160    
  1,192,685     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,192,711 (g)		     1,192,685    
  298,171     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $298,172 (h)		     298,171    
  1,789,028     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,789,036 (i)		     1,789,028    
  1,490,856     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,490,863 (j)		     1,490,856    
  894,514     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $894,518 (k)		     894,514    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 1,376,460     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,376,466 (l)		   $ 1,376,460    
    Total Repurchase Agreements
(Cost $10,709,965)		     10,709,965    
    Total Investment Securities
(Cost $89,800,969) — 83.8%		     120,340,061    
    Other assets less liabilities — 16.2%     23,305,252    
    Net Assets — 100.0%   $ 143,645,313    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $32,904,979.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $304,134. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $608,270. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,824,815. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $365,720. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $638,688. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

92 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  ROM  Ultra Technology

schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,216,541. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $304,135. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,824,811. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,520,677. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $912,407. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,403,991. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 3,665,129    
Aggregate gross unrealized depreciation     (453,433 )  
Net unrealized appreciation   $ 3,211,696    
Federal income tax cost of investments   $ 117,128,365    

 

Swap Agreements

Ultra Technology had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. TechnologySM Index		   $ 25,042,069     $ 9,178,065    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. TechnologySM Index     60,812,251       (2,170,793 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. TechnologySM Index     56,336,751       17,389,847    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. TechnologySM Index     35,880,089       (1,252,271 )  
            $ 23,144,848    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 93


  Ultra Technology  ROM

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 109,630,096     $ —     $ 109,630,096    
Repurchase Agreements     —       10,709,965       10,709,965    
Total Investment Securities     109,630,096       10,709,965       120,340,061    
Other Financial Instruments*:  
Swap Agreements     —       23,144,848       23,144,848    
Total Other Financial Instruments     —       23,144,848       23,144,848    
Total Investments   $ 109,630,096     $ 33,854,813     $ 143,484,909    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

94 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  LTL  Ultra Telecommunications

Shares     Value  
    Common Stocks (a) — 85.6%  
    Diversified Financial Services — 3.2%  
  18,571     Leucadia National Corp.*   $ 399,648    
    Diversified Telecommunication Services — 58.7%  
  4,078     AboveNet, Inc.*     209,201    
  13,026     Alaska Communications Systems
Group, Inc.		     95,220    
  74,922     AT&T, Inc.     2,018,399    
  2,519     Atlantic Tele-Network, Inc.     118,066    
  7,310     Cbeyond, Inc.*     94,372    
  20,736     CenturyTel, Inc.     737,994    
  47,263     Cincinnati Bell, Inc.*     140,844    
  7,013     Consolidated Communications
Holdings, Inc.		     106,598    
  42,236     Frontier Communications Corp.     333,664    
  12,447     General Communication, Inc.,
Class A*		     75,180    
  8,775     Global Crossing Ltd.*     99,158    
  9,478     Iowa Telecommunications
Services, Inc.		     150,700    
  227,329     Level 3 Communications, Inc.*     284,161    
  36,709     PAETEC Holding Corp.*     134,722    
  131,785     Qwest Communications
International, Inc.		     481,015    
  5,682     SureWest Communications*     49,490    
  21,385     tw telecom, inc.*     311,152    
  47,257     Verizon Communications, Inc.     1,486,705    
  45,959     Windstream Corp.     455,913    
      7,382,554    
    Media — 4.9%  
  11,011     RCN Corp.*     94,364    
  31,856     Virgin Media, Inc.     524,350    
      618,714    
    Wireless Telecommunication Services — 18.8%  
  11,120     Leap Wireless International, Inc.*     160,461    
  33,642     MetroPCS Communications, Inc.*     211,945    
  16,517     NII Holdings, Inc.*     492,207    
  7,595     NTELOS Holdings Corp.     127,672    
  6,715     Shenandoah Telecommunications Co.     112,812    
  187,828     Sprint Nextel Corp.*     696,842    
  11,612     Telephone & Data Systems, Inc.     354,050    
  3,721     United States Cellular Corp.*     138,644    
  7,388     USA Mobility, Inc.     73,732    
      2,368,365    
        Total Common Stocks
(Cost $9,095,568)		     10,769,281    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) — 7.9%  
$ 27,837     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $27,837 (b)		   $ 27,837    
  55,675     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $55,675 (c)		     55,675    
  167,024     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $167,026 (d)		     167,024    
  33,474     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $33,474 (e)		     33,474    
  58,458     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $58,458 (f)		     58,458    
  111,349     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $111,351 (g)		     111,349    
  27,837     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $27,837 (h)		     27,837    
  167,024     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $167,025 (i)		     167,024    
  139,187     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $139,188 (j)		     139,187    
  83,512     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $83,512 (k)		     83,512    
  128,508     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $128,509 (l)		     128,508    
        Total Repurchase Agreements
(Cost $999,885)		     999,885    
        Total Investment Securities
(Cost $10,095,453) — 93.5%		     11,769,166    
        Other assets less liabilities — 6.5%     817,771    
        Net Assets — 100.0%   $ 12,586,937    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 95


  Ultra Telecommunications  LTL

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $3,143,900, including $171,168 related to Lehman. See Note 14 to the Financial Statements.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $28,394. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $56,789. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $170,365. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $34,144. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $59,628. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $113,576. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $28,394. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $170,365. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $141,971. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $85,183. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $131,078. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 272,287    
Aggregate gross unrealized depreciation     (761,983 )  
Net unrealized depreciation   $ (489,696 )  
Federal income tax cost of investments   $ 12,258,862    

 

See accompanying notes to the financial statements.

96 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  LTL  Ultra Telecommunications

Swap Agreements

Ultra Telecommunications had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Dow Jones U.S. Select TelecommunicationsSM Index		   $ 2,414,026     $ 488,364    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     4,369,532       (91,513 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     4,508,085       614,622    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     3,115,574       (28,668 )  
            $ 982,805    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 10,769,281     $ —     $ 10,769,281    
Repurchase Agreements     —       999,885       999,885    
Total Investment Securities     10,769,281       999,885       11,769,166    
Other Financial Instruments*:  
Swap Agreements     —       982,805       982,805    
Total Other Financial Instruments     —       982,805       982,805    
Total Investments   $ 10,769,281     $ 1,982,690     $ 12,751,971    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 97


  Ultra Utilities  UPW

Shares     Value  
    Common Stocks (a) — 77.8%  
    Commercial Services & Supplies — 0.4%  
  4,889     Covanta Holding Corp.*   $ 83,455    
    Electric Utilities — 38.0%  
  6,361     Allegheny Energy, Inc.     139,815    
  1,066     Allete, Inc.     35,647    
  17,902     American Electric Power Co., Inc.     576,265    
  2,268     Cleco Corp.     57,879    
  4,355     DPL, Inc.     116,975    
  48,331     Duke Energy Corp.     806,161    
  11,237     Edison International     382,620    
  1,695     El Paso Electric Co.*     33,561    
  7,363     Entergy Corp.     579,100    
  24,782     Exelon Corp.     1,193,997    
  11,446     FirstEnergy Corp.     493,094    
  14,106     FPL Group, Inc.     733,089    
  5,077     Great Plains Energy, Inc.     90,371    
  3,437     Hawaiian Electric Industries, Inc.     68,259    
  1,770     IDACORP, Inc.     52,339    
  1,855     ITC Holdings Corp.     82,492    
  6,577     Northeast Utilities     158,571    
  8,776     NV Energy, Inc.     102,153    
  8,261     Pepco Holdings, Inc.     134,654    
  3,778     Pinnacle West Capital Corp.     132,570    
  2,947     PNM Resources, Inc.     32,830    
  2,820     Portland General Electric Co.     55,300    
  13,977     PPL Corp.     426,578    
  10,478     Progress Energy, Inc.     409,585    
  29,891     Southern Co.     959,202    
  1,333     Unisource Energy Corp.     39,750    
  4,066     Westar Energy, Inc.     83,719    
      7,976,576    
    Gas Utilities — 6.6%  
  2,870     AGL Resources, Inc.     99,158    
  3,442     Atmos Energy Corp.     94,276    
  4,628     EQT Corp.     190,442    
  774     Laclede Group, Inc. (The)     24,234    
  2,532     National Fuel Gas Co.     118,574    
  1,582     New Jersey Resources Corp.     55,734    
  1,687     Nicor, Inc.     66,063    
  999     Northwest Natural Gas Co.     42,837    
  3,696     Oneok, Inc.     147,914    
  2,589     Piedmont Natural Gas Co., Inc.     61,359    
  6,464     Questar Corp.     256,427    
  1,119     South Jersey Industries, Inc.     40,351    
  1,679     Southwest Gas Corp.     44,007    
  4,042     UGI Corp.     94,906    
  1,881     WGL Holdings, Inc.     59,214    
      1,395,496    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Independent Power Producers &
Energy Traders — 5.3%		  
  25,066     AES Corp. (The)*   $ 319,341    
  13,991     Calpine Corp.*     155,580    
  6,763     Constellation Energy Group, Inc.     215,199    
  18,933     Dynegy, Inc., Class A*     34,269    
  5,414     Mirant Corp.*     77,095    
  9,961     NRG Energy, Inc.*     238,466    
  13,136     RRI Energy, Inc.*     64,629    
      1,104,579    
    Multi-Utilities — 24.4%  
  4,143     Alliant Energy Corp.     113,850    
  8,018     Ameren Corp.     208,388    
  2,043     Avista Corp.     42,515    
  1,457     Black Hills Corp.     34,341    
  12,109     Centerpoint Energy, Inc.     160,686    
  8,516     CMS Energy Corp.     121,268    
  10,275     Consolidated Edison, Inc.     440,900    
  22,154     Dominion Resources, Inc.     805,963    
  6,147     DTE Energy Co.     246,556    
  2,871     Integrys Energy Group, Inc.     110,648    
  10,285     NiSource, Inc.     146,561    
  1,348     NorthWestern Corp.     34,765    
  4,007     NSTAR     132,752    
  13,920     PG&E Corp.     589,373    
  19,093     Public Service Enterprise Group, Inc.     598,756    
  4,135     SCANA Corp.     145,552    
  8,506     Sempra Energy     452,009    
  7,469     TECO Energy, Inc.     110,168    
  3,041     Vectren Corp.     71,433    
  4,394     Wisconsin Energy Corp.     198,169    
  17,111     Xcel Energy, Inc.     347,696    
      5,112,349    
    Oil, Gas & Consumable Fuels — 2.2%  
  23,999     Spectra Energy Corp.     465,821    
    Water Utilities — 0.9%  
  3,366     American Water Works Co., Inc.     74,860    
  5,087     Aqua America, Inc.     83,020    
  724     California Water Service Group     26,484    
      184,364    
        Total Common Stocks
(Cost $15,229,449)		     16,322,640    

 

See accompanying notes to the financial statements.

98 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  UPW  Ultra Utilities

Principal
Amount		     Value  
    Repurchase Agreements (a) — 6.6%  
$ 38,578     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $38,578 (b)		   $ 38,578    
  77,156     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $77,156 (c)		     77,156    
  231,467     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $231,470 (d)		     231,467    
  46,390     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $46,390 (e)		     46,390    
  81,014     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $81,014 (f)		     81,014    
  154,312     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $154,315 (g)		     154,312    
  38,578     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $38,578 (h)		     38,578    
  231,467     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $231,468 (i)		     231,467    
  192,890     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $192,891 (j)		     192,890    
  115,734     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $115,734 (k)		     115,734    
  178,087     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $178,088 (l)		     178,087    
        Total Repurchase Agreements
(Cost $1,385,673)		     1,385,673    
        Total Investment Securities
(Cost $16,615,122) — 84.4%		     17,708,313    
        Other assets less liabilities — 15.6%     3,284,139    
        Net Assets — 100.0%   $ 20,992,452    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,493,061.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $39,350. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $78,699. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $236,097. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $47,318. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $82,635. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $157,399. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $39,350. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 99


  Ultra Utilities  UPW

U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $236,097. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $196,748. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $118,049. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $181,649. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ —    
Aggregate gross unrealized depreciation     (1,504,028 )  
Net unrealized depreciation   $ (1,504,028 )  
Federal income tax cost of investments   $ 19,212,341    

 

Swap Agreements

Ultra Utilities had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. UtilitiesSM Index		   $ 5,097,523     $ 1,245,163    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. UtilitiesSM Index     5,342,744       (27,820 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. UtilitiesSM Index     11,614,527       1,930,128    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. UtilitiesSM Index     3,584,089       18,362    
            $ 3,165,833    

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 16,322,640     $ —     $ 16,322,640    
Repurchase Agreements     —       1,385,673       1,385,673    
Total Investment Securities     16,322,640       1,385,673       17,708,313    
Other Financial Instruments*:  
Swap Agreements     —       3,165,833       3,165,833    
Total Other Financial Instruments     —       3,165,833       3,165,833    
Total Investments   $ 16,322,640     $ 4,551,506     $ 20,874,146    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

100 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)



  EFO  Ultra MSCI EAFE

Shares     Value  
    Common Stocks (a) — 54.6%  
    Airlines — 0.0%  
  111     Ryanair Holdings plc (ADR)*   $ 2,909    
    Automobiles — 3.3%  
  1,410     Daimler AG     71,811    
  4,516     Honda Motor Co., Ltd. (ADR)     139,951    
  3,687     Toyota Motor Corp. (ADR)     289,577    
      501,339    
    Beverages — 0.4%  
  162     Coca Cola Hellenic Bottling Co. S.A.
(ADR)		     3,543    
  764     Diageo plc (ADR)     51,654    
      55,197    
    Biotechnology — 0.0%  
  82     Crucell N.V. (ADR)*     1,769    
    Capital Markets — 1.9%  
  1,999     Credit Suisse Group AG (ADR)     104,768    
  976     Deutsche Bank AG     71,346    
  6,342     Nomura Holdings, Inc. (ADR)     45,535    
  4,363     UBS AG*     68,455    
      290,104    
    Chemicals — 0.3%  
  727     Syngenta AG (ADR)     38,902    
    Commercial Banks — 8.3%  
  4,080     Banco Bilbao Vizcaya Argentaria
S.A. (ADR)		     77,561    
  8,825     Banco Santander S.A. (ADR)     152,672    
  5,052     Barclays plc (ADR)     99,676    
  4,238     HSBC Holdings plc (ADR)     250,084    
  4,667     Lloyds Banking Group plc (ADR)*     25,202    
  28,726     Mitsubishi UFJ Financial Group, Inc.
(ADR)		     157,706    
  17,424     Mizuho Financial Group, Inc. (ADR)     64,295    
  6,621     National Bank of Greece S.A. (ADR)*     39,991    
  1,018     Royal Bank of Scotland Group plc
(ADR)*		     11,320    
  3,571     Westpac Banking Corp. (ADR)     395,167    
      1,273,674    
    Communications Equipment — 2.1%  
  3,215     Alcatel-Lucent (ADR)*     10,738    
  7,063     Nokia Oyj (ADR)     93,655    
  21,831     Telefonaktiebolaget LM Ericsson
(ADR)		     212,634    
      317,027    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Computers & Peripherals — 0.0%  
  146     Logitech International S.A.
(Registered)*		   $ 2,413    
    Construction Materials — 0.1%  
  537     CRH plc (ADR)     13,855    
  162     James Hardie Industries N.V. (ADR)*     5,989    
      19,844    
    Consumer Finance — 0.1%  
  528     ORIX Corp. (ADR)     18,237    
    Diversified Financial Services — 0.1%  
  2,049     ING Groep N.V. (ADR)*     19,465    
    Diversified Telecommunication Services — 2.4%  
  760     BT Group plc (ADR)     17,602    
  3,315     Deutsche Telekom AG (ADR)     49,228    
  2,802     France Telecom S.A. (ADR)     73,777    
  473     Hellenic Telecommunications
Organization S.A. (ADR)		     3,675    
  2,597     Nippon Telegraph & Telephone Corp.
(ADR)		     55,783    
  2,591     Portugal Telecom, SGPS, S.A. (ADR)     31,351    
  982     Telecom Corp of New Zealand Ltd.
(ADR)		     8,750    
  1,303     Telecom Italia S.p.A. (ADR)     20,900    
  1,310     Telefonica S.A. (ADR)     113,485    
      374,551    
    Electrical Equipment — 0.4%  
  3,591     ABB Ltd. (ADR)*     65,931    
    Electronic Equipment, Instruments &
Components — 0.7%		  
  990     Hitachi Ltd. (ADR)*     26,730    
  555     Kyocera Corp. (ADR)     43,884    
  1,444     Nidec Corp. (ADR)     31,436    
      102,050    
    Energy Equipment & Services — 0.1%  
  406     Acergy S.A. (ADR)     5,964    
  248     Cie Generale de
Geophysique-Veritas (ADR)*		     5,097    
      11,061    
    Food & Staples Retailing — 0.6%  
  1,211     Delhaize Group S.A. (ADR)     92,218    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 101


  Ultra MSCI EAFE  EFO

Shares     Value  
    Common Stocks (a) (continued)  
    Food Products — 1.1%  
  620     Cadbury plc (ADR)   $ 33,089    
  2,270     Unilever N.V. (NY Shares)     69,939    
  2,381     Unilever plc (ADR)     70,311    
      173,339    
    Health Care Equipment & Supplies — 0.1%  
  216     Smith & Nephew plc (ADR)     10,325    
    Health Care Providers & Services — 0.7%  
  2,168     Fresenius Medical Care AG & Co.
KGaA (ADR)		     115,121    
    Hotels, Restaurants & Leisure — 0.9%  
  295     Carnival plc (ADR)*     9,930    
  474     Intercontinental Hotels Group plc
(ADR)		     6,607    
  28,362     Melco Crown Entertainment Ltd.
(ADR)*		     119,971    
      136,508    
    Household Durables — 0.9%  
  357     Makita Corp. (ADR)     12,059    
  5,119     Panasonic Corp. (ADR)     65,370    
  2,467     Sony Corp. (ADR)     65,844    
  1,573     Thomson S.A. (ADR)*     2,501    
      145,774    
    Industrial Conglomerates — 1.8%  
  1,860     Koninklijke Philips Electronics N.V.
(NY Shares)		     51,076    
  2,247     Siemens AG (ADR)     221,599    
  515     Tomkins plc (ADR)     5,835    
      278,510    
    Insurance — 2.6%  
  1,529     Aegon N.V. (NY Shares)*     11,070    
  14,261     AXA S.A. (ADR)     353,102    
  1,530     Prudential plc (ADR)     31,855    
      396,027    
    Life Sciences Tools & Services — 0.0%  
  20     ICON plc (ADR)*     454    
    Machinery — 1.3%  
  34     CNH Global N.V.*     800    
  4,494     Kubota Corp. (ADR)     197,466    
      198,266    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Media — 0.5%  
  328     British Sky Broadcasting Group plc
(ADR)		   $ 11,487    
  1,002     Pearson plc (ADR)     13,828    
  322     Reed Elsevier N.V. (ADR)     7,525    
  575     Reed Elsevier plc (ADR)     17,353    
  463     WPP plc (ADR)     21,775    
      71,968    
    Metals & Mining — 4.1%  
  1,379     Alumina Ltd. (ADR)*     7,722    
  3,807     BHP Billiton Ltd. (ADR)     286,667    
  2,606     BHP Billiton plc (ADR)     161,416    
  804     Rio Tinto plc (ADR)     164,096    
  301     Sims Metal Management Ltd. (ADR)     5,864    
      625,765    
    Multi-Utilities — 0.7%  
  1,641     National Grid plc (ADR)     90,206    
  693     Veolia Environnement (ADR)     23,534    
      113,740    
    Office Electronics — 0.8%  
  3,414     Canon, Inc. (ADR)     130,483    
    Oil, Gas & Consumable Fuels — 5.8%  
  7,056     BP plc (ADR)     403,462    
  2,569     ENI S.p.A. (ADR)     127,782    
  2,574     Repsol YPF S.A. (ADR)     71,043    
  61     Royal Dutch Shell plc, Class A (ADR)     3,645    
  47     Royal Dutch Shell plc, Class B (ADR)     2,719    
  2,577     Statoil ASA (ADR)     63,600    
  3,678     Total S.A. (ADR)     228,735    
      900,986    
    Pharmaceuticals — 6.0%  
  1,787     AstraZeneca plc (ADR)     80,111    
  170     Elan Corp. plc (ADR)*     1,074    
  3,192     GlaxoSmithKline plc (ADR)     132,372    
  7,236     Novartis AG (ADR)     402,322    
  1,266     Novo Nordisk A/S (ADR)     84,468    
  5,692     Sanofi-Aventis S.A. (ADR)     216,068    
  102     Shire plc (ADR)     6,005    
      922,420    
    Semiconductors & Semiconductor
Equipment — 0.6%		  
  471     Advantest Corp. (ADR)     10,386    
  62     Aixtron AG (ADR)     2,243    

 

See accompanying notes to the financial statements.

102 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EFO  Ultra MSCI EAFE

Shares     Value  
    Common Stocks (a) (continued)  
  270     ARM Holdings plc (ADR)   $ 2,084    
  81     ASM International N.V. (NY Shares)*     1,847    
  1,158     ASML Holding N.V. (NY Shares)     35,886    
  1,349     Chartered Semiconductor
Manufacturing Ltd. (ADR)*		     25,739    
  852     STMicroelectronics N.V. (NY Shares)     6,901    
      85,086    
    Software — 0.3%  
  282     Konami Corp. (ADR)     4,656    
  991     SAP AG (ADR)     47,439    
      52,095    
    Textiles, Apparel & Luxury Goods — 1.0%  
  6,381     Luxottica Group S.p.A. (ADR)     158,950    
  46     Wacoal Holdings Corp. (ADR)     2,648    
      161,598    
    Tobacco — 0.5%  
  1,239     British American Tobacco plc (ADR)     75,914    
    Trading Companies & Distributors — 2.9%  
  1,707     Mitsui & Co., Ltd. (ADR)     450,136    
    Wireless Telecommunication Services — 1.2%  
  4,878     NTT DoCoMo, Inc. (ADR)     73,414    
  5,182     Vodafone Group plc (ADR)     117,579    
      190,993    
        Total Common Stocks
(Cost $8,347,343)		     8,422,199    
    Investment Companies (a) — 0.8%  
    Mutual Funds — 0.8%  
  1,324     iShares MSCI Austria Investable
Market Index Fund		     28,122    
  9,410     iShares MSCI Singapore Index Fund     106,897    
        Total Investment Companies
(Cost $129,358)		     135,019    
No. of
Rights		  
 
 
    Rights — 0.0%  
  2,049     ING Groep N.V., expiring 12/11/09
at $7.06*^		     4,183    
        Total Rights
(Cost $—)		     4,183    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) — 43.2%  
$ 185,395     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $185,396 (b)		   $ 185,395    
  370,790     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $370,792 (c)		     370,790    
  1,112,371     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,112,384 (d)		     1,112,371    
  222,936     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $222,937 (e)		     222,936    
  389,330     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $389,332 (f)		     389,330    
  741,581     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $741,597 (g)		     741,581    
  185,395     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $185,396 (h)		     185,395    
  1,112,371     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,112,376 (i)		     1,112,371    
  926,976     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $926,980 (j)		     926,976    
  556,186     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $556,188 (k)		     556,186    
  855,850     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $855,854 (l)		     855,850    
        Total Repurchase Agreements
(Cost $6,659,181)		     6,659,181    
        Total Investment Securities
(Cost $15,135,882) — 98.6%		     15,220,582    
        Other assets less liabilities — 1.4%     208,362    
        Net Assets — 100.0%   $ 15,428,944    

 

*  Non-income producing security.

^  Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2009, the value of these securities amounted to $4,183 or 0.03% of net assets.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 103


  Ultra MSCI EAFE  EFO

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $4,774,984.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $189,103. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $378,206. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,134,622. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $227,395. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $397,120. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $756,414. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $189,103. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,134,620. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $945,518. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $567,311. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $872,968. The investment in the repurchase agreement was through participation in a pooled account.

ADR  American Depositary Receipt

As of November 30, 2009, 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   $ 303,208    
Aggregate gross unrealized depreciation     (221,665 )  
Net unrealized appreciation   $ 81,543    
Federal income tax cost of investments   $ 15,139,039    

 

See accompanying notes to the financial statements.

104 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EFO  Ultra MSCI EAFE

Swap Agreements ††

  Ultra MSCI EAFE had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI EAFE Index®   $ 4,845,446     $ 646,059    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     1,365,637       (34,309 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     14,644,159       (379,025 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI EAFE Index®     1,481,727       (48,342 )  
            $ 184,383    

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Ultra MSCI EAFE invested, as a percentage of net assets, in the following countries as of November 30, 2009:

Australia     4.5 %  
Belgium     0.6 %  
Denmark     0.5 %  
Finland     0.6 %  
France     5.9 %  
Germany     3.7 %  
Greece     0.3 %  
Hong Kong     0.8 %  
Ireland     0.2 %  
Italy     2.0 %  
Japan     12.2 %  
Netherlands     1.4 %  
New Zealand     0.1 %  
Norway     0.4 %  
Portugal     0.2 %  
Singapore     0.2 %  
Spain     2.7 %  
Sweden     1.4 %  
Switzerland     4.5 %  
United Kingdom     12.4 %  
United States     0.8 %  
Other1     44.6 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 105


  Ultra MSCI EAFE  EFO

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 8,422,199     $ —     $ 8,422,199    
Investment Companies     135,019       —       135,019    
Rights/Warrants     —       4,183       4,183    
Repurchase Agreements     —       6,659,181       6,659,181    
Total Investment Securities     8,557,218       6,663,364       15,220,582    
Other Financial Instruments*:  
Swap Agreements     —       184,383       184,383    
Total Other Financial Instruments     —       184,383       184,383    
Total Investments   $ 8,557,218     $ 6,847,747     $ 15,404,965    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

106 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EET  Ultra MSCI Emerging Markets

Shares     Value  
    Common Stocks (a) — 62.3%  
    Aerospace & Defense — 0.1%  
  1,136     Empresa Brasileira de Aeronautica
S.A. (ADR)*		   $ 23,095    
    Airlines — 0.3%  
  481     China Eastern Airlines Corp., Ltd.
(ADR)*		     18,172    
  1,078     China Southern Airlines Co., Ltd.
(ADR)*		     18,035    
  321     Gol Linhas Aereas Inteligentes S.A.
(ADR)*		     4,545    
  2,608     Lan Airlines S.A. (ADR)     40,215    
  471     Tam S.A. (ADR)*     8,257    
      89,224    
    Beverages — 1.2%  
  281     Cia Cervecerias Unidas S.A. (ADR)     10,130    
  1,605     Cia de Bebidas das Americas (ADR)     153,858    
  433     Coca-Cola Femsa, S.A.B de C.V.
(ADR)		     24,737    
  125     Embotelladora Andina S.A.,
Class A (ADR)		     2,000    
  223     Embotelladora Andina S.A.,
Class B (ADR)		     4,190    
  3,461     Fomento Economico Mexicano,
S.A.B de C.V. (ADR)		     157,510    
  269     Vina Concha y Toro S.A. (ADR)     10,846    
      363,271    
    Biotechnology — 0.0%  
  358     3SBio, Inc. (ADR)*     4,976    
    Capital Markets — 0.0%  
  65     Administradora de Fondos de
Pensiones Provida S.A. (ADR)		     2,753    
    Chemicals — 0.4%  
  704     Braskem S.A. (ADR)*     9,293    
  1,079     Sinopec Shanghai Petrochemical
Co., Ltd. (ADR)*		     42,394    
  1,727     Sociedad Quimica y Minera de
Chile S.A. (ADR)		     65,246    
      116,933    
    Commercial Banks — 7.2%  
  13,223     Banco Bradesco S.A. (ADR)     280,195    
  103     Banco de Chile (ADR)     5,341    
  373     Banco Santander Chile (ADR)     22,678    
  1,367     Bancolumbia S.A. (ADR)     58,644    
  1,989     HDFC Bank Ltd. (ADR)     267,620    
  7,853     ICICI Bank Ltd. (ADR)     292,132    
  18,186     Itau Unibanco Holding S.A. (ADR)     404,639    

 

Shares     Value  
    Common Stocks (a) (continued)  
  7,388     KB Financial Group, Inc. (ADR)*   $ 372,060    
  4,284     Shinhan Financial Group Co., Ltd.
(ADR)*		     338,093    
  1,406     Woori Finance Holdings Co., Ltd.
(ADR)*		     52,008    
      2,093,410    
    Computers & Peripherals — 0.0%  
  250     China Digital TV Holding Co., Ltd.
(ADR)		     1,508    
    Construction & Engineering — 0.0%  
  1,033     Empresas ICA, S.A.B de C.V. (ADR)*     10,010    
    Construction Materials — 0.3%  
  8,605     Cemex, S.A.B de C.V. (ADR)*     97,150    
    Diversified Consumer Services — 0.2%  
  697     New Oriental Education &
Technology Group, Inc. (ADR)*		     49,703    
    Diversified Telecommunication Services — 4.9%  
  565     Brasil Telecom S.A. (ADR)     16,967    
  1,132     China Telecom Corp., Ltd. (ADR)     50,317    
  10,464     China Unicom Hong Kong Ltd.
(ADR)		     140,741    
  12,596     Chunghwa Telecom Co., Ltd. (ADR)     224,083    
  12,872     KT Corp. (ADR)     213,804    
  4,874     Magyar Telekom
Telecommunications plc (ADR)		     97,139    
  533     Mahanagar Telephone Nigam Ltd.
(ADR)		     1,727    
  8,781     P.T. Telekomunikasi Indonesia, Tbk.
Co. (ADR)		     335,171    
  2,275     Rostelecom (ADR)     77,805    
  151     Tata Communications Ltd. (ADR)     2,481    
  3,427     Tele Norte Leste Participacoes S.A.
(ADR)		     74,571    
  2,132     Telefonos de Mexico, S.A.B de C.V.
(ADR)		     38,269    
  7,691     Vimpel-Communications (ADR)     146,821    
      1,419,896    
    Electric Utilities — 0.9%  
  1,909     Centrais Eletricas Brasileiras S.A.
(ADR)		     32,778    
  1,028     Centrais Eletricas Brasileiras S.A.,
Class B (ADR)		     15,543    
  2,806     Cia Energetica de Minas Gerais
(ADR)		     50,452    
  814     Cia Paranaense de Energia (ADR)     16,435    
  174     CPFL Energia S.A. (ADR)     9,989    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 107


  Ultra MSCI Emerging Markets  EET

Shares     Value  
    Common Stocks (a) (continued)  
  2,034     Enersis S.A. (ADR)   $ 39,032    
  8,098     Korea Electric Power Corp. (ADR)*     111,105    
      275,334    
    Electrical Equipment — 0.5%  
  3,978     JA Solar Holdings Co., Ltd. (ADR)*     15,474    
  3,771     Suntech Power Holdings Co., Ltd.
(ADR)*		     56,377    
  913     Trina Solar Ltd. (ADR)*     42,528    
  2,797     Yingli Green Energy Holding Co., Ltd.
(ADR)*		     39,745    
      154,124    
    Electronic Equipment, Instruments &
Components — 1.8%		  
  18,946     AU Optronics Corp. (ADR)     197,986    
  22,373     LG Display Co., Ltd. (ADR)     313,222    
      511,208    
    Energy Equipment & Services — 0.0%  
  145     WSP Holdings Ltd. (ADR)     438    
    Food & Staples Retailing — 0.1%  
  733     China Nepstar Chain Drugstore Ltd.
(ADR)		     5,571    
  333     Cia Brasileira de Distribuicao Grupo
Pao de Acucar, Class A (ADR)		     21,295    
      26,866    
    Food Products — 0.4%  
  955     BRF - Brasil Foods S.A. (ADR)*     46,318    
  375     Gruma, S.A.B de C.V. (ADR)*     2,775    
  94     Industrias Bachoco, S.A.B. de C.V.
(ADR)		     2,049    
  3,608     Wimm-Bill-Dann Foods OJSC
(ADR)*		     71,799    
      122,941    
    Health Care Equipment & Supplies — 0.3%  
  725     China Medical Technologies, Inc.
(ADR)		     9,577    
  2,277     Mindray Medical International Ltd.
(ADR)		     68,948    
      78,525    
    Hotels, Restaurants & Leisure — 0.5%  
  1,548     Ctrip.com International Ltd. (ADR)*     113,546    
  547     Home Inns & Hotels Management,
Inc. (ADR)*		     19,216    
      132,762    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Household Durables — 0.1%  
  390     Desarrolladora Homex, S.A.B de
C.V. (ADR)*		   $ 13,564    
  281     Gafisa S.A. (ADR)     9,470    
      23,034    
    Independent Power Producers &
Energy Traders — 0.2%		  
  871     Empresa Nacional de Electricidad
S.A. (ADR)		     42,130    
  690     Huaneng Power International, Inc.
(ADR)		     17,347    
      59,477    
    Insurance — 4.4%  
  16,619     China Life Insurance Co., Ltd. (ADR)     1,257,393    
  391     CNinsure, Inc. (ADR)     8,215    
      1,265,608    
    Internet Software & Services — 0.2%  
  69     Baidu, Inc. (ADR)*     29,928    
  399     Netease.com, Inc. (ADR)*     15,258    
      45,186    
    IT Services — 1.1%  
  5,208     Infosys Technologies Ltd. (ADR)     265,452    
  216     Patni Computer Systems Ltd. (ADR)     4,141    
  2,483     Wipro Ltd. (ADR)     49,660    
  125     WNS Holdings Ltd. (ADR)*     1,902    
      321,155    
    Life Sciences Tools & Services — 0.1%  
  1,644     WuXi PharmaTech Cayman, Inc.
(ADR)*		     28,655    
    Machinery — 0.5%  
  9,674     Tata Motors Ltd. (ADR)     138,532    
    Media — 0.6%  
  529     AirMedia Group, Inc. (ADR)*     3,682    
  1,839     Focus Media Holding Ltd. (ADR)*     23,098    
  5,765     Grupo Televisa S.A. (ADR)     118,586    
  1,732     NET Servicos de Comunicacao
S.A. (ADR)*		     24,785    
  1,088     VisionChina Media, Inc. (ADR)*     10,031    
      180,182    
    Metals & Mining — 14.6%  
  7,235     Aluminum Corp. of China Ltd.
(ADR)*		     199,831    
  16,249     AngloGold Ashanti Ltd. (ADR)     715,606    

 

See accompanying notes to the financial statements.

108 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EET  Ultra MSCI Emerging Markets

Shares     Value  
    Common Stocks (a) (continued)  
  3,233     Cia de Minas Buenaventura S.A.
(ADR)		   $ 129,805    
  3,678     Cia Siderurgica Nacional S.A. (ADR)     126,119    
  5,925     Gerdau S.A. (ADR)     95,392    
  29,915     Gold Fields Ltd. (ADR)     442,144    
  238     Grupo Simec, S.A.B de C.V. (ADR)*     1,873    
  15,736     Harmony Gold Mining Co., Ltd.
(ADR)		     174,669    
  32,689     Mechel OAO (ADR)     635,801    
  6,991     POSCO (ADR)     833,327    
  14,180     Sterlite Industries India Ltd. (ADR)     260,345    
  23,828     Vale S.A. (ADR)     632,521    
      4,247,433    
    Oil, Gas & Consumable Fuels — 7.9%  
  1,516     China Petroleum & Chemical Corp.
(ADR)		     126,859    
  1,356     CNOOC Ltd. (ADR)     210,099    
  2,118     Ecopetrol S.A. (ADR)     52,548    
  1,912     PetroChina Co., Ltd. (ADR)     238,809    
  17,119     Petroleo Brasileiro S.A. (ADR)     826,902    
  19,685     Sasol Ltd. (ADR)     779,132    
  675     Ultrapar Participacoes S.A. (ADR)     31,927    
  1,768     Yanzhou Coal Mining Co., Ltd.
(ADR)		     35,519    
      2,301,795    
    Paper & Forest Products — 0.3%  
  546     Fibria Celulose S.A. (ADR)*     9,566    
  21,122     Sappi Ltd. (ADR)*     92,726    
      102,292    
    Pharmaceuticals — 1.9%  
  6,991     Dr. Reddys Laboratories Ltd. (ADR)     169,532    
  789     Simcere Pharmaceutical Group
(ADR)*		     6,264    
  7,187     Teva Pharmaceutical Industries Ltd.
(ADR)		     379,402    
      555,198    
    Professional Services — 0.0%  
  289     51job, Inc. (ADR)*     5,297    
    Real Estate Management &
Development — 0.1%		  
  1,049     E-House China Holdings Ltd.
(ADR)*		     20,403    
    Road & Rail — 0.1%  
  1,319     Guangshen Railway Co., Ltd. (ADR)     26,406    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Semiconductors & Semiconductor
Equipment — 5.2%		  
  473     Actions Semiconductor Co., Ltd.
(ADR)*		   $ 1,126    
  20,829     Advanced Semiconductor
Engineering, Inc. (ADR)		     81,650    
  2,540     Himax Technologies, Inc. (ADR)     6,629    
  206     LDK Solar Co., Ltd. (ADR)*     1,607    
  194     O2Micro International Ltd. (ADR)*     832    
  226     Renesola Ltd. (ADR)*     906    
  1,835     Semiconductor Manufacturing
International Corp. (ADR)*		     5,615    
  14,829     Siliconware Precision Industries Co.
(ADR)		     99,651    
  106,435     Taiwan Semiconductor
Manufacturing Co., Ltd. (ADR)		     1,105,860    
  62,245     United Microelectronics Corp.
(ADR)*		     211,010    
      1,514,886    
    Software — 0.3%  
  47     Changyou.com Ltd. (ADR)*     1,526    
  597     Giant Interactive Group, Inc. (ADR)     4,197    
  125     KongZhong Corp. (ADR)*     1,614    
  91     Longtop Financial Technologies Ltd.
(ADR)*		     3,222    
  1,739     NICE Systems Ltd. (ADR)*     52,709    
  177     Perfect World Co., Ltd. (ADR)*     7,811    
  214     Shanda Interactive Entertainment
Ltd. (ADR)*		     10,666    
  93     VanceInfo Technologies, Inc. (ADR)*     1,627    
      83,372    
    Transportation Infrastructure — 0.1%  
  132     Grupo Aeroportuario del Centro
Norte, S.A.B. de C.V. (ADR)		     1,612    
  481     Grupo Aeroportuario del Pacifico,
S.A.B. de C.V. (ADR)		     13,602    
  121     Grupo Aeroportuario del Sureste,
S.A.B. de C.V. (ADR)		     5,894    
      21,108    
    Water Utilities — 0.1%  
  418     Cia de Saneamento Basico do
Estado de Sao Paulo (ADR)		     15,290    
    Wireless Telecommunication Services — 5.4%  
  6,082     America Movil, S.A.B. de C.V. (ADR)     294,220    
  6,803     China Mobile Ltd. (ADR)     318,857    
  4,826     Mobile Telesystems OJSC (ADR)     241,686    
  2,279     Partner Communications Co., Ltd.
(ADR)		     42,047    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 109


  Ultra MSCI Emerging Markets  EET

Shares     Value  
    Common Stocks (a) (continued)  
  1,475     Philippine Long Distance
Telephone Co. (ADR)		   $ 81,479    
  799     PT Indosat Tbk. (ADR)     20,886    
  16,110     SK Telecom Co., Ltd. (ADR)     266,943    
  804     Tim Participacoes S.A. (ADR)     21,708    
  15,072     Turkcell Iletisim Hizmet A.S. (ADR)     231,506    
  2,041     Vivo Participacoes S.A. (ADR)     62,250    
      1,581,582    
        Total Common Stocks
(Cost $18,029,287)		     18,111,018    
    Investment Companies (a) — 2.5%  
    Mutual Funds — 2.5%  
  45,898     iShares MSCI Malaysia Index Fund     498,452    
  5,714     iShares MSCI Thailand Index Fund     231,360    
        Total Investment Companies
(Cost $734,170)		     729,812    
Principal
Amount		  
 
 
    Repurchase Agreements (a) — 36.9%  
$ 299,141     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $299,142 (b)		     299,141    
  598,283     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $598,286 (c)		     598,283    
  1,794,848     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,794,869 (d)		     1,794,848    
  359,715     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $359,716 (e)		     359,715    
  628,197     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $628,200 (f)		     628,197    
  1,196,565     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,196,591 (g)		     1,196,565    
  299,141     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $299,142 (h)		     299,141    
  1,794,848     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,794,856 (i)		     1,794,848    

 

Principal
Amount		     Value  
    Repurchase Agreements (a) (continued)  
$ 1,495,707     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,495,714 (j)		   $ 1,495,707    
  897,424     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $897,428 (k)		     897,424    
  1,380,941     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,380,947 (l)		     1,380,941    
        Total Repurchase Agreements
(Cost $10,744,810)		     10,744,810    
        Total Investment Securities
(Cost $29,508,267) — 101.7%		     29,585,640    
        Liabilities in excess of
other assets — (1.7%)		     (506,053 )  
        Net Assets — 100.0%   $ 29,079,587    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $8,659,358.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $305,124. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $610,249. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,830,751. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $366,910. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due

See accompanying notes to the financial statements.

110 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EET  Ultra MSCI Emerging Markets

12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $640,766. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,220,499. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $305,124. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,830,747. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,525,625. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $915,375. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,408,562. The investment in the repurchase agreement was through participation in a pooled account.

ADR  American Depositary Receipt

As of November 30, 2009, 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   $ 395,728    
Aggregate gross unrealized depreciation     (392,287 )  
Net unrealized appreciation   $ 3,441    
Federal income tax cost of investments   $ 29,582,199    

 

Swap Agreements ††

Ultra MSCI Emerging Markets had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse (Europe) Limited, based on the MSCI Emerging
Markets Index®		   $ 5,140,096     $ 739,932    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     16,937,443       (668,567 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     14,626,445       (492,731 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     2,651,568       (101,814 )  
            $ (523,180 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 111


  Ultra MSCI Emerging Markets  EET

Ultra MSCI Emerging Markets invested, as a percentage of net assets, in the following countries as of November 30, 2009:

Brazil     10.4 %  
Cayman Islands     0.0 %  
Chile     0.9 %  
China     9.1 %  
Colombia     0.4 %  
Hong Kong     2.3 %  
Hungary     0.3 %  
India     5.0 %  
Indonesia     1.2 %  
Israel     1.6 %  
Mexico     2.7 %  
Peru     0.5 %  
Philippines     0.3 %  
Russia     4.0 %  
South Africa     7.6 %  
South Korea     8.6 %  
Taiwan     6.6 %  
Turkey     0.8 %  
United States     2.5 %  
Other1     35.2 %  
      100.0 %  

 

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 18,111,018     $ —     $ 18,111,018    
Investment Companies     729,812       —       729,812    
Repurchase Agreements     —       10,744,810       10,744,810    
Total Investment Securities     18,840,830       10,744,810       29,585,640    
Other Financial Instruments*:  
Swap Agreements     —       (523,180 )     (523,180 )  
Total Other Financial Instruments     —       (523,180 )     (523,180 )  
Total Investments   $ 18,840,830     $ 10,221,630     $ 29,062,460    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

112 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  XPP  Ultra FTSE/Xinhua China 25

Principal
Amount		     Value  
    Repurchase Agreements (a) — 97.3%  
$ 816,847     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $816,850 (b)		   $ 816,847    
  1,633,694     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,633,701 (c)		     1,633,694    
  4,901,081     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $4,901,138 (d)		     4,901,081    
  982,252     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $982,256 (e)		     982,252    
  1,715,378     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,715,386 (f)		     1,715,378    
  3,267,387     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,267,457 (g)		     3,267,387    
  816,847     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $816,850 (h)		     816,847    
  4,901,081     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,901,103 (i)		     4,901,081    
  4,084,234     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,084,252 (j)		     4,084,234    
  2,450,540     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,450,550 (k)		     2,450,540    
  3,770,846     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,770,863 (l)		     3,770,846    
        Total Investment Securities
(Cost $29,340,187) † — 97.3%		     29,340,187    
        Other assets less liabilities — 2.7%     805,303    
        Net Assets — 100.0%   $ 30,145,490    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $8,101,338.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $833,184. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,666,368. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $4,999,120. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,001,898. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,749,699. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $3,332,741. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $833,185. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16;

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 113


  Ultra FTSE/Xinhua China 25  XPP

U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $4,999,108. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $4,165,928. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,499,558. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,846,268. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra FTSE/Xinhua China 25 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the FTSE/Xinhua
China 25 Index®		   $ 12,882,116     $ 958,668    
Equity Index Swap Agreement with Deutsche Bank AG, based on the FTSE/Xinhua China 25 Index®     13,972,645       (1,061,602 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the FTSE/Xinhua China 25 Index®     7,531,712       (144,346 )  
Equity Index Swap Agreement with Societe Generale, based on the FTSE/Xinhua China 25 Index®     19,740,097       (1,104,943 )  
Equity Index Swap Agreement with UBS AG, based on the FTSE/Xinhua China 25 Index®     6,266,072       277,952    
            $ (1,074,271 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 29,340,187     $ 29,340,187    
Total Investment Securities     —       29,340,187       29,340,187    
Other Financial Instruments*:  
Swap Agreements     —       (1,074,271 )     (1,074,271 )  
Total Other Financial Instruments     —       (1,074,271 )     (1,074,271 )  
Total Investments   $ —     $ 28,265,916     $ 28,265,916    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

114 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EZJ  Ultra MSCI Japan

Principal
Amount		     Value  
    Repurchase Agreements (a) — 100.4%  
$ 249,985     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $249,986 (b)		   $ 249,985    
  499,970     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $499,972 (c)		     499,970    
  1,499,909     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,499,926 (d)		     1,499,909    
  300,605     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $300,606 (e)		     300,605    
  524,968     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $524,970 (f)		     524,968    
  999,939     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $999,960 (g)		     999,939    
  249,985     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $249,986 (h)		     249,985    
  1,499,909     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,499,916 (i)		     1,499,909    
  1,249,924     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,249,930 (j)		     1,249,924    
  749,954     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $749,957 (k)		     749,954    
  1,154,014     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,154,019 (l)		     1,154,014    
        Total Investment Securities
(Cost $8,979,162) † — 100.4%		     8,979,162    
        Liabilities in excess of
other assets — (0.4%)		     (37,458 )  
        Net Assets — 100.0%   $ 8,941,704    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,655,920.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $254,985. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $509,969. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,529,912. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $306,617. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $535,471. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,019,940. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $254,985. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 115


  Ultra MSCI Japan  EZJ

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,529,909. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,274,925. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $764,955. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,177,096. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Japan had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on MSCI Japan Index®   $ 12,099,529     $ 94,681    
Equity Index Swap Agreement with Deutsche Bank AG, based on MSCI Japan Index®     1,133,065       (19,059 )  
Equity Index Swap Agreement with Societe Generale, based on MSCI Japan Index®     4,284,180       (105,507 )  
Equity Index Swap Agreement with UBS AG, based on MSCI Japan Index®     452,782       (15,052 )  
            $ (44,937 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 8,979,162     $ 8,979,162    
Total Investment Securities     —       8,979,162       8,979,162    
Other Financial Instruments*:  
Swap Agreements     —       (44,937 )     (44,937 )  
Total Other Financial Instruments     —       (44,937 )     (44,937 )  
Total Investments   $ —     $ 8,934,225     $ 8,934,225    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

116 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)



  PSQ  Short QQQ®

Principal
Amount		     Value  
    Repurchase Agreements (a) — 109.1%  
$ 5,358,504     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,358,526 (b)		   $ 5,358,504    
  10,717,007     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $10,717,055 (c)		     10,717,007    
  32,151,022     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $32,151,397 (d)		     32,151,022    
  6,443,563     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $6,443,590 (e)		     6,443,563    
  11,252,858     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $11,252,908 (f)		     11,252,858    
  21,434,014     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $21,434,472 (g)		     21,434,014    
  5,358,504     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,358,526 (h)		     5,358,504    
  32,151,022     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $32,151,165 (i)		     32,151,022    
  26,792,518     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $26,792,637 (j)		     26,792,518    
  16,075,511     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $16,075,578 (k)		     16,075,511    
  24,736,694     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $24,736,804 (l)		     24,736,694    
        Total Investment Securities
(Cost $192,471,217) † — 109.1%		     192,471,217    
        Liabilities in excess of
other assets — (9.1%)		     (16,093,095 )  
        Net Assets — 100.0%   $ 176,378,122    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $37,621,044.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $5,465,675. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $10,931,347. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $32,794,156. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $6,572,439. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $11,478,001. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $21,862,738. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $5,465,681. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 117


  Short QQQ®  PSQ

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $32,794,081. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $27,328,431. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $16,397,071. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $25,231,463. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini NASDAQ-100 Futures Contracts     1,257       12/18/09     $ 44,441,235     $ (482,896 )  

 

Cash collateral in the amount of $4,460,488 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short QQQ® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
NASDAQ-100® Index  $		     (7,117,173 )   $ (799,255 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     (14,040,421 )     (502,884 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     (8,270,512 )     (714,160 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     (58,710,553 )     (16,284,127 )  
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     (43,810,373 )     (4,283,718 )  
    $ (22,584,144 )  

 

See accompanying notes to the financial statements.

118 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  PSQ  Short QQQ®

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 192,471,217     $ 192,471,217    
Total Investment Securities     —       192,471,217       192,471,217    
Other Financial Instruments*:  
Futures Contracts     (482,896 )     —       (482,896 )  
Swap Agreements     —       (22,584,144 )     (22,584,144 )  
Total Other Financial Instruments     (482,896 )     (22,584,144 )     (23,067,040 )  
Total Investments   $ (482,896 )   $ 169,887,073     $ 169,404,177    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 119


  Short Dow30SM  DOG

Principal
Amount		     Value  
    Repurchase Agreements (a) — 113.0%  
$ 8,112,720     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $8,112,754 (b)		   $ 8,112,720    
  16,225,440     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $16,225,512 (c)		     16,225,440    
  48,676,319     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $48,676,887 (d)		     48,676,319    
  9,755,488     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,755,529 (e)		     9,755,488    
  17,036,712     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $17,036,788 (f)		     17,036,712    
  32,450,879     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $32,451,573 (g)		     32,450,879    
  8,112,720     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $8,112,754 (h)		     8,112,720    
  48,676,319     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $48,676,535 (i)		     48,676,319    
  40,563,599     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $40,563,779 (j)		     40,563,599    
  24,338,159     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $24,338,260 (k)		     24,338,159    
  37,451,106     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $37,451,272 (l)		     37,451,106    
        Total Investment Securities
(Cost $291,399,461) † — 113.0%		     291,399,461    
        Liabilities in excess of
other assets — (13.0%)		     (33,432,546 )  
        Net Assets — 100.0%   $ 257,966,915    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $58,882,467.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $8,274,976. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $16,549,949. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $49,650,017. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $9,950,604. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $17,377,576. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $33,099,963. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $8,274,985. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

120 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DOG  Short Dow30SM

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $49,649,904. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $41,374,965. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $24,824,998. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $38,200,180. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Dow Jones Futures Contracts     1,220       12/18/09     $ 63,055,700     $ (2,678,413 )  

 

Cash collateral in the amount of $7,790,661 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short Dow30SM had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on Dow Jones
Industrial AverageSM Index		   $ (11,680,318 )   $ (899,070 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on Dow Jones Industrial AverageSM Index     (17,252,265 )     (1,096,605 )  
Equity Index Swap Agreement with Societe Generale, based on Dow Jones Industrial AverageSM Index     (131,678,156 )     (33,092,692 )  
Equity Index Swap Agreement with UBS AG, based on Dow Jones Industrial AverageSM Index     (34,317,251 )     (4,301,886 )  
    $ (39,390,253 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 121


  Short Dow30SM  DOG

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 291,399,461     $ 291,399,461    
Total Investment Securities     —       291,399,461       291,399,461    
Other Financial Instruments*:  
Futures Contracts     (2,678,413 )     —       (2,678,413 )  
Swap Agreements     —       (39,390,253 )     (39,390,253 )  
Total Other Financial Instruments     (2,678,413 )     (39,390,253 )     (42,068,666 )  
Total Investments   $ (2,678,413 )   $ 252,009,208     $ 249,330,795    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

122 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SH  Short S&P500®

Principal
Amount		     Value  
    Repurchase Agreements (a) — 103.4%  
$ 49,138,485     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $49,138,690 (b)		   $ 49,138,485    
  98,276,970     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $98,277,407 (c)		     98,276,970    
  294,830,910     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $294,834,350 (d)		     294,830,910    
  59,088,680     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $59,088,926 (e)		     59,088,680    
  103,190,819     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $103,191,278 (f)		     103,190,819    
  196,553,940     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $196,558,144 (g)		     196,553,940    
  49,138,485     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $49,138,690 (h)		     49,138,485    
  294,830,910     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $294,832,220 (i)		     294,830,910    
  245,692,425     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $245,693,517 (j)		     245,692,425    
  147,415,455     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $147,416,069 (k)		     147,415,455    
  226,840,157     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $226,841,165 (l)		     226,840,157    
        Total Investment Securities
(Cost $1,764,997,236) † — 103.4%		     1,764,997,236    
        Liabilities in excess of
other assets — (3.4%)		     (58,577,942 )  
        Net Assets — 100.0%   $ 1,706,419,294    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $297,752,468.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $50,121,262. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $100,242,509. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $300,728,566. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $60,270,493. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $105,255,423. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $200,485,420. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $50,121,319. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 123


  Short S&P500®  SH

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $300,727,881. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $250,606,844. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $150,364,225. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $231,377,281. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini S&P 500 Futures Contracts     7,824       12/18/09     $ 428,266,200     $ (11,615,559 )  

 

Cash collateral in the amount of $43,226,478 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short S&P500® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index   $ (150,489,871 )   $ (6,062,000 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (181,329,376 )     (5,754,593 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     (179,489,544 )     (11,467,047 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (379,812,007 )     (95,839,616 )  
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     (387,002,980 )     (41,552,536 )  
    $ (160,675,792 )  

 

See accompanying notes to the financial statements.

124 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SH  Short S&P500®

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 1,764,997,236     $ 1,764,997,236    
Total Investment Securities     —       1,764,997,236       1,764,997,236    
Other Financial Instruments*:  
Futures Contracts     (11,615,559 )     —       (11,615,559 )  
Swap Agreements     —       (160,675,792 )     (160,675,792 )  
Total Other Financial Instruments     (11,615,559 )     (160,675,792 )     (172,291,351 )  
Total Investments   $ (11,615,559 )   $ 1,604,321,444     $ 1,592,705,885    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 125


  Short MidCap400  MYY

Principal
Amount		     Value  
    Repurchase Agreements (a) — 114.1%  
$ 1,237,081     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,237,086 (b)		   $ 1,237,081    
  2,474,161     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,474,172 (c)		     2,474,161    
  7,422,483     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $7,422,570 (d)		     7,422,483    
  1,487,581     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,487,587 (e)		     1,487,581    
  2,597,869     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,597,881 (f)		     2,597,869    
  4,948,322     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $4,948,428 (g)		     4,948,322    
  1,237,081     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,237,086 (h)		     1,237,081    
  7,422,483     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,422,516 (i)		     7,422,483    
  6,185,403     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,185,430 (j)		     6,185,403    
  3,711,242     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,711,257 (k)		     3,711,242    
  5,710,789     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,710,814 (l)		     5,710,789    
        Total Investment Securities
(Cost $44,434,495) † — 114.1%		     44,434,495    
        Liabilities in excess of
other assets — (14.1%)		     (5,478,717 )  
        Net Assets — 100.0%   $ 38,955,778    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $9,713,203.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,261,823. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,523,644. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $7,570,959. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,517,334. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,649,846. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,047,299. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,261,824. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

126 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  MYY  Short MidCap400

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $7,570,942. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $6,309,125. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $3,785,478. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $5,825,013. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     91       12/18/09     $ 6,228,040     $ 94,516    

 

Cash collateral in the amount of $638,300 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short MidCap400 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		   $ (1,098,541 )   $ (56,463 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     (5,795,426 )     (157,765 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     (20,388,217 )     (5,356,413 )  
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400TM Index     (5,452,123 )     (484,879 )  
    $ (6,055,520 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 127


  Short MidCap400  MYY

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 44,434,495     $ 44,434,495    
Total Investment Securities     —       44,434,495       44,434,495    
Other Financial Instruments*:  
Futures Contracts     94,516       —       94,516    
Swap Agreements     —       (6,055,520 )     (6,055,520 )  
Total Other Financial Instruments     94,516       (6,055,520 )     (5,961,004 )  
Total Investments   $ 94,516     $ 38,378,975     $ 38,473,491    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

128 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SBB  Short SmallCap600

Principal
Amount		     Value  
    Repurchase Agreements (a) — 105.4%  
$ 1,216,746     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,216,751 (b)		   $ 1,216,746    
  2,433,492     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,433,503 (c)		     2,433,492    
  7,300,477     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $7,300,562 (d)		     7,300,477    
  1,463,129     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,463,135 (e)		     1,463,129    
  2,555,167     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,555,178 (f)		     2,555,167    
  4,866,985     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $4,867,089 (g)		     4,866,985    
  1,216,746     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,216,751 (h)		     1,216,746    
  7,300,477     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,300,509 (i)		     7,300,477    
  6,083,731     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,083,758 (j)		     6,083,731    
  3,650,239     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,650,254 (k)		     3,650,239    
  5,616,919     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,616,944 (l)		     5,616,919    
        Total Investment Securities
(Cost $43,704,108) † — 105.4%		     43,704,108    
        Liabilities in excess of
other assets — (5.4%)		     (2,226,933 )  
        Net Assets — 100.0%   $ 41,477,175    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $9,055,114.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,241,081. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,482,162. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $7,446,512. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,492,393. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,606,290. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $4,964,335. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,241,083. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 129


  Short SmallCap600  SBB

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $7,446,495. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $6,205,420. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $3,723,255. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $5,729,265. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		   $ (2,510,833 )   $ (686,942 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     (18,376,373 )     (20,346 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     (7,030,983 )     (1,358,577 )  
Equity Index Swap Agreement with UBS AG, based on the S&P SmallCap 600TM Index     (13,586,057 )     (111,810 )  
    $ (2,177,675 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 43,704,108     $ 43,704,108    
Total Investment Securities     —       43,704,108       43,704,108    
Other Financial Instruments*:  
Swap Agreements     —       (2,177,675 )     (2,177,675 )  
Total Other Financial Instruments     —       (2,177,675 )     (2,177,675 )  
Total Investments   $ —     $ 41,526,433     $ 41,526,433    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

130 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  RWM  Short Russell2000

Principal
Amount		     Value  
    Repurchase Agreements (a) — 103.5%  
$ 5,698,547     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,698,571 (b)		   $ 5,698,547    
  11,397,093     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $11,397,144 (c)		     11,397,093    
  34,191,280     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $34,191,679 (d)		     34,191,280    
  6,852,462     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $6,852,491 (e)		     6,852,462    
  11,966,948     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $11,967,001 (f)		     11,966,948    
  22,794,187     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $22,794,675 (g)		     22,794,187    
  5,698,547     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,698,571 (h)		     5,698,547    
  34,191,280     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $34,191,432 (i)		     34,191,280    
  28,492,733     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $28,492,860 (j)		     28,492,733    
  17,095,640     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $17,095,711 (k)		     17,095,640    
  26,306,451     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $26,306,568 (l)		     26,306,451    
        Total Investment Securities
(Cost $204,685,168) † — 103.5%		     204,685,168    
        Liabilities in excess of
other assets — (3.5%)		     (6,876,445 )  
        Net Assets — 100.0%   $ 197,808,723    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $34,968,520.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $5,812,519. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $11,625,035. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $34,875,226. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $6,989,516. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $12,206,378. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $23,250,117. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $5,812,525. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 131


  Short Russell2000  RWM

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $34,875,146. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $29,062,654. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $17,437,606. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $26,832,617. 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, 2009:

    Number of
Contracts		   Expiration
Date		   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     810       12/18/09     $ 46,899,000     $ 712,148    

 

Cash collateral in the amount of $3,449,146 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short Russell2000 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Index		   $ (66,312,737 )   $ (367,124 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     (31,090,135 )     (461,025 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     (31,247,062 )     (7,703,692 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     (22,258,216 )     (1,079,453 )  
    $ (9,611,294 )  

 

See accompanying notes to the financial statements.

132 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  RWM  Short Russell2000

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 204,685,168     $ 204,685,168    
Total Investment Securities     —       204,685,168       204,685,168    
Other Financial Instruments*:  
Futures Contracts     712,148       —       712,148    
Swap Agreements     —       (9,611,294 )     (9,611,294 )  
Total Other Financial Instruments     712,148       (9,611,294 )     (8,899,146 )  
Total Investments   $ 712,148     $ 195,073,874     $ 195,786,022    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 133


  UltraShort QQQ®  QID

Principal
Amount		     Value  
    Repurchase Agreements (a) — 127.5%  
$ 33,531,494     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $33,531,634 (b)		   $ 33,531,494    
  67,062,987     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $67,063,285 (c)		     67,062,987    
  201,188,962     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $201,191,309 (d)		     201,188,962    
  40,321,383     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $40,321,551 (e)		     40,321,383    
  70,416,137     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $70,416,450 (f)		     70,416,137    
  134,125,975     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $134,128,844 (g)		     134,125,975    
  33,531,494     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $33,531,634 (h)		     33,531,494    
  201,188,962     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $201,189,856 (i)		     201,188,962    
  167,657,468     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $167,658,213 (j)		     167,657,468    
  100,594,481     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $100,594,900 (k)		     100,594,481    
  154,792,912     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $154,793,600 (l)		     154,792,912    
        Total Investment Securities
(Cost $1,204,412,255) † — 127.5%		     1,204,412,255    
        Liabilities in excess of
other assets — (27.5%)		     (259,454,722 )  
        Net Assets — 100.0%   $ 944,957,533    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $476,641,156.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $34,202,129. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $68,404,247. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $205,213,449. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $41,127,838. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $71,824,997. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $136,808,769. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $34,202,168. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

134 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  QID  UltraShort QQQ®

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $205,212,982. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $171,011,007. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $102,606,685. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $157,888,989. 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 contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini NASDAQ-100 Futures Contracts     6,038       12/18/09     $ 213,473,490     $ (40,889 )  

 

Cash collateral in the amount of $25,172,639 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort QQQ® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
NASDAQ-100® Index		   $ (116,160,073 )   $ (2,498,776 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     (135,629,737 )     (4,413,543 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     (102,058,592 )     (17,704,584 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     (665,189,227 )     (184,498,784 )  
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     (657,371,788 )     (64,276,909 )  
            $ (273,392,596 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 135


  UltraShort QQQ®  QID

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 1,204,412,255     $ 1,204,412,255    
Total Investment Securities     —       1,204,412,255       1,204,412,255    
Other Financial Instruments*:  
Futures Contracts     (40,889 )     —       (40,889 )  
Swap Agreements     —       (273,392,596 )     (273,392,596 )  
Total Other Financial Instruments     (40,889 )     (273,392,596 )     (273,433,485 )  
Total Investments   $ (40,889 )   $ 931,019,659     $ 930,978,770    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

136 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DXD  UltraShort Dow30SM

Principal
Amount		     Value  
    Repurchase Agreements (a) — 121.8%  
$ 19,464,170     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $19,464,251 (b)		   $ 19,464,170    
  38,928,340     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $38,928,513 (c)		     38,928,340    
  116,785,020     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $116,786,382 (d)		     116,785,020    
  23,405,526     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $23,405,624 (e)		     23,405,526    
  40,874,757     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $40,874,939 (f)		     40,874,757    
  77,856,680     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $77,858,345 (g)		     77,856,680    
  19,464,170     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $19,464,251 (h)		     19,464,170    
  116,785,020     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $116,785,539 (i)		     116,785,020    
  97,320,850     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $97,321,283 (j)		     97,320,850    
  58,392,510     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $58,392,753 (k)		     58,392,510    
  89,853,306     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $89,853,705 (l)		     89,853,306    
        Total Investment Securities
(Cost $699,130,349) † — 121.8%		     699,130,349    
        Liabilities in excess of
other assets — (21.8%)		     (125,195,425 )  
        Net Assets — 100.0%   $ 573,934,924    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $262,424,588.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $19,853,456. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $39,706,907. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $119,121,132. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $23,873,652. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $41,692,564. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $79,413,973. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $19,853,479. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 137


  UltraShort Dow30SM  DXD

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $119,120,860. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $99,267,493. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $59,560,543. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $91,650,499. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Dow Jones Futures Contracts     2,618       12/18/09     $ 135,311,330     $ (2,750,745 )  

 

Cash collateral in the amount of $17,792,037 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort Dow30SM had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on Dow Jones
Industrial AverageSM Index		   $ (49,526,238 )   $ (1,526,433 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on Dow Jones Industrial AverageSM Index     (63,343,083 )     (1,979,671 )  
Equity Index Swap Agreement with Goldman Sachs International, based on Dow Jones Industrial
AverageSM Index		     (120,468,193 )     (12,702,456 )  
Equity Index Swap Agreement with Societe Generale, based on Dow Jones Industrial AverageSM Index     (464,135,342 )     (116,644,159 )  
Equity Index Swap Agreement with UBS AG, based on Dow Jones Industrial AverageSM Index     (315,092,974 )     (39,498,914 )  
            $ (172,351,633 )  

 

See accompanying notes to the financial statements.

138 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DXD  UltraShort Dow30SM

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 699,130,349     $ 699,130,349    
Total Investment Securities     —       699,130,349       699,130,349    
Other Financial Instruments*:  
Futures Contracts     (2,750,745 )     —       (2,750,745 )  
Swap Agreements     —       (172,351,633 )     (172,351,633 )  
Total Other Financial Instruments     (2,750,745 )     (172,351,633 )     (175,102,378 )  
Total Investments   $ (2,750,745 )   $ 526,778,716     $ 524,027,971    

 

*   These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 139


  UltraShort S&P500®  SDS

Principal
Amount		     Value  
    Repurchase Agreements (a) — 122.7%  
$ 114,611,003     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $114,611,481 (b)		   $ 114,611,003    
  229,222,006     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $229,223,025 (c)		     229,222,006    
  687,666,017     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $687,674,040 (d)		     687,666,017    
  137,818,918     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $137,819,492 (e)		     137,818,918    
  240,683,106     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $240,684,176 (f)		     240,683,106    
  458,444,011     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $458,453,817 (g)		     458,444,011    
  114,611,003     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $114,611,481 (h)		     114,611,003    
  687,666,017     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $687,669,073 (i)		     687,666,017    
  573,055,014     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $573,057,561 (j)		     573,055,014    
  343,833,008     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $343,834,441 (k)		     343,833,008    
  529,083,824     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $529,086,175 (l)		     529,083,824    
        Total Investment Securities
(Cost $4,116,693,927) † — 122.7%		     4,116,693,927    
        Liabilities in excess of
other assets — (22.7%)		     (761,490,761 )  
        Net Assets — 100.0%   $ 3,355,203,166    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $1,565,508,908.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $116,903,241. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $233,806,446. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $701,421,758. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $140,575,389. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $245,498,605. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $467,613,828. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $116,903,374. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

140 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SDS  UltraShort S&P500®

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $701,420,159. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $584,517,446. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $350,710,743. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $539,666,249. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini S&P 500 Futures Contracts     15,473       12/18/09     $ 846,953,338     $ (7,031,868 )  

 

Cash collateral in the amount of $86,115,954 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort S&P500® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index   $ (365,005,329 )   $ (19,103,976 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (382,975,293 )     (12,796,211 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     (483,011,459 )     (36,286,039 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (2,531,347,408 )     (638,745,904 )  
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     (2,101,105,447 )     (225,595,832 )  
            $ (932,527,962 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 141


  UltraShort S&P500®  SDS

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 4,116,693,927     $ 4,116,693,927    
Total Investment Securities     —       4,116,693,927       4,116,693,927    
Other Financial Instruments*:  
Futures Contracts     (7,031,868 )     —       (7,031,868 )  
Swap Agreements     —       (932,527,962 )     (932,527,962 )  
Total Other Financial Instruments     (7,031,868 )     (932,527,962 )     (939,559,830 )  
Total Investments   $ (7,031,868 )   $ 3,184,165,965     $ 3,177,134,097    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

142 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  TWQ  UltraShort Russell3000

Principal
Amount		     Value  
    Repurchase Agreements (a) — 128.6%  
$ 142,538     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $142,539 (b)		   $ 142,538    
  285,075     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $285,076 (c)		     285,075    
  855,226     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $855,236 (d)		     855,226    
  171,401     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $171,402 (e)		     171,401    
  299,329     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $299,330 (f)		     299,329    
  570,151     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $570,163 (g)		     570,151    
  142,538     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $142,539 (h)		     142,538    
  855,226     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $855,230 (i)		     855,226    
  712,688     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $712,691 (j)		     712,688    
  427,613     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $427,615 (k)		     427,613    
  658,001     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $658,004 (l)		     658,001    
        Total Investment Securities
(Cost $5,119,786) † — 128.6%		     5,119,786    
        Liabilities in excess of
other assets — (28.6%)		     (1,139,597 )  
        Net Assets — 100.0%   $ 3,980,189    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,300,607.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $145,389. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $290,777. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $872,334. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $174,829. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $305,318. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $581,555. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $145,389. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 143


  UltraShort Russell3000  TWQ

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $872,332. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $726,943. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $436,167. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $671,162. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell3000 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 3000® Index   $ (6,412,708 )   $ (1,067,060 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index     (1,141,972 )     (26,100 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index     (402,110 )     (36,875 )  
            $ (1,130,035 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 5,119,786     $ 5,119,786    
Total Investment Securities     —       5,119,786       5,119,786    
Other Financial Instruments*:  
Swap Agreements     —       (1,130,035 )     (1,130,035 )  
Total Other Financial Instruments     —       (1,130,035 )     (1,130,035 )  
Total Investments   $ —     $ 3,989,751     $ 3,989,751    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

144 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  MZZ  UltraShort MidCap400

Principal
Amount		     Value  
    Repurchase Agreements (a) — 99.9%  
$ 1,408,960     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,408,966 (b)		   $ 1,408,960    
  2,817,920     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,817,933 (c)		     2,817,920    
  8,453,759     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $8,453,858 (d)		     8,453,759    
  1,694,264     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,694,271 (e)		     1,694,264    
  2,958,816     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,958,829 (f)		     2,958,816    
  5,635,839     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $5,635,960 (g)		     5,635,839    
  1,408,960     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,408,966 (h)		     1,408,960    
  8,453,759     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,453,797 (i)		     8,453,759    
  7,044,799     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,044,830 (j)		     7,044,799    
  4,226,880     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,226,898 (k)		     4,226,880    
  6,504,243     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,504,272 (l)		     6,504,243    
        Total Investment Securities
(Cost $50,608,199) † — 99.9%		     50,608,199    
        Other assets less liabilities — 0.1%     44,262    
        Net Assets — 100.0%   $ 50,652,461    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $15,935,434.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,437,139. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,874,278. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $8,622,864. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,728,150. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,018,015. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,748,567. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,437,141. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 145


  UltraShort MidCap400  MZZ

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $8,622,844. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $7,185,711. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,311,431. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $6,634,337. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     202       12/18/09     $ 13,824,880     $ 316,096    

 

Cash collateral in the amount of $1,375,635 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort MidCap400 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		   $ (12,599,154 )   $ (78,458 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     (20,184,685 )     (325,947 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     (39,027,415 )     1,112,829    
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400TM Index     (15,670,530 )     (1,392,148 )  
            $ (683,724 )  

 

See accompanying notes to the financial statements.

146 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  MZZ  UltraShort MidCap400

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 50,608,199     $ 50,608,199    
Total Investment Securities     —       50,608,199       50,608,199    
Other Financial Instruments*:  
Futures Contracts     316,096       —       316,096    
Swap Agreements     —       (683,724 )     (683,724 )  
Total Other Financial Instruments     316,096       (683,724 )     (367,628 )  
Total Investments   $ 316,096     $ 49,924,475     $ 50,240,571    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 147


  UltraShort SmallCap600  SDD

Principal
Amount		     Value  
    Repurchase Agreements (a) — 124.3%  
$ 976,156     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $976,160 (b)		   $ 976,156    
  1,952,311     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,952,320 (c)		     1,952,311    
  5,856,934     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $5,857,002 (d)		     5,856,934    
  1,173,820     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,173,825 (e)		     1,173,820    
  2,049,927     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,049,936 (f)		     2,049,927    
  3,904,623     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,904,707 (g)		     3,904,623    
  976,156     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $976,160 (h)		     976,156    
  5,856,934     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,856,960 (i)		     5,856,934    
  4,880,778     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,880,800 (j)		     4,880,778    
  2,928,467     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,928,479 (k)		     2,928,467    
  4,506,271     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,506,291 (l)		     4,506,271    
        Total Investment Securities
(Cost $35,062,377) † — 124.3%		     35,062,377    
        Liabilities in excess of
other assets — (24.3%)		     (6,856,607 )  
        Net Assets — 100.0%   $ 28,205,770    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $14,059,214.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $995,679. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,991,357. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $5,974,093. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,197,297. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,090,941. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $3,982,723. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $995,680. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

148 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SDD  UltraShort SmallCap600

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $5,974,080. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $4,978,405. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,987,045. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $4,596,403. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		   $ (9,410,393 )   $ (2,223,570 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     (21,314,827 )     (59,256 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     (17,069,890 )     (4,304,386 )  
Equity Index Swap Agreement with UBS AG, based on the S&P SmallCap 600TM Index     (8,630,377 )     (230,050 )  
            $ (6,817,262 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 35,062,377     $ 35,062,377    
Total Investment Securities     —       35,062,377       35,062,377    
Other Financial Instruments*:  
Swap Agreements     —       (6,817,262 )     (6,817,262 )  
Total Other Financial Instruments     —       (6,817,262 )     (6,817,262 )  
Total Investments   $ —     $ 28,245,115     $ 28,245,115    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 149


  UltraShort Russell2000  TWM

Principal
Amount		     Value  
    Repurchase Agreements (a) — 120.5%  
$ 17,303,132     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $17,303,204 (b)		   $ 17,303,132    
  34,606,264     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $34,606,418 (c)		     34,606,264    
  103,818,791     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $103,820,002 (d)		     103,818,791    
  20,806,893     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $20,806,980 (e)		     20,806,893    
  36,336,577     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $36,336,738 (f)		     36,336,577    
  69,212,527     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $69,214,007 (g)		     69,212,527    
  17,303,132     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $17,303,204 (h)		     17,303,132    
  103,818,791     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $103,819,252 (i)		     103,818,791    
  86,515,659     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $86,516,044 (j)		     86,515,659    
  51,909,396     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $51,909,612 (k)		     51,909,396    
  79,877,211     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $79,877,566 (l)		     79,877,211    
        Total Investment Securities
(Cost $621,508,373) † — 120.5%		     621,508,373    
        Liabilities in excess of
other assets — (20.5%)		     (105,593,956 )  
        Net Assets — 100.0%   $ 515,914,417    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $233,854,670.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $17,649,197. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $35,298,389. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $105,895,532. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $21,223,045. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $37,063,586. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $70,596,919. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $17,649,217. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

150 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  TWM  UltraShort Russell2000

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $105,895,291. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $88,246,173. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $52,947,746. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $81,474,868. 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, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     2,143       12/18/09     $ 124,079,700     $ 2,786,820    

 

Cash collateral in the amount of $11,778,854 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort Russell2000 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Index		   $ (135,908,737 )   $ (2,513,394 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     (206,285,526 )     (2,226,909 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     (410,117,687 )     (101,110,953 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     (155,413,038 )     (7,537,037 )  
            $ (113,388,293 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 151


  UltraShort Russell2000  TWM

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 621,508,373     $ 621,508,373    
Total Investment Securities     —       621,508,373       621,508,373    
Other Financial Instruments*:  
Futures Contracts     2,786,820       —       2,786,820    
Swap Agreements     —       (113,388,293 )     (113,388,293 )  
Total Other Financial Instruments     2,786,820       (113,388,293 )     (110,601,473 )  
Total Investments   $ 2,786,820     $ 508,120,080     $ 510,906,900    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

152 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SPXU  UltraPro Short S&P500®

Principal
Amount		     Value  
    Repurchase Agreements (a) — 107.4%  
$ 4,976,420     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,976,441 (b)		   $ 4,976,420    
  9,952,840     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,952,884 (c)		     9,952,840    
  29,858,519     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $29,858,867 (d)		     29,858,519    
  5,984,110     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,984,135 (e)		     5,984,110    
  10,450,482     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $10,450,528 (f)		     10,450,482    
  19,905,680     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $19,906,106 (g)		     19,905,680    
  4,976,420     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,976,441 (h)		     4,976,420    
  29,858,519     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $29,858,652 (i)		     29,858,519    
  24,882,100     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $24,882,211 (j)		     24,882,100    
  14,929,260     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $14,929,322 (k)		     14,929,260    
  22,972,866     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $22,972,968 (l)		     22,972,866    
        Total Investment Securities
(Cost $178,747,216) † — 107.4%		     178,747,216    
        Liabilities in excess of
other assets — (7.4%)		     (12,324,261 )  
        Net Assets — 100.0%   $ 166,422,955    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $97,162,874.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $5,075,949. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $10,151,897. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $30,455,794. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $6,103,796. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $10,659,571. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $20,303,834. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $5,075,955. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 153


  UltraPro Short S&P500®  SPXU

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $30,455,725. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $25,379,800. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $15,227,892. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $23,432,356. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short S&P500® had the following open short futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini S&P 500 Futures Contracts     905       12/18/09     $ 49,537,438     $ (105,095 )  

 

Cash collateral in the amount of $5,715,624 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraPro Short S&P500® had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index   $ (85,310,686 )   $ (8,222,107 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (300,218,525 )     (9,200,904 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (64,186,623 )     (214,537 )  
            $ (17,637,548 )  

 

See accompanying notes to the financial statements.

154 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SPXU  UltraPro Short S&P500®

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 178,747,216     $ 178,747,216    
Total Investment Securities     —       178,747,216       178,747,216    
Other Financial Instruments*:  
Futures Contracts     (105,095 )     —       (105,095 )  
Swap Agreements     —       (17,637,548 )     (17,637,548 )  
Total Other Financial Instruments     (105,095 )     (17,637,548 )     (17,742,643 )  
Total Investments   $ (105,095 )   $ 161,109,668     $ 161,004,573    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 155



  UltraShort Russell1000 Value  SJF

Principal
Amount		     Value  
    Repurchase Agreements (a) — 118.4%  
$ 403,156     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $403,158 (b)		   $ 403,156    
  806,311     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $806,315 (c)		     806,311    
  2,418,934     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $2,418,962 (d)		     2,418,934    
  484,792     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $484,794 (e)		     484,792    
  846,627     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $846,631 (f)		     846,627    
  1,612,622     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,612,656 (g)		     1,612,622    
  403,156     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $403,158 (h)		     403,156    
  2,418,934     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,418,945 (i)		     2,418,934    
  2,015,778     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,015,787 (j)		     2,015,778    
  1,209,467     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,209,472 (k)		     1,209,467    
  1,861,103     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,861,111 (l)		     1,861,103    
        Total Investment Securities
(Cost $14,480,880) † — 118.4%		     14,480,880    
        Liabilities in excess of
other assets — (18.4%)		     (2,250,932 )  
        Net Assets — 100.0%   $ 12,229,948    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $5,156,355.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $411,219. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $822,437. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $2,467,321. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $494,488. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $863,566. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,644,878. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $411,220. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

156 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SJF  UltraShort Russell1000 Value

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $2,467,316. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,056,098. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,233,660. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,898,328. 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 open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 1000® Value Index		   $ (509,172 )   $ (82,289 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Value Index     (6,600,259 )     (31,492 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Value Index     (12,341,886 )     (2,052,282 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index     (4,973,515 )     (63,195 )  
            $ (2,229,258 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 14,480,880     $ 14,480,880    
Total Investment Securities     —       14,480,880       14,480,880    
Other Financial Instruments*:  
Swap Agreements     —       (2,229,258 )     (2,229,258 )  
Total Other Financial Instruments     —       (2,229,258 )     (2,229,258 )  
Total Investments   $ —     $ 12,251,622     $ 12,251,622    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 157


  UltraShort Russell1000 Growth  SFK

Principal
Amount		     Value  
    Repurchase Agreements (a) — 128.0%  
$ 401,154     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $401,156 (b)		   $ 401,154    
  802,307     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $802,311 (c)		     802,307    
  2,406,922     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $2,406,950 (d)		     2,406,922    
  482,384     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $482,386 (e)		     482,384    
  842,423     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $842,427 (f)		     842,423    
  1,604,614     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,604,648 (g)		     1,604,614    
  401,154     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $401,156 (h)		     401,154    
  2,406,922     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,406,933 (i)		     2,406,922    
  2,005,768     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,005,777 (j)		     2,005,768    
  1,203,461     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,203,466 (k)		     1,203,461    
  1,851,862     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,851,870 (l)		     1,851,862    
        Total Investment Securities
(Cost $14,408,971) † — 128.0%		     14,408,971    
        Liabilities in excess of
other assets — (28.0%)		     (3,148,357 )  
        Net Assets — 100.0%   $ 11,260,614    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $4,767,599.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $409,177. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $818,353. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $2,455,069. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $492,032. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $859,278. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,636,710. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $409,178. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

158 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SFK  UltraShort Russell1000 Growth

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $2,455,063. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,045,888. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,227,534. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,888,902. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 1000® Growth Index		   $ (4,245,382 )   $ (629,230 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index     (1,874,172 )     (44,747 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index     (16,083,662 )     (2,376,607 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index     (279,281 )     (74,488 )  
            $ (3,125,072 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 14,408,971     $ 14,408,971    
Total Investment Securities     —       14,408,971       14,408,971    
Other Financial Instruments*:  
Swap Agreements     —       (3,125,072 )     (3,125,072 )  
Total Other Financial Instruments     —       (3,125,072 )     (3,125,072 )  
Total Investments   $ —     $ 11,283,899     $ 11,283,899    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 159


  UltraShort Russell MidCap Value  SJL

Principal
Amount		     Value  
    Repurchase Agreements (a) — 149.9%  
$ 185,870     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $185,871 (b)		   $ 185,870    
  371,740     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $371,742 (c)		     371,740    
  1,115,220     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,115,233 (d)		     1,115,220    
  223,507     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $223,508 (e)		     223,507    
  390,327     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $390,329 (f)		     390,327    
  743,480     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $743,496 (g)		     743,480    
  185,870     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $185,871 (h)		     185,870    
  1,115,220     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,115,225 (i)		     1,115,220    
  929,350     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $929,354 (j)		     929,350    
  557,610     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $557,612 (k)		     557,610    
  858,042     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $858,046 (l)		     858,042    
        Total Investment Securities
(Cost $6,676,236) † — 149.9%		     6,676,236    
        Liabilities in excess of
other assets — (49.9%)		     (2,221,954 )  
        Net Assets — 100.0%   $ 4,454,282    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,728,529.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $189,587. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $379,175. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,137,528. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $227,977. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $398,137. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $758,351. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $189,588. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

160 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SJL  UltraShort Russell MidCap Value

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,137,526. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $947,939. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $568,764. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $875,204. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Value Index		   $ (996,927 )   $ (193,321 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index     (1,147,457 )     (19,242 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index     (6,307,829 )     (1,940,606 )  
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index     (456,751 )     (51,607 )  
            $ (2,204,776 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 6,676,236     $ 6,676,236    
Total Investment Securities     —       6,676,236       6,676,236    
Other Financial Instruments*:  
Swap Agreements     —       (2,204,776 )     (2,204,776 )  
Total Other Financial Instruments     —       (2,204,776 )     (2,204,776 )  
Total Investments   $ —     $ 4,471,460     $ 4,471,460    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 161


  UltraShort Russell MidCap Growth  SDK

Principal
Amount		     Value  
    Repurchase Agreements (a) — 106.1%  
$ 197,755     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $197,756 (b)		   $ 197,755    
  395,511     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $395,513 (c)		     395,511    
  1,186,532     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,186,546 (d)		     1,186,532    
  237,799     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $237,800 (e)		     237,799    
  415,286     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $415,288 (f)		     415,286    
  791,021     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $791,038 (g)		     791,021    
  197,755     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $197,756 (h)		     197,755    
  1,186,532     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,186,537 (i)		     1,186,532    
  988,777     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $988,781 (j)		     988,777    
  593,266     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $593,268 (k)		     593,266    
  912,907     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $912,911 (l)		     912,907    
        Total Investment Securities
(Cost $7,103,141) † — 106.1%		     7,103,141    
        Liabilities in excess of
other assets — (6.1%)		     (410,394 )  
        Net Assets — 100.0%   $ 6,692,747    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,412,419.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $201,710. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $403,421. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,210,267. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $242,555. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $423,595. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $806,843. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $201,710. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

162 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SDK  UltraShort Russell MidCap Growth

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,210,264. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,008,555. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $605,133. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $931,166. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Growth Index		   $ (2,844,305 )   $ (474,380 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index     (3,292,360 )     (20,892 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index     (5,073,458 )     168,318    
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index     (2,172,791 )     (64,356 )  
            $ (391,310 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 7,103,141     $ 7,103,141    
Total Investment Securities     —       7,103,141       7,103,141    
Other Financial Instruments*:  
Swap Agreements     —       (391,310 )     (391,310 )  
Total Other Financial Instruments     —       (391,310 )     (391,310 )  
Total Investments   $ —     $ 6,711,831     $ 6,711,831    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 163


  UltraShort Russell2000 Value  SJH

Principal
Amount		     Value  
    Repurchase Agreements (a) — 128.3%  
$ 503,603     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $503,605 (b)		   $ 503,603    
  1,007,207     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,007,211 (c)		     1,007,207    
  3,021,621     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $3,021,656 (d)		     3,021,621    
  605,580     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $605,583 (e)		     605,580    
  1,057,567     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,057,572 (f)		     1,057,567    
  2,014,414     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $2,014,457 (g)		     2,014,414    
  503,603     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $503,605 (h)		     503,603    
  3,021,621     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,021,634 (i)		     3,021,621    
  2,518,017     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,518,028 (j)		     2,518,017    
  1,510,810     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,510,816 (k)		     1,510,810    
  2,324,806     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,324,816 (l)		     2,324,806    
        Total Investment Securities
(Cost $18,088,849) † — 128.3%		     18,088,849    
        Liabilities in excess of
other assets — (28.3%)		     (3,992,481 )  
        Net Assets — 100.0%   $ 14,096,368    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $7,594,778.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $513,675. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,027,351. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $3,082,064. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $617,692. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,078,726. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,054,706. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $513,676. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

164 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SJH  UltraShort Russell2000 Value

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $3,082,057. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,568,383. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,541,031. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $2,371,305. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Value Index		   $ (9,270,872 )   $ (1,844,552 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index     (6,960,341 )     (24,535 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index     (7,816,057 )     (1,967,074 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index     (4,166,927 )     (130,395 )  
            $ (3,966,556 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 18,088,849     $ 18,088,849    
Total Investment Securities     —       18,088,849       18,088,849    
Other Financial Instruments*:  
Swap Agreements     —       (3,966,556 )     (3,966,556 )  
Total Other Financial Instruments     —       (3,966,556 )     (3,966,556 )  
Total Investments   $ —     $ 14,122,293     $ 14,122,293    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 165


  UltraShort Russell2000 Growth  SKK

Principal
Amount		     Value  
    Repurchase Agreements (a) — 118.5%  
$ 466,292     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $466,294 (b)		   $ 466,292    
  932,585     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $932,589 (c)		     932,585    
  2,797,755     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $2,797,788 (d)		     2,797,755    
  560,713     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $560,715 (e)		     560,713    
  979,214     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $979,218 (f)		     979,214    
  1,865,170     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,865,210 (g)		     1,865,170    
  466,292     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $466,294 (h)		     466,292    
  2,797,755     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,797,767 (i)		     2,797,755    
  2,331,462     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,331,472 (j)		     2,331,462    
  1,398,877     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,398,883 (k)		     1,398,877    
  2,152,568     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,152,578 (l)		     2,152,568    
        Total Investment Securities
(Cost $16,748,683) † — 118.5%		     16,748,683    
        Liabilities in excess of
other assets — (18.5%)		     (2,616,948 )  
        Net Assets — 100.0%   $ 14,131,735    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $7,075,248.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $475,618. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $951,237. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $2,853,720. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $571,928. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $998,806. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,902,477. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $475,618. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

166 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SKK  UltraShort Russell2000 Growth

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $2,853,713. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,378,097. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,426,859. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $2,195,622. 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, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Growth Index		   $ (6,776,192 )   $ (1,333,829 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Growth Index     (8,892,991 )     31,301    
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Growth Index     (5,201,917 )     (1,252,629 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index     (7,404,277 )     (35,679 )  
            $ (2,590,836 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 16,748,683     $ 16,748,683    
Total Investment Securities     —       16,748,683       16,748,683    
Other Financial Instruments*:  
Swap Agreements     —       (2,590,836 )     (2,590,836 )  
Total Other Financial Instruments     —       (2,590,836 )     (2,590,836 )  
Total Investments   $ —     $ 14,157,847     $ 14,157,847    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 167



  Short Financials  SEF

Principal
Amount		     Value  
    Repurchase Agreements (a) — 114.4%  
$ 3,618,206     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,618,221 (b)		   $ 3,618,206    
  7,236,411     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,236,443 (c)		     7,236,411    
  21,709,234     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $21,709,487 (d)		     21,709,234    
  4,350,867     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,350,885 (e)		     4,350,867    
  7,598,232     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,598,266 (f)		     7,598,232    
  14,472,823     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $14,473,133 (g)		     14,472,823    
  3,618,206     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,618,221 (h)		     3,618,206    
  21,709,234     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $21,709,330 (i)		     21,709,234    
  18,091,029     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $18,091,109 (j)		     18,091,029    
  10,854,617     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $10,854,662 (k)		     10,854,617    
  16,702,883     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $16,702,957 (l)		     16,702,883    
        Total Investment Securities
(Cost $129,961,742) † — 114.4%		     129,961,742    
        Liabilities in excess of
other assets — (14.4%)		     (16,361,121 )  
        Net Assets — 100.0%   $ 113,600,621    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $31,821,188.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $3,690,571. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $7,381,139. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $22,143,495. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $4,437,887. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $7,750,255. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $14,762,309. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $3,690,575. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

168 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SEF  Short Financials

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $22,143,445. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $18,452,892. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $11,071,743. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $17,036,964. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

Short Financials had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Dow Jones U.S. FinancialsSM Index		   $ (16,129,487 )   $ (396,277 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     (11,732,499 )     (523,437 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the
Dow Jones U.S. FinancialsSM Index		     (17,172,851 )     (833,611 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     (53,704,330 )     (19,439,176 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     (14,830,424 )     (370,178 )  
            $ (21,562,679 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 129,961,742     $ 129,961,742    
Total Investment Securities     —       129,961,742       129,961,742    
Other Financial Instruments*:  
Swap Agreements     —       (21,562,679 )     (21,562,679 )  
Total Other Financial Instruments     —       (21,562,679 )     (21,562,679 )  
Total Investments   $ —     $ 108,399,063     $ 108,399,063    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 169


  Short Oil & Gas  DDG

Principal
Amount		     Value  
    Repurchase Agreements (a) — 99.7%  
$ 428,675     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $428,677 (b)		   $ 428,675    
  857,349     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $857,353 (c)		     857,349    
  2,572,048     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $2,572,078 (d)		     2,572,048    
  515,478     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $515,480 (e)		     515,478    
  900,217     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $900,221 (f)		     900,217    
  1,714,699     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,714,736 (g)		     1,714,699    
  428,675     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $428,677 (h)		     428,675    
  2,572,048     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,572,059 (i)		     2,572,048    
  2,143,374     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,143,384 (j)		     2,143,374    
  1,286,024     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,286,029 (k)		     1,286,024    
  1,978,911     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,978,920 (l)		     1,978,911    
        Total Investment Securities
(Cost $15,397,498) † — 99.7%		     15,397,498    
        Other assets less liabilities — 0.3%     38,835    
        Net Assets — 100.0%   $ 15,436,333    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $3,119,994.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $437,249. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $874,496. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $2,623,498. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $525,788. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $918,228. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,748,996. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $437,249. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to

See accompanying notes to the financial statements.

170 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DDG  Short Oil & Gas

03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $2,623,492. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,186,246. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,311,749. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $2,018,492. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

Short Oil & Gas had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Oil & GasSM Index		   $ (5,592,709 )   $ 4,896    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     (1,432,793 )     (378,142 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     (3,613,900 )     (79,597 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     (2,490,044 )     (517,406 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     (2,376,252 )     332    
            $ (969,917 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 15,397,498     $ 15,397,498    
Total Investment Securities     —       15,397,498       15,397,498    
Other Financial Instruments*:  
Swap Agreements     —       (969,917 )     (969,917 )  
Total Other Financial Instruments     —       (969,917 )     (969,917 )  
Total Investments   $ —     $ 14,427,581     $ 14,427,581    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 171


  UltraShort Basic Materials  SMN

Principal
Amount		     Value  
    Repurchase Agreements (a) — 161.0%  
$ 4,551,525     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,551,544 (b)		   $ 4,551,525    
  9,103,050     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,103,090 (c)		     9,103,050    
  27,309,149     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $27,309,468 (d)		     27,309,149    
  5,473,176     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,473,199 (e)		     5,473,176    
  9,558,202     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $9,558,244 (f)		     9,558,202    
  18,206,099     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $18,206,488 (g)		     18,206,099    
  4,551,525     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,551,544 (h)		     4,551,525    
  27,309,149     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $27,309,270 (i)		     27,309,149    
  22,757,624     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $22,757,725 (j)		     22,757,624    
  13,654,574     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $13,654,631 (k)		     13,654,574    
  21,011,405     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $21,011,498 (l)		     21,011,405    
        Total Investment Securities
(Cost $163,485,478) † — 161.0%		     163,485,478    
        Liabilities in excess of
other assets — (61.0%)		     (61,951,308 )  
        Net Assets — 100.0%   $ 101,534,170    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $88,259,703, including $5,980,921 related to Lehman. See Note 14 to the Financial Statements.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $4,642,556. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $9,285,111. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $27,855,428. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $5,582,643. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $9,749,439. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $18,570,258. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $4,642,561. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

172 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SMN  UltraShort Basic Materials

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $27,855,365. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $23,212,829. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $13,927,708. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $21,431,663. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Basic MaterialsSM Index		   $ (45,387,016 )   $ (20,814,227 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Basic MaterialsSM Index     (35,292,460 )     (1,232,710 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index     (76,808,793 )     (29,498,593 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Basic MaterialsSM Index     (45,624,679 )     (4,330,281 )  
            $ (55,875,811 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 163,485,478     $ 163,485,478    
Total Investment Securities     —       163,485,478       163,485,478    
Other Financial Instruments*:  
Swap Agreements     —       (55,875,811 )     (55,875,811 )  
Total Other Financial Instruments     —       (55,875,811 )     (55,875,811 )  
Total Investments   $ —     $ 107,609,667     $ 107,609,667    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 173


  UltraShort Consumer Goods  SZK

Principal
Amount		     Value  
    Repurchase Agreements (a) — 150.8%  
$ 823,852     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $823,855 (b)		   $ 823,852    
  1,647,704     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,647,711 (c)		     1,647,704    
  4,943,113     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $4,943,171 (d)		     4,943,113    
  990,676     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $990,680 (e)		     990,676    
  1,730,090     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,730,098 (f)		     1,730,090    
  3,295,409     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,295,479 (g)		     3,295,409    
  823,852     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $823,855 (h)		     823,852    
  4,943,113     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,943,135 (i)		     4,943,113    
  4,119,261     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,119,279 (j)		     4,119,261    
  2,471,557     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,471,567 (k)		     2,471,557    
  3,803,188     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,803,205 (l)		     3,803,188    
        Total Investment Securities
(Cost $29,591,815) † — 150.8%		     29,591,815    
        Liabilities in excess of
other assets — (50.8%)		     (9,963,395 )  
        Net Assets — 100.0%   $ 19,628,420    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $13,401,526.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $840,329. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,680,658. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $5,041,993. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,010,490. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,764,705. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $3,361,324. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $840,330. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

174 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SZK  UltraShort Consumer Goods

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $5,041,981. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $4,201,656. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,520,996. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,879,257. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Consumer GoodsSM Index		   $ (22,217,083 )   $ (6,643,234 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Consumer GoodsSM Index     (2,858,417 )     (129,523 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Consumer GoodsSM Index     (11,713,540 )     (2,974,653 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer GoodsSM Index     (2,431,743 )     (88,476 )  
            $ (9,835,886 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 29,591,815     $ 29,591,815    
Total Investment Securities     —       29,591,815       29,591,815    
Other Financial Instruments*:  
Swap Agreements     —       (9,835,886 )     (9,835,886 )  
Total Other Financial Instruments     —       (9,835,886 )     (9,835,886 )  
Total Investments   $ —     $ 19,755,929     $ 19,755,929    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 175


  UltraShort Consumer Services  SCC

Principal
Amount		     Value  
    Repurchase Agreements (a) — 143.9%  
$ 1,709,360     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,709,367 (b)		   $ 1,709,360    
  3,418,721     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,418,736 (c)		     3,418,721    
  10,256,163     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $10,256,283 (d)		     10,256,163    
  2,055,494     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,055,503 (e)		     2,055,494    
  3,589,657     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,589,673 (f)		     3,589,657    
  6,837,442     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $6,837,588 (g)		     6,837,442    
  1,709,360     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,709,367 (h)		     1,709,360    
  10,256,163     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $10,256,209 (i)		     10,256,163    
  8,546,802     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,546,840 (j)		     8,546,802    
  5,128,081     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,128,102 (k)		     5,128,081    
  7,890,998     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,891,033 (l)		     7,890,998    
        Total Investment Securities
(Cost $61,398,241) † — 143.9%		     61,398,241    
        Liabilities in excess of
other assets — (43.9%)		     (18,729,817 )  
        Net Assets — 100.0%   $ 42,668,424    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $25,789,137.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,743,547. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,487,095. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $10,461,322. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $2,096,605. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,661,478. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,974,205. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,743,549. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

176 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SCC  UltraShort Consumer Services

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $10,461,299. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,717,758. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $5,230,659. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $8,048,829. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Consumer ServicesSM Index		   $ (2,961,085 )   $ (57,155 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Consumer
ServicesSM Index		     (11,308,479 )     (386,192 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Consumer
ServicesSM Index		     (66,666,351 )     (17,518,008 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer ServicesSM Index     (4,203,471 )     (137,641 )  
            $ (18,098,996 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 61,398,241     $ 61,398,241    
Total Investment Securities     —       61,398,241       61,398,241    
Other Financial Instruments*:  
Swap Agreements     —       (18,098,996 )     (18,098,996 )  
Total Other Financial Instruments     —       (18,098,996 )     (18,098,996 )  
Total Investments   $ —     $ 43,299,245     $ 43,299,245    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 177


  UltraShort Financials  SKF

Principal
Amount		     Value  
    Repurchase Agreements (a) — 102.5%  
$ 25,778,965     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $25,779,072 (b)		   $ 25,778,965    
  51,557,930     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $51,558,159 (c)		     51,557,930    
  154,673,789     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $154,675,594 (d)		     154,673,789    
  30,999,022     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $30,999,151 (e)		     30,999,022    
  54,135,826     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $54,136,067 (f)		     54,135,826    
  103,115,859     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $103,118,065 (g)		     103,115,859    
  25,778,965     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $25,779,072 (h)		     25,778,965    
  154,673,789     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $154,674,476 (i)		     154,673,789    
  128,894,824     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $128,895,397 (j)		     128,894,824    
  77,336,894     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $77,337,216 (k)		     77,336,894    
  119,004,573     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $119,005,102 (l)		     119,004,573    
        Total Investment Securities
(Cost $925,950,436) † — 102.5%		     925,950,436    
        Liabilities in excess of
other assets — (2.5%)		     (22,684,105 )  
        Net Assets — 100.0%   $ 903,266,331    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $260,042,534.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $26,294,548. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $52,589,089. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $157,767,809. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $31,619,023. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $55,218,956. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $105,178,387. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $26,294,578. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

178 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SKF  UltraShort Financials

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $157,767,450. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $131,473,020. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $78,883,874. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $121,384,833. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. FinancialsSM Index		   $ (214,203,631 )   $ (5,340,286 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     (234,340,811 )     (9,211,980 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. FinancialsSM Index		     (99,529,867 )     (7,749,755 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     (991,446,361 )     (44,577,831 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     (264,713,664 )     (9,799,989 )  
            $ (76,679,841 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 925,950,436     $ 925,950,436    
Total Investment Securities     —       925,950,436       925,950,436    
Other Financial Instruments*:  
Swap Agreements     —       (76,679,841 )     (76,679,841 )  
Total Other Financial Instruments     —       (76,679,841 )     (76,679,841 )  
Total Investments   $ —     $ 849,270,595     $ 849,270,595    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 179


  UltraShort Health Care  RXD

Principal
Amount		     Value  
    Repurchase Agreements (a) — 140.0%  
$ 213,987     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $213,988 (b)		   $ 213,987    
  427,974     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $427,976 (c)		     427,974    
  1,283,921     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,283,936 (d)		     1,283,921    
  257,318     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $257,319 (e)		     257,318    
  449,372     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $449,374 (f)		     449,372    
  855,947     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $855,965 (g)		     855,947    
  213,987     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $213,988 (h)		     213,987    
  1,283,921     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,283,927 (i)		     1,283,921    
  1,069,934     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,069,939 (j)		     1,069,934    
  641,960     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $641,963 (k)		     641,960    
  987,836     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $987,840 (l)		     987,836    
        Total Investment Securities
(Cost $7,686,157) † — 140.0%		     7,686,157    
        Liabilities in excess of
other assets — (40.0%)		     (2,195,367 )  
        Net Assets — 100.0%   $ 5,490,790    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $3,811,298.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $218,267. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $436,533. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,309,604. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $262,465. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $458,363. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $873,068. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $218,267. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

180 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  RXD  UltraShort Health Care

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,309,601. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,091,335. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $654,801. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,007,594. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Health CareSM Index		   $ (8,912,540 )   $ (2,019,301 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Health CareSM Index     (908,694 )     (57,920 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Health CareSM Index     (947,753 )     (56,247 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Health CareSM Index     (165,345 )     (45,822 )  
            $ (2,179,290 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 7,686,157     $ 7,686,157    
Total Investment Securities     —       7,686,157       7,686,157    
Other Financial Instruments*:  
Swap Agreements     —       (2,179,290 )     (2,179,290 )  
Total Other Financial Instruments     —       (2,179,290 )     (2,179,290 )  
Total Investments   $ —     $ 5,506,867     $ 5,506,867    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 181


  UltraShort Industrials  SIJ

Principal
Amount		     Value  
    Repurchase Agreements (a) — 137.2%  
$ 809,070     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $809,073 (b)		   $ 809,070    
  1,618,141     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,618,148 (c)		     1,618,141    
  4,854,422     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $4,854,479 (d)		     4,854,422    
  972,901     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $972,905 (e)		     972,901    
  1,699,048     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,699,056 (f)		     1,699,048    
  3,236,281     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,236,350 (g)		     3,236,281    
  809,070     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $809,073 (h)		     809,070    
  4,854,422     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,854,444 (i)		     4,854,422    
  4,045,351     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,045,369 (j)		     4,045,351    
  2,427,211     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,427,221 (k)		     2,427,211    
  3,734,947     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,734,964 (l)		     3,734,947    
        Total Investment Securities
(Cost $29,060,864) † — 137.2%		     29,060,864    
        Liabilities in excess of
other assets — (37.2%)		     (7,875,636 )  
        Net Assets — 100.0%   $ 21,185,228    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $12,628,580, including $967,204 related to Lehman. See Note 14 to the Financial Statements.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $825,252. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,650,504. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $4,951,528. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $992,360. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,733,042. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $3,301,013. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $825,252. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

182 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SIJ  UltraShort Industrials

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $4,951,516. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $4,126,267. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,475,763. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,809,651. 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, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swaps Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. IndustrialsSM Index		   $ (8,751,324 )   $ 19,713    
Equity Index Swaps Agreement with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index     (6,557,534 )     (18,212 )  
Equity Index Swaps Agreement with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index     (21,575,883 )     (6,903,581 )  
Equity Index Swaps Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index     (5,356,978 )     26,535    
            $ (6,875,545 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 29,060,864     $ 29,060,864    
Total Investment Securities     —       29,060,864       29,060,864    
Other Financial Instruments*:  
Swap Agreements     —       (6,875,545 )     (6,875,545 )  
Total Other Financial Instruments     —       (6,875,545 )     (6,875,545 )  
Total Investments   $ —     $ 22,185,319     $ 22,185,319    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 183


  UltraShort Oil & Gas  DUG

Principal
Amount		     Value  
    Repurchase Agreements (a) — 124.6%  
$ 9,255,415     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,255,454 (b)		   $ 9,255,415    
  18,510,830     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $18,510,912 (c)		     18,510,830    
  55,532,489     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $55,533,137 (d)		     55,532,489    
  11,129,571     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $11,129,617 (e)		     11,129,571    
  19,436,371     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $19,436,457 (f)		     19,436,371    
  37,021,660     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $37,022,452 (g)		     37,021,660    
  9,255,415     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,255,454 (h)		     9,255,415    
  55,532,489     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $55,532,736 (i)		     55,532,489    
  46,277,075     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $46,277,281 (j)		     46,277,075    
  27,766,245     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $27,766,361 (k)		     27,766,245    
  42,726,179     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $42,726,369 (l)		     42,726,179    
        Total Investment Securities
(Cost $332,443,739) † — 124.6%		     332,443,739    
        Liabilities in excess of
other assets — (24.6%)		     (65,573,825 )  
        Net Assets — 100.0%   $ 266,869,914    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $147,167,178.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $9,440,525. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $18,881,047. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $56,643,334. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $11,352,170. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $19,825,247. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $37,762,169. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $9,440,535. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

184 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  DUG  UltraShort Oil & Gas

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $56,643,205. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $47,202,724. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $28,321,657. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $43,580,763. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Oil & GasSM Index		   $ (102,802,813 )   $ (802,591 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     (112,156,401 )     (29,600,295 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     (66,043,389 )     (3,832,360 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     (211,653,729 )     (43,979,477 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     (41,088,024 )     (338,639 )  
            $ (78,553,362 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 332,443,739     $ 332,443,739    
Total Investment Securities     —       332,443,739       332,443,739    
Other Financial Instruments*:  
Swap Agreements     —       (78,553,362 )     (78,553,362 )  
Total Other Financial Instruments     —       (78,553,362 )     (78,553,362 )  
Total Investments   $ —     $ 253,890,377     $ 253,890,377    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 185


  UltraShort Real Estate  SRS

Principal
Amount		     Value  
    Repurchase Agreements (a) — 109.8%  
$ 26,169,922     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $26,170,031 (b)		   $ 26,169,922    
  52,339,844     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $52,340,077 (c)		     52,339,844    
  157,019,531     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $157,021,363 (d)		     157,019,531    
  31,469,145     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $31,469,276 (e)		     31,469,145    
  54,956,836     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $54,957,080 (f)		     54,956,836    
  104,679,687     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $104,681,926 (g)		     104,679,687    
  26,169,922     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $26,170,031 (h)		     26,169,922    
  157,019,531     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $157,020,229 (i)		     157,019,531    
  130,849,609     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $130,850,191 (j)		     130,849,609    
  78,509,765     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $78,510,092 (k)		     78,509,765    
  120,809,364     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $120,809,901 (l)		     120,809,364    
        Total Investment Securities
(Cost $939,993,156) † — 109.8%		     939,993,156    
        Liabilities in excess of
other assets — (9.8%)		     (83,666,916 )  
        Net Assets — 100.0%   $ 856,326,240    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $306,459,502.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $26,693,324. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $53,386,641. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $160,160,474. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $32,098,549. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $56,056,392. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $106,773,495. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $26,693,355. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

186 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SRS  UltraShort Real Estate

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $160,160,109. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $133,466,905. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $80,080,206. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $123,225,722. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Real EstateSM Index		   $ (220,424,236 )   $ (8,855,708 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index     (57,105,797 )     (20,371,785 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Real EstateSM Index		     (167,898,839 )     (18,718,271 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index     (1,059,876,808 )     (59,050,784 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Real EstateSM Index     (199,094,134 )     (23,506,949 )  
            $ (130,503,497 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 939,993,156     $ 939,993,156    
Total Investment Securities     —       939,993,156       939,993,156    
Other Financial Instruments*:  
Swap Agreements     —       (130,503,497 )     (130,503,497 )  
Total Other Financial Instruments     —       (130,503,497 )     (130,503,497 )  
Total Investments   $ —     $ 809,489,659     $ 809,489,659    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 187


  UltraShort Semiconductors  SSG

Principal
Amount		     Value  
    Repurchase Agreements (a) — 132.6%  
$ 1,281,884     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,281,889 (b)		   $ 1,281,884    
  2,563,768     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,563,779 (c)		     2,563,768    
  7,691,305     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $7,691,395 (d)		     7,691,305    
  1,541,457     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,541,463 (e)		     1,541,457    
  2,691,957     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,691,969 (f)		     2,691,957    
  5,127,537     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $5,127,647 (g)		     5,127,537    
  1,281,884     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,281,889 (h)		     1,281,884    
  7,691,305     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,691,339 (i)		     7,691,305    
  6,409,421     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,409,449 (j)		     6,409,421    
  3,845,653     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $3,845,669 (k)		     3,845,653    
  5,917,620     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,917,646 (l)		     5,917,620    
        Total Investment Securities
(Cost $46,043,791) † — 132.6%		     46,043,791    
        Liabilities in excess of
other assets — (32.6%)		     (11,312,724 )  
        Net Assets — 100.0%   $ 34,731,067    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $21,308,304.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,307,522. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,615,043. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $7,845,158. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,572,287. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,745,817. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,230,098. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,307,523. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

188 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SSG  UltraShort Semiconductors

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $7,845,140. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $6,537,624. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $3,922,578. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $6,035,981. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. SemiconductorsSM Index		   $ (15,105,312 )   $ (4,517,653 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. SemiconductorsSM Index     (16,829,096 )     (707,649 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. SemiconductorsSM Index     (19,795,715 )     (5,027,375 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. SemiconductorsSM Index     (17,667,519 )     (955,583 )  
            $ (11,208,260 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 46,043,791     $ 46,043,791    
Total Investment Securities     —       46,043,791       46,043,791    
Other Financial Instruments*:  
Swap Agreements     —       (11,208,260 )     (11,208,260 )  
Total Other Financial Instruments     —       (11,208,260 )     (11,208,260 )  
Total Investments   $ —     $ 34,835,531     $ 34,835,531    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 189


  UltraShort Technology  REW

Principal
Amount		     Value  
    Repurchase Agreements (a) — 141.3%  
$ 980,412     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $980,416 (b)		   $ 980,412    
  1,960,825     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,960,834 (c)		     1,960,825    
  5,882,474     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $5,882,543 (d)		     5,882,474    
  1,178,939     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,178,944 (e)		     1,178,939    
  2,058,866     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,058,875 (f)		     2,058,866    
  3,921,649     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,921,733 (g)		     3,921,649    
  980,412     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $980,416 (h)		     980,412    
  5,882,474     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,882,500 (i)		     5,882,474    
  4,902,062     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,902,084 (j)		     4,902,062    
  2,941,237     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,941,249 (k)		     2,941,237    
  4,525,920     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,525,940 (l)		     4,525,920    
        Total Investment Securities
(Cost $35,215,270) † — 141.3%		     35,215,270    
        Liabilities in excess of
other assets — (41.3%)		     (10,289,808 )  
        Net Assets — 100.0%   $ 24,925,462    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $15,427,592, including $1,165,367 related to Lehman. See Note 14 to the Financial Statements.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,000,020. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,000,042. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $6,000,144. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,202,519. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,100,059. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $4,000,090. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,000,022. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

190 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  REW  UltraShort Technology

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $6,000,131. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $5,000,115. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $3,000,071. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $4,616,445. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. TechnologySM Index		   $ (7,672,459 )   $ 18,293    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. TechnologySM Index     (7,512,910 )     (106,474 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. TechnologySM Index     (28,892,874 )     (9,029,451 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. TechnologySM Index     (5,753,970 )     24,695    
            $ (9,092,937 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 35,215,270     $ 35,215,270    
Total Investment Securities     —       35,215,270       35,215,270    
Other Financial Instruments*:  
Swap Agreements     —       (9,092,938 )     (9,092,938 )  
Total Other Financial Instruments     —       (9,092,938 )     (9,092,938 )  
Total Investments   $ —     $ 26,122,332     $ 26,122,332    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 191


  UltraShort Telecommunications  TLL

Principal
Amount		     Value  
    Repurchase Agreements (a) — 108.7%  
$ 39,373     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $39,373 (b)		   $ 39,373    
  78,746     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $78,746 (c)		     78,746    
  236,239     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $236,242 (d)		     236,239    
  47,346     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $47,346 (e)		     47,346    
  82,683     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $82,683 (f)		     82,683    
  157,492     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $157,495 (g)		     157,492    
  39,373     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $39,373 (h)		     39,373    
  236,239     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $236,240 (i)		     236,239    
  196,865     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $196,866 (j)		     196,865    
  118,119     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $118,119 (k)		     118,119    
  181,761     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $181,762 (l)		     181,761    
        Total Investment Securities
(Cost $1,414,236) † — 108.7%		     1,414,236    
        Liabilities in excess of
other assets — (8.7%)		     (113,467 )  
        Net Assets — 100.0%   $ 1,300,769    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $578,845.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $40,160. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $80,321. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $240,965. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $48,293. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $84,337. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $160,642. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $40,161. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

192 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  TLL  UltraShort Telecommunications

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $240,964. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $200,803. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $120,482. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $185,396. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Telecommunications had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. Select TelecommunicationsSM Index		   $ (443,050 )   $ (13,673 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     (599,474 )     (33,558 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     (976,819 )     8,307    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Select TelecommunicationsSM Index     (578,746 )     (36,421 )  
            $ (75,345 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 1,414,236     $ 1,414,236    
Total Investment Securities     —       1,414,236       1,414,236    
Other Financial Instruments*:  
Swap Agreements     —       (75,345 )     (75,345 )  
Total Other Financial Instruments     —       (75,345 )     (75,345 )  
Total Investments   $ —     $ 1,338,891     $ 1,338,891    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 193


  UltraShort Utilities  SDP

Principal
Amount		     Value  
    Repurchase Agreements (a) — 132.2%  
$ 321,443     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $321,444 (b)		   $ 321,443    
  642,885     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $642,888 (c)		     642,885    
  1,928,655     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,928,678 (d)		     1,928,655    
  386,532     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $386,534 (e)		     386,532    
  675,029     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $675,032 (f)		     675,029    
  1,285,770     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,285,798 (g)		     1,285,770    
  321,443     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $321,444 (h)		     321,443    
  1,928,655     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,928,664 (i)		     1,928,655    
  1,607,213     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,607,220 (j)		     1,607,213    
  964,328     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $964,332 (k)		     964,328    
  1,483,888     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,483,895 (l)		     1,483,888    
        Total Investment Securities
(Cost $11,545,841) † — 132.2%		     11,545,841    
        Liabilities in excess of
other assets — (32.2%)		     (2,810,253 )  
        Net Assets — 100.0%   $ 8,735,588    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $4,198,392, including $383,768 related to Lehman. See Note 14 to the Financial Statements.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $327,872. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $655,743. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,967,235. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $394,263. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $688,535. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,311,488. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $327,872. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

194 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SDP  UltraShort Utilities

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,967,230. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,639,361. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $983,618. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,513,568. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. UtilitiesSM Index		   $ (3,811,360 )   $ (303,298 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. UtilitiesSM Index     (1,070,787 )     (70,753 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. UtilitiesSM Index     (11,614,527 )     (1,984,795 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. UtilitiesSM Index     (939,248 )     (47,515 )  
            $ (2,406,361 )  

 

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 11,545,841     $ 11,545,841    
Total Investment Securities     —       11,545,841       11,545,841    
Other Financial Instruments*:  
Swap Agreements     —       (2,406,361 )     (2,406,361 )  
Total Other Financial Instruments     —       (2,406,361 )     (2,406,361 )  
Total Investments   $ —     $ 9,139,480     $ 9,139,480    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 195



  Short MSCI EAFE  EFZ

Principal
Amount		     Value  
    Repurchase Agreements (a) — 101.2%  
$ 1,497,035     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,497,041 (b)		   $ 1,497,035    
  2,994,071     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,994,084 (c)		     2,994,071    
  8,982,212     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $8,982,317 (d)		     8,982,212    
  1,800,174     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,800,182 (e)		     1,800,174    
  3,143,774     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,143,788 (f)		     3,143,774    
  5,988,142     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $5,988,270 (g)		     5,988,142    
  1,497,035     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,497,041 (h)		     1,497,035    
  8,982,212     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,982,252 (i)		     8,982,212    
  7,485,177     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $7,485,210 (j)		     7,485,177    
  4,491,106     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,491,125 (k)		     4,491,106    
  6,910,832     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $6,910,863 (l)		     6,910,832    
        Total Investment Securities
(Cost $53,771,770) † — 101.2%		     53,771,770    
        Liabilities in excess of
other assets — (1.2%)		     (642,900 )  
        Net Assets — 100.0%   $ 53,128,870    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $8,382,105.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,526,976. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,053,952. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $9,161,888. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,836,179. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,206,673. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,107,917. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,526,978. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

196 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EFZ  Short MSCI EAFE

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $9,161,867. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $7,634,898. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,580,942. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,049,058. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI EAFE Index®   $ (17,645,912 )   $ (140,802 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     (20,882,714 )     (334,811 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     (14,590,214 )     (94,719 )  
            $ (570,332 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 53,771,770     $ 53,771,770    
Total Investment Securities     —       53,771,770       53,771,770    
Other Financial Instruments*:  
Swap Agreements     —       (570,332 )     (570,332 )  
Total Other Financial Instruments     —       (570,332 )     (570,332 )  
Total Investments   $ —     $ 53,201,438     $ 53,201,438    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 197


  Short MSCI Emerging Markets  EUM

Principal
Amount		     Value  
    Repurchase Agreements (a) — 108.4%  
$ 6,912,862     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $6,912,891 (b)		   $ 6,912,862    
  13,825,724     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $13,825,785 (c)		     13,825,724    
  41,477,171     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $41,477,655 (d)		     41,477,171    
  8,312,667     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $8,312,702 (e)		     8,312,667    
  14,517,010     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $14,517,075 (f)		     14,517,010    
  27,651,447     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $27,652,038 (g)		     27,651,447    
  6,912,862     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $6,912,891 (h)		     6,912,862    
  41,477,171     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $41,477,355 (i)		     41,477,171    
  34,564,309     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $34,564,463 (j)		     34,564,309    
  20,738,585     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $20,738,671 (k)		     20,738,585    
  31,912,148     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $31,912,290 (l)		     31,912,148    
        Total Investment Securities
(Cost $248,301,956) † — 108.4%		     248,301,956    
        Liabilities in excess of
other assets — (8.4%)		     (19,185,400 )  
        Net Assets — 100.0%   $ 229,116,556    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $53,923,815.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $7,051,120. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $14,102,238. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $42,306,860. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $8,478,926. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $14,807,461. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $28,204,532. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $7,051,128. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

198 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EUM  Short MSCI Emerging Markets

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $42,306,764. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $35,255,675. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $21,153,422. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $32,550,436. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Emerging
Markets Index®		   $ (73,629,489 )   $ (2,157,093 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     (43,114,849 )     (2,078,596 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI Emerging Markets index®     (26,623,003 )     (1,284,145 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     (39,896,013 )     (15,395,837 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     (45,377,026 )     (5,429,559 )  
            $ (26,345,230 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 248,301,956     $ 248,301,956    
Total Investment Securities     —       248,301,956       248,301,956    
Other Financial Instruments*:  
Swap Agreements     —       (26,345,230 )     (26,345,230 )  
Total Other Financial Instruments     —       (26,345,230 )     (26,345,230 )  
Total Investments   $ —     $ 221,956,726     $ 221,956,726    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 199


  UltraShort MSCI EAFE  EFU

Principal
Amount		     Value  
    Repurchase Agreements (a) — 114.3%  
$ 847,781     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $847,785 (b)		   $ 847,781    
  1,695,563     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,695,571 (c)		     1,695,563    
  5,086,688     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $5,086,747 (d)		     5,086,688    
  1,019,451     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,019,455 (e)		     1,019,451    
  1,780,341     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,780,349 (f)		     1,780,341    
  3,391,126     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $3,391,199 (g)		     3,391,126    
  847,781     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $847,785 (h)		     847,781    
  5,086,688     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $5,086,711 (i)		     5,086,688    
  4,238,907     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $4,238,926 (j)		     4,238,907    
  2,543,344     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $2,543,355 (k)		     2,543,344    
  3,913,652     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,913,669 (l)		     3,913,652    
        Total Investment Securities
(Cost $30,451,322) † — 114.3%		     30,451,322    
        Liabilities in excess of
other assets — (14.3%)		     (3,815,491 )  
        Net Assets — 100.0%   $ 26,635,831    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $8,359,361.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $864,737. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,729,474. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $5,188,440. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,039,841. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,815,961. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $3,458,955. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $864,738. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

200 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EFU  UltraShort MSCI EAFE

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $5,188,428. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $4,323,695. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,594,219. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,991,931. 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, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI EAFE Index®   $ (13,470,580 )   $ (105,464 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     (10,206,288 )     (450,356 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     (25,860,610 )     (214,499 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI EAFE Index®     (3,648,860 )     (19,115 )  
            $ (789,434 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 30,451,322     $ 30,451,322    
Total Investment Securities     —       30,451,322       30,451,322    
Other Financial Instruments*:  
Swap Agreements     —       (789,434 )     (789,434 )  
Total Other Financial Instruments     —       (789,434 )     (789,434 )  
Total Investments   $ —     $ 29,661,888     $ 29,661,888    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 201


  UltraShort MSCI Emerging Markets  EEV

Principal
Amount		     Value  
    Repurchase Agreements (a) — 91.1%  
$ 5,232,946     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,232,968 (b)		   $ 5,232,946    
  10,465,891     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $10,465,938 (c)		     10,465,891    
  31,397,673     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $31,398,039 (d)		     31,397,673    
  6,292,580     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $6,292,606 (e)		     6,292,580    
  10,989,186     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $10,989,235 (f)		     10,989,186    
  20,931,782     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $20,932,230 (g)		     20,931,782    
  5,232,946     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $5,232,968 (h)		     5,232,946    
  31,397,673     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $31,397,813 (i)		     31,397,673    
  26,164,728     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $26,164,844 (j)		     26,164,728    
  15,698,837     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $15,698,902 (k)		     15,698,837    
  24,157,077     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $24,157,184 (l)		     24,157,077    
        Total Investment Securities
(Cost $187,961,319) † — 91.1%		     187,961,319    
        Other assets less liabilities — 8.9%     18,424,970    
        Net Assets — 100.0%   $ 206,386,289    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $146,563,302.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $5,337,606. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $10,675,209. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $32,025,737. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $6,418,436. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $11,209,054. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $21,350,460. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $5,337,612. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

202 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EEV  UltraShort MSCI Emerging Markets

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $32,025,664. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $26,688,083. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $16,012,863. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $24,640,253. 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 agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI
Emerging Markets Index®		   $ (43,596,192 )   $ (1,702,667 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     (65,975,280 )     (2,996,189 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI Emerging Markets Index®     (72,880,492 )     (5,420,158 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     (195,063,335 )     4,206,045    
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     (33,962,626 )     (4,062,581 )  
            $ (9,975,550 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 187,961,319     $ 187,961,319    
Total Investment Securities     —       187,961,319       187,961,319    
Other Financial Instruments*:  
Swap Agreements     —       (9,975,550 )     (9,975,550 )  
Total Other Financial Instruments     —       (9,975,550 )     (9,975,550 )  
Total Investments   $ —     $ 177,985,769     $ 177,985,769    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 203


  UltraShort MSCI Europe  EPV

Principal
Amount		     Value  
    Repurchase Agreements (a) — 99.4%  
$ 123,851     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $123,852 (b)		   $ 123,851    
  247,703     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $247,704 (c)		     247,703    
  743,108     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $743,117 (d)		     743,108    
  148,930     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $148,931 (e)		     148,930    
  260,088     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $260,089 (f)		     260,088    
  495,406     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $495,417 (g)		     495,406    
  123,851     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $123,852 (h)		     123,851    
  743,108     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $743,111 (i)		     743,108    
  619,257     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $619,260 (j)		     619,257    
  371,554     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $371,556 (k)		     371,554    
  571,742     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $571,745 (l)		     571,742    
        Total Investment Securities
(Cost $4,448,598) † — 99.4%		     4,448,598    
        Other assets less liabilities — 0.6%     27,266    
        Net Assets — 100.0%   $ 4,475,864    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,046,227.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $126,328. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $252,657. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $757,973. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $151,909. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $265,292. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $505,315. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $126,328. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

204 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EPV  UltraShort MSCI Europe

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $757,971. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $631,644. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $378,986. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $583,178. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Europe had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Europe Index®   $ (5,009,827 )   $ 104,903    
Equity Index Swap Agreement with UBS AG, based on the MSCI Europe Index®     (3,895,902 )     (62,445 )  
        $ 42,458    

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 4,448,598     $ 4,448,598    
Total Investment Securities     —       4,448,598       4,448,598    
Other Financial Instruments*:  
Swap Agreements     —       42,458       42,458    
Total Other Financial Instruments     —       42,458       42,458    
Total Investments   $ —     $ 4,491,056     $ 4,491,056    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 205


  UltraShort MSCI Pacific ex-Japan  JPX

Principal
Amount		     Value  
    Repurchase Agreements (a) — 148.6%  
$ 81,376     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $81,376 (b)		   $ 81,376    
  162,752     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $162,753 (c)		     162,752    
  488,256     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $488,262 (d)		     488,256    
  97,854     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $97,854 (e)		     97,854    
  170,889     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $170,890 (f)		     170,889    
  325,504     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $325,511 (g)		     325,504    
  81,376     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $81,376 (h)		     81,376    
  488,256     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $488,258 (i)		     488,256    
  406,880     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $406,882 (j)		     406,880    
  244,128     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $244,129 (k)		     244,128    
  375,657     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $375,659 (l)		     375,657    
        Total Investment Securities
(Cost $2,922,928) † — 148.6%		     2,922,928    
        Liabilities in excess of
other assets — (48.6%)		     (955,915 )  
        Net Assets — 100.0%   $ 1,967,013    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $1,455,594.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $83,004. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $166,007. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $498,023. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $99,811. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $174,308. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $332,015. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $83,004. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

206 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  JPX  UltraShort MSCI Pacific ex-Japan

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $498,022. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $415,019. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $249,011. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $383,171. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Pacific ex-Japan had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Pacific ex-Japan Index®		   $ (2,976,069 )   $ (881,230 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Pacific ex-Japan Index®     (954,518 )     (61,606 )  
        $ (942,836 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 2,922,928     $ 2,922,928    
Total Investment Securities     —       2,922,928       2,922,928    
Other Financial Instruments*:  
Swap Agreements     —       (942,836 )     (942,836 )  
Total Other Financial Instruments     —       (942,836 )     (942,836 )  
Total Investments   $ —     $ 1,980,092     $ 1,980,092    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 207


  UltraShort MSCI Brazil  BZQ

Principal
Amount		     Value  
    Repurchase Agreements (a) — 90.8%  
$ 330,979     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $330,980 (b)		   $ 330,979    
  661,958     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $661,961 (c)		     661,958    
  1,985,875     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,985,898 (d)		     1,985,875    
  398,000     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $398,002 (e)		     398,000    
  695,056     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $695,059 (f)		     695,056    
  1,323,916     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $1,323,944 (g)		     1,323,916    
  330,979     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $330,980 (h)		     330,979    
  1,985,875     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,985,884 (i)		     1,985,875    
  1,654,895     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,654,902 (j)		     1,654,895    
  992,937     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $992,941 (k)		     992,937    
  1,527,914     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,527,921 (l)		     1,527,914    
        Total Investment Securities
(Cost $11,888,384) † — 90.8%		     11,888,384    
        Other assets less liabilities — 9.2%     1,211,011    
        Net Assets — 100.0%   $ 13,099,395    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $4,071,096.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $337,599. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $675,197. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $2,025,599. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $405,960. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $708,962. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $1,350,397. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $337,599. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

208 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  BZQ  UltraShort MSCI Brazil

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $2,025,595. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,687,997. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,012,799. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,558,474. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Brazil had the following open swap agreements as of November 30, 2009:

    Notional
Amount at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Brazil Index®		   $ (5,458,249 )   $ (526,602 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Brazil Index®     (20,892,942 )     (696,767 )  
        $ (1,223,369 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 11,888,384     $ 11,888,384    
Total Investment Securities     —       11,888,384       11,888,384    
Other Financial Instruments*:  
Swap Agreements     —       (1,223,369 )     (1,223,369 )  
Total Other Financial Instruments     —       (1,223,369 )     (1,223,369 )  
Total Investments   $ —     $ 10,665,015     $ 10,665,015    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 209


  UltraShort FTSE/Xinhua China 25  FXP

Principal
Amount		     Value  
    Repurchase Agreements (a) — 117.7%  
$ 9,892,413     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,892,454 (b)		   $ 9,892,413    
  19,784,827     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $19,784,915 (c)		     19,784,827    
  59,354,481     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $59,355,173 (d)		     59,354,481    
  11,895,557     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $11,895,607 (e)		     11,895,557    
  20,774,068     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $20,774,160 (f)		     20,774,068    
  39,569,654     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $39,570,500 (g)		     39,569,654    
  9,892,413     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,892,454 (h)		     9,892,413    
  59,354,481     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $59,354,745 (i)		     59,354,481    
  49,462,067     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $49,462,287 (j)		     49,462,067    
  29,677,240     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $29,677,364 (k)		     29,677,240    
  45,666,786     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $45,666,989 (l)		     45,666,786    
        Total Investment Securities
(Cost $355,323,987) † — 117.7%		     355,323,987    
        Liabilities in excess of
other assets — (17.7%)		     (53,487,592 )  
        Net Assets — 100.0%   $ 301,836,395    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $136,889,990.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $10,090,263. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $20,180,524. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $60,541,780. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $12,133,476. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $21,189,708. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $40,361,128. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $10,090,274. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

210 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  FXP  UltraShort FTSE/Xinhua China 25

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $60,541,642. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $50,451,423. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $30,270,878. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $46,580,186. 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, 2009:

    Notional
Amount at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
FTSE/Xinhua China 25 Index®		   $ (72,678,367 )   $ (1,053,407 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the FTSE/Xinhua China 25 Index®     (102,432,427 )     (1,763,917 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the FTSE/Xinhua China 25 Index®     (124,384,066 )     (6,416,019 )  
Equity Index Swap Agreement with Societe Generale, based on the FTSE/Xinhua China 25 Index®     (191,180,648 )     (66,911,509 )  
Equity Index Swap Agreement with UBS AG, based on the FTSE/Xinhua China 25 Index®     (109,182,480 )     (5,601,890 )  
            $ (81,746,742 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 355,323,987     $ 355,323,987    
Total Investment Securities     —       355,323,987       355,323,987    
Other Financial Instruments*:  
Swap Agreements     —       (81,746,742 )     (81,746,742 )  
Total Other Financial Instruments     —       (81,746,742 )     (81,746,742 )  
Total Investments   $ —     $ 273,577,245     $ 273,577,245    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 211


  UltraShort MSCI Japan  EWV

Principal
Amount		     Value  
    Repurchase Agreements (a) — 115.3%  
$ 506,889     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $506,891 (b)		   $ 506,889    
  1,013,778     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,013,783 (c)		     1,013,778    
  3,041,335     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $3,041,370 (d)		     3,041,335    
  609,531     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $609,534 (e)		     609,531    
  1,064,467     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,064,472 (f)		     1,064,467    
  2,027,557     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $2,027,600 (g)		     2,027,557    
  506,889     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $506,891 (h)		     506,889    
  3,041,335     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $3,041,349 (i)		     3,041,335    
  2,534,446     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,534,457 (j)		     2,534,446    
  1,520,668     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $1,520,674 (k)		     1,520,668    
  2,339,976     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $2,339,986 (l)		     2,339,976    
        Total Investment Securities
(Cost $18,206,871) † — 115.3%		     18,206,871    
        Liabilities in excess of
other assets — (15.3%)		     (2,421,918 )  
        Net Assets — 100.0%   $ 15,784,953    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $6,260,800.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $517,027. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,034,054. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $3,102,172. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $621,722. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,085,764. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,068,112. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $517,027. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp.,

See accompanying notes to the financial statements.

212 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  EWV  UltraShort MSCI Japan

1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $3,102,165. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $2,585,141. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $1,551,086. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $2,386,779. 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 agreements as of November 30, 2009:

    Notional
Amount at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Japan Index®		   $ (9,599,574 )   $ (313,196 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Japan Index®     (5,913,349 )     (316,629 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Japan Index®     (11,668,372 )     (1,885,385 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Japan Index®     (3,870,826 )     125,921    
            $ (2,389,289 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 18,206,871     $ 18,206,871    
Total Investment Securities     —       18,206,871       18,206,871    
Other Financial Instruments*:  
Swap Agreements     —       (2,389,289 )     (2,389,289 )  
Total Other Financial Instruments     —       (2,389,289 )     (2,389,289 )  
Total Investments   $ —     $ 15,817,582     $ 15,817,582    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 213


  UltraShort MSCI Mexico Investable Market  SMK

Principal
Amount		     Value  
    Repurchase Agreements (a) — 141.9%  
$ 223,491     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $223,492 (b)		   $ 223,491    
  446,982     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $446,984 (c)		     446,982    
  1,340,947     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $1,340,963 (d)		     1,340,947    
  268,747     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $268,748 (e)		     268,747    
  469,331     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $469,333 (f)		     469,331    
  893,965     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $893,984 (g)		     893,965    
  223,491     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $223,492 (h)		     223,491    
  1,340,947     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,340,953 (i)		     1,340,947    
  1,117,456     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,117,461 (j)		     1,117,456    
  670,473     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $670,476 (k)		     670,473    
  1,031,712     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $1,031,717 (l)		     1,031,712    
        Total Investment Securities
(Cost $8,027,542) † — 141.9%		     8,027,542    
        Liabilities in excess of
other assets — (41.9%)		     (2,369,706 )  
        Net Assets — 100.0%   $ 5,657,836    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $4,011,919.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $227,961. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $455,922. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,367,771. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $274,122. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $478,721. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $911,846. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $227,961. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

214 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  SMK  UltraShort MSCI Mexico Investable Market

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,367,768. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,139,808. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $683,885. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $1,052,348. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Mexico Investable Market had the following open swap agreements as of November 30, 2009:

    Notional
Amount at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Mexico
Investable Market Index®		   $ (9,916,748 )   $ (1,953,117 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Mexico Investable Market Index®     (1,396,008 )     (399,560 )  
        $ (2,352,677 )  

 

††  In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 8,027,542     $ 8,027,542    
Total Investment Securities     —       8,027,542       8,027,542    
Other Financial Instruments*:  
Swap Agreements     —       (2,352,677 )     (2,352,677 )  
Total Other Financial Instruments     —       (2,352,677 )     (2,352,677 )  
Total Investments   $ —     $ 5,674,865     $ 5,674,865    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 215



  Short 20+ Year Treasury  TBF

Principal
Amount		     Value  
    Repurchase Agreements (a) — 100.5%  
$ 4,118,440     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,118,457 (b)		   $ 4,118,440    
  8,236,881     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,236,918 (c)		     8,236,881    
  24,710,643     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $24,710,931 (d)		     24,710,643    
  4,952,395     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,952,416 (e)		     4,952,395    
  8,648,725     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $8,648,763 (f)		     8,648,725    
  16,473,762     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $16,474,114 (g)		     16,473,762    
  4,118,440     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $4,118,457 (h)		     4,118,440    
  24,710,643     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $24,710,753 (i)		     24,710,643    
  20,592,202     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $20,592,294 (j)		     20,592,202    
  12,355,321     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $12,355,372 (k)		     12,355,321    
  19,012,140     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $19,012,224 (l)		     19,012,140    
        Total Investment Securities
(Cost $147,929,592) † — 100.5%		     147,929,592    
        Liabilities in excess of
other assets — (0.5%)		     (743,894 )  
        Net Assets — 100.0%   $ 147,185,698    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $2,620,214.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $4,200,809. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $8,401,619. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $25,204,943. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $5,051,446. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $8,821,765. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $16,803,271. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $4,200,814. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

216 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  TBF  Short 20+ Year Treasury

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $25,204,885. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $21,004,094. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $12,602,466. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $19,392,410. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. Long Bond Futures Contracts     17       03/22/10     $ 2,086,219     $ (19,502 )  

 

Cash collateral in the amount of $127,139 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

Short 20+ Year Treasury had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		   $ (112,790,568 )   $ (2,566,213 )  
Bond Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Barclays Capital
20+ Year U.S. Treasury Bond Index		     (22,997,974 )     (218,707 )  
Bond Index Swap Agreement with Deutche Bank AG, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (10,384,597 )     (292,575 )  
    $ (3,077,495 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 217


  Short 20+ Year Treasury  TBF

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 147,929,592     $ 147,929,592    
Total Investment Securities     —       147,929,592       147,929,592    
Other Financial Instruments*:  
Futures Contracts     (19,502 )     —       (19,502 )  
Swap Agreements     —       (3,077,495 )     (3,077,495 )  
Total Other Financial Instruments     (19,502 )     (3,077,495 )     (3,096,997 )  
Total Investments   $ (19,502 )   $ 144,852,097     $ 144,832,595    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

218 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  PST  UltraShort 7-10 Year Treasury

Principal
Amount		     Value  
    Repurchase Agreements (a) — 102.2%  
$ 9,781,798     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,781,839 (b)		   $ 9,781,798    
  19,563,596     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $19,563,683 (c)		     19,563,596    
  58,690,788     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $58,691,473 (d)		     58,690,788    
  11,762,543     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $11,762,592 (e)		     11,762,543    
  20,541,776     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $20,541,867 (f)		     20,541,776    
  39,127,192     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $39,128,029 (g)		     39,127,192    
  9,781,798     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $9,781,839 (h)		     9,781,798    
  58,690,788     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $58,691,049 (i)		     58,690,788    
  48,908,990     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $48,909,207 (j)		     48,908,990    
  29,345,394     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $29,345,516 (k)		     29,345,394    
  45,156,147     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $45,156,348 (l)		     45,156,147    
        Total Investment Securities
(Cost $351,350,810) † — 102.2%		     351,350,810    
        Liabilities in excess of
other assets — (2.2%)		     (7,691,179 )  
        Net Assets — 100.0%   $ 343,659,631    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $77,604,237.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $9,977,435. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $19,954,868. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $59,864,810. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $11,997,802. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $20,952,768. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $39,909,816. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $9,977,447. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 219


  UltraShort 7-10 Year Treasury  PST

Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $59,864,674. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $49,887,283. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $29,932,394. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $46,059,334. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort 7-10 Year Treasury had the following open short futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. 10 Year Note Futures Contracts     20       03/22/10     $ 2,398,750     $ (24,387 )  

 

Cash collateral in the amount of $62,451 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort 7-10 Year Treasury had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		   $ (407,279,099 )   $ (21,069,142 )  
Bond Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Barclays
Capital 7-10 Year U.S. Treasury Bond Index		     (46,152,669 )     (1,414,158 )  
Bond Index Swap Agreement with Deutche Bank AG, based on the Barclays Capital 7-10 Year
US Treasury Bond Index		     (21,785,046 )     (767,161 )  
Bond Index Swap Agreement with Goldman Sachs International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     77,122,213 )     (2,323,501 )  
Bond Index Swap Agreement with UBS AG, based on the Barclays Capital 7-10 Year U.S. Treasury Bond Index     (134,401,766 )     (6,396,099 )  
    $ (31,970,061 )  

 

See accompanying notes to the financial statements.

220 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  PST  UltraShort 7-10 Year Treasury

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 351,350,810     $ 351,350,810    
Total Investment Securities     —       351,350,810       351,350,810    
Other Financial Instruments*:  
Futures Contracts     (24,387 )     —       (24,387 )  
Swap Agreements     —       (31,970,061 )     (31,970,061 )  
Total Other Financial Instruments     (24,387 )     (31,970,061 )     (31,994,448 )  
Total Investments   $ (24,387 )   $ 319,380,749     $ 319,356,362    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 221


  UltraShort 20+ Year Treasury  TBT

Principal
Amount		     Value  
    Repurchase Agreements (a) — 86.4%  
$ 105,174,458     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $105,174,896 (b)		   $ 105,174,458    
  210,348,917     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $210,349,852 (c)		     210,348,917    
  631,046,750     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $631,054,112 (d)		     631,046,750    
  126,471,540     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $126,472,067 (e)		     126,471,540    
  220,866,363     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $220,867,345 (f)		     220,866,363    
  420,697,833     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $420,706,831 (g)		     420,697,833    
  105,174,458     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $105,174,896 (h)		     105,174,458    
  631,046,750     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $631,049,555 (i)		     631,046,750    
  525,872,292     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $525,874,629 (j)		     525,872,292    
  315,523,375     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $315,524,690 (k)		     315,523,375    
  485,521,491     UBS Warburg LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $485,523,649 (l)		     485,521,491    
        Total Investment Securities
(Cost $3,777,744,227) † — 86.4%		     3,777,744,227    
        Other assets less liabilities — 13.6%     594,451,021    
        Net Assets — 100.0%   $ 4,372,195,248    

 

(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. As of 11/30/09, the aggregate amount held in a segregated account was $807,963,508.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $107,277,963. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $214,555,896. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $643,669,906. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $129,001,056. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $225,285,376. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $429,112,649. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $107,278,086. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to

See accompanying notes to the financial statements.

222 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  TBT  UltraShort 20+ Year Treasury

03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $643,668,439. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $536,390,960. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $321,834,829. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $495,232,607. The investment in the repurchase agreement was through participation in a pooled account.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort 20+ Year Treasury had the following open short futures contracts as of November 30, 2009:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. Long Bond Futures Contracts     646       03/22/10     $ 79,276,313     $ (1,286,611 )  

 

Cash collateral in the amount of $4,478,994 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

Swap Agreements

UltraShort 20+ Year Treasury had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		   $ (4,149,114,311 )   $ 61,146,397    
Bond Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Barclays
Capital 20+ Year U.S. Treasury Bond Index		     (576,357,685 )     (21,789,012 )  
Bond Index Swap Agreement with Deutsche Bank AG, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (529,664,882 )     (6,121,399 )  
Bond Index Swap Agreement with Goldman Sachs International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (2,057,787,383 )     (74,184,211 )  
Bond Index Swap Agreement with UBS AG, based on the Barclays Capital 20+ Year U.S. Treasury Bond Index     (1,395,072,410 )     14,822,199    
    $ (26,126,026 )  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Schedule of Portfolio Investments :: 223


  UltraShort 20+ Year Treasury  TBT

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Repurchase Agreements   $ —     $ 3,777,744,227     $ 3,777,744,227    
Total Investment Securities     —       3,777,744,227       3,777,744,227    
Other Financial Instruments*:  
Futures Contracts     (1,286,611 )     —       (1,286,611 )  
Swap Agreements     —       (26,126,026 )     (26,126,026 )  
Total Other Financial Instruments     (1,286,611 )     (26,126,026 )     (27,412,637 )  
Total Investments   $ (1,286,611 )   $ 3,751,618,201     $ 3,750,331,590    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

224 :: Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  CSM  Credit Suisse 130/30

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) — 88.3%  
  2,494     Aflac, Inc. (Financials)     0.4 %   $ 114,799    
  7,806     Altria Group, Inc.
(Consumer Staples)		     0.5 %     146,831    
  1,294     Amazon.com, Inc.*
(Consumer Discretionary)		     0.6 %     175,868    
  2,849     American Tower Corp.,
Class A* (Telecommunication
Services)		     0.4 %     116,581    
  2,224     Apple, Inc.*
(Information Technology)		     1.5 %     444,600    
  15,387     AT&T, Inc. (Telecommunication
Services)		     1.4 %     414,526    
  22,178     Bank of America Corp.
(Financials)		     1.2 %     351,521    
  3,029     Capital One Financial Corp.
(Financials)		     0.4 %     116,192    
  3,231     Chevron Corp. (Energy)     0.9 %     252,147    
  9,033     Cisco Systems, Inc.*
(Information Technology)		     0.7 %     211,372    
  3,472     Coca-Cola Co. (The)
(Consumer Staples)		     0.7 %     198,598    
  11,005     Comcast Corp., Class A
(Consumer Discretionary)		     0.6 %     161,443    
  5,766     CVS Caremark Corp.
(Consumer Staples)		     0.6 %     178,804    
  3,455     Dominion Resources, Inc.
(Utilities)		     0.4 %     125,693    
  3,085     Exelon Corp. (Utilities)     0.5 %     148,635    
  9,185     Exxon Mobil Corp. (Energy)     2.3 %     689,518    
  16,198     Ford Motor Co.*
(Consumer Discretionary)		     0.5 %     144,000    
  2,360     FPL Group, Inc. (Utilities)     0.4 %     122,649    
  2,000     General Dynamics Corp.
(Industrials)		     0.5 %     131,800    
  19,735     General Electric Co.
(Industrials)		     1.1 %     316,155    
  3,597     Gilead Sciences, Inc.*
(Health Care)		     0.6 %     165,642    
  1,492     Goldman Sachs Group, Inc.
(The) (Financials)		     0.9 %     253,133    
  355     Google, Inc., Class A*
(Information Technology)		     0.7 %     206,965    
  6,238     Hewlett-Packard Co.
(Information Technology)		     1.0 %     306,036    
  8,664     Intel Corp. (Information
Technology)		     0.6 %     166,349    
  2,190     International Business
Machines Corp.
(Information Technology)		     0.9 %     276,707    
  4,673     Johnson & Johnson
(Health Care)		     1.0 %     293,651    
  10,225     JPMorgan Chase & Co.
(Financials)		     1.5 %     434,460    
  1,760     Lockheed Martin Corp.
(Industrials)		     0.5 %     135,925    

 

Shares  
  Percentage of
Net Assets		  
Value		  
    Common Stocks (a) (continued)  
  2,298     Medco Health Solutions,
Inc.* (Health Care)		     0.5 %   $ 145,142    
  3,978     Merck & Co., Inc.
(Health Care)		     0.5 %     144,043    
  14,430     Microsoft Corp.
(Information Technology)		     1.4 %     424,386    
  5,268     Morgan Stanley (Financials)     0.6 %     166,363    
  10,937     Oracle Corp. (Information
Technology)		     0.8 %     241,489    
  2,573     PepsiCo, Inc. (Consumer
Staples)		     0.5 %     160,092    
  11,942     Pfizer, Inc. (Health Care)     0.7 %     216,986    
  2,414     Philip Morris International,
Inc. (Consumer Staples)		     0.4 %     116,089    
  2,433     PNC Financial Services
Group, Inc. (Financials)		     0.5 %     138,705    
  4,909     Procter & Gamble Co. (The)
(Consumer Staples)		     1.0 %     306,076    
  2,623     Prudential Financial, Inc.
(Financials)		     0.4 %     130,757    
  5,233     QUALCOMM, Inc.
(Information Technology)		     0.8 %     235,485    
  2,454     Raytheon Co. (Industrials)     0.4 %     126,455    
  2,644     Southwestern Energy Co.*
(Energy)		     0.4 %     116,230    
  7,311     U.S. Bancorp (Financials)     0.6 %     176,414    
  3,328     United Parcel Service, Inc.,
Class B (Industrials)		     0.7 %     191,260    
  4,877     Verizon Communications, Inc.
(Telecommunication
Services)		     0.5 %     153,430    
  3,369     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.6 %     183,779    
  12,357     Wells Fargo & Co.
(Financials)		     1.2 %     346,490    
  3,090     XTO Energy, Inc. (Energy)     0.4 %     131,140    
  624,106     Other Common Stocks     52.1 %     15,340,525    
        Total Common Stocks
(Cost $23,658,094)		             25,991,936    
Principal
Amount		  
 
 
 
    Repurchase Agreements (a) — 18.3%  
$ 149,966     Bank of America Corp.,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $149,967 (b)		           149,966    
  299,932     Bank of America Corp.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $299,933 (c)		           299,932    
  899,797     Credit Suisse (USA) LLC,
0.06%, dated 11/24/09,
due 12/01/09, total to be
received $899,807 (d)		           899,797    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 225


  Credit Suisse 130/30  CSM

Principal
Amount		  
 
 
Value		  
    Repurchase Agreements (a) (continued)  
$ 180,333     Credit Suisse (USA) LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $180,334 (e)		     $ 180,333    
  314,929     Credit Suisse (USA) LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $314,930 (f)		       314,929    
  599,865     ING Financial Markets LLC,
0.11%, dated 11/27/09,
due 12/04/09, total to be
received $599,878 (g)		       599,865    
  149,966     ING Financial Markets LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $149,967 (h)		       149,966    
  899,797     ING Financial Markets LLC,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $899,801 (i)		       899,797    
  749,831     JPMorgan Chase & Co.,
0.16%, dated 11/30/09,
due 12/01/09, total to be
received $749,834 (j)		       749,831    
  449,898     UBS Warburg LLC,
0.15%, dated 11/30/09,
due 12/01/09, total to be
received $449,900 (k)		       449,898    
  692,296     UBS Warburg LLC,
 0.16%, dated 11/30/09,
due 12/01/09, total to be
received $692,299 (l)		       692,296    
        Total Repurchase Agreements
(Cost $5,386,610)		       5,386,610    
        Total Investment Securities
(Cost $29,044,704) — 106.6%		       31,378,546    
        Liabilities in excess of
other assets — (6.6)%		       (1,947,402 )  
        Net Assets — 100.0%     $ 29,431,144    

 

*  Non-income producing security.

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $4,028,931.

(b)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $152,965. The investment in the repurchase agreement was through participation in a pooled account.

(c)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $305,931. The investment in the repurchase agreement was through participation in a pooled account.

(d)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $917,796. The investment in the repurchase agreement was through participation in a pooled account.

(e)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $183,940. The investment in the repurchase agreement was through participation in a pooled account.

(f)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $321,230. The investment in the repurchase agreement was through participation in a pooled account.

(g)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $611,864. The investment in the repurchase agreement was through participation in a pooled account.

(h)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $152,966. The investment in the repurchase agreement was through participation in a pooled account.

(i)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $917,794. The investment in the repurchase agreement was through participation in a pooled account.

(j)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this

See accompanying notes to the financial statements.

226 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)


  CSM  Credit Suisse 130/30

schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $764,829. The investment in the repurchase agreement was through participation in a pooled account.

(k)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $458,897. The investment in the repurchase agreement was through participation in a pooled account.

(l)  Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $706,143. The investment in the repurchase agreement was through participation in a pooled account.

As of November 30, 2009, 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   $ 2,486,676    
Aggregate gross unrealized depreciation     (257,116 )  
Net unrealized appreciation   $ 2,229,560    
Federal income tax cost of investments   $ 29,148,986    

 

Swap Agreements

Credit Suisse 130/30 had the following open swap agreements as of November 30, 2009:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the
Credit Suisse 130/30 Large Cap Index		   $ (8,771,098 )   $ 50,654    
Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the
Credit Suisse 130/30 Large Cap Index		     12,205,562       307,538    
        $ 358,192    

 

Credit Suisse 130/30 invested, as a percentage of net assets, in the following industries, as of November 30, 2009:

Consumer Discretionary     11.1 %  
Consumer Staples     9.6 %  
Energy     8.1 %  
Financials     14.1 %  
Health Care     9.5 %  
Industrials     9.0 %  
Information Technology     15.9 %  
Materials     2.8 %  
Telecommunication Services     2.9 %  
Utilities     5.3 %  
Other1     11.7 %  
      100.0 %  

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Summary Schedule of Portfolio Investments :: 227


  Credit Suisse 130/30  CSM

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

Valuation Information

The following is a summary of the valuation inputs used to value the Fund's investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

Description   Level 1   Level 2   Total  
Investment Securities:  
Common Stocks   $ 25,991,936     $ —     $ 25,991,936    
Repurchase Agreements     —       5,386,610       5,386,610    
Total Investment Securities     25,991,936       5,386,610       31,378,546    
Other Financial Instruments*:  
Swap Agreements     —       358,192       358,192    
Total Other Financial Instruments     —       358,192       358,192    
Total Investments   $ 25,991,936     $ 5,744,802     $ 31,736,738    

 

*  These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

See accompanying notes to the financial statements.

228 :: Summary Schedule of Portfolio Investments :: November 30, 2009 (Unaudited)



Statements of Assets and Liabilities

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 229


    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
Russell3000		   Ultra
MidCap400		   Ultra
SmallCap600		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 547,829,406     $ 244,539,954     $ 939,255,034     $ 5,145,139     $ 71,395,804     $ 32,797,189    
Securities, at value     621,841,533       269,532,977       1,114,813,957       4,524,737       69,254,263       35,757,728    
Repurchase agreements, at value     51,652,118       23,946,462       57,801,359       602,289       24,477,212       3,747,317    
Total Investment Securities     673,493,651       293,479,439       1,172,615,316       5,127,026       93,731,475       39,505,045    
Cash     553,542       40,455       4,721,932       4,656       63,480       37    
Segregated cash balances with
brokers for futures contracts		     11,178,193       5,152,715       15,605,825       —       1,823,542       —    
Segregated cash balances with
custodian for swap agreements		     74,467       187,641       491,336       2       —       —    
Dividends and interest receivable     1,023,002       1,059,017       3,044,194       14,549       114,250       19,876    
Receivable for investments sold     24,147,814       —       —       1,809       —       24,628    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       34,034       —       —    
Receivable for variation margin on
futures contracts		     37,293       161,802       761,033       —       36,078       —    
Unrealized appreciation on
swap agreements		     198,377,772       109,665,064       473,979,549       484,468       18,500,302       8,318,793    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     3,706       1,830       7,398       —       514       161    
Total Assets     908,889,440       409,747,963       1,671,226,583       5,666,544       114,269,641       47,868,540    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       14,780       1,050,814    
Payable for capital shares redeemed     24,115,664       —       —       —       —       —    
Advisory fees payable     482,825       233,363       1,035,667       —       56,674       14,975    
Management Services fees payable     72,996       33,628       138,088       —       10,153       4,013    
Custodian fees payable     62,892       16,530       220,402       244       84,478       50,695    
Administration fees payable     22,055       17,131       25,554       1,222       11,611       8,857    
Trustee fees payable     2,477       1,170       5,176       5       614       181    
Licensing fees payable     147,075       17,830       8,881       187       4,122       6,010    
Professional fees payable     9,350       9,351       9,351       8,618       9,692       9,799    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     5,436,362       713,931       1,303,142       40,285       2,105,948       1,199,215    
Due to counterparty     389,249       536,480       1,282,654       —       237,199       —    
Other liabilities     99,304       49,243       265,640       970       7,229       6,618    
Total Liabilities     30,840,249       1,628,657       4,294,555       51,531       2,542,500       2,351,177    
NET ASSETS   $ 878,049,191     $ 408,119,306     $ 1,666,932,028     $ 5,615,013     $ 111,727,141     $ 45,517,363    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 1,632,007,725     $ 687,293,418     $ 2,416,326,097     $ 3,596,073     $ 144,107,113     $ 67,398,803    
Accumulated undistributed net
investment income (loss)		     (2,622,079 )     794,482       3,925,885       21,301       (271,056 )     (38,515 )  
Accumulated net realized gains
(losses) on investments		     (1,071,637,205 )     (439,634,399 )     (1,462,772,289 )     1,571,569       (70,912,493 )     (35,670,359 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     125,664,245       48,939,485       233,360,282       (18,113 )     22,335,671       6,707,856    
Futures contracts     1,695,095       1,775,187       3,415,646       —       73,552       —    
Swap agreements     192,941,410       108,951,133       472,676,407       444,183       16,394,354       7,119,578    
NET ASSETS   $ 878,049,191     $ 408,119,306     $ 1,666,932,028     $ 5,615,013     $ 111,727,141     $ 45,517,363    
Shares (unlimited number of shares
authorized, no par value)		     16,350,000       9,450,000       45,150,000       100,001       3,000,000       1,725,000    
Net Asset Value   $ 53.70     $ 43.19     $ 36.92     $ 56.15     $ 37.24     $ 26.39    

 

See accompanying notes to the financial statements.

230 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    Ultra
Russell2000		   UltraPro
S&P500®		   Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra Russell
MidCap
Value		   Ultra Russell
MidCap
Growth		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 96,636,861     $ 83,600,808     $ 17,857,464     $ 19,806,143     $ 17,400,037     $ 15,878,621    
Securities, at value     113,854,009       34,239,230       20,472,984       21,582,288       19,966,800       18,164,777    
Repurchase agreements, at value     7,224,226       49,567,859       1,612,848       2,083,748       1,760,570       1,469,851    
Total Investment Securities     121,078,235       83,807,089       22,085,832       23,666,036       21,727,370       19,634,628    
Cash     920,287       113,498       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     1,237,381       2,642,462       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     16       —       —       —       —       —    
Dividends and interest receivable     136,391       88,309       56,773       45,551       51,695       25,031    
Receivable for investments sold     397,464       —       —       —       —       —    
Due from counterparty     171,105       —       —       36,005       —       —    
Receivable for capital shares issued     9,577,900       —       —       —       —       —    
Receivable from Advisor     —       —       21,996       6,938       22,494       24,369    
Receivable for variation margin on
futures contracts		     86,475       108,566       —       —       —       —    
Unrealized appreciation on
swap agreements		     37,677,076       1,659,813       3,870,459       5,149,197       2,906,261       2,606,586    
Prepaid licensing fees     —       3,753       —       —       —       —    
Prepaid expenses     768       4       79       93       62       53    
Total Assets     171,283,098       88,423,494       26,035,139       28,903,820       24,707,882       22,290,667    
LIABILITIES:  
Cash overdraft     —       —       28       24       —       —    
Payable for investments purchased     10,168,938       —       516,342       1,047,225       515,268       517,604    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     43,167       7,853       —       —       —       —    
Management Services fees payable     13,622       7,314       —       —       —       —    
Custodian fees payable     205,788       1,381       18,682       33,218       27,906       23,350    
Administration fees payable     14,805       9,832       32,319       21,689       33,673       34,401    
Trustee fees payable     865       102       56       143       55       130    
Licensing fees payable     17,978       —       5,141       5,141       5,196       5,141    
Professional fees payable     9,353       9,249       9,434       9,550       9,574       9,460    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     1,171,083       2,393,144       249,601       214,005       512,740       564,637    
Due to counterparty     4,547       —       —       —       —       —    
Other liabilities     24,679       4,448       2,558       3,730       2,330       2,207    
Total Liabilities     11,674,825       2,433,323       834,161       1,334,725       1,106,742       1,156,930    
NET ASSETS   $ 159,608,273     $ 85,990,171     $ 25,200,978     $ 27,569,095     $ 23,601,140     $ 21,133,737    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 300,089,848     $ 62,953,418     $ 34,061,677     $ 37,809,841     $ 25,903,097     $ 29,962,115    
Accumulated undistributed net
investment income (loss)		     (333,156 )     57,152       56,404       133,057       25,818       1,178    
Accumulated net realized gains
(losses) on investments		     (200,927,614 )     22,762,307       (16,766,329 )     (19,168,888 )     (9,048,629 )     (14,627,512 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     24,441,374       206,281       4,228,368       3,859,893       4,327,333       3,756,007    
Futures contracts     (168,172 )     744,344       —       —       —       —    
Swap agreements     36,505,993       (733,331 )     3,620,858       4,935,192       2,393,521       2,041,949    
NET ASSETS   $ 159,608,273     $ 85,990,171     $ 25,200,978     $ 27,569,095     $ 23,601,140     $ 21,133,737    
Shares (unlimited number of shares
authorized, no par value)		     6,525,000       600,001       1,125,000       750,000       1,050,000       750,000    
Net Asset Value   $ 24.46     $ 143.32     $ 22.40     $ 36.76     $ 22.48     $ 28.18    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 231


    Ultra
Russell2000
Value		   Ultra
Russell2000
Growth		   Ultra
Basic
Materials		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 13,497,421     $ 19,481,727     $ 180,446,541     $ 23,367,612     $ 12,158,983     $ 1,021,103,916    
Securities, at value     14,116,970       20,112,857       234,267,282       25,608,132       14,254,897       1,491,856,750    
Repurchase agreements, at value     1,426,107       2,070,274       39,744,823       2,220,917       1,144,122       59,256,151    
Total Investment Securities     15,543,077       22,183,131       274,012,105       27,829,049       15,399,019       1,551,112,901    
Cash     15,511       8,841       —       —       —       485    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     16       —       —       —       —       142,202    
Dividends and interest receivable     16,012       24,656       535,684       48,849       25,147       2,421,033    
Receivable for investments sold     111,680       39,521       —       —       —       —    
Due from counterparty     —       36,781       499,088       11,639       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     33,912       19,160       —       11,783       30,180       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     2,623,943       3,256,847       152,490,401       2,450,341       1,501,789       490,217,839    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     73       68       932       75       60       4,056    
Total Assets     18,344,224       25,569,005       427,538,210       30,351,736       16,956,195       2,043,898,516    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     510,180       1,023,017       —       6,166       2,892       247,528    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       244,846       —       —       1,220,722    
Management Services fees payable     —       —       34,828       —       —       165,693    
Custodian fees payable     100,756       71,958       14,541       7,434       16,822       168,250    
Administration fees payable     31,412       25,689       17,137       29,419       37,728       25,357    
Trustee fees payable     61       71       1,440       59       44       7,338    
Licensing fees payable     5,141       5,141       33,625       7,280       6,299       160,209    
Professional fees payable     9,531       9,617       11,353       9,542       9,442       14,086    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     420,776       785,735       7,377,829       359,623       302,890       21,831,529    
Due to counterparty     —       242       —       —       63,846       717,256    
Other liabilities     2,669       3,297       45,942       2,672       1,804       249,174    
Total Liabilities     1,080,526       1,924,767       7,781,541       422,195       441,767       24,807,142    
NET ASSETS   $ 17,263,698     $ 23,644,238     $ 419,756,669     $ 29,929,541     $ 16,514,428     $ 2,019,091,374    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 29,667,299     $ 35,273,843     $ 175,019,873     $ 27,248,103     $ 17,372,707     $ 4,257,950,019    
Accumulated undistributed net
investment income (loss)		     (20,290 )     (68,926 )     122,021       75,106       7,576       (4,294,095 )  
Accumulated net realized gains
(losses) on investments		     (16,632,134 )     (16,733,195 )     5,936,639       (3,945,823 )     (5,304,790 )     (3,232,959,845 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     2,045,656       2,701,404       93,565,564       4,461,437       3,240,036       530,008,985    
Futures contracts     —       —       —       —       —       —    
Swap agreements     2,203,167       2,471,112       145,112,572       2,090,718       1,198,899       468,386,310    
NET ASSETS   $ 17,263,698     $ 23,644,238     $ 419,756,669     $ 29,929,541     $ 16,514,428     $ 2,019,091,374    
Shares (unlimited number of shares
authorized, no par value)		     900,000       900,000       13,575,000       600,000       525,000       356,625,000    
Net Asset Value   $ 19.18     $ 26.27     $ 30.92     $ 49.88     $ 31.46     $ 5.66    

 

See accompanying notes to the financial statements.

232 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    Ultra
Health Care		   Ultra
Industrials		   Ultra
Oil & Gas		   Ultra
Real Estate		   Ultra
Semiconductors		   Ultra
Technology		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 30,736,117     $ 29,185,123     $ 270,220,296     $ 468,488,808     $ 49,199,262     $ 89,800,969    
Securities, at value     27,651,585       33,801,331       316,071,391       484,797,453       62,951,147       109,630,096    
Repurchase agreements, at value     8,294,171       3,630,569       20,174,533       57,483,120       5,823,887       10,709,965    
Total Investment Securities     35,945,756       37,431,900       336,245,924       542,280,573       68,775,034       120,340,061    
Cash     —       —       —       772       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       4,916       313,096       —       —    
Dividends and interest receivable     69,660       89,971       1,422,018       1,723,635       223,363       200,413    
Receivable for investments sold     —       —       —       6,511,306       —       166,740    
Due from counterparty     —       —       580,234       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     7,521,423       5,936,947       93,150,479       84,169,413       17,787,517       26,567,912    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     151       91       2,089       635       221       287    
Total Assets     43,536,990       43,458,909       431,405,660       634,999,430       86,786,135       147,275,413    
LIABILITIES:  
Cash overdraft     51       345       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       7,823,555       6,315,401       —       —    
Advisory fees payable     11,663       6,347       256,996       385,020       39,647       77,478    
Management Services fees payable     3,372       3,734       37,453       54,029       6,872       12,217    
Custodian fees payable     11,807       19,790       44,714       20,665       9,409       26,125    
Administration fees payable     11,624       17,187       17,914       19,559       9,892       11,925    
Trustee fees payable     86       116       1,789       1,619       300       478    
Licensing fees payable     7,913       8,219       34,630       54,198       10,555       14,572    
Professional fees payable     9,394       9,789       9,351       15,847       9,664       10,291    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     284,589       833,021       3,163,752       8,548,211       2,100,488       3,423,064    
Due to counterparty     39,341       46,885       —       379,900       399,055       39,280    
Other liabilities     4,766       4,349       60,046       58,436       9,726       14,670    
Total Liabilities     384,606       949,782       11,450,200       15,852,885       2,595,608       3,630,100    
NET ASSETS   $ 43,152,384     $ 42,509,127     $ 419,955,460     $ 619,146,545     $ 84,190,527     $ 143,645,313    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 54,386,481     $ 34,456,594     $ 408,578,746     $ 488,417,840     $ 109,687,940     $ 149,077,187    
Accumulated undistributed net
investment income (loss)		     370,035       62,345       610,054       (1,783,242 )     113,145       (99,192 )  
Accumulated net realized gains
(losses) on investments		     (24,050,605 )     (5,360,515 )     (145,245,695 )     (16,901,020 )     (60,873,359 )     (59,016,622 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     5,209,639       8,246,777       66,025,628       73,791,765       19,575,772       30,539,092    
Futures contracts     —       —       —       —       —       —    
Swap agreements     7,236,834       5,103,926       89,986,727       75,621,202       15,687,029       23,144,848    
NET ASSETS   $ 43,152,384     $ 42,509,127     $ 419,955,460     $ 619,146,545     $ 84,190,527     $ 143,645,313    
Shares (unlimited number of shares
authorized, no par value)		     900,000       1,425,000       12,075,000       102,225,000       3,150,000       3,075,000    
Net Asset Value   $ 47.95     $ 29.83     $ 34.78     $ 6.06     $ 26.73     $ 46.71    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 233


    Ultra
Telecommunications		   Ultra
Utilities		   Ultra
MSCI EAFE		   Ultra MSCI
Emerging
Markets		   Ultra
FTSE/Xinhua
China 25		   Ultra
MSCI Japan		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 10,095,453     $ 16,615,122     $ 15,135,882     $ 29,508,267     $ 29,340,187     $ 8,979,162    
Securities, at value     10,769,281       16,322,640       8,561,401       18,840,830       —       —    
Repurchase agreements, at value     999,885       1,385,673       6,659,181       10,744,810       29,340,187       8,979,162    
Total Investment Securities     11,769,166       17,708,313       15,220,582       29,585,640       29,340,187       8,979,162    
Cash     —       —       —       22,830       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       1,920,000       —    
Dividends and interest receivable     27,209       134,303       28,289       7,547       70       21    
Receivable for investments sold     1,847       —       361       —       —       —    
Due from counterparty     —       23,064       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     32,900       13,496       3,131       2,852       —       3,963    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     1,102,986       3,193,653       646,059       739,932       1,236,620       94,681    
Prepaid licensing fees     —       —       5,850       —       —       16,352    
Prepaid expenses     28       93       —       —       3       —    
Total Assets     12,934,136       21,072,922       15,904,272       30,358,801       32,496,880       9,094,179    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       —       —       9,991       —    
Management Services fees payable     —       —       —       —       2,407       —    
Custodian fees payable     3,121       6,584       257       367       998       765    
Administration fees payable     38,648       26,899       2,778       4,303       5,055       1,706    
Trustee fees payable     116       127       23       33       32       7    
Licensing fees payable     6,541       6,884       —       347       10,588       —    
Professional fees payable     10,962       9,351       9,473       9,497       9,586       9,436    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements 		    120,181       27,820       461,676       1,263,112       2,310,891       139,618    
Due to counterparty     166,071       —       —       —       —       —    
Other liabilities     1,559       2,805       1,121       1,555       1,842       943    
Total Liabilities     347,199       80,470       475,328       1,279,214       2,351,390       152,475    
NET ASSETS   $ 12,586,937     $ 20,992,452     $ 15,428,944     $ 29,079,587     $ 30,145,490     $ 8,941,704    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 15,217,587     $ 34,550,471     $ 13,844,182     $ 24,893,414     $ 26,192,068     $ 8,892,765    
Accumulated undistributed net
investment income (loss)		     78,157       137,758       (3,919 )     (29,378 )     (83,144 )     (37,945 )  
Accumulated net realized gains
(losses) on investments		     (5,365,325 )     (17,954,801 )     1,319,598       4,661,358       5,110,837       131,821    
Net unrealized appreciation
(depreciation) on:		  
Investments     1,673,713       1,093,191       84,700       77,373       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     982,805       3,165,833       184,383       (523,180 )     (1,074,271 )     (44,937 )  
NET ASSETS   $ 12,586,937     $ 20,992,452     $ 15,428,944     $ 29,079,587     $ 30,145,490     $ 8,941,704    
Shares (unlimited number of shares
authorized, no par value)		     375,000       600,000       200,001       350,001       400,001       150,001    
Net Asset Value   $ 33.57     $ 34.99     $ 77.14     $ 83.08     $ 75.36     $ 59.61    

 

See accompanying notes to the financial statements.

234 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    Short QQQ®   Short Dow30SM   Short S&P500®   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 192,471,217     $ 291,399,461     $ 1,764,997,236     $ 44,434,495     $ 43,704,108     $ 204,685,168    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     192,471,217       291,399,461       1,764,997,236       44,434,495       43,704,108       204,685,168    
Total Investment Securities     192,471,217       291,399,461       1,764,997,236       44,434,495       43,704,108       204,685,168    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     4,460,488       7,790,661       43,226,478       638,300       —       3,449,146    
Segregated cash balances with
custodian for swap agreements		     2,473,000       —       38,651,000       —       —       —    
Dividends and interest receivable     460       696       4,216       106       105       489    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       23,232       —       —    
Receivable for capital shares issued     —       —       24,245,034       —       —       —    
Receivable from Advisor     —       —       —       —       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       —       —       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     693       763       2,655       444       102       258    
Total Assets     199,405,858       299,191,581       1,871,126,619       45,096,577       43,704,315       208,135,061    
LIABILITIES:  
Cash overdraft     228,879       52,779       406,619       21,600       —       365,331    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     95,215       159,298       1,070,684       13,398       12,054       108,891    
Management Services fees payable     15,303       22,713       142,757       3,480       3,396       16,241    
Custodian fees payable     7,159       10,154       35,495       5,596       1,652       4,812    
Administration fees payable     9,762       11,543       20,792       11,282       12,633       10,001    
Trustee fees payable     406       589       3,264       241       40       207    
Licensing fees payable     30,573       17,680       4,123       4,123       6,010       15,648    
Professional fees payable     10,348       10,226       21,939       9,491       9,642       10,175    
Payable for variation margin on
futures contracts		     15,781       229,383       1,711,378       11,801       —       171,709    
Unrealized depreciation on
swap agreements 		    22,584,144       39,390,253       160,675,792       6,055,520       2,177,675       9,611,294    
Due to counterparty     13,478       1,293,795       462,631       —       —       —    
Other liabilities     16,688       26,253       151,851       4,267       4,038       12,029    
Total Liabilities     23,027,736       41,224,666       164,707,325       6,140,799       2,227,140       10,326,338    
NET ASSETS   $ 176,378,122     $ 257,966,915     $ 1,706,419,294     $ 38,955,778     $ 41,477,175     $ 197,808,723    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 253,044,866     $ 336,984,169     $ 2,208,220,708     $ 61,110,958     $ 55,668,012     $ 241,805,710    
Accumulated undistributed net
investment income (loss)		     (1,258,920 )     (2,080,666 )     (9,442,737 )     (343,635 )     (267,245 )     (811,580 )  
Accumulated net realized gains
(losses) on investments		     (52,340,784 )     (34,867,922 )     (320,067,326 )     (15,850,541 )     (11,745,917 )     (34,286,261 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     (482,896 )     (2,678,413 )     (11,615,559 )     94,516       —       712,148    
Swap agreements     (22,584,144 )     (39,390,253 )     (160,675,792 )     (6,055,520 )     (2,177,675 )     (9,611,294 )  
NET ASSETS   $ 176,378,122     $ 257,966,915     $ 1,706,419,294     $ 38,955,778     $ 41,477,175     $ 197,808,723    
Shares (unlimited number of shares
authorized, no par value)		     3,825,000       4,875,000       31,801,429       825,000       975,000       4,125,000    
Net Asset Value   $ 46.11     $ 52.92     $ 53.66     $ 47.22     $ 42.54     $ 47.95    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 235


    UltraShort
QQQ®		   UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
Russell3000		   UltraShort
MidCap400		   UltraShort
SmallCap600		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 1,204,412,255     $ 699,130,349     $ 4,116,693,927     $ 5,119,786     $ 50,608,199     $ 35,062,377    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     1,204,412,255       699,130,349       4,116,693,927       5,119,786       50,608,199       35,062,377    
Total Investment Securities     1,204,412,255       699,130,349       4,116,693,927       5,119,786       50,608,199       35,062,377    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     25,172,639       17,792,037       86,115,954       —       1,375,635       —    
Segregated cash balances with
custodian for swap agreements		     34,495,000       33,978,546       99,400,337       —       —       —    
Dividends and interest receivable     2,878       1,670       9,834       12       121       84    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       1,505       —       2,745    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       —       —       —       1,112,829       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     5,004       1,934       9,083       —       773       181    
Total Assets     1,264,087,776       750,904,536       4,302,229,135       5,121,303       53,097,557       35,065,387    
LIABILITIES:  
Cash overdraft     1,119,616       117,115       857,857       —       48,581       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     41,182,859       —       —       —       —       —    
Advisory fees payable     557,784       352,297       2,120,353       —       21,492       —    
Management Services fees payable     83,009       48,739       282,712       —       4,059       —    
Custodian fees payable     94,119       28,803       111,112       688       11,363       3,316    
Administration fees payable     23,744       16,066       24,718       763       7,170       20,844    
Trustee fees payable     2,294       1,278       7,597       6       57       23    
Licensing fees payable     79,254       28,222       6,592       187       4,123       6,010    
Professional fees payable     10,301       9,351       13,435       8,578       9,352       9,358    
Payable for variation margin on
futures contracts		     113,265       523,765       3,583,200       —       26,382       —    
Unrealized depreciation on
swap agreements 		    273,392,596       172,351,633       932,527,962       1,130,035       1,796,553       6,817,262    
Due to counterparty     2,366,523       3,428,585       7,109,014       —       503,290       —    
Other liabilities     104,879       63,758       381,417       857       12,674       2,804    
Total Liabilities     319,130,243       176,969,612       947,025,969       1,141,114       2,445,096       6,859,617    
NET ASSETS   $ 944,957,533     $ 573,934,924     $ 3,355,203,166     $ 3,980,189     $ 50,652,461     $ 28,205,770    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 1,621,643,421     $ 992,134,250     $ 5,477,072,673     $ 5,892,944     $ 115,585,850     $ 46,802,461    
Accumulated undistributed net
investment income (loss)		     (7,961,494 )     (5,212,401 )     (27,997,890 )     (15,932 )     (543,011 )     (250,924 )  
Accumulated net realized gains
(losses) on investments		     (395,290,909 )     (237,884,547 )     (1,154,311,787 )     (766,788 )     (64,022,750 )     (11,528,505 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     (40,889 )     (2,750,745 )     (7,031,868 )     —       316,096       —    
Swap agreements     (273,392,596 )     (172,351,633 )     (932,527,962 )     (1,130,035 )     (683,724 )     (6,817,262 )  
NET ASSETS   $ 944,957,533     $ 573,934,924     $ 3,355,203,166     $ 3,980,189     $ 50,652,461     $ 28,205,770    
Shares (unlimited number of shares
authorized, no par value)		     44,475,000       19,050,000       91,800,000       150,001       2,025,000       900,000    
Net Asset Value   $ 21.25     $ 30.13     $ 36.55     $ 26.53     $ 25.01     $ 31.34    

 

See accompanying notes to the financial statements.

236 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    UltraShort
Russell2000		   UltraPro Short
 S&P500®		   UltraShort
Russell1000
Value		   UltraShort
Russell1000
Growth		   UltraShort
Russell MidCap
Value		   UltraShort
Russell MidCap
Growth		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 621,508,373     $ 178,747,216     $ 14,480,880     $ 14,408,971     $ 6,676,236     $ 7,103,141    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     621,508,373       178,747,216       14,480,880       14,408,971       6,676,236       7,103,141    
Total Investment Securities     621,508,373       178,747,216       14,480,880       14,408,971       6,676,236       7,103,141    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     11,778,854       5,715,624       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       —    
Dividends and interest receivable     1,485       427       34       34       17       17    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       28,056       25,050       34,657       31,557    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       —       —       —       —       168,318    
Prepaid licensing fees     —       3,753       —       —       —       —    
Prepaid expenses     1,282       2       72       96       50       55    
Total Assets     633,289,994       184,467,022       14,509,042       14,434,151       6,710,960       7,303,088    
LIABILITIES:  
Cash overdraft     3,083,789       53,143       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     273,520       89,386       —       —       —       —    
Management Services fees payable     40,260       12,985       —       —       —       —    
Custodian fees payable     27,475       2,301       1,556       1,338       1,195       1,192    
Administration fees payable     15,228       9,189       31,870       30,402       35,390       33,927    
Trustee fees payable     799       136       6       92       30       24    
Licensing fees payable     37,711       —       5,787       5,712       5,141       5,196    
Professional fees payable     9,354       9,894       9,362       9,353       9,354       9,356    
Payable for variation margin on
futures contracts		     451,111       222,306       —       —       —       —    
Unrealized depreciation on
swap agreements		     113,388,293       17,637,548       2,229,258       3,125,072       2,204,776       559,628    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     48,037       7,179       1,255       1,568       792       1,018    
Total Liabilities     117,375,577       18,044,067       2,279,094       3,173,537       2,256,678       610,341    
NET ASSETS   $ 515,914,417     $ 166,422,955     $ 12,229,948     $ 11,260,614     $ 4,454,282     $ 6,692,747    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 850,638,057     $ 225,758,344     $ 30,046,491     $ 33,372,450     $ 11,076,482     $ 18,391,025    
Accumulated undistributed net
investment income (loss)		     (4,139,431 )     (415,537 )     (144,787 )     (166,860 )     (57,659 )     (72,838 )  
Accumulated net realized gains
(losses) on investments		     (219,982,736 )     (41,177,209 )     (15,442,498 )     (18,819,904 )     (4,359,765 )     (11,234,130 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     2,786,820       (105,095 )     —       —       —       —    
Swap agreements     (113,388,293 )     (17,637,548 )     (2,229,258 )     (3,125,072 )     (2,204,776 )     (391,310 )  
NET ASSETS   $ 515,914,417     $ 166,422,955     $ 12,229,948     $ 11,260,614     $ 4,454,282     $ 6,692,747    
Shares (unlimited number of shares
authorized, no par value)		     17,400,000       4,300,001       225,000       300,000       150,000       225,000    
Net Asset Value   $ 29.65     $ 38.70     $ 54.36     $ 37.54     $ 29.70     $ 29.75    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 237


    UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		   Short
Financials		   Short
Oil & Gas		   UltraShort
Basic Materials		   UltraShort
Consumer
Goods		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 18,088,849     $ 16,748,683     $ 129,961,742     $ 15,397,498     $ 163,485,478     $ 29,591,815    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     18,088,849       16,748,683       129,961,742       15,397,498       163,485,478       29,591,815    
Total Investment Securities     18,088,849       16,748,683       129,961,742       15,397,498       163,485,478       29,591,815    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       5,319,000       1,035,000       —       —    
Dividends and interest receivable     43       40       311       37       391       71    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     22,665       23,905       —       20,274       —       11,976    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       31,301       —       5,228       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     110       99       220       —       —       85    
Total Assets     18,111,667       16,804,028       135,281,273       16,458,037       163,485,869       29,603,947    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       61,393       —       53,025       —    
Management Services fees payable     —       —       9,296       —       8,602       —    
Custodian fees payable     1,795       2,091       1,498       243       5,212       1,735    
Administration fees payable     29,645       31,070       8,115       28,269       8,130       23,493    
Trustee fees payable     47       83       299       15       116       89    
Licensing fees payable     6,172       6,006       14,268       7,199       12,040       6,264    
Professional fees payable     9,354       9,354       9,561       9,335       9,353       9,356    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     3,966,556       2,622,137       21,562,679       975,145       55,875,811       9,835,886    
Due to counterparty     —       —       —       —       5,966,995       96,449    
Other liabilities     1,730       1,552       13,543       1,498       12,415       2,255    
Total Liabilities     4,015,299       2,672,293       21,680,652       1,021,704       61,951,699       9,975,527    
NET ASSETS   $ 14,096,368     $ 14,131,735     $ 113,600,621     $ 15,436,333     $ 101,534,170     $ 19,628,420    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 32,889,366     $ 30,363,687     $ 192,208,547     $ 19,033,982     $ 271,712,849     $ 31,215,355    
Accumulated undistributed net
investment income (loss)		     (125,863 )     (120,266 )     (869,748 )     (84,413 )     (919,915 )     (252,953 )  
Accumulated net realized gains
(losses) on investments		     (14,700,579 )     (13,520,850 )     (56,175,499 )     (2,543,319 )     (113,382,953 )     (1,498,096 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (3,966,556 )     (2,590,836 )     (21,562,679 )     (969,917 )     (55,875,811 )     (9,835,886 )  
NET ASSETS   $ 14,096,368     $ 14,131,735     $ 113,600,621     $ 15,436,333     $ 101,534,170     $ 19,628,420    
Shares (unlimited number of shares
authorized, no par value)		     450,000       600,000       2,550,001       300,001       11,250,000       450,000    
Net Asset Value   $ 31.33     $ 23.55     $ 44.55     $ 51.45     $ 9.03     $ 43.62    

 

See accompanying notes to the financial statements.

238 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    UltraShort
Consumer
Services		   UltraShort
Financials		   UltraShort
Health Care		   UltraShort
Industrials		   UltraShort
Oil & Gas		   UltraShort
Real Estate		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 61,398,241     $ 925,950,436     $ 7,686,157     $ 29,060,864     $ 332,443,739     $ 939,993,156    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     61,398,241       925,950,436       7,686,157       29,060,864       332,443,739       939,993,156    
Total Investment Securities     61,398,241       925,950,436       7,686,157       29,060,864       332,443,739       939,993,156    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       32,913,593       —       —       19,376,339       71,163,210    
Dividends and interest receivable     146       2,212       18       69       794       2,245    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       3,116       —       —       —    
Receivable for capital shares issued     —       25,671,475       —       —       —       5,223,573    
Receivable from Advisor     —       —       30,715       5,650       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       —       —       46,248       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     175       2,764       74       22       —       2,362    
Total Assets     61,398,562       984,540,480       7,720,080       29,112,853       351,820,872       1,016,384,546    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       3,664,472       —       —       —       26,938,163    
Advisory fees payable     19,484       530,721       —       —       149,127       553,558    
Management Services fees payable     3,852       73,061       —       —       22,326       76,051    
Custodian fees payable     2,964       37,498       1,491       2,622       13,443       33,461    
Administration fees payable     6,149       18,896       32,265       18,145       11,697       19,161    
Trustee fees payable     18       3,472       42       50       172       2,524    
Licensing fees payable     8,253       49,087       5,496       6,263       21,821       66,088    
Professional fees payable     9,362       9,353       9,359       9,355       9,357       9,366    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     18,098,996       76,679,841       2,179,290       6,921,793       78,553,362       130,503,497    
Due to counterparty     574,077       97,603       —       966,143       6,133,542       1,752,871    
Other liabilities     6,983       110,145       1,347       3,254       36,111       103,566    
Total Liabilities     18,730,138       81,274,149       2,229,290       7,927,625       84,950,958       160,058,306    
NET ASSETS   $ 42,668,424     $ 903,266,331     $ 5,490,790     $ 21,185,228     $ 266,869,914     $ 856,326,240    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 101,609,190     $ 1,945,364,147     $ 17,916,841     $ 54,611,646     $ 441,761,691     $ 3,652,916,034    
Accumulated undistributed net
investment income (loss)		     (822,423 )     (8,681,900 )     (88,842 )     (346,123 )     (2,911,256 )     (9,616,230 )  
Accumulated net realized gains
(losses) on investments		     (40,019,347 )     (956,736,075 )     (10,157,919 )     (26,204,750 )     (93,427,159 )     (2,656,470,067 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (18,098,996 )     (76,679,841 )     (2,179,290 )     (6,875,545 )     (78,553,362 )     (130,503,497 )  
NET ASSETS   $ 42,668,424     $ 903,266,331     $ 5,490,790     $ 21,185,228     $ 266,869,914     $ 856,326,240    
Shares (unlimited number of shares
authorized, no par value)		     1,050,000       36,975,000       150,000       825,000       20,925,000       98,475,000    
Net Asset Value   $ 40.64     $ 24.43     $ 36.61     $ 25.68     $ 12.75     $ 8.70    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 239


    UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Telecommunications		   UltraShort
Utilities		   Short MSCI
EAFE		   Short MSCI
Emerging
Markets		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 46,043,791     $ 35,215,270     $ 1,414,236     $ 11,545,841     $ 53,771,770     $ 248,301,956    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     46,043,791       35,215,270       1,414,236       11,545,841       53,771,770       248,301,956    
Total Investment Securities     46,043,791       35,215,270       1,414,236       11,545,841       53,771,770       248,301,956    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       7,390,000    
Dividends and interest receivable     110       84       3       27       129       593    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       5,318       38,899       28,032       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       42,988       8,307       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     72       156       16       74       168       183    
Total Assets     46,043,973       35,263,816       1,461,461       11,573,974       53,772,067       255,692,732    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     1,678       —       —       —       22,473       125,691    
Management Services fees payable     2,902       —       —       —       4,309       19,332    
Custodian fees payable     1,791       2,222       960       1,633       1,618       3,829    
Administration fees payable     18,169       19,802       37,190       31,885       6,833       10,725    
Trustee fees payable     40       94       84       104       199       336    
Licensing fees payable     7,454       6,508       5,815       5,629       22,231       44,054    
Professional fees payable     9,353       9,354       10,947       9,355       9,570       11,508    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     11,208,260       9,135,925       83,652       2,406,361       570,332       26,345,230    
Due to counterparty     59,869       1,161,418       21,469       382,054       —       —    
Other liabilities     3,390       3,031       575       1,365       5,632       15,471    
Total Liabilities     11,312,906       10,338,354       160,692       2,838,386       643,197       26,576,176    
NET ASSETS   $ 34,731,067     $ 24,925,462     $ 1,300,769     $ 8,735,588     $ 53,128,870     $ 229,116,556    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 74,306,795     $ 75,643,933     $ 6,814,010     $ 18,915,729     $ 88,963,168     $ 307,474,880    
Accumulated undistributed net
investment income (loss)		     (263,034 )     (345,165 )     (26,325 )     (108,792 )     (511,458 )     (966,367 )  
Accumulated net realized gains
(losses) on investments		     (28,104,434 )     (41,280,368 )     (5,411,571 )     (7,664,988 )     (34,752,508 )     (51,046,727 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (11,208,260 )     (9,092,938 )     (75,345 )     (2,406,361 )     (570,332 )     (26,345,230 )  
NET ASSETS   $ 34,731,067     $ 24,925,462     $ 1,300,769     $ 8,735,588     $ 53,128,870     $ 229,116,556    
Shares (unlimited number of shares
authorized, no par value)		     1,500,000       975,000       75,000       375,000       900,000       5,700,000    
Net Asset Value   $ 23.15     $ 25.56     $ 17.34     $ 23.29     $ 59.03     $ 40.20    

 

See accompanying notes to the financial statements.

240 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)


    UltraShort
MSCI EAFE		   UltraShort
MSCI Emerging
Markets		   UltraShort
MSCI Europe		   UltraShort
MSCI Pacific
ex-Japan		   UltraShort
MSCI Brazil		   UltraShort
FTSE/Xinhua
China 25		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 30,451,322     $ 187,961,319     $ 4,448,598     $ 2,922,928     $ 11,888,384     $ 355,323,987    
Securities, at value     —       —       —       —       —       —    
Repurchase agreements, at value     30,451,322       187,961,319       4,448,598       2,922,928       11,888,384       355,323,987    
Total Investment Securities     30,451,322       187,961,319       4,448,598       2,922,928       11,888,384       355,323,987    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       21,661,053       —       —       —       34,200,000    
Dividends and interest receivable     73       449       11       7       28       849    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       7,057,499       —       —       2,452,192       —    
Receivable from Advisor     —       —       1,190       2,884       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       4,206,045       104,903       —       —       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     188       565       —       —       —       663    
Total Assets     30,451,583       220,886,930       4,554,702       2,925,819       14,340,604       389,525,499    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     2,958,910       —       —       —       —       5,571,993    
Advisory fees payable     1,457       103,569       —       —       546       157,906    
Management Services fees payable     2,420       16,637       —       —       709       24,190    
Custodian fees payable     2,468       8,236       663       670       708       8,255    
Administration fees payable     12,690       10,301       868       502       1,369       11,892    
Trustee fees payable     23       19       9       8       4       207    
Licensing fees payable     34,404       149,725       5,054       5,112       4,713       130,279    
Professional fees payable     9,517       9,513       9,004       8,975       8,982       10,949    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     789,434       14,181,595       62,445       942,836       1,223,369       81,746,742    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     4,429       21,046       795       703       809       26,691    
Total Liabilities     3,815,752       14,500,641       78,838       958,806       1,241,209       87,689,104    
NET ASSETS   $ 26,635,831     $ 206,386,289     $ 4,475,864     $ 1,967,013     $ 13,099,395     $ 301,836,395    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 96,563,213     $ 745,526,337     $ 8,477,259     $ 4,038,500     $ 18,764,466     $ 874,327,121    
Accumulated undistributed net
investment income (loss)		     (567,322 )     (2,587,871 )     (23,237 )     (10,421 )     (24,682 )     (2,368,585 )  
Accumulated net realized gains
(losses) on investments		     (68,570,626 )     (526,576,627 )     (4,020,616 )     (1,118,230 )     (4,417,020 )     (488,375,399 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (789,434 )     (9,975,550 )     42,458       (942,836 )     (1,223,369 )     (81,746,742 )  
NET ASSETS   $ 26,635,831     $ 206,386,289     $ 4,475,864     $ 1,967,013     $ 13,099,395     $ 301,836,395    
Shares (unlimited number of shares
authorized, no par value)		     675,000       17,550,000       200,001       100,001       550,001       37,500,000    
Net Asset Value   $ 39.46     $ 11.76     $ 22.38     $ 19.67     $ 23.82     $ 8.05    

 

See accompanying notes to the financial statements.

November 30, 2009 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 241


    UltraShort
MSCI Japan		   UltraShort
MSCI Mexico
Investable
Market		   Short
20+ Year
Treasury		   UltraShort
7-10 Year
Treasury		   UltraShort
20+ Year
Treasury		   Credit Suisse
130/30		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 18,206,871     $ 8,027,542     $ 147,929,592     $ 351,350,810     $ 3,777,744,227     $ 29,044,704    
Securities, at value     —       —       —       —       —       25,991,936    
Repurchase agreements, at value     18,206,871       8,027,542       147,929,592       351,350,810       3,777,744,227       5,386,610    
Total Investment Securities     18,206,871       8,027,542       147,929,592       351,350,810       3,777,744,227       31,378,546    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       127,139       62,451       4,478,994       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       24,694,052       567,110,013       —    
Dividends and interest receivable     43       19       353       840       9,024       53,755    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       2,392,379       —       56,593,664       —    
Receivable from Advisor     26,732       —       —       —       —       1,048    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     125,921       —       —       —       75,968,596       358,192    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     52       —       —       793       7,685       —    
Total Assets     18,359,619       8,027,561       150,449,463       376,108,946       4,481,912,203       31,791,541    
LIABILITIES:  
Cash overdraft     —       —       72,059       21,952       2,385,953       2,859    
Payable for investments purchased     —       —       —       —       —       2,314,057    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       75,676       210,554       2,766,899       —    
Management Services fees payable     —       185       11,322       29,279       368,917       —    
Custodian fees payable     1,150       720       1,969       5,368       67,522       583    
Administration fees payable     31,198       1,197       8,760       12,664       26,320       4,945    
Trustee fees payable     73       13       105       1,253       12,511       30    
Licensing fees payable     14,754       4,767       2,214       143,202       1,306,322       27,671    
Professional fees payable     10,956       9,052       7,259       12,681       45,891       8,389    
Payable for variation margin on
futures contracts		     —       —       1,594       1,250       60,563       —    
Unrealized depreciation on
swap agreements		     2,515,210       2,352,677       3,077,495       31,970,061       102,094,622       —    
Due to counterparty     —       —       —       2,751       5,502       —    
Other liabilities     1,325       1,114       5,312       38,300       575,933       1,863    
Total Liabilities     2,574,666       2,369,725       3,263,765       32,449,315       109,716,955       2,360,397    
NET ASSETS   $ 15,784,953     $ 5,657,836     $ 147,185,698     $ 343,659,631     $ 4,372,195,248     $ 29,431,144    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 21,363,149     $ 15,242,100     $ 150,739,641     $ 386,037,657     $ 4,359,774,555     $ 25,417,970    
Accumulated undistributed net
investment income (loss)		     (115,146 )     (41,271 )     (175,900 )     (3,014,445 )     (30,438,636 )     35,074    
Accumulated net realized gains
(losses) on investments		     (3,073,761 )     (7,190,316 )     (281,046 )     (7,369,133 )     70,271,966       1,286,066    
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       2,333,842    
Futures contracts     —       —       (19,502 )     (24,387 )     (1,286,611 )     —    
Swap agreements     (2,389,289 )     (2,352,677 )     (3,077,495 )     (31,970,061 )     (26,126,026 )     358,192    
NET ASSETS   $ 15,784,953     $ 5,657,836     $ 147,185,698     $ 343,659,631     $ 4,372,195,248     $ 29,431,144    
Shares (unlimited number of shares
authorized, no par value)		     300,000       200,001       3,100,001       6,900,000       98,700,000       600,001    
Net Asset Value   $ 52.62     $ 28.29     $ 47.48     $ 49.81     $ 44.30     $ 49.05    

 

See accompanying notes to the financial statements.

242 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2009 (Unaudited)



Statements of Operations

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 243


    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
Russell3000		   Ultra
MidCap400		   Ultra
SmallCap600		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   June 30, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ 2,726,147     $ 5,572,290     $ 19,328,436     $ 61,587     $ 797,938     $ 297,515    
Interest     20,970       14,278       32,510       191       8,178       1,336    
Foreign withholding tax on dividends     (558 )     —       —       —       —       (86 )  
Total Investment Income     2,746,559       5,586,568       19,360,946       61,778       806,116       298,765    
EXPENSES:  
Advisory fees (Note 4)     3,669,964       1,833,281       7,525,589       21,832       534,778       228,709    
Management Services fees (Note 4)     489,325       244,436       1,003,404       2,911       71,303       30,494    
Professional fees     25,556       19,349       48,008       8,622       11,250       10,263    
Administration fees (Note 5)     134,764       108,689       151,146       7,122       70,915       54,992    
Custodian fees (Note 6)     97,672       38,111       318,523       34,957       96,652       69,629    
Printing and Shareholder reports     92,102       45,428       186,945       1,884       13,470       5,984    
Licensing fees     495,842       104,293       12,030       6,190       7,271       6,015    
Trustee fees     6,866       3,635       14,918       28       879       389    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       59,332       —       —       —    
Other fees     21,274       12,833       46,418       1,879       4,475       2,946    
Total Gross Expenses before
fees waived and/or reimbursed		     5,033,365       2,410,055       9,366,313       85,425       810,993       409,421    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (374,127 )     (82,883 )     —       (57,720 )     (132,294 )     (119,291 )  
Total Net Expenses     4,659,238       2,327,172       9,366,313       27,705       678,699       290,130    
Net Investment Income (Loss)     (1,912,679 )     3,259,396       9,994,633       34,073       127,417       8,635    
NET REALIZED GAIN (LOSS) ON:  
Investments     21,124,255       3,501,292       56,766,333       2,659       13,411,785       209,511    
Futures contracts     49,004,235       21,786,588       82,172,725       —       7,228,763       —    
Swap agreements     65,244,335       14,645,488       28,242,511       672,083       10,998,386       4,550,496    
In-kind redemptions of investments     74,168,295       25,247,143       101,620,376       896,827       10,304,302       5,120,760    
Net realized gain (loss)     209,541,120       65,180,511       268,801,945       1,571,569       41,943,236       9,880,767    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     75,536,884       48,107,901       134,089,116       (18,113 )     (2,847,724 )     2,268,517    
Futures contracts     (6,330,835 )     (1,234,056 )     (10,022,805 )     —       (909,232 )     —    
Swap agreements     132,469,064       85,123,377       329,463,667       444,183       12,784,639       4,861,299    
Change in net unrealized
appreciation (depreciation)		     201,675,113       131,997,222       453,529,978       426,070       9,027,683       7,129,816    
Net realized and unrealized gain (loss)     411,216,233       197,177,733       722,331,923       1,997,639       50,970,919       17,010,583    
Change in Net Assets Resulting
from Operations		   $ 409,303,554     $ 200,437,129     $ 732,326,556     $ 2,031,712     $ 51,098,336     $ 17,019,218    

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

244 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    Ultra
Russell2000		   UltraPro
S&P500®		   Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra Russell
MidCap
Value		   Ultra Russell
MidCap
Growth		  
    Six Months
Ended
November 30,
2009		   June 23, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ 1,291,215     $ 290,435     $ 229,434     $ 326,628     $ 202,011     $ 96,095    
Interest     7,429       5,645       424       788       382       436    
Foreign withholding tax on dividends     (199 )     —       —       —       —       —    
Total Investment Income     1,298,445       296,080       229,858       327,416       202,393       96,531    
EXPENSES:  
Advisory fees (Note 4)     921,980       168,198       82,078       125,989       75,275       70,833    
Management Services fees (Note 4)     122,930       22,426       10,943       16,798       10,037       9,444    
Professional fees     12,924       9,322       9,719       9,881       9,698       9,676    
Administration fees (Note 5)     90,581       37,849       51,667       51,793       51,214       51,057    
Custodian fees (Note 6)     319,744       41,085       48,885       47,889       40,244       32,481    
Printing and Shareholder reports     23,298       8,047       2,043       3,186       1,861       1,735    
Licensing fees     86,716       7,494       4,762       4,762       4,762       4,762    
Trustee fees     1,665       228       132       196       109       97    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     6,426       2,340       2,461       2,609       2,434       2,399    
Total Gross Expenses before
fees waived and/or reimbursed		     1,586,264       296,989       212,690       263,103       195,634       182,484    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (416,473 )     (83,363 )     (108,557 )     (103,215 )     (100,102 )     (92,614 )  
Total Net Expenses     1,169,791       213,626       104,133       159,888       95,532       89,870    
Net Investment Income (Loss)     128,654       82,454       125,725       167,528       106,861       6,661    
NET REALIZED GAIN (LOSS) ON:  
Investments     17,894,421       51,206       (141,603 )     474,482       68,009       333,188    
Futures contracts     18,296,968       841,555       —       —       —       —    
Swap agreements     6,062,389       17,288,271       1,407,008       3,708,761       2,619,698       2,221,467    
In-kind redemptions of investments     42,875,702       4,581,275       —       3,638,932       —       —    
Net realized gain (loss)     85,129,480       22,762,307       1,265,405       7,822,175       2,687,707       2,554,655    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     (26,901,893 )     206,281       3,011,788       778,574       3,160,952       2,198,447    
Futures contracts     (8,018,480 )     744,344       —       —       —       —    
Swap agreements     26,322,852       (733,331 )     2,498,947       2,972,793       1,533,541       924,906    
Change in net unrealized
appreciation (depreciation)		     (8,597,521 )     217,294       5,510,735       3,751,367       4,694,493       3,123,353    
Net realized and unrealized gain (loss)     76,531,959       22,979,601       6,776,140       11,573,542       7,382,200       5,678,008    
Change in Net Assets Resulting
from Operations		   $ 76,660,613     $ 23,062,055     $ 6,901,865     $ 11,741,070     $ 7,489,061     $ 5,684,669    

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 245


    Ultra
Russell2000
Value		   Ultra
Russell2000
Growth		   Ultra
Basic
Materials		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ 178,766     $ 86,751     $ 3,062,574     $ 335,646     $ 93,083     $ 14,895,525    
Interest     585       667       9,409       729       450       24,997    
Foreign withholding tax on dividends     (23 )     —       —       —       —       (12,713 )  
Total Investment Income     179,328       87,418       3,071,983       336,375       93,533       14,907,809    
EXPENSES:  
Advisory fees (Note 4)     84,028       110,566       1,657,335       94,197       53,084       8,438,660    
Management Services fees (Note 4)     11,204       14,742       220,976       12,560       7,078       1,125,146    
Professional fees     9,741       9,828       15,207       9,742       9,608       39,021    
Administration fees (Note 5)     53,407       53,418       105,208       50,271       49,893       153,486    
Custodian fees (Note 6)     141,585       106,103       49,475       11,277       19,300       280,728    
Printing and Shareholder reports     2,172       2,791       41,205       2,206       1,292       212,402    
Licensing fees     4,762       4,762       93,154       9,785       7,593       465,105    
Trustee fees     135       172       2,745       135       75       14,396    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,467       2,535       8,883       2,498       2,376       38,053    
Total Gross Expenses before
fees waived and/or reimbursed		     309,501       304,917       2,194,188       192,671       150,299       10,766,997    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (202,919 )     (164,683 )     (89,681 )     (73,123 )     (82,925 )     (60,467 )  
Total Net Expenses     106,582       140,234       2,104,507       119,548       67,374       10,706,530    
Net Investment Income (Loss)     72,746       (52,816 )     967,476       216,827       26,159       4,201,279    
NET REALIZED GAIN (LOSS) ON:  
Investments     149,684       631,311       23,719,105       (125,410 )     (14,165 )     165,958,225    
Futures contracts     —       —       —       —       —       —    
Swap agreements     1,708,649       2,899,129       47,877,950       3,667,938       1,902,242       94,718,458    
In-kind redemptions of investments     2,028,217       2,570,025       68,093,119       —       —       108,547,864    
Net realized gain (loss)     3,886,550       6,100,465       139,690,174       3,542,528       1,888,077       369,224,547    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     426,510       83,917       (12,969,088 )     3,839,602       2,275,268       77,535,557    
Futures contracts     —       —       —       —       —       —    
Swap agreements     1,642,551       871,927       77,318,571       1,222,520       909,040       330,556,440    
Change in net unrealized
appreciation (depreciation)		     2,069,061       955,844       64,349,483       5,062,122       3,184,308       408,091,997    
Net realized and unrealized gain (loss)     5,955,611       7,056,309       204,039,657       8,604,650       5,072,385       777,316,544    
Change in Net Assets Resulting
from Operations		   $ 6,028,357     $ 7,003,493     $ 205,007,133     $ 8,821,477     $ 5,098,544     $ 781,517,823    

 

See accompanying notes to the financial statements.

246 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    Ultra
Health Care		   Ultra
Industrials		   Ultra
Oil & Gas		   Ultra
Real Estate		   Ultra
Semiconductors		   Ultra
Technology		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ 692,804     $ 371,726     $ 4,493,766     $ 9,384,634     $ 731,197     $ 548,450    
Interest     1,619       1,015       13,671       15,464       2,756       2,649    
Foreign withholding tax on dividends     —       —       (1,857 )     (20,004 )     —       —    
Total Investment Income     694,423       372,741       4,505,580       9,380,094       733,953       551,099    
EXPENSES:  
Advisory fees (Note 4)     172,939       152,495       2,192,947       2,131,495       368,062       548,214    
Management Services fees (Note 4)     23,058       20,332       292,391       284,197       49,074       73,095    
Professional fees     9,974       9,970       19,124       17,335       10,625       11,287    
Administration fees (Note 5)     50,850       51,219       115,074       113,919       62,453       70,749    
Custodian fees (Note 6)     14,294       28,433       81,670       56,109       16,395       35,592    
Printing and Shareholder reports     4,271       3,750       55,156       52,581       8,948       13,430    
Licensing fees     13,985       12,895       122,221       123,208       24,392       34,000    
Trustee fees     307       227       4,318       3,158       604       853    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,776       2,658       14,304       9,422       3,340       4,017    
Total Gross Expenses before
fees waived and/or reimbursed		     292,454       281,979       2,897,205       2,791,424       543,893       791,237    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (72,991 )     (88,397 )     (116,853 )     (85,978 )     (76,699 )     (95,115 )  
Total Net Expenses     219,463       193,582       2,780,352       2,705,446       467,194       696,122    
Net Investment Income (Loss)     474,960       179,159       1,725,228       6,674,648       266,759       (145,023 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     (660,705 )     (273,654 )     31,475,545       1,741,142       10,325,402       2,515,214    
Futures contracts     —       —       —       —       —       —    
Swap agreements     3,636,435       5,765,469       57,257,924       99,240,851       10,558,976       23,267,934    
In-kind redemptions of investments     —       3,002,634       8,863,072       77,628,710       740,714       5,469,961    
Net realized gain (loss)     2,975,730       8,494,449       97,596,541       178,610,703       21,625,092       31,253,109    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     6,649,364       4,363,650       4,062,573       32,753,493       6,382,899       21,104,986    
Futures contracts     —       —       —       —       —       —    
Swap agreements     5,491,486       3,458,094       843,448       48,878,666       10,402,228       14,186,710    
Change in net unrealized
appreciation (depreciation)		     12,140,850       7,821,744       4,906,021       81,632,159       16,785,127       35,291,696    
Net realized and unrealized gain (loss)     15,116,580       16,316,193       102,502,562       260,242,862       38,410,219       66,544,805    
Change in Net Assets Resulting
from Operations		   $ 15,591,540     $ 16,495,352     $ 104,227,790     $ 266,917,510     $ 38,676,978     $ 66,399,782    

 

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 247


    Ultra
Telecommunications		   Ultra
Utilities		   Ultra
MSCI EAFE		   Ultra MSCI
Emerging
Markets		   Ultra
FTSE/Xinhua
China 25		   Ultra
MSCI Japan		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   June 2, 2009*
through
November 30,
2009		   June 2, 2009*
through
November 30,
2009		   June 2, 2009*
through
November 30,
2009		   June 2, 2009*
through
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ 258,784     $ 486,457     $ 38,574     $ 32,511     $ —     $ —    
Interest     355       686       2,439       2,819       6,572       3,618    
Foreign withholding tax on dividends     —       —       (73 )     (46 )     —       —    
Total Investment Income     259,139       487,143       40,940       35,284       6,572       3,618    
EXPENSES:  
Advisory fees (Note 4)     44,618       97,779       35,376       50,973       70,762       32,813    
Management Services fees (Note 4)     5,949       13,037       4,717       6,796       9,435       4,375    
Professional fees     9,326       9,817       9,510       9,535       9,645       9,477    
Administration fees (Note 5)     49,466       49,643       9,684       13,843       19,120       9,000    
Custodian fees (Note 6)     4,194       8,046       6,924       12,402       1,804       1,237    
Printing and Shareholder reports     1,090       2,393       2,667       3,055       4,271       2,633    
Licensing fees     7,141       9,976       23,859       23,859       22,525       24,431    
Trustee fees     60       161       48       70       91       42    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,310       2,528       1,973       2,006       2,149       1,958    
Total Gross Expenses before
fees waived and/or reimbursed		     124,154       193,380       94,758       122,539       139,802       85,966    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (67,610 )     (69,376 )     (49,899 )     (57,877 )     (50,086 )     (44,403 )  
Total Net Expenses     56,544       124,004       44,859       64,662       89,716       41,563    
Net Investment Income (Loss)     202,595       363,139       (3,919 )     (29,378 )     (83,144 )     (37,945 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     33,050       (133,976 )     2,884       (29,043 )     —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     113,767       1,240,733       1,316,714       3,794,810       5,110,837       131,821    
In-kind redemptions of investments     —       997,656       —       895,591       —       —    
Net realized gain (loss)     146,817       2,104,413       1,319,598       4,661,358       5,110,837       131,821    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     295,432       1,664,396       84,700       77,373       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     483,846       2,301,508       184,383       (523,180 )     (1,074,271 )     (44,937 )  
Change in net unrealized
appreciation (depreciation)		     779,278       3,965,904       269,083       (445,807 )     (1,074,271 )     (44,937 )  
Net realized and unrealized gain (loss)     926,095       6,070,317       1,588,681       4,215,551       4,036,566       86,884    
Change in Net Assets Resulting
from Operations		   $ 1,128,690     $ 6,433,456     $ 1,584,762     $ 4,186,173     $ 3,953,422     $ 48,939    

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

248 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    Short QQQ®   Short Dow30SM   Short S&P500®   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     87,127       122,258       674,509       20,724       19,289       53,537    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     87,127       122,258       674,509       20,724       19,289       53,537    
EXPENSES:  
Advisory fees (Note 4)     694,884       988,647       5,726,328       162,086       154,774       467,890    
Management Services fees (Note 4)     92,650       131,819       763,505       21,611       20,637       62,385    
Professional fees     11,606       12,621       27,820       9,925       9,901       10,843    
Administration fees (Note 5)     58,850       68,317       124,316       40,261       40,338       51,189    
Custodian fees (Note 6)     12,094       16,397       87,905       3,899       3,064       8,542    
Printing and Shareholder reports     15,942       23,432       131,302       3,724       3,572       10,020    
Licensing fees     98,668       58,745       7,271       7,271       6,015       51,402    
Trustee fees     1,070       1,646       8,643       235       252       679    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       176,211       —       —       —    
Other fees     5,108       6,822       27,878       3,206       2,668       4,079    
Total Gross Expenses before
fees waived and/or reimbursed		     990,872       1,308,446       7,081,179       252,218       241,221       667,029    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (111,902 )     (57,813 )     —       (47,191 )     (45,426 )     (74,989 )  
Total Net Expenses     878,970       1,250,633       7,081,179       205,027       195,795       592,040    
Net Investment Income (Loss)     (791,843 )     (1,128,375 )     (6,406,670 )     (184,303 )     (176,506 )     (538,503 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (10,400,635 )     (12,692,865 )     (79,900,778 )     (2,597,535 )     —       (5,458,723 )  
Swap agreements     (22,977,940 )     (19,853,851 )     (158,745,544 )     (4,850,823 )     (8,632,789 )     (15,668,931 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (33,378,575 )     (32,546,716 )     (238,646,322 )     (7,448,358 )     (8,632,789 )     (21,127,654 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     220,484       (2,112,122 )     (5,584,349 )     130,818       —       988,875    
Swap agreements     (12,977,355 )     (28,718,587 )     (109,140,055 )     (3,431,274 )     (1,032,065 )     (4,053,277 )  
Change in net unrealized
appreciation (depreciation)		     (12,756,871 )     (30,830,709 )     (114,724,404 )     (3,300,456 )     (1,032,065 )     (3,064,402 )  
Net realized and unrealized gain (loss)     (46,135,446 )     (63,377,425 )     (353,370,726 )     (10,748,814 )     (9,664,854 )     (24,192,056 )  
Change in Net Assets Resulting
from Operations		   $ (46,927,289 )   $ (64,505,800 )   $ (359,777,396 )   $ (10,933,117 )   $ (9,841,360 )   $ (24,730,559 )  

 

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 249


    UltraShort
QQQ®		   UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
Russell3000		   UltraShort
MidCap400		   UltraShort
SmallCap600		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   June 30, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     504,289       301,636       1,837,701       1,709       30,388       15,498    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     504,289       301,636       1,837,701       1,709       30,388       15,498    
EXPENSES:  
Advisory fees (Note 4)     3,923,665       2,368,455       13,936,756       13,966       203,941       104,903    
Management Services fees (Note 4)     523,151       315,792       1,858,221       1,862       27,192       13,987    
Professional fees     21,804       17,136       52,433       8,582       10,742       9,924    
Administration fees (Note 5)     117,531       98,847       152,720       3,209       40,674       39,877    
Custodian fees (Note 6)     62,242       38,633       212,698       895       4,856       2,451    
Printing and Shareholder reports     91,444       55,810       328,912       1,740       4,758       2,465    
Licensing fees     529,670       132,336       10,277       6,190       7,271       6,015    
Trustee fees     6,270       3,976       23,248       23       380       187    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     27,681       15,084       75,789       1,760       4,007       2,670    
Total Gross Expenses before
fees waived and/or reimbursed		     5,303,458       3,046,069       16,651,054       38,227       303,821       182,479    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (346,152 )     (53,459 )     —       (20,586 )     (46,180 )     (49,895 )  
Total Net Expenses     4,957,306       2,992,610       16,651,054       17,641       257,641       132,584    
Net Investment Income (Loss)     (4,453,017 )     (2,690,974 )     (14,813,353 )     (15,932 )     (227,253 )     (117,086 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (42,685,260 )     (29,193,288 )     (157,422,827 )     —       (2,503,967 )     —    
Swap agreements     (295,601,485 )     (127,125,806 )     (904,509,143 )     (766,788 )     (33,521,521 )     (8,952,159 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (338,286,745 )     (156,319,094 )     (1,061,931,970 )     (766,788 )     (36,025,488 )     (8,952,159 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     1,796,027       (2,216,249 )     (1,859,076 )     —       311,147       —    
Swap agreements     (148,264,647 )     (128,566,031 )     (582,452,995 )     (1,130,035 )     9,450,796       (2,374,637 )  
Change in net unrealized
appreciation (depreciation)		     (146,468,620 )     (130,782,280 )     (584,312,071 )     (1,130,035 )     9,761,943       (2,374,637 )  
Net realized and unrealized gain (loss)     (484,755,365 )     (287,101,374 )     (1,646,244,041 )     (1,896,823 )     (26,263,545 )     (11,326,796 )  
Change in Net Assets Resulting
from Operations		   $ (489,208,382 )   $ (289,792,348 )   $ (1,661,057,394 )   $ (1,912,755 )   $ (26,490,798 )   $ (11,443,882 )  

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

250 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    UltraShort
Russell2000		   UltraPro Short
S&P500®		   UltraShort
Russell1000
Value		   UltraShort
Russell1000
Growth		   UltraShort
Russell MidCap
Value		   UltraShort
Russell MidCap
Growth		  
    Six Months
Ended
November 30,
2009		   June 23, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     274,164       32,601       5,771       6,428       2,881       4,066    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     274,164       32,601       5,771       6,428       2,881       4,066    
EXPENSES:  
Advisory fees (Note 4)     1,801,645       354,971       38,844       47,181       18,329       26,894    
Management Services fees (Note 4)     240,217       47,329       5,179       6,291       2,444       3,586    
Professional fees     17,704       9,977       9,743       9,739       9,533       9,555    
Administration fees (Note 5)     88,845       40,106       39,285       39,287       39,045       39,122    
Custodian fees (Note 6)     29,333       6,182       1,333       1,458       1,026       1,154    
Printing and Shareholder reports     40,199       12,465       922       1,174       454       634    
Licensing fees     233,357       7,494       6,108       6,876       4,762       4,762    
Trustee fees     3,062       430       96       93       34       44    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     12,917       3,567       2,372       2,422       2,310       2,323    
Total Gross Expenses before
fees waived and/or reimbursed		     2,467,279       482,521       103,882       114,521       77,937       88,074    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (192,317 )     (34,383 )     (54,794 )     (54,893 )     (54,812 )     (54,091 )  
Total Net Expenses     2,274,962       448,138       49,088       59,628       23,125       33,983    
Net Investment Income (Loss)     (2,000,798 )     (415,537 )     (43,317 )     (53,200 )     (20,244 )     (29,917 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (17,296,205 )     (3,747,347 )     —       —       —       —    
Swap agreements     (177,217,498 )     (37,429,862 )     (4,985,275 )     (5,125,064 )     (1,918,290 )     (4,164,184 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (194,513,703 )     (41,177,209 )     (4,985,275 )     (5,125,064 )     (1,918,290 )     (4,164,184 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     3,202,264       (105,095 )     —       —       —       —    
Swap agreements     (24,006,162 )     (17,637,548 )     501,752       (39,731 )     (1,293,681 )     1,027,430    
Change in net unrealized
appreciation (depreciation)		     (20,803,898 )     (17,742,643 )     501,752       (39,731 )     (1,293,681 )     1,027,430    
Net realized and unrealized gain (loss)     (215,317,601 )     (58,919,852 )     (4,483,523 )     (5,164,795 )     (3,211,971 )     (3,136,754 )  
Change in Net Assets Resulting
from Operations		   $ (217,318,399 )   $ (59,335,389 )   $ (4,526,840 )   $ (5,217,995 )   $ (3,232,215 )   $ (3,166,671 )  

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 251


    UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		   Short
Financials		   Short
Oil & Gas		   UltraShort
Basic Materials		   UltraShort
Consumer
Goods		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     8,093       6,689       66,919       5,304       76,000       13,468    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     8,093       6,689       66,919       5,304       76,000       13,468    
EXPENSES:  
Advisory fees (Note 4)     52,331       45,881       471,266       50,156       464,605       86,159    
Management Services fees (Note 4)     6,978       6,117       62,835       6,687       61,947       11,488    
Professional fees     9,661       9,697       10,850       9,608       11,062       9,903    
Administration fees (Note 5)     39,383       39,379       51,695       37,788       51,122       39,579    
Custodian fees (Note 6)     1,535       1,438       8,290       1,685       8,262       2,056    
Printing and Shareholder reports     1,210       1,070       10,869       1,157       10,308       2,033    
Licensing fees     6,982       6,732       29,896       7,437       29,541       9,357    
Trustee fees     95       75       756       71       743       165    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,435       2,421       3,973       2,307       5,238       2,499    
Total Gross Expenses before
fees waived and/or reimbursed		     120,610       112,810       650,430       116,896       642,828       163,239    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (54,483 )     (54,856 )     (54,230 )     (53,432 )     (56,725 )     (54,365 )  
Total Net Expenses     66,127       57,954       596,200       63,464       586,103       108,874    
Net Investment Income (Loss)     (58,034 )     (51,265 )     (529,281 )     (58,160 )     (510,103 )     (95,406 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (4,689,685 )     (4,436,480 )     (31,651,787 )     (2,125,030 )     (65,537,708 )     (4,351,859 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (4,689,685 )     (4,436,480 )     (31,651,787 )     (2,125,030 )     (65,537,708 )     (4,351,859 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,636,985 )     (425,137 )     873,793       (417,747 )     (26,865,458 )     (5,433,695 )  
Change in net unrealized
appreciation (depreciation)		     (1,636,985 )     (425,137 )     873,793       (417,747 )     (26,865,458 )     (5,433,695 )  
Net realized and unrealized gain (loss)     (6,326,670 )     (4,861,617 )     (30,777,994 )     (2,542,777 )     (92,403,166 )     (9,785,554 )  
Change in Net Assets Resulting
from Operations		   $ (6,384,704 )   $ (4,912,882 )   $ (31,307,275 )   $ (2,600,937 )   $ (92,913,269 )   $ (9,880,960 )  

 

See accompanying notes to the financial statements.

252 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    UltraShort
Consumer
Services		   UltraShort
Financials		   UltraShort
Health Care		   UltraShort
Industrials		   UltraShort
Oil & Gas		   UltraShort
Real Estate		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     44,073       548,786       5,358       19,961       159,181       571,125    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     44,073       548,786       5,358       19,961       159,181       571,125    
EXPENSES:  
Advisory fees (Note 4)     265,470       3,591,120       33,939       112,657       1,225,070       3,788,123    
Management Services fees (Note 4)     35,396       478,812       4,525       15,021       163,341       505,079    
Professional fees     11,129       26,327       9,588       10,318       17,951       27,901    
Administration fees (Note 5)     43,161       113,508       39,083       39,649       74,860       114,720    
Custodian fees (Note 6)     4,871       57,205       1,260       2,702       20,845       59,910    
Printing and Shareholder reports     6,398       85,452       865       2,658       28,564       88,454    
Licensing fees     18,920       197,293       6,572       10,770       70,099       209,806    
Trustee fees     581       5,925       61       212       2,119       6,848    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     3,710       28,357       2,362       2,562       10,109       26,415    
Total Gross Expenses before
fees waived and/or reimbursed		     389,636       4,583,999       98,255       196,549       1,612,958       4,827,256    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (54,307 )     (36,091 )     (55,364 )     (54,296 )     (63,132 )     (48,040 )  
Total Net Expenses     335,329       4,547,908       42,891       142,253       1,549,826       4,779,216    
Net Investment Income (Loss)     (291,256 )     (3,999,122 )     (37,533 )     (122,292 )     (1,390,645 )     (4,208,091 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (33,331,613 )     (865,616,050 )     (3,047,683 )     (18,285,998 )     (46,774,101 )     (1,183,247,973 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (33,331,613 )     (865,616,050 )     (3,047,683 )     (18,285,998 )     (46,774,101 )     (1,183,247,973 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (2,040,539 )     403,470,132       (612,499 )     1,227,916       (26,777,749 )     414,905,966    
Change in net unrealized
appreciation (depreciation)		     (2,040,539 )     403,470,132       (612,499 )     1,227,916       (26,777,749 )     414,905,966    
Net realized and unrealized gain (loss)     (35,372,152 )     (462,145,918 )     (3,660,182 )     (17,058,082 )     (73,551,850 )     (768,342,007 )  
Change in Net Assets Resulting
from Operations		   $ (35,663,408 )   $ (466,145,040 )   $ (3,697,715 )   $ (17,180,374 )   $ (74,942,495 )   $ (772,550,098 )  

 

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 253


    UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Telecommunications		   UltraShort
Utilities		   Short MSCI
EAFE		   Short MSCI
Emerging
Markets		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     18,833       18,674       957       5,848       32,080       78,283    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     18,833       18,674       957       5,848       32,080       78,283    
EXPENSES:  
Advisory fees (Note 4)     123,080       107,059       6,627       38,290       222,715       681,871    
Management Services fees (Note 4)     16,410       14,274       884       5,105       29,695       90,916    
Professional fees     9,852       10,233       9,262       9,635       10,076       11,662    
Administration fees (Note 5)     40,131       39,769       39,264       39,203       41,963       58,365    
Custodian fees (Note 6)     2,598       2,385       851       1,325       4,083       10,940    
Printing and Shareholder reports     2,822       2,587       166       927       5,106       14,749    
Licensing fees     11,326       10,471       5,115       6,804       28,518       77,495    
Trustee fees     202       214       1       61       366       904    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,538       2,686       2,230       2,370       2,888       4,998    
Total Gross Expenses before
fees waived and/or reimbursed		     208,959       189,678       64,400       103,720       345,410       951,900    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (53,458 )     (54,496 )     (56,032 )     (55,370 )     (63,684 )     (89,290 )  
Total Net Expenses     155,501       135,182       8,368       48,350       281,726       862,610    
Net Investment Income (Loss)     (136,668 )     (116,508 )     (7,411 )     (42,502 )     (249,646 )     (784,327 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (11,744,561 )     (17,064,337 )     (408,191 )     (3,008,389 )     (23,958,238 )     (27,626,421 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (11,744,561 )     (17,064,337 )     (408,191 )     (3,008,389 )     (23,958,238 )     (27,626,421 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (3,743,968 )     766,770       101,045       (316,779 )     9,340,973       (16,727,832 )  
Change in net unrealized
appreciation (depreciation)		     (3,743,968 )     766,770       101,045       (316,779 )     9,340,973       (16,727,832 )  
Net realized and unrealized gain (loss)     (15,488,529 )     (16,297,567 )     (307,146 )     (3,325,168 )     (14,617,265 )     (44,354,253 )  
Change in Net Assets Resulting
from Operations		   $ (15,625,197 )   $ (16,414,075 )   $ (314,557 )   $ (3,367,670 )   $ (14,866,911 )   $ (45,138,580 )  

 

See accompanying notes to the financial statements.

254 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)


    UltraShort
MSCI EAFE		   UltraShort
MSCI Emerging
Markets		   UltraShort
MSCI Europe		   UltraShort
MSCI Pacific
ex-Japan		   UltraShort
MSCI Brazil		   UltraShort
FTSE/Xinhua
China 25		  
    Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   June 16, 2009*
through
November 30,
2009		   June 16, 2009*
through
November 30,
2009		   June 16, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     25,390       128,946       2,701       1,324       2,765       137,890    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     25,390       128,946       2,701       1,324       2,765       137,890    
EXPENSES:  
Advisory fees (Note 4)     151,393       806,577       20,560       9,313       21,778       1,059,543    
Management Services fees (Note 4)     20,186       107,543       2,741       1,242       2,904       141,271    
Professional fees     10,744       15,093       9,034       9,000       9,021       12,776    
Administration fees (Note 5)     39,947       62,565       4,625       2,226       4,885       69,926    
Custodian fees (Note 6)     3,066       14,304       1,025       857       1,043       18,188    
Printing and Shareholder reports     3,553       19,095       1,785       1,599       2,427       25,336    
Licensing fees     20,910       90,798       29,849       29,849       29,848       117,999    
Trustee fees     339       1,836       34       19       28       1,811    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     3,310       7,405       1,855       1,835       1,860       9,108    
Total Gross Expenses before
fees waived and/or reimbursed		     253,448       1,125,216       71,508       55,940       73,794       1,455,958    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (62,212 )     (106,724 )     (45,570 )     (44,195 )     (46,347 )     (117,067 )  
Total Net Expenses     191,236       1,018,492       25,938       11,745       27,447       1,338,891    
Net Investment Income (Loss)     (165,846 )     (889,546 )     (23,237 )     (10,421 )     (24,682 )     (1,201,001 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (39,257,093 )     (194,711,903 )     (4,020,616 )     (1,118,230 )     (4,417,020 )     (104,292,331 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (39,257,093 )     (194,711,903 )     (4,020,616 )     (1,118,230 )     (4,417,020 )     (104,292,331 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     18,822,594       65,328,284       42,458       (942,836 )     (1,223,369 )     (30,850,164 )  
Change in net unrealized
appreciation (depreciation)		     18,822,594       65,328,284       42,458       (942,836 )     (1,223,369 )     (30,850,164 )  
Net realized and unrealized gain (loss)     (20,434,499 )     (129,383,619 )     (3,978,158 )     (2,061,066 )     (5,640,389 )     (135,142,495 )  
Change in Net Assets Resulting
from Operations		   $ (20,600,345 )   $ (130,273,165 )   $ (4,001,395 )   $ (2,071,487 )   $ (5,665,071 )   $ (136,343,496 )  

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

For the Periods Indicated (Unaudited) :: Statements of Operations :: ProShares Trust :: 255


    UltraShort
MSCI Japan		   UltraShort
MSCI Mexico
Investable
Market		   Short
20+ Year
Treasury		   UltraShort
7-10 Year
Treasury		   UltraShort
20+ Year
Treasury		   Credit Suisse
130/30		  
    Six Months
Ended
November 30,
2009		   June 16, 2009*
through
November 30,
2009		   August 18, 2009*
through
November 30,
2009		   Six Months
Ended
November 30,
2009		   Six Months
Ended
November 30,
2009		   July 13, 2009*
through
November 30,
2009		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ 179,937    
Interest     6,459       4,764       7,818       147,161       1,615,738       425    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     6,459       4,764       7,818       147,161       1,615,738       180,362    
EXPENSES:  
Advisory fees (Note 4)     45,849       36,541       145,107       1,399,852       15,915,225       73,011    
Management Services fees (Note 4)     6,113       4,872       19,348       186,646       2,122,014       9,735    
Professional fees     9,397       9,093       7,260       13,771       64,286       8,399    
Administration fees (Note 5)     39,471       8,034       19,465       79,717       159,721       19,688    
Custodian fees (Note 6)     1,438       1,263       2,709       22,218       239,865       10,727    
Printing and Shareholder reports     1,057       2,528       4,380       33,660       384,030       8,869    
Licensing fees     32,063       29,849       11,619       74,755       803,535       27,671    
Trustee fees     76       58       139       2,348       25,707       107    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       285,713       —    
Other fees     2,344       1,974       1,880       8,204       72,444       1,921    
Total Gross Expenses before
fees waived and/or reimbursed		     137,808       94,212       211,907       1,821,171       20,072,540       160,128    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (79,752 )     (48,177 )     (28,189 )     (49,057 )     —       (67,545 )  
Total Net Expenses     58,056       46,035       183,718       1,772,114       20,072,540       92,583    
Net Investment Income (Loss)     (51,597 )     (41,271 )     (175,900 )     (1,624,953 )     (18,456,802 )     87,779    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       628,011    
Futures contracts     —       —       (84,642 )     (1,048,828 )     (33,456,564 )     —    
Swap agreements     (1,196,855 )     (7,190,316 )     (196,404 )     8,243,156       (335,872,071 )     87,894    
In-kind redemptions of investments     —       —       —       —       —       570,161    
Net realized gain (loss)     (1,196,855 )     (7,190,316 )     (281,046 )     7,194,328       (369,328,635 )     1,286,066    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       2,333,842    
Futures contracts     —       —       (19,502 )     18,109       1,374,755       —    
Swap agreements     (145,979 )     (2,352,677 )     (3,077,495 )     (46,379,328 )     (197,719,534 )     358,192    
Change in net unrealized
appreciation (depreciation)		     (145,979 )     (2,352,677 )     (3,096,997 )     (46,361,219 )     (196,344,779 )     2,692,034    
Net realized and unrealized gain (loss)     (1,342,834 )     (9,542,993 )     (3,378,043 )     (39,166,891 )     (565,673,414 )     3,978,100    
Change in Net Assets Resulting
from Operations		   $ (1,394,431 )   $ (9,584,264 )   $ (3,553,943 )   $ (40,791,844 )   $ (584,130,216 )   $ 4,065,879    

 

*Commencement of investment operations.

See accompanying notes to the financial statements.

256 :: ProShares Trust :: Statements of Operations :: For the Periods Indicated (Unaudited)



Statements of Changes in Net Assets

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 257


    Ultra QQQ®   Ultra Dow30SM   Ultra S&P500®  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (1,912,679 )   $ (2,442,909 )   $ 3,259,396     $ 14,332,326     $ 9,994,633     $ 39,456,701    
Net realized gain (loss)     209,541,120       (1,221,253,036 )     65,180,511       (476,637,784 )     268,801,945       (1,683,583,545 )  
Change in net unrealized
appreciation (depreciation)		     201,675,113       148,534,094       131,997,222       42,166,773       453,529,978       303,687,615    
Change in Net Assets Resulting
from Operations		     409,303,554       (1,075,161,851 )     200,437,129       (420,138,685 )     732,326,556       (1,340,439,229 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       (5,170,804 )     (12,653,541 )     (11,922,216 )     (32,776,848 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       (428,824 )     —       —       (517,535 )     —    
Total distributions     —       (428,824 )     (5,170,804 )     (12,653,541 )     (12,439,751 )     (32,776,848 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     229,725,578       2,881,224,391       64,086,642       1,746,453,162       162,226,603       7,350,850,285    
Cost of shares redeemed     (841,587,835 )     (1,633,713,268 )     (453,701,933 )     (1,012,282,677 )     (1,613,210,721 )     (4,484,107,547 )  
Change in net assets resulting
from capital transactions		     (611,862,257 )     1,247,511,123       (389,615,291 )     734,170,485       (1,450,984,118 )     2,866,742,738    
Change in net assets     (202,558,703 )     171,920,448       (194,348,966 )     301,378,259       (731,097,313 )     1,493,526,661    
NET ASSETS:  
Beginning of period   $ 1,080,607,894     $ 908,687,446     $ 602,468,272     $ 301,090,013     $ 2,398,029,341     $ 904,502,680    
End of period   $ 878,049,191     $ 1,080,607,894     $ 408,119,306     $ 602,468,272     $ 1,666,932,028     $ 2,398,029,341    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (2,622,079 )   $ (709,400 )   $ 794,482     $ 2,705,890     $ 3,925,885     $ 6,371,003    
SHARE TRANSACTIONS:  
Beginning of period     29,925,000       10,050,001       20,625,000       3,975,001       91,500,000       12,225,001    
Issued     2,700,000       21,450,000       1,350,000       25,800,000       3,825,000       134,475,000    
Issued in-kind     2,550,000       49,500,000       525,000       24,000,000       1,650,000       128,400,000    
Redeemed     (13,875,000 )     (19,875,001 )     (10,275,000 )     (25,425,001 )     (42,300,000 )     (130,725,001 )  
Redemption in-kind     (4,950,000 )     (31,200,000 )     (2,775,000 )     (7,725,000 )     (9,525,000 )     (52,875,000 )  
Shares outstanding, end of period     16,350,000       29,925,000       9,450,000       20,625,000       45,150,000       91,500,000    

 

(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.

258 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra
Russell3000		   Ultra MidCap400   Ultra SmallCap600  
    June 30, 2009*
through
November 30,
2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 34,073     $ 127,417     $ 847,800     $ 8,635     $ 227,746    
Net realized gain (loss)     1,571,569       41,943,236       (103,309,159 )     9,880,767       (43,933,378 )  
Change in net unrealized appreciation (depreciation)     426,070       9,027,683       21,551,633       7,129,816       6,632,815    
Change in Net Assets Resulting from Operations     2,031,712       51,098,336       (80,909,726 )     17,019,218       (37,072,817 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (12,772 )     (134,319 )     (927,141 )     (28,543 )     (180,496 )  
Net realized gains on investments     —       —       —       —       —    
Tax return of capital     —       (227,381 )     —       (40,486 )     —    
Total distributions     (12,772 )     (361,700 )     (927,141 )     (69,029 )     (180,496 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     11,845,436       7,698,520       201,378,136       3,826       75,263,239    
Cost of shares redeemed     (8,249,363 )     (105,603,430 )     (94,170,071 )     (26,001,639 )     (5,268,558 )  
Change in net assets resulting from capital
transactions		     3,596,073       (97,904,910 )     107,208,065       (25,997,813 )     69,994,681    
Change in net assets     5,615,013       (47,168,274 )     25,371,198       (9,047,624 )     32,741,368    
NET ASSETS:  
Beginning of period   $ —     $ 158,895,415     $ 133,524,217     $ 54,564,987     $ 21,823,619    
End of period   $ 5,615,013     $ 111,727,141     $ 158,895,415     $ 45,517,363     $ 54,564,987    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ 21,301     $ (271,056 )   $ (36,773 )   $ (38,515 )   $ 21,879    
SHARE TRANSACTIONS:  
Beginning of period     —       5,925,000       1,650,001       2,700,000       375,001    
Issued     250,001       225,000       5,175,000       —       375,000    
Issued in-kind     —       —       1,575,000       —       2,175,000    
Redeemed     —       (2,475,000 )     (1,950,001 )     (375,000 )     (225,001 )  
Redemption in-kind     (150,000 )     (675,000 )     (525,000 )     (600,000 )     —    
Shares outstanding, end of period     100,001       3,000,000       5,925,000       1,725,000       2,700,000    

 

*  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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 259


    Ultra Russell2000   UltraPro
S&P500®		   Ultra Russell1000 Value  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   June 23, 2009*
through
November 30,
2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 128,654     $ 1,646,947     $ 82,454     $ 125,725     $ 322,509    
Net realized gain (loss)     85,129,480       (280,209,440 )     22,762,307       1,265,405       (16,275,794 )  
Change in net unrealized appreciation (depreciation)     (8,597,521 )     70,803,621       217,294       5,510,735       3,312,152    
Change in Net Assets Resulting from Operations     76,660,613       (207,758,872 )     23,062,055       6,901,865       (12,641,133 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (211,963 )     (1,616,558 )     (25,302 )     (132,129 )     (275,589 )  
Net realized gains on investments     —       —       —       —       —    
Tax return of capital     (276,673 )     —       —       —       —    
Total distributions     (488,636 )     (1,616,558 )     (25,302 )     (132,129 )     (275,589 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     20,504,972       604,015,448       117,724,434       1,458,233       29,978,766    
Cost of shares redeemed     (241,058,796 )     (203,815,198 )     (54,771,016 )     (3,510,886 )     (4,366,737 )  
Change in net assets resulting from capital
transactions		     (220,553,824 )     400,200,250       62,953,418       (2,052,653 )     25,612,029    
Change in net assets     (144,381,847 )     190,824,820       85,990,171       4,717,083       12,695,307    
NET ASSETS:  
Beginning of period   $ 303,990,120     $ 113,165,300     $ —     $ 20,483,895     $ 7,788,588    
End of period   $ 159,608,273     $ 303,990,120     $ 85,990,171     $ 25,200,978     $ 20,483,895    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ (333,156 )   $ 26,826     $ 57,152     $ 56,404     $ 62,808    
SHARE TRANSACTIONS:  
Beginning of period     16,200,000       2,025,001       —       1,275,000       150,001    
Issued     900,000       15,075,000       850,001       75,000       1,275,000    
Issued in-kind     —       9,750,000       150,000       —       150,000    
Redeemed     (5,850,000 )     (8,925,001 )     —       (225,000 )     (300,001 )  
Redemption in-kind     (4,725,000 )     (1,725,000 )     (400,000 )     —       —    
Shares outstanding, end of period     6,525,000       16,200,000       600,001       1,125,000       1,275,000    

 

*  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.

260 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Russell1000 Growth   Ultra Russell MidCap Value   Ultra Russell MidCap Growth  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 167,528     $ 191,156     $ 106,861     $ 140,160     $ 6,661     $ 37,240    
Net realized gain (loss)     7,822,175       (24,841,389 )     2,687,707       (8,803,313 )     2,554,655       (13,474,826 )  
Change in net unrealized
appreciation (depreciation)		     3,751,367       4,959,754       4,694,493       2,191,658       3,123,353       1,139,671    
Change in Net Assets Resulting
from Operations		     11,741,070       (19,690,479 )     7,489,061       (6,471,495 )     5,684,669       (12,297,915 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (87,002 )     (153,771 )     (91,501 )     (115,799 )     —       (36,599 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     (6,860 )     (28,627 )     (14,418 )     —       (10,630 )     —    
Total distributions     (93,862 )     (182,398 )     (105,919 )     (115,799 )     (10,630 )     (36,599 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,439       22,908,209       2,440,622       16,448,699       —       11,938,940    
Cost of shares redeemed     (13,151,270 )     (13,907,382 )     —       (13 )     —       (3,827,166 )  
Change in net assets resulting
from capital transactions		     (13,149,831 )     9,000,827       2,440,622       16,448,686       —       8,111,774    
Change in net assets     (1,502,623 )     (10,872,050 )     9,823,764       9,861,392       5,674,039       (4,222,740 )  
NET ASSETS:  
Beginning of period   $ 29,071,718     $ 39,943,768     $ 13,777,376     $ 3,915,984     $ 15,459,698     $ 19,682,438    
End of period   $ 27,569,095     $ 29,071,718     $ 23,601,140     $ 13,777,376     $ 21,133,737     $ 15,459,698    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 133,057     $ 59,391     $ 25,818     $ 24,876     $ 1,178     $ 5,147    
SHARE TRANSACTIONS:  
Beginning of period     1,125,000       600,001       900,000       75,001       750,000       300,001    
Issued     —       675,000       150,000       675,000       —       525,000    
Issued in-kind     —       225,000       —       150,000       —       —    
Redeemed     —       (225,001 )     —       (1 )     —       (1 )  
Redemption in-kind     (375,000 )     (150,000 )     —       —       —       (75,000 )  
Shares outstanding, end of period     750,000       1,125,000       1,050,000       900,000       750,000       750,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 261


    Ultra Russell2000 Value   Ultra Russell2000 Growth   Ultra Basic Materials  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 72,746     $ 196,976     $ (52,816 )   $ (581 )   $ 967,476     $ 3,949,315    
Net realized gain (loss)     3,886,550       (18,329,721 )     6,100,465       (22,254,243 )     139,690,174       (134,056,297 )  
Change in net unrealized
appreciation (depreciation)		     2,069,061       2,699,977       955,844       4,557,247       64,349,483       170,122,831    
Change in Net Assets Resulting
from Operations		     6,028,357       (15,432,768 )     7,003,493       (17,697,577 )     205,007,133       40,015,849    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (99,612 )     (183,008 )     —       (12,286 )     (1,739,886 )     (3,148,184 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     (99,612 )     (183,008 )     —       (12,286 )     (1,739,886 )     (3,148,184 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     788       31,200,656       1,505,018       30,533,429       102,103,935       655,564,008    
Cost of shares redeemed     (7,113,682 )     (7,215,427 )     (8,046,902 )     (2,760,998 )     (352,142,957 )     (257,144,039 )  
Change in net assets resulting
from capital transactions		     (7,112,894 )     23,985,229       (6,541,884 )     27,772,431       (250,039,022 )     398,419,969    
Change in net assets     (1,184,149 )     8,369,453       461,609       10,062,568       (46,771,775 )     435,287,634    
NET ASSETS:  
Beginning of period   $ 18,447,847     $ 10,078,394     $ 23,182,629     $ 13,120,061     $ 466,528,444     $ 31,240,810    
End of period   $ 17,263,698     $ 18,447,847     $ 23,644,238     $ 23,182,629     $ 419,756,669     $ 466,528,444    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (20,290 )   $ 6,576     $ (68,926 )   $ (16,110 )   $ 122,021     $ 894,431    
SHARE TRANSACTIONS:  
Beginning of period     1,275,000       225,001       1,125,000       225,001       23,475,000       300,001    
Issued     —       1,125,000       75,000       750,000       4,875,000       21,525,000    
Issued in-kind     —       150,000       —       225,000       225,000       19,875,000    
Redeemed     —       (1 )     —       (75,001 )     (8,475,000 )     (7,575,001 )  
Redemption in-kind     (375,000 )     (225,000 )     (300,000 )     —       (6,525,000 )     (10,650,000 )  
Shares outstanding, end of period     900,000       1,275,000       900,000       1,125,000       13,575,000       23,475,000    

 

(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.

262 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Consumer Goods   Ultra Consumer Services   Ultra Financials  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 216,827     $ 213,006     $ 26,159     $ 55,710     $ 4,201,279     $ 44,587,708    
Net realized gain (loss)     3,542,528       (6,998,725 )     1,888,077       (6,145,873 )     369,224,547       (3,457,504,196 )  
Change in net unrealized
appreciation (depreciation)		     5,062,122       1,946,935       3,184,308       1,703,781       408,091,997       740,804,097    
Change in Net Assets Resulting
from Operations		     8,821,477       (4,838,784 )     5,098,544       (4,386,382 )     781,517,823       (2,672,112,391 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (176,371 )     (187,811 )     (12,047 )     (53,058 )     (3,698,132 )     (41,994,211 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       (11,646 )     —       (5,664,456 )     —    
Total distributions     (176,371 )     (187,811 )     (23,693 )     (53,058 )     (9,362,588 )     (41,994,211 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     5,366,535       13,267,279       —       12,188,308       159,380,269       7,807,033,167    
Cost of shares redeemed     —       (2,176,099 )     —       (19 )     (1,430,359,251 )     (3,630,653,331 )  
Change in net assets resulting
from capital transactions		     5,366,535       11,091,180       —       12,188,289       (1,270,978,982 )     4,176,379,836    
Change in net assets     14,011,641       6,064,585       5,074,851       7,748,849       (498,823,747 )     1,462,273,234    
NET ASSETS:  
Beginning of period   $ 15,917,900     $ 9,853,315     $ 11,439,577     $ 3,690,728     $ 2,517,915,121     $ 1,055,641,887    
End of period   $ 29,929,541     $ 15,917,900     $ 16,514,428     $ 11,439,577     $ 2,019,091,374     $ 2,517,915,121    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 75,106     $ 34,650     $ 7,576     $ 5,110     $ (4,294,095 )   $ 867,214    
SHARE TRANSACTIONS:  
Beginning of period     450,000       150,001       525,000       75,001       610,125,000       35,475,001    
Issued     150,000       375,000       —       225,000       39,750,000       543,975,000    
Issued in-kind     —       —       —       225,000       —       656,700,000    
Redeemed     —       (75,001 )     —       (1 )     (238,950,000 )     (174,150,001 )  
Redemption in-kind     —       —       —       —       (54,300,000 )     (451,875,000 )  
Shares outstanding, end of period     600,000       450,000       525,000       525,000       356,625,000       610,125,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 263


    Ultra Health Care   Ultra Industrials   Ultra Oil & Gas  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 474,960     $ 478,492     $ 179,159     $ 251,570     $ 1,725,228     $ 5,886,487    
Net realized gain (loss)     2,975,730       (25,287,982 )     8,494,449       (12,944,729 )     97,596,541       (211,001,913 )  
Change in net unrealized
appreciation (depreciation)		     12,140,850       1,953,100       7,821,744       5,835,339       4,906,021       146,046,286    
Change in Net Assets Resulting
from Operations		     15,591,540       (22,856,390 )     16,495,352       (6,857,820 )     104,227,790       (59,069,140 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (190,102 )     (422,054 )     (181,404 )     (198,018 )     (2,003,574 )     (3,819,539 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     (18,231 )     —       —       —       (740,383 )     —    
Total distributions     (208,333 )     (422,054 )     (181,404 )     (198,018 )     (2,743,957 )     (3,819,539 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     4,673       56,774,432       2,993,266       26,191,510       240,976,451       2,511,724,331    
Cost of shares redeemed     (20,893,260 )     (2,270,794 )     (7,025,819 )     (16 )     (741,051,056 )     (1,708,332,965 )  
Change in net assets resulting
from capital transactions		     (20,888,587 )     54,503,638       (4,032,553 )     26,191,494       (500,074,605 )     803,391,366    
Change in net assets     (5,505,380 )     31,225,194       12,281,395       19,135,656       (398,590,772 )     740,502,687    
NET ASSETS:  
Beginning of period   $ 48,657,764     $ 17,432,570     $ 30,227,732     $ 11,092,076     $ 818,546,232     $ 78,043,545    
End of period   $ 43,152,384     $ 48,657,764     $ 42,509,127     $ 30,227,732     $ 419,955,460     $ 818,546,232    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 370,035     $ 103,408     $ 62,345     $ 64,590     $ 610,054     $ 1,628,783    
SHARE TRANSACTIONS:  
Beginning of period     1,425,000       300,001       1,500,000       150,001       27,375,000       675,001    
Issued     —       750,000       150,000       1,350,000       7,425,000       21,900,000    
Issued in-kind     —       450,000       —       —       1,350,000       61,575,000    
Redeemed     (525,000 )     (75,001 )     —       (1 )     (23,025,000 )     (6,975,001 )  
Redemption in-kind     —       —       (225,000 )     —       (1,050,000 )     (49,800,000 )  
Shares outstanding, end of period     900,000       1,425,000       1,425,000       1,500,000       12,075,000       27,375,000    

 

(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.

264 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Real Estate   Ultra Semiconductors   Ultra Technology  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 6,674,648     $ 4,990,152     $ 266,759     $ 844,020     $ (145,023 )   $ 267,053    
Net realized gain (loss)     178,610,703       (192,993,835 )     21,625,092       (76,732,119 )     31,253,109       (90,573,780 )  
Change in net unrealized
appreciation (depreciation)		     81,632,159       67,838,993       16,785,127       12,957,581       35,291,696       19,618,620    
Change in Net Assets Resulting
from Operations		     266,917,510       (120,164,690 )     38,676,978       (62,930,518 )     66,399,782       (70,688,107 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (8,585,946 )     (5,298,919 )     (363,571 )     (779,217 )     —       (266,023 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       (67,408 )     (19,880 )     (41,237 )     (55,621 )  
Total distributions     (8,585,946 )     (5,298,919 )     (430,979 )     (799,097 )     (41,237 )     (321,644 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     569,237,027       754,113,990       8,486,105       119,847,098       5,517,649       120,132,221    
Cost of shares redeemed     (659,861,450 )     (234,742,507 )     (68,026,886 )     (68,226,335 )     (56,669,324 )     (54,028,181 )  
Change in net assets resulting
from capital transactions		     (90,624,423 )     519,371,483       (59,540,781 )     51,620,763       (51,151,675 )     66,104,040    
Change in net assets     167,707,141       393,907,874       (21,294,782 )     (12,108,852 )     15,206,870       (4,905,711 )  
NET ASSETS:  
Beginning of period   $ 451,439,404     $ 57,531,530     $ 105,485,309     $ 117,594,161     $ 128,438,443     $ 133,344,154    
End of period   $ 619,146,545     $ 451,439,404     $ 84,190,527     $ 105,485,309     $ 143,645,313     $ 128,438,443    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (1,783,242 )   $ 128,056     $ 113,145     $ 277,365     $ (99,192 )   $ 87,068    
SHARE TRANSACTIONS:  
Beginning of period     117,750,000       1,575,001       5,550,000       1,950,001       4,350,000       1,875,001    
Issued     110,550,000       143,475,000       150,000       2,925,000       150,000       2,925,000    
Issued in-kind     16,200,000       27,525,000       150,000       2,400,000       —       975,000    
Redeemed     (93,600,000 )     (38,925,001 )     (2,625,000 )     (225,001 )     (1,125,000 )     (75,001 )  
Redemption in-kind     (48,675,000 )     (15,900,000 )     (75,000 )     (1,500,000 )     (300,000 )     (1,350,000 )  
Shares outstanding, end of period     102,225,000       117,750,000       3,150,000       5,550,000       3,075,000       4,350,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 265


    Ultra Telecommunications   Ultra Utilities   Ultra MSCI
EAFE		   Ultra MSCI
Emerging
Markets		  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   June 2, 2009*
through
November 30,
2009
(Unaudited)		   June 2, 2009*
through
November 30,
2009
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 202,595     $ 282,434     $ 363,139     $ 719,577     $ (3,919 )   $ (29,378 )  
Net realized gain (loss)     146,817       (7,030,195 )     2,104,413       (19,844,344 )     1,319,598       4,661,358    
Change in net unrealized
appreciation (depreciation)		     779,278       590,654       3,965,904       (579,740 )     269,083       (445,807 )  
Change in Net Assets Resulting
from Operations		     1,128,690       (6,157,107 )     6,433,456       (19,704,507 )     1,584,762       4,186,173    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (188,375 )     (269,192 )     (387,093 )     (623,437 )     —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     (188,375 )     (269,192 )     (387,093 )     (623,437 )     —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       10,665,190       1,658       32,297,430       13,844,182       41,153,751    
Cost of shares redeemed     —       (5,949,983 )     (10,236,146 )     (4,549,470 )     —       (16,260,337 )  
Change in net assets resulting
from capital transactions		     —       4,715,207       (10,234,488 )     27,747,960       13,844,182       24,893,414    
Change in net assets     940,315       (1,711,092 )     (4,188,125 )     7,420,016       15,428,944       29,079,587    
NET ASSETS:  
Beginning of period   $ 11,646,622     $ 13,357,714     $ 25,180,577     $ 17,760,561     $ —     $ —    
End of period   $ 12,586,937     $ 11,646,622     $ 20,992,452     $ 25,180,577     $ 15,428,944     $ 29,079,587    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 78,157     $ 63,937     $ 137,758     $ 161,712     $ (3,919 )   $ (29,378 )  
SHARE TRANSACTIONS:  
Beginning of period     375,000       150,001       900,000       225,001       —       —    
Issued     —       375,000       —       525,000       150,001       500,001    
Issued in-kind     —       —       —       300,000       50,000       50,000    
Redeemed     —       (150,001 )     (150,000 )     (150,001 )     —       —    
Redemption in-kind     —       —       (150,000 )     —       —       (200,000 )  
Shares outstanding, end of period     375,000       375,000       600,000       900,000       200,001       350,001    

 

*  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.

266 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra FTSE/
Xinhua China 25		   Ultra MSCI
Japan		   Short QQQ®   Short Dow30SM  
    June 2, 2009*
through
November 30,
2009
(Unaudited)		   June 2, 2009*
through
November 30,
2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:                                                  
OPERATIONS:  
Net investment income (loss)   $ (83,144 )   $ (37,945 )   $ (791,843 )   $ (175,969 )   $ (1,128,375 )   $ (239,769 )  
Net realized gain (loss)     5,110,837       131,821       (33,378,575 )     15,747,294       (32,546,716 )     59,968,177    
Change in net unrealized
appreciation (depreciation)		     (1,074,271 )     (44,937 )     (12,756,871 )     (8,736,613 )     (30,830,709 )     (12,154,920 )  
Change in Net Assets Resulting
from Operations		     3,953,422       48,939       (46,927,289 )     6,834,712       (64,505,800 )     47,573,488    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       (493,159 )     —       (990,714 )  
Net realized gains on investments     —       —       —       (5,101,612 )     —       (20,911,593 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       (5,594,771 )     —       (21,902,307 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     37,317,457       8,892,765       112,634,458       164,243,475       134,956,926       283,972,376    
Cost of shares redeemed     (11,125,389 )     —       (64,008,883 )     (55,293,505 )     (46,965,875 )     (245,845,614 )  
Change in net assets resulting
from capital transactions		     26,192,068       8,892,765       48,625,575       108,949,970       87,991,051       38,126,762    
Change in net assets     30,145,490       8,941,704       1,698,286       110,189,911       23,485,251       63,797,943    
NET ASSETS:  
Beginning of period   $ —     $ —     $ 174,679,836     $ 64,489,925     $ 234,481,664     $ 170,683,721    
End of period   $ 30,145,490     $ 8,941,704     $ 176,378,122     $ 174,679,836     $ 257,966,915     $ 234,481,664    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (83,144 )   $ (37,945 )   $ (1,258,920 )   $ (467,077 )   $ (2,080,666 )   $ (952,291 )  
SHARE TRANSACTIONS:  
Beginning of period     —       —       3,000,000       1,200,001       3,525,000       2,775,001    
Issued     550,001       150,001       2,175,000       2,625,000       2,175,000       3,975,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (150,000 )     —       (1,350,000 )     (825,001 )     (825,000 )     (3,225,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     400,001       150,001       3,825,000       3,000,000       4,875,000       3,525,000    

 

*  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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 267


    Short S&P500®   Short MidCap400   Short SmallCap600  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (6,406,670 )   $ (1,831,190 )   $ (184,303 )   $ (3,126 )   $ (176,506 )   $ (36,816 )  
Net realized gain (loss)     (238,646,322 )     39,299,218       (7,448,358 )     13,116,862       (8,632,789 )     6,918,132    
Change in net unrealized
appreciation (depreciation)		     (114,724,404 )     (59,784,848 )     (3,300,456 )     (1,579,758 )     (1,032,065 )     (677,984 )  
Change in Net Assets Resulting
from Operations		     (359,777,396 )     (22,316,820 )     (10,933,117 )     11,533,978       (9,841,360 )     6,203,332    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (2,058,043 )     —       (245,046 )     —       (96,676 )  
Net realized gains on investments     —       (57,527,841 )     —       (4,239,225 )     —       (7,266,783 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (59,585,884 )     —       (4,484,271 )     —       (7,363,459 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,524,102,039       1,513,147,789       53,067,023       20,402,179       34,936,004       38,395,725    
Cost of shares redeemed     (740,400,101 )     (455,831,724 )     (33,803,949 )     (35,541,915 )     (6,778,049 )     (29,769,160 )  
Change in net assets resulting
from capital transactions		     783,701,938       1,057,316,065       19,263,074       (15,139,736 )     28,157,955       8,626,565    
Change in net assets     423,924,542       975,413,361       8,329,957       (8,090,029 )     18,316,595       7,466,438    
NET ASSETS:  
Beginning of period   $ 1,282,494,752     $ 307,081,391     $ 30,625,821     $ 38,715,850     $ 23,160,580     $ 15,694,142    
End of period   $ 1,706,419,294     $ 1,282,494,752     $ 38,955,778     $ 30,625,821     $ 41,477,175     $ 23,160,580    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (9,442,737 )   $ (3,036,067 )   $ (343,635 )   $ (159,332 )   $ (267,245 )   $ (90,739 )  
SHARE TRANSACTIONS:  
Beginning of period     19,426,429       4,876,429       525,000       675,001       450,000       225,001    
Issued     24,825,000       20,250,000       975,000       300,000       675,000       600,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (12,450,000 )     (5,700,000 )     (675,000 )     (450,001 )     (150,000 )     (375,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     31,801,429       19,426,429       825,000       525,000       975,000       450,000    

 

(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.

268 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Short Russell2000   UltraShort QQQ®   UltraShort Dow30SM  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:                                                  
OPERATIONS:  
Net investment income (loss)   $ (538,503 )   $ 20,534     $ (4,453,017 )   $ 2,237,370     $ (2,690,974 )   $ (613,334 )  
Net realized gain (loss)     (21,127,654 )     18,093,223       (338,286,745 )     852,268,707       (156,319,094 )     305,023,335    
Change in net unrealized
appreciation (depreciation)		     (3,064,402 )     (3,529,005 )     (146,468,620 )     (45,780,199 )     (130,782,280 )     (57,334,684 )  
Change in Net Assets Resulting
from Operations		     (24,730,559 )     14,584,752       (489,208,382 )     808,725,878       (289,792,348 )     247,075,317    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (530,624 )     —       (9,096,628 )     —       (3,266,362 )  
Net realized gains on investments     —       (16,345,318 )     —       (104,017,126 )     —       (171,438,455 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (16,875,942 )     —       (113,113,754 )     —       (174,704,817 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     189,607,084       106,035,547       827,431,960       3,267,816,023       339,373,389       1,485,748,871    
Cost of shares redeemed     (45,556,521 )     (106,615,317 )     (349,687,737 )     (4,749,043,248 )     (114,849,508 )     (1,477,655,500 )  
Change in net assets resulting
from capital transactions		     144,050,563       (579,770 )     477,744,223       (1,481,227,225 )     224,523,881       8,093,371    
Change in net assets     119,320,004       (2,870,960 )     (11,464,159 )     (785,615,101 )     (65,268,467 )     80,463,871    
NET ASSETS:  
Beginning of period   $ 78,488,719     $ 81,359,679     $ 956,421,692     $ 1,742,036,793     $ 639,203,391     $ 558,739,520    
End of period   $ 197,808,723     $ 78,488,719     $ 944,957,533     $ 956,421,692     $ 573,934,924     $ 639,203,391    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (811,580 )   $ (273,077 )   $ (7,961,494 )   $ (3,508,477 )   $ (5,212,401 )   $ (2,521,427 )  
SHARE TRANSACTIONS:  
Beginning of period     1,350,000       1,125,001       27,825,000       46,575,001       13,275,000       10,575,001    
Issued     3,675,000       1,500,000       30,075,000       66,000,000       8,850,000       22,875,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (900,000 )     (1,275,001 )     (13,425,000 )     (84,750,001 )     (3,075,000 )     (20,175,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     4,125,000       1,350,000       44,475,000       27,825,000       19,050,000       13,275,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 269


    UltraShort S&P500®   UltraShort
 Russell3000		   UltraShort MidCap400  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   June 30, 2009*
through
November 30,
2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:                                          
OPERATIONS:  
Net investment income (loss)   $ (14,813,353 )   $ (3,830,259 )   $ (15,932 )   $ (227,253 )   $ 309,290    
Net realized gain (loss)     (1,061,931,970 )     1,266,046,071       (766,788 )     (36,025,488 )     87,618,672    
Change in net unrealized appreciation (depreciation)     (584,312,071 )     (407,954,927 )     (1,130,035 )     9,761,943       304,727    
Change in Net Assets Resulting from Operations     (1,661,057,394 )     854,260,885       (1,912,755 )     (26,490,798 )     88,232,689    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (15,007,345 )     —       —       (1,153,228 )  
Net realized gains on investments     —       (515,979,065 )     —       —       (23,253,306 )  
Tax return of capital     —       —       —       —       —    
Total distributions     —       (530,986,410 )     —       —       (24,406,534 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,946,734,650       7,840,940,579       5,892,944       24,332,125       98,983,494    
Cost of shares redeemed     (803,326,841 )     (6,856,034,769 )     —       (8,648,841 )     (281,690,294 )  
Change in net assets resulting from capital
transactions		     1,143,407,809       984,905,810       5,892,944       15,683,284       (182,706,800 )  
Change in net assets     (517,649,585 )     1,308,180,285       3,980,189       (10,807,514 )     (118,880,645 )  
NET ASSETS:  
Beginning of period   $ 3,872,852,751     $ 2,564,672,466     $ —     $ 61,459,975     $ 180,340,620    
End of period   $ 3,355,203,166     $ 3,872,852,751     $ 3,980,189     $ 50,652,461     $ 61,459,975    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ (27,997,890 )   $ (13,184,537 )   $ (15,932 )   $ (543,011 )   $ (315,758 )  
SHARE TRANSACTIONS:  
Beginning of period     69,000,000       45,300,001       —       1,575,000       3,675,001    
Issued     40,950,000       104,025,000       150,001       750,000       1,575,000    
Issued in-kind     —       —       —       —       —    
Redeemed     (18,150,000 )     (80,325,001 )     —       (300,000 )     (3,675,001 )  
Redemption in-kind     —       —       —       —       —    
Shares outstanding, end of period     91,800,000       69,000,000       150,001       2,025,000       1,575,000    

 

*  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.

270 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated



    UltraShort SmallCap600   UltraShort Russell2000   UltraPro Short
S&P500®		  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   June 23, 2009*
through
November 30,
2009
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (117,086 )   $ 156,470     $ (2,000,798 )   $ 2,317,045     $ (415,537 )  
Net realized gain (loss)     (8,952,159 )     42,327,786       (194,513,703 )     492,693,656       (41,177,209 )  
Change in net unrealized appreciation (depreciation)     (2,374,637 )     (508,756 )     (20,803,898 )     (29,905,855 )     (17,742,643 )  
Change in Net Assets Resulting from Operations     (11,443,882 )     41,975,500       (217,318,399 )     465,104,846       (59,335,389 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (336,661 )     —       (6,887,867 )     —    
Net realized gains on investments     —       (10,729,836 )     —       (133,163,951 )     —    
Tax return of capital     —       —       —       —       —    
Total distributions     —       (11,066,497 )     —       (140,051,818 )     —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     14,924,585       83,694,535       306,868,244       1,516,139,596       232,629,036    
Cost of shares redeemed     —       (154,169,803 )     (152,102,525 )     (2,432,462,736 )     (6,870,692 )  
Change in net assets resulting from capital
transactions		     14,924,585       (70,475,268 )     154,765,719       (916,323,140 )     225,758,344    
Change in net assets     3,480,703       (39,566,265 )     (62,552,680 )     (591,270,112 )     166,422,955    
NET ASSETS:  
Beginning of period   $ 24,725,067     $ 64,291,332     $ 578,467,097     $ 1,169,737,209     $ —    
End of period   $ 28,205,770     $ 24,725,067     $ 515,914,417     $ 578,467,097     $ 166,422,955    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ (250,924 )   $ (133,838 )   $ (4,139,431 )   $ (2,138,633 )   $ (415,537 )  
SHARE TRANSACTIONS:  
Beginning of period     525,000       975,001       12,900,000       17,175,001       —    
Issued     375,000       1,350,000       9,300,000       22,500,000       4,450,001    
Issued in-kind     —       —       —       —       —    
Redeemed     —       (1,800,001 )     (4,800,000 )     (26,775,001 )     (150,000 )  
Redemption in-kind     —       —       —       —       —    
Shares outstanding, end of period     900,000       525,000       17,400,000       12,900,000       4,300,001    

 

*  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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 271


    UltraShort Russell1000 Value   UltraShort Russell1000 Growth   UltraShort Russell MidCap Value  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (43,317 )   $ (43,640 )   $ (53,200 )   $ (34,236 )   $ (20,244 )   $ (24,573 )  
Net realized gain (loss)     (4,985,275 )     (830,630 )     (5,125,064 )     7,601,534       (1,918,290 )     2,361,428    
Change in net unrealized
appreciation (depreciation)		     501,752       (3,014,789 )     (39,731 )     (2,739,268 )     (1,293,681 )     (1,306,933 )  
Change in Net Assets Resulting
from Operations		     (4,526,840 )     (3,889,059 )     (5,217,995 )     4,828,030       (3,232,215 )     1,029,922    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (99,234 )     —       (103,760 )     —       (28,747 )  
Net realized gains on investments     —       (2,144,498 )     —       (7,417,088 )     (340,001 )     (4,156,613 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (2,243,732 )     —       (7,520,848 )     (340,001 )     (4,185,360 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     4,020,319       66,179,959       3,494,947       47,186,152       3,940,412       5,558,524    
Cost of shares redeemed     —       (53,343,200 )     (4,267,536 )     (41,417,203 )     —       (4,195,774 )  
Change in net assets resulting
from capital transactions		     4,020,319       12,836,759       (772,589 )     5,768,949       3,940,412       1,362,750    
Change in net assets     (506,521 )     6,703,968       (5,990,584 )     3,076,131       368,196       (1,792,688 )  
NET ASSETS:  
Beginning of period   $ 12,736,469     $ 6,032,501     $ 17,251,198     $ 14,175,067     $ 4,086,086     $ 5,878,774    
End of period   $ 12,229,948     $ 12,736,469     $ 11,260,614     $ 17,251,198     $ 4,454,282     $ 4,086,086    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (144,787 )   $ (101,470 )   $ (166,860 )   $ (113,660 )   $ (57,659 )   $ (37,415 )  
SHARE TRANSACTIONS:  
Beginning of period     150,000       75,001       300,000       225,001       75,000       75,001    
Issued     75,000       525,000       75,000       525,000       75,000       75,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (450,001 )     (75,000 )     (450,001 )     —       (75,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     225,000       150,000       300,000       300,000       150,000       75,000    

 

(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.

272 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Russell MidCap Growth   UltraShort Russell2000 Value   UltraShort Russell2000 Growth  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (29,917 )   $ 28,988     $ (58,034 )   $ 16,825     $ (51,265 )   $ 89,750    
Net realized gain (loss)     (4,164,184 )     7,068,542       (4,689,685 )     4,886,603       (4,436,480 )     14,811,378    
Change in net unrealized
appreciation (depreciation)		     1,027,430       (686,840 )     (1,636,985 )     (4,508,470 )     (425,137 )     1,358,935    
Change in Net Assets Resulting
from Operations		     (3,166,671 )     6,410,690       (6,384,704 )     394,958       (4,912,882 )     16,260,063    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (102,559 )     —       (155,678 )     —       (276,884 )  
Net realized gains on investments     —       (4,033,521 )     —       (2,290,255 )     (1,300,001 )     (6,860,410 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (4,136,080 )     —       (2,445,933 )     (1,300,001 )     (7,137,294 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     3,050,425       10,284,344       5,712,612       40,306,179       8,912,596       18,241,711    
Cost of shares redeemed     —       (19,416,363 )     —       (48,724,532 )     —       (60,854,363 )  
Change in net assets resulting
from capital transactions		     3,050,425       (9,132,019 )     5,712,612       (8,418,353 )     8,912,596       (42,612,652 )  
Change in net assets     (116,246 )     (6,857,409 )     (672,092 )     (10,469,328 )     2,699,713       (33,489,883 )  
NET ASSETS:  
Beginning of period   $ 6,808,993     $ 13,666,402     $ 14,768,460     $ 25,237,788     $ 11,432,022     $ 44,921,905    
End of period   $ 6,692,747     $ 6,808,993     $ 14,096,368     $ 14,768,460     $ 14,131,735     $ 11,432,022    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (72,838 )   $ (42,921 )   $ (125,863 )   $ (67,829 )   $ (120,266 )   $ (69,001 )  
SHARE TRANSACTIONS:  
Beginning of period     150,000       225,001       300,000       300,001       300,000       675,001    
Issued     75,000       150,000       150,000       525,000       300,000       300,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (225,001 )     —       (525,001 )     —       (675,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     225,000       150,000       450,000       300,000       600,000       300,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 273


    Short Financials   Short Oil & Gas   UltraShort Basic Materials  
    Six Months
Ended
November 30,
2009
(Unaudited)		   June 10, 2008*
through
May 31, 2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   June 10, 2008*
through
May 31, 2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (529,281 )   $ (288,444 )   $ (58,160 )   $ 16,320     $ (510,103 )   $ 812,973    
Net realized gain (loss)     (31,651,787 )     (21,438,241 )     (2,125,030 )     3,558,898       (65,537,708 )     279,161,996    
Change in net unrealized
appreciation (depreciation)		     873,793       (22,436,472 )     (417,747 )     (552,170 )     (26,865,458 )     (15,474,230 )  
Change in Net Assets Resulting
from Operations		     (31,307,275 )     (44,163,157 )     (2,600,937 )     3,023,048       (92,913,269 )     264,500,739    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (51,373 )     —       (40,334 )     —       (1,682,873 )  
Net realized gains on investments     —       (1,804,612 )     —       (1,821,663 )     —       (45,848,922 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (1,855,985 )     —       (1,861,997 )     —       (47,531,795 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     52,573,745       215,422,265       13,601,840       16,296,184       160,757,017       450,830,504    
Cost of shares redeemed     (65,036,622 )     (12,032,350 )     —       (13,021,805 )     (29,001,716 )     (810,473,385 )  
Change in net assets resulting
from capital transactions		     (12,462,877 )     203,389,915       13,601,840       3,274,379       131,755,301       (359,642,881 )  
Change in net assets     (43,770,152 )     157,370,773       11,000,903       4,435,430       38,842,032       (142,673,937 )  
NET ASSETS:  
Beginning of period   $ 157,370,773     $ —     $ 4,435,430     $ —     $ 62,692,138     $ 205,366,075    
End of period   $ 113,600,621     $ 157,370,773     $ 15,436,333     $ 4,435,430     $ 101,534,170     $ 62,692,138    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (869,748 )   $ (340,467 )   $ (84,413 )   $ (26,253 )   $ (919,915 )   $ (409,812 )  
SHARE TRANSACTIONS:  
Beginning of period     2,775,001       —       75,001       —       3,525,000       7,200,001    
Issued     1,050,000       2,925,001       225,000       225,001       9,975,000       11,550,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (1,275,000 )     (150,000 )     —       (150,000 )     (2,250,000 )     (15,225,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     2,550,001       2,775,001       300,001       75,001       11,250,000       3,525,000    

 

*  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.

274 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Consumer Goods   UltraShort Consumer Services   UltraShort Financials  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (95,406 )   $ 20,832     $ (291,256 )   $ 28,837     $ (3,999,122 )   $ 6,240,245    
Net realized gain (loss)     (4,351,859 )     23,264,979       (33,331,613 )     97,148,743       (865,616,050 )     951,592,909    
Change in net unrealized
appreciation (depreciation)		     (5,433,695 )     (4,533,529 )     (2,040,539 )     (18,389,065 )     403,470,132       (683,897,829 )  
Change in Net Assets Resulting
from Operations		     (9,880,960 )     18,752,282       (35,663,408 )     78,788,515       (466,145,040 )     273,935,325    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (237,598 )     —       (741,770 )     —       (6,600,296 )  
Net realized gains on investments     —       (8,485,786 )     —       (38,152,811 )     —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (8,723,384 )     —       (38,894,581 )     —       (6,600,296 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     9,835,841       66,274,258       38,435,200       292,201,998       826,581,046       12,063,875,633    
Cost of shares redeemed     —       (82,490,876 )     (32,516,850 )     (360,360,677 )     (661,442,947 )     (13,291,649,168 )  
Change in net assets resulting
from capital transactions		     9,835,841       (16,216,618 )     5,918,350       (68,158,679 )     165,138,099       (1,227,773,535 )  
Change in net assets     (45,119 )     (6,187,720 )     (29,745,058 )     (28,264,745 )     (301,006,941 )     (960,438,506 )  
NET ASSETS:  
Beginning of period   $ 19,673,539     $ 25,861,259     $ 72,413,482     $ 100,678,227     $ 1,204,273,272     $ 2,164,711,778    
End of period   $ 19,628,420     $ 19,673,539     $ 42,668,424     $ 72,413,482     $ 903,266,331     $ 1,204,273,272    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (252,953 )   $ (157,547 )   $ (822,423 )   $ (531,167 )   $ (8,681,900 )   $ (4,682,778 )  
SHARE TRANSACTIONS:  
Beginning of period     300,000       375,001       1,125,000       1,200,001       29,100,000       19,650,001    
Issued     150,000       825,000       600,000       3,000,000       26,400,000       114,150,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (900,001 )     (675,000 )     (3,075,001 )     (18,525,000 )     (104,700,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     450,000       300,000       1,050,000       1,125,000       36,975,000       29,100,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 275


    UltraShort Health Care   UltraShort Industrials   UltraShort Oil & Gas  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (37,533 )   $ 2,181     $ (122,292 )   $ 125,660     $ (1,390,645 )   $ 5,498,728    
Net realized gain (loss)     (3,047,683 )     (2,167,147 )     (18,285,998 )     86,926,773       (46,774,101 )     902,539,034    
Change in net unrealized
appreciation (depreciation)		     (612,499 )     (1,330,536 )     1,227,916       (7,572,587 )     (26,777,749 )     (8,934,572 )  
Change in Net Assets Resulting
from Operations		     (3,697,715 )     (3,495,502 )     (17,180,374 )     79,479,846       (74,942,495 )     899,103,190    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (81,932 )     —       (456,248 )     —       (8,912,191 )  
Net realized gains on investments     —       (4,448,011 )     —       (39,473,089 )     —       (121,459,797 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (4,529,943 )     —       (39,929,337 )     —       (130,371,988 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     678       26,670,946       10,071,723       123,076,546       340,572,687       1,611,981,579    
Cost of shares redeemed     (3,147,735 )     (17,929,049 )     (7,455,969 )     (155,271,513 )     (218,327,559 )     (4,489,724,856 )  
Change in net assets resulting
from capital transactions		     (3,147,057 )     8,741,897       2,615,754       (32,194,967 )     122,245,128       (2,877,743,277 )  
Change in net assets     (6,844,772 )     716,452       (14,564,620 )     7,355,542       47,302,633       (2,109,012,075 )  
NET ASSETS:  
Beginning of period   $ 12,335,562     $ 11,619,110     $ 35,749,848     $ 28,394,306     $ 219,567,281     $ 2,328,579,356    
End of period   $ 5,490,790     $ 12,335,562     $ 21,185,228     $ 35,749,848     $ 266,869,914     $ 219,567,281    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (88,842 )   $ (51,309 )   $ (346,123 )   $ (223,831 )   $ (2,911,256 )   $ (1,520,611 )  
SHARE TRANSACTIONS:  
Beginning of period     225,000       150,001       825,000       525,001       12,675,000       81,075,001    
Issued     —       300,000       225,000       2,100,000       21,075,000       54,975,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (75,000 )     (225,001 )     (225,000 )     (1,800,001 )     (12,825,000 )     (123,375,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     150,000       225,000       825,000       825,000       20,925,000       12,675,000    

 

(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.

276 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Real Estate   UltraShort Semiconductors   UltraShort Technology  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (4,208,091 )   $ (1,112,648 )   $ (136,668 )   $ 14,722     $ (116,508 )   $ (26,607 )  
Net realized gain (loss)     (1,183,247,973 )     (564,500,116 )     (11,744,561 )     28,906,537       (17,064,337 )     28,134,005    
Change in net unrealized
appreciation (depreciation)		     414,905,966       (577,745,794 )     (3,743,968 )     (6,130,253 )     766,770       (7,522,491 )  
Change in Net Assets Resulting
from Operations		     (772,550,098 )     (1,143,358,558 )     (15,625,197 )     22,791,006       (16,414,075 )     20,584,907    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (6,297,640 )     —       (232,750 )     —       (448,101 )  
Net realized gains on investments     —       (99,665,177 )     —       (12,703,857 )     —       (19,847,352 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (105,962,817 )     —       (12,936,607 )     —       (20,295,453 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     859,997,109       7,771,021,807       23,974,816       76,744,105       4,948,610       91,342,102    
Cost of shares redeemed     (470,305,515 )     (6,086,840,104 )     (8,149,444 )     (76,992,691 )     —       (95,908,783 )  
Change in net assets resulting
from capital transactions		     389,691,594       1,684,181,703       15,825,372       (248,586 )     4,948,610       (4,566,681 )  
Change in net assets     (382,858,504 )     434,860,328       200,175       9,605,813       (11,465,465 )     (4,277,227 )  
NET ASSETS:  
Beginning of period   $ 1,239,184,744     $ 804,324,416     $ 34,530,892     $ 24,925,079     $ 36,390,927     $ 40,668,154    
End of period   $ 856,326,240     $ 1,239,184,744     $ 34,731,067     $ 34,530,892     $ 24,925,462     $ 36,390,927    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (9,616,230 )   $ (5,408,139 )   $ (263,034 )   $ (126,366 )   $ (345,165 )   $ (228,657 )  
SHARE TRANSACTIONS:  
Beginning of period     63,600,000       9,525,001       900,000       450,001       825,000       750,001    
Issued     66,525,000       129,825,000       900,000       1,275,000       150,000       1,200,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (31,650,000 )     (75,750,001 )     (300,000 )     (825,001 )     —       (1,125,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     98,475,000       63,600,000       1,500,000       900,000       975,000       825,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 277


    UltraShort Telecommunications   UltraShort Utilities   Short MSCI EAFE  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (7,411 )   $ 17,187     $ (42,502 )   $ 10,186     $ (249,646 )   $ (167,929 )  
Net realized gain (loss)     (408,191 )     2,339,083       (3,008,389 )     21,506,479       (23,958,238 )     6,208,450    
Change in net unrealized
appreciation (depreciation)		     101,045       353,995       (316,779 )     (1,242,239 )     9,340,973       (9,945,853 )  
Change in Net Assets Resulting
from Operations		     (314,557 )     2,710,265       (3,367,670 )     20,274,426       (14,866,911 )     (3,905,332 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (56,606 )     —       (118,215 )     —       (192,310 )  
Net realized gains on investments     (710,001 )     (2,496,405 )     (2,580,000 )     (7,714,735 )     —       (8,527,297 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     (710,001 )     (2,553,011 )     (2,580,000 )     (7,832,950 )     —       (8,719,607 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       1,419       2,365,055       14,951,868       49,471,478       120,626,475    
Cost of shares redeemed     —       (5,869,117 )     —       (34,160,600 )     (41,937,018 )     (58,584,270 )  
Change in net assets resulting
from capital transactions		     —       (5,867,698 )     2,365,055       (19,208,732 )     7,534,460       62,042,205    
Change in net assets     (1,024,558 )     (5,710,444 )     (3,582,615 )     (6,767,256 )     (7,332,451 )     49,417,266    
NET ASSETS:  
Beginning of period   $ 2,325,327     $ 8,035,771     $ 12,318,203     $ 19,085,459     $ 60,461,321     $ 11,044,055    
End of period   $ 1,300,769     $ 2,325,327     $ 8,735,588     $ 12,318,203     $ 53,128,870     $ 60,461,321    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (26,325 )   $ (18,914 )   $ (108,792 )   $ (66,290 )   $ (511,458 )   $ (261,812 )  
SHARE TRANSACTIONS:  
Beginning of period     75,000       150,001       300,000       375,001       825,000       150,001    
Issued     —       —       75,000       300,000       750,000       1,275,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (75,001 )     —       (375,001 )     (675,000 )     (600,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     75,000       75,000       375,000       300,000       900,000       825,000    

 

(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.

278 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


   
Short MSCI Emerging Markets		  
UltraShort MSCI EAFE		   UltraShort
MSCI Emerging Markets		  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (784,327 )   $ 15,420     $ (165,846 )   $ 55,864     $ (889,546 )   $ (176,588 )  
Net realized gain (loss)     (27,626,421 )     (4,240,158 )     (39,257,093 )     75,869,670       (194,711,903 )     (195,875,090 )  
Change in net unrealized
appreciation (depreciation)		     (16,727,832 )     (9,708,972 )     18,822,594       (20,000,367 )     65,328,284       (54,145,079 )  
Change in Net Assets Resulting
from Operations		     (45,138,580 )     (13,933,710 )     (20,600,345 )     55,925,167       (130,273,165 )     (250,196,757 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (302,058 )     —       (950,783 )     —       (2,374,781 )  
Net realized gains on investments     —       (2,873,044 )     —       (18,081,947 )     —       (13,000,031 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       (3,175,102 )     —       (19,032,730 )     —       (15,374,812 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     293,049,959       130,706,138       17,787,115       350,048,101       159,331,082       1,489,752,592    
Cost of shares redeemed     (73,495,354 )     (110,991,121 )     (26,757,030 )     (397,831,140 )     (29,746,762 )     (1,292,696,039 )  
Change in net assets resulting
from capital transactions		     219,554,605       19,715,017       (8,969,915 )     (47,783,039 )     129,584,320       197,056,553    
Change in net assets     174,416,025       2,606,205       (29,570,260 )     (10,890,602 )     (688,845 )     (68,515,016 )  
NET ASSETS:  
Beginning of period   $ 54,700,531     $ 52,094,326     $ 56,206,091     $ 67,096,693     $ 207,075,134     $ 275,590,150    
End of period   $ 229,116,556     $ 54,700,531     $ 26,635,831     $ 56,206,091     $ 206,386,289     $ 207,075,134    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (966,367 )   $ (182,040 )   $ (567,322 )   $ (401,476 )   $ (2,587,871 )   $ (1,698,325 )  
SHARE TRANSACTIONS:  
Beginning of period     1,050,000       750,001       900,000       900,001       9,975,000       4,350,001    
Issued     6,075,000       1,575,000       300,000       3,150,000       9,450,000       20,775,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (1,425,000 )     (1,275,001 )     (525,000 )     (3,150,001 )     (1,875,000 )     (15,150,001 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     5,700,000       1,050,000       675,000       900,000       17,550,000       9,975,000    

 

(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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 279


    UltraShort
MSCI Europe		   UltraShort
MSCI Pacific
ex-Japan		   UltraShort
MSCI Brazil		   UltraShort FTSE/Xinhua China 25  
    June 16, 2009*
through
November 30,
2009
(Unaudited)		   June 16, 2009*
through
November 30,
2009
(Unaudited)		   June 16, 2009*
through
November 30,
2009
(Unaudited)		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (23,237 )   $ (10,421 )   $ (24,682 )   $ (1,201,001 )   $ 857,208    
Net realized gain (loss)     (4,020,616 )     (1,118,230 )     (4,417,020 )     (104,292,331 )     (35,473,039 )  
Change in net unrealized appreciation (depreciation)     42,458       (942,836 )     (1,223,369 )     (30,850,164 )     (94,153,178 )  
Change in Net Assets Resulting from Operations     (4,001,395 )     (2,071,487 )     (5,665,071 )     (136,343,496 )     (128,769,009 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       (3,599,137 )  
Net realized gains on investments     —       —       —       —       —    
Tax return of capital     —       —       —       —       —    
Total distributions     —       —       —       —       (3,599,137 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     10,694,388       4,038,500       18,764,466       308,899,240       1,493,890,359    
Cost of shares redeemed     (2,217,129 )     —       —       (40,405,202 )     (1,865,834,926 )  
Change in net assets resulting from capital
transactions		     8,477,259       4,038,500       18,764,466       268,494,038       (371,944,567 )  
Change in net assets     4,475,864       1,967,013       13,099,395       132,150,542       (504,312,713 )  
NET ASSETS:  
Beginning of period   $ —     $ —     $ —     $ 169,685,853     $ 673,998,566    
End of period   $ 4,475,864     $ 1,967,013     $ 13,099,395     $ 301,836,395     $ 169,685,853    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ (23,237 )   $ (10,421 )   $ (24,682 )   $ (2,368,585 )   $ (1,167,584 )  
SHARE TRANSACTIONS:  
Beginning of period     —       —       —       12,450,000       9,975,001    
Issued     300,001       100,001       550,001       29,325,000       25,575,000    
Issued in-kind     —       —       —       —       —    
Redeemed     (100,000 )     —       —       (4,275,000 )     (23,100,001 )  
Redemption in-kind     —       —       —       —       —    
Shares outstanding, end of period     200,001       100,001       550,001       37,500,000       12,450,000    

 

*  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.

280 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort MSCI Japan   UltraShort
MSCI Mexico
Investable
Market		   Short 20+ Year
Treasury		  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   June 16, 2009*
through
November 30,
2009
(Unaudited)		   August 18,
2009*
through
November 30,
2009
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (51,597 )   $ 26,278     $ (41,271 )   $ (175,900 )  
Net realized gain (loss)     (1,196,855 )     14,450,245       (7,190,316 )     (281,046 )  
Change in net unrealized appreciation (depreciation)     (145,979 )     (1,792,482 )     (2,352,677 )     (3,096,997 )  
Change in Net Assets Resulting from Operations     (1,394,431 )     12,684,041       (9,584,264 )     (3,553,943 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (129,259 )     —       —    
Net realized gains on investments     —       (1,820,143 )     —       —    
Tax return of capital     —       —       —       —    
Total distributions     —       (1,949,402 )     —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     3,951,595       18,378,329       19,946,662       150,739,641    
Cost of shares redeemed     —       (36,461,482 )     (4,704,562 )     —    
Change in net assets resulting from capital transactions     3,951,595       (18,083,153 )     15,242,100       150,739,641    
Change in net assets     2,557,164       (7,348,514 )     5,657,836       147,185,698    
NET ASSETS:  
Beginning of period   $ 13,227,789     $ 20,576,303     $ —     $ —    
End of period   $ 15,784,953     $ 13,227,789     $ 5,657,836     $ 147,185,698    
Accumulated undistributed net investment income (loss)
included in end of period net assets		   $ (115,146 )   $ (63,549 )   $ (41,271 )   $ (175,900 )  
SHARE TRANSACTIONS:  
Beginning of period     225,000       300,001       —       —    
Issued     75,000       225,000       350,001       3,100,001    
Issued in-kind     —       —       —       —    
Redeemed     —       (300,001 )     (150,000 )     —    
Redemption in-kind     —       —       —       —    
Shares outstanding, end of period     300,000       225,000       200,001       3,100,001    

 

*  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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 281


    UltraShort 7-10 Year Treasury   UltraShort 20+ Year Treasury   Credit Suisse
130/30		  
    Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   Six Months
Ended
November 30,
2009
(Unaudited)		   Year Ended
May 31, 2009		   July 13, 2009*
through
November 30,
2009
(Unaudited)		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (1,624,953 )   $ (1,144,407 )   $ (18,456,802 )   $ (11,186,886 )   $ 87,779    
Net realized gain (loss)     7,194,328       (15,125,599 )     (369,328,635 )     437,710,608       1,286,066    
Change in net unrealized appreciation (depreciation)     (46,361,219 )     14,350,126       (196,344,779 )     168,889,472       2,692,034    
Change in Net Assets Resulting from Operations     (40,791,844 )     (1,919,880 )     (584,130,216 )     595,413,194       4,065,879    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (259,341 )     —       (843,693 )     (52,705 )  
Net realized gains on investments     —       —       —       —       —    
Tax return of capital     —       —       —       —       —    
Total distributions     —       (259,341 )     —       (843,693 )     (52,705 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     85,541,349       468,002,176       2,667,598,900       4,048,528,603       30,076,160    
Cost of shares redeemed     (146,912,234 )     (52,410,248 )     (1,769,483,871 )     (677,115,034 )     (4,658,190 )  
Change in net assets resulting from capital
transactions		     (61,370,885 )     415,591,928       898,115,029       3,371,413,569       25,417,970    
Change in net assets     (102,162,729 )     413,412,707       313,984,813       3,965,983,070       29,431,144    
NET ASSETS:  
Beginning of period   $ 445,822,360     $ 32,409,653     $ 4,058,210,435     $ 92,227,365     $ —    
End of period   $ 343,659,631     $ 445,822,360     $ 4,372,195,248     $ 4,058,210,435     $ 29,431,144    
Accumulated undistributed net investment
income (loss) included in end of period
net assets		   $ (3,014,445 )   $ (1,389,492 )   $ (30,438,636 )   $ (11,981,834 )   $ 35,074    
SHARE TRANSACTIONS:  
Beginning of period     7,875,000       450,001       77,325,000       1,275,001       —    
Issued     1,575,000       8,325,000       55,950,000       90,075,000       700,001    
Issued in-kind     —       —       —       —       —    
Redeemed     (2,550,000 )     (900,001 )     (34,575,000 )     (14,025,001 )     —    
Redemption in-kind     —       —       —       —       (100,000 )  
Shares outstanding, end of period     6,900,000       7,875,000       98,700,000       77,325,000       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.

282 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated



Financial Highlights

Financial Highlights :: ProShares Trust :: 283



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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra QQQ®  
Six Months ended
November 30, 2009
(Unaudited)		   $ 36.11     $ (0.09 )   $ 17.67     $ 0.01     $ 17.59     $ —     $ —     $ —     $ —     $ 53.70       48.71 %     48.81 %  
Year ended
May 31, 2009		     90.42       (0.07 )     (54.22 )     0.01       (54.28 )     —       —       (0.03 )     (0.03 )     36.11       (60.05 )     (60.09 )  
Year ended
May 31, 2008		     94.58       0.13       0.75       0.05       0.93       (0.07 )     (5.02 )     —       (5.09 )     90.42       0.57       0.52    
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, 2009
(Unaudited)		     29.21       0.23       14.06       0.01       14.30       (0.32 )     —       —       (0.32 )     43.19       49.38       47.84    
Year ended
May 31, 2009		     75.75       0.72       (46.46 )     0.02       (45.72 )     (0.82 )     —       —       (0.82 )     29.21       (60.66 )     (60.22 )  
Year ended
May 31, 2008		     97.22       1.43       (18.05 )     0.03       (16.59 )     (1.32 )     (3.56 )     —       (4.88 )     75.75       (17.59 )     (17.61 )  
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&P500®  
Six Months ended
November 30, 2009
(Unaudited)		     26.21       0.15       10.73       0.01       10.89       (0.17 )     —       (0.01 )     (0.18 )     36.92       41.72       40.62    
Year ended
May 31, 2009		     73.99       0.43       (47.71 )     0.01       (47.27 )     (0.51 )     —       —       (0.51 )     26.21       (64.09 )     (63.77 )  
Year ended
May 31, 2008		     98.42       1.06       (21.20 )     0.03       (20.11 )     (1.04 )     (3.28 )     —       (4.32 )     73.99       (20.88 )     (21.07 )  
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    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra QQQ®  
Six Months ended
November 30, 2009
(Unaudited)		     1.03 %     0.95 %     (0.47 )%     (0.39 )%   $ 878,049       7 %  
Year ended
May 31, 2009		     1.03       0.95       (0.29 )     (0.20 )     1,080,608       73    
Year ended
May 31, 2008		     1.04       0.95       0.06       0.15       908,687       39    
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, 2009
(Unaudited)		     0.98       0.95       1.30       1.33       408,119       14    
Year ended
May 31, 2009		     0.99       0.95       2.22       2.26       602,468       73    
Year ended
May 31, 2008		     1.02       0.95       1.69       1.76       301,090       64    
June 19, 2006*
through
May 31, 2007		     1.22       0.95       1.57       1.84       123,956       81    
Ultra S&P500®  
Six Months ended
November 30, 2009
(Unaudited)		     0.93       0.93       0.99       0.99       1,666,932       7    
Year ended
May 31, 2009		     0.95       0.95       1.68       1.68       2,398,029       77    
Year ended
May 31, 2008		     0.98       0.95       1.34       1.37       904,503       18    
June 19, 2006*
through
May 31, 2007		     1.11       0.95       1.32       1.48       243,579       12    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

284 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
 investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Russell3000  
June 30, 2009*
through
November 30, 2009		   $ 40.00     $ 0.25     $ 15.96     $ 0.03     $ 16.24     $ (0.09 )   $ —     $ —     $ (0.09 )   $ 56.15       40.60 %     38.90 %  
Ultra MidCap400  
Six Months ended
November 30, 2009
(Unaudited)		     26.82       0.03       10.46       — (h)     10.49       (0.02 )     —       (0.05 )     (0.07 )     37.24       39.21       38.68    
Year ended
May 31, 2009		     80.92       0.21       (53.99 )     0.01       (53.77 )     (0.33 )     —       —       (0.33 )     26.82       (66.62 )     (66.55 )  
Year ended
May 31, 2008		     99.03       0.58       (14.44 )     0.01       (13.85 )     (0.54 )     (3.72 )     —       (4.26 )     80.92       (13.85 )     (13.82 )  
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    
Ultra SmallCap600  
Six Months ended
November 30, 2009
(Unaudited)		     20.21       — (h)     6.21       — (h)     6.21       (0.01 )     —       (0.02 )     (0.03 )     26.39       30.74       30.94    
Year ended
May 31, 2009		     58.20       0.14       (37.99 )     0.01       (37.84 )     (0.15 )     —       —       (0.15 )     20.21       (65.10 )     (65.02 )  
Year ended
May 31, 2008		     82.62       0.33       (21.49 )     0.01       (21.15 )     (0.63 )     (2.64 )     —       (3.27 )     58.20       (25.80 )     (26.27 )  
January 23, 2007*
through
May 31, 2007		     70.00       0.22       12.40       —       12.62       —       —       —       —       82.62       18.03       18.50    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Russell3000  
June 30, 2009*
through
November 30, 2009		     2.93 %     0.95 %     (0.81 )%     1.17 %   $ 5,615       4 %  
Ultra MidCap400  
Six Months ended
November 30, 2009
(Unaudited)		     1.14       0.95       (0.01 )     0.18       111,727       11    
Year ended
May 31, 2009		     1.18       0.95       0.48       0.71       158,895       167    
Year ended
May 31, 2008		     1.25       0.95       0.41       0.71       133,524       56    
June 19, 2006*
through
May 31, 2007		     1.34       0.95       0.77       1.16       103,986       28    
Ultra SmallCap600  
Six Months ended
November 30, 2009
(Unaudited)		     1.34       0.95       (0.36 )     0.03       45,517       28    
Year ended
May 31, 2009		     1.62       0.95       (0.07 )     0.60       54,565       182    
Year ended
May 31, 2008		     2.10       0.95       (0.61 )     0.54       21,824       45    
January 23, 2007*
through
May 31, 2007		     2.48       0.95       (0.70 )     0.83       12,393       12    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 285


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
 investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Russell2000  
Six Months ended
November 30, 2009
(Unaudited)		   $ 18.76     $ 0.01     $ 5.73     $ — (h)   $ 5.74     $ (0.01 )   $ —     $ (0.03 )   $ (0.04 )   $ 24.46       30.56 %     30.78 %  
Year ended
May 31, 2009		     55.88       0.14       (37.07 )     0.01       (36.92 )     (0.20 )     —       —       (0.20 )     18.76       (66.18 )     (66.31 )  
Year ended
May 31, 2008		     79.77       0.36       (22.76 )     0.03       (22.37 )     (0.65 )     (0.87 )     —       (1.52 )     55.88       (28.28 )     (28.48 )  
January 23, 2007*
through
May 31, 2007		     70.00       0.27       9.50       —       9.77       —       —       —       —       79.77       13.96       14.29    
UltraPro S&P500®  
June 23, 2009*
through
November 30, 2009		     80.00       0.20       63.11       0.07       63.38       (0.06 )     —       —       (0.06 )     143.32       79.24       79.24    
Ultra Russell1000 Value  
Six Months ended
November 30, 2009
(Unaudited)		     16.07       0.11       6.33       — (h)     6.44       (0.11 )     —       —       (0.11 )     22.40       40.27       39.66    
Year ended
May 31, 2009		     51.92       0.41       (35.73 )     0.01       (35.31 )     (0.54 )     —       —       (0.54 )     16.07       (68.39 )     (68.15 )  
Year ended
May 31, 2008		     75.96       1.16       (23.81 )     —       (22.65 )     (1.39 )     —       —       (1.39 )     51.92       (30.10 )     (30.02 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.40       5.56       —       5.96       —       —       —       —       75.96       8.51       8.04    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Russell2000  
Six Months ended
November 30, 2009
(Unaudited)		     1.29 %     0.95 %     (0.23 )%     0.10 %   $ 159,608       45 %  
Year ended
May 31, 2009		     1.30       0.95       0.34       0.69       303,990       205    
Year ended
May 31, 2008		     1.49       0.95       0.11       0.65       113,165       48    
January 23, 2007*
through
May 31, 2007		     2.50       0.95       (0.49 )     1.06       29,916       14    
UltraPro S&P500®  
June 23, 2009*
through
November 30, 2009		     1.32       0.95       — (k)     0.37       85,990       8    
Ultra Russell1000 Value  
Six Months ended
November 30, 2009
(Unaudited)		     1.94       0.95       0.16       1.15       25,201       47    
Year ended
May 31, 2009		     2.67       0.95       0.66       2.38       20,484       163    
Year ended
May 31, 2008		     2.06       0.95       0.81       1.92       7,789       36    
February 20, 2007*
through
May 31, 2007		     2.26       0.95       0.81       2.12       11,394       3    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

286 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
 investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Russell1000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		   $ 25.84     $ 0.16     $ 10.84     $ — (h)   $ 11.00     $ (0.07 )   $ —     $ (0.01 )   $ (0.08 )   $ 36.76       42.68 %     44.02 %  
Year ended
May 31, 2009		     66.57       0.23       (40.72 )     0.01       (40.48 )     (0.22 )     —       (0.03 )     (0.25 )     25.84       (60.90 )     (61.15 )  
Year ended
May 31, 2008		     75.80       0.45       (7.08 )     0.02       (6.61 )     (0.58 )     (2.04 )     —       (2.62 )     66.57       (8.94 )     (9.25 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.20       5.60       —       5.80       —       —       —       —       75.80       8.29       8.43    
Ultra Russell MidCap Value  
Six Months ended
November 30, 2009
(Unaudited)		     15.31       0.11       7.17       — (h)     7.28       (0.10 )     —       (0.01 )     (0.11 )     22.48       47.77       47.99    
Year ended
May 31, 2009		     52.21       0.30       (36.82 )     0.01       (36.51 )     (0.39 )     —       —       (0.39 )     15.31       (70.21 )     (70.11 )  
Year ended
May 31, 2008		     74.99       0.81       (22.39 )     0.01       (21.57 )     (1.21 )     —       —       (1.21 )     52.21       (28.91 )     (29.08 )  
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, 2009
(Unaudited)		     20.61       0.01       7.57       —       7.58       —       —       (0.01 )     (0.01 )     28.18       36.82       36.38    
Year ended
May 31, 2009		     65.61       0.07       (45.00 )     — (h)     (44.93 )     (0.07 )     —       —       (0.07 )     20.61       (68.49 )     (68.40 )  
Year ended
May 31, 2008		     76.27       0.25       (8.57 )     0.03       (8.29 )     (0.34 )     (2.03 )     —       (2.37 )     65.61       (10.93 )     (10.89 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.13       6.14       —       6.27       —       —       —       —       76.27       8.97       8.91    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Russell1000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		     1.56 %     0.95 %     0.38 %     1.00 %   $ 27,569       26 %  
Year ended
May 31, 2009		     1.93       0.95       (0.17 )     0.81       29,072       138    
Year ended
May 31, 2008		     1.56       0.95       0.06       0.67       39,944       33    
February 20, 2007*
through
May 31, 2007		     2.30       0.95       (0.28 )     1.06       11,370       2    
Ultra Russell MidCap Value  
Six Months ended
November 30, 2009
(Unaudited)		     1.95       0.95       0.07       1.06       23,601       29    
Year ended
May 31, 2009		     3.77       0.95       (0.95 )     1.87       13,777       140    
Year ended
May 31, 2008		     2.44       0.95       (0.10 )     1.39       3,916       59    
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, 2009
(Unaudited)		     1.93       0.95       (0.91 )     0.07       21,134       34    
Year ended
May 31, 2009		     2.54       0.95       (1.28 )     0.31       15,460       153    
Year ended
May 31, 2008		     1.95       0.95       (0.62 )     0.38       19,682       132    
February 20, 2007*
through
May 31, 2007		     2.23       0.95       (0.57 )     0.71       11,441       2    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 287


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
 investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Russell2000 Value  
Six Months ended
November 30, 2009
(Unaudited)		   $ 14.47     $ 0.06     $ 4.73     $ — (h)   $ 4.79     $ (0.08 )   $ —     $ —     $ (0.08 )   $ 19.18       33.19 %     33.53 %  
Year ended
May 31, 2009		     44.79       0.25       (30.24 )     0.01       (29.98 )     (0.34 )     —       —       (0.34 )     14.47       (67.25 )     (67.52 )  
Year ended
May 31, 2008		     70.79       0.63       (25.70 )     — (h)     (25.07 )     (0.93 )     —       —       (0.93 )     44.79       (35.68 )     (35.19 )  
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, 2009
(Unaudited)		     20.61       (0.05 )     5.71       — (h)     5.66       —       —       —       —       26.27       27.46       28.16    
Year ended
May 31, 2009		     58.31       — (h)     (37.69 )     0.01       (37.68 )     (0.02 )     —       —       (0.02 )     20.61       (64.62 )     (64.85 )  
Year ended
May 31, 2008		     74.06       0.18       (15.03 )     — (h)     (14.85 )     (0.29 )     (0.61 )     —       (0.90 )     58.31       (20.16 )     (18.93 )  
February 20, 2007*
through
May 31, 2007		     70.00       0.07       3.99       —       4.06       —       —       —       —       74.06       5.80       4.13    
Ultra Basic Materials  
Six Months ended
November 30, 2009
(Unaudited)		     19.87       0.05       11.08       — (h)     11.13       (0.08 )     —       —       (0.08 )     30.92       56.24       56.40    
Year ended
May 31, 2009		     104.14       0.26       (84.16 )(i)     0.01       (83.89 )     (0.38 )     —       —       (0.38 )     19.87       (80.67 )     (80.65 )  
Year ended
May 31, 2008		     91.28       1.10       24.52       0.04       25.66       (1.13 )     (11.67 )     —       (12.80 )     104.14       31.61       31.03    
January 30, 2007*
through
May 31, 2007		     70.00       0.50       20.78       —       21.28       —       —       —       —       91.28       30.40       30.59    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Russell2000 Value  
Six Months ended
November 30, 2009
(Unaudited)		     2.76 %     0.95 %     (1.16 )%     0.65 %   $ 17,264       54 %  
Year ended
May 31, 2009		     3.88       0.95       (1.63 )     1.30       18,448       175    
Year ended
May 31, 2008		     2.90       0.95       (0.66 )     1.29       10,078       84    
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, 2009
(Unaudited)		     2.07       0.95       (1.47 )     (0.36 )     23,644       42    
Year ended
May 31, 2009		     3.23       0.95       (2.29 )     — (k)     23,183       189    
Year ended
May 31, 2008		     2.59       0.95       (1.35 )     0.30       13,120       72    
February 20, 2007*
through
May 31, 2007		     2.60       0.95       (1.29 )     0.36       11,109       5    
Ultra Basic Materials  
Six Months ended
November 30, 2009
(Unaudited)		     0.99       0.95       0.40       0.44       419,757       46    
Year ended
May 31, 2009		     1.05       0.95       1.70       1.80       466,528       246    
Year ended
May 31, 2008		     1.42       0.95       0.73       1.20       31,241       46    
January 30, 2007*
through
May 31, 2007		     1.95       0.95       0.90       1.90       13,692       8    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

288 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
 investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Consumer Goods  
Six Months ended
November 30, 2009
(Unaudited)		   $ 35.37     $ 0.37     $ 14.43     $ — (h)   $ 14.80     $ (0.29 )   $ —     $ —     $ (0.29 )   $ 49.88       42.03 %     41.47 %  
Year ended
May 31, 2009		     65.69       0.69       (30.25 )     0.01       (29.55 )     (0.77 )     —       —       (0.77 )     35.37       (45.19 )     (45.15 )  
Year ended
May 31, 2008		     76.71       1.10       (10.07 )     0.02       (8.95 )     (1.51 )     (0.56 )     —       (2.07 )     65.69       (11.90 )     (8.65 )  
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, 2009
(Unaudited)		     21.79       0.05       9.67       —       9.72       (0.03 )     —       (0.02 )     (0.05 )     31.46       44.65       44.88    
Year ended
May 31, 2009		     49.21       0.17       (27.43 )     0.01       (27.25 )     (0.17 )     —       —       (0.17 )     21.79       (55.40 )     (55.71 )  
Year ended
May 31, 2008		     73.35       0.36       (23.84 )     —       (23.48 )     (0.66 )     —       —       (0.66 )     49.21       (32.18 )     (30.90 )  
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, 2009
(Unaudited)		     4.13       0.01       1.54       — (h)     1.55       (0.01 )     —       (0.01 )     (0.02 )     5.66       37.63       38.06    
Year ended
May 31, 2009		     29.76       0.12       (25.51 )     — (h)     (25.39 )     (0.24 )     —       —       (0.24 )     4.13       (85.83 )     (85.83 )  
Year ended
May 31, 2008		     71.90       0.70       (41.74 )     0.03       (41.01 )     (1.13 )     —       —       (1.13 )     29.76       (57.74 )     (58.00 )  
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 (f)   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 (c)(g)		  
Ultra Consumer Goods  
Six Months ended
November 30, 2009
(Unaudited)		     1.53 %     0.95 %     1.14 %     1.72 %   $ 29,930       6 %  
Year ended
May 31, 2009		     2.22       0.95       0.60       1.87       15,918       86    
Year ended
May 31, 2008		     2.03       0.95       0.51       1.59       9,853       11    
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, 2009
(Unaudited)		     2.12       0.95       (0.80 )     0.37       16,514       4    
Year ended
May 31, 2009		     3.18       0.95       (1.46 )     0.77       11,440       110    
Year ended
May 31, 2008		     3.04       0.95       (1.46 )     0.63       3,691       10    
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, 2009
(Unaudited)		     0.96       0.95       0.37       0.37       2,019,091       12    
Year ended
May 31, 2009		     0.98       0.95       2.23       2.26       2,517,915       238    
Year ended
May 31, 2008		     1.04       0.95       1.98       2.07       1,055,642       15    
January 30, 2007*
through
May 31, 2007		     2.28       0.95       1.10       2.43       10,785       46    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 289


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Health Care  
Six Months ended
November 30, 2009
(Unaudited)		   $ 34.15     $ 0.41     $ 13.58     $ — (h)   $ 13.99     $ (0.17 )   $ —     $ (0.02 )   $ (0.19 )   $ 47.95       41.12 %     42.10 %  
Year ended
May 31, 2009		     58.11       0.44       (23.96 )     — (h)     (23.52 )     (0.44 )     —       —       (0.44 )     34.15       (40.60 )     (41.20 )  
Year ended
May 31, 2008		     77.98       0.71       (18.21 )     0.01       (17.49 )     (1.05 )     (1.33 )     —       (2.38 )     58.11       (22.95 )     (22.76 )  
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, 2009
(Unaudited)		     20.15       0.11       9.68       — (h)     9.79       (0.11 )     —       —       (0.11 )     29.83       48.72       49.07    
Year ended
May 31, 2009		     73.95       0.38       (53.80 )     0.01       (53.41 )     (0.39 )     —       —       (0.39 )     20.15       (72.38 )     (72.45 )  
Year ended
May 31, 2008		     86.92       0.92       (9.16 )     0.01       (8.23 )     (1.38 )     (3.36 )     —       (4.74 )     73.95       (9.63 )     (9.59 )  
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, 2009
(Unaudited)		     29.90       0.09       4.91       0.01       5.01       (0.09 )     —       (0.04 )     (0.13 )     34.78       16.86       16.09    
Year ended
May 31, 2009		     115.62       0.29       (85.92 )     0.01       (85.62 )     (0.10 )     —       —       (0.10 )     29.90       (74.04 )     (73.73 )  
Year ended
May 31, 2008		     94.94       0.73       32.36       0.06       33.15       (1.60 )     (10.87 )     —       (12.47 )     115.62       37.97       36.84    
January 30, 2007*
through
May 31, 2007		     70.00       0.36       24.58       —       24.94       —       —       —       —       94.94       35.63       36.01    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Health Care  
Six Months ended
November 30, 2009
(Unaudited)		     1.27 %     0.95 %     1.74 %     2.06 %   $ 43,152       16 %  
Year ended
May 31, 2009		     1.32       0.95       0.79       1.16       48,658       79    
Year ended
May 31, 2008		     1.75       0.95       0.29       1.09       17,433       33    
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, 2009
(Unaudited)		     1.38       0.95       0.45       0.88       42,509       10    
Year ended
May 31, 2009		     2.24       0.95       0.47       1.76       30,228       107    
Year ended
May 31, 2008		     2.04       0.95       0.13       1.22       11,092       30    
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, 2009
(Unaudited)		     0.99       0.95       0.55       0.59       419,955       35    
Year ended
May 31, 2009		     1.00       0.95       0.99       1.05       818,546       249    
Year ended
May 31, 2008		     1.19       0.95       0.48       0.72       78,044       76    
January 30, 2007*
through
May 31, 2007		     1.62       0.95       0.75       1.42       28,481       18    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

290 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Real Estate  
Six Months ended
November 30, 2009
(Unaudited)		   $ 3.83     $ 0.06     $ 2.24     $ — (h)   $ 2.30     $ (0.07 )   $ —     $ —     $ (0.07 )   $ 6.06       60.82 %     61.13 %  
Year ended
May 31, 2009		     36.53       0.16       (32.19 )     0.01       (32.02 )     (0.68 )     —       —       (0.68 )     3.83       (88.98 )     (89.01 )  
Year ended
May 31, 2008		     61.82       0.74       (24.42 )(i)     0.01       (23.67 )     (1.62 )     —       —       (1.62 )     36.53       (38.58 )     (38.66 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.44       (8.62 )     —       (8.18 )     —       —       —       —       61.82       (11.69 )     (11.86 )  
Ultra Semiconductors  
Six Months ended
November 30, 2009
(Unaudited)		     19.01       0.07       7.75       — (h)     7.82       (0.08 )     —       (0.02 )     (0.10 )     26.73       41.22       42.14    
Year ended
May 31, 2009		     60.30       0.24       (41.25 )     0.01       (41.00 )     (0.28 )     —       (0.01 )     (0.29 )     19.01       (68.11 )     (68.35 )  
Year ended
May 31, 2008		     78.50       0.68       (14.62 )(i)     0.03       (13.91 )     (0.62 )     (3.67 )     —       (4.29 )     60.30       (18.56 )     (18.57 )  
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, 2009
(Unaudited)		     29.53       (0.04 )     17.23       — (h)     17.19       —       —       (0.01 )     (0.01 )     46.71       58.23       58.26    
Year ended
May 31, 2009		     71.12       0.09       (41.56 )     0.01       (41.46 )     (0.11 )     —       (0.02 )     (0.13 )     29.53       (58.33 )     (58.24 )  
Year ended
May 31, 2008		     78.03       0.30       (4.68 )(i)     0.03       (4.35 )     (0.45 )     (2.11 )     —       (2.56 )     71.12       (5.93 )     (5.99 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.15       7.88       —       8.03       —       —       —       —       78.03       11.47       11.37    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Real Estate  
Six Months ended
November 30, 2009
(Unaudited)		     0.98 %     0.95 %     2.31 %     2.34 %   $ 619,147       27 %  
Year ended
May 31, 2009		     1.11       0.95       3.36       3.52       451,439       211    
Year ended
May 31, 2008		     1.34       0.95       1.66       2.05       57,532       23    
January 30, 2007*
through
May 31, 2007		     1.87       0.95       1.09       2.01       4,636       114    
Ultra Semiconductors  
Six Months ended
November 30, 2009
(Unaudited)		     1.11       0.95       0.39       0.54       84,191       40    
Year ended
May 31, 2009		     1.17       0.95       1.01       1.23       105,485       191    
Year ended
May 31, 2008		     1.27       0.95       0.80       1.12       117,594       80    
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, 2009
(Unaudited)		     1.08       0.95       (0.33 )     (0.20 )     143,645       19    
Year ended
May 31, 2009		     1.18       0.95       0.07       0.30       128,438       100    
Year ended
May 31, 2008		     1.23       0.95       0.15       0.43       133,344       24    
January 30, 2007*
through
May 31, 2007		     2.25       0.95       (0.66 )     0.63       5,852       63    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 291


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra Telecommunications  
Six Months ended
November 30, 2009
(Unaudited)		   $ 31.06     $ 0.54     $ 2.47     $ —     $ 3.01     $ (0.50 )   $ —     $ —     $ (0.50 )   $ 33.57       9.78 %     10.30 %  
Year ended
May 31, 2009		     89.05       1.07       (57.35 )     0.01       (56.27 )     (1.72 )     —       —       (1.72 )     31.06       (63.73 )     (64.38 )  
March 25, 2008*
through
May 31, 2008		     70.00       0.34       18.69       0.02       19.05       —       —       —       —       89.05       27.21       28.01    
Ultra Utilities  
Six Months ended
November 30, 2009
(Unaudited)		     27.98       0.46       7.02       — (h)     7.48       (0.47 )     —       —       (0.47 )     34.99       26.91       27.67    
Year ended
May 31, 2009		     78.94       1.06       (50.96 )     0.01       (49.89 )     (1.07 )     —       —       (1.07 )     27.98       (63.64 )     (63.95 )  
Year ended
May 31, 2008		     90.27       1.68       (6.76 )     — (h)     (5.08 )     (2.01 )     (4.24 )     —       (6.25 )     78.94       (5.75 )     (5.92 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.74       19.53       —       20.27       —       —       —       —       90.27       28.96       29.24    
Ultra MSCI EAFE  
June 2, 2009*
through
November 30, 2009		     60.00       (0.03 )     17.15       0.02       17.14       —       —       —       —       77.14       28.57       28.70    
Ultra MSCI Emerging Markets  
June 2, 2009*
through
November 30, 2009		     60.00       (0.16 )     23.19       0.05       23.08       —       —       —       —       83.08       38.47       38.40    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra Telecommunications  
Six Months ended
November 30, 2009
(Unaudited)		     2.09 %     0.95 %     2.27 %     3.40 %   $ 12,587       29 %  
Year ended
May 31, 2009		     1.67       0.95       2.41       3.13       11,647       174    
March 25, 2008*
through
May 31, 2008		     2.83       0.95       0.50       2.38       13,358       — (j)  
Ultra Utilities  
Six Months ended
November 30, 2009
(Unaudited)		     1.48       0.95       2.25       2.78       20,992       10    
Year ended
May 31, 2009		     1.54       0.95       2.50       3.09       25,181       115    
Year ended
May 31, 2008		     1.61       0.95       1.50       2.16       17,761       26    
January 30, 2007*
through
May 31, 2007		     1.88       0.95       1.73       2.66       13,541       — (j)  
Ultra MSCI EAFE  
June 2, 2009*
through
November 30, 2009		     2.01       0.95       (1.14 )     (0.08 )     15,429       12    
Ultra MSCI Emerging Markets  
June 2, 2009*
through
November 30, 2009		     1.80       0.95       (1.28 )     (0.43 )     29,080       31    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

292 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Ultra FTSE/Xinhua China 25  
June 2, 2009*
through
November 30, 2009		   $ 60.00     $ (0.31 )   $ 15.63     $ 0.04     $ 15.36     $ —     $ —     $ —     $ —     $ 75.36       25.60 %     25.47 %  
Ultra MSCI Japan  
June 2, 2009*
through
November 30, 2009		     60.00       (0.27 )     (0.13 )(i)     0.01       (0.39 )     —       —       —       —       59.61       (0.65 )     (2.72 )  
Short QQQ®  
Six Months ended
November 30, 2009
(Unaudited)		     58.23       (0.22 )     (11.91 )     0.01       (12.12 )     —       —       —       —       46.11       (20.81 )     (20.81 )  
Year ended
May 31, 2009		     53.74       (0.13 )     9.22       0.02       9.11       (0.37 )     (4.25 )     —       (4.62 )     58.23       15.20       15.43    
Year ended
May 31, 2008		     58.39       1.74       (4.17 )     0.05       (2.38 )     (2.27 )     —       —       (2.27 )     53.74       (4.16 )     (4.43 )  
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 )  
Short Dow30SM  
Six Months ended
November 30, 2009
(Unaudited)		     66.52       (0.25 )     (13.35 )     — (h)     (13.60 )     —       —       —       —       52.92       (20.44 )     (19.99 )  
Year ended
May 31, 2009		     61.51       (0.08 )     14.07       0.02       14.01       (0.29 )     (8.71 )     —       (9.00 )     66.52       21.83       20.88    
Year ended
May 31, 2008		     58.25       1.76       3.53       0.03       5.32       (2.06 )     —       —       (2.06 )     61.51       9.33       9.47    
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 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Ultra FTSE/Xinhua China 25  
June 2, 2009*
through
November 30, 2009		     1.48 %     0.95 %     (1.41 )%     (0.88 )%   $ 30,145       — %  
Ultra MSCI Japan  
June 2, 2009*
through
November 30, 2009		     1.96       0.95       (1.88 )     (0.87 )     8,942       —    
Short QQQ®  
Six Months ended
November 30, 2009
(Unaudited)		     1.07       0.95       (0.98 )     (0.86 )     176,378       —    
Year ended
May 31, 2009		     1.16       0.95       (0.40 )     (0.19 )     174,680       —    
Year ended
May 31, 2008		     1.16       0.95       2.82       3.03       64,490       —    
June 19, 2006*
through
May 31, 2007		     1.14       0.95       4.20       4.38       91,962       —    
Short Dow30SM  
Six Months ended
November 30, 2009
(Unaudited)		     0.99       0.95       (0.90 )     (0.86 )     257,967       —    
Year ended
May 31, 2009		     1.02       0.95       (0.19 )     (0.12 )     234,482       —    
Year ended
May 31, 2008		     1.05       0.95       2.82       2.92       170,684       —    
June 19, 2006*
through
May 31, 2007		     1.21       0.95       4.13       4.39       126,699       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 293


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Short S&P500®  
Six Months ended
November 30, 2009
(Unaudited)		   $ 66.02     $ (0.25 )   $ (12.12 )   $ 0.01     $ (12.36 )   $ —     $ —     $ —     $ —     $ 53.66       (18.72 )%     (18.46 )%  
Year ended
May 31, 2009		     62.97       (0.25 )     15.63 (i)     0.03       15.41       (0.38 )     (11.98 )     —       (12.36 )     66.02       22.14       21.67    
Year ended
May 31, 2008		     58.88       1.72       4.47       0.03       6.22       (2.13 )     —       —       (2.13 )     62.97       10.76       10.72    
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, 2009
(Unaudited)		     58.33       (0.22 )     (10.90 )     0.01       (11.11 )     —       —       —       —       47.22       (19.06 )     (18.88 )  
Year ended
May 31, 2009		     57.36       (0.01 )     12.63       0.01       12.63       (0.36 )     (11.30 )     —       (11.66 )     58.33       18.18       17.91    
Year ended
May 31, 2008		     56.87       2.06       1.14       0.01       3.21       (2.72 )     —       —       (2.72 )     57.36       5.55       5.52    
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, 2009
(Unaudited)		     51.47       (0.19 )     (8.74 )     — (h)     (8.93 )     —       —       —       —       42.54       (17.35 )     (17.60 )  
Year ended
May 31, 2009		     69.75       (0.13 )     14.50       0.03       14.40       (0.38 )     (32.30 )     —       (32.68 )     51.47       13.89       14.11    
Year ended
May 31, 2008		     65.09       2.03       5.59       — (h)     7.62       (2.96 )     —       —       (2.96 )     69.75       11.89       11.73    
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 (f)   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 (c)(g)		  
Short S&P500®  
Six Months ended
November 30, 2009
(Unaudited)		     0.93 %     0.93 %     (0.84 )%     (0.84 )%   $ 1,706,419       — %  
Year ended
May 31, 2009		     0.95       0.95       (0.34 )     (0.34 )     1,282,495       —    
Year ended
May 31, 2008		     0.97       0.95       2.72       2.74       307,081       —    
June 19, 2006*
through
May 31, 2007		     1.08       0.95       4.20       4.33       185,555       —    
Short MidCap400  
Six Months ended
November 30, 2009
(Unaudited)		     1.17       0.95       (1.07 )     (0.85 )     38,956       —    
Year ended
May 31, 2009		     1.26       0.95       (0.32 )     (0.01 )     30,626       —    
Year ended
May 31, 2008		     1.11       0.95       3.26       3.42       38,716       —    
June 19, 2006*
through
May 31, 2007		     1.07       0.95       4.24       4.36       110,890       —    
Short SmallCap600  
Six Months ended
November 30, 2009
(Unaudited)		     1.17       0.95       (1.08 )     (0.86 )     41,477       —    
Year ended
May 31, 2009		     1.45       0.95       (0.69 )     (0.19 )     23,161       —    
Year ended
May 31, 2008		     1.54       0.95       2.26       2.85       15,694       —    
January 23, 2007*
through
May 31, 2007		     1.89       0.95       3.49       4.43       9,763       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

294 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Short Russell2000  
Six Months ended
November 30, 2009
(Unaudited)		   $ 58.14     $ (0.22 )   $ (9.98 )   $ 0.01     $ (10.19 )   $ —     $ —     $ —     $ —     $ 47.95       (17.53 )%     (17.44 )%  
Year ended
May 31, 2009		     72.32       0.02       10.60       0.03       10.65       (0.61 )     (24.22 )     —       (24.83 )     58.14       9.02       8.78    
Year ended
May 31, 2008		     66.19       1.88       6.03       0.04       7.95       (1.82 )     —       —       (1.82 )     72.32       12.14       12.20    
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, 2009
(Unaudited)		     34.37       (0.11 )     (13.01 )     — (h)     (13.12 )     —       —       —       —       21.25       (38.17 )     (38.28 )  
Year ended
May 31, 2009		     37.40       0.10       6.62       0.05       6.77       (0.30 )     (9.50 )     —       (9.80 )     34.37       7.08       7.00    
Year ended
May 31, 2008		     46.21       1.40       (8.55 )     0.05       (7.10 )     (1.71 )     —       —       (1.71 )     37.40       (15.71 )     (15.43 )  
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, 2009
(Unaudited)		     48.15       (0.16 )     (17.86 )     — (h)     (18.02 )     —       —       —       —       30.13       (37.42 )     (37.14 )  
Year ended
May 31, 2009		     52.84       (0.07 )     15.35       0.04       15.32       (0.34 )     (19.67 )     —       (20.01 )     48.15       23.56       22.50    
Year ended
May 31, 2008		     48.86       1.58       4.05       0.07       5.70       (1.72 )     —       —       (1.72 )     52.84       11.92       12.21    
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 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Short Russell2000  
Six Months ended
November 30, 2009
(Unaudited)		     1.07 %     0.95 %     (0.98 )%     (0.86 )%   $ 197,809       — %  
Year ended
May 31, 2009		     1.14       0.95       (0.16 )     0.03       78,489       —    
Year ended
May 31, 2008		     1.14       0.95       2.32       2.51       81,360       —    
January 23, 2007*
through
May 31, 2007		     1.70       0.95       3.52       4.27       24,822       —    
UltraShort QQQ®  
Six Months ended
November 30, 2009
(Unaudited)		     1.02       0.95       (0.92 )     (0.85 )     944,958       —    
Year ended
May 31, 2009		     1.02       0.95       0.14       0.21       956,422       —    
Year ended
May 31, 2008		     1.02       0.95       3.17       3.24       1,742,037       —    
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, 2009
(Unaudited)		     0.97       0.95       (0.87 )     (0.85 )     573,935       —    
Year ended
May 31, 2009		     0.98       0.95       (0.14 )     (0.11 )     639,203       —    
Year ended
May 31, 2008		     0.98       0.95       3.03       3.06       558,740       —    
July 11, 2006*
through
May 31, 2007		     1.05       0.95       4.21       4.31       575,285       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 295


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort S&P500®  
Six Months ended
November 30, 2009
(Unaudited)		   $ 56.13     $ (0.18 )   $ (19.40 )   $ — (h)   $ (19.58 )   $ —     $ —     $ —     $ —     $ 36.55       (34.88 )%     (34.14 )%  
Year ended
May 31, 2009		     56.62       (0.10 )     15.25       0.04       15.19       (0.39 )     (15.29 )     —       (15.68 )     56.13       20.68       19.51    
Year ended
May 31, 2008		     51.05       1.56       5.63       0.06       7.25       (1.68 )     —       —       (1.68 )     56.62       14.38       14.27    
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 )  
UltraShort Russell3000  
June 30, 2009*
through
November 30, 2009		     40.00       (0.11 )     (13.37 )     0.01       (13.47 )     —       —       —       —       26.53       (33.68 )     (33.53 )  
UltraShort MidCap400  
Six Months ended
November 30, 2009
(Unaudited)		     39.02       (0.13 )     (13.88 )     — (h)     (14.01 )     —       —       —       —       25.01       (35.90 )     (35.66 )  
Year ended
May 31, 2009		     49.07       0.17       13.96       0.04       14.17       (0.37 )     (23.85 )     —       (24.22 )     39.02       9.02       8.63    
Year ended
May 31, 2008		     49.34       1.71       0.07       0.02       1.80       (2.07 )     —       —       (2.07 )     49.07       3.26       3.47    
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 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort S&P500®  
Six Months ended
November 30, 2009
(Unaudited)		     0.90 %     0.90 %     (0.80 )%     (0.80 )%   $ 3,355,203       — %  
Year ended
May 31, 2009		     0.91       0.91       (0.14 )     (0.14 )     3,872,853       —    
Year ended
May 31, 2008		     0.91       0.91       2.74       2.74       2,564,672       —    
July 11, 2006*
through
May 31, 2007		     0.96       0.95       4.33       4.35       941,936       —    
UltraShort Russell3000  
June 30, 2009*
through
November 30, 2009		     2.06       0.95       (1.97 )     (0.86 )     3,980       —    
UltraShort MidCap400  
Six Months ended
November 30, 2009
(Unaudited)		     1.12       0.95       (1.01 )     (0.84 )     50,652       —    
Year ended
May 31, 2009		     1.03       0.95       0.19       0.27       61,460       —    
Year ended
May 31, 2008		     0.98       0.95       3.02       3.05       180,341       —    
July 11, 2006*
through
May 31, 2007		     1.05       0.95       4.29       4.39       188,742       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

296 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort SmallCap600  
Six Months ended
November 30, 2009
(Unaudited)		   $ 47.10     $ (0.15 )   $ (15.61 )   $ — (h)   $ (15.76 )   $ —     $ —     $ —     $ —     $ 31.34       (33.46 )%     (33.90 )%  
Year ended
May 31, 2009		     65.94       0.24       9.84       0.08       10.16       (0.39 )     (28.61 )     —       (29.00 )     47.10       0.75       0.81    
Year ended
May 31, 2008		     59.13       1.93       6.92 (i)     0.04       8.89       (2.08 )     —       —       (2.08 )     65.94       15.08       15.14    
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, 2009
(Unaudited)		     44.84       (0.14 )     (15.05 )     — (h)     (15.19 )     —       —       —       —       29.65       (33.89 )     (34.11 )  
Year ended
May 31, 2009		     68.11       0.23       1.89       0.06       2.18       (0.44 )     (25.01 )     —       (25.45 )     44.84       (10.64 )     (9.70 )  
Year ended
May 31, 2008		     61.00       1.91       6.81 (i)     0.04       8.76       (1.65 )     —       —       (1.65 )     68.11       14.39       13.81    
January 23, 2007*
through
May 31, 2007		     70.00       0.95       (9.95 )     —       (9.00 )     —       —       —       —       61.00       (12.86 )     (13.04 )  
UltraPro Short S&P500®  
June 23, 2009*
through
November 30, 2009		     80.00       (0.18 )     (41.13 )     0.01       (41.30 )     —       —       —       —       38.70       (51.63 )     (51.60 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort SmallCap600  
Six Months ended
November 30, 2009
(Unaudited)		     1.31 %     0.95 %     (1.20 )%     (0.84 )%   $ 28,206       — %  
Year ended
May 31, 2009		     1.11       0.95       0.15       0.31       24,725       —    
Year ended
May 31, 2008		     1.09       0.95       2.55       2.69       64,291       —    
January 23, 2007*
through
May 31, 2007		     1.59       0.95       3.87       4.51       22,174       —    
UltraShort Russell2000  
Six Months ended
November 30, 2009
(Unaudited)		     1.03       0.95       (0.92 )     (0.83 )     515,914       —    
Year ended
May 31, 2009		     1.02       0.95       0.24       0.31       578,467       —    
Year ended
May 31, 2008		     1.02       0.95       2.53       2.60       1,169,737       —    
January 23, 2007*
through
May 31, 2007		     1.08       0.95       4.02       4.15       210,461       —    
UltraPro Short S&P500®  
June 23, 2009*
through
November 30, 2009		     1.02       0.95       (0.95 )     (0.88 )     166,423       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 297


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Russell1000 Value  
Six Months ended
November 30, 2009
(Unaudited)		   $ 84.91     $ (0.28 )   $ (30.28 )   $ 0.01     $ (30.55 )   $ —     $ —     $ —     $ —     $ 54.36       (35.98 )%     (35.18 )%  
Year ended
May 31, 2009		     80.43       (0.24 )     14.77 (i)     0.14       14.67       (0.66 )     (9.53 )     —       (10.19 )     84.91       15.10       14.12    
Year ended
May 31, 2008		     64.88       2.30       15.55       0.06       17.91       (2.36 )     —       —       (2.36 )     80.43       28.19       28.22    
February 20, 2007*
through
May 31, 2007		     70.00       0.87       (5.99 )     —       (5.12 )     —       —       —       —       64.88       (7.31 )     (7.70 )  
UltraShort Russell1000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		     57.50       (0.19 )     (19.78 )     0.01       (19.96 )     —       —       —       —       37.54       (34.72 )     (34.61 )  
Year ended
May 31, 2009		     63.00       (0.12 )     27.87       0.07       27.82       (0.36 )     (32.96 )     —       (33.32 )     57.50       26.02       25.79    
Year ended
May 31, 2008		     65.07       1.92       (1.29 )(i)     0.03       0.66       (2.73 )     —       —       (2.73 )     63.00       0.75       1.11    
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, 2009
(Unaudited)		     54.48       (0.15 )     (21.04 )     0.01       (21.18 )     —       (3.60 )     —       (3.60 )     29.70       (41.10 )     (40.80 )  
Year ended
May 31, 2009		     78.38       (0.30 )     32.17       0.03       31.90       (0.38 )     (55.42 )     —       (55.80 )     54.48       14.54       13.85    
Year ended
May 31, 2008		     65.74       2.33       14.04       —       16.37       (3.07 )     (0.66 )     —       (3.73 )     78.38       25.08       31.85    
February 20, 2007*
through
May 31, 2007		     70.00       0.89       (5.15 )     —       (4.26 )     —       —       —       —       65.74       (6.09 )     (5.79 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort Russell1000 Value  
Six Months ended
November 30, 2009
(Unaudited)		     2.01 %     0.95 %     (1.90 )%     (0.84 )%   $ 12,230       — %  
Year ended
May 31, 2009		     1.45       0.95       (0.71 )     (0.21 )     12,736       —    
Year ended
May 31, 2008		     1.93       0.95       2.00       2.98       6,033       —    
February 20, 2007*
through
May 31, 2007		     2.37       0.95       3.03       4.45       4,866       —    
UltraShort Russell1000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		     1.82       0.95       (1.72 )     (0.85 )     11,261       —    
Year ended
May 31, 2009		     1.38       0.95       (0.57 )     (0.14 )     17,251       —    
Year ended
May 31, 2008		     1.50       0.95       2.28       2.83       14,175       —    
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, 2009
(Unaudited)		     3.20       0.95       (3.08 )     (0.83 )     4,454       —    
Year ended
May 31, 2009		     2.51       0.95       (1.86 )     (0.30 )     4,086       —    
Year ended
May 31, 2008		     2.05       0.95       1.75       2.85       5,879       —    
February 20, 2007*
through
May 31, 2007		     2.37       0.95       3.12       4.53       4,931       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

298 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Russell MidCap Growth  
Six Months ended
November 30, 2009
(Unaudited)		   $ 45.39     $ (0.15 )   $ (15.49 )   $ — (h)   $ (15.64 )   $ —     $ —     $ —     $ —     $ 29.75       (34.47 )%     (34.80 )%  
Year ended
May 31, 2009		     60.74       0.18       35.77       0.04       35.99       (0.56 )     (50.78 )     —       (51.34 )     45.39       21.03       21.38    
Year ended
May 31, 2008		     64.41       1.84       (2.15 )     0.05       (0.26 )     (3.41 )     —       —       (3.41 )     60.74       (0.82 )     (0.88 )  
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, 2009
(Unaudited)		     49.23       (0.15 )     (17.75 )     — (h)     (17.90 )     —       —       —       —       31.33       (36.36 )     (36.62 )  
Year ended
May 31, 2009		     84.13       0.07       (3.93 )(i)     0.09       (3.77 )     (0.59 )     (30.54 )     —       (31.13 )     49.23       (16.68 )     (16.36 )  
Year ended
May 31, 2008		     68.66       2.40       16.30 (i)     0.07       18.77       (3.22 )     (0.08 )     —       (3.30 )     84.13       27.75       27.63    
February 20, 2007*
through
May 31, 2007		     70.00       0.96       (2.30 )     —       (1.34 )     —       —       —       —       68.66       (1.91 )     (1.61 )  
UltraShort Russell2000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		     38.11       (0.11 )     (11.16 )     — (h)     (11.27 )     —       (3.29 )     —       (3.29 )     23.55       (31.39 )     (31.78 )  
Year ended
May 31, 2009		     66.55       0.26       17.55       0.05       17.86       (0.56 )     (45.74 )     —       (46.30 )     38.11       (1.51 )     (1.08 )  
Year ended
May 31, 2008		     65.55       2.01       1.15 (i)     0.02       3.18       (2.18 )     —       —       (2.18 )     66.55       4.76       4.50    
February 20, 2007*
through
May 31, 2007		     70.00       0.92       (5.37 )     —       (4.45 )     —       —       —       —       65.55       (6.36 )     (6.17 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort Russell MidCap Growth  
Six Months ended
November 30, 2009
(Unaudited)		     2.46 %     0.95 %     (2.35 )%     (0.84 )%   $ 6,693       — %  
Year ended
May 31, 2009		     1.78       0.95       (0.61 )     0.22       6,809       —    
Year ended
May 31, 2008		     1.92       0.95       1.75       2.72       13,666       —    
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, 2009
(Unaudited)		     1.73       0.95       (1.62 )     (0.83 )     14,096       —    
Year ended
May 31, 2009		     1.46       0.95       (0.43 )     0.08       14,768       —    
Year ended
May 31, 2008		     1.26       0.95       2.34       2.65       25,238       —    
February 20, 2007*
through
May 31, 2007		     2.12       0.95       3.59       4.76       5,150       —    
UltraShort Russell2000 Growth  
Six Months ended
November 30, 2009
(Unaudited)		     1.85       0.95       (1.74 )     (0.84 )     14,132       —    
Year ended
May 31, 2009		     1.61       0.95       (0.31 )     0.35       11,432       —    
Year ended
May 31, 2008		     1.24       0.95       2.45       2.74       44,922       —    
February 20, 2007*
through
May 31, 2007		     1.78       0.95       3.84       4.66       14,750       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 299


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Short Financials  
Six Months ended
November 30, 2009
(Unaudited)		   $ 56.71     $ (0.21 )   $ (11.95 )   $ — (h)   $ (12.16 )   $ —     $ —     $ —     $ —     $ 44.55       (21.44 )%     (21.72 )%  
June 10, 2008*
through
May 31, 2009		     70.00       (0.42 )     (9.29 )     — (h)     (9.71 )     (0.14 )     (3.44 )     —       (3.58 )     56.71       (15.41 )     (15.20 )  
Short Oil & Gas  
Six Months ended
November 30, 2009
(Unaudited)		     59.14       (0.24 )     (7.45 )     —       (7.69 )     —       —       —       —       51.45       (13.00 )     (13.40 )  
June 10, 2008*
through
May 31, 2009		     70.00       0.15       13.47       0.01       13.63       (0.20 )     (24.29 )     —       (24.49 )     59.14       12.66       13.04    
UltraShort Basic Materials  
Six Months ended
November 30, 2009
(Unaudited)		     17.79       (0.05 )     (8.71 )     — (h)     (8.76 )     —       —       —       —       9.03       (49.24 )     (49.55 )  
Year ended
May 31, 2009		     28.52       0.17       15.86       0.06       16.09       (0.24 )     (26.58 )     —       (26.82 )     17.79       1.25       1.23    
Year ended
May 31, 2008		     53.08       0.82       (23.66 )     0.06       (22.78 )     (1.78 )     —       —       (1.78 )     28.52       (44.32 )     (43.75 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.96       (17.88 )     —       (16.92 )     —       —       —       —       53.08       (24.17 )     (24.54 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Short Financials  
Six Months ended
November 30, 2009
(Unaudited)		     1.04 %     0.95 %     (0.93 )%     (0.84 )%   $ 113,601       — %  
June 10, 2008*
through
May 31, 2009		     1.19       0.95       (0.81 )     (0.57 )     157,371       —    
Short Oil & Gas  
Six Months ended
November 30, 2009
(Unaudited)		     1.75       0.95       (1.67 )     (0.87 )     15,436       —    
June 10, 2008*
through
May 31, 2009		     1.70       0.95       (0.55 )     0.20       4,435       —    
UltraShort Basic Materials  
Six Months ended
November 30, 2009
(Unaudited)		     1.04       0.95       (0.92 )     (0.83 )     101,534       —    
Year ended
May 31, 2009		     1.01       0.95       0.37       0.43       62,692       —    
Year ended
May 31, 2008		     1.08       0.95       2.07       2.20       205,366       —    
January 30, 2007*
through
May 31, 2007		     2.00       0.95       3.64       4.69       7,961       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

300 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Consumer Goods  
Six Months ended
November 30, 2009
(Unaudited)		   $ 65.58     $ (0.22 )   $ (21.75 )   $ 0.01     $ (21.96 )   $ —     $ —     $ —     $ —     $ 43.62       (33.49 )%     (33.44 )%  
Year ended
May 31, 2009		     68.96       0.04       15.73       0.07       15.84       (0.36 )     (18.86 )     —       (19.22 )     65.58       18.16       17.50    
Year ended
May 31, 2008		     64.74       1.84       4.90       0.03       6.77       (2.55 )     —       —       (2.55 )     68.96       10.70       11.15    
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, 2009
(Unaudited)		     64.37       (0.21 )     (23.53 )     0.01       (23.73 )     —       —       —       —       40.64       (36.86 )     (36.71 )  
Year ended
May 31, 2009		     83.90       0.02       14.66       0.10       14.78       (0.40 )     (33.91 )     —       (34.31 )     64.37       5.04       4.78    
Year ended
May 31, 2008		     67.48       1.83       19.97 (i)     0.06       21.86       (3.06 )     (2.38 )     —       (5.44 )     83.90       32.97       33.27    
January 30, 2007*
through
May 31, 2007		     70.00       1.06       (3.58 )     —       (2.52 )     —       —       —       —       67.48       (3.60 )     (3.70 )  
UltraShort Financials  
Six Months ended
November 30, 2009
(Unaudited)		     41.38       (0.13 )     (16.82 )     — (h)     (16.95 )     —       —       —       —       24.43       (40.98 )     (41.15 )  
Year ended
May 31, 2009		     110.16       0.40       (69.01 )(i)     0.18       (68.43 )     (0.35 )     —       —       (0.35 )     41.38       (62.32 )     (62.28 )  
Year ended
May 31, 2008		     68.14       2.28       41.76       0.08       44.12       (2.10 )     —       —       (2.10 )     110.16       65.66       66.41    
January 30, 2007*
through
May 31, 2007		     70.00       1.01       (2.87 )     —       (1.86 )     —       —       —       —       68.14       (2.66 )     (2.86 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort Consumer Goods  
Six Months ended
November 30, 2009
(Unaudited)		     1.42 %     0.95 %     (1.31 )%     (0.83 )%   $ 19,628       — %  
Year ended
May 31, 2009		     1.19       0.95       (0.19 )     0.05       19,674       —    
Year ended
May 31, 2008		     1.38       0.95       2.29       2.72       25,861       —    
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, 2009
(Unaudited)		     1.10       0.95       (0.98 )     (0.83 )     42,668       —    
Year ended
May 31, 2009		     1.03       0.95       (0.06 )     0.02       72,413       —    
Year ended
May 31, 2008		     1.15       0.95       1.87       2.07       100,678       —    
January 30, 2007*
through
May 31, 2007		     1.94       0.95       3.56       4.55       5,601       —    
UltraShort Financials  
Six Months ended
November 30, 2009
(Unaudited)		     0.96       0.95       (0.85 )     (0.84 )     903,266       —    
Year ended
May 31, 2009		     0.95       0.95       0.38       0.38       1,204,273       —    
Year ended
May 31, 2008		     0.96       0.95       2.24       2.25       2,164,712       —    
January 30, 2007*
through
May 31, 2007		     1.30       0.95       3.92       4.27       56,213       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 301


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Health Care  
Six Months ended
November 30, 2009
(Unaudited)		   $ 54.82     $ (0.19 )   $ (18.02 )   $ — (h)   $ (18.21 )   $ —     $ —     $ —     $ —     $ 36.61       (33.23 )%     (34.75 )%  
Year ended
May 31, 2009		     77.46       0.01       7.52 (i)     0.03       7.56       (0.55 )     (29.65 )     —       (30.20 )     54.82       5.26       8.06    
Year ended
May 31, 2008		     63.76       2.15       14.54       —       16.69       (2.99 )     —       —       (2.99 )     77.46       26.90       32.49    
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, 2009
(Unaudited)		     43.33       (0.14 )     (17.51 )     — (h)     (17.65 )     —       —       —       —       25.68       (40.73 )     (40.53 )  
Year ended
May 31, 2009		     54.08       0.12       37.23       0.06       37.41       (0.31 )     (47.85 )     —       (48.16 )     43.33       43.35       42.30    
Year ended
May 31, 2008		     56.92       1.46       (2.09 )     0.07       (0.56 )     (2.28 )     —       —       (2.28 )     54.08       (1.09 )     (0.87 )  
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, 2009
(Unaudited)		     17.32       (0.07 )     (4.50 )     — (h)     (4.57 )     —       —       —       —       12.75       (26.39 )     (25.87 )  
Year ended
May 31, 2009		     28.72       0.20       (3.51 )(i)     0.03       (3.28 )     (0.26 )     (7.86 )     —       (8.12 )     17.32       (22.80 )     (23.55 )  
Year ended
May 31, 2008		     50.99       0.62       (21.92 )     0.02       (21.28 )     (0.99 )     —       —       (0.99 )     28.72       (42.37 )     (42.21 )  
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 (f)   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 (c)(g)		  
UltraShort Health Care  
Six Months ended
November 30, 2009
(Unaudited)		     2.18 %     0.95 %     (2.06 )%     (0.83 )%   $ 5,491       — %  
Year ended
May 31, 2009		     1.78       0.95       (0.81 )     0.02       12,336       —    
Year ended
May 31, 2008		     1.63       0.95       2.34       3.02       11,619       —    
January 30, 2007*
through
May 31, 2007		     1.91       0.95       3.53       4.49       9,564       —    
UltraShort Industrials  
Six Months ended
November 30, 2009
(Unaudited)		     1.31       0.95       (1.18 )     (0.82 )     21,185       —    
Year ended
May 31, 2009		     1.09       0.95       0.03       0.16       35,750       —    
Year ended
May 31, 2008		     1.36       0.95       2.03       2.44       28,394       —    
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, 2009
(Unaudited)		     0.99       0.95       (0.89 )     (0.85 )     266,870       —    
Year ended
May 31, 2009		     0.95       0.95       0.62       0.62       219,567       —    
Year ended
May 31, 2008		     0.99       0.95       1.78       1.82       2,328,579       —    
January 30, 2007*
through
May 31, 2007		     1.59       0.95       3.87       4.51       30,595       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

302 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Real Estate  
Six Months ended
November 30, 2009
(Unaudited)		   $ 19.48     $ (0.05 )   $ (10.73 )   $ — (h)   $ (10.78 )   $ —     $ —     $ —     $ —     $ 8.70       (55.36 )%     (55.52 )%  
Year ended
May 31, 2009		     84.44       (0.06 )     (59.87 )     0.07       (59.86 )     (0.53 )     (4.57 )     —       (5.10 )     19.48       (74.95 )     (74.96 )  
Year ended
May 31, 2008		     76.73       2.66       6.61 (i)     0.09       9.36       (1.65 )     —       —       (1.65 )     84.44       12.03       12.33    
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, 2009
(Unaudited)		     38.37       (0.11 )     (15.12 )     0.01       (15.22 )     —       —       —       —       23.15       (39.67 )     (40.07 )  
Year ended
May 31, 2009		     55.39       0.03       25.61       0.08       25.72       (0.39 )     (42.35 )     —       (42.74 )     38.37       3.64       4.01    
Year ended
May 31, 2008		     61.64       1.69       (5.48 )     0.05       (3.74 )     (2.51 )     —       —       (2.51 )     55.39       (6.11 )     (5.58 )  
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, 2009
(Unaudited)		     44.11       (0.13 )     (18.42 )     —       (18.55 )     —       —       —       —       25.56       (42.05 )     (41.91 )  
Year ended
May 31, 2009		     54.22       (0.04 )     16.87       0.03       16.86       (0.51 )     (26.46 )     —       (26.97 )     44.11       7.97       7.36    
Year ended
May 31, 2008		     63.03       1.42       (7.45 )     0.05       (5.98 )     (2.83 )     —       —       (2.83 )     54.22       (9.69 )     9.66    
January 30, 2007*
through
May 31, 2007		     70.00       1.06       (8.03 )     —       (6.97 )     —       —       —       —       63.03       (9.96 )     (9.71 )  

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort Real Estate  
Six Months ended
November 30, 2009
(Unaudited)		     0.96 %     0.95 %     (0.85 )%     (0.84 )%   $ 856,326       — %  
Year ended
May 31, 2009		     0.96       0.95       (0.11 )     (0.10 )     1,239,185       —    
Year ended
May 31, 2008		     0.98       0.95       2.66       2.69       804,324       —    
January 30, 2007*
through
May 31, 2007		     1.24       0.95       4.00       4.29       97,829       —    
UltraShort Semiconductors  
Six Months ended
November 30, 2009
(Unaudited)		     1.28       0.95       (1.16 )     (0.83 )     34,731       —    
Year ended
May 31, 2009		     1.25       0.95       (0.26 )     0.04       34,531       —    
Year ended
May 31, 2008		     1.46       0.95       2.13       2.64       24,925       —    
January 30, 2007*
through
May 31, 2007		     1.94       0.95       3.57       4.55       9,246       —    
UltraShort Technology  
Six Months ended
November 30, 2009
(Unaudited)		     1.33       0.95       (1.20 )     (0.82 )     24,925       —    
Year ended
May 31, 2009		     1.13       0.95       (0.23 )     (0.05 )     36,391       —    
Year ended
May 31, 2008		     1.22       0.95       1.93       2.20       40,668       —    
January 30, 2007*
through
May 31, 2007		     1.95       0.95       3.56       4.55       4,727       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 303


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort Telecommunications  
Six Months ended
November 30, 2009
(Unaudited)		   $ 31.00     $ (0.10 )   $ (4.09 )   $ —     $ (4.19 )   $ —     $ (9.47 )   $ —     $ (9.47 )   $ 17.34       (16.26 )%     (17.28 )%  
Year ended
May 31, 2009		     53.57       0.18       11.10       0.01       11.29       (0.58 )     (33.28 )     —       (33.86 )     31.00       (2.77 )     (0.82 )  
March 25, 2008*
through
May 31, 2008		     70.00       0.14       (16.59 )(i)     0.02       (16.43 )     —       —       —       —       53.57       (23.47 )     (23.74 )  
UltraShort Utilities  
Six Months ended
November 30, 2009
(Unaudited)		     41.06       (0.12 )     (9.91 )     — (h)     (10.03 )     —       (7.74 )     —       (7.74 )     23.29       (26.95 )     (27.52 )  
Year ended
May 31, 2009		     50.89       0.03       23.24       0.03       23.30       (0.31 )     (32.82 )     —       (33.13 )     41.06       41.38       42.53    
Year ended
May 31, 2008		     54.43       1.81       (3.46 )     0.05       (1.60 )     (1.94 )     —       —       (1.94 )     50.89       (3.36 )     (3.16 )  
January 30, 2007*
through
May 31, 2007		     70.00       0.88       (16.45 )     — (h)     (15.57 )     —       —       —       —       54.43       (22.24 )     (22.39 )  
Short MSCI EAFE  
Six Months ended
November 30, 2009
(Unaudited)		     73.29       (0.28 )     (13.99 )     0.01       (14.26 )     —       —       —       —       59.03       (19.46 )     (19.71 )  
Year ended
May 31, 2009		     73.63       (0.31 )     16.49 (i)     0.04       16.22       (0.32 )     (16.24 )     —       (16.56 )     73.29       18.01       18.21    
October 23, 2007*
through
May 31, 2008		     70.00       1.06       3.07       0.02       4.15       (0.52 )     —       —       (0.52 )     73.63       5.92       6.05    

 

       
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort Telecommunications  
Six Months ended
November 30, 2009
(Unaudited)		     7.31 %     0.95 %     (7.20 )%     (0.84 )%   $ 1,301       — %  
Year ended
May 31, 2009		     2.24       0.95       (1.03 )     0.27       2,325       —    
March 25, 2008*
through
May 31, 2008		     3.21       0.95       (1.01 )     1.25       8,036       —    
UltraShort Utilities  
Six Months ended
November 30, 2009
(Unaudited)		     2.04       0.95       (1.92 )     (0.84 )     8,736       —    
Year ended
May 31, 2009		     2.21       0.95       (1.20 )     0.05       12,318       —    
Year ended
May 31, 2008		     1.43       0.95       2.70       3.18       19,085       —    
January 30, 2007*
through
May 31, 2007		     2.00       0.95       3.44       4.49       16,330       —    
Short MSCI EAFE  
Six Months ended
November 30, 2009
(Unaudited)		     1.16       0.95       (1.06 )     (0.84 )     53,129       —    
Year ended
May 31, 2009		     1.15       0.95       (0.53 )     (0.33 )     60,461       —    
October 23, 2007*
through
May 31, 2008		     1.90       0.95       1.38       2.33       11,044       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

304 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
Short MSCI Emerging Markets  
Six Months ended
November 30, 2009
(Unaudited)		   $ 52.10     $ (0.19 )   $ (11.72 )   $ 0.01     $ (11.90 )   $ —     $ —     $ —     $ —     $ 40.20       (22.84 )%     (23.22 )%  
Year ended
May 31, 2009		     69.46       0.03       (9.34 )     0.05       (9.26 )     (0.44 )     (7.66 )     —       (8.10 )     52.10       (17.55 )     (16.71 )  
October 30, 2007*
through
May 31, 2008		     70.00       0.82       (0.74 )     0.01       0.09       (0.63 )     —       —       (0.63 )     69.46       0.06       (0.59 )  
UltraShort MSCI EAFE  
Six Months ended
November 30, 2009
(Unaudited)		     62.45       (0.21 )     (22.79 )     0.01       (22.99 )     —       —       —       —       39.46       (36.81 )     (36.70 )  
Year ended
May 31, 2009		     74.55       0.05       12.34       0.15       12.54       (0.53 )     (24.11 )     —       (24.64 )     62.45       4.39       4.27    
October 23, 2007*
through
May 31, 2008		     70.00       0.97       3.92 (i)     0.07       4.96       (0.41 )     —       —       (0.41 )     74.55       7.06       7.29    
UltraShort MSCI Emerging Markets  
Six Months ended
November 30, 2009
(Unaudited)		     20.76       (0.07 )     (8.93 )     — (h)     (9.00 )     —       —       —       —       11.76       (43.35 )     (43.49 )  
Year ended
May 31, 2009		     63.35       (0.03 )     (38.72 )     0.10       (38.65 )     (0.54 )     (3.40 )     —       (3.94 )     20.76       (65.89 )     (65.53 )  
October 30, 2007*
through
May 31, 2008		     70.00       0.85       (7.02 )     0.06       (6.11 )     (0.54 )     —       —       (0.54 )     63.35       (8.87 )     (9.60 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
Short MSCI Emerging Markets  
Six Months ended
November 30, 2009
(Unaudited)		     1.05 %     0.95 %     (0.96 )%     (0.86 )%   $ 229,117       — %  
Year ended
May 31, 2009		     1.19       0.95       (0.21 )     0.03       54,701       —    
October 30, 2007*
through
May 31, 2008		     1.48       0.95       1.35       1.88       52,094       —    
UltraShort MSCI EAFE  
Six Months ended
November 30, 2009
(Unaudited)		     1.26       0.95       (1.13 )     (0.82 )     26,636       —    
Year ended
May 31, 2009		     1.11       0.95       (0.11 )     0.05       56,206       —    
October 23, 2007*
through
May 31, 2008		     1.20       0.95       1.70       1.95       67,097       —    
UltraShort MSCI Emerging Markets  
Six Months ended
November 30, 2009
(Unaudited)		     1.05       0.95       (0.93 )     (0.83 )     206,386       —    
Year ended
May 31, 2009		     1.08       0.95       (0.17 )     (0.04 )     207,075       —    
October 30, 2007*
through
May 31, 2008		     1.01       0.95       1.87       1.93       275,590       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 305


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort MSCI Europe  
June 16, 2009*
through
November 30, 2009		   $ 40.00     $ (0.11 )   $ (17.52 )   $ 0.01     $ (17.62 )   $ —     $ —     $ —     $ —     $ 22.38       (44.05 )%     (44.13 )%  
UltraShort MSCI Pacific ex-Japan  
June 16, 2009*
through
November 30, 2009		     40.00       (0.10 )     (20.24 )     0.01       (20.33 )     —       —       —       —       19.67       (50.83 )     (49.83 )  
UltraShort MSCI Brazil  
June 16, 2009*
through
November 30, 2009		     60.00       (0.14 )     (36.06 )     0.02       (36.18 )     —       —       —       —       23.82       (60.30 )     (60.23 )  
UltraShort FTSE/Xinhua China 25  
Six Months ended
November 30, 2009
(Unaudited)		     13.63       (0.04 )     (5.54 )     — (h)     (5.58 )     —       —       —       —       8.05       (40.94 )     (40.95 )  
Year ended
May 31, 2009		     67.57       0.13       (53.51 )     0.06       (53.32 )     (0.62 )     —       —       (0.62 )     13.63       (79.69 )     (79.68 )  
November 6, 2007*
through
May 31, 2008		     70.00       0.98       (3.01 )     0.08       (1.95 )     (0.48 )     —       —       (0.48 )     67.57       (2.91 )     (2.78 )  
UltraShort MSCI Japan  
Six Months ended
November 30, 2009
(Unaudited)		     58.79       (0.22 )     (5.95 )     — (h)     (6.17 )     —       —       —       —       52.62       (10.49 )     (10.88 )  
Year ended
May 31, 2009		     68.59       0.12       2.56       0.05       2.73       (0.40 )     (12.13 )     —       (12.53 )     58.79       (0.56 )     (0.11 )  
November 6, 2007*
through
May 31, 2008		     70.00       0.95       (1.65 )     0.03       (0.67 )     (0.74 )     —       —       (0.74 )     68.59       (1.10 )     (0.98 )  

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort MSCI Europe  
June 16, 2009*
through
November 30, 2009		     2.62 %     0.95 %     (2.52 )%     (0.85 )%   $ 4,476       — %  
UltraShort MSCI Pacific ex-Japan  
June 16, 2009*
through
November 30, 2009		     4.53       0.95       (4.42 )     (0.84 )     1,967       —    
UltraShort MSCI Brazil  
June 16, 2009*
through
November 30, 2009		     2.56       0.95       (2.46 )     (0.85 )     13,099       —    
UltraShort FTSE/Xinhua China 25  
Six Months ended
November 30, 2009
(Unaudited)		     1.03       0.95       (0.94 )     (0.85 )     301,836       —    
Year ended
May 31, 2009		     1.02       0.95       0.18       0.25       169,686       —    
November 6, 2007*
through
May 31, 2008		     1.05       0.95       2.06       2.16       673,999       —    
UltraShort MSCI Japan  
Six Months ended
November 30, 2009
(Unaudited)		     2.26       0.95       (2.15 )     (0.84 )     15,785       —    
Year ended
May 31, 2009		     1.82       0.95       (0.75 )     0.13       13,228       —    
November 6, 2007*
through
May 31, 2008		     2.15       0.95       0.93       2.13       20,576       —    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

306 :: ProShares Trust :: Financial Highlights


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 (c)		  
    Net asset
value,
beginning
of period		   Net
investment
income
(loss) (a)		   Net
realized
and
unrealized
gains
(losses) on
investments		   Transaction
fees (b)		   Total from
investment
operations		   Net
investment
income		   Net
realized
gains		   Tax
return
of
capital		   Total
distributions		   Net
asset
value,
end of
period		   Net
asset
value (d)		   Market
value (e)		  
UltraShort MSCI Mexico Investable Market  
June 16, 2009*
through
November 30, 2009		   $ 60.00     $ (0.15 )   $ (31.58 )   $ 0.02     $ (31.71 )   $ —     $ —     $ —     $ —     $ 28.29       (52.85 )%     (52.92 )%  
Short 20+ Year Treasury  
August 18, 2009*
through
November 30, 2009		     50.00       (0.13 )     (2.40 )     0.01       (2.52 )     —       —       —       —       47.48       (5.04 )     (4.96 )  
UltraShort 7-10 Year Treasury  
Six Months ended
November 30, 2009
(Unaudited)		     56.61       (0.24 )     (6.57 )     0.01       (6.80 )     —       —       —       —       49.81       (12.03 )     (12.02 )  
Year ended
May 31, 2009		     72.02       (0.32 )     (14.91 )     0.03       (15.20 )     (0.21 )     —       —       (0.21 )     56.61       (21.13 )     (21.45 )  
April 29, 2008*
through
May 31, 2008		     70.00       0.06       1.93       0.03       2.02       —       —       —       —       72.02       2.89       3.23    
UltraShort 20+ Year Treasury  
Six Months ended
November 30, 2009
(Unaudited)		     52.48       (0.21 )     (7.98 )     0.01       (8.18 )     —       —       —       —       44.30       (15.60 )     (15.86 )  
Year ended
May 31, 2009		     72.34       (0.34 )     (19.38 )(i)     0.03       (19.69 )     (0.17 )     —       —       (0.17 )     52.48       (27.25 )     (27.43 )  
April 29, 2008*
through
May 31, 2008		     70.00       0.05       2.25       0.04       2.34       —       —       —       —       72.34       3.34       3.89    
Credit Suisse 130/30  
July 13, 2009*
through
November 30, 2009		     40.00       0.16       8.97       0.01       9.14       (0.09 )     —       —       (0.09 )     49.05       22.86       22.93    

 

     
    RATIOS/SUPPLEMENTAL DATA  
    RATIOS TO AVERAGE NET ASSETS (f)   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 (c)(g)		  
UltraShort MSCI Mexico Investable Market  
June 16, 2009*
through
November 30, 2009		     1.94 %     0.95 %     (1.85 )%     (0.85 )%   $ 5,658       — %  
Short 20+ Year Treasury  
August 18, 2009*
through
November 30, 2009		     1.10       0.95       (1.06 )     (0.91 )     147,186       —    
UltraShort 7-10 Year Treasury  
Six Months ended
November 30, 2009
(Unaudited)		     0.98       0.95       (0.90 )     (0.87 )     343,660       —    
Year ended
May 31, 2009		     1.01       0.95       (0.63 )     (0.57 )     445,822       —    
April 29, 2008*
through
May 31, 2008		     3.55       0.95       (1.66 )     0.94       32,410       —    
UltraShort 20+ Year Treasury  
Six Months ended
November 30, 2009
(Unaudited)		     0.95       0.95       (0.87 )     (0.87 )     4,372,195       —    
Year ended
May 31, 2009		     0.97       0.95       (0.73 )     (0.71 )     4,058,210       —    
April 29, 2008*
through
May 31, 2008		     2.37       0.95       (0.62 )     0.80       92,227       —    
Credit Suisse 130/30  
July 13, 2009*
through
November 30, 2009		     1.64       0.95       0.21       0.90       29,431       74    

 

*  Commencement of investment operations.

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 307



ProShares Trust Notes to Financial Highlights:

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  Includes transaction fees associated with the issuance and redemption of Creation Units. Prior to the fiscal year ended May 31, 2008, these amounts were included under the caption "Net realized and unrealized gains (losses) on investments."

(c)  Not annualized for periods less than one year.

(d)  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 at net asset value. 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.

(e)  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, if any, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.

(f)  Annualized for periods less than one year.

(g)  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. In-Kind transactions are not included in the portfolio turnover calculations.

(h)  Per share amount is less than $0.005.

(i)  The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) 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.

(j)  Less than 0.5%.

(k) Less than 0.005%.

See accompanying notes to the financial statements.

308 :: ProShares Trust :: Notes to Financial Highlights :: November 30, 2009



Notes to Financial Statements

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 309


1. Organization

ProShares Trust (the "Trust") is registered as an open-end management investment company under the Investment Company Act of 1940 ("1940 Act"). The Trust was formed as a Delaware statutory trust on May 29, 2002, has authorized capital of unlimited shares at no par value and is comprised of 78 operational Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is a "non-diversified" series of the Trust pursuant to 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 ProShare Advisors LLC (the "Advisor") of 1,428 shares of ProShares Short S&P 500 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 ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates. In June 2009, the Financial Accounting Standards Board ("FASB") announced that effective for financial statements issued for interim and annual periods ending after September 15, 2009, FASB Accounting Standards CodificationTM ("ASC" or the "Codification") would become the sole source of authoritative generally accepted accounting principles. Accordingly, the Fund has removed references to pre-Codification accounting standards in these Notes to Financial Statements.

Investment 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 Stock Market, are valued at the closing price, if available, or the last sale price on the exchange or system 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 of the security for that day on any exchange or system, the security will be valued in accordance with procedures approved by the Trust's Board of Trustees (the "Board").

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 value.

Derivatives (e.g., futures and swap agreements) are generally valued using independent sources and/or agreement with counterparties or other procedures approved by the Board. 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, and for non-exchange traded derivatives, fair valuation procedures as described below may be applied.

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 Board. Fair value pricing may require subjective determinations about the value of a security. While the Trust's policy is intended to result in a calculation of a Fund's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Advisor or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds' own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

•  Level 1 — Quoted prices in active markets for identical assets.

•  Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

•  Level 3 — Significant unobservable inputs (including each Fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities maturing in sixty days or less are generally valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

A summary of the valuations as of November 30, 2009, based upon the three levels defined above, is included in each Fund's Schedule of Portfolio Investments.

American Depositary Receipts ("ADRs")

Certain Funds may invest in ADRs. For many foreign securities, U.S. Dollar-denominated ADRs, which are traded in the United States on exchanges or OTC, are issued by domestic banks. ADRs represent the right to receive securities of foreign issuers deposited in a domestic bank or a correspondent bank. ADRs are an alternative to

310 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


purchasing the underlying securities in their national markets and currencies. ADRs do not eliminate all the risk inherent in investing in the securities of foreign issuers. However, by investing in ADRs rather than directly in foreign issuers' stock, the Funds can avoid currency risks during the settlement period for either purchases or sales.

Repurchase Agreements

Under a repurchase agreement, the Fund purchases a security — typically 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 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 whose condition is continuously monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to 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 and interest income 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 ("REITs")

The Funds may own shares of REITs which report information on the source of their distributions annually. A portion of distributions received from REITs during the period is estimated to be dividend income, realized gain or return of capital. These estimates are adjusted when the actual source of distributions is disclosed by the REITs.

Accounting for Derivatives Instruments

In seeking to achieve each Fund's investment objective, the Advisor uses a mathematical approach to investing. Using this approach, the Advisor determines the type, quantity and mix of investment positions, including derivative positions, that a Fund should hold to approximate the inverse, multiple, or multiple inverse performance of its benchmark, as appropriate, based upon each Fund's investment objective.

All open derivative positions at period end are reflected on each respective Fund's Schedule of Investments. While the volume of open positions may vary on a daily basis as each Fund transacts derivative contracts in order to achieve the exposure desired by the Advisor, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period for each respective Fund. Following is a description of how and why the Funds use derivative instruments, the types of derivatives utilized by the Funds during the reporting period, as well as the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds may purchase or sell index futures contracts as a substitute for a comparable market position in the underlying securities. An 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 index futures contract and the price at which the agreement is made. The underlying stocks or bonds in the index are not physically delivered.

Upon entering into a contract, each Fund is required to deposit and maintain as collateral, at least such initial margin as required by the exchange on which the transaction is effected. A portion of the initial margin is segregated as 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, each 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 each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts in which the Funds invest 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. Additional 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

Swap agreements are two-party contracts entered into primarily with institutional investors for periods ranging from one day to more than one year. In a standard "swap" transaction, two parties agree to exchange the returns (or differentials in rate of return) earned or realized on particular predetermined investments or instruments.

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 create an economic hedge against 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, each 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"). When investing in index swap agreements, the Funds may hold or gain exposure to only a representative sample of the securities in the underlying index, which is intended to have aggregate characteristics similar to those of the underlying index, or to a component of the underlying index. In a "long" swap agreement, the counterparty will generally agree to pay each Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 311


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. Each 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 each 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 each Fund on the notional amount. Swap agreements do not involve the delivery of securities or other underlying instruments.

Pursuant to valuation procedures approved by the Board, the net amount of the excess, if any, of each 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 the Funds' 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 each 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".

Some Funds 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 each 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, each 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 in which the Funds invest involve, to varying degrees, elements of market risk (equity price risk for all Funds except for the Short 20+, UltraShort 7-10, and 20+ Year Treasury Funds, which are primarily subject to interest rate 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 each Fund. Additional 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. Each 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 counterparty to a swap agreement is monitored by the Advisor. The Advisor may use various techniques to minimize credit risk including early termination and payment, using different counterparties and limiting the net amount due from any individual counterparty. All of the outstanding swap agreements at November 30, 2009 contractually terminate within twelve months but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the "unrealized appreciation or depreciation" amount.

The Funds collateralize swap agreements with certain securities and cash equivalents as indicated on their Schedule of Investments, and such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs exercising their rights with respect to the collateral.

The Funds remain subject to credit risk with respect to the amounts they expect to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of November 30, 2009

Asset Derivatives   Liabilities Derivatives  
Derivatives not
accounted for as
hedging
instruments under
ASC 815		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Appreciation*		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Depreciation*		  
Equity and Bond
Index Futures
contracts/Swap
agreements		   Receivable for
variation margin
on futures
contracts, Unrealized
appreciation on
swap agreements		               Payable for
variation margin
on futures
contracts, Unrealized
depreciation on
swap agreements		              
        Ultra QQQ®   $ 200,072,867         Ultra QQQ®   $ 5,436,362    
        Ultra Dow30SM     111,440,251         Ultra Dow30SM     713,931    
        Ultra S&P500®     477,395,195         Ultra S&P500®     1,303,142    
        Ultra Russell3000     484,468         Ultra Russell3000     40,285    

 

312 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Asset Derivatives   Liabilities Derivatives  
Derivatives not
accounted for as
hedging
instruments under
ASC 815		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Appreciation*		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Depreciation*		  
Equity and Bond
Index Futures
contracts/Swap
agreements		   Receivable for
variation margin
on futures
contracts, Unrealized
appreciation on
swap agreements		               Payable for
variation margin
on futures
contracts, Unrealized
depreciation on
swap agreements		              
        Ultra MidCap400   $ 18,573,854         Ultra MidCap400   $ 2,105,948    
        Ultra SmallCap600     8,318,793         Ultra SmallCap600     1,199,215    
        Ultra Russell2000     37,677,076         Ultra Russell2000     1,339,255    
        UltraPro S&P500®     2,404,157         UltraPro S&P500®     2,393,144    
        Ultra Russell1000 Value     3,870,459         Ultra Russell1000 Value     249,601    
        Ultra Russell1000 Growth     5,149,197         Ultra Russell1000 Growth     214,005    
        Ultra Russell MidCap Value     2,906,261         Ultra Russell MidCap Value     512,740    
        Ultra Russell MidCap Growth     2,606,586         Ultra Russell MidCap Growth     564,637    
        Ultra Russell2000 Value     2,623,943         Ultra Russell2000 Value     420,776    
        Ultra Russell2000 Growth     3,256,847         Ultra Russell2000 Growth     785,735    
        Ultra Basic Materials     152,490,401         Ultra Basic Materials     7,377,829    
        Ultra Consumer Goods     2,450,341         Ultra Consumer Goods     359,623    
        Ultra Consumer Services     1,501,789         Ultra Consumer Services     302,890    
        Ultra Financials     490,217,839         Ultra Financials     21,831,529    
        Ultra Health Care     7,521,423         Ultra Health Care     284,589    
        Ultra Industrials     5,936,947         Ultra Industrials     833,021    
        Ultra Oil & Gas     93,150,479         Ultra Oil & Gas     3,163,752    
        Ultra Real Estate     84,169,413         Ultra Real Estate     8,548,211    
        Ultra Semiconductors     17,787,517         Ultra Semiconductors     2,100,488    
        Ultra Technology     26,567,912         Ultra Technology     3,423,064    
        Ultra Telecommunications     1,102,986         Ultra Telecommunications     120,181    
        Ultra Utilities     3,193,653         Ultra Utilities     27,820    
        Ultra MSCI EAFE     646,059         Ultra MSCI EAFE     461,676    
        Ultra MSCI Emerging Markets     739,932         Ultra MSCI Emerging Markets     1,263,112    
        Ultra FTSE/Xinhua China 25     1,236,620         Ultra FTSE/Xinhua China 25     2,310,891    
        Ultra MSCI Japan     94,681         Ultra MSCI Japan     139,618    
        Short QQQ®     —         Short QQQ®     23,067,040    
        Short Dow30SM     —         Short Dow30SM     42,068,666    
        Short S&P500®     —         Short S&P500®     172,291,351    
        Short MidCap400     94,516         Short MidCap400     6,055,520    
        Short SmallCap600     —         Short SmallCap600     2,177,675    
        Short Russell2000     712,148         Short Russell2000     9,611,294    
        UltraShort QQQ®     —         UltraShort QQQ®     273,433,485    
        UltraShort Dow30SM     —         UltraShort Dow30SM     175,102,378    
        UltraShort S&P500®     —         UltraShort S&P500®     939,559,830    
        UltraShort Russell3000     —         UltraShort Russell3000     1,130,035    
        UltraShort MidCap400     1,428,925         UltraShort MidCap400     1,796,553    
        UltraShort SmallCap600     —         UltraShort SmallCap600     6,817,262    
        UltraShort Russell2000     2,786,820         UltraShort Russell2000     113,388,293    
        UltraPro Short S&P500®     —         UltraPro Short S&P500®     17,742,643    
        UltraShort Russell1000 Value     —         UltraShort Russell1000 Value     2,229,258    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 313


Asset Derivatives   Liabilities Derivatives  
Derivatives not
accounted for as
hedging
instruments under
ASC 815		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Appreciation*		   Statements of
Assets
and Liabilities
Location		   Fund   Unrealized
Depreciation*		  
Equity and Bond
Index Futures
contracts/Swap
agreements		   Receivable for
variation margin
on futures
contracts, Unrealized
appreciation on
swap agreements		               Payable for
variation margin
on futures
contracts, Unrealized
depreciation on
swap agreements		              
        UltraShort Russell1000
Growth		             —     UltraShort Russell1000
Growth		   $ 3,125,072    
        UltraShort Russell MidCap
Value		     —       UltraShort Russell MidCap
Value		     2,204,776    
        UltraShort Russell MidCap
Growth		   $ 168,318         UltraShort Russell MidCap
Growth		     559,628    
        UltraShort Russell2000 Value     —         UltraShort Russell2000 Value     3,966,556    
        UltraShort Russell2000
Growth		     31,301         UltraShort Russell2000
Growth		     2,622,137    
        Short Financials     —         Short Financials     21,562,679    
        Short Oil & Gas     5,228         Short Oil & Gas     975,145    
        UltraShort Basic Materials     —         UltraShort Basic Materials     55,875,811    
        UltraShort Consumer Goods     —         UltraShort Consumer Goods     9,835,886    
        UltraShort Consumer Services     —         UltraShort Consumer Services     18,098,996    
        UltraShort Financials     —         UltraShort Financials     76,679,841    
        UltraShort Health Care     —         UltraShort Health Care     2,179,290    
        UltraShort Industrials     46,248         UltraShort Industrials     6,921,793    
        UltraShort Oil & Gas     —         UltraShort Oil & Gas     78,553,362    
        UltraShort Real Estate     —         UltraShort Real Estate     130,503,497    
        UltraShort Semiconductors     —         UltraShort Semiconductors     11,208,260    
        UltraShort Technology     42,988         UltraShort Technology     9,135,925    
        UltraShort
Telecommunications		     8,307         UltraShort
Telecommunications		     83,652    
        UltraShort Utilities     —         UltraShort Utilities     2,406,361    
        Short MSCI EAFE     —         Short MSCI EAFE     570,332    
        Short MSCI Emerging
Markets		     —         Short MSCI Emerging
Markets		     26,345,230    
        UltraShort MSCI EAFE     —         UltraShort MSCI EAFE     789,434    
        UltraShort MSCI Emerging
Markets		     4,206,045         UltraShort MSCI Emerging
Markets		     14,181,595    
        UltraShort MSCI Europe     104,903         UltraShort MSCI Europe     62,445    
        UltraShort MSCI Pacific
ex-Japan		     —         UltraShort MSCI Pacific
ex-Japan		     942,836    
        UltraShort MSCI Brazil     —         UltraShort MSCI Brazil     1,223,369    
        UltraShort FTSE/Xinhua
China 25		     —         UltraShort FTSE/Xinhua
China 25		     81,746,742    
        UltraShort MSCI Japan     125,921         UltraShort MSCI Japan     2,515,210    
        UltraShort MSCI Mexico
Investable Market		     —         UltraShort MSCI Mexico
Investable Market		     2,352,677    
        Short 20+ Year Treasury     —         Short 20+ Year Treasury     3,096,997    
        UltraShort 7-10 Year Treasury     —         UltraShort 7-10 Year Treasury     31,994,448    
        UltraShort 20+ Year Treasury     75,968,596         UltraShort 20+ Year Treasury     103,381,233    
        Credit Suisse 130/30     358,192         Credit Suisse 130/30     —    

 

*  Includes cumulative appreciation (depreciation) of futures contracts and swap agreements as reported in the Schedules of Investments. For futures contracts, only the current day's variation margin is reported within the asset and liability sections of the Statements of Assets and Liabilities.

314 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


The Effect of Derivative Instruments on the Statements of Operations for the six months ended November 30, 2009

  

Derivatives not
accounted for as
hedging
instruments under
ASC 815		   Location of Gain or (Loss) on
Derivatives on the
Statements of Operations		   Fund   Realized Gain or
(Loss) on
Derivatives		   Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives		  
    Net realized gain (loss) on                
   
    Futures contracts and Swap                
   
    agreements, Change in net                
   
Equity and Bond   unrealized appreciation                
   
Index Futures   (depreciation) on                
   
contracts/Swap   Futures contracts and Swap                
   
agreements   agreements   Ultra QQQ®   $ 114,248,570     $ 126,138,229    
        Ultra Dow30SM     36,432,076       83,889,321    
        Ultra S&P500®     110,415,236       319,440,862    
        Ultra Russell3000     672,083       444,183    
        Ultra MidCap400     18,227,149       11,875,407    
        Ultra SmallCap600     4,550,496       4,861,299    
        Ultra Russell2000     24,359,357       18,304,372    
        UltraPro S&P500®     18,129,826       11,013    
        Ultra Russell1000 Value     1,407,008       2,498,947    
        Ultra Russell1000 Growth     3,708,761       2,972,793    
        Ultra Russell MidCap Value     2,619,698       1,533,541    
        Ultra Russell MidCap Growth     2,221,467       924,906    
        Ultra Russell2000 Value     1,708,649       1,642,551    
        Ultra Russell2000 Growth     2,899,129       871,927    
        Ultra Basic Materials     47,877,950       77,318,571    
        Ultra Consumer Goods     3,667,938       1,222,520    
        Ultra Consumer Services     1,902,242       909,040    
        Ultra Financials     94,718,458       330,556,440    
        Ultra Health Care     3,636,435       5,491,486    
        Ultra Industrials     5,765,469       3,458,094    
        Ultra Oil & Gas     57,257,924       843,448    
        Ultra Real Estate     99,240,851       48,878,666    
        Ultra Semiconductors     10,558,976       10,402,228    
        Ultra Technology     23,267,934       14,186,710    
        Ultra Telecommunications     113,767       483,846    
        Ultra Utilities     1,240,733       2,301,508    
        Ultra MSCI EAFE     1,316,714       184,383    
        Ultra MSCI Emerging Markets     3,794,810       (523,180 )  
        Ultra FTSE/Xinhua China 25     5,110,837       (1,074,271 )  
        Ultra MSCI Japan     131,821       (44,937 )  
        Short QQQ®     (33,378,575 )     (12,756,871 )  
        Short Dow30SM     (32,546,716 )     (30,830,709 )  
        Short S&P500®     (238,646,322 )     (114,724,404 )  
        Short MidCap400     (7,448,358 )     (3,300,456 )  
        Short SmallCap600     (8,632,789 )     (1,032,065 )  
        Short Russell2000     (21,127,654 )     (3,064,402 )  
        UltraShort QQQ®     (338,286,745 )     (146,468,620 )  
        UltraShort Dow30SM     (156,319,094 )     (130,782,280 )  
        UltraShort S&P500®     (1,061,931,970 )     (584,312,071 )  
        UltraShort Russell3000     (766,788 )     (1,130,035 )  
        UltraShort MidCap400     (36,025,488 )     9,761,943    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 315


Derivatives not
accounted for as
hedging
instruments under
ASC 815		   Location of Gain or (Loss) on
Derivatives on the
Statements of Operations		   Fund   Realized Gain or
(Loss) on
Derivatives		   Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives		  
    Net realized gain (loss) on                
   
    Futures contracts and Swap                
   
    agreements, Change in net                
   
Equity and Bond   unrealized appreciation                
   
Index Futures   (depreciation) on                
   
contracts/Swap   Futures contracts and Swap                
   
agreements   agreements   UltraShort SmallCap600   $ (8,952,159 )   $ (2,374,637 )  
        UltraShort Russell2000     (194,513,703 )     (20,803,898 )  
        UltraPro Short S&P500®     (41,177,209 )     (17,742,643 )  
        UltraShort Russell1000 Value     (4,985,275 )     501,752    
        UltraShort Russell1000 Growth     (5,125,064 )     (39,731 )  
        UltraShort Russell MidCap Value     (1,918,290 )     (1,293,681 )  
        UltraShort Russell MidCap Growth     (4,164,184 )     1,027,430    
        UltraShort Russell2000 Value     (4,689,685 )     (1,636,985 )  
        UltraShort Russell2000 Growth     (4,436,480 )     (425,137 )  
        Short Financials     (31,651,787 )     873,793    
        Short Oil & Gas     (2,125,030 )     (417,747 )  
        UltraShort Basic Materials     (65,537,708 )     (26,865,458 )  
        UltraShort Consumer Goods     (4,351,859 )     (5,433,695 )  
        UltraShort Consumer Services     (33,331,613 )     (2,040,539 )  
        UltraShort Financials     (865,616,050 )     403,470,132    
        UltraShort Health Care     (3,047,683 )     (612,499 )  
        UltraShort Industrials     (18,285,998 )     1,227,916    
        UltraShort Oil & Gas     (46,774,101 )     (26,777,749 )  
        UltraShort Real Estate     (1,183,247,973 )     414,905,966    
        UltraShort Semiconductors     (11,744,561 )     (3,743,968 )  
        UltraShort Technology     (17,064,337 )     766,770    
        UltraShort Telecommunications     (408,191 )     101,045    
        UltraShort Utilities     (3,008,389 )     (316,779 )  
        Short MSCI EAFE     (23,958,238 )     9,340,973    
        Short MSCI Emerging Markets     (27,626,421 )     (16,727,832 )  
        UltraShort MSCI EAFE     (39,257,093 )     18,822,594    
        UltraShort MSCI Emerging Markets     (194,711,903 )     65,328,284    
        UltraShort MSCI Europe     (4,020,616 )     42,458    
        UltraShort MSCI Pacific ex-Japan     (1,118,230 )     (942,836 )  
        UltraShort MSCI Brazil     (4,417,020 )     (1,223,369 )  
        UltraShort FTSE/Xinhua China 25     (104,292,331 )     (30,850,164 )  
        UltraShort MSCI Japan     (1,196,855 )     (145,979 )  
        UltraShort MSCI Mexico Investable Market     (7,190,316 )     (2,352,677 )  
        Short 20+ Year Treasury     (281,046 )     (3,096,997 )  
        UltraShort 7-10 Year Treasury     7,194,328       (46,361,219 )  
        UltraShort 20+ Year Treasury     (369,328,635 )     (196,344,779 )  
        Credit Suisse 130/30     87,894       358,192    

 

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 GAAP. 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.

316 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Taxes

Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute substantially all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.

As of November 30, 2009, management of the Funds has reviewed all open tax years and major jurisdictions and concluded that 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. On an ongoing basis management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and on-going analysis of tax law, regulation, and interpretations thereof.

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 Funds' tax year end is October 31st and the tax character of current year distributions and current components of accumulated earnings (deficit) will be determined at the end of the current tax year.

The tax character of distributions paid for the tax year ended October 31, 2009 and October 31, 2008, were as follows:

    Year Ended October 31, 2009   Year Ended October 31, 2008  
Fund   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		  
Ultra QQQ®     —       —       —       —     $ 46,354,649     $ 3,631,517     $ 428,824     $ 50,414,990    
Ultra Dow30SM   $ 14,255,646       —       —     $ 14,255,646       16,164,689       334,415       —       16,499,104    
Ultra S&P500®     37,984,674       —     $ 517,535       38,502,209       34,676,459       1,376,224       —       36,052,683    
Ultra Russell3000     12,772       —       —       12,772       —       —       —       —    
Ultra MidCap400     629,406       —       227,381       856,787       3,983,796       370,140       —       4,353,936    
Ultra SmallCap600     147,778       —       40,486       188,264       491,430       4,886       —       496,316    
Ultra Russell2000     1,406,726       —       276,673       1,683,399       1,851,371       30,956       —       1,882,327    
UltraPro S&P500®     25,302       —       —       25,302       —       —       —       —    
Ultra Russell1000 Value     341,000       —       —       341,000       161,018       —       —       161,018    
Ultra Russell1000
Growth		     181,656       —       6,860       188,516       911,966       —       28,627       940,593    
Ultra Russell MidCap
Value		     172,865       —       14,418       187,283       89,616       —       —       89,616    
Ultra Russell MidCap
Growth		     25,294       —       11,824       37,118       653,276       867       —       654,143    
Ultra Russell2000 Value     196,735       —       —       196,735       132,124       —       —       132,124    
Ultra Russell2000
Growth		     —       —       10,077       10,077       107,509       1,171       —       108,680    
Ultra Basic Materials     4,707,191       —       —       4,707,191       3,799,636       —       —       3,799,636    
Ultra Consumer Goods     293,113       —       —       293,113       171,297       —       —       171,297    
Ultra Consumer
Services		     53,836       —       11,646       65,482       30,584       —       —       30.584    
Ultra Financials     28,327,945       —       5,664,456       33,992,401       20,582,432       —       —       20,582,432    
Ultra Health Care     475,535       —       18,231       493,766       406,625       —       —       406,625    
Ultra Industrials     336,855       —       —       336,855       626,189       —       —       626,189    
Ultra Oil & Gas     5,823,113       —       740,383       6,563,496       6,970,659       —       —       6,970,659    
Ultra Real Estate     12,671,834       —       —       12,671,834       1,685,331       —       —       1,685,331    
Ultra Semiconductors     841,375       —       67,408       908,783       2,119,669       —       19,880       2,139,549    
Ultra Technology     32,347       —       191,661       224,008       1,796,855       —       55,621       1,852,476    
Ultra
Telecommunications		     327,812       —       —       327,812       129,756       —       —       129,756    
Ultra Utilities     828,586       —       —       828,586       1,300,435       —       —       1,300,435    
Ultra MSCI EAFE     —       —       —       —       —       —       —       —    
Ultra MSCI Emerging
Markets		     —       —       —       —       —       —       —       —    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 317


    Year Ended October 31, 2009   Year Ended October 31, 2008  
Fund   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		  
Ultra FTSE/Xinhua
China 25		     —       —       —       —       —       —       —       —    
Ultra MSCI Japan     —       —       —       —       —       —       —       —    
Short QQQ®   $ 4,857,267     $ 248,328       —     $ 5,105,595     $ 1,604,409       —       —     $ 1,604,409    
Short Dow30SM     20,334,279       644,280       —       20,978,559       2,894,063       —       —       2,894,063    
Short S&P500®     57,351,350       184,807       —       57,536,157       5,494,293       —       —       5,494,293    
Short MidCap400     3,831,813       407,412       —       4,239,225       1,014,577       —       —       1,014,577    
Short SmallCap600     7,266,783       —       —       7,266,783       275,441       —       —       275,441    
Short Russell2000     16,407,387       179,159       —       16,586,546       746,634       —       —       746,634    
UltraShort QQQ®     104,079,968       —       —       104,079,968       30,365,928       —       —       30,365,928    
UltraShort Dow30SM     139,678,620       —       —       139,678,620       42,152,241       —       —       42,152,241    
UltraShort S&P500®     386,940,342       —       —       386,940,342       171,060,888       —       —       171,060,888    
UltraShort Russell3000     —       —       —       —       —       —       —       —    
UltraShort MidCap400     23,260,894       —       —       23,260,894       4,083,703       —       —       4,083,703    
UltraShort SmallCap600     10,792,862       —       —       10,792,862       998,698       —       —       998,698    
UltraShort Russell2000     133,518,106       —       —       133,518,106       13,206,912       —       —       13,206,912    
UltraPro Short S&P500®     —       —       —       —       —       —       —       —    
UltraShort
Russell1000 Value		     2,158,640       —       —       2,158,640       108,052       —       —       108,052    
UltraShort Russell1000
Growth		     7,425,631       —       —       7,425,631       316,751       —       —       316,751    
UltraShort Russell
MidCap Value		     4,496,614       —       —       4,496,614       148,576       —       —       148,576    
UltraShort Russell
MidCap Growth		     4,034,605       —       —       4,034,605       162,288       —       —       162,288    
UltraShort
Russell2000 Value		     2,291,569       —       —       2,291,569       639,929       —       —       639,929    
UltraShort Russell2000
Growth		     8,175,002       —       —       8,175,002       605,611       —       —       605,611    
Short Financials     1,805,528       —       —       1,805,528       50,456       —       —       50,456    
Short Oil & Gas     1,823,555       —       —       1,823,555       38,441       —       —       38,441    
UltraShort Basic
Materials		     45,864,183       —       —       45,864,183       2,693,863       —       —       2,693,863    
UltraShort Consumer
Goods		     8,488,763       —       —       8,488,763       526,632       —       —       526,632    
UltraShort Consumer
Services		     38,162,521       —       —       38,162,521       2,170,290       —       —       2,170,290    
UltraShort Financials     —       —       —       —       17,064,335       —       —       17,064,335    
UltraShort Health Care     4,449,637       —       —       4,449,637       239,612       —       —       239,612    
UltraShort Industrials     39,519,612       —       —       39,519,612       677,727       —       —       677,727    
UltraShort Oil & Gas     75,696,978       —       —       75,696,978       58,418,685       —       —       58,418,685    
UltraShort Real Estate     100,188,889       —       —       100,188,889       9,223,976       —       —       9,223,976    
UltraShort
Semiconductors		     12,716,082       —       —       12,716,082       366,531       —       —       366,531    
UltraShort Technology     19,878,350       —       —       19,878,350       690,835       —       —       690,835    
UltraShort
Telecommunications		     3,207,854       —       —       3,207,854       55,158       —       —       55,158    
UltraShort Utilities     10,305,423       —       —       10,305,423       236,113       —       —       236,113    
Short MSCI EAFE     8,530,603       —       —       8,530,603       305,844       —       —       305,844    
Short MSCI
Emerging Markets		     2,875,902       —       —       2,875,902       533,903       —       —       533,903    

 

318 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


    Year Ended October 31, 2009   Year Ended October 31, 2008  
Fund   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		   Distributions
paid from
ordinary
income		   Distributions
paid from
net long term
capital gains		   Tax
return of
capital		   Total
Distributions		  
UltraShort MSCI EAFE   $ 18,091,178       —       —     $ 18,091,178     $ 1,196,024       —       —     $ 1,196,024    
UltraShort MSCI
Emerging Markets		     —       —       —       —       16,505,144       —       —       16,505,144    
UltraShort MSCI Europe     —       —       —       —       —       —       —       —    
UltraShort MSCI Pacific
ex-Japan		     —       —       —       —       —       —       —       —    
UltraShort MSCI Brazil     —       —       —       —       —       —       —       —    
UltraShort FTSE/Xinhua
China 25		     —       —       —       —       5,870,064       —       —       5,870,064    
UltraShort MSCI Japan     1,824,093       —       —       1,824,093       285,972       —       —       285,972    
UltraShort MSCI Mexico
Investable Market		     —       —       —       —       —       —       —       —    
Short 20+ Year Treasury     —       —       —       —       —       —       —       —    
UltraShort
7-10 Year Treasury		     3,260       —       —       3,260       256,080       —       —       256,080    
UltraShort
20+ Year Treasury		     —       —       —       —       843,693       —       —       843,693    
Credit Suisse 130/30     52,705       —       —       52,705       —       —       —       —    

 

The amount and character of income and gains to be distributed are determined in accordance with the income tax regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature. The Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for tax purposes.

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, 2009 (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®     —       —     $ (898,533,318 )   $ 182,936,475    
Ultra Dow30SM   $ 66,742       —       (410,658,086 )     88,627,534    
Ultra S&P500®     —       —       (1,303,705,902 )     372,334,161    
Ultra Russell3000     —       —       —       253,897    
Ultra MidCap400     —       —       (55,700,771 )     12,864,188    
Ultra SmallCap600     —       —       (21,796,325 )     (2,947,413 )  
Ultra Russell2000     —       —       (156,198,279 )     11,833,986    
UltraPro S&P500®     —       —       —       2,366,152    
Ultra Russell1000 Value     1,872       —       (12,318,964 )     911,748    
Ultra Russell1000 Growth     —       —       (16,753,658 )     2,602,108    
Ultra Russell MidCap Value     —       —       (6,122,639 )     1,741,684    
Ultra Russell MidCap Growth     —       —       (11,864,332 )     1,272,538    
Ultra Russell2000 Value     —       —       (10,907,634 )     (2,747,794 )  
Ultra Russell2000 Growth     —       —       (13,796,210 )     374,066    
Ultra Basic Materials     —       —       (9,668,585 )     141,255,621    
Ultra Consumer Goods     50,711       —       (3,227,727 )     2,893,507    
Ultra Consumer Services     —       —       (3,057,293 )     576,010    
Ultra Financials     —       —       (2,522,744,101 )     374,780,093    
Ultra Health Care     —       —       (19,175,585 )     1,362,274    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 319


Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
Ultra Industrials   $ 3,115       —     $ (4,091,777 )   $ 4,870,744    
Ultra Oil & Gas     —       —       (101,762,144 )     94,149,063    
Ultra Real Estate     —       —       (31,078,047 )     93,427,342    
Ultra Semiconductors     —       —       (39,343,326 )     6,723,273    
Ultra Technology     —       —       (40,227,821 )     23,161,950    
Ultra Telecommunications     50,885       —       (3,397,525 )     (897,128 )  
Ultra Utilities     35,947       —       (14,739,334 )     (993,270 )  
Ultra MSCI EAFE     —       —       (43,575 )     605,361    
Ultra MSCI Emerging Markets     —       —       (10,911 )     406,845    
Ultra FTSE/Xinhua China 25     —       —       (465,248 )     3,134,837    
Ultra MSCI Japan     —       —       (9,848 )     137,557    
Short QQQ®     —       —       (46,413,351 )     (15,059,373 )  
Short Dow30SM     —       —       (27,666,267 )     (28,675,733 )  
Short S&P500®     81       —       (275,479,255 )     (98,500,965 )  
Short MidCap400     —       —       (14,091,075 )     (4,975,954 )  
Short SmallCap600     —       —       (10,910,309 )     (1,712,604 )  
Short Russell2000     —       —       (30,602,995 )     (4,673,167 )  
UltraShort QQQ®     —       —       (344,027,075 )     (184,494,705 )  
UltraShort Dow30SM     —       —       (211,590,758 )     (115,088,341 )  
UltraShort S&P500®     —       —       (954,224,900 )     (668,798,477 )  
UltraShort Russell3000     —       —       (578,178 )     (821,560 )  
UltraShort MidCap400     —       —       (62,058,079 )     2,985,749    
UltraShort SmallCap600     —       —       (10,418,599 )     (5,977,567 )  
UltraShort Russell2000     —       —       (197,617,837 )     (94,344,824 )  
UltraPro Short S&P500®     —       —       (21,450,893 )     (6,763,467 )  
UltraShort Russell1000 Value     —       —       (15,201,628 )     (1,506,934 )  
UltraShort Russell1000 Growth     —       —       (18,361,737 )     (2,082,495 )  
UltraShort Russell MidCap Value     —       —       (4,103,949 )     (1,951,032 )  
UltraShort Russell MidCap Growth     —       —       (11,156,011 )     237,181    
UltraShort Russell2000 Value     —       —       (14,216,121 )     (3,515,947 )  
UltraShort Russell2000 Growth     —       —       (13,016,043 )     (1,988,414 )  
Short Financials     —       —       (55,095,891 )     (17,288,001 )  
Short Oil & Gas     —       —       (1,584,332 )     (1,453,424 )  
UltraShort Basic Materials     —       —       (99,100,007 )     (44,761,727 )  
UltraShort Consumer Goods     —       —       (680,668 )     (8,324,550 )  
UltraShort Consumer Services     —       —       (37,806,587 )     (14,299,985 )  
UltraShort Financials     —       —       (939,341,490 )     (5,574,383 )  
UltraShort Health Care     —       —       (10,002,522 )     (1,293,840 )  
UltraShort Industrials     —       —       (17,718,515 )     (11,517,332 )  
UltraShort Oil & Gas     —       —       (72,588,775 )     (81,229,074 )  
UltraShort Real Estate     —       —       (2,597,807,224 )     (32,203,014 )  
UltraShort Semiconductors     —       —       (28,767,489 )     (6,488,984 )  
UltraShort Technology     —       —       (38,866,512 )     (8,976,030 )  
UltraShort Telecommunications     8,014       —       (5,408,371 )     128,349    
UltraShort Utilities     32,212       —       (7,484,152 )     (1,714,741 )  
Short MSCI EAFE     —       —       (32,745,434 )     (337,110 )  
Short MSCI Emerging Markets     —       —       (40,438,104 )     (16,804,117 )  
UltraShort MSCI EAFE     —       —       (67,426,453 )     862,309    
UltraShort MSCI Emerging Markets     —       —       (520,833,289 )     21,250,240    

 

320 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
UltraShort MSCI Europe     —       —     $ (3,795,429 )   $ 310,591    
UltraShort MSCI Pacific ex-Japan     —       —       (1,002,480 )     (777,816 )  
UltraShort MSCI Brazil     —       —       (3,763,284 )     (439,271 )  
UltraShort FTSE/Xinhua China 25     —       —       (464,521,831 )     (69,036,352 )  
UltraShort MSCI Japan     —       —       (3,844,289 )     (1,512,483 )  
UltraShort MSCI Mexico Investable Market     —       —       (6,041,732 )     (1,821,645 )  
Short 20+ Year Treasury     —       —       (228,972 )     (338,131 )  
UltraShort 7-10 Year Treasury     —       —       (5,279,769 )     (18,389,696 )  
UltraShort 20+ Year Treasury     —       —       —       92,500,736    
Credit Suisse 130/30   $ 462       —       —       1,943,357    

 

For the tax year ended October 31, 2009, 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. Capital Loss carryforward amounts listed below are not reflective of adjustments related to wash sales or other tax adjustments. These adjustments could have a material effect on the numbers reported below.

Fund   Expiring October 31,
2015		   Expiring October 31,
2016		   Expiring October 31,
2017		   Total  
Ultra QQQ®     —     $ 456,550,481     $ 441,982,837     $ 898,533,318    
Ultra Dow30SM     —       144,849,851       265,808,235       410,658,086    
Ultra S&P500®     —       440,938,957       862,766,945       1,303,705,902    
Ultra MidCap400     —       28,950,982       26,749,789       55,700,771    
Ultra SmallCap600     —       8,953,485       12,842,840       21,796,325    
Ultra Russell2000     —       53,885,244       102,313,035       156,198,279    
Ultra Russell1000 Value   $ 127,857       6,918,809       5,272,298       12,318,964    
Ultra Russell1000 Growth     —       6,711,839       10,041,819       16,753,658    
Ultra Russell MidCap Value     —       5,882,228       240,411       6,122,639    
Ultra Russell MidCap Growth     —       9,573,840       2,290,492       11,864,332    
Ultra Russell2000 Value     984,619       6,550,023       3,372,992       10,907,634    
Ultra Russell2000 Growth     —       7,686,097       6,110,113       13,796,210    
Ultra Basic Materials     —       9,668,585       —       9,668,585    
Ultra Consumer Goods     —       1,220,447       2,007,280       3,227,727    
Ultra Consumer Services     291,486       2,516,711       249,096       3,057,293    
Ultra Financials     317,962       1,428,121,115       1,094,305,024       2,552,744,101    
Ultra Health Care     —       6,472,000       12,703,585       19,175,585    
Ultra Industrials     —       2,472,308       1,619,469       4,091,777    
Ultra Oil & Gas     —       57,286,043       44,476,101       101,762,144    
Ultra Real Estate     —       31,078,047       —       31,078,047    
Ultra Semiconductors     —       30,451,211       8,892,115       39,343,326    
Ultra Technology     —       18,009,787       22,218,034       40,227,821    
Ultra Telecommunications     —       2,651,560       745,965       3,397,525    
Ultra Utilities     —       3,780,785       10,958,549       14,739,334    
Ultra MSCI EAFE     —       —       43,575       43,575    
Ultra MSCI Emerging Markets     —       —       10,911       10,911    
UltraShort FTSE/Xinhua China 25     —       —       465,248       465,248    
UltraShort MSCI Japan     —       —       9,848       9,848    
Short QQQ®     —       —       46,413,351       46,413,351    
Short Dow30SM     —       —       27,666,267       27,666,267    
Short S&P500®     —       —       275,479,255       275,479,255    
Short MidCap400     —       —       14,091,075       14,091,075    
Short SmallCap600     —       —       10,910,309       10,910,309    
Short Russell2000     —       —       30,602,995       30,602,995    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 321


Fund   Expiring October 31,
2015		   Expiring October 31,
2016		   Expiring October 31,
2017		   Total  
UltraShort QQQ®     —       —     $ 344,027,075     $ 344,027,075    
UltraShort Dow30SM     —       —       211,590,758       211,590,758    
UltraShort S&P500®     —       —       954,224,900       954,224,900    
UltraShort Russell3000     —       —       578,178       578,178    
UltraShort MidCap400     —       —       62,058,079       62,058,079    
UltraShort SmallCap600     —       —       10,418,599       10,418,599    
UltraShort Russell2000     —       —       197,617,837       197,617,837    
UltraPro Short S&P500®     —       —       21,450,893       21,450,893    
UltraShort Russell1000 Value     —       —       15,201,628       15,201,628    
UltraShort Russell1000 Growth     —       —       18,361,737       18,361,737    
UltraShort Russell MidCap Value     —       —       4,103,949       4,103,949    
UltraShort Russell MidCap Growth     —       —       11,156,011       11,156,011    
UltraShort Russell2000 Value     —       —       14,216,121       14,216,121    
UltraShort Russell2000 Growth     —       —       13,016,043       13,016,043    
Short Financials     —       —       55,095,891       55,095,891    
Short Oil & Gas     —       —       1,584,332       1,584,332    
UltraShort Basic Materials     —       —       99,100,007       99,100,007    
UltraShort Consumer Goods     —       —       680,668       680,668    
UltraShort Consumer Services     —       —       37,806,587       37,806,587    
UltraShort Financials     —       —       939,341,490       939,341,490    
UltraShort Health Care     —       —       10,002,522       10,002,522    
UltraShort Industrials     —       —       17,718,515       17,718,515    
UltraShort Oil & Gas     —       —       72,588,775       72,588,775    
UltraShort Real Estate     —       —       2,597,807,224       2,597,807,224    
UltraShort Semiconductors     —       —       28,767,489       28,767,489    
UltraShort Technology     —       —       38,866,512       38,866,512    
UltraShort Telecommunications     —       —       5,408,371       5,408,371    
UltraShort Utilities     —       —       7,484,152       7,484,152    
Short MSCI EAFE     —       —       32,745,434       32,745,434    
Short MSCI Emerging Markets     —       —       40,438,104       40,438,104    
UltraShort MSCI EAFE     —       —       67,426,453       67,426,453    
UltraShort MSCI Emerging Markets     —       —       520,833,289       520,833,289    
UltraShort MSCI Europe     —       —       3,795,429       3,795,429    
UltraShort MSCI Pacific ex-Japan     —       —       1,002,480       1,002,480    
UltraShort MSCI Brazil     —       —       3,763,284       3,763,284    
UltraShort FTSE/Xinhua China 25     —       —       464,521,831       464,521,831    
UltraShort MSCI Japan     —       —       3,844,289       3,844,289    
UltraShort MSCI Mexico Investable Market     —       —       6,041,732       6,041,732    
Short 20+ Year Treasury     —       —       228,972       228,972    
UltraShort 7-10 Year Treasury     —     $ 5,030,158       249,611       5,279,769    

 

For the tax year ended October 31, 2009, the following Funds utilized capital loss carryforwards to offset net capital gains with the amount stated below:

Fund   Capital Loss Utilized  
Ultra Basic Materials   $ 8,091,860    
Ultra Real Estate     6,289,560    
UltraShort 20+ Year Treasury     45,632,259    

 

322 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


3. Investment Transactions and Related Income

Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For finacial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.

Expense Allocations with Affiliated Entities

Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund or jointly with an affiliate, are allocated among the respective Funds and/or affiliates based upon relative net asset or another reasonable basis.

4. Advisory and Management Service Fees

The Advisor 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.

This expense limitation remains in effect until September 30, 2010, after which it may be terminated or revised.

For the six months ended November 30, 2009, advisory and management services fees waivers and expense reimbursements were as follows:

Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		  
Ultra QQQ®   $ 374,127       —       —    
Ultra Dow30SM     82,883       —       —    
Ultra S&P500®     —       —       —    
Ultra Russell3000     21,832     $ 2,911     $ 32,977    
Ultra MidCap400     132,294       —       —    
Ultra SmallCap600     119,291       —       —    
Ultra Russell2000     416,473       —       —    
UltraPro S&P500®     83,363       —       —    
Ultra Russell1000 Value     82,078       10,943       15,536    
Ultra Russell1000 Growth     103,215       —       —    
Ultra Russell MidCap Value     75,275       10,037       14,790    
Ultra Russell MidCap Growth     70,833       9,444       12,337    
Ultra Russell2000 Value     84,028       11,204       107,687    
Ultra Russell2000 Growth     110,566       14,742       39,375    
Ultra Basic Materials     89,681       —       —    
Ultra Consumer Goods     73,123       —       —    
Ultra Consumer Services     53,084       7,078       22,763    
Ultra Financials     60,467       —       —    
Ultra Health Care     72,991       —       —    
Ultra Industrials     88,397       —       —    
Ultra Oil & Gas     116,853       —       —    
Ultra Real Estate     85,978       —       —    
Ultra Semiconductors     76,699       —       —    
Ultra Technology     95,115       —       —    
Ultra Telecommunications     44,618       5,949       17,043    
Ultra Utilities     69,376       —       —    
Ultra MSCI EAFE     35,376       4,717       9,806    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 323


Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		  
Ultra MSCI Emerging Markets   $ 50,973     $ 6,796     $ 108    
Ultra FTSE/Xinhua China 25     50,086       —       —    
Ultra MSCI Japan     32,813       4,375       7,215    
Short QQQ®     111,902       —       —    
Short Dow30SM     57,813       —       —    
Short S&P500®     —       —       —    
Short MidCap400     47,191       —       —    
Short SmallCap600     45,426       —       —    
Short Russell2000     74,989       —       —    
UltraShort QQQ®     346,152       —       —    
UltraShort Dow30SM     53,459       —       —    
UltraShort S&P500®     —       —       —    
UltraShort Russell3000     13,966       1,862       4,758    
UltraShort MidCap400     46,180       —       —    
UltraShort SmallCap600     49,895       —       —    
UltraShort Russell2000     192,317       —       —    
UltraPro Short S&P500®     34,383       —       —    
UltraShort Russell1000 Value     38,844       5,179       10,771    
UltraShort Russell1000 Growth     47,181       6,291       1,421    
UltraShort Russell MidCap Value     18,329       2,444       34,039    
UltraShort Russell MidCap Growth     26,894       3,586       23,611    
UltraShort Russell2000 Value     52,331       2,152       —    
UltraShort Russell2000 Growth     45,881       6,117       2,858    
Short Financials     54,230       —       —    
Short Oil & Gas     50,156       3,276       —    
UltraShort Basic Materials     56,725       —       —    
UltraShort Consumer Goods     54,365       —       —    
UltraShort Consumer Services     54,307       —       —    
UltraShort Financials     36,091       —       —    
UltraShort Health Care     33,939       4,525       16,900    
UltraShort Industrials     54,296       —       —    
UltraShort Oil & Gas     63,132       —       —    
UltraShort Real Estate     48,040       —       —    
UltraShort Semiconductors     53,458       —       —    
UltraShort Technology     54,496       —       —    
UltraShort Telecommunications     6,627       884       48,521    
UltraShort Utilities     38,290       5,105       11,975    
Short MSCI EAFE     63,684       —       —    
Short MSCI Emerging Markets     89,290       —       —    
UltraShort MSCI EAFE     62,212       —       —    
UltraShort MSCI Emerging Markets     106,724       —       —    
UltraShort MSCI Europe     20,560       2,741       22,269    
UltraShort MSCI Pacific ex-Japan     9,313       1,242       33,640    
UltraShort MSCI Brazil     21,778       2,904       21,665    
UltraShort FTSE/Xinhua China 25     117,067       —       —    
UltraShort MSCI Japan     45,849       6,113       27,790    
UltraShort MSCI Mexico Investable Market     36,541       4,872       6,764    
Short 20+ Year Treasury     28,189       —       —    
UltraShort 7-10 Year Treasury     49,057       —       —    
UltraShort 20+ Year Treasury     —       —       —    
Credit Suisse 130/30     67,545       —       —    

 

324 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Amounts waived or reimbursed by the Advisor may be recouped by the Advisor within five years of the end of the applicable contractual period to the extent that such recoupment will not cause the Fund's expenses to exceed any expense limitation in place at that time. Any amounts recouped by the Advisor during the period are reflected in the Statement of Operations as "Recoupment of prior expenses waived and/or reimbursed by Advisor". As of November 30, 2009, the amounts eligible for recoupment and the date of expiration are as follows:

    Expires September 30,   Total Amount  
        Eligible for  
Fund   2012   2013   2014   2015   Recoupment  
Ultra QQQ®   $ 361,690     $ 771,609     $ 1,032,842     $ 126,679     $ 2,292,820    
Ultra Dow30SM     207,359       161,837       261,374       32,819       663,389    
Ultra S&P500®     —       —       —       —       —    
Ultra Russell3000     —       —       12,081       45,639       57,720    
Ultra MidCap400     313,560       262,439       286,102       39,114       901,215    
Ultra SmallCap600     117,270       153,502       300,310       30,535       601,617    
Ultra Russell2000     312,603       420,622       989,384       114,406       1,837,015    
UltraPro S&P500®     —       —       22,535       60,828       83,363    
Ultra Russell1000 Value     57,385       109,448       261,071       51,389       479,293    
Ultra Russell1000 Growth     66,939       152,278       242,598       41,611       503,426    
Ultra Russell MidCap Value     77,416       94,764       236,618       48,778       457,576    
Ultra Russell MidCap Growth     89,292       114,507       200,040       48,316       452,155    
Ultra Russell2000 Value     64,302       211,820       515,701       69,396       861,219    
Ultra Russell2000 Growth     58,964       215,223       415,427       56,475       746,089    
Ultra Basic Materials     76,918       102,535       239,877       32,970       452,300    
Ultra Consumer Goods     77,004       68,249       158,112       40,222       343,587    
Ultra Consumer Services     88,455       65,215       177,086       48,442       379,198    
Ultra Financials     16,935       224,761       761,323       37,246       1,040,264    
Ultra Health Care     78,759       97,149       168,152       23,146       367,206    
Ultra Industrials     85,307       79,122       214,947       34,447       413,823    
Ultra Oil & Gas     100,986       145,921       335,397       41,109       623,413    
Ultra Real Estate     80,853       114,651       224,831       35,936       456,271    
Ultra Semiconductors     75,309       123,648       158,603       24,526       382,086    
Ultra Technology     91,135       164,530       217,672       28,623       501,960    
Ultra Telecommunications     —       57,580       68,674       46,525       172,779    
Ultra Utilities     73,170       82,736       146,632       36,738       339,276    
Ultra MSCI EAFE     —       —       26,000       23,899       49,899    
Ultra MSCI Emerging Markets     —       —       27,016       30,861       57,877    
Ultra FTSE/Xinhua China 25     —       —       32,285       17,801       50,086    
Ultra MSCI Japan     —       —       22,003       22,400       44,403    
Short QQQ®     219,846       168,003       215,413       38,187       641,449    
Short Dow30SM     192,171       125,550       161,660       20,485       499,866    
Short S&P500®     —       —       —       —       —    
Short MidCap400     142,197       100,315       114,278       19,587       376,377    
Short SmallCap600     59,810       63,566       108,189       19,348       250,913    
Short Russell2000     64,261       123,244       137,737       25,267       350,509    
UltraShort QQQ®     670,394       899,034       796,497       120,048       2,485,973    
UltraShort Dow30SM     179,342       148,653       206,675       21,024       555,694    
UltraShort S&P500®     —       —       —       —       —    
UltraShort Russell3000     —       —       11,138       9,448       20,586    
UltraShort MidCap400     108,364       56,499       114,805       15,993       295,661    
UltraShort SmallCap600     70,561       71,544       80,948       27,167       250,220    
UltraShort Russell2000     —       615,963       508,317       55,243       1,179,523    
UltraPro Short S&P500®     —       —       17,255       17,128       34,383    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 325


    Expires September 30,   Total Amount  
        Eligible for  
Fund   2012   2013   2014   2015   Recoupment  
UltraShort Russell1000 Value   $ 53,831     $ 61,391     $ 101,657     $ 37,857     $ 254,736    
UltraShort Russell1000 Growth     54,154       70,360       101,672       37,126       263,312    
UltraShort Russell MidCap Value     53,472       54,825       103,107       40,651       252,055    
UltraShort Russell MidCap Growth     53,742       60,877       97,039       39,259       250,917    
UltraShort Russell2000 Value     54,296       97,134       98,814       35,813       286,057    
UltraShort Russell2000 Growth     59,247       94,559       92,050       37,235       283,091    
Short Financials     —       19,202       138,811       17,238       175,251    
Short Oil & Gas     —       17,770       61,648       36,048       115,466    
UltraShort Basic Materials     60,990       92,233       130,605       19,901       303,729    
UltraShort Consumer Goods     59,683       80,083       93,231       30,928       263,925    
UltraShort Consumer Services     57,420       82,163       127,371       17,538       284,492    
UltraShort Financials     —       —       13,578       22,513       36,091    
UltraShort Health Care     58,739       64,036       106,039       38,011       266,825    
UltraShort Industrials     56,536       81,081       106,401       25,821       269,839    
UltraShort Oil & Gas     —       18,239       231,746       27,657       277,642    
UltraShort Real Estate     12,406       116,788       219,350       18,373       366,917    
UltraShort Semiconductors     58,648       73,995       102,945       26,016       261,604    
UltraShort Technology     56,727       79,027       97,208       27,687       260,649    
UltraShort Telecommunications     —       46,637       55,028       43,088       144,753    
UltraShort Utilities     63,394       70,395       99,410       37,894       271,093    
Short MSCI EAFE     —       123,975       108,317       19,885       252,177    
Short MSCI Emerging Markets     —       139,208       126,379       34,656       300,243    
UltraShort MSCI EAFE     —       125,111       201,598       23,294       350,003    
UltraShort MSCI Emerging Markets     —       46,278       607,157       36,012       689,447    
UltraShort MSCI Europe     —       —       35,032       10,538       45,570    
UltraShort MSCI Pacific ex-Japan     —       —       34,118       10,077       44,195    
UltraShort MSCI Brazil     —       —       34,971       11,376       46,347    
UltraShort FTSE/Xinhua China 25     —       388,127       203,949       44,617       636,693    
UltraShort MSCI Japan     —       179,711       165,376       43,781       388,868    
UltraShort MSCI Mexico Investable Market     —       —       36,508       11,669       48,177    
Short 20+ Year Treasury     —       —       8,257       19,932       28,189    
UltraShort 7-10 Year Treasury     —       69,507       128,733       16,877       215,117    
UltraShort 20+ Year Treasury     —       —       —       —       —    
Credit Suisse 130/30     —       —       27,443       40,102       67,545    

 

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

Prior to January 1, 2009 each Trustee of ProShares and other affiliated funds were paid quarterly an aggregate fee consisting of a $108,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $5,000, a special in-person meeting fee of $3,000 and a telephonic meeting fee of $2,000.

326 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Effective January 1, 2009, each Trustee of ProShares and other affiliated funds are paid quarterly an aggregate fee consisting of a $133,500 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $6,375, a special in-person meeting fee of $3,000 and a telephonic meeting fee of $3,000.

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. Issuance and Redemption of Fund Shares

Each Fund issues and redeems Shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.

Retail investors may only purchase and sell Fund Shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.

Authorized Participants pay Transaction Fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees which are included in the proceeds from shares issued on the Statements of Changes in Net Assets, were as follows:

Fund   Six Months
Ended
November 30, 2009		   Year
Ended
May 31, 2009		  
Ultra QQQ®   $ 168,397     $ 320,453    
Ultra Dow30SM     98,306       472,338    
Ultra S&P500®     327,639       1,191,034    
Ultra Russell3000     3,550       —    
Ultra MidCap400     20,758       32,213    
Ultra SmallCap600     3,826       15,217    
Ultra Russell2000     42,649       69,703    
UltraPro S&P500®     28,596       —    
Ultra Russell1000 Value     1,055       6,719    
Ultra Russell1000 Growth     1,439       5,966    
Ultra Russell MidCap Value     538       2,815    
Ultra Russell MidCap Growth     —       2,741    
Ultra Russell2000 Value     788       7,090    
Ultra Russell2000 Growth     1,218       5,661    
Ultra Basic Materials     82,028       158,891    
Ultra Consumer Goods     1,141       3,390    
Ultra Consumer Services     —       1,870    
Ultra Financials     299,537       708,687    
Ultra Health Care     4,673       4,741    
Ultra Industrials     1,440       5,611    
Ultra Oil & Gas     180,105       270,556    
Ultra Real Estate     234,214       203,542    
Ultra Semiconductors     16,177       27,015    
Ultra Technology     11,411       15,334    
Ultra Telecommunications     —       3,555    
Ultra Utilities     1,658       6,256    
Ultra MSCI EAFE     2,588       —    
Ultra MSCI Emerging Markets     10,283       —    
Ultra FTSE/Xinhua China 25     10,514       —    
Ultra MSCI Japan     1,985       —    
Short QQQ®     19,499       25,072    
Short Dow30SM     19,980       59,873    
Short S&P500®     250,053       217,677    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 327


Fund   Six Months
Ended
November 30, 2009		   Year
Ended
May 31, 2009		  
Short MidCap400   $ 9,571     $ 6,168    
Short SmallCap600     4,541       7,673    
Short Russell2000     25,823       23,962    
UltraShort QQQ®     76,083       1,062,432    
UltraShort Dow30SM     24,881       342,449    
UltraShort S&P500®     176,662       1,575,109    
UltraShort Russell3000     1,295       —    
UltraShort MidCap400     1,877       63,928    
UltraShort SmallCap600     3,373       49,265    
UltraShort Russell2000     33,683       573,147    
UltraPro Short S&P500®     17,108       —    
UltraShort Russell1000 Value     882       25,381    
UltraShort Russell1000 Growth     1,728       19,382    
UltraShort Russell MidCap Value     882       2,188    
UltraShort Russell MidCap Growth     674       6,869    
UltraShort Russell2000 Value     1,267       20,556    
UltraShort Russell2000 Growth     1,966       18,382    
Short Financials     7,176       1,352    
Short Oil & Gas     —       1,521    
UltraShort Basic Materials     42,555       276,422    
UltraShort Consumer Goods     2,195       33,886    
UltraShort Consumer Services     15,652       144,772    
UltraShort Financials     145,139       2,807,460    
UltraShort Health Care     678       4,608    
UltraShort Industrials     3,899       62,475    
UltraShort Oil & Gas     47,448       953,426    
UltraShort Real Estate     102,658       1,340,360    
UltraShort Semiconductors     7,168       34,406    
UltraShort Technology     —       22,379    
UltraShort Telecommunications     —       1,419    
UltraShort Utilities     542       10,389    
Short MSCI EAFE     10,119       19,718    
Short MSCI Emerging Markets     40,672       26,567    
UltraShort MSCI EAFE     9,881       162,120    
UltraShort MSCI Emerging Markets     41,524       617,531    
UltraShort MSCI Europe     2,842       —    
UltraShort MSCI Pacific ex-Japan     880       —    
UltraShort MSCI Brazil     4,138       —    
UltraShort FTSE/Xinhua China 25     8,629       396,059    
UltraShort MSCI Japan     886       11,416    
UltraShort MSCI Mexico Investable Market     5,482       —    
Short 20+ Year Treasury     16,544       —    
UltraShort 7-10 Year Treasury     50,723       114,721    
UltraShort 20+ Year Treasury     978,244       1,042,033    
Credit Suisse 130/30     5,687       —    

 

328 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


10. Investment Transactions

For the six months ended November 30, 2009, 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®   $ 57,580,750     $ 404,394,760    
Ultra Dow30SM     52,236,967       285,164,249    
Ultra S&P500®     114,892,153       1,082,037,326    
Ultra Russell3000     11,988,379       216,944    
Ultra MidCap400     11,487,768       73,918,307    
Ultra SmallCap600     13,947,789       18,599,730    
Ultra Russell2000     90,300,633       168,822,177    
UltraPro S&P500®     65,666,395       1,542,591    
Ultra Russell1000 Value     8,421,052       9,605,818    
Ultra Russell1000 Growth     11,039,667       7,305,988    
Ultra Russell MidCap Value     9,099,209       4,975,462    
Ultra Russell MidCap Growth     7,280,295       5,354,328    
Ultra Russell2000 Value     12,643,906       10,097,223    
Ultra Russell2000 Growth     14,325,754       10,329,486    
Ultra Basic Materials     144,869,624       236,836,676    
Ultra Consumer Goods     8,740,413       1,310,602    
Ultra Consumer Services     2,332,215       436,928    
Ultra Financials     218,554,398       1,044,196,135    
Ultra Health Care     5,798,348       27,967,687    
Ultra Industrials     10,251,026       3,359,530    
Ultra Oil & Gas     164,069,057       624,871,297    
Ultra Real Estate     265,448,836       128,420,207    
Ultra Semiconductors     31,078,902       81,719,310    
Ultra Technology     22,220,939       41,511,340    
Ultra Telecommunications     3,132,023       3,043,632    
Ultra Utilities     2,203,635       5,031,067    
Ultra MSCI EAFE     6,933,309       388,488    
Ultra MSCI Emerging Markets     25,675,893       2,143,139    
Credit Suisse 130/30     41,763,528       14,881,689    

 

11. In-Kind Transactions

During the period presented in this report, 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 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, 2009, the fair value of the 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®   $ 250,878,735     $ 74,168,295    
Ultra Dow30SM     102,149,459       25,247,143    
Ultra S&P500®     344,437,578       101,620,376    
Ultra Russell3000     8,127,263       896,827    
Ultra MidCap400     25,630,659       10,304,302    
Ultra SmallCap600     15,297,946       5,120,760    
Ultra Russell2000     115,317,458       42,875,702    

 

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 329


Fund   Fair Value   Net Realized
Gains (Losses)		  
UltraPro S&P500®   $ 46,312,950     $ 4,581,275    
Ultra Russell1000 Growth     12,563,152       3,638,932    
Ultra Russell2000 Value     6,878,171       2,028,217    
Ultra Russell2000 Growth     7,822,432       2,570,025    
Ultra Basic Materials     156,552,359       68,093,119    
Ultra Financials     274,491,884       108,547,864    
Ultra Industrials     6,941,773       3,002,634    
Ultra Oil & Gas     36,384,291       8,863,072    
Ultra Real Estate     237,714,109       77,628,710    
Ultra Semiconductors     1,953,664       740,714    
Ultra Technology     14,123,573       5,469,961    
Ultra Utilities     5,225,542       997,656    
Ultra MSCI Emerging Markets     7,838,892       895,591    
Credit Suisse 130/30     4,418,031       570,161    

 

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, 2009, the fair value of the securities received for subscriptions were as follows:

Fund   Fair Value  
Ultra QQQ®   $ 113,059,125    
Ultra Dow30SM     12,429,078    
Ultra S&P500®     53,280,412    
UltraPro S&P500®     11,591,889    
Ultra Basic Materials     2,687,365    
Ultra Oil & Gas     38,689,190    
Ultra Real Estate     80,512,719    
Ultra Semiconductors     4,388,785    
Ultra MSCI EAFE     1,928,997    
Ultra MSCI Emerging Markets     2,203,046    

 

12. Risk

Refer to the Prospectus and the Statement of Additional Information for additional description of the risks associated with the Funds, including graphs which illustrate the impact of leverage and index volatility on Fund performance.

Concentration Risk

The Funds will typically concentrate their investments in issuers of one or more particular industries to the same extent that their underlying indexes are so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sectors) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure (long or short) to issuers conducting business in a specific industry. The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.

Correlation and Compounding Risk

A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which a Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such securities or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlying its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder a Fund's ability to meet its daily investment objective on that day. By the close of the markets each trading day, each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objectives.

330 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple or a multiple of the inverse of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' having a single day investment objective in combination with the use of leverage, which is that for periods greater than one day, the effect of compounding may cause the performance of a Fund to be either greater than or less than the index performance (or the inverse of the index performance) times the stated multiple in the Fund's objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index may cause a decrease in the performance relative to the index performance times the stated fund multiple. Investors should monitor their holdings consistent with their strategies, as frequently as daily.

Counterparty Risk

A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments and repurchase agreements entered into by the Fund. The Funds structure the agreements such that either party can terminate the contract without penalty prior to the termination date. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit rating, at the time of the transaction, is investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by the Advisor to be of comparable quality.

At November 30, 2009, the Ultra QQQ, Ultra Dow30, Ultra S&P500, Ultra Russell3000, Ultra MidCap400, Ultra SmallCap600, Ultra Russell2000, Ultra Russell1000 Value, Ultra Russell1000 Growth, Ultra Russell MidCap Value, Ultra Russell MidCap Growth, Ultra Russell2000 Value, Ultra Russell2000 Growth, 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 and Ultra Utilities Funds had unrealized appreciation on swaps with a single counterparty which exceeded 5% of each Fund's net assets.

Leverage Risk

The Funds use investment techniques that may be considered aggressive, including the use of futures contracts and swap agreements. The Funds' investment in financial instruments may involve a small investment relative to the amount of investment exposure assumed and may result in losses exceeding the amounts invested. Such instruments, particularly when used to create leverage, may expose the Funds to potentially dramatic changes (losses or gains) in the value of the instruments.

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 true market value in the judgment of the Advisor. Such a situation may prevent a Fund from limiting losses, realizing gains or achieving a high correlation or inverse correlation with its underlying index.

13. Indemnifications

Under the Trust's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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.

14. Credit Event

On September 15, 2008, Lehman Brothers Holdings, Inc. filed a petition for Chapter 11 bankruptcy. Prior thereto, the Funds transacted business with subsidiaries of Lehman (together with Lehman Brothers Holdings, Inc., "Lehman") whereby Lehman acted as a counterparty to certain derivative transactions and as a broker-dealer for certain investment transactions. All derivative and brokerage transactions with Lehman were terminated and executed, respectively, prior to September 15, 2008, but certain settlement payments related to such transactions were not due to be made until on or after September 15. Settlement of these transactions has been delayed due to Lehman's bankruptcy proceedings.

To the extent that Lehman, the Securities Investor Protection Corporation ("SIPC") and/or any clearing agency (the "Potential Paying Parties") fail to pay the Funds in connection with the settlement of such transactions, the Advisor has agreed to reimburse the Funds for any such losses. Management, on behalf of the Funds, is pursuing the collection of the full amounts directly from the Potential Paying Parties. Any shortfall in payments received therefrom will be paid by the Advisor in support of the full carrying value of these outstanding receivables on the Funds' financial statements. Further, management has determined that the Advisor has a sufficient financial ability to cover any shortfall in payments from the Potential Paying Parties, including the full amount of such outstanding balances if necessary. Accordingly, no loss is expected to be realized by the Funds. To the extent that the Advisor is required to make a payment to the Funds in support of shortfall payments from the Potential Paying Parties, such amounts will be separately presented and disclosed in the applicable financial statements and related notes to financial statements. The outstanding swap agreement balances due from (or to) Lehman are included in "Due from (to) counterparty" on the

November 30, 2009 :: Notes to Financial Statements :: ProShares Trust :: 331


Statements of Assets and Liabilities. The outstanding brokerage transaction balances due from (or to) Lehman are included in "Receivable for investments sold" and "Payable for investments purchased", respectively.

As of November 30, 2009, the Funds' custodian held fund assets in a tri-party repurchase agreement which fully collateralized each Fund's obligations to Lehman under these derivative and brokerage transactions. The amount of collateral pledged to Lehman pursuant to the tri-party custody agreement is included as part of the aggregate amount of collateral held in a segregated account for the benefit of derivative counterparties as denoted in the applicable Fund's Schedule of Portfolio Investments.

15. Subsequent Events

Subsequent events after the date of this report have been evaluated for potential impact to this report through January 27, 2010, the date the report was available to be issued. Management has determined that there are no material events that would require disclosure in its Funds' financial statements through this date.

332 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2009


Under an amended investment advisory agreement, dated December 14, 2005, between ProShare Advisors, LLC ("ProShare Advisors" or "Advisor") and the Trust, on behalf of each Fund ("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 September 30, 2010. After such date, the expense waiver and reimbursement may be terminated or revised. Amounts waived or reimbursed by the Advisor may be recouped by ProShare Advisors within five years of the end of the applicable contractual period to the extent that such recoupment will not cause a Fund's expenses to exceed any expense limitation in place at the date of the agreement. ProShare Advisors, from its own resources, also may make payments to broker-dealers and other financial institutions in connection with their distribution of the Funds' Shares.

At a meeting held on December 15, 2009, 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 by the Advisor; (ii) the costs of the services provided and the profits to be realized by the Advisor from its 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 information that it believed was 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 evaluated this information, and was advised by legal counsel with respect to its deliberations. The Trustees who were not "interested persons" of the Funds ("Disinterested 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 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 quality of the personnel and operations at the Advisor and the systems and processes required to effectively manage the Funds, and noted that these systems and processes may not be present at other investment advisory organizations. The Board noted the nature of, and the 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, an activity 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 are intended to 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 program and the Board considered whether that program provided appropriate incentives. The Board also considered information regarding allocation of Fund brokerage. The Board also reviewed the quality of the Advisor's compliance program. Based upon its review, the Board concluded that the Advisor had sufficient resources and expertise to provide the appropriate level of services to the Funds consistent with the terms of the Advisory Agreement, 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 provided appropriate 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 ETFs and mutual funds, offering services similar to those provided to the Funds. The Board considered that obtaining useful industry fee comparisons for the Funds is challenging because 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 an appropriate range of data 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. The Board also considered the significant drivers of cost (leverage, intellectual capital (trading, tax, regulatory) and daily rebalancing) and also examined the costs investors would pay 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

Board Approval of Investment Advisory Agreement (Unaudited) :: ProShares Trust :: 333


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 Disinterested 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.

Economies of Scale

The Board discussed with representatives of the Advisor 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 may be achieved when a fund achieves and maintains significant growth. The Board noted that the Funds' expected asset volatility may offset the benefits of such economies. In addition, the Advisor advised the Board that to maintain exposure consistent with each Fund's daily investment objective, the Funds must be re-balanced each day, an activity 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 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 Disinterested Trustees acting separately, unanimously concluded that the Advisory Agreement is fair and reasonable to each Fund and in the best interest of its shareholders.

334 :: ProShares Trust :: Board Approval of Investment Advisory Agreement (Unaudited)


Proxy Voting Information

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 prior twelve-month period ended June 30, is available by August 31 of each year, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the IDEA Database on the Securities and Exchange Commission ("SEC") Website (http://www.sec.gov).

Quarterly Portfolio Holdings Information

ProShares Trust will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. ProShares Trust's 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.

Premium/Discount Information

Information about the differences between the daily market price on the secondary markets for shares of a Fund and the Fund's net asset value may be found on the ProShares website at www.Proshares.com.

Information :: ProShares Trust :: 335



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ProShares®

ProShares Trust

7501 Wisconsin Avenue Suite 1000 Bethesda, MD 20814

866.PRO.5125 866.776.5125

www.proshares.com

Each Short or Ultra ProShares ETF seeks a return that is either 200%, -100% or -200% of the return of an index or other benchmark (target) for a single day. Due to the compounding of daily returns, ProShares' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. Investors should monitor their ProShares holding consistent with their strategies, as frequently as daily. For more on correlation, leverage and other risks, please read the prospectus.

This report is submitted for the general information of the shareholders of ProShares. It is not authorized for the distribution to prospective investors unless preceded or accompanied by an effective prospectus. To receive the most recent month end performance information for each ProShare, visit 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 and Company, Inc and have been licensed for use for certain purposes by ProShares. "NASDAQ-100® Index" is a trademark to 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.

 

Disclosure required in Registrant’s annual Form N-CSR filing.

 

Item 3. Audit Committee Financial Expert.

 

Disclosure required in Registrant’s annual Form N-CSR filing.

 

Item 4. Principal Accountant Fees and Services.

 

Disclosure required in Registrant’s annual Form N-CSR filing.

 

Item 5. Audit Committee of Listed Registrants.

 

Not Applicable to Registrant.

 


 

Item 6. Investments

 

For those Funds which utilized the Summary Schedule of Investments in the semi-annual report, full schedules of investments are included below.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra S&P500®

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 66.9%

 

 

 

 

 

Consumer Discretionary -  6.3%

 

 

 

 

 

 

 

 

 

10,164

 

Abercrombie & Fitch Co., Class A

 

$

405,848

 

38,392

 

Amazon.com, Inc.*

 

5,217,857

 

14,714

 

Apollo Group, Inc., Class A*

 

839,728

 

10,897

 

AutoNation, Inc.*

 

192,332

 

3,510

 

AutoZone, Inc.*

 

519,024

 

30,244

 

Bed Bath & Beyond, Inc.*

 

1,129,916

 

39,419

 

Best Buy Co., Inc.

 

1,688,316

 

9,529

 

Big Lots, Inc.*

 

219,739

 

6,956

 

Black & Decker Corp.

 

422,160

 

50,604

 

Carnival Corp.*

 

1,620,846

 

78,255

 

CBS Corp., Class B

 

1,002,447

 

36,724

 

Coach, Inc.

 

1,276,159

 

331,352

 

Comcast Corp., Class A

 

4,860,934

 

31,858

 

D.R. Horton, Inc.

 

327,500

 

16,100

 

Darden Restaurants, Inc.

 

506,023

 

7,140

 

DeVry, Inc.

 

387,845

 

108,253

 

DIRECTV, Class A*

 

3,424,042

 

30,965

 

Eastman Kodak Co.*

 

125,408

 

24,317

 

Expedia, Inc.*

 

619,597

 

16,136

 

Family Dollar Stores, Inc.

 

492,309

 

371,931

 

Ford Motor Co.*

 

3,306,467

 

17,352

 

Fortune Brands, Inc.

 

666,490

 

19,023

 

GameStop Corp., Class A*

 

464,351

 

27,105

 

Gannett Co., Inc.

 

268,068

 

55,589

 

Gap, Inc. (The)

 

1,190,716

 

18,411

 

Genuine Parts Co.

 

659,666

 

27,932

 

Goodyear Tire & Rubber Co. (The)*

 

382,948

 

38,710

 

H&R Block, Inc.

 

785,813

 

27,083

 

Harley-Davidson, Inc.

 

789,199

 

8,001

 

Harman International Industries, Inc.

 

300,918

 

14,542

 

Hasbro, Inc.

 

431,170

 

196,813

 

Home Depot, Inc.

 

5,384,804

 

35,232

 

International Game Technology

 

665,532

 

56,132

 

Interpublic Group of Cos., Inc.*

 

355,316

 

27,222

 

J.C. Penney Co., Inc.

 

782,360

 

77,420

 

Johnson Controls, Inc.

 

2,094,211

 

8,550

 

KB Home

 

115,852

 

35,271

 

Kohl’s Corp.*

 

1,874,301

 

18,021

 

Leggett & Platt, Inc.

 

350,689

 

17,814

 

Lennar Corp., Class A

 

225,703

 

30,838

 

Limited Brands, Inc.

 

511,602

 

170,611

 

Lowe’s Cos., Inc.

 

3,721,026

 

48,566

 

Macy’s, Inc.

 

792,111

 

29,130

 

Marriott International, Inc., Class A

 

749,234

 

41,560

 

Mattel, Inc.

 

808,758

 

126,001

 

McDonald’s Corp.

 

7,969,563

 

36,347

 

McGraw-Hill Cos., Inc. (The)

 

1,088,956

 

4,221

 

Meredith Corp.

 

111,223

 

13,352

 

New York Times Co. (The), Class A*

 

112,691

 

32,052

 

Newell Rubbermaid, Inc.

 

465,075

 

259,595

 

News Corp., Class A

 

2,974,959

 

44,892

 

NIKE, Inc., Class B

 

2,913,042

 

19,030

 

Nordstrom, Inc.

 

636,553

 

31,715

 

Office Depot, Inc.*

 

194,730

 

35,887

 

Omnicom Group, Inc.

 

1,317,771

 

15,797

 

O’Reilly Automotive, Inc.*

 

612,608

 

6,662

 

Polo Ralph Lauren Corp.

 

511,975

 

4,885

 

priceline.com, Inc.*

 

1,045,976

 

36,483

 

Pulte Homes, Inc.

 

333,455

 

14,450

 

RadioShack Corp.

 

272,527

 

10,287

 

Scripps Networks Interactive, Inc., Class A

 

406,851

 

5,773

 

Sears Holdings Corp.*

 

409,594

 

11,279

 

Sherwin-Williams Co. (The)

 

686,214

 

83,400

 

Staples, Inc.

 

1,944,888

 

85,112

 

Starbucks Corp.*

 

1,863,953

 

21,558

 

Starwood Hotels & Resorts Worldwide, Inc.

 

690,287

 

86,825

 

Target Corp.

 

4,042,572

 

14,316

 

Tiffany & Co.

 

611,007

 

40,685

 

Time Warner Cable, Inc.

 

1,704,295

 

136,886

 

Time Warner, Inc.

 

4,205,138

 

48,949

 

TJX Cos., Inc.

 

1,878,663

 

10,280

 

VF Corp.

 

747,562

 

70,062

 

Viacom, Inc., Class B*

 

2,076,638

 

214,600

 

Walt Disney Co. (The)

 

6,485,212

 

708

 

Washington Post Co. (The), Class B

 

292,836

 

8,556

 

Whirlpool Corp.

 

634,513

 

20,632

 

Wyndham Worldwide Corp.

 

383,136

 

7,952

 

Wynn Resorts Ltd.

 

513,222

 

53,864

 

Yum! Brands, Inc.

 

1,899,783

 

 

 

 

 

104,992,803

 

 

 

Consumer Staples -  7.8%

 

 

 

 

 

 

 

 

 

239,173

 

Altria Group, Inc.

 

4,498,844

 

74,126

 

Archer-Daniels-Midland Co.

 

2,283,822

 

49,302

 

Avon Products, Inc.

 

1,688,594

 

12,694

 

Brown-Forman Corp., Class B

 

649,552

 

22,257

 

Campbell Soup Co.

 

778,327

 

16,088

 

Clorox Co.

 

969,624

 

267,572

 

Coca-Cola Co. (The)

 

15,305,118

 

36,621

 

Coca-Cola Enterprises, Inc.

 

719,603

 

57,549

 

Colgate-Palmolive Co.

 

4,845,050

 

51,039

 

ConAgra Foods, Inc.

 

1,132,555

 

22,943

 

Constellation Brands, Inc., Class A*

 

392,555

 

50,204

 

Costco Wholesale Corp.

 

3,007,722

 

166,653

 

CVS Caremark Corp.

 

5,167,910

 

20,806

 

Dean Foods Co.*

 

330,815

 

29,326

 

Dr. Pepper Snapple Group, Inc.*

 

768,048

 

13,622

 

Estee Lauder Cos., Inc. (The), Class A

 

637,918

 

37,574

 

General Mills, Inc.

 

2,555,032

 

36,396

 

H. J. Heinz Co.

 

1,545,010

 

19,156

 

Hershey Co. (The)

 

677,548

 

8,059

 

Hormel Foods Corp.

 

302,374

 

13,739

 

J.M. Smucker Co. (The)

 

811,700

 

29,626

 

Kellogg Co.

 

1,557,735

 

47,855

 

Kimberly-Clark Corp.

 

3,156,994

 

170,320

 

Kraft Foods, Inc., Class A

 

4,527,106

 

75,214

 

Kroger Co. (The)

 

1,710,366

 

19,071

 

Lorillard, Inc.

 

1,485,822

 

15,095

 

McCormick & Co., Inc. (Non-Voting)

 

538,590

 

18,104

 

Molson Coors Brewing Co., Class B

 

818,482

 

16,644

 

Pepsi Bottling Group, Inc.

 

631,640

 

179,883

 

PepsiCo, Inc.

 

11,192,320

 

223,356

 

Philip Morris International, Inc.

 

10,741,190

 

337,024

 

Procter & Gamble Co. (The)

 

21,013,446

 

19,517

 

Reynolds American, Inc.

 

975,069

 

48,096

 

Safeway, Inc.

 

1,082,160

 

80,331

 

Sara Lee Corp.

 

975,218

 

24,470

 

SUPERVALU, Inc.

 

338,420

 

68,248

 

Sysco Corp.

 

1,845,426

 

35,262

 

Tyson Foods, Inc., Class A

 

423,849

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

114,584

 

Walgreen Co.

 

$

4,456,172

 

249,365

 

Wal-Mart Stores, Inc.

 

13,602,861

 

16,231

 

Whole Foods Market, Inc.*

 

416,325

 

 

 

 

 

130,556,912

 

 

 

Energy -  8.0%

 

 

 

 

 

 

 

 

 

56,651

 

Anadarko Petroleum Corp.

 

3,372,434

 

38,766

 

Apache Corp.

 

3,693,625

 

35,776

 

Baker Hughes, Inc.

 

1,457,514

 

33,722

 

BJ Services Co.

 

633,299

 

11,957

 

Cabot Oil & Gas Corp.

 

457,953

 

28,104

 

Cameron International Corp.*

 

1,062,331

 

74,078

 

Chesapeake Energy Corp.

 

1,771,946

 

231,574

 

Chevron Corp.

 

18,072,035

 

171,211

 

ConocoPhillips

 

8,863,594

 

20,858

 

CONSOL Energy, Inc.

 

957,799

 

28,809

 

Denbury Resources, Inc.*

 

382,295

 

51,242

 

Devon Energy Corp.

 

3,451,149

 

8,023

 

Diamond Offshore Drilling, Inc.

 

798,609

 

80,956

 

El Paso Corp.

 

773,939

 

16,442

 

ENSCO International, Inc.

 

723,448

 

29,087

 

EOG Resources, Inc.

 

2,515,735

 

554,902

 

Exxon Mobil Corp.

 

41,656,493

 

14,144

 

FMC Technologies, Inc.*

 

770,424

 

104,115

 

Halliburton Co.

 

3,056,816

 

33,615

 

Hess Corp.

 

1,948,325

 

81,705

 

Marathon Oil Corp.

 

2,665,217

 

9,875

 

Massey Energy Co.

 

371,893

 

22,023

 

Murphy Oil Corp.

 

1,241,877

 

32,802

 

Nabors Industries Ltd.*

 

677,361

 

48,285

 

National Oilwell Varco, Inc.

 

2,077,221

 

20,011

 

Noble Energy, Inc.

 

1,305,718

 

93,624

 

Occidental Petroleum Corp.

 

7,563,883

 

30,896

 

Peabody Energy Corp.

 

1,373,636

 

13,286

 

Pioneer Natural Resources Co.

 

549,376

 

18,161

 

Range Resources Corp.

 

855,928

 

13,120

 

Rowan Cos., Inc.*

 

323,933

 

138,302

 

Schlumberger Ltd.

 

8,836,115

 

28,698

 

Smith International, Inc.

 

780,012

 

39,769

 

Southwestern Energy Co.*

 

1,748,245

 

74,577

 

Spectra Energy Corp.

 

1,447,540

 

13,505

 

Sunoco, Inc.

 

340,326

 

16,114

 

Tesoro Corp.

 

205,937

 

64,982

 

Valero Energy Corp.

 

1,032,564

 

67,307

 

Williams Cos., Inc. (The)

 

1,338,736

 

66,996

 

XTO Energy, Inc.

 

2,843,310

 

 

 

 

 

133,998,591

 

 

 

Financials -  9.7%

 

 

 

 

 

 

 

 

 

53,974

 

Aflac, Inc.

 

2,484,423

 

61,928

 

Allstate Corp. (The)

 

1,759,374

 

137,302

 

American Express Co.

 

5,743,343

 

15,524

 

American International Group, Inc.*

 

440,882

 

29,449

 

Ameriprise Financial, Inc.

 

1,122,596

 

31,683

 

AON Corp.

 

1,227,083

 

13,499

 

Apartment Investment & Management Co., Class A (REIT)

 

182,371

 

13,610

 

Assurant, Inc.

 

416,058

 

9,227

 

AvalonBay Communities, Inc. (REIT)

 

666,558

 

998,935

 

Bank of America Corp.

 

15,833,120

 

138,886

 

Bank of New York Mellon Corp. (The)

 

3,699,923

 

78,705

 

BB&T Corp.

 

1,959,754

 

15,993

 

Boston Properties, Inc. (REIT)

 

1,071,211

 

52,538

 

Capital One Financial Corp.

 

2,015,358

 

28,555

 

CB Richard Ellis Group, Inc., Class A*

 

326,384

 

109,900

 

Charles Schwab Corp. (The)

 

2,014,467

 

40,402

 

Chubb Corp.

 

2,025,756

 

18,766

 

Cincinnati Financial Corp.

 

478,908

 

1,505,852

 

Citigroup, Inc.

 

6,189,052

 

7,672

 

CME Group, Inc.

 

2,518,181

 

17,977

 

Comerica, Inc.

 

511,805

 

61,866

 

Discover Financial Services

 

956,448

 

171,231

 

E*Trade Financial Corp.*

 

280,819

 

31,644

 

Equity Residential (REIT)

 

1,019,253

 

10,229

 

Federated Investors, Inc., Class B

 

263,704

 

91,823

 

Fifth Third Bancorp

 

925,576

 

25,232

 

First Horizon National Corp.*

 

341,894

 

17,284

 

Franklin Resources, Inc.

 

1,867,191

 

55,564

 

Genworth Financial, Inc., Class A*

 

598,424

 

59,067

 

Goldman Sachs Group, Inc. (The)

 

10,021,307

 

44,365

 

Hartford Financial Services Group, Inc.

 

1,085,168

 

33,845

 

HCP, Inc. (REIT)

 

1,059,348

 

13,845

 

Health Care REIT, Inc. (REIT)

 

616,795

 

69,724

 

Host Hotels & Resorts, Inc. (REIT)

 

733,496

 

54,460

 

Hudson City Bancorp, Inc.

 

723,773

 

82,463

 

Huntington Bancshares, Inc./OH

 

315,009

 

8,448

 

IntercontinentalExchange, Inc.*

 

902,162

 

49,479

 

Invesco Ltd.

 

1,100,908

 

21,661

 

Janus Capital Group, Inc.

 

283,542

 

454,071

 

JPMorgan Chase & Co.

 

19,293,477

 

101,428

 

KeyCorp

 

594,368

 

43,455

 

Kimco Realty Corp. (REIT)

 

535,366

 

18,735

 

Legg Mason, Inc.

 

530,013

 

21,955

 

Leucadia National Corp.*

 

472,472

 

35,912

 

Lincoln National Corp.

 

822,744

 

41,999

 

Loews Corp.

 

1,487,605

 

9,522

 

M&T Bank Corp.

 

624,453

 

60,480

 

Marsh & McLennan Cos., Inc.

 

1,363,824

 

58,217

 

Marshall & Ilsley Corp.

 

334,748

 

18,264

 

MBIA, Inc.*

 

63,193

 

94,529

 

MetLife, Inc.

 

3,231,946

 

22,655

 

Moody’s Corp.

 

526,276

 

156,942

 

Morgan Stanley

 

4,956,228

 

16,376

 

NASDAQ OMX Group, Inc. (The)*

 

305,904

 

27,882

 

Northern Trust Corp.

 

1,380,159

 

30,029

 

NYSE Euronext

 

759,133

 

41,422

 

People’s United Financial, Inc.

 

674,764

 

18,788

 

Plum Creek Timber Co., Inc. (REIT)

 

647,998

 

53,276

 

PNC Financial Services Group, Inc.

 

3,037,265

 

36,831

 

Principal Financial Group, Inc.

 

935,139

 

78,365

 

Progressive Corp. (The)*

 

1,314,181

 

54,628

 

ProLogis (REIT)

 

714,534

 

53,453

 

Prudential Financial, Inc.

 

2,664,632

 

15,654

 

Public Storage (REIT)

 

1,245,745

 

137,199

 

Regions Financial Corp.

 

803,986

 

32,688

 

Simon Property Group, Inc. (REIT)

 

2,375,110

 

53,985

 

SLM Corp.*

 

592,215

 

57,090

 

State Street Corp.

 

2,357,817

 

57,588

 

SunTrust Banks, Inc.

 

1,360,804

 

29,578

 

T. Rowe Price Group, Inc.

 

1,447,252

 

9,543

 

Torchmark Corp.

 

414,930

 

65,526

 

Travelers Cos., Inc. (The)

 

3,432,907

 

220,756

 

U.S. Bancorp

 

5,326,842

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

38,269

 

Unum Group

 

$

728,642

 

18,071

 

Ventas, Inc. (REIT)

 

775,788

 

18,019

 

Vornado Realty Trust (REIT)

 

1,179,524

 

539,391

 

Wells Fargo & Co.

 

15,124,524

 

39,514

 

XL Capital Ltd., Class A

 

723,501

 

15,913

 

Zions Bancorp.

 

209,256

 

 

 

 

 

161,150,689

 

 

 

Health Care - 8.6%

 

 

 

 

 

 

 

 

 

178,489

 

Abbott Laboratories

 

9,725,866

 

50,395

 

Aetna, Inc.

 

1,466,998

 

35,502

 

Allergan, Inc.

 

2,063,731

 

34,320

 

AmerisourceBergen Corp.

 

847,361

 

117,249

 

Amgen, Inc.*

 

6,606,981

 

69,587

 

Baxter International, Inc.

 

3,795,971

 

27,629

 

Becton, Dickinson and Co.

 

2,066,649

 

33,347

 

Biogen Idec, Inc.*

 

1,565,308

 

174,053

 

Boston Scientific Corp.*

 

1,456,824

 

228,733

 

Bristol-Myers Squibb Co.

 

5,789,232

 

11,271

 

C.R. Bard, Inc.

 

926,589

 

41,525

 

Cardinal Health, Inc.

 

1,338,351

 

20,772

 

CareFusion Corp.*

 

536,541

 

52,962

 

Celgene Corp.*

 

2,936,743

 

8,634

 

Cephalon, Inc.*

 

474,438

 

31,496

 

CIGNA Corp.

 

1,010,392

 

17,267

 

Coventry Health Care, Inc.*

 

389,371

 

12,002

 

DaVita, Inc.*

 

710,998

 

17,143

 

DENTSPLY International, Inc.

 

571,205

 

116,739

 

Eli Lilly & Co.

 

4,287,823

 

31,675

 

Express Scripts, Inc.*

 

2,717,715

 

34,840

 

Forest Laboratories, Inc.*

 

1,068,194

 

31,218

 

Genzyme Corp.*

 

1,582,753

 

104,411

 

Gilead Sciences, Inc.*

 

4,808,127

 

18,607

 

Hospira, Inc.*

 

873,599

 

19,577

 

Humana, Inc.*

 

812,641

 

21,071

 

IMS Health, Inc.

 

450,077

 

4,376

 

Intuitive Surgical, Inc.*

 

1,227,643

 

318,203

 

Johnson & Johnson

 

19,995,876

 

28,657

 

King Pharmaceuticals, Inc.*

 

339,012

 

12,507

 

Laboratory Corp. of America Holdings*

 

912,511

 

20,345

 

Life Technologies Corp.*

 

1,012,774

 

30,730

 

McKesson Corp.

 

1,905,875

 

54,696

 

Medco Health Solutions, Inc.*

 

3,454,599

 

127,789

 

Medtronic, Inc.

 

5,423,365

 

352,297

 

Merck & Co., Inc.

 

12,756,667

 

6,411

 

Millipore Corp.*

 

436,589

 

35,264

 

Mylan, Inc.*

 

630,168

 

10,722

 

Patterson Cos., Inc.*

 

275,663

 

13,480

 

PerkinElmer, Inc.

 

254,368

 

931,117

 

Pfizer, Inc.

 

16,918,396

 

18,007

 

Quest Diagnostics, Inc.

 

1,043,326

 

40,173

 

St. Jude Medical, Inc.*

 

1,474,751

 

32,589

 

Stryker Corp.

 

1,642,486

 

49,988

 

Tenet Healthcare Corp.*

 

227,445

 

47,130

 

Thermo Fisher Scientific, Inc.*

 

2,225,950

 

134,209

 

UnitedHealth Group, Inc.

 

3,847,772

 

14,495

 

Varian Medical Systems, Inc.*

 

677,496

 

11,043

 

Waters Corp.*

 

649,107

 

12,220

 

Watson Pharmaceuticals, Inc.*

 

453,240

 

54,850

 

WellPoint, Inc.*

 

2,963,545

 

24,749

 

Zimmer Holdings, Inc.*

 

1,464,398

 

 

 

 

 

143,093,500

 

 

 

Industrials - 6.9%

 

 

 

 

 

 

 

 

 

80,630

 

3M Co.

 

6,243,987

 

13,030

 

Avery Dennison Corp.

 

489,407

 

83,878

 

Boeing Co. (The)

 

4,396,046

 

30,234

 

Burlington Northern Santa Fe Corp.

 

2,972,002

 

19,453

 

C.H. Robinson Worldwide, Inc.

 

1,084,310

 

71,733

 

Caterpillar, Inc.

 

4,188,490

 

15,161

 

Cintas Corp.

 

425,872

 

45,269

 

CSX Corp.

 

2,149,372

 

23,297

 

Cummins, Inc.

 

1,046,035

 

29,902

 

Danaher Corp.

 

2,120,650

 

48,835

 

Deere & Co.

 

2,613,161

 

21,494

 

Dover Corp.

 

878,675

 

6,097

 

Dun & Bradstreet Corp.

 

479,163

 

19,127

 

Eaton Corp.

 

1,222,215

 

86,791

 

Emerson Electric Co.

 

3,594,015

 

14,601

 

Equifax, Inc.

 

418,319

 

24,488

 

Expeditors International of Washington, Inc.

 

781,902

 

15,261

 

Fastenal Co.

 

565,878

 

36,073

 

FedEx Corp.

 

3,046,365

 

5,565

 

First Solar, Inc.*

 

662,847

 

6,459

 

Flowserve Corp.

 

642,412

 

20,753

 

Fluor Corp.

 

881,587

 

44,469

 

General Dynamics Corp.

 

2,930,507

 

1,227,015

 

General Electric Co.

 

19,656,780

 

14,300

 

Goodrich Corp.

 

848,562

 

86,849

 

Honeywell International, Inc.

 

3,341,081

 

44,471

 

Illinois Tool Works, Inc.

 

2,163,069

 

20,799

 

Iron Mountain, Inc.*

 

499,176

 

21,072

 

ITT Corp.

 

1,089,844

 

14,315

 

Jacobs Engineering Group, Inc.*

 

500,882

 

13,464

 

L-3 Communications Holdings, Inc.

 

1,055,174

 

37,288

 

Lockheed Martin Corp.

 

2,879,752

 

41,476

 

Masco Corp.

 

563,244

 

14,541

 

Monster Worldwide, Inc.*

 

212,444

 

42,453

 

Norfolk Southern Corp.

 

2,182,084

 

36,727

 

Northrop Grumman Corp.

 

2,012,640

 

41,946

 

PACCAR, Inc.

 

1,555,358

 

13,611

 

Pall Corp.

 

433,238

 

18,536

 

Parker Hannifin Corp.

 

1,000,203

 

23,909

 

Pitney Bowes, Inc.

 

550,863

 

16,198

 

Precision Castparts Corp.

 

1,679,409

 

24,159

 

Quanta Services, Inc.*

 

452,981

 

23,701

 

R.R. Donnelley & Sons Co.

 

487,767

 

44,949

 

Raytheon Co.

 

2,316,222

 

37,220

 

Republic Services, Inc.

 

1,049,604

 

17,543

 

Robert Half International, Inc.

 

391,735

 

16,381

 

Rockwell Automation, Inc.

 

712,410

 

18,210

 

Rockwell Collins, Inc.

 

973,507

 

6,462

 

Ryder System, Inc.

 

261,969

 

6,648

 

Snap-On, Inc.

 

240,325

 

85,623

 

Southwest Airlines Co.

 

787,732

 

9,154

 

Stanley Works (The)

 

444,610

 

9,835

 

Stericycle, Inc.*

 

538,270

 

31,209

 

Textron, Inc.

 

625,740

 

58,241

 

Union Pacific Corp.

 

3,684,326

 

114,821

 

United Parcel Service, Inc., Class B

 

6,598,763

 

108,671

 

United Technologies Corp.

 

7,307,038

 

7,224

 

W.W. Grainger, Inc.

 

705,785

 

56,888

 

Waste Management, Inc.

 

1,868,202

 

 

 

 

 

115,504,006

 

 

 

Information Technology - 12.7%

 

 

 

 

 

 

 

 

 

60,628

 

Adobe Systems, Inc.*

 

2,126,830

 

64,747

 

Advanced Micro Devices, Inc.*

 

453,876

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11,274

 

Affiliated Computer Services, Inc., Class A*

 

$

622,325

 

39,848

 

Agilent Technologies, Inc.*

 

1,152,404

 

19,910

 

Akamai Technologies, Inc.*

 

477,840

 

33,970

 

Altera Corp.

 

714,389

 

19,799

 

Amphenol Corp., Class A

 

815,719

 

33,664

 

Analog Devices, Inc.

 

1,009,583

 

103,421

 

Apple, Inc.*

 

20,674,892

 

153,992

 

Applied Materials, Inc.

 

1,895,642

 

26,522

 

Autodesk, Inc.*

 

621,941

 

57,970

 

Automatic Data Processing, Inc.

 

2,518,797

 

21,236

 

BMC Software, Inc.*

 

822,470

 

49,806

 

Broadcom Corp., Class A*

 

1,454,335

 

45,960

 

CA, Inc.

 

1,015,716

 

10,578

 

Ciena Corp.*

 

128,523

 

665,975

 

Cisco Systems, Inc.*

 

15,583,815

 

21,141

 

Citrix Systems, Inc.*

 

807,163

 

33,859

 

Cognizant Technology Solutions Corp., Class A*

 

1,487,426

 

17,522

 

Computer Sciences Corp.*

 

969,142

 

27,432

 

Compuware Corp.*

 

190,378

 

14,193

 

Convergys Corp.*

 

158,678

 

179,508

 

Corning, Inc.

 

2,994,193

 

198,707

 

Dell, Inc.*

 

2,805,743

 

129,615

 

eBay, Inc.*

 

3,171,679

 

37,348

 

Electronic Arts, Inc.*

 

630,808

 

233,474

 

EMC Corp.*

 

3,929,367

 

35,963

 

Fidelity National Information Services, Inc.

 

812,764

 

17,836

 

Fiserv, Inc.*

 

824,737

 

17,495

 

FLIR Systems, Inc.*

 

502,106

 

27,780

 

Google, Inc., Class A*

 

16,195,740

 

15,119

 

Harris Corp.

 

663,724

 

273,777

 

Hewlett-Packard Co.

 

13,431,500

 

646,370

 

Intel Corp.

 

12,410,304

 

151,372

 

International Business Machines Corp.

 

19,125,852

 

37,290

 

Intuit, Inc.*

 

1,089,241

 

21,288

 

Jabil Circuit, Inc.

 

283,343

 

25,065

 

JDS Uniphase Corp.*

 

185,230

 

60,529

 

Juniper Networks, Inc.*

 

1,581,623

 

19,704

 

KLA-Tencor Corp.

 

615,553

 

9,031

 

Lexmark International, Inc., Class A*

 

227,310

 

25,658

 

Linear Technology Corp.

 

691,996

 

75,261

 

LSI Corp.*

 

398,131

 

11,096

 

Mastercard, Inc., Class A

 

2,672,583

 

18,154

 

McAfee, Inc.*

 

692,575

 

25,817

 

MEMC Electronic Materials, Inc.*

 

310,837

 

21,129

 

Microchip Technology, Inc.

 

554,636

 

97,765

 

Micron Technology, Inc.*

 

735,193

 

895,110

 

Microsoft Corp.

 

26,325,185

 

15,693

 

Molex, Inc.

 

291,733

 

265,034

 

Motorola, Inc.

 

2,122,922

 

27,030

 

National Semiconductor Corp.

 

394,638

 

38,843

 

NetApp, Inc.*

 

1,197,141

 

40,048

 

Novell, Inc.*

 

156,588

 

11,267

 

Novellus Systems, Inc.*

 

233,114

 

63,244

 

NVIDIA Corp.*

 

825,967

 

450,947

 

Oracle Corp.

 

9,956,910

 

37,100

 

Paychex, Inc.

 

1,163,085

 

13,632

 

QLogic Corp.*

 

244,558

 

191,942

 

QUALCOMM, Inc.

 

8,637,390

 

21,705

 

Red Hat, Inc.*

 

579,523

 

12,610

 

Salesforce.com, Inc.*

 

790,395

 

26,222

 

SanDisk Corp.*

 

517,098

 

86,978

 

Sun Microsystems, Inc.*

 

740,183

 

94,057

 

Symantec Corp.*

 

1,669,512

 

45,755

 

Tellabs, Inc.*

 

256,686

 

19,847

 

Teradata Corp.*

 

581,517

 

20,160

 

Teradyne, Inc.*

 

178,618

 

145,655

 

Texas Instruments, Inc.

 

3,683,615

 

22,771

 

Total System Services, Inc.

 

393,483

 

22,269

 

VeriSign, Inc.*

 

499,716

 

25,947

 

Western Digital Corp.*

 

955,887

 

81,000

 

Western Union Co. (The)

 

1,494,450

 

100,346

 

Xerox Corp.

 

772,664

 

31,876

 

Xilinx, Inc.

 

721,673

 

137,729

 

Yahoo!, Inc.*

 

2,061,803

 

 

 

 

 

210,684,706

 

 

 

Materials - 2.4%

 

 

 

 

 

 

 

 

 

24,266

 

Air Products & Chemicals, Inc.

 

2,012,379

 

9,432

 

Airgas, Inc.

 

436,230

 

12,644

 

AK Steel Holding Corp.

 

252,880

 

112,511

 

Alcoa, Inc.

 

1,408,638

 

11,329

 

Allegheny Technologies, Inc.

 

385,526

 

10,867

 

Ball Corp.

 

536,939

 

12,469

 

Bemis Co., Inc.

 

365,342

 

5,591

 

CF Industries Holdings, Inc.

 

477,248

 

132,036

 

Dow Chemical Co. (The)

 

3,667,960

 

104,329

 

E.I. du Pont de Nemours & Co.

 

3,607,697

 

8,385

 

Eastman Chemical Co.

 

504,106

 

27,342

 

Ecolab, Inc.

 

1,227,929

 

8,363

 

FMC Corp.

 

468,244

 

47,540

 

Freeport-McMoRan Copper & Gold, Inc.*

 

3,936,312

 

9,108

 

International Flavors & Fragrances, Inc.

 

370,878

 

49,961

 

International Paper Co.

 

1,271,507

 

19,760

 

MeadWestvaco Corp.

 

540,831

 

63,043

 

Monsanto Co.

 

5,090,722

 

56,585

 

Newmont Mining Corp.

 

3,035,219

 

36,331

 

Nucor Corp.

 

1,540,798

 

19,453

 

Owens-Illinois, Inc.*

 

608,295

 

15,232

 

Pactiv Corp.*

 

370,899

 

19,052

 

PPG Industries, Inc.

 

1,132,260

 

35,424

 

Praxair, Inc.

 

2,905,831

 

18,341

 

Sealed Air Corp.

 

408,821

 

14,063

 

Sigma-Aldrich Corp.

 

750,120

 

9,811

 

Titanium Metals Corp.

 

95,854

 

16,553

 

United States Steel Corp.

 

739,257

 

14,426

 

Vulcan Materials Co.

 

699,373

 

24,391

 

Weyerhaeuser Co.

 

949,786

 

 

 

 

 

39,797,881

 

 

 

Telecommunication Services - 2.1%

 

 

 

 

 

 

 

 

 

45,561

 

American Tower Corp., Class A*

 

1,864,356

 

681,227

 

AT&T, Inc.

 

18,352,255

 

34,321

 

CenturyTel, Inc.

 

1,221,484

 

36,076

 

Frontier Communications Corp.

 

285,001

 

30,080

 

MetroPCS Communications, Inc.*

 

189,504

 

171,156

 

Qwest Communications International, Inc.

 

624,719

 

332,042

 

Sprint Nextel Corp.*

 

1,231,876

 

327,969

 

Verizon Communications, Inc.

 

10,317,905

 

51,503

 

Windstream Corp.

 

510,910

 

 

 

 

 

34,598,010

 

 

 

Utilities - 2.4%

 

 

 

 

 

 

 

 

 

77,015

 

AES Corp. (The)*

 

981,171

 

19,555

 

Allegheny Energy, Inc.

 

429,819

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

26,944

 

Ameren Corp.

 

$

700,275

 

55,044

 

American Electric Power Co., Inc.

 

1,771,866

 

44,609

 

Centerpoint Energy, Inc.

 

591,961

 

26,420

 

CMS Energy Corp.

 

376,221

 

31,746

 

Consolidated Edison, Inc.

 

1,362,221

 

23,173

 

Constellation Energy Group, Inc.

 

737,365

 

68,745

 

Dominion Resources, Inc.

 

2,500,943

 

18,997

 

DTE Energy Co.

 

761,970

 

149,735

 

Duke Energy Corp.

 

2,497,580

 

58,541

 

Dynegy, Inc., Class A*

 

105,959

 

37,624

 

Edison International

 

1,281,097

 

22,613

 

Entergy Corp.

 

1,778,512

 

15,122

 

EQT Corp.

 

622,270

 

76,090

 

Exelon Corp.

 

3,666,016

 

35,201

 

FirstEnergy Corp.

 

1,516,459

 

47,510

 

FPL Group, Inc.

 

2,469,095

 

8,821

 

Integrys Energy Group, Inc.

 

339,961

 

5,220

 

Nicor, Inc.

 

204,415

 

31,791

 

NiSource, Inc.

 

453,022

 

20,249

 

Northeast Utilities

 

488,203

 

25,497

 

Pepco Holdings, Inc.

 

415,601

 

42,801

 

PG&E Corp.

 

1,812,194

 

11,686

 

Pinnacle West Capital Corp.

 

410,062

 

43,482

 

PPL Corp.

 

1,327,071

 

32,253

 

Progress Energy, Inc.

 

1,260,770

 

58,416

 

Public Service Enterprise Group, Inc.

 

1,831,926

 

20,116

 

Questar Corp.

 

798,002

 

12,718

 

SCANA Corp.

 

447,674

 

28,329

 

Sempra Energy

 

1,505,403

 

91,916

 

Southern Co.

 

2,949,584

 

24,679

 

TECO Energy, Inc.

 

364,015

 

13,506

 

Wisconsin Energy Corp.

 

609,121

 

52,610

 

Xcel Energy, Inc.

 

1,069,035

 

 

 

 

 

40,436,859

 

 

 

Total Common Stocks
(Cost $881,453,675)

 

1,114,813,957

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 3.4%

 

 

 

$

1,609,221

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,609,228(b)

 

1,609,221

 

3,218,443

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,218,457(c)

 

3,218,443

 

9,655,328

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $9,655,441 (d)

 

9,655,328

 

1,935,077

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,935,085 (e)

 

1,935,077

 

3,379,365

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,379,380 (f)

 

3,379,365

 

6,436,885

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $6,437,023(g)

 

6,436,885

 

1,609,221

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,609,228(h)

 

1,609,221

 

9,655,328

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $9,655,371(i)

 

9,655,328

 

8,046,107

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $8,046,143(j)

 

8,046,107

 

4,827,664

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $4,827,684(k)

 

4,827,664

 

7,428,720

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $7,428,753(l)

 

7,428,720

 

 

 

Total Repurchase Agreements
(Cost $57,801,359)

 

57,801,359

 

 

 

Total Investment Securities
(Cost $939,255,034) — 70.3%

 

1,172,615,316

 

 

 

Other assets less liabilities — 29.7%

 

494,316,712

 

 

 

Net Assets — 100.0%

 

$

1,666,932,028

 

 

*

 

Non-income producing security.

(a)

 

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $395,109,025.

(b)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,641,406. The investment in the repurchase agreement was through participation in a pooled account.

(c)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,282,812. The investment in the repurchase agreement was through participation in a pooled account.

(d)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $9,848,469. The investment in the repurchase agreement was through participation in a pooled account.

(e)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,973,780. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(f)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,446,978. The investment in the repurchase agreement was through participation in a pooled account.

(g)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,565,636. The investment in the repurchase agreement was through participation in a pooled account.

(h)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,641,408. The investment in the repurchase agreement was through participation in a pooled account.

(i)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $9,848,446. The investment in the repurchase agreement was through participation in a pooled account.

(j)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,207,048. The investment in the repurchase agreement was through participation in a pooled account.

(k)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,924,232. The investment in the repurchase agreement was through participation in a pooled account.

(l)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,577,305. The investment in the repurchase agreement was through participation in a pooled account.

 

 

 

REIT       Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

82,393,636

 

Aggregate gross unrealized depreciation

 

(8,645,349

)

Net unrealized appreciation

 

$

73,748,287

 

Federal income tax cost of investments

 

$

1,098,867,029

 

 

Futures Contracts Purchased

 

Ultra S&P500® had the following open long futures contracts as of November 30, 2009:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P 500 Futures Contracts

 

3,818

 

12/18/09

 

$

208,987,775

 

$

3,415,646

 

 

Cash collateral in the amount of $15,605,825 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

 

Swap Agreements

 

Ultra S&P500® had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index

 

$

43,844,343

 

$

(586,299

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index

 

53,646,345

 

(716,843

)

 

 

 

 

 

 

Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index

 

50,595,722

 

6,253,456

 

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index

 

1,861,211,790

 

467,706,209

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index

 

771,490

 

19,884

 

 

 

 

 

 

 

 

 

 

 

$

472,676,407

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

1,114,813,957

 

$

—

 

$

1,114,813,957

 

Repurchase Agreements

 

—

 

57,801,359

 

57,801,359

 

Total Investment Securities

 

1,114,813,957

 

57,801,359

 

1,172,615,316

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Futures Contracts

 

3,415,646

 

—

 

3,415,646

 

Swap Agreements

 

—

 

472,676,407

 

472,676,407

 

Total Other Financial Instruments

 

3,415,646

 

472,676,407

 

476,092,053

 

Total Investments

 

$

1,118,229,603

 

$

530,477,766

 

$

1,648,707,369

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell3000

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 80.6%

 

 

 

 

 

Consumer Discretionary - 8.3%

 

 

 

 

 

 

 

 

 

11

 

1-800-Flowers.com, Inc., Class A*

 

$

25

 

19

 

99 Cents Only Stores*

 

228

 

18

 

Aaron’s, Inc.

 

451

 

34

 

Abercrombie & Fitch Co., Class A

 

1,358

 

37

 

Advance Auto Parts, Inc.

 

1,454

 

26

 

Aeropostale, Inc.*

 

819

 

10

 

AFC Enterprises, Inc.*

 

78

 

128

 

Amazon.com, Inc.*

 

17,396

 

7

 

Ambassadors Group, Inc.

 

82

 

13

 

American Apparel, Inc.*

 

38

 

17

 

American Axle & Manufacturing Holdings, Inc.

 

106

 

66

 

American Eagle Outfitters, Inc.

 

1,015

 

15

 

American Greetings Corp., Class A

 

311

 

7

 

American Public Education, Inc.*

 

224

 

4

 

America’s Car-Mart, Inc.*

 

97

 

8

 

Amerigon, Inc.*

 

53

 

10

 

Ameristar Casinos, Inc.

 

174

 

23

 

AnnTaylor Stores Corp.*

 

322

 

52

 

Apollo Group, Inc., Class A*

 

2,968

 

11

 

Arbitron, Inc.

 

237

 

29

 

ArvinMeritor, Inc.*

 

235

 

12

 

Asbury Automotive Group, Inc.*

 

128

 

6

 

Ascent Media Corp., Class A*

 

137

 

7

 

Audiovox Corp., Class A*

 

52

 

33

 

Autoliv, Inc.

 

1,340

 

28

 

AutoNation, Inc.*

 

494

 

12

 

AutoZone, Inc.*

 

1,774

 

21

 

Bally Technologies, Inc.*

 

872

 

14

 

Barnes & Noble, Inc.

 

327

 

16

 

Beazer Homes USA, Inc.*

 

69

 

9

 

Bebe Stores, Inc.

 

49

 

101

 

Bed Bath & Beyond, Inc.*

 

3,773

 

34

 

Belo Corp., Class A

 

160

 

5

 

Benihana, Inc., Class A*

 

16

 

131

 

Best Buy Co., Inc.

 

5,611

 

9

 

Big 5 Sporting Goods Corp.

 

147

 

32

 

Big Lots, Inc.*

 

738

 

7

 

BJ’s Restaurants, Inc.*

 

119

 

24

 

Black & Decker Corp.

 

1,457

 

5

 

Blue Nile, Inc.*

 

279

 

6

 

Bluegreen Corp.*

 

14

 

3

 

Blyth, Inc.

 

98

 

12

 

Bob Evans Farms, Inc.

 

303

 

2

 

Books-A-Million, Inc.

 

14

 

19

 

Borders Group, Inc.*

 

27

 

45

 

BorgWarner, Inc.

 

1,359

 

22

 

Boyd Gaming Corp.*

 

180

 

6

 

Bridgepoint Education, Inc.*

 

96

 

39

 

Brinker International, Inc.

 

538

 

18

 

Brink’s Home Security Holdings, Inc.*

 

589

 

4

 

Brookfield Homes Corp.*

 

23

 

16

 

Brown Shoe Co., Inc.

 

164

 

35

 

Brunswick Corp.

 

351

 

10

 

Buckle, Inc. (The)

 

273

 

7

 

Buffalo Wild Wings, Inc.*

 

280

 

7

 

Build-A-Bear Workshop, Inc.*

 

33

 

41

 

Burger King Holdings, Inc.

 

697

 

15

 

Cabela’s, Inc.*

 

181

 

91

 

Cablevision Systems Corp., Class A

 

2,277

 

7

 

California Pizza Kitchen, Inc.*

 

88

 

25

 

Callaway Golf Co.

 

179

 

5

 

Capella Education Co.*

 

356

 

27

 

Career Education Corp.*

 

703

 

2

 

Caribou Coffee Co., Inc.*

 

17

 

86

 

CarMax, Inc.*

 

1,710

 

4

 

Carmike Cinemas, Inc.*

 

24

 

170

 

Carnival Corp.*

 

5,445

 

4

 

Carrols Restaurant Group, Inc.*

 

26

 

22

 

Carter’s, Inc.*

 

479

 

10

 

Cato Corp. (The), Class A

 

191

 

2

 

Cavco Industries, Inc.*

 

71

 

236

 

CBS Corp., Class B

 

3,023

 

8

 

CEC Entertainment, Inc.*

 

233

 

14

 

Central European Media Enterprises Ltd., Class A*

 

349

 

45

 

Charming Shoppes, Inc.*

 

217

 

24

 

Cheesecake Factory, Inc. (The)*

 

452

 

3

 

Cherokee, Inc.

 

54

 

69

 

Chico’s FAS, Inc.*

 

971

 

9

 

Children’s Place Retail Stores, Inc. (The)*

 

287

 

2

 

China Automotive Systems, Inc.*

 

39

 

11

 

ChinaCast Education Corp.*

 

78

 

12

 

Chipotle Mexican Grill, Inc., Class A*

 

1,001

 

11

 

Choice Hotels International, Inc.

 

345

 

14

 

Christopher & Banks Corp.

 

80

 

4

 

Churchill Downs, Inc.

 

138

 

12

 

Cinemark Holdings, Inc.

 

152

 

5

 

Citi Trends, Inc.*

 

136

 

19

 

CKE Restaurants, Inc.

 

160

 

23

 

CKX, Inc.*

 

126

 

16

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

146

 

123

 

Coach, Inc.

 

4,274

 

12

 

Coinstar, Inc.*

 

321

 

22

 

Coldwater Creek, Inc.*

 

93

 

25

 

Collective Brands, Inc.*

 

484

 

4

 

Columbia Sportswear Co.

 

154

 

1,117

 

Comcast Corp., Class A

 

16,386

 

4

 

Conn’s, Inc.*

 

23

 

23

 

Cooper Tire & Rubber Co.

 

412

 

4

 

Core-Mark Holding Co., Inc.*

 

120

 

31

 

Corinthian Colleges, Inc.*

 

459

 

2

 

CPI Corp.

 

24

 

9

 

Cracker Barrel Old Country Store, Inc.

 

338

 

33

 

CROCS, Inc.*

 

161

 

4

 

Crown Media Holdings, Inc., Class A*

 

6

 

3

 

CSS Industries, Inc.

 

56

 

13

 

CTC Media, Inc.*

 

181

 

108

 

D.R. Horton, Inc.

 

1,110

 

54

 

Dana Holding Corp.*

 

393

 

53

 

Darden Restaurants, Inc.

 

1,666

 

5

 

Deckers Outdoor Corp.*

 

463

 

38

 

Denny’s Corp.*

 

87

 

2

 

Destination Maternity Corp.*

 

35

 

24

 

DeVry, Inc.

 

1,304

 

33

 

Dick’s Sporting Goods, Inc.*

 

685

 

20

 

Dillard’s, Inc., Class A

 

340

 

7

 

DineEquity, Inc.*

 

149

 

379

 

DIRECTV, Class A*

 

11,989

 

109

 

Discovery Communications, Inc., Class C*

 

3,056

 

79

 

DISH Network Corp., Class A

 

1,636

 

12

 

Dolan Media Co.*

 

141

 

35

 

Dollar Tree, Inc.*

 

1,714

 

14

 

Domino’s Pizza, Inc.*

 

110

 

4

 

Dorman Products, Inc.*

 

59

 

6

 

Dover Downs Gaming & Entertainment, Inc.

 

27

 

29

 

DreamWorks Animation SKG, Inc., Class A*

 

971

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

17

 

Dress Barn, Inc.*

 

$

365

 

8

 

Drew Industries, Inc.*

 

155

 

34

 

Drugstore.com, Inc.*

 

101

 

5

 

DSW, Inc., Class A*

 

117

 

11

 

E.W. Scripps Co. (The), Class A*

 

69

 

104

 

Eastman Kodak Co.*

 

421

 

2

 

Einstein Noah Restaurant Group, Inc.*

 

20

 

9

 

Ethan Allen Interiors, Inc.

 

104

 

20

 

Exide Technologies*

 

150

 

72

 

Expedia, Inc.*

 

1,835

 

54

 

Family Dollar Stores, Inc.

 

1,648

 

8

 

Federal Mogul Corp.*

 

108

 

5

 

FGX International Holdings Ltd.*

 

83

 

17

 

Finish Line (The), Class A

 

150

 

3

 

Fisher Communications, Inc.*

 

48

 

60

 

Foot Locker, Inc.

 

569

 

1,215

 

Ford Motor Co.*

 

10,801

 

59

 

Fortune Brands, Inc.

 

2,266

 

19

 

Fossil, Inc.*

 

586

 

15

 

Fred’s, Inc., Class A

 

147

 

1

 

Frisch’s Restaurants, Inc.

 

23

 

6

 

Fuel Systems Solutions, Inc.*

 

289

 

5

 

Fuqi International, Inc.*

 

110

 

16

 

Furniture Brands International, Inc.*

 

67

 

5

 

G-III Apparel Group Ltd.*

 

85

 

6

 

Gaiam, Inc., Class A*

 

43

 

64

 

GameStop Corp., Class A*

 

1,562

 

2

 

Gander Mountain Co.*

 

10

 

90

 

Gannett Co., Inc.

 

890

 

188

 

Gap, Inc. (The)

 

4,027

 

44

 

Garmin Ltd.

 

1,315

 

15

 

Gaylord Entertainment Co.*

 

264

 

9

 

Genesco, Inc.*

 

235

 

54

 

Gentex Corp.

 

897

 

62

 

Genuine Parts Co.

 

2,221

 

6

 

Global Sources Ltd.*

 

35

 

94

 

Goodyear Tire & Rubber Co. (The)*

 

1,289

 

6

 

Grand Canyon Education, Inc.*

 

115

 

10

 

Great Wolf Resorts, Inc.*

 

24

 

9

 

Group 1 Automotive, Inc.*

 

227

 

23

 

Guess?, Inc.

 

852

 

11

 

Gymboree Corp.*

 

439

 

132

 

H&R Block, Inc.

 

2,680

 

37

 

Hanesbrands, Inc.*

 

888

 

91

 

Harley-Davidson, Inc.

 

2,652

 

23

 

Harman International Industries, Inc.

 

865

 

15

 

Harte-Hanks, Inc.

 

144

 

49

 

Hasbro, Inc.

 

1,453

 

7

 

Haverty Furniture Cos., Inc.

 

84

 

2

 

Hawk Corp., Class A*

 

33

 

12

 

Helen of Troy Ltd.*

 

247

 

5

 

hhgregg, Inc.*

 

97

 

11

 

Hibbett Sports, Inc.*

 

208

 

24

 

Hillenbrand, Inc.

 

439

 

659

 

Home Depot, Inc.

 

18,030

 

4

 

Hooker Furniture Corp.

 

49

 

17

 

HOT Topic, Inc.*

 

98

 

20

 

Hovnanian Enterprises, Inc., Class A*

 

79

 

15

 

HSN, Inc.*

 

269

 

28

 

Iconix Brand Group, Inc.*

 

315

 

14

 

Interactive Data Corp.

 

358

 

116

 

International Game Technology

 

2,191

 

12

 

International Speedway Corp., Class A

 

324

 

186

 

Interpublic Group of Cos., Inc.*

 

1,177

 

15

 

Interval Leisure Group, Inc.*

 

172

 

7

 

iRobot Corp.*

 

99

 

6

 

Isle of Capri Casinos, Inc.*

 

45

 

15

 

ITT Educational Services, Inc.*

 

1,365

 

20

 

J. Crew Group, Inc.*

 

856

 

86

 

J.C. Penney Co., Inc.

 

2,472

 

22

 

Jack in the Box, Inc.*

 

411

 

11

 

Jackson Hewitt Tax Service, Inc.

 

46

 

11

 

Jakks Pacific, Inc.*

 

133

 

34

 

Jarden Corp.

 

933

 

11

 

Jo-Ann Stores, Inc.*

 

367

 

16

 

John Wiley & Sons, Inc., Class A

 

599

 

231

 

Johnson Controls, Inc.

 

6,249

 

33

 

Jones Apparel Group, Inc.

 

559

 

8

 

JoS. A. Bank Clothiers, Inc.*

 

326

 

16

 

Journal Communications, Inc., Class A

 

56

 

9

 

K12, Inc.*

 

161

 

30

 

KB Home

 

406

 

3

 

Kenneth Cole Productions, Inc., Class A*

 

28

 

5

 

Kirkland’s, Inc.*

 

76

 

12

 

Knology, Inc.*

 

118

 

119

 

Kohl’s Corp.*

 

6,324

 

23

 

Krispy Kreme Doughnuts, Inc.*

 

74

 

10

 

K-Swiss, Inc., Class A

 

87

 

7

 

Lakes Entertainment, Inc.*

 

18

 

22

 

Lamar Advertising Co., Class A*

 

609

 

3

 

Landry’s Restaurants, Inc.*

 

64

 

116

 

Las Vegas Sands Corp.*

 

1,777

 

20

 

La-Z-Boy, Inc.*

 

191

 

13

 

Leapfrog Enterprises, Inc.*

 

39

 

3

 

Learning Tree International, Inc.*

 

33

 

61

 

Leggett & Platt, Inc.

 

1,187

 

57

 

Lennar Corp., Class A

 

722

 

104

 

Liberty Global, Inc., Class A*

 

2,006

 

32

 

Liberty Media Corp. - Capital, Class A*

 

707

 

231

 

Liberty Media Corp. - Interactive, Class A*

 

2,458

 

20

 

Liberty Media Corp. - Starz, Class A*

 

962

 

15

 

Life Time Fitness, Inc.*

 

339

 

103

 

Limited Brands, Inc.

 

1,709

 

11

 

LIN TV Corp., Class A*

 

42

 

4

 

Lincoln Educational Services Corp.*

 

88

 

8

 

Lithia Motors, Inc., Class A*

 

58

 

33

 

Live Nation, Inc.*

 

236

 

37

 

Liz Claiborne, Inc.*

 

154

 

54

 

LKQ Corp.*

 

941

 

8

 

LodgeNet Interactive Corp.*

 

36

 

573

 

Lowe’s Cos., Inc.

 

12,497

 

8

 

Luby’s, Inc.*

 

28

 

16

 

Lululemon Athletica, Inc.*

 

419

 

6

 

Lumber Liquidators, Inc.*

 

142

 

8

 

M/I Homes, Inc.*

 

88

 

4

 

Mac-Gray Corp.*

 

32

 

164

 

Macy’s, Inc.

 

2,675

 

7

 

Maidenform Brands, Inc.*

 

101

 

8

 

Marcus Corp.

 

99

 

4

 

Marine Products Corp.

 

19

 

117

 

Marriott International, Inc., Class A

 

3,000

 

11

 

Martha Stewart Living Omnimedia, Class A*

 

51

 

19

 

Marvel Entertainment, Inc.*

 

989

 

140

 

Mattel, Inc.

 

2,724

 

12

 

Matthews International Corp., Class A

 

416

 

5

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

31

 

429

 

McDonald’s Corp.

 

27,134

 

122

 

McGraw-Hill Cos., Inc. (The)

 

3,655

 

15

 

MDC Holdings, Inc.

 

445

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

16

 

Mediacom Communications Corp., Class A*

 

$

65

 

20

 

Men’s Wearhouse, Inc. (The)

 

408

 

13

 

Meredith Corp.

 

343

 

12

 

Meritage Homes Corp.*

 

214

 

76

 

MGM Mirage*

 

803

 

6

 

Midas, Inc.*

 

44

 

18

 

Modine Manufacturing Co.*

 

191

 

22

 

Mohawk Industries, Inc.*

 

904

 

4

 

Monarch Casino & Resort, Inc.*

 

30

 

7

 

Monro Muffler Brake, Inc.

 

210

 

9

 

Morgans Hotel Group Co.*

 

33

 

7

 

Morningstar, Inc.*

 

325

 

6

 

Movado Group, Inc.

 

62

 

11

 

Multimedia Games, Inc.*

 

60

 

17

 

National CineMedia, Inc.

 

248

 

2

 

National Presto Industries, Inc.

 

186

 

15

 

NetFlix, Inc.*

 

879

 

10

 

New York & Co., Inc.*

 

38

 

40

 

New York Times Co. (The), Class A*

 

338

 

108

 

Newell Rubbermaid, Inc.

 

1,567

 

885

 

News Corp., Class A

 

10,142

 

140

 

NIKE, Inc., Class B

 

9,085

 

3

 

NIVS IntelliMedia Technology Group, Inc.*

 

7

 

2

 

Nobel Learning Communities, Inc.*

 

16

 

64

 

Nordstrom, Inc.

 

2,141

 

12

 

NutriSystem, Inc.

 

296

 

3

 

NVR, Inc.*

 

2,019

 

7

 

O’Charleys, Inc.*

 

45

 

107

 

Office Depot, Inc.*

 

657

 

30

 

OfficeMax, Inc.*

 

317

 

121

 

Omnicom Group, Inc.

 

4,443

 

14

 

Orbitz Worldwide, Inc.*

 

83

 

52

 

O’Reilly Automotive, Inc.*

 

2,017

 

29

 

Orient-Express Hotels Ltd., Class A*

 

242

 

5

 

Outdoor Channel Holdings, Inc.*

 

29

 

6

 

Overstock.com, Inc.*

 

88

 

5

 

Oxford Industries, Inc.

 

107

 

9

 

P.F. Chang’s China Bistro, Inc.*

 

294

 

25

 

Pacific Sunwear of California*

 

83

 

10

 

Panera Bread Co., Class A*

 

630

 

9

 

Papa John’s International, Inc.*

 

199

 

4

 

Peet’s Coffee & Tea, Inc.*

 

130

 

26

 

Penn National Gaming, Inc.*

 

697

 

15

 

Penske Auto Group, Inc.*

 

222

 

19

 

PEP Boys-Manny Moe & Jack

 

154

 

4

 

Perry Ellis International, Inc.*

 

56

 

9

 

PetMed Express, Inc.

 

148

 

49

 

PetSmart, Inc.

 

1,261

 

20

 

Phillips-Van Heusen Corp.

 

800

 

35

 

Pier 1 Imports, Inc.*

 

133

 

24

 

Pinnacle Entertainment, Inc.*

 

254

 

8

 

Playboy Enterprises, Inc., Class B*

 

31

 

12

 

Polaris Industries, Inc.

 

524

 

22

 

Polo Ralph Lauren Corp.

 

1,691

 

18

 

Pool Corp.

 

325

 

3

 

Pre-Paid Legal Services, Inc.*

 

114

 

16

 

priceline.com, Inc.*

 

3,426

 

7

 

Primedia, Inc.

 

22

 

5

 

Princeton Review, Inc.*

 

19

 

130

 

Pulte Homes, Inc.

 

1,188

 

50

 

Quiksilver, Inc.*

 

87

 

49

 

RadioShack Corp.

 

924

 

24

 

Raser Technologies, Inc.*

 

28

 

8

 

RC2 Corp.*

 

110

 

14

 

RCN Corp.*

 

120

 

7

 

Reading International, Inc., Class A*

 

27

 

5

 

Red Lion Hotels Corp.*

 

23

 

6

 

Red Robin Gourmet Burgers, Inc.*

 

94

 

31

 

Regal Entertainment Group, Class A

 

425

 

22

 

Regis Corp.

 

345

 

26

 

Rent-A-Center, Inc.*

 

460

 

4

 

Rentrak Corp.*

 

60

 

10

 

Retail Ventures, Inc.*

 

78

 

3

 

Rex Stores Corp.*

 

41

 

49

 

Ross Stores, Inc.

 

2,155

 

50

 

Royal Caribbean Cruises Ltd.*

 

1,229

 

25

 

Ruby Tuesday, Inc.*

 

158

 

7

 

Ruth’s Hospitality Group, Inc.*

 

15

 

17

 

Ryland Group, Inc.

 

311

 

49

 

Saks, Inc.*

 

299

 

36

 

Sally Beauty Holdings, Inc.*

 

251

 

9

 

Scholastic Corp.

 

227

 

25

 

Scientific Games Corp., Class A*

 

354

 

34

 

Scripps Networks Interactive, Inc., Class A

 

1,345

 

17

 

Sealy Corp.*

 

46

 

19

 

Sears Holdings Corp.*

 

1,348

 

98

 

Service Corp. International

 

757

 

38

 

Sherwin-Williams Co. (The)

 

2,312

 

4

 

Shoe Carnival, Inc.*

 

72

 

21

 

Shuffle Master, Inc.*

 

172

 

8

 

Shutterfly, Inc.*

 

115

 

33

 

Signet Jewelers Ltd.*

 

853

 

17

 

Sinclair Broadcast Group, Inc., Class A

 

62

 

13

 

Skechers U.S.A., Inc., Class A*

 

287

 

2

 

Skyline Corp.

 

33

 

23

 

Smith & Wesson Holding Corp.*

 

114

 

12

 

Sonic Automotive, Inc., Class A

 

106

 

23

 

Sonic Corp.*

 

222

 

26

 

Sotheby’s

 

493

 

12

 

Spartan Motors, Inc.

 

62

 

5

 

Speedway Motorsports, Inc.

 

80

 

4

 

Sport Supply Group, Inc.

 

43

 

15

 

Stage Stores, Inc.

 

181

 

4

 

Stamps.com, Inc.*

 

36

 

6

 

Standard Motor Products, Inc.*

 

54

 

40

 

Standard Pacific Corp.*

 

128

 

5

 

Stanley Furniture Co., Inc.*

 

37

 

278

 

Staples, Inc.

 

6,483

 

286

 

Starbucks Corp.*

 

6,263

 

73

 

Starwood Hotels & Resorts Worldwide, Inc.

 

2,337

 

9

 

Steak n Shake Co. (The)*

 

103

 

10

 

Stein Mart, Inc.*

 

103

 

5

 

Steiner Leisure Ltd.*

 

198

 

2

 

Steinway Musical Instruments, Inc.*

 

29

 

6

 

Steven Madden Ltd.*

 

214

 

32

 

Stewart Enterprises, Inc., Class A

 

150

 

5

 

Stoneridge, Inc.*

 

35

 

6

 

Strayer Education, Inc.

 

1,185

 

7

 

Sturm Ruger & Co., Inc.

 

75

 

9

 

Superior Industries International, Inc.

 

129

 

2

 

Syms Corp.*

 

14

 

4

 

Systemax, Inc.

 

62

 

9

 

Talbots, Inc.*

 

59

 

292

 

Target Corp.

 

13,596

 

29

 

Tempur-Pedic International, Inc.*

 

625

 

19

 

Tenneco, Inc.*

 

274

 

19

 

Texas Roadhouse, Inc.*

 

195

 

13

 

Thor Industries, Inc.

 

370

 

15

 

Ticketmaster Entertainment, Inc.*

 

158

 

48

 

Tiffany & Co.

 

2,049

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

17

 

Timberland Co. (The), Class A*

 

$

284

 

137

 

Time Warner Cable, Inc.

 

5,739

 

465

 

Time Warner, Inc.

 

14,285

 

160

 

TJX Cos., Inc.

 

6,141

 

53

 

Toll Brothers, Inc.*

 

1,033

 

7

 

Town Sports International Holdings, Inc.*

 

15

 

14

 

Tractor Supply Co.*

 

654

 

10

 

True Religion Apparel, Inc.*

 

184

 

22

 

TRW Automotive Holdings Corp.*

 

479

 

12

 

Tuesday Morning Corp.*

 

27

 

24

 

Tupperware Brands Corp.

 

1,117

 

4

 

U.S. Auto Parts Network, Inc.*

 

18

 

10

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

164

 

13

 

Under Armour, Inc., Class A*

 

333

 

17

 

Unifi, Inc.*

 

52

 

6

 

Unifirst Corp.

 

264

 

6

 

Universal Electronics, Inc.*

 

129

 

7

 

Universal Technical Institute, Inc.*

 

132

 

4

 

Universal Travel Group*

 

42

 

50

 

Urban Outfitters, Inc.*

 

1,582

 

12

 

Vail Resorts, Inc.*

 

465

 

18

 

Valassis Communications, Inc.*

 

267

 

1

 

Value Line, Inc.

 

27

 

35

 

VF Corp.

 

2,545

 

211

 

Viacom, Inc., Class B*

 

6,254

 

112

 

Virgin Media, Inc.

 

1,844

 

7

 

Volcom, Inc.*

 

110

 

25

 

WABCO Holdings, Inc.

 

591

 

721

 

Walt Disney Co. (The)

 

21,789

 

18

 

Warnaco Group, Inc. (The)*

 

733

 

17

 

Warner Music Group Corp.*

 

85

 

3

 

Washington Post Co. (The), Class B

 

1,241

 

13

 

Weight Watchers International, Inc.

 

360

 

142

 

Wendy’s/Arby’s Group, Inc., Class A

 

582

 

6

 

West Marine, Inc.*

 

42

 

38

 

Wet Seal, Inc. (The), Class A*

 

111

 

2

 

Weyco Group, Inc.

 

46

 

28

 

Whirlpool Corp.

 

2,076

 

36

 

Williams-Sonoma, Inc.

 

732

 

11

 

Winnebago Industries*

 

119

 

20

 

WMS Industries, Inc.*

 

778

 

19

 

Wolverine World Wide, Inc.

 

486

 

5

 

Wonder Auto Technology, Inc.*

 

60

 

9

 

World Wrestling Entertainment, Inc., Class A

 

145

 

69

 

Wyndham Worldwide Corp.

 

1,281

 

26

 

Wynn Resorts Ltd.

 

1,678

 

12

 

Youbet.com, Inc.*

 

35

 

180

 

Yum! Brands, Inc.

 

6,349

 

9

 

Zale Corp.*

 

42

 

8

 

Zumiez, Inc.*

 

87

 

 

 

 

 

463,940

 

 

 

Consumer Staples - 8.3%

 

 

 

 

 

 

 

 

 

10

 

AgFeed Industries, Inc.*

 

53

 

33

 

Alberto-Culver Co.

 

929

 

1

 

Alico, Inc.

 

26

 

35

 

Alliance One International, Inc.*

 

167

 

804

 

Altria Group, Inc.

 

15,123

 

4

 

American Dairy, Inc.*

 

99

 

8

 

American Italian Pasta Co., Class A*

 

255

 

24

 

American Oriental Bioengineering, Inc.*

 

96

 

7

 

Andersons, Inc. (The)

 

183

 

249

 

Archer-Daniels-Midland Co.

 

7,672

 

1

 

Arden Group, Inc., Class A

 

93

 

166

 

Avon Products, Inc.

 

5,685

 

11

 

B&G Foods, Inc., Class A

 

94

 

26

 

Bare Escentuals, Inc.*

 

332

 

21

 

BJ’s Wholesale Club, Inc.*

 

729

 

4

 

Boston Beer Co., Inc., Class A*

 

168

 

35

 

Brown-Forman Corp., Class B

 

1,791

 

52

 

Bunge Ltd.

 

3,219

 

4

 

Calavo Growers, Inc.

 

67

 

6

 

Cal-Maine Foods, Inc.

 

165

 

77

 

Campbell Soup Co.

 

2,693

 

20

 

Casey’s General Stores, Inc.

 

612

 

20

 

Central European Distribution Corp.*

 

558

 

24

 

Central Garden and Pet Co., Class A*

 

198

 

7

 

Chattem, Inc.*

 

461

 

4

 

China Sky One Medical, Inc.*

 

66

 

4

 

China-Biotics, Inc.*

 

57

 

17

 

Chiquita Brands International, Inc.*

 

289

 

27

 

Church & Dwight Co., Inc.

 

1,594

 

54

 

Clorox Co.

 

3,255

 

2

 

Coca-Cola Bottling Co. Consolidated

 

95

 

900

 

Coca-Cola Co. (The)

 

51,480

 

120

 

Coca-Cola Enterprises, Inc.

 

2,358

 

195

 

Colgate-Palmolive Co.

 

16,417

 

174

 

ConAgra Foods, Inc.

 

3,861

 

74

 

Constellation Brands, Inc., Class A*

 

1,266

 

29

 

Corn Products International, Inc.

 

813

 

168

 

Costco Wholesale Corp.

 

10,065

 

566

 

CVS Caremark Corp.

 

17,552

 

32

 

Darling International, Inc.*

 

228

 

70

 

Dean Foods Co.*

 

1,113

 

77

 

Del Monte Foods Co.

 

808

 

6

 

Diamond Foods, Inc.

 

185

 

1

 

Diedrich Coffee, Inc.*

 

33

 

99

 

Dr. Pepper Snapple Group, Inc.*

 

2,593

 

9

 

Elizabeth Arden, Inc.*

 

133

 

27

 

Energizer Holdings, Inc.*

 

1,521

 

43

 

Estee Lauder Cos., Inc. (The), Class A

 

2,014

 

2

 

Farmer Bros Co.

 

35

 

6

 

Female Health Co. (The)*

 

33

 

30

 

Flowers Foods, Inc.

 

687

 

16

 

Fresh Del Monte Produce, Inc.*

 

348

 

128

 

General Mills, Inc.

 

8,704

 

13

 

Great Atlantic & Pacific Tea Co.*

 

145

 

14

 

Green Mountain Coffee Roasters, Inc.*

 

882

 

1

 

Griffin Land & Nurseries, Inc.

 

28

 

122

 

H. J. Heinz Co.

 

5,179

 

16

 

Hain Celestial Group, Inc. (The)*

 

277

 

26

 

Hansen Natural Corp.*

 

909

 

31

 

Heckmann Corp.*

 

134

 

24

 

Herbalife Ltd.

 

1,007

 

60

 

Hershey Co. (The)

 

2,122

 

27

 

Hormel Foods Corp.

 

1,013

 

4

 

HQ Sustainable Maritime Industries, Inc.*

 

28

 

5

 

Imperial Sugar Co.

 

75

 

5

 

Ingles Markets, Inc., Class A

 

78

 

6

 

Inter Parfums, Inc.

 

71

 

6

 

J&J Snack Foods Corp.

 

217

 

46

 

J.M. Smucker Co. (The)

 

2,718

 

99

 

Kellogg Co.

 

5,205

 

161

 

Kimberly-Clark Corp.

 

10,621

 

572

 

Kraft Foods, Inc., Class A

 

15,204

 

254

 

Kroger Co. (The)

 

5,776

 

7

 

Lancaster Colony Corp.

 

334

 

10

 

Lance, Inc.

 

243

 

2

 

Lifeway Foods, Inc.*

 

23

 

65

 

Lorillard, Inc.

 

5,064

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6

 

Mannatech, Inc.

 

$

17

 

51

 

McCormick & Co., Inc. (Non-Voting)

 

1,820

 

14

 

Mead Johnson Nutrition Co., Class A

 

614

 

5

 

Medifast, Inc.*

 

135

 

50

 

Molson Coors Brewing Co., Class B

 

2,260

 

5

 

Nash Finch Co.

 

164

 

4

 

National Beverage Corp.*

 

43

 

21

 

NBTY, Inc.*

 

843

 

19

 

Nu Skin Enterprises, Inc., Class A

 

509

 

4

 

Nutraceutical International Corp.*

 

48

 

2

 

Oil-Dri Corp of America

 

30

 

7

 

Omega Protein Corp.*

 

27

 

2

 

Orchids Paper Products Co.*

 

37

 

6

 

Overhill Farms, Inc.*

 

35

 

9

 

Pantry, Inc. (The)*

 

133

 

55

 

Pepsi Bottling Group, Inc.

 

2,087

 

22

 

PepsiAmericas, Inc.

 

651

 

605

 

PepsiCo, Inc.

 

37,643

 

762

 

Philip Morris International, Inc.

 

36,645

 

13

 

Prestige Brands Holdings, Inc.*

 

91

 

6

 

Pricesmart, Inc.

 

113

 

1,132

 

Procter & Gamble Co. (The)

 

70,580

 

22

 

Ralcorp Holdings, Inc.*

 

1,274

 

7

 

Revlon, Inc., Class A*

 

127

 

65

 

Reynolds American, Inc.

 

3,247

 

227

 

Rite Aid Corp.*

 

291

 

17

 

Ruddick Corp.

 

452

 

165

 

Safeway, Inc.

 

3,712

 

8

 

Sanderson Farms, Inc.

 

321

 

270

 

Sara Lee Corp.

 

3,278

 

4

 

Schiff Nutrition International, Inc.

 

23

 

4

 

Seneca Foods Corp., Class A*

 

95

 

24

 

Smart Balance, Inc.*

 

129

 

54

 

Smithfield Foods, Inc.*

 

836

 

9

 

Spartan Stores, Inc.

 

124

 

32

 

Star Scientific, Inc.*

 

18

 

82

 

SUPERVALU, Inc.

 

1,134

 

3

 

Susser Holdings Corp.*

 

32

 

7

 

Synutra International, Inc.*

 

85

 

229

 

Sysco Corp.

 

6,192

 

9

 

Tootsie Roll Industries, Inc.

 

229

 

12

 

TreeHouse Foods, Inc.*

 

418

 

117

 

Tyson Foods, Inc., Class A

 

1,406

 

17

 

United Natural Foods, Inc.*

 

429

 

10

 

Universal Corp.

 

429

 

2

 

USANA Health Sciences, Inc.*

 

64

 

15

 

Vector Group Ltd.

 

209

 

3

 

Village Super Market, Inc., Class A

 

91

 

385

 

Walgreen Co.

 

14,973

 

859

 

Wal-Mart Stores, Inc.

 

46,858

 

6

 

WD-40 Co.

 

193

 

4

 

Weis Markets, Inc.

 

139

 

43

 

Whole Foods Market, Inc.*

 

1,103

 

21

 

Winn-Dixie Stores, Inc.*

 

226

 

4

 

Zapata Corp.*

 

28

 

9

 

Zhongpin, Inc.*

 

122

 

 

 

 

 

469,236

 

 

 

Energy - 9.0%

 

 

 

 

 

 

 

 

 

23

 

Allis-Chalmers Energy, Inc.*

 

75

 

3

 

Alon USA Energy, Inc.

 

22

 

46

 

Alpha Natural Resources, Inc.*

 

1,702

 

194

 

Anadarko Petroleum Corp.

 

11,549

 

130

 

Apache Corp.

 

12,386

 

4

 

Apco Oil and Gas International, Inc.

 

88

 

5

 

Approach Resources, Inc.*

 

35

 

63

 

Arch Coal, Inc.

 

1,314

 

15

 

Arena Resources, Inc.*

 

613

 

27

 

Atlas Energy, Inc.

 

694

 

15

 

ATP Oil & Gas Corp.*

 

239

 

22

 

Atwood Oceanics, Inc.*

 

829

 

120

 

Baker Hughes, Inc.

 

4,889

 

9

 

Basic Energy Services, Inc.*

 

62

 

17

 

Berry Petroleum Co., Class A

 

465

 

15

 

Bill Barrett Corp.*

 

428

 

114

 

BJ Services Co.

 

2,141

 

3

 

Bolt Technology Corp.*

 

33

 

30

 

Boots & Coots, Inc.*

 

43

 

36

 

BPZ Resources, Inc.*

 

262

 

32

 

Brigham Exploration Co.*

 

334

 

11

 

Bristow Group, Inc.*

 

378

 

9

 

Bronco Drilling Co., Inc.*

 

47

 

40

 

Cabot Oil & Gas Corp.

 

1,532

 

17

 

Cal Dive International, Inc.*

 

123

 

85

 

Cameron International Corp.*

 

3,213

 

7

 

CARBO Ceramics, Inc.

 

415

 

11

 

Carrizo Oil & Gas, Inc.*

 

232

 

21

 

Cheniere Energy, Inc.*

 

40

 

243

 

Chesapeake Energy Corp.

 

5,813

 

779

 

Chevron Corp.

 

60,793

 

32

 

Cimarex Energy Co.

 

1,499

 

3

 

Clayton Williams Energy, Inc.*

 

85

 

13

 

Clean Energy Fuels Corp.*

 

152

 

9

 

CNX Gas Corp.*

 

246

 

23

 

Complete Production Services, Inc.*

 

239

 

18

 

Comstock Resources, Inc.*

 

668

 

30

 

Concho Resources, Inc.*

 

1,226

 

576

 

ConocoPhillips

 

29,820

 

70

 

CONSOL Energy, Inc.

 

3,214

 

5

 

Contango Oil & Gas Co.*

 

222

 

12

 

Continental Resources, Inc.*

 

452

 

2

 

CREDO Petroleum Corp.*

 

19

 

15

 

Crosstex Energy, Inc.

 

73

 

10

 

Cubic Energy, Inc.*

 

11

 

8

 

CVR Energy, Inc.*

 

59

 

3

 

Dawson Geophysical Co.*

 

65

 

5

 

Delek U.S. Holdings, Inc.

 

34

 

69

 

Delta Petroleum Corp.*

 

63

 

97

 

Denbury Resources, Inc.*

 

1,287

 

172

 

Devon Energy Corp.

 

11,584

 

19

 

DHT Maritime, Inc.

 

76

 

26

 

Diamond Offshore Drilling, Inc.

 

2,588

 

32

 

Dresser-Rand Group, Inc.*

 

899

 

11

 

Dril-Quip, Inc.*

 

594

 

272

 

El Paso Corp.

 

2,600

 

22

 

Encore Acquisition Co.*

 

990

 

45

 

Endeavour International Corp.*

 

43

 

8

 

ENGlobal Corp.*

 

24

 

55

 

ENSCO International, Inc.

 

2,420

 

98

 

EOG Resources, Inc.

 

8,476

 

51

 

Evergreen Energy, Inc.*

 

15

 

54

 

EXCO Resources, Inc.

 

914

 

24

 

Exterran Holdings, Inc.*

 

503

 

1,896

 

Exxon Mobil Corp.

 

142,333

 

48

 

FMC Technologies, Inc.*

 

2,615

 

43

 

Forest Oil Corp.*

 

788

 

41

 

Frontier Oil Corp.

 

473

 

20

 

Frontline Ltd.

 

543

 

17

 

FX Energy, Inc.*

 

42

 

19

 

General Maritime Corp.

 

134

 

3

 

Geokinetics, Inc.*

 

31

 

3

 

Georesources, Inc.*

 

32

 

39

 

Global Industries Ltd.*

 

229

 

12

 

GMX Resources, Inc.*

 

140

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

12

 

Golar LNG Ltd.

 

$

151

 

9

 

Goodrich Petroleum Corp.*

 

199

 

79

 

Gran Tierra Energy, Inc.*

 

451

 

4

 

Green Plains Renewable Energy, Inc.*

 

46

 

5

 

Gulf Island Fabrication, Inc.

 

110

 

9

 

Gulfmark Offshore, Inc.*

 

245

 

11

 

Gulfport Energy Corp.*

 

105

 

349

 

Halliburton Co.

 

10,247

 

13

 

Harvest Natural Resources, Inc.*

 

77

 

40

 

Helix Energy Solutions Group, Inc.*

 

470

 

41

 

Helmerich & Payne, Inc.

 

1,540

 

44

 

Hercules Offshore, Inc.*

 

225

 

113

 

Hess Corp.

 

6,549

 

17

 

Holly Corp.

 

433

 

8

 

Hornbeck Offshore Services, Inc.*

 

182

 

35

 

International Coal Group, Inc.*

 

146

 

41

 

ION Geophysical Corp.*

 

223

 

1

 

Isramco, Inc.*

 

70

 

10

 

James River Coal Co.*

 

183

 

48

 

Key Energy Services, Inc.*

 

366

 

7

 

Knightsbridge Tankers Ltd.

 

91

 

5

 

Lufkin Industries, Inc.

 

301

 

275

 

Marathon Oil Corp.

 

8,970

 

39

 

Mariner Energy, Inc.*

 

488

 

33

 

Massey Energy Co.

 

1,243

 

10

 

Matrix Service Co.*

 

86

 

30

 

McMoRan Exploration Co.*

 

218

 

74

 

Murphy Oil Corp.

 

4,173

 

110

 

Nabors Industries Ltd.*

 

2,272

 

162

 

National Oilwell Varco, Inc.

 

6,969

 

5

 

Natural Gas Services Group, Inc.*

 

87

 

51

 

Newfield Exploration Co.*

 

2,156

 

35

 

Newpark Resources, Inc.*

 

94

 

67

 

Noble Energy, Inc.

 

4,372

 

17

 

Nordic American Tanker Shipping

 

543

 

12

 

Northern Oil and Gas, Inc.*

 

110

 

315

 

Occidental Petroleum Corp.

 

25,449

 

21

 

Oceaneering International, Inc.*

 

1,147

 

19

 

Oil States International, Inc.*

 

682

 

86

 

Oilsands Quest, Inc.*

 

104

 

9

 

Overseas Shipholding Group, Inc.

 

345

 

2

 

OYO Geospace Corp.*

 

65

 

3

 

Panhandle Oil and Gas, Inc., Class A

 

62

 

45

 

Parker Drilling Co.*

 

225

 

29

 

Patriot Coal Corp.*

 

355

 

60

 

Patterson-UTI Energy, Inc.

 

923

 

104

 

Peabody Energy Corp.

 

4,624

 

18

 

Penn Virginia Corp.

 

326

 

116

 

Petrohawk Energy Corp.*

 

2,591

 

7

 

Petroleum Development Corp.*

 

126

 

20

 

Petroquest Energy, Inc.*

 

113

 

5

 

PHI, Inc. (Non-Voting)*

 

89

 

17

 

Pioneer Drilling Co.*

 

103

 

45

 

Pioneer Natural Resources Co.

 

1,861

 

54

 

Plains Exploration & Production Co.*

 

1,469

 

67

 

Pride International, Inc.*

 

2,119

 

1

 

PrimeEnergy Corp.*

 

34

 

46

 

Quicksilver Resources, Inc.*

 

612

 

61

 

Range Resources Corp.

 

2,875

 

10

 

Rex Energy Corp.*

 

91

 

20

 

Rosetta Resources, Inc.*

 

315

 

44

 

Rowan Cos., Inc.*

 

1,086

 

11

 

RPC, Inc.

 

106

 

48

 

SandRidge Energy, Inc.*

 

450

 

465

 

Schlumberger Ltd.

 

29,709

 

8

 

SEACOR Holdings, Inc.*

 

613

 

4

 

Seahawk Drilling, Inc.*

 

86

 

17

 

Ship Finance International Ltd.

 

222

 

85

 

Smith International, Inc.

 

2,310

 

43

 

Southern Union Co.

 

891

 

133

 

Southwestern Energy Co.*

 

5,847

 

251

 

Spectra Energy Corp.

 

4,872

 

24

 

St. Mary Land & Exploration Co.

 

777

 

16

 

Stone Energy Corp.*

 

303

 

27

 

Sulphco, Inc.*

 

22

 

46

 

Sunoco, Inc.

 

1,159

 

30

 

Superior Energy Services, Inc.*

 

634

 

6

 

Superior Well Services, Inc.*

 

78

 

15

 

Swift Energy Co.*

 

322

 

25

 

Syntroleum Corp.*

 

53

 

5

 

T-3 Energy Services, Inc.*

 

125

 

16

 

Teekay Corp.

 

384

 

4

 

Teekay Tankers Ltd., Class A

 

32

 

54

 

Tesoro Corp.

 

690

 

29

 

Tetra Technologies, Inc.*

 

300

 

5

 

TGC Industries, Inc.*

 

20

 

21

 

Tidewater, Inc.

 

944

 

9

 

Toreador Resources Corp.*

 

74

 

4

 

Union Drilling, Inc.*

 

24

 

16

 

Unit Corp.*

 

602

 

17

 

Uranerz Energy Corp.*

 

23

 

21

 

Uranium Energy Corp.*

 

67

 

44

 

USEC, Inc.*

 

161

 

23

 

Vaalco Energy, Inc.*

 

96

 

218

 

Valero Energy Corp.

 

3,464

 

27

 

Vantage Drilling Co.*

 

45

 

7

 

Venoco, Inc.*

 

78

 

13

 

W&T Offshore, Inc.

 

135

 

27

 

Warren Resources, Inc.*

 

65

 

16

 

Western Refining, Inc.*

 

74

 

4

 

Westmoreland Coal Co.*

 

27

 

20

 

Whiting Petroleum Corp.*

 

1,245

 

15

 

Willbros Group, Inc.*

 

236

 

225

 

Williams Cos., Inc. (The)

 

4,475

 

12

 

World Fuel Services Corp.

 

638

 

225

 

XTO Energy, Inc.

 

9,549

 

5

 

Zion Oil & Gas, Inc.*

 

31

 

 

 

 

 

503,349

 

 

 

Financials - 12.3%

 

 

 

 

 

 

 

 

 

5

 

1st Source Corp.

 

71

 

9

 

Abington Bancorp, Inc.

 

61

 

15

 

Acadia Realty Trust (REIT)

 

244

 

18

 

Advance America Cash Advance Centers, Inc.

 

113

 

16

 

Affiliated Managers Group, Inc.*

 

1,043

 

181

 

Aflac, Inc.

 

8,331

 

2

 

Agree Realty Corp. (REIT)

 

49

 

1

 

Alexander’s, Inc. (REIT)*

 

279

 

16

 

Alexandria Real Estate Equities, Inc. (REIT)

 

902

 

2

 

Alleghany Corp.*

 

534

 

2

 

Alliance Financial Corp./NY

 

56

 

70

 

Allied Capital Corp.

 

248

 

19

 

Allied World Assurance Co. Holdings Ltd.

 

908

 

209

 

Allstate Corp. (The)

 

5,938

 

57

 

AMB Property Corp. (REIT)

 

1,342

 

112

 

Ambac Financial Group, Inc.*

 

86

 

20

 

American Campus Communities, Inc. (REIT)

 

539

 

5

 

American Capital Agency Corp. (REIT)

 

132

 

109

 

American Capital Ltd.*

 

320

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

23

 

American Equity Investment Life Holding Co.*

 

$

168

 

394

 

American Express Co.

 

16,481

 

33

 

American Financial Group, Inc./OH

 

801

 

47

 

American International Group, Inc.*

 

1,335

 

3

 

American National Bankshares, Inc.

 

61

 

6

 

American National Insurance Co.

 

651

 

4

 

American Physicians Capital, Inc.

 

109

 

2

 

American Physicians Service Group, Inc.

 

47

 

1

 

American Realty Investors, Inc.*

 

10

 

3

 

American Safety Insurance Holdings Ltd.*

 

45

 

35

 

AmeriCredit Corp.*

 

646

 

100

 

Ameriprise Financial, Inc.

 

3,812

 

6

 

Ameris Bancorp

 

40

 

7

 

Amerisafe, Inc.*

 

118

 

2

 

Ames National Corp.

 

39

 

9

 

Amtrust Financial Services, Inc.

 

108

 

212

 

Annaly Capital Management, Inc. (REIT)

 

3,903

 

31

 

Anthracite Capital, Inc. (REIT)*

 

12

 

42

 

Anworth Mortgage Asset Corp. (REIT)

 

302

 

107

 

AON Corp.

 

4,144

 

46

 

Apartment Investment & Management Co., Class A (REIT)

 

621

 

64

 

Apollo Investment Corp.

 

616

 

20

 

Arch Capital Group Ltd.*

 

1,397

 

38

 

Ares Capital Corp.

 

442

 

12

 

Argo Group International Holdings Ltd.*

 

350

 

4

 

Arrow Financial Corp.

 

101

 

39

 

Arthur J. Gallagher & Co.

 

874

 

22

 

Ashford Hospitality Trust, Inc. (REIT)*

 

92

 

32

 

Aspen Insurance Holdings Ltd.

 

829

 

5

 

Asset Acceptance Capital Corp.*

 

29

 

50

 

Associated Banc-Corp

 

567

 

5

 

Associated Estates Realty Corp. (REIT)

 

49

 

46

 

Assurant, Inc.

 

1,406

 

41

 

Assured Guaranty Ltd.

 

930

 

33

 

Astoria Financial Corp.

 

343

 

1

 

Auburn National Bancorp., Inc.

 

19

 

31

 

AvalonBay Communities, Inc. (REIT)

 

2,239

 

3

 

Avatar Holdings, Inc.*

 

46

 

56

 

Axis Capital Holdings Ltd.

 

1,567

 

3

 

Baldwin & Lyons, Inc., Class B

 

70

 

2

 

Bancfirst Corp.

 

75

 

10

 

Banco Latinoamericano de Comercio Exterior S.A.

 

140

 

1

 

Bancorp Rhode Island, Inc.

 

25

 

8

 

Bancorp, Inc. (The)/DE*

 

46

 

32

 

BancorpSouth, Inc.

 

742

 

19

 

Bank Mutual Corp.

 

133

 

3,361

 

Bank of America Corp.

 

53,272

 

18

 

Bank of Hawaii Corp.

 

823

 

1

 

Bank of Kentucky Financial Corp.

 

20

 

2

 

Bank of Marin Bancorp

 

65

 

465

 

Bank of New York Mellon Corp. (The)

 

12,388

 

5

 

Bank of the Ozarks, Inc.

 

133

 

9

 

BankFinancial Corp.

 

85

 

7

 

Banner Corp.

 

20

 

1

 

Bar Harbor Bankshares

 

27

 

266

 

BB&T Corp.

 

6,623

 

13

 

Beneficial Mutual Bancorp, Inc.*

 

121

 

6

 

Berkshire Hills Bancorp, Inc.

 

113

 

18

 

BGC Partners, Inc., Class A

 

76

 

38

 

BioMed Realty Trust, Inc. (REIT)

 

520

 

5

 

BlackRock Kelso Capital Corp.

 

40

 

8

 

BlackRock, Inc.

 

1,817

 

8

 

BOK Financial Corp.

 

372

 

27

 

Boston Private Financial Holdings, Inc.

 

127

 

54

 

Boston Properties, Inc. (REIT)

 

3,617

 

50

 

Brandywine Realty Trust (REIT)

 

491

 

20

 

BRE Properties, Inc. (REIT)

 

627

 

3

 

Bridge Bancorp, Inc.

 

63

 

20

 

Broadpoint Gleacher Securities, Inc.*

 

108

 

23

 

Brookline Bancorp, Inc.

 

219

 

1

 

Brooklyn Federal Bancorp, Inc.

 

11

 

45

 

Brown & Brown, Inc.

 

803

 

2

 

Bryn Mawr Bank Corp.

 

30

 

7

 

Calamos Asset Management, Inc., Class A

 

74

 

1

 

California First National Bancorp

 

12

 

3

 

Camden National Corp.

 

92

 

26

 

Camden Property Trust (REIT)

 

1,008

 

4

 

Cape Bancorp, Inc.*

 

28

 

4

 

Capital City Bank Group, Inc.

 

49

 

175

 

Capital One Financial Corp.

 

6,713

 

1

 

Capital Southwest Corp.

 

78

 

95

 

CapitalSource, Inc.

 

349

 

8

 

Capitol Federal Financial

 

233

 

18

 

CapLease, Inc. (REIT)

 

78

 

25

 

Capstead Mortgage Corp. (REIT)

 

357

 

11

 

Cardinal Financial Corp.

 

93

 

5

 

Cardtronics, Inc.*

 

55

 

5

 

Care Investment Trust, Inc. (REIT)

 

41

 

12

 

Cash America International, Inc.

 

386

 

21

 

Cathay General Bancorp

 

164

 

92

 

CB Richard Ellis Group, Inc., Class A*

 

1,052

 

54

 

CBL & Associates Properties, Inc. (REIT)

 

500

 

15

 

Cedar Shopping Centers, Inc. (REIT)

 

91

 

5

 

Center Bancorp, Inc.

 

43

 

8

 

Centerstate Banks, Inc.

 

66

 

11

 

Central Pacific Financial Corp.*

 

9

 

1

 

Century Bancorp, Inc./MA, Class A

 

21

 

369

 

Charles Schwab Corp. (The)

 

6,764

 

8

 

Chemical Financial Corp.

 

188

 

1

 

Cheviot Financial Corp.

 

7

 

2

 

Chicopee Bancorp, Inc.*

 

25

 

260

 

Chimera Investment Corp. (REIT)

 

1,048

 

10

 

China Housing & Land Development, Inc.*

 

44

 

137

 

Chubb Corp.

 

6,869

 

56

 

Cincinnati Financial Corp.

 

1,429

 

5,901

 

Citigroup, Inc.

 

24,253

 

4

 

Citizens & Northern Corp.

 

35

 

2

 

Citizens Holding Co.

 

42

 

153

 

Citizens Republic Bancorp, Inc.*

 

86

 

13

 

Citizens, Inc./TX*

 

80

 

6

 

City Holding Co.

 

196

 

17

 

City National Corp./CA

 

671

 

4

 

Clifton Savings Bancorp, Inc.

 

36

 

26

 

CME Group, Inc.

 

8,534

 

11

 

CNA Financial Corp.*

 

250

 

7

 

CNA Surety Corp.*

 

94

 

3

 

CNB Financial Corp./PA

 

49

 

11

 

CoBiz Financial, Inc.

 

47

 

12

 

Cogdell Spencer, Inc. (REIT)

 

61

 

7

 

Cohen & Steers, Inc.

 

134

 

26

 

Colonial Properties Trust (REIT)

 

281

 

11

 

Columbia Banking System, Inc.

 

161

 

59

 

Comerica, Inc.

 

1,680

 

24

 

Commerce Bancshares, Inc./MO

 

971

 

 

See accompanying notes to the financial statements.

 


 

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

13

 

Community Bank System, Inc.

 

$

241

 

6

 

Community Trust Bancorp, Inc.

 

141

 

9

 

Compass Diversified Holdings

 

100

 

6

 

CompuCredit Holdings Corp.*

 

14

 

71

 

Conseco, Inc.*

 

340

 

2

 

Consolidated-Tomoka Land Co.

 

72

 

22

 

Corporate Office Properties Trust (REIT)

 

752

 

28

 

Cousins Properties, Inc. (REIT)

 

202

 

6

 

Cowen Group, Inc., Class A*

 

40

 

8

 

Crawford & Co., Class B*

 

31

 

3

 

Credit Acceptance Corp.*

 

104

 

21

 

Cullen/Frost Bankers, Inc.

 

1,008

 

33

 

CVB Financial Corp.

 

256

 

6

 

Cypress Sharpridge Investments, Inc. (REIT)

 

79

 

9

 

Danvers Bancorp, Inc.

 

122

 

80

 

DCT Industrial Trust, Inc. (REIT)

 

380

 

18

 

Delphi Financial Group, Inc., Class A

 

393

 

56

 

Developers Diversified Realty Corp. (REIT)

 

567

 

1

 

Diamond Hill Investment Group, Inc.

 

60

 

45

 

DiamondRock Hospitality Co. (REIT)*

 

362

 

30

 

Digital Realty Trust, Inc. (REIT)

 

1,460

 

10

 

Dime Community Bancshares

 

112

 

208

 

Discover Financial Services

 

3,216

 

9

 

Dollar Financial Corp.*

 

220

 

4

 

Donegal Group, Inc., Class A

 

59

 

3

 

Doral Financial Corp.*

 

9

 

47

 

Douglas Emmett, Inc. (REIT)

 

645

 

6

 

Duff & Phelps Corp., Class A

 

102

 

87

 

Duke Realty Corp. (REIT)

 

975

 

11

 

DuPont Fabros Technology, Inc. (REIT)*

 

176

 

4

 

Dynex Capital, Inc. (REIT)

 

32

 

569

 

E*Trade Financial Corp.*

 

933

 

6

 

Eagle Bancorp, Inc.*

 

59

 

36

 

East West Bancorp, Inc.

 

525

 

3

 

Eastern Insurance Holdings, Inc.

 

23

 

10

 

EastGroup Properties, Inc. (REIT)

 

379

 

45

 

Eaton Vance Corp.

 

1,356

 

22

 

Education Realty Trust, Inc. (REIT)

 

109

 

10

 

eHealth, Inc.*

 

133

 

2

 

EMC Insurance Group, Inc.

 

42

 

18

 

Employers Holdings, Inc.

 

276

 

5

 

Encore Capital Group, Inc.*

 

85

 

19

 

Endurance Specialty Holdings Ltd.

 

710

 

2

 

Enstar Group Ltd.*

 

147

 

2

 

Enterprise Bancorp, Inc./MA

 

21

 

4

 

Enterprise Financial Services Corp.

 

31

 

14

 

Entertainment Properties Trust (REIT)

 

442

 

5

 

Epoch Holding Corp.

 

48

 

10

 

Equity Lifestyle Properties, Inc. (REIT)

 

480

 

13

 

Equity One, Inc. (REIT)

 

210

 

106

 

Equity Residential (REIT)

 

3,414

 

12

 

Erie Indemnity Co., Class A

 

444

 

4

 

ESB Financial Corp.

 

48

 

6

 

ESSA Bancorp, Inc.

 

76

 

10

 

Essex Property Trust, Inc. (REIT)

 

798

 

4

 

Evercore Partners, Inc., Class A

 

124

 

24

 

Everest Re Group Ltd.

 

2,043

 

33

 

Extra Space Storage, Inc. (REIT)

 

363

 

17

 

Ezcorp, Inc., Class A*

 

251

 

2

 

Farmers Capital Bank Corp.

 

19

 

5

 

FBL Financial Group, Inc., Class A

 

88

 

7

 

FBR Capital Markets Corp.*

 

44

 

23

 

Federal Realty Investment Trust (REIT)

 

1,479

 

35

 

Federated Investors, Inc., Class B

 

902

 

25

 

FelCor Lodging Trust, Inc. (REIT)*

 

84

 

91

 

Fidelity National Financial, Inc., Class A

 

1,264

 

13

 

Fifth Street Finance Corp.

 

127

 

309

 

Fifth Third Bancorp

 

3,115

 

10

 

Financial Federal Corp.

 

271

 

4

 

Financial Institutions, Inc.

 

45

 

7

 

First Acceptance Corp.*

 

13

 

39

 

First American Corp.

 

1,247

 

3

 

First Bancorp, Inc./ME

 

45

 

5

 

First Bancorp/NC

 

65

 

32

 

First BanCorp/Puerto Rico

 

50

 

16

 

First Busey Corp.

 

52

 

3

 

First California Financial Group, Inc.*

 

10

 

8

 

First Cash Financial Services, Inc.*

 

153

 

3

 

First Citizens BancShares, Inc./NC, Class A

 

472

 

33

 

First Commonwealth Financial Corp.

 

140

 

6

 

First Community Bancshares, Inc./VA

 

66

 

3

 

First Defiance Financial Corp.

 

33

 

20

 

First Financial Bancorp

 

266

 

8

 

First Financial Bankshares, Inc.

 

414

 

4

 

First Financial Corp./IN

 

114

 

6

 

First Financial Holdings, Inc.

 

80

 

8

 

First Financial Northwest, Inc.

 

55

 

2

 

First Financial Service Corp.

 

17

 

84

 

First Horizon National Corp.*

 

1,138

 

20

 

First Industrial Realty Trust, Inc. (REIT)

 

89

 

24

 

First Marblehead Corp. (The)*

 

50

 

8

 

First Merchants Corp.

 

48

 

6

 

First Mercury Financial Corp.

 

78

 

22

 

First Midwest Bancorp, Inc./IL

 

229

 

73

 

First Niagara Financial Group, Inc.

 

963

 

2

 

First of Long Island Corp. (The)

 

48

 

10

 

First Potomac Realty Trust (REIT)

 

118

 

3

 

First South Bancorp, Inc./NC

 

30

 

32

 

FirstMerit Corp.

 

670

 

26

 

Flagstar Bancorp, Inc.*

 

18

 

16

 

Flagstone Reinsurance Holdings Ltd.

 

173

 

12

 

Flushing Financial Corp.

 

131

 

45

 

FNB Corp./PA

 

293

 

43

 

Forest City Enterprises, Inc., Class A*

 

461

 

14

 

Forestar Group, Inc.*

 

260

 

2

 

Fox Chase Bancorp, Inc.*

 

19

 

2

 

FPIC Insurance Group, Inc.*

 

70

 

59

 

Franklin Resources, Inc.

 

6,374

 

26

 

Franklin Street Properties Corp. (REIT)

 

294

 

69

 

Fulton Financial Corp.

 

595

 

2

 

GAMCO Investors, Inc., Class A

 

92

 

190

 

Genworth Financial, Inc., Class A*

 

2,046

 

4

 

German American Bancorp, Inc.

 

68

 

7

 

Getty Realty Corp. (REIT)

 

159

 

25

 

GFI Group, Inc.

 

122

 

24

 

Glacier Bancorp, Inc.

 

314

 

8

 

Gladstone Capital Corp.

 

62

 

3

 

Gladstone Commercial Corp. (REIT)

 

40

 

9

 

Gladstone Investment Corp.

 

42

 

74

 

GLG Partners, Inc.*

 

218

 

24

 

Glimcher Realty Trust (REIT)

 

71

 

196

 

Goldman Sachs Group, Inc. (The)

 

33,253

 

4

 

Government Properties Income Trust (REIT)

 

100

 

17

 

Gramercy Capital Corp./NY (REIT)*

 

48

 

4

 

Great Southern Bancorp, Inc.

 

90

 

8

 

Greenhill & Co., Inc.

 

653

 

11

 

Greenlight Capital Re Ltd., Class A*

 

267

 

20

 

Guaranty Bancorp*

 

20

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4

 

Hallmark Financial Services*

 

$

31

 

8

 

Hampton Roads Bankshares, Inc.

 

17

 

11

 

Hancock Holding Co.

 

455

 

20

 

Hanover Insurance Group, Inc. (The)

 

833

 

5

 

Harleysville Group, Inc.

 

157

 

17

 

Harleysville National Corp.

 

101

 

10

 

Harris & Harris Group, Inc.*

 

41

 

127

 

Hartford Financial Services Group, Inc.

 

3,106

 

14

 

Hatteras Financial Corp. (REIT)

 

428

 

44

 

HCC Insurance Holdings, Inc.

 

1,150

 

114

 

HCP, Inc. (REIT)

 

3,568

 

46

 

Health Care REIT, Inc. (REIT)

 

2,049

 

23

 

Healthcare Realty Trust, Inc. (REIT)

 

508

 

5

 

Heartland Financial USA, Inc.

 

66

 

13

 

Hercules Technology Growth Capital, Inc.

 

128

 

4

 

Heritage Financial Corp./WA

 

51

 

1

 

Heritage Financial Group

 

7

 

17

 

Hersha Hospitality Trust (REIT)

 

45

 

28

 

Highwoods Properties, Inc. (REIT)

 

857

 

15

 

Hilltop Holdings, Inc.*

 

182

 

4

 

Home Bancorp, Inc.*

 

49

 

7

 

Home Bancshares, Inc./AR

 

160

 

7

 

Home Federal Bancorp, Inc./ID

 

85

 

13

 

Home Properties, Inc. (REIT)

 

584

 

16

 

Horace Mann Educators Corp.

 

192

 

48

 

Hospitality Properties Trust (REIT)

 

932

 

234

 

Host Hotels & Resorts, Inc. (REIT)

 

2,462

 

87

 

HRPT Properties Trust (REIT)

 

534

 

182

 

Hudson City Bancorp, Inc.

 

2,419

 

278

 

Huntington Bancshares, Inc./OH

 

1,062

 

8

 

Iberiabank Corp.

 

454

 

2

 

Independence Holding Co.

 

11

 

8

 

Independent Bank Corp./MA

 

164

 

6

 

Infinity Property & Casualty Corp.

 

240

 

27

 

Inland Real Estate Corp. (REIT)

 

212

 

16

 

Interactive Brokers Group, Inc., Class A*

 

271

 

28

 

IntercontinentalExchange, Inc.*

 

2,990

 

4

 

International Assets Holding Corp.*

 

66

 

20

 

International Bancshares Corp.

 

335

 

162

 

Invesco Ltd.

 

3,605

 

4

 

Invesco Mortgage Capital, Inc. (REIT)

 

85

 

17

 

Investment Technology Group, Inc.*

 

310

 

19

 

Investors Bancorp, Inc.*

 

209

 

28

 

Investors Real Estate Trust (REIT)

 

247

 

39

 

iStar Financial, Inc. (REIT)*

 

95

 

71

 

Janus Capital Group, Inc.

 

929

 

45

 

Jefferies Group, Inc.*

 

1,055

 

5

 

JMP Group, Inc.

 

45

 

16

 

Jones Lang LaSalle, Inc.

 

814

 

1,461

 

JPMorgan Chase & Co.

 

62,078

 

2

 

Kansas City Life Insurance Co.

 

54

 

4

 

Kayne Anderson Energy Development Co.

 

54

 

14

 

KBW, Inc.*

 

344

 

7

 

Kearny Financial Corp.

 

69

 

1

 

Kentucky First Federal Bancorp

 

12

 

341

 

KeyCorp

 

1,998

 

2

 

K-Fed Bancorp

 

17

 

17

 

Kilroy Realty Corp. (REIT)

 

512

 

146

 

Kimco Realty Corp. (REIT)

 

1,799

 

18

 

Kite Realty Group Trust (REIT)

 

57

 

37

 

Knight Capital Group, Inc., Class A*

 

542

 

8

 

Kohlberg Capital Corp.

 

38

 

22

 

LaBranche & Co., Inc.*

 

58

 

8

 

Lakeland Bancorp, Inc.

 

49

 

5

 

Lakeland Financial Corp.

 

85

 

25

 

LaSalle Hotel Properties (REIT)

 

466

 

30

 

Lazard Ltd., Class A

 

1,163

 

3

 

Legacy Bancorp, Inc.

 

29

 

62

 

Legg Mason, Inc.

 

1,754

 

73

 

Leucadia National Corp.*

 

1,571

 

36

 

Lexington Realty Trust (REIT)

 

175

 

43

 

Liberty Property Trust (REIT)

 

1,275

 

3

 

Life Partners Holdings, Inc.

 

56

 

117

 

Lincoln National Corp.

 

2,680

 

127

 

Loews Corp.

 

4,498

 

9

 

LTC Properties, Inc. (REIT)

 

231

 

30

 

M&T Bank Corp.

 

1,967

 

37

 

Macerich Co. (The) (REIT)

 

1,101

 

30

 

Mack-Cali Realty Corp. (REIT)

 

921

 

19

 

Maiden Holdings Ltd.

 

143

 

2

 

Main Street Capital Corp.

 

28

 

8

 

MainSource Financial Group, Inc.

 

42

 

4

 

Markel Corp.*

 

1,356

 

12

 

MarketAxess Holdings, Inc.

 

149

 

203

 

Marsh & McLennan Cos., Inc.

 

4,578

 

204

 

Marshall & Ilsley Corp.

 

1,173

 

18

 

Max Capital Group Ltd.

 

392

 

20

 

MB Financial, Inc.

 

373

 

51

 

MBIA, Inc.*

 

176

 

25

 

MCG Capital Corp.*

 

99

 

22

 

Meadowbrook Insurance Group, Inc.

 

151

 

5

 

Medallion Financial Corp.

 

41

 

31

 

Medical Properties Trust, Inc. (REIT)

 

300

 

3

 

Mercer Insurance Group, Inc.

 

52

 

2

 

Merchants Bancshares, Inc.

 

46

 

11

 

Mercury General Corp.

 

406

 

4

 

Meridian Interstate Bancorp, Inc.*

 

33

 

224

 

MetLife, Inc.

 

7,659

 

4

 

Metro Bancorp, Inc.*

 

43

 

38

 

MF Global Ltd.*

 

239

 

108

 

MFA Financial, Inc. (REIT)

 

818

 

49

 

MGIC Investment Corp.*

 

196

 

11

 

Mid-America Apartment Communities, Inc. (REIT)

 

512

 

2

 

Midsouth Bancorp, Inc.

 

27

 

7

 

Mission West Properties, Inc. (REIT)

 

48

 

9

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

62

 

33

 

Montpelier Re Holdings Ltd.

 

552

 

73

 

Moody’s Corp.

 

1,696

 

528

 

Morgan Stanley

 

16,674

 

39

 

MSCI, Inc., Class A*

 

1,188

 

9

 

MVC Capital, Inc.

 

94

 

13

 

Nara Bancorp, Inc.

 

131

 

1

 

NASB Financial, Inc.

 

24

 

52

 

NASDAQ OMX Group, Inc. (The)*

 

971

 

2

 

National Bankshares, Inc.

 

52

 

16

 

National Financial Partners Corp.*

 

140

 

10

 

National Health Investors, Inc. (REIT)

 

330

 

3

 

National Interstate Corp.

 

53

 

50

 

National Penn Bancshares, Inc.

 

276

 

31

 

National Retail Properties, Inc. (REIT)

 

621

 

40

 

Nationwide Health Properties, Inc. (REIT)

 

1,360

 

5

 

Navigators Group, Inc.*

 

233

 

14

 

NBT Bancorp, Inc.

 

288

 

7

 

Nelnet, Inc., Class A

 

122

 

134

 

New York Community Bancorp, Inc.

 

1,566

 

41

 

NewAlliance Bancshares, Inc.

 

483

 

10

 

NewStar Financial, Inc.*

 

33

 

9

 

NGP Capital Resources Co.

 

69

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3

 

Northeast Community Bancorp, Inc.

 

$

19

 

94

 

Northern Trust Corp.

 

4,653

 

7

 

Northfield Bancorp, Inc.

 

90

 

2

 

Northrim BanCorp, Inc.

 

32

 

23

 

NorthStar Realty Finance Corp. (REIT)

 

78

 

7

 

Northwest Bancorp, Inc.

 

162

 

1

 

Norwood Financial Corp.

 

26

 

2

 

NYMAGIC, Inc.

 

34

 

101

 

NYSE Euronext

 

2,553

 

4

 

OceanFirst Financial Corp.

 

41

 

22

 

Ocwen Financial Corp.*

 

205

 

2

 

Ohio Valley Banc Corp.

 

44

 

34

 

Old National Bancorp/IN

 

396

 

1

 

Old Point Financial Corp.

 

15

 

93

 

Old Republic International Corp.

 

990

 

4

 

Old Second Bancorp, Inc.

 

22

 

32

 

Omega Healthcare Investors, Inc. (REIT)

 

579

 

9

 

OneBeacon Insurance Group Ltd., Class A

 

126

 

4

 

Oppenheimer Holdings Inc., Class A

 

126

 

17

 

optionsXpress Holdings, Inc.

 

260

 

9

 

Oriental Financial Group, Inc.

 

87

 

4

 

Oritani Financial Corp.

 

52

 

2

 

Orrstown Financial Services, Inc.

 

66

 

18

 

Pacific Capital Bancorp N.A.

 

17

 

8

 

Pacific Continental Corp.

 

82

 

11

 

PacWest Bancorp

 

202

 

4

 

Park National Corp.

 

239

 

9

 

Parkway Properties, Inc./MD (REIT)

 

168

 

22

 

PartnerRe Ltd.

 

1,695

 

3

 

Peapack Gladstone Financial Corp.

 

35

 

10

 

PennantPark Investment Corp.

 

85

 

1

 

Penns Woods Bancorp, Inc.

 

32

 

15

 

Pennsylvania Real Estate Investment Trust (REIT)

 

111

 

5

 

PennyMac Mortgage Investment Trust (REIT)*

 

89

 

7

 

Penson Worldwide, Inc.*

 

63

 

4

 

Peoples Bancorp, Inc./OH

 

36

 

1

 

Peoples Financial Corp./MS

 

16

 

134

 

People’s United Financial, Inc.

 

2,183

 

21

 

PHH Corp.*

 

290

 

45

 

Phoenix Cos, Inc. (The)*

 

112

 

9

 

Pico Holdings, Inc.*

 

269

 

13

 

Pinnacle Financial Partners, Inc.*

 

154

 

7

 

Piper Jaffray Cos.*

 

303

 

20

 

Platinum Underwriters Holdings Ltd.

 

706

 

64

 

Plum Creek Timber Co., Inc. (REIT)

 

2,207

 

12

 

PMA Capital Corp., Class A*

 

76

 

28

 

PMI Group, Inc. (The)

 

52

 

179

 

PNC Financial Services Group, Inc.

 

10,205

 

249

 

Popular, Inc.

 

590

 

1

 

Porter Bancorp, Inc.

 

16

 

6

 

Portfolio Recovery Associates, Inc.*

 

270

 

18

 

Post Properties, Inc. (REIT)

 

332

 

15

 

Potlatch Corp. (REIT)

 

442

 

9

 

Premierwest Bancorp

 

12

 

8

 

Presidential Life Corp.

 

82

 

8

 

Primus Guaranty Ltd.*

 

27

 

121

 

Principal Financial Group, Inc.

 

3,072

 

14

 

PrivateBancorp, Inc.

 

138

 

13

 

ProAssurance Corp.*

 

692

 

265

 

Progressive Corp. (The)*

 

4,444

 

172

 

ProLogis (REIT)

 

2,250

 

21

 

Prospect Capital Corp.

 

228

 

18

 

Prosperity Bancshares, Inc.

 

717

 

33

 

Protective Life Corp.

 

546

 

24

 

Provident Financial Services, Inc.

 

254

 

14

 

Provident New York Bancorp

 

117

 

1

 

Prudential Bancorp, Inc. of Pennsylvania

 

10

 

179

 

Prudential Financial, Inc.

 

8,923

 

7

 

PS Business Parks, Inc. (REIT)

 

333

 

53

 

Public Storage (REIT)

 

4,218

 

3

 

Pzena Investment Management, Inc., Class A*

 

21

 

1

 

QC Holdings, Inc.

 

5

 

32

 

Radian Group, Inc.

 

143

 

25

 

RAIT Financial Trust (REIT)*

 

39

 

10

 

Ramco-Gershenson Properties Trust (REIT)

 

91

 

38

 

Raymond James Financial, Inc.

 

923

 

31

 

Rayonier, Inc. (REIT)

 

1,232

 

41

 

Realty Income Corp. (REIT)

 

1,037

 

30

 

Redwood Trust, Inc. (REIT)

 

431

 

31

 

Regency Centers Corp. (REIT)

 

1,038

 

449

 

Regions Financial Corp.

 

2,631

 

28

 

Reinsurance Group of America, Inc.

 

1,302

 

24

 

RenaissanceRe Holdings Ltd.

 

1,279

 

8

 

Renasant Corp.

 

114

 

4

 

Republic Bancorp, Inc./KY, Class A

 

75

 

3

 

Republic First Bancorp, Inc.*

 

12

 

5

 

Resource America, Inc., Class A

 

18

 

8

 

Resource Capital Corp. (REIT)

 

41

 

2

 

Rewards Network, Inc.

 

23

 

9

 

Riskmetrics Group, Inc.*

 

134

 

7

 

RLI Corp.

 

353

 

3

 

Rockville Financial, Inc.

 

32

 

3

 

Roma Financial Corp.

 

36

 

9

 

S&T Bancorp, Inc.

 

144

 

8

 

Safeguard Scientifics, Inc.*

 

74

 

5

 

Safety Insurance Group, Inc.

 

178

 

7

 

Sanders Morris Harris Group, Inc.

 

35

 

6

 

Sandy Spring Bancorp, Inc.

 

56

 

2

 

Santander BanCorp*

 

23

 

2

 

Saul Centers, Inc. (REIT)

 

62

 

5

 

SCBT Financial Corp.

 

130

 

9

 

SeaBright Insurance Holdings, Inc.*

 

99

 

47

 

SEI Investments Co.

 

823

 

20

 

Selective Insurance Group, Inc.

 

312

 

49

 

Senior Housing Properties Trust (REIT)

 

1,018

 

3

 

Shore Bancshares, Inc.

 

44

 

4

 

Sierra Bancorp

 

30

 

16

 

Signature Bank/NY*

 

496

 

6

 

Simmons First National Corp., Class A

 

152

 

93

 

Simon Property Group, Inc. (REIT)

 

6,757

 

29

 

SL Green Realty Corp. (REIT)

 

1,288

 

181

 

SLM Corp.*

 

1,986

 

5

 

Smithtown Bancorp, Inc.

 

32

 

84

 

South Financial Group, Inc. (The)

 

51

 

5

 

Southside Bancshares, Inc.

 

103

 

5

 

Southwest Bancorp, Inc./OK

 

34

 

10

 

Sovran Self Storage, Inc. (REIT)

 

323

 

36

 

St. Joe Co. (The)*

 

896

 

19

 

StanCorp Financial Group, Inc.

 

705

 

16

 

Starwood Property Trust, Inc. (REIT)

 

310

 

6

 

State Auto Financial Corp.

 

97

 

5

 

State Bancorp, Inc./NY

 

37

 

192

 

State Street Corp.

 

7,930

 

9

 

StellarOne Corp.

 

91

 

7

 

Sterling Bancorp/NY

 

48

 

32

 

Sterling Bancshares, Inc./TX

 

161

 

20

 

Sterling Financial Corp./WA*

 

12

 

7

 

Stewart Information Services Corp.

 

73

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

12

 

Stifel Financial Corp.*

 

$

645

 

29

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

49

 

2

 

Student Loan Corp. (The)

 

99

 

4

 

Suffolk Bancorp

 

108

 

6

 

Sun Bancorp, Inc./NJ*

 

22

 

6

 

Sun Communities, Inc. (REIT)

 

114

 

38

 

Sunstone Hotel Investors, Inc. (REIT)*

 

308

 

194

 

SunTrust Banks, Inc.

 

4,584

 

33

 

Susquehanna Bancshares, Inc.

 

189

 

13

 

SVB Financial Group*

 

492

 

9

 

SWS Group, Inc.

 

112

 

4

 

SY Bancorp, Inc.

 

87

 

148

 

Synovus Financial Corp.

 

289

 

99

 

T. Rowe Price Group, Inc.

 

4,844

 

15

 

Tanger Factory Outlet Centers (REIT)

 

589

 

20

 

Taubman Centers, Inc. (REIT)

 

687

 

50

 

TCF Financial Corp.

 

657

 

102

 

TD Ameritrade Holding Corp.*

 

2,003

 

4

 

Tejon Ranch Co.*

 

106

 

5

 

Territorial Bancorp, Inc.*

 

85

 

13

 

Texas Capital Bancshares, Inc.*

 

189

 

32

 

TFS Financial Corp.

 

358

 

8

 

Thomas Weisel Partners Group, Inc.*

 

36

 

11

 

TICC Capital Corp.

 

62

 

3

 

Tompkins Financial Corp.

 

120

 

32

 

Torchmark Corp.

 

1,391

 

2

 

Tower Bancorp, Inc.

 

38

 

15

 

Tower Group, Inc.

 

370

 

8

 

TowneBank/VA

 

97

 

13

 

TradeStation Group, Inc.*

 

96

 

10

 

Transatlantic Holdings, Inc.

 

540

 

1

 

Transcontinental Realty Investors, Inc.*

 

11

 

212

 

Travelers Cos., Inc. (The)

 

11,107

 

2

 

Tree.com, Inc.*

 

13

 

4

 

Triangle Capital Corp.

 

51

 

6

 

Trico Bancshares

 

104

 

30

 

TrustCo Bank Corp. NY

 

185

 

22

 

Trustmark Corp.

 

422

 

738

 

U.S. Bancorp

 

17,808

 

5

 

U.S. Global Investors, Inc., Class A

 

64

 

59

 

UDR, Inc. (REIT)

 

883

 

12

 

UMB Financial Corp.

 

472

 

4

 

UMH Properties, Inc. (REIT)

 

31

 

34

 

Umpqua Holdings Corp.

 

400

 

8

 

Union Bankshares Corp./VA

 

94

 

14

 

United America Indemnity Ltd., Class A*

 

96

 

15

 

United Bankshares, Inc.

 

256

 

32

 

United Community Banks, Inc./GA*

 

124

 

6

 

United Financial Bancorp, Inc.

 

77

 

9

 

United Fire & Casualty Co.

 

155

 

3

 

United Security Bancshares, Inc./AL

 

49

 

16

 

Unitrin, Inc.

 

357

 

4

 

Universal Health Realty Income Trust (REIT)

 

123

 

5

 

Universal Insurance Holdings, Inc.

 

27

 

6

 

Univest Corp. of Pennsylvania

 

97

 

129

 

Unum Group

 

2,456

 

8

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

110

 

31

 

U-Store-It Trust (REIT)

 

202

 

36

 

Validus Holdings Ltd.

 

954

 

55

 

Valley National Bancorp

 

727

 

61

 

Ventas, Inc. (REIT)

 

2,619

 

4

 

ViewPoint Financial Group

 

52

 

3

 

Virtus Investment Partners, Inc.*

 

47

 

59

 

Vornado Realty Trust (REIT)

 

3,862

 

53

 

W. R. Berkley Corp.

 

1,310

 

33

 

Waddell & Reed Financial, Inc., Class A

 

961

 

8

 

Walter Investment Management Corp. (REIT)

 

97

 

4

 

Washington Banking Co.

 

40

 

44

 

Washington Federal, Inc.

 

838

 

23

 

Washington Real Estate Investment Trust (REIT)

 

600

 

6

 

Washington Trust Bancorp, Inc.

 

89

 

2

 

Waterstone Financial, Inc.*

 

4

 

27

 

Webster Financial Corp.

 

344

 

41

 

Weingarten Realty Investors (REIT)

 

796

 

1,848

 

Wells Fargo & Co.

 

51,818

 

8

 

WesBanco, Inc.

 

103

 

6

 

West Bancorporation, Inc.

 

30

 

11

 

Westamerica Bancorp.

 

585

 

18

 

Western Alliance Bancorp*

 

71

 

12

 

Westfield Financial, Inc.

 

99

 

3

 

Westwood Holdings Group, Inc.

 

104

 

3

 

White Mountains Insurance Group Ltd.

 

977

 

38

 

Whitney Holding Corp./LA

 

306

 

3

 

Wilber Corp.

 

20

 

27

 

Wilmington Trust Corp.

 

331

 

7

 

Wilshire Bancorp, Inc.

 

49

 

4

 

Winthrop Realty Trust (REIT)

 

36

 

9

 

Wintrust Financial Corp.

 

234

 

6

 

World Acceptance Corp.*

 

176

 

2

 

WSFS Financial Corp.

 

53

 

133

 

XL Capital Ltd., Class A

 

2,435

 

6

 

Yadkin Valley Financial Corp.

 

22

 

15

 

Zenith National Insurance Corp.

 

429

 

53

 

Zions Bancorp.

 

697

 

 

 

 

 

689,016

 

 

 

Health Care - 10.3%

 

 

 

 

 

 

 

 

 

9

 

Abaxis, Inc.*

 

202

 

600

 

Abbott Laboratories

 

32,694

 

12

 

Abiomed, Inc.*

 

102

 

2

 

Abraxis Bioscience, Inc.*

 

67

 

10

 

Accelrys, Inc.*

 

52

 

15

 

Accuray, Inc.*

 

78

 

15

 

Acorda Therapeutics, Inc.*

 

361

 

3

 

Acura Pharmaceuticals, Inc.*

 

13

 

18

 

Adolor Corp.*

 

27

 

173

 

Aetna, Inc.

 

5,036

 

6

 

Affymax, Inc.*

 

122

 

28

 

Affymetrix, Inc.*

 

133

 

4

 

Air Methods Corp.*

 

138

 

22

 

Akorn, Inc.*

 

36

 

9

 

Albany Molecular Research, Inc.*

 

76

 

34

 

Alexion Pharmaceuticals, Inc.*

 

1,542

 

23

 

Align Technology, Inc.*

 

376

 

37

 

Alkermes, Inc.*

 

332

 

119

 

Allergan, Inc.

 

6,917

 

11

 

Alliance HealthCare Services, Inc.*

 

65

 

17

 

Allied Healthcare International, Inc.*

 

50

 

9

 

Allion Healthcare, Inc.*

 

59

 

28

 

Allos Therapeutics, Inc.*

 

181

 

24

 

Allscripts-Misys Healthcare Solutions, Inc.*

 

461

 

3

 

Almost Family, Inc.*

 

108

 

14

 

Alnylam Pharmaceuticals, Inc.*

 

235

 

13

 

Alphatec Holdings, Inc.*

 

59

 

7

 

AMAG Pharmaceuticals, Inc.*

 

262

 

10

 

Amedisys, Inc.*

 

370

 

3

 

America Service Group, Inc.

 

44

 

4

 

American Caresource Holdings, Inc.*

 

8

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6

 

American Dental Partners, Inc.*

 

$

73

 

28

 

American Medical Systems Holdings, Inc.*

 

492

 

20

 

AMERIGROUP Corp.*

 

474

 

117

 

AmerisourceBergen Corp.

 

2,889

 

393

 

Amgen, Inc.*

 

22,146

 

14

 

AMICAS, Inc.*

 

64

 

6

 

Amicus Therapeutics, Inc.*

 

20

 

13

 

AMN Healthcare Services, Inc.*

 

104

 

12

 

Amsurg Corp.*

 

249

 

55

 

Amylin Pharmaceuticals, Inc.*

 

784

 

5

 

Analogic Corp.

 

203

 

9

 

Angiodynamics, Inc.*

 

140

 

6

 

Ardea Biosciences, Inc.*

 

81

 

36

 

Arena Pharmaceuticals, Inc.*

 

131

 

43

 

Ariad Pharmaceuticals, Inc.*

 

97

 

16

 

Arqule, Inc.*

 

57

 

18

 

Array Biopharma, Inc.*

 

31

 

8

 

ARYx Therapeutics, Inc.*

 

20

 

4

 

Assisted Living Concepts, Inc., Class A*

 

94

 

13

 

athenahealth, Inc.*

 

545

 

1

 

Atrion Corp.

 

136

 

19

 

ATS Medical, Inc.*

 

56

 

18

 

Auxilium Pharmaceuticals, Inc.*

 

628

 

23

 

AVANIR Pharmaceuticals, Inc., Class A*

 

38

 

37

 

AVI BioPharma, Inc.*

 

53

 

235

 

Baxter International, Inc.

 

12,819

 

26

 

Beckman Coulter, Inc.

 

1,689

 

93

 

Becton, Dickinson and Co.

 

6,956

 

8

 

BioCryst Pharmaceuticals, Inc.*

 

65

 

6

 

Biodel, Inc.*

 

23

 

4

 

BioDelivery Sciences International, Inc.*

 

15

 

112

 

Biogen Idec, Inc.*

 

5,257

 

39

 

BioMarin Pharmaceutical, Inc.*

 

644

 

6

 

BioMimetic Therapeutics, Inc.*

 

64

 

7

 

Bio-Rad Laboratories, Inc., Class A*

 

677

 

4

 

Bio-Reference Labs, Inc.*

 

131

 

15

 

BioScrip, Inc.*

 

113

 

1

 

Biospecifics Technologies Corp.*

 

29

 

12

 

BMP Sunstone Corp.*

 

49

 

585

 

Boston Scientific Corp.*

 

4,896

 

7

 

Bovie Medical Corp.*

 

55

 

769

 

Bristol-Myers Squibb Co.

 

19,463

 

17

 

Brookdale Senior Living, Inc.*

 

265

 

19

 

Bruker Corp.*

 

215

 

39

 

C.R. Bard, Inc.

 

3,206

 

9

 

Cadence Pharmaceuticals, Inc.*

 

77

 

11

 

Cambrex Corp.*

 

58

 

5

 

Cantel Medical Corp.*

 

90

 

9

 

Capital Senior Living Corp.*

 

41

 

5

 

Caraco Pharmaceutical Laboratories Ltd.*

 

21

 

8

 

Cardiac Science Corp.*

 

18

 

140

 

Cardinal Health, Inc.

 

4,512

 

9

 

CardioNet, Inc.*

 

44

 

4

 

Cardiovascular Systems, Inc.*

 

20

 

18

 

Cardium Therapeutics, Inc.*

 

10

 

70

 

CareFusion Corp.*

 

1,808

 

14

 

Catalyst Health Solutions, Inc.*

 

476

 

32

 

Celera Corp.*

 

200

 

179

 

Celgene Corp.*

 

9,926

 

209

 

Cell Therapeutics, Inc.*

 

215

 

10

 

Celldex Therapeutics, Inc.*

 

45

 

17

 

Centene Corp.*

 

320

 

28

 

Cephalon, Inc.*

 

1,539

 

22

 

Cepheid, Inc.*

 

272

 

26

 

Cerner Corp.*

 

1,958

 

26

 

Charles River Laboratories International, Inc.*

 

836

 

11

 

Chelsea Therapeutics International, Inc.*

 

24

 

9

 

Chemed Corp.

 

407

 

5

 

Chindex International, Inc.*

 

68

 

106

 

CIGNA Corp.

 

3,400

 

12

 

Clarient, Inc.*

 

31

 

4

 

Clinical Data, Inc.*

 

62

 

36

 

Community Health Systems, Inc.*

 

1,098

 

4

 

Computer Programs & Systems, Inc.

 

185

 

12

 

Conceptus, Inc.*

 

203

 

11

 

Conmed Corp.*

 

229

 

11

 

Continucare Corp.*

 

34

 

17

 

Cooper Cos., Inc. (The)

 

569

 

2

 

Cornerstone Therapeutics, Inc.*

 

11

 

3

 

Corvel Corp.*

 

90

 

25

 

Covance, Inc.*

 

1,328

 

57

 

Coventry Health Care, Inc.*

 

1,285

 

12

 

Cross Country Healthcare, Inc.*

 

102

 

11

 

CryoLife, Inc.*

 

63

 

22

 

Cubist Pharmaceuticals, Inc.*

 

367

 

3

 

Cumberland Pharmaceuticals, Inc.*

 

43

 

25

 

Curis, Inc.*

 

65

 

5

 

Cutera, Inc.*

 

45

 

10

 

Cyberonics, Inc.*

 

180

 

4

 

Cynosure, Inc., Class A*

 

40

 

15

 

Cypress Bioscience, Inc.*

 

80

 

17

 

Cytokinetics, Inc.*

 

53

 

11

 

Cytori Therapeutics, Inc.*

 

64

 

40

 

DaVita, Inc.*

 

2,370

 

9

 

Delcath Systems, Inc.*

 

45

 

45

 

Dendreon Corp.*

 

1,230

 

58

 

DENTSPLY International, Inc.

 

1,933

 

20

 

Depomed, Inc.*

 

65

 

18

 

DexCom, Inc.*

 

131

 

7

 

Dionex Corp.*

 

491

 

46

 

Discovery Laboratories, Inc.*

 

34

 

32

 

Durect Corp.*

 

72

 

28

 

Dyax Corp.*

 

104

 

21

 

Eclipsys Corp.*

 

385

 

21

 

Edwards Lifesciences Corp.*

 

1,728

 

8

 

Electro-Optical Sciences, Inc.*

 

84

 

394

 

Eli Lilly & Co.

 

14,472

 

10

 

Emdeon, Inc., Class A*

 

151

 

4

 

Emergency Medical Services Corp., Class A*

 

193

 

6

 

Emergent Biosolutions, Inc.*

 

86

 

7

 

Emeritus Corp.*

 

109

 

46

 

Endo Pharmaceuticals Holdings, Inc.*

 

1,013

 

18

 

Endologix, Inc.*

 

76

 

4

 

Ensign Group, Inc. (The)

 

55

 

8

 

EnteroMedics, Inc.*

 

4

 

13

 

Enzo Biochem, Inc.*

 

67

 

18

 

Enzon Pharmaceuticals, Inc.*

 

175

 

17

 

eResearchTechnology, Inc.*

 

100

 

29

 

ev3, Inc.*

 

368

 

3

 

Exactech, Inc.*

 

47

 

41

 

Exelixis, Inc.*

 

280

 

107

 

Express Scripts, Inc.*

 

9,181

 

9

 

Facet Biotech Corp.*

 

148

 

117

 

Forest Laboratories, Inc.*

 

3,587

 

6

 

Genomic Health, Inc.*

 

114

 

7

 

Genoptix, Inc.*

 

254

 

20

 

Gen-Probe, Inc.*

 

834

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11

 

Gentiva Health Services, Inc.*

 

$

260

 

105

 

Genzyme Corp.*

 

5,324

 

35

 

Geron Corp.*

 

182

 

352

 

Gilead Sciences, Inc.*

 

16,210

 

9

 

Greatbatch, Inc.*

 

166

 

7

 

GTx, Inc.*

 

27

 

10

 

Haemonetics Corp.*

 

534

 

27

 

Halozyme Therapeutics, Inc.*

 

147

 

10

 

Hanger Orthopedic Group, Inc.*

 

133

 

10

 

Hansen Medical, Inc.*

 

26

 

9

 

Harvard Bioscience, Inc.*

 

32

 

9

 

Health Grades, Inc.*

 

39

 

96

 

Health Management Associates, Inc., Class A*

 

588

 

40

 

Health Net, Inc.*

 

849

 

35

 

HealthSouth Corp.*

 

614

 

19

 

Healthspring, Inc.*

 

315

 

13

 

Healthways, Inc.*

 

223

 

2

 

HeartWare International, Inc.*

 

63

 

46

 

Hemispherx Biopharma, Inc.*

 

55

 

35

 

Henry Schein, Inc.*

 

1,738

 

24

 

Hill-Rom Holdings, Inc.

 

532

 

3

 

Hi-Tech Pharmacal Co., Inc.*

 

56

 

10

 

HMS Holdings Corp.*

 

442

 

100

 

Hologic, Inc.*

 

1,447

 

4

 

Home Diagnostics, Inc.*

 

23

 

62

 

Hospira, Inc.*

 

2,911

 

63

 

Human Genome Sciences, Inc.*

 

1,753

 

66

 

Humana, Inc.*

 

2,740

 

5

 

ICU Medical, Inc.*

 

165

 

12

 

Idenix Pharmaceuticals, Inc.*

 

22

 

9

 

Idera Pharmaceuticals, Inc.*

 

44

 

23

 

IDEXX Laboratories, Inc.*

 

1,151

 

47

 

Illumina, Inc.*

 

1,359

 

27

 

Immucor, Inc.*

 

498

 

22

 

Immunogen, Inc.*

 

173

 

25

 

Immunomedics, Inc.*

 

78

 

23

 

Impax Laboratories, Inc.*

 

262

 

70

 

IMS Health, Inc.

 

1,495

 

34

 

Incyte Corp.*

 

283

 

7

 

Infinity Pharmaceuticals, Inc.*

 

42

 

49

 

Insmed, Inc.*

 

38

 

24

 

Inspire Pharmaceuticals, Inc.*

 

140

 

11

 

Insulet Corp.*

 

135

 

7

 

Integra LifeSciences Holdings Corp.*

 

229

 

15

 

InterMune, Inc.*

 

161

 

15

 

Intuitive Surgical, Inc.*

 

4,208

 

11

 

Invacare Corp.

 

274

 

13

 

inVentiv Health, Inc.*

 

206

 

32

 

Inverness Medical Innovations, Inc.*

 

1,346

 

6

 

IPC The Hospitalist Co., Inc.*

 

189

 

7

 

IRIS International, Inc.*

 

78

 

37

 

Isis Pharmaceuticals, Inc.*

 

396

 

13

 

ISTA Pharmaceuticals, Inc.*

 

56

 

20

 

Javelin Pharmaceuticals, Inc.*

 

29

 

1,071

 

Johnson & Johnson

 

67,302

 

5

 

Kendle International, Inc.*

 

75

 

3

 

Kensey Nash Corp.*

 

70

 

16

 

Kindred Healthcare, Inc.*

 

238

 

24

 

Kinetic Concepts, Inc.*

 

809

 

96

 

King Pharmaceuticals, Inc.*

 

1,136

 

14

 

KV Pharmaceutical Co., Class A*

 

47

 

42

 

Laboratory Corp. of America Holdings*

 

3,064

 

4

 

Landauer, Inc.

 

228

 

4

 

Lannett Co., Inc.*

 

24

 

6

 

LCA-Vision, Inc.*

 

33

 

40

 

Lexicon Pharmaceuticals, Inc.*

 

62

 

6

 

LHC Group, Inc.*

 

185

 

68

 

Life Technologies Corp.*

 

3,385

 

21

 

LifePoint Hospitals, Inc.*

 

610

 

44

 

Ligand Pharmaceuticals, Inc., Class B*

 

87

 

26

 

Lincare Holdings, Inc.*

 

924

 

16

 

Luminex Corp.*

 

219

 

13

 

Magellan Health Services, Inc.*

 

478

 

7

 

MAKO Surgical Corp.*

 

60

 

22

 

MannKind Corp.*

 

160

 

4

 

MAP Pharmaceuticals, Inc.*

 

36

 

13

 

Martek Biosciences Corp.*

 

226

 

20

 

Masimo Corp.*

 

527

 

4

 

Matrixx Initiatives, Inc.*

 

17

 

10

 

Maxygen, Inc.*

 

54

 

106

 

McKesson Corp.

 

6,574

 

15

 

MedAssets, Inc.*

 

350

 

5

 

Medcath Corp.*

 

37

 

188

 

Medco Health Solutions, Inc.*

 

11,874

 

6

 

Medical Action Industries, Inc.*

 

77

 

20

 

Medicines Co. (The)*

 

157

 

23

 

Medicis Pharmaceutical Corp., Class A

 

543

 

3

 

Medidata Solutions, Inc.*

 

51

 

11

 

Medivation, Inc.*

 

338

 

18

 

Mednax, Inc.*

 

1,012

 

4

 

MedQuist, Inc.

 

28

 

435

 

Medtronic, Inc.

 

18,461

 

1,185

 

Merck & Co., Inc.

 

42,903

 

10

 

Merge Healthcare, Inc.*

 

31

 

16

 

Meridian Bioscience, Inc.

 

331

 

11

 

Merit Medical Systems, Inc.*

 

181

 

7

 

Metabolix, Inc.*

 

78

 

15

 

Metropolitan Health Networks, Inc.*

 

30

 

13

 

Mettler-Toledo International, Inc.*

 

1,293

 

22

 

Micromet, Inc.*

 

150

 

6

 

Micrus Endovascular Corp.*

 

79

 

14

 

MiddleBrook Pharmaceuticals, Inc.*

 

9

 

22

 

Millipore Corp.*

 

1,498

 

7

 

Molecular Insight Pharmaceuticals, Inc.*

 

23

 

5

 

Molina Healthcare, Inc.*

 

105

 

16

 

Momenta Pharmaceuticals, Inc.*

 

159

 

4

 

MWI Veterinary Supply, Inc.*

 

148

 

118

 

Mylan, Inc.*

 

2,109

 

37

 

Myriad Genetics, Inc.*

 

855

 

9

 

Myriad Pharmaceuticals, Inc.*

 

45

 

20

 

Nabi Biopharmaceuticals*

 

99

 

5

 

Nanosphere, Inc.*

 

29

 

3

 

National Healthcare Corp.

 

105

 

1

 

National Research Corp.

 

21

 

11

 

Natus Medical, Inc.*

 

147

 

36

 

Nektar Therapeutics*

 

314

 

5

 

Neogen Corp.*

 

163

 

16

 

Neurocrine Biosciences, Inc.*

 

32

 

5

 

NeurogesX, Inc.*

 

40

 

8

 

Nighthawk Radiology Holdings, Inc.*

 

42

 

8

 

NovaMed, Inc.*

 

30

 

26

 

Novavax, Inc.*

 

78

 

19

 

NPS Pharmaceuticals, Inc.*

 

60

 

14

 

NuVasive, Inc.*

 

454

 

8

 

NxStage Medical, Inc.*

 

54

 

7

 

Obagi Medical Products, Inc.*

 

79

 

13

 

Odyssey HealthCare, Inc.*

 

189

 

46

 

Omnicare, Inc.

 

1,066

 

12

 

Omnicell, Inc.*

 

122

 

2

 

OncoGenex Pharmaceutical, Inc.*

 

63

 

24

 

Onyx Pharmaceuticals, Inc.*

 

687

 

17

 

Opko Health, Inc.*

 

30

 

 

See accompanying notes to the financial statements.

 


 

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11

 

Optimer Pharmaceuticals, Inc.*

 

$

121

 

18

 

OraSure Technologies, Inc.*

 

69

 

11

 

Orexigen Therapeutics, Inc.*

 

73

 

7

 

Orthofix International N.V.*

 

212

 

26

 

Orthovita, Inc.*

 

94

 

22

 

OSI Pharmaceuticals, Inc.*

 

733

 

7

 

Osiris Therapeutics, Inc.*

 

47

 

16

 

Owens & Minor, Inc.

 

621

 

14

 

OXiGENE, Inc.*

 

16

 

14

 

Pain Therapeutics, Inc.*

 

72

 

7

 

Palomar Medical Technologies, Inc.*

 

64

 

14

 

Par Pharmaceutical Cos., Inc.*

 

332

 

22

 

Parexel International Corp.*

 

264

 

39

 

Patterson Cos., Inc.*

 

1,003

 

46

 

PDL BioPharma, Inc.

 

299

 

45

 

PerkinElmer, Inc.

 

849

 

31

 

Perrigo Co.

 

1,244

 

3,133

 

Pfizer, Inc.

 

56,927

 

41

 

Pharmaceutical Product Development, Inc.

 

879

 

8

 

Pharmasset, Inc.*

 

160

 

12

 

PharMerica Corp.*

 

181

 

17

 

Phase Forward, Inc.*

 

259

 

9

 

Poniard Pharmaceuticals, Inc.*

 

19

 

10

 

Pozen, Inc.*

 

71

 

11

 

Progenics Pharmaceuticals, Inc.*

 

43

 

14

 

Protalix BioTherapeutics, Inc.*

 

138

 

4

 

Providence Service Corp. (The)*

 

56

 

23

 

PSS World Medical, Inc.*

 

445

 

21

 

Psychiatric Solutions, Inc.*

 

465

 

9

 

Quality Systems, Inc.

 

535

 

61

 

Quest Diagnostics, Inc.

 

3,534

 

22

 

Questcor Pharmaceuticals, Inc.*

 

95

 

10

 

Quidel Corp.*

 

126

 

11

 

RadNet, Inc.*

 

24

 

25

 

Regeneron Pharmaceuticals, Inc.*

 

459

 

8

 

RehabCare Group, Inc.*

 

225

 

12

 

Repligen Corp.*

 

56

 

5

 

Repros Therapeutics, Inc.*

 

4

 

10

 

Res-Care, Inc.*

 

128

 

29

 

ResMed, Inc.*

 

1,458

 

19

 

Rigel Pharmaceuticals, Inc.*

 

144

 

4

 

Rochester Medical Corp.*

 

44

 

7

 

Rockwell Medical Technologies, Inc.*

 

43

 

21

 

RTI Biologics, Inc.*

 

86

 

18

 

Salix Pharmaceuticals Ltd.*

 

410

 

17

 

Sangamo Biosciences, Inc.*

 

92

 

21

 

Santarus, Inc.*

 

84

 

26

 

Savient Pharmaceuticals, Inc.*

 

349

 

13

 

Sciclone Pharmaceuticals, Inc.*

 

28

 

32

 

Seattle Genetics, Inc.*

 

297

 

23

 

Sequenom, Inc.*

 

94

 

10

 

SIGA Technologies, Inc.*

 

91

 

7

 

Sirona Dental Systems, Inc.*

 

204

 

7

 

Skilled Healthcare Group, Inc., Class A*

 

48

 

5

 

Somanetics Corp.*

 

72

 

7

 

SonoSite, Inc.*

 

158

 

12

 

Spectranetics Corp.*

 

67

 

17

 

Spectrum Pharmaceuticals, Inc.*

 

75

 

135

 

St. Jude Medical, Inc.*

 

4,956

 

40

 

StemCells, Inc.*

 

42

 

12

 

Stereotaxis, Inc.*

 

45

 

23

 

STERIS Corp.

 

743

 

131

 

Stryker Corp.

 

6,602

 

4

 

Sucampo Pharmaceuticals, Inc., Class A*

 

13

 

16

 

Sun Healthcare Group, Inc.*

 

135

 

17

 

Sunrise Senior Living, Inc.*

 

53

 

23

 

SuperGen, Inc.*

 

60

 

6

 

SurModics, Inc.*

 

134

 

14

 

Symmetry Medical, Inc.*

 

112

 

4

 

Synovis Life Technologies, Inc.*

 

49

 

6

 

Synta Pharmaceuticals Corp.*

 

24

 

14

 

Techne Corp.

 

950

 

15

 

Teleflex, Inc.

 

781

 

186

 

Tenet Healthcare Corp.*

 

846

 

21

 

Theravance, Inc.*

 

276

 

162

 

Thermo Fisher Scientific, Inc.*

 

7,651

 

22

 

Thoratec Corp.*

 

655

 

18

 

TomoTherapy, Inc.*

 

62

 

5

 

TranS1, Inc.*

 

17

 

2

 

Transcend Services, Inc.*

 

37

 

8

 

Triple-S Management Corp., Class B*

 

128

 

4

 

U.S. Physical Therapy, Inc.*

 

58

 

18

 

United Therapeutics Corp.*

 

821

 

462

 

UnitedHealth Group, Inc.

 

13,246

 

10

 

Universal American Corp.*

 

104

 

18

 

Universal Health Services, Inc., Class B

 

1,006

 

1

 

Utah Medical Products, Inc.

 

29

 

27

 

Valeant Pharmaceuticals International*

 

883

 

11

 

Vanda Pharmaceuticals, Inc.*

 

116

 

49

 

Varian Medical Systems, Inc.*

 

2,290

 

11

 

Varian, Inc.*

 

563

 

6

 

Vascular Solutions, Inc.*

 

49

 

33

 

VCA Antech, Inc.*

 

748

 

67

 

Vertex Pharmaceuticals, Inc.*

 

2,601

 

17

 

Vical, Inc.*

 

49

 

30

 

Viropharma, Inc.*

 

227

 

2

 

Virtual Radiologic Corp.*

 

26

 

6

 

Vital Images, Inc.*

 

76

 

32

 

Vivus, Inc.*

 

260

 

18

 

Volcano Corp.*

 

265

 

38

 

Waters Corp.*

 

2,234

 

41

 

Watson Pharmaceuticals, Inc.*

 

1,521

 

17

 

WellCare Health Plans, Inc.*

 

561

 

188

 

WellPoint, Inc.*

 

10,158

 

13

 

West Pharmaceutical Services, Inc.

 

501

 

15

 

Wright Medical Group, Inc.*

 

270

 

12

 

XenoPort, Inc.*

 

198

 

2

 

Young Innovations, Inc.

 

48

 

83

 

Zimmer Holdings, Inc.*

 

4,911

 

8

 

Zoll Medical Corp.*

 

197

 

15

 

Zymogenetics, Inc.*

 

92

 

 

 

 

 

576,280

 

 

 

Industrials - 8.7%

 

 

 

 

 

 

 

 

 

7

 

3D Systems Corp.*

 

77

 

270

 

3M Co.

 

20,909

 

9

 

A. O. Smith Corp.

 

377

 

5

 

AAON, Inc.

 

95

 

15

 

AAR Corp.*

 

280

 

18

 

ABM Industries, Inc.

 

332

 

12

 

Acacia Research - Acacia Technologies*

 

91

 

21

 

ACCO Brands Corp.*

 

137

 

10

 

Aceto Corp.

 

52

 

27

 

Actuant Corp., Class A

 

441

 

17

 

Acuity Brands, Inc.

 

549

 

8

 

Administaff, Inc.

 

178

 

22

 

Advanced Battery Technologies, Inc.*

 

76

 

6

 

Advisory Board Co. (The)*

 

157

 

37

 

Aecom Technology Corp.*

 

940

 

5

 

Aerovironment, Inc.*

 

144

 

36

 

AGCO Corp.*

 

1,091

 

22

 

Air Transport Services Group, Inc.*

 

49

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

19

 

Aircastle Ltd.

 

$

168

 

53

 

AirTran Holdings, Inc.*

 

218

 

2

 

Alamo Group, Inc.

 

30

 

14

 

Alaska Air Group, Inc.*

 

419

 

10

 

Albany International Corp., Class A

 

181

 

16

 

Alexander & Baldwin, Inc.

 

489

 

6

 

Allegiant Travel Co.*

 

247

 

13

 

Alliant Techsystems, Inc.*

 

1,114

 

11

 

Altra Holdings, Inc.*

 

124

 

4

 

Amerco, Inc.*

 

205

 

4

 

American Commercial Lines, Inc.*

 

78

 

7

 

American Ecology Corp.

 

113

 

4

 

American Railcar Industries, Inc.

 

42

 

14

 

American Reprographics Co.*

 

78

 

4

 

American Science & Engineering, Inc.

 

278

 

17

 

American Superconductor Corp.*

 

564

 

4

 

American Woodmark Corp.

 

78

 

4

 

Ameron International Corp.

 

228

 

42

 

AMETEK, Inc.

 

1,536

 

3

 

Ampco-Pittsburgh Corp.

 

88

 

129

 

AMR Corp.*

 

779

 

1

 

Amrep Corp.*

 

13

 

10

 

APAC Customer Services, Inc.*

 

52

 

11

 

Apogee Enterprises, Inc.

 

151

 

17

 

Applied Industrial Technologies, Inc.

 

353

 

5

 

Applied Signal Technology, Inc.

 

99

 

3

 

Argan, Inc.*

 

39

 

6

 

Argon ST, Inc.*

 

108

 

10

 

Arkansas Best Corp.

 

246

 

8

 

Armstrong World Industries, Inc.*

 

331

 

7

 

Ascent Solar Technologies, Inc.*

 

31

 

7

 

Astec Industries, Inc.*

 

175

 

4

 

Astronics Corp.*

 

32

 

7

 

ATC Technology Corp.*

 

154

 

7

 

Atlas Air Worldwide Holdings, Inc.*

 

205

 

44

 

Avery Dennison Corp.

 

1,653

 

39

 

Avis Budget Group, Inc.*

 

380

 

5

 

AZZ, Inc.*

 

169

 

5

 

Badger Meter, Inc.

 

176

 

18

 

Baldor Electric Co.

 

463

 

18

 

Barnes Group, Inc.

 

279

 

3

 

Barrett Business Services, Inc.

 

33

 

37

 

BE Aerospace, Inc.*

 

713

 

17

 

Beacon Roofing Supply, Inc.*

 

261

 

18

 

Belden, Inc.

 

398

 

15

 

Blount International, Inc.*

 

145

 

4

 

BlueLinx Holdings, Inc.*

 

11

 

282

 

Boeing Co. (The)

 

14,780

 

15

 

Bowne & Co., Inc.

 

91

 

18

 

Brady Corp., Class A

 

534

 

19

 

Briggs & Stratton Corp.

 

358

 

18

 

Brink’s Co. (The)

 

405

 

12

 

Broadwind Energy, Inc.*

 

86

 

29

 

Bucyrus International, Inc.

 

1,502

 

6

 

Builders FirstSource, Inc.*

 

23

 

102

 

Burlington Northern Santa Fe Corp.

 

10,027

 

66

 

C.H. Robinson Worldwide, Inc.

 

3,679

 

4

 

CAI International, Inc.*

 

35

 

24

 

Carlisle Cos., Inc.

 

771

 

4

 

Cascade Corp.

 

91

 

234

 

Caterpillar, Inc.

 

13,663

 

17

 

CBIZ, Inc.*

 

117

 

5

 

CDI Corp.

 

59

 

9

 

Celadon Group, Inc.*

 

86

 

21

 

Cenveo, Inc.*

 

161

 

10

 

Ceradyne, Inc.*

 

169

 

11

 

Chart Industries, Inc.*

 

183

 

3

 

Chase Corp.

 

32

 

16

 

China BAK Battery, Inc.*

 

48

 

6

 

China Fire & Security Group, Inc.*

 

76

 

51

 

Cintas Corp.

 

1,433

 

7

 

CIRCOR International, Inc.

 

169

 

20

 

CLARCOR, Inc.

 

637

 

8

 

Clean Harbors, Inc.*

 

428

 

9

 

Colfax Corp.*

 

112

 

7

 

Columbus McKinnon Corp.*

 

110

 

15

 

Comfort Systems USA, Inc.

 

171

 

5

 

COMSYS IT Partners, Inc.*

 

42

 

4

 

Consolidated Graphics, Inc.*

 

118

 

54

 

Continental Airlines, Inc., Class B*

 

770

 

19

 

Con-way, Inc.

 

576

 

12

 

Copa Holdings S.A., Class A

 

598

 

26

 

Copart, Inc.*

 

843

 

4

 

Cornell Cos., Inc.*

 

88

 

13

 

Corporate Executive Board Co. (The)

 

272

 

45

 

Corrections Corp. of America*

 

1,125

 

8

 

CoStar Group, Inc.*

 

318

 

4

 

Courier Corp.

 

52

 

50

 

Covanta Holding Corp.*

 

854

 

4

 

CRA International, Inc.*

 

99

 

19

 

Crane Co.

 

531

 

152

 

CSX Corp.

 

7,217

 

6

 

Cubic Corp.

 

209

 

78

 

Cummins, Inc.

 

3,502

 

17

 

Curtiss-Wright Corp.

 

484

 

101

 

Danaher Corp.

 

7,163

 

164

 

Deere & Co.

 

8,776

 

300

 

Delta Air Lines, Inc.*

 

2,457

 

20

 

Deluxe Corp.

 

258

 

9

 

Diamond Management & Technology Consultants, Inc.

 

59

 

5

 

DigitalGlobe, Inc.*

 

115

 

9

 

Dollar Thrifty Automotive Group, Inc.*

 

166

 

30

 

Donaldson Co., Inc.

 

1,275

 

72

 

Dover Corp.

 

2,943

 

4

 

Ducommun, Inc.

 

75

 

20

 

Dun & Bradstreet Corp.

 

1,572

 

3

 

DXP Enterprises, Inc.*

 

36

 

16

 

Dycom Industries, Inc.*

 

125

 

4

 

Dynamex, Inc.*

 

70

 

5

 

Dynamic Materials Corp.

 

96

 

10

 

DynCorp International, Inc., Class A*

 

140

 

24

 

Eagle Bulk Shipping, Inc.*

 

136

 

3

 

Eastern Co. (The)

 

42

 

64

 

Eaton Corp.

 

4,090

 

25

 

EMCOR Group, Inc.*

 

595

 

292

 

Emerson Electric Co.

 

12,092

 

7

 

Encore Wire Corp.

 

139

 

18

 

Ener1, Inc.*

 

105

 

18

 

Energy Conversion Devices, Inc.*

 

179

 

13

 

Energy Recovery, Inc.*

 

73

 

30

 

EnergySolutions, Inc.

 

257

 

6

 

EnerNOC, Inc.*

 

159

 

15

 

EnerSys*

 

341

 

10

 

Ennis, Inc.

 

145

 

8

 

EnPro Industries, Inc.*

 

184

 

49

 

Equifax, Inc.

 

1,404

 

11

 

ESCO Technologies, Inc.*

 

367

 

12

 

Esterline Technologies Corp.*

 

485

 

73

 

Evergreen Solar, Inc.*

 

102

 

83

 

Expeditors International of Washington, Inc.

 

2,650

 

6

 

Exponent, Inc.*

 

162

 

51

 

Fastenal Co.

 

1,891

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

19

 

Federal Signal Corp.

 

$

109

 

121

 

FedEx Corp.

 

10,218

 

20

 

First Solar, Inc.*

 

2,382

 

6

 

Flanders Corp.*

 

28

 

18

 

Flow International Corp.*

 

45

 

21

 

Flowserve Corp.

 

2,089

 

70

 

Fluor Corp.

 

2,974

 

27

 

Force Protection, Inc.*

 

139

 

11

 

Forward Air Corp.

 

249

 

5

 

Franklin Covey Co.*

 

27

 

9

 

Franklin Electric Co., Inc.

 

248

 

5

 

FreightCar America, Inc.

 

91

 

20

 

FTI Consulting, Inc.*

 

925

 

7

 

Fuel Tech, Inc.*

 

60

 

28

 

FuelCell Energy, Inc.*

 

86

 

14

 

Furmanite Corp.*

 

46

 

6

 

Fushi Copperweld, Inc.*

 

48

 

8

 

G&K Services, Inc., Class A

 

177

 

20

 

Gardner Denver, Inc.

 

749

 

19

 

GATX Corp.

 

549

 

10

 

Genco Shipping & Trading Ltd.*

 

235

 

20

 

GenCorp, Inc.*

 

156

 

20

 

General Cable Corp.*

 

587

 

135

 

General Dynamics Corp.

 

8,897

 

4,114

 

General Electric Co.

 

65,906

 

14

 

Genesee & Wyoming, Inc., Class A*

 

436

 

20

 

Geo Group, Inc. (The)*

 

398

 

8

 

GeoEye, Inc.*

 

249

 

10

 

Gibraltar Industries, Inc.

 

150

 

48

 

Goodrich Corp.

 

2,848

 

6

 

Gorman-Rupp Co. (The)

 

149

 

6

 

GP Strategies Corp.*

 

36

 

24

 

Graco, Inc.

 

676

 

47

 

GrafTech International Ltd.*

 

691

 

4

 

Graham Corp.

 

74

 

14

 

Granite Construction, Inc.

 

420

 

15

 

Great Lakes Dredge & Dock Corp.

 

88

 

7

 

Greenbrier Cos., Inc.

 

75

 

17

 

Griffon Corp.*

 

177

 

12

 

GT Solar International, Inc.*

 

57

 

10

 

H&E Equipment Services, Inc.*

 

93

 

5

 

Harbin Electric, Inc.*

 

100

 

32

 

Harsco Corp.

 

993

 

20

 

Hawaiian Holdings, Inc.*

 

125

 

17

 

Healthcare Services Group, Inc.

 

335

 

20

 

Heartland Express, Inc.

 

295

 

9

 

HEICO Corp.

 

337

 

7

 

Heidrick & Struggles International, Inc.

 

198

 

1

 

Heritage-Crystal Clean, Inc.*

 

10

 

6

 

Herley Industries, Inc.*

 

69

 

21

 

Herman Miller, Inc.

 

319

 

73

 

Hertz Global Holdings, Inc.*

 

715

 

38

 

Hexcel Corp.*

 

401

 

10

 

Hill International, Inc.*

 

61

 

17

 

HNI Corp.

 

430

 

289

 

Honeywell International, Inc.

 

11,118

 

12

 

Horizon Lines, Inc., Class A

 

64

 

7

 

Houston Wire & Cable Co.

 

78

 

14

 

HUB Group, Inc., Class A*

 

370

 

22

 

Hubbell, Inc., Class B

 

999

 

2

 

Hurco Cos., Inc.*

 

28

 

9

 

Huron Consulting Group, Inc.*

 

205

 

4

 

ICF International, Inc.*

 

108

 

4

 

ICT Group, Inc.*

 

64

 

32

 

IDEX Corp.

 

948

 

18

 

IHS, Inc., Class A*

 

905

 

10

 

II-VI, Inc.*

 

285

 

175

 

Illinois Tool Works, Inc.

 

8,512

 

9

 

Innerworkings, Inc.*

 

46

 

15

 

Insituform Technologies, Inc., Class A*

 

311

 

7

 

Insteel Industries, Inc.

 

80

 

3

 

Integrated Electrical Services, Inc.*

 

20

 

19

 

Interface, Inc., Class A

 

146

 

12

 

Interline Brands, Inc.*

 

202

 

2

 

International Shipholding Corp.

 

66

 

71

 

Iron Mountain, Inc.*

 

1,704

 

71

 

ITT Corp.

 

3,672

 

34

 

J.B. Hunt Transport Services, Inc.

 

1,083

 

48

 

Jacobs Engineering Group, Inc.*

 

1,680

 

98

 

JetBlue Airways Corp.*

 

540

 

10

 

John Bean Technologies Corp.

 

172

 

39

 

Joy Global, Inc.

 

2,088

 

5

 

Kadant, Inc.*

 

72

 

10

 

Kaman Corp.

 

227

 

36

 

Kansas City Southern*

 

1,031

 

13

 

Kaydon Corp.

 

462

 

62

 

KBR, Inc.

 

1,155

 

10

 

Kelly Services, Inc., Class A*

 

105

 

31

 

Kennametal, Inc.

 

697

 

11

 

Kforce, Inc.*

 

142

 

12

 

Kimball International, Inc., Class B

 

98

 

21

 

Kirby Corp.*

 

700

 

22

 

Knight Transportation, Inc.

 

374

 

19

 

Knoll, Inc.

 

185

 

17

 

Korn/Ferry International*

 

276

 

1

 

K-Tron International, Inc.*

 

96

 

4

 

L.B. Foster Co., Class A*

 

110

 

45

 

L-3 Communications Holdings, Inc.

 

3,527

 

5

 

LaBarge, Inc.*

 

56

 

6

 

Ladish Co., Inc.*

 

83

 

20

 

Landstar System, Inc.

 

746

 

2

 

Lawson Products, Inc.

 

29

 

7

 

Layne Christensen Co.*

 

182

 

18

 

Lennox International, Inc.

 

668

 

17

 

Lincoln Electric Holdings, Inc.

 

873

 

5

 

Lindsay Corp.

 

175

 

3

 

LMI Aerospace, Inc.*

 

32

 

123

 

Lockheed Martin Corp.

 

9,499

 

7

 

LSI Industries, Inc.

 

51

 

4

 

M&F Worldwide Corp.*

 

132

 

51

 

Manitowoc Co., Inc. (The)

 

501

 

30

 

Manpower, Inc.

 

1,478

 

6

 

Marten Transport Ltd.*

 

101

 

139

 

Masco Corp.

 

1,888

 

20

 

MasTec, Inc.*

 

255

 

89

 

McDermott International, Inc.*

 

1,864

 

9

 

McGrath RentCorp.

 

186

 

13

 

Metalico, Inc.*

 

54

 

5

 

Met-Pro Corp.

 

45

 

3

 

Michael Baker Corp.*

 

114

 

30

 

Microvision, Inc.*

 

98

 

6

 

Middleby Corp.*

 

269

 

4

 

Miller Industries, Inc.*

 

44

 

11

 

Mine Safety Appliances Co.

 

272

 

13

 

Mobile Mini, Inc.*

 

198

 

49

 

Monster Worldwide, Inc.*

 

716

 

18

 

Moog, Inc., Class A*

 

475

 

36

 

MPS Group, Inc.*

 

491

 

17

 

MSC Industrial Direct Co., Class A

 

780

 

14

 

Mueller Industries, Inc.

 

329

 

60

 

Mueller Water Products, Inc., Class A

 

302

 

5

 

Multi-Color Corp.

 

55

 

7

 

MYR Group, Inc.*

 

109

 

2

 

NACCO Industries, Inc., Class A

 

101

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

19

 

Navigant Consulting, Inc.*

 

$

252

 

25

 

Navistar International Corp.*

 

825

 

35

 

NCI Building Systems, Inc.*

 

65

 

13

 

Nordson Corp.

 

697

 

143

 

Norfolk Southern Corp.

 

7,350

 

5

 

North American Galvanizing & Coating, Inc.*

 

24

 

126

 

Northrop Grumman Corp.

 

6,905

 

4

 

Northwest Pipe Co.*

 

101

 

23

 

Odyssey Marine Exploration, Inc.*

 

33

 

11

 

Old Dominion Freight Line, Inc.*

 

291

 

1

 

Omega Flex, Inc.

 

17

 

14

 

On Assignment, Inc.*

 

89

 

22

 

Orbital Sciences Corp.*

 

276

 

7

 

Orion Energy Systems, Inc.*

 

28

 

11

 

Orion Marine Group, Inc.*

 

203

 

34

 

Oshkosh Corp.

 

1,351

 

13

 

Otter Tail Corp.

 

299

 

33

 

Owens Corning*

 

780

 

141

 

PACCAR, Inc.

 

5,228

 

14

 

Pacer International, Inc.

 

40

 

46

 

Pall Corp.

 

1,464

 

62

 

Parker Hannifin Corp.

 

3,346

 

1

 

Patriot Transportation Holding, Inc.*

 

93

 

38

 

Pentair, Inc.

 

1,144

 

21

 

Perma-Fix Environmental Services*

 

48

 

6

 

Pike Electric Corp.*

 

55

 

80

 

Pitney Bowes, Inc.

 

1,843

 

5

 

PMFG, Inc.*

 

74

 

9

 

Polypore International, Inc.*

 

106

 

2

 

Portec Rail Products, Inc.

 

18

 

3

 

Powell Industries, Inc.*

 

105

 

29

 

Power-One, Inc.*

 

107

 

7

 

PowerSecure International, Inc.*

 

58

 

54

 

Precision Castparts Corp.

 

5,599

 

1

 

Preformed Line Products Co.

 

40

 

3

 

Primoris Services Corp.

 

23

 

15

 

Quanex Building Products Corp.

 

243

 

76

 

Quanta Services, Inc.*

 

1,425

 

80

 

R.R. Donnelley & Sons Co.

 

1,646

 

6

 

Raven Industries, Inc.

 

162

 

153

 

Raytheon Co.

 

7,884

 

9

 

RBC Bearings, Inc.*

 

208

 

14

 

Regal-Beloit Corp.

 

664

 

14

 

Republic Airways Holdings, Inc.*

 

95

 

125

 

Republic Services, Inc.

 

3,525

 

17

 

Resources Connection, Inc.*

 

328

 

11

 

Robbins & Myers, Inc.

 

253

 

59

 

Robert Half International, Inc.

 

1,317

 

55

 

Rockwell Automation, Inc.

 

2,392

 

62

 

Rockwell Collins, Inc.

 

3,315

 

17

 

Rollins, Inc.

 

302

 

35

 

Roper Industries, Inc.

 

1,821

 

19

 

RSC Holdings, Inc.*

 

121

 

12

 

Rush Enterprises, Inc., Class A*

 

129

 

22

 

Ryder System, Inc.

 

892

 

6

 

Saia, Inc.*

 

87

 

27

 

Satcon Technology Corp.*

 

54

 

4

 

Sauer-Danfoss, Inc.

 

35

 

5

 

Schawk, Inc.

 

56

 

7

 

School Specialty, Inc.*

 

160

 

1

 

Seaboard Corp.

 

1,454

 

33

 

Shaw Group, Inc. (The)*

 

941

 

15

 

Simpson Manufacturing Co., Inc.

 

373

 

22

 

Skywest, Inc.

 

324

 

4

 

SmartHeat, Inc.*

 

53

 

22

 

Snap-On, Inc.

 

795

 

287

 

Southwest Airlines Co.

 

2,640

 

21

 

Spherion Corp.*

 

110

 

41

 

Spirit Aerosystems Holdings, Inc., Class A*

 

747

 

19

 

SPX Corp.

 

1,013

 

3

 

Standard Parking Corp.*

 

48

 

7

 

Standard Register Co. (The)

 

32

 

5

 

Standex International Corp.

 

91

 

31

 

Stanley Works (The)

 

1,506

 

4

 

Stanley, Inc.*

 

107

 

28

 

Steelcase, Inc., Class A

 

153

 

33

 

Stericycle, Inc.*

 

1,806

 

5

 

Sterling Construction Co., Inc.*

 

86

 

5

 

Sun Hydraulics Corp.

 

118

 

38

 

SunPower Corp., Class A*

 

785

 

14

 

SYKES Enterprises, Inc.*

 

344

 

6

 

TAL International Group, Inc.

 

82

 

24

 

Taser International, Inc.*

 

102

 

5

 

TBS International Ltd., Class A*

 

39

 

7

 

Team, Inc.*

 

115

 

8

 

Tecumseh Products Co., Class A*

 

91

 

14

 

Teledyne Technologies, Inc.*

 

469

 

8

 

Tennant Co.

 

218

 

41

 

Terex Corp.*

 

772

 

23

 

Tetra Tech, Inc.*

 

606

 

4

 

Textainer Group Holdings Ltd.

 

64

 

105

 

Textron, Inc.

 

2,105

 

20

 

Thomas & Betts Corp.*

 

730

 

38

 

Timken Co.

 

937

 

14

 

Titan International, Inc.

 

116

 

5

 

Titan Machinery, Inc.*

 

56

 

3

 

Todd Shipyards Corp.

 

50

 

14

 

Toro Co.

 

558

 

15

 

TransDigm Group, Inc.

 

650

 

12

 

Tredegar Corp.

 

173

 

6

 

Trex Co., Inc.*

 

108

 

6

 

Trimas Corp.*

 

27

 

30

 

Trinity Industries, Inc.

 

566

 

6

 

Triumph Group, Inc.

 

288

 

17

 

TrueBlue, Inc.*

 

207

 

10

 

Tutor Perini Corp.*

 

166

 

3

 

Twin Disc, Inc.

 

28

 

65

 

UAL Corp.*

 

504

 

5

 

Ultralife Corp.*

 

18

 

9

 

Ultrapetrol Bahamas Ltd.*

 

42

 

195

 

Union Pacific Corp.

 

12,336

 

1

 

United Capital Corp.*

 

20

 

268

 

United Parcel Service, Inc., Class B

 

15,402

 

24

 

United Rentals, Inc.*

 

221

 

9

 

United Stationers, Inc.*

 

458

 

325

 

United Technologies Corp.

 

21,853

 

7

 

Universal Forest Products, Inc.

 

252

 

3

 

Universal Truckload Services, Inc.

 

46

 

32

 

URS Corp.*

 

1,330

 

62

 

US Airways Group, Inc.*

 

229

 

3

 

USA Truck, Inc.*

 

34

 

16

 

USG Corp.*

 

221

 

39

 

UTi Worldwide, Inc.

 

510

 

20

 

Valence Technology, Inc.*

 

21

 

8

 

Valmont Industries, Inc.

 

613

 

8

 

Viad Corp.

 

148

 

7

 

Vicor Corp.*

 

57

 

5

 

Volt Information Sciences, Inc.*

 

44

 

2

 

VSE Corp.

 

91

 

24

 

W.W. Grainger, Inc.

 

2,345

 

31

 

Waste Connections, Inc.*

 

1,006

 

191

 

Waste Management, Inc.

 

6,272

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

7

 

Waste Services, Inc.*

 

$

56

 

11

 

Watsco, Inc.

 

552

 

17

 

Watson Wyatt Worldwide, Inc., Class A

 

703

 

11

 

Watts Water Technologies, Inc., Class A

 

337

 

17

 

Werner Enterprises, Inc.

 

317

 

17

 

WESCO International, Inc.*

 

444

 

18

 

Westinghouse Air Brake Technologies Corp.

 

693

 

2

 

Willis Lease Finance Corp.*

 

28

 

23

 

Woodward Governor Co.

 

535

 

23

 

YRC Worldwide, Inc.*

 

26

 

 

 

 

 

491,091

 

 

 

Information Technology - 15.0%

 

 

 

 

 

 

 

 

 

151

 

3Com Corp.*

 

1,113

 

10

 

3PAR, Inc.*

 

103

 

14

 

ACI Worldwide, Inc.*

 

231

 

15

 

Acme Packet, Inc.*

 

154

 

10

 

Actel Corp.*

 

117

 

18

 

ActivIdentity Corp.*

 

38

 

217

 

Activision Blizzard, Inc.*

 

2,472

 

17

 

Actuate Corp.*

 

69

 

27

 

Acxiom Corp.*

 

312

 

48

 

Adaptec, Inc.*

 

150

 

38

 

ADC Telecommunications, Inc.*

 

233

 

204

 

Adobe Systems, Inc.*

 

7,156

 

22

 

ADTRAN, Inc.

 

465

 

17

 

Advanced Analogic Technologies, Inc.*

 

54

 

13

 

Advanced Energy Industries, Inc.*

 

142

 

217

 

Advanced Micro Devices, Inc.*

 

1,521

 

6

 

Advent Software, Inc.*

 

228

 

35

 

Affiliated Computer Services, Inc., Class A*

 

1,932

 

133

 

Agilent Technologies, Inc.*

 

3,846

 

6

 

Agilysys, Inc.

 

49

 

10

 

Airvana, Inc.*

 

61

 

67

 

Akamai Technologies, Inc.*

 

1,608

 

20

 

Alliance Data Systems Corp.*

 

1,220

 

114

 

Altera Corp.

 

2,397

 

75

 

Amdocs Ltd.*

 

1,982

 

9

 

American Software, Inc., Class A

 

55

 

43

 

Amkor Technology, Inc.*

 

239

 

67

 

Amphenol Corp., Class A

 

2,760

 

25

 

Anadigics, Inc.*

 

77

 

113

 

Analog Devices, Inc.

 

3,389

 

5

 

Anaren, Inc.*

 

69

 

12

 

Anixter International, Inc.*

 

519

 

34

 

ANSYS, Inc.*

 

1,324

 

347

 

Apple, Inc.*

 

69,369

 

517

 

Applied Materials, Inc.

 

6,364

 

25

 

Applied Micro Circuits Corp.*

 

186

 

8

 

ArcSight, Inc.*

 

182

 

34

 

Ariba, Inc.*

 

369

 

48

 

Arris Group, Inc.*

 

480

 

46

 

Arrow Electronics, Inc.*

 

1,209

 

49

 

Art Technology Group, Inc.*

 

198

 

23

 

Aruba Networks, Inc.*

 

184

 

11

 

AsiaInfo Holdings, Inc.*

 

270

 

23

 

Atheros Communications, Inc.*

 

655

 

175

 

Atmel Corp.*

 

695

 

12

 

ATMI, Inc.*

 

187

 

89

 

Autodesk, Inc.*

 

2,087

 

195

 

Automatic Data Processing, Inc.

 

8,473

 

11

 

Avid Technology, Inc.*

 

131

 

59

 

Avnet, Inc.*

 

1,608

 

17

 

Avocent Corp.*

 

425

 

19

 

AVX Corp.

 

229

 

4

 

Bel Fuse, Inc., Class B

 

71

 

25

 

Benchmark Electronics, Inc.*

 

451

 

13

 

BigBand Networks, Inc.*

 

47

 

7

 

Black Box Corp.

 

197

 

17

 

Blackbaud, Inc.

 

378

 

12

 

Blackboard, Inc.*

 

501

 

15

 

Blue Coat Systems, Inc.*

 

396

 

71

 

BMC Software, Inc.*

 

2,750

 

10

 

Bottomline Technologies, Inc.*

 

161

 

20

 

Brightpoint, Inc.*

 

144

 

191

 

Broadcom Corp., Class A*

 

5,577

 

54

 

Broadridge Financial Solutions, Inc.

 

1,187

 

163

 

Brocade Communications Systems, Inc.*

 

1,156

 

24

 

Brooks Automation, Inc.*

 

176

 

152

 

CA, Inc.

 

3,359

 

9

 

Cabot Microelectronics Corp.*

 

275

 

12

 

CACI International, Inc., Class A*

 

557

 

102

 

Cadence Design Systems, Inc.*

 

612

 

10

 

Callidus Software, Inc.*

 

28

 

3

 

Cass Information Systems, Inc.

 

84

 

14

 

Cavium Networks, Inc.*

 

282

 

7

 

Ceva, Inc.*

 

81

 

15

 

Checkpoint Systems, Inc.*

 

213

 

10

 

China Information Security Technology, Inc.*

 

60

 

17

 

China Security & Surveillance Technology, Inc.*

 

103

 

3

 

China TransInfo Technology Corp.*

 

22

 

12

 

Chordiant Software, Inc.*

 

33

 

26

 

Ciber, Inc.*

 

82

 

35

 

Ciena Corp.*

 

425

 

25

 

Cirrus Logic, Inc.*

 

136

 

2,241

 

Cisco Systems, Inc.*

 

52,439

 

70

 

Citrix Systems, Inc.*

 

2,673

 

17

 

Cogent, Inc.*

 

145

 

15

 

Cognex Corp.

 

247

 

114

 

Cognizant Technology Solutions Corp., Class A*

 

5,008

 

9

 

Cogo Group, Inc.*

 

51

 

9

 

Coherent, Inc.*

 

229

 

9

 

Cohu, Inc.

 

106

 

36

 

CommScope, Inc.*

 

905

 

3

 

Communications Systems, Inc.

 

34

 

16

 

CommVault Systems, Inc.*

 

333

 

7

 

Compellent Technologies, Inc.*

 

145

 

58

 

Computer Sciences Corp.*

 

3,208

 

5

 

Computer Task Group, Inc.*

 

31

 

94

 

Compuware Corp.*

 

652

 

9

 

comScore, Inc.*

 

144

 

11

 

Comtech Telecommunications Corp.*

 

316

 

7

 

Comverge, Inc.*

 

72

 

15

 

Concur Technologies, Inc.*

 

556

 

9

 

Constant Contact, Inc.*

 

161

 

38

 

Convergys Corp.*

 

425

 

603

 

Corning, Inc.

 

10,058

 

3

 

CPI International, Inc.*

 

29

 

14

 

Cray, Inc.*

 

98

 

40

 

Cree, Inc.*

 

1,913

 

14

 

CSG Systems International, Inc.*

 

271

 

13

 

CTS Corp.

 

121

 

26

 

Cybersource Corp.*

 

446

 

12

 

Cymer, Inc.*

 

401

 

61

 

Cypress Semiconductor Corp.*

 

584

 

13

 

Daktronics, Inc.

 

110

 

6

 

DDi Corp.*

 

23

 

15

 

DealerTrack Holdings, Inc.*

 

256

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

666

 

Dell, Inc.*

 

$

9,404

 

8

 

Deltek, Inc.*

 

61

 

8

 

DemandTec, Inc.*

 

71

 

8

 

DG FastChannel, Inc.*

 

216

 

6

 

Dice Holdings, Inc.*

 

32

 

26

 

Diebold, Inc.

 

654

 

10

 

Digi International, Inc.*

 

79

 

15

 

Digital River, Inc.*

 

378

 

12

 

Diodes, Inc.*

 

210

 

12

 

DivX, Inc.*

 

61

 

20

 

Dolby Laboratories, Inc., Class A*

 

894

 

7

 

Double-Take Software, Inc.*

 

62

 

9

 

DSP Group, Inc.*

 

57

 

15

 

DST Systems, Inc.*

 

637

 

7

 

DTS, Inc.*

 

211

 

3

 

Dynamics Research Corp.*

 

35

 

42

 

Earthlink, Inc.

 

346

 

434

 

eBay, Inc.*

 

10,620

 

2

 

Ebix, Inc.*

 

104

 

12

 

Echelon Corp.*

 

133

 

15

 

EchoStar Corp., Class A*

 

291

 

7

 

Electro Rent Corp.

 

71

 

10

 

Electro Scientific Industries, Inc.*

 

97

 

125

 

Electronic Arts, Inc.*

 

2,111

 

19

 

Electronics for Imaging, Inc.*

 

228

 

2

 

eLoyalty Corp.*

 

14

 

782

 

EMC Corp.*

 

13,161

 

29

 

Emcore Corp.*

 

26

 

6

 

EMS Technologies, Inc.*

 

77

 

32

 

Emulex Corp.*

 

312

 

51

 

Entegris, Inc.*

 

213

 

20

 

Entropic Communications, Inc.*

 

58

 

19

 

Epicor Software Corp.*

 

142

 

12

 

EPIQ Systems, Inc.*

 

155

 

1

 

ePlus, Inc.*

 

16

 

15

 

Equinix, Inc.*

 

1,443

 

19

 

Euronet Worldwide, Inc.*

 

404

 

14

 

Exar Corp.*

 

98

 

5

 

ExlService Holdings, Inc.*

 

81

 

35

 

Extreme Networks*

 

76

 

30

 

F5 Networks, Inc.*

 

1,411

 

16

 

Factset Research Systems, Inc.

 

1,158

 

19

 

Fair Isaac Corp.

 

347

 

48

 

Fairchild Semiconductor International, Inc.*

 

389

 

14

 

FalconStor Software, Inc.*

 

54

 

7

 

FARO Technologies, Inc.*

 

137

 

15

 

FEI Co.*

 

366

 

128

 

Fidelity National Information Services, Inc.

 

2,893

 

60

 

Fiserv, Inc.*

 

2,774

 

59

 

FLIR Systems, Inc.*

 

1,693

 

19

 

Formfactor, Inc.*

 

322

 

6

 

Forrester Research, Inc.*

 

150

 

23

 

Gartner, Inc.*

 

435

 

24

 

Genpact Ltd.*

 

312

 

15

 

Global Cash Access Holdings, Inc.*

 

112

 

32

 

Global Payments, Inc.

 

1,640

 

8

 

Globecomm Systems, Inc.*

 

64

 

93

 

Google, Inc., Class A*

 

54,219

 

7

 

GSE Systems, Inc.*

 

33

 

10

 

GSI Commerce, Inc.*

 

223

 

8

 

GSI Technology, Inc.*

 

37

 

15

 

Hackett Group, Inc. (The)*

 

40

 

37

 

Harmonic, Inc.*

 

187

 

51

 

Harris Corp.

 

2,239

 

23

 

Harris Stratex Networks, Inc., Class A*

 

144

 

15

 

Heartland Payment Systems, Inc.

 

160

 

33

 

Hewitt Associates, Inc., Class A*

 

1,326

 

929

 

Hewlett-Packard Co.

 

45,577

 

8

 

Hittite Microwave Corp.*

 

302

 

4

 

Hughes Communications, Inc.*

 

103

 

6

 

i2 Technologies, Inc.*

 

110

 

37

 

IAC/InterActiveCorp.*

 

720

 

4

 

ICx Technologies, Inc.*

 

20

 

9

 

iGate Corp.

 

86

 

12

 

Imation Corp.

 

105

 

3

 

Imergent, Inc.

 

18

 

11

 

Immersion Corp.*

 

44

 

33

 

Infinera Corp.*

 

272

 

14

 

infoGROUP, Inc.*

 

113

 

34

 

Informatica Corp.*

 

763

 

9

 

Information Services Group, Inc.*

 

29

 

14

 

Infospace, Inc.*

 

115

 

63

 

Ingram Micro, Inc., Class A*

 

1,070

 

8

 

Innodata Isogen, Inc.*

 

42

 

18

 

Insight Enterprises, Inc.*

 

183

 

7

 

Integral Systems, Inc.*

 

62

 

64

 

Integrated Device Technology, Inc.*

 

362

 

2,170

 

Intel Corp.

 

41,664

 

8

 

Intellon Corp.*

 

59

 

5

 

Interactive Intelligence, Inc.*

 

86

 

17

 

InterDigital, Inc.*

 

404

 

24

 

Intermec, Inc.*

 

295

 

20

 

Internap Network Services Corp.*

 

74

 

513

 

International Business Machines Corp.

 

64,818

 

28

 

International Rectifier Corp.*

 

524

 

10

 

Internet Brands, Inc., Class A*

 

69

 

14

 

Internet Capital Group, Inc.*

 

90

 

48

 

Intersil Corp., Class A

 

620

 

9

 

Intevac, Inc.*

 

112

 

125

 

Intuit, Inc.*

 

3,651

 

20

 

Ipass, Inc.*

 

23

 

9

 

IPG Photonics Corp.*

 

135

 

10

 

Isilon Systems, Inc.*

 

60

 

15

 

Itron, Inc.*

 

912

 

12

 

Ixia*

 

80

 

9

 

IXYS Corp.*

 

58

 

17

 

j2 Global Communications, Inc.*

 

338

 

73

 

Jabil Circuit, Inc.

 

972

 

33

 

Jack Henry & Associates, Inc.

 

754

 

11

 

JDA Software Group, Inc.*

 

258

 

82

 

JDS Uniphase Corp.*

 

606

 

203

 

Juniper Networks, Inc.*

 

5,304

 

9

 

Kenexa Corp.*

 

98

 

5

 

Keynote Systems, Inc.

 

53

 

66

 

KLA-Tencor Corp.

 

2,062

 

12

 

Knot, Inc. (The)*

 

114

 

26

 

Kopin Corp.*

 

112

 

27

 

Kulicke & Soffa Industries, Inc.*

 

123

 

6

 

KVH Industries, Inc.*

 

72

 

29

 

L-1 Identity Solutions, Inc.*

 

178

 

50

 

Lam Research Corp.*

 

1,700

 

45

 

Lattice Semiconductor Corp.*

 

99

 

54

 

Lawson Software, Inc.*

 

354

 

37

 

Lender Processing Services, Inc.

 

1,546

 

30

 

Lexmark International, Inc., Class A*

 

755

 

13

 

Limelight Networks, Inc.*

 

45

 

86

 

Linear Technology Corp.

 

2,319

 

22

 

Lionbridge Technologies, Inc.*

 

44

 

5

 

Liquidity Services, Inc.*

 

41

 

9

 

Littelfuse, Inc.*

 

236

 

16

 

LivePerson, Inc.*

 

101

 

3

 

LogMeIn, Inc.*

 

53

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

8

 

LoopNet, Inc.*

 

$

82

 

4

 

Loral Space & Communications, Inc.*

 

132

 

253

 

LSI Corp.*

 

1,338

 

9

 

Manhattan Associates, Inc.*

 

212

 

9

 

Mantech International Corp., Class A*

 

390

 

7

 

Marchex, Inc., Class B

 

32

 

200

 

Marvell Technology Group Ltd.*

 

3,084

 

33

 

Mastercard, Inc., Class A

 

7,948

 

119

 

Maxim Integrated Products, Inc.

 

2,094

 

7

 

MAXIMUS, Inc.

 

325

 

9

 

Maxwell Technologies, Inc.*

 

148

 

61

 

McAfee, Inc.*

 

2,327

 

6

 

Measurement Specialties, Inc.*

 

55

 

87

 

MEMC Electronic Materials, Inc.*

 

1,047

 

6

 

MEMSIC, Inc.*

 

20

 

36

 

Mentor Graphics Corp.*

 

265

 

10

 

MercadoLibre, Inc.*

 

494

 

9

 

Mercury Computer Systems, Inc.*

 

95

 

15

 

Methode Electronics, Inc.

 

119

 

18

 

Micrel, Inc.

 

129

 

71

 

Microchip Technology, Inc.

 

1,864

 

329

 

Micron Technology, Inc.*

 

2,474

 

32

 

MICROS Systems, Inc.*

 

898

 

31

 

Microsemi Corp.*

 

472

 

2,995

 

Microsoft Corp.

 

88,083

 

4

 

MicroStrategy, Inc., Class A*

 

350

 

20

 

Microtune, Inc.*

 

35

 

17

 

MIPS Technologies, Inc.*

 

64

 

19

 

MKS Instruments, Inc.*

 

288

 

18

 

ModusLink Global Solutions, Inc.*

 

145

 

51

 

Molex, Inc.

 

948

 

32

 

MoneyGram International, Inc.*

 

79

 

13

 

Monolithic Power Systems, Inc.*

 

279

 

9

 

Monotype Imaging Holdings, Inc.*

 

70

 

890

 

Motorola, Inc.

 

7,129

 

60

 

Move, Inc.*

 

92

 

7

 

MTS Systems Corp.

 

180

 

4

 

Multi-Fineline Electronix, Inc.*

 

100

 

22

 

National Instruments Corp.

 

628

 

90

 

National Semiconductor Corp.

 

1,314

 

2

 

NCI, Inc., Class A*

 

50

 

62

 

NCR Corp.*

 

583

 

15

 

Ness Technologies, Inc.*

 

76

 

13

 

Net 1 UEPS Technologies, Inc.*

 

243

 

130

 

NetApp, Inc.*

 

4,007

 

19

 

Netezza Corp.*

 

193

 

14

 

Netgear, Inc.*

 

278

 

7

 

Netlogic Microsystems, Inc.*

 

286

 

10

 

Netscout Systems, Inc.*

 

126

 

7

 

NetSuite, Inc.*

 

98

 

11

 

Network Equipment Technologies, Inc.*

 

38

 

29

 

NeuStar, Inc., Class A*

 

679

 

14

 

Newport Corp.*

 

102

 

20

 

NIC, Inc.

 

173

 

12

 

Novatel Wireless, Inc.*

 

101

 

134

 

Novell, Inc.*

 

524

 

37

 

Novellus Systems, Inc.*

 

766

 

85

 

Nuance Communications, Inc.*

 

1,291

 

2

 

NVE Corp.*

 

75

 

212

 

NVIDIA Corp.*

 

2,769

 

20

 

Omnivision Technologies, Inc.*

 

279

 

164

 

ON Semiconductor Corp.*

 

1,273

 

10

 

Online Resources Corp.*

 

55

 

1

 

OpenTable, Inc.*

 

26

 

32

 

Openwave Systems, Inc.*

 

76

 

8

 

Oplink Communications, Inc.*

 

138

 

5

 

Opnet Technologies, Inc.

 

53

 

11

 

Opnext, Inc.*

 

20

 

1,486

 

Oracle Corp.

 

32,811

 

6

 

OSI Systems, Inc.*

 

123

 

64

 

Palm, Inc.*

 

698

 

3

 

PAR Technology Corp.*

 

16

 

45

 

Parametric Technology Corp.*

 

678

 

8

 

Park Electrochemical Corp.

 

189

 

11

 

Parkervision, Inc.*

 

20

 

125

 

Paychex, Inc.

 

3,919

 

4

 

PC Connection, Inc.*

 

25

 

5

 

PC Mall, Inc.*

 

29

 

7

 

PC-Tel, Inc.*

 

40

 

5

 

Pegasystems, Inc.

 

144

 

11

 

Perficient, Inc.*

 

92

 

10

 

Pericom Semiconductor Corp.*

 

103

 

6

 

Pervasive Software, Inc.*

 

29

 

14

 

Phoenix Technologies Ltd.*

 

37

 

20

 

Photronics, Inc.*

 

81

 

19

 

Plantronics, Inc.

 

440

 

15

 

Plexus Corp.*

 

407

 

13

 

PLX Technology, Inc.*

 

40

 

86

 

PMC-Sierra, Inc.*

 

682

 

33

 

Polycom, Inc.*

 

711

 

9

 

Power Integrations, Inc.

 

302

 

51

 

Powerwave Technologies, Inc.*

 

71

 

15

 

Progress Software Corp.*

 

361

 

7

 

PROS Holdings, Inc.*

 

55

 

5

 

QAD, Inc.

 

28

 

46

 

QLogic Corp.*

 

825

 

643

 

QUALCOMM, Inc.

 

28,935

 

81

 

Quantum Corp.*

 

198

 

23

 

Quest Software, Inc.*

 

387

 

26

 

Rackspace Hosting, Inc.*

 

481

 

10

 

Radiant Systems, Inc.*

 

97

 

9

 

Radisys Corp.*

 

84

 

16

 

RAE Systems, Inc.*

 

12

 

41

 

Rambus, Inc.*

 

731

 

32

 

RealNetworks, Inc.*

 

105

 

73

 

Red Hat, Inc.*

 

1,949

 

2

 

Renaissance Learning, Inc.

 

22

 

103

 

RF Micro Devices, Inc.*

 

445

 

9

 

RightNow Technologies, Inc.*

 

127

 

4

 

Rimage Corp.*

 

65

 

21

 

Riverbed Technology, Inc.*

 

428

 

11

 

Rofin-Sinar Technologies, Inc.*

 

251

 

6

 

Rogers Corp.*

 

169

 

2

 

Rosetta Stone, Inc.*

 

35

 

40

 

Rovi Corp.*

 

1,192

 

5

 

Rubicon Technology, Inc.*

 

87

 

12

 

Rudolph Technologies, Inc.*

 

78

 

20

 

S1 Corp.*

 

119

 

9

 

Saba Software, Inc.*

 

38

 

81

 

SAIC, Inc.*

 

1,443

 

42

 

Salesforce.com, Inc.*

 

2,633

 

88

 

SanDisk Corp.*

 

1,735

 

33

 

Sapient Corp.*

 

243

 

14

 

SAVVIS, Inc.*

 

175

 

11

 

Scansource, Inc.*

 

256

 

12

 

Seachange International, Inc.*

 

67

 

191

 

Seagate Technology

 

2,890

 

9

 

Semitool, Inc.*

 

99

 

23

 

Semtech Corp.*

 

368

 

17

 

ShoreTel, Inc.*

 

87

 

11

 

Sigma Designs, Inc.*

 

128

 

12

 

Silicon Graphics International Corp.*

 

73

 

29

 

Silicon Image, Inc.*

 

64

 

17

 

Silicon Laboratories, Inc.*

 

718

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

31

 

Silicon Storage Technology, Inc.*

 

$

71

 

65

 

Skyworks Solutions, Inc.*

 

800

 

14

 

SMART Modular Technologies WWH, Inc.*

 

62

 

11

 

Smith Micro Software, Inc.*

 

70

 

12

 

Sohu.com, Inc.*

 

669

 

5

 

SolarWinds, Inc.*

 

93

 

27

 

Solera Holdings, Inc.

 

944

 

21

 

SonicWALL, Inc.*

 

164

 

80

 

Sonus Networks, Inc.*

 

174

 

9

 

Sourcefire, Inc.*

 

177

 

5

 

Spectrum Control, Inc.*

 

44

 

16

 

SRA International, Inc., Class A*

 

289

 

4

 

SRS Labs, Inc.*

 

28

 

9

 

Standard Microsystems Corp.*

 

173

 

16

 

Starent Networks Corp.*

 

552

 

4

 

StarTek, Inc.*

 

28

 

10

 

STEC, Inc.*

 

124

 

8

 

Stratasys, Inc.*

 

119

 

18

 

SuccessFactors, Inc.*

 

271

 

291

 

Sun Microsystems, Inc.*

 

2,476

 

8

 

Super Micro Computer, Inc.*

 

78

 

4

 

Supertex, Inc.*

 

96

 

18

 

support.com, Inc.*

 

43

 

8

 

Switch & Data Facilities Co., Inc.*

 

148

 

32

 

Sybase, Inc.*

 

1,288

 

75

 

Sycamore Networks, Inc.*

 

212

 

319

 

Symantec Corp.*

 

5,662

 

16

 

Symmetricom, Inc.*

 

70

 

13

 

Symyx Technologies, Inc.*

 

55

 

14

 

Synaptics, Inc.*

 

377

 

7

 

Synchronoss Technologies, Inc.*

 

94

 

7

 

SYNNEX Corp.*

 

198

 

56

 

Synopsys, Inc.*

 

1,258

 

5

 

Syntel, Inc.

 

189

 

32

 

Take-Two Interactive Software, Inc.*

 

360

 

12

 

Taleo Corp., Class A*

 

248

 

20

 

Tech Data Corp.*

 

842

 

16

 

Technitrol, Inc.

 

81

 

4

 

TechTarget, Inc.*

 

23

 

6

 

Techwell, Inc.*

 

70

 

26

 

Tekelec*

 

370

 

15

 

TeleCommunication Systems, Inc., Class A*

 

126

 

12

 

TeleTech Holdings, Inc.*

 

231

 

154

 

Tellabs, Inc.*

 

864

 

67

 

Teradata Corp.*

 

1,963

 

67

 

Teradyne, Inc.*

 

594

 

23

 

Terremark Worldwide, Inc.*

 

141

 

19

 

Tessera Technologies, Inc.*

 

450

 

495

 

Texas Instruments, Inc.

 

12,519

 

27

 

THQ, Inc.*

 

132

 

69

 

TIBCO Software, Inc.*

 

593

 

7

 

Tier Technologies, Inc., Class B*

 

54

 

41

 

TiVo, Inc.*

 

406

 

10

 

TNS, Inc.*

 

250

 

63

 

Total System Services, Inc.

 

1,089

 

2

 

Travelzoo, Inc.*

 

28

 

25

 

Trident Microsystems, Inc.*

 

47

 

46

 

Trimble Navigation Ltd.*

 

1,027

 

57

 

TriQuint Semiconductor, Inc.*

 

310

 

17

 

TTM Technologies, Inc.*

 

176

 

12

 

Tyler Technologies, Inc.*

 

240

 

9

 

Ultimate Software Group, Inc.*

 

242

 

9

 

Ultratech, Inc.*

 

119

 

6

 

Unica Corp.*

 

41

 

18

 

Unisys Corp.*

 

578

 

33

 

United Online, Inc.

 

224

 

11

 

Universal Display Corp.*

 

117

 

44

 

Utstarcom, Inc.*

 

76

 

34

 

ValueClick, Inc.*

 

321

 

28

 

Varian Semiconductor Equipment Associates, Inc.*

 

816

 

11

 

VASCO Data Security International, Inc.*

 

72

 

12

 

Veeco Instruments, Inc.*

 

328

 

28

 

VeriFone Holdings, Inc.*

 

371

 

75

 

VeriSign, Inc.*

 

1,683

 

10

 

Viasat, Inc.*

 

306

 

6

 

Virage Logic Corp.*

 

34

 

5

 

Virtusa Corp.*

 

44

 

175

 

Visa, Inc., Class A

 

14,175

 

72

 

Vishay Intertechnology, Inc.*

 

522

 

20

 

VMware, Inc., Class A*

 

840

 

6

 

Vocus, Inc.*

 

98

 

9

 

Volterra Semiconductor Corp.*

 

148

 

11

 

Web.com Group, Inc.*

 

65

 

21

 

WebMD Health Corp.*

 

762

 

17

 

Websense, Inc.*

 

267

 

86

 

Western Digital Corp.*

 

3,168

 

273

 

Western Union Co. (The)

 

5,037

 

8

 

White Electronic Designs Corp.*

 

34

 

15

 

Wright Express Corp.*

 

438

 

336

 

Xerox Corp.

 

2,587

 

107

 

Xilinx, Inc.

 

2,422

 

10

 

X-Rite, Inc.*

 

21

 

462

 

Yahoo!, Inc.*

 

6,916

 

23

 

Zebra Technologies Corp., Class A*

 

612

 

25

 

Zix Corp.*

 

40

 

21

 

Zoran Corp.*

 

192

 

5

 

Zygo Corp.*

 

33

 

 

 

 

 

843,746

 

 

 

Materials - 3.3%

 

 

 

 

 

 

 

 

 

9

 

A. Schulman, Inc.

 

147

 

6

 

A.M. Castle & Co.

 

79

 

2

 

AEP Industries, Inc.*

 

76

 

81

 

Air Products & Chemicals, Inc.

 

6,717

 

31

 

Airgas, Inc.

 

1,434

 

43

 

AK Steel Holding Corp.

 

860

 

36

 

Albemarle Corp.

 

1,215

 

378

 

Alcoa, Inc.

 

4,733

 

38

 

Allegheny Technologies, Inc.

 

1,293

 

22

 

Allied Nevada Gold Corp.*

 

286

 

9

 

AMCOL International Corp.

 

245

 

7

 

American Vanguard Corp.

 

51

 

8

 

Ampal-American Israel Corp., Class A*

 

24

 

27

 

Aptargroup, Inc.

 

975

 

10

 

Arch Chemicals, Inc.

 

268

 

29

 

Ashland, Inc.

 

1,042

 

8

 

Balchem Corp.

 

255

 

36

 

Ball Corp.

 

1,779

 

42

 

Bemis Co., Inc.

 

1,231

 

11

 

Boise, Inc.*

 

54

 

8

 

Brush Engineered Materials, Inc.*

 

142

 

15

 

Buckeye Technologies, Inc.*

 

145

 

3

 

Bway Holding Co.*

 

48

 

25

 

Cabot Corp.

 

573

 

21

 

Calgon Carbon Corp.*

 

294

 

17

 

Carpenter Technology Corp.

 

394

 

55

 

Celanese Corp., Class A

 

1,637

 

18

 

Century Aluminum Co.*

 

175

 

18

 

CF Industries Holdings, Inc.

 

1,536

 

4

 

China Green Agriculture, Inc.*

 

64

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

12

 

China Precision Steel, Inc.*

 

$

26

 

4

 

Clearwater Paper Corp.*

 

196

 

50

 

Cliffs Natural Resources, Inc.

 

2,203

 

29

 

Coeur d’Alene Mines Corp.*

 

661

 

44

 

Commercial Metals Co.

 

700

 

13

 

Compass Minerals International, Inc.

 

846

 

62

 

Crown Holdings, Inc.*

 

1,561

 

19

 

Cytec Industries, Inc.

 

646

 

4

 

Deltic Timber Corp.

 

153

 

16

 

Domtar Corp.*

 

903

 

433

 

Dow Chemical Co. (The)

 

12,029

 

351

 

E.I. du Pont de Nemours & Co.

 

12,138

 

16

 

Eagle Materials, Inc.

 

431

 

28

 

Eastman Chemical Co.

 

1,683

 

92

 

Ecolab, Inc.

 

4,132

 

17

 

Ferro Corp.

 

110

 

28

 

FMC Corp.

 

1,568

 

160

 

Freeport-McMoRan Copper & Gold, Inc.*

 

13,248

 

25

 

General Moly, Inc.*

 

56

 

7

 

General Steel Holdings, Inc.*

 

28

 

18

 

Glatfelter

 

200

 

43

 

Graphic Packaging Holding Co.*

 

116

 

13

 

Greif, Inc., Class A

 

726

 

19

 

H.B. Fuller Co.

 

387

 

3

 

Hawkins, Inc.

 

65

 

5

 

Haynes International, Inc.*

 

134

 

20

 

Headwaters, Inc.*

 

94

 

92

 

Hecla Mining Co.*

 

608

 

17

 

Horsehead Holding Corp.*

 

191

 

63

 

Huntsman Corp.

 

600

 

10

 

ICO, Inc.*

 

42

 

7

 

Innophos Holdings, Inc.

 

173

 

9

 

Innospec, Inc.

 

80

 

31

 

International Flavors & Fragrances, Inc.

 

1,262

 

168

 

International Paper Co.

 

4,276

 

16

 

Intrepid Potash, Inc.*

 

487

 

6

 

Kaiser Aluminum Corp.

 

232

 

8

 

KapStone Paper and Packaging Corp.*

 

57

 

8

 

Koppers Holdings, Inc.

 

226

 

11

 

Landec Corp.*

 

69

 

49

 

Louisiana-Pacific Corp.*

 

306

 

7

 

LSB Industries, Inc.*

 

85

 

26

 

Lubrizol Corp.

 

1,885

 

17

 

Martin Marietta Materials, Inc.

 

1,450

 

67

 

MeadWestvaco Corp.

 

1,834

 

7

 

Minerals Technologies, Inc.

 

370

 

212

 

Monsanto Co.

 

17,119

 

62

 

Mosaic Co. (The)

 

3,376

 

12

 

Myers Industries, Inc.

 

99

 

54

 

Nalco Holding Co.

 

1,321

 

5

 

Neenah Paper, Inc.

 

70

 

4

 

NewMarket Corp.

 

419

 

186

 

Newmont Mining Corp.

 

9,977

 

2

 

NL Industries, Inc.

 

14

 

122

 

Nucor Corp.

 

5,174

 

30

 

Olin Corp.

 

503

 

4

 

Olympic Steel, Inc.

 

111

 

12

 

OM Group, Inc.*

 

368

 

17

 

Omnova Solutions, Inc.*

 

113

 

65

 

Owens-Illinois, Inc.*

 

2,033

 

40

 

Packaging Corp. of America

 

797

 

51

 

Pactiv Corp.*

 

1,242

 

30

 

Paramount Gold and Silver Corp.*

 

39

 

36

 

PolyOne Corp.*

 

258

 

64

 

PPG Industries, Inc.

 

3,803

 

120

 

Praxair, Inc.

 

9,844

 

4

 

Quaker Chemical Corp.

 

78

 

25

 

Reliance Steel & Aluminum Co.

 

1,022

 

15

 

Rock-Tenn Co., Class A

 

678

 

19

 

Rockwood Holdings, Inc.*

 

428

 

14

 

Royal Gold, Inc.

 

753

 

50

 

RPM International, Inc.

 

980

 

12

 

RTI International Metals, Inc.*

 

238

 

8

 

Schnitzer Steel Industries, Inc., Class A

 

357

 

6

 

Schweitzer-Mauduit International, Inc.

 

369

 

17

 

Scotts Miracle-Gro Co. (The), Class A

 

679

 

62

 

Sealed Air Corp.

 

1,382

 

19

 

Sensient Technologies Corp.

 

481

 

11

 

ShengdaTech, Inc.*

 

70

 

48

 

Sigma-Aldrich Corp.

 

2,560

 

11

 

Silgan Holdings, Inc.

 

589

 

46

 

Solutia, Inc.*

 

495

 

39

 

Sonoco Products Co.

 

1,099

 

69

 

Southern Copper Corp.

 

2,404

 

12

 

Spartech Corp.

 

130

 

83

 

Steel Dynamics, Inc.

 

1,404

 

3

 

Stepan Co.

 

188

 

16

 

Stillwater Mining Co.*

 

152

 

3

 

Sutor Technology Group Ltd.*

 

7

 

41

 

Temple-Inland, Inc.

 

738

 

39

 

Terra Industries, Inc.

 

1,505

 

9

 

Texas Industries, Inc.

 

313

 

33

 

Titanium Metals Corp.

 

322

 

13

 

U.S. Concrete, Inc.*

 

9

 

31

 

U.S. Gold Corp.*

 

88

 

1

 

United States Lime & Minerals, Inc.*

 

34

 

55

 

United States Steel Corp.

 

2,456

 

2

 

Universal Stainless & Alloy*

 

32

 

2

 

Valhi, Inc.

 

21

 

39

 

Valspar Corp.

 

1,023

 

49

 

Vulcan Materials Co.

 

2,375

 

20

 

Walter Energy, Inc.

 

1,372

 

17

 

Wausau Paper Corp.

 

173

 

7

 

Westlake Chemical Corp.

 

183

 

82

 

Weyerhaeuser Co.

 

3,193

 

23

 

Worthington Industries, Inc.

 

269

 

28

 

WR Grace & Co.*

 

640

 

9

 

Zep, Inc.

 

159

 

10

 

Zoltek Cos., Inc.*

 

90

 

 

 

 

 

185,263

 

 

 

Telecommunication Services - 2.3%

 

 

 

 

 

 

 

 

 

5

 

AboveNet, Inc.*

 

257

 

17

 

Alaska Communications Systems Group, Inc.

 

124

 

154

 

American Tower Corp., Class A*

 

6,302

 

2,293

 

AT&T, Inc.

 

61,773

 

4

 

Atlantic Tele-Network, Inc.

 

187

 

9

 

Cbeyond, Inc.*

 

116

 

115

 

CenturyTel, Inc.

 

4,093

 

83

 

Cincinnati Bell, Inc.*

 

247

 

25

 

Clearwire Corp., Class A*

 

142

 

17

 

Cogent Communications Group, Inc.*

 

145

 

9

 

Consolidated Communications Holdings, Inc.

 

137

 

113

 

Crown Castle International Corp.*

 

4,146

 

122

 

Frontier Communications Corp.

 

964

 

16

 

General Communication, Inc., Class A*

 

97

 

11

 

Global Crossing Ltd.*

 

124

 

5

 

HickoryTech Corp.

 

41

 

10

 

Ibasis, Inc.*

 

30

 

10

 

inContact, Inc.*

 

23

 

13

 

Iowa Telecommunications Services, Inc.

 

207

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

7

 

iPCS, Inc.*

 

$

168

 

23

 

Leap Wireless International, Inc.*

 

332

 

633

 

Level 3 Communications, Inc.*

 

791

 

98

 

MetroPCS Communications, Inc.*

 

617

 

13

 

Neutral Tandem, Inc.*

 

300

 

64

 

NII Holdings, Inc.*

 

1,907

 

12

 

NTELOS Holdings Corp.

 

202

 

47

 

PAETEC Holding Corp.*

 

172

 

23

 

Premiere Global Services, Inc.*

 

174

 

572

 

Qwest Communications International, Inc.

 

2,088

 

45

 

SBA Communications Corp., Class A*

 

1,442

 

9

 

Shenandoah Telecommunications Co.

 

151

 

1,087

 

Sprint Nextel Corp.*

 

4,033

 

6

 

SureWest Communications*

 

52

 

26

 

Syniverse Holdings, Inc.*

 

412

 

35

 

Telephone & Data Systems, Inc.

 

1,067

 

58

 

tw telecom, inc.*

 

844

 

6

 

United States Cellular Corp.*

 

224

 

9

 

USA Mobility, Inc.

 

90

 

1,103

 

Verizon Communications, Inc.

 

34,700

 

173

 

Windstream Corp.

 

1,715

 

 

 

 

 

130,636

 

 

 

Utilities - 3.1%

 

 

 

 

 

 

 

 

 

259

 

AES Corp. (The)*

 

3,300

 

30

 

AGL Resources, Inc.

 

1,036

 

66

 

Allegheny Energy, Inc.

 

1,451

 

11

 

Allete, Inc.

 

368

 

43

 

Alliant Energy Corp.

 

1,182

 

92

 

Ameren Corp.

 

2,391

 

185

 

American Electric Power Co., Inc.

 

5,955

 

8

 

American States Water Co.

 

265

 

25

 

American Water Works Co., Inc.

 

556

 

52

 

Aqua America, Inc.

 

849

 

3

 

Artesian Resources Corp., Class A

 

50

 

36

 

Atmos Energy Corp.

 

986

 

21

 

Avista Corp.

 

437

 

15

 

Black Hills Corp.

 

353

 

5

 

Cadiz, Inc.*

 

65

 

7

 

California Water Service Group

 

256

 

130

 

Calpine Corp.*

 

1,446

 

151

 

Centerpoint Energy, Inc.

 

2,004

 

4

 

Central Vermont Public Service Corp.

 

78

 

6

 

CH Energy Group, Inc.

 

242

 

5

 

Chesapeake Utilities Corp.

 

157

 

23

 

Cleco Corp.

 

587

 

88

 

CMS Energy Corp.

 

1,253

 

3

 

Connecticut Water Service, Inc.

 

68

 

107

 

Consolidated Edison, Inc.

 

4,591

 

5

 

Consolidated Water Co., Ltd.

 

65

 

71

 

Constellation Energy Group, Inc.

 

2,259

 

229

 

Dominion Resources, Inc.

 

8,331

 

45

 

DPL, Inc.

 

1,209

 

63

 

DTE Energy Co.

 

2,527

 

500

 

Duke Energy Corp.

 

8,340

 

194

 

Dynegy, Inc., Class A*

 

351

 

126

 

Edison International

 

4,290

 

17

 

El Paso Electric Co.*

 

337

 

14

 

Empire District Electric Co. (The)

 

254

 

28

 

Energen Corp.

 

1,218

 

76

 

Entergy Corp.

 

5,977

 

50

 

EQT Corp.

 

2,057

 

256

 

Exelon Corp.

 

12,334

 

119

 

FirstEnergy Corp.

 

5,126

 

160

 

FPL Group, Inc.

 

8,315

 

52

 

Great Plains Energy, Inc.

 

926

 

36

 

Hawaiian Electric Industries, Inc.

 

715

 

19

 

IDACORP, Inc.

 

562

 

30

 

Integrys Energy Group, Inc.

 

1,156

 

19

 

ITC Holdings Corp.

 

845

 

9

 

Laclede Group, Inc. (The)

 

282

 

72

 

MDU Resources Group, Inc.

 

1,627

 

9

 

MGE Energy, Inc.

 

309

 

5

 

Middlesex Water Co.

 

81

 

56

 

Mirant Corp.*

 

797

 

28

 

National Fuel Gas Co.

 

1,311

 

17

 

New Jersey Resources Corp.

 

599

 

17

 

Nicor, Inc.

 

666

 

107

 

NiSource, Inc.

 

1,525

 

68

 

Northeast Utilities

 

1,639

 

11

 

Northwest Natural Gas Co.

 

472

 

14

 

NorthWestern Corp.

 

361

 

103

 

NRG Energy, Inc.*

 

2,466

 

41

 

NSTAR

 

1,358

 

91

 

NV Energy, Inc.

 

1,059

 

37

 

OGE Energy Corp.

 

1,280

 

41

 

Oneok, Inc.

 

1,641

 

7

 

Ormat Technologies, Inc.

 

288

 

2

 

Pennichuck Corp.

 

46

 

86

 

Pepco Holdings, Inc.

 

1,402

 

143

 

PG&E Corp.

 

6,055

 

28

 

Piedmont Natural Gas Co., Inc.

 

664

 

40

 

Pinnacle West Capital Corp.

 

1,404

 

34

 

PNM Resources, Inc.

 

379

 

29

 

Portland General Electric Co.

 

569

 

146

 

PPL Corp.

 

4,456

 

109

 

Progress Energy, Inc.

 

4,261

 

197

 

Public Service Enterprise Group, Inc.

 

6,178

 

68

 

Questar Corp.

 

2,697

 

137

 

RRI Energy, Inc.*

 

674

 

48

 

SCANA Corp.

 

1,690

 

95

 

Sempra Energy

 

5,048

 

5

 

SJW Corp.

 

107

 

12

 

South Jersey Industries, Inc.

 

433

 

304

 

Southern Co.

 

9,755

 

17

 

Southwest Gas Corp.

 

445

 

9

 

Southwest Water Co.

 

53

 

83

 

TECO Energy, Inc.

 

1,224

 

24

 

U.S. Geothermal, Inc.*

 

36

 

42

 

UGI Corp.

 

986

 

11

 

UIL Holdings Corp.

 

296

 

13

 

Unisource Energy Corp.

 

388

 

4

 

Unitil Corp.

 

85

 

31

 

Vectren Corp.

 

728

 

42

 

Westar Energy, Inc.

 

865

 

20

 

WGL Holdings, Inc.

 

630

 

46

 

Wisconsin Energy Corp.

 

2,075

 

177

 

Xcel Energy, Inc.

 

3,597

 

5

 

York Water Co.

 

73

 

 

 

 

 

172,180

 

 

 

Total Common Stocks
(Cost $4,542,850)

 

4,524,737

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 10.7%

 

 

 

$

16,768

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $16,768(b)

 

16,768

 

33,536

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $33,536(c)

 

33,536

 

 

See accompanying notes to the financial statements.

 


 

Principal
Amount

 

 

 

Value

 

$

100,608

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $100,609(d)

 

$

100,608

 

20,163

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $20,163(e)

 

20,163

 

35,213

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $35,213(f)

 

35,213

 

67,072

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $67,073(g)

 

67,072

 

16,768

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $16,768(h)

 

16,768

 

100,608

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $100,608(i)

 

100,608

 

83,840

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $83,840(j)

 

83,840

 

50,304

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $50,304(k)

 

50,304

 

77,409

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $77,409(l)

 

77,409

 

 

 

Total Repurchase Agreements (Cost $602,289)

 

602,289

 

 

 

Total Investment Securities
(Cost $5,145,139) — 91.3%

 

5,127,026

 

 

 

Other assets less liabilities — 8.7%

 

487,987

 

 

 

Net Assets — 100.0%

 

$

5,615,013

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $1,427,626.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $17,103. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $34,207. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $102,621. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $20,566. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $35,918. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $68,414. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $17,103. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $102,620. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $85,517. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $51,310. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $78,957. The investment in the repurchase agreement was through participation in a pooled account.

 

REIT                        Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

130,849

 

Aggregate gross unrealized depreciation

 

(150,615

)

Net unrealized depreciation

 

$

(19,766

)

Federal income tax cost of investments

 

$

5,146,792

 

 

Swap Agreements

 

Ultra Russell3000 had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 3000® Index

 

$

2,849,829

 

$

469,984

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index

 

2,411,002

 

(40,285

)

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index

 

1,437,070

 

14,484

 

 

 

 

 

 

 

 

 

 

 

$

444,183

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

4,524,737

 

$

—

 

$

4,524,737

 

Repurchase Agreements

 

—

 

602,289

 

602,289

 

Total Investment Securities

 

4,524,737

 

602,289

 

5,127,026

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

444,183

 

444,183

 

Total Other Financial Instruments

 

—

 

444,183

 

444,183

 

Total Investments

 

$

4,524,737

 

$

1,046,472

 

$

5,571,209

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra MidCap400

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 62.0%

 

 

 

 

 

Consumer Discretionary - 9.2%

 

 

 

 

 

 

 

 

 

3,672

 

99 Cents Only Stores*

 

$

44,137

 

4,407

 

Aaron’s, Inc.

 

110,483

 

7,753

 

Advance Auto Parts, Inc.

 

304,693

 

5,457

 

Aeropostale, Inc.*

 

171,895

 

16,846

 

American Eagle Outfitters, Inc.

 

259,091

 

3,203

 

American Greetings Corp., Class A

 

66,302

 

4,771

 

AnnTaylor Stores Corp.*

 

66,699

 

3,206

 

Barnes & Noble, Inc.

 

74,828

 

484

 

Blyth, Inc.

 

15,744

 

2,517

 

Bob Evans Farms, Inc.

 

63,579

 

9,476

 

BorgWarner, Inc.

 

286,270

 

4,477

 

Boyd Gaming Corp.*

 

36,577

 

8,297

 

Brinker International, Inc.

 

114,499

 

3,719

 

Brink’s Home Security Holdings, Inc.*

 

121,686

 

5,238

 

Callaway Golf Co.

 

37,556

 

5,604

 

Career Education Corp.*

 

145,872

 

17,894

 

CarMax, Inc.*

 

355,733

 

4,886

 

Cheesecake Factory, Inc. (The)*

 

92,003

 

14,448

 

Chico’s FAS, Inc.*

 

203,283

 

2,570

 

Chipotle Mexican Grill, Inc., Class A*

 

214,466

 

4,679

 

Coldwater Creek, Inc.*

 

19,839

 

5,203

 

Collective Brands, Inc.*

 

100,626

 

7,077

 

Corinthian Colleges, Inc.*

 

104,881

 

7,134

 

Dick’s Sporting Goods, Inc.*

 

148,102

 

7,261

 

Dollar Tree, Inc.*

 

355,571

 

6,127

 

DreamWorks Animation SKG, Inc., Class A*

 

205,071

 

12,707

 

Foot Locker, Inc.

 

120,589

 

3,899

 

Fossil, Inc.*

 

120,284

 

11,189

 

Gentex Corp.

 

185,961

 

4,715

 

Guess?, Inc.

 

174,691

 

7,697

 

Hanesbrands, Inc.*

 

184,805

 

3,099

 

Harte-Hanks, Inc.

 

29,781

 

2,493

 

International Speedway Corp., Class A

 

67,236

 

2,573

 

ITT Educational Services, Inc.*

 

234,092

 

4,521

 

J. Crew Group, Inc.*

 

193,454

 

3,474

 

John Wiley & Sons, Inc., Class A

 

130,101

 

4,323

 

Lamar Advertising Co., Class A*

 

119,661

 

3,353

 

Life Time Fitness, Inc.*

 

75,778

 

11,434

 

LKQ Corp.*

 

199,295

 

3,953

 

Marvel Entertainment, Inc.*

 

205,754

 

2,465

 

Matthews International Corp., Class A

 

85,388

 

3,053

 

MDC Holdings, Inc.

 

90,644

 

4,559

 

Mohawk Industries, Inc.*

 

187,284

 

3,685

 

NetFlix, Inc.*

 

216,052

 

472

 

NVR, Inc.*

 

317,727

 

2,535

 

Panera Bread Co., Class A*

 

159,604

 

10,155

 

PetSmart, Inc.

 

261,390

 

4,195

 

Phillips-Van Heusen Corp.

 

167,800

 

4,638

 

Regis Corp.

 

72,631

 

5,366

 

Rent-A-Center, Inc.*

 

94,924

 

10,161

 

Ross Stores, Inc.

 

446,881

 

3,558

 

Ryland Group, Inc.

 

65,147

 

12,953

 

Saks, Inc.*

 

79,143

 

2,070

 

Scholastic Corp.

 

52,185

 

5,273

 

Scientific Games Corp., Class A*

 

74,613

 

20,390

 

Service Corp. International

 

157,411

 

5,434

 

Sotheby’s

 

103,083

 

1,137

 

Strayer Education, Inc.

 

224,557

 

2,883

 

Thor Industries, Inc.

 

82,021

 

3,646

 

Timberland Co. (The), Class A*

 

60,888

 

11,137

 

Toll Brothers, Inc.*

 

217,060

 

5,116

 

Tupperware Brands Corp.

 

238,150

 

3,046

 

Under Armour, Inc., Class A*

 

77,978

 

10,527

 

Urban Outfitters, Inc.*

 

333,074

 

3,690

 

Warnaco Group, Inc. (The)*

 

150,220

 

29,839

 

Wendy’s/Arby’s Group, Inc., Class A

 

122,340

 

8,588

 

Williams-Sonoma, Inc.

 

174,508

 

4,291

 

WMS Industries, Inc.*

 

166,834

 

 

 

 

 

10,240,505

 

 

 

Consumer Staples - 2.3%

 

 

 

 

 

 

 

 

 

6,937

 

Alberto-Culver Co.

 

195,277

 

4,508

 

BJ’s Wholesale Club, Inc.*

 

156,473

 

5,710

 

Church & Dwight Co., Inc.

 

337,118

 

6,063

 

Corn Products International, Inc.

 

170,006

 

5,637

 

Energizer Holdings, Inc.*

 

317,589

 

6,295

 

Flowers Foods, Inc.

 

144,093

 

5,889

 

Hansen Natural Corp.*

 

205,938

 

1,575

 

Lancaster Colony Corp.

 

75,159

 

5,025

 

NBTY, Inc.*

 

201,703

 

4,552

 

PepsiAmericas, Inc.

 

134,739

 

4,599

 

Ralcorp Holdings, Inc.*

 

266,374

 

3,311

 

Ruddick Corp.

 

88,139

 

11,440

 

Smithfield Foods, Inc.*

 

177,091

 

2,139

 

Tootsie Roll Industries, Inc.

 

54,373

 

2,016

 

Universal Corp.

 

86,507

 

 

 

 

 

2,610,579

 

 

 

Energy - 4.0%

 

 

 

 

 

 

 

 

 

13,199

 

Arch Coal, Inc.

 

275,331

 

3,138

 

Bill Barrett Corp.*

 

89,590

 

6,775

 

Cimarex Energy Co.

 

317,341

 

3,787

 

Comstock Resources, Inc.*

 

140,611

 

4,512

 

Encore Acquisition Co.*

 

203,130

 

5,075

 

Exterran Holdings, Inc.*

 

106,321

 

9,118

 

Forest Oil Corp.*

 

167,042

 

8,503

 

Frontier Oil Corp.

 

98,040

 

7,393

 

Helix Energy Solutions Group, Inc.*

 

86,942

 

8,566

 

Helmerich & Payne, Inc.

 

321,653

 

8,273

 

Mariner Energy, Inc.*

 

103,495

 

10,776

 

Newfield Exploration Co.*

 

455,609

 

4,458

 

Oceaneering International, Inc.*

 

243,541

 

1,899

 

Overseas Shipholding Group, Inc.

 

72,751

 

6,089

 

Patriot Coal Corp.*

 

74,590

 

12,479

 

Patterson-UTI Energy, Inc.

 

192,052

 

11,311

 

Plains Exploration & Production Co.*

 

307,772

 

14,102

 

Pride International, Inc.*

 

446,046

 

9,621

 

Quicksilver Resources, Inc.*

 

128,056

 

10,078

 

Southern Union Co.

 

208,816

 

6,350

 

Superior Energy Services, Inc.*

 

134,239

 

4,200

 

Tidewater, Inc.

 

188,790

 

3,280

 

Unit Corp.*

 

123,361

 

 

 

 

 

4,485,119

 

 

 

Financials - 11.6%

 

 

 

 

 

 

 

 

 

3,385

 

Affiliated Managers Group, Inc.*

 

220,736

 

3,527

 

Alexandria Real Estate Equities, Inc. (REIT)

 

198,817

 

11,880

 

AMB Property Corp. (REIT)

 

279,774

 

6,411

 

American Financial Group, Inc./OH

 

155,531

 

7,796

 

AmeriCredit Corp.*

 

143,836

 

13,299

 

Apollo Investment Corp.

 

127,936

 

8,220

 

Arthur J. Gallagher & Co.

 

184,128

 

10,386

 

Associated Banc-Corp

 

117,777

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,621

 

Astoria Financial Corp.

 

$

68,726

 

5,962

 

BancorpSouth, Inc.

 

138,318

 

3,890

 

Bank of Hawaii Corp.

 

177,773

 

4,290

 

BRE Properties, Inc. (REIT)

 

134,406

 

9,540

 

Brown & Brown, Inc.

 

170,289

 

5,209

 

Camden Property Trust (REIT)

 

201,849

 

4,646

 

Cathay General Bancorp

 

36,285

 

3,512

 

City National Corp./CA

 

138,584

 

5,929

 

Commerce Bancshares, Inc./MO

 

238,346

 

4,713

 

Corporate Office Properties Trust (REIT)

 

161,137

 

7,551

 

Cousins Properties, Inc. (REIT)

 

54,367

 

4,849

 

Cullen/Frost Bankers, Inc.

 

232,849

 

18,193

 

Duke Realty Corp. (REIT)

 

203,944

 

9,541

 

Eaton Vance Corp.

 

287,566

 

2,664

 

Equity One, Inc. (REIT)

 

43,024

 

2,291

 

Essex Property Trust, Inc. (REIT)

 

182,707

 

4,944

 

Everest Re Group Ltd.

 

420,784

 

4,970

 

Federal Realty Investment Trust (REIT)

 

319,670

 

18,734

 

Fidelity National Financial, Inc., Class A

 

260,215

 

8,147

 

First American Corp.

 

258,423

 

14,876

 

First Niagara Financial Group, Inc.

 

196,214

 

6,977

 

FirstMerit Corp.

 

146,168

 

14,301

 

Fulton Financial Corp.

 

123,275

 

4,132

 

Hanover Insurance Group, Inc. (The)

 

172,015

 

9,123

 

HCC Insurance Holdings, Inc.

 

238,384

 

5,757

 

Highwoods Properties, Inc. (REIT)

 

176,222

 

3,182

 

Horace Mann Educators Corp.

 

38,248

 

9,921

 

Hospitality Properties Trust (REIT)

 

192,567

 

4,212

 

International Bancshares Corp.

 

70,635

 

9,952

 

Jefferies Group, Inc.*

 

233,374

 

3,394

 

Jones Lang LaSalle, Inc.

 

172,653

 

9,070

 

Liberty Property Trust (REIT)

 

268,835

 

7,538

 

Macerich Co. (The) (REIT)

 

224,331

 

6,364

 

Mack-Cali Realty Corp. (REIT)

 

195,311

 

2,891

 

Mercury General Corp.

 

106,794

 

8,135

 

MSCI, Inc., Class A*

 

247,873

 

9,114

 

Nationwide Health Properties, Inc. (REIT)

 

309,967

 

28,428

 

New York Community Bancorp, Inc.

 

332,323

 

8,675

 

NewAlliance Bancshares, Inc.

 

102,191

 

19,543

 

Old Republic International Corp.

 

207,938

 

6,765

 

Omega Healthcare Investors, Inc. (REIT)

 

122,379

 

2,418

 

PacWest Bancorp

 

44,491

 

3,230

 

Potlatch Corp. (REIT)

 

95,091

 

6,952

 

Protective Life Corp.

 

114,986

 

8,024

 

Raymond James Financial, Inc.

 

194,903

 

6,432

 

Rayonier, Inc. (REIT)

 

255,608

 

8,471

 

Realty Income Corp. (REIT)

 

214,232

 

6,521

 

Regency Centers Corp. (REIT)

 

218,258

 

5,911

 

Reinsurance Group of America, Inc.

 

274,861

 

10,552

 

SEI Investments Co.

 

184,766

 

6,242

 

SL Green Realty Corp. (REIT)

 

277,270

 

3,992

 

StanCorp Financial Group, Inc.

 

148,143

 

3,327

 

SVB Financial Group*

 

125,960

 

39,022

 

Synovus Financial Corp.

 

76,093

 

9,075

 

TCF Financial Corp.

 

119,245

 

4,152

 

Trustmark Corp.

 

79,552

 

12,230

 

UDR, Inc. (REIT)

 

183,083

 

4,055

 

Unitrin, Inc.

 

90,467

 

11,617

 

Valley National Bancorp

 

153,577

 

10,923

 

W. R. Berkley Corp.

 

269,907

 

6,976

 

Waddell & Reed Financial, Inc., Class A

 

203,211

 

8,858

 

Washington Federal, Inc.

 

168,745

 

5,209

 

Webster Financial Corp.

 

66,311

 

8,465

 

Weingarten Realty Investors (REIT)

 

164,306

 

2,372

 

Westamerica Bancorp.

 

126,190

 

5,630

 

Wilmington Trust Corp.

 

69,080

 

 

 

 

 

12,953,830

 

 

 

Health Care - 7.5%

 

 

 

 

 

 

 

 

 

5,736

 

Affymetrix, Inc.*

 

27,189

 

5,568

 

Beckman Coulter, Inc.

 

361,697

 

1,560

 

Bio-Rad Laboratories, Inc., Class A*

 

150,836

 

5,465

 

Cerner Corp.*

 

411,460

 

5,353

 

Charles River Laboratories International, Inc.*

 

172,099

 

7,532

 

Community Health Systems, Inc.*

 

229,801

 

5,196

 

Covance, Inc.*

 

275,960

 

4,582

 

Edwards Lifesciences Corp.*

 

377,007

 

9,518

 

Endo Pharmaceuticals Holdings, Inc.*

 

209,681

 

4,090

 

Gen-Probe, Inc.*

 

170,512

 

20,035

 

Health Management Associates, Inc., Class A*

 

122,814

 

8,435

 

Health Net, Inc.*

 

178,991

 

7,327

 

Henry Schein, Inc.*

 

363,859

 

5,088

 

Hill-Rom Holdings, Inc.

 

112,852

 

20,847

 

Hologic, Inc.*

 

301,656

 

4,760

 

IDEXX Laboratories, Inc.*

 

238,238

 

5,726

 

Immucor, Inc.*

 

105,645

 

3,171

 

Kindred Healthcare, Inc.*

 

47,121

 

5,023

 

Kinetic Concepts, Inc.*

 

169,325

 

4,451

 

LifePoint Hospitals, Inc.*

 

129,212

 

5,513

 

Lincare Holdings, Inc.*

 

195,822

 

4,211

 

Masimo Corp.*

 

111,002

 

4,668

 

Medicis Pharmaceutical Corp., Class A

 

110,118

 

2,739

 

Mettler-Toledo International, Inc.*

 

272,476

 

9,695

 

Omnicare, Inc.

 

224,730

 

4,713

 

OSI Pharmaceuticals, Inc.*

 

156,990

 

3,394

 

Owens & Minor, Inc.

 

131,653

 

6,444

 

Perrigo Co.

 

258,662

 

9,598

 

Pharmaceutical Product Development, Inc.

 

205,781

 

4,569

 

Psychiatric Solutions, Inc.*

 

101,249

 

6,136

 

ResMed, Inc.*

 

308,457

 

4,760

 

STERIS Corp.

 

153,796

 

3,026

 

Techne Corp.

 

205,405

 

3,228

 

Teleflex, Inc.

 

168,146

 

4,596

 

Thoratec Corp.*

 

136,915

 

3,800

 

United Therapeutics Corp.*

 

173,242

 

3,989

 

Universal Health Services, Inc., Class B

 

222,945

 

5,477

 

Valeant Pharmaceuticals International*

 

179,043

 

2,347

 

Varian, Inc.*

 

120,143

 

6,898

 

VCA Antech, Inc.*

 

156,378

 

14,674

 

Vertex Pharmaceuticals, Inc.*

 

569,645

 

3,428

 

WellCare Health Plans, Inc.*

 

113,090

 

 

 

 

 

8,431,643

 

 

 

Industrials - 9.4%

 

 

 

 

 

 

 

 

 

8,961

 

Aecom Technology Corp.*

 

227,609

 

7,510

 

AGCO Corp.*

 

227,628

 

10,560

 

AirTran Holdings, Inc.*

 

43,507

 

2,853

 

Alaska Air Group, Inc.*

 

85,305

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,333

 

Alexander & Baldwin, Inc.

 

$

101,823

 

2,674

 

Alliant Techsystems, Inc.*

 

229,215

 

8,733

 

AMETEK, Inc.

 

319,278

 

8,216

 

BE Aerospace, Inc.*

 

158,322

 

3,888

 

Brink’s Co. (The)

 

87,402

 

6,102

 

Bucyrus International, Inc.

 

316,023

 

4,975

 

Carlisle Cos., Inc.

 

159,747

 

1,853

 

Clean Harbors, Inc.*

 

99,173

 

3,983

 

Con-way, Inc.

 

120,685

 

5,466

 

Copart, Inc.*

 

177,208

 

2,772

 

Corporate Executive Board Co. (The)

 

58,101

 

9,357

 

Corrections Corp. of America*

 

233,831

 

3,800

 

Crane Co.

 

106,210

 

4,154

 

Deluxe Corp.

 

53,587

 

6,270

 

Donaldson Co., Inc.

 

266,475

 

3,168

 

Dycom Industries, Inc.*

 

24,679

 

3,961

 

Federal Signal Corp.

 

22,696

 

4,202

 

FTI Consulting, Inc.*

 

194,384

 

3,737

 

GATX Corp.

 

107,887

 

4,868

 

Graco, Inc.

 

137,132

 

2,734

 

Granite Construction, Inc.

 

81,938

 

6,523

 

Harsco Corp.

 

202,409

 

4,539

 

Herman Miller, Inc.

 

68,947

 

3,654

 

HNI Corp.

 

92,337

 

4,580

 

Hubbell, Inc., Class B

 

207,978

 

6,556

 

IDEX Corp.

 

194,254

 

7,109

 

J.B. Hunt Transport Services, Inc.

 

226,493

 

17,415

 

JetBlue Airways Corp.*

 

95,957

 

8,313

 

Joy Global, Inc.

 

445,078

 

7,706

 

Kansas City Southern*

 

220,623

 

13,030

 

KBR, Inc.

 

242,749

 

2,157

 

Kelly Services, Inc., Class A*

 

22,627

 

6,603

 

Kennametal, Inc.

 

148,567

 

4,368

 

Kirby Corp.*

 

145,673

 

3,709

 

Korn/Ferry International*

 

60,160

 

4,168

 

Landstar System, Inc.

 

155,550

 

3,943

 

Lennox International, Inc.

 

146,364

 

3,454

 

Lincoln Electric Holdings, Inc.

 

177,466

 

6,368

 

Manpower, Inc.

 

313,688

 

2,454

 

Mine Safety Appliances Co.

 

60,712

 

7,566

 

MPS Group, Inc.*

 

103,276

 

3,560

 

MSC Industrial Direct Co., Class A

 

163,404

 

3,935

 

Navigant Consulting, Inc.*

 

52,139

 

2,729

 

Nordson Corp.

 

146,302

 

7,261

 

Oshkosh Corp.

 

288,480

 

7,987

 

Pentair, Inc.

 

240,409

 

3,545

 

Rollins, Inc.

 

62,995

 

7,379

 

Roper Industries, Inc.

 

384,003

 

6,790

 

Shaw Group, Inc. (The)*

 

193,719

 

3,988

 

SPX Corp.

 

212,520

 

8,774

 

Terex Corp.*

 

165,214

 

4,293

 

Thomas & Betts Corp.*

 

156,694

 

6,448

 

Timken Co.

 

159,072

 

6,440

 

Trinity Industries, Inc.

 

121,523

 

4,884

 

United Rentals, Inc.*

 

45,030

 

6,849

 

URS Corp.*

 

284,576

 

1,622

 

Valmont Industries, Inc.

 

124,310

 

6,507

 

Waste Connections, Inc.*

 

211,152

 

3,467

 

Watson Wyatt Worldwide, Inc., Class A

 

143,326

 

3,554

 

Werner Enterprises, Inc.

 

66,318

 

3,864

 

Westinghouse Air Brake Technologies Corp.

 

148,764

 

4,581

 

Woodward Governor Co.

 

106,554

 

 

 

 

 

10,447,257

 

 

 

Information Technology - 9.3%

 

 

 

 

 

 

 

 

 

31,767

 

3Com Corp.*

 

234,123

 

2,763

 

ACI Worldwide, Inc.*

 

45,534

 

6,409

 

Acxiom Corp.*

 

73,960

 

7,848

 

ADC Telecommunications, Inc.*

 

48,108

 

4,539

 

ADTRAN, Inc.

 

95,909

 

1,264

 

Advent Software, Inc.*

 

47,931

 

4,316

 

Alliance Data Systems Corp.*

 

263,233

 

7,156

 

ANSYS, Inc.*

 

278,655

 

9,717

 

Arrow Electronics, Inc.*

 

255,363

 

36,646

 

Atmel Corp.*

 

145,485

 

12,272

 

Avnet, Inc.*

 

334,412

 

3,602

 

Avocent Corp.*

 

89,978

 

11,315

 

Broadridge Financial Solutions, Inc.

 

248,704

 

21,640

 

Cadence Design Systems, Inc.*

 

129,840

 

7,603

 

CommScope, Inc.*

 

191,063

 

8,186

 

Cree, Inc.*

 

391,536

 

5,383

 

Diebold, Inc.

 

135,329

 

3,133

 

Digital River, Inc.*

 

79,046

 

3,191

 

DST Systems, Inc.*

 

135,554

 

3,136

 

Equinix, Inc.*

 

301,652

 

6,396

 

F5 Networks, Inc.*

 

300,804

 

3,408

 

Factset Research Systems, Inc.

 

246,569

 

3,968

 

Fair Isaac Corp.

 

72,416

 

10,065

 

Fairchild Semiconductor International, Inc.*

 

81,526

 

4,855

 

Gartner, Inc.*

 

91,857

 

6,543

 

Global Payments, Inc.

 

335,394

 

6,729

 

Hewitt Associates, Inc., Class A*

 

270,371

 

2,443

 

Imation Corp.

 

21,425

 

7,179

 

Informatica Corp.*

 

161,168

 

13,244

 

Ingram Micro, Inc., Class A*

 

225,016

 

13,449

 

Integrated Device Technology, Inc.*

 

76,121

 

5,784

 

International Rectifier Corp.*

 

108,276

 

9,933

 

Intersil Corp., Class A

 

128,334

 

3,249

 

Itron, Inc.*

 

197,507

 

6,840

 

Jack Henry & Associates, Inc.

 

156,294

 

10,287

 

Lam Research Corp.*

 

349,655

 

7,809

 

Lender Processing Services, Inc.

 

326,260

 

1,793

 

Mantech International Corp., Class A*

 

77,601

 

7,972

 

Mentor Graphics Corp.*

 

58,754

 

6,496

 

MICROS Systems, Inc.*

 

182,278

 

4,604

 

National Instruments Corp.

 

131,352

 

12,907

 

NCR Corp.*

 

121,455

 

6,039

 

NeuStar, Inc., Class A*

 

141,313

 

13,012

 

Palm, Inc.*

 

141,961

 

9,438

 

Parametric Technology Corp.*

 

142,136

 

3,971

 

Plantronics, Inc.

 

91,929

 

6,829

 

Polycom, Inc.*

 

147,233

 

4,945

 

Quest Software, Inc.*

 

83,224

 

21,697

 

RF Micro Devices, Inc.*

 

93,731

 

8,261

 

Rovi Corp.*

 

246,260

 

17,041

 

SAIC, Inc.*

 

303,671

 

4,991

 

Semtech Corp.*

 

79,956

 

3,645

 

Silicon Laboratories, Inc.*

 

153,928

 

5,652

 

Solera Holdings, Inc.

 

197,594

 

3,473

 

SRA International, Inc., Class A*

 

62,688

 

6,574

 

Sybase, Inc.*

 

264,538

 

11,839

 

Synopsys, Inc.*

 

266,022

 

4,085

 

Tech Data Corp.*

 

172,019

 

9,733

 

Trimble Navigation Ltd.*

 

217,338

 

7,080

 

ValueClick, Inc.*

 

66,764

 

15,162

 

Vishay Intertechnology, Inc.*

 

109,924

 

4,801

 

Zebra Technologies Corp., Class A*

 

127,755

 

 

 

 

 

10,355,832

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Materials - 4.3%

 

 

 

 

 

 

 

 

 

7,436

 

Albemarle Corp.

 

$

250,965

 

5,498

 

Aptargroup, Inc.

 

198,588

 

6,047

 

Ashland, Inc.

 

217,269

 

5,312

 

Cabot Corp.

 

121,804

 

3,576

 

Carpenter Technology Corp.

 

82,892

 

10,641

 

Cliffs Natural Resources, Inc.

 

468,842

 

9,142

 

Commercial Metals Co.

 

145,358

 

3,938

 

Cytec Industries, Inc.

 

133,813

 

2,779

 

Greif, Inc., Class A

 

155,235

 

9,892

 

Louisiana-Pacific Corp.*

 

61,726

 

5,493

 

Lubrizol Corp.

 

398,352

 

3,619

 

Martin Marietta Materials, Inc.

 

308,665

 

1,521

 

Minerals Technologies, Inc.

 

80,370

 

6,355

 

Olin Corp.

 

106,573

 

8,363

 

Packaging Corp. of America

 

166,591

 

5,194

 

Reliance Steel & Aluminum Co.

 

212,331

 

10,473

 

RPM International, Inc.

 

205,271

 

3,632

 

Scotts Miracle-Gro Co. (The), Class A

 

145,026

 

3,963

 

Sensient Technologies Corp.

 

100,422

 

8,115

 

Sonoco Products Co.

 

228,681

 

17,478

 

Steel Dynamics, Inc.

 

295,728

 

8,653

 

Temple-Inland, Inc.

 

155,667

 

8,106

 

Terra Industries, Inc.

 

312,729

 

8,190

 

Valspar Corp.

 

214,742

 

4,948

 

Worthington Industries, Inc.

 

57,941

 

 

 

 

 

4,825,581

 

 

 

Telecommunication Services - 0.3%

 

 

 

 

 

 

 

 

 

17,218

 

Cincinnati Bell, Inc.*

 

51,310

 

5,586

 

Syniverse Holdings, Inc.*

 

88,594

 

7,709

 

Telephone & Data Systems, Inc.

 

235,047

 

 

 

 

 

374,951

 

 

 

Utilities - 4.1%

 

 

 

 

 

 

 

 

 

6,277

 

AGL Resources, Inc.

 

216,870

 

8,986

 

Alliant Energy Corp.

 

246,935

 

11,040

 

Aqua America, Inc.

 

180,173

 

7,496

 

Atmos Energy Corp.

 

205,316

 

3,156

 

Black Hills Corp.

 

74,387

 

4,913

 

Cleco Corp.

 

125,380

 

9,420

 

DPL, Inc.

 

253,021

 

5,826

 

Energen Corp.

 

253,431

 

10,982

 

Great Plains Energy, Inc.

 

195,480

 

7,437

 

Hawaiian Electric Industries, Inc.

 

147,699

 

3,839

 

IDACORP, Inc.

 

113,519

 

14,952

 

MDU Resources Group, Inc.

 

337,915

 

6,518

 

National Fuel Gas Co.

 

305,238

 

8,677

 

NSTAR

 

287,469

 

19,059

 

NV Energy, Inc.

 

221,847

 

7,845

 

OGE Energy Corp.

 

271,437

 

8,561

 

Oneok, Inc.

 

342,611

 

7,040

 

PNM Resources, Inc.

 

78,426

 

8,806

 

UGI Corp.

 

206,765

 

6,588

 

Vectren Corp.

 

154,752

 

8,843

 

Westar Energy, Inc.

 

182,077

 

4,073

 

WGL Holdings, Inc.

 

128,218

 

 

 

 

 

4,528,966

 

 

 

Total Common Stocks
(Cost $46,918,592)

 

69,254,263

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 21.9%

 

 

 

$

681,459

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $681,462(b)

 

681,459

 

1,362,918

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $1,362,924(c)

 

1,362,918

 

4,088,754

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $4,088,802 (d)

 

4,088,754

 

819,450

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $819,453 (e)

 

819,450

 

1,431,064

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $1,431,070 (f)

 

1,431,064

 

2,725,836

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $2,725,894 (g)

 

2,725,836

 

681,459

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $681,462 (h)

 

681,459

 

4,088,754

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $4,088,772 (i)

 

4,088,754

 

3,407,295

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,407,310 (j)

 

3,407,295

 

2,044,377

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $2,044,386(k)

 

2,044,377

 

3,145,846

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,145,860(l)

 

3,145,846

 

 

 

Total Repurchase Agreements
(Cost $24,477,212)

 

24,477,212

 

 

 

Total Investment Securities
(Cost $71,395,804) — 83.9%

 

93,731,475

 

 

 

Other assets less liabilities — 16.1%

 

17,995,666

 

 

 

Net Assets — 100.0%

 

$

111,727,141

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $40,752,991.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $695,088. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $1,390,176. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $4,170,543. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $835,840. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $1,459,696. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $2,780,358. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $695,089. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $4,170,534. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $3,475,449. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $2,085,271. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $3,208,767. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

6,767,721

 

Aggregate gross unrealized depreciation

 

(585,235

)

Net unrealized appreciation

 

$

6,182,486

 

Federal income tax cost of investments

 

$

87,548,989

 

 

Futures Contracts Purchased

 

Ultra MidCap400 had the following open long futures contracts as of November 30, 2009:

 

 

 

Number of

 

Expiration

 

Notional Amount

 

Unrealized

 

 

 

Contracts

 

Date

 

at Value

 

Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P MidCap 400 Futures Contracts

 

281

 

12/18/09

 

$

19,231,640

 

$

73,552

 

 

Cash collateral in the amount of $1,823,542 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

 

Swap Agreements

 

Ultra MidCap400 had the following open swap agreements as of November 30, 2009:

 

 

 

 

 

Unrealized

 

 

 

Notional Amount

 

Appreciation/

 

 

 

at Value

 

(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P MidCap 400™ Index

 

$

23,151,383

 

$

(859,957

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400™ Index

 

26,236,647

 

(1,245,991

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400™ Index

 

63,718,634

 

16,593,293

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400™ Index

 

21,880,136

 

1,907,009

 

 

 

 

 

 

 

 

 

 

 

$

16,394,354

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

69,254,263

 

$

—

 

$

69,254,263

 

Repurchase Agreements

 

—

 

24,477,212

 

24,477,212

 

Total Investment Securities

 

69,254,263

 

24,477,212

 

93,731,475

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Futures Contracts

 

73,552

 

—

 

73,552

 

Swap Agreements

 

—

 

16,394,354

 

16,394,354

 

Total Other Financial Instruments

 

73,552

 

16,394,354

 

16,467,906

 

Total Investments

 

$

69,327,815

 

$

40,871,566

 

$

110,199,381

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra SmallCap600

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 78.6%

 

 

 

 

 

Consumer Discretionary - 11.5%

 

 

 

 

 

 

 

 

 

1,739

 

American Public Education, Inc.*

 

$

55,700

 

2,525

 

Arbitron, Inc.

 

54,363

 

1,167

 

Arctic Cat, Inc.*

 

7,877

 

1,767

 

Audiovox Corp., Class A*

 

13,023

 

2,052

 

Big 5 Sporting Goods Corp.

 

33,530

 

2,009

 

BJ’s Restaurants, Inc.*

 

34,294

 

1,391

 

Blue Nile, Inc.*

 

77,744

 

4,091

 

Brown Shoe Co., Inc.

 

41,974

 

8,422

 

Brunswick Corp.

 

84,557

 

2,430

 

Buckle, Inc. (The)

 

66,436

 

1,716

 

Buffalo Wild Wings, Inc.*

 

68,537

 

3,838

 

Cabela’s, Inc.*

 

46,286

 

2,305

 

California Pizza Kitchen, Inc.*

 

28,951

 

1,390

 

Capella Education Co.*

 

99,079

 

5,416

 

Carter’s, Inc.*

 

117,798

 

2,821

 

Cato Corp. (The), Class A

 

53,966

 

2,202

 

CEC Entertainment, Inc.*

 

64,210

 

2,609

 

Children’s Place Retail Stores, Inc. (The)*

 

83,279

 

3,424

 

Christopher & Banks Corp.

 

19,551

 

5,211

 

CKE Restaurants, Inc.

 

43,981

 

2,911

 

Coinstar, Inc.*

 

77,986

 

2,159

 

Cracker Barrel Old Country Store, Inc.

 

81,092

 

8,188

 

CROCS, Inc.*

 

39,876

 

1,253

 

Deckers Outdoor Corp.*

 

116,065

 

1,441

 

DineEquity, Inc.*

 

30,708

 

5,121

 

Dress Barn, Inc.*

 

109,948

 

1,772

 

Drew Industries, Inc.*

 

34,288

 

2,751

 

E.W. Scripps Co. (The), Class A*

 

17,331

 

2,484

 

Ethan Allen Interiors, Inc.

 

28,839

 

5,242

 

Finish Line (The), Class A

 

46,392

 

3,819

 

Fred’s, Inc., Class A

 

37,312

 

2,160

 

Genesco, Inc.*

 

56,462

 

2,308

 

Group 1 Automotive, Inc.*

 

58,254

 

2,849

 

Gymboree Corp.*

 

113,732

 

1,776

 

Haverty Furniture Cos., Inc.

 

21,223

 

2,870

 

Helen of Troy Ltd.*

 

58,978

 

2,731

 

Hibbett Sports, Inc.*

 

51,643

 

5,897

 

Hillenbrand, Inc.

 

107,916

 

4,203

 

HOT Topic, Inc.*

 

24,125

 

3,762

 

HSN, Inc.*

 

67,415

 

6,801

 

Iconix Brand Group, Inc.*

 

76,579

 

3,762

 

Interval Leisure Group, Inc.*

 

43,037

 

5,459

 

Jack in the Box, Inc.*

 

101,920

 

2,663

 

Jakks Pacific, Inc.*

 

32,116

 

2,531

 

Jo-Ann Stores, Inc.*

 

84,434

 

1,745

 

JoS. A. Bank Clothiers, Inc.*

 

71,213

 

1,620

 

Kid Brands, Inc.*

 

7,047

 

2,566

 

K-Swiss, Inc., Class A

 

22,401

 

770

 

Landry’s Restaurants, Inc.*

 

16,370

 

4,914

 

La-Z-Boy, Inc.*

 

46,929

 

1,520

 

Lithia Motors, Inc., Class A*

 

11,035

 

7,977

 

Live Nation, Inc.*

 

57,116

 

9,075

 

Liz Claiborne, Inc.*

 

37,843

 

1,466

 

Lumber Liquidators, Inc.*

 

34,627

 

1,765

 

M/I Homes, Inc.*

 

19,344

 

1,867

 

Maidenform Brands, Inc.*

 

27,053

 

1,996

 

Marcus Corp.

 

24,730

 

2,034

 

MarineMax, Inc.*

 

14,238

 

4,976

 

Men’s Wearhouse, Inc. (The)

 

101,510

 

3,026

 

Meritage Homes Corp.*

 

53,954

 

1,359

 

Midas, Inc.*

 

9,907

 

1,074

 

Monarch Casino & Resort, Inc.*

 

8,034

 

1,857

 

Monro Muffler Brake, Inc.

 

55,673

 

1,700

 

Movado Group, Inc.

 

17,493

 

2,581

 

Multimedia Games, Inc.*

 

14,170

 

457

 

National Presto Industries, Inc.

 

42,579

 

1,961

 

Nautilus, Inc.*

 

3,785

 

2,949

 

NutriSystem, Inc.

 

72,841

 

1,784

 

O’Charleys, Inc.*

 

11,453

 

7,278

 

OfficeMax, Inc.*

 

77,001

 

1,323

 

Oxford Industries, Inc.

 

28,378

 

2,230

 

P.F. Chang’s China Bistro, Inc.*

 

72,743

 

2,085

 

Papa John’s International, Inc.*

 

46,120

 

1,239

 

Peet’s Coffee & Tea, Inc.*

 

40,342

 

4,441

 

PEP Boys-Manny Moe & Jack

 

35,928

 

971

 

Perry Ellis International, Inc.*

 

13,575

 

2,182

 

PetMed Express, Inc.

 

35,828

 

5,729

 

Pinnacle Entertainment, Inc.*

 

60,556

 

3,116

 

Polaris Industries, Inc.

 

135,951

 

4,647

 

Pool Corp.

 

83,925

 

703

 

Pre-Paid Legal Services, Inc.*

 

26,770

 

12,199

 

Quiksilver, Inc.*

 

21,348

 

1,989

 

RC2 Corp.*

 

27,249

 

1,481

 

Red Robin Gourmet Burgers, Inc.*

 

23,118

 

6,208

 

Ruby Tuesday, Inc.*

 

39,297

 

1,913

 

Ruth’s Hospitality Group, Inc.*

 

4,151

 

5,118

 

Shuffle Master, Inc.*

 

41,814

 

3,191

 

Skechers U.S.A., Inc., Class A*

 

70,457

 

650

 

Skyline Corp.

 

10,706

 

3,664

 

Sonic Automotive, Inc., Class A

 

32,426

 

5,821

 

Sonic Corp.*

 

56,114

 

3,135

 

Spartan Motors, Inc.

 

16,239

 

3,632

 

Stage Stores, Inc.

 

43,911

 

1,140

 

Stamps.com, Inc.*

 

10,157

 

1,410

 

Standard Motor Products, Inc.*

 

12,676

 

8,918

 

Standard Pacific Corp.*

 

28,448

 

2,338

 

Steak n Shake Co. (The)*

 

26,840

 

2,488

 

Stein Mart, Inc.*

 

25,552

 

1,819

 

Sturm Ruger & Co., Inc.

 

19,572

 

2,215

 

Superior Industries International, Inc.

 

31,719

 

4,885

 

Texas Roadhouse, Inc.*

 

50,218

 

3,614

 

Ticketmaster Entertainment, Inc.*

 

38,055

 

3,436

 

Tractor Supply Co.*

 

160,427

 

2,415

 

True Religion Apparel, Inc.*

 

44,533

 

2,985

 

Tuesday Morning Corp.*

 

6,746

 

1,369

 

Unifirst Corp.

 

60,168

 

1,306

 

Universal Electronics, Inc.*

 

28,092

 

1,917

 

Universal Technical Institute, Inc.*

 

36,212

 

1,582

 

Volcom, Inc.*

 

24,837

 

2,774

 

Winnebago Industries*

 

30,098

 

4,700

 

Wolverine World Wide, Inc.

 

120,179

 

2,257

 

Zale Corp.*

 

10,608

 

1,986

 

Zumiez, Inc.*

 

21,707

 

 

 

 

 

5,224,943

 

 

 

Consumer Staples - 3.2%

 

 

 

 

 

 

 

 

 

8,505

 

Alliance One International, Inc.*

 

40,569

 

1,746

 

Andersons, Inc. (The)

 

45,623

 

959

 

Boston Beer Co., Inc., Class A*

 

40,364

 

1,120

 

Calavo Growers, Inc.

 

18,906

 

1,206

 

Cal-Maine Foods, Inc.

 

33,093

 

4,853

 

Casey’s General Stores, Inc.

 

148,452

 

6,654

 

Central Garden and Pet Co., Class A*

 

54,895

 

1,812

 

Chattem, Inc.*

 

119,302

 

7,841

 

Darling International, Inc.*

 

55,828

 

1,569

 

Diamond Foods, Inc.

 

48,451

 

2,751

 

Great Atlantic & Pacific Tea Co.*

 

30,591

 

3,321

 

Green Mountain Coffee Roasters, Inc.*

 

209,156

 

3,884

 

Hain Celestial Group, Inc. (The)*

 

67,349

 

1,353

 

J&J Snack Foods Corp.

 

48,843

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,050

 

Lance, Inc.

 

$

74,268

 

1,489

 

Mannatech, Inc.

 

4,229

 

1,223

 

Nash Finch Co.

 

40,127

 

1,667

 

Sanderson Farms, Inc.

 

66,963

 

2,142

 

Spartan Stores, Inc.

 

29,624

 

3,039

 

TreeHouse Foods, Inc.*

 

105,970

 

4,103

 

United Natural Foods, Inc.*

 

103,437

 

1,572

 

WD-40 Co.

 

50,540

 

 

 

 

 

1,436,580

 

 

 

Energy - 4.5%

 

 

 

 

 

 

 

 

 

5,390

 

Atwood Oceanics, Inc.*

 

203,096

 

2,177

 

Basic Energy Services, Inc.*

 

14,978

 

3,422

 

Bristow Group, Inc.*

 

117,443

 

1,828

 

CARBO Ceramics, Inc.

 

108,437

 

2,829

 

Dril-Quip, Inc.*

 

152,794

 

1,366

 

Gulf Island Fabrication, Inc.

 

30,038

 

3,931

 

Holly Corp.

 

100,044

 

2,192

 

Hornbeck Offshore Services, Inc.*

 

50,000

 

11,291

 

ION Geophysical Corp.*

 

61,423

 

1,419

 

Lufkin Industries, Inc.

 

85,381

 

2,500

 

Matrix Service Co.*

 

21,400

 

4,735

 

Oil States International, Inc.*

 

169,844

 

4,325

 

Penn Virginia Corp.

 

78,369

 

1,833

 

Petroleum Development Corp.*

 

32,939

 

4,992

 

Petroquest Energy, Inc.*

 

28,105

 

4,801

 

Pioneer Drilling Co.*

 

29,094

 

1,925

 

SEACOR Holdings, Inc.*

 

147,455

 

1,104

 

Seahawk Drilling, Inc.*

 

23,769

 

5,967

 

St. Mary Land & Exploration Co.

 

193,212

 

3,986

 

Stone Energy Corp.*

 

75,375

 

1,212

 

Superior Well Services, Inc.*

 

15,720

 

3,568

 

Swift Energy Co.*

 

76,605

 

7,187

 

Tetra Technologies, Inc.*

 

74,457

 

2,824

 

World Fuel Services Corp.

 

150,180

 

 

 

 

 

2,040,158

 

 

 

Financials - 15.1%

 

 

 

 

 

 

 

 

 

3,786

 

Acadia Realty Trust (REIT)

 

61,598

 

926

 

American Physicians Capital, Inc.

 

25,261

 

1,799

 

Amerisafe, Inc.*

 

30,385

 

4,442

 

Bank Mutual Corp.

 

31,138

 

1,241

 

Bank of the Ozarks, Inc.

 

32,986

 

9,362

 

BioMed Realty Trust, Inc. (REIT)

 

128,166

 

6,190

 

Boston Private Financial Holdings, Inc.

 

29,031

 

5,635

 

Brookline Bancorp, Inc.

 

53,589

 

2,812

 

Cash America International, Inc.

 

90,435

 

4,299

 

Cedar Shopping Centers, Inc. (REIT)

 

25,966

 

1,518

 

City Holding Co.

 

49,517

 

5,493

 

Colonial Properties Trust (REIT)

 

59,379

 

2,676

 

Columbia Banking System, Inc.

 

39,257

 

3,122

 

Community Bank System, Inc.

 

57,944

 

4,479

 

Delphi Financial Group, Inc., Class A

 

97,911

 

11,265

 

DiamondRock Hospitality Co. (REIT)*

 

90,571

 

2,430

 

Dime Community Bancshares

 

27,313

 

8,739

 

East West Bancorp, Inc.

 

127,502

 

2,475

 

EastGroup Properties, Inc. (REIT)

 

93,852

 

2,358

 

eHealth, Inc.*

 

31,291

 

4,324

 

Employers Holdings, Inc.

 

66,200

 

3,850

 

Entertainment Properties Trust (REIT)

 

121,622

 

8,243

 

Extra Space Storage, Inc. (REIT)

 

90,591

 

4,638

 

Ezcorp, Inc., Class A*

 

68,503

 

2,471

 

Financial Federal Corp.

 

66,964

 

7,237

 

First BanCorp/Puerto Rico

 

11,217

 

2,529

 

First Cash Financial Services, Inc.*

 

48,304

 

7,222

 

First Commonwealth Financial Corp.

 

30,694

 

4,217

 

First Financial Bancorp

 

56,044

 

1,988

 

First Financial Bankshares, Inc.

 

102,939

 

5,215

 

First Midwest Bancorp, Inc./IL

 

54,392

 

3,421

 

Forestar Group, Inc.*

 

63,460

 

6,365

 

Franklin Street Properties Corp. (REIT)

 

71,861

 

5,872

 

Glacier Bancorp, Inc.

 

76,806

 

1,953

 

Greenhill & Co., Inc.

 

159,462

 

2,654

 

Hancock Holding Co.

 

109,876

 

4,405

 

Hanmi Financial Corp.*

 

5,110

 

5,662

 

Healthcare Realty Trust, Inc. (REIT)

 

125,074

 

1,806

 

Home Bancshares, Inc./AR

 

41,339

 

3,156

 

Home Properties, Inc. (REIT)

 

141,799

 

1,991

 

Independent Bank Corp./MA

 

40,716

 

1,295

 

Infinity Property & Casualty Corp.

 

51,748

 

6,759

 

Inland Real Estate Corp. (REIT)

 

53,058

 

4,160

 

Investment Technology Group, Inc.*

 

75,920

 

4,116

 

Kilroy Realty Corp. (REIT)

 

124,015

 

6,006

 

Kite Realty Group Trust (REIT)

 

19,039

 

5,119

 

LaBranche & Co., Inc.*

 

13,565

 

6,062

 

LaSalle Hotel Properties (REIT)

 

112,935

 

9,368

 

Lexington Realty Trust (REIT)

 

45,528

 

2,215

 

LTC Properties, Inc. (REIT)

 

56,948

 

7,648

 

Medical Properties Trust, Inc. (REIT)

 

74,033

 

2,696

 

Mid-America Apartment Communities, Inc. (REIT)

 

125,391

 

2,950

 

Nara Bancorp, Inc.

 

29,825

 

4,028

 

National Financial Partners Corp.*

 

35,205

 

11,663

 

National Penn Bancshares, Inc.

 

64,380

 

7,699

 

National Retail Properties, Inc. (REIT)

 

154,288

 

1,281

 

Navigators Group, Inc.*

 

59,707

 

3,270

 

NBT Bancorp, Inc.

 

67,329

 

8,058

 

Old National Bancorp/IN

 

93,795

 

4,075

 

optionsXpress Holdings, Inc.

 

62,348

 

2,063

 

Parkway Properties, Inc./MD (REIT)

 

38,516

 

3,673

 

Pennsylvania Real Estate Investment Trust (REIT)

 

27,143

 

3,141

 

Pinnacle Financial Partners, Inc.*

 

37,095

 

1,556

 

Piper Jaffray Cos.*

 

67,453

 

1,467

 

Portfolio Recovery Associates, Inc.*

 

66,059

 

4,094

 

Post Properties, Inc. (REIT)

 

75,452

 

1,980

 

Presidential Life Corp.

 

20,176

 

5,223

 

PrivateBancorp, Inc.

 

51,655

 

3,116

 

ProAssurance Corp.*

 

165,927

 

4,403

 

Prosperity Bancshares, Inc.

 

175,371

 

1,721

 

PS Business Parks, Inc. (REIT)

 

81,816

 

834

 

Rewards Network, Inc.

 

9,549

 

1,690

 

RLI Corp.

 

85,227

 

2,293

 

S&T Bancorp, Inc.

 

36,573

 

1,459

 

Safety Insurance Group, Inc.

 

51,970

 

5,060

 

Selective Insurance Group, Inc.

 

78,936

 

12,114

 

Senior Housing Properties Trust (REIT)

 

251,607

 

3,869

 

Signature Bank/NY*

 

119,862

 

1,430

 

Simmons First National Corp., Class A

 

36,193

 

20,548

 

South Financial Group, Inc. (The)

 

12,534

 

2,085

 

Sovran Self Storage, Inc. (REIT)

 

67,387

 

1,727

 

Sterling Bancorp/NY

 

11,744

 

7,756

 

Sterling Bancshares, Inc./TX

 

38,935

 

1,738

 

Stewart Information Services Corp.

 

18,023

 

2,856

 

Stifel Financial Corp.*

 

153,424

 

8,235

 

Susquehanna Bancshares, Inc.

 

47,269

 

2,314

 

SWS Group, Inc.

 

28,786

 

3,842

 

Tanger Factory Outlet Centers (REIT)

 

150,799

 

670

 

Tompkins Financial Corp.

 

26,733

 

3,864

 

Tower Group, Inc.

 

95,364

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,188

 

TradeStation Group, Inc.*

 

$

23,464

 

7,305

 

TrustCo Bank Corp. NY

 

44,999

 

2,868

 

UMB Financial Corp.

 

112,712

 

7,952

 

Umpqua Holdings Corp.

 

93,516

 

3,646

 

United Bankshares, Inc.

 

62,347

 

7,872

 

United Community Banks, Inc./GA*

 

30,465

 

2,132

 

United Fire & Casualty Co.

 

36,756

 

2,047

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

28,085

 

8,828

 

Whitney Holding Corp./LA

 

71,065

 

1,849

 

Wilshire Bancorp, Inc.

 

12,961

 

2,293

 

Wintrust Financial Corp.

 

59,549

 

1,549

 

World Acceptance Corp.*

 

45,432

 

3,560

 

Zenith National Insurance Corp.

 

101,780

 

 

 

 

 

6,905,831

 

 

 

Health Care - 10.5%

 

 

 

 

 

 

 

 

 

2,100

 

Abaxis, Inc.*

 

47,187

 

1,035

 

Air Methods Corp.*

 

35,676

 

6,359

 

Align Technology, Inc.*

 

104,033

 

693

 

Almost Family, Inc.*

 

25,038

 

2,653

 

Amedisys, Inc.*

 

98,267

 

7,085

 

American Medical Systems Holdings, Inc.*

 

124,483

 

5,011

 

AMERIGROUP Corp.*

 

118,811

 

3,114

 

AMN Healthcare Services, Inc.*

 

24,881

 

2,926

 

Amsurg Corp.*

 

60,597

 

1,226

 

Analogic Corp.

 

49,665

 

2,685

 

Arqule, Inc.*

 

9,639

 

1,133

 

Bio-Reference Labs, Inc.*

 

37,162

 

2,788

 

Cambrex Corp.*

 

14,749

 

1,215

 

Cantel Medical Corp.*

 

21,749

 

3,645

 

Catalyst Health Solutions, Inc.*

 

123,967

 

4,101

 

Centene Corp.*

 

77,181

 

2,143

 

Chemed Corp.

 

96,821

 

930

 

Computer Programs & Systems, Inc.

 

42,957

 

2,774

 

Conmed Corp.*

 

57,671

 

4,316

 

Cooper Cos., Inc. (The)

 

144,543

 

728

 

Corvel Corp.*

 

21,760

 

2,939

 

Cross Country Healthcare, Inc.*

 

25,011

 

2,712

 

CryoLife, Inc.*

 

15,513

 

5,511

 

Cubist Pharmaceuticals, Inc.*

 

91,923

 

2,276

 

Cyberonics, Inc.*

 

40,968

 

1,687

 

Dionex Corp.*

 

118,275

 

5,392

 

Eclipsys Corp.*

 

98,889

 

1,567

 

Emergent Biosolutions, Inc.*

 

22,502

 

3,178

 

Enzo Biochem, Inc.*

 

16,462

 

4,022

 

eResearchTechnology, Inc.*

 

23,730

 

1,628

 

Genoptix, Inc.*

 

59,015

 

2,778

 

Gentiva Health Services, Inc.*

 

65,700

 

2,216

 

Greatbatch, Inc.*

 

40,752

 

2,452

 

Haemonetics Corp.*

 

130,888

 

3,007

 

Hanger Orthopedic Group, Inc.*

 

40,113

 

4,670

 

Healthspring, Inc.*

 

77,335

 

3,216

 

Healthways, Inc.*

 

55,219

 

2,497

 

HMS Holdings Corp.*

 

110,392

 

1,213

 

ICU Medical, Inc.*

 

40,029

 

1,956

 

Integra LifeSciences Holdings Corp.*

 

64,039

 

3,063

 

Invacare Corp.

 

76,269

 

3,205

 

inVentiv Health, Inc.*

 

50,767

 

1,294

 

IPC The Hospitalist Co., Inc.*

 

40,709

 

1,420

 

Kendle International, Inc.*

 

21,257

 

1,084

 

Kensey Nash Corp.*

 

25,246

 

888

 

Landauer, Inc.

 

50,509

 

1,770

 

LCA-Vision, Inc.*

 

9,753

 

1,440

 

LHC Group, Inc.*

 

44,309

 

3,365

 

Magellan Health Services, Inc.*

 

123,731

 

3,176

 

Martek Biosciences Corp.*

 

55,262

 

1,686

 

Medcath Corp.*

 

12,375

 

4,422

 

Mednax, Inc.*

 

248,562

 

3,867

 

Meridian Bioscience, Inc.

 

80,086

 

2,668

 

Merit Medical Systems, Inc.*

 

43,969

 

1,266

 

Molina Healthcare, Inc.*

 

26,459

 

1,157

 

MWI Veterinary Supply, Inc.*

 

42,913

 

2,706

 

Natus Medical, Inc.*

 

36,044

 

1,410

 

Neogen Corp.*

 

45,881

 

3,141

 

Odyssey HealthCare, Inc.*

 

45,639

 

3,023

 

Omnicell, Inc.*

 

30,835

 

1,716

 

Osteotech, Inc.*

 

4,565

 

1,721

 

Palomar Medical Technologies, Inc.*

 

15,747

 

3,321

 

Par Pharmaceutical Cos., Inc.*

 

78,774

 

5,513

 

Parexel International Corp.*

 

66,211

 

2,917

 

PharMerica Corp.*

 

43,901

 

4,125

 

Phase Forward, Inc.*

 

62,948

 

5,674

 

PSS World Medical, Inc.*

 

109,792

 

1,797

 

Quality Systems, Inc.

 

106,903

 

6,040

 

Regeneron Pharmaceuticals, Inc.*

 

110,835

 

2,271

 

RehabCare Group, Inc.*

 

63,974

 

2,447

 

Res-Care, Inc.*

 

31,395

 

5,171

 

Salix Pharmaceuticals Ltd.*

 

117,899

 

5,703

 

Savient Pharmaceuticals, Inc.*

 

76,591

 

1,665

 

SurModics, Inc.*

 

37,213

 

3,414

 

Symmetry Medical, Inc.*

 

27,380

 

3,192

 

Theragenics Corp.*

 

4,182

 

7,386

 

Viropharma, Inc.*

 

55,838

 

3,135

 

West Pharmaceutical Services, Inc.

 

120,854

 

2,016

 

Zoll Medical Corp.*

 

49,614

 

 

 

 

 

4,768,783

 

 

 

Industrials - 13.3%

 

 

 

 

 

 

 

 

 

2,160

 

A. O. Smith Corp.

 

90,547

 

1,195

 

AAON, Inc.

 

22,633

 

3,705

 

AAR Corp.*

 

69,135

 

4,428

 

ABM Industries, Inc.

 

81,608

 

6,462

 

Actuant Corp., Class A

 

105,524

 

4,107

 

Acuity Brands, Inc.

 

132,574

 

2,122

 

Administaff, Inc.

 

47,299

 

1,412

 

Aerovironment, Inc.*

 

40,581

 

2,615

 

Albany International Corp., Class A

 

47,279

 

846

 

American Science & Engineering, Inc.

 

58,839

 

2,604

 

Apogee Enterprises, Inc.

 

35,649

 

3,556

 

Applied Industrial Technologies, Inc.

 

73,787

 

1,258

 

Applied Signal Technology, Inc.

 

24,871

 

2,415

 

Arkansas Best Corp.

 

59,457

 

1,891

 

Astec Industries, Inc.*

 

47,199

 

1,895

 

ATC Technology Corp.*

 

41,728

 

1,171

 

AZZ, Inc.*

 

39,638

 

1,423

 

Badger Meter, Inc.

 

50,061

 

3,996

 

Baldor Electric Co.

 

102,897

 

4,003

 

Barnes Group, Inc.

 

62,087

 

4,446

 

Belden, Inc.

 

98,346

 

3,649

 

Bowne & Co., Inc.

 

22,113

 

4,992

 

Brady Corp., Class A

 

148,163

 

4,773

 

Briggs & Stratton Corp.

 

90,019

 

2,515

 

C&D Technologies, Inc.*

 

4,401

 

875

 

Cascade Corp.

 

19,836

 

1,211

 

CDI Corp.

 

14,387

 

2,453

 

Ceradyne, Inc.*

 

41,480

 

1,619

 

CIRCOR International, Inc.

 

39,083

 

4,861

 

CLARCOR, Inc.

 

154,920

 

3,656

 

Comfort Systems USA, Inc.

 

41,642

 

1,065

 

Consolidated Graphics, Inc.*

 

31,418

 

1,482

 

Cubic Corp.

 

51,603

 

4,350

 

Curtiss-Wright Corp.

 

123,801

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,284

 

EMCOR Group, Inc.*

 

$

149,559

 

1,798

 

Encore Wire Corp.

 

35,780

 

1,922

 

EnPro Industries, Inc.*

 

44,091

 

2,514

 

ESCO Technologies, Inc.*

 

83,968

 

2,842

 

Esterline Technologies Corp.*

 

114,788

 

1,298

 

Exponent, Inc.*

 

35,033

 

2,766

 

Forward Air Corp.

 

62,678

 

1,765

 

G&K Services, Inc., Class A

 

39,007

 

4,960

 

Gardner Denver, Inc.

 

185,652

 

4,856

 

GenCorp, Inc.*

 

37,925

 

4,896

 

Geo Group, Inc. (The)*

 

97,332

 

2,880

 

Gibraltar Industries, Inc.

 

43,142

 

4,199

 

Griffon Corp.*

 

43,670

 

4,144

 

Healthcare Services Group, Inc.

 

81,595

 

5,018

 

Heartland Express, Inc.

 

74,016

 

1,626

 

Heidrick & Struggles International, Inc.

 

45,935

 

3,611

 

HUB Group, Inc., Class A*

 

95,511

 

2,363

 

II-VI, Inc.*

 

67,298

 

3,702

 

Insituform Technologies, Inc., Class A*

 

76,631

 

5,363

 

Interface, Inc., Class A

 

41,188

 

2,633

 

John Bean Technologies Corp.

 

45,209

 

2,449

 

Kaman Corp.

 

55,470

 

3,174

 

Kaydon Corp.

 

112,867

 

5,553

 

Knight Transportation, Inc.

 

94,456

 

381

 

Lawson Products, Inc.

 

5,467

 

1,172

 

Lindsay Corp.

 

41,125

 

1,610

 

Lydall, Inc.*

 

9,129

 

2,950

 

Magnetek, Inc.*

 

4,071

 

3,385

 

Mobile Mini, Inc.*

 

51,486

 

3,964

 

Moog, Inc., Class A*

 

104,689

 

3,556

 

Mueller Industries, Inc.

 

83,602

 

8,630

 

NCI Building Systems, Inc.*

 

16,052

 

2,668

 

Old Dominion Freight Line, Inc.*

 

70,649

 

3,460

 

On Assignment, Inc.*

 

21,936

 

5,389

 

Orbital Sciences Corp.*

 

67,524

 

3,595

 

Quanex Building Products Corp.

 

58,275

 

3,416

 

Regal-Beloit Corp.

 

162,124

 

3,136

 

Robbins & Myers, Inc.

 

72,097

 

1,529

 

School Specialty, Inc.*

 

34,861

 

3,645

 

Simpson Manufacturing Co., Inc.

 

90,615

 

5,301

 

Skywest, Inc.

 

77,978

 

4,911

 

Spherion Corp.*

 

25,685

 

1,210

 

Standard Register Co. (The)

 

5,469

 

1,172

 

Standex International Corp.

 

21,389

 

1,539

 

Stanley, Inc.*

 

41,061

 

3,352

 

SYKES Enterprises, Inc.*

 

82,292

 

3,434

 

Teledyne Technologies, Inc.*

 

115,108

 

5,781

 

Tetra Tech, Inc.*

 

152,272

 

3,261

 

Toro Co.

 

129,918

 

2,073

 

Tredegar Corp.

 

29,872

 

1,595

 

Triumph Group, Inc.

 

76,544

 

4,176

 

TrueBlue, Inc.*

 

50,779

 

2,265

 

United Stationers, Inc.*

 

115,379

 

1,843

 

Universal Forest Products, Inc.

 

66,237

 

1,963

 

Viad Corp.

 

36,257

 

1,865

 

Vicor Corp.*

 

15,293

 

1,152

 

Volt Information Sciences, Inc.*

 

10,218

 

3,036

 

Watsco, Inc.

 

152,286

 

2,796

 

Watts Water Technologies, Inc., Class A

 

85,697

 

 

 

 

 

6,060,842

 

 

 

Information Technology - 13.5%

 

 

 

 

 

 

 

 

 

2,491

 

Actel Corp.*

 

29,045

 

11,443

 

Adaptec, Inc.*

 

35,817

 

3,169

 

Advanced Energy Industries, Inc.*

 

34,637

 

1,913

 

Agilysys, Inc.

 

15,782

 

2,828

 

Anixter International, Inc.*

 

122,225

 

11,935

 

Arris Group, Inc.*

 

119,231

 

2,992

 

ATMI, Inc.*

 

46,526

 

2,715

 

Avid Technology, Inc.*

 

32,309

 

1,094

 

Bel Fuse, Inc., Class B

 

19,517

 

6,192

 

Benchmark Electronics, Inc.*

 

111,641

 

1,676

 

Black Box Corp.

 

47,246

 

4,179

 

Blackbaud, Inc.

 

93,025

 

3,815

 

Blue Coat Systems, Inc.*

 

100,830

 

6,575

 

Brightpoint, Inc.*

 

47,209

 

6,144

 

Brooks Automation, Inc.*

 

45,036

 

2,231

 

Cabot Microelectronics Corp.*

 

68,246

 

2,863

 

CACI International, Inc., Class A*

 

132,901

 

3,710

 

Checkpoint Systems, Inc.*

 

52,608

 

6,636

 

Ciber, Inc.*

 

21,036

 

3,784

 

Cognex Corp.

 

62,285

 

2,229

 

Cohu, Inc.

 

26,258

 

3,985

 

CommVault Systems, Inc.*

 

82,888

 

1,615

 

Compellent Technologies, Inc.*

 

33,544

 

2,300

 

comScore, Inc.*

 

36,823

 

2,686

 

Comtech Telecommunications Corp.*

 

77,196

 

4,035

 

Concur Technologies, Inc.*

 

149,536

 

3,351

 

CSG Systems International, Inc.*

 

64,875

 

3,230

 

CTS Corp.

 

29,942

 

6,626

 

Cybersource Corp.*

 

113,769

 

2,840

 

Cymer, Inc.*

 

94,970

 

14,778

 

Cypress Semiconductor Corp.*

 

141,425

 

3,265

 

Daktronics, Inc.

 

27,655

 

3,847

 

DealerTrack Holdings, Inc.*

 

65,630

 

2,354

 

Digi International, Inc.*

 

18,573

 

3,247

 

Diodes, Inc.*

 

56,952

 

2,184

 

DSP Group, Inc.*

 

13,737

 

1,666

 

DTS, Inc.*

 

50,213

 

875

 

Ebix, Inc.*

 

45,421

 

2,604

 

Electro Scientific Industries, Inc.*

 

25,337

 

1,457

 

EMS Technologies, Inc.*

 

18,766

 

4,368

 

Epicor Software Corp.*

 

32,760

 

3,105

 

EPIQ Systems, Inc.*

 

40,210

 

4,156

 

Exar Corp.*

 

29,175

 

1,540

 

FARO Technologies, Inc.*

 

30,045

 

3,584

 

FEI Co.*

 

87,521

 

1,424

 

Forrester Research, Inc.*

 

35,671

 

2,346

 

Gerber Scientific, Inc.*

 

11,730

 

9,167

 

Harmonic, Inc.*

 

46,385

 

3,576

 

Heartland Payment Systems, Inc.

 

38,227

 

2,036

 

Hittite Microwave Corp.*

 

76,798

 

2,228

 

Hutchinson Technology, Inc.*

 

15,841

 

3,369

 

Infospace, Inc.*

 

27,558

 

4,377

 

Insight Enterprises, Inc.*

 

44,427

 

1,653

 

Integral Systems, Inc.*

 

14,695

 

4,739

 

Intermec, Inc.*

 

58,241

 

2,091

 

Intevac, Inc.*

 

26,012

 

4,299

 

j2 Global Communications, Inc.*

 

85,464

 

2,683

 

JDA Software Group, Inc.*

 

62,997

 

1,292

 

Keithley Instruments, Inc.

 

5,413

 

2,864

 

Knot, Inc. (The)*

 

27,323

 

6,315

 

Kopin Corp.*

 

27,218

 

6,610

 

Kulicke & Soffa Industries, Inc.*

 

30,009

 

2,071

 

Littelfuse, Inc.*

 

54,219

 

1,722

 

LoJack Corp.*

 

6,819

 

2,145

 

Manhattan Associates, Inc.*

 

50,536

 

1,671

 

MAXIMUS, Inc.

 

77,685

 

2,157

 

Mercury Computer Systems, Inc.*

 

22,886

 

3,577

 

Methode Electronics, Inc.

 

28,473

 

4,103

 

Micrel, Inc.

 

29,336

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

7,766

 

Microsemi Corp.*

 

$

118,276

 

4,715

 

MKS Instruments, Inc.*

 

71,432

 

1,589

 

MTS Systems Corp.

 

40,949

 

3,285

 

Netgear, Inc.*

 

65,207

 

3,227

 

Netscout Systems, Inc.*

 

40,628

 

2,808

 

Network Equipment Technologies, Inc.*

 

9,631

 

3,455

 

Newport Corp.*

 

25,256

 

2,925

 

Novatel Wireless, Inc.*

 

24,512

 

1,957

 

Park Electrochemical Corp.

 

46,283

 

1,794

 

PC-Tel, Inc.*

 

10,262

 

2,991

 

Perficient, Inc.*

 

25,065

 

2,418

 

Pericom Semiconductor Corp.*

 

24,930

 

3,336

 

Phoenix Technologies Ltd.*

 

8,774

 

3,766

 

Plexus Corp.*

 

102,285

 

3,826

 

Progress Software Corp.*

 

92,168

 

2,607

 

Radiant Systems, Inc.*

 

25,262

 

2,248

 

Radisys Corp.*

 

20,974

 

1,499

 

Rogers Corp.*

 

42,212

 

2,948

 

Rudolph Technologies, Inc.*

 

19,162

 

2,533

 

Scansource, Inc.*

 

58,943

 

2,538

 

Sigma Designs, Inc.*

 

29,644

 

16,331

 

Skyworks Solutions, Inc.*

 

201,034

 

2,747

 

Smith Micro Software, Inc.*

 

17,389

 

2,542

 

Sonic Solutions, Inc.*

 

21,810

 

2,104

 

Standard Microsystems Corp.*

 

40,481

 

1,132

 

StarTek, Inc.*

 

7,845

 

1,929

 

Stratasys, Inc.*

 

28,646

 

1,231

 

Supertex, Inc.*

 

29,446

 

4,168

 

Symmetricom, Inc.*

 

18,298

 

3,239

 

Synaptics, Inc.*

 

87,258

 

1,929

 

SYNNEX Corp.*

 

54,610

 

7,747

 

Take-Two Interactive Software, Inc.*

 

87,154

 

3,626

 

Taleo Corp., Class A*

 

74,913

 

3,930

 

Technitrol, Inc.

 

19,886

 

6,410

 

Tekelec*

 

91,150

 

3,081

 

TeleTech Holdings, Inc.*

 

59,432

 

6,437

 

THQ, Inc.*

 

31,541

 

1,209

 

Tollgrade Communications, Inc.*

 

7,133

 

14,363

 

TriQuint Semiconductor, Inc.*

 

78,135

 

4,113

 

TTM Technologies, Inc.*

 

42,652

 

2,664

 

Tyler Technologies, Inc.*

 

53,227

 

2,248

 

Ultratech, Inc.*

 

29,629

 

7,998

 

United Online, Inc.

 

54,386

 

6,992

 

Varian Semiconductor Equipment Associates, Inc.*

 

203,676

 

3,574

 

Veeco Instruments, Inc.*

 

97,606

 

2,658

 

Viasat, Inc.*

 

81,468

 

4,219

 

Websense, Inc.*

 

66,365

 

3,640

 

Wright Express Corp.*

 

106,179

 

 

 

 

 

6,127,540

 

 

 

Materials - 3.7%

 

 

 

 

 

 

 

 

 

2,490

 

A. Schulman, Inc.

 

40,637

 

1,595

 

A.M. Castle & Co.

 

20,895

 

2,362

 

AMCOL International Corp.

 

64,364

 

1,965

 

American Vanguard Corp.

 

14,443

 

2,388

 

Arch Chemicals, Inc.

 

64,022

 

1,772

 

Balchem Corp.

 

56,491

 

1,924

 

Brush Engineered Materials, Inc.*

 

34,055

 

3,696

 

Buckeye Technologies, Inc.*

 

35,777

 

5,223

 

Calgon Carbon Corp.*

 

73,070

 

5,461

 

Century Aluminum Co.*

 

53,245

 

1,085

 

Clearwater Paper Corp.*

 

53,306

 

1,016

 

Deltic Timber Corp.

 

38,832

 

4,163

 

Eagle Materials, Inc.

 

112,234

 

4,638

 

H.B. Fuller Co.

 

94,430

 

4,832

 

Headwaters, Inc.*

 

22,759

 

2,696

 

Myers Industries, Inc.

 

22,296

 

1,398

 

Neenah Paper, Inc.

 

19,474

 

1,115

 

NewMarket Corp.

 

116,763

 

862

 

Olympic Steel, Inc.

 

23,903

 

2,934

 

OM Group, Inc.*

 

89,868

 

1,080

 

Penford Corp.

 

8,986

 

8,818

 

PolyOne Corp.*

 

63,313

 

1,057

 

Quaker Chemical Corp.

 

20,601

 

3,684

 

Rock-Tenn Co., Class A

 

166,406

 

2,779

 

RTI International Metals, Inc.*

 

55,052

 

1,712

 

Schweitzer-Mauduit International, Inc.

 

105,391

 

711

 

Stepan Co.

 

44,594

 

2,644

 

Texas Industries, Inc.

 

91,853

 

4,667

 

Wausau Paper Corp.

 

47,370

 

2,058

 

Zep, Inc.

 

36,385

 

 

 

 

 

1,690,815

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

2,455

 

Cbeyond, Inc.*

 

31,694

 

4,109

 

General Communication, Inc., Class A*

 

24,818

 

3,118

 

Iowa Telecommunications Services, Inc.

 

49,577

 

3,189

 

Neutral Tandem, Inc.*

 

73,570

 

2,152

 

USA Mobility, Inc.

 

21,477

 

 

 

 

 

201,136

 

 

 

Utilities - 2.9%

 

 

 

 

 

 

 

 

 

2,768

 

Allete, Inc.

 

92,562

 

1,764

 

American States Water Co.

 

58,353

 

5,215

 

Avista Corp.

 

108,524

 

1,110

 

Central Vermont Public Service Corp.

 

21,545

 

1,506

 

CH Energy Group, Inc.

 

60,812

 

4,294

 

El Paso Electric Co.*

 

85,021

 

2,116

 

Laclede Group, Inc. (The)

 

66,252

 

4,010

 

New Jersey Resources Corp.

 

141,272

 

2,525

 

Northwest Natural Gas Co.

 

108,272

 

6,978

 

Piedmont Natural Gas Co., Inc.

 

165,380

 

2,839

 

South Jersey Industries, Inc.

 

102,374

 

4,273

 

Southwest Gas Corp.

 

111,995

 

2,858

 

UIL Holdings Corp.

 

77,052

 

3,410

 

Unisource Energy Corp.

 

101,686

 

 

 

 

 

1,301,100

 

 

 

Total Common Stocks
(Cost $29,049,872)

 

35,757,728

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 8.2%

 

 

 

$

104,327

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $104,327(b)

 

104,327

 

208,655

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $208,656(c)

 

208,655

 

625,964

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $625,971 (d)

 

625,964

 

125,453

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $125,454(e)

 

125,453

 

 

See accompanying notes to the financial statements.

 


 

Principal
Amount

 

 

 

Value

 

$

219,087

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $219,088(f)

 

$

219,087

 

417,309

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $417,318 (g)

 

417,309

 

104,327

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $104,327 (h)

 

104,327

 

625,964

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $625,967 (i)

 

625,964

 

521,637

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $521,639(j)

 

521,637

 

312,982

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $312,983(k)

 

312,982

 

481,612

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $481,614(l)

 

481,612

 

 

 

Total Repurchase Agreements (Cost $3,747,317)

 

3,747,317

 

 

 

Total Investment Securities
(Cost $32,797,189) — 86.8%

 

39,505,045

 

 

 

Other assets less liabilities — 13.2%

 

6,012,318

 

 

 

Net Assets — 100.0%

 

$

45,517,363

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $14,090,851.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $106,414. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $212,828. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $638,485. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $127,962. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $223,470. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $425,656. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $106,414. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $638,484. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $532,071. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $319,243. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $491,245. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

—

 

Aggregate gross unrealized depreciation

 

(4,232,151

)

Net unrealized depreciation

 

$

(4,232,151

)

Federal income tax cost of investments

 

$

43,737,196

 

 

Swap Agreements

 

Ultra SmallCap600 had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P SmallCap 600™ Index

 

$

10,360,284

 

$

3,456,113

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600™ Index

 

10,422,102

 

(567,053

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600™ Index

 

19,695,032

 

4,862,680

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P SmallCap 600™ Index

 

14,769,966

 

(632,162

)

 

 

 

 

 

 

 

 

 

 

$

7,119,578

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

35,757,728

 

$

—

 

$

35,757,728

 

Repurchase Agreements

 

—

 

3,747,317

 

3,747,317

 

Total Investment Securities

 

35,757,728

 

3,747,317

 

39,505,045

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

7,119,578

 

7,119,578

 

Total Other Financial Instruments

 

—

 

7,119,578

 

7,119,578

 

Total Investments

 

$

35,757,728

 

$

10,866,895

 

$

46,624,623

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell2000

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 71.4%

 

 

 

 

 

Consumer Discretionary - 9.8%

 

 

 

 

 

 

 

 

 

3,471

 

1-800-Flowers.com, Inc., Class A*

 

$

7,775

 

6,203

 

99 Cents Only Stores*

 

74,560

 

3,350

 

AFC Enterprises, Inc.*

 

26,230

 

2,490

 

Ambassadors Group, Inc.

 

29,332

 

4,331

 

American Apparel, Inc.*

 

12,820

 

5,727

 

American Axle & Manufacturing Holdings, Inc.

 

35,794

 

5,237

 

American Greetings Corp., Class A

 

108,406

 

2,413

 

American Public Education, Inc.*

 

77,288

 

1,314

 

America’s Car-Mart, Inc.*

 

31,786

 

2,842

 

Amerigon, Inc.*

 

18,842

 

3,394

 

Ameristar Casinos, Inc.

 

58,988

 

7,769

 

AnnTaylor Stores Corp.*

 

108,611

 

3,508

 

Arbitron, Inc.

 

75,527

 

9,791

 

ArvinMeritor, Inc.*

 

79,405

 

4,266

 

Asbury Automotive Group, Inc.*

 

45,476

 

1,863

 

Ascent Media Corp., Class A*

 

42,663

 

2,278

 

Audiovox Corp., Class A*

 

16,789

 

7,229

 

Bally Technologies, Inc.*

 

300,220

 

5,195

 

Beazer Homes USA, Inc.*

 

22,338

 

3,178

 

Bebe Stores, Inc.

 

17,161

 

11,836

 

Belo Corp., Class A

 

55,748

 

1,743

 

Benihana, Inc., Class A*

 

5,717

 

2,855

 

Big 5 Sporting Goods Corp.

 

46,651

 

2,611

 

BJ’s Restaurants, Inc.*

 

44,570

 

1,685

 

Blue Nile, Inc.*

 

94,175

 

1,902

 

Bluegreen Corp.*

 

4,413

 

787

 

Blyth, Inc.

 

25,601

 

4,065

 

Bob Evans Farms, Inc.

 

102,682

 

931

 

Books-A-Million, Inc.

 

6,582

 

6,471

 

Borders Group, Inc.*

 

9,059

 

1,830

 

Bridgepoint Education, Inc.*

 

29,225

 

1,268

 

Brookfield Homes Corp.*

 

7,418

 

5,505

 

Brown Shoe Co., Inc.

 

56,481

 

11,692

 

Brunswick Corp.

 

117,388

 

3,371

 

Buckle, Inc. (The)

 

92,163

 

2,386

 

Buffalo Wild Wings, Inc.*

 

95,297

 

2,220

 

Build-A-Bear Workshop, Inc.*

 

10,523

 

5,294

 

Cabela’s, Inc.*

 

63,846

 

2,552

 

California Pizza Kitchen, Inc.*

 

32,053

 

8,541

 

Callaway Golf Co.

 

61,239

 

1,934

 

Capella Education Co.*

 

137,856

 

910

 

Caribou Coffee Co., Inc.*

 

7,662

 

1,458

 

Carmike Cinemas, Inc.*

 

8,879

 

1,496

 

Carrols Restaurant Group, Inc.*

 

9,904

 

7,509

 

Carter’s, Inc.*

 

163,321

 

3,669

 

Cato Corp. (The), Class A

 

70,188

 

878

 

Cavco Industries, Inc.*

 

31,336

 

3,050

 

CEC Entertainment, Inc.*

 

88,938

 

15,295

 

Charming Shoppes, Inc.*

 

73,722

 

7,956

 

Cheesecake Factory, Inc. (The)*

 

149,811

 

1,006

 

Cherokee, Inc.

 

18,259

 

2,911

 

Children’s Place Retail Stores, Inc. (The)*

 

92,919

 

568

 

China Automotive Systems, Inc.*

 

10,991

 

3,889

 

ChinaCast Education Corp.*

 

27,417

 

4,750

 

Christopher & Banks Corp.

 

27,122

 

1,255

 

Churchill Downs, Inc.

 

43,423

 

4,265

 

Cinemark Holdings, Inc.

 

53,952

 

1,954

 

Citi Trends, Inc.*

 

53,305

 

6,457

 

CKE Restaurants, Inc.

 

54,497

 

7,700

 

CKX, Inc.*

 

42,042

 

4,005

 

Coinstar, Inc.*

 

107,294

 

7,567

 

Coldwater Creek, Inc.*

 

32,084

 

8,491

 

Collective Brands, Inc.*

 

164,216

 

1,518

 

Columbia Sportswear Co.

 

58,322

 

1,323

 

Conn’s, Inc.*

 

7,568

 

7,810

 

Cooper Tire & Rubber Co.

 

139,955

 

1,288

 

Core-Mark Holding Co., Inc.*

 

38,743

 

10,604

 

Corinthian Colleges, Inc.*

 

157,151

 

673

 

CPI Corp.

 

7,975

 

2,990

 

Cracker Barrel Old Country Store, Inc.

 

112,304

 

11,108

 

CROCS, Inc.*

 

54,096

 

1,445

 

Crown Media Holdings, Inc., Class A*

 

2,225

 

1,002

 

CSS Industries, Inc.

 

18,587

 

18,455

 

Dana Holding Corp.*

 

134,352

 

1,737

 

Deckers Outdoor Corp.*

 

160,898

 

12,743

 

Denny’s Corp.*

 

29,181

 

619

 

Destination Maternity Corp.*

 

10,956

 

6,782

 

Dillard’s, Inc., Class A

 

115,226

 

2,328

 

DineEquity, Inc.*

 

49,610

 

3,975

 

Dolan Media Co.*

 

46,706

 

4,892

 

Domino’s Pizza, Inc.*

 

38,500

 

1,509

 

Dorman Products, Inc.*

 

22,318

 

1,874

 

Dover Downs Gaming & Entertainment, Inc.

 

8,545

 

7,490

 

Dress Barn, Inc.*

 

160,810

 

2,426

 

Drew Industries, Inc.*

 

46,943

 

11,505

 

Drugstore.com, Inc.*

 

34,285

 

1,606

 

DSW, Inc., Class A*

 

37,484

 

3,797

 

E.W. Scripps Co. (The), Class A*

 

23,921

 

35,542

 

Eastman Kodak Co.*

 

143,945

 

635

 

Einstein Noah Restaurant Group, Inc.*

 

6,306

 

3,251

 

Ethan Allen Interiors, Inc.

 

37,744

 

6,647

 

Exide Technologies*

 

49,852

 

1,938

 

FGX International Holdings Ltd.*

 

31,977

 

5,612

 

Finish Line (The), Class A

 

49,666

 

773

 

Fisher Communications, Inc.*

 

12,445

 

6,209

 

Fossil, Inc.*

 

191,548

 

5,302

 

Fred’s, Inc., Class A

 

51,801

 

295

 

Frisch’s Restaurants, Inc.

 

6,903

 

1,824

 

Fuel Systems Solutions, Inc.*

 

87,990

 

1,624

 

Fuqi International, Inc.*

 

35,598

 

5,495

 

Furniture Brands International, Inc.*

 

22,969

 

1,725

 

G-III Apparel Group Ltd.*

 

29,273

 

2,142

 

Gaiam, Inc., Class A*

 

15,187

 

682

 

Gander Mountain Co.*

 

3,403

 

5,253

 

Gaylord Entertainment Co.*

 

92,453

 

3,001

 

Genesco, Inc.*

 

78,446

 

2,151

 

Global Sources Ltd.*

 

12,648

 

2,082

 

Grand Canyon Education, Inc.*

 

39,912

 

3,689

 

Great Wolf Resorts, Inc.*

 

8,964

 

3,190

 

Group 1 Automotive, Inc.*

 

80,516

 

3,871

 

Gymboree Corp.*

 

154,530

 

5,015

 

Harte-Hanks, Inc.

 

48,194

 

2,335

 

Haverty Furniture Cos., Inc.

 

27,903

 

727

 

Hawk Corp., Class A*

 

11,850

 

3,941

 

Helen of Troy Ltd.*

 

80,988

 

1,696

 

hhgregg, Inc.*

 

32,818

 

3,787

 

Hibbett Sports, Inc.*

 

71,612

 

1,423

 

Hooker Furniture Corp.

 

17,361

 

5,837

 

HOT Topic, Inc.*

 

33,504

 

6,872

 

Hovnanian Enterprises, Inc., Class A*

 

27,007

 

5,265

 

HSN, Inc.*

 

94,349

 

9,444

 

Iconix Brand Group, Inc.*

 

106,339

 

5,247

 

Interval Leisure Group, Inc.*

 

60,026

 

2,567

 

iRobot Corp.*

 

36,195

 

2,059

 

Isle of Capri Casinos, Inc.*

 

15,587

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,662

 

J. Crew Group, Inc.*

 

$

285,067

 

7,565

 

Jack in the Box, Inc.*

 

141,239

 

3,815

 

Jackson Hewitt Tax Service, Inc.

 

15,794

 

3,691

 

Jakks Pacific, Inc.*

 

44,513

 

3,511

 

Jo-Ann Stores, Inc.*

 

117,127

 

11,326

 

Jones Apparel Group, Inc.

 

191,976

 

2,423

 

JoS. A. Bank Clothiers, Inc.*

 

98,883

 

5,432

 

Journal Communications, Inc., Class A

 

18,958

 

3,123

 

K12, Inc.*

 

55,964

 

1,004

 

Kenneth Cole Productions, Inc., Class A*

 

9,337

 

1,638

 

Kirkland’s, Inc.*

 

24,947

 

3,933

 

Knology, Inc.*

 

38,779

 

7,753

 

Krispy Kreme Doughnuts, Inc.*

 

24,965

 

3,466

 

K-Swiss, Inc., Class A

 

30,258

 

2,485

 

Lakes Entertainment, Inc.*

 

6,362

 

965

 

Landry’s Restaurants, Inc.*

 

20,516

 

6,818

 

La-Z-Boy, Inc.*

 

65,112

 

4,501

 

Leapfrog Enterprises, Inc.*

 

13,503

 

1,001

 

Learning Tree International, Inc.*

 

11,021

 

5,346

 

Life Time Fitness, Inc.*

 

120,820

 

3,559

 

LIN TV Corp., Class A*

 

13,560

 

1,284

 

Lincoln Educational Services Corp.*

 

28,402

 

2,738

 

Lithia Motors, Inc., Class A*

 

19,878

 

11,081

 

Live Nation, Inc.*

 

79,340

 

12,609

 

Liz Claiborne, Inc.*

 

52,580

 

2,670

 

LodgeNet Interactive Corp.*

 

11,988

 

2,665

 

Luby’s, Inc.*

 

9,461

 

5,386

 

Lululemon Athletica, Inc.*

 

140,952

 

1,915

 

Lumber Liquidators, Inc.*

 

45,232

 

2,430

 

M/I Homes, Inc.*

 

26,633

 

1,513

 

Mac-Gray Corp.*

 

12,240

 

2,500

 

Maidenform Brands, Inc.*

 

36,225

 

2,665

 

Marcus Corp.

 

33,019

 

1,309

 

Marine Products Corp.

 

6,165

 

3,509

 

Martha Stewart Living Omnimedia, Class A*

 

16,141

 

4,031

 

Matthews International Corp., Class A

 

139,634

 

1,959

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

12,126

 

5,198

 

Mediacom Communications Corp., Class A*

 

21,000

 

6,897

 

Men’s Wearhouse, Inc. (The)

 

140,699

 

4,148

 

Meritage Homes Corp.*

 

73,959

 

1,855

 

Midas, Inc.*

 

13,523

 

6,200

 

Modine Manufacturing Co.*

 

65,906

 

1,183

 

Monarch Casino & Resort, Inc.*

 

8,849

 

2,212

 

Monro Muffler Brake, Inc.

 

66,316

 

2,875

 

Morgans Hotel Group Co.*

 

10,580

 

2,154

 

Movado Group, Inc.

 

22,165

 

3,534

 

Multimedia Games, Inc.*

 

19,402

 

5,588

 

National CineMedia, Inc.

 

81,641

 

637

 

National Presto Industries, Inc.

 

59,349

 

3,322

 

New York & Co., Inc.*

 

12,557

 

1,076

 

NIVS IntelliMedia Technology Group, Inc.*

 

2,367

 

551

 

Nobel Learning Communities, Inc.*

 

4,298

 

4,067

 

NutriSystem, Inc.

 

100,455

 

2,297

 

O’Charleys, Inc.*

 

14,747

 

10,100

 

OfficeMax, Inc.*

 

106,858

 

4,826

 

Orbitz Worldwide, Inc.*

 

28,570

 

10,181

 

Orient-Express Hotels Ltd., Class A*

 

85,113

 

1,932

 

Outdoor Channel Holdings, Inc.*

 

11,341

 

2,077

 

Overstock.com, Inc.*

 

30,366

 

1,671

 

Oxford Industries, Inc.

 

35,843

 

3,139

 

P.F. Chang’s China Bistro, Inc.*

 

102,394

 

8,711

 

Pacific Sunwear of California*

 

29,095

 

2,888

 

Papa John’s International, Inc.*

 

63,883

 

1,502

 

Peet’s Coffee & Tea, Inc.*

 

48,905

 

6,440

 

PEP Boys-Manny Moe & Jack

 

52,100

 

1,245

 

Perry Ellis International, Inc.*

 

17,405

 

3,092

 

PetMed Express, Inc.

 

50,771

 

11,998

 

Pier 1 Imports, Inc.*

 

45,472

 

7,953

 

Pinnacle Entertainment, Inc.*

 

84,063

 

2,845

 

Playboy Enterprises, Inc., Class B*

 

11,181

 

4,052

 

Polaris Industries, Inc.

 

176,789

 

6,410

 

Pool Corp.

 

115,765

 

989

 

Pre-Paid Legal Services, Inc.*

 

37,661

 

2,214

 

Primedia, Inc.

 

6,952

 

1,936

 

Princeton Review, Inc.*

 

7,512

 

16,971

 

Quiksilver, Inc.*

 

29,699

 

8,161

 

Raser Technologies, Inc.*

 

9,467

 

2,838

 

RC2 Corp.*

 

38,881

 

4,832

 

RCN Corp.*

 

41,410

 

2,294

 

Reading International, Inc., Class A*

 

8,809

 

1,767

 

Red Lion Hotels Corp.*

 

7,969

 

2,062

 

Red Robin Gourmet Burgers, Inc.*

 

32,188

 

7,570

 

Regis Corp.

 

118,546

 

8,750

 

Rent-A-Center, Inc.*

 

154,787

 

1,246

 

Rentrak Corp.*

 

18,628

 

3,310

 

Retail Ventures, Inc.*

 

25,785

 

952

 

Rex Stores Corp.*

 

12,881

 

8,619

 

Ruby Tuesday, Inc.*

 

54,558

 

2,620

 

Ruth’s Hospitality Group, Inc.*

 

5,685

 

5,708

 

Ryland Group, Inc.

 

104,513

 

16,714

 

Saks, Inc.*

 

102,123

 

12,454

 

Sally Beauty Holdings, Inc.*

 

86,929

 

2,977

 

Scholastic Corp.

 

75,050

 

5,981

 

Sealy Corp.*

 

16,029

 

1,177

 

Shoe Carnival, Inc.*

 

21,292

 

7,103

 

Shuffle Master, Inc.*

 

58,031

 

2,742

 

Shutterfly, Inc.*

 

39,320

 

5,669

 

Sinclair Broadcast Group, Inc., Class A

 

20,805

 

4,393

 

Skechers U.S.A., Inc., Class A*

 

96,997

 

908

 

Skyline Corp.

 

14,955

 

7,883

 

Smith & Wesson Holding Corp.*

 

38,942

 

4,077

 

Sonic Automotive, Inc., Class A

 

36,081

 

8,053

 

Sonic Corp.*

 

77,631

 

8,877

 

Sotheby’s

 

168,397

 

4,291

 

Spartan Motors, Inc.

 

22,227

 

1,726

 

Speedway Motorsports, Inc.

 

27,564

 

1,228

 

Sport Supply Group, Inc.

 

13,164

 

5,037

 

Stage Stores, Inc.

 

60,897

 

1,449

 

Stamps.com, Inc.*

 

12,911

 

2,075

 

Standard Motor Products, Inc.*

 

18,654

 

13,384

 

Standard Pacific Corp.*

 

42,695

 

1,373

 

Stanley Furniture Co., Inc.*

 

10,201

 

3,218

 

Steak n Shake Co. (The)*

 

36,943

 

3,394

 

Stein Mart, Inc.*

 

34,856

 

1,935

 

Steiner Leisure Ltd.*

 

76,529

 

895

 

Steinway Musical Instruments, Inc.*

 

12,798

 

2,072

 

Steven Madden Ltd.*

 

73,929

 

10,653

 

Stewart Enterprises, Inc., Class A

 

49,856

 

1,993

 

Stoneridge, Inc.*

 

13,931

 

2,529

 

Sturm Ruger & Co., Inc.

 

27,212

 

3,066

 

Superior Industries International, Inc.

 

43,905

 

869

 

Syms Corp.*

 

6,257

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,353

 

Systemax, Inc.

 

$

20,836

 

3,210

 

Talbots, Inc.*

 

21,218

 

9,925

 

Tempur-Pedic International, Inc.*

 

213,884

 

6,266

 

Tenneco, Inc.*

 

90,356

 

6,630

 

Texas Roadhouse, Inc.*

 

68,156

 

4,998

 

Ticketmaster Entertainment, Inc.*

 

52,629

 

5,767

 

Timberland Co. (The), Class A*

 

96,309

 

2,563

 

Town Sports International Holdings, Inc.*

 

5,639

 

4,754

 

Tractor Supply Co.*

 

221,964

 

3,359

 

True Religion Apparel, Inc.*

 

61,940

 

3,980

 

Tuesday Morning Corp.*

 

8,995

 

8,301

 

Tupperware Brands Corp.

 

386,412

 

1,302

 

U.S. Auto Parts Network, Inc.*

 

6,002

 

3,669

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

60,282

 

4,392

 

Under Armour, Inc., Class A*

 

112,435

 

5,919

 

Unifi, Inc.*

 

18,053

 

1,870

 

Unifirst Corp.

 

82,186

 

1,811

 

Universal Electronics, Inc.*

 

38,955

 

2,615

 

Universal Technical Institute, Inc.*

 

49,397

 

1,333

 

Universal Travel Group*

 

13,956

 

3,896

 

Vail Resorts, Inc.*

 

151,126

 

6,386

 

Valassis Communications, Inc.*

 

94,704

 

182

 

Value Line, Inc.

 

4,823

 

2,500

 

Volcom, Inc.*

 

39,250

 

6,066

 

Warnaco Group, Inc. (The)*

 

246,947

 

1,892

 

West Marine, Inc.*

 

13,244

 

12,855

 

Wet Seal, Inc. (The), Class A*

 

37,408

 

935

 

Weyco Group, Inc.

 

21,664

 

3,862

 

Winnebago Industries*

 

41,903

 

6,512

 

Wolverine World Wide, Inc.

 

166,512

 

1,956

 

Wonder Auto Technology, Inc.*

 

23,316

 

2,898

 

World Wrestling Entertainment, Inc., Class A

 

46,571

 

3,979

 

Youbet.com, Inc.*

 

11,619

 

3,145

 

Zale Corp.*

 

14,781

 

2,675

 

Zumiez, Inc.*

 

29,238

 

 

 

 

 

15,602,646

 

 

 

Consumer Staples - 2.5%

 

 

 

 

 

 

 

 

 

3,657

 

AgFeed Industries, Inc.*

 

19,492

 

473

 

Alico, Inc.

 

12,303

 

11,789

 

Alliance One International, Inc.*

 

56,234

 

1,291

 

American Dairy, Inc.*

 

32,094

 

2,780

 

American Italian Pasta Co., Class A*

 

88,654

 

8,180

 

American Oriental Bioengineering, Inc.*

 

32,802

 

2,408

 

Andersons, Inc. (The)

 

62,921

 

155

 

Arden Group, Inc., Class A

 

14,413

 

3,877

 

B&G Foods, Inc., Class A

 

33,187

 

8,765

 

Bare Escentuals, Inc.*

 

112,104

 

1,169

 

Boston Beer Co., Inc., Class A*

 

49,203

 

1,373

 

Calavo Growers, Inc.

 

23,176

 

1,798

 

Cal-Maine Foods, Inc.

 

49,337

 

6,742

 

Casey’s General Stores, Inc.

 

206,238

 

8,251

 

Central Garden and Pet Co., Class A*

 

68,071

 

2,571

 

Chattem, Inc.*

 

169,275

 

1,375

 

China Sky One Medical, Inc.*

 

22,564

 

1,263

 

China-Biotics, Inc.*

 

17,859

 

5,899

 

Chiquita Brands International, Inc.*

 

100,224

 

558

 

Coca-Cola Bottling Co. Consolidated

 

26,416

 

10,892

 

Darling International, Inc.*

 

77,551

 

2,188

 

Diamond Foods, Inc.

 

67,565

 

392

 

Diedrich Coffee, Inc.*

 

12,983

 

3,207

 

Elizabeth Arden, Inc.*

 

47,303

 

886

 

Farmer Bros Co.

 

15,443

 

2,097

 

Female Health Co. (The)*

 

11,450

 

5,419

 

Fresh Del Monte Produce, Inc.*

 

117,755

 

4,469

 

Great Atlantic & Pacific Tea Co.*

 

49,695

 

435

 

Griffin Land & Nurseries, Inc.

 

12,067

 

5,391

 

Hain Celestial Group, Inc. (The)*

 

93,480

 

10,598

 

Heckmann Corp.*

 

45,889

 

1,312

 

HQ Sustainable Maritime Industries, Inc.*

 

9,328

 

1,619

 

Imperial Sugar Co.

 

24,447

 

1,695

 

Ingles Markets, Inc., Class A

 

26,459

 

1,886

 

Inter Parfums, Inc.

 

22,236

 

1,878

 

J&J Snack Foods Corp.

 

67,796

 

2,539

 

Lancaster Colony Corp.

 

121,161

 

3,687

 

Lance, Inc.

 

89,778

 

646

 

Lifeway Foods, Inc.*

 

7,300

 

2,084

 

Mannatech, Inc.

 

5,919

 

1,714

 

Medifast, Inc.*

 

46,244

 

1,710

 

Nash Finch Co.

 

56,105

 

1,451

 

National Beverage Corp.*

 

15,598

 

6,552

 

Nu Skin Enterprises, Inc., Class A

 

175,463

 

1,444

 

Nutraceutical International Corp.*

 

17,256

 

680

 

Oil-Dri Corp of America

 

10,180

 

2,484

 

Omega Protein Corp.*

 

9,762

 

724

 

Orchids Paper Products Co.*

 

13,394

 

2,088

 

Overhill Farms, Inc.*

 

12,027

 

2,981

 

Pantry, Inc. (The)*

 

44,059

 

4,483

 

Prestige Brands Holdings, Inc.*

 

31,247

 

2,112

 

Pricesmart, Inc.

 

39,684

 

2,577

 

Revlon, Inc., Class A*

 

46,644

 

5,699

 

Ruddick Corp.

 

151,707

 

2,685

 

Sanderson Farms, Inc.

 

107,856

 

1,497

 

Schiff Nutrition International, Inc.

 

8,713

 

1,243

 

Seneca Foods Corp., Class A*

 

29,397

 

8,303

 

Smart Balance, Inc.*

 

44,753

 

2,948

 

Spartan Stores, Inc.

 

40,771

 

10,647

 

Star Scientific, Inc.*

 

5,962

 

1,014

 

Susser Holdings Corp.*

 

10,748

 

2,386

 

Synutra International, Inc.*

 

29,109

 

3,205

 

Tootsie Roll Industries, Inc.

 

81,471

 

4,174

 

TreeHouse Foods, Inc.*

 

145,547

 

5,692

 

United Natural Foods, Inc.*

 

143,495

 

3,312

 

Universal Corp.

 

142,118

 

824

 

USANA Health Sciences, Inc.*

 

26,442

 

5,149

 

Vector Group Ltd.

 

71,623

 

818

 

Village Super Market, Inc., Class A

 

24,720

 

2,191

 

WD-40 Co.

 

70,441

 

1,463

 

Weis Markets, Inc.

 

50,883

 

7,218

 

Winn-Dixie Stores, Inc.*

 

77,810

 

1,187

 

Zapata Corp.*

 

8,250

 

3,194

 

Zhongpin, Inc.*

 

43,470

 

 

 

 

 

3,955,121

 

 

 

Energy - 3.5%

 

 

 

 

 

 

 

 

 

7,821

 

Allis-Chalmers Energy, Inc.*

 

25,340

 

1,071

 

Alon USA Energy, Inc.

 

7,700

 

1,216

 

Apco Oil and Gas International, Inc.

 

26,716

 

1,586

 

Approach Resources, Inc.*

 

11,102

 

5,064

 

Arena Resources, Inc.*

 

207,067

 

8,956

 

Atlas Energy, Inc.

 

230,169

 

5,264

 

ATP Oil & Gas Corp.*

 

83,961

 

2,992

 

Basic Energy Services, Inc.*

 

20,585

 

5,668

 

Berry Petroleum Co., Class A

 

154,906

 

5,087

 

Bill Barrett Corp.*

 

145,234

 

1,145

 

Bolt Technology Corp.*

 

12,538

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

10,361

 

Boots & Coots, Inc.*

 

$

14,816

 

12,262

 

BPZ Resources, Inc.*

 

89,267

 

11,004

 

Brigham Exploration Co.*

 

114,882

 

3,875

 

Bristow Group, Inc.*

 

132,990

 

3,134

 

Bronco Drilling Co., Inc.*

 

16,516

 

5,934

 

Cal Dive International, Inc.*

 

43,081

 

2,546

 

CARBO Ceramics, Inc.

 

151,029

 

3,686

 

Carrizo Oil & Gas, Inc.*

 

77,590

 

7,458

 

Cheniere Energy, Inc.*

 

14,170

 

785

 

Clayton Williams Energy, Inc.*

 

22,192

 

4,712

 

Clean Energy Fuels Corp.*

 

55,130

 

7,730

 

Complete Production Services, Inc.*

 

80,315

 

1,603

 

Contango Oil & Gas Co.*

 

71,141

 

919

 

CREDO Petroleum Corp.*

 

8,740

 

5,364

 

Crosstex Energy, Inc.

 

26,069

 

3,574

 

Cubic Energy, Inc.*

 

4,110

 

3,051

 

CVR Energy, Inc.*

 

22,364

 

1,037

 

Dawson Geophysical Co.*

 

22,441

 

1,686

 

Delek U.S. Holdings, Inc.

 

11,583

 

23,569

 

Delta Petroleum Corp.*

 

21,448

 

6,574

 

DHT Maritime, Inc.

 

26,427

 

3,862

 

Dril-Quip, Inc.*

 

208,587

 

15,077

 

Endeavour International Corp.*

 

14,323

 

2,462

 

ENGlobal Corp.*

 

7,386

 

17,293

 

Evergreen Energy, Inc.*

 

5,222

 

5,620

 

FX Energy, Inc.*

 

13,881

 

6,453

 

General Maritime Corp.

 

45,623

 

783

 

Geokinetics, Inc.*

 

8,034

 

954

 

Georesources, Inc.*

 

10,265

 

13,214

 

Global Industries Ltd.*

 

77,566

 

4,142

 

GMX Resources, Inc.*

 

48,379

 

4,281

 

Golar LNG Ltd.

 

53,812

 

3,237

 

Goodrich Petroleum Corp.*

 

71,635

 

26,992

 

Gran Tierra Energy, Inc.*

 

154,124

 

1,235

 

Green Plains Renewable Energy, Inc.*

 

14,338

 

1,623

 

Gulf Island Fabrication, Inc.

 

35,690

 

3,014

 

Gulfmark Offshore, Inc.*

 

82,162

 

3,475

 

Gulfport Energy Corp.*

 

33,047

 

4,372

 

Harvest Natural Resources, Inc.*

 

26,013

 

15,188

 

Hercules Offshore, Inc.*

 

77,611

 

3,032

 

Hornbeck Offshore Services, Inc.*

 

69,160

 

12,026

 

International Coal Group, Inc.*

 

50,148

 

14,075

 

ION Geophysical Corp.*

 

76,568

 

145

 

Isramco, Inc.*

 

10,172

 

3,661

 

James River Coal Co.*

 

67,106

 

16,387

 

Key Energy Services, Inc.*

 

124,869

 

2,272

 

Knightsbridge Tankers Ltd.

 

29,672

 

1,962

 

Lufkin Industries, Inc.

 

118,054

 

3,461

 

Matrix Service Co.*

 

29,626

 

10,065

 

McMoRan Exploration Co.*

 

73,072

 

1,601

 

Natural Gas Services Group, Inc.*

 

28,001

 

11,744

 

Newpark Resources, Inc.*

 

31,474

 

5,601

 

Nordic American Tanker Shipping

 

179,064

 

4,012

 

Northern Oil and Gas, Inc.*

 

36,710

 

29,444

 

Oilsands Quest, Inc.*

 

35,627

 

542

 

OYO Geospace Corp.*

 

17,642

 

940

 

Panhandle Oil and Gas, Inc., Class A

 

19,533

 

15,373

 

Parker Drilling Co.*

 

76,865

 

9,783

 

Patriot Coal Corp.*

 

119,842

 

6,007

 

Penn Virginia Corp.

 

108,847

 

2,544

 

Petroleum Development Corp.*

 

45,716

 

6,780

 

Petroquest Energy, Inc.*

 

38,171

 

1,756

 

PHI, Inc. (Non-Voting)*

 

31,169

 

5,679

 

Pioneer Drilling Co.*

 

34,415

 

83

 

PrimeEnergy Corp.*

 

2,847

 

3,361

 

Rex Energy Corp.*

 

30,417

 

6,917

 

Rosetta Resources, Inc.*

 

108,943

 

3,741

 

RPC, Inc.

 

36,138

 

5,835

 

Ship Finance International Ltd.

 

76,088

 

5,518

 

Stone Energy Corp.*

 

104,345

 

8,997

 

Sulphco, Inc.*

 

7,198

 

1,842

 

Superior Well Services, Inc.*

 

23,891

 

4,954

 

Swift Energy Co.*

 

106,362

 

8,369

 

Syntroleum Corp.*

 

17,575

 

1,670

 

T-3 Energy Services, Inc.*

 

41,683

 

1,387

 

Teekay Tankers Ltd., Class A

 

11,054

 

9,983

 

Tetra Technologies, Inc.*

 

103,424

 

1,753

 

TGC Industries, Inc.*

 

7,047

 

2,852

 

Toreador Resources Corp.*

 

23,529

 

1,325

 

Union Drilling, Inc.*

 

7,924

 

5,963

 

Uranerz Energy Corp.*

 

8,229

 

7,458

 

Uranium Energy Corp.*

 

23,642

 

14,896

 

USEC, Inc.*

 

54,519

 

7,719

 

Vaalco Energy, Inc.*

 

32,343

 

8,977

 

Vantage Drilling Co.*

 

14,812

 

2,393

 

Venoco, Inc.*

 

26,682

 

4,499

 

W&T Offshore, Inc.

 

46,565

 

9,369

 

Warren Resources, Inc.*

 

22,392

 

5,397

 

Western Refining, Inc.*

 

25,096

 

1,357

 

Westmoreland Coal Co.*

 

9,160

 

5,233

 

Willbros Group, Inc.*

 

82,420

 

3,904

 

World Fuel Services Corp.

 

207,615

 

2,110

 

Zion Oil & Gas, Inc.*

 

12,913

 

 

 

 

 

5,665,693

 

 

 

Financials - 14.7%

 

 

 

 

 

 

 

 

 

1,987

 

1st Source Corp.

 

28,215

 

2,900

 

Abington Bancorp, Inc.

 

19,807

 

5,255

 

Acadia Realty Trust (REIT)

 

85,499

 

6,078

 

Advance America Cash Advance Centers, Inc.

 

38,048

 

933

 

Agree Realty Corp. (REIT)

 

22,980

 

266

 

Alexander’s, Inc. (REIT)*

 

74,094

 

555

 

Alliance Financial Corp./NY

 

15,662

 

23,675

 

Allied Capital Corp.

 

83,810

 

38,076

 

Ambac Financial Group, Inc.*

 

29,319

 

6,911

 

American Campus Communities, Inc. (REIT)

 

186,251

 

1,647

 

American Capital Agency Corp. (REIT)

 

43,596

 

37,085

 

American Capital Ltd.*

 

109,030

 

7,703

 

American Equity Investment Life Holding Co.*

 

56,386

 

806

 

American National Bankshares, Inc.

 

16,370

 

1,276

 

American Physicians Capital, Inc.

 

34,809

 

842

 

American Physicians Service Group, Inc.

 

19,576

 

345

 

American Realty Investors, Inc.*

 

3,516

 

1,137

 

American Safety Insurance Holdings Ltd.*

 

17,089

 

1,822

 

Ameris Bancorp

 

12,043

 

2,500

 

Amerisafe, Inc.*

 

42,225

 

870

 

Ames National Corp.

 

16,817

 

3,009

 

Amtrust Financial Services, Inc.

 

35,958

 

10,425

 

Anthracite Capital, Inc. (REIT)*

 

3,962

 

14,258

 

Anworth Mortgage Asset Corp. (REIT)

 

102,658

 

21,582

 

Apollo Investment Corp.

 

207,619

 

12,865

 

Ares Capital Corp.

 

149,491

 

4,088

 

Argo Group International Holdings Ltd.*

 

119,247

 

1,245

 

Arrow Financial Corp.

 

31,474

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

7,674

 

Ashford Hospitality Trust, Inc. (REIT)*

 

$

32,001

 

1,976

 

Asset Acceptance Capital Corp.*

 

11,540

 

1,972

 

Associated Estates Realty Corp. (REIT)

 

19,483

 

13,868

 

Assured Guaranty Ltd.

 

314,526

 

11,330

 

Astoria Financial Corp.

 

117,605

 

315

 

Auburn National Bancorp., Inc.

 

6,114

 

1,037

 

Avatar Holdings, Inc.*

 

15,866

 

1,071

 

Baldwin & Lyons, Inc., Class B

 

24,826

 

882

 

Bancfirst Corp.

 

33,119

 

3,626

 

Banco Latinoamericano de Comercio Exterior S.A.

 

50,619

 

474

 

Bancorp Rhode Island, Inc.

 

11,954

 

2,652

 

Bancorp, Inc. (The)/DE*

 

15,408

 

6,205

 

Bank Mutual Corp.

 

43,497

 

418

 

Bank of Kentucky Financial Corp.

 

8,347

 

685

 

Bank of Marin Bancorp

 

22,262

 

1,722

 

Bank of the Ozarks, Inc.

 

45,771

 

2,853

 

BankFinancial Corp.

 

26,790

 

2,215

 

Banner Corp.

 

6,180

 

378

 

Bar Harbor Bankshares

 

10,149

 

4,339

 

Beneficial Mutual Bancorp, Inc.*

 

40,353

 

1,825

 

Berkshire Hills Bancorp, Inc.

 

34,419

 

6,125

 

BGC Partners, Inc., Class A

 

25,909

 

12,992

 

BioMed Realty Trust, Inc. (REIT)

 

177,860

 

1,648

 

BlackRock Kelso Capital Corp.

 

13,217

 

8,979

 

Boston Private Financial Holdings, Inc.

 

42,112

 

817

 

Bridge Bancorp, Inc.

 

17,222

 

6,892

 

Broadpoint Gleacher Securities, Inc.*

 

37,355

 

7,823

 

Brookline Bancorp, Inc.

 

74,397

 

416

 

Brooklyn Federal Bancorp, Inc.

 

4,509

 

927

 

Bryn Mawr Bank Corp.

 

13,933

 

2,613

 

Calamos Asset Management, Inc., Class A

 

27,463

 

239

 

California First National Bancorp

 

2,873

 

1,011

 

Camden National Corp.

 

30,997

 

1,570

 

Cape Bancorp, Inc.*

 

11,116

 

1,584

 

Capital City Bank Group, Inc.

 

19,436

 

384

 

Capital Southwest Corp.

 

30,056

 

6,345

 

CapLease, Inc. (REIT)

 

27,347

 

8,414

 

Capstead Mortgage Corp. (REIT)

 

120,152

 

3,758

 

Cardinal Financial Corp.

 

31,830

 

1,757

 

Cardtronics, Inc.*

 

19,415

 

1,632

 

Care Investment Trust, Inc. (REIT)

 

13,480

 

3,915

 

Cash America International, Inc.

 

125,906

 

7,189

 

Cathay General Bancorp

 

56,146

 

18,260

 

CBL & Associates Properties, Inc. (REIT)

 

169,088

 

5,159

 

Cedar Shopping Centers, Inc. (REIT)

 

31,160

 

1,640

 

Center Bancorp, Inc.

 

14,006

 

2,459

 

Centerstate Banks, Inc.

 

20,287

 

3,807

 

Central Pacific Financial Corp.*

 

3,084

 

466

 

Century Bancorp, Inc./MA, Class A

 

9,772

 

2,823

 

Chemical Financial Corp.

 

66,425

 

365

 

Cheviot Financial Corp.

 

2,559

 

856

 

Chicopee Bancorp, Inc.*

 

10,709

 

3,406

 

China Housing & Land Development, Inc.*

 

14,884

 

1,177

 

Citizens & Northern Corp.

 

10,299

 

533

 

Citizens Holding Co.

 

11,310

 

52,278

 

Citizens Republic Bancorp, Inc.*

 

29,276

 

4,398

 

Citizens, Inc./TX*

 

27,048

 

2,111

 

City Holding Co.

 

68,861

 

1,232

 

Clifton Savings Bancorp, Inc.

 

10,940

 

2,220

 

CNA Surety Corp.*

 

29,859

 

1,143

 

CNB Financial Corp./PA

 

18,528

 

3,883

 

CoBiz Financial, Inc.

 

16,503

 

3,981

 

Cogdell Spencer, Inc. (REIT)

 

20,104

 

2,274

 

Cohen & Steers, Inc.

 

43,524

 

8,787

 

Colonial Properties Trust (REIT)

 

94,987

 

3,716

 

Columbia Banking System, Inc.

 

54,514

 

4,340

 

Community Bank System, Inc.

 

80,550

 

2,005

 

Community Trust Bancorp, Inc.

 

46,997

 

3,166

 

Compass Diversified Holdings

 

35,269

 

2,153

 

CompuCredit Holdings Corp.*

 

4,995

 

24,477

 

Conseco, Inc.*

 

117,245

 

716

 

Consolidated-Tomoka Land Co.

 

25,776

 

9,674

 

Cousins Properties, Inc. (REIT)

 

69,653

 

2,090

 

Cowen Group, Inc., Class A*

 

13,773

 

2,754

 

Crawford & Co., Class B*

 

10,575

 

806

 

Credit Acceptance Corp.*

 

27,880

 

11,251

 

CVB Financial Corp.

 

87,195

 

2,191

 

Cypress Sharpridge Investments, Inc. (REIT)

 

28,702

 

2,891

 

Danvers Bancorp, Inc.

 

39,057

 

27,075

 

DCT Industrial Trust, Inc. (REIT)

 

128,606

 

6,119

 

Delphi Financial Group, Inc., Class A

 

133,761

 

18,959

 

Developers Diversified Realty Corp. (REIT)

 

191,865

 

300

 

Diamond Hill Investment Group, Inc.

 

18,045

 

15,395

 

DiamondRock Hospitality Co. (REIT)*

 

123,776

 

3,430

 

Dime Community Bancshares

 

38,553

 

3,193

 

Dollar Financial Corp.*

 

77,973

 

1,527

 

Donegal Group, Inc., Class A

 

22,340

 

768

 

Doral Financial Corp.*

 

2,396

 

2,157

 

Duff & Phelps Corp., Class A

 

36,604

 

3,512

 

DuPont Fabros Technology, Inc. (REIT)*

 

56,297

 

1,492

 

Dynex Capital, Inc. (REIT)

 

12,040

 

194,031

 

E*Trade Financial Corp.*

 

318,211

 

2,004

 

Eagle Bancorp, Inc.*

 

19,579

 

12,148

 

East West Bancorp, Inc.

 

177,239

 

1,042

 

Eastern Insurance Holdings, Inc.

 

8,096

 

3,337

 

EastGroup Properties, Inc. (REIT)

 

126,539

 

7,510

 

Education Realty Trust, Inc. (REIT)

 

37,175

 

3,284

 

eHealth, Inc.*

 

43,579

 

654

 

EMC Insurance Group, Inc.

 

13,584

 

6,195

 

Employers Holdings, Inc.

 

94,845

 

1,787

 

Encore Capital Group, Inc.*

 

30,450

 

884

 

Enstar Group Ltd.*

 

65,036

 

678

 

Enterprise Bancorp, Inc./MA

 

7,187

 

1,512

 

Enterprise Financial Services Corp.

 

11,597

 

4,631

 

Entertainment Properties Trust (REIT)

 

146,293

 

1,693

 

Epoch Holding Corp.

 

16,253

 

3,346

 

Equity Lifestyle Properties, Inc. (REIT)

 

160,641

 

4,334

 

Equity One, Inc. (REIT)

 

69,994

 

1,226

 

ESB Financial Corp.

 

14,638

 

2,022

 

ESSA Bancorp, Inc.

 

25,599

 

1,374

 

Evercore Partners, Inc., Class A

 

42,608

 

11,456

 

Extra Space Storage, Inc. (REIT)

 

125,901

 

5,998

 

Ezcorp, Inc., Class A*

 

88,590

 

849

 

Farmers Capital Bank Corp.

 

7,947

 

1,711

 

FBL Financial Group, Inc., Class A

 

30,165

 

2,407

 

FBR Capital Markets Corp.*

 

15,092

 

8,572

 

FelCor Lodging Trust, Inc. (REIT)*

 

28,888

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4,336

 

Fifth Street Finance Corp.

 

$

42,363

 

3,432

 

Financial Federal Corp.

 

93,007

 

1,428

 

Financial Institutions, Inc.

 

15,965

 

2,219

 

First Acceptance Corp.*

 

4,105

 

2

 

First American Corp.

 

75

 

1,155

 

First Bancorp, Inc./ME

 

17,360

 

1,952

 

First Bancorp/NC

 

25,396

 

10,644

 

First BanCorp/Puerto Rico

 

16,498

 

5,417

 

First Busey Corp.

 

17,768

 

754

 

First California Financial Group, Inc.*

 

2,631

 

3,055

 

First Cash Financial Services, Inc.*

 

58,350

 

11,264

 

First Commonwealth Financial Corp.

 

47,872

 

1,862

 

First Community Bancshares, Inc./VA

 

20,463

 

1,067

 

First Defiance Financial Corp.

 

11,588

 

6,811

 

First Financial Bancorp

 

90,518

 

2,756

 

First Financial Bankshares, Inc.

 

142,706

 

1,576

 

First Financial Corp./IN

 

45,089

 

2,100

 

First Financial Holdings, Inc.

 

28,119

 

2,418

 

First Financial Northwest, Inc.

 

16,587

 

544

 

First Financial Service Corp.

 

4,559

 

7,007

 

First Industrial Realty Trust, Inc. (REIT)

 

31,251

 

8,169

 

First Marblehead Corp. (The)*

 

16,910

 

2,788

 

First Merchants Corp.

 

16,700

 

1,892

 

First Mercury Financial Corp.

 

24,520

 

7,261

 

First Midwest Bancorp, Inc./IL

 

75,732

 

714

 

First of Long Island Corp. (The)

 

17,172

 

3,636

 

First Potomac Realty Trust (REIT)

 

43,014

 

1,072

 

First South Bancorp, Inc./NC

 

10,795

 

10,931

 

FirstMerit Corp.

 

229,004

 

8,874

 

Flagstar Bancorp, Inc.*

 

6,212

 

5,183

 

Flagstone Reinsurance Holdings Ltd.

 

56,028

 

3,993

 

Flushing Financial Corp.

 

43,564

 

15,113

 

FNB Corp./PA

 

98,386

 

4,748

 

Forestar Group, Inc.*

 

88,075

 

711

 

Fox Chase Bancorp, Inc.*

 

6,790

 

925

 

FPIC Insurance Group, Inc.*

 

32,440

 

8,842

 

Franklin Street Properties Corp. (REIT)

 

99,826

 

936

 

GAMCO Investors, Inc., Class A

 

42,990

 

1,473

 

German American Bancorp, Inc.

 

25,174

 

2,313

 

Getty Realty Corp. (REIT)

 

52,574

 

8,601

 

GFI Group, Inc.

 

41,801

 

8,151

 

Glacier Bancorp, Inc.

 

106,615

 

2,780

 

Gladstone Capital Corp.

 

21,712

 

1,132

 

Gladstone Commercial Corp. (REIT)

 

15,203

 

2,927

 

Gladstone Investment Corp.

 

13,523

 

8,181

 

Glimcher Realty Trust (REIT)

 

24,052

 

1,519

 

Government Properties Income Trust (REIT)

 

37,929

 

5,643

 

Gramercy Capital Corp./NY (REIT)*

 

15,970

 

1,334

 

Great Southern Bancorp, Inc.

 

29,988

 

3,743

 

Greenlight Capital Re Ltd., Class A*

 

90,768

 

6,963

 

Guaranty Bancorp*

 

7,102

 

1,247

 

Hallmark Financial Services*

 

9,589

 

2,438

 

Hampton Roads Bankshares, Inc.

 

5,071

 

3,760

 

Hancock Holding Co.

 

155,664

 

1,746

 

Harleysville Group, Inc.

 

54,947

 

5,718

 

Harleysville National Corp.

 

33,965

 

3,436

 

Harris & Harris Group, Inc.*

 

13,916

 

4,796

 

Hatteras Financial Corp. (REIT)

 

146,758

 

7,861

 

Healthcare Realty Trust, Inc. (REIT)

 

173,649

 

1,750

 

Heartland Financial USA, Inc.

 

23,082

 

4,685

 

Hercules Technology Growth Capital, Inc.

 

46,147

 

1,224

 

Heritage Financial Corp./WA

 

15,594

 

265

 

Heritage Financial Group

 

1,844

 

5,650

 

Hersha Hospitality Trust (REIT)

 

14,860

 

9,391

 

Highwoods Properties, Inc. (REIT)

 

287,459

 

5,251

 

Hilltop Holdings, Inc.*

 

63,800

 

1,182

 

Home Bancorp, Inc.*

 

14,574

 

2,317

 

Home Bancshares, Inc./AR

 

53,036

 

2,214

 

Home Federal Bancorp, Inc./ID

 

26,989

 

4,358

 

Home Properties, Inc. (REIT)

 

195,805

 

5,182

 

Horace Mann Educators Corp.

 

62,288

 

2,739

 

Iberiabank Corp.

 

155,383

 

878

 

Independence Holding Co.

 

4,715

 

2,773

 

Independent Bank Corp./MA

 

56,708

 

984

 

IndyMac Bancorp, Inc.*

 

49

 

1,826

 

Infinity Property & Casualty Corp.

 

72,967

 

9,305

 

Inland Real Estate Corp. (REIT)

 

73,044

 

1,706

 

International Assets Holding Corp.*

 

28,166

 

6,904

 

International Bancshares Corp.

 

115,780

 

1,172

 

Invesco Mortgage Capital, Inc. (REIT)

 

24,846

 

6,226

 

Investors Bancorp, Inc.*

 

68,611

 

9,667

 

Investors Real Estate Trust (REIT)

 

85,166

 

13,199

 

iStar Financial, Inc. (REIT)*

 

32,074

 

1,946

 

JMP Group, Inc.

 

17,514

 

561

 

Kansas City Life Insurance Co.

 

15,091

 

1,391

 

Kayne Anderson Energy Development Co.

 

18,820

 

4,613

 

KBW, Inc.*

 

113,434

 

2,413

 

Kearny Financial Corp.

 

23,768

 

411

 

Kentucky First Federal Bancorp

 

4,953

 

539

 

K-Fed Bancorp

 

4,614

 

5,725

 

Kilroy Realty Corp. (REIT)

 

172,494

 

6,122

 

Kite Realty Group Trust (REIT)

 

19,407

 

12,318

 

Knight Capital Group, Inc., Class A*

 

180,336

 

2,584

 

Kohlberg Capital Corp.

 

12,403

 

7,349

 

LaBranche & Co., Inc.*

 

19,475

 

2,721

 

Lakeland Bancorp, Inc.

 

16,544

 

1,639

 

Lakeland Financial Corp.

 

27,929

 

8,424

 

LaSalle Hotel Properties (REIT)

 

156,939

 

989

 

Legacy Bancorp, Inc.

 

9,445

 

12,024

 

Lexington Realty Trust (REIT)

 

58,437

 

970

 

Life Partners Holdings, Inc.

 

18,052

 

3,075

 

LTC Properties, Inc. (REIT)

 

79,058

 

6,622

 

Maiden Holdings Ltd.

 

49,930

 

937

 

Main Street Capital Corp.

 

13,296

 

2,655

 

MainSource Financial Group, Inc.

 

13,992

 

4,204

 

MarketAxess Holdings, Inc.

 

52,340

 

6,114

 

Max Capital Group Ltd.

 

133,224

 

6,648

 

MB Financial, Inc.

 

123,985

 

8,668

 

MCG Capital Corp.*

 

34,412

 

7,603

 

Meadowbrook Insurance Group, Inc.

 

52,081

 

1,964

 

Medallion Financial Corp.

 

16,223

 

10,622

 

Medical Properties Trust, Inc. (REIT)

 

102,821

 

730

 

Mercer Insurance Group, Inc.

 

12,541

 

635

 

Merchants Bancshares, Inc.

 

14,694

 

1,287

 

Meridian Interstate Bancorp, Inc.*

 

10,734

 

1,272

 

Metro Bancorp, Inc.*

 

13,572

 

12,826

 

MF Global Ltd.*

 

80,676

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

37,140

 

MFA Financial, Inc. (REIT)

 

$

281,150

 

16,571

 

MGIC Investment Corp.*

 

66,284

 

3,753

 

Mid-America Apartment Communities, Inc. (REIT)

 

174,552

 

610

 

Midsouth Bancorp, Inc.

 

8,186

 

2,341

 

Mission West Properties, Inc. (REIT)

 

15,942

 

2,887

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

19,891

 

11,447

 

Montpelier Re Holdings Ltd.

 

191,623

 

2,860

 

MVC Capital, Inc.

 

29,801

 

4,375

 

Nara Bancorp, Inc.

 

44,231

 

455

 

NASB Financial, Inc.

 

10,988

 

925

 

National Bankshares, Inc.

 

24,170

 

5,460

 

National Financial Partners Corp.*

 

47,720

 

3,438

 

National Health Investors, Inc. (REIT)

 

113,420

 

800

 

National Interstate Corp.

 

14,032

 

16,751

 

National Penn Bancshares, Inc.

 

92,466

 

10,585

 

National Retail Properties, Inc. (REIT)

 

212,123

 

300

 

National Western Life Insurance Co., Class A

 

51,192

 

1,641

 

Navigators Group, Inc.*

 

76,487

 

4,540

 

NBT Bancorp, Inc.

 

93,479

 

2,543

 

Nelnet, Inc., Class A

 

44,172

 

14,141

 

NewAlliance Bancshares, Inc.

 

166,581

 

3,671

 

NewStar Financial, Inc.*

 

12,114

 

2,861

 

NGP Capital Resources Co.

 

22,001

 

785

 

Northeast Community Bancorp, Inc.

 

4,898

 

2,560

 

Northfield Bancorp, Inc.

 

32,742

 

835

 

Northrim BanCorp, Inc.

 

13,418

 

7,861

 

NorthStar Realty Finance Corp. (REIT)

 

26,649

 

2,284

 

Northwest Bancorp, Inc.

 

52,852

 

245

 

Norwood Financial Corp.

 

6,350

 

637

 

NYMAGIC, Inc.

 

10,733

 

1,181

 

OceanFirst Financial Corp.

 

11,964

 

7,558

 

Ocwen Financial Corp.*

 

70,441

 

535

 

Ohio Valley Banc Corp.

 

11,882

 

11,555

 

Old National Bancorp/IN

 

134,500

 

267

 

Old Point Financial Corp.

 

4,098

 

1,413

 

Old Second Bancorp, Inc.

 

7,913

 

10,922

 

Omega Healthcare Investors, Inc. (REIT)

 

197,579

 

1,246

 

Oppenheimer Holdings Inc., Class A

 

39,237

 

5,605

 

optionsXpress Holdings, Inc.

 

85,757

 

3,208

 

Oriental Financial Group, Inc.

 

31,118

 

1,345

 

Oritani Financial Corp.

 

17,512

 

677

 

Orrstown Financial Services, Inc.

 

22,375

 

6,195

 

Pacific Capital Bancorp N.A.

 

5,823

 

2,431

 

Pacific Continental Corp.

 

25,064

 

3,534

 

PacWest Bancorp

 

65,026

 

1,460

 

Park National Corp.

 

87,323

 

2,859

 

Parkway Properties, Inc./MD (REIT)

 

53,378

 

1,156

 

Peapack Gladstone Financial Corp.

 

13,386

 

3,363

 

PennantPark Investment Corp.

 

28,518

 

504

 

Penns Woods Bancorp, Inc.

 

15,901

 

5,121

 

Pennsylvania Real Estate Investment Trust (REIT)

 

37,844

 

1,951

 

PennyMac Mortgage Investment Trust (REIT)*

 

34,572

 

2,597

 

Penson Worldwide, Inc.*

 

23,295

 

1,380

 

Peoples Bancorp, Inc./OH

 

12,475

 

496

 

Peoples Financial Corp./MS

 

7,886

 

7,217

 

PHH Corp.*

 

99,739

 

15,320

 

Phoenix Cos, Inc. (The)*

 

37,994

 

2,988

 

Pico Holdings, Inc.*

 

89,461

 

4,362

 

Pinnacle Financial Partners, Inc.*

 

51,515

 

2,604

 

Piper Jaffray Cos.*

 

112,883

 

6,775

 

Platinum Underwriters Holdings Ltd.

 

239,090

 

4,261

 

PMA Capital Corp., Class A*

 

27,143

 

9,661

 

PMI Group, Inc. (The)

 

17,776

 

364

 

Porter Bancorp, Inc.

 

5,328

 

2,032

 

Portfolio Recovery Associates, Inc.*

 

91,501

 

6,421

 

Post Properties, Inc. (REIT)

 

118,339

 

5,268

 

Potlatch Corp. (REIT)

 

155,090

 

2,868

 

Premierwest Bancorp

 

3,929

 

2,754

 

Presidential Life Corp.

 

28,063

 

2,448

 

Primus Guaranty Ltd.*

 

8,250

 

4,623

 

PrivateBancorp, Inc.

 

45,721

 

4,387

 

ProAssurance Corp.*

 

233,608

 

7,241

 

Prospect Capital Corp.

 

78,782

 

6,109

 

Prosperity Bancshares, Inc.

 

243,321

 

7,924

 

Provident Financial Services, Inc.

 

83,836

 

4,590

 

Provident New York Bancorp

 

38,327

 

489

 

Prudential Bancorp, Inc. of Pennsylvania

 

4,817

 

2,370

 

PS Business Parks, Inc. (REIT)

 

112,670

 

1,021

 

Pzena Investment Management, Inc., Class A*

 

7,280

 

452

 

QC Holdings, Inc.

 

2,441

 

10,862

 

Radian Group, Inc.

 

48,553

 

8,608

 

RAIT Financial Trust (REIT)*

 

13,342

 

3,442

 

Ramco-Gershenson Properties Trust (REIT)

 

31,322

 

10,281

 

Redwood Trust, Inc. (REIT)

 

147,738

 

2,778

 

Renasant Corp.

 

39,531

 

1,248

 

Republic Bancorp, Inc./KY, Class A

 

23,537

 

942

 

Republic First Bancorp, Inc.*

 

3,655

 

1,639

 

Resource America, Inc., Class A

 

6,048

 

2,751

 

Resource Capital Corp. (REIT)

 

14,168

 

845

 

Rewards Network, Inc.

 

9,675

 

2,913

 

Riskmetrics Group, Inc.*

 

43,491

 

2,478

 

RLI Corp.

 

124,966

 

1,103

 

Rockville Financial, Inc.

 

11,769

 

1,112

 

Roma Financial Corp.

 

13,355

 

3,111

 

S&T Bancorp, Inc.

 

49,620

 

2,688

 

Safeguard Scientifics, Inc.*

 

24,837

 

1,759

 

Safety Insurance Group, Inc.

 

62,656

 

2,538

 

Sanders Morris Harris Group, Inc.

 

12,792

 

2,183

 

Sandy Spring Bancorp, Inc.

 

20,324

 

571

 

Santander BanCorp*

 

6,509

 

849

 

Saul Centers, Inc. (REIT)

 

26,200

 

1,682

 

SCBT Financial Corp.

 

43,732

 

2,870

 

SeaBright Insurance Holdings, Inc.*

 

31,570

 

6,999

 

Selective Insurance Group, Inc.

 

109,184

 

1,120

 

Shore Bancshares, Inc.

 

16,285

 

1,165

 

Sierra Bancorp

 

8,668

 

5,377

 

Signature Bank/NY*

 

166,579

 

1,854

 

Simmons First National Corp., Class A

 

46,925

 

1,950

 

Smithtown Bancorp, Inc.

 

12,460

 

28,543

 

South Financial Group, Inc. (The)

 

17,411

 

1,745

 

Southside Bancshares, Inc.

 

35,773

 

1,946

 

Southwest Bancorp, Inc./OK

 

13,038

 

3,642

 

Sovran Self Storage, Inc. (REIT)

 

117,709

 

5,364

 

Starwood Property Trust, Inc. (REIT)

 

104,062

 

1,895

 

State Auto Financial Corp.

 

30,756

 

1,939

 

State Bancorp, Inc./NY

 

14,329

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,005

 

StellarOne Corp.

 

$

30,320

 

2,406

 

Sterling Bancorp/NY

 

16,361

 

10,916

 

Sterling Bancshares, Inc./TX

 

54,798

 

6,953

 

Sterling Financial Corp./WA*

 

4,172

 

2,281

 

Stewart Information Services Corp.

 

23,654

 

3,992

 

Stifel Financial Corp.*

 

214,450

 

9,936

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

16,891

 

1,270

 

Suffolk Bancorp

 

34,201

 

1,802

 

Sun Bancorp, Inc./NJ*

 

6,469

 

2,185

 

Sun Communities, Inc. (REIT)

 

41,515

 

12,999

 

Sunstone Hotel Investors, Inc. (REIT)*

 

105,292

 

11,433

 

Susquehanna Bancshares, Inc.

 

65,625

 

4,370

 

SVB Financial Group*

 

165,448

 

3,191

 

SWS Group, Inc.

 

39,696

 

1,511

 

SY Bancorp, Inc.

 

32,970

 

5,345

 

Tanger Factory Outlet Centers (REIT)

 

209,791

 

1,450

 

Tejon Ranch Co.*

 

38,585

 

1,623

 

Territorial Bancorp, Inc.*

 

27,559

 

35

 

Teton Advisors, Inc., Class A^

 

632

 

4,710

 

Texas Capital Bancshares, Inc.*

 

68,389

 

2,747

 

Thomas Weisel Partners Group, Inc.*

 

12,362

 

3,524

 

TICC Capital Corp.

 

19,734

 

1,103

 

Tompkins Financial Corp.

 

44,010

 

633

 

Tower Bancorp, Inc.

 

12,128

 

5,288

 

Tower Group, Inc.

 

130,508

 

2,788

 

TowneBank/VA

 

33,735

 

4,402

 

TradeStation Group, Inc.*

 

32,399

 

186

 

Transcontinental Realty Investors, Inc.*

 

2,033

 

847

 

Tree.com, Inc.*

 

5,463

 

1,169

 

Triangle Capital Corp.

 

14,811

 

1,838

 

Trico Bancshares

 

31,853

 

10,109

 

TrustCo Bank Corp. NY

 

62,271

 

7,592

 

Trustmark Corp.

 

145,463

 

1,704

 

U.S. Global Investors, Inc., Class A

 

21,913

 

4,260

 

UMB Financial Corp.

 

167,418

 

1,162

 

UMH Properties, Inc. (REIT)

 

8,947

 

11,498

 

Umpqua Holdings Corp.

 

135,216

 

2,421

 

Union Bankshares Corp./VA

 

28,568

 

4,853

 

United America Indemnity Ltd., Class A*

 

33,389

 

5,060

 

United Bankshares, Inc.

 

86,526

 

10,876

 

United Community Banks, Inc./GA*

 

42,090

 

2,180

 

United Financial Bancorp, Inc.

 

27,991

 

2,938

 

United Fire & Casualty Co.

 

50,651

 

806

 

United Security Bancshares, Inc./AL

 

13,202

 

1,466

 

Universal Health Realty Income Trust (REIT)

 

44,977

 

1,751

 

Universal Insurance Holdings, Inc.

 

9,578

 

2,181

 

Univest Corp. of Pennsylvania

 

35,310

 

2,713

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

37,222

 

10,551

 

U-Store-It Trust (REIT)

 

68,687

 

1,352

 

ViewPoint Financial Group

 

17,684

 

771

 

Virtus Investment Partners, Inc.*

 

12,058

 

3,051

 

Walter Investment Management Corp. (REIT)

 

37,161

 

1,260

 

Washington Banking Co.

 

12,613

 

7,717

 

Washington Real Estate Investment Trust (REIT)

 

201,414

 

1,852

 

Washington Trust Bancorp, Inc.

 

27,502

 

935

 

Waterstone Financial, Inc.*

 

1,805

 

9,026

 

Webster Financial Corp.

 

114,901

 

3,048

 

WesBanco, Inc.

 

39,350

 

2,070

 

West Bancorporation, Inc.

 

10,205

 

3,873

 

Westamerica Bancorp.

 

206,044

 

6,075

 

Western Alliance Bancorp*

 

24,118

 

4,139

 

Westfield Financial, Inc.

 

34,230

 

732

 

Westwood Holdings Group, Inc.

 

25,452

 

773

 

Wilber Corp.

 

5,241

 

2,543

 

Wilshire Bancorp, Inc.

 

17,826

 

1,538

 

Winthrop Realty Trust (REIT)

 

13,919

 

3,175

 

Wintrust Financial Corp.

 

82,455

 

2,147

 

World Acceptance Corp.*

 

62,972

 

927

 

WSFS Financial Corp.

 

24,723

 

2,144

 

Yadkin Valley Financial Corp.

 

7,740

 

4,944

 

Zenith National Insurance Corp.

 

141,349

 

 

 

 

 

23,405,728

 

 

 

Health Care - 10.1%

 

 

 

 

 

 

 

 

 

2,904

 

Abaxis, Inc.*

 

65,253

 

4,080

 

Abiomed, Inc.*

 

34,517

 

3,611

 

Accelrys, Inc.*

 

18,922

 

5,252

 

Accuray, Inc.*

 

27,153

 

5,033

 

Acorda Therapeutics, Inc.*

 

121,195

 

1,074

 

Acura Pharmaceuticals, Inc.*

 

4,522

 

6,147

 

Adolor Corp.*

 

9,282

 

1,838

 

Affymax, Inc.*

 

37,458

 

9,376

 

Affymetrix, Inc.*

 

44,442

 

1,452

 

Air Methods Corp.*

 

50,050

 

7,475

 

Akorn, Inc.*

 

12,109

 

3,099

 

Albany Molecular Research, Inc.*

 

26,001

 

7,723

 

Align Technology, Inc.*

 

126,348

 

12,523

 

Alkermes, Inc.*

 

112,457

 

3,475

 

Alliance HealthCare Services, Inc.*

 

20,572

 

5,965

 

Allied Healthcare International, Inc.*

 

17,656

 

2,900

 

Allion Healthcare, Inc.*

 

18,850

 

9,555

 

Allos Therapeutics, Inc.*

 

61,821

 

944

 

Almost Family, Inc.*

 

34,107

 

4,782

 

Alnylam Pharmaceuticals, Inc.*

 

80,385

 

4,366

 

Alphatec Holdings, Inc.*

 

19,822

 

2,260

 

AMAG Pharmaceuticals, Inc.*

 

84,501

 

3,640

 

Amedisys, Inc.*

 

134,826

 

1,105

 

America Service Group, Inc.

 

16,210

 

1,400

 

American Caresource Holdings, Inc.*

 

2,800

 

2,030

 

American Dental Partners, Inc.*

 

24,766

 

9,785

 

American Medical Systems Holdings, Inc.*

 

171,922

 

7,010

 

AMERIGROUP Corp.*

 

166,207

 

4,667

 

AMICAS, Inc.*

 

21,235

 

2,008

 

Amicus Therapeutics, Inc.*

 

6,747

 

4,335

 

AMN Healthcare Services, Inc.*

 

34,637

 

4,059

 

Amsurg Corp.*

 

84,062

 

1,707

 

Analogic Corp.

 

69,151

 

3,240

 

Angiodynamics, Inc.*

 

50,382

 

1,885

 

Ardea Biosciences, Inc.*

 

25,372

 

12,277

 

Arena Pharmaceuticals, Inc.*

 

44,566

 

14,417

 

Ariad Pharmaceuticals, Inc.*

 

32,582

 

5,478

 

Arqule, Inc.*

 

19,666

 

6,389

 

Array Biopharma, Inc.*

 

10,989

 

2,756

 

ARYx Therapeutics, Inc.*

 

6,862

 

1,337

 

Assisted Living Concepts, Inc., Class A*

 

31,272

 

4,446

 

athenahealth, Inc.*

 

186,287

 

208

 

Atrion Corp.

 

28,186

 

6,281

 

ATS Medical, Inc.*

 

18,529

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,118

 

Auxilium Pharmaceuticals, Inc.*

 

$

213,335

 

8,050

 

AVANIR Pharmaceuticals, Inc., Class A*

 

13,443

 

12,723

 

AVI BioPharma, Inc.*

 

18,067

 

2,850

 

BioCryst Pharmaceuticals, Inc.*

 

23,114

 

2,024

 

Biodel, Inc.*

 

7,651

 

1,355

 

BioDelivery Sciences International, Inc.*

 

5,217

 

1,815

 

BioMimetic Therapeutics, Inc.*

 

19,330

 

1,579

 

Bio-Reference Labs, Inc.*

 

51,791

 

5,141

 

BioScrip, Inc.*

 

38,660

 

481

 

Biospecifics Technologies Corp.*

 

14,050

 

4,279

 

BMP Sunstone Corp.*

 

17,416

 

2,260

 

Bovie Medical Corp.*

 

17,854

 

6,473

 

Bruker Corp.*

 

73,339

 

3,254

 

Cadence Pharmaceuticals, Inc.*

 

27,952

 

3,878

 

Cambrex Corp.*

 

20,515

 

1,646

 

Cantel Medical Corp.*

 

29,463

 

2,977

 

Capital Senior Living Corp.*

 

13,635

 

1,377

 

Caraco Pharmaceutical Laboratories Ltd.*

 

5,673

 

2,653

 

Cardiac Science Corp.*

 

5,969

 

3,138

 

CardioNet, Inc.*

 

15,282

 

1,260

 

Cardiovascular Systems, Inc.*

 

6,338

 

6,054

 

Cardium Therapeutics, Inc.*

 

3,511

 

4,851

 

Catalyst Health Solutions, Inc.*

 

164,983

 

10,849

 

Celera Corp.*

 

67,698

 

71,039

 

Cell Therapeutics, Inc.*

 

73,170

 

3,318

 

Celldex Therapeutics, Inc.*

 

14,997

 

5,710

 

Centene Corp.*

 

107,462

 

7,675

 

Cepheid, Inc.*

 

95,016

 

3,482

 

Chelsea Therapeutics International, Inc.*

 

7,695

 

2,986

 

Chemed Corp.

 

134,907

 

1,756

 

Chindex International, Inc.*

 

24,022

 

3,966

 

Clarient, Inc.*

 

10,113

 

1,510

 

Clinical Data, Inc.*

 

23,571

 

1,283

 

Computer Programs & Systems, Inc.

 

59,262

 

4,045

 

Conceptus, Inc.*

 

68,482

 

3,857

 

Conmed Corp.*

 

80,187

 

3,886

 

Continucare Corp.*

 

12,085

 

879

 

Cornerstone Therapeutics, Inc.*

 

4,694

 

998

 

Corvel Corp.*

 

29,830

 

4,080

 

Cross Country Healthcare, Inc.*

 

34,721

 

3,760

 

CryoLife, Inc.*

 

21,507

 

7,647

 

Cubist Pharmaceuticals, Inc.*

 

127,552

 

1,061

 

Cumberland Pharmaceuticals, Inc.*

 

15,225

 

8,446

 

Curis, Inc.*

 

22,044

 

1,765

 

Cutera, Inc.*

 

15,920

 

3,638

 

Cyberonics, Inc.*

 

65,484

 

1,291

 

Cynosure, Inc., Class A*

 

12,910

 

5,040

 

Cypress Bioscience, Inc.*

 

26,712

 

5,784

 

Cytokinetics, Inc.*

 

17,930

 

3,878

 

Cytori Therapeutics, Inc.*

 

22,686

 

3,000

 

Delcath Systems, Inc.*

 

15,060

 

6,784

 

Depomed, Inc.*

 

22,184

 

6,085

 

DexCom, Inc.*

 

44,116

 

2,332

 

Dionex Corp.*

 

163,497

 

15,863

 

Discovery Laboratories, Inc.*

 

11,897

 

10,884

 

Durect Corp.*

 

24,489

 

9,526

 

Dyax Corp.*

 

35,532

 

7,448

 

Eclipsys Corp.*

 

136,596

 

2,668

 

Electro-Optical Sciences, Inc.*

 

28,014

 

1,303

 

Emergency Medical Services Corp., Class A*

 

62,870

 

2,160

 

Emergent Biosolutions, Inc.*

 

31,018

 

2,623

 

Emeritus Corp.*

 

41,024

 

6,396

 

Endologix, Inc.*

 

27,119

 

1,460

 

Ensign Group, Inc. (The)

 

20,192

 

2,425

 

EnteroMedics, Inc.*

 

1,237

 

4,364

 

Enzo Biochem, Inc.*

 

22,606

 

5,993

 

Enzon Pharmaceuticals, Inc.*

 

58,192

 

5,638

 

eResearchTechnology, Inc.*

 

33,264

 

9,857

 

ev3, Inc.*

 

125,184

 

1,069

 

Exactech, Inc.*

 

16,890

 

14,108

 

Exelixis, Inc.*

 

96,499

 

3,246

 

Facet Biotech Corp.*

 

53,299

 

1,862

 

Genomic Health, Inc.*

 

35,397

 

2,224

 

Genoptix, Inc.*

 

80,620

 

3,825

 

Gentiva Health Services, Inc.*

 

90,461

 

11,801

 

Geron Corp.*

 

61,247

 

3,076

 

Greatbatch, Inc.*

 

56,568

 

2,535

 

GTx, Inc.*

 

9,886

 

3,398

 

Haemonetics Corp.*

 

181,385

 

8,956

 

Halozyme Therapeutics, Inc.*

 

48,900

 

3,343

 

Hanger Orthopedic Group, Inc.*

 

44,596

 

3,359

 

Hansen Medical, Inc.*

 

8,599

 

3,244

 

Harvard Bioscience, Inc.*

 

11,581

 

3,141

 

Health Grades, Inc.*

 

13,726

 

11,708

 

HealthSouth Corp.*

 

205,358

 

6,497

 

Healthspring, Inc.*

 

107,590

 

4,464

 

Healthways, Inc.*

 

76,647

 

714

 

HeartWare International, Inc.*

 

22,434

 

15,566

 

Hemispherx Biopharma, Inc.*

 

18,679

 

1,136

 

Hi-Tech Pharmacal Co., Inc.*

 

21,300

 

3,436

 

HMS Holdings Corp.*

 

151,906

 

1,521

 

Home Diagnostics, Inc.*

 

8,776

 

21,569

 

Human Genome Sciences, Inc.*

 

600,050

 

1,693

 

ICU Medical, Inc.*

 

55,869

 

4,135

 

Idenix Pharmaceuticals, Inc.*

 

7,732

 

2,860

 

Idera Pharmaceuticals, Inc.*

 

14,100

 

9,333

 

Immucor, Inc.*

 

172,194

 

7,562

 

Immunogen, Inc.*

 

59,589

 

8,647

 

Immunomedics, Inc.*

 

26,806

 

8,042

 

Impax Laboratories, Inc.*

 

91,679

 

11,537

 

Incyte Corp.*

 

96,103

 

2,376

 

Infinity Pharmaceuticals, Inc.*

 

14,375

 

16,560

 

Insmed, Inc.*

 

12,751

 

8,129

 

Inspire Pharmaceuticals, Inc.*

 

47,311

 

3,810

 

Insulet Corp.*

 

46,711

 

2,495

 

Integra LifeSciences Holdings Corp.*

 

81,686

 

5,061

 

InterMune, Inc.*

 

54,355

 

3,818

 

Invacare Corp.

 

95,068

 

4,439

 

inVentiv Health, Inc.*

 

70,314

 

2,138

 

IPC The Hospitalist Co., Inc.*

 

67,261

 

2,378

 

IRIS International, Inc.*

 

26,634

 

12,351

 

Isis Pharmaceuticals, Inc.*

 

132,279

 

4,394

 

ISTA Pharmaceuticals, Inc.*

 

18,762

 

6,651

 

Javelin Pharmaceuticals, Inc.*

 

9,644

 

1,960

 

Kendle International, Inc.*

 

29,341

 

1,081

 

Kensey Nash Corp.*

 

25,176

 

5,164

 

Kindred Healthcare, Inc.*

 

76,737

 

4,940

 

KV Pharmaceutical Co., Class A*

 

16,598

 

1,243

 

Landauer, Inc.

 

70,702

 

1,344

 

Lannett Co., Inc.*

 

7,930

 

2,185

 

LCA-Vision, Inc.*

 

12,039

 

13,776

 

Lexicon Pharmaceuticals, Inc.*

 

21,491

 

2,016

 

LHC Group, Inc.*

 

62,032

 

15,021

 

Ligand Pharmaceuticals, Inc., Class B*

 

29,742

 

5,481

 

Luminex Corp.*

 

75,090

 

4,680

 

Magellan Health Services, Inc.*

 

172,084

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,295

 

MAKO Surgical Corp.*

 

$

19,553

 

7,666

 

MannKind Corp.*

 

55,655

 

1,186

 

MAP Pharmaceuticals, Inc.*

 

10,733

 

4,398

 

Martek Biosciences Corp.*

 

76,525

 

6,726

 

Masimo Corp.*

 

177,297

 

1,248

 

Matrixx Initiatives, Inc.*

 

5,229

 

3,349

 

Maxygen, Inc.*

 

18,219

 

5,239

 

MedAssets, Inc.*

 

122,278

 

1,962

 

Medcath Corp.*

 

14,401

 

1,870

 

Medical Action Industries, Inc.*

 

23,861

 

6,986

 

Medicines Co. (The)*

 

54,770

 

7,793

 

Medicis Pharmaceutical Corp., Class A

 

183,837

 

955

 

Medidata Solutions, Inc.*

 

16,187

 

3,808

 

Medivation, Inc.*

 

116,906

 

1,222

 

MedQuist, Inc.

 

8,652

 

3,640

 

Merge Healthcare, Inc.*

 

11,138

 

5,365

 

Meridian Bioscience, Inc.

 

111,109

 

3,690

 

Merit Medical Systems, Inc.*

 

60,811

 

2,564

 

Metabolix, Inc.*

 

28,640

 

5,366

 

Metropolitan Health Networks, Inc.*

 

10,625

 

7,601

 

Micromet, Inc.*

 

51,915

 

2,077

 

Micrus Endovascular Corp.*

 

27,313

 

4,830

 

MiddleBrook Pharmaceuticals, Inc.*

 

3,043

 

2,258

 

Molecular Insight Pharmaceuticals, Inc.*

 

7,451

 

1,755

 

Molina Healthcare, Inc.*

 

36,680

 

5,194

 

Momenta Pharmaceuticals, Inc.*

 

51,680

 

1,423

 

MWI Veterinary Supply, Inc.*

 

52,779

 

3,173

 

Myriad Pharmaceuticals, Inc.*

 

15,897

 

6,817

 

Nabi Biopharmaceuticals*

 

33,676

 

1,708

 

Nanosphere, Inc.*

 

10,077

 

1,047

 

National Healthcare Corp.

 

36,655

 

224

 

National Research Corp.

 

4,794

 

3,700

 

Natus Medical, Inc.*

 

49,284

 

12,265

 

Nektar Therapeutics*

 

106,828

 

1,754

 

Neogen Corp.*

 

57,075

 

5,172

 

Neurocrine Biosciences, Inc.*

 

10,499

 

1,373

 

NeurogesX, Inc.*

 

10,998

 

2,788

 

Nighthawk Radiology Holdings, Inc.*

 

14,553

 

2,650

 

NovaMed, Inc.*

 

10,070

 

8,837

 

Novavax, Inc.*

 

26,511

 

6,299

 

NPS Pharmaceuticals, Inc.*

 

19,842

 

4,829

 

NuVasive, Inc.*

 

156,701

 

3,048

 

NxStage Medical, Inc.*

 

20,635

 

2,285

 

Obagi Medical Products, Inc.*

 

25,729

 

4,360

 

Odyssey HealthCare, Inc.*

 

63,351

 

4,179

 

Omnicell, Inc.*

 

42,626

 

573

 

OncoGenex Pharmaceutical, Inc.*

 

18,072

 

8,184

 

Onyx Pharmaceuticals, Inc.*

 

234,144

 

5,786

 

Opko Health, Inc.*

 

10,126

 

3,799

 

Optimer Pharmaceuticals, Inc.*

 

41,713

 

6,079

 

OraSure Technologies, Inc.*

 

23,343

 

3,520

 

Orexigen Therapeutics, Inc.*

 

23,478

 

2,273

 

Orthofix International N.V.*

 

68,758

 

8,752

 

Orthovita, Inc.*

 

31,595

 

2,209

 

Osiris Therapeutics, Inc.*

 

14,889

 

5,519

 

Owens & Minor, Inc.

 

214,082

 

4,894

 

OXiGENE, Inc.*

 

5,677

 

4,597

 

Pain Therapeutics, Inc.*

 

23,629

 

2,396

 

Palomar Medical Technologies, Inc.*

 

21,923

 

4,604

 

Par Pharmaceutical Cos., Inc.*

 

109,207

 

7,616

 

Parexel International Corp.*

 

91,468

 

15,830

 

PDL BioPharma, Inc.

 

102,895

 

2,774

 

Pharmasset, Inc.*

 

55,452

 

4,040

 

PharMerica Corp.*

 

60,802

 

5,722

 

Phase Forward, Inc.*

 

87,318

 

3,054

 

Poniard Pharmaceuticals, Inc.*

 

6,444

 

3,460

 

Pozen, Inc.*

 

24,428

 

3,549

 

Progenics Pharmaceuticals, Inc.*

 

13,735

 

4,594

 

Protalix BioTherapeutics, Inc.*

 

45,297

 

1,396

 

Providence Service Corp. (The)*

 

19,516

 

7,871

 

PSS World Medical, Inc.*

 

152,304

 

7,457

 

Psychiatric Solutions, Inc.*

 

165,247

 

3,118

 

Quality Systems, Inc.

 

185,490

 

7,595

 

Questcor Pharmaceuticals, Inc.*

 

32,659

 

3,419

 

Quidel Corp.*

 

42,977

 

3,877

 

RadNet, Inc.*

 

8,607

 

8,361

 

Regeneron Pharmaceuticals, Inc.*

 

153,424

 

2,432

 

RehabCare Group, Inc.*

 

68,509

 

4,064

 

Repligen Corp.*

 

19,101

 

1,671

 

Repros Therapeutics, Inc.*

 

1,178

 

3,335

 

Res-Care, Inc.*

 

42,788

 

6,607

 

Rigel Pharmaceuticals, Inc.*

 

50,015

 

1,330

 

Rochester Medical Corp.*

 

14,590

 

2,266

 

Rockwell Medical Technologies, Inc.*

 

14,072

 

7,195

 

RTI Biologics, Inc.*

 

29,356

 

6,387

 

Salix Pharmaceuticals Ltd.*

 

145,624

 

5,869

 

Sangamo Biosciences, Inc.*

 

31,751

 

6,868

 

Santarus, Inc.*

 

27,403

 

8,823

 

Savient Pharmaceuticals, Inc.*

 

118,493

 

4,728

 

Sciclone Pharmaceuticals, Inc.*

 

10,118

 

11,023

 

Seattle Genetics, Inc.*

 

102,293

 

8,112

 

Sequenom, Inc.*

 

33,259

 

3,431

 

SIGA Technologies, Inc.*

 

31,051

 

2,256

 

Sirona Dental Systems, Inc.*

 

65,650

 

2,569

 

Skilled Healthcare Group, Inc., Class A*

 

17,444

 

1,593

 

Somanetics Corp.*

 

22,828

 

2,277

 

SonoSite, Inc.*

 

51,437

 

4,268

 

Spectranetics Corp.*

 

23,858

 

5,734

 

Spectrum Pharmaceuticals, Inc.*

 

25,230

 

13,676

 

StemCells, Inc.*

 

14,223

 

4,102

 

Stereotaxis, Inc.*

 

15,300

 

7,753

 

STERIS Corp.

 

250,499

 

1,420

 

Sucampo Pharmaceuticals, Inc., Class A*

 

4,700

 

5,775

 

Sun Healthcare Group, Inc.*

 

48,856

 

5,997

 

Sunrise Senior Living, Inc.*

 

18,771

 

7,824

 

SuperGen, Inc.*

 

20,499

 

2,043

 

SurModics, Inc.*

 

45,661

 

4,739

 

Symmetry Medical, Inc.*

 

38,007

 

1,525

 

Synovis Life Technologies, Inc.*

 

18,544

 

2,166

 

Synta Pharmaceuticals Corp.*

 

8,621

 

7,067

 

Theravance, Inc.*

 

93,002

 

7,473

 

Thoratec Corp.*

 

222,621

 

6,107

 

TomoTherapy, Inc.*

 

20,886

 

1,737

 

TranS1, Inc.*

 

5,819

 

825

 

Transcend Services, Inc.*

 

15,196

 

2,734

 

Triple-S Management Corp., Class B*

 

43,908

 

1,530

 

U.S. Physical Therapy, Inc.*

 

22,353

 

3,576

 

Universal American Corp.*

 

37,047

 

426

 

Utah Medical Products, Inc.

 

12,516

 

3,535

 

Vanda Pharmaceuticals, Inc.*

 

37,330

 

3,807

 

Varian, Inc.*

 

194,880

 

2,153

 

Vascular Solutions, Inc.*

 

17,504

 

5,649

 

Vical, Inc.*

 

16,156

 

10,251

 

Viropharma, Inc.*

 

77,498

 

 

See accompanying notes to the financial statements.

 

 


 

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Common Stocks (a) (continued)

 

 

 

830

 

Virtual Radiologic Corp.*

 

$

10,865

 

1,906

 

Vital Images, Inc.*

 

24,092

 

10,641

 

Vivus, Inc.*

 

86,405

 

6,400

 

Volcano Corp.*

 

94,272

 

5,604

 

WellCare Health Plans, Inc.*

 

184,876

 

4,343

 

West Pharmaceutical Services, Inc.

 

167,423

 

5,036

 

Wright Medical Group, Inc.*

 

90,648

 

3,938

 

XenoPort, Inc.*

 

64,859

 

721

 

Young Innovations, Inc.

 

17,477

 

2,780

 

Zoll Medical Corp.*

 

68,416

 

4,967

 

Zymogenetics, Inc.*

 

30,348

 

 

 

 

 

16,191,732

 

 

 

Industrials - 11.2%

 

 

 

 

 

 

 

 

 

2,335

 

3D Systems Corp.*

 

25,522

 

2,904

 

A. O. Smith Corp.

 

121,736

 

1,641

 

AAON, Inc.

 

31,081

 

5,128

 

AAR Corp.*

 

95,688

 

6,085

 

ABM Industries, Inc.

 

112,147

 

4,235

 

Acacia Research - Acacia Technologies*

 

31,974

 

7,221

 

ACCO Brands Corp.*

 

47,153

 

3,288

 

Aceto Corp.

 

17,130

 

8,964

 

Actuant Corp., Class A

 

146,382

 

5,715

 

Acuity Brands, Inc.

 

184,480

 

2,779

 

Administaff, Inc.

 

61,944

 

7,347

 

Advanced Battery Technologies, Inc.*

 

25,494

 

2,057

 

Advisory Board Co. (The)*

 

53,893

 

1,764

 

Aerovironment, Inc.*

 

50,697

 

7,357

 

Air Transport Services Group, Inc.*

 

16,553

 

6,209

 

Aircastle Ltd.

 

55,012

 

17,827

 

AirTran Holdings, Inc.*

 

73,447

 

842

 

Alamo Group, Inc.

 

12,521

 

4,827

 

Alaska Air Group, Inc.*

 

144,327

 

3,575

 

Albany International Corp., Class A

 

64,636

 

2,032

 

Allegiant Travel Co.*

 

83,779

 

3,537

 

Altra Holdings, Inc.*

 

39,791

 

1,184

 

Amerco, Inc.*

 

60,692

 

1,189

 

American Commercial Lines, Inc.*

 

23,293

 

2,413

 

American Ecology Corp.

 

39,066

 

1,231

 

American Railcar Industries, Inc.

 

12,999

 

4,824

 

American Reprographics Co.*

 

26,821

 

1,213

 

American Science & Engineering, Inc.

 

84,364

 

5,746

 

American Superconductor Corp.*

 

190,767

 

1,368

 

American Woodmark Corp.

 

26,649

 

1,228

 

Ameron International Corp.

 

69,947

 

1,121

 

Ampco-Pittsburgh Corp.

 

32,778

 

155

 

Amrep Corp.*

 

2,089

 

3,359

 

APAC Customer Services, Inc.*

 

17,568

 

3,688

 

Apogee Enterprises, Inc.

 

50,489

 

5,609

 

Applied Industrial Technologies, Inc.

 

116,387

 

1,717

 

Applied Signal Technology, Inc.

 

33,945

 

996

 

Argan, Inc.*

 

12,819

 

1,794

 

Argon ST, Inc.*

 

32,256

 

3,351

 

Arkansas Best Corp.

 

82,502

 

2,506

 

Ascent Solar Technologies, Inc.*

 

11,152

 

2,405

 

Astec Industries, Inc.*

 

60,029

 

1,235

 

Astronics Corp.*

 

9,732

 

2,618

 

ATC Technology Corp.*

 

57,648

 

2,275

 

Atlas Air Worldwide Holdings, Inc.*

 

66,658

 

13,497

 

Avis Budget Group, Inc.*

 

131,596

 

1,609

 

AZZ, Inc.*

 

54,465

 

1,954

 

Badger Meter, Inc.

 

68,742

 

6,175

 

Baldor Electric Co.

 

159,006

 

6,175

 

Barnes Group, Inc.

 

95,774

 

1,016

 

Barrett Business Services, Inc.

 

11,074

 

5,971

 

Beacon Roofing Supply, Inc.*

 

91,774

 

6,177

 

Belden, Inc.

 

136,635

 

5,076

 

Blount International, Inc.*

 

48,983

 

1,527

 

BlueLinx Holdings, Inc.*

 

4,047

 

5,068

 

Bowne & Co., Inc.

 

30,712

 

6,341

 

Brady Corp., Class A

 

188,201

 

6,607

 

Briggs & Stratton Corp.

 

124,608

 

4,155

 

Broadwind Energy, Inc.*

 

29,708

 

2,147

 

Builders FirstSource, Inc.*

 

8,180

 

1,288

 

CAI International, Inc.*

 

11,257

 

1,192

 

Cascade Corp.

 

27,023

 

5,806

 

CBIZ, Inc.*

 

39,945

 

1,615

 

CDI Corp.

 

19,186

 

2,930

 

Celadon Group, Inc.*

 

28,040

 

7,096

 

Cenveo, Inc.*

 

54,497

 

3,425

 

Ceradyne, Inc.*

 

57,917

 

3,762

 

Chart Industries, Inc.*

 

62,449

 

804

 

Chase Corp.

 

8,571

 

5,498

 

China BAK Battery, Inc.*

 

16,659

 

1,853

 

China Fire & Security Group, Inc.*

 

23,440

 

2,251

 

CIRCOR International, Inc.

 

54,339

 

6,748

 

CLARCOR, Inc.

 

215,059

 

2,852

 

Clean Harbors, Inc.*

 

152,639

 

3,134

 

Colfax Corp.*

 

38,924

 

2,529

 

Columbus McKinnon Corp.*

 

39,705

 

5,133

 

Comfort Systems USA, Inc.

 

58,465

 

1,955

 

COMSYS IT Partners, Inc.*

 

16,285

 

1,291

 

Consolidated Graphics, Inc.*

 

38,084

 

1,467

 

Cornell Cos., Inc.*

 

32,215

 

4,519

 

Corporate Executive Board Co. (The)

 

94,718

 

2,634

 

CoStar Group, Inc.*

 

104,649

 

1,342

 

Courier Corp.

 

17,500

 

1,444

 

CRA International, Inc.*

 

35,912

 

2,068

 

Cubic Corp.

 

72,008

 

5,995

 

Curtiss-Wright Corp.

 

170,618

 

6,766

 

Deluxe Corp.

 

87,281

 

3,170

 

Diamond Management & Technology Consultants, Inc.

 

20,637

 

1,952

 

DigitalGlobe, Inc.*

 

44,916

 

2,870

 

Dollar Thrifty Automotive Group, Inc.*

 

52,980

 

1,379

 

Ducommun, Inc.

 

25,718

 

1,026

 

DXP Enterprises, Inc.*

 

12,230

 

5,163

 

Dycom Industries, Inc.*

 

40,220

 

1,288

 

Dynamex, Inc.*

 

22,411

 

1,703

 

Dynamic Materials Corp.

 

32,578

 

3,283

 

DynCorp International, Inc., Class A*

 

45,896

 

8,218

 

Eagle Bulk Shipping, Inc.*

 

46,514

 

798

 

Eastern Co. (The)

 

11,172

 

8,724

 

EMCOR Group, Inc.*

 

207,631

 

2,403

 

Encore Wire Corp.

 

47,820

 

6,323

 

Ener1, Inc.*

 

37,053

 

6,072

 

Energy Conversion Devices, Inc.*

 

60,234

 

4,455

 

Energy Recovery, Inc.*

 

24,903

 

10,001

 

EnergySolutions, Inc.

 

85,809

 

1,856

 

EnerNOC, Inc.*

 

49,110

 

5,358

 

EnerSys*

 

121,948

 

3,439

 

Ennis, Inc.

 

49,831

 

2,649

 

EnPro Industries, Inc.*

 

60,768

 

3,470

 

ESCO Technologies, Inc.*

 

115,898

 

3,931

 

Esterline Technologies Corp.*

 

158,773

 

24,887

 

Evergreen Solar, Inc.*

 

34,842

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,812

 

Exponent, Inc.*

 

$

48,906

 

6,441

 

Federal Signal Corp.

 

36,907

 

2,184

 

Flanders Corp.*

 

10,330

 

6,038

 

Flow International Corp.*

 

15,155

 

9,276

 

Force Protection, Inc.*

 

47,864

 

3,825

 

Forward Air Corp.

 

86,675

 

1,700

 

Franklin Covey Co.*

 

9,163

 

3,057

 

Franklin Electric Co., Inc.

 

84,190

 

1,581

 

FreightCar America, Inc.

 

28,853

 

2,331

 

Fuel Tech, Inc.*

 

19,977

 

9,666

 

FuelCell Energy, Inc.*

 

29,578

 

4,841

 

Furmanite Corp.*

 

15,878

 

2,088

 

Fushi Copperweld, Inc.*

 

16,850

 

2,446

 

G&K Services, Inc., Class A

 

54,057

 

3,418

 

Genco Shipping & Trading Ltd.*

 

80,255

 

6,675

 

GenCorp, Inc.*

 

52,132

 

4,917

 

Genesee & Wyoming, Inc., Class A*

 

153,017

 

6,769

 

Geo Group, Inc. (The)*

 

134,568

 

2,457

 

GeoEye, Inc.*

 

76,585

 

3,568

 

Gibraltar Industries, Inc.

 

53,449

 

1,901

 

Gorman-Rupp Co. (The)

 

47,335

 

2,079

 

GP Strategies Corp.*

 

12,640

 

15,942

 

GrafTech International Ltd.*

 

234,507

 

1,344

 

Graham Corp.

 

24,918

 

4,542

 

Granite Construction, Inc.

 

136,124

 

5,298

 

Great Lakes Dredge & Dock Corp.

 

31,205

 

2,204

 

Greenbrier Cos., Inc.

 

23,649

 

5,751

 

Griffon Corp.*

 

59,810

 

4,163

 

GT Solar International, Inc.*

 

19,733

 

3,633

 

H&E Equipment Services, Inc.*

 

33,642

 

1,990

 

Harbin Electric, Inc.*

 

39,840

 

6,839

 

Hawaiian Holdings, Inc.*

 

42,744

 

5,740

 

Healthcare Services Group, Inc.

 

113,021

 

6,684

 

Heartland Express, Inc.

 

98,589

 

3,062

 

HEICO Corp.

 

114,672

 

2,258

 

Heidrick & Struggles International, Inc.

 

63,789

 

340

 

Heritage-Crystal Clean, Inc.*

 

3,519

 

1,802

 

Herley Industries, Inc.*

 

20,831

 

7,126

 

Herman Miller, Inc.

 

108,244

 

12,809

 

Hexcel Corp.*

 

135,135

 

3,302

 

Hill International, Inc.*

 

20,175

 

5,948

 

HNI Corp.

 

150,306

 

4,003

 

Horizon Lines, Inc., Class A

 

21,416

 

2,339

 

Houston Wire & Cable Co.

 

25,986

 

4,921

 

HUB Group, Inc., Class A*

 

130,160

 

850

 

Hurco Cos., Inc.*

 

12,113

 

2,857

 

Huron Consulting Group, Inc.*

 

65,140

 

1,171

 

ICF International, Inc.*

 

31,617

 

1,221

 

ICT Group, Inc.*

 

19,499

 

3,308

 

II-VI, Inc.*

 

94,212

 

3,253

 

Innerworkings, Inc.*

 

16,720

 

5,150

 

Insituform Technologies, Inc., Class A*

 

106,605

 

2,319

 

Insteel Industries, Inc.

 

26,413

 

795

 

Integrated Electrical Services, Inc.*

 

5,414

 

6,437

 

Interface, Inc., Class A

 

49,436

 

4,291

 

Interline Brands, Inc.*

 

72,175

 

728

 

International Shipholding Corp.

 

24,177

 

33,575

 

JetBlue Airways Corp.*

 

184,998

 

3,650

 

John Bean Technologies Corp.

 

62,671

 

1,628

 

Kadant, Inc.*

 

23,476

 

3,400

 

Kaman Corp.

 

77,010

 

4,396

 

Kaydon Corp.

 

156,322

 

3,464

 

Kelly Services, Inc., Class A*

 

36,337

 

3,797

 

Kforce, Inc.*

 

49,171

 

4,245

 

Kimball International, Inc., Class B

 

34,597

 

7,578

 

Knight Transportation, Inc.

 

128,902

 

6,228

 

Knoll, Inc.

 

60,536

 

5,935

 

Korn/Ferry International*

 

96,266

 

337

 

K-Tron International, Inc.*

 

32,301

 

1,351

 

L.B. Foster Co., Class A*

 

36,990

 

1,677

 

LaBarge, Inc.*

 

18,715

 

2,101

 

Ladish Co., Inc.*

 

29,183

 

540

 

Lawson Products, Inc.

 

7,749

 

2,573

 

Layne Christensen Co.*

 

66,949

 

1,635

 

Lindsay Corp.

 

57,372

 

1,135

 

LMI Aerospace, Inc.*

 

12,088

 

2,488

 

LSI Industries, Inc.

 

18,013

 

1,416

 

M&F Worldwide Corp.*

 

46,799

 

2,038

 

Marten Transport Ltd.*

 

34,361

 

6,895

 

MasTec, Inc.*

 

87,980

 

3,142

 

McGrath RentCorp.

 

64,945

 

4,394

 

Metalico, Inc.*

 

18,191

 

1,941

 

Met-Pro Corp.

 

17,663

 

1,045

 

Michael Baker Corp.*

 

39,762

 

10,101

 

Microvision, Inc.*

 

32,929

 

2,162

 

Middleby Corp.*

 

96,966

 

1,339

 

Miller Industries, Inc.*

 

14,729

 

3,537

 

Mine Safety Appliances Co.

 

87,505

 

4,707

 

Mobile Mini, Inc.*

 

71,593

 

5,993

 

Moog, Inc., Class A*

 

158,275

 

12,260

 

MPS Group, Inc.*

 

167,349

 

4,921

 

Mueller Industries, Inc.

 

115,693

 

20,381

 

Mueller Water Products, Inc., Class A

 

102,720

 

1,376

 

Multi-Color Corp.

 

15,177

 

2,280

 

MYR Group, Inc.*

 

35,614

 

707

 

NACCO Industries, Inc., Class A

 

35,725

 

6,622

 

Navigant Consulting, Inc.*

 

87,742

 

11,951

 

NCI Building Systems, Inc.*

 

22,229

 

4,461

 

Nordson Corp.

 

239,154

 

1,693

 

North American Galvanizing & Coating, Inc.*

 

8,262

 

1,233

 

Northwest Pipe Co.*

 

31,158

 

7,771

 

Odyssey Marine Exploration, Inc.*

 

11,035

 

3,694

 

Old Dominion Freight Line, Inc.*

 

97,817

 

359

 

Omega Flex, Inc.

 

5,956

 

4,787

 

On Assignment, Inc.*

 

30,350

 

7,465

 

Orbital Sciences Corp.*

 

93,536

 

2,306

 

Orion Energy Systems, Inc.*

 

9,270

 

3,552

 

Orion Marine Group, Inc.*

 

65,676

 

4,707

 

Otter Tail Corp.

 

108,402

 

4,628

 

Pacer International, Inc.

 

13,144

 

157

 

Patriot Transportation Holding, Inc.*

 

14,675

 

7,150

 

Perma-Fix Environmental Services*

 

16,445

 

2,196

 

Pike Electric Corp.*

 

20,115

 

1,731

 

PMFG, Inc.*

 

25,619

 

2,994

 

Polypore International, Inc.*

 

35,239

 

879

 

Portec Rail Products, Inc.

 

7,788

 

1,033

 

Powell Industries, Inc.*

 

36,258

 

10,204

 

Power-One, Inc.*

 

37,551

 

2,284

 

PowerSecure International, Inc.*

 

18,843

 

297

 

Preformed Line Products Co.

 

12,014

 

1,072

 

Primoris Services Corp.

 

8,104

 

4,981

 

Quanex Building Products Corp.

 

80,742

 

2,119

 

Raven Industries, Inc.

 

57,192

 

2,873

 

RBC Bearings, Inc.*

 

66,539

 

4,742

 

Regal-Beloit Corp.

 

225,055

 

4,572

 

Republic Airways Holdings, Inc.*

 

31,135

 

5,964

 

Resources Connection, Inc.*

 

114,926

 

3,513

 

Robbins & Myers, Inc.

 

80,764

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

5,810

 

Rollins, Inc.

 

$

103,244

 

6,507

 

RSC Holdings, Inc.*

 

41,385

 

4,232

 

Rush Enterprises, Inc., Class A*

 

45,579

 

1,794

 

Saia, Inc.*

 

25,869

 

9,308

 

Satcon Technology Corp.*

 

18,616

 

1,488

 

Sauer-Danfoss, Inc.

 

12,856

 

1,983

 

Schawk, Inc.

 

22,368

 

2,488

 

School Specialty, Inc.*

 

56,726

 

32

 

Seaboard Corp.

 

46,528

 

5,049

 

Simpson Manufacturing Co., Inc.

 

125,518

 

7,368

 

Skywest, Inc.

 

108,383

 

1,177

 

SmartHeat, Inc.*

 

15,560

 

6,867

 

Spherion Corp.*

 

35,914

 

999

 

Standard Parking Corp.*

 

16,084

 

2,318

 

Standard Register Co. (The)

 

10,477

 

1,630

 

Standex International Corp.

 

29,748

 

1,516

 

Stanley, Inc.*

 

40,447

 

9,448

 

Steelcase, Inc., Class A

 

51,586

 

1,751

 

Sterling Construction Co., Inc.*

 

30,292

 

1,637

 

Sun Hydraulics Corp.

 

38,715

 

4,582

 

SYKES Enterprises, Inc.*

 

112,488

 

2,006

 

TAL International Group, Inc.

 

27,402

 

8,208

 

Taser International, Inc.*

 

34,720

 

1,760

 

TBS International Ltd., Class A*

 

13,640

 

2,496

 

Team, Inc.*

 

40,934

 

2,445

 

Tecumseh Products Co., Class A*

 

27,922

 

4,783

 

Teledyne Technologies, Inc.*

 

160,326

 

2,485

 

Tennant Co.

 

67,642

 

7,993

 

Tetra Tech, Inc.*

 

210,536

 

1,223

 

Textainer Group Holdings Ltd.

 

19,507

 

4,664

 

Titan International, Inc.

 

38,618

 

1,711

 

Titan Machinery, Inc.*

 

19,215

 

766

 

Todd Shipyards Corp.

 

12,892

 

3,918

 

Tredegar Corp.

 

56,458

 

2,043

 

Trex Co., Inc.*

 

36,631

 

2,038

 

Trimas Corp.*

 

9,151

 

2,209

 

Triumph Group, Inc.

 

106,010

 

5,815

 

TrueBlue, Inc.*

 

70,710

 

3,420

 

Tutor Perini Corp.*

 

56,840

 

1,122

 

Twin Disc, Inc.

 

10,648

 

22,139

 

UAL Corp.*

 

171,799

 

1,598

 

Ultralife Corp.*

 

5,881

 

2,853

 

Ultrapetrol Bahamas Ltd.*

 

13,181

 

253

 

United Capital Corp.*

 

5,063

 

7,963

 

United Rentals, Inc.*

 

73,419

 

3,139

 

United Stationers, Inc.*

 

159,901

 

2,537

 

Universal Forest Products, Inc.

 

91,180

 

779

 

Universal Truckload Services, Inc.

 

11,864

 

21,337

 

US Airways Group, Inc.*

 

78,734

 

1,033

 

USA Truck, Inc.*

 

11,776

 

6,649

 

Valence Technology, Inc.*

 

7,114

 

2,722

 

Viad Corp.

 

50,275

 

2,596

 

Vicor Corp.*

 

21,287

 

1,600

 

Volt Information Sciences, Inc.*

 

14,192

 

549

 

VSE Corp.

 

24,952

 

2,363

 

Waste Services, Inc.*

 

18,809

 

3,525

 

Watsco, Inc.

 

176,814

 

5,649

 

Watson Wyatt Worldwide, Inc., Class A

 

233,530

 

3,883

 

Watts Water Technologies, Inc., Class A

 

119,014

 

5,642

 

Werner Enterprises, Inc.

 

105,280

 

620

 

Willis Lease Finance Corp.*

 

8,711

 

7,993

 

Woodward Governor Co.

 

185,917

 

7,883

 

YRC Worldwide, Inc.*

 

8,908

 

 

 

 

 

17,828,862

 

 

 

Information Technology - 13.1%

 

 

 

 

 

 

 

 

 

51,363

 

3Com Corp.*

 

378,545

 

3,638

 

3PAR, Inc.*

 

37,289

 

4,643

 

ACI Worldwide, Inc.*

 

76,517

 

5,154

 

Acme Packet, Inc.*

 

52,880

 

3,458

 

Actel Corp.*

 

40,320

 

6,070

 

ActivIdentity Corp.*

 

12,929

 

5,932

 

Actuate Corp.*

 

23,906

 

8,992

 

Acxiom Corp.*

 

103,768

 

16,142

 

Adaptec, Inc.*

 

50,524

 

12,800

 

ADC Telecommunications, Inc.*

 

78,464

 

7,327

 

ADTRAN, Inc.

 

154,820

 

5,689

 

Advanced Analogic Technologies, Inc.*

 

18,205

 

4,373

 

Advanced Energy Industries, Inc.*

 

47,797

 

2,023

 

Advent Software, Inc.*

 

76,712

 

2,019

 

Agilysys, Inc.

 

16,657

 

3,325

 

Airvana, Inc.*

 

20,183

 

2,945

 

American Software, Inc., Class A

 

18,023

 

14,470

 

Amkor Technology, Inc.*

 

80,308

 

8,374

 

Anadigics, Inc.*

 

25,792

 

1,929

 

Anaren, Inc.*

 

26,562

 

3,944

 

Anixter International, Inc.*

 

170,460

 

8,728

 

Applied Micro Circuits Corp.*

 

64,849

 

2,432

 

ArcSight, Inc.*

 

55,328

 

11,588

 

Ariba, Inc.*

 

125,614

 

16,415

 

Arris Group, Inc.*

 

163,986

 

16,776

 

Art Technology Group, Inc.*

 

67,775

 

7,799

 

Aruba Networks, Inc.*

 

62,392

 

3,871

 

AsiaInfo Holdings, Inc.*

 

95,188

 

8,100

 

Atheros Communications, Inc.*

 

230,607

 

4,152

 

ATMI, Inc.*

 

64,564

 

3,750

 

Avid Technology, Inc.*

 

44,625

 

5,862

 

Avocent Corp.*

 

146,433

 

1,366

 

Bel Fuse, Inc., Class B

 

24,369

 

8,644

 

Benchmark Electronics, Inc.*

 

155,851

 

4,710

 

BigBand Networks, Inc.*

 

16,909

 

2,321

 

Black Box Corp.

 

65,429

 

5,805

 

Blackbaud, Inc.

 

129,219

 

4,206

 

Blackboard, Inc.*

 

175,516

 

5,236

 

Blue Coat Systems, Inc.*

 

138,387

 

3,322

 

Bottomline Technologies, Inc.*

 

53,451

 

6,638

 

Brightpoint, Inc.*

 

47,661

 

8,515

 

Brooks Automation, Inc.*

 

62,415

 

3,104

 

Cabot Microelectronics Corp.*

 

94,951

 

3,977

 

CACI International, Inc., Class A*

 

184,612

 

3,427

 

Callidus Software, Inc.*

 

9,493

 

1,101

 

Cass Information Systems, Inc.

 

31,004

 

4,805

 

Cavium Networks, Inc.*

 

96,917

 

2,599

 

Ceva, Inc.*

 

30,252

 

5,156

 

Checkpoint Systems, Inc.*

 

73,112

 

3,567

 

China Information Security Technology, Inc.*

 

21,295

 

5,819

 

China Security & Surveillance Technology, Inc.*

 

35,089

 

1,147

 

China TransInfo Technology Corp.*

 

8,511

 

4,003

 

Chordiant Software, Inc.*

 

11,168

 

9,098

 

Ciber, Inc.*

 

28,841

 

8,639

 

Cirrus Logic, Inc.*

 

46,910

 

5,654

 

Cogent, Inc.*

 

48,229

 

5,254

 

Cognex Corp.

 

86,481

 

3,055

 

Cogo Group, Inc.*

 

17,413

 

2,869

 

Coherent, Inc.*

 

72,930

 

3,094

 

Cohu, Inc.

 

36,447

 

807

 

Communications Systems, Inc.

 

9,159

 

5,514

 

CommVault Systems, Inc.*

 

114,691

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

2,220

 

Compellent Technologies, Inc.*

 

$

46,109

 

1,975

 

Computer Task Group, Inc.*

 

12,186

 

2,848

 

comScore, Inc.*

 

45,596

 

3,723

 

Comtech Telecommunications Corp.*

 

106,999

 

2,530

 

Comverge, Inc.*

 

26,008

 

5,273

 

Concur Technologies, Inc.*

 

195,417

 

3,186

 

Constant Contact, Inc.*

 

56,902

 

968

 

CPI International, Inc.*

 

9,351

 

4,516

 

Cray, Inc.*

 

31,567

 

4,652

 

CSG Systems International, Inc.*

 

90,063

 

4,466

 

CTS Corp.

 

41,400

 

9,152

 

Cybersource Corp.*

 

157,140

 

3,931

 

Cymer, Inc.*

 

131,453

 

4,447

 

Daktronics, Inc.

 

37,666

 

1,898

 

DDi Corp.*

 

7,326

 

4,965

 

DealerTrack Holdings, Inc.*

 

84,703

 

2,427

 

Deltek, Inc.*

 

18,469

 

2,666

 

DemandTec, Inc.*

 

23,514

 

2,745

 

DG FastChannel, Inc.*

 

73,978

 

2,075

 

Dice Holdings, Inc.*

 

11,163

 

3,258

 

Digi International, Inc.*

 

25,706

 

5,059

 

Digital River, Inc.*

 

127,639

 

4,229

 

Diodes, Inc.*

 

74,177

 

4,286

 

DivX, Inc.*

 

21,773

 

2,278

 

Double-Take Software, Inc.*

 

20,046

 

3,010

 

DSP Group, Inc.*

 

18,933

 

2,305

 

DTS, Inc.*

 

69,473

 

1,143

 

Dynamics Research Corp.*

 

13,144

 

14,007

 

Earthlink, Inc.

 

115,278

 

899

 

Ebix, Inc.*

 

46,667

 

4,290

 

Echelon Corp.*

 

47,447

 

2,375

 

Electro Rent Corp.

 

24,059

 

3,635

 

Electro Scientific Industries, Inc.*

 

35,369

 

6,520

 

Electronics for Imaging, Inc.*

 

78,305

 

870

 

eLoyalty Corp.*

 

6,090

 

9,975

 

Emcore Corp.*

 

8,978

 

2,024

 

EMS Technologies, Inc.*

 

26,069

 

11,001

 

Emulex Corp.*

 

107,150

 

17,225

 

Entegris, Inc.*

 

71,828

 

6,992

 

Entropic Communications, Inc.*

 

20,277

 

6,263

 

Epicor Software Corp.*

 

46,972

 

4,279

 

EPIQ Systems, Inc.*

 

55,413

 

481

 

ePlus, Inc.*

 

7,609

 

6,446

 

Euronet Worldwide, Inc.*

 

136,913

 

4,665

 

Exar Corp.*

 

32,748

 

1,972

 

ExlService Holdings, Inc.*

 

31,986

 

11,781

 

Extreme Networks*

 

25,683

 

6,466

 

Fair Isaac Corp.

 

118,005

 

4,560

 

FalconStor Software, Inc.*

 

17,602

 

2,210

 

FARO Technologies, Inc.*

 

43,117

 

4,951

 

FEI Co.*

 

120,903

 

6,539

 

Formfactor, Inc.*

 

110,836

 

2,068

 

Forrester Research, Inc.*

 

51,803

 

7,849

 

Gartner, Inc.*

 

148,503

 

4,966

 

Global Cash Access Holdings, Inc.*

 

36,947

 

2,762

 

Globecomm Systems, Inc.*

 

22,124

 

2,509

 

GSE Systems, Inc.*

 

11,943

 

3,678

 

GSI Commerce, Inc.*

 

82,167

 

2,437

 

GSI Technology, Inc.*

 

11,405

 

5,092

 

Hackett Group, Inc. (The)*

 

13,545

 

12,668

 

Harmonic, Inc.*

 

64,100

 

7,816

 

Harris Stratex Networks, Inc., Class A*

 

49,084

 

4,963

 

Heartland Payment Systems, Inc.

 

53,054

 

2,847

 

Hittite Microwave Corp.*

 

107,389

 

1,178

 

Hughes Communications, Inc.*

 

30,275

 

2,142

 

i2 Technologies, Inc.*

 

39,413

 

1,510

 

ICx Technologies, Inc.*

 

7,565

 

3,006

 

iGate Corp.

 

28,707

 

3,933

 

Imation Corp.

 

34,492

 

1,042

 

Imergent, Inc.

 

6,398

 

3,696

 

Immersion Corp.*

 

14,784

 

11,128

 

Infinera Corp.*

 

91,583

 

4,518

 

infoGROUP, Inc.*

 

36,596

 

11,549

 

Informatica Corp.*

 

259,275

 

3,143

 

Information Services Group, Inc.*

 

10,120

 

4,639

 

Infospace, Inc.*

 

37,947

 

2,849

 

Innodata Isogen, Inc.*

 

14,900

 

6,075

 

Insight Enterprises, Inc.*

 

61,661

 

2,291

 

Integral Systems, Inc.*

 

20,367

 

2,826

 

Intellon Corp.*

 

20,941

 

1,678

 

Interactive Intelligence, Inc.*

 

28,962

 

5,786

 

InterDigital, Inc.*

 

137,649

 

8,228

 

Intermec, Inc.*

 

101,122

 

6,733

 

Internap Network Services Corp.*

 

25,047

 

3,629

 

Internet Brands, Inc., Class A*

 

25,076

 

4,859

 

Internet Capital Group, Inc.*

 

31,243

 

2,908

 

Intevac, Inc.*

 

36,176

 

6,672

 

Ipass, Inc.*

 

7,806

 

3,062

 

IPG Photonics Corp.*

 

45,838

 

3,432

 

Isilon Systems, Inc.*

 

20,420

 

4,157

 

Ixia*

 

27,561

 

3,134

 

IXYS Corp.*

 

20,183

 

5,918

 

j2 Global Communications, Inc.*

 

117,650

 

11,110

 

Jack Henry & Associates, Inc.

 

253,863

 

3,506

 

JDA Software Group, Inc.*

 

82,321

 

2,977

 

Kenexa Corp.*

 

32,300

 

1,635

 

Keynote Systems, Inc.

 

17,445

 

3,991

 

Knot, Inc. (The)*

 

38,074

 

8,947

 

Kopin Corp.*

 

38,562

 

9,055

 

Kulicke & Soffa Industries, Inc.*

 

41,110

 

1,847

 

KVH Industries, Inc.*

 

22,293

 

9,915

 

L-1 Identity Solutions, Inc.*

 

60,878

 

15,269

 

Lattice Semiconductor Corp.*

 

33,439

 

18,225

 

Lawson Software, Inc.*

 

119,374

 

4,350

 

Limelight Networks, Inc.*

 

14,921

 

7,593

 

Lionbridge Technologies, Inc.*

 

15,110

 

1,986

 

Liquidity Services, Inc.*

 

16,325

 

2,876

 

Littelfuse, Inc.*

 

75,294

 

5,479

 

LivePerson, Inc.*

 

34,737

 

997

 

LogMeIn, Inc.*

 

17,777

 

2,655

 

LoopNet, Inc.*

 

27,054

 

1,412

 

Loral Space & Communications, Inc.*

 

46,751

 

3,053

 

Manhattan Associates, Inc.*

 

71,929

 

2,902

 

Mantech International Corp., Class A*

 

125,599

 

2,606

 

Marchex, Inc., Class B

 

12,092

 

2,315

 

MAXIMUS, Inc.

 

107,624

 

2,976

 

Maxwell Technologies, Inc.*

 

48,925

 

1,921

 

Measurement Specialties, Inc.*

 

17,462

 

2,058

 

MEMSIC, Inc.*

 

6,812

 

12,484

 

Mentor Graphics Corp.*

 

92,007

 

3,430

 

MercadoLibre, Inc.*

 

169,305

 

2,997

 

Mercury Computer Systems, Inc.*

 

31,798

 

5,014

 

Methode Electronics, Inc.

 

39,911

 

5,995

 

Micrel, Inc.

 

42,864

 

10,758

 

Microsemi Corp.*

 

163,844

 

1,188

 

MicroStrategy, Inc., Class A*

 

104,033

 

6,897

 

Microtune, Inc.*

 

12,001

 

5,968

 

MIPS Technologies, Inc.*

 

22,440

 

6,529

 

MKS Instruments, Inc.*

 

98,914

 

6,062

 

ModusLink Global Solutions, Inc.*

 

48,981

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

10,941

 

MoneyGram International, Inc.*

 

$

27,134

 

4,484

 

Monolithic Power Systems, Inc.*

 

96,406

 

2,867

 

Monotype Imaging Holdings, Inc.*

 

22,191

 

20,428

 

Move, Inc.*

 

31,459

 

2,210

 

MTS Systems Corp.

 

56,952

 

1,299

 

Multi-Fineline Electronix, Inc.*

 

32,384

 

877

 

NCI, Inc., Class A*

 

22,065

 

5,128

 

Ness Technologies, Inc.*

 

25,948

 

4,118

 

Net 1 UEPS Technologies, Inc.*

 

76,924

 

6,248

 

Netezza Corp.*

 

63,355

 

4,560

 

Netgear, Inc.*

 

90,516

 

2,400

 

Netlogic Microsystems, Inc.*

 

97,920

 

3,257

 

Netscout Systems, Inc.*

 

41,006

 

2,212

 

NetSuite, Inc.*

 

30,880

 

3,877

 

Network Equipment Technologies, Inc.*

 

13,298

 

4,791

 

Newport Corp.*

 

35,022

 

6,680

 

NIC, Inc.

 

57,849

 

4,031

 

Novatel Wireless, Inc.*

 

33,780

 

611

 

NVE Corp.*

 

23,004

 

6,637

 

Omnivision Technologies, Inc.*

 

92,653

 

3,368

 

Online Resources Corp.*

 

18,524

 

391

 

OpenTable, Inc.*

 

10,350

 

11,038

 

Openwave Systems, Inc.*

 

26,050

 

2,724

 

Oplink Communications, Inc.*

 

46,962

 

1,734

 

Opnet Technologies, Inc.

 

18,242

 

3,692

 

Opnext, Inc.*

 

6,756

 

2,068

 

OSI Systems, Inc.*

 

42,249

 

21,920

 

Palm, Inc.*

 

239,147

 

1,068

 

PAR Technology Corp.*

 

5,778

 

15,364

 

Parametric Technology Corp.*

 

231,382

 

2,724

 

Park Electrochemical Corp.

 

64,423

 

3,890

 

Parkervision, Inc.*

 

7,080

 

1,245

 

PC Connection, Inc.*

 

7,632

 

1,373

 

PC Mall, Inc.*

 

7,950

 

2,496

 

PC-Tel, Inc.*

 

14,277

 

1,986

 

Pegasystems, Inc.

 

57,058

 

3,790

 

Perficient, Inc.*

 

31,760

 

3,353

 

Pericom Semiconductor Corp.*

 

34,569

 

2,035

 

Pervasive Software, Inc.*

 

9,972

 

4,640

 

Phoenix Technologies Ltd.*

 

12,203

 

7,022

 

Photronics, Inc.*

 

28,369

 

6,473

 

Plantronics, Inc.

 

149,850

 

5,243

 

Plexus Corp.*

 

142,400

 

4,464

 

PLX Technology, Inc.*

 

13,660

 

11,116

 

Polycom, Inc.*

 

239,661

 

3,163

 

Power Integrations, Inc.

 

106,245

 

17,476

 

Powerwave Technologies, Inc.*

 

24,466

 

5,292

 

Progress Software Corp.*

 

127,484

 

2,532

 

PROS Holdings, Inc.*

 

19,750

 

1,652

 

QAD, Inc.

 

9,169

 

27,858

 

Quantum Corp.*

 

67,974

 

8,112

 

Quest Software, Inc.*

 

136,525

 

8,803

 

Rackspace Hosting, Inc.*

 

162,944

 

3,635

 

Radiant Systems, Inc.*

 

35,223

 

3,093

 

Radisys Corp.*

 

28,858

 

5,378

 

RAE Systems, Inc.*

 

4,141

 

11,001

 

RealNetworks, Inc.*

 

35,973

 

860

 

Renaissance Learning, Inc.

 

9,331

 

35,224

 

RF Micro Devices, Inc.*

 

152,168

 

2,887

 

RightNow Technologies, Inc.*

 

40,822

 

1,246

 

Rimage Corp.*

 

20,235

 

7,250

 

Riverbed Technology, Inc.*

 

147,610

 

3,821

 

Rofin-Sinar Technologies, Inc.*

 

87,042

 

2,075

 

Rogers Corp.*

 

58,432

 

823

 

Rosetta Stone, Inc.*

 

14,509

 

1,652

 

Rubicon Technology, Inc.*

 

28,778

 

4,089

 

Rudolph Technologies, Inc.*

 

26,578

 

7,002

 

S1 Corp.*

 

41,732

 

3,252

 

Saba Software, Inc.*

 

13,691

 

11,177

 

Sapient Corp.*

 

82,263

 

4,787

 

SAVVIS, Inc.*

 

59,933

 

3,515

 

Scansource, Inc.*

 

81,794

 

4,221

 

Seachange International, Inc.*

 

23,553

 

3,002

 

Semitool, Inc.*

 

32,932

 

8,080

 

Semtech Corp.*

 

129,442

 

5,860

 

ShoreTel, Inc.*

 

29,945

 

3,528

 

Sigma Designs, Inc.*

 

41,207

 

3,962

 

Silicon Graphics International Corp.*

 

23,970

 

9,909

 

Silicon Image, Inc.*

 

21,701

 

10,534

 

Silicon Storage Technology, Inc.*

 

24,018

 

22,182

 

Skyworks Solutions, Inc.*

 

273,060

 

4,852

 

SMART Modular Technologies WWH, Inc.*

 

21,494

 

3,759

 

Smith Micro Software, Inc.*

 

23,794

 

1,607

 

SolarWinds, Inc.*

 

29,810

 

9,200

 

Solera Holdings, Inc.

 

321,632

 

7,129

 

SonicWALL, Inc.*

 

55,535

 

27,325

 

Sonus Networks, Inc.*

 

59,569

 

2,936

 

Sourcefire, Inc.*

 

57,634

 

1,671

 

Spectrum Control, Inc.*

 

14,605

 

5,523

 

SRA International, Inc., Class A*

 

99,690

 

1,529

 

SRS Labs, Inc.*

 

10,596

 

2,906

 

Standard Microsystems Corp.*

 

55,911

 

5,182

 

Starent Networks Corp.*

 

178,727

 

1,579

 

StarTek, Inc.*

 

10,942

 

3,278

 

STEC, Inc.*

 

40,614

 

2,669

 

Stratasys, Inc.*

 

39,635

 

6,126

 

SuccessFactors, Inc.*

 

92,258

 

3,029

 

Super Micro Computer, Inc.*

 

29,502

 

1,453

 

Supertex, Inc.*

 

34,756

 

6,151

 

support.com, Inc.*

 

14,578

 

2,706

 

Switch & Data Facilities Co., Inc.*

 

49,953

 

25,500

 

Sycamore Networks, Inc.*

 

72,165

 

5,781

 

Symmetricom, Inc.*

 

25,379

 

4,518

 

Symyx Technologies, Inc.*

 

19,201

 

4,548

 

Synaptics, Inc.*

 

122,523

 

2,516

 

Synchronoss Technologies, Inc.*

 

33,916

 

2,541

 

SYNNEX Corp.*

 

71,936

 

1,705

 

Syntel, Inc.

 

64,500

 

10,642

 

Take-Two Interactive Software, Inc.*

 

119,722

 

4,132

 

Taleo Corp., Class A*

 

85,367

 

5,419

 

Technitrol, Inc.

 

27,420

 

1,527

 

TechTarget, Inc.*

 

8,933

 

2,087

 

Techwell, Inc.*

 

24,334

 

8,830

 

Tekelec*

 

125,563

 

5,063

 

TeleCommunication Systems, Inc., Class A*

 

42,681

 

4,292

 

TeleTech Holdings, Inc.*

 

82,793

 

7,698

 

Terremark Worldwide, Inc.*

 

47,035

 

6,452

 

Tessera Technologies, Inc.*

 

152,719

 

8,948

 

THQ, Inc.*

 

43,845

 

23,258

 

TIBCO Software, Inc.*

 

200,019

 

2,320

 

Tier Technologies, Inc., Class B*

 

17,748

 

13,848

 

TiVo, Inc.*

 

137,095

 

3,336

 

TNS, Inc.*

 

83,567

 

736

 

Travelzoo, Inc.*

 

10,407

 

8,344

 

Trident Microsystems, Inc.*

 

15,770

 

19,527

 

TriQuint Semiconductor, Inc.*

 

106,227

 

5,720

 

TTM Technologies, Inc.*

 

59,316

 

4,132

 

Tyler Technologies, Inc.*

 

82,557

 

3,228

 

Ultimate Software Group, Inc.*

 

86,930

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

3,123

 

Ultratech, Inc.*

 

$

41,161

 

1,886

 

Unica Corp.*

 

12,825

 

5,613

 

Unisys Corp.*

 

180,121

 

11,076

 

United Online, Inc.

 

75,317

 

3,877

 

Universal Display Corp.*

 

41,406

 

15,005

 

Utstarcom, Inc.*

 

25,809

 

11,515

 

ValueClick, Inc.*

 

108,586

 

3,541

 

VASCO Data Security International, Inc.*

 

23,300

 

4,261

 

Veeco Instruments, Inc.*

 

116,368

 

9,558

 

VeriFone Holdings, Inc.*

 

126,739

 

3,440

 

Viasat, Inc.*

 

105,436

 

2,153

 

Virage Logic Corp.*

 

12,057

 

1,749

 

Virtusa Corp.*

 

15,339

 

2,193

 

Vocus, Inc.*

 

35,834

 

2,995

 

Volterra Semiconductor Corp.*

 

49,388

 

3,486

 

Web.com Group, Inc.*

 

20,742

 

5,870

 

Websense, Inc.*

 

92,335

 

3,032

 

White Electronic Designs Corp.*

 

13,068

 

5,079

 

Wright Express Corp.*

 

148,154

 

3,434

 

X-Rite, Inc.*

 

7,177

 

8,386

 

Zix Corp.*

 

13,250

 

6,844

 

Zoran Corp.*

 

62,554

 

1,965

 

Zygo Corp.*

 

12,812

 

 

 

 

 

20,879,158

 

 

 

Materials - 3.4%

 

 

 

 

 

 

 

 

 

3,096

 

A. Schulman, Inc.

 

50,527

 

2,204

 

A.M. Castle & Co.

 

28,872

 

706

 

AEP Industries, Inc.*

 

26,680

 

7,307

 

Allied Nevada Gold Corp.*

 

94,991

 

3,114

 

AMCOL International Corp.

 

84,857

 

2,603

 

American Vanguard Corp.

 

19,132

 

2,786

 

Ampal-American Israel Corp., Class A*

 

8,358

 

3,319

 

Arch Chemicals, Inc.

 

88,982

 

2,422

 

Balchem Corp.

 

77,213

 

3,879

 

Boise, Inc.*

 

18,968

 

2,661

 

Brush Engineered Materials, Inc.*

 

47,100

 

5,129

 

Buckeye Technologies, Inc.*

 

49,649

 

995

 

Bway Holding Co.*

 

15,840

 

7,249

 

Calgon Carbon Corp.*

 

101,414

 

6,017

 

Century Aluminum Co.*

 

58,666

 

1,324

 

China Green Agriculture, Inc.*

 

21,184

 

4,110

 

China Precision Steel, Inc.*

 

8,837

 

1,510

 

Clearwater Paper Corp.*

 

74,186

 

9,985

 

Coeur d’Alene Mines Corp.*

 

227,758

 

1,406

 

Deltic Timber Corp.

 

53,737

 

5,499

 

Domtar Corp.*

 

310,254

 

5,954

 

Ferro Corp.

 

38,522

 

8,440

 

General Moly, Inc.*

 

18,990

 

2,374

 

General Steel Holdings, Inc.*

 

9,520

 

6,035

 

Glatfelter

 

67,109

 

14,795

 

Graphic Packaging Holding Co.*

 

39,947

 

6,444

 

H.B. Fuller Co.

 

131,200

 

1,156

 

Hawkins, Inc.

 

25,247

 

1,592

 

Haynes International, Inc.*

 

42,666

 

6,699

 

Headwaters, Inc.*

 

31,552

 

31,344

 

Hecla Mining Co.*

 

207,184

 

5,745

 

Horsehead Holding Corp.*

 

64,459

 

3,653

 

ICO, Inc.*

 

15,452

 

2,280

 

Innophos Holdings, Inc.

 

56,476

 

3,127

 

Innospec, Inc.

 

27,799

 

2,044

 

Kaiser Aluminum Corp.

 

78,980

 

2,735

 

KapStone Paper and Packaging Corp.*

 

19,391

 

2,718

 

Koppers Holdings, Inc.

 

76,784

 

3,475

 

Landec Corp.*

 

21,823

 

16,638

 

Louisiana-Pacific Corp.*

 

103,821

 

2,283

 

LSB Industries, Inc.*

 

27,898

 

2,486

 

Minerals Technologies, Inc.

 

131,360

 

4,166

 

Myers Industries, Inc.

 

34,453

 

1,949

 

Neenah Paper, Inc.

 

27,150

 

1,339

 

NewMarket Corp.

 

140,220

 

905

 

NL Industries, Inc.

 

6,172

 

10,327

 

Olin Corp.

 

173,184

 

1,189

 

Olympic Steel, Inc.

 

32,971

 

4,044

 

OM Group, Inc.*

 

123,868

 

5,807

 

Omnova Solutions, Inc.*

 

38,442

 

10,323

 

Paramount Gold and Silver Corp.*

 

13,420

 

12,247

 

PolyOne Corp.*

 

87,934

 

1,461

 

Quaker Chemical Corp.

 

28,475

 

5,079

 

Rock-Tenn Co., Class A

 

229,418

 

6,526

 

Rockwood Holdings, Inc.*

 

146,900

 

3,986

 

RTI International Metals, Inc.*

 

78,963

 

2,024

 

Schweitzer-Mauduit International, Inc.

 

124,597

 

6,444

 

Sensient Technologies Corp.

 

163,291

 

3,723

 

ShengdaTech, Inc.*

 

23,604

 

3,548

 

Silgan Holdings, Inc.

 

190,066

 

15,765

 

Solutia, Inc.*

 

169,789

 

4,044

 

Spartech Corp.

 

43,958

 

970

 

Stepan Co.

 

60,838

 

5,419

 

Stillwater Mining Co.*

 

51,589

 

1,004

 

Sutor Technology Group Ltd.*

 

2,359

 

3,122

 

Texas Industries, Inc.

 

108,458

 

4,391

 

U.S. Concrete, Inc.*

 

3,118

 

10,569

 

U.S. Gold Corp.*

 

30,016

 

238

 

United States Lime & Minerals, Inc.*

 

8,135

 

893

 

Universal Stainless & Alloy*

 

14,493

 

5,758

 

Wausau Paper Corp.

 

58,444

 

2,598

 

Westlake Chemical Corp.

 

67,938

 

7,995

 

Worthington Industries, Inc.

 

93,621

 

9,554

 

WR Grace & Co.*

 

218,404

 

2,849

 

Zep, Inc.

 

50,370

 

3,686

 

Zoltek Cos., Inc.*

 

33,100

 

 

 

 

 

5,381,143

 

 

 

Telecommunication Services - 0.7%

 

 

 

 

 

 

 

 

 

1,628

 

AboveNet, Inc.*

 

83,516

 

5,855

 

Alaska Communications Systems Group, Inc.

 

42,800

 

1,184

 

Atlantic Tele-Network, Inc.

 

55,494

 

3,071

 

Cbeyond, Inc.*

 

39,647

 

28,465

 

Cincinnati Bell, Inc.*

 

84,826

 

5,863

 

Cogent Communications Group, Inc.*

 

49,894

 

3,087

 

Consolidated Communications Holdings, Inc.

 

46,922

 

5,574

 

General Communication, Inc., Class A*

 

33,667

 

3,853

 

Global Crossing Ltd.*

 

43,539

 

1,725

 

HickoryTech Corp.

 

14,128

 

3,631

 

Ibasis, Inc.*

 

10,857

 

3,581

 

inContact, Inc.*

 

8,272

 

4,333

 

Iowa Telecommunications Services, Inc.

 

68,895

 

2,254

 

iPCS, Inc.*

 

54,118

 

4,343

 

Neutral Tandem, Inc.*

 

100,193

 

4,006

 

NTELOS Holdings Corp.

 

67,341

 

16,268

 

PAETEC Holding Corp.*

 

59,704

 

8,047

 

Premiere Global Services, Inc.*

 

60,835

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,127

 

Shenandoah Telecommunications Co.

 

$

52,534

 

1,888

 

SureWest Communications*

 

16,444

 

9,078

 

Syniverse Holdings, Inc.*

 

143,977

 

2,990

 

USA Mobility, Inc.

 

29,840

 

2

 

Windstream Corp.

 

17

 

 

 

 

 

1,167,460

 

 

 

Utilities - 2.4%

 

 

 

 

 

 

 

 

 

3,881

 

Allete, Inc.

 

129,781

 

2,444

 

American States Water Co.

 

80,847

 

815

 

Artesian Resources Corp., Class A

 

13,651

 

7,236

 

Avista Corp.

 

150,581

 

5,144

 

Black Hills Corp.

 

121,244

 

1,646

 

Cadiz, Inc.*

 

21,299

 

2,606

 

California Water Service Group

 

95,327

 

1,536

 

Central Vermont Public Service Corp.

 

29,814

 

2,082

 

CH Energy Group, Inc.

 

84,071

 

1,240

 

Chesapeake Utilities Corp.

 

38,862

 

8,001

 

Cleco Corp.

 

204,185

 

1,123

 

Connecticut Water Service, Inc.

 

25,492

 

1,930

 

Consolidated Water Co., Ltd.

 

25,283

 

5,955

 

El Paso Electric Co.*

 

117,909

 

4,512

 

Empire District Electric Co. (The)

 

81,848

 

6,247

 

IDACORP, Inc.

 

184,724

 

2,938

 

Laclede Group, Inc. (The)

 

91,989

 

3,061

 

MGE Energy, Inc.

 

105,115

 

1,781

 

Middlesex Water Co.

 

28,781

 

5,591

 

New Jersey Resources Corp.

 

196,971

 

5,993

 

Nicor, Inc.

 

234,686

 

3,511

 

Northwest Natural Gas Co.

 

150,552

 

4,776

 

NorthWestern Corp.

 

123,173

 

565

 

Pennichuck Corp.

 

13,046

 

9,741

 

Piedmont Natural Gas Co., Inc.

 

230,862

 

11,481

 

PNM Resources, Inc.

 

127,898

 

9,963

 

Portland General Electric Co.

 

195,374

 

1,705

 

SJW Corp.

 

36,572

 

3,935

 

South Jersey Industries, Inc.

 

141,896

 

5,933

 

Southwest Gas Corp.

 

155,504

 

3,253

 

Southwest Water Co.

 

19,193

 

8,229

 

U.S. Geothermal, Inc.*

 

12,426

 

3,882

 

UIL Holdings Corp.

 

104,659

 

4,709

 

Unisource Energy Corp.

 

140,422

 

1,389

 

Unitil Corp.

 

29,433

 

6,639

 

WGL Holdings, Inc.

 

208,996

 

1,645

 

York Water Co.

 

24,000

 

 

 

 

 

3,776,466

 

 

 

Total Common Stocks
(Cost $89,412,635)

 

113,854,009

 

 

 

 

 

 

 

No. of
Warrants

 

 

 

 

 

 

 

Warrants - 0.0%

 

 

 

67

 

GreenHunter Energy, Inc., expiring 08/27/11 at $27.50*

 

—

 

 

 

Total Warrants
(Cost $—)

 

—

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 4.5%

 

 

 

$

201,126

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $201,127(b)

 

201,126

 

 

402,253

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $402,255(c)

 

 

402,253

 

1,206,758

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $1,206,772 (d)

 

1,206,758

 

241,853

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $241,854 (e)

 

241,853

 

422,365

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $422,367 (f)

 

422,365

 

804,506

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $804,523 (g)

 

804,506

 

201,126

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $201,127 (h)

 

201,126

 

1,206,758

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $1,206,763 (i)

 

1,206,758

 

1,005,632

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $1,005,636 (j)

 

1,005,632

 

603,379

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $603,382(k)

 

603,379

 

928,470

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $928,474(l)

 

928,470

 

 

 

Total Repurchase Agreements
(Cost $7,224,226)

 

7,224,226

 

 

 

Total Investment Securities
(Cost $96,636,861) — 75.9%

 

121,078,235

 

 

 

Other assets less liabilities — 24.1%

 

38,530,038

 

 

 

Net Assets — 100.0%

 

$

159,608,273

 

 

*

 

Non-income producing security.

^

 

Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2009, the value of these securities amounted to $632 or 0.00% of net assets.

(a)

 

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $29,742,325.

(b)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $205,149. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(c)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $410,298. The investment in the repurchase agreement was through participation in a pooled account.

(d)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $1,230,897. The investment in the repurchase agreement was through participation in a pooled account.

(e)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $246,690. The investment in the repurchase agreement was through participation in a pooled account.

(f)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $430,816. The investment in the repurchase agreement was through participation in a pooled account.

(g)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $820,598. The investment in the repurchase agreement was through participation in a pooled account.

(h)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $205,149. The investment in the repurchase agreement was through participation in a pooled account.

(i)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $1,230,895. The investment in the repurchase agreement was through participation in a pooled account.

(j)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $1,025,747. The investment in the repurchase agreement was through participation in a pooled account.

(k)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $615,448. The investment in the repurchase agreement was through participation in a pooled account.

(l)

 

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $947,041. The investment in the repurchase agreement was through participation in a pooled account.

 

 

 

REIT

     Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

—

 

Aggregate gross unrealized depreciation

 

(25,836,234

)

Net unrealized depreciation

 

$

(25,836,234

)

Federal income tax cost of investments

 

$

146,914,469

 

 

Futures Contracts Purchased

 

Ultra Russell2000 had the following open long futures contracts as of November 30, 2009:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini Russell 2000 Futures Contracts

 

500

 

12/18/09

 

$

28,950,000

 

$

(168,172

)

 

Cash collateral in the amount of $1,237,381 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

 

Swap Agreements

 

Ultra Russell2000 had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Index

 

$

7,013,620

 

$

(274,360

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index

 

7,532,261

 

(673,708

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index

 

156,217,420

 

37,677,076

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index

 

5,677,571

 

(223,015

)

 

 

 

 

 

 

 

 

 

 

$

36,505,993

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

113,853,377

 

$

632

 

$

113,854,009

 

Rights/Warrants

 

—

 

—

 

—

 

Repurchase Agreements

 

—

 

7,224,226

 

7,224,226

 

Total Investment Securities

 

113,853,377

 

7,224,858

 

121,078,235

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Futures Contracts

 

(168,172

)

—

 

(168,172

)

Swap Agreements

 

—

 

36,505,993

 

36,505,993

 

Total Other Financial Instruments

 

(168,172

)

36,505,993

 

36,337,821

 

Total Investments

 

$

113,685,205

 

$

43,730,851

 

$

157,416,056

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

UltraPro S&P500®

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 39.8%

 

 

 

 

 

Consumer Discretionary - 3.8%

 

 

 

 

 

 

 

 

 

312

 

Abercrombie & Fitch Co., Class A

 

$

12,458

 

1,179

 

Amazon.com, Inc.*

 

160,238

 

452

 

Apollo Group, Inc., Class A*

 

25,796

 

335

 

AutoNation, Inc.*

 

5,913

 

108

 

AutoZone, Inc.*

 

15,970

 

929

 

Bed Bath & Beyond, Inc.*

 

34,708

 

1,211

 

Best Buy Co., Inc.

 

51,867

 

293

 

Big Lots, Inc.*

 

6,757

 

213

 

Black & Decker Corp.

 

12,927

 

1,554

 

Carnival Corp.*

 

49,775

 

2,404

 

CBS Corp., Class B

 

30,795

 

1,128

 

Coach, Inc.

 

39,198

 

10,178

 

Comcast Corp., Class A

 

149,311

 

978

 

D.R. Horton, Inc.

 

10,054

 

495

 

Darden Restaurants, Inc.

 

15,558

 

220

 

DeVry, Inc.

 

11,950

 

3,330

 

DIRECTV, Class A*

 

105,328

 

951

 

Eastman Kodak Co.*

 

3,852

 

747

 

Expedia, Inc.*

 

19,034

 

496

 

Family Dollar Stores, Inc.

 

15,133

 

11,425

 

Ford Motor Co.*

 

101,568

 

533

 

Fortune Brands, Inc.

 

20,473

 

584

 

GameStop Corp., Class A*

 

14,255

 

833

 

Gannett Co., Inc.

 

8,238

 

1,708

 

Gap, Inc. (The)

 

36,585

 

566

 

Genuine Parts Co.

 

20,280

 

858

 

Goodyear Tire & Rubber Co. (The)*

 

11,763

 

1,189

 

H&R Block, Inc.

 

24,137

 

832

 

Harley-Davidson, Inc.

 

24,245

 

246

 

Harman International Industries, Inc.

 

9,252

 

447

 

Hasbro, Inc.

 

13,254

 

6,045

 

Home Depot, Inc.

 

165,391

 

1,051

 

International Game Technology

 

19,853

 

1,724

 

Interpublic Group of Cos., Inc.*

 

10,913

 

837

 

J.C. Penney Co., Inc.

 

24,055

 

2,378

 

Johnson Controls, Inc.

 

64,325

 

262

 

KB Home

 

3,550

 

1,084

 

Kohl’s Corp.*

 

57,604

 

554

 

Leggett & Platt, Inc.

 

10,781

 

547

 

Lennar Corp., Class A

 

6,931

 

947

 

Limited Brands, Inc.

 

15,711

 

5,240

 

Lowe’s Cos., Inc.

 

114,284

 

1,491

 

Macy’s, Inc.

 

24,318

 

896

 

Marriott International, Inc., Class A

 

23,034

 

1,277

 

Mattel, Inc.

 

24,850

 

3,871

 

McDonald’s Corp.

 

244,841

 

1,116

 

McGraw-Hill Cos., Inc. (The)

 

33,435

 

129

 

Meredith Corp.

 

3,399

 

410

 

New York Times Co. (The), Class A*

 

3,460

 

985

 

Newell Rubbermaid, Inc.

 

14,292

 

7,974

 

News Corp., Class A

 

91,382

 

1,379

 

NIKE, Inc., Class B

 

89,483

 

584

 

Nordstrom, Inc.

 

19,535

 

974

 

Office Depot, Inc.*

 

5,980

 

1,102

 

Omnicom Group, Inc.

 

40,465

 

485

 

O’Reilly Automotive, Inc.*

 

18,808

 

205

 

Polo Ralph Lauren Corp.

 

15,754

 

150

 

priceline.com, Inc.*

 

32,118

 

1,121

 

Pulte Homes, Inc.

 

10,246

 

444

 

RadioShack Corp.

 

8,374

 

316

 

Scripps Networks Interactive, Inc., Class A

 

12,498

 

177

 

Sears Holdings Corp.*

 

12,558

 

346

 

Sherwin-Williams Co. (The)

 

21,051

 

2,562

 

Staples, Inc.

 

59,746

 

2,614

 

Starbucks Corp.*

 

57,247

 

663

 

Starwood Hotels & Resorts Worldwide, Inc.

 

21,229

 

2,667

 

Target Corp.

 

124,176

 

440

 

Tiffany & Co.

 

18,779

 

1,250

 

Time Warner Cable, Inc.

 

52,363

 

4,205

 

Time Warner, Inc.

 

129,178

 

1,503

 

TJX Cos., Inc.

 

57,685

 

316

 

VF Corp.

 

22,980

 

2,152

 

Viacom, Inc., Class B*

 

63,785

 

6,592

 

Walt Disney Co. (The)

 

199,210

 

22

 

Washington Post Co. (The), Class B

 

9,099

 

263

 

Whirlpool Corp.

 

19,504

 

633

 

Wyndham Worldwide Corp.

 

11,755

 

245

 

Wynn Resorts Ltd.

 

15,812

 

1,655

 

Yum! Brands, Inc.

 

58,372

 

 

 

 

 

3,224,871

 

 

 

Consumer Staples - 4.7%

 

 

 

 

 

 

 

 

 

7,346

 

Altria Group, Inc.

 

138,178

 

2,277

 

Archer-Daniels-Midland Co.

 

70,154

 

1,514

 

Avon Products, Inc.

 

51,855

 

390

 

Brown-Forman Corp., Class B

 

19,956

 

683

 

Campbell Soup Co.

 

23,885

 

494

 

Clorox Co.

 

29,773

 

8,219

 

Coca-Cola Co. (The)

 

470,127

 

1,125

 

Coca-Cola Enterprises, Inc.

 

22,106

 

1,768

 

Colgate-Palmolive Co.

 

148,848

 

1,568

 

ConAgra Foods, Inc.

 

34,794

 

705

 

Constellation Brands, Inc., Class A*

 

12,063

 

1,542

 

Costco Wholesale Corp.

 

92,381

 

5,119

 

CVS Caremark Corp.

 

158,740

 

639

 

Dean Foods Co.*

 

10,160

 

901

 

Dr. Pepper Snapple Group, Inc.*

 

23,597

 

419

 

Estee Lauder Cos., Inc. (The), Class A

 

19,622

 

1,154

 

General Mills, Inc.

 

78,472

 

1,118

 

H. J. Heinz Co.

 

47,459

 

588

 

Hershey Co. (The)

 

20,798

 

248

 

Hormel Foods Corp.

 

9,305

 

422

 

J.M. Smucker Co. (The)

 

24,932

 

910

 

Kellogg Co.

 

47,848

 

1,470

 

Kimberly-Clark Corp.

 

96,976

 

5,231

 

Kraft Foods, Inc., Class A

 

139,040

 

2,310

 

Kroger Co. (The)

 

52,529

 

586

 

Lorillard, Inc.

 

45,655

 

463

 

McCormick & Co., Inc. (Non-Voting)

 

16,520

 

556

 

Molson Coors Brewing Co., Class B

 

25,137

 

511

 

Pepsi Bottling Group, Inc.

 

19,392

 

5,525

 

PepsiCo, Inc.

 

343,766

 

6,861

 

Philip Morris International, Inc.

 

329,945

 

10,352

 

Procter & Gamble Co. (The)

 

645,447

 

599

 

Reynolds American, Inc.

 

29,926

 

1,477

 

Safeway, Inc.

 

33,232

 

2,467

 

Sara Lee Corp.

 

29,949

 

752

 

SUPERVALU, Inc.

 

10,400

 

2,096

 

Sysco Corp.

 

56,676

 

1,083

 

Tyson Foods, Inc., Class A

 

13,018

 

3,520

 

Walgreen Co.

 

136,893

 

7,660

 

Wal-Mart Stores, Inc.

 

417,853

 

498

 

Whole Foods Market, Inc.*

 

12,774

 

 

 

 

 

4,010,181

 

 

 

Energy - 4.8%

 

 

 

 

 

 

 

 

 

1,740

 

Anadarko Petroleum Corp.

 

103,582

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,191

 

Apache Corp.

 

$

113,478

 

1,099

 

Baker Hughes, Inc.

 

44,773

 

1,036

 

BJ Services Co.

 

19,456

 

368

 

Cabot Oil & Gas Corp.

 

14,094

 

863

 

Cameron International Corp.*

 

32,621

 

2,276

 

Chesapeake Energy Corp.

 

54,442

 

7,113

 

Chevron Corp.

 

555,098

 

5,259

 

ConocoPhillips

 

272,258

 

641

 

CONSOL Energy, Inc.

 

29,435

 

885

 

Denbury Resources, Inc.*

 

11,744

 

1,574

 

Devon Energy Corp.

 

106,009

 

246

 

Diamond Offshore Drilling, Inc.

 

24,487

 

2,487

 

El Paso Corp.

 

23,776

 

505

 

ENSCO International, Inc.

 

22,220

 

894

 

EOG Resources, Inc.

 

77,322

 

17,044

 

Exxon Mobil Corp.

 

1,279,493

 

434

 

FMC Technologies, Inc.*

 

23,640

 

3,198

 

Halliburton Co.

 

93,893

 

1,032

 

Hess Corp.

 

59,815

 

2,510

 

Marathon Oil Corp.

 

81,876

 

303

 

Massey Energy Co.

 

11,411

 

677

 

Murphy Oil Corp.

 

38,176

 

1,007

 

Nabors Industries Ltd.*

 

20,795

 

1,483

 

National Oilwell Varco, Inc.

 

63,799

 

615

 

Noble Energy, Inc.

 

40,129

 

2,876

 

Occidental Petroleum Corp.

 

232,352

 

949

 

Peabody Energy Corp.

 

42,193

 

408

 

Pioneer Natural Resources Co.

 

16,871

 

558

 

Range Resources Corp.

 

26,299

 

403

 

Rowan Cos., Inc.*

 

9,950

 

4,248

 

Schlumberger Ltd.

 

271,405

 

881

 

Smith International, Inc.

 

23,946

 

1,222

 

Southwestern Energy Co.*

 

53,719

 

2,291

 

Spectra Energy Corp.

 

44,468

 

415

 

Sunoco, Inc.

 

10,458

 

495

 

Tesoro Corp.

 

6,326

 

1,996

 

Valero Energy Corp.

 

31,716

 

2,068

 

Williams Cos., Inc. (The)

 

41,133

 

2,058

 

XTO Energy, Inc.

 

87,342

 

 

 

 

 

4,116,000

 

 

 

Financials - 5.8%

 

 

 

 

 

 

 

 

 

1,658

 

Aflac, Inc.

 

76,318

 

1,902

 

Allstate Corp. (The)

 

54,036

 

4,218

 

American Express Co.

 

176,439

 

477

 

American International Group, Inc.*

 

13,547

 

904

 

Ameriprise Financial, Inc.

 

34,461

 

973

 

AON Corp.

 

37,684

 

415

 

Apartment Investment & Management Co., Class A (REIT)

 

5,607

 

418

 

Assurant, Inc.

 

12,778

 

284

 

AvalonBay Communities, Inc. (REIT)

 

20,516

 

30,684

 

Bank of America Corp.

 

486,341

 

4,266

 

Bank of New York Mellon Corp. (The)

 

113,646

 

2,417

 

BB&T Corp.

 

60,183

 

492

 

Boston Properties, Inc. (REIT)

 

32,954

 

1,614

 

Capital One Financial Corp.

 

61,913

 

852

 

CB Richard Ellis Group, Inc., Class A*

 

9,738

 

3,376

 

Charles Schwab Corp. (The)

 

61,882

 

1,241

 

Chubb Corp.

 

62,224

 

577

 

Cincinnati Financial Corp.

 

14,725

 

46,254

 

Citigroup, Inc.

 

190,104

 

236

 

CME Group, Inc.

 

77,462

 

536

 

Comerica, Inc.

 

15,260

 

1,900

 

Discover Financial Services

 

29,374

 

5,107

 

E*Trade Financial Corp.*

 

8,376

 

972

 

Equity Residential (REIT)

 

31,308

 

314

 

Federated Investors, Inc., Class B

 

8,095

 

2,821

 

Fifth Third Bancorp

 

28,436

 

775

 

First Horizon National Corp.*

 

10,501

 

531

 

Franklin Resources, Inc.

 

57,364

 

1,707

 

Genworth Financial, Inc., Class A*

 

18,384

 

1,813

 

Goldman Sachs Group, Inc. (The)

 

307,594

 

1,363

 

Hartford Financial Services Group, Inc.

 

33,339

 

1,040

 

HCP, Inc. (REIT)

 

32,552

 

425

 

Health Care REIT, Inc. (REIT)

 

18,934

 

2,142

 

Host Hotels & Resorts, Inc. (REIT)

 

22,534

 

1,673

 

Hudson City Bancorp, Inc.

 

22,234

 

2,533

 

Huntington Bancshares, Inc./OH

 

9,676

 

260

 

IntercontinentalExchange, Inc.*

 

27,765

 

1,476

 

Invesco Ltd.

 

32,841

 

646

 

Janus Capital Group, Inc.

 

8,456

 

13,947

 

JPMorgan Chase & Co.

 

592,608

 

3,116

 

KeyCorp

 

18,260

 

1,335

 

Kimco Realty Corp. (REIT)

 

16,447

 

576

 

Legg Mason, Inc.

 

16,295

 

674

 

Leucadia National Corp.*

 

14,505

 

1,071

 

Lincoln National Corp.

 

24,537

 

1,290

 

Loews Corp.

 

45,692

 

293

 

M&T Bank Corp.

 

19,215

 

1,858

 

Marsh & McLennan Cos., Inc.

 

41,898

 

1,788

 

Marshall & Ilsley Corp.

 

10,281

 

561

 

MBIA, Inc.*

 

1,941

 

2,903

 

MetLife, Inc.

 

99,254

 

696

 

Moody’s Corp.

 

16,168

 

4,820

 

Morgan Stanley

 

152,216

 

503

 

NASDAQ OMX Group, Inc. (The)*

 

9,396

 

856

 

Northern Trust Corp.

 

42,372

 

922

 

NYSE Euronext

 

23,308

 

1,236

 

People’s United Financial, Inc.

 

20,134

 

577

 

Plum Creek Timber Co., Inc. (REIT)

 

19,901

 

1,636

 

PNC Financial Services Group, Inc.

 

93,268

 

1,131

 

Principal Financial Group, Inc.

 

28,716

 

2,407

 

Progressive Corp. (The)*

 

40,365

 

1,678

 

ProLogis (REIT)

 

21,948

 

1,642

 

Prudential Financial, Inc.

 

81,854

 

481

 

Public Storage (REIT)

 

38,278

 

4,214

 

Regions Financial Corp.

 

24,694

 

1,004

 

Simon Property Group, Inc. (REIT)

 

72,951

 

1,658

 

SLM Corp.*

 

18,188

 

1,754

 

State Street Corp.

 

72,440

 

1,769

 

SunTrust Banks, Inc.

 

41,801

 

908

 

T. Rowe Price Group, Inc.

 

44,428

 

293

 

Torchmark Corp.

 

12,740

 

2,013

 

Travelers Cos., Inc. (The)

 

105,461

 

6,781

 

U.S. Bancorp

 

163,626

 

1,175

 

Unum Group

 

22,372

 

555

 

Ventas, Inc. (REIT)

 

23,826

 

554

 

Vornado Realty Trust (REIT)

 

36,265

 

16,569

 

Wells Fargo & Co.

 

464,595

 

1,214

 

XL Capital Ltd., Class A

 

22,228

 

489

 

Zions Bancorp.

 

6,430

 

 

 

 

 

4,946,483

 

 

 

Health Care - 5.1%

 

 

 

 

 

 

 

 

 

5,483

 

Abbott Laboratories

 

298,769

 

1,548

 

Aetna, Inc.

 

45,062

 

1,091

 

Allergan, Inc.

 

63,420

 

1,054

 

AmerisourceBergen Corp.

 

26,023

 

3,602

 

Amgen, Inc.*

 

202,973

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,138

 

Baxter International, Inc.

 

$

116,628

 

849

 

Becton, Dickinson and Co.

 

63,505

 

1,024

 

Biogen Idec, Inc.*

 

48,067

 

5,347

 

Boston Scientific Corp.*

 

44,754

 

7,026

 

Bristol-Myers Squibb Co.

 

177,828

 

346

 

C.R. Bard, Inc.

 

28,445

 

1,276

 

Cardinal Health, Inc.

 

41,125

 

638

 

CareFusion Corp.*

 

16,480

 

1,627

 

Celgene Corp.*

 

90,217

 

265

 

Cephalon, Inc.*

 

14,562

 

967

 

CIGNA Corp.

 

31,021

 

530

 

Coventry Health Care, Inc.*

 

11,952

 

369

 

DaVita, Inc.*

 

21,860

 

527

 

DENTSPLY International, Inc.

 

17,560

 

3,586

 

Eli Lilly & Co.

 

131,714

 

973

 

Express Scripts, Inc.*

 

83,483

 

1,070

 

Forest Laboratories, Inc.*

 

32,806

 

959

 

Genzyme Corp.*

 

48,621

 

3,207

 

Gilead Sciences, Inc.*

 

147,682

 

571

 

Hospira, Inc.*

 

26,808

 

602

 

Humana, Inc.*

 

24,989

 

647

 

IMS Health, Inc.

 

13,820

 

135

 

Intuitive Surgical, Inc.*

 

37,873

 

9,774

 

Johnson & Johnson

 

614,198

 

880

 

King Pharmaceuticals, Inc.*

 

10,410

 

384

 

Laboratory Corp. of America Holdings*

 

28,017

 

625

 

Life Technologies Corp.*

 

31,113

 

944

 

McKesson Corp.

 

58,547

 

1,680

 

Medco Health Solutions, Inc.*

 

106,109

 

3,925

 

Medtronic, Inc.

 

166,577

 

10,822

 

Merck & Co., Inc.

 

391,865

 

197

 

Millipore Corp.*

 

13,416

 

1,083

 

Mylan, Inc.*

 

19,353

 

330

 

Patterson Cos., Inc.*

 

8,484

 

414

 

PerkinElmer, Inc.

 

7,812

 

28,601

 

Pfizer, Inc.

 

519,680

 

553

 

Quest Diagnostics, Inc.

 

32,041

 

1,234

 

St. Jude Medical, Inc.*

 

45,300

 

1,001

 

Stryker Corp.

 

50,450

 

1,536

 

Tenet Healthcare Corp.*

 

6,989

 

1,448

 

Thermo Fisher Scientific, Inc.*

 

68,389

 

4,123

 

UnitedHealth Group, Inc.

 

118,206

 

445

 

Varian Medical Systems, Inc.*

 

20,799

 

339

 

Waters Corp.*

 

19,926

 

375

 

Watson Pharmaceuticals, Inc.*

 

13,909

 

1,685

 

WellPoint, Inc.*

 

91,041

 

760

 

Zimmer Holdings, Inc.*

 

44,969

 

 

 

 

 

4,395,647

 

 

 

Industrials - 4.1%

 

 

 

 

 

 

 

 

 

2,477

 

3M Co.

 

191,819

 

400

 

Avery Dennison Corp.

 

15,024

 

2,576

 

Boeing Co. (The)

 

135,008

 

929

 

Burlington Northern Santa Fe Corp.

 

91,321

 

597

 

C.H. Robinson Worldwide, Inc.

 

33,277

 

2,204

 

Caterpillar, Inc.

 

128,692

 

466

 

Cintas Corp.

 

13,090

 

1,390

 

CSX Corp.

 

65,997

 

716

 

Cummins, Inc.

 

32,148

 

919

 

Danaher Corp.

 

65,176

 

1,500

 

Deere & Co.

 

80,265

 

660

 

Dover Corp.

 

26,981

 

187

 

Dun & Bradstreet Corp.

 

14,696

 

587

 

Eaton Corp.

 

37,509

 

2,666

 

Emerson Electric Co.

 

110,399

 

448

 

Equifax, Inc.

 

12,835

 

752

 

Expeditors International of Washington, Inc.

 

24,011

 

469

 

Fastenal Co.

 

17,391

 

1,108

 

FedEx Corp.

 

93,571

 

171

 

First Solar, Inc.*

 

20,368

 

198

 

Flowserve Corp.

 

19,693

 

638

 

Fluor Corp.

 

27,102

 

1,366

 

General Dynamics Corp.

 

90,019

 

37,690

 

General Electric Co.

 

603,794

 

440

 

Goodrich Corp.

 

26,110

 

2,667

 

Honeywell International, Inc.

 

102,600

 

1,366

 

Illinois Tool Works, Inc.

 

66,442

 

639

 

Iron Mountain, Inc.*

 

15,336

 

647

 

ITT Corp.

 

33,463

 

439

 

Jacobs Engineering Group, Inc.*

 

15,361

 

413

 

L-3 Communications Holdings, Inc.

 

32,367

 

1,145

 

Lockheed Martin Corp.

 

88,428

 

1,274

 

Masco Corp.

 

17,301

 

447

 

Monster Worldwide, Inc.*

 

6,531

 

1,304

 

Norfolk Southern Corp.

 

67,026

 

1,128

 

Northrop Grumman Corp.

 

61,814

 

1,289

 

PACCAR, Inc.

 

47,796

 

418

 

Pall Corp.

 

13,305

 

569

 

Parker Hannifin Corp.

 

30,703

 

734

 

Pitney Bowes, Inc.

 

16,911

 

497

 

Precision Castparts Corp.

 

51,529

 

742

 

Quanta Services, Inc.*

 

13,913

 

728

 

R.R. Donnelley & Sons Co.

 

14,982

 

1,381

 

Raytheon Co.

 

71,163

 

1,143

 

Republic Services, Inc.

 

32,233

 

539

 

Robert Half International, Inc.

 

12,036

 

503

 

Rockwell Automation, Inc.

 

21,875

 

559

 

Rockwell Collins, Inc.

 

29,884

 

198

 

Ryder System, Inc.

 

8,027

 

205

 

Snap-On, Inc.

 

7,411

 

2,630

 

Southwest Airlines Co.

 

24,196

 

281

 

Stanley Works (The)

 

13,648

 

302

 

Stericycle, Inc.*

 

16,528

 

958

 

Textron, Inc.

 

19,208

 

1,789

 

Union Pacific Corp.

 

113,172

 

3,527

 

United Parcel Service, Inc., Class B

 

202,697

 

3,338

 

United Technologies Corp.

 

224,447

 

222

 

W.W. Grainger, Inc.

 

21,689

 

1,747

 

Waste Management, Inc.

 

57,371

 

 

 

 

 

3,547,689

 

 

 

Information Technology - 7.5%

 

 

 

 

 

 

 

 

 

1,862

 

Adobe Systems, Inc.*

 

65,319

 

1,989

 

Advanced Micro Devices, Inc.*

 

13,943

 

346

 

Affiliated Computer Services, Inc., Class A*

 

19,099

 

1,224

 

Agilent Technologies, Inc.*

 

35,398

 

611

 

Akamai Technologies, Inc.*

 

14,664

 

1,043

 

Altera Corp.

 

21,934

 

608

 

Amphenol Corp., Class A

 

25,050

 

1,034

 

Analog Devices, Inc.

 

31,010

 

3,177

 

Apple, Inc.*

 

635,114

 

4,730

 

Applied Materials, Inc.

 

58,226

 

815

 

Autodesk, Inc.*

 

19,112

 

1,781

 

Automatic Data Processing, Inc.

 

77,384

 

653

 

BMC Software, Inc.*

 

25,291

 

1,530

 

Broadcom Corp., Class A*

 

44,676

 

1,412

 

CA, Inc.

 

31,205

 

325

 

Ciena Corp.*

 

3,949

 

20,457

 

Cisco Systems, Inc.*

 

478,694

 

649

 

Citrix Systems, Inc.*

 

24,779

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,040

 

Cognizant Technology Solutions Corp., Class A*

 

$

45,687

 

538

 

Computer Sciences Corp.*

 

29,757

 

842

 

Compuware Corp.*

 

5,843

 

436

 

Convergys Corp.*

 

4,874

 

5,514

 

Corning, Inc.

 

91,973

 

6,104

 

Dell, Inc.*

 

86,188

 

3,982

 

eBay, Inc.*

 

97,440

 

1,147

 

Electronic Arts, Inc.*

 

19,373

 

7,171

 

EMC Corp.*

 

120,688

 

1,105

 

Fidelity National Information Services, Inc.

 

24,973

 

548

 

Fiserv, Inc.*

 

25,340

 

537

 

FLIR Systems, Inc.*

 

15,412

 

853

 

Google, Inc., Class A*

 

497,299

 

465

 

Harris Corp.

 

20,413

 

8,409

 

Hewlett-Packard Co.

 

412,546

 

19,854

 

Intel Corp.

 

381,197

 

4,649

 

International Business Machines Corp.

 

587,401

 

1,146

 

Intuit, Inc.*

 

33,475

 

654

 

Jabil Circuit, Inc.

 

8,705

 

770

 

JDS Uniphase Corp.*

 

5,690

 

1,859

 

Juniper Networks, Inc.*

 

48,576

 

605

 

KLA-Tencor Corp.

 

18,900

 

277

 

Lexmark International, Inc., Class A*

 

6,972

 

788

 

Linear Technology Corp.

 

21,252

 

2,312

 

LSI Corp.*

 

12,230

 

340

 

Mastercard, Inc., Class A

 

81,892

 

558

 

McAfee, Inc.*

 

21,288

 

793

 

MEMC Electronic Materials, Inc.*

 

9,548

 

649

 

Microchip Technology, Inc.

 

17,036

 

3,003

 

Micron Technology, Inc.*

 

22,583

 

27,495

 

Microsoft Corp.

 

808,628

 

482

 

Molex, Inc.

 

8,960

 

8,141

 

Motorola, Inc.

 

65,209

 

830

 

National Semiconductor Corp.

 

12,118

 

1,193

 

NetApp, Inc.*

 

36,768

 

1,230

 

Novell, Inc.*

 

4,809

 

346

 

Novellus Systems, Inc.*

 

7,159

 

1,943

 

NVIDIA Corp.*

 

25,376

 

13,852

 

Oracle Corp.

 

305,852

 

1,139

 

Paychex, Inc.

 

35,708

 

419

 

QLogic Corp.*

 

7,517

 

5,896

 

QUALCOMM, Inc.

 

265,320

 

667

 

Red Hat, Inc.*

 

17,809

 

387

 

Salesforce.com, Inc.*

 

24,257

 

805

 

SanDisk Corp.*

 

15,875

 

2,672

 

Sun Microsystems, Inc.*

 

22,739

 

2,889

 

Symantec Corp.*

 

51,280

 

1,405

 

Tellabs, Inc.*

 

7,882

 

609

 

Teradata Corp.*

 

17,844

 

619

 

Teradyne, Inc.*

 

5,484

 

4,474

 

Texas Instruments, Inc.

 

113,147

 

699

 

Total System Services, Inc.

 

12,079

 

684

 

VeriSign, Inc.*

 

15,349

 

797

 

Western Digital Corp.*

 

29,361

 

2,488

 

Western Union Co. (The)

 

45,904

 

3,082

 

Xerox Corp.

 

23,731

 

979

 

Xilinx, Inc.

 

22,165

 

4,231

 

Yahoo!, Inc.*

 

63,338

 

 

 

 

 

6,471,066

 

 

 

Materials - 1.4%

 

 

 

 

 

 

 

 

 

745

 

Air Products & Chemicals, Inc.

 

61,783

 

290

 

Airgas, Inc.

 

13,412

 

388

 

AK Steel Holding Corp.

 

7,760

 

3,456

 

Alcoa, Inc.

 

43,269

 

348

 

Allegheny Technologies, Inc.

 

11,842

 

334

 

Ball Corp.

 

16,503

 

383

 

Bemis Co., Inc.

 

11,222

 

172

 

CF Industries Holdings, Inc.

 

14,682

 

4,056

 

Dow Chemical Co. (The)

 

112,676

 

3,205

 

E.I. du Pont de Nemours & Co.

 

110,829

 

258

 

Eastman Chemical Co.

 

15,511

 

840

 

Ecolab, Inc.

 

37,724

 

257

 

FMC Corp.

 

14,389

 

1,460

 

Freeport-McMoRan Copper & Gold, Inc.*

 

120,888

 

280

 

International Flavors & Fragrances, Inc.

 

11,402

 

1,535

 

International Paper Co.

 

39,066

 

607

 

MeadWestvaco Corp.

 

16,614

 

1,936

 

Monsanto Co.

 

156,332

 

1,738

 

Newmont Mining Corp.

 

93,226

 

1,116

 

Nucor Corp.

 

47,330

 

597

 

Owens-Illinois, Inc.*

 

18,668

 

468

 

Pactiv Corp.*

 

11,396

 

585

 

PPG Industries, Inc.

 

34,766

 

1,088

 

Praxair, Inc.

 

89,249

 

563

 

Sealed Air Corp.

 

12,549

 

432

 

Sigma-Aldrich Corp.

 

23,043

 

301

 

Titanium Metals Corp.

 

2,941

 

508

 

United States Steel Corp.

 

22,687

 

443

 

Vulcan Materials Co.

 

21,477

 

750

 

Weyerhaeuser Co.

 

29,205

 

 

 

 

 

1,222,441

 

 

 

Telecommunication Services - 1.2%

 

 

 

 

 

 

 

 

 

1,400

 

American Tower Corp., Class A*

 

57,288

 

20,925

 

AT&T, Inc.

 

563,720

 

1,054

 

CenturyTel, Inc.

 

37,512

 

1,108

 

Frontier Communications Corp.

 

8,753

 

924

 

MetroPCS Communications, Inc.*

 

5,821

 

5,258

 

Qwest Communications International, Inc.

 

19,192

 

10,200

 

Sprint Nextel Corp.*

 

37,842

 

10,075

 

Verizon Communications, Inc.

 

316,959

 

1,582

 

Windstream Corp.

 

15,693

 

 

 

 

 

1,062,780

 

 

 

Utilities - 1.4%

 

 

 

 

 

 

 

 

 

2,366

 

AES Corp. (The)*

 

30,143

 

601

 

Allegheny Energy, Inc.

 

13,210

 

828

 

Ameren Corp.

 

21,520

 

1,691

 

American Electric Power Co., Inc.

 

54,433

 

1,370

 

Centerpoint Energy, Inc.

 

18,180

 

812

 

CMS Energy Corp.

 

11,563

 

975

 

Consolidated Edison, Inc.

 

41,837

 

712

 

Constellation Energy Group, Inc.

 

22,656

 

2,111

 

Dominion Resources, Inc.

 

76,798

 

583

 

DTE Energy Co.

 

23,384

 

4,599

 

Duke Energy Corp.

 

76,711

 

1,798

 

Dynegy, Inc., Class A*

 

3,254

 

1,156

 

Edison International

 

39,362

 

694

 

Entergy Corp.

 

54,583

 

464

 

EQT Corp.

 

19,094

 

2,338

 

Exelon Corp.

 

112,645

 

1,081

 

FirstEnergy Corp.

 

46,570

 

1,459

 

FPL Group, Inc.

 

75,824

 

271

 

Integrys Energy Group, Inc.

 

10,444

 

160

 

Nicor, Inc.

 

6,266

 

977

 

NiSource, Inc.

 

13,922

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

622

 

Northeast Utilities

 

$

14,996

 

783

 

Pepco Holdings, Inc.

 

12,763

 

1,315

 

PG&E Corp.

 

55,677

 

359

 

Pinnacle West Capital Corp.

 

12,597

 

1,336

 

PPL Corp.

 

40,775

 

991

 

Progress Energy, Inc.

 

38,738

 

1,795

 

Public Service Enterprise Group, Inc.

 

56,291

 

618

 

Questar Corp.

 

24,516

 

391

 

SCANA Corp.

 

13,763

 

870

 

Sempra Energy

 

46,232

 

2,823

 

Southern Co.

 

90,590

 

758

 

TECO Energy, Inc.

 

11,181

 

415

 

Wisconsin Energy Corp.

 

18,717

 

1,616

 

Xcel Energy, Inc.

 

32,837

 

 

 

 

 

1,242,072

 

 

 

Total Common Stocks
(Cost $34,032,949)

 

34,239,230

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 57.7%

 

 

 

$

1,379,996

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,380,002(b)

 

1,379,996

 

2,759,992

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $2,760,004(c)

 

2,759,992

 

8,279,977

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $8,280,074(d)

 

8,279,977

 

1,659,436

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,659,443(e)

 

1,659,436

 

2,897,992

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $2,898,005(f)

 

2,897,992

 

5,519,985

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $5,520,103(g)

 

5,519,985

 

1,379,996

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,380,002(h)

 

1,379,996

 

8,279,977

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $8,280,014(i)

 

8,279,977

 

6,899,981

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $6,900,012(j)

 

6,899,981

 

4,139,989

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $4,140,006(k)

 

4,139,989

 

6,370,538

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $6,370,566(l)

 

6,370,538

 

 

 

Total Repurchase Agreements
(Cost $49,567,859)

 

49,567,859

 

 

 

Total Investment Securities
(Cost $83,600,808) — 97.5%

 

83,807,089

 

 

 

Other assets less liabilities — 2.5%

 

2,183,082

 

 

 

Net Assets — 100.0%

 

$

85,990,171

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $35,079,187.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,407,596. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $2,815,192. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $8,445,606. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $1,692,626. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $2,955,974. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $5,630,396. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,407,598. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $8,445,586. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $7,037,997. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $4,222,802. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $6,497,958. The investment in the repurchase agreement was through participation in a pooled account.

 

REIT       Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

703,881

 

Aggregate gross unrealized depreciation

 

(506,637

)

Net unrealized appreciation

 

$

197,244

 

Federal income tax cost of investments

 

$

83,609,845

 

 

Futures Contracts Purchased

 

UltraPro S&P500® had the following open long futures contracts as of November 30, 2009:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P 500 Futures Contracts

 

547

 

12/18/09

 

$

29,941,413

 

$

744,344

 

 

Cash collateral in the amount of $2,642,462 was pledged to cover margin requirements for open futures contracts as of November 30, 2009.

 

Swap Agreements

 

UltraPro S&P500® had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index

 

$

17,325,442

 

$

1,659,813

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index

 

41,463,494

 

(531,094

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index

 

108,312,722

 

(1,552,634

)

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index

 

26,685,081

 

(309,416

)

 

 

 

 

 

 

 

 

 

 

$

(733,331

)

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

34,239,230

 

$

—

 

$

34,239,230

 

Repurchase Agreements

 

—

 

49,567,859

 

49,567,859

 

Total Investment Securities

 

34,239,230

 

49,567,859

 

83,807,089

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Futures Contracts

 

744,344

 

—

 

744,344

 

Swap Agreements

 

—

 

(733,331

)

(733,331

)

Total Other Financial Instruments

 

744,344

 

(733,331

)

11,013

 

Total Investments

 

$

34,983,574

 

$

48,834,528

 

$

83,818,102

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell1000 Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 81.2%

 

 

 

 

 

Consumer Discretionary - 7.6%

 

 

 

 

 

 

 

 

 

169

 

Abercrombie & Fitch Co., Class A

 

$

6,748

 

325

 

Autoliv, Inc.

 

13,198

 

251

 

AutoNation, Inc.*

 

4,430

 

113

 

Barnes & Noble, Inc.

 

2,637

 

281

 

Big Lots, Inc.*

 

6,480

 

230

 

Black & Decker Corp.

 

13,959

 

32

 

BorgWarner, Inc.

 

967

 

210

 

Boyd Gaming Corp.*

 

1,716

 

896

 

Cablevision Systems Corp., Class A

 

22,418

 

21

 

Career Education Corp.*

 

547

 

244

 

CarMax, Inc.*

 

4,851

 

915

 

Carnival Corp.*

 

29,307

 

2,322

 

CBS Corp., Class B

 

29,745

 

131

 

Central European Media Enterprises Ltd., Class A*

 

3,263

 

42

 

Chico’s FAS, Inc.*

 

591

 

79

 

Choice Hotels International, Inc.

 

2,477

 

155

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

1,415

 

10,164

 

Comcast Corp., Class A

 

149,106

 

1,060

 

D.R. Horton, Inc.

 

10,897

 

1,981

 

DIRECTV, Class A*

 

62,669

 

75

 

Discovery Communications, Inc., Class C*

 

2,103

 

768

 

DISH Network Corp., Class A

 

15,905

 

277

 

DreamWorks Animation SKG, Inc., Class A*

 

9,271

 

64

 

Expedia, Inc.*

 

1,631

 

55

 

Federal Mogul Corp.*

 

743

 

332

 

Foot Locker, Inc.

 

3,151

 

11,944

 

Ford Motor Co.*

 

106,182

 

574

 

Fortune Brands, Inc.

 

22,047

 

76

 

GameStop Corp., Class A*

 

1,855

 

888

 

Gannett Co., Inc.

 

8,782

 

213

 

Gap, Inc. (The)

 

4,562

 

78

 

Garmin Ltd.

 

2,331

 

609

 

Genuine Parts Co.

 

21,820

 

896

 

Harley-Davidson, Inc.

 

26,109

 

99

 

Harman International Industries, Inc.

 

3,723

 

193

 

Hasbro, Inc.

 

5,722

 

146

 

Hillenbrand, Inc.

 

2,672

 

6,049

 

Home Depot, Inc.

 

165,501

 

74

 

Interactive Data Corp.

 

1,890

 

191

 

International Game Technology

 

3,608

 

115

 

International Speedway Corp., Class A

 

3,102

 

1,828

 

Interpublic Group of Cos., Inc.*

 

11,571

 

850

 

J.C. Penney Co., Inc.

 

24,429

 

335

 

Jarden Corp.

 

9,196

 

1,022

 

Johnson Controls, Inc.

 

27,645

 

271

 

KB Home

 

3,672

 

74

 

Kohl’s Corp.*

 

3,932

 

218

 

Lamar Advertising Co., Class A*

 

6,034

 

278

 

Las Vegas Sands Corp.*

 

4,259

 

227

 

Leggett & Platt, Inc.

 

4,417

 

567

 

Lennar Corp., Class A

 

7,184

 

1,017

 

Liberty Global, Inc., Class A*

 

19,618

 

307

 

Liberty Media Corp. - Capital, Class A*

 

6,782

 

2,279

 

Liberty Media Corp. - Interactive, Class A*

 

24,249

 

200

 

Liberty Media Corp. - Starz, Class A*

 

9,580

 

331

 

Limited Brands, Inc.

 

5,491

 

3,859

 

Lowe’s Cos., Inc.

 

84,165

 

1,608

 

Macy’s, Inc.

 

26,227

 

606

 

Marriott International, Inc., Class A

 

15,587

 

307

 

Mattel, Inc.

 

5,974

 

88

 

MDC Holdings, Inc.

 

2,613

 

129

 

Meredith Corp.

 

3,399

 

402

 

MGM Mirage*

 

4,249

 

212

 

Mohawk Industries, Inc.*

 

8,709

 

369

 

New York Times Co. (The), Class A*

 

3,114

 

889

 

Newell Rubbermaid, Inc.

 

12,899

 

8,702

 

News Corp., Class A

 

99,725

 

18

 

NVR, Inc.*

 

12,117

 

859

 

Office Depot, Inc.*

 

5,274

 

255

 

Penn National Gaming, Inc.*

 

6,831

 

92

 

Penske Auto Group, Inc.*

 

1,360

 

70

 

Phillips-Van Heusen Corp.

 

2,800

 

12

 

Polo Ralph Lauren Corp.

 

922

 

1,145

 

Pulte Homes, Inc.

 

10,465

 

415

 

RadioShack Corp.

 

7,827

 

148

 

Regal Entertainment Group, Class A

 

2,028

 

346

 

Royal Caribbean Cruises Ltd.*

 

8,501

 

135

 

Scripps Networks Interactive, Inc., Class A

 

5,339

 

191

 

Sears Holdings Corp.*

 

13,551

 

959

 

Service Corp. International

 

7,404

 

55

 

Sherwin-Williams Co. (The)

 

3,346

 

326

 

Signet Jewelers Ltd.*

 

8,427

 

597

 

Starwood Hotels & Resorts Worldwide, Inc.

 

19,116

 

65

 

Thor Industries, Inc.

 

1,849

 

40

 

Tiffany & Co.

 

1,707

 

1,346

 

Time Warner Cable, Inc.

 

56,384

 

4,573

 

Time Warner, Inc.

 

140,483

 

520

 

Toll Brothers, Inc.*

 

10,135

 

166

 

TRW Automotive Holdings Corp.*

 

3,612

 

263

 

VF Corp.

 

19,125

 

2,075

 

Viacom, Inc., Class B*

 

61,503

 

1,102

 

Virgin Media, Inc.

 

18,139

 

28

 

WABCO Holdings, Inc.

 

662

 

7,098

 

Walt Disney Co. (The)

 

214,502

 

156

 

Warner Music Group Corp.*

 

782

 

24

 

Washington Post Co. (The), Class B

 

9,927

 

115

 

Weight Watchers International, Inc.

 

3,183

 

838

 

Wendy’s/Arby’s Group, Inc., Class A

 

3,436

 

282

 

Whirlpool Corp.

 

20,913

 

215

 

Williams-Sonoma, Inc.

 

4,369

 

379

 

Wyndham Worldwide Corp.

 

7,038

 

256

 

Wynn Resorts Ltd.

 

16,522

 

 

 

 

 

1,924,430

 

 

 

Consumer Staples - 4.4%

 

 

 

 

 

 

 

 

 

48

 

Alberto-Culver Co.

 

1,351

 

1,077

 

Archer-Daniels-Midland Co.

 

33,182

 

172

 

BJ’s Wholesale Club, Inc.*

 

5,970

 

58

 

Brown-Forman Corp., Class B

 

2,968

 

513

 

Bunge Ltd.

 

31,755

 

242

 

Campbell Soup Co.

 

8,463

 

192

 

Central European Distribution Corp.*

 

5,353

 

60

 

Clorox Co.

 

3,616

 

1,894

 

Coca-Cola Co. (The)

 

108,337

 

177

 

Coca-Cola Enterprises, Inc.

 

3,478

 

1,710

 

ConAgra Foods, Inc.

 

37,945

 

727

 

Constellation Brands, Inc., Class A*

 

12,439

 

285

 

Corn Products International, Inc.

 

7,991

 

3,867

 

CVS Caremark Corp.

 

119,916

 

756

 

Del Monte Foods Co.

 

7,930

 

970

 

Dr. Pepper Snapple Group, Inc.*

 

25,404

 

43

 

Energizer Holdings, Inc.*

 

2,423

 

51

 

Flowers Foods, Inc.

 

1,167

 

739

 

General Mills, Inc.

 

50,252

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

229

 

H. J. Heinz Co.

 

$

9,721

 

245

 

Hershey Co. (The)

 

8,666

 

240

 

Hormel Foods Corp.

 

9,005

 

452

 

J.M. Smucker Co. (The)

 

26,704

 

206

 

Kimberly-Clark Corp.

 

13,590

 

5,629

 

Kraft Foods, Inc., Class A

 

149,619

 

392

 

Kroger Co. (The)

 

8,914

 

75

 

Lorillard, Inc.

 

5,843

 

66

 

Mead Johnson Nutrition Co., Class A

 

2,895

 

460

 

Molson Coors Brewing Co., Class B

 

20,797

 

64

 

NBTY, Inc.*

 

2,569

 

108

 

Pepsi Bottling Group, Inc.

 

4,099

 

216

 

PepsiAmericas, Inc.

 

6,394

 

3,844

 

Procter & Gamble Co. (The)

 

239,673

 

216

 

Ralcorp Holdings, Inc.*

 

12,511

 

645

 

Reynolds American, Inc.

 

32,224

 

2,235

 

Rite Aid Corp.*

 

2,861

 

1,627

 

Safeway, Inc.

 

36,608

 

2,000

 

Sara Lee Corp.

 

24,280

 

494

 

Smithfield Foods, Inc.*

 

7,647

 

810

 

SUPERVALU, Inc.

 

11,202

 

1,153

 

Tyson Foods, Inc., Class A

 

13,859

 

68

 

Whole Foods Market, Inc.*

 

1,744

 

 

 

 

 

1,121,365

 

 

 

Energy - 15.5%

 

 

 

 

 

 

 

 

 

1,908

 

Anadarko Petroleum Corp.

 

113,583

 

1,281

 

Apache Corp.

 

122,054

 

621

 

Arch Coal, Inc.

 

12,954

 

31

 

Atwood Oceanics, Inc.*

 

1,168

 

1,184

 

Baker Hughes, Inc.

 

48,236

 

1,117

 

BJ Services Co.

 

20,977

 

396

 

Cabot Oil & Gas Corp.

 

15,167

 

73

 

Cameron International Corp.*

 

2,759

 

2,394

 

Chesapeake Energy Corp.

 

57,264

 

7,663

 

Chevron Corp.

 

598,021

 

318

 

Cimarex Energy Co.

 

14,895

 

163

 

Comstock Resources, Inc.*

 

6,052

 

291

 

Concho Resources, Inc.*

 

11,896

 

5,663

 

ConocoPhillips

 

293,174

 

61

 

Continental Resources, Inc.*

 

2,297

 

952

 

Denbury Resources, Inc.*

 

12,633

 

1,697

 

Devon Energy Corp.

 

114,293

 

1,934

 

El Paso Corp.

 

18,489

 

212

 

Encore Acquisition Co.*

 

9,544

 

389

 

ENSCO International, Inc.

 

17,116

 

957

 

EOG Resources, Inc.

 

82,771

 

63

 

EXCO Resources, Inc.

 

1,066

 

128

 

Exterran Holdings, Inc.*

 

2,682

 

13,839

 

Exxon Mobil Corp.

 

1,038,894

 

270

 

Forest Oil Corp.*

 

4,946

 

86

 

Frontier Oil Corp.

 

992

 

197

 

Frontline Ltd.

 

5,353

 

3,429

 

Halliburton Co.

 

100,675

 

395

 

Helix Energy Solutions Group, Inc.*

 

4,645

 

277

 

Helmerich & Payne, Inc.

 

10,401

 

1,110

 

Hess Corp.

 

64,336

 

2,705

 

Marathon Oil Corp.

 

88,237

 

42

 

Mariner Energy, Inc.*

 

525

 

66

 

Massey Energy Co.

 

2,486

 

729

 

Murphy Oil Corp.

 

41,108

 

1,082

 

Nabors Industries Ltd.*

 

22,343

 

1,599

 

National Oilwell Varco, Inc.

 

68,789

 

507

 

Newfield Exploration Co.*

 

21,436

 

662

 

Noble Energy, Inc.

 

43,196

 

3,098

 

Occidental Petroleum Corp.

 

250,287

 

190

 

Oil States International, Inc.*

 

6,815

 

89

 

Overseas Shipholding Group, Inc.

 

3,410

 

501

 

Patterson-UTI Energy, Inc.

 

7,710

 

436

 

Pioneer Natural Resources Co.

 

18,029

 

244

 

Plains Exploration & Production Co.*

 

6,639

 

354

 

Pride International, Inc.*

 

11,197

 

511

 

Range Resources Corp.

 

24,083

 

356

 

Rowan Cos., Inc.*

 

8,790

 

475

 

SandRidge Energy, Inc.*

 

4,456

 

2,497

 

Schlumberger Ltd.

 

159,533

 

77

 

SEACOR Holdings, Inc.*

 

5,898

 

24

 

Seahawk Drilling, Inc.*

 

517

 

339

 

Smith International, Inc.

 

9,214

 

426

 

Southern Union Co.

 

8,827

 

2,465

 

Spectra Energy Corp.

 

47,846

 

179

 

St. Mary Land & Exploration Co.

 

5,796

 

447

 

Sunoco, Inc.

 

11,264

 

298

 

Superior Energy Services, Inc.*

 

6,300

 

90

 

Teekay Corp.

 

2,160

 

314

 

Tesoro Corp.

 

4,013

 

198

 

Tidewater, Inc.

 

8,900

 

156

 

Unit Corp.*

 

5,867

 

2,152

 

Valero Energy Corp.

 

34,195

 

194

 

Whiting Petroleum Corp.*

 

12,077

 

2,217

 

Williams Cos., Inc. (The)

 

44,096

 

2,216

 

XTO Energy, Inc.

 

94,047

 

 

 

 

 

3,899,419

 

 

 

Financials - 20.1%

 

 

 

 

 

 

 

 

 

118

 

Alexandria Real Estate Equities, Inc. (REIT)

 

6,652

 

22

 

Alleghany Corp.*

 

5,873

 

190

 

Allied World Assurance Co. Holdings Ltd.

 

9,080

 

2,050

 

Allstate Corp. (The)

 

58,240

 

559

 

AMB Property Corp. (REIT)

 

13,164

 

3,169

 

American Express Co.

 

132,559

 

329

 

American Financial Group, Inc./OH

 

7,982

 

287

 

American International Group, Inc.*

 

8,151

 

61

 

American National Insurance Co.

 

6,620

 

239

 

AmeriCredit Corp.*

 

4,410

 

898

 

Ameriprise Financial, Inc.

 

34,232

 

2,081

 

Annaly Capital Management, Inc. (REIT)

 

38,311

 

1,058

 

AON Corp.

 

40,976

 

447

 

Apartment Investment & Management Co., Class A (REIT)

 

6,039

 

200

 

Arch Capital Group Ltd.*

 

13,968

 

28

 

Arthur J. Gallagher & Co.

 

627

 

317

 

Aspen Insurance Holdings Ltd.

 

8,213

 

489

 

Associated Banc-Corp

 

5,545

 

450

 

Assurant, Inc.

 

13,756

 

306

 

AvalonBay Communities, Inc. (REIT)

 

22,105

 

391

 

Axis Capital Holdings Ltd.

 

10,944

 

319

 

BancorpSouth, Inc.

 

7,401

 

33,069

 

Bank of America Corp.

 

524,144

 

183

 

Bank of Hawaii Corp.

 

8,363

 

3,632

 

Bank of New York Mellon Corp. (The)

 

96,756

 

2,624

 

BB&T Corp.

 

65,338

 

51

 

BlackRock, Inc.

 

11,581

 

51

 

BOK Financial Corp.

 

2,370

 

529

 

Boston Properties, Inc. (REIT)

 

35,432

 

491

 

Brandywine Realty Trust (REIT)

 

4,822

 

196

 

BRE Properties, Inc. (REIT)

 

6,141

 

118

 

Brown & Brown, Inc.

 

2,106

 

255

 

Camden Property Trust (REIT)

 

9,881

 

1,240

 

Capital One Financial Corp.

 

47,566

 

783

 

CapitalSource, Inc.

 

2,874

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,562

 

Chimera Investment Corp. (REIT)

 

$

10,325

 

1,345

 

Chubb Corp.

 

67,438

 

553

 

Cincinnati Financial Corp.

 

14,113

 

58,053

 

Citigroup, Inc.

 

238,598

 

165

 

City National Corp./CA

 

6,511

 

239

 

CME Group, Inc.

 

78,447

 

55

 

CNA Financial Corp.*

 

1,251

 

577

 

Comerica, Inc.

 

16,427

 

158

 

Commerce Bancshares, Inc./MO

 

6,366

 

219

 

Corporate Office Properties Trust (REIT)

 

7,488

 

198

 

Cullen/Frost Bankers, Inc.

 

9,508

 

2,048

 

Discover Financial Services

 

31,662

 

464

 

Douglas Emmett, Inc. (REIT)

 

6,366

 

855

 

Duke Realty Corp. (REIT)

 

9,585

 

125

 

Endurance Specialty Holdings Ltd.

 

4,674

 

1,047

 

Equity Residential (REIT)

 

33,724

 

34

 

Erie Indemnity Co., Class A

 

1,257

 

105

 

Essex Property Trust, Inc. (REIT)

 

8,374

 

235

 

Everest Re Group Ltd.

 

20,001

 

197

 

Federal Realty Investment Trust (REIT)

 

12,671

 

23

 

Federated Investors, Inc., Class B

 

593

 

766

 

Fidelity National Financial, Inc., Class A

 

10,640

 

3,040

 

Fifth Third Bancorp

 

30,643

 

356

 

First American Corp.

 

11,292

 

23

 

First Citizens BancShares, Inc./NC, Class A

 

3,621

 

835

 

First Horizon National Corp.*

 

11,314

 

719

 

First Niagara Financial Group, Inc.

 

9,484

 

419

 

Forest City Enterprises, Inc., Class A*

 

4,496

 

317

 

Franklin Resources, Inc.

 

34,246

 

671

 

Fulton Financial Corp.

 

5,784

 

1,072

 

Genworth Financial, Inc., Class A*

 

11,545

 

1,805

 

Goldman Sachs Group, Inc. (The)

 

306,236

 

180

 

Hanover Insurance Group, Inc. (The)

 

7,493

 

1,244

 

Hartford Financial Services Group, Inc.

 

30,428

 

429

 

HCC Insurance Holdings, Inc.

 

11,210

 

686

 

HCP, Inc. (REIT)

 

21,472

 

228

 

Health Care REIT, Inc. (REIT)

 

10,157

 

467

 

Hospitality Properties Trust (REIT)

 

9,064

 

2,302

 

Host Hotels & Resorts, Inc. (REIT)

 

24,217

 

855

 

HRPT Properties Trust (REIT)

 

5,250

 

796

 

Hudson City Bancorp, Inc.

 

10,579

 

2,730

 

Huntington Bancshares, Inc./OH

 

10,429

 

155

 

Interactive Brokers Group, Inc., Class A*

 

2,624

 

1,461

 

Invesco Ltd.

 

32,507

 

152

 

Investment Technology Group, Inc.*

 

2,774

 

91

 

Janus Capital Group, Inc.

 

1,191

 

108

 

Jefferies Group, Inc.*

 

2,533

 

160

 

Jones Lang LaSalle, Inc.

 

8,139

 

14,368

 

JPMorgan Chase & Co.

 

610,496

 

3,359

 

KeyCorp

 

19,684

 

1,439

 

Kimco Realty Corp. (REIT)

 

17,728

 

612

 

Legg Mason, Inc.

 

17,313

 

455

 

Leucadia National Corp.*

 

9,792

 

427

 

Liberty Property Trust (REIT)

 

12,656

 

798

 

Lincoln National Corp.

 

18,282

 

1,252

 

Loews Corp.

 

44,346

 

291

 

M&T Bank Corp.

 

19,084

 

362

 

Macerich Co. (The) (REIT)

 

10,773

 

299

 

Mack-Cali Realty Corp. (REIT)

 

9,176

 

38

 

Markel Corp.*

 

12,882

 

1,848

 

Marsh & McLennan Cos., Inc.

 

41,672

 

2,006

 

Marshall & Ilsley Corp.

 

11,534

 

504

 

MBIA, Inc.*

 

1,744

 

102

 

Mercury General Corp.

 

3,768

 

2,206

 

MetLife, Inc.

 

75,423

 

3,990

 

Morgan Stanley

 

126,004

 

288

 

NASDAQ OMX Group, Inc. (The)*

 

5,380

 

97

 

Nationwide Health Properties, Inc. (REIT)

 

3,299

 

1,320

 

New York Community Bancorp, Inc.

 

15,431

 

738

 

NYSE Euronext

 

18,657

 

920

 

Old Republic International Corp.

 

9,789

 

88

 

OneBeacon Insurance Group Ltd., Class A

 

1,232

 

216

 

PartnerRe Ltd.

 

16,641

 

1,320

 

People’s United Financial, Inc.

 

21,503

 

400

 

Plum Creek Timber Co., Inc. (REIT)

 

13,796

 

1,759

 

PNC Financial Services Group, Inc.

 

100,281

 

2,445

 

Popular, Inc.

 

5,795

 

2,337

 

Progressive Corp. (The)*

 

39,191

 

1,692

 

ProLogis (REIT)

 

22,131

 

327

 

Protective Life Corp.

 

5,409

 

847

 

Prudential Financial, Inc.

 

42,223

 

374

 

Raymond James Financial, Inc.

 

9,084

 

165

 

Rayonier, Inc. (REIT)

 

6,557

 

399

 

Realty Income Corp. (REIT)

 

10,091

 

306

 

Regency Centers Corp. (REIT)

 

10,242

 

4,415

 

Regions Financial Corp.

 

25,872

 

256

 

Reinsurance Group of America, Inc.

 

11,904

 

238

 

RenaissanceRe Holdings Ltd.

 

12,681

 

485

 

Senior Housing Properties Trust (REIT)

 

10,073

 

526

 

Simon Property Group, Inc. (REIT)

 

38,219

 

293

 

SL Green Realty Corp. (REIT)

 

13,015

 

1,399

 

SLM Corp.*

 

15,347

 

188

 

StanCorp Financial Group, Inc.

 

6,977

 

881

 

State Street Corp.

 

36,385

 

13

 

Student Loan Corp. (The)

 

646

 

1,906

 

SunTrust Banks, Inc.

 

45,039

 

1,449

 

Synovus Financial Corp.

 

2,826

 

203

 

Taubman Centers, Inc. (REIT)

 

6,975

 

489

 

TCF Financial Corp.

 

6,425

 

280

 

TFS Financial Corp.

 

3,130

 

316

 

Torchmark Corp.

 

13,740

 

105

 

Transatlantic Holdings, Inc.

 

5,674

 

2,088

 

Travelers Cos., Inc. (The)

 

109,390

 

7,253

 

U.S. Bancorp

 

175,015

 

575

 

UDR, Inc. (REIT)

 

8,608

 

161

 

Unitrin, Inc.

 

3,592

 

1,266

 

Unum Group

 

24,105

 

309

 

Validus Holdings Ltd.

 

8,189

 

542

 

Valley National Bancorp

 

7,165

 

598

 

Ventas, Inc. (REIT)

 

25,672

 

586

 

Vornado Realty Trust (REIT)

 

38,360

 

346

 

W. R. Berkley Corp.

 

8,550

 

429

 

Washington Federal, Inc.

 

8,172

 

399

 

Weingarten Realty Investors (REIT)

 

7,745

 

15,488

 

Wells Fargo & Co.

 

434,284

 

5

 

Wesco Financial Corp.

 

1,705

 

30

 

White Mountains Insurance Group Ltd.

 

9,775

 

370

 

Whitney Holding Corp./LA

 

2,979

 

265

 

Wilmington Trust Corp.

 

3,252

 

1,308

 

XL Capital Ltd., Class A

 

23,949

 

521

 

Zions Bancorp.

 

6,851

 

 

 

 

 

5,068,344

 

 

 

Health Care - 7.4%

 

 

 

 

 

 

 

 

 

1,341

 

Aetna, Inc.

 

39,037

 

144

 

AmerisourceBergen Corp.

 

3,555

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,708

 

Boston Scientific Corp.*

 

$

31,036

 

3,377

 

Bristol-Myers Squibb Co.

 

85,472

 

168

 

Brookdale Senior Living, Inc.*

 

2,617

 

1,376

 

Cardinal Health, Inc.

 

44,349

 

688

 

CareFusion Corp.*

 

17,771

 

85

 

Charles River Laboratories International, Inc.*

 

2,733

 

975

 

CIGNA Corp.

 

31,278

 

176

 

Community Health Systems, Inc.*

 

5,370

 

172

 

Cooper Cos., Inc. (The)

 

5,760

 

407

 

Coventry Health Care, Inc.*

 

9,178

 

1,844

 

Eli Lilly & Co.

 

67,730

 

27

 

Emdeon, Inc., Class A*

 

407

 

448

 

Endo Pharmaceuticals Holdings, Inc.*

 

9,869

 

1,153

 

Forest Laboratories, Inc.*

 

35,351

 

397

 

Health Net, Inc.*

 

8,424

 

144

 

Hill-Rom Holdings, Inc.

 

3,194

 

884

 

Hologic, Inc.*

 

12,792

 

410

 

Humana, Inc.*

 

17,019

 

537

 

IMS Health, Inc.

 

11,470

 

167

 

Inverness Medical Innovations, Inc.*

 

7,022

 

2,380

 

Johnson & Johnson

 

149,559

 

152

 

Kinetic Concepts, Inc.*

 

5,124

 

948

 

King Pharmaceuticals, Inc.*

 

11,215

 

76

 

Life Technologies Corp.*

 

3,783

 

208

 

LifePoint Hospitals, Inc.*

 

6,038

 

50

 

Lincare Holdings, Inc.*

 

1,776

 

529

 

McKesson Corp.

 

32,809

 

119

 

Mednax, Inc.*

 

6,689

 

7,150

 

Merck & Co., Inc.

 

258,895

 

332

 

Mylan, Inc.*

 

5,933

 

262

 

Omnicare, Inc.

 

6,073

 

349

 

PerkinElmer, Inc.

 

6,586

 

30,813

 

Pfizer, Inc.

 

559,872

 

87

 

Teleflex, Inc.

 

4,532

 

589

 

Tenet Healthcare Corp.*

 

2,680

 

1,470

 

Thermo Fisher Scientific, Inc.*

 

69,428

 

4,547

 

UnitedHealth Group, Inc.

 

130,363

 

162

 

Universal Health Services, Inc., Class B

 

9,054

 

403

 

Watson Pharmaceuticals, Inc.*

 

14,947

 

1,721

 

WellPoint, Inc.*

 

92,986

 

822

 

Zimmer Holdings, Inc.*

 

48,638

 

 

 

 

 

1,878,414

 

 

 

Industrials - 8.8%

 

 

 

 

 

 

 

 

 

354

 

AGCO Corp.*

 

10,730

 

157

 

Alexander & Baldwin, Inc.

 

4,796

 

44

 

Armstrong World Industries, Inc.*

 

1,823

 

351

 

Avery Dennison Corp.

 

13,184

 

186

 

BE Aerospace, Inc.*

 

3,584

 

2,548

 

Boeing Co. (The)

 

133,541

 

223

 

Bucyrus International, Inc.

 

11,549

 

1,005

 

Burlington Northern Santa Fe Corp.

 

98,791

 

170

 

Carlisle Cos., Inc.

 

5,459

 

1,150

 

Caterpillar, Inc.

 

67,148

 

412

 

Cintas Corp.

 

11,573

 

125

 

Con-way, Inc.

 

3,788

 

390

 

Corrections Corp. of America*

 

9,746

 

493

 

Covanta Holding Corp.*

 

8,416

 

91

 

Crane Co.

 

2,543

 

1,496

 

CSX Corp.

 

71,030

 

517

 

Cummins, Inc.

 

23,213

 

373

 

Danaher Corp.

 

26,453

 

1,215

 

Deere & Co.

 

65,015

 

207

 

Dover Corp.

 

8,462

 

633

 

Eaton Corp.

 

40,449

 

106

 

Equifax, Inc.

 

3,037

 

1,191

 

FedEx Corp.

 

100,580

 

199

 

Gardner Denver, Inc.

 

7,449

 

103

 

GATX Corp.

 

2,974

 

199

 

General Cable Corp.*

 

5,843

 

1,196

 

General Dynamics Corp.

 

78,816

 

40,477

 

General Electric Co.

 

648,442

 

124

 

Graco, Inc.

 

3,493

 

83

 

Harsco Corp.

 

2,575

 

715

 

Hertz Global Holdings, Inc.*

 

7,007

 

191

 

Hubbell, Inc., Class B

 

8,673

 

126

 

IDEX Corp.

 

3,733

 

1,716

 

Illinois Tool Works, Inc.

 

83,466

 

627

 

ITT Corp.

 

32,428

 

48

 

Joy Global, Inc.

 

2,570

 

191

 

Kansas City Southern*

 

5,468

 

613

 

KBR, Inc.

 

11,420

 

311

 

Kennametal, Inc.

 

6,997

 

163

 

Kirby Corp.*

 

5,436

 

445

 

L-3 Communications Holdings, Inc.

 

34,875

 

162

 

Lincoln Electric Holdings, Inc.

 

8,324

 

498

 

Manitowoc Co., Inc. (The)

 

4,890

 

299

 

Manpower, Inc.

 

14,729

 

726

 

Masco Corp.

 

9,859

 

200

 

Monster Worldwide, Inc.*

 

2,922

 

1,220

 

Norfolk Southern Corp.

 

62,708

 

1,089

 

Northrop Grumman Corp.

 

59,677

 

341

 

Oshkosh Corp.

 

13,548

 

184

 

Owens Corning*

 

4,348

 

105

 

PACCAR, Inc.

 

3,893

 

613

 

Parker Hannifin Corp.

 

33,077

 

271

 

Pentair, Inc.

 

8,157

 

789

 

Pitney Bowes, Inc.

 

18,179

 

756

 

Quanta Services, Inc.*

 

14,175

 

582

 

R.R. Donnelley & Sons Co.

 

11,978

 

347

 

Raytheon Co.

 

17,881

 

841

 

Republic Services, Inc.

 

23,716

 

488

 

Rockwell Automation, Inc.

 

21,223

 

49

 

Roper Industries, Inc.

 

2,550

 

213

 

Ryder System, Inc.

 

8,635

 

59

 

Shaw Group, Inc. (The)*

 

1,683

 

160

 

Snap-On, Inc.

 

5,784

 

1,948

 

Southwest Airlines Co.

 

17,922

 

272

 

Spirit Aerosystems Holdings, Inc., Class A*

 

4,959

 

188

 

SPX Corp.

 

10,019

 

303

 

Stanley Works (The)

 

14,717

 

403

 

Terex Corp.*

 

7,588

 

1,033

 

Textron, Inc.

 

20,712

 

137

 

Thomas & Betts Corp.*

 

5,001

 

370

 

Timken Co.

 

9,128

 

300

 

Trinity Industries, Inc.

 

5,661

 

903

 

Union Pacific Corp.

 

57,124

 

263

 

United Technologies Corp.

 

17,684

 

278

 

URS Corp.*

 

11,551

 

157

 

USG Corp.*

 

2,171

 

30

 

UTi Worldwide, Inc.

 

392

 

81

 

Waste Connections, Inc.*

 

2,628

 

194

 

Waste Management, Inc.

 

6,371

 

77

 

WESCO International, Inc.*

 

2,010

 

 

 

 

 

2,224,149

 

 

 

Information Technology - 4.0%

 

 

 

 

 

 

 

 

 

892

 

Activision Blizzard, Inc.*

 

10,160

 

1,010

 

Advanced Micro Devices, Inc.*

 

7,080

 

137

 

Affiliated Computer Services, Inc., Class A*

 

7,562

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

635

 

Amdocs Ltd.*

 

$

16,783

 

5,081

 

Applied Materials, Inc.

 

62,547

 

268

 

Arrow Electronics, Inc.*

 

7,043

 

1,723

 

Atmel Corp.*

 

6,840

 

282

 

Autodesk, Inc.*

 

6,613

 

384

 

Avnet, Inc.*

 

10,464

 

146

 

AVX Corp.

 

1,761

 

203

 

Broadridge Financial Solutions, Inc.

 

4,462

 

1,038

 

Brocade Communications Systems, Inc.*

 

7,359

 

343

 

CA, Inc.

 

7,580

 

309

 

Ciena Corp.*

 

3,754

 

358

 

CommScope, Inc.*

 

8,997

 

579

 

Computer Sciences Corp.*

 

32,024

 

925

 

Compuware Corp.*

 

6,420

 

325

 

Convergys Corp.*

 

3,634

 

868

 

Corning, Inc.

 

14,478

 

54

 

Cypress Semiconductor Corp.*

 

517

 

32

 

Diebold, Inc.

 

804

 

17

 

DST Systems, Inc.*

 

722

 

3,278

 

eBay, Inc.*

 

80,213

 

145

 

EchoStar Corp., Class A*

 

2,817

 

6,894

 

EMC Corp.*

 

116,026

 

474

 

Fairchild Semiconductor International, Inc.*

 

3,839

 

481

 

Fidelity National Information Services, Inc.

 

10,871

 

110

 

Harris Corp.

 

4,829

 

2,065

 

Hewlett-Packard Co.

 

101,309

 

205

 

IAC/InterActiveCorp.*

 

3,987

 

618

 

Ingram Micro, Inc., Class A*

 

10,500

 

497

 

Integrated Device Technology, Inc.*

 

2,813

 

8,176

 

Intel Corp.

 

156,979

 

153

 

International Rectifier Corp.*

 

2,864

 

235

 

Intersil Corp., Class A

 

3,036

 

10

 

Itron, Inc.*

 

608

 

360

 

Jabil Circuit, Inc.

 

4,792

 

386

 

JDS Uniphase Corp.*

 

2,853

 

649

 

KLA-Tencor Corp.

 

20,275

 

298

 

Lexmark International, Inc., Class A*

 

7,501

 

2,481

 

LSI Corp.*

 

13,125

 

197

 

Marvell Technology Group Ltd.*

 

3,038

 

188

 

Maxim Integrated Products, Inc.

 

3,309

 

62

 

Microchip Technology, Inc.

 

1,628

 

2,667

 

Micron Technology, Inc.*

 

20,056

 

460

 

Molex, Inc.

 

8,551

 

8,202

 

Motorola, Inc.

 

65,698

 

718

 

Novell, Inc.*

 

2,807

 

148

 

Novellus Systems, Inc.*

 

3,062

 

76

 

Nuance Communications, Inc.*

 

1,154

 

851

 

PMC-Sierra, Inc.*

 

6,748

 

119

 

Rovi Corp.*

 

3,547

 

206

 

SAIC, Inc.*

 

3,671

 

449

 

SanDisk Corp.*

 

8,854

 

186

 

Seagate Technology

 

2,814

 

2,859

 

Sun Microsystems, Inc.*

 

24,330

 

205

 

Synopsys, Inc.*

 

4,606

 

192

 

Tech Data Corp.*

 

8,085

 

1,513

 

Tellabs, Inc.*

 

8,488

 

122

 

Teradata Corp.*

 

3,575

 

172

 

Total System Services, Inc.

 

2,972

 

561

 

Vishay Intertechnology, Inc.*

 

4,067

 

84

 

Western Digital Corp.*

 

3,095

 

3,305

 

Xerox Corp.

 

25,449

 

295

 

Yahoo!, Inc.*

 

4,416

 

21

 

Zebra Technologies Corp., Class A*

 

559

 

 

 

 

 

1,001,420

 

 

 

Materials - 3.3%

 

 

 

 

 

 

 

 

 

525

 

Air Products & Chemicals, Inc.

 

43,538

 

311

 

Airgas, Inc.

 

14,384

 

417

 

AK Steel Holding Corp.

 

8,340

 

329

 

Albemarle Corp.

 

11,104

 

2,000

 

Alcoa, Inc.

 

25,040

 

374

 

Allegheny Technologies, Inc.

 

12,727

 

258

 

Aptargroup, Inc.

 

9,319

 

263

 

Ashland, Inc.

 

9,450

 

126

 

Ball Corp.

 

6,226

 

412

 

Bemis Co., Inc.

 

12,072

 

250

 

Cabot Corp.

 

5,733

 

168

 

Carpenter Technology Corp.

 

3,894

 

32

 

CF Industries Holdings, Inc.

 

2,732

 

452

 

Cliffs Natural Resources, Inc.

 

19,915

 

430

 

Commercial Metals Co.

 

6,837

 

57

 

Compass Minerals International, Inc.

 

3,710

 

180

 

Cytec Industries, Inc.

 

6,116

 

4,253

 

Dow Chemical Co. (The)

 

118,148

 

2,310

 

E.I. du Pont de Nemours & Co.

 

79,880

 

278

 

Eastman Chemical Co.

 

16,713

 

41

 

FMC Corp.

 

2,296

 

618

 

Freeport-McMoRan Copper & Gold, Inc.*

 

51,170

 

127

 

Greif, Inc., Class A

 

7,094

 

619

 

Huntsman Corp.

 

5,893

 

16

 

International Flavors & Fragrances, Inc.

 

652

 

1,652

 

International Paper Co.

 

42,043

 

11

 

Intrepid Potash, Inc.*

 

335

 

33

 

Lubrizol Corp.

 

2,393

 

105

 

Martin Marietta Materials, Inc.

 

8,955

 

654

 

MeadWestvaco Corp.

 

17,900

 

1,201

 

Nucor Corp.

 

50,934

 

119

 

Owens-Illinois, Inc.*

 

3,721

 

353

 

Packaging Corp. of America

 

7,032

 

91

 

Pactiv Corp.*

 

2,216

 

629

 

PPG Industries, Inc.

 

37,381

 

241

 

Reliance Steel & Aluminum Co.

 

9,852

 

98

 

Royal Gold, Inc.

 

5,274

 

232

 

RPM International, Inc.

 

4,547

 

17

 

Schnitzer Steel Industries, Inc., Class A

 

759

 

606

 

Sealed Air Corp.

 

13,508

 

381

 

Sonoco Products Co.

 

10,737

 

177

 

Southern Copper Corp.

 

6,167

 

822

 

Steel Dynamics, Inc.

 

13,908

 

407

 

Temple-Inland, Inc.

 

7,322

 

120

 

Terra Industries, Inc.

 

4,630

 

325

 

Titanium Metals Corp.

 

3,175

 

548

 

United States Steel Corp.

 

24,474

 

15

 

Valhi, Inc.

 

155

 

384

 

Valspar Corp.

 

10,068

 

478

 

Vulcan Materials Co.

 

23,173

 

808

 

Weyerhaeuser Co.

 

31,464

 

 

 

 

 

825,106

 

 

 

Telecommunication Services - 4.5%

 

 

 

 

 

 

 

 

 

22,552

 

AT&T, Inc.

 

607,551

 

1,134

 

CenturyTel, Inc.

 

40,359

 

246

 

Clearwire Corp., Class A*

 

1,392

 

713

 

Crown Castle International Corp.*

 

26,160

 

675

 

Frontier Communications Corp.

 

5,333

 

52

 

Leap Wireless International, Inc.*

 

750

 

6,221

 

Level 3 Communications, Inc.*

 

7,776

 

600

 

NII Holdings, Inc.*

 

17,880

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

5,628

 

Qwest Communications International, Inc.

 

$

20,542

 

10,690

 

Sprint Nextel Corp.*

 

39,660

 

347

 

Telephone & Data Systems, Inc.

 

10,580

 

59

 

United States Cellular Corp.*

 

2,198

 

10,858

 

Verizon Communications, Inc.

 

341,593

 

895

 

Windstream Corp.

 

8,879

 

 

 

 

 

1,130,653

 

 

 

Utilities - 5.6%

 

 

 

 

 

 

 

 

 

494

 

AES Corp. (The)*

 

6,294

 

295

 

AGL Resources, Inc.

 

10,192

 

252

 

Allegheny Energy, Inc.

 

5,539

 

423

 

Alliant Energy Corp.

 

11,624

 

903

 

Ameren Corp.

 

23,469

 

1,822

 

American Electric Power Co., Inc.

 

58,650

 

210

 

American Water Works Co., Inc.

 

4,670

 

519

 

Aqua America, Inc.

 

8,470

 

352

 

Atmos Energy Corp.

 

9,641

 

588

 

Calpine Corp.*

 

6,539

 

238

 

Centerpoint Energy, Inc.

 

3,158

 

867

 

CMS Energy Corp.

 

12,346

 

1,049

 

Consolidated Edison, Inc.

 

45,013

 

109

 

Constellation Energy Group, Inc.

 

3,468

 

2,255

 

Dominion Resources, Inc.

 

82,037

 

387

 

DPL, Inc.

 

10,395

 

627

 

DTE Energy Co.

 

25,149

 

4,919

 

Duke Energy Corp.

 

82,049

 

1,904

 

Dynegy, Inc., Class A*

 

3,446

 

1,245

 

Edison International

 

42,392

 

274

 

Energen Corp.

 

11,919

 

750

 

Entergy Corp.

 

58,988

 

2,299

 

Exelon Corp.

 

110,766

 

1,165

 

FirstEnergy Corp.

 

50,188

 

1,365

 

FPL Group, Inc.

 

70,939

 

516

 

Great Plains Energy, Inc.

 

9,185

 

350

 

Hawaiian Electric Industries, Inc.

 

6,951

 

228

 

Integrys Energy Group, Inc.

 

8,787

 

703

 

MDU Resources Group, Inc.

 

15,888

 

551

 

Mirant Corp.*

 

7,846

 

271

 

National Fuel Gas Co.

 

12,691

 

1,049

 

NiSource, Inc.

 

14,948

 

670

 

Northeast Utilities

 

16,154

 

1,014

 

NRG Energy, Inc.*

 

24,275

 

408

 

NSTAR

 

13,517

 

514

 

NV Energy, Inc.

 

5,983

 

367

 

OGE Energy Corp.

 

12,698

 

402

 

Oneok, Inc.

 

16,088

 

841

 

Pepco Holdings, Inc.

 

13,708

 

1,408

 

PG&E Corp.

 

59,615

 

387

 

Pinnacle West Capital Corp.

 

13,580

 

1,067

 

Progress Energy, Inc.

 

41,709

 

1,934

 

Public Service Enterprise Group, Inc.

 

60,650

 

666

 

Questar Corp.

 

26,420

 

1,339

 

RRI Energy, Inc.*

 

6,588

 

466

 

SCANA Corp.

 

16,403

 

934

 

Sempra Energy

 

49,633

 

2,990

 

Southern Co.

 

95,949

 

813

 

TECO Energy, Inc.

 

11,992

 

414

 

UGI Corp.

 

9,721

 

310

 

Vectren Corp.

 

7,282

 

415

 

Westar Energy, Inc.

 

8,545

 

447

 

Wisconsin Energy Corp.

 

20,160

 

1,741

 

Xcel Energy, Inc.

 

35,377

 

 

 

 

 

1,399,684

 

 

 

Total Common Stocks
(Cost $16,244,616)

 

20,472,984

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 6.4%

 

 

 

$

44,903

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $44,903(b)

 

 

44,903

 

89,805

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $89,805(c)

 

89,805

 

269,415

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $269,418(d)

 

269,415

 

53,995

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $53,995(e)

 

53,995

 

94,295

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $94,295(f)

 

94,295

 

179,610

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $179,614(g)

 

179,610

 

44,903

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $44,903(h)

 

44,903

 

269,415

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $269,416(i)

 

269,415

 

224,513

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $224,514(j)

 

224,513

 

134,708

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $134,709(k)

 

134,708

 

207,286

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $207,287(l)

 

207,286

 

 

 

Total Repurchase Agreements (Cost $1,612,848)

 

1,612,848

 

 

 

Total Investment Securities
(Cost $17,857,464) — 87.6%

 

22,085,832

 

 

 

Other assets less liabilities — 12.4%

 

3,115,146

 

 

 

Net Assets — 100.0%

 

$

25,200,978

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,722,190.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $45,801. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $91,601. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $274,804. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $55,075. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $96,182. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $183,203. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $45,801. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $274,804. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $229,004. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $137,403. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $211,432. The investment in the repurchase agreement was through participation in a pooled account.

 

REIT                        Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

—

 

Aggregate gross unrealized depreciation

 

(818,569

)

Net unrealized depreciation

 

$

(818,569

)

Federal income tax cost of investments

 

$

22,904,401

 

 

Swap Agreements

 

Ultra Russell1000 Value had the following open swap agreements as of November 30, 2009:

 

 

 

 

 

Unrealized

 

 

 

Notional Amount

 

Appreciation/

 

 

 

at Value

 

(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on Russell 1000® Value Index

 

$

4,397,944

 

$

1,462,195

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on Russell 1000® Value Index

 

6,607,471

 

(111,513

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on Russell 1000® Value Index

 

9,263,882

 

2,408,264

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on Russell 1000® Value Index

 

9,722,809

 

(138,088

)

 

 

 

 

 

 

 

 

 

 

$

3,620,858

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

20,472,984

 

$

—

 

$

20,472,984

 

Repurchase Agreements

 

—

 

1,612,848

 

1,612,848

 

Total Investment Securities

 

20,472,984

 

1,612,848

 

22,085,832

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

3,620,858

 

3,620,858

 

Total Other Financial Instruments

 

—

 

3,620,858

 

3,620,858

 

Total Investments

 

$

20,472,984

 

$

5,233,706

 

$

25,706,690

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell1000 Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 78.3%

 

 

 

 

 

Consumer Discretionary - 8.2%

 

 

 

 

 

 

 

 

 

190

 

Aaron’s, Inc.

 

$

4,763

 

174

 

Abercrombie & Fitch Co., Class A

 

6,948

 

379

 

Advance Auto Parts, Inc.

 

14,895

 

267

 

Aeropostale, Inc.*

 

8,411

 

1,308

 

Amazon.com, Inc.*

 

177,770

 

680

 

American Eagle Outfitters, Inc.

 

10,458

 

528

 

Apollo Group, Inc., Class A*

 

30,133

 

29

 

AutoNation, Inc.*

 

512

 

122

 

AutoZone, Inc.*

 

18,040

 

29

 

Barnes & Noble, Inc.

 

677

 

1,039

 

Bed Bath & Beyond, Inc.*

 

38,817

 

1,339

 

Best Buy Co., Inc.

 

57,349

 

39

 

Big Lots, Inc.*

 

899

 

432

 

BorgWarner, Inc.

 

13,051

 

407

 

Brinker International, Inc.

 

5,617

 

183

 

Brink’s Home Security Holdings, Inc.*

 

5,988

 

424

 

Burger King Holdings, Inc.

 

7,208

 

253

 

Career Education Corp.*

 

6,586

 

621

 

CarMax, Inc.*

 

12,345

 

792

 

Carnival Corp.*

 

25,368

 

664

 

Chico’s FAS, Inc.*

 

9,342

 

129

 

Chipotle Mexican Grill, Inc., Class A*

 

10,765

 

32

 

Choice Hotels International, Inc.

 

1,003

 

1,265

 

Coach, Inc.

 

43,959

 

859

 

Comcast Corp., Class A

 

12,602

 

136

 

CTC Media, Inc.*

 

1,897

 

547

 

Darden Restaurants, Inc.

 

17,192

 

248

 

DeVry, Inc.

 

13,471

 

339

 

Dick’s Sporting Goods, Inc.*

 

7,038

 

1,828

 

DIRECTV, Class A*

 

57,820

 

1,043

 

Discovery Communications, Inc., Class C*

 

29,246

 

360

 

Dollar Tree, Inc.*

 

17,629

 

664

 

Expedia, Inc.*

 

16,919

 

557

 

Family Dollar Stores, Inc.

 

16,994

 

25

 

Federal Mogul Corp.*

 

338

 

275

 

Foot Locker, Inc.

 

2,610

 

576

 

GameStop Corp., Class A*

 

14,060

 

1,695

 

Gap, Inc. (The)

 

36,307

 

365

 

Garmin Ltd.

 

10,906

 

545

 

Gentex Corp.

 

9,058

 

961

 

Goodyear Tire & Rubber Co. (The)*

 

13,175

 

233

 

Guess?, Inc.

 

8,633

 

1,353

 

H&R Block, Inc.

 

27,466

 

376

 

Hanesbrands, Inc.*

 

9,028

 

128

 

Harman International Industries, Inc.

 

4,814

 

297

 

Hasbro, Inc.

 

8,806

 

98

 

Hillenbrand, Inc.

 

1,793

 

453

 

Home Depot, Inc.

 

12,394

 

68

 

Interactive Data Corp.

 

1,737

 

982

 

International Game Technology

 

18,550

 

150

 

ITT Educational Services, Inc.*

 

13,647

 

165

 

John Wiley & Sons, Inc., Class A

 

6,179

 

1,300

 

Johnson Controls, Inc.

 

35,165

 

21

 

KB Home

 

285

 

1,135

 

Kohl’s Corp.*

 

60,314

 

903

 

Las Vegas Sands Corp.*

 

13,834

 

389

 

Leggett & Platt, Inc.

 

7,570

 

711

 

Limited Brands, Inc.

 

11,795

 

557

 

LKQ Corp.*

 

9,709

 

1,849

 

Lowe’s Cos., Inc.

 

40,327

 

562

 

Marriott International, Inc., Class A

 

14,450

 

192

 

Marvel Entertainment, Inc.*

 

9,994

 

1,109

 

Mattel, Inc.

 

21,581

 

4,390

 

McDonald’s Corp.

 

277,668

 

1,252

 

McGraw-Hill Cos., Inc. (The)

 

37,510

 

57

 

MDC Holdings, Inc.

 

1,692

 

359

 

MGM Mirage*

 

3,795

 

81

 

Morningstar, Inc.*

 

3,755

 

162

 

NetFlix, Inc.*

 

9,498

 

26

 

New York Times Co. (The), Class A*

 

219

 

178

 

Newell Rubbermaid, Inc.

 

2,583

 

1,436

 

NIKE, Inc., Class B

 

93,182

 

654

 

Nordstrom, Inc.

 

21,876

 

1

 

NVR, Inc.*

 

673

 

201

 

Office Depot, Inc.*

 

1,234

 

1,238

 

Omnicom Group, Inc.

 

45,459

 

538

 

O’Reilly Automotive, Inc.*

 

20,864

 

110

 

Panera Bread Co., Class A*

 

6,926

 

53

 

Penske Auto Group, Inc.*

 

783

 

501

 

PetSmart, Inc.

 

12,896

 

133

 

Phillips-Van Heusen Corp.

 

5,320

 

207

 

Polo Ralph Lauren Corp.

 

15,908

 

167

 

priceline.com, Inc.*

 

35,758

 

145

 

Pulte Homes, Inc.

 

1,325

 

65

 

RadioShack Corp.

 

1,226

 

165

 

Regal Entertainment Group, Class A

 

2,260

 

505

 

Ross Stores, Inc.

 

22,210

 

159

 

Royal Caribbean Cruises Ltd.*

 

3,907

 

253

 

Scientific Games Corp., Class A*

 

3,580

 

209

 

Scripps Networks Interactive, Inc., Class A

 

8,266

 

337

 

Sherwin-Williams Co. (The)

 

20,503

 

2,844

 

Staples, Inc.

 

66,322

 

2,926

 

Starbucks Corp.*

 

64,079

 

120

 

Starwood Hotels & Resorts Worldwide, Inc.

 

3,842

 

55

 

Strayer Education, Inc.

 

10,862

 

2,994

 

Target Corp.

 

139,401

 

74

 

Thor Industries, Inc.

 

2,105

 

452

 

Tiffany & Co.

 

19,291

 

1,644

 

TJX Cos., Inc.

 

63,097

 

57

 

TRW Automotive Holdings Corp.*

 

1,240

 

510

 

Urban Outfitters, Inc.*

 

16,136

 

78

 

VF Corp.

 

5,672

 

228

 

WABCO Holdings, Inc.

 

5,388

 

15

 

Warner Music Group Corp.*

 

75

 

11

 

Weight Watchers International, Inc.

 

304

 

583

 

Wendy’s/Arby’s Group, Inc., Class A

 

2,390

 

152

 

Williams-Sonoma, Inc.

 

3,089

 

210

 

WMS Industries, Inc.*

 

8,165

 

313

 

Wyndham Worldwide Corp.

 

5,812

 

1,837

 

Yum! Brands, Inc.

 

64,791

 

 

 

 

 

2,269,174

 

 

 

Consumer Staples - 12.8%

 

 

 

 

 

 

 

 

 

289

 

Alberto-Culver Co.

 

8,135

 

8,227

 

Altria Group, Inc.

 

154,750

 

1,434

 

Archer-Daniels-Midland Co.

 

44,182

 

1,700

 

Avon Products, Inc.

 

58,225

 

37

 

BJ’s Wholesale Club, Inc.*

 

1,284

 

298

 

Brown-Forman Corp., Class B

 

15,249

 

529

 

Campbell Soup Co.

 

18,499

 

278

 

Church & Dwight Co., Inc.

 

16,413

 

488

 

Clorox Co.

 

29,412

 

7,241

 

Coca-Cola Co. (The)

 

414,185

 

1,044

 

Coca-Cola Enterprises, Inc.

 

20,515

 

1,990

 

Colgate-Palmolive Co.

 

167,538

 

1,726

 

Costco Wholesale Corp.

 

103,405

 

1,764

 

CVS Caremark Corp.

 

54,702

 

715

 

Dean Foods Co.*

 

11,368

 

231

 

Energizer Holdings, Inc.*

 

13,015

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

439

 

Estee Lauder Cos., Inc. (The), Class A

 

$

20,558

 

254

 

Flowers Foods, Inc.

 

5,814

 

542

 

General Mills, Inc.

 

36,856

 

137

 

Green Mountain Coffee Roasters, Inc.*

 

8,628

 

1,014

 

H. J. Heinz Co.

 

43,044

 

275

 

Hansen Natural Corp.*

 

9,617

 

244

 

Herbalife Ltd.

 

10,233

 

359

 

Hershey Co. (The)

 

12,698

 

28

 

Hormel Foods Corp.

 

1,051

 

1,011

 

Kellogg Co.

 

53,158

 

1,435

 

Kimberly-Clark Corp.

 

94,667

 

2,188

 

Kroger Co. (The)

 

49,755

 

589

 

Lorillard, Inc.

 

45,889

 

519

 

McCormick & Co., Inc. (Non-Voting)

 

18,518

 

70

 

Mead Johnson Nutrition Co., Class A

 

3,071

 

26

 

Molson Coors Brewing Co., Class B

 

1,175

 

147

 

NBTY, Inc.*

 

5,901

 

449

 

Pepsi Bottling Group, Inc.

 

17,040

 

6,195

 

PepsiCo, Inc.

 

385,453

 

7,804

 

Philip Morris International, Inc.

 

375,294

 

7,599

 

Procter & Gamble Co. (The)

 

473,798

 

689

 

Sara Lee Corp.

 

8,364

 

42

 

Smithfield Foods, Inc.*

 

650

 

2,347

 

Sysco Corp.

 

63,463

 

3,948

 

Walgreen Co.

 

153,538

 

8,797

 

Wal-Mart Stores, Inc.

 

479,876

 

366

 

Whole Foods Market, Inc.*

 

9,388

 

 

 

 

 

3,518,374

 

 

 

Energy - 3.4%

 

 

 

 

 

 

 

 

 

477

 

Alpha Natural Resources, Inc.*

 

17,649

 

190

 

Atwood Oceanics, Inc.*

 

7,159

 

862

 

Cameron International Corp.*

 

32,584

 

97

 

CNX Gas Corp.*

 

2,646

 

14

 

Comstock Resources, Inc.*

 

520

 

719

 

CONSOL Energy, Inc.

 

33,016

 

59

 

Continental Resources, Inc.*

 

2,221

 

276

 

Diamond Offshore Drilling, Inc.

 

27,473

 

328

 

Dresser-Rand Group, Inc.*

 

9,210

 

776

 

El Paso Corp.

 

7,419

 

162

 

ENSCO International, Inc.

 

7,128

 

490

 

EXCO Resources, Inc.

 

8,291

 

114

 

Exterran Holdings, Inc.*

 

2,388

 

5,010

 

Exxon Mobil Corp.

 

376,101

 

491

 

FMC Technologies, Inc.*

 

26,745

 

163

 

Forest Oil Corp.*

 

2,986

 

327

 

Frontier Oil Corp.

 

3,770

 

130

 

Helmerich & Payne, Inc.

 

4,882

 

167

 

Holly Corp.

 

4,250

 

360

 

Mariner Energy, Inc.*

 

4,504

 

272

 

Massey Energy Co.

 

10,244

 

219

 

Oceaneering International, Inc.*

 

11,964

 

87

 

Patterson-UTI Energy, Inc.

 

1,339

 

1,065

 

Peabody Energy Corp.

 

47,350

 

1,198

 

Petrohawk Energy Corp.*

 

26,763

 

301

 

Plains Exploration & Production Co.*

 

8,190

 

323

 

Pride International, Inc.*

 

10,216

 

464

 

Quicksilver Resources, Inc.*

 

6,176

 

91

 

Range Resources Corp.

 

4,289

 

78

 

Rowan Cos., Inc.*

 

1,926

 

2,163

 

Schlumberger Ltd.

 

138,194

 

19

 

Seahawk Drilling, Inc.*

 

409

 

520

 

Smith International, Inc.

 

14,134

 

1,367

 

Southwestern Energy Co.*

 

60,093

 

63

 

St. Mary Land & Exploration Co.

 

2,040

 

74

 

Teekay Corp.

 

1,776

 

226

 

Tesoro Corp.

 

2,888

 

 

 

 

 

928,933

 

 

 

Financials - 3.9%

 

 

 

 

 

 

 

 

 

164

 

Affiliated Managers Group, Inc.*

 

10,694

 

1,859

 

Aflac, Inc.

 

85,570

 

35

 

Alexandria Real Estate Equities, Inc. (REIT)

 

1,973

 

737

 

American Express Co.

 

30,829

 

184

 

American International Group, Inc.*

 

5,226

 

109

 

AmeriCredit Corp.*

 

2,011

 

79

 

Ameriprise Financial, Inc.

 

3,011

 

370

 

Arthur J. Gallagher & Co.

 

8,288

 

163

 

Axis Capital Holdings Ltd.

 

4,562

 

978

 

Bank of New York Mellon Corp. (The)

 

26,054

 

28

 

BlackRock, Inc.

 

6,358

 

28

 

BOK Financial Corp.

 

1,301

 

343

 

Brown & Brown, Inc.

 

6,123

 

504

 

Capital One Financial Corp.

 

19,333

 

161

 

CapitalSource, Inc.

 

591

 

78

 

Capitol Federal Financial

 

2,276

 

940

 

CB Richard Ellis Group, Inc., Class A*

 

10,744

 

3,778

 

Charles Schwab Corp. (The)

 

69,251

 

15

 

CME Group, Inc.

 

4,923

 

49

 

CNA Financial Corp.*

 

1,115

 

86

 

Commerce Bancshares, Inc./MO

 

3,453

 

301

 

Digital Realty Trust, Inc. (REIT)

 

14,647

 

465

 

Eaton Vance Corp.

 

14,015

 

66

 

Endurance Specialty Holdings Ltd.

 

2,468

 

82

 

Erie Indemnity Co., Class A

 

3,032

 

28

 

Federal Realty Investment Trust (REIT)

 

1,801

 

327

 

Federated Investors, Inc., Class B

 

8,430

 

137

 

Fidelity National Financial, Inc., Class A

 

1,903

 

269

 

Franklin Resources, Inc.

 

29,060

 

827

 

Genworth Financial, Inc., Class A*

 

8,907

 

756

 

GLG Partners, Inc.*

 

2,230

 

125

 

Goldman Sachs Group, Inc. (The)

 

21,207

 

81

 

Greenhill & Co., Inc.

 

6,614

 

15

 

Hanover Insurance Group, Inc. (The)

 

624

 

453

 

HCP, Inc. (REIT)

 

14,179

 

240

 

Health Care REIT, Inc. (REIT)

 

10,692

 

1,034

 

Hudson City Bancorp, Inc.

 

13,742

 

291

 

IntercontinentalExchange, Inc.*

 

31,076

 

132

 

Invesco Ltd.

 

2,937

 

14

 

Investment Technology Group, Inc.*

 

255

 

632

 

Janus Capital Group, Inc.

 

8,273

 

352

 

Jefferies Group, Inc.*

 

8,254

 

305

 

Lazard Ltd., Class A

 

11,822

 

271

 

Leucadia National Corp.*

 

5,832

 

372

 

Lincoln National Corp.

 

8,523

 

155

 

Marsh & McLennan Cos., Inc.

 

3,495

 

745

 

Moody’s Corp.

 

17,306

 

1,257

 

Morgan Stanley

 

39,696

 

400

 

MSCI, Inc., Class A*

 

12,188

 

239

 

NASDAQ OMX Group, Inc. (The)*

 

4,465

 

311

 

Nationwide Health Properties, Inc. (REIT)

 

10,577

 

961

 

Northern Trust Corp.

 

47,569

 

268

 

NYSE Euronext

 

6,775

 

232

 

Plum Creek Timber Co., Inc. (REIT)

 

8,002

 

1,237

 

Principal Financial Group, Inc.

 

31,407

 

274

 

Progressive Corp. (The)*

 

4,595

 

948

 

Prudential Financial, Inc.

 

47,258

 

535

 

Public Storage (REIT)

 

42,575

 

144

 

Rayonier, Inc. (REIT)

 

5,723

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

21

 

Reinsurance Group of America, Inc.

 

$

977

 

484

 

SEI Investments Co.

 

8,475

 

405

 

Simon Property Group, Inc. (REIT)

 

29,427

 

403

 

SLM Corp.*

 

4,421

 

367

 

St. Joe Co. (The)*

 

9,138

 

1,048

 

State Street Corp.

 

43,282

 

1

 

Student Loan Corp. (The)

 

50

 

1,020

 

T. Rowe Price Group, Inc.

 

49,909

 

1,042

 

TD Ameritrade Holding Corp.*

 

20,465

 

37

 

TFS Financial Corp.

 

414

 

53

 

Validus Holdings Ltd.

 

1,405

 

176

 

W. R. Berkley Corp.

 

4,349

 

340

 

Waddell & Reed Financial, Inc., Class A

 

9,904

 

2,802

 

Wells Fargo & Co.

 

78,568

 

 

 

 

 

1,076,624

 

 

 

Health Care - 12.6%

 

 

 

 

 

 

 

 

 

6,148

 

Abbott Laboratories

 

335,005

 

29

 

Abraxis Bioscience, Inc.*

 

971

 

384

 

Aetna, Inc.

 

11,178

 

353

 

Alexion Pharmaceuticals, Inc.*

 

16,009

 

1,212

 

Allergan, Inc.

 

70,454

 

250

 

Allscripts-Misys Healthcare Solutions, Inc.*

 

4,800

 

1,051

 

AmerisourceBergen Corp.

 

25,949

 

4,030

 

Amgen, Inc.*

 

227,091

 

562

 

Amylin Pharmaceuticals, Inc.*

 

8,014

 

2,409

 

Baxter International, Inc.

 

131,411

 

273

 

Beckman Coulter, Inc.

 

17,734

 

953

 

Becton, Dickinson and Co.

 

71,284

 

1,151

 

Biogen Idec, Inc.*

 

54,028

 

399

 

BioMarin Pharmaceutical, Inc.*

 

6,588

 

79

 

Bio-Rad Laboratories, Inc., Class A*

 

7,639

 

2,134

 

Boston Scientific Corp.*

 

17,862

 

4,368

 

Bristol-Myers Squibb Co.

 

110,554

 

395

 

C.R. Bard, Inc.

 

32,473

 

1,834

 

Celgene Corp.*

 

101,695

 

292

 

Cephalon, Inc.*

 

16,045

 

270

 

Cerner Corp.*

 

20,328

 

175

 

Charles River Laboratories International, Inc.*

 

5,626

 

68

 

CIGNA Corp.

 

2,181

 

187

 

Community Health Systems, Inc.*

 

5,705

 

253

 

Covance, Inc.*

 

13,437

 

168

 

Coventry Health Care, Inc.*

 

3,788

 

412

 

DaVita, Inc.*

 

24,407

 

458

 

Dendreon Corp.*

 

12,522

 

589

 

DENTSPLY International, Inc.

 

19,625

 

224

 

Edwards Lifesciences Corp.*

 

18,431

 

2,111

 

Eli Lilly & Co.

 

77,537

 

83

 

Emdeon, Inc., Class A*

 

1,252

 

1,089

 

Express Scripts, Inc.*

 

93,436

 

208

 

Gen-Probe, Inc.*

 

8,672

 

1,075

 

Genzyme Corp.*

 

54,503

 

3,606

 

Gilead Sciences, Inc.*

 

166,056

 

982

 

Health Management Associates, Inc., Class A*

 

6,020

 

356

 

Henry Schein, Inc.*

 

17,679

 

101

 

Hill-Rom Holdings, Inc.

 

2,240

 

101

 

Hologic, Inc.*

 

1,461

 

637

 

Hospira, Inc.*

 

29,907

 

248

 

Humana, Inc.*

 

10,294

 

232

 

IDEXX Laboratories, Inc.*

 

11,612

 

491

 

Illumina, Inc.*

 

14,200

 

164

 

IMS Health, Inc.

 

3,503

 

152

 

Intuitive Surgical, Inc.*

 

42,642

 

147

 

Inverness Medical Innovations, Inc.*

 

6,181

 

8,485

 

Johnson & Johnson

 

533,197

 

84

 

Kinetic Concepts, Inc.*

 

2,832

 

433

 

Laboratory Corp. of America Holdings*

 

31,592

 

614

 

Life Technologies Corp.*

 

30,565

 

222

 

Lincare Holdings, Inc.*

 

7,885

 

530

 

McKesson Corp.

 

32,871

 

1,920

 

Medco Health Solutions, Inc.*

 

121,267

 

60

 

Mednax, Inc.*

 

3,373

 

4,453

 

Medtronic, Inc.

 

188,985

 

4,690

 

Merck & Co., Inc.

 

169,815

 

135

 

Mettler-Toledo International, Inc.*

 

13,430

 

220

 

Millipore Corp.*

 

14,982

 

869

 

Mylan, Inc.*

 

15,529

 

380

 

Myriad Genetics, Inc.*

 

8,786

 

201

 

Omnicare, Inc.

 

4,659

 

231

 

OSI Pharmaceuticals, Inc.*

 

7,695

 

397

 

Patterson Cos., Inc.*

 

10,207

 

102

 

PerkinElmer, Inc.

 

1,925

 

319

 

Perrigo Co.

 

12,805

 

417

 

Pharmaceutical Product Development, Inc.

 

8,940

 

619

 

Quest Diagnostics, Inc.

 

35,865

 

301

 

ResMed, Inc.*

 

15,131

 

1,380

 

St. Jude Medical, Inc.*

 

50,660

 

1,348

 

Stryker Corp.

 

67,939

 

148

 

Techne Corp.

 

10,046

 

68

 

Teleflex, Inc.

 

3,542

 

1,299

 

Tenet Healthcare Corp.*

 

5,910

 

136

 

Thermo Fisher Scientific, Inc.*

 

6,423

 

183

 

United Therapeutics Corp.*

 

8,343

 

12

 

Universal Health Services, Inc., Class B

 

671

 

270

 

Valeant Pharmaceuticals International*

 

8,826

 

497

 

Varian Medical Systems, Inc.*

 

23,230

 

336

 

VCA Antech, Inc.*

 

7,617

 

687

 

Vertex Pharmaceuticals, Inc.*

 

26,669

 

381

 

Waters Corp.*

 

22,395

 

136

 

WellPoint, Inc.*

 

7,348

 

 

 

 

 

3,461,984

 

 

 

Industrials - 7.8%

 

 

 

 

 

 

 

 

 

2,760

 

3M Co.

 

213,734

 

374

 

Aecom Technology Corp.*

 

9,500

 

129

 

Alliant Techsystems, Inc.*

 

11,058

 

426

 

AMETEK, Inc.

 

15,575

 

1,321

 

AMR Corp.*

 

7,979

 

38

 

Armstrong World Industries, Inc.*

 

1,574

 

85

 

Avery Dennison Corp.

 

3,193

 

183

 

BE Aerospace, Inc.*

 

3,526

 

235

 

Boeing Co. (The)

 

12,316

 

182

 

Brink’s Co. (The)

 

4,091

 

68

 

Bucyrus International, Inc.

 

3,522

 

673

 

C.H. Robinson Worldwide, Inc.

 

37,513

 

66

 

Carlisle Cos., Inc.

 

2,119

 

1,199

 

Caterpillar, Inc.

 

70,010

 

93

 

Cintas Corp.

 

2,612

 

547

 

Continental Airlines, Inc., Class B*

 

7,800

 

64

 

Con-way, Inc.

 

1,939

 

118

 

Copa Holdings S.A., Class A

 

5,880

 

268

 

Copart, Inc.*

 

8,689

 

53

 

Corrections Corp. of America*

 

1,324

 

103

 

Crane Co.

 

2,879

 

267

 

Cummins, Inc.

 

11,988

 

639

 

Danaher Corp.

 

45,318

 

415

 

Deere & Co.

 

22,207

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,070

 

Delta Air Lines, Inc.*

 

$

25,143

 

309

 

Donaldson Co., Inc.

 

13,133

 

522

 

Dover Corp.

 

21,339

 

210

 

Dun & Bradstreet Corp.

 

16,504

 

2,991

 

Emerson Electric Co.

 

123,857

 

392

 

Equifax, Inc.

 

11,231

 

842

 

Expeditors International of Washington, Inc.

 

26,885

 

525

 

Fastenal Co.

 

19,467

 

204

 

First Solar, Inc.*

 

24,298

 

224

 

Flowserve Corp.

 

22,279

 

715

 

Fluor Corp.

 

30,373

 

204

 

FTI Consulting, Inc.*

 

9,437

 

80

 

GATX Corp.

 

2,310

 

130

 

General Dynamics Corp.

 

8,567

 

493

 

Goodrich Corp.

 

29,255

 

109

 

Graco, Inc.

 

3,071

 

235

 

Harsco Corp.

 

7,292

 

2,961

 

Honeywell International, Inc.

 

113,910

 

27

 

Hubbell, Inc., Class B

 

1,226

 

189

 

IDEX Corp.

 

5,600

 

190

 

IHS, Inc., Class A*

 

9,553

 

717

 

Iron Mountain, Inc.*

 

17,208

 

69

 

ITT Corp.

 

3,569

 

350

 

J.B. Hunt Transport Services, Inc.

 

11,151

 

489

 

Jacobs Engineering Group, Inc.*

 

17,110

 

358

 

Joy Global, Inc.

 

19,167

 

167

 

Kansas City Southern*

 

4,781

 

46

 

Kirby Corp.*

 

1,534

 

204

 

Landstar System, Inc.

 

7,613

 

188

 

Lennox International, Inc.

 

6,979

 

1,265

 

Lockheed Martin Corp.

 

97,696

 

672

 

Masco Corp.

 

9,126

 

910

 

McDermott International, Inc.*

 

19,055

 

291

 

Monster Worldwide, Inc.*

 

4,252

 

168

 

MSC Industrial Direct Co., Class A

 

7,711

 

251

 

Navistar International Corp.*

 

8,286

 

190

 

Norfolk Southern Corp.

 

9,766

 

151

 

Northrop Grumman Corp.

 

8,275

 

150

 

Owens Corning*

 

3,545

 

1,339

 

PACCAR, Inc.

 

49,650

 

466

 

Pall Corp.

 

14,833

 

109

 

Pentair, Inc.

 

3,281

 

556

 

Precision Castparts Corp.

 

57,646

 

208

 

R.R. Donnelley & Sons Co.

 

4,281

 

1,206

 

Raytheon Co.

 

62,145

 

407

 

Republic Services, Inc.

 

11,477

 

607

 

Robert Half International, Inc.

 

13,554

 

56

 

Rockwell Automation, Inc.

 

2,435

 

628

 

Rockwell Collins, Inc.

 

33,573

 

307

 

Roper Industries, Inc.

 

15,976

 

270

 

Shaw Group, Inc. (The)*

 

7,703

 

61

 

Snap-On, Inc.

 

2,205

 

918

 

Southwest Airlines Co.

 

8,446

 

136

 

Spirit Aerosystems Holdings, Inc., Class A*

 

2,479

 

338

 

Stericycle, Inc.*

 

18,499

 

381

 

SunPower Corp., Class A*

 

7,875

 

67

 

Thomas & Betts Corp.*

 

2,446

 

144

 

Toro Co.

 

5,737

 

160

 

TransDigm Group, Inc.

 

6,936

 

1,067

 

Union Pacific Corp.

 

67,498

 

2,753

 

United Parcel Service, Inc., Class B

 

158,215

 

3,056

 

United Technologies Corp.

 

205,485

 

42

 

URS Corp.*

 

1,745

 

366

 

UTi Worldwide, Inc.

 

4,784

 

85

 

Valmont Industries, Inc.

 

6,514

 

244

 

W.W. Grainger, Inc.

 

23,839

 

235

 

Waste Connections, Inc.*

 

7,626

 

1,757

 

Waste Management, Inc.

 

57,700

 

87

 

WESCO International, Inc.*

 

2,271

 

190

 

Westinghouse Air Brake Technologies Corp.

 

7,315

 

 

 

 

 

2,162,069

 

 

 

Information Technology - 25.3%

 

 

 

 

 

 

 

 

 

1,294

 

Activision Blizzard, Inc.*

 

14,739

 

2,085

 

Adobe Systems, Inc.*

 

73,142

 

1,172

 

Advanced Micro Devices, Inc.*

 

8,216

 

216

 

Affiliated Computer Services, Inc., Class A*

 

11,923

 

1,363

 

Agilent Technologies, Inc.*

 

39,418

 

685

 

Akamai Technologies, Inc.*

 

16,440

 

210

 

Alliance Data Systems Corp.*

 

12,808

 

1,167

 

Altera Corp.

 

24,542

 

110

 

Amdocs Ltd.*

 

2,907

 

681

 

Amphenol Corp., Class A

 

28,057

 

1,157

 

Analog Devices, Inc.

 

34,698

 

351

 

ANSYS, Inc.*

 

13,668

 

3,551

 

Apple, Inc.*

 

709,880

 

196

 

Arrow Electronics, Inc.*

 

5,151

 

612

 

Autodesk, Inc.*

 

14,351

 

1,997

 

Automatic Data Processing, Inc.

 

86,770

 

204

 

Avnet, Inc.*

 

5,559

 

42

 

AVX Corp.

 

507

 

737

 

BMC Software, Inc.*

 

28,544

 

1,956

 

Broadcom Corp., Class A*

 

57,115

 

348

 

Broadridge Financial Solutions, Inc.

 

7,649

 

588

 

Brocade Communications Systems, Inc.*

 

4,169

 

1,205

 

CA, Inc.

 

26,631

 

1,050

 

Cadence Design Systems, Inc.*

 

6,300

 

38

 

Ciena Corp.*

 

462

 

22,950

 

Cisco Systems, Inc.*

 

537,030

 

721

 

Citrix Systems, Inc.*

 

27,528

 

1,164

 

Cognizant Technology Solutions Corp., Class A*

 

51,135

 

51

 

Convergys Corp.*

 

570

 

5,280

 

Corning, Inc.

 

88,070

 

411

 

Cree, Inc.*

 

19,658

 

561

 

Cypress Semiconductor Corp.*

 

5,369

 

6,815

 

Dell, Inc.*

 

96,228

 

231

 

Diebold, Inc.

 

5,807

 

211

 

Dolby Laboratories, Inc., Class A*

 

9,436

 

136

 

DST Systems, Inc.*

 

5,777

 

1,037

 

eBay, Inc.*

 

25,375

 

1,284

 

Electronic Arts, Inc.*

 

21,687

 

834

 

EMC Corp.*

 

14,036

 

152

 

Equinix, Inc.*

 

14,621

 

312

 

F5 Networks, Inc.*

 

14,673

 

167

 

Factset Research Systems, Inc.

 

12,082

 

812

 

Fidelity National Information Services, Inc.

 

18,351

 

621

 

Fiserv, Inc.*

 

28,715

 

597

 

FLIR Systems, Inc.*

 

17,134

 

250

 

Genpact Ltd.*

 

3,245

 

319

 

Global Payments, Inc.

 

16,352

 

952

 

Google, Inc., Class A*

 

555,016

 

413

 

Harris Corp.

 

18,131

 

334

 

Hewitt Associates, Inc., Class A*

 

13,420

 

7,367

 

Hewlett-Packard Co.

 

361,425

 

169

 

IAC/InterActiveCorp.*

 

3,287

 

141

 

Integrated Device Technology, Inc.*

 

798

 

13,711

 

Intel Corp.

 

263,251

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

5,260

 

International Business Machines Corp.

 

$

664,601

 

129

 

International Rectifier Corp.*

 

2,415

 

244

 

Intersil Corp., Class A

 

3,152

 

1,285

 

Intuit, Inc.*

 

37,535

 

145

 

Itron, Inc.*

 

8,815

 

373

 

Jabil Circuit, Inc.

 

4,965

 

438

 

JDS Uniphase Corp.*

 

3,237

 

2,082

 

Juniper Networks, Inc.*

 

54,403

 

503

 

Lam Research Corp.*

 

17,097

 

381

 

Lender Processing Services, Inc.

 

15,918

 

886

 

Linear Technology Corp.

 

23,895

 

1,844

 

Marvell Technology Group Ltd.*

 

28,434

 

339

 

Mastercard, Inc., Class A

 

81,652

 

1,016

 

Maxim Integrated Products, Inc.

 

17,882

 

619

 

McAfee, Inc.*

 

23,615

 

890

 

MEMC Electronic Materials, Inc.*

 

10,716

 

662

 

Microchip Technology, Inc.

 

17,378

 

592

 

Micron Technology, Inc.*

 

4,452

 

319

 

MICROS Systems, Inc.*

 

8,951

 

30,667

 

Microsoft Corp.

 

901,916

 

47

 

Molex, Inc.

 

874

 

583

 

Motorola, Inc.

 

4,670

 

228

 

National Instruments Corp.

 

6,505

 

914

 

National Semiconductor Corp.

 

13,344

 

629

 

NCR Corp.*

 

5,919

 

1,322

 

NetApp, Inc.*

 

40,744

 

288

 

NeuStar, Inc., Class A*

 

6,739

 

623

 

Novell, Inc.*

 

2,436

 

232

 

Novellus Systems, Inc.*

 

4,800

 

789

 

Nuance Communications, Inc.*

 

11,985

 

2,173

 

NVIDIA Corp.*

 

28,379

 

1,673

 

ON Semiconductor Corp.*

 

12,982

 

15,208

 

Oracle Corp.

 

335,793

 

1,278

 

Paychex, Inc.

 

40,065

 

476

 

QLogic Corp.*

 

8,539

 

6,584

 

QUALCOMM, Inc.

 

296,280

 

418

 

Rambus, Inc.*

 

7,449

 

754

 

Red Hat, Inc.*

 

20,132

 

277

 

Rovi Corp.*

 

8,257

 

613

 

SAIC, Inc.*

 

10,924

 

433

 

Salesforce.com, Inc.*

 

27,140

 

435

 

SanDisk Corp.*

 

8,578

 

1,761

 

Seagate Technology

 

26,644

 

175

 

Silicon Laboratories, Inc.*

 

7,390

 

118

 

Sohu.com, Inc.*

 

6,580

 

332

 

Sybase, Inc.*

 

13,360

 

3,265

 

Symantec Corp.*

 

57,954

 

358

 

Synopsys, Inc.*

 

8,044

 

561

 

Teradata Corp.*

 

16,437

 

687

 

Teradyne, Inc.*

 

6,087

 

5,068

 

Texas Instruments, Inc.

 

128,170

 

466

 

Total System Services, Inc.

 

8,052

 

475

 

Trimble Navigation Ltd.*

 

10,607

 

293

 

Varian Semiconductor Equipment Associates, Inc.*

 

8,535

 

769

 

VeriSign, Inc.*

 

17,256

 

1,788

 

Visa, Inc., Class A

 

144,828

 

160

 

Vishay Intertechnology, Inc.*

 

1,160

 

204

 

VMware, Inc., Class A*

 

8,564

 

216

 

WebMD Health Corp.*

 

7,841

 

799

 

Western Digital Corp.*

 

29,435

 

2,789

 

Western Union Co. (The)

 

51,457

 

1,093

 

Xilinx, Inc.

 

24,746

 

4,416

 

Yahoo!, Inc.*

 

66,108

 

215

 

Zebra Technologies Corp., Class A*

 

5,721

 

 

 

 

 

6,970,392

 

 

 

Materials - 3.2%

 

 

 

 

 

 

 

 

 

288

 

Air Products & Chemicals, Inc.

 

23,884

 

19

 

Albemarle Corp.

 

641

 

1,795

 

Alcoa, Inc.

 

22,473

 

20

 

Ashland, Inc.

 

719

 

241

 

Ball Corp.

 

11,908

 

572

 

Celanese Corp., Class A

 

17,023

 

162

 

CF Industries Holdings, Inc.

 

13,828

 

50

 

Cliffs Natural Resources, Inc.

 

2,203

 

71

 

Compass Minerals International, Inc.

 

4,621

 

637

 

Crown Holdings, Inc.*

 

16,033

 

1,188

 

E.I. du Pont de Nemours & Co.

 

41,081

 

173

 

Eagle Materials, Inc.

 

4,664

 

942

 

Ecolab, Inc.

 

42,305

 

246

 

FMC Corp.

 

13,773

 

994

 

Freeport-McMoRan Copper & Gold, Inc.*

 

82,303

 

295

 

International Flavors & Fragrances, Inc.

 

12,012

 

149

 

Intrepid Potash, Inc.*

 

4,536

 

236

 

Lubrizol Corp.

 

17,115

 

69

 

Martin Marietta Materials, Inc.

 

5,885

 

2,170

 

Monsanto Co.

 

175,227

 

632

 

Mosaic Co. (The)

 

34,412

 

548

 

Nalco Holding Co.

 

13,404

 

1,906

 

Newmont Mining Corp.

 

102,238

 

547

 

Owens-Illinois, Inc.*

 

17,105

 

40

 

Packaging Corp. of America

 

797

 

432

 

Pactiv Corp.*

 

10,519

 

1,220

 

Praxair, Inc.

 

100,077

 

42

 

Royal Gold, Inc.

 

2,260

 

268

 

RPM International, Inc.

 

5,253

 

67

 

Schnitzer Steel Industries, Inc., Class A

 

2,990

 

175

 

Scotts Miracle-Gro Co. (The), Class A

 

6,988

 

485

 

Sigma-Aldrich Corp.

 

25,870

 

514

 

Southern Copper Corp.

 

17,908

 

271

 

Terra Industries, Inc.

 

10,455

 

2

 

Valhi, Inc.

 

21

 

208

 

Walter Energy, Inc.

 

14,269

 

 

 

 

 

876,800

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

1,584

 

American Tower Corp., Class A*

 

64,817

 

418

 

Crown Castle International Corp.*

 

15,336

 

539

 

Frontier Communications Corp.

 

4,258

 

180

 

Leap Wireless International, Inc.*

 

2,597

 

1,009

 

MetroPCS Communications, Inc.*

 

6,357

 

37

 

NII Holdings, Inc.*

 

1,103

 

464

 

SBA Communications Corp., Class A*

 

14,867

 

593

 

tw telecom, inc.*

 

8,628

 

807

 

Windstream Corp.

 

8,006

 

 

 

 

 

125,969

 

 

 

Utilities - 0.7%

 

 

 

 

 

 

 

 

 

2,136

 

AES Corp. (The)*

 

27,213

 

413

 

Allegheny Energy, Inc.

 

9,078

 

34

 

American Water Works Co., Inc.

 

756

 

718

 

Calpine Corp.*

 

7,984

 

1,303

 

Centerpoint Energy, Inc.

 

17,291

 

613

 

Constellation Energy Group, Inc.

 

19,506

 

60

 

DPL, Inc.

 

1,612

 

522

 

EQT Corp.

 

21,480

 

227

 

Exelon Corp.

 

10,937

 

214

 

FPL Group, Inc.

 

11,121

 

67

 

Integrys Energy Group, Inc.

 

2,582

 

197

 

ITC Holdings Corp.

 

8,760

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

400

 

NV Energy, Inc.

 

$

4,656

 

81

 

Ormat Technologies, Inc.

 

3,335

 

1,496

 

PPL Corp.

 

45,658

 

 

 

 

 

191,969

 

 

 

Total Common Stocks
(Cost $17,722,395)

 

21,582,288

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 7.5%

 

 

 

$

58,013

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $58,013(b)

 

58,013

 

116,025

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $116,026(c)

 

116,025

 

348,076

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $348,080 (d)

 

348,076

 

69,760

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $69,760 (e)

 

69,760

 

121,827

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $121,828 (f)

 

121,827

 

232,051

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $232,056 (g)

 

232,051

 

58,013

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $58,013 (h)

 

58,013

 

348,076

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $348,078 (i)

 

348,076

 

290,063

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $290,064(j)

 

290,063

 

174,038

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $174,039(k)

 

174,038

 

267,806

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $267,807(l)

 

267,806

 

 

 

Total Repurchase Agreements (Cost $2,083,748)

 

2,083,748

 

 

 

Total Investment Securities
(Cost $19,806,143) — 85.8%

 

23,666,036

 

 

 

Other assets less liabilities — 14.2%

 

3,903,059

 

 

 

Net Assets — 100.0%

 

$

27,569,095

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $8,098,801.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $59,173. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $118,346. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $355,039. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $71,155. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $124,264. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $236,692. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $59,173. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $355,038. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $295,865. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $177,519. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $273,162. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

—

 

Aggregate gross unrealized depreciation

 

(3,558,574

)

Net unrealized depreciation

 

$

(3,558,574

)

Federal income tax cost of investments

 

$

27,224,610

 

 

Swap Agreements

 

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 1000® Growth Index

 

$

5,782,956

 

$

1,835,744

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index

 

7,163,969

 

(111,140

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index

 

13,179,506

 

3,313,453

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index

 

7,511,395

 

(102,865

)

 

 

 

 

 

 

 

 

 

 

$

4,935,192

 

 

See accompanying notes to the financial statements.

 


 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

21,582,288

 

$

—

 

$

21,582,288

 

Repurchase Agreements

 

—

 

2,083,748

 

2,083,748

 

Total Investment Securities

 

21,582,288

 

2,083,748

 

23,666,036

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

4,935,192

 

4,935,192

 

Total Other Financial Instruments

 

—

 

4,935,192

 

4,935,192

 

Total Investments

 

$

21,582,288

 

$

7,018,940

 

$

28,601,228

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell MidCap Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 84.6%

 

 

 

 

 

Consumer Discretionary - 10.4%

 

 

 

 

 

 

 

 

 

587

 

Abercrombie & Fitch Co., Class A

 

$

23,439

 

1,130

 

Autoliv, Inc.

 

45,889

 

873

 

AutoNation, Inc.*

 

15,408

 

391

 

Barnes & Noble, Inc.

 

9,126

 

975

 

Big Lots, Inc.*

 

22,484

 

799

 

Black & Decker Corp.

 

48,491

 

111

 

BorgWarner, Inc.

 

3,353

 

732

 

Boyd Gaming Corp.*

 

5,980

 

3,117

 

Cablevision Systems Corp., Class A

 

77,987

 

71

 

Career Education Corp.*

 

1,848

 

849

 

CarMax, Inc.*

 

16,878

 

8,071

 

CBS Corp., Class B

 

103,390

 

456

 

Central European Media Enterprises Ltd., Class A*

 

11,359

 

146

 

Chico’s FAS, Inc.*

 

2,054

 

276

 

Choice Hotels International, Inc.

 

8,653

 

539

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

4,921

 

3,685

 

D.R. Horton, Inc.

 

37,882

 

262

 

Discovery Communications, Inc., Class C*

 

7,347

 

2,671

 

DISH Network Corp., Class A

 

55,316

 

962

 

DreamWorks Animation SKG, Inc., Class A*

 

32,198

 

220

 

Expedia, Inc.*

 

5,606

 

193

 

Federal Mogul Corp.*

 

2,606

 

1,154

 

Foot Locker, Inc.

 

10,951

 

1,996

 

Fortune Brands, Inc.

 

76,666

 

265

 

GameStop Corp., Class A*

 

6,469

 

3,088

 

Gannett Co., Inc.

 

30,540

 

271

 

Garmin Ltd.

 

8,098

 

2,118

 

Genuine Parts Co.

 

75,888

 

3,115

 

Harley-Davidson, Inc.

 

90,771

 

347

 

Harman International Industries, Inc.

 

13,051

 

672

 

Hasbro, Inc.

 

19,925

 

506

 

Hillenbrand, Inc.

 

9,260

 

258

 

Interactive Data Corp.

 

6,589

 

661

 

International Game Technology

 

12,486

 

399

 

International Speedway Corp., Class A

 

10,761

 

6,356

 

Interpublic Group of Cos., Inc.*

 

40,233

 

2,955

 

J.C. Penney Co., Inc.

 

84,927

 

1,167

 

Jarden Corp.

 

32,034

 

940

 

KB Home

 

12,737

 

758

 

Lamar Advertising Co., Class A*

 

20,981

 

966

 

Las Vegas Sands Corp.*

 

14,799

 

787

 

Leggett & Platt, Inc.

 

15,315

 

1,972

 

Lennar Corp., Class A

 

24,985

 

3,536

 

Liberty Global, Inc., Class A*

 

68,209

 

1,066

 

Liberty Media Corp. - Capital, Class A*

 

23,548

 

7,920

 

Liberty Media Corp. - Interactive, Class A*

 

84,269

 

1,152

 

Limited Brands, Inc.

 

19,112

 

5,588

 

Macy’s, Inc.

 

91,140

 

2,106

 

Marriott International, Inc., Class A

 

54,166

 

1,067

 

Mattel, Inc.

 

20,764

 

307

 

MDC Holdings, Inc.

 

9,115

 

450

 

Meredith Corp.

 

11,858

 

1,397

 

MGM Mirage*

 

14,766

 

738

 

Mohawk Industries, Inc.*

 

30,317

 

1,284

 

New York Times Co. (The), Class A*

 

10,837

 

3,091

 

Newell Rubbermaid, Inc.

 

44,850

 

63

 

NVR, Inc.*

 

42,408

 

2,985

 

Office Depot, Inc.*

 

18,328

 

887

 

Penn National Gaming, Inc.*

 

23,763

 

322

 

Penske Auto Group, Inc.*

 

4,759

 

242

 

Phillips-Van Heusen Corp.

 

9,680

 

42

 

Polo Ralph Lauren Corp.

 

3,228

 

3,980

 

Pulte Homes, Inc.

 

36,377

 

1,445

 

RadioShack Corp.

 

27,253

 

514

 

Regal Entertainment Group, Class A

 

7,042

 

1,201

 

Royal Caribbean Cruises Ltd.*

 

29,509

 

472

 

Scripps Networks Interactive, Inc., Class A

 

18,668

 

661

 

Sears Holdings Corp.*

 

46,898

 

3,334

 

Service Corp. International

 

25,739

 

191

 

Sherwin-Williams Co. (The)

 

11,620

 

1,133

 

Signet Jewelers Ltd.*

 

29,288

 

2,076

 

Starwood Hotels & Resorts Worldwide, Inc.

 

66,474

 

226

 

Thor Industries, Inc.

 

6,430

 

138

 

Tiffany & Co.

 

5,890

 

1,808

 

Toll Brothers, Inc.*

 

35,238

 

578

 

TRW Automotive Holdings Corp.*

 

12,577

 

911

 

VF Corp.

 

66,248

 

3,832

 

Virgin Media, Inc.

 

63,075

 

97

 

WABCO Holdings, Inc.

 

2,292

 

540

 

Warner Music Group Corp.*

 

2,705

 

82

 

Washington Post Co. (The), Class B

 

33,916

 

401

 

Weight Watchers International, Inc.

 

11,100

 

2,912

 

Wendy’s/Arby’s Group, Inc., Class A

 

11,939

 

981

 

Whirlpool Corp.

 

72,751

 

748

 

Williams-Sonoma, Inc.

 

15,199

 

1,320

 

Wyndham Worldwide Corp.

 

24,512

 

889

 

Wynn Resorts Ltd.

 

57,376

 

 

 

 

 

2,464,914

 

 

 

Consumer Staples - 5.4%

 

 

 

 

 

 

 

 

 

169

 

Alberto-Culver Co.

 

4,757

 

600

 

BJ’s Wholesale Club, Inc.*

 

20,826

 

202

 

Brown-Forman Corp., Class B

 

10,336

 

1,781

 

Bunge Ltd.

 

110,244

 

840

 

Campbell Soup Co.

 

29,375

 

666

 

Central European Distribution Corp.*

 

18,568

 

209

 

Clorox Co.

 

12,596

 

615

 

Coca-Cola Enterprises, Inc.

 

12,085

 

5,942

 

ConAgra Foods, Inc.

 

131,853

 

2,528

 

Constellation Brands, Inc., Class A*

 

43,254

 

991

 

Corn Products International, Inc.

 

27,788

 

2,627

 

Del Monte Foods Co.

 

27,557

 

3,373

 

Dr. Pepper Snapple Group, Inc.*

 

88,339

 

149

 

Energizer Holdings, Inc.*

 

8,395

 

176

 

Flowers Foods, Inc.

 

4,029

 

794

 

H. J. Heinz Co.

 

33,705

 

853

 

Hershey Co. (The)

 

30,171

 

835

 

Hormel Foods Corp.

 

31,329

 

1,573

 

J.M. Smucker Co. (The)

 

92,933

 

261

 

Lorillard, Inc.

 

20,335

 

229

 

Mead Johnson Nutrition Co., Class A

 

10,046

 

1,602

 

Molson Coors Brewing Co., Class B

 

72,426

 

220

 

NBTY, Inc.*

 

8,831

 

374

 

Pepsi Bottling Group, Inc.

 

14,193

 

752

 

PepsiAmericas, Inc.

 

22,259

 

752

 

Ralcorp Holdings, Inc.*

 

43,556

 

7,768

 

Rite Aid Corp.*

 

9,943

 

5,659

 

Safeway, Inc.

 

127,328

 

6,950

 

Sara Lee Corp.

 

84,373

 

1,718

 

Smithfield Foods, Inc.*

 

26,595

 

2,817

 

SUPERVALU, Inc.

 

38,959

 

4,008

 

Tyson Foods, Inc., Class A

 

48,176

 

234

 

Whole Foods Market, Inc.*

 

6,002

 

 

 

 

 

1,271,162

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Energy - 7.8%

 

 

 

 

 

 

 

 

 

2,159

 

Arch Coal, Inc.

 

$

45,037

 

109

 

Atwood Oceanics, Inc.*

 

4,107

 

3,881

 

BJ Services Co.

 

72,885

 

1,377

 

Cabot Oil & Gas Corp.

 

52,739

 

255

 

Cameron International Corp.*

 

9,639

 

1,107

 

Cimarex Energy Co.

 

51,852

 

568

 

Comstock Resources, Inc.*

 

21,090

 

1,012

 

Concho Resources, Inc.*

 

41,371

 

211

 

Continental Resources, Inc.*

 

7,944

 

3,306

 

Denbury Resources, Inc.*

 

43,871

 

6,724

 

El Paso Corp.

 

64,281

 

738

 

Encore Acquisition Co.*

 

33,225

 

1,351

 

ENSCO International, Inc.

 

59,444

 

216

 

EXCO Resources, Inc.

 

3,655

 

446

 

Exterran Holdings, Inc.*

 

9,344

 

936

 

Forest Oil Corp.*

 

17,148

 

298

 

Frontier Oil Corp.

 

3,436

 

685

 

Frontline Ltd.

 

18,611

 

1,374

 

Helix Energy Solutions Group, Inc.*

 

16,158

 

964

 

Helmerich & Payne, Inc.

 

36,198

 

146

 

Mariner Energy, Inc.*

 

1,826

 

227

 

Massey Energy Co.

 

8,549

 

2,535

 

Murphy Oil Corp.

 

142,949

 

3,761

 

Nabors Industries Ltd.*

 

77,665

 

1,762

 

Newfield Exploration Co.*

 

74,497

 

2,303

 

Noble Energy, Inc.

 

150,271

 

659

 

Oil States International, Inc.*

 

23,638

 

311

 

Overseas Shipholding Group, Inc.

 

11,914

 

1,742

 

Patterson-UTI Energy, Inc.

 

26,809

 

1,514

 

Pioneer Natural Resources Co.

 

62,604

 

849

 

Plains Exploration & Production Co.*

 

23,101

 

1,229

 

Pride International, Inc.*

 

38,873

 

1,774

 

Range Resources Corp.

 

83,609

 

1,238

 

Rowan Cos., Inc.*

 

30,566

 

1,651

 

SandRidge Energy, Inc.*

 

15,486

 

268

 

SEACOR Holdings, Inc.*

 

20,529

 

82

 

Seahawk Drilling, Inc.*

 

1,766

 

1,180

 

Smith International, Inc.

 

32,072

 

1,478

 

Southern Union Co.

 

30,624

 

8,569

 

Spectra Energy Corp.

 

166,324

 

625

 

St. Mary Land & Exploration Co.

 

20,238

 

1,553

 

Sunoco, Inc.

 

39,136

 

1,038

 

Superior Energy Services, Inc.*

 

21,943

 

313

 

Teekay Corp.

 

7,512

 

1,090

 

Tesoro Corp.

 

13,930

 

687

 

Tidewater, Inc.

 

30,881

 

543

 

Unit Corp.*

 

20,422

 

675

 

Whiting Petroleum Corp.*

 

42,019

 

 

 

 

 

1,831,788

 

 

 

Financials - 23.8%

 

 

 

 

 

 

 

 

 

411

 

Alexandria Real Estate Equities, Inc. (REIT)

 

23,168

 

74

 

Alleghany Corp.*

 

19,755

 

658

 

Allied World Assurance Co. Holdings Ltd.

 

31,446

 

1,943

 

AMB Property Corp. (REIT)

 

45,758

 

1,143

 

American Financial Group, Inc./OH

 

27,729

 

998

 

American International Group, Inc.*

 

28,343

 

212

 

American National Insurance Co.

 

23,006

 

832

 

AmeriCredit Corp.*

 

15,350

 

3,121

 

Ameriprise Financial, Inc.

 

118,973

 

7,232

 

Annaly Capital Management, Inc. (REIT)

 

133,141

 

3,678

 

AON Corp.

 

142,449

 

1,556

 

Apartment Investment & Management Co., Class A (REIT)

 

21,022

 

695

 

Arch Capital Group Ltd.*

 

48,539

 

97

 

Arthur J. Gallagher & Co.

 

2,173

 

1,102

 

Aspen Insurance Holdings Ltd.

 

28,553

 

1,699

 

Associated Banc-Corp

 

19,267

 

1,564

 

Assurant, Inc.

 

47,811

 

1,062

 

AvalonBay Communities, Inc. (REIT)

 

76,719

 

1,357

 

Axis Capital Holdings Ltd.

 

37,982

 

1,107

 

BancorpSouth, Inc.

 

25,682

 

635

 

Bank of Hawaii Corp.

 

29,019

 

178

 

BOK Financial Corp.

 

8,273

 

1,841

 

Boston Properties, Inc. (REIT)

 

123,310

 

1,708

 

Brandywine Realty Trust (REIT)

 

16,773

 

681

 

BRE Properties, Inc. (REIT)

 

21,336

 

411

 

Brown & Brown, Inc.

 

7,336

 

886

 

Camden Property Trust (REIT)

 

34,332

 

2,723

 

CapitalSource, Inc.

 

9,993

 

8,906

 

Chimera Investment Corp. (REIT)

 

35,891

 

1,922

 

Cincinnati Financial Corp.

 

49,049

 

572

 

City National Corp./CA

 

22,571

 

192

 

CNA Financial Corp.*

 

4,368

 

2,008

 

Comerica, Inc.

 

57,168

 

551

 

Commerce Bancshares, Inc./MO

 

22,132

 

762

 

Corporate Office Properties Trust (REIT)

 

26,053

 

687

 

Cullen/Frost Bankers, Inc.

 

32,990

 

7,117

 

Discover Financial Services

 

110,029

 

1,612

 

Douglas Emmett, Inc. (REIT)

 

22,117

 

2,974

 

Duke Realty Corp. (REIT)

 

33,339

 

435

 

Endurance Specialty Holdings Ltd.

 

16,265

 

3,638

 

Equity Residential (REIT)

 

117,180

 

118

 

Erie Indemnity Co., Class A

 

4,362

 

365

 

Essex Property Trust, Inc. (REIT)

 

29,109

 

818

 

Everest Re Group Ltd.

 

69,620

 

683

 

Federal Realty Investment Trust (REIT)

 

43,931

 

79

 

Federated Investors, Inc., Class B

 

2,037

 

2,661

 

Fidelity National Financial, Inc., Class A

 

36,961

 

10,567

 

Fifth Third Bancorp

 

106,515

 

1,239

 

First American Corp.

 

39,301

 

80

 

First Citizens BancShares, Inc./NC, Class A

 

12,596

 

2,901

 

First Horizon National Corp.*

 

39,309

 

2,500

 

First Niagara Financial Group, Inc.

 

32,975

 

1,457

 

Forest City Enterprises, Inc., Class A*

 

15,634

 

2,333

 

Fulton Financial Corp.

 

20,110

 

3,726

 

Genworth Financial, Inc., Class A*

 

40,129

 

628

 

Hanover Insurance Group, Inc. (The)

 

26,144

 

4,324

 

Hartford Financial Services Group, Inc.

 

105,765

 

1,491

 

HCC Insurance Holdings, Inc.

 

38,960

 

2,383

 

HCP, Inc. (REIT)

 

74,588

 

792

 

Health Care REIT, Inc. (REIT)

 

35,284

 

1,623

 

Hospitality Properties Trust (REIT)

 

31,502

 

8,001

 

Host Hotels & Resorts, Inc. (REIT)

 

84,171

 

2,972

 

HRPT Properties Trust (REIT)

 

18,248

 

2,766

 

Hudson City Bancorp, Inc.

 

36,760

 

9,490

 

Huntington Bancshares, Inc./OH

 

36,252

 

539

 

Interactive Brokers Group, Inc., Class A*

 

9,125

 

5,080

 

Invesco Ltd.

 

113,030

 

529

 

Investment Technology Group, Inc.*

 

9,654

 

317

 

Janus Capital Group, Inc.

 

4,150

 

374

 

Jefferies Group, Inc.*

 

8,770

 

555

 

Jones Lang LaSalle, Inc.

 

28,233

 

11,672

 

KeyCorp

 

68,398

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

5,000

 

Kimco Realty Corp. (REIT)

 

$

61,600

 

2,127

 

Legg Mason, Inc.

 

60,173

 

1,582

 

Leucadia National Corp.*

 

34,045

 

1,483

 

Liberty Property Trust (REIT)

 

43,956

 

2,773

 

Lincoln National Corp.

 

63,529

 

1,012

 

M&T Bank Corp.

 

66,367

 

1,259

 

Macerich Co. (The) (REIT)

 

37,468

 

1,039

 

Mack-Cali Realty Corp. (REIT)

 

31,887

 

130

 

Markel Corp.*

 

44,070

 

6,422

 

Marsh & McLennan Cos., Inc.

 

144,816

 

6,971

 

Marshall & Ilsley Corp.

 

40,083

 

1,751

 

MBIA, Inc.*

 

6,058

 

354

 

Mercury General Corp.

 

13,077

 

1,000

 

NASDAQ OMX Group, Inc. (The)*

 

18,680

 

339

 

Nationwide Health Properties, Inc. (REIT)

 

11,529

 

4,586

 

New York Community Bancorp, Inc.

 

53,610

 

2,567

 

NYSE Euronext

 

64,894

 

3,196

 

Old Republic International Corp.

 

34,005

 

308

 

OneBeacon Insurance Group Ltd., Class A

 

4,312

 

752

 

PartnerRe Ltd.

 

57,934

 

4,588

 

People’s United Financial, Inc.

 

74,739

 

1,391

 

Plum Creek Timber Co., Inc. (REIT)

 

47,976

 

8,497

 

Popular, Inc.

 

20,138

 

8,125

 

Progressive Corp. (The)*

 

136,256

 

5,881

 

ProLogis (REIT)

 

76,923

 

1,137

 

Protective Life Corp.

 

18,806

 

1,301

 

Raymond James Financial, Inc.

 

31,601

 

574

 

Rayonier, Inc. (REIT)

 

22,811

 

1,386

 

Realty Income Corp. (REIT)

 

35,052

 

1,063

 

Regency Centers Corp. (REIT)

 

35,579

 

15,346

 

Regions Financial Corp.

 

89,928

 

891

 

Reinsurance Group of America, Inc.

 

41,431

 

828

 

RenaissanceRe Holdings Ltd.

 

44,116

 

1,687

 

Senior Housing Properties Trust (REIT)

 

35,039

 

1,021

 

SL Green Realty Corp. (REIT)

 

45,353

 

4,863

 

SLM Corp.*

 

53,347

 

651

 

StanCorp Financial Group, Inc.

 

24,159

 

48

 

Student Loan Corp. (The)

 

2,385

 

6,627

 

SunTrust Banks, Inc.

 

156,596

 

5,036

 

Synovus Financial Corp.

 

9,820

 

706

 

Taubman Centers, Inc. (REIT)

 

24,258

 

1,702

 

TCF Financial Corp.

 

22,364

 

974

 

TFS Financial Corp.

 

10,889

 

1,099

 

Torchmark Corp.

 

47,785

 

362

 

Transatlantic Holdings, Inc.

 

19,562

 

1,999

 

UDR, Inc. (REIT)

 

29,925

 

559

 

Unitrin, Inc.

 

12,471

 

4,401

 

Unum Group

 

83,795

 

1,072

 

Validus Holdings Ltd.

 

28,408

 

1,884

 

Valley National Bancorp

 

24,906

 

2,079

 

Ventas, Inc. (REIT)

 

89,251

 

2,036

 

Vornado Realty Trust (REIT)

 

133,277

 

1,200

 

W. R. Berkley Corp.

 

29,652

 

1,491

 

Washington Federal, Inc.

 

28,404

 

1,387

 

Weingarten Realty Investors (REIT)

 

26,922

 

18

 

Wesco Financial Corp.

 

6,138

 

104

 

White Mountains Insurance Group Ltd.

 

33,886

 

1,288

 

Whitney Holding Corp./LA

 

10,368

 

921

 

Wilmington Trust Corp.

 

11,301

 

4,545

 

XL Capital Ltd., Class A

 

83,219

 

1,812

 

Zions Bancorp.

 

23,828

 

 

 

 

 

5,612,770

 

 

 

Health Care - 3.7%

 

 

 

 

 

 

 

 

 

498

 

AmerisourceBergen Corp.

 

12,296

 

585

 

Brookdale Senior Living, Inc.*

 

9,114

 

294

 

Charles River Laboratories International, Inc.*

 

9,452

 

3,389

 

CIGNA Corp.

 

108,719

 

612

 

Community Health Systems, Inc.*

 

18,672

 

600

 

Cooper Cos., Inc. (The)

 

20,094

 

1,416

 

Coventry Health Care, Inc.*

 

31,931

 

92

 

Emdeon, Inc., Class A*

 

1,388

 

1,557

 

Endo Pharmaceuticals Holdings, Inc.*

 

34,301

 

4,007

 

Forest Laboratories, Inc.*

 

122,855

 

1,380

 

Health Net, Inc.*

 

29,283

 

499

 

Hill-Rom Holdings, Inc.

 

11,068

 

3,074

 

Hologic, Inc.*

 

44,481

 

1,427

 

Humana, Inc.*

 

59,235

 

1,867

 

IMS Health, Inc.

 

39,879

 

581

 

Inverness Medical Innovations, Inc.*

 

24,431

 

528

 

Kinetic Concepts, Inc.*

 

17,799

 

3,295

 

King Pharmaceuticals, Inc.*

 

38,980

 

265

 

Life Technologies Corp.*

 

13,192

 

722

 

LifePoint Hospitals, Inc.*

 

20,960

 

175

 

Lincare Holdings, Inc.*

 

6,216

 

412

 

Mednax, Inc.*

 

23,158

 

1,155

 

Mylan, Inc.*

 

20,640

 

910

 

Omnicare, Inc.

 

21,094

 

1,213

 

PerkinElmer, Inc.

 

22,889

 

304

 

Teleflex, Inc.

 

15,835

 

2,047

 

Tenet Healthcare Corp.*

 

9,314

 

564

 

Universal Health Services, Inc., Class B

 

31,522

 

1,401

 

Watson Pharmaceuticals, Inc.*

 

51,963

 

 

 

 

 

870,761

 

 

 

Industrials - 9.2%

 

 

 

 

 

 

 

 

 

1,228

 

AGCO Corp.*

 

37,221

 

545

 

Alexander & Baldwin, Inc.

 

16,650

 

152

 

Armstrong World Industries, Inc.*

 

6,297

 

1,218

 

Avery Dennison Corp.

 

45,748

 

644

 

BE Aerospace, Inc.*

 

12,410

 

774

 

Bucyrus International, Inc.

 

40,086

 

593

 

Carlisle Cos., Inc.

 

19,041

 

1,431

 

Cintas Corp.

 

40,197

 

436

 

Con-way, Inc.

 

13,211

 

1,356

 

Corrections Corp. of America*

 

33,886

 

1,714

 

Covanta Holding Corp.*

 

29,258

 

318

 

Crane Co.

 

8,888

 

1,797

 

Cummins, Inc.

 

80,685

 

722

 

Dover Corp.

 

29,515

 

2,200

 

Eaton Corp.

 

140,580

 

366

 

Equifax, Inc.

 

10,486

 

690

 

Gardner Denver, Inc.

 

25,827

 

357

 

GATX Corp.

 

10,307

 

690

 

General Cable Corp.*

 

20,258

 

433

 

Graco, Inc.

 

12,198

 

288

 

Harsco Corp.

 

8,937

 

2,483

 

Hertz Global Holdings, Inc.*

 

24,333

 

662

 

Hubbell, Inc., Class B

 

30,061

 

440

 

IDEX Corp.

 

13,037

 

2,179

 

ITT Corp.

 

112,698

 

167

 

Joy Global, Inc.

 

8,941

 

663

 

Kansas City Southern*

 

18,982

 

2,132

 

KBR, Inc.

 

39,719

 

1,080

 

Kennametal, Inc.

 

24,300

 

567

 

Kirby Corp.*

 

18,909

 

1,549

 

L-3 Communications Holdings, Inc.

 

121,395

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

565

 

Lincoln Electric Holdings, Inc.

 

$

29,030

 

1,732

 

Manitowoc Co., Inc. (The)

 

17,008

 

1,041

 

Manpower, Inc.

 

51,280

 

2,525

 

Masco Corp.

 

34,290

 

695

 

Monster Worldwide, Inc.*

 

10,154

 

1,188

 

Oshkosh Corp.

 

47,199

 

637

 

Owens Corning*

 

15,052

 

2,133

 

Parker Hannifin Corp.

 

115,097

 

943

 

Pentair, Inc.

 

28,384

 

2,742

 

Pitney Bowes, Inc.

 

63,176

 

2,627

 

Quanta Services, Inc.*

 

49,256

 

2,023

 

R.R. Donnelley & Sons Co.

 

41,633

 

2,922

 

Republic Services, Inc.

 

82,400

 

1,696

 

Rockwell Automation, Inc.

 

73,759

 

171

 

Roper Industries, Inc.

 

8,899

 

743

 

Ryder System, Inc.

 

30,121

 

208

 

Shaw Group, Inc. (The)*

 

5,934

 

556

 

Snap-On, Inc.

 

20,099

 

6,772

 

Southwest Airlines Co.

 

62,302

 

946

 

Spirit Aerosystems Holdings, Inc., Class A*

 

17,246

 

651

 

SPX Corp.

 

34,692

 

1,051

 

Stanley Works (The)

 

51,047

 

1,400

 

Terex Corp.*

 

26,362

 

3,590

 

Textron, Inc.

 

71,980

 

479

 

Thomas & Betts Corp.*

 

17,484

 

1,286

 

Timken Co.

 

31,726

 

1,044

 

Trinity Industries, Inc.

 

19,700

 

967

 

URS Corp.*

 

40,179

 

546

 

USG Corp.*

 

7,551

 

102

 

UTi Worldwide, Inc.

 

1,333

 

283

 

Waste Connections, Inc.*

 

9,183

 

266

 

WESCO International, Inc.*

 

6,943

 

 

 

 

 

2,174,560

 

 

 

Information Technology - 5.7%

 

 

 

 

 

 

 

 

 

3,510

 

Advanced Micro Devices, Inc.*

 

24,605

 

477

 

Affiliated Computer Services, Inc., Class A*

 

26,330

 

2,206

 

Amdocs Ltd.*

 

58,305

 

929

 

Arrow Electronics, Inc.*

 

24,414

 

5,990

 

Atmel Corp.*

 

23,780

 

979

 

Autodesk, Inc.*

 

22,958

 

1,335

 

Avnet, Inc.*

 

36,379

 

507

 

AVX Corp.

 

6,114

 

706

 

Broadridge Financial Solutions, Inc.

 

15,518

 

3,606

 

Brocade Communications Systems, Inc.*

 

25,567

 

1,190

 

CA, Inc.

 

26,299

 

1,073

 

Ciena Corp.*

 

13,037

 

1,244

 

CommScope, Inc.*

 

31,262

 

2,013

 

Computer Sciences Corp.*

 

111,339

 

3,215

 

Compuware Corp.*

 

22,312

 

1,132

 

Convergys Corp.*

 

12,656

 

187

 

Cypress Semiconductor Corp.*

 

1,790

 

109

 

Diebold, Inc.

 

2,740

 

61

 

DST Systems, Inc.*

 

2,591

 

504

 

EchoStar Corp., Class A*

 

9,793

 

1,645

 

Fairchild Semiconductor International, Inc.*

 

13,325

 

1,671

 

Fidelity National Information Services, Inc.

 

37,765

 

382

 

Harris Corp.

 

16,770

 

714

 

IAC/InterActiveCorp.*

 

13,887

 

2,151

 

Ingram Micro, Inc., Class A*

 

36,545

 

1,728

 

Integrated Device Technology, Inc.*

 

9,780

 

530

 

International Rectifier Corp.*

 

9,922

 

817

 

Intersil Corp., Class A

 

10,556

 

37

 

Itron, Inc.*

 

2,249

 

1,252

 

Jabil Circuit, Inc.

 

16,664

 

1,342

 

JDS Uniphase Corp.*

 

9,917

 

2,257

 

KLA-Tencor Corp.

 

70,509

 

1,037

 

Lexmark International, Inc., Class A*

 

26,101

 

8,621

 

LSI Corp.*

 

45,605

 

684

 

Marvell Technology Group Ltd.*

 

10,547

 

652

 

Maxim Integrated Products, Inc.

 

11,475

 

214

 

Microchip Technology, Inc.

 

5,618

 

9,270

 

Micron Technology, Inc.*

 

69,710

 

1,599

 

Molex, Inc.

 

29,725

 

2,494

 

Novell, Inc.*

 

9,752

 

513

 

Novellus Systems, Inc.*

 

10,614

 

263

 

Nuance Communications, Inc.*

 

3,995

 

2,959

 

PMC-Sierra, Inc.*

 

23,465

 

414

 

Rovi Corp.*

 

12,341

 

718

 

SAIC, Inc.*

 

12,795

 

1,561

 

SanDisk Corp.*

 

30,783

 

646

 

Seagate Technology

 

9,774

 

9,939

 

Sun Microsystems, Inc.*

 

84,581

 

714

 

Synopsys, Inc.*

 

16,044

 

667

 

Tech Data Corp.*

 

28,087

 

5,258

 

Tellabs, Inc.*

 

29,497

 

424

 

Teradata Corp.*

 

12,423

 

600

 

Total System Services, Inc.

 

10,368

 

1,951

 

Vishay Intertechnology, Inc.*

 

14,145

 

293

 

Western Digital Corp.*

 

10,794

 

11,490

 

Xerox Corp.

 

88,473

 

72

 

Zebra Technologies Corp., Class A*

 

1,916

 

 

 

 

 

1,354,306

 

 

 

Materials - 6.6%

 

 

 

 

 

 

 

 

 

1,081

 

Airgas, Inc.

 

49,996

 

1,452

 

AK Steel Holding Corp.

 

29,040

 

1,145

 

Albemarle Corp.

 

38,644

 

1,302

 

Allegheny Technologies, Inc.

 

44,307

 

900

 

Aptargroup, Inc.

 

32,508

 

911

 

Ashland, Inc.

 

32,732

 

437

 

Ball Corp.

 

21,592

 

1,435

 

Bemis Co., Inc.

 

42,045

 

869

 

Cabot Corp.

 

19,926

 

585

 

Carpenter Technology Corp.

 

13,560

 

110

 

CF Industries Holdings, Inc.

 

9,390

 

1,573

 

Cliffs Natural Resources, Inc.

 

69,306

 

1,495

 

Commercial Metals Co.

 

23,771

 

201

 

Compass Minerals International, Inc.

 

13,083

 

627

 

Cytec Industries, Inc.

 

21,305

 

965

 

Eastman Chemical Co.

 

58,016

 

144

 

FMC Corp.

 

8,063

 

441

 

Greif, Inc., Class A

 

24,634

 

2,155

 

Huntsman Corp.

 

20,516

 

59

 

International Flavors & Fragrances, Inc.

 

2,402

 

5,742

 

International Paper Co.

 

146,134

 

38

 

Intrepid Potash, Inc.*

 

1,157

 

114

 

Lubrizol Corp.

 

8,267

 

364

 

Martin Marietta Materials, Inc.

 

31,046

 

2,273

 

MeadWestvaco Corp.

 

62,212

 

414

 

Owens-Illinois, Inc.*

 

12,946

 

1,227

 

Packaging Corp. of America

 

24,442

 

317

 

Pactiv Corp.*

 

7,719

 

2,186

 

PPG Industries, Inc.

 

129,914

 

836

 

Reliance Steel & Aluminum Co.

 

34,176

 

342

 

Royal Gold, Inc.

 

18,406

 

807

 

RPM International, Inc.

 

15,817

 

60

 

Schnitzer Steel Industries, Inc., Class A

 

2,677

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,107

 

Sealed Air Corp.

 

$

46,965

 

1,326

 

Sonoco Products Co.

 

37,367

 

2,859

 

Steel Dynamics, Inc.

 

48,374

 

1,415

 

Temple-Inland, Inc.

 

25,456

 

419

 

Terra Industries, Inc.

 

16,165

 

1,131

 

Titanium Metals Corp.

 

11,050

 

1,904

 

United States Steel Corp.

 

85,033

 

55

 

Valhi, Inc.

 

569

 

1,332

 

Valspar Corp.

 

34,925

 

1,661

 

Vulcan Materials Co.

 

80,525

 

2,808

 

Weyerhaeuser Co.

 

109,344

 

 

 

 

 

1,565,522

 

 

 

Telecommunication Services - 2.1%

 

 

 

 

 

 

 

 

 

3,942

 

CenturyTel, Inc.

 

140,296

 

856

 

Clearwire Corp., Class A*

 

4,845

 

2,477

 

Crown Castle International Corp.*

 

90,881

 

2,345

 

Frontier Communications Corp.

 

18,526

 

182

 

Leap Wireless International, Inc.*

 

2,626

 

21,622

 

Level 3 Communications, Inc.*

 

27,027

 

2,086

 

NII Holdings, Inc.*

 

62,163

 

19,564

 

Qwest Communications International, Inc.

 

71,409

 

1,205

 

Telephone & Data Systems, Inc.

 

36,740

 

207

 

United States Cellular Corp.*

 

7,713

 

3,110

 

Windstream Corp.

 

30,851

 

 

 

 

 

493,077

 

 

 

Utilities - 9.9%

 

 

 

 

 

 

 

 

 

1,718

 

AES Corp. (The)*

 

21,887

 

1,025

 

AGL Resources, Inc.

 

35,414

 

876

 

Allegheny Energy, Inc.

 

19,254

 

1,470

 

Alliant Energy Corp.

 

40,396

 

3,140

 

Ameren Corp.

 

81,609

 

729

 

American Water Works Co., Inc.

 

16,213

 

1,802

 

Aqua America, Inc.

 

29,409

 

1,222

 

Atmos Energy Corp.

 

33,471

 

2,042

 

Calpine Corp.*

 

22,707

 

829

 

Centerpoint Energy, Inc.

 

11,001

 

3,014

 

CMS Energy Corp.

 

42,919

 

3,646

 

Consolidated Edison, Inc.

 

156,450

 

378

 

Constellation Energy Group, Inc.

 

12,028

 

1,345

 

DPL, Inc.

 

36,127

 

2,177

 

DTE Energy Co.

 

87,319

 

6,618

 

Dynegy, Inc., Class A*

 

11,979

 

4,329

 

Edison International

 

147,402

 

953

 

Energen Corp.

 

41,455

 

1,794

 

Great Plains Energy, Inc.

 

31,933

 

1,216

 

Hawaiian Electric Industries, Inc.

 

24,150

 

792

 

Integrys Energy Group, Inc.

 

30,524

 

2,444

 

MDU Resources Group, Inc.

 

55,234

 

1,916

 

Mirant Corp.*

 

27,284

 

940

 

National Fuel Gas Co.

 

44,020

 

3,648

 

NiSource, Inc.

 

51,984

 

2,327

 

Northeast Utilities

 

56,104

 

3,524

 

NRG Energy, Inc.*

 

84,364

 

1,419

 

NSTAR

 

47,011

 

1,784

 

NV Energy, Inc.

 

20,766

 

1,276

 

OGE Energy Corp.

 

44,150

 

1,399

 

Oneok, Inc.

 

55,988

 

2,923

 

Pepco Holdings, Inc.

 

47,645

 

1,343

 

Pinnacle West Capital Corp.

 

47,126

 

3,707

 

Progress Energy, Inc.

 

144,907

 

2,313

 

Questar Corp.

 

91,757

 

4,656

 

RRI Energy, Inc.*

 

22,907

 

1,619

 

SCANA Corp.

 

56,989

 

3,246

 

Sempra Energy

 

172,492

 

2,828

 

TECO Energy, Inc.

 

41,713

 

1,438

 

UGI Corp.

 

33,764

 

1,077

 

Vectren Corp.

 

25,299

 

1,444

 

Westar Energy, Inc.

 

29,732

 

1,553

 

Wisconsin Energy Corp.

 

70,040

 

6,054

 

Xcel Energy, Inc.

 

123,017

 

 

 

 

 

2,327,940

 

 

 

Total Common Stocks
(Cost $15,639,467)

 

19,966,800

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 7.5%

 

 

 

$

49,015

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $49,015(b)

 

49,015

 

98,030

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $98,030(c)

 

98,030

 

294,091

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $294,094 (d)

 

294,091

 

58,940

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $58,940 (e)

 

58,940

 

102,932

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $102,932 (f)

 

102,932

 

196,061

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $196,065 (g)

 

196,061

 

49,015

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $49,015 (h)

 

49,015

 

294,091

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $294,092 (i)

 

294,091

 

245,076

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $245,077(j)

 

245,076

 

147,046

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $147,047(k)

 

147,046

 

226,273

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $226,274(l)

 

226,273

 

 

 

Total Repurchase Agreements (Cost $1,760,570)

 

1,760,570

 

 

 

Total Investment Securities
(Cost $17,400,037) — 92.1%

 

21,727,370

 

 

 

Other assets less liabilities — 7.9%

 

1,873,770

 

 

 

Net Assets — 100.0%

 

$

23,601,140

 

 

*

Non-income producing security.

 

See accompanying notes to the financial statements.

 


 

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $7,076,833.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $49,995. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $99,991. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $299,974. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $60,119. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $104,991. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $199,983. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $49,995. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $299,973. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $249,978. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $149,987. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $230,799. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

1,030,543

 

Aggregate gross unrealized depreciation

 

(259,135

)

Net unrealized appreciation

 

$

771,408

 

Federal income tax cost of investments

 

$

20,955,962

 

 

Swap Agreements

 

Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap® Value Index

 

$

3,155,528

 

$

1,208,803

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index

 

7,417,440

 

(227,750

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index

 

5,606,880

 

1,697,458

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index

 

11,025,711

 

(284,990

)

 

 

 

 

 

 

 

 

 

 

$

2,393,521

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

19,966,800

 

$

—

 

$

19,966,800

 

Repurchase Agreements

 

—

 

1,760,570

 

1,760,570

 

Total Investment Securities

 

19,966,800

 

1,760,570

 

21,727,370

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

2,393,521

 

2,393,521

 

Total Other Financial Instruments

 

—

 

2,393,521

 

2,393,521

 

Total Investments

 

$

19,966,800

 

$

4,154,091

 

$

24,120,891

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell MidCap Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 85.9%

 

 

 

 

 

Consumer Discretionary - 15.4%

 

 

 

 

 

 

 

 

 

616

 

Aaron’s, Inc.

 

$

15,443

 

564

 

Abercrombie & Fitch Co., Class A

 

22,521

 

1,230

 

Advance Auto Parts, Inc.

 

48,339

 

871

 

Aeropostale, Inc.*

 

27,437

 

2,204

 

American Eagle Outfitters, Inc.

 

33,898

 

1,714

 

Apollo Group, Inc., Class A*

 

97,818

 

92

 

AutoNation, Inc.*

 

1,624

 

386

 

AutoZone, Inc.*

 

57,078

 

101

 

Barnes & Noble, Inc.

 

2,357

 

3,369

 

Bed Bath & Beyond, Inc.*

 

125,866

 

118

 

Big Lots, Inc.*

 

2,721

 

1,397

 

BorgWarner, Inc.

 

42,203

 

1,319

 

Brinker International, Inc.

 

18,202

 

592

 

Brink’s Home Security Holdings, Inc.*

 

19,370

 

1,373

 

Burger King Holdings, Inc.

 

23,341

 

825

 

Career Education Corp.*

 

21,475

 

2,022

 

CarMax, Inc.*

 

40,197

 

2,148

 

Chico’s FAS, Inc.*

 

30,222

 

412

 

Chipotle Mexican Grill, Inc., Class A*

 

34,381

 

103

 

Choice Hotels International, Inc.

 

3,229

 

4,102

 

Coach, Inc.

 

142,545

 

438

 

CTC Media, Inc.*

 

6,110

 

1,772

 

Darden Restaurants, Inc.

 

55,694

 

803

 

DeVry, Inc.

 

43,619

 

1,109

 

Dick’s Sporting Goods, Inc.*

 

23,023

 

3,379

 

Discovery Communications, Inc., Class C*

 

94,747

 

1,161

 

Dollar Tree, Inc.*

 

56,854

 

2,158

 

Expedia, Inc.*

 

54,986

 

1,812

 

Family Dollar Stores, Inc.

 

55,284

 

82

 

Federal Mogul Corp.*

 

1,107

 

889

 

Foot Locker, Inc.

 

8,437

 

1,869

 

GameStop Corp., Class A*

 

45,622

 

1,190

 

Garmin Ltd.

 

35,557

 

1,779

 

Gentex Corp.

 

29,567

 

3,123

 

Goodyear Tire & Rubber Co. (The)*

 

42,816

 

754

 

Guess?, Inc.

 

27,936

 

4,388

 

H&R Block, Inc.

 

89,076

 

1,223

 

Hanesbrands, Inc.*

 

29,364

 

421

 

Harman International Industries, Inc.

 

15,834

 

964

 

Hasbro, Inc.

 

28,583

 

307

 

Hillenbrand, Inc.

 

5,618

 

218

 

Interactive Data Corp.

 

5,568

 

3,184

 

International Game Technology

 

60,146

 

495

 

ITT Educational Services, Inc.*

 

45,035

 

534

 

John Wiley & Sons, Inc., Class A

 

19,998

 

74

 

KB Home

 

1,003

 

2,926

 

Las Vegas Sands Corp.*

 

44,826

 

1,259

 

Leggett & Platt, Inc.

 

24,500

 

2,305

 

Limited Brands, Inc.

 

38,240

 

1,811

 

LKQ Corp.*

 

31,566

 

1,823

 

Marriott International, Inc., Class A

 

46,888

 

631

 

Marvel Entertainment, Inc.*

 

32,844

 

3,594

 

Mattel, Inc.

 

69,939

 

4,063

 

McGraw-Hill Cos., Inc. (The)

 

121,727

 

184

 

MDC Holdings, Inc.

 

5,463

 

1,171

 

MGM Mirage*

 

12,377

 

252

 

Morningstar, Inc.*

 

11,683

 

516

 

NetFlix, Inc.*

 

30,253

 

94

 

New York Times Co. (The), Class A*

 

793

 

581

 

Newell Rubbermaid, Inc.

 

8,430

 

2,131

 

Nordstrom, Inc.

 

71,282

 

13

 

NVR, Inc.*

 

8,751

 

646

 

Office Depot, Inc.*

 

3,966

 

1,752

 

O’Reilly Automotive, Inc.*

 

67,943

 

355

 

Panera Bread Co., Class A*

 

22,351

 

177

 

Penske Auto Group, Inc.*

 

2,616

 

1,628

 

PetSmart, Inc.

 

41,905

 

431

 

Phillips-Van Heusen Corp.

 

17,240

 

670

 

Polo Ralph Lauren Corp.

 

51,489

 

538

 

priceline.com, Inc.*

 

115,197

 

464

 

Pulte Homes, Inc.

 

4,241

 

212

 

RadioShack Corp.

 

3,998

 

535

 

Regal Entertainment Group, Class A

 

7,330

 

1,637

 

Ross Stores, Inc.

 

71,995

 

523

 

Royal Caribbean Cruises Ltd.*

 

12,850

 

825

 

Scientific Games Corp., Class A*

 

11,674

 

675

 

Scripps Networks Interactive, Inc., Class A

 

26,696

 

1,096

 

Sherwin-Williams Co. (The)

 

66,681

 

393

 

Starwood Hotels & Resorts Worldwide, Inc.

 

12,584

 

181

 

Strayer Education, Inc.

 

35,747

 

239

 

Thor Industries, Inc.

 

6,800

 

1,466

 

Tiffany & Co.

 

62,569

 

5,338

 

TJX Cos., Inc.

 

204,872

 

185

 

TRW Automotive Holdings Corp.*

 

4,026

 

1,658

 

Urban Outfitters, Inc.*

 

52,459

 

257

 

VF Corp.

 

18,689

 

732

 

WABCO Holdings, Inc.

 

17,297

 

50

 

Warner Music Group Corp.*

 

250

 

41

 

Weight Watchers International, Inc.

 

1,135

 

1,895

 

Wendy’s/Arby’s Group, Inc., Class A

 

7,770

 

491

 

Williams-Sonoma, Inc.

 

9,977

 

677

 

WMS Industries, Inc.*

 

26,322

 

1,016

 

Wyndham Worldwide Corp.

 

18,867

 

 

 

 

 

3,258,949

 

 

 

Consumer Staples - 6.4%

 

 

 

 

 

 

 

 

 

936

 

Alberto-Culver Co.

 

26,349

 

5,514

 

Avon Products, Inc.

 

188,855

 

123

 

BJ’s Wholesale Club, Inc.*

 

4,269

 

967

 

Brown-Forman Corp., Class B

 

49,481

 

1,726

 

Campbell Soup Co.

 

60,358

 

907

 

Church & Dwight Co., Inc.

 

53,549

 

1,594

 

Clorox Co.

 

96,070

 

3,391

 

Coca-Cola Enterprises, Inc.

 

66,633

 

2,324

 

Dean Foods Co.*

 

36,952

 

750

 

Energizer Holdings, Inc.*

 

42,255

 

1,433

 

Estee Lauder Cos., Inc. (The), Class A

 

67,108

 

826

 

Flowers Foods, Inc.

 

18,907

 

446

 

Green Mountain Coffee Roasters, Inc.*

 

28,089

 

3,292

 

H. J. Heinz Co.

 

139,746

 

889

 

Hansen Natural Corp.*

 

31,088

 

795

 

Herbalife Ltd.

 

33,342

 

1,159

 

Hershey Co. (The)

 

40,994

 

88

 

Hormel Foods Corp.

 

3,302

 

1,918

 

Lorillard, Inc.

 

149,431

 

1,683

 

McCormick & Co., Inc. (Non-Voting)

 

60,050

 

223

 

Mead Johnson Nutrition Co., Class A

 

9,783

 

95

 

Molson Coors Brewing Co., Class B

 

4,295

 

478

 

NBTY, Inc.*

 

19,187

 

1,454

 

Pepsi Bottling Group, Inc.

 

55,179

 

2,228

 

Sara Lee Corp.

 

27,048

 

136

 

Smithfield Foods, Inc.*

 

2,105

 

1,185

 

Whole Foods Market, Inc.*

 

30,395

 

 

 

 

 

1,344,820

 

 

 

Energy - 4.7%

 

 

 

 

 

 

 

 

 

1,547

 

Alpha Natural Resources, Inc.*

 

57,239

 

617

 

Atwood Oceanics, Inc.*

 

23,249

 

2,802

 

Cameron International Corp.*

 

105,916

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

316

 

CNX Gas Corp.*

 

$

8,620

 

48

 

Comstock Resources, Inc.*

 

1,782

 

2,333

 

CONSOL Energy, Inc.

 

107,131

 

189

 

Continental Resources, Inc.*

 

7,116

 

891

 

Diamond Offshore Drilling, Inc.

 

88,690

 

1,065

 

Dresser-Rand Group, Inc.*

 

29,905

 

2,517

 

El Paso Corp.

 

24,063

 

519

 

ENSCO International, Inc.

 

22,836

 

1,586

 

EXCO Resources, Inc.

 

26,835

 

373

 

Exterran Holdings, Inc.*

 

7,814

 

1,597

 

FMC Technologies, Inc.*

 

86,989

 

530

 

Forest Oil Corp.*

 

9,710

 

1,064

 

Frontier Oil Corp.

 

12,268

 

425

 

Helmerich & Payne, Inc.

 

15,959

 

550

 

Holly Corp.

 

13,997

 

1,174

 

Mariner Energy, Inc.*

 

14,687

 

884

 

Massey Energy Co.

 

33,291

 

707

 

Oceaneering International, Inc.*

 

38,623

 

287

 

Patterson-UTI Energy, Inc.

 

4,417

 

3,886

 

Petrohawk Energy Corp.*

 

86,813

 

973

 

Plains Exploration & Production Co.*

 

26,475

 

1,047

 

Pride International, Inc.*

 

33,117

 

1,515

 

Quicksilver Resources, Inc.*

 

20,165

 

297

 

Range Resources Corp.

 

13,998

 

257

 

Rowan Cos., Inc.*

 

6,345

 

70

 

Seahawk Drilling, Inc.*

 

1,507

 

1,685

 

Smith International, Inc.

 

45,798

 

199

 

St. Mary Land & Exploration Co.

 

6,444

 

239

 

Teekay Corp.

 

5,736

 

727

 

Tesoro Corp.

 

9,291

 

 

 

 

 

996,826

 

 

 

Financials - 7.6%

 

 

 

 

 

 

 

 

 

533

 

Affiliated Managers Group, Inc.*

 

34,757

 

109

 

Alexandria Real Estate Equities, Inc. (REIT)

 

6,144

 

593

 

American International Group, Inc.*

 

16,841

 

353

 

AmeriCredit Corp.*

 

6,513

 

260

 

Ameriprise Financial, Inc.

 

9,911

 

1,201

 

Arthur J. Gallagher & Co.

 

26,902

 

521

 

Axis Capital Holdings Ltd.

 

14,583

 

88

 

BOK Financial Corp.

 

4,090

 

1,107

 

Brown & Brown, Inc.

 

19,760

 

515

 

CapitalSource, Inc.

 

1,890

 

258

 

Capitol Federal Financial

 

7,528

 

3,050

 

CB Richard Ellis Group, Inc., Class A*

 

34,861

 

160

 

CNA Financial Corp.*

 

3,640

 

279

 

Commerce Bancshares, Inc./MO

 

11,214

 

984

 

Digital Realty Trust, Inc. (REIT)

 

47,881

 

1,505

 

Eaton Vance Corp.

 

45,361

 

216

 

Endurance Specialty Holdings Ltd.

 

8,076

 

266

 

Erie Indemnity Co., Class A

 

9,834

 

99

 

Federal Realty Investment Trust (REIT)

 

6,368

 

1,064

 

Federated Investors, Inc., Class B

 

27,430

 

445

 

Fidelity National Financial, Inc., Class A

 

6,181

 

2,688

 

Genworth Financial, Inc., Class A*

 

28,950

 

2,456

 

GLG Partners, Inc.*

 

7,245

 

264

 

Greenhill & Co., Inc.

 

21,556

 

50

 

Hanover Insurance Group, Inc. (The)

 

2,081

 

1,469

 

HCP, Inc. (REIT)

 

45,980

 

779

 

Health Care REIT, Inc. (REIT)

 

34,704

 

3,354

 

Hudson City Bancorp, Inc.

 

44,575

 

940

 

IntercontinentalExchange, Inc.*

 

100,383

 

429

 

Invesco Ltd.

 

9,545

 

46

 

Investment Technology Group, Inc.*

 

839

 

2,044

 

Janus Capital Group, Inc.

 

26,756

 

1,134

 

Jefferies Group, Inc.*

 

26,592

 

989

 

Lazard Ltd., Class A

 

38,334

 

881

 

Leucadia National Corp.*

 

18,959

 

1,206

 

Lincoln National Corp.

 

27,629

 

506

 

Marsh & McLennan Cos., Inc.

 

11,410

 

2,424

 

Moody’s Corp.

 

56,310

 

1,293

 

MSCI, Inc., Class A*

 

39,398

 

777

 

NASDAQ OMX Group, Inc. (The)*

 

14,514

 

1,000

 

Nationwide Health Properties, Inc. (REIT)

 

34,010

 

863

 

NYSE Euronext

 

21,817

 

751

 

Plum Creek Timber Co., Inc. (REIT)

 

25,902

 

4,013

 

Principal Financial Group, Inc.

 

101,890

 

897

 

Progressive Corp. (The)*

 

15,043

 

1,737

 

Public Storage (REIT)

 

138,230

 

462

 

Rayonier, Inc. (REIT)

 

18,360

 

73

 

Reinsurance Group of America, Inc.

 

3,395

 

1,564

 

SEI Investments Co.

 

27,386

 

1,311

 

SLM Corp.*

 

14,382

 

1,194

 

St. Joe Co. (The)*

 

29,731

 

5

 

Student Loan Corp. (The)

 

248

 

3,300

 

T. Rowe Price Group, Inc.

 

161,469

 

3,376

 

TD Ameritrade Holding Corp.*

 

66,305

 

124

 

TFS Financial Corp.

 

1,386

 

175

 

Validus Holdings Ltd.

 

4,638

 

569

 

W. R. Berkley Corp.

 

14,060

 

1,112

 

Waddell & Reed Financial, Inc., Class A

 

32,393

 

 

 

 

 

1,616,170

 

 

 

Health Care - 11.7%

 

 

 

 

 

 

 

 

 

91

 

Abraxis Bioscience, Inc.*

 

3,046

 

1,136

 

Alexion Pharmaceuticals, Inc.*

 

51,518

 

807

 

Allscripts-Misys Healthcare Solutions, Inc.*

 

15,494

 

3,417

 

AmerisourceBergen Corp.

 

84,366

 

1,820

 

Amylin Pharmaceuticals, Inc.*

 

25,953

 

886

 

Beckman Coulter, Inc.

 

57,555

 

1,291

 

BioMarin Pharmaceutical, Inc.*

 

21,314

 

248

 

Bio-Rad Laboratories, Inc., Class A*

 

23,979

 

1,283

 

C.R. Bard, Inc.

 

105,475

 

954

 

Cephalon, Inc.*

 

52,422

 

866

 

Cerner Corp.*

 

65,201

 

568

 

Charles River Laboratories International, Inc.*

 

18,261

 

229

 

CIGNA Corp.

 

7,346

 

600

 

Community Health Systems, Inc.*

 

18,306

 

826

 

Covance, Inc.*

 

43,869

 

541

 

Coventry Health Care, Inc.*

 

12,200

 

1,335

 

DaVita, Inc.*

 

79,085

 

1,491

 

Dendreon Corp.*

 

40,764

 

1,919

 

DENTSPLY International, Inc.

 

63,941

 

723

 

Edwards Lifesciences Corp.*

 

59,488

 

267

 

Emdeon, Inc., Class A*

 

4,029

 

673

 

Gen-Probe, Inc.*

 

28,057

 

3,185

 

Health Management Associates, Inc., Class A*

 

19,524

 

1,165

 

Henry Schein, Inc.*

 

57,854

 

323

 

Hill-Rom Holdings, Inc.

 

7,164

 

325

 

Hologic, Inc.*

 

4,703

 

2,073

 

Hospira, Inc.*

 

97,327

 

805

 

Humana, Inc.*

 

33,416

 

762

 

IDEXX Laboratories, Inc.*

 

38,138

 

1,589

 

Illumina, Inc.*

 

45,954

 

533

 

IMS Health, Inc.

 

11,385

 

489

 

Intuitive Surgical, Inc.*

 

137,184

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

479

 

Inverness Medical Innovations, Inc.*

 

$

20,142

 

281

 

Kinetic Concepts, Inc.*

 

9,473

 

1,399

 

Laboratory Corp. of America Holdings*

 

102,071

 

1,999

 

Life Technologies Corp.*

 

99,510

 

719

 

Lincare Holdings, Inc.*

 

25,539

 

191

 

Mednax, Inc.*

 

10,736

 

435

 

Mettler-Toledo International, Inc.*

 

43,274

 

716

 

Millipore Corp.*

 

48,760

 

2,817

 

Mylan, Inc.*

 

50,340

 

1,234

 

Myriad Genetics, Inc.*

 

28,530

 

646

 

Omnicare, Inc.

 

14,974

 

749

 

OSI Pharmaceuticals, Inc.*

 

24,949

 

1,298

 

Patterson Cos., Inc.*

 

33,372

 

327

 

PerkinElmer, Inc.

 

6,170

 

1,029

 

Perrigo Co.

 

41,304

 

1,357

 

Pharmaceutical Product Development, Inc.

 

29,094

 

2,006

 

Quest Diagnostics, Inc.

 

116,228

 

973

 

ResMed, Inc.*

 

48,913

 

481

 

Techne Corp.

 

32,650

 

218

 

Teleflex, Inc.

 

11,356

 

4,210

 

Tenet Healthcare Corp.*

 

19,156

 

602

 

United Therapeutics Corp.*

 

27,445

 

43

 

Universal Health Services, Inc., Class B

 

2,403

 

879

 

Valeant Pharmaceuticals International*

 

28,735

 

1,619

 

Varian Medical Systems, Inc.*

 

75,672

 

1,095

 

VCA Antech, Inc.*

 

24,824

 

2,237

 

Vertex Pharmaceuticals, Inc.*

 

86,840

 

1,245

 

Waters Corp.*

 

73,181

 

 

 

 

 

2,469,959

 

 

 

Industrials - 12.5%

 

 

 

 

 

 

 

 

 

1,221

 

Aecom Technology Corp.*

 

31,013

 

424

 

Alliant Techsystems, Inc.*

 

36,345

 

1,388

 

AMETEK, Inc.

 

50,745

 

4,294

 

AMR Corp.*

 

25,936

 

116

 

Armstrong World Industries, Inc.*

 

4,806

 

273

 

Avery Dennison Corp.

 

10,254

 

602

 

BE Aerospace, Inc.*

 

11,600

 

587

 

Brink’s Co. (The)

 

13,196

 

218

 

Bucyrus International, Inc.

 

11,290

 

2,189

 

C.H. Robinson Worldwide, Inc.

 

122,015

 

214

 

Carlisle Cos., Inc.

 

6,871

 

308

 

Cintas Corp.

 

8,652

 

1,783

 

Continental Airlines, Inc., Class B*

 

25,426

 

210

 

Con-way, Inc.

 

6,363

 

389

 

Copa Holdings S.A., Class A

 

19,384

 

862

 

Copart, Inc.*

 

27,946

 

170

 

Corrections Corp. of America*

 

4,248

 

328

 

Crane Co.

 

9,168

 

860

 

Cummins, Inc.

 

38,614

 

9,967

 

Delta Air Lines, Inc.*

 

81,630

 

997

 

Donaldson Co., Inc.

 

42,372

 

1,702

 

Dover Corp.

 

69,578

 

687

 

Dun & Bradstreet Corp.

 

53,991

 

1,275

 

Equifax, Inc.

 

36,529

 

2,743

 

Expeditors International of Washington, Inc.

 

87,584

 

1,708

 

Fastenal Co.

 

63,333

 

723

 

Flowserve Corp.

 

71,910

 

2,323

 

Fluor Corp.

 

98,681

 

664

 

FTI Consulting, Inc.*

 

30,717

 

262

 

GATX Corp.

 

7,564

 

1,600

 

Goodrich Corp.

 

94,944

 

353

 

Graco, Inc.

 

9,944

 

757

 

Harsco Corp.

 

23,490

 

85

 

Hubbell, Inc., Class B

 

3,860

 

615

 

IDEX Corp.

 

18,222

 

617

 

IHS, Inc., Class A*

 

31,023

 

2,329

 

Iron Mountain, Inc.*

 

55,896

 

233

 

ITT Corp.

 

12,051

 

1,129

 

J.B. Hunt Transport Services, Inc.

 

35,970

 

1,595

 

Jacobs Engineering Group, Inc.*

 

55,809

 

1,157

 

Joy Global, Inc.

 

61,946

 

538

 

Kansas City Southern*

 

15,403

 

143

 

Kirby Corp.*

 

4,769

 

664

 

Landstar System, Inc.

 

24,780

 

601

 

Lennox International, Inc.

 

22,309

 

2,186

 

Masco Corp.

 

29,686

 

2,952

 

McDermott International, Inc.*

 

61,815

 

953

 

Monster Worldwide, Inc.*

 

13,923

 

552

 

MSC Industrial Direct Co., Class A

 

25,337

 

811

 

Navistar International Corp.*

 

26,771

 

485

 

Owens Corning*

 

11,460

 

1,519

 

Pall Corp.

 

48,350

 

353

 

Pentair, Inc.

 

10,625

 

1,810

 

Precision Castparts Corp.

 

187,661

 

684

 

R.R. Donnelley & Sons Co.

 

14,077

 

1,319

 

Republic Services, Inc.

 

37,196

 

1,974

 

Robert Half International, Inc.

 

44,079

 

183

 

Rockwell Automation, Inc.

 

7,959

 

2,046

 

Rockwell Collins, Inc.

 

109,379

 

1,003

 

Roper Industries, Inc.

 

52,196

 

878

 

Shaw Group, Inc. (The)*

 

25,049

 

204

 

Snap-On, Inc.

 

7,375

 

2,986

 

Southwest Airlines Co.

 

27,471

 

438

 

Spirit Aerosystems Holdings, Inc., Class A*

 

7,985

 

1,097

 

Stericycle, Inc.*

 

60,039

 

1,246

 

SunPower Corp., Class A*

 

25,755

 

216

 

Thomas & Betts Corp.*

 

7,884

 

463

 

Toro Co.

 

18,446

 

513

 

TransDigm Group, Inc.

 

22,239

 

135

 

URS Corp.*

 

5,609

 

1,192

 

UTi Worldwide, Inc.

 

15,579

 

273

 

Valmont Industries, Inc.

 

20,923

 

794

 

W.W. Grainger, Inc.

 

77,574

 

759

 

Waste Connections, Inc.*

 

24,629

 

287

 

WESCO International, Inc.*

 

7,491

 

617

 

Westinghouse Air Brake Technologies Corp.

 

23,754

 

 

 

 

 

2,636,493

 

 

 

Information Technology - 19.8%

 

 

 

 

 

 

 

 

 

3,802

 

Advanced Micro Devices, Inc.*

 

26,652

 

711

 

Affiliated Computer Services, Inc., Class A*

 

39,247

 

4,431

 

Agilent Technologies, Inc.*

 

128,145

 

2,232

 

Akamai Technologies, Inc.*

 

53,568

 

686

 

Alliance Data Systems Corp.*

 

41,839

 

3,790

 

Altera Corp.

 

79,704

 

355

 

Amdocs Ltd.*

 

9,383

 

2,213

 

Amphenol Corp., Class A

 

91,176

 

3,762

 

Analog Devices, Inc.

 

112,822

 

1,132

 

ANSYS, Inc.*

 

44,080

 

641

 

Arrow Electronics, Inc.*

 

16,845

 

1,995

 

Autodesk, Inc.*

 

46,783

 

653

 

Avnet, Inc.*

 

17,794

 

136

 

AVX Corp.

 

1,640

 

2,389

 

BMC Software, Inc.*

 

92,526

 

1,125

 

Broadridge Financial Solutions, Inc.

 

24,728

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,904

 

Brocade Communications Systems, Inc.*

 

$

13,499

 

3,917

 

CA, Inc.

 

86,566

 

3,403

 

Cadence Design Systems, Inc.*

 

20,418

 

128

 

Ciena Corp.*

 

1,555

 

2,337

 

Citrix Systems, Inc.*

 

89,227

 

3,774

 

Cognizant Technology Solutions Corp., Class A*

 

165,792

 

165

 

Convergys Corp.*

 

1,845

 

1,334

 

Cree, Inc.*

 

63,805

 

1,819

 

Cypress Semiconductor Corp.*

 

17,408

 

750

 

Diebold, Inc.

 

18,855

 

678

 

Dolby Laboratories, Inc., Class A*

 

30,320

 

437

 

DST Systems, Inc.*

 

18,564

 

4,172

 

Electronic Arts, Inc.*

 

70,465

 

491

 

Equinix, Inc.*

 

47,229

 

1,014

 

F5 Networks, Inc.*

 

47,688

 

539

 

Factset Research Systems, Inc.

 

38,997

 

2,629

 

Fidelity National Information Services, Inc.

 

59,415

 

2,010

 

Fiserv, Inc.*

 

92,942

 

1,940

 

FLIR Systems, Inc.*

 

55,678

 

808

 

Genpact Ltd.*

 

10,488

 

1,038

 

Global Payments, Inc.

 

53,208

 

1,339

 

Harris Corp.

 

58,782

 

1,078

 

Hewitt Associates, Inc., Class A*

 

43,314

 

543

 

IAC/InterActiveCorp.*

 

10,561

 

455

 

Integrated Device Technology, Inc.*

 

2,575

 

412

 

International Rectifier Corp.*

 

7,713

 

785

 

Intersil Corp., Class A

 

10,142

 

4,173

 

Intuit, Inc.*

 

121,893

 

475

 

Itron, Inc.*

 

28,875

 

1,208

 

Jabil Circuit, Inc.

 

16,078

 

1,419

 

JDS Uniphase Corp.*

 

10,486

 

1,633

 

Lam Research Corp.*

 

55,506

 

1,235

 

Lender Processing Services, Inc.

 

51,598

 

2,871

 

Linear Technology Corp.

 

77,431

 

5,987

 

Marvell Technology Group Ltd.*

 

92,320

 

3,303

 

Maxim Integrated Products, Inc.

 

58,133

 

2,007

 

McAfee, Inc.*

 

76,567

 

2,887

 

MEMC Electronic Materials, Inc.*

 

34,760

 

2,154

 

Microchip Technology, Inc.

 

56,543

 

1,925

 

Micron Technology, Inc.*

 

14,476

 

1,038

 

MICROS Systems, Inc.*

 

29,126

 

146

 

Molex, Inc.

 

2,714

 

733

 

National Instruments Corp.

 

20,913

 

2,966

 

National Semiconductor Corp.

 

43,304

 

2,048

 

NCR Corp.*

 

19,272

 

4,298

 

NetApp, Inc.*

 

132,464

 

933

 

NeuStar, Inc., Class A*

 

21,832

 

2,025

 

Novell, Inc.*

 

7,918

 

763

 

Novellus Systems, Inc.*

 

15,786

 

2,551

 

Nuance Communications, Inc.*

 

38,750

 

7,055

 

NVIDIA Corp.*

 

92,138

 

5,430

 

ON Semiconductor Corp.*

 

42,137

 

4,157

 

Paychex, Inc.

 

130,322

 

1,535

 

QLogic Corp.*

 

27,538

 

1,350

 

Rambus, Inc.*

 

24,057

 

2,440

 

Red Hat, Inc.*

 

65,148

 

904

 

Rovi Corp.*

 

26,948

 

1,987

 

SAIC, Inc.*

 

35,408

 

1,399

 

Salesforce.com, Inc.*

 

87,689

 

1,413

 

SanDisk Corp.*

 

27,864

 

5,720

 

Seagate Technology

 

86,544

 

577

 

Silicon Laboratories, Inc.*

 

24,367

 

388

 

Sohu.com, Inc.*

 

21,635

 

1,074

 

Sybase, Inc.*

 

43,218

 

1,168

 

Synopsys, Inc.*

 

26,245

 

1,818

 

Teradata Corp.*

 

53,267

 

2,236

 

Teradyne, Inc.*

 

19,811

 

1,507

 

Total System Services, Inc.

 

26,041

 

1,544

 

Trimble Navigation Ltd.*

 

34,478

 

944

 

Varian Semiconductor Equipment Associates, Inc.*

 

27,499

 

2,491

 

VeriSign, Inc.*

 

55,898

 

513

 

Vishay Intertechnology, Inc.*

 

3,719

 

698

 

WebMD Health Corp.*

 

25,337

 

2,594

 

Western Digital Corp.*

 

95,563

 

3,541

 

Xilinx, Inc.

 

80,168

 

698

 

Zebra Technologies Corp., Class A*

 

18,574

 

 

 

 

 

4,192,341

 

 

 

Materials - 4.3%

 

 

 

 

 

 

 

 

 

69

 

Albemarle Corp.

 

2,329

 

72

 

Ashland, Inc.

 

2,587

 

789

 

Ball Corp.

 

38,985

 

1,854

 

Celanese Corp., Class A

 

55,175

 

519

 

CF Industries Holdings, Inc.

 

44,302

 

163

 

Cliffs Natural Resources, Inc.

 

7,182

 

225

 

Compass Minerals International, Inc.

 

14,645

 

2,067

 

Crown Holdings, Inc.*

 

52,026

 

564

 

Eagle Materials, Inc.

 

15,205

 

3,054

 

Ecolab, Inc.

 

137,155

 

799

 

FMC Corp.

 

44,736

 

960

 

International Flavors & Fragrances, Inc.

 

39,091

 

495

 

Intrepid Potash, Inc.*

 

15,068

 

760

 

Lubrizol Corp.

 

55,115

 

221

 

Martin Marietta Materials, Inc.

 

18,849

 

1,785

 

Nalco Holding Co.

 

43,661

 

1,772

 

Owens-Illinois, Inc.*

 

55,410

 

131

 

Packaging Corp. of America

 

2,610

 

1,396

 

Pactiv Corp.*

 

33,993

 

135

 

Royal Gold, Inc.

 

7,266

 

874

 

RPM International, Inc.

 

17,130

 

218

 

Schnitzer Steel Industries, Inc., Class A

 

9,727

 

577

 

Scotts Miracle-Gro Co. (The), Class A

 

23,040

 

1,577

 

Sigma-Aldrich Corp.

 

84,117

 

881

 

Terra Industries, Inc.

 

33,989

 

15

 

Valhi, Inc.

 

155

 

683

 

Walter Energy, Inc.

 

46,854

 

 

 

 

 

900,402

 

 

 

Telecommunication Services - 0.9%

 

 

 

 

 

 

 

 

 

1,349

 

Crown Castle International Corp.*

 

49,495

 

1,755

 

Frontier Communications Corp.

 

13,865

 

584

 

Leap Wireless International, Inc.*

 

8,427

 

3,272

 

MetroPCS Communications, Inc.*

 

20,614

 

113

 

NII Holdings, Inc.*

 

3,367

 

1,504

 

SBA Communications Corp., Class A*

 

48,188

 

1,926

 

tw telecom, inc.*

 

28,023

 

2,617

 

Windstream Corp.

 

25,961

 

 

 

 

 

197,940

 

 

 

Utilities - 2.6%

 

 

 

 

 

 

 

 

 

6,940

 

AES Corp. (The)*

 

88,416

 

1,337

 

Allegheny Energy, Inc.

 

29,387

 

108

 

American Water Works Co., Inc.

 

2,402

 

2,340

 

Calpine Corp.*

 

26,021

 

4,229

 

Centerpoint Energy, Inc.

 

56,119

 

1,987

 

Constellation Energy Group, Inc.

 

63,226

 

190

 

DPL, Inc.

 

5,103

 

1,690

 

EQT Corp.

 

69,543

 

217

 

Integrys Energy Group, Inc.

 

8,363

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

643

 

ITC Holdings Corp.

 

$

28,594

 

1,293

 

NV Energy, Inc.

 

15,051

 

253

 

Ormat Technologies, Inc.

 

10,416

 

4,857

 

PPL Corp.

 

148,236

 

 

 

 

 

550,877

 

 

 

Total Common Stocks
(Cost $14,408,770)

 

18,164,777

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 7.0%

 

 

 

$

40,921

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $40,921(b)

 

40,921

 

81,843

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $81,843(c)

 

81,843

 

245,529

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $245,532(d)

 

245,529

 

49,208

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $49,208(e)

 

49,208

 

85,935

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $85,935(f)

 

85,935

 

163,686

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $163,690(g)

 

163,686

 

40,921

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $40,921(h)

 

40,921

 

245,529

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $245,530(i)

 

245,529

 

204,607

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $204,608(j)

 

204,607

 

122,764

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $122,765(k)

 

122,764

 

188,908

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $188,909(l)

 

188,908

 

 

 

Total Repurchase Agreements (Cost $1,469,851)

 

1,469,851

 

 

 

Total Investment Securities
(Cost $15,878,621) — 92.9%

 

19,634,628

 

 

 

Other assets less liabilities — 7.1%

 

1,499,109

 

 

 

Net Assets — 100.0%

 

$

21,133,737

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $5,546,980.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $41,739. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $83,480. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $250,440. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $50,192. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $87,654. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $166,960. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $41,739. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $250,440. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $208,700. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $125,220. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $192,686. The investment in the repurchase agreement was through participation in a pooled account.

 

REIT       Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

708,246

 

Aggregate gross unrealized depreciation

 

(449,341

)

Net unrealized appreciation

 

$

258,905

 

Federal income tax cost of investments

 

$

19,375,723

 

 

Swap Agreements

 

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap® Growth Index

 

$

2,984,752

 

$

1,008,469

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index

 

7,644,850

 

(299,482

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index

 

6,052,027

 

1,598,117

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index

 

7,400,373

 

(265,155

)

 

 

 

 

 

 

 

 

 

 

$

2,041,949

 

 

See accompanying notes to the financial statements.

 


 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

18,164,777

 

$

—

 

$

18,164,777

 

Repurchase Agreements

 

—

 

1,469,851

 

1,469,851

 

Total Investment Securities

 

18,164,777

 

1,469,851

 

19,634,628

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

2,041,949

 

2,041,949

 

Total Other Financial Instruments

 

—

 

2,041,949

 

2,041,949

 

Total Investments

 

$

18,164,777

 

$

3,511,800

 

$

21,676,577

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell2000 Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 81.8%

 

 

 

 

 

Consumer Discretionary - 9.3%

 

 

 

 

 

 

 

 

 

693

 

1-800-Flowers.com, Inc., Class A*

 

$

1,552

 

179

 

99 Cents Only Stores*

 

2,152

 

728

 

AFC Enterprises, Inc.*

 

5,700

 

1,376

 

American Axle & Manufacturing Holdings, Inc.

 

8,600

 

1,257

 

American Greetings Corp., Class A

 

26,020

 

128

 

America’s Car-Mart, Inc.*

 

3,096

 

1,866

 

AnnTaylor Stores Corp.*

 

26,087

 

2,120

 

ArvinMeritor, Inc.*

 

17,193

 

1,026

 

Asbury Automotive Group, Inc.*

 

10,937

 

447

 

Ascent Media Corp., Class A*

 

10,236

 

547

 

Audiovox Corp., Class A*

 

4,031

 

1,249

 

Beazer Homes USA, Inc.*

 

5,371

 

2,843

 

Belo Corp., Class A

 

13,391

 

219

 

Benihana, Inc., Class A*

 

718

 

455

 

Bluegreen Corp.*

 

1,056

 

175

 

Blyth, Inc.

 

5,693

 

976

 

Bob Evans Farms, Inc.

 

24,654

 

200

 

Books-A-Million, Inc.

 

1,414

 

1,560

 

Borders Group, Inc.*

 

2,184

 

307

 

Brookfield Homes Corp.*

 

1,796

 

1,325

 

Brown Shoe Co., Inc.

 

13,595

 

2,812

 

Brunswick Corp.

 

28,232

 

64

 

Buckle, Inc. (The)

 

1,750

 

538

 

Build-A-Bear Workshop, Inc.*

 

2,550

 

1,271

 

Cabela’s, Inc.*

 

15,328

 

2,053

 

Callaway Golf Co.

 

14,720

 

67

 

Carmike Cinemas, Inc.*

 

408

 

387

 

Carter’s, Inc.*

 

8,417

 

206

 

Cavco Industries, Inc.*

 

7,352

 

3,431

 

Charming Shoppes, Inc.*

 

16,537

 

1,007

 

Christopher & Banks Corp.

 

5,750

 

303

 

Churchill Downs, Inc.

 

10,484

 

97

 

Cinemark Holdings, Inc.

 

1,227

 

354

 

Coldwater Creek, Inc.*

 

1,501

 

1,151

 

Collective Brands, Inc.*

 

22,260

 

363

 

Columbia Sportswear Co.

 

13,946

 

316

 

Conn’s, Inc.*

 

1,808

 

226

 

Core-Mark Holding Co., Inc.*

 

6,798

 

188

 

Cracker Barrel Old Country Store, Inc.

 

7,061

 

1,705

 

CROCS, Inc.*

 

8,303

 

223

 

Crown Media Holdings, Inc., Class A*

 

343

 

239

 

CSS Industries, Inc.

 

4,433

 

4,436

 

Dana Holding Corp.*

 

32,294

 

1,630

 

Dillard’s, Inc., Class A

 

27,694

 

1,063

 

Domino’s Pizza, Inc.*

 

8,366

 

304

 

Dorman Products, Inc.*

 

4,496

 

1,389

 

Dress Barn, Inc.*

 

29,822

 

231

 

Drew Industries, Inc.*

 

4,470

 

365

 

DSW, Inc., Class A*

 

8,519

 

912

 

E.W. Scripps Co. (The), Class A*

 

5,746

 

8,541

 

Eastman Kodak Co.*

 

34,591

 

12

 

Einstein Noah Restaurant Group, Inc.*

 

119

 

784

 

Ethan Allen Interiors, Inc.

 

9,102

 

1,597

 

Exide Technologies*

 

11,978

 

612

 

Finish Line (The), Class A

 

5,416

 

188

 

Fisher Communications, Inc.*

 

3,027

 

893

 

Fred’s, Inc., Class A

 

8,725

 

60

 

Frisch’s Restaurants, Inc.

 

1,404

 

1,322

 

Furniture Brands International, Inc.*

 

5,526

 

271

 

G-III Apparel Group Ltd.*

 

4,599

 

514

 

Gaiam, Inc., Class A*

 

3,644

 

166

 

Gander Mountain Co.*

 

828

 

1,263

 

Gaylord Entertainment Co.*

 

22,229

 

723

 

Genesco, Inc.*

 

18,899

 

448

 

Global Sources Ltd.*

 

2,634

 

791

 

Great Wolf Resorts, Inc.*

 

1,922

 

764

 

Group 1 Automotive, Inc.*

 

19,283

 

193

 

Gymboree Corp.*

 

7,705

 

1,206

 

Harte-Hanks, Inc.

 

11,590

 

565

 

Haverty Furniture Cos., Inc.

 

6,752

 

143

 

Hawk Corp., Class A*

 

2,331

 

950

 

Helen of Troy Ltd.*

 

19,523

 

344

 

Hooker Furniture Corp.

 

4,197

 

560

 

HOT Topic, Inc.*

 

3,214

 

734

 

Hovnanian Enterprises, Inc., Class A*

 

2,885

 

2,270

 

Iconix Brand Group, Inc.*

 

25,560

 

73

 

Interval Leisure Group, Inc.*

 

835

 

915

 

Jackson Hewitt Tax Service, Inc.

 

3,788

 

889

 

Jakks Pacific, Inc.*

 

10,721

 

527

 

Jo-Ann Stores, Inc.*

 

17,581

 

2,718

 

Jones Apparel Group, Inc.

 

46,070

 

1,306

 

Journal Communications, Inc., Class A

 

4,558

 

243

 

Kenneth Cole Productions, Inc., Class A*

 

2,260

 

616

 

Knology, Inc.*

 

6,074

 

365

 

K-Swiss, Inc., Class A

 

3,186

 

386

 

Lakes Entertainment, Inc.*

 

988

 

234

 

Landry’s Restaurants, Inc.*

 

4,975

 

1,638

 

La-Z-Boy, Inc.*

 

15,643

 

855

 

Leapfrog Enterprises, Inc.*

 

2,565

 

1,170

 

Life Time Fitness, Inc.*

 

26,442

 

859

 

LIN TV Corp., Class A*

 

3,273

 

657

 

Lithia Motors, Inc., Class A*

 

4,770

 

2,663

 

Live Nation, Inc.*

 

19,067

 

925

 

Liz Claiborne, Inc.*

 

3,857

 

207

 

LodgeNet Interactive Corp.*

 

929

 

644

 

Luby’s, Inc.*

 

2,286

 

515

 

M/I Homes, Inc.*

 

5,644

 

300

 

Mac-Gray Corp.*

 

2,427

 

585

 

Marcus Corp.

 

7,248

 

317

 

Marine Products Corp.

 

1,493

 

96

 

Martha Stewart Living Omnimedia, Class A*

 

442

 

423

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

2,618

 

814

 

Mediacom Communications Corp., Class A*

 

3,289

 

1,573

 

Men’s Wearhouse, Inc. (The)

 

32,089

 

996

 

Meritage Homes Corp.*

 

17,759

 

1,490

 

Modine Manufacturing Co.*

 

15,839

 

75

 

Monarch Casino & Resort, Inc.*

 

561

 

226

 

Morgans Hotel Group Co.*

 

832

 

518

 

Movado Group, Inc.

 

5,330

 

625

 

Multimedia Games, Inc.*

 

3,431

 

1,254

 

National CineMedia, Inc.

 

18,321

 

796

 

New York & Co., Inc.*

 

3,009

 

14

 

Nobel Learning Communities, Inc.*

 

109

 

553

 

O’Charleys, Inc.*

 

3,550

 

674

 

OfficeMax, Inc.*

 

7,131

 

651

 

Orbitz Worldwide, Inc.*

 

3,854

 

2,448

 

Orient-Express Hotels Ltd., Class A*

 

20,465

 

407

 

Outdoor Channel Holdings, Inc.*

 

2,389

 

124

 

Oxford Industries, Inc.

 

2,660

 

2,094

 

Pacific Sunwear of California*

 

6,994

 

129

 

Papa John’s International, Inc.*

 

2,853

 

1,550

 

PEP Boys-Manny Moe & Jack

 

12,540

 

297

 

Perry Ellis International, Inc.*

 

4,152

 

2,881

 

Pier 1 Imports, Inc.*

 

10,919

 

892

 

Pinnacle Entertainment, Inc.*

 

9,428

 

709

 

Pool Corp.

 

12,805

 

487

 

Primedia, Inc.

 

1,529

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4,081

 

Quiksilver, Inc.*

 

$

7,142

 

306

 

Raser Technologies, Inc.*

 

355

 

679

 

RC2 Corp.*

 

9,302

 

444

 

Reading International, Inc., Class A*

 

1,705

 

425

 

Red Lion Hotels Corp.*

 

1,917

 

374

 

Red Robin Gourmet Burgers, Inc.*

 

5,838

 

1,816

 

Regis Corp.

 

28,439

 

2,102

 

Rent-A-Center, Inc.*

 

37,184

 

794

 

Retail Ventures, Inc.*

 

6,185

 

230

 

Rex Stores Corp.*

 

3,112

 

2,071

 

Ruby Tuesday, Inc.*

 

13,109

 

106

 

Ruth’s Hospitality Group, Inc.*

 

230

 

1,370

 

Ryland Group, Inc.

 

25,085

 

4,018

 

Saks, Inc.*

 

24,550

 

2,252

 

Sally Beauty Holdings, Inc.*

 

15,719

 

716

 

Scholastic Corp.

 

18,050

 

1,204

 

Sealy Corp.*

 

3,227

 

284

 

Shoe Carnival, Inc.*

 

5,138

 

564

 

Shutterfly, Inc.*

 

8,088

 

1,364

 

Sinclair Broadcast Group, Inc., Class A

 

5,006

 

1,057

 

Skechers U.S.A., Inc., Class A*

 

23,339

 

215

 

Skyline Corp.

 

3,541

 

730

 

Sonic Automotive, Inc., Class A

 

6,460

 

166

 

Sonic Corp.*

 

1,600

 

176

 

Sotheby’s

 

3,339

 

1,035

 

Spartan Motors, Inc.

 

5,361

 

417

 

Speedway Motorsports, Inc.

 

6,659

 

211

 

Sport Supply Group, Inc.

 

2,262

 

1,208

 

Stage Stores, Inc.

 

14,605

 

233

 

Standard Motor Products, Inc.*

 

2,095

 

3,213

 

Standard Pacific Corp.*

 

10,249

 

328

 

Stanley Furniture Co., Inc.*

 

2,437

 

777

 

Steak n Shake Co. (The)*

 

8,920

 

52

 

Stein Mart, Inc.*

 

534

 

237

 

Steiner Leisure Ltd.*

 

9,373

 

216

 

Steinway Musical Instruments, Inc.*

 

3,089

 

2,558

 

Stewart Enterprises, Inc., Class A

 

11,971

 

479

 

Stoneridge, Inc.*

 

3,348

 

39

 

Sturm Ruger & Co., Inc.

 

420

 

734

 

Superior Industries International, Inc.

 

10,511

 

209

 

Syms Corp.*

 

1,505

 

224

 

Systemax, Inc.

 

3,450

 

285

 

Talbots, Inc.*

 

1,884

 

1,506

 

Tenneco, Inc.*

 

21,717

 

495

 

Timberland Co. (The), Class A*

 

8,266

 

203

 

Town Sports International Holdings, Inc.*

 

447

 

957

 

Tuesday Morning Corp.*

 

2,163

 

277

 

U.S. Auto Parts Network, Inc.*

 

1,277

 

1,420

 

Unifi, Inc.*

 

4,331

 

366

 

Unifirst Corp.

 

16,086

 

109

 

Universal Electronics, Inc.*

 

2,345

 

36

 

Universal Travel Group*

 

377

 

934

 

Vail Resorts, Inc.*

 

36,230

 

275

 

Valassis Communications, Inc.*

 

4,078

 

457

 

West Marine, Inc.*

 

3,199

 

806

 

Winnebago Industries*

 

8,745

 

155

 

World Wrestling Entertainment, Inc., Class A

 

2,491

 

756

 

Zale Corp.*

 

3,553

 

44

 

Zumiez, Inc.*

 

481

 

 

 

 

 

1,597,471

 

 

 

Consumer Staples - 2.4%

 

 

 

 

 

 

 

 

 

12

 

Alico, Inc.

 

312

 

909

 

Alliance One International, Inc.*

 

4,336

 

194

 

American Italian Pasta Co., Class A*

 

6,187

 

1,254

 

American Oriental Bioengineering, Inc.*

 

5,029

 

579

 

Andersons, Inc. (The)

 

15,129

 

664

 

B&G Foods, Inc., Class A

 

5,684

 

629

 

Casey’s General Stores, Inc.

 

19,241

 

1,979

 

Central Garden and Pet Co., Class A*

 

16,327

 

34

 

Chattem, Inc.*

 

2,239

 

1,416

 

Chiquita Brands International, Inc.*

 

24,058

 

117

 

Diamond Foods, Inc.

 

3,613

 

769

 

Elizabeth Arden, Inc.*

 

11,343

 

124

 

Farmer Bros Co.

 

2,161

 

1,307

 

Fresh Del Monte Produce, Inc.*

 

28,401

 

1,072

 

Great Atlantic & Pacific Tea Co.*

 

11,921

 

106

 

Griffin Land & Nurseries, Inc.

 

2,940

 

949

 

Hain Celestial Group, Inc. (The)*

 

16,456

 

2,550

 

Heckmann Corp.*

 

11,041

 

23

 

HQ Sustainable Maritime Industries, Inc.*

 

163

 

388

 

Imperial Sugar Co.

 

5,859

 

408

 

Ingles Markets, Inc., Class A

 

6,369

 

365

 

Inter Parfums, Inc.

 

4,303

 

500

 

Mannatech, Inc.

 

1,420

 

407

 

Nash Finch Co.

 

13,354

 

171

 

National Beverage Corp.*

 

1,838

 

328

 

Nutraceutical International Corp.*

 

3,920

 

165

 

Oil-Dri Corp of America

 

2,470

 

593

 

Omega Protein Corp.*

 

2,330

 

634

 

Pantry, Inc. (The)*

 

9,370

 

1,076

 

Prestige Brands Holdings, Inc.*

 

7,500

 

326

 

Revlon, Inc., Class A*

 

5,901

 

1,125

 

Ruddick Corp.

 

29,947

 

311

 

Schiff Nutrition International, Inc.

 

1,810

 

297

 

Seneca Foods Corp., Class A*

 

7,024

 

454

 

Smart Balance, Inc.*

 

2,447

 

705

 

Spartan Stores, Inc.

 

9,750

 

206

 

Susser Holdings Corp.*

 

2,184

 

1,007

 

TreeHouse Foods, Inc.*

 

35,114

 

735

 

Universal Corp.

 

31,539

 

11

 

Village Super Market, Inc., Class A

 

332

 

159

 

WD-40 Co.

 

5,112

 

284

 

Weis Markets, Inc.

 

9,877

 

1,736

 

Winn-Dixie Stores, Inc.*

 

18,714

 

287

 

Zapata Corp.*

 

1,995

 

 

 

 

 

407,060

 

 

 

Energy - 4.8%

 

 

 

 

 

 

 

 

 

1,878

 

Allis-Chalmers Energy, Inc.*

 

6,085

 

236

 

Alon USA Energy, Inc.

 

1,697

 

254

 

Approach Resources, Inc.*

 

1,778

 

1,112

 

Atlas Energy, Inc.

 

28,578

 

1,004

 

ATP Oil & Gas Corp.*

 

16,014

 

720

 

Basic Energy Services, Inc.*

 

4,954

 

1,364

 

Berry Petroleum Co., Class A

 

37,278

 

1,223

 

Bill Barrett Corp.*

 

34,917

 

187

 

Bolt Technology Corp.*

 

2,048

 

2,488

 

Boots & Coots, Inc.*

 

3,558

 

597

 

BPZ Resources, Inc.*

 

4,346

 

1,198

 

Brigham Exploration Co.*

 

12,507

 

927

 

Bristow Group, Inc.*

 

31,815

 

756

 

Bronco Drilling Co., Inc.*

 

3,984

 

1,096

 

Cal Dive International, Inc.*

 

7,957

 

49

 

CARBO Ceramics, Inc.

 

2,907

 

1,216

 

Cheniere Energy, Inc.*

 

2,310

 

186

 

Clayton Williams Energy, Inc.*

 

5,258

 

1,860

 

Complete Production Services, Inc.*

 

19,325

 

20

 

Contango Oil & Gas Co.*

 

888

 

43

 

CREDO Petroleum Corp.*

 

409

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,287

 

Crosstex Energy, Inc.

 

$

6,255

 

588

 

Cubic Energy, Inc.*

 

676

 

677

 

CVR Energy, Inc.*

 

4,962

 

247

 

Dawson Geophysical Co.*

 

5,345

 

405

 

Delek U.S. Holdings, Inc.

 

2,782

 

2,658

 

Delta Petroleum Corp.*

 

2,419

 

1,579

 

DHT Maritime, Inc.

 

6,348

 

205

 

Endeavour International Corp.*

 

195

 

38

 

ENGlobal Corp.*

 

114

 

1,554

 

General Maritime Corp.

 

10,987

 

62

 

Geokinetics, Inc.*

 

636

 

231

 

Georesources, Inc.*

 

2,486

 

3,179

 

Global Industries Ltd.*

 

18,661

 

484

 

GMX Resources, Inc.*

 

5,653

 

371

 

Golar LNG Ltd.

 

4,663

 

780

 

Goodrich Petroleum Corp.*

 

17,261

 

6,487

 

Gran Tierra Energy, Inc.*

 

37,041

 

294

 

Green Plains Renewable Energy, Inc.*

 

3,413

 

365

 

Gulf Island Fabrication, Inc.

 

8,026

 

346

 

Gulfmark Offshore, Inc.*

 

9,432

 

46

 

Gulfport Energy Corp.*

 

437

 

1,050

 

Harvest Natural Resources, Inc.*

 

6,247

 

3,264

 

Hercules Offshore, Inc.*

 

16,679

 

729

 

Hornbeck Offshore Services, Inc.*

 

16,628

 

2,890

 

International Coal Group, Inc.*

 

12,051

 

3,129

 

ION Geophysical Corp.*

 

17,022

 

3,936

 

Key Energy Services, Inc.*

 

29,992

 

547

 

Knightsbridge Tankers Ltd.

 

7,144

 

55

 

Lufkin Industries, Inc.

 

3,309

 

584

 

Matrix Service Co.*

 

4,999

 

346

 

Natural Gas Services Group, Inc.*

 

6,052

 

2,823

 

Newpark Resources, Inc.*

 

7,566

 

1,345

 

Nordic American Tanker Shipping

 

43,000

 

7,077

 

Oilsands Quest, Inc.*

 

8,563

 

128

 

OYO Geospace Corp.*

 

4,166

 

3,697

 

Parker Drilling Co.*

 

18,485

 

2,353

 

Patriot Coal Corp.*

 

28,824

 

1,447

 

Penn Virginia Corp.

 

26,220

 

613

 

Petroleum Development Corp.*

 

11,016

 

1,629

 

Petroquest Energy, Inc.*

 

9,171

 

195

 

PHI, Inc. (Non-Voting)*

 

3,461

 

1,073

 

Pioneer Drilling Co.*

 

6,502

 

216

 

Rex Energy Corp.*

 

1,955

 

1,666

 

Rosetta Resources, Inc.*

 

26,240

 

547

 

Ship Finance International Ltd.

 

7,133

 

1,329

 

Stone Energy Corp.*

 

25,131

 

445

 

Superior Well Services, Inc.*

 

5,772

 

1,190

 

Swift Energy Co.*

 

25,549

 

400

 

T-3 Energy Services, Inc.*

 

9,984

 

1,116

 

Tetra Technologies, Inc.*

 

11,562

 

95

 

TGC Industries, Inc.*

 

382

 

45

 

Toreador Resources Corp.*

 

371

 

1,370

 

Union Drilling, Inc.*

 

8,193

 

253

 

Uranerz Energy Corp.*

 

349

 

98

 

Uranium Energy Corp.*

 

311

 

3,580

 

USEC, Inc.*

 

13,103

 

1,736

 

Vaalco Energy, Inc.*

 

7,274

 

2,156

 

Vantage Drilling Co.*

 

3,557

 

390

 

Venoco, Inc.*

 

4,348

 

56

 

W&T Offshore, Inc.

 

580

 

1,028

 

Warren Resources, Inc.*

 

2,457

 

1,300

 

Western Refining, Inc.*

 

6,045

 

254

 

Westmoreland Coal Co.*

 

1,715

 

 

 

 

 

825,513

 

 

 

Financials - 28.0%

 

 

 

 

 

 

 

 

 

477

 

1st Source Corp.

 

6,773

 

695

 

Abington Bancorp, Inc.

 

4,747

 

971

 

Acadia Realty Trust (REIT)

 

15,798

 

149

 

Advance America Cash Advance Centers, Inc.

 

933

 

225

 

Agree Realty Corp. (REIT)

 

5,542

 

27

 

Alexander’s, Inc. (REIT)*

 

7,521

 

131

 

Alliance Financial Corp./NY

 

3,697

 

5,692

 

Allied Capital Corp.

 

20,150

 

9,151

 

Ambac Financial Group, Inc.*

 

7,046

 

1,662

 

American Campus Communities, Inc. (REIT)

 

44,791

 

397

 

American Capital Agency Corp. (REIT)

 

10,509

 

8,914

 

American Capital Ltd.*

 

26,207

 

1,852

 

American Equity Investment Life Holding Co.*

 

13,557

 

196

 

American National Bankshares, Inc.

 

3,981

 

305

 

American Physicians Capital, Inc.

 

8,320

 

204

 

American Physicians Service Group, Inc.

 

4,743

 

83

 

American Realty Investors, Inc.*

 

846

 

246

 

American Safety Insurance Holdings Ltd.*

 

3,697

 

434

 

Ameris Bancorp

 

2,869

 

601

 

Amerisafe, Inc.*

 

10,151

 

116

 

Ames National Corp.

 

2,242

 

625

 

Amtrust Financial Services, Inc.

 

7,469

 

2,508

 

Anthracite Capital, Inc. (REIT)*

 

953

 

3,428

 

Anworth Mortgage Asset Corp. (REIT)

 

24,682

 

5,189

 

Apollo Investment Corp.

 

49,918

 

3,094

 

Ares Capital Corp.

 

35,952

 

982

 

Argo Group International Holdings Ltd.*

 

28,645

 

116

 

Arrow Financial Corp.

 

2,932

 

1,843

 

Ashford Hospitality Trust, Inc. (REIT)*

 

7,685

 

289

 

Asset Acceptance Capital Corp.*

 

1,688

 

413

 

Associated Estates Realty Corp. (REIT)

 

4,080

 

2,921

 

Assured Guaranty Ltd.

 

66,248

 

2,723

 

Astoria Financial Corp.

 

28,265

 

77

 

Auburn National Bancorp., Inc.

 

1,495

 

247

 

Avatar Holdings, Inc.*

 

3,779

 

259

 

Baldwin & Lyons, Inc., Class B

 

6,004

 

207

 

Bancfirst Corp.

 

7,773

 

872

 

Banco Latinoamericano de Comercio Exterior S.A.

 

12,173

 

114

 

Bancorp Rhode Island, Inc.

 

2,875

 

635

 

Bancorp, Inc. (The)/DE*

 

3,689

 

1,494

 

Bank Mutual Corp.

 

10,473

 

98

 

Bank of Kentucky Financial Corp.

 

1,957

 

34

 

Bank of Marin Bancorp

 

1,105

 

385

 

Bank of the Ozarks, Inc.

 

10,233

 

684

 

BankFinancial Corp.

 

6,423

 

536

 

Banner Corp.

 

1,495

 

92

 

Bar Harbor Bankshares

 

2,470

 

1,040

 

Beneficial Mutual Bancorp, Inc.*

 

9,672

 

435

 

Berkshire Hills Bancorp, Inc.

 

8,204

 

782

 

BGC Partners, Inc., Class A

 

3,308

 

3,121

 

BioMed Realty Trust, Inc. (REIT)

 

42,726

 

398

 

BlackRock Kelso Capital Corp.

 

3,192

 

2,157

 

Boston Private Financial Holdings, Inc.

 

10,116

 

33

 

Bridge Bancorp, Inc.

 

696

 

1,424

 

Brookline Bancorp, Inc.

 

13,542

 

51

 

Brooklyn Federal Bancorp, Inc.

 

553

 

183

 

Bryn Mawr Bank Corp.

 

2,750

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

574

 

Calamos Asset Management, Inc., Class A

 

$

6,033

 

58

 

California First National Bancorp

 

697

 

244

 

Camden National Corp.

 

7,481

 

377

 

Cape Bancorp, Inc.*

 

2,669

 

376

 

Capital City Bank Group, Inc.

 

4,614

 

97

 

Capital Southwest Corp.

 

7,592

 

1,529

 

CapLease, Inc. (REIT)

 

6,590

 

2,021

 

Capstead Mortgage Corp. (REIT)

 

28,860

 

477

 

Cardinal Financial Corp.

 

4,040

 

105

 

Cardtronics, Inc.*

 

1,160

 

391

 

Care Investment Trust, Inc. (REIT)

 

3,230

 

940

 

Cash America International, Inc.

 

30,230

 

991

 

Cathay General Bancorp

 

7,740

 

4,392

 

CBL & Associates Properties, Inc. (REIT)

 

40,670

 

1,237

 

Cedar Shopping Centers, Inc. (REIT)

 

7,471

 

394

 

Center Bancorp, Inc.

 

3,365

 

466

 

Centerstate Banks, Inc.

 

3,844

 

917

 

Central Pacific Financial Corp.*

 

743

 

113

 

Century Bancorp, Inc./MA, Class A

 

2,370

 

675

 

Chemical Financial Corp.

 

15,883

 

70

 

Cheviot Financial Corp.

 

491

 

204

 

Chicopee Bancorp, Inc.*

 

2,552

 

815

 

China Housing & Land Development, Inc.*

 

3,562

 

284

 

Citizens & Northern Corp.

 

2,485

 

98

 

Citizens Holding Co.

 

2,080

 

12,565

 

Citizens Republic Bancorp, Inc.*

 

7,036

 

261

 

Citizens, Inc./TX*

 

1,605

 

463

 

City Holding Co.

 

15,103

 

266

 

Clifton Savings Bancorp, Inc.

 

2,362

 

538

 

CNA Surety Corp.*

 

7,236

 

147

 

CNB Financial Corp./PA

 

2,383

 

935

 

CoBiz Financial, Inc.

 

3,974

 

957

 

Cogdell Spencer, Inc. (REIT)

 

4,833

 

290

 

Cohen & Steers, Inc.

 

5,551

 

2,110

 

Colonial Properties Trust (REIT)

 

22,809

 

896

 

Columbia Banking System, Inc.

 

13,144

 

1,044

 

Community Bank System, Inc.

 

19,377

 

482

 

Community Trust Bancorp, Inc.

 

11,298

 

757

 

Compass Diversified Holdings

 

8,433

 

272

 

CompuCredit Holdings Corp.*

 

631

 

5,882

 

Conseco, Inc.*

 

28,175

 

173

 

Consolidated-Tomoka Land Co.

 

6,228

 

2,327

 

Cousins Properties, Inc. (REIT)

 

16,754

 

408

 

Cowen Group, Inc., Class A*

 

2,689

 

133

 

Crawford & Co., Class B*

 

511

 

17

 

Credit Acceptance Corp.*

 

588

 

2,703

 

CVB Financial Corp.

 

20,948

 

479

 

Cypress Sharpridge Investments, Inc. (REIT)

 

6,275

 

648

 

Danvers Bancorp, Inc.

 

8,754

 

6,506

 

DCT Industrial Trust, Inc. (REIT)

 

30,903

 

1,473

 

Delphi Financial Group, Inc., Class A

 

32,200

 

4,555

 

Developers Diversified Realty Corp. (REIT)

 

46,097

 

10

 

Diamond Hill Investment Group, Inc.

 

602

 

3,699

 

DiamondRock Hospitality Co. (REIT)*

 

29,740

 

823

 

Dime Community Bancshares

 

9,251

 

114

 

Dollar Financial Corp.*

 

2,784

 

369

 

Donegal Group, Inc., Class A

 

5,398

 

186

 

Doral Financial Corp.*

 

580

 

394

 

DuPont Fabros Technology, Inc. (REIT)*

 

6,316

 

356

 

Dynex Capital, Inc. (REIT)

 

2,873

 

46,630

 

E*Trade Financial Corp.*

 

76,473

 

482

 

Eagle Bancorp, Inc.*

 

4,709

 

2,921

 

East West Bancorp, Inc.

 

42,617

 

249

 

Eastern Insurance Holdings, Inc.

 

1,935

 

317

 

EastGroup Properties, Inc. (REIT)

 

12,021

 

1,807

 

Education Realty Trust, Inc. (REIT)

 

8,945

 

154

 

EMC Insurance Group, Inc.

 

3,199

 

1,489

 

Employers Holdings, Inc.

 

22,797

 

428

 

Encore Capital Group, Inc.*

 

7,293

 

214

 

Enstar Group Ltd.*

 

15,744

 

161

 

Enterprise Bancorp, Inc./MA

 

1,707

 

190

 

Enterprise Financial Services Corp.

 

1,457

 

1,114

 

Entertainment Properties Trust (REIT)

 

35,191

 

52

 

Epoch Holding Corp.

 

499

 

307

 

Equity Lifestyle Properties, Inc. (REIT)

 

14,739

 

1,042

 

Equity One, Inc. (REIT)

 

16,828

 

294

 

ESB Financial Corp.

 

3,510

 

486

 

ESSA Bancorp, Inc.

 

6,153

 

237

 

Evercore Partners, Inc., Class A

 

7,349

 

2,750

 

Extra Space Storage, Inc. (REIT)

 

30,222

 

207

 

Farmers Capital Bank Corp.

 

1,938

 

238

 

FBL Financial Group, Inc., Class A

 

4,196

 

524

 

FBR Capital Markets Corp.*

 

3,285

 

2,059

 

FelCor Lodging Trust, Inc. (REIT)*

 

6,939

 

1,043

 

Fifth Street Finance Corp.

 

10,190

 

525

 

Financial Federal Corp.

 

14,227

 

346

 

Financial Institutions, Inc.

 

3,868

 

537

 

First Acceptance Corp.*

 

993

 

275

 

First Bancorp, Inc./ME

 

4,133

 

468

 

First Bancorp/NC

 

6,089

 

2,560

 

First BanCorp/Puerto Rico

 

3,968

 

1,306

 

First Busey Corp.

 

4,284

 

180

 

First California Financial Group, Inc.*

 

628

 

2,711

 

First Commonwealth Financial Corp.

 

11,522

 

446

 

First Community Bancshares, Inc./VA

 

4,902

 

258

 

First Defiance Financial Corp.

 

2,802

 

1,636

 

First Financial Bancorp

 

21,742

 

306

 

First Financial Bankshares, Inc.

 

15,845

 

374

 

First Financial Corp./IN

 

10,700

 

504

 

First Financial Holdings, Inc.

 

6,749

 

582

 

First Financial Northwest, Inc.

 

3,993

 

128

 

First Financial Service Corp.

 

1,073

 

1,685

 

First Industrial Realty Trust, Inc. (REIT)

 

7,515

 

1,968

 

First Marblehead Corp. (The)*

 

4,074

 

671

 

First Merchants Corp.

 

4,019

 

236

 

First Mercury Financial Corp.

 

3,059

 

1,747

 

First Midwest Bancorp, Inc./IL

 

18,221

 

148

 

First of Long Island Corp. (The)

 

3,559

 

876

 

First Potomac Realty Trust (REIT)

 

10,363

 

259

 

First South Bancorp, Inc./NC

 

2,608

 

2,626

 

FirstMerit Corp.

 

55,015

 

2,132

 

Flagstar Bancorp, Inc.*

 

1,492

 

1,248

 

Flagstone Reinsurance Holdings Ltd.

 

13,491

 

957

 

Flushing Financial Corp.

 

10,441

 

3,632

 

FNB Corp./PA

 

23,644

 

1,142

 

Forestar Group, Inc.*

 

21,184

 

172

 

Fox Chase Bancorp, Inc.*

 

1,643

 

227

 

FPIC Insurance Group, Inc.*

 

7,961

 

2,129

 

Franklin Street Properties Corp. (REIT)

 

24,036

 

94

 

GAMCO Investors, Inc., Class A

 

4,317

 

354

 

German American Bancorp, Inc.

 

6,050

 

337

 

Getty Realty Corp. (REIT)

 

7,660

 

1,957

 

Glacier Bancorp, Inc.

 

25,598

 

672

 

Gladstone Capital Corp.

 

5,248

 

273

 

Gladstone Commercial Corp. (REIT)

 

3,666

 

704

 

Gladstone Investment Corp.

 

3,252

 

1,966

 

Glimcher Realty Trust (REIT)

 

5,780

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

336

 

Government Properties Income Trust (REIT)

 

$

8,390

 

1,359

 

Gramercy Capital Corp./NY (REIT)*

 

3,846

 

245

 

Great Southern Bancorp, Inc.

 

5,508

 

895

 

Greenlight Capital Re Ltd., Class A*

 

21,704

 

1,671

 

Guaranty Bancorp*

 

1,704

 

265

 

Hallmark Financial Services*

 

2,038

 

585

 

Hampton Roads Bankshares, Inc.

 

1,217

 

779

 

Hancock Holding Co.

 

32,251

 

419

 

Harleysville Group, Inc.

 

13,186

 

1,373

 

Harleysville National Corp.

 

8,156

 

825

 

Harris & Harris Group, Inc.*

 

3,341

 

1,153

 

Hatteras Financial Corp. (REIT)

 

35,282

 

1,887

 

Healthcare Realty Trust, Inc. (REIT)

 

41,684

 

420

 

Heartland Financial USA, Inc.

 

5,540

 

1,127

 

Hercules Technology Growth Capital, Inc.

 

11,100

 

294

 

Heritage Financial Corp./WA

 

3,746

 

50

 

Heritage Financial Group

 

348

 

1,356

 

Hersha Hospitality Trust (REIT)

 

3,566

 

2,257

 

Highwoods Properties, Inc. (REIT)

 

69,087

 

1,263

 

Hilltop Holdings, Inc.*

 

15,345

 

286

 

Home Bancorp, Inc.*

 

3,526

 

555

 

Home Bancshares, Inc./AR

 

12,704

 

532

 

Home Federal Bancorp, Inc./ID

 

6,485

 

1,046

 

Home Properties, Inc. (REIT)

 

46,997

 

1,245

 

Horace Mann Educators Corp.

 

14,965

 

657

 

Iberiabank Corp.

 

37,272

 

206

 

Independence Holding Co.

 

1,106

 

664

 

Independent Bank Corp./MA

 

13,579

 

435

 

Infinity Property & Casualty Corp.

 

17,383

 

2,238

 

Inland Real Estate Corp. (REIT)

 

17,568

 

279

 

International Assets Holding Corp.*

 

4,606

 

1,660

 

International Bancshares Corp.

 

27,838

 

254

 

Invesco Mortgage Capital, Inc. (REIT)

 

5,385

 

1,371

 

Investors Bancorp, Inc.*

 

15,108

 

2,183

 

Investors Real Estate Trust (REIT)

 

19,232

 

3,171

 

iStar Financial, Inc. (REIT)*

 

7,706

 

422

 

JMP Group, Inc.

 

3,798

 

137

 

Kansas City Life Insurance Co.

 

3,685

 

333

 

Kayne Anderson Energy Development Co.

 

4,505

 

595

 

KBW, Inc.*

 

14,631

 

464

 

Kearny Financial Corp.

 

4,570

 

83

 

Kentucky First Federal Bancorp

 

1,000

 

127

 

K-Fed Bancorp

 

1,087

 

1,375

 

Kilroy Realty Corp. (REIT)

 

41,429

 

1,474

 

Kite Realty Group Trust (REIT)

 

4,673

 

1,459

 

Knight Capital Group, Inc., Class A*

 

21,360

 

556

 

Kohlberg Capital Corp.

 

2,669

 

1,764

 

LaBranche & Co., Inc.*

 

4,675

 

652

 

Lakeland Bancorp, Inc.

 

3,964

 

398

 

Lakeland Financial Corp.

 

6,782

 

2,024

 

LaSalle Hotel Properties (REIT)

 

37,707

 

237

 

Legacy Bancorp, Inc.

 

2,263

 

2,889

 

Lexington Realty Trust (REIT)

 

14,041

 

658

 

LTC Properties, Inc. (REIT)

 

16,917

 

1,587

 

Maiden Holdings Ltd.

 

11,966

 

86

 

Main Street Capital Corp.

 

1,220

 

642

 

MainSource Financial Group, Inc.

 

3,383

 

1,468

 

Max Capital Group Ltd.

 

31,988

 

1,597

 

MB Financial, Inc.

 

29,784

 

2,081

 

MCG Capital Corp.*

 

8,262

 

1,828

 

Meadowbrook Insurance Group, Inc.

 

12,522

 

475

 

Medallion Financial Corp.

 

3,924

 

2,552

 

Medical Properties Trust, Inc. (REIT)

 

24,703

 

177

 

Mercer Insurance Group, Inc.

 

3,041

 

153

 

Merchants Bancshares, Inc.

 

3,540

 

311

 

Meridian Interstate Bancorp, Inc.*

 

2,594

 

236

 

Metro Bancorp, Inc.*

 

2,518

 

2,164

 

MF Global Ltd.*

 

13,612

 

8,928

 

MFA Financial, Inc. (REIT)

 

67,585

 

3,983

 

MGIC Investment Corp.*

 

15,932

 

450

 

Mid-America Apartment Communities, Inc. (REIT)

 

20,929

 

144

 

Midsouth Bancorp, Inc.

 

1,932

 

563

 

Mission West Properties, Inc. (REIT)

 

3,834

 

696

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

4,795

 

2,747

 

Montpelier Re Holdings Ltd.

 

45,985

 

688

 

MVC Capital, Inc.

 

7,169

 

694

 

Nara Bancorp, Inc.

 

7,016

 

109

 

NASB Financial, Inc.

 

2,632

 

221

 

National Bankshares, Inc.

 

5,775

 

1,310

 

National Financial Partners Corp.*

 

11,449

 

787

 

National Health Investors, Inc. (REIT)

 

25,963

 

196

 

National Interstate Corp.

 

3,438

 

4,024

 

National Penn Bancshares, Inc.

 

22,212

 

2,546

 

National Retail Properties, Inc. (REIT)

 

51,022

 

72

 

National Western Life Insurance Co., Class A

 

12,286

 

396

 

Navigators Group, Inc.*

 

18,458

 

1,091

 

NBT Bancorp, Inc.

 

22,464

 

428

 

Nelnet, Inc., Class A

 

7,434

 

3,399

 

NewAlliance Bancshares, Inc.

 

40,040

 

645

 

NewStar Financial, Inc.*

 

2,129

 

688

 

NGP Capital Resources Co.

 

5,291

 

186

 

Northeast Community Bancorp, Inc.

 

1,161

 

614

 

Northfield Bancorp, Inc.

 

7,853

 

202

 

Northrim BanCorp, Inc.

 

3,246

 

1,887

 

NorthStar Realty Finance Corp. (REIT)

 

6,397

 

545

 

Northwest Bancorp, Inc.

 

12,611

 

60

 

Norwood Financial Corp.

 

1,555

 

154

 

NYMAGIC, Inc.

 

2,595

 

285

 

OceanFirst Financial Corp.

 

2,887

 

1,818

 

Ocwen Financial Corp.*

 

16,944

 

126

 

Ohio Valley Banc Corp.

 

2,798

 

2,777

 

Old National Bancorp/IN

 

32,324

 

66

 

Old Point Financial Corp.

 

1,013

 

342

 

Old Second Bancorp, Inc.

 

1,915

 

2,137

 

Omega Healthcare Investors, Inc. (REIT)

 

38,658

 

301

 

Oppenheimer Holdings Inc., Class A

 

9,478

 

772

 

Oriental Financial Group, Inc.

 

7,488

 

65

 

Oritani Financial Corp.

 

846

 

84

 

Orrstown Financial Services, Inc.

 

2,776

 

1,489

 

Pacific Capital Bancorp N.A.

 

1,400

 

589

 

Pacific Continental Corp.

 

6,073

 

847

 

PacWest Bancorp

 

15,585

 

329

 

Park National Corp.

 

19,677

 

687

 

Parkway Properties, Inc./MD (REIT)

 

12,826

 

237

 

Peapack Gladstone Financial Corp.

 

2,744

 

807

 

PennantPark Investment Corp.

 

6,843

 

54

 

Penns Woods Bancorp, Inc.

 

1,704

 

1,228

 

Pennsylvania Real Estate Investment Trust (REIT)

 

9,075

 

426

 

PennyMac Mortgage Investment Trust (REIT)*

 

7,549

 

231

 

Penson Worldwide, Inc.*

 

2,072

 

334

 

Peoples Bancorp, Inc./OH

 

3,019

 

121

 

Peoples Financial Corp./MS

 

1,924

 

1,732

 

PHH Corp.*

 

23,936

 

3,290

 

Phoenix Cos, Inc. (The)*

 

8,159

 

437

 

Pico Holdings, Inc.*

 

13,084

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,047

 

Pinnacle Financial Partners, Inc.*

 

$

12,365

 

625

 

Piper Jaffray Cos.*

 

27,094

 

1,628

 

Platinum Underwriters Holdings Ltd.

 

57,452

 

1,028

 

PMA Capital Corp., Class A*

 

6,548

 

2,323

 

PMI Group, Inc. (The)

 

4,274

 

87

 

Porter Bancorp, Inc.

 

1,273

 

1,543

 

Post Properties, Inc. (REIT)

 

28,437

 

603

 

Potlatch Corp. (REIT)

 

17,752

 

690

 

Premierwest Bancorp

 

945

 

663

 

Presidential Life Corp.

 

6,756

 

588

 

Primus Guaranty Ltd.*

 

1,982

 

387

 

PrivateBancorp, Inc.

 

3,827

 

1,055

 

ProAssurance Corp.*

 

56,179

 

1,740

 

Prospect Capital Corp.

 

18,931

 

1,467

 

Prosperity Bancshares, Inc.

 

58,431

 

1,907

 

Provident Financial Services, Inc.

 

20,176

 

1,102

 

Provident New York Bancorp

 

9,202

 

21

 

Prudential Bancorp, Inc. of Pennsylvania

 

207

 

387

 

PS Business Parks, Inc. (REIT)

 

18,398

 

2,611

 

Radian Group, Inc.

 

11,671

 

2,070

 

RAIT Financial Trust (REIT)*

 

3,209

 

826

 

Ramco-Gershenson Properties Trust (REIT)

 

7,517

 

2,148

 

Redwood Trust, Inc. (REIT)

 

30,867

 

672

 

Renasant Corp.

 

9,563

 

271

 

Republic Bancorp, Inc./KY, Class A

 

5,111

 

227

 

Republic First Bancorp, Inc.*

 

881

 

394

 

Resource America, Inc., Class A

 

1,454

 

662

 

Resource Capital Corp. (REIT)

 

3,409

 

133

 

Rewards Network, Inc.

 

1,523

 

346

 

RLI Corp.

 

17,449

 

264

 

Rockville Financial, Inc.

 

2,817

 

154

 

Roma Financial Corp.

 

1,850

 

749

 

S&T Bancorp, Inc.

 

11,947

 

407

 

Safeguard Scientifics, Inc.*

 

3,761

 

369

 

Safety Insurance Group, Inc.

 

13,144

 

614

 

Sanders Morris Harris Group, Inc.

 

3,095

 

526

 

Sandy Spring Bancorp, Inc.

 

4,897

 

137

 

Santander BanCorp*

 

1,562

 

76

 

Saul Centers, Inc. (REIT)

 

2,345

 

404

 

SCBT Financial Corp.

 

10,504

 

691

 

SeaBright Insurance Holdings, Inc.*

 

7,601

 

1,682

 

Selective Insurance Group, Inc.

 

26,239

 

267

 

Shore Bancshares, Inc.

 

3,882

 

279

 

Sierra Bancorp

 

2,076

 

247

 

Signature Bank/NY*

 

7,652

 

444

 

Simmons First National Corp., Class A

 

11,238

 

465

 

Smithtown Bancorp, Inc.

 

2,971

 

6,859

 

South Financial Group, Inc. (The)

 

4,184

 

328

 

Southside Bancshares, Inc.

 

6,724

 

464

 

Southwest Bancorp, Inc./OK

 

3,109

 

877

 

Sovran Self Storage, Inc. (REIT)

 

28,345

 

1,176

 

Starwood Property Trust, Inc. (REIT)

 

22,814

 

453

 

State Auto Financial Corp.

 

7,352

 

467

 

State Bancorp, Inc./NY

 

3,451

 

724

 

StellarOne Corp.

 

7,305

 

575

 

Sterling Bancorp/NY

 

3,910

 

2,623

 

Sterling Bancshares, Inc./TX

 

13,167

 

1,667

 

Sterling Financial Corp./WA*

 

1,000

 

544

 

Stewart Information Services Corp.

 

5,641

 

2,389

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

4,061

 

98

 

Suffolk Bancorp

 

2,639

 

433

 

Sun Bancorp, Inc./NJ*

 

1,554

 

524

 

Sun Communities, Inc. (REIT)

 

9,956

 

3,127

 

Sunstone Hotel Investors, Inc. (REIT)*

 

25,329

 

2,748

 

Susquehanna Bancshares, Inc.

 

15,774

 

952

 

SVB Financial Group*

 

36,043

 

721

 

SWS Group, Inc.

 

8,969

 

215

 

SY Bancorp, Inc.

 

4,691

 

606

 

Tanger Factory Outlet Centers (REIT)

 

23,785

 

346

 

Territorial Bancorp, Inc.*

 

5,875

 

3

 

Teton Advisors, Inc., Class A^

 

45

 

1,026

 

Texas Capital Bancshares, Inc.*

 

14,898

 

593

 

Thomas Weisel Partners Group, Inc.*

 

2,669

 

844

 

TICC Capital Corp.

 

4,726

 

163

 

Tompkins Financial Corp.

 

6,504

 

153

 

Tower Bancorp, Inc.

 

2,931

 

146

 

Tower Group, Inc.

 

3,603

 

668

 

TowneBank/VA

 

8,083

 

786

 

TradeStation Group, Inc.*

 

5,785

 

45

 

Transcontinental Realty Investors, Inc.*

 

492

 

206

 

Tree.com, Inc.*

 

1,329

 

282

 

Triangle Capital Corp.

 

3,573

 

444

 

Trico Bancshares

 

7,695

 

1,516

 

TrustCo Bank Corp. NY

 

9,339

 

1,830

 

Trustmark Corp.

 

35,063

 

52

 

U.S. Global Investors, Inc., Class A

 

669

 

1,027

 

UMB Financial Corp.

 

40,361

 

213

 

UMH Properties, Inc. (REIT)

 

1,640

 

2,763

 

Umpqua Holdings Corp.

 

32,493

 

586

 

Union Bankshares Corp./VA

 

6,915

 

1,166

 

United America Indemnity Ltd., Class A*

 

8,022

 

1,218

 

United Bankshares, Inc.

 

20,828

 

2,614

 

United Community Banks, Inc./GA*

 

10,116

 

438

 

United Financial Bancorp, Inc.

 

5,624

 

707

 

United Fire & Casualty Co.

 

12,189

 

192

 

United Security Bancshares, Inc./AL

 

3,145

 

166

 

Universal Health Realty Income Trust (REIT)

 

5,093

 

159

 

Universal Insurance Holdings, Inc.

 

870

 

525

 

Univest Corp. of Pennsylvania

 

8,500

 

649

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

8,904

 

2,534

 

U-Store-It Trust (REIT)

 

16,496

 

187

 

Virtus Investment Partners, Inc.*

 

2,925

 

734

 

Walter Investment Management Corp. (REIT)

 

8,940

 

305

 

Washington Banking Co.

 

3,053

 

1,647

 

Washington Real Estate Investment Trust (REIT)

 

42,987

 

443

 

Washington Trust Bancorp, Inc.

 

6,579

 

225

 

Waterstone Financial, Inc.*

 

434

 

2,168

 

Webster Financial Corp.

 

27,599

 

733

 

WesBanco, Inc.

 

9,463

 

494

 

West Bancorporation, Inc.

 

2,435

 

406

 

Westamerica Bancorp.

 

21,599

 

1,459

 

Western Alliance Bancorp*

 

5,792

 

994

 

Westfield Financial, Inc.

 

8,220

 

18

 

Westwood Holdings Group, Inc.

 

626

 

188

 

Wilber Corp.

 

1,275

 

576

 

Wilshire Bancorp, Inc.

 

4,038

 

372

 

Winthrop Realty Trust (REIT)

 

3,367

 

764

 

Wintrust Financial Corp.

 

19,841

 

515

 

World Acceptance Corp.*

 

15,105

 

228

 

WSFS Financial Corp.

 

6,081

 

515

 

Yadkin Valley Financial Corp.

 

1,859

 

1,187

 

Zenith National Insurance Corp.

 

33,936

 

 

 

 

 

4,836,776

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Health Care - 4.0%

 

 

 

 

 

 

 

 

 

682

 

Adolor Corp.*

 

$

1,030

 

302

 

Affymetrix, Inc.*

 

1,431

 

746

 

Albany Molecular Research, Inc.*

 

6,259

 

63

 

Alliance HealthCare Services, Inc.*

 

373

 

1,196

 

Allied Healthcare International, Inc.*

 

3,540

 

661

 

Allion Healthcare, Inc.*

 

4,297

 

48

 

Amedisys, Inc.*

 

1,778

 

315

 

American Dental Partners, Inc.*

 

3,843

 

277

 

AMICAS, Inc.*

 

1,260

 

979

 

Amsurg Corp.*

 

20,275

 

145

 

Analogic Corp.

 

5,874

 

556

 

Angiodynamics, Inc.*

 

8,646

 

604

 

Arqule, Inc.*

 

2,168

 

320

 

Assisted Living Concepts, Inc., Class A*

 

7,485

 

36

 

Biodel, Inc.*

 

136

 

91

 

BMP Sunstone Corp.*

 

370

 

69

 

Cambrex Corp.*

 

365

 

112

 

Cantel Medical Corp.*

 

2,005

 

716

 

Capital Senior Living Corp.*

 

3,279

 

204

 

Caraco Pharmaceutical Laboratories Ltd.*

 

841

 

567

 

Cardiac Science Corp.*

 

1,276

 

2,074

 

Celera Corp.*

 

12,942

 

626

 

Centene Corp.*

 

11,781

 

34

 

Chindex International, Inc.*

 

465

 

927

 

Conmed Corp.*

 

19,272

 

132

 

Continucare Corp.*

 

411

 

891

 

Cross Country Healthcare, Inc.*

 

7,582

 

77

 

CryoLife, Inc.*

 

440

 

48

 

Cumberland Pharmaceuticals, Inc.*

 

689

 

304

 

Cutera, Inc.*

 

2,742

 

312

 

Cynosure, Inc., Class A*

 

3,120

 

268

 

Enzo Biochem, Inc.*

 

1,388

 

2,369

 

ev3, Inc.*

 

30,086

 

642

 

Facet Biotech Corp.*

 

10,542

 

561

 

Gentiva Health Services, Inc.*

 

13,268

 

1,416

 

Geron Corp.*

 

7,349

 

209

 

Greatbatch, Inc.*

 

3,844

 

656

 

Hanger Orthopedic Group, Inc.*

 

8,751

 

154

 

Hansen Medical, Inc.*

 

394

 

40

 

Harvard Bioscience, Inc.*

 

143

 

1,557

 

Healthspring, Inc.*

 

25,784

 

1,015

 

Healthways, Inc.*

 

17,428

 

212

 

Hi-Tech Pharmacal Co., Inc.*

 

3,975

 

260

 

Home Diagnostics, Inc.*

 

1,500

 

309

 

Infinity Pharmaceuticals, Inc.*

 

1,869

 

521

 

Invacare Corp.

 

12,973

 

709

 

inVentiv Health, Inc.*

 

11,231

 

374

 

Kendle International, Inc.*

 

5,599

 

1,243

 

Kindred Healthcare, Inc.*

 

18,471

 

567

 

KV Pharmaceutical Co., Class A*

 

1,905

 

118

 

Landauer, Inc.

 

6,712

 

189

 

LCA-Vision, Inc.*

 

1,041

 

1,529

 

Lexicon Pharmaceuticals, Inc.*

 

2,385

 

1,126

 

Magellan Health Services, Inc.*

 

41,403

 

865

 

Martek Biosciences Corp.*

 

15,051

 

129

 

Maxygen, Inc.*

 

702

 

474

 

Medcath Corp.*

 

3,479

 

94

 

Medical Action Industries, Inc.*

 

1,199

 

496

 

Medicines Co. (The)*

 

3,889

 

1,620

 

Medicis Pharmaceutical Corp., Class A

 

38,216

 

45

 

Medidata Solutions, Inc.*

 

763

 

293

 

MedQuist, Inc.

 

2,074

 

421

 

Molina Healthcare, Inc.*

 

8,799

 

57

 

Myriad Pharmaceuticals, Inc.*

 

286

 

446

 

Nabi Biopharmaceuticals*

 

2,203

 

145

 

National Healthcare Corp.

 

5,076

 

230

 

Natus Medical, Inc.*

 

3,064

 

674

 

Nighthawk Radiology Holdings, Inc.*

 

3,518

 

257

 

NovaMed, Inc.*

 

977

 

526

 

Odyssey HealthCare, Inc.*

 

7,643

 

146

 

Omnicell, Inc.*

 

1,489

 

95

 

OraSure Technologies, Inc.*

 

365

 

268

 

Owens & Minor, Inc.

 

10,396

 

155

 

Palomar Medical Technologies, Inc.*

 

1,418

 

1,106

 

Par Pharmaceutical Cos., Inc.*

 

26,234

 

206

 

Progenics Pharmaceuticals, Inc.*

 

797

 

575

 

Psychiatric Solutions, Inc.*

 

12,742

 

75

 

RadNet, Inc.*

 

167

 

125

 

RehabCare Group, Inc.*

 

3,521

 

803

 

Res-Care, Inc.*

 

10,303

 

1,108

 

RTI Biologics, Inc.*

 

4,521

 

617

 

Skilled Healthcare Group, Inc., Class A*

 

4,189

 

1,386

 

Sun Healthcare Group, Inc.*

 

11,726

 

1,441

 

Sunrise Senior Living, Inc.*

 

4,510

 

675

 

SuperGen, Inc.*

 

1,769

 

887

 

Symmetry Medical, Inc.*

 

7,114

 

770

 

TomoTherapy, Inc.*

 

2,633

 

621

 

Triple-S Management Corp., Class B*

 

9,973

 

200

 

U.S. Physical Therapy, Inc.*

 

2,922

 

861

 

Universal American Corp.*

 

8,920

 

705

 

Varian, Inc.*

 

36,089

 

1,972

 

Viropharma, Inc.*

 

14,908

 

144

 

Vital Images, Inc.*

 

1,820

 

376

 

Volcano Corp.*

 

5,538

 

1,346

 

WellCare Health Plans, Inc.*

 

44,405

 

51

 

Young Innovations, Inc.

 

1,236

 

86

 

Zoll Medical Corp.*

 

2,116

 

 

 

 

 

692,776

 

 

 

Industrials - 13.7%

 

 

 

 

 

 

 

 

 

154

 

3D Systems Corp.*

 

1,683

 

698

 

A. O. Smith Corp.

 

29,260

 

1,126

 

AAR Corp.*

 

21,011

 

1,133

 

ABM Industries, Inc.

 

20,881

 

1,739

 

ACCO Brands Corp.*

 

11,356

 

787

 

Aceto Corp.

 

4,100

 

1,156

 

Actuant Corp., Class A

 

18,877

 

317

 

Acuity Brands, Inc.

 

10,233

 

687

 

Air Transport Services Group, Inc.*

 

1,546

 

1,495

 

Aircastle Ltd.

 

13,246

 

204

 

Alamo Group, Inc.

 

3,033

 

1,095

 

Alaska Air Group, Inc.*

 

32,741

 

861

 

Albany International Corp., Class A

 

15,567

 

737

 

Altra Holdings, Inc.*

 

8,291

 

287

 

Amerco, Inc.*

 

14,712

 

287

 

American Commercial Lines, Inc.*

 

5,622

 

296

 

American Railcar Industries, Inc.

 

3,126

 

134

 

American Reprographics Co.*

 

745

 

327

 

American Woodmark Corp.

 

6,370

 

295

 

Ameron International Corp.

 

16,803

 

137

 

Ampco-Pittsburgh Corp.

 

4,006

 

41

 

Amrep Corp.*

 

553

 

827

 

Apogee Enterprises, Inc.

 

11,322

 

1,348

 

Applied Industrial Technologies, Inc.

 

27,971

 

65

 

Argon ST, Inc.*

 

1,169

 

808

 

Arkansas Best Corp.

 

19,893

 

492

 

Ascent Solar Technologies, Inc.*

 

2,189

 

575

 

Astec Industries, Inc.*

 

14,352

 

50

 

Astronics Corp.*

 

394

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

163

 

ATC Technology Corp.*

 

$

3,589

 

547

 

Atlas Air Worldwide Holdings, Inc.*

 

16,027

 

1,352

 

Avis Budget Group, Inc.*

 

13,182

 

1,194

 

Baldor Electric Co.

 

30,745

 

1,483

 

Barnes Group, Inc.

 

23,001

 

246

 

Barrett Business Services, Inc.

 

2,681

 

243

 

Beacon Roofing Supply, Inc.*

 

3,735

 

1,484

 

Belden, Inc.

 

32,826

 

824

 

Blount International, Inc.*

 

7,952

 

369

 

BlueLinx Holdings, Inc.*

 

978

 

1,218

 

Bowne & Co., Inc.

 

7,381

 

1,527

 

Brady Corp., Class A

 

45,321

 

1,588

 

Briggs & Stratton Corp.

 

29,950

 

153

 

Builders FirstSource, Inc.*

 

583

 

309

 

CAI International, Inc.*

 

2,701

 

288

 

Cascade Corp.

 

6,529

 

346

 

CDI Corp.

 

4,110

 

131

 

Celadon Group, Inc.*

 

1,254

 

821

 

Ceradyne, Inc.*

 

13,883

 

103

 

Chart Industries, Inc.*

 

1,710

 

169

 

Chase Corp.

 

1,802

 

1,323

 

China BAK Battery, Inc.*

 

4,009

 

540

 

CIRCOR International, Inc.

 

13,036

 

1,019

 

CLARCOR, Inc.

 

32,476

 

36

 

Clean Harbors, Inc.*

 

1,927

 

537

 

Colfax Corp.*

 

6,670

 

604

 

Columbus McKinnon Corp.*

 

9,483

 

1,232

 

Comfort Systems USA, Inc.

 

14,032

 

472

 

COMSYS IT Partners, Inc.*

 

3,932

 

312

 

Consolidated Graphics, Inc.*

 

9,204

 

352

 

Cornell Cos., Inc.*

 

7,730

 

322

 

Courier Corp.

 

4,199

 

53

 

CRA International, Inc.*

 

1,318

 

1,440

 

Curtiss-Wright Corp.

 

40,982

 

743

 

Deluxe Corp.

 

9,585

 

44

 

Diamond Management & Technology Consultants, Inc.

 

286

 

691

 

Dollar Thrifty Automotive Group, Inc.*

 

12,756

 

334

 

Ducommun, Inc.

 

6,229

 

244

 

DXP Enterprises, Inc.*

 

2,908

 

1,243

 

Dycom Industries, Inc.*

 

9,683

 

90

 

Dynamex, Inc.*

 

1,566

 

674

 

DynCorp International, Inc., Class A*

 

9,423

 

1,974

 

Eagle Bulk Shipping, Inc.*

 

11,173

 

190

 

Eastern Co. (The)

 

2,660

 

1,436

 

EMCOR Group, Inc.*

 

34,177

 

578

 

Encore Wire Corp.

 

11,502

 

223

 

Energy Conversion Devices, Inc.*

 

2,212

 

2,184

 

EnergySolutions, Inc.

 

18,739

 

1,286

 

EnerSys*

 

29,269

 

826

 

Ennis, Inc.

 

11,969

 

638

 

EnPro Industries, Inc.*

 

14,636

 

637

 

Esterline Technologies Corp.*

 

25,728

 

2,801

 

Evergreen Solar, Inc.*

 

3,921

 

1,550

 

Federal Signal Corp.

 

8,882

 

198

 

Flow International Corp.*

 

497

 

480

 

Forward Air Corp.

 

10,877

 

68

 

Franklin Covey Co.*

 

367

 

736

 

Franklin Electric Co., Inc.

 

20,269

 

380

 

FreightCar America, Inc.

 

6,935

 

116

 

Fuel Tech, Inc.*

 

994

 

424

 

FuelCell Energy, Inc.*

 

1,297

 

387

 

Furmanite Corp.*

 

1,269

 

505

 

Fushi Copperweld, Inc.*

 

4,075

 

587

 

G&K Services, Inc., Class A

 

12,973

 

819

 

Genco Shipping & Trading Ltd.*

 

19,230

 

321

 

Geo Group, Inc. (The)*

 

6,381

 

32

 

GeoEye, Inc.*

 

997

 

859

 

Gibraltar Industries, Inc.

 

12,868

 

168

 

Gorman-Rupp Co. (The)

 

4,183

 

188

 

GP Strategies Corp.*

 

1,143

 

2,344

 

GrafTech International Ltd.*

 

34,480

 

111

 

Graham Corp.

 

2,058

 

945

 

Granite Construction, Inc.

 

28,322

 

87

 

Great Lakes Dredge & Dock Corp.

 

512

 

533

 

Greenbrier Cos., Inc.

 

5,719

 

1,385

 

Griffon Corp.*

 

14,404

 

869

 

H&E Equipment Services, Inc.*

 

8,047

 

596

 

Heartland Express, Inc.

 

8,791

 

540

 

Heidrick & Struggles International, Inc.

 

15,255

 

433

 

Herley Industries, Inc.*

 

5,005

 

89

 

Hill International, Inc.*

 

544

 

387

 

HNI Corp.

 

9,779

 

960

 

Horizon Lines, Inc., Class A

 

5,136

 

317

 

Houston Wire & Cable Co.

 

3,522

 

614

 

HUB Group, Inc., Class A*

 

16,240

 

182

 

Hurco Cos., Inc.*

 

2,594

 

57

 

ICT Group, Inc.*

 

910

 

258

 

II-VI, Inc.*

 

7,348

 

133

 

Innerworkings, Inc.*

 

684

 

1,240

 

Insituform Technologies, Inc., Class A*

 

25,668

 

556

 

Insteel Industries, Inc.

 

6,333

 

189

 

Integrated Electrical Services, Inc.*

 

1,287

 

1,035

 

Interline Brands, Inc.*

 

17,409

 

177

 

International Shipholding Corp.

 

5,878

 

8,065

 

JetBlue Airways Corp.*

 

44,438

 

875

 

John Bean Technologies Corp.

 

15,024

 

390

 

Kadant, Inc.*

 

5,624

 

114

 

Kaman Corp.

 

2,582

 

1,056

 

Kaydon Corp.

 

37,551

 

747

 

Kelly Services, Inc., Class A*

 

7,836

 

912

 

Kforce, Inc.*

 

11,810

 

1,019

 

Kimball International, Inc., Class B

 

8,305

 

383

 

Knight Transportation, Inc.

 

6,515

 

1,335

 

Korn/Ferry International*

 

21,654

 

16

 

K-Tron International, Inc.*

 

1,534

 

324

 

L.B. Foster Co., Class A*

 

8,871

 

88

 

LaBarge, Inc.*

 

982

 

504

 

Ladish Co., Inc.*

 

7,001

 

127

 

Lawson Products, Inc.

 

1,822

 

618

 

Layne Christensen Co.*

 

16,080

 

20

 

Lindsay Corp.

 

702

 

133

 

LMI Aerospace, Inc.*

 

1,416

 

597

 

LSI Industries, Inc.

 

4,322

 

342

 

M&F Worldwide Corp.*

 

11,303

 

464

 

MasTec, Inc.*

 

5,921

 

651

 

McGrath RentCorp.

 

13,456

 

1,057

 

Metalico, Inc.*

 

4,376

 

101

 

Met-Pro Corp.

 

919

 

321

 

Miller Industries, Inc.*

 

3,531

 

66

 

Mine Safety Appliances Co.

 

1,633

 

835

 

Mobile Mini, Inc.*

 

12,700

 

1,443

 

Moog, Inc., Class A*

 

38,110

 

2,945

 

MPS Group, Inc.*

 

40,199

 

1,184

 

Mueller Industries, Inc.

 

27,836

 

4,899

 

Mueller Water Products, Inc., Class A

 

24,691

 

31

 

Multi-Color Corp.

 

342

 

171

 

NACCO Industries, Inc., Class A

 

8,641

 

2,379

 

NCI Building Systems, Inc.*

 

4,425

 

707

 

Nordson Corp.

 

37,902

 

113

 

North American Galvanizing & Coating, Inc.*

 

551

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

296

 

Northwest Pipe Co.*

 

$

7,480

 

743

 

Old Dominion Freight Line, Inc.*

 

19,675

 

1,026

 

On Assignment, Inc.*

 

6,505

 

558

 

Orion Energy Systems, Inc.*

 

2,243

 

1,128

 

Otter Tail Corp.

 

25,978

 

1,113

 

Pacer International, Inc.

 

3,161

 

17

 

Patriot Transportation Holding, Inc.*

 

1,589

 

288

 

Pike Electric Corp.*

 

2,638

 

496

 

Polypore International, Inc.*

 

5,838

 

105

 

Portec Rail Products, Inc.

 

930

 

2,214

 

Power-One, Inc.*

 

8,148

 

389

 

PowerSecure International, Inc.*

 

3,209

 

5

 

Preformed Line Products Co.

 

202

 

498

 

Quanex Building Products Corp.

 

8,073

 

34

 

RBC Bearings, Inc.*

 

787

 

1,140

 

Regal-Beloit Corp.

 

54,104

 

877

 

Republic Airways Holdings, Inc.*

 

5,972

 

783

 

Robbins & Myers, Inc.

 

18,001

 

785

 

Rush Enterprises, Inc., Class A*

 

8,454

 

430

 

Saia, Inc.*

 

6,201

 

340

 

Satcon Technology Corp.*

 

680

 

318

 

Sauer-Danfoss, Inc.

 

2,748

 

476

 

Schawk, Inc.

 

5,369

 

386

 

School Specialty, Inc.*

 

8,801

 

11

 

Seaboard Corp.

 

15,994

 

276

 

Simpson Manufacturing Co., Inc.

 

6,861

 

1,772

 

Skywest, Inc.

 

26,066

 

1,647

 

Spherion Corp.*

 

8,614

 

194

 

Standard Parking Corp.*

 

3,123

 

138

 

Standard Register Co. (The)

 

624

 

395

 

Standex International Corp.

 

7,209

 

2,274

 

Steelcase, Inc., Class A

 

12,416

 

387

 

Sterling Construction Co., Inc.*

 

6,695

 

233

 

Sun Hydraulics Corp.

 

5,510

 

455

 

TAL International Group, Inc.

 

6,215

 

424

 

TBS International Ltd., Class A*

 

3,286

 

31

 

Team, Inc.*

 

508

 

587

 

Tecumseh Products Co., Class A*

 

6,704

 

771

 

Teledyne Technologies, Inc.*

 

25,844

 

293

 

Textainer Group Holdings Ltd.

 

4,673

 

1,121

 

Titan International, Inc.

 

9,282

 

35

 

Titan Machinery, Inc.*

 

393

 

186

 

Todd Shipyards Corp.

 

3,130

 

941

 

Tredegar Corp.

 

13,560

 

54

 

Trex Co., Inc.*

 

968

 

200

 

Trimas Corp.*

 

898

 

530

 

Triumph Group, Inc.

 

25,435

 

1,396

 

TrueBlue, Inc.*

 

16,975

 

820

 

Tutor Perini Corp.*

 

13,628

 

271

 

Twin Disc, Inc.

 

2,572

 

316

 

UAL Corp.*

 

2,452

 

23

 

Ultralife Corp.*

 

85

 

685

 

Ultrapetrol Bahamas Ltd.*

 

3,165

 

62

 

United Capital Corp.*

 

1,241

 

1,916

 

United Rentals, Inc.*

 

17,666

 

757

 

United Stationers, Inc.*

 

38,562

 

611

 

Universal Forest Products, Inc.

 

21,959

 

184

 

Universal Truckload Services, Inc.

 

2,802

 

5,130

 

US Airways Group, Inc.*

 

18,930

 

74

 

USA Truck, Inc.*

 

844

 

244

 

Valence Technology, Inc.*

 

261

 

587

 

Viad Corp.

 

10,842

 

378

 

Vicor Corp.*

 

3,100

 

388

 

Volt Information Sciences, Inc.*

 

3,442

 

24

 

VSE Corp.

 

1,091

 

500

 

Waste Services, Inc.*

 

3,980

 

68

 

Watsco, Inc.

 

3,411

 

243

 

Watson Wyatt Worldwide, Inc., Class A

 

10,046

 

931

 

Watts Water Technologies, Inc., Class A

 

28,535

 

1,359

 

Werner Enterprises, Inc.

 

25,359

 

151

 

Willis Lease Finance Corp.*

 

2,122

 

377

 

Woodward Governor Co.

 

8,769

 

1,894

 

YRC Worldwide, Inc.*

 

2,140

 

 

 

 

 

2,362,952

 

 

 

Information Technology - 8.5%

 

 

 

 

 

 

 

 

 

2,234

 

3Com Corp.*

 

16,465

 

576

 

Actel Corp.*

 

6,716

 

976

 

ActivIdentity Corp.*

 

2,079

 

391

 

Acxiom Corp.*

 

4,512

 

3,880

 

Adaptec, Inc.*

 

12,144

 

2,473

 

ADC Telecommunications, Inc.*

 

15,159

 

390

 

ADTRAN, Inc.

 

8,241

 

224

 

Advanced Energy Industries, Inc.*

 

2,448

 

484

 

Agilysys, Inc.

 

3,993

 

334

 

Airvana, Inc.*

 

2,027

 

53

 

American Software, Inc., Class A

 

324

 

400

 

Anadigics, Inc.*

 

1,232

 

54

 

Anaren, Inc.*

 

744

 

806

 

Anixter International, Inc.*

 

34,835

 

970

 

Arris Group, Inc.*

 

9,690

 

705

 

ATMI, Inc.*

 

10,963

 

716

 

Avid Technology, Inc.*

 

8,520

 

1,226

 

Avocent Corp.*

 

30,625

 

327

 

Bel Fuse, Inc., Class B

 

5,834

 

1,842

 

Benchmark Electronics, Inc.*

 

33,211

 

557

 

Black Box Corp.

 

15,702

 

2,050

 

Brooks Automation, Inc.*

 

15,026

 

669

 

Cabot Microelectronics Corp.*

 

20,465

 

847

 

CACI International, Inc., Class A*

 

39,318

 

385

 

Callidus Software, Inc.*

 

1,066

 

85

 

Ceva, Inc.*

 

989

 

942

 

Checkpoint Systems, Inc.*

 

13,358

 

119

 

China Information Security Technology, Inc.*

 

710

 

272

 

China Security & Surveillance Technology, Inc.*

 

1,640

 

2,190

 

Ciber, Inc.*

 

6,942

 

1,036

 

Cognex Corp.

 

17,053

 

735

 

Cogo Group, Inc.*

 

4,189

 

690

 

Coherent, Inc.*

 

17,540

 

745

 

Cohu, Inc.

 

8,776

 

196

 

Communications Systems, Inc.

 

2,225

 

170

 

Computer Task Group, Inc.*

 

1,049

 

163

 

CPI International, Inc.*

 

1,575

 

307

 

Cray, Inc.*

 

2,146

 

449

 

CSG Systems International, Inc.*

 

8,693

 

1,017

 

CTS Corp.

 

9,428

 

948

 

Cymer, Inc.*

 

31,701

 

138

 

Daktronics, Inc.

 

1,169

 

383

 

DDi Corp.*

 

1,478

 

30

 

Deltek, Inc.*

 

228

 

503

 

Digi International, Inc.*

 

3,969

 

234

 

Digital River, Inc.*

 

5,904

 

388

 

DivX, Inc.*

 

1,971

 

45

 

Double-Take Software, Inc.*

 

396

 

726

 

DSP Group, Inc.*

 

4,567

 

277

 

Dynamics Research Corp.*

 

3,185

 

2,951

 

Earthlink, Inc.

 

24,287

 

297

 

Echelon Corp.*

 

3,285

 

570

 

Electro Rent Corp.

 

5,774

 

870

 

Electro Scientific Industries, Inc.*

 

8,465

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,565

 

Electronics for Imaging, Inc.*

 

$

18,796

 

2,400

 

Emcore Corp.*

 

2,160

 

84

 

EMS Technologies, Inc.*

 

1,082

 

201

 

Emulex Corp.*

 

1,958

 

4,140

 

Entegris, Inc.*

 

17,264

 

1,505

 

Epicor Software Corp.*

 

11,287

 

111

 

ePlus, Inc.*

 

1,756

 

193

 

Euronet Worldwide, Inc.*

 

4,099

 

1,018

 

Exar Corp.*

 

7,146

 

2,830

 

Extreme Networks*

 

6,169

 

1,558

 

Fair Isaac Corp.

 

28,433

 

52

 

FARO Technologies, Inc.*

 

1,015

 

94

 

FEI Co.*

 

2,295

 

92

 

Formfactor, Inc.*

 

1,559

 

108

 

Global Cash Access Holdings, Inc.*

 

804

 

665

 

Globecomm Systems, Inc.*

 

5,327

 

585

 

GSI Technology, Inc.*

 

2,738

 

615

 

Hackett Group, Inc. (The)*

 

1,636

 

714

 

Harmonic, Inc.*

 

3,613

 

1,876

 

Harris Stratex Networks, Inc., Class A*

 

11,781

 

95

 

i2 Technologies, Inc.*

 

1,748

 

155

 

ICx Technologies, Inc.*

 

777

 

858

 

Imation Corp.

 

7,525

 

497

 

infoGROUP, Inc.*

 

4,026

 

759

 

Information Services Group, Inc.*

 

2,444

 

484

 

Infospace, Inc.*

 

3,959

 

1,272

 

Insight Enterprises, Inc.*

 

12,911

 

404

 

Integral Systems, Inc.*

 

3,592

 

1,619

 

Internap Network Services Corp.*

 

6,023

 

414

 

Internet Brands, Inc., Class A*

 

2,861

 

484

 

Internet Capital Group, Inc.*

 

3,112

 

697

 

Intevac, Inc.*

 

8,671

 

1,604

 

Ipass, Inc.*

 

1,877

 

126

 

IXYS Corp.*

 

811

 

115

 

j2 Global Communications, Inc.*

 

2,286

 

214

 

JDA Software Group, Inc.*

 

5,025

 

196

 

Keynote Systems, Inc.

 

2,091

 

25

 

KVH Industries, Inc.*

 

302

 

515

 

L-1 Identity Solutions, Inc.*

 

3,162

 

3,366

 

Lattice Semiconductor Corp.*

 

7,372

 

2,598

 

Lawson Software, Inc.*

 

17,017

 

692

 

Littelfuse, Inc.*

 

18,117

 

63

 

LogMeIn, Inc.*

 

1,123

 

142

 

Mantech International Corp., Class A*

 

6,146

 

284

 

Marchex, Inc., Class B

 

1,318

 

44

 

MAXIMUS, Inc.

 

2,046

 

461

 

Measurement Specialties, Inc.*

 

4,190

 

456

 

MEMSIC, Inc.*

 

1,509

 

2,751

 

Mentor Graphics Corp.*

 

20,275

 

722

 

Mercury Computer Systems, Inc.*

 

7,660

 

1,073

 

Methode Electronics, Inc.

 

8,541

 

856

 

Micrel, Inc.

 

6,120

 

650

 

Microtune, Inc.*

 

1,131

 

1,568

 

MKS Instruments, Inc.*

 

23,755

 

1,376

 

ModusLink Global Solutions, Inc.*

 

11,118

 

382

 

MoneyGram International, Inc.*

 

947

 

690

 

Monotype Imaging Holdings, Inc.*

 

5,341

 

475

 

MTS Systems Corp.

 

12,241

 

1,233

 

Ness Technologies, Inc.*

 

6,239

 

812

 

Netgear, Inc.*

 

16,118

 

104

 

Netscout Systems, Inc.*

 

1,309

 

462

 

Network Equipment Technologies, Inc.*

 

1,585

 

1,152

 

Newport Corp.*

 

8,421

 

1,595

 

Omnivision Technologies, Inc.*

 

22,266

 

274

 

Online Resources Corp.*

 

1,507

 

1,866

 

Openwave Systems, Inc.*

 

4,404

 

179

 

Oplink Communications, Inc.*

 

3,086

 

737

 

Opnext, Inc.*

 

1,349

 

104

 

OSI Systems, Inc.*

 

2,125

 

611

 

Palm, Inc.*

 

6,666

 

74

 

PAR Technology Corp.*

 

400

 

244

 

Park Electrochemical Corp.

 

5,771

 

300

 

PC Connection, Inc.*

 

1,839

 

241

 

PC Mall, Inc.*

 

1,395

 

523

 

PC-Tel, Inc.*

 

2,992

 

714

 

Perficient, Inc.*

 

5,983

 

809

 

Pericom Semiconductor Corp.*

 

8,341

 

488

 

Pervasive Software, Inc.*

 

2,391

 

1,689

 

Photronics, Inc.*

 

6,824

 

183

 

Plantronics, Inc.

 

4,236

 

838

 

Plexus Corp.*

 

22,760

 

1,613

 

Polycom, Inc.*

 

34,776

 

4,202

 

Powerwave Technologies, Inc.*

 

5,883

 

1,742

 

Quest Software, Inc.*

 

29,318

 

1,280

 

RealNetworks, Inc.*

 

4,186

 

637

 

RF Micro Devices, Inc.*

 

2,752

 

298

 

Rimage Corp.*

 

4,840

 

514

 

Rofin-Sinar Technologies, Inc.*

 

11,709

 

386

 

Rogers Corp.*

 

10,870

 

606

 

Rudolph Technologies, Inc.*

 

3,939

 

798

 

Scansource, Inc.*

 

18,569

 

489

 

Seachange International, Inc.*

 

2,729

 

596

 

Semitool, Inc.*

 

6,538

 

231

 

Sigma Designs, Inc.*

 

2,698

 

847

 

Silicon Graphics International Corp.*

 

5,124

 

2,380

 

Silicon Image, Inc.*

 

5,212

 

2,529

 

Silicon Storage Technology, Inc.*

 

5,766

 

1,166

 

SMART Modular Technologies WWH, Inc.*

 

5,165

 

1,586

 

SonicWALL, Inc.*

 

12,355

 

6,567

 

Sonus Networks, Inc.*

 

14,316

 

400

 

Spectrum Control, Inc.*

 

3,496

 

950

 

SRA International, Inc., Class A*

 

17,147

 

517

 

Standard Microsystems Corp.*

 

9,947

 

313

 

StarTek, Inc.*

 

2,169

 

234

 

Super Micro Computer, Inc.*

 

2,279

 

1,135

 

support.com, Inc.*

 

2,690

 

6,131

 

Sycamore Networks, Inc.*

 

17,351

 

1,388

 

Symmetricom, Inc.*

 

6,093

 

223

 

Symyx Technologies, Inc.*

 

948

 

77

 

Synchronoss Technologies, Inc.*

 

1,038

 

490

 

SYNNEX Corp.*

 

13,872

 

2,222

 

Take-Two Interactive Software, Inc.*

 

24,997

 

1,307

 

Technitrol, Inc.

 

6,613

 

368

 

TechTarget, Inc.*

 

2,153

 

43

 

Techwell, Inc.*

 

501

 

1,412

 

Tekelec*

 

20,079

 

544

 

THQ, Inc.*

 

2,666

 

3,570

 

TIBCO Software, Inc.*

 

30,702

 

266

 

Tier Technologies, Inc., Class B*

 

2,035

 

1,791

 

Trident Microsystems, Inc.*

 

3,385

 

2,039

 

TriQuint Semiconductor, Inc.*

 

11,092

 

1,374

 

TTM Technologies, Inc.*

 

14,248

 

1,271

 

Unisys Corp.*

 

40,786

 

2,661

 

United Online, Inc.

 

18,095

 

3,606

 

Utstarcom, Inc.*

 

6,202

 

185

 

VASCO Data Security International, Inc.*

 

1,217

 

447

 

Veeco Instruments, Inc.*

 

12,208

 

476

 

Virage Logic Corp.*

 

2,666

 

106

 

Virtusa Corp.*

 

930

 

840

 

Web.com Group, Inc.*

 

4,998

 

729

 

White Electronic Designs Corp.*

 

3,142

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

828

 

X-Rite, Inc.*

 

$

1,731

 

404

 

Zoran Corp.*

 

3,693

 

475

 

Zygo Corp.*

 

3,097

 

 

 

 

 

1,473,137

 

 

 

Materials - 5.6%

 

 

 

 

 

 

 

 

 

745

 

A. Schulman, Inc.

 

12,158

 

529

 

A.M. Castle & Co.

 

6,930

 

12

 

AEP Industries, Inc.*

 

453

 

292

 

Allied Nevada Gold Corp.*

 

3,796

 

583

 

AMCOL International Corp.

 

15,887

 

547

 

American Vanguard Corp.

 

4,020

 

668

 

Ampal-American Israel Corp., Class A*

 

2,004

 

672

 

Arch Chemicals, Inc.

 

18,016

 

489

 

Boise, Inc.*

 

2,391

 

644

 

Brush Engineered Materials, Inc.*

 

11,399

 

1,231

 

Buckeye Technologies, Inc.*

 

11,916

 

214

 

Bway Holding Co.*

 

3,407

 

1,445

 

Century Aluminum Co.*

 

14,089

 

988

 

China Precision Steel, Inc.*

 

2,124

 

330

 

Clearwater Paper Corp.*

 

16,213

 

2,400

 

Coeur d’Alene Mines Corp.*

 

54,744

 

73

 

Deltic Timber Corp.

 

2,790

 

1,323

 

Domtar Corp.*

 

74,644

 

1,430

 

Ferro Corp.

 

9,252

 

2,026

 

General Moly, Inc.*

 

4,559

 

306

 

General Steel Holdings, Inc.*

 

1,227

 

1,448

 

Glatfelter

 

16,102

 

3,558

 

Graphic Packaging Holding Co.*

 

9,607

 

1,545

 

H.B. Fuller Co.

 

31,456

 

17

 

Hawkins, Inc.

 

371

 

385

 

Haynes International, Inc.*

 

10,318

 

1,614

 

Headwaters, Inc.*

 

7,602

 

7,536

 

Hecla Mining Co.*

 

49,813

 

1,379

 

Horsehead Holding Corp.*

 

15,472

 

876

 

ICO, Inc.*

 

3,706

 

548

 

Innophos Holdings, Inc.

 

13,574

 

754

 

Innospec, Inc.

 

6,703

 

491

 

Kaiser Aluminum Corp.

 

18,972

 

656

 

KapStone Paper and Packaging Corp.*

 

4,651

 

239

 

Koppers Holdings, Inc.

 

6,752

 

4,000

 

Louisiana-Pacific Corp.*

 

24,960

 

594

 

Minerals Technologies, Inc.

 

31,387

 

1,004

 

Myers Industries, Inc.

 

8,303

 

465

 

Neenah Paper, Inc.

 

6,477

 

23

 

NL Industries, Inc.

 

157

 

2,246

 

Olin Corp.

 

37,665

 

287

 

Olympic Steel, Inc.

 

7,959

 

974

 

OM Group, Inc.*

 

29,834

 

409

 

Paramount Gold and Silver Corp.*

 

532

 

2,416

 

PolyOne Corp.*

 

17,347

 

350

 

Quaker Chemical Corp.

 

6,822

 

154

 

Rock-Tenn Co., Class A

 

6,956

 

1,567

 

Rockwood Holdings, Inc.*

 

35,273

 

959

 

RTI International Metals, Inc.*

 

18,998

 

485

 

Schweitzer-Mauduit International, Inc.

 

29,857

 

1,551

 

Sensient Technologies Corp.

 

39,302

 

898

 

ShengdaTech, Inc.*

 

5,693

 

406

 

Silgan Holdings, Inc.

 

21,749

 

3,788

 

Solutia, Inc.*

 

40,797

 

974

 

Spartech Corp.

 

10,587

 

19

 

Stepan Co.

 

1,192

 

1,128

 

Stillwater Mining Co.*

 

10,739

 

243

 

Sutor Technology Group Ltd.*

 

571

 

752

 

Texas Industries, Inc.

 

26,124

 

1,055

 

U.S. Concrete, Inc.*

 

749

 

2,539

 

U.S. Gold Corp.*

 

7,211

 

14

 

United States Lime & Minerals, Inc.*

 

479

 

216

 

Universal Stainless & Alloy*

 

3,506

 

865

 

Wausau Paper Corp.

 

8,780

 

621

 

Westlake Chemical Corp.

 

16,239

 

164

 

Worthington Industries, Inc.

 

1,920

 

1,619

 

WR Grace & Co.*

 

37,010

 

886

 

Zoltek Cos., Inc.*

 

7,956

 

 

 

 

 

970,249

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

287

 

Atlantic Tele-Network, Inc.

 

13,452

 

5,596

 

Cincinnati Bell, Inc.*

 

16,676

 

358

 

Consolidated Communications Holdings, Inc.

 

5,442

 

576

 

General Communication, Inc., Class A*

 

3,479

 

131

 

Global Crossing Ltd.*

 

1,480

 

874

 

Ibasis, Inc.*

 

2,613

 

889

 

Iowa Telecommunications Services, Inc.

 

14,135

 

43

 

iPCS, Inc.*

 

1,032

 

444

 

Premiere Global Services, Inc.*

 

3,357

 

457

 

SureWest Communications*

 

3,980

 

374

 

Syniverse Holdings, Inc.*

 

5,932

 

71

 

USA Mobility, Inc.

 

709

 

2

 

Windstream Corp.

 

19

 

 

 

 

 

72,306

 

 

 

Utilities - 5.1%

 

 

 

 

 

 

 

 

 

935

 

Allete, Inc.

 

31,266

 

587

 

American States Water Co.

 

19,418

 

196

 

Artesian Resources Corp., Class A

 

3,283

 

1,739

 

Avista Corp.

 

36,189

 

1,238

 

Black Hills Corp.

 

29,180

 

576

 

California Water Service Group

 

21,070

 

371

 

Central Vermont Public Service Corp.

 

7,201

 

503

 

CH Energy Group, Inc.

 

20,311

 

296

 

Chesapeake Utilities Corp.

 

9,277

 

1,924

 

Cleco Corp.

 

49,100

 

255

 

Connecticut Water Service, Inc.

 

5,789

 

310

 

Consolidated Water Co., Ltd.

 

4,061

 

1,430

 

El Paso Electric Co.*

 

28,314

 

1,087

 

Empire District Electric Co. (The)

 

19,718

 

1,501

 

IDACORP, Inc.

 

44,385

 

707

 

Laclede Group, Inc. (The)

 

22,136

 

737

 

MGE Energy, Inc.

 

25,309

 

426

 

Middlesex Water Co.

 

6,884

 

1,127

 

New Jersey Resources Corp.

 

39,704

 

1,439

 

Nicor, Inc.

 

56,351

 

845

 

Northwest Natural Gas Co.

 

36,234

 

1,146

 

NorthWestern Corp.

 

29,555

 

107

 

Pennichuck Corp.

 

2,471

 

2,196

 

Piedmont Natural Gas Co., Inc.

 

52,045

 

2,760

 

PNM Resources, Inc.

 

30,746

 

2,392

 

Portland General Electric Co.

 

46,907

 

412

 

SJW Corp.

 

8,837

 

838

 

South Jersey Industries, Inc.

 

30,218

 

1,425

 

Southwest Gas Corp.

 

37,349

 

785

 

Southwest Water Co.

 

4,631

 

434

 

U.S. Geothermal, Inc.*

 

655

 

935

 

UIL Holdings Corp.

 

25,208

 

1,135

 

Unisource Energy Corp.

 

33,846

 

337

 

Unitil Corp.

 

7,141

 

1,599

 

WGL Holdings, Inc.

 

50,337

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

247

 

York Water Co.

 

$

3,604

 

 

 

 

 

878,730

 

 

 

Total Common Stocks
(Cost $12,071,314)

 

14,116,970

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 8.2%

 

 

 

$

39,704

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $39,704(b)

 

39,704

 

79,407

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $79,407(c)

 

79,407

 

238,222

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $238,225 (d)

 

238,222

 

47,743

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $47,743 (e)

 

47,743

 

83,378

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $83,378(f)

 

83,378

 

158,814

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $158,817 (g)

158,814

 

39,704

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $39,704 (h)

 

39,704

 

238,222

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $238,223 (i)

 

238,222

 

198,518

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $198,519(j)

 

198,518

 

119,111

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $119,111(k)

 

119,111

 

183,284

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $183,285(l)

 

183,284

 

 

 

Total Repurchase Agreements (Cost $1,426,107)

 

1,426,107

 

 

 

Total Investment Securities
(Cost $13,497,421) — 90.0%

 

15,543,077

 

 

 

Other assets less liabilities — 10.0%

 

1,720,621

 

 

 

Net Assets — 100.0%

 

$

17,263,698

 

 

*

Non-income producing security.

^

Security fair valued in accordance with procedures adopted by the Board of Trustees.  At November 30, 2009, the value of these securities amounted to $45 or 0.00% of net assets.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $4,431,293.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $40,498. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $80,995. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $242,987. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $48,698. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $85,046. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $161,991. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $40,498. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $242,987. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $202,489. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $121,494. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $186,950. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

—

 

Aggregate gross unrealized depreciation

 

(1,877,801

)

Net unrealized depreciation

 

$

(1,877,801

)

Federal income tax cost of investments

 

$

17,420,878

 

 

Swap Agreements

 

Ultra Russell2000 Value had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Value Index

 

$

2,970,489

 

$

1,019,165

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index

 

5,820,705

 

(241,241

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index

 

6,513,239

 

1,604,778

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index

 

5,087,434

 

(179,535

)

 

 

 

 

 

 

 

 

 

 

 

$

2,203,167

 

 

See accompanying notes to the financial statements.

 


 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

14,116,925

 

$

45

 

$

14,116,970

 

Repurchase Agreements

 

—

 

1,426,107

 

1,426,107

 

Total Investment Securities

 

14,116,925

 

1,426,152

 

15,543,077

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

2,203,167

 

2,203,167

 

Total Other Financial Instruments

 

—

 

2,203,167

 

2,203,167

 

Total Investments

 

$

14,116,925

 

$

3,629,319

 

$

17,746,244

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Russell2000 Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 85.1%

 

 

 

 

 

Consumer Discretionary - 13.8%

 

 

 

 

 

 

 

 

 

216

 

1-800-Flowers.com, Inc., Class A*

 

$

484

 

1,992

 

99 Cents Only Stores*

 

23,944

 

115

 

AFC Enterprises, Inc.*

 

900

 

908

 

Ambassadors Group, Inc.

 

10,696

 

1,577

 

American Apparel, Inc.*

 

4,668

 

876

 

American Public Education, Inc.*

 

28,058

 

283

 

America’s Car-Mart, Inc.*

 

6,846

 

1,033

 

Amerigon, Inc.*

 

6,849

 

1,236

 

Ameristar Casinos, Inc.

 

21,482

 

1,279

 

Arbitron, Inc.

 

27,537

 

356

 

ArvinMeritor, Inc.*

 

2,887

 

2,630

 

Bally Technologies, Inc.*

 

109,224

 

1,154

 

Bebe Stores, Inc.

 

6,232

 

304

 

Benihana, Inc., Class A*

 

997

 

1,038

 

Big 5 Sporting Goods Corp.

 

16,961

 

945

 

BJ’s Restaurants, Inc.*

 

16,131

 

612

 

Blue Nile, Inc.*

 

34,205

 

23

 

Blyth, Inc.

 

748

 

37

 

Books-A-Million, Inc.

 

262

 

669

 

Bridgepoint Education, Inc.*

 

10,684

 

1,130

 

Buckle, Inc. (The)

 

30,894

 

869

 

Buffalo Wild Wings, Inc.*

 

34,708

 

935

 

California Pizza Kitchen, Inc.*

 

11,744

 

703

 

Capella Education Co.*

 

50,110

 

330

 

Caribou Coffee Co., Inc.*

 

2,779

 

432

 

Carmike Cinemas, Inc.*

 

2,631

 

543

 

Carrols Restaurant Group, Inc.*

 

3,595

 

2,151

 

Carter’s, Inc.*

 

46,784

 

1,338

 

Cato Corp. (The), Class A

 

25,596

 

1,111

 

CEC Entertainment, Inc.*

 

32,397

 

374

 

Charming Shoppes, Inc.*

 

1,803

 

2,903

 

Cheesecake Factory, Inc. (The)*

 

54,663

 

366

 

Cherokee, Inc.

 

6,643

 

1,067

 

Children’s Place Retail Stores, Inc. (The)*

 

34,059

 

209

 

China Automotive Systems, Inc.*

 

4,044

 

1,421

 

ChinaCast Education Corp.*

 

10,018

 

208

 

Christopher & Banks Corp.

 

1,188

 

1,411

 

Cinemark Holdings, Inc.

 

17,849

 

708

 

Citi Trends, Inc.*

 

19,314

 

2,358

 

CKE Restaurants, Inc.

 

19,901

 

2,805

 

CKX, Inc.*

 

15,315

 

1,459

 

Coinstar, Inc.*

 

39,087

 

2,224

 

Coldwater Creek, Inc.*

 

9,430

 

1,348

 

Collective Brands, Inc.*

 

26,070

 

2,847

 

Cooper Tire & Rubber Co.

 

51,018

 

130

 

Core-Mark Holding Co., Inc.*

 

3,910

 

3,868

 

Corinthian Colleges, Inc.*

 

57,324

 

244

 

CPI Corp.

 

2,891

 

805

 

Cracker Barrel Old Country Store, Inc.

 

30,236

 

1,457

 

CROCS, Inc.*

 

7,096

 

184

 

Crown Media Holdings, Inc., Class A*

 

283

 

635

 

Deckers Outdoor Corp.*

 

58,820

 

4,644

 

Denny’s Corp.*

 

10,635

 

228

 

Destination Maternity Corp.*

 

4,036

 

850

 

DineEquity, Inc.*

 

18,113

 

1,447

 

Dolan Media Co.*

 

17,002

 

168

 

Domino’s Pizza, Inc.*

 

1,322

 

86

 

Dorman Products, Inc.*

 

1,272

 

684

 

Dover Downs Gaming & Entertainment, Inc.

 

3,119

 

563

 

Dress Barn, Inc.*

 

12,088

 

537

 

Drew Industries, Inc.*

 

10,391

 

4,195

 

Drugstore.com, Inc.*

 

12,501

 

35

 

DSW, Inc., Class A*

 

817

 

212

 

Einstein Noah Restaurant Group, Inc.*

 

2,105

 

705

 

FGX International Holdings Ltd.*

 

11,632

 

1,115

 

Finish Line (The), Class A

 

9,868

 

2,267

 

Fossil, Inc.*

 

69,937

 

581

 

Fred’s, Inc., Class A

 

5,676

 

15

 

Frisch’s Restaurants, Inc.

 

351

 

662

 

Fuel Systems Solutions, Inc.*

 

31,935

 

592

 

Fuqi International, Inc.*

 

12,977

 

221

 

G-III Apparel Group Ltd.*

 

3,750

 

99

 

Global Sources Ltd.*

 

582

 

762

 

Grand Canyon Education, Inc.*

 

14,608

 

141

 

Great Wolf Resorts, Inc.*

 

343

 

1,119

 

Gymboree Corp.*

 

44,670

 

48

 

Hawk Corp., Class A*

 

782

 

613

 

hhgregg, Inc.*

 

11,862

 

1,379

 

Hibbett Sports, Inc.*

 

26,077

 

1,278

 

HOT Topic, Inc.*

 

7,336

 

1,389

 

Hovnanian Enterprises, Inc., Class A*

 

5,459

 

1,918

 

HSN, Inc.*

 

34,371

 

1,796

 

Interval Leisure Group, Inc.*

 

20,546

 

937

 

iRobot Corp.*

 

13,212

 

751

 

Isle of Capri Casinos, Inc.*

 

5,685

 

2,430

 

J. Crew Group, Inc.*

 

103,980

 

2,757

 

Jack in the Box, Inc.*

 

51,473

 

477

 

Jo-Ann Stores, Inc.*

 

15,913

 

882

 

JoS. A. Bank Clothiers, Inc.*

 

35,994

 

1,142

 

K12, Inc.*

 

20,465

 

600

 

Kirkland’s, Inc.*

 

9,138

 

501

 

Knology, Inc.*

 

4,940

 

2,826

 

Krispy Kreme Doughnuts, Inc.*

 

9,100

 

714

 

K-Swiss, Inc., Class A

 

6,233

 

314

 

Lakes Entertainment, Inc.*

 

804

 

344

 

Leapfrog Enterprises, Inc.*

 

1,032

 

362

 

Learning Tree International, Inc.*

 

3,986

 

171

 

Life Time Fitness, Inc.*

 

3,865

 

469

 

Lincoln Educational Services Corp.*

 

10,374

 

3,190

 

Liz Claiborne, Inc.*

 

13,302

 

665

 

LodgeNet Interactive Corp.*

 

2,986

 

1,964

 

Lululemon Athletica, Inc.*

 

51,398

 

700

 

Lumber Liquidators, Inc.*

 

16,534

 

104

 

M/I Homes, Inc.*

 

1,140

 

100

 

Mac-Gray Corp.*

 

809

 

912

 

Maidenform Brands, Inc.*

 

13,215

 

85

 

Marcus Corp.

 

1,053

 

1,131

 

Martha Stewart Living Omnimedia, Class A*

 

5,203

 

1,472

 

Matthews International Corp., Class A

 

50,990

 

70

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

433

 

665

 

Mediacom Communications Corp., Class A*

 

2,687

 

129

 

Men’s Wearhouse, Inc. (The)

 

2,632

 

676

 

Midas, Inc.*

 

4,928

 

320

 

Monarch Casino & Resort, Inc.*

 

2,394

 

806

 

Monro Muffler Brake, Inc.

 

24,164

 

705

 

Morgans Hotel Group Co.*

 

2,594

 

341

 

Multimedia Games, Inc.*

 

1,872

 

130

 

National CineMedia, Inc.

 

1,899

 

233

 

National Presto Industries, Inc.

 

21,709

 

396

 

NIVS IntelliMedia Technology Group, Inc.*

 

871

 

179

 

Nobel Learning Communities, Inc.*

 

1,396

 

1,482

 

NutriSystem, Inc.

 

36,605

 

2,665

 

OfficeMax, Inc.*

 

28,196

 

772

 

Orbitz Worldwide, Inc.*

 

4,570

 

84

 

Outdoor Channel Holdings, Inc.*

 

493

 

758

 

Overstock.com, Inc.*

 

11,082

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

418

 

Oxford Industries, Inc.

 

$

8,966

 

1,145

 

P.F. Chang’s China Bistro, Inc.*

 

37,350

 

856

 

Papa John’s International, Inc.*

 

18,935

 

551

 

Peet’s Coffee & Tea, Inc.*

 

17,941

 

1,128

 

PetMed Express, Inc.

 

18,522

 

1,550

 

Pinnacle Entertainment, Inc.*

 

16,383

 

1,034

 

Playboy Enterprises, Inc., Class B*

 

4,064

 

1,480

 

Polaris Industries, Inc.

 

64,572

 

1,259

 

Pool Corp.

 

22,738

 

358

 

Pre-Paid Legal Services, Inc.*

 

13,633

 

70

 

Primedia, Inc.

 

220

 

704

 

Princeton Review, Inc.*

 

2,732

 

2,507

 

Raser Technologies, Inc.*

 

2,908

 

1,764

 

RCN Corp.*

 

15,117

 

163

 

Reading International, Inc., Class A*

 

626

 

181

 

Red Robin Gourmet Burgers, Inc.*

 

2,825

 

457

 

Rentrak Corp.*

 

6,832

 

791

 

Ruth’s Hospitality Group, Inc.*

 

1,716

 

1,123

 

Sally Beauty Holdings, Inc.*

 

7,839

 

357

 

Sealy Corp.*

 

957

 

2,591

 

Shuffle Master, Inc.*

 

21,168

 

141

 

Shutterfly, Inc.*

 

2,022

 

2,872

 

Smith & Wesson Holding Corp.*

 

14,188

 

376

 

Sonic Automotive, Inc., Class A

 

3,328

 

2,684

 

Sonic Corp.*

 

25,874

 

2,969

 

Sotheby’s

 

56,322

 

125

 

Sport Supply Group, Inc.

 

1,340

 

528

 

Stamps.com, Inc.*

 

4,704

 

405

 

Standard Motor Products, Inc.*

 

3,641

 

1,157

 

Stein Mart, Inc.*

 

11,882

 

346

 

Steiner Leisure Ltd.*

 

13,684

 

756

 

Steven Madden Ltd.*

 

26,974

 

861

 

Sturm Ruger & Co., Inc.

 

9,264

 

152

 

Systemax, Inc.

 

2,341

 

740

 

Talbots, Inc.*

 

4,891

 

3,619

 

Tempur-Pedic International, Inc.*

 

77,989

 

2,415

 

Texas Roadhouse, Inc.*

 

24,826

 

1,820

 

Ticketmaster Entertainment, Inc.*

 

19,165

 

1,349

 

Timberland Co. (The), Class A*

 

22,528

 

627

 

Town Sports International Holdings, Inc.*

 

1,379

 

1,733

 

Tractor Supply Co.*

 

80,914

 

1,226

 

True Religion Apparel, Inc.*

 

22,607

 

3,025

 

Tupperware Brands Corp.

 

140,814

 

55

 

U.S. Auto Parts Network, Inc.*

 

254

 

1,338

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

21,983

 

1,600

 

Under Armour, Inc., Class A*

 

40,960

 

131

 

Unifirst Corp.

 

5,757

 

490

 

Universal Electronics, Inc.*

 

10,540

 

956

 

Universal Technical Institute, Inc.*

 

18,059

 

433

 

Universal Travel Group*

 

4,533

 

1,903

 

Valassis Communications, Inc.*

 

28,221

 

66

 

Value Line, Inc.

 

1,749

 

912

 

Volcom, Inc.*

 

14,318

 

2,213

 

Warnaco Group, Inc. (The)*

 

90,091

 

4,686

 

Wet Seal, Inc. (The), Class A*

 

13,636

 

337

 

Weyco Group, Inc.

 

7,808

 

181

 

Winnebago Industries*

 

1,964

 

2,376

 

Wolverine World Wide, Inc.

 

60,754

 

709

 

Wonder Auto Technology, Inc.*

 

8,451

 

818

 

World Wrestling Entertainment, Inc., Class A

 

13,145

 

1,449

 

Youbet.com, Inc.*

 

4,231

 

916

 

Zumiez, Inc.*

 

10,012

 

 

 

 

 

3,262,694

 

 

 

Consumer Staples - 3.5%

 

 

 

 

 

 

 

 

 

1,333

 

AgFeed Industries, Inc.*

 

7,105

 

155

 

Alico, Inc.

 

4,032

 

2,921

 

Alliance One International, Inc.*

 

13,933

 

471

 

American Dairy, Inc.*

 

11,709

 

719

 

American Italian Pasta Co., Class A*

 

22,929

 

1,081

 

American Oriental Bioengineering, Inc.*

 

4,335

 

56

 

Arden Group, Inc., Class A

 

5,207

 

397

 

B&G Foods, Inc., Class A

 

3,398

 

3,201

 

Bare Escentuals, Inc.*

 

40,941

 

426

 

Boston Beer Co., Inc., Class A*

 

17,930

 

502

 

Calavo Growers, Inc.

 

8,474

 

655

 

Cal-Maine Foods, Inc.

 

17,973

 

1,501

 

Casey’s General Stores, Inc.

 

45,916

 

883

 

Chattem, Inc.*

 

58,137

 

503

 

China Sky One Medical, Inc.*

 

8,254

 

460

 

China-Biotics, Inc.*

 

6,504

 

202

 

Coca-Cola Bottling Co. Consolidated

 

9,563

 

3,974

 

Darling International, Inc.*

 

28,295

 

624

 

Diamond Foods, Inc.

 

19,269

 

146

 

Diedrich Coffee, Inc.*

 

4,836

 

138

 

Farmer Bros Co.

 

2,405

 

768

 

Female Health Co. (The)*

 

4,193

 

524

 

Hain Celestial Group, Inc. (The)*

 

9,086

 

445

 

HQ Sustainable Maritime Industries, Inc.*

 

3,164

 

128

 

Inter Parfums, Inc.

 

1,509

 

686

 

J&J Snack Foods Corp.

 

24,765

 

926

 

Lancaster Colony Corp.

 

44,189

 

1,341

 

Lance, Inc.

 

32,653

 

233

 

Lifeway Foods, Inc.*

 

2,633

 

625

 

Medifast, Inc.*

 

16,862

 

265

 

National Beverage Corp.*

 

2,849

 

2,388

 

Nu Skin Enterprises, Inc., Class A

 

63,951

 

34

 

Nutraceutical International Corp.*

 

406

 

262

 

Orchids Paper Products Co.*

 

4,847

 

764

 

Overhill Farms, Inc.*

 

4,401

 

127

 

Pantry, Inc. (The)*

 

1,877

 

770

 

Pricesmart, Inc.

 

14,468

 

445

 

Revlon, Inc., Class A*

 

8,054

 

372

 

Ruddick Corp.

 

9,903

 

982

 

Sanderson Farms, Inc.

 

39,447

 

74

 

Schiff Nutrition International, Inc.

 

431

 

2,341

 

Smart Balance, Inc.*

 

12,618

 

3,881

 

Star Scientific, Inc.*

 

2,173

 

56

 

Susser Holdings Corp.*

 

594

 

869

 

Synutra International, Inc.*

 

10,602

 

1,167

 

Tootsie Roll Industries, Inc.

 

29,665

 

2,074

 

United Natural Foods, Inc.*

 

52,286

 

88

 

Universal Corp.

 

3,776

 

304

 

USANA Health Sciences, Inc.*

 

9,755

 

1,874

 

Vector Group Ltd.

 

26,067

 

283

 

Village Super Market, Inc., Class A

 

8,552

 

554

 

WD-40 Co.

 

17,811

 

100

 

Weis Markets, Inc.

 

3,478

 

1,162

 

Zhongpin, Inc.*

 

15,815

 

 

 

 

 

824,025

 

 

 

Energy - 3.5%

 

 

 

 

 

 

 

 

 

37

 

Alon USA Energy, Inc.

 

266

 

440

 

Apco Oil and Gas International, Inc.

 

9,667

 

196

 

Approach Resources, Inc.*

 

1,372

 

1,845

 

Arena Resources, Inc.*

 

75,442

 

1,578

 

Atlas Energy, Inc.

 

40,555

 

399

 

ATP Oil & Gas Corp.*

 

6,364

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

140

 

Bolt Technology Corp.*

 

$

1,533

 

3,569

 

BPZ Resources, Inc.*

 

25,982

 

2,188

 

Brigham Exploration Co.*

 

22,843

 

503

 

Cal Dive International, Inc.*

 

3,652

 

856

 

CARBO Ceramics, Inc.

 

50,778

 

1,349

 

Carrizo Oil & Gas, Inc.*

 

28,396

 

870

 

Cheniere Energy, Inc.*

 

1,653

 

1,720

 

Clean Energy Fuels Corp.*

 

20,124

 

553

 

Contango Oil & Gas Co.*

 

24,542

 

274

 

CREDO Petroleum Corp.*

 

2,606

 

420

 

Cubic Energy, Inc.*

 

483

 

84

 

CVR Energy, Inc.*

 

616

 

4,562

 

Delta Petroleum Corp.*

 

4,151

 

1,404

 

Dril-Quip, Inc.*

 

75,830

 

5,187

 

Endeavour International Corp.*

 

4,928

 

844

 

ENGlobal Corp.*

 

2,532

 

6,300

 

Evergreen Energy, Inc.*

 

1,903

 

2,053

 

FX Energy, Inc.*

 

5,071

 

189

 

Geokinetics, Inc.*

 

1,939

 

775

 

GMX Resources, Inc.*

 

9,052

 

999

 

Golar LNG Ltd.

 

12,557

 

36

 

Gulf Island Fabrication, Inc.

 

792

 

577

 

Gulfmark Offshore, Inc.*

 

15,729

 

1,194

 

Gulfport Energy Corp.*

 

11,355

 

586

 

Hercules Offshore, Inc.*

 

2,994

 

386

 

ION Geophysical Corp.*

 

2,100

 

52

 

Isramco, Inc.*

 

3,648

 

1,334

 

James River Coal Co.*

 

24,452

 

635

 

Lufkin Industries, Inc.

 

38,208

 

375

 

Matrix Service Co.*

 

3,210

 

3,669

 

McMoRan Exploration Co.*

 

26,637

 

55

 

Natural Gas Services Group, Inc.*

 

962

 

1,464

 

Northern Oil and Gas, Inc.*

 

13,396

 

347

 

Panhandle Oil and Gas, Inc., Class A

 

7,211

 

341

 

PHI, Inc. (Non-Voting)*

 

6,053

 

443

 

Pioneer Drilling Co.*

 

2,684

 

25

 

PrimeEnergy Corp.*

 

857

 

892

 

Rex Energy Corp.*

 

8,073

 

1,359

 

RPC, Inc.

 

13,128

 

1,296

 

Ship Finance International Ltd.

 

16,900

 

3,283

 

Sulphco, Inc.*

 

2,626

 

3,048

 

Syntroleum Corp.*

 

6,401

 

508

 

Teekay Tankers Ltd., Class A

 

4,049

 

1,946

 

Tetra Technologies, Inc.*

 

20,160

 

491

 

TGC Industries, Inc.*

 

1,974

 

972

 

Toreador Resources Corp.*

 

8,019

 

1,795

 

Uranerz Energy Corp.*

 

2,477

 

2,573

 

Uranium Energy Corp.*

 

8,156

 

178

 

Vaalco Energy, Inc.*

 

746

 

279

 

Venoco, Inc.*

 

3,111

 

1,558

 

W&T Offshore, Inc.

 

16,125

 

1,856

 

Warren Resources, Inc.*

 

4,436

 

107

 

Westmoreland Coal Co.*

 

722

 

1,906

 

Willbros Group, Inc.*

 

30,019

 

1,423

 

World Fuel Services Corp.

 

75,675

 

759

 

Zion Oil & Gas, Inc.*

 

4,645

 

 

 

 

 

822,567

 

 

 

Financials - 5.1%

 

 

 

 

 

 

 

 

 

442

 

Acadia Realty Trust (REIT)

 

7,191

 

1,988

 

Advance America Cash Advance Centers, Inc.

 

12,445

 

61

 

Alexander’s, Inc. (REIT)*

 

16,992

 

46

 

American Safety Insurance Holdings Ltd.*

 

691

 

142

 

Ames National Corp.

 

2,745

 

150

 

Amtrust Financial Services, Inc.

 

1,793

 

279

 

Arrow Financial Corp.

 

7,053

 

285

 

Asset Acceptance Capital Corp.*

 

1,664

 

89

 

Associated Estates Realty Corp. (REIT)

 

879

 

625

 

Assured Guaranty Ltd.

 

14,175

 

196

 

Bank of Marin Bancorp

 

6,370

 

42

 

Bank of the Ozarks, Inc.

 

1,116

 

1,050

 

BGC Partners, Inc., Class A

 

4,442

 

246

 

Bridge Bancorp, Inc.

 

5,186

 

2,512

 

Broadpoint Gleacher Securities, Inc.*

 

13,615

 

693

 

Brookline Bancorp, Inc.

 

6,590

 

71

 

Brooklyn Federal Bancorp, Inc.

 

770

 

59

 

Bryn Mawr Bank Corp.

 

887

 

73

 

Calamos Asset Management, Inc., Class A

 

767

 

645

 

Cardinal Financial Corp.

 

5,463

 

489

 

Cardtronics, Inc.*

 

5,403

 

1,116

 

Cathay General Bancorp

 

8,716

 

189

 

Centerstate Banks, Inc.

 

1,559

 

28

 

Cheviot Financial Corp.

 

196

 

46

 

Citizens Holding Co.

 

976

 

1,214

 

Citizens, Inc./TX*

 

7,466

 

69

 

City Holding Co.

 

2,251

 

46

 

Clifton Savings Bancorp, Inc.

 

409

 

198

 

CNB Financial Corp./PA

 

3,210

 

389

 

Cohen & Steers, Inc.

 

7,445

 

370

 

CompuCredit Holdings Corp.*

 

858

 

139

 

Cowen Group, Inc., Class A*

 

916

 

803

 

Crawford & Co., Class B*

 

3,084

 

268

 

Credit Acceptance Corp.*

 

9,270

 

68

 

Cypress Sharpridge Investments, Inc. (REIT)

 

891

 

69

 

Danvers Bancorp, Inc.

 

932

 

95

 

Diamond Hill Investment Group, Inc.

 

5,714

 

993

 

Dollar Financial Corp.*

 

24,249

 

782

 

Duff & Phelps Corp., Class A

 

13,271

 

676

 

DuPont Fabros Technology, Inc. (REIT)*

 

10,836

 

739

 

EastGroup Properties, Inc. (REIT)

 

28,023

 

1,194

 

eHealth, Inc.*

 

15,844

 

261

 

Enterprise Financial Services Corp.

 

2,002

 

536

 

Epoch Holding Corp.

 

5,146

 

759

 

Equity Lifestyle Properties, Inc. (REIT)

 

36,440

 

148

 

Evercore Partners, Inc., Class A

 

4,589

 

2,184

 

Ezcorp, Inc., Class A*

 

32,258

 

262

 

FBL Financial Group, Inc., Class A

 

4,619

 

79

 

FBR Capital Markets Corp.*

 

495

 

451

 

Financial Federal Corp.

 

12,222

 

1,111

 

First Cash Financial Services, Inc.*

 

21,220

 

542

 

First Financial Bankshares, Inc.

 

28,065

 

331

 

First Mercury Financial Corp.

 

4,290

 

41

 

First of Long Island Corp. (The)

 

986

 

203

 

GAMCO Investors, Inc., Class A

 

9,324

 

334

 

Getty Realty Corp. (REIT)

 

7,592

 

3,136

 

GFI Group, Inc.

 

15,241

 

47

 

Government Properties Income Trust (REIT)

 

1,174

 

109

 

Great Southern Bancorp, Inc.

 

2,450

 

53

 

Hallmark Financial Services*

 

408

 

182

 

Hancock Holding Co.

 

7,535

 

20

 

Heritage Financial Group

 

139

 

201

 

International Assets Holding Corp.*

 

3,319

 

35

 

Invesco Mortgage Capital, Inc. (REIT)

 

742

 

193

 

Investors Bancorp, Inc.*

 

2,127

 

214

 

Investors Real Estate Trust (REIT)

 

1,885

 

69

 

JMP Group, Inc.

 

621

 

782

 

KBW, Inc.*

 

19,229

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

172

 

Kearny Financial Corp.

 

$

1,694

 

23

 

Kentucky First Federal Bancorp

 

277

 

2,281

 

Knight Capital Group, Inc., Class A*

 

33,394

 

98

 

Kohlberg Capital Corp.

 

470

 

356

 

Life Partners Holdings, Inc.

 

6,625

 

118

 

LTC Properties, Inc. (REIT)

 

3,034

 

215

 

Main Street Capital Corp.

 

3,051

 

1,534

 

MarketAxess Holdings, Inc.

 

19,098

 

105

 

Metro Bancorp, Inc.*

 

1,120

 

1,393

 

MF Global Ltd.*

 

8,762

 

680

 

Mid-America Apartment Communities, Inc. (REIT)

 

31,627

 

542

 

Nara Bancorp, Inc.

 

5,480

 

65

 

National Health Investors, Inc. (REIT)

 

2,144

 

281

 

Nelnet, Inc., Class A

 

4,881

 

357

 

NewStar Financial, Inc.*

 

1,178

 

738

 

Omega Healthcare Investors, Inc. (REIT)

 

13,350

 

2,042

 

optionsXpress Holdings, Inc.

 

31,243

 

386

 

Oritani Financial Corp.

 

5,026

 

118

 

Orrstown Financial Services, Inc.

 

3,900

 

31

 

Park National Corp.

 

1,854

 

66

 

Peapack Gladstone Financial Corp.

 

764

 

106

 

Penns Woods Bancorp, Inc.

 

3,344

 

62

 

PennyMac Mortgage Investment Trust (REIT)*

 

1,099

 

594

 

Penson Worldwide, Inc.*

 

5,328

 

593

 

Phoenix Cos, Inc. (The)*

 

1,471

 

428

 

Pico Holdings, Inc.*

 

12,814

 

740

 

Portfolio Recovery Associates, Inc.*

 

33,322

 

1,008

 

Potlatch Corp. (REIT)

 

29,676

 

1,102

 

PrivateBancorp, Inc.

 

10,899

 

150

 

Prudential Bancorp, Inc. of Pennsylvania

 

1,478

 

281

 

PS Business Parks, Inc. (REIT)

 

13,359

 

372

 

Pzena Investment Management, Inc., Class A*

 

2,652

 

165

 

QC Holdings, Inc.

 

891

 

482

 

Redwood Trust, Inc. (REIT)

 

6,926

 

43

 

Republic Bancorp, Inc./KY, Class A

 

811

 

103

 

Rewards Network, Inc.

 

1,179

 

1,063

 

Riskmetrics Group, Inc.*

 

15,871

 

377

 

RLI Corp.

 

19,012

 

165

 

Roma Financial Corp.

 

1,982

 

367

 

Safeguard Scientifics, Inc.*

 

3,391

 

78

 

Safety Insurance Group, Inc.

 

2,778

 

191

 

Saul Centers, Inc. (REIT)

 

5,894

 

1,586

 

Signature Bank/NY*

 

49,134

 

142

 

Southside Bancshares, Inc.

 

2,911

 

172

 

Starwood Property Trust, Inc. (REIT)

 

3,337

 

1,454

 

Stifel Financial Corp.*

 

78,109

 

316

 

Suffolk Bancorp

 

8,510

 

152

 

SVB Financial Group*

 

5,755

 

69

 

SWS Group, Inc.

 

858

 

222

 

SY Bancorp, Inc.

 

4,844

 

1,023

 

Tanger Factory Outlet Centers (REIT)

 

40,153

 

523

 

Tejon Ranch Co.*

 

13,917

 

65

 

Territorial Bancorp, Inc.*

 

1,104

 

1

 

Teton Advisors, Inc., Class A^

 

23

 

160

 

Texas Capital Bancshares, Inc.*

 

2,323

 

103

 

Thomas Weisel Partners Group, Inc.*

 

464

 

149

 

Tompkins Financial Corp.

 

5,945

 

1,735

 

Tower Group, Inc.

 

42,820

 

414

 

TradeStation Group, Inc.*

 

3,047

 

1,385

 

TrustCo Bank Corp. NY

 

8,532

 

542

 

U.S. Global Investors, Inc., Class A

 

6,970

 

100

 

UMH Properties, Inc. (REIT)

 

770

 

133

 

United Financial Bancorp, Inc.

 

1,708

 

285

 

Universal Health Realty Income Trust (REIT)

 

8,744

 

398

 

Universal Insurance Holdings, Inc.

 

2,177

 

492

 

ViewPoint Financial Group

 

6,435

 

313

 

Washington Real Estate Investment Trust (REIT)

 

8,169

 

797

 

Westamerica Bancorp.

 

42,400

 

243

 

Westwood Holdings Group, Inc.

 

8,449

 

59

 

Wilshire Bancorp, Inc.

 

414

 

 

 

 

 

1,197,642

 

 

 

Health Care - 20.5%

 

 

 

 

 

 

 

 

 

1,060

 

Abaxis, Inc.*

 

23,818

 

1,487

 

Abiomed, Inc.*

 

12,580

 

1,319

 

Accelrys, Inc.*

 

6,912

 

1,917

 

Accuray, Inc.*

 

9,911

 

1,836

 

Acorda Therapeutics, Inc.*

 

44,211

 

395

 

Acura Pharmaceuticals, Inc.*

 

1,663

 

1,203

 

Adolor Corp.*

 

1,817

 

668

 

Affymax, Inc.*

 

13,614

 

2,959

 

Affymetrix, Inc.*

 

14,026

 

524

 

Air Methods Corp.*

 

18,062

 

2,723

 

Akorn, Inc.*

 

4,411

 

2,818

 

Align Technology, Inc.*

 

46,102

 

4,566

 

Alkermes, Inc.*

 

41,003

 

1,169

 

Alliance HealthCare Services, Inc.*

 

6,920

 

360

 

Allied Healthcare International, Inc.*

 

1,066

 

55

 

Allion Healthcare, Inc.*

 

357

 

3,488

 

Allos Therapeutics, Inc.*

 

22,567

 

345

 

Almost Family, Inc.*

 

12,465

 

1,742

 

Alnylam Pharmaceuticals, Inc.*

 

29,283

 

1,593

 

Alphatec Holdings, Inc.*

 

7,232

 

821

 

AMAG Pharmaceuticals, Inc.*

 

30,697

 

1,246

 

Amedisys, Inc.*

 

46,152

 

398

 

America Service Group, Inc.

 

5,839

 

513

 

American Caresource Holdings, Inc.*

 

1,026

 

263

 

American Dental Partners, Inc.*

 

3,209

 

3,567

 

American Medical Systems Holdings, Inc.*

 

62,672

 

2,557

 

AMERIGROUP Corp.*

 

60,626

 

1,279

 

AMICAS, Inc.*

 

5,819

 

731

 

Amicus Therapeutics, Inc.*

 

2,456

 

1,575

 

AMN Healthcare Services, Inc.*

 

12,584

 

400

 

Analogic Corp.

 

16,204

 

335

 

Angiodynamics, Inc.*

 

5,209

 

689

 

Ardea Biosciences, Inc.*

 

9,274

 

4,476

 

Arena Pharmaceuticals, Inc.*

 

16,248

 

5,256

 

Ariad Pharmaceuticals, Inc.*

 

11,879

 

1,078

 

Arqule, Inc.*

 

3,870

 

2,324

 

Array Biopharma, Inc.*

 

3,997

 

1,006

 

ARYx Therapeutics, Inc.*

 

2,505

 

1,617

 

athenahealth, Inc.*

 

67,752

 

73

 

Atrion Corp.

 

9,892

 

2,288

 

ATS Medical, Inc.*

 

6,750

 

2,235

 

Auxilium Pharmaceuticals, Inc.*

 

77,934

 

2,933

 

AVANIR Pharmaceuticals, Inc., Class A*

 

4,898

 

4,635

 

AVI BioPharma, Inc.*

 

6,582

 

1,036

 

BioCryst Pharmaceuticals, Inc.*

 

8,402

 

684

 

Biodel, Inc.*

 

2,586

 

490

 

BioDelivery Sciences International, Inc.*

 

1,886

 

658

 

BioMimetic Therapeutics, Inc.*

 

7,008

 

572

 

Bio-Reference Labs, Inc.*

 

18,762

 

1,875

 

BioScrip, Inc.*

 

14,100

 

174

 

Biospecifics Technologies Corp.*

 

5,083

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

1,427

 

BMP Sunstone Corp.*

 

$

5,808

 

821

 

Bovie Medical Corp.*

 

6,486

 

2,361

 

Bruker Corp.*

 

26,750

 

1,188

 

Cadence Pharmaceuticals, Inc.*

 

10,205

 

1,306

 

Cambrex Corp.*

 

6,909

 

436

 

Cantel Medical Corp.*

 

7,804

 

189

 

Caraco Pharmaceutical Laboratories Ltd.*

 

779

 

110

 

Cardiac Science Corp.*

 

247

 

1,148

 

CardioNet, Inc.*

 

5,591

 

459

 

Cardiovascular Systems, Inc.*

 

2,309

 

2,206

 

Cardium Therapeutics, Inc.*

 

1,279

 

1,773

 

Catalyst Health Solutions, Inc.*

 

60,300

 

807

 

Celera Corp.*

 

5,036

 

25,902

 

Cell Therapeutics, Inc.*

 

26,679

 

1,210

 

Celldex Therapeutics, Inc.*

 

5,469

 

1,128

 

Centene Corp.*

 

21,229

 

2,799

 

Cepheid, Inc.*

 

34,652

 

1,269

 

Chelsea Therapeutics International, Inc.*

 

2,804

 

1,089

 

Chemed Corp.

 

49,201

 

589

 

Chindex International, Inc.*

 

8,058

 

1,443

 

Clarient, Inc.*

 

3,680

 

555

 

Clinical Data, Inc.*

 

8,664

 

472

 

Computer Programs & Systems, Inc.

 

21,802

 

1,473

 

Conceptus, Inc.*

 

24,938

 

1,213

 

Continucare Corp.*

 

3,772

 

316

 

Cornerstone Therapeutics, Inc.*

 

1,687

 

358

 

Corvel Corp.*

 

10,701

 

136

 

Cross Country Healthcare, Inc.*

 

1,157

 

1,253

 

CryoLife, Inc.*

 

7,167

 

2,786

 

Cubist Pharmaceuticals, Inc.*

 

46,470

 

314

 

Cumberland Pharmaceuticals, Inc.*

 

4,506

 

3,074

 

Curis, Inc.*

 

8,023

 

181

 

Cutera, Inc.*

 

1,633

 

1,320

 

Cyberonics, Inc.*

 

23,760

 

1,839

 

Cypress Bioscience, Inc.*

 

9,747

 

2,113

 

Cytokinetics, Inc.*

 

6,550

 

1,411

 

Cytori Therapeutics, Inc.*

 

8,254

 

1,095

 

Delcath Systems, Inc.*

 

5,497

 

2,476

 

Depomed, Inc.*

 

8,097

 

2,217

 

DexCom, Inc.*

 

16,073

 

853

 

Dionex Corp.*

 

59,804

 

5,784

 

Discovery Laboratories, Inc.*

 

4,338

 

3,971

 

Durect Corp.*

 

8,935

 

3,472

 

Dyax Corp.*

 

12,951

 

2,713

 

Eclipsys Corp.*

 

49,756

 

970

 

Electro-Optical Sciences, Inc.*

 

10,185

 

482

 

Emergency Medical Services Corp., Class A*

 

23,256

 

789

 

Emergent Biosolutions, Inc.*

 

11,330

 

955

 

Emeritus Corp.*

 

14,936

 

2,332

 

Endologix, Inc.*

 

9,888

 

533

 

Ensign Group, Inc. (The)

 

7,371

 

886

 

EnteroMedics, Inc.*

 

452

 

1,183

 

Enzo Biochem, Inc.*

 

6,128

 

2,188

 

Enzon Pharmaceuticals, Inc.*

 

21,245

 

2,057

 

eResearchTechnology, Inc.*

 

12,136

 

393

 

Exactech, Inc.*

 

6,209

 

5,142

 

Exelixis, Inc.*

 

35,171

 

212

 

Facet Biotech Corp.*

 

3,481

 

679

 

Genomic Health, Inc.*

 

12,908

 

813

 

Genoptix, Inc.*

 

29,471

 

546

 

Gentiva Health Services, Inc.*

 

12,913

 

2,152

 

Geron Corp.*

 

11,169

 

802

 

Greatbatch, Inc.*

 

14,749

 

923

 

GTx, Inc.*

 

3,600

 

1,238

 

Haemonetics Corp.*

 

66,084

 

3,270

 

Halozyme Therapeutics, Inc.*

 

17,854

 

227

 

Hanger Orthopedic Group, Inc.*

 

3,028

 

987

 

Hansen Medical, Inc.*

 

2,527

 

1,125

 

Harvard Bioscience, Inc.*

 

4,016

 

1,149

 

Health Grades, Inc.*

 

5,021

 

4,266

 

HealthSouth Corp.*

 

74,826

 

85

 

Healthways, Inc.*

 

1,459

 

262

 

HeartWare International, Inc.*

 

8,232

 

5,677

 

Hemispherx Biopharma, Inc.*

 

6,812

 

95

 

Hi-Tech Pharmacal Co., Inc.*

 

1,781

 

1,249

 

HMS Holdings Corp.*

 

55,218

 

164

 

Home Diagnostics, Inc.*

 

946

 

7,864

 

Human Genome Sciences, Inc.*

 

218,776

 

616

 

ICU Medical, Inc.*

 

20,328

 

1,505

 

Idenix Pharmaceuticals, Inc.*

 

2,814

 

1,045

 

Idera Pharmaceuticals, Inc.*

 

5,152

 

3,405

 

Immucor, Inc.*

 

62,822

 

2,756

 

Immunogen, Inc.*

 

21,717

 

3,156

 

Immunomedics, Inc.*

 

9,784

 

2,929

 

Impax Laboratories, Inc.*

 

33,391

 

4,203

 

Incyte Corp.*

 

35,011

 

398

 

Infinity Pharmaceuticals, Inc.*

 

2,408

 

6,040

 

Insmed, Inc.*

 

4,651

 

2,965

 

Inspire Pharmaceuticals, Inc.*

 

17,256

 

1,392

 

Insulet Corp.*

 

17,066

 

910

 

Integra LifeSciences Holdings Corp.*

 

29,793

 

1,844

 

InterMune, Inc.*

 

19,805

 

604

 

Invacare Corp.

 

15,040

 

541

 

inVentiv Health, Inc.*

 

8,569

 

778

 

IPC The Hospitalist Co., Inc.*

 

24,476

 

866

 

IRIS International, Inc.*

 

9,699

 

4,501

 

Isis Pharmaceuticals, Inc.*

 

48,206

 

1,606

 

ISTA Pharmaceuticals, Inc.*

 

6,858

 

2,426

 

Javelin Pharmaceuticals, Inc.*

 

3,518

 

150

 

Kendle International, Inc.*

 

2,246

 

398

 

Kensey Nash Corp.*

 

9,269

 

945

 

KV Pharmaceutical Co., Class A*

 

3,175

 

273

 

Landauer, Inc.

 

15,528

 

489

 

Lannett Co., Inc.*

 

2,885

 

508

 

LCA-Vision, Inc.*

 

2,799

 

2,702

 

Lexicon Pharmaceuticals, Inc.*

 

4,215

 

732

 

LHC Group, Inc.*

 

22,524

 

5,473

 

Ligand Pharmaceuticals, Inc., Class B*

 

10,837

 

1,999

 

Luminex Corp.*

 

27,386

 

837

 

MAKO Surgical Corp.*

 

7,131

 

2,793

 

MannKind Corp.*

 

20,277

 

437

 

MAP Pharmaceuticals, Inc.*

 

3,955

 

286

 

Martek Biosciences Corp.*

 

4,976

 

2,451

 

Masimo Corp.*

 

64,608

 

458

 

Matrixx Initiatives, Inc.*

 

1,919

 

1,025

 

Maxygen, Inc.*

 

5,576

 

1,907

 

MedAssets, Inc.*

 

44,509

 

543

 

Medical Action Industries, Inc.*

 

6,929

 

1,799

 

Medicines Co. (The)*

 

14,104

 

384

 

Medicis Pharmaceutical Corp., Class A

 

9,059

 

284

 

Medidata Solutions, Inc.*

 

4,814

 

1,387

 

Medivation, Inc.*

 

42,581

 

1,330

 

Merge Healthcare, Inc.*

 

4,070

 

1,959

 

Meridian Bioscience, Inc.

 

40,571

 

1,347

 

Merit Medical Systems, Inc.*

 

22,199

 

936

 

Metabolix, Inc.*

 

10,455

 

1,951

 

Metropolitan Health Networks, Inc.*

 

3,863

 

2,772

 

Micromet, Inc.*

 

18,933

 

760

 

Micrus Endovascular Corp.*

 

9,994

 

1,760

 

MiddleBrook Pharmaceuticals, Inc.*

 

1,109

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

821

 

Molecular Insight Pharmaceuticals, Inc.*

 

$

2,709

 

1,898

 

Momenta Pharmaceuticals, Inc.*

 

18,885

 

522

 

MWI Veterinary Supply, Inc.*

 

19,361

 

1,067

 

Myriad Pharmaceuticals, Inc.*

 

5,346

 

1,808

 

Nabi Biopharmaceuticals*

 

8,932

 

618

 

Nanosphere, Inc.*

 

3,646

 

170

 

National Healthcare Corp.

 

5,952

 

79

 

National Research Corp.

 

1,691

 

1,004

 

Natus Medical, Inc.*

 

13,373

 

4,471

 

Nektar Therapeutics*

 

38,942

 

638

 

Neogen Corp.*

 

20,761

 

1,885

 

Neurocrine Biosciences, Inc.*

 

3,827

 

500

 

NeurogesX, Inc.*

 

4,005

 

578

 

NovaMed, Inc.*

 

2,196

 

3,225

 

Novavax, Inc.*

 

9,675

 

2,296

 

NPS Pharmaceuticals, Inc.*

 

7,232

 

1,763

 

NuVasive, Inc.*

 

57,209

 

1,110

 

NxStage Medical, Inc.*

 

7,515

 

833

 

Obagi Medical Products, Inc.*

 

9,380

 

792

 

Odyssey HealthCare, Inc.*

 

11,508

 

1,306

 

Omnicell, Inc.*

 

13,321

 

212

 

OncoGenex Pharmaceutical, Inc.*

 

6,686

 

2,980

 

Onyx Pharmaceuticals, Inc.*

 

85,258

 

2,113

 

Opko Health, Inc.*

 

3,698

 

1,383

 

Optimer Pharmaceuticals, Inc.*

 

15,185

 

2,073

 

OraSure Technologies, Inc.*

 

7,960

 

1,284

 

Orexigen Therapeutics, Inc.*

 

8,564

 

826

 

Orthofix International N.V.*

 

24,986

 

3,195

 

Orthovita, Inc.*

 

11,534

 

811

 

Osiris Therapeutics, Inc.*

 

5,466

 

1,609

 

Owens & Minor, Inc.

 

62,413

 

1,781

 

OXiGENE, Inc.*

 

2,066

 

1,680

 

Pain Therapeutics, Inc.*

 

8,635

 

636

 

Palomar Medical Technologies, Inc.*

 

5,819

 

2,780

 

Parexel International Corp.*

 

33,388

 

5,775

 

PDL BioPharma, Inc.

 

37,537

 

1,010

 

Pharmasset, Inc.*

 

20,190

 

1,471

 

PharMerica Corp.*

 

22,139

 

2,082

 

Phase Forward, Inc.*

 

31,771

 

1,112

 

Poniard Pharmaceuticals, Inc.*

 

2,346

 

1,264

 

Pozen, Inc.*

 

8,924

 

977

 

Progenics Pharmaceuticals, Inc.*

 

3,781

 

1,670

 

Protalix BioTherapeutics, Inc.*

 

16,466

 

511

 

Providence Service Corp. (The)*

 

7,144

 

2,867

 

PSS World Medical, Inc.*

 

55,476

 

1,843

 

Psychiatric Solutions, Inc.*

 

40,841

 

1,140

 

Quality Systems, Inc.

 

67,819

 

2,775

 

Questcor Pharmaceuticals, Inc.*

 

11,932

 

1,246

 

Quidel Corp.*

 

15,662

 

1,292

 

RadNet, Inc.*

 

2,868

 

3,044

 

Regeneron Pharmaceuticals, Inc.*

 

55,857

 

702

 

RehabCare Group, Inc.*

 

19,775

 

1,485

 

Repligen Corp.*

 

6,980

 

606

 

Repros Therapeutics, Inc.*

 

427

 

2,406

 

Rigel Pharmaceuticals, Inc.*

 

18,213

 

483

 

Rochester Medical Corp.*

 

5,299

 

823

 

Rockwell Medical Technologies, Inc.*

 

5,111

 

945

 

RTI Biologics, Inc.*

 

3,856

 

2,329

 

Salix Pharmaceuticals Ltd.*

 

53,101

 

2,139

 

Sangamo Biosciences, Inc.*

 

11,572

 

2,506

 

Santarus, Inc.*

 

9,999

 

3,220

 

Savient Pharmaceuticals, Inc.*

 

43,245

 

1,726

 

Sciclone Pharmaceuticals, Inc.*

 

3,694

 

4,021

 

Seattle Genetics, Inc.*

 

37,315

 

2,953

 

Sequenom, Inc.*

 

12,107

 

1,253

 

SIGA Technologies, Inc.*

 

11,340

 

820

 

Sirona Dental Systems, Inc.*

 

23,862

 

583

 

Somanetics Corp.*

 

8,354

 

828

 

SonoSite, Inc.*

 

18,705

 

1,556

 

Spectranetics Corp.*

 

8,698

 

2,087

 

Spectrum Pharmaceuticals, Inc.*

 

9,183

 

4,988

 

StemCells, Inc.*

 

5,188

 

1,492

 

Stereotaxis, Inc.*

 

5,565

 

2,826

 

STERIS Corp.

 

91,308

 

521

 

Sucampo Pharmaceuticals, Inc., Class A*

 

1,725

 

1,826

 

SuperGen, Inc.*

 

4,784

 

745

 

SurModics, Inc.*

 

16,651

 

382

 

Symmetry Medical, Inc.*

 

3,064

 

557

 

Synovis Life Technologies, Inc.*

 

6,773

 

792

 

Synta Pharmaceuticals Corp.*

 

3,152

 

2,575

 

Theravance, Inc.*

 

33,887

 

2,728

 

Thoratec Corp.*

 

81,267

 

1,059

 

TomoTherapy, Inc.*

 

3,622

 

635

 

TranS1, Inc.*

 

2,127

 

304

 

Transcend Services, Inc.*

 

5,600

 

49

 

Triple-S Management Corp., Class B*

 

787

 

257

 

U.S. Physical Therapy, Inc.*

 

3,755

 

155

 

Utah Medical Products, Inc.

 

4,554

 

1,286

 

Vanda Pharmaceuticals, Inc.*

 

13,580

 

320

 

Varian, Inc.*

 

16,381

 

781

 

Vascular Solutions, Inc.*

 

6,350

 

2,061

 

Vical, Inc.*

 

5,894

 

750

 

Viropharma, Inc.*

 

5,670

 

306

 

Virtual Radiologic Corp.*

 

4,006

 

480

 

Vital Images, Inc.*

 

6,067

 

3,882

 

Vivus, Inc.*

 

31,522

 

1,767

 

Volcano Corp.*

 

26,028

 

1,583

 

West Pharmaceutical Services, Inc.

 

61,025

 

1,837

 

Wright Medical Group, Inc.*

 

33,066

 

1,442

 

XenoPort, Inc.*

 

23,750

 

186

 

Young Innovations, Inc.

 

4,509

 

893

 

Zoll Medical Corp.*

 

21,977

 

1,812

 

Zymogenetics, Inc.*

 

11,071

 

 

 

 

 

4,852,934

 

 

 

Industrials - 12.4%

 

 

 

 

 

 

 

 

 

625

 

3D Systems Corp.*

 

6,831

 

604

 

AAON, Inc.

 

11,440

 

160

 

AAR Corp.*

 

2,986

 

500

 

ABM Industries, Inc.

 

9,215

 

1,546

 

Acacia Research - Acacia Technologies*

 

11,672

 

1,513

 

Actuant Corp., Class A

 

24,707

 

1,598

 

Acuity Brands, Inc.

 

51,583

 

1,017

 

Administaff, Inc.

 

22,669

 

2,684

 

Advanced Battery Technologies, Inc.*

 

9,313

 

750

 

Advisory Board Co. (The)*

 

19,650

 

642

 

Aerovironment, Inc.*

 

18,451

 

1,647

 

Air Transport Services Group, Inc.*

 

3,706

 

6,502

 

AirTran Holdings, Inc.*

 

26,788

 

97

 

Alaska Air Group, Inc.*

 

2,900

 

740

 

Allegiant Travel Co.*

 

30,510

 

171

 

Altra Holdings, Inc.*

 

1,924

 

876

 

American Ecology Corp.

 

14,182

 

1,557

 

American Reprographics Co.*

 

8,657

 

438

 

American Science & Engineering, Inc.

 

30,463

 

2,098

 

American Superconductor Corp.*

 

69,654

 

206

 

Ampco-Pittsburgh Corp.

 

6,023

 

1,228

 

APAC Customer Services, Inc.*

 

6,422

 

91

 

Apogee Enterprises, Inc.

 

1,246

 

627

 

Applied Signal Technology, Inc.

 

12,396

 

357

 

Argan, Inc.*

 

4,595

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

556

 

Argon ST, Inc.*

 

$

9,997

 

169

 

Ascent Solar Technologies, Inc.*

 

752

 

370

 

Astronics Corp.*

 

2,916

 

707

 

ATC Technology Corp.*

 

15,568

 

2,869

 

Avis Budget Group, Inc.*

 

27,973

 

586

 

AZZ, Inc.*

 

19,836

 

717

 

Badger Meter, Inc.

 

25,224

 

440

 

Baldor Electric Co.

 

11,330

 

1,804

 

Beacon Roofing Supply, Inc.*

 

27,727

 

605

 

Blount International, Inc.*

 

5,838

 

1,515

 

Broadwind Energy, Inc.*

 

10,832

 

552

 

Builders FirstSource, Inc.*

 

2,103

 

2,117

 

CBIZ, Inc.*

 

14,565

 

68

 

CDI Corp.

 

808

 

870

 

Celadon Group, Inc.*

 

8,326

 

2,588

 

Cenveo, Inc.*

 

19,876

 

1,213

 

Chart Industries, Inc.*

 

20,136

 

35

 

Chase Corp.

 

373

 

675

 

China Fire & Security Group, Inc.*

 

8,539

 

914

 

CLARCOR, Inc.

 

29,129

 

985

 

Clean Harbors, Inc.*

 

52,717

 

326

 

Colfax Corp.*

 

4,049

 

1,648

 

Corporate Executive Board Co. (The)

 

34,542

 

960

 

CoStar Group, Inc.*

 

38,141

 

449

 

CRA International, Inc.*

 

11,167

 

754

 

Cubic Corp.

 

26,254

 

1,343

 

Deluxe Corp.

 

17,325

 

1,081

 

Diamond Management & Technology Consultants, Inc.

 

7,037

 

710

 

DigitalGlobe, Inc.*

 

16,337

 

333

 

Dynamex, Inc.*

 

5,794

 

621

 

Dynamic Materials Corp.

 

11,880

 

170

 

DynCorp International, Inc., Class A*

 

2,377

 

997

 

EMCOR Group, Inc.*

 

23,729

 

2,311

 

Ener1, Inc.*

 

13,542

 

1,866

 

Energy Conversion Devices, Inc.*

 

18,511

 

1,620

 

Energy Recovery, Inc.*

 

9,056

 

338

 

EnergySolutions, Inc.

 

2,900

 

676

 

EnerNOC, Inc.*

 

17,887

 

1,265

 

ESCO Technologies, Inc.*

 

42,251

 

467

 

Esterline Technologies Corp.*

 

18,862

 

4,827

 

Evergreen Solar, Inc.*

 

6,758

 

657

 

Exponent, Inc.*

 

17,732

 

795

 

Flanders Corp.*

 

3,760

 

1,897

 

Flow International Corp.*

 

4,761

 

3,380

 

Force Protection, Inc.*

 

17,441

 

669

 

Forward Air Corp.

 

15,160

 

511

 

Franklin Covey Co.*

 

2,754

 

679

 

Fuel Tech, Inc.*

 

5,819

 

2,885

 

FuelCell Energy, Inc.*

 

8,828

 

1,184

 

Furmanite Corp.*

 

3,884

 

2,436

 

GenCorp, Inc.*

 

19,025

 

1,792

 

Genesee & Wyoming, Inc., Class A*

 

55,767

 

1,983

 

Geo Group, Inc. (The)*

 

39,422

 

850

 

GeoEye, Inc.*

 

26,495

 

438

 

Gorman-Rupp Co. (The)

 

10,906

 

475

 

GP Strategies Corp.*

 

2,888

 

2,255

 

GrafTech International Ltd.*

 

33,171

 

320

 

Graham Corp.

 

5,933

 

222

 

Granite Construction, Inc.

 

6,653

 

1,801

 

Great Lakes Dredge & Dock Corp.

 

10,608

 

1,521

 

GT Solar International, Inc.*

 

7,210

 

728

 

Harbin Electric, Inc.*

 

14,575

 

2,494

 

Hawaiian Holdings, Inc.*

 

15,587

 

2,093

 

Healthcare Services Group, Inc.

 

41,211

 

1,533

 

Heartland Express, Inc.

 

22,612

 

1,116

 

HEICO Corp.

 

41,794

 

123

 

Heritage-Crystal Clean, Inc.*

 

1,273

 

2,601

 

Herman Miller, Inc.

 

39,509

 

4,666

 

Hexcel Corp.*

 

49,226

 

1,066

 

Hill International, Inc.*

 

6,513

 

1,578

 

HNI Corp.

 

39,876

 

376

 

Houston Wire & Cable Co.

 

4,177

 

860

 

HUB Group, Inc., Class A*

 

22,747

 

37

 

Hurco Cos., Inc.*

 

527

 

1,038

 

Huron Consulting Group, Inc.*

 

23,666

 

426

 

ICF International, Inc.*

 

11,502

 

358

 

ICT Group, Inc.*

 

5,717

 

815

 

II-VI, Inc.*

 

23,211

 

983

 

Innerworkings, Inc.*

 

5,053

 

2,345

 

Interface, Inc., Class A

 

18,010

 

1,069

 

Kaman Corp.

 

24,213

 

134

 

Kelly Services, Inc., Class A*

 

1,406

 

2,182

 

Knight Transportation, Inc.

 

37,116

 

2,271

 

Knoll, Inc.

 

22,074

 

131

 

Korn/Ferry International*

 

2,125

 

94

 

K-Tron International, Inc.*

 

9,010

 

474

 

LaBarge, Inc.*

 

5,290

 

563

 

Lindsay Corp.

 

19,756

 

209

 

LMI Aerospace, Inc.*

 

2,226

 

742

 

Marten Transport Ltd.*

 

12,510

 

1,810

 

MasTec, Inc.*

 

23,096

 

159

 

McGrath RentCorp.

 

3,287

 

554

 

Met-Pro Corp.

 

5,041

 

378

 

Michael Baker Corp.*

 

14,383

 

3,680

 

Microvision, Inc.*

 

11,997

 

790

 

Middleby Corp.*

 

35,431

 

1,193

 

Mine Safety Appliances Co.

 

29,515

 

444

 

Mobile Mini, Inc.*

 

6,753

 

453

 

Multi-Color Corp.

 

4,997

 

831

 

MYR Group, Inc.*

 

12,980

 

2,412

 

Navigant Consulting, Inc.*

 

31,959

 

745

 

NCI Building Systems, Inc.*

 

1,386

 

549

 

Nordson Corp.

 

29,432

 

444

 

North American Galvanizing & Coating, Inc.*

 

2,167

 

2,833

 

Odyssey Marine Exploration, Inc.*

 

4,023

 

218

 

Old Dominion Freight Line, Inc.*

 

5,773

 

133

 

Omega Flex, Inc.

 

2,206

 

187

 

On Assignment, Inc.*

 

1,186

 

2,725

 

Orbital Sciences Corp.*

 

34,144

 

1,293

 

Orion Marine Group, Inc.*

 

23,908

 

39

 

Patriot Transportation Holding, Inc.*

 

3,645

 

2,608

 

Perma-Fix Environmental Services*

 

5,998

 

367

 

Pike Electric Corp.*

 

3,362

 

633

 

PMFG, Inc.*

 

9,368

 

346

 

Polypore International, Inc.*

 

4,072

 

163

 

Portec Rail Products, Inc.

 

1,444

 

377

 

Powell Industries, Inc.*

 

13,233

 

360

 

Power-One, Inc.*

 

1,325

 

238

 

PowerSecure International, Inc.*

 

1,964

 

100

 

Preformed Line Products Co.

 

4,045

 

394

 

Primoris Services Corp.

 

2,979

 

1,069

 

Quanex Building Products Corp.

 

17,328

 

773

 

Raven Industries, Inc.

 

20,863

 

995

 

RBC Bearings, Inc.*

 

23,044

 

331

 

Republic Airways Holdings, Inc.*

 

2,254

 

2,174

 

Resources Connection, Inc.*

 

41,893

 

95

 

Robbins & Myers, Inc.

 

2,184

 

2,119

 

Rollins, Inc.

 

37,655

 

2,369

 

RSC Holdings, Inc.*

 

15,067

 

348

 

Rush Enterprises, Inc., Class A*

 

3,748

 

2,879

 

Satcon Technology Corp.*

 

5,758

 

65

 

Sauer-Danfoss, Inc.

 

562

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

319

 

School Specialty, Inc.*

 

$

7,273

 

1,425

 

Simpson Manufacturing Co., Inc.

 

35,425

 

434

 

SmartHeat, Inc.*

 

5,737

 

67

 

Standard Parking Corp.*

 

1,079

 

638

 

Standard Register Co. (The)

 

2,884

 

553

 

Stanley, Inc.*

 

14,754

 

56

 

Sterling Construction Co., Inc.*

 

969

 

246

 

Sun Hydraulics Corp.

 

5,818

 

1,674

 

SYKES Enterprises, Inc.*

 

41,097

 

38

 

TAL International Group, Inc.

 

519

 

2,993

 

Taser International, Inc.*

 

12,660

 

862

 

Team, Inc.*

 

14,137

 

572

 

Teledyne Technologies, Inc.*

 

19,173

 

901

 

Tennant Co.

 

24,525

 

2,908

 

Tetra Tech, Inc.*

 

76,597

 

574

 

Titan Machinery, Inc.*

 

6,446

 

659

 

Trex Co., Inc.*

 

11,816

 

438

 

Trimas Corp.*

 

1,967

 

7,594

 

UAL Corp.*

 

58,929

 

550

 

Ultralife Corp.*

 

2,024

 

263

 

USA Truck, Inc.*

 

2,998

 

2,057

 

Valence Technology, Inc.*

 

2,201

 

109

 

Viad Corp.

 

2,013

 

373

 

Vicor Corp.*

 

3,059

 

157

 

VSE Corp.

 

7,136

 

98

 

Waste Services, Inc.*

 

780

 

1,182

 

Watsco, Inc.

 

59,289

 

1,688

 

Watson Wyatt Worldwide, Inc., Class A

 

69,782

 

2,345

 

Woodward Governor Co.

 

54,545

 

 

 

 

 

2,922,763

 

 

 

Information Technology - 22.7%

 

 

 

 

 

 

 

 

 

15,332

 

3Com Corp.*

 

112,997

 

1,329

 

3PAR, Inc.*

 

13,622

 

1,691

 

ACI Worldwide, Inc.*

 

27,868

 

1,876

 

Acme Packet, Inc.*

 

19,248

 

388

 

Actel Corp.*

 

4,524

 

735

 

ActivIdentity Corp.*

 

1,566

 

2,160

 

Actuate Corp.*

 

8,705

 

2,686

 

Acxiom Corp.*

 

30,996

 

913

 

ADC Telecommunications, Inc.*

 

5,597

 

2,077

 

ADTRAN, Inc.

 

43,887

 

2,073

 

Advanced Analogic Technologies, Inc.*

 

6,634

 

1,252

 

Advanced Energy Industries, Inc.*

 

13,684

 

740

 

Advent Software, Inc.*

 

28,061

 

701

 

Airvana, Inc.*

 

4,255

 

988

 

American Software, Inc., Class A

 

6,047

 

5,279

 

Amkor Technology, Inc.*

 

29,298

 

2,443

 

Anadigics, Inc.*

 

7,524

 

623

 

Anaren, Inc.*

 

8,579

 

219

 

Anixter International, Inc.*

 

9,465

 

3,184

 

Applied Micro Circuits Corp.*

 

23,657

 

889

 

ArcSight, Inc.*

 

20,225

 

4,224

 

Ariba, Inc.*

 

45,788

 

4,513

 

Arris Group, Inc.*

 

45,085

 

6,115

 

Art Technology Group, Inc.*

 

24,705

 

2,846

 

Aruba Networks, Inc.*

 

22,768

 

1,412

 

AsiaInfo Holdings, Inc.*

 

34,721

 

2,952

 

Atheros Communications, Inc.*

 

84,043

 

448

 

ATMI, Inc.*

 

6,966

 

272

 

Avid Technology, Inc.*

 

3,237

 

284

 

Avocent Corp.*

 

7,094

 

359

 

Benchmark Electronics, Inc.*

 

6,473

 

1,714

 

BigBand Networks, Inc.*

 

6,153

 

2,117

 

Blackbaud, Inc.

 

47,124

 

1,530

 

Blackboard, Inc.*

 

63,847

 

1,907

 

Blue Coat Systems, Inc.*

 

50,402

 

1,212

 

Bottomline Technologies, Inc.*

 

19,501

 

2,418

 

Brightpoint, Inc.*

 

17,361

 

120

 

Cabot Microelectronics Corp.*

 

3,671

 

165

 

CACI International, Inc., Class A*

 

7,659

 

659

 

Callidus Software, Inc.*

 

1,825

 

396

 

Cass Information Systems, Inc.

 

11,151

 

1,753

 

Cavium Networks, Inc.*

 

35,358

 

810

 

Ceva, Inc.*

 

9,428

 

451

 

Checkpoint Systems, Inc.*

 

6,395

 

1,121

 

China Information Security Technology, Inc.*

 

6,692

 

1,712

 

China Security & Surveillance Technology, Inc.*

 

10,323

 

420

 

China TransInfo Technology Corp.*

 

3,116

 

1,459

 

Chordiant Software, Inc.*

 

4,071

 

3,152

 

Cirrus Logic, Inc.*

 

17,115

 

2,063

 

Cogent, Inc.*

 

17,597

 

345

 

Cognex Corp.

 

5,679

 

2,009

 

CommVault Systems, Inc.*

 

41,787

 

811

 

Compellent Technologies, Inc.*

 

16,844

 

464

 

Computer Task Group, Inc.*

 

2,863

 

1,040

 

comScore, Inc.*

 

16,650

 

1,361

 

Comtech Telecommunications Corp.*

 

39,115

 

921

 

Comverge, Inc.*

 

9,468

 

1,922

 

Concur Technologies, Inc.*

 

71,229

 

1,158

 

Constant Contact, Inc.*

 

20,682

 

102

 

CPI International, Inc.*

 

985

 

1,190

 

Cray, Inc.*

 

8,318

 

1,016

 

CSG Systems International, Inc.*

 

19,670

 

86

 

CTS Corp.

 

797

 

3,338

 

Cybersource Corp.*

 

57,313

 

1,409

 

Daktronics, Inc.

 

11,934

 

108

 

DDi Corp.*

 

417

 

1,813

 

DealerTrack Holdings, Inc.*

 

30,930

 

841

 

Deltek, Inc.*

 

6,400

 

969

 

DemandTec, Inc.*

 

8,547

 

1,002

 

DG FastChannel, Inc.*

 

27,004

 

759

 

Dice Holdings, Inc.*

 

4,083

 

422

 

Digi International, Inc.*

 

3,330

 

1,486

 

Digital River, Inc.*

 

37,492

 

1,541

 

Diodes, Inc.*

 

27,029

 

982

 

DivX, Inc.*

 

4,989

 

758

 

Double-Take Software, Inc.*

 

6,670

 

841

 

DTS, Inc.*

 

25,348

 

634

 

Earthlink, Inc.

 

5,218

 

326

 

Ebix, Inc.*

 

16,923

 

1,116

 

Echelon Corp.*

 

12,343

 

314

 

eLoyalty Corp.*

 

2,198

 

606

 

EMS Technologies, Inc.*

 

7,805

 

3,704

 

Emulex Corp.*

 

36,077

 

2,549

 

Entropic Communications, Inc.*

 

7,392

 

1,566

 

EPIQ Systems, Inc.*

 

20,280

 

10

 

ePlus, Inc.*

 

158

 

2,060

 

Euronet Worldwide, Inc.*

 

43,754

 

155

 

Exar Corp.*

 

1,088

 

720

 

ExlService Holdings, Inc.*

 

11,678

 

1,660

 

FalconStor Software, Inc.*

 

6,408

 

730

 

FARO Technologies, Inc.*

 

14,242

 

1,666

 

FEI Co.*

 

40,684

 

2,247

 

Formfactor, Inc.*

 

38,087

 

754

 

Forrester Research, Inc.*

 

18,888

 

2,862

 

Gartner, Inc.*

 

54,149

 

1,647

 

Global Cash Access Holdings, Inc.*

 

12,254

 

916

 

GSE Systems, Inc.*

 

4,360

 

1,337

 

GSI Commerce, Inc.*

 

29,869

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

931

 

Hackett Group, Inc. (The)*

 

$

2,476

 

3,539

 

Harmonic, Inc.*

 

17,907

 

1,811

 

Heartland Payment Systems, Inc.

 

19,360

 

1,035

 

Hittite Microwave Corp.*

 

39,040

 

428

 

Hughes Communications, Inc.*

 

11,000

 

636

 

i2 Technologies, Inc.*

 

11,702

 

317

 

ICx Technologies, Inc.*

 

1,588

 

1,098

 

iGate Corp.

 

10,486

 

137

 

Imation Corp.

 

1,202

 

377

 

Imergent, Inc.

 

2,315

 

1,350

 

Immersion Corp.*

 

5,400

 

4,058

 

Infinera Corp.*

 

33,397

 

900

 

infoGROUP, Inc.*

 

7,290

 

4,212

 

Informatica Corp.*

 

94,559

 

955

 

Infospace, Inc.*

 

7,812

 

1,036

 

Innodata Isogen, Inc.*

 

5,418

 

284

 

Insight Enterprises, Inc.*

 

2,883

 

221

 

Integral Systems, Inc.*

 

1,965

 

1,030

 

Intellon Corp.*

 

7,632

 

609

 

Interactive Intelligence, Inc.*

 

10,511

 

2,113

 

InterDigital, Inc.*

 

50,268

 

2,997

 

Intermec, Inc.*

 

36,833

 

696

 

Internet Brands, Inc., Class A*

 

4,809

 

1,041

 

Internet Capital Group, Inc.*

 

6,694

 

1,116

 

IPG Photonics Corp.*

 

16,707

 

1,248

 

Isilon Systems, Inc.*

 

7,426

 

1,516

 

Ixia*

 

10,051

 

951

 

IXYS Corp.*

 

6,124

 

1,981

 

j2 Global Communications, Inc.*

 

39,382

 

4,048

 

Jack Henry & Associates, Inc.

 

92,497

 

948

 

JDA Software Group, Inc.*

 

22,259

 

1,089

 

Kenexa Corp.*

 

11,816

 

293

 

Keynote Systems, Inc.

 

3,126

 

1,454

 

Knot, Inc. (The)*

 

13,871

 

3,261

 

Kopin Corp.*

 

14,055

 

3,302

 

Kulicke & Soffa Industries, Inc.*

 

14,991

 

639

 

KVH Industries, Inc.*

 

7,713

 

2,829

 

L-1 Identity Solutions, Inc.*

 

17,370

 

461

 

Lattice Semiconductor Corp.*

 

1,010

 

2,703

 

Lawson Software, Inc.*

 

17,705

 

1,586

 

Limelight Networks, Inc.*

 

5,440

 

2,774

 

Lionbridge Technologies, Inc.*

 

5,520

 

726

 

Liquidity Services, Inc.*

 

5,968

 

1,994

 

LivePerson, Inc.*

 

12,642

 

262

 

LogMeIn, Inc.*

 

4,671

 

973

 

LoopNet, Inc.*

 

9,915

 

518

 

Loral Space & Communications, Inc.*

 

17,151

 

1,112

 

Manhattan Associates, Inc.*

 

26,199

 

841

 

Mantech International Corp., Class A*

 

36,399

 

518

 

Marchex, Inc., Class B

 

2,404

 

775

 

MAXIMUS, Inc.

 

36,030

 

1,084

 

Maxwell Technologies, Inc.*

 

17,821

 

59

 

MEMSIC, Inc.*

 

195

 

373

 

Mentor Graphics Corp.*

 

2,749

 

1,247

 

MercadoLibre, Inc.*

 

61,552

 

197

 

Methode Electronics, Inc.

 

1,568

 

895

 

Micrel, Inc.

 

6,399

 

3,924

 

Microsemi Corp.*

 

59,763

 

438

 

MicroStrategy, Inc., Class A*

 

38,356

 

1,531

 

Microtune, Inc.*

 

2,664

 

2,176

 

MIPS Technologies, Inc.*

 

8,182

 

120

 

ModusLink Global Solutions, Inc.*

 

970

 

3,409

 

MoneyGram International, Inc.*

 

8,454

 

1,638

 

Monolithic Power Systems, Inc.*

 

35,217

 

7,451

 

Move, Inc.*

 

11,475

 

87

 

MTS Systems Corp.

 

2,242

 

475

 

Multi-Fineline Electronix, Inc.*

 

11,842

 

315

 

NCI, Inc., Class A*

 

7,925

 

1,502

 

Net 1 UEPS Technologies, Inc.*

 

28,057

 

2,280

 

Netezza Corp.*

 

23,119

 

429

 

Netgear, Inc.*

 

8,516

 

875

 

Netlogic Microsystems, Inc.*

 

35,700

 

1,034

 

Netscout Systems, Inc.*

 

13,018

 

806

 

NetSuite, Inc.*

 

11,252

 

707

 

Network Equipment Technologies, Inc.*

 

2,425

 

2,434

 

NIC, Inc.

 

21,078

 

1,472

 

Novatel Wireless, Inc.*

 

12,335

 

225

 

NVE Corp.*

 

8,471

 

808

 

Online Resources Corp.*

 

4,444

 

145

 

OpenTable, Inc.*

 

3,838

 

1,192

 

Openwave Systems, Inc.*

 

2,813

 

719

 

Oplink Communications, Inc.*

 

12,396

 

634

 

Opnet Technologies, Inc.

 

6,670

 

221

 

Opnext, Inc.*

 

404

 

592

 

OSI Systems, Inc.*

 

12,095

 

7,063

 

Palm, Inc.*

 

77,057

 

276

 

PAR Technology Corp.*

 

1,493

 

5,598

 

Parametric Technology Corp.*

 

84,306

 

620

 

Park Electrochemical Corp.

 

14,663

 

1,421

 

Parkervision, Inc.*

 

2,586

 

134

 

PC Mall, Inc.*

 

776

 

120

 

PC-Tel, Inc.*

 

686

 

726

 

Pegasystems, Inc.

 

20,858

 

300

 

Perficient, Inc.*

 

2,514

 

1,690

 

Phoenix Technologies Ltd.*

 

4,445

 

2,083

 

Plantronics, Inc.

 

48,221

 

638

 

Plexus Corp.*

 

17,328

 

1,624

 

PLX Technology, Inc.*

 

4,969

 

1,605

 

Polycom, Inc.*

 

34,604

 

1,152

 

Power Integrations, Inc.

 

38,696

 

1,930

 

Progress Software Corp.*

 

46,494

 

922

 

PROS Holdings, Inc.*

 

7,192

 

605

 

QAD, Inc.

 

3,358

 

10,155

 

Quantum Corp.*

 

24,778

 

310

 

Quest Software, Inc.*

 

5,217

 

3,210

 

Rackspace Hosting, Inc.*

 

59,417

 

1,328

 

Radiant Systems, Inc.*

 

12,868

 

1,128

 

Radisys Corp.*

 

10,524

 

1,961

 

RAE Systems, Inc.*

 

1,510

 

2,063

 

RealNetworks, Inc.*

 

6,746

 

315

 

Renaissance Learning, Inc.

 

3,418

 

11,883

 

RF Micro Devices, Inc.*

 

51,335

 

1,052

 

RightNow Technologies, Inc.*

 

14,875

 

2,644

 

Riverbed Technology, Inc.*

 

53,832

 

618

 

Rofin-Sinar Technologies, Inc.*

 

14,078

 

169

 

Rogers Corp.*

 

4,759

 

303

 

Rosetta Stone, Inc.*

 

5,342

 

605

 

Rubicon Technology, Inc.*

 

10,539

 

575

 

Rudolph Technologies, Inc.*

 

3,738

 

2,553

 

S1 Corp.*

 

15,216

 

1,188

 

Saba Software, Inc.*

 

5,002

 

4,077

 

Sapient Corp.*

 

30,007

 

1,746

 

SAVVIS, Inc.*

 

21,860

 

75

 

Scansource, Inc.*

 

1,745

 

795

 

Seachange International, Inc.*

 

4,436

 

193

 

Semitool, Inc.*

 

2,117

 

2,950

 

Semtech Corp.*

 

47,259

 

2,135

 

ShoreTel, Inc.*

 

10,910

 

934

 

Sigma Designs, Inc.*

 

10,909

 

156

 

Silicon Graphics International Corp.*

 

944

 

8,090

 

Skyworks Solutions, Inc.*

 

99,588

 

1,371

 

Smith Micro Software, Inc.*

 

8,678

 

585

 

SolarWinds, Inc.*

 

10,852

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,359

 

Solera Holdings, Inc.

 

$

117,431

 

191

 

SonicWALL, Inc.*

 

1,488

 

1,072

 

Sourcefire, Inc.*

 

21,043

 

573

 

SRA International, Inc., Class A*

 

10,343

 

562

 

SRS Labs, Inc.*

 

3,895

 

273

 

Standard Microsystems Corp.*

 

5,253

 

1,893

 

Starent Networks Corp.*

 

65,290

 

101

 

StarTek, Inc.*

 

700

 

1,192

 

STEC, Inc.*

 

14,769

 

975

 

Stratasys, Inc.*

 

14,479

 

2,233

 

SuccessFactors, Inc.*

 

33,629

 

753

 

Super Micro Computer, Inc.*

 

7,334

 

530

 

Supertex, Inc.*

 

12,678

 

521

 

support.com, Inc.*

 

1,235

 

984

 

Switch & Data Facilities Co., Inc.*

 

18,165

 

1,308

 

Symyx Technologies, Inc.*

 

5,559

 

1,659

 

Synaptics, Inc.*

 

44,693

 

801

 

Synchronoss Technologies, Inc.*

 

10,798

 

187

 

SYNNEX Corp.*

 

5,294

 

622

 

Syntel, Inc.

 

23,530

 

509

 

Take-Two Interactive Software, Inc.*

 

5,726

 

1,509

 

Taleo Corp., Class A*

 

31,176

 

699

 

Techwell, Inc.*

 

8,150

 

1,074

 

Tekelec*

 

15,272

 

1,847

 

TeleCommunication Systems, Inc., Class A*

 

15,570

 

1,567

 

TeleTech Holdings, Inc.*

 

30,227

 

2,804

 

Terremark Worldwide, Inc.*

 

17,132

 

2,351

 

Tessera Technologies, Inc.*

 

55,648

 

2,433

 

THQ, Inc.*

 

11,922

 

3,063

 

TIBCO Software, Inc.*

 

26,342

 

440

 

Tier Technologies, Inc., Class B*

 

3,366

 

5,050

 

TiVo, Inc.*

 

49,995

 

1,217

 

TNS, Inc.*

 

30,486

 

267

 

Travelzoo, Inc.*

 

3,775

 

323

 

Trident Microsystems, Inc.*

 

610

 

4,030

 

TriQuint Semiconductor, Inc.*

 

21,923

 

1,509

 

Tyler Technologies, Inc.*

 

30,150

 

1,176

 

Ultimate Software Group, Inc.*

 

31,670

 

1,142

 

Ultratech, Inc.*

 

15,052

 

689

 

Unica Corp.*

 

4,685

 

114

 

Unisys Corp.*

 

3,658

 

1,410

 

Universal Display Corp.*

 

15,059

 

4,201

 

ValueClick, Inc.*

 

39,615

 

1,007

 

VASCO Data Security International, Inc.*

 

6,626

 

874

 

Veeco Instruments, Inc.*

 

23,869

 

3,487

 

VeriFone Holdings, Inc.*

 

46,238

 

1,256

 

Viasat, Inc.*

 

38,496

 

62

 

Virage Logic Corp.*

 

347

 

474

 

Virtusa Corp.*

 

4,157

 

802

 

Vocus, Inc.*

 

13,105

 

1,093

 

Volterra Semiconductor Corp.*

 

18,024

 

2,139

 

Websense, Inc.*

 

33,647

 

1,855

 

Wright Express Corp.*

 

54,110

 

3,060

 

Zix Corp.*

 

4,835

 

1,885

 

Zoran Corp.*

 

17,229

 

 

 

 

 

5,378,773

 

 

 

Materials - 2.1%

 

 

 

 

 

 

 

 

 

243

 

AEP Industries, Inc.*

 

9,183

 

2,221

 

Allied Nevada Gold Corp.*

 

28,873

 

254

 

AMCOL International Corp.

 

6,922

 

120

 

American Vanguard Corp.

 

882

 

193

 

Arch Chemicals, Inc.

 

5,174

 

885

 

Balchem Corp.

 

28,214

 

669

 

Boise, Inc.*

 

3,271

 

38

 

Bway Holding Co.*

 

605

 

2,644

 

Calgon Carbon Corp.*

 

36,990

 

480

 

China Green Agriculture, Inc.*

 

7,680

 

46

 

Clearwater Paper Corp.*

 

2,260

 

396

 

Deltic Timber Corp.

 

15,135

 

397

 

General Steel Holdings, Inc.*

 

1,592

 

397

 

Hawkins, Inc.

 

8,670

 

626

 

Koppers Holdings, Inc.

 

17,685

 

1,267

 

Landec Corp.*

 

7,957

 

832

 

LSB Industries, Inc.*

 

10,167

 

487

 

NewMarket Corp.

 

50,999

 

291

 

NL Industries, Inc.

 

1,985

 

355

 

Olin Corp.

 

5,953

 

2,118

 

Omnova Solutions, Inc.*

 

14,021

 

3,143

 

Paramount Gold and Silver Corp.*

 

4,086

 

794

 

PolyOne Corp.*

 

5,701

 

1,621

 

Rock-Tenn Co., Class A

 

73,221

 

677

 

Silgan Holdings, Inc.

 

36,267

 

327

 

Stepan Co.

 

20,509

 

266

 

Stillwater Mining Co.*

 

2,532

 

68

 

United States Lime & Minerals, Inc.*

 

2,324

 

786

 

Wausau Paper Corp.

 

7,978

 

2,662

 

Worthington Industries, Inc.

 

31,172

 

1,027

 

WR Grace & Co.*

 

23,477

 

1,040

 

Zep, Inc.

 

18,387

 

 

 

 

 

489,872

 

 

 

Telecommunication Services - 1.3%

 

 

 

 

 

 

 

 

 

596

 

AboveNet, Inc.*

 

30,575

 

2,133

 

Alaska Communications Systems Group, Inc.

 

15,592

 

1,120

 

Cbeyond, Inc.*

 

14,459

 

1,889

 

Cincinnati Bell, Inc.*

 

5,629

 

2,142

 

Cogent Communications Group, Inc.*

 

18,228

 

586

 

Consolidated Communications Holdings, Inc.

 

8,907

 

1,161

 

General Communication, Inc., Class A*

 

7,012

 

1,205

 

Global Crossing Ltd.*

 

13,617

 

630

 

HickoryTech Corp.

 

5,160

 

1,306

 

inContact, Inc.*

 

3,017

 

235

 

Iowa Telecommunications Services, Inc.

 

3,736

 

759

 

iPCS, Inc.*

 

18,224

 

1,587

 

Neutral Tandem, Inc.*

 

36,612

 

1,460

 

NTELOS Holdings Corp.

 

24,543

 

5,931

 

PAETEC Holding Corp.*

 

21,767

 

2,260

 

Premiere Global Services, Inc.*

 

17,086

 

1,144

 

Shenandoah Telecommunications Co.

 

19,219

 

2,743

 

Syniverse Holdings, Inc.*

 

43,504

 

987

 

USA Mobility, Inc.

 

9,850

 

 

 

 

 

316,737

 

 

 

Utilities - 0.2%

 

 

 

 

 

 

 

 

 

606

 

Cadiz, Inc.*

 

7,841

 

73

 

California Water Service Group

 

2,670

 

24

 

Connecticut Water Service, Inc.

 

545

 

233

 

Consolidated Water Co., Ltd.

 

3,052

 

329

 

New Jersey Resources Corp.

 

11,591

 

41

 

Pennichuck Corp.

 

947

 

221

 

Piedmont Natural Gas Co., Inc.

 

5,238

 

168

 

South Jersey Industries, Inc.

 

6,058

 

2,343

 

U.S. Geothermal, Inc.*

 

3,538

 

231

 

York Water Co.

 

3,370

 

 

 

 

 

44,850

 

 

 

Total Common Stocks
(Cost $17,411,453)

 

20,112,857

 

 

See accompanying notes to the financial statements.

 

 


 

No. of
Warrants

 

 

 

Value

 

 

 

Warrants - 0.0%

 

 

 

18

 

GreenHunter Energy, Inc., expiring 08/27/11 at $27.50*

 

$

—

 

 

 

Total Warrants
(Cost $—)

 

—

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 8.7%

 

 

 

$

57,638

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $57,638(b)

 

57,638

 

115,275

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $115,276(c)

 

115,275

 

345,825

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $345,829 (d)

 

345,825

 

69,309

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $69,309 (e)

 

69,309

 

121,039

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $121,040 (f)

 

121,039

 

230,550

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $230,555 (g)

 

230,550

 

57,638

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $57,638 (h)

 

57,638

 

345,825

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $345,827 (i)

 

345,825

 

288,188

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $288,189(j)

 

288,188

 

172,913

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $172,914(k)

 

172,913

 

266,074

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $266,075(l)

 

266,074

 

 

 

Total Repurchase Agreements (Cost $2,070,274)

 

2,070,274

 

 

 

Total Investment Securities
(Cost $19,481,727) — 93.8%

 

22,183,131

 

 

 

Other assets less liabilities — 6.2%

 

1,461,107

 

 

 

Net Assets — 100.0%

 

$

23,644,238

 

 

*

Non-income producing security.

^

Security fair valued in accordance with procedures adopted by the Board of Trustees.  At November 30, 2009, the value of these securities amounted to $23 or 0.00% of net assets.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $8,257,378.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $58,791. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $117,581. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $352,743. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $70,695. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $123,461. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $235,161. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $58,791. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $352,742. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $293,952. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $176,372. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $271,396. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

     Real Estate Investment Trust

 

As of November 30, 2009, 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

 

$

978,913

 

Aggregate gross unrealized depreciation

 

(1,560,134

)

Net unrealized depreciation

 

$

(581,221

)

Federal income tax cost of investments

 

$

22,764,352

 

 

Swap Agreements

 

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on Russell 2000 Growth® Index

 

$

4,391,007

 

$

1,419,447

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on Russell 2000 Growth® Index

 

7,040,290

 

(395,955

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on Russell 2000 Growth® Index

 

7,802,501

 

1,837,400

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on Russell 2000 Growth® Index

 

7,917,121

 

(389,780

)

 

 

 

 

 

 

 

 

 

 

$

2,471,112

 

 

See accompanying notes to the financial statements.

 


 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

20,112,834

 

$

23

 

$

20,112,857

 

Rights/Warrants

 

—

 

—

 

—

 

Repurchase Agreements

 

—

 

2,070,274

 

2,070,274

 

Total Investment Securities

 

20,112,834

 

2,070,297

 

22,183,131

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

2,471,112

 

2,471,112

 

Total Other Financial Instruments

 

—

 

2,471,112

 

2,471,112

 

Total Investments

 

$

20,112,834

 

$

4,541,409

 

$

24,654,243

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Consumer Services

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 86.3%

 

 

 

 

 

Airlines - 1.4%

 

 

 

 

 

 

 

 

 

399

 

Alaska Air Group, Inc.*

 

$

11,930

 

3,609

 

AMR Corp.*

 

21,799

 

1,514

 

Continental Airlines, Inc., Class B*

 

21,590

 

8,479

 

Delta Air Lines, Inc.*

 

69,443

 

2,783

 

JetBlue Airways Corp.*

 

15,334

 

628

 

Skywest, Inc.

 

9,238

 

8,149

 

Southwest Airlines Co.

 

74,971

 

1,582

 

UAL Corp.*

 

12,276

 

 

 

 

 

236,581

 

 

 

Commercial Services & Supplies - 0.2%

 

 

 

 

 

 

 

 

 

762

 

Copart, Inc.*

 

24,704

 

567

 

Rollins, Inc.

 

10,076

 

 

 

 

 

34,780

 

 

 

Computers & Peripherals - 0.0%

 

 

 

 

 

 

 

 

 

307

 

Avid Technology, Inc.*

 

3,653

 

 

 

 

 

 

 

 

 

Diversified Consumer Services - 2.3%

 

 

 

 

 

 

 

 

 

1,396

 

Apollo Group, Inc., Class A*

 

79,670

 

661

 

Career Education Corp.*

 

17,206

 

870

 

Corinthian Colleges, Inc.*

 

12,893

 

679

 

DeVry, Inc.

 

36,883

 

3,720

 

H&R Block, Inc.

 

75,516

 

679

 

Hillenbrand, Inc.

 

12,426

 

413

 

ITT Educational Services, Inc.*

 

37,575

 

336

 

Matthews International Corp., Class A

 

11,639

 

83

 

Pre-Paid Legal Services, Inc.*

 

3,161

 

610

 

Regis Corp.

 

9,552

 

2,759

 

Service Corp. International

 

21,299

 

740

 

Sotheby’s

 

14,038

 

913

 

Stewart Enterprises, Inc., Class A

 

4,273

 

155

 

Strayer Education, Inc.

 

30,612

 

388

 

Weight Watchers International, Inc.

 

10,740

 

 

 

 

 

377,483

 

 

 

Electronic Equipment, Instruments & Components - 0.2%

 

 

 

 

 

 

 

 

 

574

 

Dolby Laboratories, Inc., Class A*

 

25,669

 

 

 

 

 

 

 

 

 

Food & Staples Retailing - 18.7%

 

 

 

 

 

 

 

 

 

599

 

BJ’s Wholesale Club, Inc.*

 

20,791

 

557

 

Casey’s General Stores, Inc.

 

17,039

 

4,744

 

Costco Wholesale Corp.

 

284,213

 

15,734

 

CVS Caremark Corp.

 

487,911

 

6,698

 

Kroger Co. (The)

 

152,312

 

6,655

 

Rite Aid Corp.*

 

8,518

 

464

 

Ruddick Corp.

 

12,352

 

4,576

 

Safeway, Inc.

 

102,960

 

2,329

 

SUPERVALU, Inc.

 

32,210

 

6,476

 

Sysco Corp.

 

175,111

 

432

 

United Natural Foods, Inc.*

 

10,891

 

10,893

 

Walgreen Co.

 

423,629

 

24,045

 

Wal-Mart Stores, Inc.

 

1,311,655

 

1,526

 

Whole Foods Market, Inc.*

 

39,142

 

 

 

 

 

3,078,734

 

 

 

Health Care Providers & Services - 2.7%

 

 

 

 

 

 

 

 

 

3,266

 

AmerisourceBergen Corp.

 

80,638

 

3,918

 

Cardinal Health, Inc.

 

126,277

 

247

 

Chemed Corp.

 

11,159

 

2,953

 

McKesson Corp.

 

183,145

 

1,299

 

Omnicare, Inc.

 

30,111

 

930

 

VCA Antech, Inc.*

 

21,083

 

 

 

 

 

452,413

 

 

 

Hotels, Restaurants & Leisure - 12.5%

 

 

 

 

 

 

 

 

 

596

 

Bally Technologies, Inc.*

 

24,752

 

342

 

Bob Evans Farms, Inc.

 

8,639

 

624

 

Boyd Gaming Corp.*

 

5,098

 

1,112

 

Brinker International, Inc.

 

15,346

 

1,011

 

Burger King Holdings, Inc.

 

17,187

 

4,638

 

Carnival Corp.*

 

148,555

 

254

 

CEC Entertainment, Inc.*

 

7,407

 

623

 

Cheesecake Factory, Inc. (The)*

 

11,731

 

165

 

Chipotle Mexican Grill, Inc., Class A*

 

13,769

 

183

 

Chipotle Mexican Grill, Inc., Class B*

 

15,209

 

329

 

Choice Hotels International, Inc.

 

10,314

 

247

 

Cracker Barrel Old Country Store, Inc.

 

9,277

 

1,530

 

Darden Restaurants, Inc.

 

48,088

 

318

 

Gaylord Entertainment Co.*

 

5,597

 

3,262

 

International Game Technology

 

61,619

 

305

 

International Speedway Corp., Class A

 

8,226

 

436

 

Interval Leisure Group, Inc.*

 

4,988

 

624

 

Jack in the Box, Inc.*

 

11,650

 

4,751

 

Las Vegas Sands Corp.*

 

72,785

 

454

 

Life Time Fitness, Inc.*

 

10,260

 

3,423

 

Marriott International, Inc., Class A

 

88,030

 

11,993

 

McDonald’s Corp.

 

758,557

 

2,745

 

MGM Mirage*

 

29,015

 

844

 

Orient-Express Hotels Ltd., Class A*

 

7,056

 

244

 

P.F. Chang’s China Bistro, Inc.*

 

7,959

 

329

 

Panera Bread Co., Class A*

 

20,714

 

242

 

Papa John’s International, Inc.*

 

5,353

 

738

 

Penn National Gaming, Inc.*

 

19,771

 

656

 

Pinnacle Entertainment, Inc.*

 

6,934

 

1,477

 

Royal Caribbean Cruises Ltd.*

 

36,290

 

760

 

Scientific Games Corp., Class A*

 

10,754

 

667

 

Sonic Corp.*

 

6,430

 

8,025

 

Starbucks Corp.*

 

175,747

 

1,891

 

Starwood Hotels & Resorts Worldwide, Inc.

 

60,550

 

317

 

Vail Resorts, Inc.*

 

12,296

 

4,066

 

Wendy’s/Arby’s Group, Inc., Class A

 

16,671

 

478

 

WMS Industries, Inc.*

 

18,585

 

1,962

 

Wyndham Worldwide Corp.

 

36,434

 

840

 

Wynn Resorts Ltd.

 

54,214

 

5,084

 

Yum! Brands, Inc.

 

179,313

 

 

 

 

 

2,061,170

 

 

 

Internet & Catalog Retail - 4.4%

 

 

 

 

 

 

 

 

 

3,393

 

Amazon.com, Inc.*

 

461,142

 

2,327

 

Expedia, Inc.*

 

59,292

 

436

 

HSN, Inc.*

 

7,813

 

6,203

 

Liberty Media Corp. - Interactive, Class A*

 

66,000

 

498

 

NetFlix, Inc.*

 

29,198

 

458

 

priceline.com, Inc.*

 

98,067

 

443

 

Ticketmaster Entertainment, Inc.*

 

4,665

 

 

 

 

 

726,177

 

 

 

Internet Software & Services - 1.8%

 

 

 

 

 

 

 

 

 

12,060

 

eBay, Inc.*

 

295,108

 

951

 

ValueClick, Inc.*

 

8,968

 

 

 

 

 

304,076

 

 

 

IT Services - 0.1%

 

 

 

 

 

 

 

 

 

863

 

Acxiom Corp.*

 

9,959

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Media - 19.9%

 

 

 

 

 

 

 

 

 

291

 

Arbitron, Inc.

 

$

6,265

 

2,714

 

Cablevision Systems Corp., Class A

 

67,904

 

6,420

 

CBS Corp., Class B

 

82,240

 

22,627

 

Comcast Corp., Class A

 

331,938

 

8,785

 

Comcast Corp., Special, Class A

 

121,321

 

572

 

CTC Media, Inc.*

 

7,979

 

10,458

 

DIRECTV, Class A*

 

330,784

 

1,473

 

Discovery Communications, Inc., Class A*

 

47,062

 

1,541

 

Discovery Communications, Inc., Class C*

 

43,210

 

2,309

 

DISH Network Corp., Class A

 

47,819

 

767

 

DreamWorks Animation SKG, Inc., Class A*

 

25,672

 

2,525

 

Gannett Co., Inc.

 

24,972

 

425

 

Harte-Hanks, Inc.

 

4,084

 

394

 

Interactive Data Corp.

 

10,063

 

5,344

 

Interpublic Group of Cos., Inc.*

 

33,828

 

535

 

John Wiley & Sons, Inc., Class A

 

20,036

 

632

 

Lamar Advertising Co., Class A*

 

17,494

 

1,364

 

Liberty Global, Inc., Class A*

 

26,312

 

1,380

 

Liberty Global, Inc., Class C*

 

26,758

 

933

 

Liberty Media Corp. - Capital, Class A*

 

20,610

 

541

 

Liberty Media Corp. - Starz, Class A*

 

25,896

 

919

 

Live Nation, Inc.*

 

6,580

 

3,455

 

McGraw-Hill Cos., Inc. (The)

 

103,512

 

395

 

Meredith Corp.

 

10,408

 

239

 

Morningstar, Inc.*

 

11,080

 

1,059

 

New York Times Co. (The), Class A*

 

8,938

 

19,945

 

News Corp., Class A

 

228,570

 

4,778

 

News Corp., Class B

 

65,411

 

3,416

 

Omnicom Group, Inc.

 

125,436

 

859

 

Regal Entertainment Group, Class A

 

11,768

 

303

 

Scholastic Corp.

 

7,639

 

980

 

Scripps Networks Interactive, Inc., Class A

 

38,759

 

3,873

 

Time Warner Cable, Inc.

 

162,240

 

13,107

 

Time Warner, Inc.

 

402,647

 

6,033

 

Viacom, Inc., Class B*

 

178,818

 

19,063

 

Walt Disney Co. (The)

 

576,084

 

66

 

Washington Post Co. (The), Class B

 

27,298

 

 

 

 

 

3,287,435

 

 

 

Multiline Retail - 5.5%

 

 

 

 

 

 

 

 

 

402

 

99 Cents Only Stores*

 

4,832

 

908

 

Big Lots, Inc.*

 

20,939

 

607

 

Dillard’s, Inc., Class A

 

10,313

 

990

 

Dollar Tree, Inc.*

 

48,480

 

1,457

 

Family Dollar Stores, Inc.

 

44,453

 

408

 

Fred’s, Inc., Class A

 

3,986

 

2,281

 

J.C. Penney Co., Inc.

 

65,556

 

3,156

 

Kohl’s Corp.*

 

167,710

 

4,614

 

Macy’s, Inc.

 

75,254

 

1,851

 

Nordstrom, Inc.

 

61,916

 

1,379

 

Saks, Inc.*

 

8,426

 

634

 

Sears Holdings Corp.*

 

44,982

 

7,514

 

Target Corp.

 

349,852

 

 

 

 

 

906,699

 

 

 

Professional Services - 0.4%

 

 

 

 

 

 

 

 

 

579

 

Dun & Bradstreet Corp.

 

45,503

 

506

 

IHS, Inc., Class A*

 

25,442

 

 

 

 

 

70,945

 

 

 

Road & Rail - 0.2%

 

 

 

 

 

 

 

 

 

1,120

 

Avis Budget Group, Inc.*

 

10,920

 

2,023

 

Hertz Global Holdings, Inc.*

 

19,825

 

 

 

 

 

30,745

 

 

 

Software - 0.2%

 

 

 

 

 

 

 

 

 

476

 

Factset Research Systems, Inc.

 

34,439

 

 

 

 

 

 

 

 

 

Specialty Retail - 15.5%

 

 

 

 

 

 

 

 

 

508

 

Aaron’s, Inc.

 

12,736

 

956

 

Abercrombie & Fitch Co., Class A

 

38,173

 

1,038

 

Advance Auto Parts, Inc.

 

40,793

 

736

 

Aeropostale, Inc.*

 

23,184

 

1,936

 

American Eagle Outfitters, Inc.

 

29,776

 

642

 

AnnTaylor Stores Corp.*

 

8,975

 

829

 

AutoNation, Inc.*

 

14,632

 

353

 

AutoZone, Inc.*

 

52,198

 

430

 

Barnes & Noble, Inc.

 

10,036

 

2,879

 

Bed Bath & Beyond, Inc.*

 

107,559

 

3,727

 

Best Buy Co., Inc.

 

159,627

 

290

 

Buckle, Inc. (The)

 

7,929

 

2,171

 

CarMax, Inc.*

 

43,159

 

303

 

Cato Corp. (The), Class A

 

5,796

 

1,930

 

Chico’s FAS, Inc.*

 

27,155

 

266

 

Children’s Place Retail Stores, Inc. (The)*

 

8,491

 

704

 

Collective Brands, Inc.*

 

13,615

 

956

 

Dick’s Sporting Goods, Inc.*

 

19,847

 

617

 

Dress Barn, Inc.*

 

13,247

 

1,701

 

Foot Locker, Inc.

 

16,143

 

1,792

 

GameStop Corp., Class A*

 

43,743

 

5,574

 

Gap, Inc. (The)

 

119,395

 

246

 

Genesco, Inc.*

 

6,430

 

265

 

Group 1 Automotive, Inc.*

 

6,689

 

645

 

Guess?, Inc.

 

23,897

 

317

 

Gymboree Corp.*

 

12,655

 

18,665

 

Home Depot, Inc.

 

510,674

 

572

 

J. Crew Group, Inc.*

 

24,476

 

3,023

 

Limited Brands, Inc.

 

50,152

 

16,073

 

Lowe’s Cos., Inc.

 

350,552

 

515

 

Men’s Wearhouse, Inc. (The)

 

10,506

 

2,996

 

Office Depot, Inc.*

 

18,395

 

834

 

OfficeMax, Inc.*

 

8,824

 

1,502

 

O’Reilly Automotive, Inc.*

 

58,248

 

1,399

 

PetSmart, Inc.

 

36,010

 

1,375

 

RadioShack Corp.

 

25,933

 

726

 

Rent-A-Center, Inc.*

 

12,843

 

1,393

 

Ross Stores, Inc.

 

61,264

 

925

 

Sally Beauty Holdings, Inc.*

 

6,457

 

937

 

Signet Jewelers Ltd.*

 

24,221

 

7,861

 

Staples, Inc.

 

183,319

 

1,364

 

Tiffany & Co.

 

58,216

 

4,542

 

TJX Cos., Inc.

 

174,322

 

397

 

Tractor Supply Co.*

 

18,536

 

1,449

 

Urban Outfitters, Inc.*

 

45,846

 

1,045

 

Williams-Sonoma, Inc.

 

21,234

 

 

 

 

 

2,565,908

 

 

 

Textiles, Apparel & Luxury Goods - 0.3%

 

 

 

 

 

 

 

 

 

625

 

Polo Ralph Lauren Corp.

 

48,031

 

 

 

 

 

 

 

 

 

Total Common Stocks
(Cost $11,014,861)

 

14,254,897

 

 

See accompanying notes to the financial statements.

 

 


 

Principal
Amount

 

 

 

Value

 

 

 

Repurchase Agreements (a) - 6.9%

 

 

 

$

31,853

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $31,853(b)

 

$

31,853

 

63,706

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $63,706(c)

 

63,706

 

191,118

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $191,120 (d)

 

191,118

 

38,303

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $38,303 (e)

 

38,303

 

66,891

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $66,891(f)

 

66,891

 

127,412

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $127,415 (g)

 

127,412

 

31,853

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $31,853 (h)

 

31,853

 

191,118

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $191,119 (i)

 

191,118

 

159,265

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $159,266(j)

 

159,265

 

95,559

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $95,559(k)

 

95,559

 

147,044

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $147,045(l)

 

147,044

 

 

 

Total Repurchase Agreements (Cost $1,144,122)

 

1,144,122

 

 

 

Total Investment Securities
(Cost $12,158,983) — 93.2%

 

15,399,019

 

 

 

Other assets less liabilities — 6.8%

 

1,115,409

 

 

 

Net Assets — 100.0%

 

$

16,514,428

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $3,514,585.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $32,490. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $64,980. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $194,941. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $39,069. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $68,229. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $129,961. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $32,490. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $194,941. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $162,451. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $97,470. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $149,985. The investment in the repurchase agreement was through participation in a pooled account.

 

As of November 30, 2009, 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

 

$

388,154

 

Aggregate gross unrealized depreciation

 

(123,801

)

Net unrealized appreciation

 

$

264,353

 

Federal income tax cost of investments

 

$

15,134,666

 

 

Swap Agreements

 

Ultra Consumer Services had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap with Credit Suisse Securities (Europe) Limited, based on the Dow Jones U.S. Consumer ServicesSM Index

 

$

1,457,044

 

$

467,967

 

 

 

 

 

 

 

Equity Index Swap with Deutsche Bank AG, based on the Dow Jones U.S. Consumer ServicesSM Index

 

8,885,574

 

(201,357

)

 

 

 

 

 

 

Equity Index Swap with Societe Generale, based on the Dow Jones U.S. Consumer ServicesSM Index

 

3,999,130

 

1,033,822

 

 

 

 

 

 

 

Equity Index Swap with UBS AG, based on the Dow Jones U.S. Consumer ServicesSM Index

 

4,563,150

 

(101,533

)

 

 

 

 

 

 

 

 

 

 

$

1,198,899

 

 

See accompanying notes to the financial statements.

 


 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

14,254,897

 

$

—

 

$

14,254,897

 

Repurchase Agreements

 

—

 

1,144,122

 

1,144,122

 

Total Investment Securities

 

14,254,897

 

1,144,122

 

15,399,019

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

1,198,899

 

1,198,899

 

Total Other Financial Instruments

 

—

 

1,198,899

 

1,198,899

 

Total Investments

 

$

14,254,897

 

$

2,343,021

 

$

16,597,918

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Financials

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 73.9%

 

 

 

 

 

Capital Markets - 12.1%

 

 

 

 

 

 

 

 

 

35,365

 

Affiliated Managers Group, Inc.*

 

$

2,306,152

 

216,618

 

Ameriprise Financial, Inc.

 

8,257,478

 

1,015,545

 

Bank of New York Mellon Corp. (The)

 

27,054,119

 

18,820

 

BlackRock, Inc.

 

4,273,645

 

799,846

 

Charles Schwab Corp. (The)

 

14,661,177

 

948,821

 

E*Trade Financial Corp.*

 

1,556,066

 

98,891

 

Eaton Vance Corp.

 

2,980,575

 

87,492

 

Federated Investors, Inc., Class B

 

2,255,544

 

132,346

 

Franklin Resources, Inc.

 

14,297,338

 

144,809

 

GLG Partners, Inc.*

 

427,186

 

366,272

 

Goldman Sachs Group, Inc. (The)

 

62,141,707

 

10,904

 

Greenhill & Co., Inc.

 

890,312

 

353,424

 

Invesco Ltd.

 

7,863,684

 

37,003

 

Investment Technology Group, Inc.*

 

675,305

 

152,364

 

Janus Capital Group, Inc.

 

1,994,445

 

94,713

 

Jefferies Group, Inc.*

 

2,221,020

 

29,661

 

KBW, Inc.*

 

729,364

 

78,966

 

Knight Capital Group, Inc., Class A*

 

1,156,062

 

136,047

 

Legg Mason, Inc.

 

3,848,770

 

82,744

 

MF Global Ltd.*

 

520,460

 

1,052,902

 

Morgan Stanley

 

33,250,645

 

205,171

 

Northern Trust Corp.

 

10,155,964

 

38,199

 

optionsXpress Holdings, Inc.

 

584,445

 

16,656

 

Piper Jaffray Cos.*

 

722,038

 

83,919

 

Raymond James Financial, Inc.

 

2,038,392

 

132,435

 

SEI Investments Co.

 

2,318,937

 

419,959

 

State Street Corp.

 

17,344,307

 

24,136

 

Stifel Financial Corp.*

 

1,296,586

 

216,948

 

T. Rowe Price Group, Inc.

 

10,615,266

 

200,491

 

TD Ameritrade Holding Corp.*

 

3,937,643

 

73,199

 

Waddell & Reed Financial, Inc., Class A

 

2,132,287

 

 

 

 

 

244,506,919

 

 

 

Commercial Banks - 13.1%

 

 

 

 

 

 

 

 

 

101,314

 

Associated Banc-Corp

 

1,148,901

 

66,111

 

BancorpSouth, Inc.

 

1,533,775

 

40,612

 

Bank of Hawaii Corp.

 

1,855,968

 

578,979

 

BB&T Corp.

 

14,416,577

 

19,183

 

BOK Financial Corp.

 

891,626

 

221,393

 

CapitalSource, Inc.

 

812,512

 

41,873

 

Cathay General Bancorp

 

327,028

 

35,696

 

City National Corp./CA

 

1,408,564

 

128,287

 

Comerica, Inc.

 

3,652,331

 

57,513

 

Commerce Bancshares, Inc./MO

 

2,312,011

 

47,732

 

Cullen/Frost Bankers, Inc.

 

2,292,091

 

73,421

 

East West Bancorp, Inc.

 

1,071,212

 

675,645

 

Fifth Third Bancorp

 

6,810,502

 

17,574

 

First Financial Bankshares, Inc.

 

909,982

 

184,839

 

First Horizon National Corp.*

 

2,504,568

 

41,191

 

First Midwest Bancorp, Inc./IL

 

429,622

 

73,027

 

FirstMerit Corp.

 

1,529,916

 

96,826

 

FNB Corp./PA

 

630,337

 

148,976

 

Fulton Financial Corp.

 

1,284,173

 

52,129

 

Glacier Bancorp, Inc.

 

681,847

 

22,491

 

Hancock Holding Co.

 

931,127

 

564,073

 

Huntington Bancshares, Inc./OH

 

2,154,759

 

16,805

 

Iberiabank Corp.

 

953,348

 

45,327

 

International Bancshares Corp.

 

760,134

 

746,303

 

KeyCorp

 

4,373,336

 

60,568

 

M&T Bank Corp.

 

3,972,049

 

310,615

 

Marshall & Ilsley Corp.

 

1,786,036

 

30,782

 

MB Financial, Inc.

 

574,084

 

103,977

 

National Penn Bancshares, Inc.

 

573,953

 

55,432

 

Old National Bancorp/IN

 

645,229

 

21,743

 

PacWest Bancorp

 

400,071

 

9,535

 

Park National Corp.

 

570,288

 

391,878

 

PNC Financial Services Group, Inc.

 

22,340,965

 

219,833

 

Popular, Inc.

 

521,004

 

40,456

 

PrivateBancorp, Inc.

 

400,110

 

39,104

 

Prosperity Bancshares, Inc.

 

1,557,512

 

1,009,451

 

Regions Financial Corp.

 

5,915,383

 

69,858

 

Sterling Bancshares, Inc./TX

 

350,687

 

423,656

 

SunTrust Banks, Inc.

 

10,010,991

 

73,120

 

Susquehanna Bancshares, Inc.

 

419,709

 

34,584

 

SVB Financial Group*

 

1,309,350

 

359,577

 

Synovus Financial Corp.

 

701,175

 

102,418

 

TCF Financial Corp.

 

1,345,773

 

42,863

 

Trustmark Corp.

 

821,255

 

1,624,307

 

U.S. Bancorp

 

39,194,528

 

28,310

 

UMB Financial Corp.

 

1,112,583

 

70,473

 

Umpqua Holdings Corp.

 

828,762

 

36,672

 

United Bankshares, Inc.

 

627,091

 

120,273

 

Valley National Bancorp

 

1,590,009

 

57,937

 

Webster Financial Corp.

 

737,538

 

3,767,723

 

Wells Fargo & Co.

 

105,646,953

 

24,649

 

Westamerica Bancorp.

 

1,311,327

 

57,253

 

Whitney Holding Corp./LA

 

460,887

 

58,950

 

Wilmington Trust Corp.

 

723,317

 

20,062

 

Wintrust Financial Corp.

 

521,010

 

107,430

 

Zions Bancorp.

 

1,412,705

 

 

 

 

 

264,058,581

 

 

 

Consumer Finance - 3.2%

 

 

 

 

 

 

 

 

 

894,074

 

American Express Co.

 

37,399,116

 

50,603

 

AmeriCredit Corp.*

 

933,625

 

380,403

 

Capital One Financial Corp.

 

14,592,259

 

462,010

 

Discover Financial Services

 

7,142,675

 

396,518

 

SLM Corp.*

 

4,349,803

 

 

 

 

 

64,417,478

 

 

 

Diversified Financial Services - 17.4%

 

 

 

 

 

 

 

 

 

7,349,584

 

Bank of America Corp.

 

116,490,906

 

12,906,496

 

Citigroup, Inc.

 

53,045,699

 

56,882

 

CME Group, Inc.

 

18,670,379

 

61,419

 

IntercontinentalExchange, Inc.*

 

6,558,935

 

3,340,616

 

JPMorgan Chase & Co.

 

141,942,774

 

160,081

 

Moody’s Corp.

 

3,718,682

 

84,951

 

MSCI, Inc., Class A*

 

2,588,457

 

135,455

 

NASDAQ OMX Group, Inc. (The)*

 

2,530,299

 

219,883

 

NYSE Euronext

 

5,558,642

 

 

 

 

 

351,104,773

 

 

 

Insurance - 14.1%

 

 

 

 

 

 

 

 

 

282,850

 

ACE Ltd.*

 

13,777,623

 

395,928

 

Aflac, Inc.

 

18,224,566

 

5,372

 

Alleghany Corp.*

 

1,434,109

 

30,472

 

Allied World Assurance Co. Holdings Ltd.

 

1,456,257

 

455,381

 

Allstate Corp. (The)

 

12,937,374

 

244,348

 

Ambac Financial Group, Inc.*

 

188,148

 

65,727

 

American Financial Group, Inc./OH

 

1,594,537

 

100,364

 

American International Group, Inc.*

 

2,850,338

 

13,486

 

American National Insurance Co.

 

1,463,501

 

207,332

 

AON Corp.

 

8,029,968

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

47,666

 

Arch Capital Group Ltd.*

 

$

3,328,993

 

26,086

 

Argo Group International Holdings Ltd.*

 

760,929

 

84,751

 

Arthur J. Gallagher & Co.

 

1,898,422

 

63,916

 

Aspen Insurance Holdings Ltd.

 

1,656,064

 

100,158

 

Assurant, Inc.

 

3,061,830

 

106,363

 

Assured Guaranty Ltd.

 

2,412,313

 

121,475

 

Axis Capital Holdings Ltd.

 

3,400,085

 

97,793

 

Brown & Brown, Inc.

 

1,745,605

 

299,057

 

Chubb Corp.

 

14,994,718

 

129,072

 

Cincinnati Financial Corp.

 

3,293,917

 

40,602

 

Delphi Financial Group, Inc., Class A

 

887,560

 

43,389

 

Endurance Specialty Holdings Ltd.

 

1,622,315

 

26,798

 

Erie Indemnity Co., Class A

 

990,722

 

48,605

 

Everest Re Group Ltd.

 

4,136,772

 

195,903

 

Fidelity National Financial, Inc., Class A

 

2,721,093

 

69,655

 

First American Corp.

 

2,209,457

 

408,882

 

Genworth Financial, Inc., Class A*

 

4,403,659

 

43,859

 

Hanover Insurance Group, Inc. (The)

 

1,825,850

 

327,313

 

Hartford Financial Services Group, Inc.

 

8,006,076

 

95,259

 

HCC Insurance Holdings, Inc.

 

2,489,118

 

33,243

 

Horace Mann Educators Corp.

 

399,581

 

217,295

 

Lincoln National Corp.

 

4,978,228

 

301,010

 

Loews Corp.

 

10,661,774

 

8,441

 

Markel Corp.*

 

2,861,499

 

443,960

 

Marsh & McLennan Cos., Inc.

 

10,011,298

 

40,110

 

Max Capital Group Ltd.

 

873,997

 

137,439

 

MBIA, Inc.*

 

475,539

 

22,390

 

Mercury General Corp.

 

827,087

 

492,055

 

MetLife, Inc.

 

16,823,360

 

68,186

 

Montpelier Re Holdings Ltd.

 

1,141,434

 

191,426

 

Old Republic International Corp.

 

2,036,773

 

48,203

 

PartnerRe Ltd.

 

3,713,559

 

42,215

 

Platinum Underwriters Holdings Ltd.

 

1,489,767

 

255,140

 

Principal Financial Group, Inc.

 

6,478,005

 

28,103

 

ProAssurance Corp.*

 

1,496,485

 

538,734

 

Progressive Corp. (The)*

 

9,034,569

 

72,751

 

Protective Life Corp.

 

1,203,302

 

391,505

 

Prudential Financial, Inc.

 

19,516,524

 

61,907

 

Reinsurance Group of America, Inc.

 

2,878,675

 

52,893

 

RenaissanceRe Holdings Ltd.

 

2,818,139

 

16,378

 

RLI Corp.

 

825,942

 

44,733

 

Selective Insurance Group, Inc.

 

697,835

 

41,586

 

StanCorp Financial Group, Inc.

 

1,543,256

 

70,193

 

Torchmark Corp.

 

3,051,992

 

30,829

 

Tower Group, Inc.

 

760,860

 

48,506

 

Transatlantic Holdings, Inc.

 

2,621,264

 

482,093

 

Travelers Cos., Inc. (The)

 

25,256,852

 

38,732

 

Unitrin, Inc.

 

864,111

 

281,208

 

Unum Group

 

5,354,200

 

66,538

 

Validus Holdings Ltd.

 

1,763,257

 

119,814

 

W. R. Berkley Corp.

 

2,960,604

 

6,478

 

White Mountains Insurance Group Ltd.

 

2,110,727

 

141,183

 

Willis Group Holdings Ltd.

 

3,833,118

 

290,715

 

XL Capital Ltd., Class A

 

5,322,992

 

31,646

 

Zenith National Insurance Corp.

 

904,759

 

 

 

 

 

285,393,283

 

 

 

IT Services - 3.1%

 

 

 

 

 

 

 

 

 

81,687

 

Mastercard, Inc., Class A

 

19,675,131

 

390,981

 

Visa, Inc., Class A

 

31,669,461

 

595,649

 

Western Union Co. (The)

 

10,989,724

 

 

 

 

 

62,334,316

 

 

 

Professional Services - 0.2%

 

 

 

 

 

 

 

 

 

107,304

 

Equifax, Inc.

 

3,074,260

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts - 9.3%

 

 

 

 

 

 

 

 

 

33,288

 

Alexandria Real Estate Equities, Inc.

 

1,876,445

 

124,157

 

AMB Property Corp.

 

2,923,897

 

44,672

 

American Campus Communities, Inc.

 

1,203,910

 

462,485

 

Annaly Capital Management, Inc.

 

8,514,349

 

99,192

 

Apartment Investment & Management Co., Class A

 

1,340,084

 

67,456

 

AvalonBay Communities, Inc.

 

4,873,021

 

81,849

 

BioMed Realty Trust, Inc.

 

1,120,513

 

117,717

 

Boston Properties, Inc.

 

7,884,685

 

109,113

 

Brandywine Realty Trust

 

1,071,490

 

44,787

 

BRE Properties, Inc.

 

1,403,177

 

54,547

 

Camden Property Trust

 

2,113,696

 

117,052

 

CBL & Associates Properties, Inc.

 

1,083,902

 

534,004

 

Chimera Investment Corp.

 

2,152,036

 

42,370

 

Colonial Properties Trust

 

458,020

 

49,227

 

Corporate Office Properties Trust

 

1,683,071

 

173,453

 

DCT Industrial Trust, Inc.

 

823,902

 

108,212

 

Developers Diversified Realty Corp.

 

1,095,105

 

91,575

 

DiamondRock Hospitality Co.*

 

736,263

 

59,406

 

Digital Realty Trust, Inc.

 

2,890,696

 

103,124

 

Douglas Emmett, Inc.

 

1,414,861

 

190,161

 

Duke Realty Corp.

 

2,131,705

 

22,065

 

EastGroup Properties, Inc.

 

836,705

 

29,744

 

Entertainment Properties Trust

 

939,613

 

23,301

 

Equity Lifestyle Properties, Inc.

 

1,118,681

 

232,664

 

Equity Residential

 

7,494,107

 

23,205

 

Essex Property Trust, Inc.

 

1,850,599

 

51,891

 

Federal Realty Investment Trust

 

3,337,629

 

53,913

 

Franklin Street Properties Corp.

 

608,678

 

30,655

 

Hatteras Financial Corp.

 

938,043

 

247,034

 

HCP, Inc.

 

7,732,164

 

101,881

 

Health Care REIT, Inc.

 

4,538,799

 

49,945

 

Healthcare Realty Trust, Inc.

 

1,103,285

 

60,152

 

Highwoods Properties, Inc.

 

1,841,253

 

27,881

 

Home Properties, Inc.

 

1,252,693

 

103,738

 

Hospitality Properties Trust

 

2,013,555

 

506,789

 

Host Hotels & Resorts, Inc.

 

5,331,420

 

191,409

 

HRPT Properties Trust

 

1,175,251

 

36,717

 

Kilroy Realty Corp.

 

1,106,283

 

319,836

 

Kimco Realty Corp.

 

3,940,380

 

53,875

 

LaSalle Hotel Properties

 

1,003,691

 

82,650

 

Lexington Realty Trust

 

401,678

 

94,742

 

Liberty Property Trust

 

2,808,153

 

69,647

 

Macerich Co. (The)

 

2,072,695

 

66,435

 

Mack-Cali Realty Corp.

 

2,038,890

 

231,615

 

MFA Financial, Inc.

 

1,753,326

 

23,883

 

Mid-America Apartment Communities, Inc.

 

1,110,798

 

67,905

 

National Retail Properties, Inc.

 

1,360,816

 

90,771

 

Nationwide Health Properties, Inc.

 

3,087,122

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

70,691

 

Omega Healthcare Investors, Inc.

 

$

1,278,800

 

138,243

 

Plum Creek Timber Co., Inc.

 

4,768,001

 

37,594

 

Post Properties, Inc.

 

692,857

 

33,655

 

Potlatch Corp.

 

990,803

 

376,057

 

ProLogis

 

4,918,826

 

109,080

 

Public Storage

 

8,680,586

 

66,501

 

Rayonier, Inc.

 

2,642,750

 

88,550

 

Realty Income Corp.

 

2,239,429

 

59,095

 

Redwood Trust, Inc.

 

849,195

 

68,000

 

Regency Centers Corp.

 

2,275,960

 

107,903

 

Senior Housing Properties Trust

 

2,241,145

 

240,221

 

Simon Property Group, Inc.

 

17,454,458

 

65,365

 

SL Green Realty Corp.

 

2,903,513

 

63,821

 

Sunstone Hotel Investors, Inc.*

 

516,950

 

33,935

 

Tanger Factory Outlet Centers

 

1,331,949

 

44,604

 

Taubman Centers, Inc.

 

1,532,593

 

126,765

 

UDR, Inc.

 

1,897,672

 

132,971

 

Ventas, Inc.

 

5,708,445

 

152,380

 

Vornado Realty Trust

 

9,974,795

 

49,433

 

Washington Real Estate Investment Trust

 

1,290,201

 

101,709

 

Weingarten Realty Investors

 

1,974,172

 

 

 

 

 

187,754,235

 

 

 

Real Estate Management & Development - 0.5%

 

 

 

 

 

 

 

 

 

219,929

 

Brookfield Properties Corp.

 

2,476,401

 

190,463

 

CB Richard Ellis Group, Inc., Class A*

 

2,176,992

 

101,287

 

Forest City Enterprises, Inc., Class A*

 

1,086,809

 

30,435

 

Forestar Group, Inc.*

 

564,569

 

34,788

 

Jones Lang LaSalle, Inc.

 

1,769,666

 

77,889

 

St. Joe Co. (The)*

 

1,939,436

 

 

 

 

 

10,013,873

 

 

 

Thrifts & Mortgage Finance - 0.9%

 

 

 

 

 

 

 

 

 

74,964

 

Astoria Financial Corp.

 

778,126

 

18,082

 

Capitol Federal Financial

 

527,633

 

154,919

 

First Niagara Financial Group, Inc.

 

2,043,382

 

409,223

 

Hudson City Bancorp, Inc.

 

5,438,574

 

106,062

 

MGIC Investment Corp.*

 

424,248

 

292,351

 

New York Community Bancorp, Inc.

 

3,417,583

 

84,734

 

NewAlliance Bancshares, Inc.

 

998,166

 

145,476

 

People’s United Financial, Inc.

 

2,369,804

 

48,235

 

Provident Financial Services, Inc.

 

510,326

 

79,842

 

TFS Financial Corp.

 

892,634

 

64,295

 

TrustCo Bank Corp. NY

 

396,057

 

73,622

 

Washington Federal, Inc.

 

1,402,499

 

 

 

 

 

19,199,032

 

 

 

Total Common Stocks
(Cost $961,847,765)

 

1,491,856,750

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 2.9%

 

 

 

$

1,649,724

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,649,731(b)

 

1,649,724

 

3,299,447

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,299,462(c)

 

3,299,447

 

9,898,341

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $9,898,456 (d)

 

9,898,341

 

1,983,781

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,983,789 (e)

 

1,983,781

 

3,464,419

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $3,464,434 (f)

 

3,464,419

 

6,598,894

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $6,599,035(g)

 

6,598,894

 

1,649,724

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $1,649,731(h)

 

1,649,724

 

9,898,341

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $9,898,385(i)

 

9,898,341

 

8,248,618

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $8,248,655(j)

 

8,248,618

 

4,949,171

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $4,949,192(k)

 

4,949,171

 

7,615,691

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $7,615,725(l)

 

7,615,691

 

 

 

Total Repurchase Agreements
(Cost $59,256,151)

 

59,256,151

 

 

 

Total Investment Securities
(Cost $1,021,103,916) — 76.8%

 

1,551,112,901

 

 

 

Other assets less liabilities — 23.2%

 

467,978,473

 

 

 

Net Assets — 100.0%

 

$

2,019,091,374

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $639,359,577.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $1,682,719. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $3,365,436. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $10,096,343. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $2,023,458. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $3,533,734. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $6,730,885. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $1,682,721. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $10,096,320. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $8,413,610. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $5,048,170. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $7,768,016. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

77,070,128

 

Aggregate gross unrealized depreciation

 

(10,643,427

)

Net unrealized appreciation

 

$

66,426,701

 

Federal income tax cost of investments

 

$

1,484,686,200

 

 

Swap Agreements

 

Ultra Financials had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones U.S. FinancialsSM Index

 

$

284,709,009

 

$

(5,853,765

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index

 

402,020,500

 

(11,160,450

)

 

 

 

 

 

 

Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones U.S. FinancialsSM Index

 

287,794,091

 

3,581,210

 

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index

 

1,357,959,340

 

486,636,629

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index

 

221,077,719

 

(4,817,314

)

 

 

 

 

 

 

 

 

 

 

$

468,386,310

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

1,491,856,750

 

$

—

 

$

1,491,856,750

 

Repurchase Agreements

 

—

 

59,256,151

 

59,256,151

 

Total Investment Securities

 

1,491,856,750

 

59,256,151

 

1,551,112,901

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

468,386,310

 

468,386,310

 

Total Other Financial Instruments

 

—

 

468,386,310

 

468,386,310

 

Total Investments

 

$

1,491,856,750

 

$

527,642,461

 

$

2,019,499,211

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Ultra Industrials

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 79.5%

 

 

 

 

 

Aerospace & Defense - 14.8%

 

 

 

 

 

 

 

 

 

920

 

AAR Corp.*

 

$

17,167

 

775

 

Alliant Techsystems, Inc.*

 

66,433

 

2,398

 

BE Aerospace, Inc.*

 

46,209

 

15,536

 

Boeing Co. (The)

 

814,242

 

612

 

Ceradyne, Inc.*

 

10,349

 

1,074

 

Curtiss-Wright Corp.

 

30,566

 

703

 

Esterline Technologies Corp.*

 

28,394

 

7,639

 

General Dynamics Corp.

 

503,410

 

2,921

 

Goodrich Corp.

 

173,332

 

2,283

 

Hexcel Corp.*

 

24,086

 

16,331

 

Honeywell International, Inc.

 

628,254

 

4,305

 

ITT Corp.

 

222,655

 

2,769

 

L-3 Communications Holdings, Inc.

 

217,006

 

7,263

 

Lockheed Martin Corp.

 

560,921

 

913

 

Moog, Inc., Class A*

 

24,112

 

7,036

 

Northrop Grumman Corp.

 

385,573

 

1,353

 

Orbital Sciences Corp.*

 

16,953

 

3,310

 

Precision Castparts Corp.

 

343,181

 

9,241

 

Raytheon Co.

 

476,189

 

3,752

 

Rockwell Collins, Inc.

 

200,582

 

2,485

 

Spirit Aerosystems Holdings, Inc., Class A*

 

45,302

 

852

 

Teledyne Technologies, Inc.*

 

28,559

 

880

 

TransDigm Group, Inc.

 

38,148

 

20,818

 

United Technologies Corp.

 

1,399,802

 

 

 

 

 

6,301,425

 

 

 

Air Freight & Logistics - 4.7%

 

 

 

 

 

 

 

 

 

4,029

 

C.H. Robinson Worldwide, Inc.

 

224,576

 

5,061

 

Expeditors International of Washington, Inc.

 

161,598

 

6,907

 

FedEx Corp.

 

583,296

 

683

 

Forward Air Corp.

 

15,477

 

897

 

HUB Group, Inc., Class A*

 

23,726

 

16,599

 

United Parcel Service, Inc., Class B

 

953,944

 

2,365

 

UTi Worldwide, Inc.

 

30,911

 

 

 

 

 

1,993,528

 

 

 

Building Products - 0.6%

 

 

 

 

 

 

 

 

 

1,240

 

Lennox International, Inc.

 

46,029

 

8,533

 

Masco Corp.

 

115,878

 

2,079

 

Owens Corning*

 

49,127

 

893

 

Quanex Building Products Corp.

 

14,475

 

902

 

Simpson Manufacturing Co., Inc.

 

22,424

 

1,598

 

USG Corp.*

 

22,100

 

 

 

 

 

270,033

 

 

 

Chemicals - 0.2%

 

 

 

 

 

 

 

 

 

3,266

 

Nalco Holding Co.

 

79,886

 

 

 

 

 

 

 

 

 

Commercial Services & Supplies - 3.1%

 

 

 

 

 

 

 

 

 

1,022

 

ABM Industries, Inc.

 

18,836

 

1,086

 

Brink’s Co. (The)

 

24,413

 

3,148

 

Cintas Corp.

 

88,427

 

544

 

Clean Harbors, Inc.*

 

29,115

 

2,733

 

Corrections Corp. of America*

 

68,298

 

1,220

 

Deluxe Corp.

 

15,738

 

439

 

G&K Services, Inc., Class A

 

9,702

 

4,384

 

Iron Mountain, Inc.*

 

105,216

 

752

 

Mine Safety Appliances Co.

 

18,605

 

4,866

 

R.R. Donnelley & Sons Co.

 

100,142

 

7,352

 

Republic Services, Inc.

 

207,326

 

2,016

 

Stericycle, Inc.*

 

110,336

 

1,430

 

Tetra Tech, Inc.*

 

37,666

 

563

 

United Stationers, Inc.*

 

28,679

 

1,893

 

Waste Connections, Inc.*

 

61,428

 

11,760

 

Waste Management, Inc.

 

386,198

 

 

 

 

 

1,310,125

 

 

 

Communications Equipment - 0.2%

 

 

 

 

 

 

 

 

 

418

 

Black Box Corp.

 

11,784

 

2,224

 

CommScope, Inc.*

 

55,889

 

 

 

 

 

67,673

 

 

 

Construction & Engineering - 1.9%

 

 

 

 

 

 

 

 

 

2,261

 

Aecom Technology Corp.*

 

57,429

 

1,552

 

EMCOR Group, Inc.*

 

36,938

 

4,306

 

Fluor Corp.

 

182,919

 

2,996

 

Foster Wheeler AG*

 

89,401

 

813

 

Granite Construction, Inc.

 

24,366

 

912

 

Insituform Technologies, Inc., Class A*

 

18,878

 

2,941

 

Jacobs Engineering Group, Inc.*

 

102,905

 

3,833

 

KBR, Inc.

 

71,409

 

4,667

 

Quanta Services, Inc.*

 

87,506

 

1,970

 

Shaw Group, Inc. (The)*

 

56,204

 

1,984

 

URS Corp.*

 

82,435

 

 

 

 

 

810,390

 

 

 

Construction Materials - 0.6%

 

 

 

 

 

 

 

 

 

1,031

 

Eagle Materials, Inc.

 

27,796

 

1,054

 

Martin Marietta Materials, Inc.

 

89,896

 

552

 

Texas Industries, Inc.

 

19,176

 

2,683

 

Vulcan Materials Co.

 

130,072

 

 

 

 

 

266,940

 

 

 

Containers & Packaging - 2.1%

 

 

 

 

 

 

 

 

 

1,492

 

Aptargroup, Inc.

 

53,891

 

2,245

 

Ball Corp.

 

110,925

 

2,563

 

Bemis Co., Inc.

 

75,096

 

3,793

 

Crown Holdings, Inc.*

 

95,470

 

577

 

Greif, Inc., Class A

 

32,231

 

3,957

 

Owens-Illinois, Inc.*

 

123,735

 

2,431

 

Packaging Corp. of America

 

48,426

 

3,131

 

Pactiv Corp.*

 

76,240

 

902

 

Rock-Tenn Co., Class A

 

40,743

 

3,751

 

Sealed Air Corp.

 

83,610

 

602

 

Silgan Holdings, Inc.

 

32,249

 

2,359

 

Sonoco Products Co.

 

66,477

 

2,524

 

Temple-Inland, Inc.

 

45,407

 

 

 

 

 

884,500

 

 

 

Diversified Consumer Services - 0.1%

 

 

 

 

 

 

 

 

 

1,086

 

Brink’s Home Security Holdings, Inc.*

 

35,534

 

 

 

 

 

 

 

 

 

Diversified Financial Services - 0.0%

 

 

 

 

 

 

 

 

 

1,282

 

PHH Corp.*

 

17,717

 

 

 

 

 

 

 

 

 

Electrical Equipment - 3.9%

 

 

 

 

 

 

 

 

 

1,023

 

Acuity Brands, Inc.

 

33,022

 

958

 

American Superconductor Corp.*

 

31,806

 

2,516

 

AMETEK, Inc.

 

91,985

 

1,012

 

Baldor Electric Co.

 

26,059

 

1,103

 

Belden, Inc.

 

24,398

 

1,157

 

Brady Corp., Class A

 

34,340

 

4,126

 

Cooper Industries plc, Class A

 

176,139

 

17,926

 

Emerson Electric Co.

 

742,316

 

981

 

EnerSys*

 

22,328

 

1,234

 

General Cable Corp.*

 

36,230

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,837

 

GrafTech International Ltd.*

 

$

41,732

 

1,157

 

Hubbell, Inc., Class B

 

52,539

 

851

 

Regal-Beloit Corp.

 

40,388

 

3,003

 

Rockwell Automation, Inc.

 

130,601

 

2,150

 

Roper Industries, Inc.

 

111,886

 

1,263

 

Thomas & Betts Corp.*

 

46,100

 

1,358

 

Woodward Governor Co.

 

31,587

 

 

 

 

 

1,673,456

 

 

 

Electronic Equipment, Instruments & Components - 3.6%

 

 

 

 

 

 

 

 

 

8,195

 

Agilent Technologies, Inc.*

 

236,999

 

4,062

 

Amphenol Corp., Class A

 

167,354

 

726

 

Anixter International, Inc.*

 

31,378

 

2,840

 

Arrow Electronics, Inc.*

 

74,635

 

3,550

 

Avnet, Inc.*

 

96,737

 

1,218

 

AVX Corp.

 

14,689

 

1,545

 

Benchmark Electronics, Inc.*

 

27,856

 

916

 

Checkpoint Systems, Inc.*

 

12,989

 

858

 

Cognex Corp.

 

14,123

 

19,215

 

Flextronics International Ltd.*

 

135,850

 

3,569

 

FLIR Systems, Inc.*

 

102,430

 

948

 

Itron, Inc.*

 

57,629

 

4,694

 

Jabil Circuit, Inc.

 

62,477

 

516

 

Littelfuse, Inc.*

 

13,509

 

1,529

 

Molex, Inc.

 

28,424

 

1,669

 

Molex, Inc., Class A

 

27,372

 

1,456

 

National Instruments Corp.

 

41,540

 

931

 

Plexus Corp.*

 

25,286

 

2,851

 

Trimble Navigation Ltd.*

 

63,663

 

10,865

 

Tyco Electronics Ltd.

 

252,177

 

4,082

 

Vishay Intertechnology, Inc.*

 

29,595

 

 

 

 

 

1,516,712

 

 

 

Health Care Equipment & Supplies - 0.1%

 

 

 

 

 

 

 

 

 

939

 

Teleflex, Inc.

 

48,912

 

 

 

 

 

 

 

 

 

Health Care Technology - 0.2%

 

 

 

 

 

 

 

 

 

4,304

 

IMS Health, Inc.

 

91,933

 

 

 

 

 

 

 

 

 

Household Durables - 0.3%

 

 

 

 

 

 

 

 

 

3,560

 

Fortune Brands, Inc.

 

136,740

 

 

 

 

 

 

 

 

 

Industrial Conglomerates - 13.9%

 

 

 

 

 

 

 

 

 

15,218

 

3M Co.

 

1,178,482

 

1,449

 

Carlisle Cos., Inc.

 

46,527

 

250,703

 

General Electric Co.

 

4,016,262

 

5,384

 

McDermott International, Inc.*

 

112,741

 

6,415

 

Textron, Inc.

 

128,621

 

11,274

 

Tyco International Ltd.

 

404,398

 

 

 

 

 

5,887,031

 

 

 

Internet Software & Services - 0.1%

 

 

 

 

 

 

 

 

 

932

 

Vistaprint N.V.*

 

53,152

 

 

 

 

 

 

 

 

 

IT Services - 5.8%

 

 

 

 

 

 

 

 

 

13,629

 

Accenture plc, Class A

 

559,334

 

2,159

 

Affiliated Computer Services, Inc., Class A*

 

119,177

 

1,379

 

Alliance Data Systems Corp.*

 

84,105

 

11,908

 

Automatic Data Processing, Inc.

 

517,403

 

3,332

 

Broadridge Financial Solutions, Inc.

 

73,237

 

2,756

 

Convergys Corp.*

 

30,812

 

1,650

 

Cybersource Corp.*

 

28,330

 

1,131

 

Euronet Worldwide, Inc.*

 

24,022

 

7,363

 

Fidelity National Information Services, Inc.

 

166,404

 

3,694

 

Fiserv, Inc.*

 

170,811

 

1,913

 

Global Payments, Inc.

 

98,060

 

2,038

 

Hewitt Associates, Inc., Class A*

 

81,887

 

2,252

 

Lender Processing Services, Inc.

 

94,089

 

522

 

Mantech International Corp., Class A*

 

22,592

 

1,715

 

NeuStar, Inc., Class A*

 

40,131

 

7,694

 

Paychex, Inc.

 

241,207

 

745

 

TeleTech Holdings, Inc.*

 

14,371

 

4,675

 

Total System Services, Inc.

 

80,784

 

909

 

Wright Express Corp.*

 

26,516

 

 

 

 

 

2,473,272

 

 

 

Life Sciences Tools & Services - 0.4%

 

 

 

 

 

 

 

 

 

423

 

Dionex Corp.*

 

29,656

 

795

 

Mettler-Toledo International, Inc.*

 

79,087

 

2,770

 

PerkinElmer, Inc.

 

52,270

 

 

 

 

 

161,013

 

 

 

Machinery - 12.6%

 

 

 

 

 

 

 

 

 

1,564

 

Actuant Corp., Class A

 

25,540

 

2,170

 

AGCO Corp.*

 

65,773

 

408

 

Astec Industries, Inc.*

 

10,184

 

1,779

 

Bucyrus International, Inc.

 

92,134

 

14,752

 

Caterpillar, Inc.

 

861,369

 

1,211

 

CLARCOR, Inc.

 

38,595

 

1,204

 

Crane Co.

 

33,652

 

4,285

 

Cummins, Inc.

 

192,397

 

5,854

 

Danaher Corp.

 

415,166

 

9,993

 

Deere & Co.

 

534,725

 

1,602

 

Donaldson Co., Inc.

 

68,085

 

4,413

 

Dover Corp.

 

180,403

 

3,931

 

Eaton Corp.

 

251,191

 

611

 

ESCO Technologies, Inc.*

 

20,407

 

1,342

 

Flowserve Corp.

 

133,475

 

1,228

 

Gardner Denver, Inc.

 

45,964

 

1,425

 

Graco, Inc.

 

40,142

 

1,906

 

Harsco Corp.

 

59,143

 

1,914

 

IDEX Corp.

 

56,712

 

10,184

 

Illinois Tool Works, Inc.

 

495,350

 

7,533

 

Ingersoll-Rand plc

 

266,442

 

2,426

 

Joy Global, Inc.

 

129,888

 

790

 

Kaydon Corp.

 

28,092

 

1,905

 

Kennametal, Inc.

 

42,863

 

965

 

Lincoln Electric Holdings, Inc.

 

49,582

 

3,079

 

Manitowoc Co., Inc. (The)

 

30,236

 

878

 

Mueller Industries, Inc.

 

20,642

 

2,725

 

Mueller Water Products, Inc., Class A

 

13,734

 

1,257

 

Navistar International Corp.*

 

41,494

 

724

 

Nordson Corp.

 

38,814

 

2,069

 

Oshkosh Corp.

 

82,201

 

8,179

 

PACCAR, Inc.

 

303,277

 

2,815

 

Pall Corp.

 

89,601

 

3,825

 

Parker Hannifin Corp.

 

206,397

 

2,334

 

Pentair, Inc.

 

70,253

 

1,161

 

SPX Corp.

 

61,870

 

2,563

 

Terex Corp.*

 

48,261

 

1,832

 

Timken Co.

 

45,195

 

853

 

Toro Co.

 

33,984

 

1,888

 

Trinity Industries, Inc.

 

35,627

 

499

 

Valmont Industries, Inc.

 

38,243

 

1,150

 

Westinghouse Air Brake Technologies Corp.

 

44,275

 

 

 

 

 

5,341,378

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Marine - 0.2%

 

 

 

 

 

 

 

 

 

983

 

Alexander & Baldwin, Inc.

 

$

30,031

 

655

 

Genco Shipping & Trading Ltd.*

 

15,379

 

1,275

 

Kirby Corp.*

 

42,521

 

 

 

 

 

87,931

 

 

 

Metals & Mining - 0.1%

 

 

 

 

 

 

 

 

 

524

 

Schnitzer Steel Industries, Inc., Class A

 

23,381

 

 

 

 

 

 

 

 

 

Multi-Utilities - 0.2%

 

 

 

 

 

 

 

 

 

4,041

 

MDU Resources Group, Inc.

 

91,327

 

 

 

 

 

 

 

 

 

Office Electronics - 0.1%

 

 

 

 

 

 

 

 

 

1,413

 

Zebra Technologies Corp., Class A*

 

37,600

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels - 0.2%

 

 

 

 

 

 

 

 

 

1,237

 

General Maritime Corp.

 

8,746

 

563

 

Overseas Shipholding Group, Inc.

 

21,568

 

1,003

 

Teekay Corp.

 

24,072

 

694

 

World Fuel Services Corp.

 

36,907

 

 

 

 

 

91,293

 

 

 

Paper & Forest Products - 0.7%

 

 

 

 

 

 

 

 

 

2,388

 

Louisiana-Pacific Corp.*

 

14,901

 

3,548

 

MeadWestvaco Corp.

 

97,109

 

4,972

 

Weyerhaeuser Co.

 

193,610

 

 

 

 

 

305,620

 

 

 

Professional Services - 1.0%

 

 

 

 

 

 

 

 

 

539

 

Administaff, Inc.

 

12,014

 

808

 

Corporate Executive Board Co. (The)

 

16,936

 

1,221

 

FTI Consulting, Inc.*

 

56,483

 

1,854

 

Manpower, Inc.

 

91,328

 

2,992

 

Monster Worldwide, Inc.*

 

43,713

 

2,194

 

MPS Group, Inc.*

 

29,948

 

1,187

 

Navigant Consulting, Inc.*

 

15,728

 

1,069

 

Resources Connection, Inc.*

 

20,600

 

3,594

 

Robert Half International, Inc.

 

80,254

 

1,029

 

TrueBlue, Inc.*

 

12,513

 

1,007

 

Watson Wyatt Worldwide, Inc., Class A

 

41,629

 

 

 

 

 

421,146

 

 

 

Road & Rail - 6.3%

 

 

 

 

 

 

 

 

 

540

 

Arkansas Best Corp.

 

13,295

 

6,568

 

Burlington Northern Santa Fe Corp.

 

645,635

 

1,162

 

Con-way, Inc.

 

35,209

 

9,294

 

CSX Corp.

 

441,279

 

893

 

Genesee & Wyoming, Inc., Class A*

 

27,790

 

1,316

 

Heartland Express, Inc.

 

19,411

 

2,241

 

J.B. Hunt Transport Services, Inc.

 

71,398

 

2,253

 

Kansas City Southern*

 

64,503

 

1,387

 

Knight Transportation, Inc.

 

23,593

 

1,228

 

Landstar System, Inc.

 

45,829

 

8,701

 

Norfolk Southern Corp.

 

447,231

 

717

 

Old Dominion Freight Line, Inc.*

 

18,986

 

1,322

 

Ryder System, Inc.

 

53,594

 

11,946

 

Union Pacific Corp.

 

755,704

 

1,215

 

Werner Enterprises, Inc.

 

22,672

 

 

 

 

 

2,686,129

 

 

 

Semiconductors & Semiconductor Equipment - 0.1%

 

 

 

 

 

 

 

 

 

734

 

Veeco Instruments, Inc.*

 

20,046

 

 

 

 

 

 

 

 

 

Software - 0.1%

 

 

 

 

 

 

 

 

 

1,989

 

Jack Henry & Associates, Inc.

 

45,449

 

 

 

 

 

 

 

 

 

Specialty Retail - 0.3%

 

 

 

 

 

 

 

 

 

2,347

 

Sherwin-Williams Co. (The)

 

142,791

 

 

 

 

 

 

 

 

 

Trading Companies & Distributors - 1.0%

 

 

 

 

 

 

 

 

 

3,300

 

Fastenal Co.

 

122,364

 

963

 

GATX Corp.

 

27,802

 

603

 

Kaman Corp.

 

13,658

 

1,041

 

MSC Industrial Direct Co., Class A

 

47,782

 

1,427

 

United Rentals, Inc.*

 

13,157

 

1,467

 

W.W. Grainger, Inc.

 

143,326

 

660

 

Watsco, Inc.

 

33,105

 

999

 

WESCO International, Inc.*

 

26,074

 

 

 

 

 

427,268

 

 

 

Total Common Stocks
(Cost $25,554,554)

 

33,801,331

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 8.6%

 

 

 

$

101,077

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $101,077(b)

 

101,077

 

202,154

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $202,155(c)

 

202,154

 

606,462

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $606,469 (d)

 

606,462

 

121,544

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $121,545 (e)

 

121,544

 

212,262

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $212,263 (f)

 

212,262

 

404,308

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $404,317 (g)

 

404,308

 

101,077

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $101,077 (h)

 

101,077

 

606,462

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $606,465 (i)

 

606,462

 

505,385

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $505,387(j)

 

505,385

 

 

See accompanying notes to the financial statements.

 


 

Principal
Amount

 

 

 

Value

 

$

303,231

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $303,232(k)

 

$

303,231

 

466,607

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $466,609(l)

 

466,607

 

 

 

Total Repurchase Agreements (Cost $3,630,569)

 

3,630,569

 

 

 

Total Investment Securities
(Cost $29,185,123) — 88.1%

 

37,431,900

 

 

 

Other assets less liabilities — 11.9%

 

5,077,227

 

 

 

Net Assets — 100.0%

 

$

42,509,127

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $16,026,385.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $103,099. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $206,197. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $618,593. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $123,975. The investment in the repurchase agreement was through participation in a pooled account.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $216,509. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $412,395. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $103,099. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $618,592. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $515,494. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $309,297. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $475,940. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

4,362,007

 

Aggregate gross unrealized depreciation

 

(144,291

)

Net unrealized appreciation

 

$

4,217,716

 

Federal income tax cost of investments

 

$

33,214,184

 

 

Swap Agreements

 

Ultra Industrials had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones U.S. IndustrialsSM Index

 

$

4,786,819

 

$

1,844,785

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index

 

7,946,484

 

(234,446

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index

 

12,944,753

 

4,092,162

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index

 

25,680,165

 

(598,575

)

 

 

 

 

 

 

 

 

 

 

$

5,103,926

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

33,801,331

 

$

—

 

$

33,801,331

 

Repurchase Agreements

 

—

 

3,630,569

 

3,630,569

 

Total Investment Securities

 

33,801,331

 

3,630,569

 

37,431,900

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

5,103,926

 

5,103,926

 

Total Other Financial Instruments

 

—

 

5,103,926

 

5,103,926

 

Total Investments

 

$

33,801,331

 

$

8,734,495

 

$

42,535,826

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2009 (Unaudited)

Credit Suisse 130/30

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 88.3%

 

 

 

 

 

Consumer Discretionary - 11.1%

 

 

 

 

 

 

 

 

 

1,294

 

Amazon.com, Inc.*

 

$

175,868

 

1,742

 

Apollo Group, Inc., Class A*

 

99,416

 

3,658

 

AutoNation, Inc.*

 

64,564

 

2,361

 

Best Buy Co., Inc.

 

101,122

 

3,332

 

Big Lots, Inc.*

 

76,836

 

6,039

 

CBS Corp., Class B

 

77,360

 

2,876

 

Coach, Inc.

 

99,941

 

11,005

 

Comcast Corp., Class A

 

161,443

 

5,562

 

D.R. Horton, Inc.

 

57,177

 

2,131

 

Darden Restaurants, Inc.

 

66,977

 

1,634

 

DeVry, Inc.

 

88,759

 

2,391

 

Family Dollar Stores, Inc.

 

72,949

 

16,198

 

Ford Motor Co.*

 

144,000

 

1,842

 

Fortune Brands, Inc.

 

70,751

 

1,814

 

GameStop Corp., Class A*

 

44,280

 

932

 

Gannett Co., Inc.

 

9,217

 

2,362

 

Genuine Parts Co.

 

84,630

 

4,908

 

Goodyear Tire & Rubber Co. (The)*

 

67,289

 

4,696

 

H&R Block, Inc.

 

95,329

 

763

 

Home Depot, Inc.

 

20,876

 

6,643

 

Interpublic Group of Cos., Inc.*

 

42,050

 

3,707

 

Johnson Controls, Inc.

 

100,274

 

1,409

 

KB Home

 

19,092

 

4,384

 

Leggett & Platt, Inc.

 

85,313

 

3,354

 

Lennar Corp., Class A

 

42,495

 

4,659

 

Limited Brands, Inc.

 

77,293

 

1,015

 

McDonald’s Corp.

 

64,199

 

8,692

 

New York Times Co. (The), Class A*

 

73,360

 

5,819

 

Newell Rubbermaid, Inc.

 

84,434

 

5,994

 

Office Depot, Inc.*

 

36,803

 

2,315

 

O’Reilly Automotive, Inc.*

 

89,776

 

1,130

 

Polo Ralph Lauren Corp.

 

86,841

 

35

 

priceline.com, Inc.*

 

7,494

 

1,232

 

Sears Holdings Corp.*

 

87,410

 

4,870

 

Staples, Inc.

 

113,568

 

1,208

 

Starbucks Corp.*

 

26,455

 

2,302

 

Target Corp.

 

107,181

 

863

 

Time Warner Cable, Inc.

 

36,151

 

1,795

 

TJX Cos., Inc.

 

68,892

 

3,216

 

Walt Disney Co. (The)

 

97,188

 

204

 

Washington Post Co. (The), Class B

 

84,376

 

1,241

 

Whirlpool Corp.

 

92,033

 

931

 

Wynn Resorts Ltd.

 

60,087

 

 

 

 

 

3,261,549

 

 

 

Consumer Staples - 9.6%

 

 

 

 

 

 

 

 

 

7,806

 

Altria Group, Inc.

 

146,831

 

349

 

Archer-Daniels-Midland Co.

 

10,753

 

1,097

 

Avon Products, Inc.

 

37,572

 

2,515

 

Campbell Soup Co.

 

87,950

 

3,472

 

Coca-Cola Co. (The)

 

198,598

 

4,623

 

Coca-Cola Enterprises, Inc.

 

90,842

 

58

 

Colgate-Palmolive Co.

 

4,883

 

4,499

 

ConAgra Foods, Inc.

 

99,833

 

5,766

 

CVS Caremark Corp.

 

178,804

 

5,247

 

Dean Foods Co.*

 

83,427

 

3,504

 

Dr. Pepper Snapple Group, Inc.*

 

91,770

 

2,466

 

H. J. Heinz Co.

 

104,682

 

1,433

 

Hershey Co. (The)

 

50,685

 

2,238

 

Hormel Foods Corp.

 

83,970

 

1,689

 

J.M. Smucker Co. (The)

 

99,786

 

974

 

Kraft Foods, Inc., Class A

 

25,889

 

4,828

 

Kroger Co. (The)

 

109,789

 

1,233

 

McCormick & Co., Inc. (Non-Voting)

 

43,993

 

2,573

 

PepsiCo, Inc.

 

160,092

 

2,414

 

Philip Morris International, Inc.

 

116,089

 

4,909

 

Procter & Gamble Co. (The)

 

306,076

 

1,972

 

Reynolds American, Inc.

 

98,521

 

2,617

 

Safeway, Inc.

 

58,882

 

8,201

 

Sara Lee Corp.

 

99,560

 

5,489

 

SUPERVALU, Inc.

 

75,913

 

6,799

 

Tyson Foods, Inc., Class A

 

81,724

 

89

 

Walgreen Co.

 

3,461

 

3,369

 

Wal-Mart Stores, Inc.

 

183,779

 

3,220

 

Whole Foods Market, Inc.*

 

82,593

 

 

 

 

 

2,816,747

 

 

 

Energy - 8.1%

 

 

 

 

 

 

 

 

 

2,581

 

Baker Hughes, Inc.

 

105,150

 

3,231

 

Chevron Corp.

 

252,147

 

1,612

 

ConocoPhillips

 

83,453

 

1,805

 

CONSOL Energy, Inc.

 

82,886

 

499

 

Denbury Resources, Inc.*

 

6,622

 

944

 

Diamond Offshore Drilling, Inc.

 

93,966

 

1,750

 

ENSCO International, Inc.

 

77,000

 

9,185

 

Exxon Mobil Corp.

 

689,518

 

1,414

 

FMC Technologies, Inc.*

 

77,021

 

1,575

 

Marathon Oil Corp.

 

51,376

 

2,532

 

National Oilwell Varco, Inc.

 

108,927

 

725

 

Occidental Petroleum Corp.

 

58,573

 

2,164

 

Peabody Energy Corp.

 

96,211

 

3,163

 

Rowan Cos., Inc.*

 

78,094

 

1,298

 

Schlumberger Ltd.

 

82,929

 

3,214

 

Smith International, Inc.

 

87,357

 

2,644

 

Southwestern Energy Co.*

 

116,230

 

6,382

 

Tesoro Corp.

 

81,562

 

1,400

 

Williams Cos., Inc. (The)

 

27,846

 

3,090

 

XTO Energy, Inc.

 

131,140

 

 

 

 

 

2,388,008

 

 

 

Financials - 14.1%

 

 

 

 

 

 

 

 

 

2,494

 

Aflac, Inc.

 

114,799

 

3,908

 

Allstate Corp. (The)

 

111,026

 

635

 

American Express Co.

 

26,562

 

2,610

 

Ameriprise Financial, Inc.

 

99,493

 

301

 

Assurant, Inc.

 

9,202

 

22,178

 

Bank of America Corp.

 

351,521

 

3,029

 

Capital One Financial Corp.

 

116,193

 

3,389

 

Cincinnati Financial Corp.

 

86,487

 

6,257

 

Discover Financial Services

 

96,733

 

1,589

 

Federated Investors, Inc., Class B

 

40,964

 

7,350

 

Fifth Third Bancorp

 

74,088

 

6,735

 

First Horizon National Corp.*

 

91,259

 

8,118

 

Genworth Financial, Inc., Class A*

 

87,431

 

1,492

 

Goldman Sachs Group, Inc. (The)

 

253,133

 

4,010

 

Hartford Financial Services Group, Inc.

 

98,085

 

2,071

 

Health Care REIT, Inc. (REIT)

 

92,263

 

6,972

 

Hudson City Bancorp, Inc.

 

92,658

 

10,225

 

JPMorgan Chase & Co.

 

434,460

 

2,990

 

Loews Corp.

 

105,906

 

4,409

 

Marsh & McLennan Cos., Inc.

 

99,423

 

1,779

 

Marshall & Ilsley Corp.

 

10,229

 

746

 

MetLife, Inc.

 

25,506

 

3,783

 

Moody’s Corp.

 

87,879

 

5,268

 

Morgan Stanley

 

166,364

 

4,059

 

NASDAQ OMX Group, Inc. (The)*

 

75,822

 

2,550

 

NYSE Euronext

 

64,464

 

2,725

 

Plum Creek Timber Co., Inc. (REIT)

 

93,985

 

2,433

 

PNC Financial Services Group, Inc.

 

138,705

 

3,230

 

Principal Financial Group, Inc.

 

82,010

 

6,049

 

Progressive Corp. (The)*

 

101,442

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,623

 

Prudential Financial, Inc.

 

$

130,757

 

1,291

 

Public Storage (REIT)

 

102,738

 

7,311

 

U.S. Bancorp

 

176,414

 

2,928

 

Unum Group

 

55,749

 

12,357

 

Wells Fargo & Co.

 

346,490

 

 

 

 

 

4,140,240

 

 

 

Health Care - 9.5%

 

 

 

 

 

 

 

 

 

1,732

 

Abbott Laboratories

 

94,377

 

3,951

 

AmerisourceBergen Corp.

 

97,550

 

939

 

Amgen, Inc.*

 

52,913

 

33

 

Baxter International, Inc.

 

1,800

 

1,503

 

Bristol-Myers Squibb Co.

 

38,041

 

3,305

 

Cardinal Health, Inc.

 

106,520

 

3,576

 

CareFusion Corp.*

 

92,368

 

993

 

Cephalon, Inc.*

 

54,565

 

3,823

 

Coventry Health Care, Inc.*

 

86,209

 

1,939

 

Eli Lilly & Co.

 

71,220

 

1,178

 

Express Scripts, Inc.*

 

101,072

 

2,966

 

Forest Laboratories, Inc.*

 

90,938

 

1,983

 

Genzyme Corp.*

 

100,538

 

3,597

 

Gilead Sciences, Inc.*

 

165,642

 

2,314

 

Humana, Inc.*

 

96,054

 

4,135

 

IMS Health, Inc.

 

88,324

 

373

 

Intuitive Surgical, Inc.*

 

104,641

 

4,673

 

Johnson & Johnson

 

293,651

 

1,947

 

Life Technologies Corp.*

 

96,922

 

1,804

 

McKesson Corp.

 

111,884

 

2,298

 

Medco Health Solutions, Inc.*

 

145,142

 

1,609

 

Medtronic, Inc.

 

68,286

 

3,978

 

Merck & Co., Inc.

 

144,043

 

11,942

 

Pfizer, Inc.

 

216,986

 

926

 

Stryker Corp.

 

46,670

 

15,371

 

Tenet Healthcare Corp.*

 

69,938

 

557

 

Thermo Fisher Scientific, Inc.*

 

26,307

 

2,000

 

UnitedHealth Group, Inc.

 

57,340

 

2,446

 

Watson Pharmaceuticals, Inc.*

 

90,722

 

 

 

 

 

2,810,663

 

 

 

Industrials - 9.0%

 

 

 

 

 

 

 

 

 

424

 

3M Co.

 

32,835

 

46

 

Boeing Co. (The)

 

2,411

 

1,594

 

C.H. Robinson Worldwide, Inc.

 

88,850

 

142

 

CSX Corp.

 

6,742

 

2,079

 

Dover Corp.

 

84,990

 

621

 

Dun & Bradstreet Corp.

 

48,804

 

1,588

 

Eaton Corp.

 

101,473

 

227

 

Expeditors International of Washington, Inc.

 

7,248

 

2,234

 

Fastenal Co.

 

82,837

 

797

 

First Solar, Inc.*

 

94,931

 

86

 

Flowserve Corp.

 

8,554

 

1,842

 

Fluor Corp.

 

78,248

 

2,000

 

General Dynamics Corp.

 

131,800

 

19,735

 

General Electric Co.

 

316,155

 

3,311

 

Iron Mountain, Inc.*

 

79,464

 

1,729

 

ITT Corp.

 

89,424

 

1,954

 

Jacobs Engineering Group, Inc.*

 

68,370

 

1,277

 

L-3 Communications Holdings, Inc.

 

100,078

 

1,760

 

Lockheed Martin Corp.

 

135,925

 

5,347

 

Masco Corp.

 

72,612

 

2,048

 

Northrop Grumman Corp.

 

112,230

 

2,454

 

Raytheon Co.

 

126,455

 

3,626

 

Republic Services, Inc.

 

102,253

 

1,805

 

Ryder System, Inc.

 

73,175

 

2,233

 

Snap-On, Inc.

 

80,723

 

1,659

 

Stericycle, Inc.*

 

90,797

 

1,419

 

Union Pacific Corp.

 

89,766

 

3,328

 

United Parcel Service, Inc., Class B

 

191,260

 

752

 

United Technologies Corp.

 

50,564

 

940

 

W.W. Grainger, Inc.

 

91,838

 

488

 

Waste Management, Inc.

 

16,026

 

 

 

 

 

2,656,838

 

 

 

Information Technology - 15.9%

 

 

 

 

 

 

 

 

 

3,732

 

Akamai Technologies, Inc.*

 

89,568

 

474

 

Altera Corp.

 

9,968

 

2,109

 

Amphenol Corp., Class A

 

86,891

 

2,224

 

Apple, Inc.*

 

444,600

 

3,348

 

Broadcom Corp., Class A*

 

97,762

 

4,222

 

CA, Inc.

 

93,306

 

9,033

 

Cisco Systems, Inc.*

 

211,372

 

2,415

 

Cognizant Technology Solutions Corp., Class A*

 

106,091

 

1,795

 

Computer Sciences Corp.*

 

99,281

 

7,185

 

Convergys Corp.*

 

80,328

 

5,119

 

Corning, Inc.

 

85,385

 

3,500

 

Dell, Inc.*

 

49,420

 

1,625

 

eBay, Inc.*

 

39,764

 

3,616

 

Fidelity National Information Services, Inc.

 

81,722

 

3,102

 

FLIR Systems, Inc.*

 

89,027

 

355

 

Google, Inc., Class A*

 

206,965

 

2,077

 

Harris Corp.

 

91,180

 

6,238

 

Hewlett-Packard Co.

 

306,036

 

8,664

 

Intel Corp.

 

166,349

 

2,190

 

International Business Machines Corp.

 

276,707

 

3,192

 

Intuit, Inc.*

 

93,238

 

5,912

 

Jabil Circuit, Inc.

 

78,689

 

2,429

 

Juniper Networks, Inc.*

 

63,470

 

3,239

 

Linear Technology Corp.

 

87,356

 

15,531

 

LSI Corp.*

 

82,159

 

778

 

McAfee, Inc.*

 

29,681

 

1,870

 

MEMC Electronic Materials, Inc.*

 

22,515

 

12,164

 

Micron Technology, Inc.*

 

91,473

 

14,430

 

Microsoft Corp.

 

424,386

 

659

 

NetApp, Inc.*

 

20,310

 

1,519

 

NVIDIA Corp.*

 

19,838

 

10,937

 

Oracle Corp.

 

241,489

 

5,233

 

QUALCOMM, Inc.

 

235,485

 

3,248

 

Red Hat, Inc.*

 

86,722

 

1,494

 

Salesforce.com, Inc.*

 

93,644

 

764

 

Teradata Corp.*

 

22,385

 

191

 

Texas Instruments, Inc.

 

4,830

 

5,085

 

Total System Services, Inc.

 

87,869

 

2,530

 

Western Digital Corp.*

 

93,205

 

215

 

Western Union Co. (The)

 

3,967

 

12,034

 

Xerox Corp.

 

92,662

 

 

 

 

 

4,687,095

 

 

 

Materials - 2.8%

 

 

 

 

 

 

 

 

 

1,844

 

Airgas, Inc.

 

85,285

 

2,539

 

AK Steel Holding Corp.

 

50,780

 

8,068

 

Alcoa, Inc.

 

101,011

 

1,528

 

Ball Corp.

 

75,499

 

680

 

Dow Chemical Co. (The)

 

18,891

 

1,511

 

Eastman Chemical Co.

 

90,841

 

1,996

 

Ecolab, Inc.

 

89,640

 

4,167

 

International Paper Co.

 

106,050

 

1,670

 

MeadWestvaco Corp.

 

45,708

 

127

 

Monsanto Co.

 

10,255

 

1,100

 

Newmont Mining Corp.

 

59,004

 

3,140

 

Pactiv Corp.*

 

76,459

 

 

 

 

 

809,423

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Telecommunication Services - 2.9%

 

 

 

 

 

 

 

 

 

2,849

 

American Tower Corp., Class A*

 

$

116,581

 

15,387

 

AT&T, Inc.

 

414,526

 

11,656

 

Frontier Communications Corp.

 

92,082

 

13,609

 

MetroPCS Communications, Inc.*

 

85,737

 

4,877

 

Verizon Communications, Inc.

 

153,430

 

 

 

 

 

862,356

 

 

 

Utilities - 5.3%

 

 

 

 

 

 

 

 

 

2,501

 

AES Corp. (The)*

 

31,863

 

3,923

 

Allegheny Energy, Inc.

 

86,227

 

3,625

 

Ameren Corp.

 

94,214

 

251

 

American Electric Power Co., Inc.

 

8,080

 

6,124

 

CMS Energy Corp.

 

87,206

 

3,455

 

Dominion Resources, Inc.

 

125,693

 

2,363

 

DTE Energy Co.

 

94,780

 

3,093

 

Edison International

 

105,317

 

999

 

Entergy Corp.

 

78,571

 

3,085

 

Exelon Corp.

 

148,635

 

2,576

 

FirstEnergy Corp.

 

110,974

 

2,360

 

FPL Group, Inc.

 

122,649

 

2,258

 

Integrys Energy Group, Inc.

 

87,023

 

6,455

 

NiSource, Inc.

 

91,984

 

3,779

 

Northeast Utilities

 

91,112

 

5,490

 

Pepco Holdings, Inc.

 

89,487

 

3,447

 

PPL Corp.

 

105,202

 

 

 

 

 

1,559,017

 

 

 

Total Common Stocks
(Cost $23,658,094)

 

25,991,936

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

Repurchase Agreements (a) - 18.3%

 

 

 

$

149,966

 

Bank of America Corp., 0.15%, dated 11/30/09, due 12/01/09, total to be received $149,967(b)

 

149,966

 

299,932

 

Bank of America Corp., 0.16%, dated 11/30/09, due 12/01/09, total to be received $299,933(c)

 

299,932

 

899,797

 

Credit Suisse (USA) LLC, 0.06%, dated 11/24/09, due 12/01/09, total to be received $899,807 (d)

 

899,797

 

180,333

 

Credit Suisse (USA) LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $180,334 (e)

 

180,333

 

314,929

 

Credit Suisse (USA) LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $314,930 (f)

 

314,929

 

599,865

 

ING Financial Markets LLC, 0.11%, dated 11/27/09, due 12/04/09, total to be received $599,878 (g)

 

599,865

 

149,966

 

ING Financial Markets LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $149,967 (h)

 

149,966

 

899,797

 

ING Financial Markets LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $899,801 (i)

 

899,797

 

 

749,831

 

JPMorgan Chase & Co., 0.16%, dated 11/30/09, due 12/01/09, total to be received $749,834(j)

 

749,831

 

449,898

 

UBS Warburg LLC, 0.15%, dated 11/30/09, due 12/01/09, total to be received $449,900(k)

 

449,898

 

692,296

 

UBS Warburg LLC, 0.16%, dated 11/30/09, due 12/01/09, total to be received $692,299(l)

 

692,296

 

 

 

Total Repurchase Agreements (Cost $5,386,610)

 

5,386,610

 

 

 

Total Investment Securities
(Cost $29,044,704) — 106.6%

 

31,378,546

 

 

 

Liabilities in excess of other assets — (6.6%)

 

(1,947,402

)

 

 

Net Assets — 100.0%

 

$

29,431,144

 

 

*

Non-income producing security.

(a)

A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. As of 11/30/09, the aggregate amount held in a segregated account was $4,028,931.

(b)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.75% to 3.75%, due 08/15/12 to 11/15/18, which had a total value of $152,965. The investment in the repurchase agreement was through participation in a pooled account.

(c)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 0.47% to 6.50%, due 03/15/23 to 09/15/50, which had a total value of $305,931. The investment in the repurchase agreement was through participation in a pooled account.

(d)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Government National Mortgage Association, 4.50% to 6.00%, due 12/15/37 to 11/20/39; U.S. Treasury Notes, 2.13% to 6.50%, due 02/15/10 to 02/15/18, which had a total value of $917,796. The investment in the repurchase agreement was through participation in a pooled account.

(e)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Notes, 1.38% to 4.88%, due 04/30/11 to 11/30/14, which had a total value of $183,940. The investment in the repurchase agreement was through participation in a pooled account.

 

See accompanying notes to the financial statements.

 


 

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/14/09 to 02/24/10; Federal National Mortgage Association, 0%, due 04/28/10 to 05/26/10; Government National Mortgage Association, 4.50% to 8.00%, due 09/15/24 to 10/15/39; International Bank for Reconstruction and Development, 4.75% to 5.00%, due 04/01/16 to 02/15/35, which had a total value of $321,230. The investment in the repurchase agreement was through participation in a pooled account.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Farm Credit Bank, 3.88%, due 12/17/09; Federal Home Loan Bank, 0% to 6.38%, due 12/02/09 to 11/08/22; Federal Home Loan Mortgage Corp., 1.75% to 4.88%, due 02/09/10 to 06/15/12; Federal National Mortgage Association, 2.05% to 6.13%, due 03/15/12 to 06/19/28; U.S. Treasury Bonds, 3.50% to 9.13%, due 05/15/16 to 11/15/39; U.S. Treasury Notes, 0% to 6.50%, due 12/31/09 to 01/15/28, which had a total value of $611,864. The investment in the repurchase agreement was through participation in a pooled account.

(h)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bonds, 7.25% to 9.00%, due 08/15/17 to 08/15/22, which had a total value of $152,966. The investment in the repurchase agreement was through participation in a pooled account.

(i)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.38% to 5.75%, due 01/08/10 to 09/13/24; Federal Home Loan Mortgage Corp., 1.50% to 7.00%, due 03/15/10 to 07/15/32; Federal National Mortgage Association, 2.75% to 5.00%, due 04/11/11 to 03/15/16; U.S. Treasury Bonds, 0% to 9.00%, due 02/15/10 to 08/15/39; U.S. Treasury Notes, 1.75% to 3.63%, due 01/15/25 to 04/15/32, which had a total value of $917,794. The investment in the repurchase agreement was through participation in a pooled account.

(j)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0.77% to 1.76%, due 12/30/09 to 11/05/12; Federal Home Loan Mortgage Corp., 0% to 6.88%, due 12/21/09 to 08/20/12; Federal National Mortgage Association, 0% to 7.13%, due 12/15/09 to 06/18/19; U.S. Treasury Notes, 3.25% to 4.50%, due 12/31/09 to 04/30/12, which had a total value of $764,829. The investment in the repurchase agreement was through participation in a pooled account.

(k)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: U.S. Treasury Bills, 0%, due 12/03/09 to 09/23/10, which had a total value of $458,897. The investment in the repurchase agreement was through participation in a pooled account.

(l)

Represents the Fund’s undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government and/or agency securities at the date of this schedule as follows: Federal Home Loan Bank, 0%, due 12/01/09 to 08/02/10; U.S. Treasury Bills, 0%, due 12/31/09 to 02/25/10, which had a total value of $706,143. The investment in the repurchase agreement was through participation in a pooled account.

 

 

REIT

     Real Estate Investment Trust

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2009, 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

 

$

2,486,676

 

Aggregate gross unrealized depreciation

 

(257,116

)

Net unrealized appreciation

 

$

2,229,560

 

Federal income tax cost of investments

 

$

29,148,986

 

 

Swap Agreements

 

Credit Suisse 130/30 had the following open swap agreements as of November 30, 2009:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the Credit Suisse 130/30 Large Cap Index

 

$

(8,771,098

)

$

50,654

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the Credit Suisse 130/30 Large Cap Index

 

12,205,562

 

307,538

 

 

 

 

 

 

 

 

 

 

 

$

358,192

 

 

Valuation Information

 

The following is a summary of the valuation inputs used to value the Fund’s investments at November 30, 2009. The inputs or methodology used for valuing investments may not be an indication of the risk associated with investing in those investments. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Note 2 to the Financial Statements.

 

Description

 

Level 1

 

Level 2

 

Total

 

Investment Securities:

 

 

 

 

 

 

 

Common Stocks

 

$

25,991,936

 

$

—

 

$

25,991,936

 

Repurchase Agreements

 

—

 

5,386,610

 

5,386,610

 

Total Investment Securities

 

25,991,936

 

5,386,610

 

31,378,546

 

Other Financial Instruments*:

 

 

 

 

 

 

 

Swap Agreements

 

—

 

358,192

 

358,192

 

Total Other Financial Instruments

 

—

 

358,192

 

358,192

 

Total Investments

 

$

25,991,936

 

$

5,744,802

 

$

31,736,738

 

 

* These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

See accompanying notes to the financial statements.

 

 


 

Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.

 

Not applicable to the Registrant.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to the Registrant.

 

Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.

 

Not applicable to the Registrant.

 

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 last 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)                                 File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

 

(a)(1)                   Not required for this filing.

 

(a)(2)                   Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

(a)(3)                   Not applicable.

 

(b)                                Certifications required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

ProShares Trust

 

By:

/s/ Louis M. Mayberg

 

 

Louis M. Mayberg

 

 

President

 

 

January 27, 2010

 

 

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

 

 

January 27, 2010

 

 

 

 

By:

/s/ Charles Todd

 

 

Charles Todd

 

 

Treasurer

 

 

January 27, 2010