N-CSRS 1 a11-1624_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:

June 1, 2010 to November 30, 2010

 

 


 

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, 2010

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

TQQQ  UltraPro QQQ®

UDOW  UltraPro Dow30SM

UPRO  UltraPro S&P500®

UMDD  UltraPro MidCap400

URTY  UltraPro Russell2000

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

BIB  Ultra Nasdaq Biotechnology

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

KRU  Ultra KBW Regional Banking

USD  Ultra Semiconductors

ROM  Ultra Technology

LTL  Ultra Telecommunications

UPW  Ultra Utilities

Ultra International

EFO  Ultra MSCI EAFE

EET  Ultra MSCI Emerging Markets

UPV  Ultra MSCI Europe

UXJ  Ultra MSCI Pacific ex-Japan

UBR  Ultra MSCI Brazil

XPP  Ultra FTSE China 25

EZJ  Ultra MSCI Japan

UMX  Ultra MSCI Mexico
Investable Market

Ultra Fixed-Income

UST  Ultra 7-10 Year Treasury

UBT  Ultra 20+ Year Treasury

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

SQQQ  UltraPro Short QQQ®

SDOW  UltraPro Short Dow30SM

SPXU  UltraPro Short S&P500®

SMDD  UltraPro Short MidCap400

SRTY  UltraPro Short Russell2000

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

SBM  Short Basic Materials

SEF  Short Financials

DDG  Short Oil & Gas

REK  Short Real Estate

KRS  Short KBW Regional Banking

SMN  UltraShort Basic Materials

BIS  UltraShort Nasdaq Biotechnology

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

YXI  Short FTSE China 25

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 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.


Table of Contents

I   Shareholder Letter  
II   Allocation of Portfolio Holdings and Index Composition  
XXXVII   Expense Examples  
1   Schedule of Portfolio Investments  
2   Ultra MarketCap ProShares  
31   Ultra Style ProShares  
44   Ultra Sector ProShares  
78   Ultra International ProShares  
89   Ultra Fixed-Income ProShares  
92   Short MarketCap ProShares  
110   Short Style ProShares  
116   Short Sector ProShares  
134   Short International ProShares  
145   Short Fixed-Income ProShares  
148   Alpha ProShares  
150   Statements of Assets and Liabilities  
168   Statements of Operations  
186   Statements of Changes in Net Assets  
220   Financial Highlights  
251   Notes to Financial Statements  
286   Board Approval of Investment Advisory Agreement  
288   Proxy Voting & Quarterly Portfolio
Holdings Information		  

 

Receive investor materials electronically:

Shareholders may sign up for electronic delivery of investor materials. By doing so, you will receive the information faster and help us reduce the impact on the environment of providing these materials. To enroll in electronic delivery,

1.  Go to www.icsdelivery.com

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

3.  From the list that follows, select your brokerage firm. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm.

4.  Complete the information requested, including the e-mail address where you would like to receive notifications for electronic documents.

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.



Dear Shareholder:

I am pleased to present the ProShares Semiannual Report for the six months ended November 30, 2010.

Buoyed by improving investor sentiment, most financial asset classes generated positive results for the six-month period. U.S. large-cap stocks, as measured by the S&P 500®, advanced 9.5%; non-U.S. stocks, as represented by the MSCI All Country World ex-USA Index, added 14.4%. The technology-laden NASDAQ-100® Index gained 14.8%. Virtually all major industries tracked by Dow Jones sector indexes moved up during the period. Top-performing sectors were Basic Materials (+22.3%), Oil & Gas (+18.8%) and Telecommunications (+13.7%). Relative laggards were Semiconductors (+9.9%), Health Care (+6.3%) and Financials (-0.1%). There was a very slight increase in stock market volatility, as measured by annualizing the standard deviation of the S&P 500 over the prior six-month period, at 18.0% versus 18.2%, respectively. Volatility remained modestly below its 10-year average level of 21.9%.(1)

Reflecting high levels of demand for raw materials, particularly in emerging market countries, commodity prices continued to rise, with the Dow Jones-UBS Commodity IndexSM increasing 17.0%. Fixed-income markets also were positive, with the Barclays Capital U.S. Aggregate Bond Index adding 3.9%.(2)

New ProShares Launched in 2010

Between January and November 2010, ProShares launched 21 new leveraged and inverse exchange traded funds (ETFs) that give investors exposure to a wide range of indexes, industry sectors and geographic regions. In addition to the S&P 500®, we now offer 3x and -3x ETFs based on the NASDAQ-100®, Dow Jones Industrial Average®, S&P MidCap 400TM and Russell 2000®, as well as 2x ETFs on the U.S. Treasury market. We also provide ETFs with single-inverse exposure to the U.S. Real Estate and U.S. Basic Materials sectors; 2x and -2x Biotechnology ETFs; and ETFs providing 2x and -1x exposure to the U.S. Regional Banking sector. Finally, we launched an ETF offering single-inverse exposure to China, and 2x ETFs on Europe, Pacific ex-Japan, Brazil and Mexico. You can learn more about these ETFs at proshares.com.

Finally, we manage ProShares with an eye toward minimizing capital gain distributions, so I am pleased to report that ProShares made no 2010 year-end capital gain distributions on any of our 99 equity and fixed-income ETFs. As always, we appreciate the trust and confidence you have placed in us by choosing ProShares and look forward to continuing to serve your investing needs.

Sincerely,

Michael Sapir

Chairman

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

proshares.com :: I



Allocation of Portfolio Holdings & Index Composition

II :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (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     61 %  
Swap Agreements     125 %  
Futures Contracts     14 %  
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.     12.5 %  
QUALCOMM, Inc.     2.8 %  
Google, Inc., Class A     2.6 %  
Microsoft Corp.     2.4 %  
Oracle Corp.     1.8 %  

NASDAQ-100 Index – Composition

    % of Index  
Technology     46.6 %  
Communications     26.2 %  
Consumer, Non-cyclical     14.7 %  
Consumer, Cyclical     8.4 %  
Industrials     3.2 %  
Energy     0.5 %  
Basic Materials     0.4 %  

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     53 %  
Swap Agreements     139 %  
Futures Contracts     8 %  
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.		     5.2 %  
Caterpillar, Inc.     3.1 %  
3M Co.     3.1 %  
Chevron Corp.     3.0 %  
McDonald's Corp.     2.9 %  

Dow Jones Industrial Average
Index – Composition

    % of Index  
Industrials     22.2 %  
Consumer, Non-cyclical     18.4 %  
Technology     15.8 %  
Consumer, Cyclical     11.2 %  
Energy     10.4 %  
Financials     10.0 %  
Communications     7.9 %  
Basic Materials     4.1 %  

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     79 %  
Swap Agreements     118 %  
Futures Contracts     3 %  
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.     2.6 %  
Apple, Inc.     2.1 %  
Microsoft Corp.     1.4 %  
International Business
Machines Corp.		     1.3 %  
Procter & Gamble Co. (The)     1.3 %  

S&P 500 Index – Composition

    % of Index  
Consumer, Non-cyclical     21.3 %  
Financials     15.1 %  
Technology     13.2 %  
Energy     11.9 %  
Communications     11.6 %  
Industrials     11.0 %  
Consumer, Cyclical     8.9 %  
Basic Materials     3.6 %  
Utilities     3.4 %  

November 30, 2010 (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     14 %  
Swap Agreements     186 %  
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.     0.4 %  
Apple, Inc.     0.3 %  
Microsoft Corp.     0.2 %  
International Business
Machines Corp.		     0.2 %  
Procter & Gamble Co. (The)     0.2 %  

Russell 3000 Index – Composition

    % of Index  
Consumer, Non-cyclical     20.6 %  
Financials     15.5 %  
Technology     12.7 %  
Industrials     11.7 %  
Communications     11.2 %  
Energy     11.0 %  
Consumer, Cyclical     9.9 %  
Basic Materials     3.9 %  
Utilities     3.5 %  

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     58 %  
Swap Agreements     139 %  
Futures Contracts     3 %  
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  
F5 Networks, Inc.     0.6 %  
Newfield Exploration Co.     0.5 %  
NetFlix, Inc.     0.5 %  
Chipotle Mexican Grill, Inc.     0.4 %  
Joy Global, Inc.     0.4 %  

 

S&P MidCap 400 Index – Composition

    % of Index  
Industrials     18.7 %  
Consumer, Non-cyclical     17.9 %  
Financials     17.8 %  
Consumer, Cyclical     13.9 %  
Technology     8.7 %  
Communications     6.5 %  
Utilities     6.3 %  
Energy     5.7 %  
Basic Materials     4.5 %  

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     68 %  
Swap Agreements     130 %  
Futures Contracts     2 %  
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  
SM Energy Co.     0.5 %  
Oil States International, Inc.     0.4 %  
East West Bancorp, Inc.     0.4 %  
Salix Pharmaceuticals Ltd.     0.4 %  
Cooper Cos., Inc. (The)     0.4 %  

S&P SmallCap 600 Index – Composition

    % of Index  
Consumer, Non-cyclical     18.7 %  
Financials     17.9 %  
Industrials     17.7 %  
Consumer, Cyclical     16.4 %  
Technology     11.7 %  
Communications     5.2 %  
Energy     5.1 %  
Utilities     4.0 %  
Basic Materials     3.3 %  

IV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (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     53 %  
Swap Agreements     137 %  
Futures Contracts     10 %  
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  
Riverbed Technology, Inc.     0.2 %  
TIBCO Software, Inc.     0.2 %  
Deckers Outdoor Corp.     0.2 %  
VeriFone Systems, Inc.     0.2 %  
Baldor Electric Co.     0.2 %  

Russell 2000 Index – Composition

    % of Index  
Financials     19.7 %  
Consumer, Non-cyclical     18.5 %  
Industrials     15.0 %  
Consumer, Cyclical     14.8 %  
Technology     10.4 %  
Communications     8.2 %  
Energy     5.2 %  
Basic Materials     4.8 %  
Utilities     3.3 %  
Diversified     0.1 %  

ProShares UltraPro QQQ® (Ticker: TQQQ)

ProShares UltraPro QQQ® seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     67 %  
Swap Agreements     224 %  
Futures Contracts     9 %  
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  
Apple, Inc.     13.7 %  
QUALCOMM, Inc.     3.1 %  
Google, Inc., Class A     2.9 %  
Microsoft Corp.     2.6 %  
Oracle Corp.     2.0 %  

NASDAQ-100 Index – Composition

    % of Index  
Technology     46.6 %  
Communications     26.2 %  
Consumer, Non-cyclical     14.7 %  
Consumer, Cyclical     8.4 %  
Industrials     3.2 %  
Energy     0.5 %  
Basic Materials     0.4 %  

ProShares UltraPro Dow30SM (Ticker: UDOW)

ProShares UltraPro Dow30SM seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     51 %  
Swap Agreements     235 %  
Futures Contracts     14 %  
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  
International Business
Machines Corp.		     5.0 %  
Caterpillar, Inc.     3.0 %  
3M Co.     3.0 %  
Chevron Corp.     2.9 %  
McDonald's Corp.     2.8 %  

Dow Jones Industrial Average
Index – Composition

    % of Index  
Industrials     22.2 %  
Consumer, Non-cyclical     18.4 %  
Technology     15.8 %  
Consumer, Cyclical     11.2 %  
Energy     10.4 %  
Financials     10.0 %  
Communications     7.9 %  
Basic Materials     4.1 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: V


ProShares UltraPro S&P500® (Ticker: UPRO)

ProShares UltraPro S&P500® seeks daily investment results, before fees and expenses, that correspond to three times (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     —    
Swap Agreements     294 %  
Futures Contracts     6 %  
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     21.3 %  
Financials     15.1 %  
Technology     13.2 %  
Energy     11.9 %  
Communications     11.6 %  
Industrials     11.0 %  
Consumer, Cyclical     8.9 %  
Basic Materials     3.6 %  
Utilities     3.4 %  

ProShares UltraPro MidCap400 (Ticker: UMDD)

ProShares UltraPro MidCap400 seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     48 %  
Swap Agreements     248 %  
Futures Contracts     4 %  
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  
F5 Networks, Inc.     0.5 %  
Newfield Exploration Co.     0.4 %  
NetFlix, Inc.     0.4 %  
Chipotle Mexican Grill, Inc.     0.4 %  
Joy Global, Inc.     0.4 %  

 

S&P MidCap 400 Index – Composition

    % of Index  
Industrials     18.7 %  
Consumer, Non-cyclical     17.9 %  
Financials     17.8 %  
Consumer, Cyclical     13.9 %  
Technology     8.7 %  
Communications     6.5 %  
Utilities     6.3 %  
Energy     5.7 %  
Basic Materials     4.5 %  

ProShares UltraPro Russell2000 (Ticker: URTY)

ProShares UltraPro Russell2000 seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     287 %  
Futures Contracts     13 %  
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.

Russell 2000 Index – Composition

    % of Index  
Financials     19.7 %  
Consumer, Non-cyclical     18.5 %  
Industrials     15.0 %  
Consumer, Cyclical     14.8 %  
Technology     10.4 %  
Communications     8.2 %  
Energy     5.2 %  
Basic Materials     4.8 %  
Utilities     3.3 %  
Diversified     0.1 %  

VI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     67 %  
Swap Agreements     133 %  
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  
Procter & Gamble Co. (The)     1.9 %  
AT&T, Inc.     1.8 %  
Chevron Corp.     1.7 %  
JPMorgan Chase & Co.     1.7 %  
Johnson & Johnson     1.6 %  

Russell 1000 Value Index – Composition

    % of Index  
Financials     26.4 %  
Consumer, Non-cyclical     22.0 %  
Energy     12.2 %  
Communications     12.0 %  
Industrials     9.9 %  
Utilities     7.1 %  
Consumer, Cyclical     4.0 %  
Technology     3.5 %  
Basic Materials     2.8 %  
Diversified     0.1 %  

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     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  
Exxon Mobil Corp.     3.4 %  
Apple, Inc.     2.9 %  
International Business
Machines Corp.		     1.9 %  
Google, Inc., Class A     1.4 %  
Microsoft Corp.     1.3 %  

Russell 1000 Growth
Index – Composition

    % of Index  
Technology     21.9 %  
Consumer, Non-cyclical     19.7 %  
Consumer, Cyclical     14.8 %  
Industrials     12.8 %  
Communications     10.9 %  
Energy     10.8 %  
Basic Materials     4.7 %  
Financials     4.3 %  
Utilities     0.1 %  

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     20 %  
Swap Agreements     180 %  
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  
Peabody Energy Corp.     0.2 %  
Xerox Corp.     0.2 %  
Spectra Energy Corp.     0.2 %  
Noble Energy, Inc.     0.2 %  
Progressive Corp. (The)     0.2 %  

Russell Midcap Value
Index – Composition

    % of Index  
Financials     27.7 %  
Consumer, Non-cyclical     14.4 %  
Utilities     12.2 %  
Industrials     11.8 %  
Energy     11.2 %  
Communications     6.8 %  
Consumer, Cyclical     6.7 %  
Basic Materials     4.5 %  
Technology     4.4 %  
Diversified     0.3 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: VII


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     46 %  
Swap Agreements     154 %  
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  
Cummins, Inc.     0.5 %  
priceline.com, Inc.     0.5 %  
NetApp, Inc.     0.5 %  
Coach, Inc.     0.5 %  
Salesforce.com, Inc.     0.4 %  

Russell Midcap Growth
Index – Composition

    % of Index  
Consumer, Non-cyclical     21.2 %  
Consumer, Cyclical     18.3 %  
Technology     17.0 %  
Industrials     15.9 %  
Communications     9.2 %  
Energy     6.4 %  
Financials     6.0 %  
Basic Materials     5.7 %  
Utilities     0.3 %  

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     63 %  
Swap Agreements     137 %  
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  
Hecla Mining Co.     0.3 %  
American Capital Ltd.     0.3 %  
BioMed Realty Trust, Inc.     0.3 %  
MFA Financial, Inc.     0.3 %  
CBL & Associates
Properties, Inc.		     0.3 %  

Russell 2000 Value Index – Composition

    % of Index  
Financials     36.0 %  
Industrials     14.1 %  
Consumer, Cyclical     11.8 %  
Consumer, Non-cyclical     11.4 %  
Utilities     6.6 %  
Energy     6.0 %  
Basic Materials     5.1 %  
Technology     4.5 %  
Communications     4.4 %  
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     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  
Riverbed Technology, Inc.     0.5 %  
TIBCO Software, Inc.     0.4 %  
Deckers Outdoor Corp.     0.3 %  
VeriFone Systems, Inc.     0.3 %  
Brigham Exploration Co.     0.3 %  

Russell 2000 Growth Index – Composition

    % of Index  
Consumer, Non-cyclical     25.2 %  
Consumer, Cyclical     17.7 %  
Technology     16.0 %  
Industrials     16.0 %  
Communications     11.9 %  
Energy     4.5 %  
Basic Materials     4.4 %  
Financials     4.1 %  
Utilities     0.2 %  

VIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     28 %  
Swap Agreements     172 %  
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.		     2.9 %  
E.I. du Pont de
Nemours & Co.		     2.5 %  
Dow Chemical Co. (The)     2.1 %  
Newmont Mining Corp.     1.7 %  
Praxair, Inc.     1.7 %  

Dow Jones U.S. Basic Materials
Index – Composition

    % of Index  
Chemicals     52.4 %  
Industrial Metals     25.7 %  
Mining     19.0 %  
Forestry and Paper     2.9 %  

ProShares Ultra Nasdaq Biotechnology (Ticker: BIB)

ProShares Ultra Nasdaq Biotechnology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the NASDAQ Biotechnology Index®. The NASDAQ Biotechnology Index® is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     70 %  
Swap Agreements     129 %  
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.

Largest Equity Holdings

Company   % of Net Assets  
Amgen, Inc.     5.7 %  
Teva Pharmaceutical
Industries Ltd. (ADR)		     4.4 %  
Celgene Corp.     4.2 %  
Gilead Sciences, Inc.     3.8 %  
Alexion Pharmaceuticals, Inc.     2.6 %  

NASDAQ Biotechnology
Index – Composition

    % of Index  
Consumer, Non-cyclical     99.8 %  
Consumer, Cyclical     0.2 %  

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     37 %  
Swap Agreements     163 %  
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  
Procter & Gamble Co. (The)     5.0 %  
Coca-Cola Co. (The)     3.9 %  
Philip Morris International,
Inc.		     3.0 %  
PepsiCo, Inc.     3.0 %  
Ford Motor Co.     1.5 %  

Dow Jones U.S. Consumer Goods
Index – Composition

    % of Index  
Beverages     21.4 %  
Food Producers     19.8 %  
Household Goods     19.2 %  
Tobacco     13.7 %  
Personal Goods     13.0 %  
Automobile and Parts     9.6 %  
Leisure Goods     3.3 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: IX


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     31 %  
Swap Agreements     169 %  
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.     2.3 %  
McDonald's Corp.     1.7 %  
Walt Disney Co. (The)     1.3 %  
Amazon.com, Inc.     1.2 %  
Home Depot, Inc.     1.0 %  

Dow Jones U.S. Consumer Services Index – Composition

    % of Index  
General Retailers     42.4 %  
Media     25.1 %  
Travel and Leisure     21.6 %  
Food and Drug Retailers     10.9 %  

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     71 %  
Swap Agreements     129 %  
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.     5.4 %  
Wells Fargo & Co.     4.8 %  
Bank of America Corp.     3.9 %  
Citigroup, Inc.     3.6 %  
Goldman Sachs Group,
Inc. (The)		     2.4 %  

Dow Jones U.S. Financials
Index – Composition

    % of Index  
Banks     37.3 %  
General Financial     25.2 %  
Nonlife Insurance     15.9 %  
Real Estate Investment Trusts     15.0 %  
Life Insurance     5.7 %  
Real Estate Investment &  
Services		     0.9 %  

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     93 %  
Swap Agreements     107 %  
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     11.7 %  
Pfizer, Inc.     9.0 %  
Merck & Co., Inc.     7.3 %  
Abbott Laboratories     4.9 %  
Amgen, Inc.     3.5 %  

Dow Jones U.S. Health Care
Index – Composition

    % of Index  
Pharmaceuticals and
Biotechnology		     62.5 %  
Health Care Equipment and
Services		     37.5 %  

X :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     37 %  
Swap Agreements     163 %  
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.     3.9 %  
United Technologies Corp.     1.5 %  
3M Co.     1.3 %  
United Parcel Service, Inc.,
Class B		     1.1 %  
Caterpillar, Inc.     1.1 %  

Dow Jones U.S. Industrials
Index – Composition

    % of Index  
General Industrials     21.7 %  
Industrial Engineering     16.8 %  
Aerospace and Defense     16.1 %  
Industrial Transportation     13.9 %  
Support Services     13.0 %  
Electronic & Electrical
Equipment		     12.2 %  
Construction and Materials     6.3 %  

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     62 %  
Swap Agreements     138 %  
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.     15.9 %  
Chevron Corp.     7.3 %  
Schlumberger Ltd.     4.7 %  
ConocoPhillips     3.7 %  
Occidental Petroleum Corp.     3.2 %  

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

    % of Index  
Oil and Gas Producers     74.4 %  
Oil Equipment, Services and
Distribution		     25.0 %  
Alternative Energy     0.6 %  

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     62 %  
Swap Agreements     138 %  
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  
Simon Property Group, Inc.     5.7 %  
Vornado Realty Trust     2.9 %  
Equity Residential     2.8 %  
Public Storage     2.7 %  
Boston Properties, Inc.     2.3 %  

Dow Jones U.S. Real Estate
Index – Composition

    % of Index  
Real Estate     100.0 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XI


ProShares Ultra KBW Regional Banking (Ticker: KRU)

ProShares Ultra KBW Regional Banking seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the KBW Regional Banking IndexSM. KBW Regional Banking IndexSM is an equal-weighted index that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     77 %  
Swap Agreements     123 %  
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  
Cathay General Bancorp     2.5 %  
Signature Bank/NY     2.4 %  
FNB Corp./PA     2.3 %  
East West Bancorp, Inc.     2.2 %  
Fulton Financial Corp.     2.2 %  

KBW Regional Banking
Index – Composition

    % of Index  
Financials     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     44 %  
Swap Agreements     156 %  
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.     14.5 %  
Texas Instruments, Inc.     4.7 %  
Broadcom Corp., Class A     2.5 %  
Applied Materials, Inc.     2.1 %  
Altera Corp.     1.3 %  

 

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     73 %  
Swap Agreements     127 %  
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  
Apple, Inc.     10.0 %  
Microsoft Corp.     6.9 %  
International Business
Machines Corp.		     6.3 %  
Google, Inc., Class A     4.8 %  
Intel Corp.     4.1 %  

Dow Jones U.S. Technology
Index – Composition

    % of Index  
Technology Hardware and
Equipment		     56.6 %  
Software and Computer
Services		     43.4 %  

XII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (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     48 %  
Swap Agreements     152 %  
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.     7.2 %  
Verizon
Communications, Inc.		     5.6 %  
American Tower Corp.,
Class A		     3.2 %  
CenturyLink, Inc.     2.7 %  
Qwest Communications
International, Inc.		     2.4 %  

Dow Jones U.S. Select Telecommunications
Index – Composition

    % of Index  
Fixed Line 
Telecommunications 		    83.9 %  
Mobile Telecommunications     16.1 %  

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     88 %  
Swap Agreements     112 %  
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  
Southern Co.     5.9 %  
Exelon Corp.     4.9 %  
Dominion Resources, Inc.     4.6 %  
Duke Energy Corp.     4.3 %  
NextEra Energy, Inc.     4.0 %  

Dow Jones U.S. Utilities
Index – Composition

    % of Index  
Electricity     72.2 %  
Gas, Water & Multi Utilities     27.8 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XIII


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) includes 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  
Japan     22.3 %  
United Kingdom     21.5 %  
France     9.5 %  
Australia     8.6 %  
Germany     8.2 %  
Switzerland     7.8 %  
Spain     3.2 %  
Sweden     3.1 %  
Hong Kong     3.1 %  
Italy     2.6 %  
Netherlands     2.5 %  
Singapore     1.8 %  
Finland     1.1 %  
Denmark     1.0 %  
Belgium     0.9 %  
Israel     0.8 %  
Norway     0.8 %  
Austria     0.3 %  
Greece     0.3 %  
Portugal     0.3 %  
Ireland     0.2 %  
New Zealand     0.1 %  

MSCI EAFE Index – Composition

    % of Index  
Financials     23.8 %  
Industrials     12.5 %  
Materials     11.0 %  
Consumer Discretionary     10.8 %  
Consumer Staples     10.3 %  
Health Care     8.4 %  
Energy     7.4 %  
Telecommunication Services     5.7 %  
Utilities     5.2 %  
Information Technology     4.9 %  

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® includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries.

Market Exposure

Investment Type   % of Net Assets  
Equity Securities     7 %  
Swap Agreements     193 %  
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  
iShares MSCI Malaysia
Index Fund		     0.2 %  
Sasol Ltd. (ADR)     0.2 %  
ICICI Bank Ltd. (ADR)     0.2 %  
China Mobile Ltd. (ADR)     0.2 %  
Turkcell Iletisim Hizmet
A.S. (ADR)		     0.2 %  

MSCI Emerging Markets
Index – Country

    % of Index  
China     18.3 %  
Brazil     15.8 %  
Korea     13.5 %  
Other     12.3 %  
Taiwan     11.0 %  
India     7.9 %  
South Africa     7.4 %  
Russia     6.3 %  
Mexico     4.6 %  
Malaysia     2.9 %  

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     25.6 %  
Materials     14.6 %  
Energy     14.1 %  
Information Technology     12.7 %  
Telecommunication Services     7.8 %  
Industrials     7.3 %  
Consumer Discretionary     6.9 %  
Consumer Staples     6.8 %  
Utilities     3.4 %  
Health Care     0.8 %  

XIV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


ProShares Ultra MSCI Europe (Ticker: UPV)

ProShares Ultra MSCI Europe seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization in the region.

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 Europe Index – Country

    % of Index  
United Kingdom     34.0 %  
France     15.1 %  
Germany     13.0 %  
Switzerland     12.3 %  
Other     5.9 %  
Spain     5.0 %  
Sweden     5.0 %  
Italy     4.1 %  
Netherlands     3.9 %  
Finland     1.7 %  

MSCI Europe Index – Composition

    % of Index  
Financials     21.3 %  
Consumer Staples     12.7 %  
Industrials     10.9 %  
Materials     10.5 %  
Energy     10.3 %  
Health Care     10.1 %  
Consumer Discretionary     9.1 %  
Telecommunication Services     6.8 %  
Utilities     5.5 %  
Information Technology     2.8 %  

ProShares Ultra MSCI Pacific ex-Japan (Ticker: UXJ)

ProShares Ultra MSCI Pacific ex-Japan seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization in the region.

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     63.5 %  
Hong Kong     22.6 %  
Singapore     13.1 %  
New Zealand     0.8 %  

 

MSCI Pacific ex-Japan
Index – Composition

    % of Index  
Financials     47.1 %  
Materials     18.9 %  
Industrials     8.5 %  
Consumer Staples     7.5 %  
Consumer Discretionary     5.3 %  
Energy     4.1 %  
Utilities     3.4 %  
Telecommunication Services     2.6 %  
Health Care     2.0 %  
Information Technology     0.6 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XV


ProShares Ultra MSCI Brazil (Ticker: UBR)

ProShares Ultra MSCI Brazil seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization in the region.

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 Brazil Index – Composition

    % of Index  
Financials     26.2 %  
Materials     25.4 %  
Energy     22.1 %  
Consumer Staples     9.0 %  
Utilities     5.2 %  
Consumer Discretionary     4.6 %  
Industrials     3.3 %  
Telecommunication Services     2.5 %  
Information Technology     1.7 %  

ProShares Ultra FTSE China 25 (Ticker: XPP)

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

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 China 25 Index – Composition

    % of Index  
Financials     48.4 %  
Energy     22.4 %  
Communications     17.4 %  
Industrials     4.5 %  
Consumer, Cyclical     3.9 %  
Basic Materials     3.4 %  

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® includes 85% of free float-adjusted market capitalization in each industry group in 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 Japan Index – Composition

    % of Index  
Industrials     20.0 %  
Consumer Discretionary     19.6 %  
Financials     17.0 %  
Information Technology     13.7 %  
Materials     7.7 %  
Utilities     5.6 %  
Health Care     5.6 %  
Consumer Staples     5.2 %  
Telecommunication Services     4.1 %  
Energy     1.5 %  

XVI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


ProShares Ultra MSCI Mexico Investable Market (Ticker: UMX)

ProShares Ultra MSCI Mexico Investable Market seeks daily investment results, before fees and expenses, that correspond to twice (200%) of the daily performance of the MSCI Mexico Investable Market Index®. The MSCI Mexico Investable Market Index® is a free float-adjusted, market capitalization-weighted index that is designed to measure the performance of the Mexican equity market by capturing 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     34.4 %  
Consumer Staples     24.1 %  
Materials     16.2 %  
Consumer Discretionary     11.3 %  
Financials     7.1 %  
Industrials     6.5 %  
Health Care     0.4 %  

ProShares Ultra 7-10 Year Treasury (Ticker: UST)

ProShares Ultra 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 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, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
U.S. Treasury Obligations     59 %  
Swap Agreements     136 %  
Futures Contracts     6 %  
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 Ultra 20+ Year Treasury (Ticker: UBT)

ProShares Ultra 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 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, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
U.S. Treasury Obligations     49 %  
Swap Agreements     143 %  
Futures Contracts     11 %  
Total Exposure     203 %  

 

"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 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XVII


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     -90 %  
Futures Contracts     -10 %  
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     46.6 %  
Communications     26.2 %  
Consumer, Non-cyclical     14.7 %  
Consumer, Cyclical     8.4 %  
Industrials     3.2 %  
Energy     0.5 %  
Basic Materials     0.4 %  

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     -91 %  
Futures Contracts     -9 %  
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     22.2 %  
Consumer, Non-cyclical     18.4 %  
Technology     15.8 %  
Consumer, Cyclical     11.2 %  
Energy     10.4 %  
Financials     10.0 %  
Communications     7.9 %  
Basic Materials     4.1 %  

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     -98 %  
Futures Contracts     -2 %  
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     21.3 %  
Financials     15.1 %  
Technology     13.2 %  
Energy     11.9 %  
Communications     11.6 %  
Industrials     11.0 %  
Consumer, Cyclical     8.9 %  
Basic Materials     3.6 %  
Utilities     3.4 %  

XVIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     -98 %  
Futures Contracts     -2 %  
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  
Industrials     18.7 %  
Consumer, Non-cyclical     17.9 %  
Financials     17.8 %  
Consumer, Cyclical     13.9 %  
Technology     8.7 %  
Communications     6.5 %  
Utilities     6.3 %  
Energy     5.7 %  
Basic Materials     4.5 %  

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     18.7 %  
Financials     17.9 %  
Industrials     17.7 %  
Consumer, Cyclical     16.4 %  
Technology     11.7 %  
Communications     5.2 %  
Energy     5.1 %  
Utilities     4.0 %  
Basic Materials     3.3 %  

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     -94 %  
Futures Contracts     -6 %  
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  
Financials     19.7 %  
Consumer, Non-cyclical     18.5 %  
Industrials     15.0 %  
Consumer, Cyclical     14.8 %  
Technology     10.4 %  
Communications     8.2 %  
Energy     5.2 %  
Basic Materials     4.8 %  
Utilities     3.3 %  
Diversified     0.1 %  

*  Less than 0.5%

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XIX


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     -189 %  
Futures Contracts     -11 %  
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     46.6 %  
Communications     26.2 %  
Consumer, Non-cyclical     14.7 %  
Consumer, Cyclical     8.4 %  
Industrials     3.2 %  
Energy     0.5 %  
Basic Materials     0.4 %  

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     -190 %  
Futures Contracts     -10 %  
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     22.2 %  
Consumer, Non-cyclical     18.4 %  
Technology     15.8 %  
Consumer, Cyclical     11.2 %  
Energy     10.4 %  
Financials     10.0 %  
Communications     7.9 %  
Basic Materials     4.1 %  

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     -196 %  
Futures Contracts     -4 %  
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     21.3 %  
Financials     15.1 %  
Technology     13.2 %  
Energy     11.9 %  
Communications     11.6 %  
Industrials     11.0 %  
Consumer, Cyclical     8.9 %  
Basic Materials     3.6 %  
Utilities     3.4 %  

XX :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     20.6 %  
Financials     15.5 %  
Technology     12.7 %  
Industrials     11.7 %  
Communications     11.2 %  
Energy     11.0 %  
Consumer, Cyclical     9.9 %  
Basic Materials     3.9 %  
Utilities     3.5 %  

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     -196 %  
Futures Contracts     -4 %  
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  
Industrials     18.7 %  
Consumer, Non-cyclical     17.9 %  
Financials     17.8 %  
Consumer, Cyclical     13.9 %  
Technology     8.7 %  
Communications     6.5 %  
Utilities     6.3 %  
Energy     5.7 %  
Basic Materials     4.5 %  

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     -199 %  
Futures Contracts     -1 %  
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     18.7 %  
Financials     17.9 %  
Industrials     17.7 %  
Consumer, Cyclical     16.4 %  
Technology     11.7 %  
Communications     5.2 %  
Energy     5.1 %  
Utilities     4.0 %  
Basic Materials     3.3 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXI


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     -195 %  
Futures Contracts     -5 %  
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  
Financials     19.7 %  
Consumer, Non-cyclical     18.5 %  
Industrials     15.0 %  
Consumer, Cyclical     14.8 %  
Technology     10.4 %  
Communications     8.2 %  
Energy     5.2 %  
Basic Materials     4.8 %  
Utilities     3.3 %  
Diversified     0.1 %  

ProShares UltraPro Short QQQ® (Ticker: SQQQ)

ProShares UltraPro Short QQQ® seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     -286 %  
Futures Contracts     -14 %  
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.

NASDAQ-100 Index – Composition

    % of Index  
Technology     46.6 %  
Communications     26.2 %  
Consumer, Non-cyclical     14.7 %  
Consumer, Cyclical     8.4 %  
Industrials     3.2 %  
Energy     0.5 %  
Basic Materials     0.4 %  

ProShares UltraPro Short Dow30SM (Ticker: SDOW)

ProShares UltraPro Short Dow30SM seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     -287 %  
Futures Contracts     -13 %  
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.

Dow Jones Industrial Average Index – Composition

    % of Index  
Industrials     22.2 %  
Consumer, Non-cyclical     18.4 %  
Technology     15.8 %  
Consumer, Cyclical     11.2 %  
Energy     10.4 %  
Financials     10.0 %  
Communications     7.9 %  
Basic Materials     4.1 %  

XXII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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

ProShares UltraPro Short S&P500® seeks daily investment results, before fees and expenses, that correspond to three times (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     -284 %  
Futures Contracts     -16 %  
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     21.3 %  
Financials     15.1 %  
Technology     13.2 %  
Energy     11.9 %  
Communications     11.6 %  
Industrials     11.0 %  
Consumer, Cyclical     8.9 %  
Basic Materials     3.6 %  
Utilities     3.4 %  

ProShares UltraPro Short MidCap400 (Ticker: SMDD)

ProShares UltraPro Short MidCap400 seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     -279 %  
Futures Contracts     -20 %  
Total Exposure     -299 %  

 

"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  
Industrials     18.7 %  
Consumer, Non-cyclical     17.9 %  
Financials     17.8 %  
Consumer, Cyclical     13.9 %  
Technology     8.7 %  
Communications     6.5 %  
Utilities     6.3 %  
Energy     5.7 %  
Basic Materials     4.5 %  

ProShares UltraPro Short Russell2000 (Ticker: SRTY)

ProShares UltraPro Short Russell2000 seeks daily investment results, before fees and expenses, that correspond to three times (300%) 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     -290 %  
Futures Contracts     -10 %  
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.

Russell 2000 Index – Composition

    % of Index  
Financials     19.7 %  
Consumer, Non-cyclical     18.5 %  
Industrials     15.0 %  
Consumer, Cyclical     14.8 %  
Technology     10.4 %  
Communications     8.2 %  
Energy     5.2 %  
Basic Materials     4.8 %  
Utilities     3.3 %  
Diversified     0.1 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXIII


ProShares UltraShort Russell1000 Value (Ticker: SJF)

ProShares UltraShort Russell1000 Value seeks daily investment results, before fees and expenses, that correspond to the 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  
Financial     26.4 %  
Consumer, Non-cyclical     22.0 %  
Energy     12.2 %  
Communications     12.0 %  
Industrials     9.9 %  
Utilities     7.1 %  
Consumer, Cyclical     4.0 %  
Technology     3.5 %  
Basic Materials     2.8 %  
Diversified     0.1 %  

ProShares UltraShort Russell1000 Growth (Ticker: SFK)

ProShares UltraShort Russell1000 Growth seeks daily investment results, before fees and expenses, that correspond to the 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  
Technology     21.9 %  
Consumer, Non-cyclical     19.7 %  
Consumer, Cyclical     14.8 %  
Industrials     12.8 %  
Communications     10.9 %  
Energy     10.8 %  
Basic Materials     4.7 %  
Financials     4.3 %  
Utilities     0.1 %  

ProShares UltraShort Russell MidCap Value (Ticker: SJL)

ProShares UltraShort Russell MidCap Value seeks daily investment results, before fees and expenses, that correspond to the 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     27.7 %  
Consumer, Non-cyclical     14.4 %  
Utilities     12.2 %  
Industrials     11.8 %  
Energy     11.2 %  
Communications     6.8 %  
Consumer, Cyclical     6.7 %  
Basic Materials     4.5 %  
Technology     4.4 %  
Diversified     0.3 %  

XXIV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


ProShares UltraShort Russell MidCap Growth (Ticker: SDK)

ProShares UltraShort Russell MidCap Growth seeks daily investment results, before fees and expenses, that correspond to the 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     21.2 %  
Consumer, Cyclical     18.3 %  
Technology     17.0 %  
Industrials     15.9 %  
Communications     9.2 %  
Energy     6.4 %  
Financials     6.0 %  
Basic Materials     5.7 %  
Utilities     0.3 %  

ProShares UltraShort Russell2000 Value (Ticker: SJH)

ProShares UltraShort Russell2000 Value seeks daily investment results, before fees and expenses, that correspond to the 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     36.0 %  
Industrials     14.1 %  
Consumer, Cyclical     11.8 %  
Consumer, Non-cyclical     11.4 %  
Utilities     6.6 %  
Energy     6.0 %  
Basic Materials     5.1 %  
Technology     4.5 %  
Communications     4.4 %  
Diversified     0.1 %  

ProShares UltraShort Russell2000 Growth (Ticker: SKK)

ProShares UltraShort Russell2000 Growth seeks daily investment results, before fees and expenses, that correspond to the 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     25.2 %  
Consumer, Cyclical     17.7 %  
Technology     16.0 %  
Industrials     16.0 %  
Communications     11.9 %  
Energy     4.5 %  
Basic Materials     4.4 %  
Financials     4.1 %  
Utilities     0.2 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXV


ProShares Short Basic Materials (Ticker: SBM)

ProShares Short Basic Materials seeks daily investment results, before fees and expenses, that correspond to 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     -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. Basic Materials Index – Composition

    % of Index  
Chemicals     52.4 %  
Industrial Metals     25.7 %  
Mining     19.0 %  
Forestry and Paper     2.9 %  

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     37.3 %  
General Financial     25.2 %  
Nonlife Insurance     15.9 %  
Real Estate Investment Trusts     15.0 %  
Life Insurance     5.7 %  
Real Estate Investment & Services     0.9 %  

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     74.4 %  
Oil Equipment, Services and Distribution     25.0 %  
Alternative Energy     0.6 %  

XXVI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


ProShares Short Real Estate (Ticker: REK)

ProShares Short Real Estate seeks daily investment results, before fees and expenses, that correspond to 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     -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. Real Estate Index – Composition

    % of Index  
Real Estate     100.0 %  

ProShares Short KBW Regional Banking (Ticker: KRS)

ProShares Short KBW Regional Banking seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the KBW Regional Banking IndexSM. KBW Regional Banking IndexSM is an equal-weighted index that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts.

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.

KBW Regional Banking Index – Composition

    % of Index  
Financials     100.0 %  

ProShares UltraShort Basic Materials (Ticker: SMN)

ProShares UltraShort Basic Materials seeks daily investment results, before fees and expenses, that correspond to the 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     52.4 %  
Industrial Metals     25.7 %  
Mining     19.0 %  
Forestry and Paper     2.9 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXVII


ProShares UltraShort Nasdaq Biotechnology (Ticker: BIS)

ProShares UltraShort Nasdaq Biotechnology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the NASDAQ Biotechnology Index®. The NASDAQ Biotechnology Index® is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.

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.

NASDAQ Biotechnology Index – Composition

    % of Index  
Consumer, Non-cyclical     99.8 %  
Consumer, Cyclical     0.2 %  

ProShares UltraShort Consumer Goods (Ticker: SZK)

ProShares UltraShort Consumer Goods seeks daily investment results, before fees and expenses, that correspond to the 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     21.4 %  
Food Producers     19.8 %  
Household Goods     19.2 %  
Tobacco     13.7 %  
Personal Goods     13.0 %  
Automobile and Parts     9.6 %  
Leisure Goods     3.3 %  

ProShares UltraShort Consumer Services (Ticker: SCC)

ProShares UltraShort Consumer Services seeks daily investment results, before fees and expenses, that correspond to the 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     42.4 %  
Media     25.1 %  
Travel and Leisure     21.6 %  
Food and Drug Retailers     10.9 %  

XXVIII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


ProShares UltraShort Financials (Ticker: SKF)

ProShares UltraShort Financials seeks daily investment results, before fees and expenses, that correspond to the 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     37.3 %  
General Financial     25.2 %  
Nonlife Insurance     15.9 %  
Real Estate Investment Trusts     15.0 %  
Life Insurance     5.7 %  
Real Estate Investment & Services     0.9 %  

ProShares UltraShort Health Care (Ticker: RXD)

ProShares UltraShort Health Care seeks daily investment results, before fees and expenses, that correspond to the 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     -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. Health Care Index – Composition

    % of Index  
Pharmaceuticals and Biotechnology     62.5 %  
Health Care Equipment and Services     37.5 %  

ProShares UltraShort Industrials (Ticker: SIJ)

ProShares UltraShort Industrials seeks daily investment results, before fees and expenses, that correspond to the 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     -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. Industrials Index – Composition

    % of Index  
General Industrials     21.7 %  
Industrial Engineering     16.8 %  
Aerospace and Defense     16.1 %  
Industrial Transportation     13.9 %  
Support Services     13.0 %  
Electronic & Electrical Equipment     12.2 %  
Construction and Materials     6.3 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXIX


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     74.4 %  
Oil Equipment, Services and Distribution     25.0 %  
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     -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. Real Estate Index – Composition

    % of Index  
Real Estate     100.0 %  

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 %  

XXX :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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     56.6 %  
Software and Computer Services     43.4 %  

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     83.9 %  
Mobile Telecommunications     16.1 %  

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     72.2 %  
Gas, Water & Multi Utilities     27.8 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXXI


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) includes 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  
Japan     22.3 %  
United Kingdom     21.5 %  
France     9.5 %  
Australia     8.6 %  
Germany     8.2 %  
Switzerland     7.8 %  
Spain     3.2 %  
Sweden     3.1 %  
Hong Kong     3.1 %  
Italy     2.6 %  
Netherlands     2.5 %  
Singapore     1.8 %  
Finland     1.1 %  
Denmark     1.0 %  
Belgium     0.9 %  
Israel     0.8 %  
Norway     0.8 %  
Austria     0.3 %  
Greece     0.3 %  
Portugal     0.3 %  
Ireland     0.2 %  
New Zealand     0.1 %  

MSCI EAFE Index – Composition

    % of Index  
Financials     23.8 %  
Industrials     12.5 %  
Materials     11.0 %  
Consumer Discretionary     10.8 %  
Consumer Staples     10.3 %  
Health Care     8.4 %  
Energy     7.4 %  
Telecommunication Services     5.7 %  
Utilities     5.2 %  
Information Technology     4.9 %  

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® includes 85% of free float-adjusted market capitalization in each industry group in 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     15.8 %  
Korea     13.5 %  
Other     12.3 %  
Taiwan     11.0 %  
India     7.9 %  
South Africa     7.4 %  
Russia     6.3 %  
Mexico     4.6 %  
Malaysia     2.9 %  

 

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     25.6 %  
Materials     14.6 %  
Energy     14.1 %  
Information Technology     12.7 %  
Telecommunication Services     7.8 %  
Industrials     7.3 %  
Consumer Discretionary     6.9 %  
Consumer Staples     6.8 %  
Utilities     3.4 %  
Health Care     0.8 %  

ProShares Short FTSE China 25 (Ticker: YXI)

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

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.

FTSE China 25 Index – Composition

    % of Index  
Financials     48.4 %  
Energy     22.4 %  
Communications     17.4 %  
Industrials     4.5 %  
Consumer, Cyclical     3.9 %  
Basic Materials     3.4 %  

XXXII :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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) includes 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  
Japan     22.3 %  
United Kingdom     21.5 %  
France     9.5 %  
Australia     8.6 %  
Germany     8.2 %  
Switzerland     7.8 %  
Spain     3.2 %  
Sweden     3.1 %  
Hong Kong     3.1 %  
Italy     2.6 %  
Netherlands     2.5 %  
Singapore     1.8 %  
Finland     1.1 %  
Denmark     1.0 %  
Belgium     0.9 %  
Israel     0.8 %  
Norway     0.8 %  
Austria     0.3 %  
Greece     0.3 %  
Portugal     0.3 %  
Ireland     0.2 %  
New Zealand     0.1 %  

 

MSCI EAFE Index – Composition

    % of Index  
Financials     23.8 %  
Industrials     12.5 %  
Materials     11.0 %  
Consumer Discretionary     10.8 %  
Consumer Staples     10.3 %  
Health Care     8.4 %  
Energy     7.4 %  
Telecommunication Services     5.7 %  
Utilities     5.2 %  
Information Technology     4.9 %  

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® includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries.

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 Emerging Markets
Index – Country

    % of Index  
China     18.3 %  
Brazil     15.8 %  
Korea     13.5 %  
Other     12.3 %  
Taiwan     11.0 %  
India     7.9 %  
South Africa     7.4 %  
Russia     6.3 %  
Mexico     4.6 %  
Malaysia     2.9 %  

 

MSCI Emerging Markets
Index – Composition

    % of Index  
Financials     25.6 %  
Materials     14.6 %  
Energy     14.1 %  
Information Technology     12.7 %  
Telecommunication Services     7.8 %  
Industrials     7.3 %  
Consumer Discretionary     6.9 %  
Consumer Staples     6.8 %  
Utilities     3.4 %  
Health Care     0.8 %  

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     34.0 %  
France     15.1 %  
Germany     13.0 %  
Switzerland     12.3 %  
Other     5.9 %  
Spain     5.0 %  
Sweden     5.0 %  
Italy     4.1 %  
Netherlands     3.9 %  
Finland     1.7 %  

 

MSCI Europe Index – Composition

    % of Index  
Financials     21.3 %  
Consumer Staples     12.7 %  
Industrials     10.9 %  
Materials     10.5 %  
Energy     10.3 %  
Health Care     10.1 %  
Consumer Discretionary     9.1 %  
Telecommunication Services     6.8 %  
Utilities     5.5 %  
Information Technology     2.8 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXXIII


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     63.5 %  
Hong Kong     22.6 %  
Singapore     13.1 %  
New Zealand     0.8 %  

 

MSCI Pacific ex-Japan
Index – Composition

    % of Index  
Financials     47.1 %  
Materials     18.9 %  
Industrials     8.5 %  
Consumer Staples     7.5 %  
Consumer Discretionary     5.3 %  
Energy     4.1 %  
Utilities     3.4 %  
Telecommunication Services     2.6 %  
Health Care     2.0 %  
Information Technology     0.6 %  

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  
Financials     26.2 %  
Materials     25.4 %  
Energy     22.1 %  
Consumer Staples     9.0 %  
Utilities     5.2 %  
Consumer Discretionary     4.6 %  
Industrials     3.3 %  
Telecommunication Services     2.5 %  
Information Technology     1.7 %  

ProShares UltraShort FTSE China 25 (Ticker: FXP)

ProShares UltraShort FTSE 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 China 25 Index®. The FTSE China 25 Index® is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.

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 China 25 Index – Composition

    % of Index  
Financials     48.4 %  
Energy     22.4 %  
Communications     17.4 %  
Industrials     4.5 %  
Consumer, Cyclical     3.9 %  
Basic Materials     3.4 %  

XXXIV :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)


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® includes 85% of free float-adjusted market capitalization in each industry group in 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 Japan Index – Composition

    % of Index  
Industrials     20.0 %  
Consumer Discretionary     19.6 %  
Financials     17.0 %  
Information Technology     13.7 %  
Materials     7.7 %  
Utilities     5.6 %  
Health Care     5.6 %  
Consumer Staples     5.2 %  
Telecommunication Services     4.1 %  
Energy     1.5 %  

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® is a free float-adjusted, market capitalization-weighted index that is designed to measure the performance of the Mexican equity market by capturing 99% of the (publicly available) total market capitalization.

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 Mexico Investable Market Index – Composition

    % of Index  
Telecommunication Services     34.4 %  
Consumer Staples     24.1 %  
Materials     16.2 %  
Consumer Discretionary     11.3 %  
Financials     7.1 %  
Industrials     6.5 %  
Health Care     0.4 %  

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, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
U.S. Treasury Obligations     —    
Swap Agreements     -97 %  
Futures Contracts     -4 %  
Total Exposure     -101 %  

 

"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 %  

November 30, 2010 (Unaudited) :: Allocation of Portfolio Holdings & Index Composition :: ProShares Trust :: XXXV


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, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.

Market Exposure

Investment Type   % of Net Assets  
U.S. Treasury Obligations     —    
Swap Agreements     -197 %  
Futures Contracts     -4 %  
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  
U.S. Treasury Obligations     —    
Swap Agreements     -195 %  
Futures Contracts     -5 %  
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.

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 (the "Universe") 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     98 %  
Swap Agreements (Long)     32 %  
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  
Apple, Inc.     2.3 %  
Exxon Mobil Corp.     2.1 %  
Microsoft Corp.     1.6 %  
AT&T, Inc.     1.4 %  
Chevron Corp.     1.4 %  

Credit Suisse 130/30 Large Cap
Index – Composition

    % of Index  
Consumer, Non-cyclical     23.4 %  
Financials     16.7 %  
Technology     14.9 %  
Communications     10.8 %  
Energy     10.1 %  
Industrials     8.8 %  
Consumer, Cyclical     7.2 %  
Utilities     5.5 %  
Basic Materials     2.1 %  
Diversified     0.5 %  

XXXVI :: ProShares Trust :: Allocation of Portfolio Holdings & Index Composition :: November 30, 2010 (Unaudited)



Expense Examples

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


As a shareholder, you incur two types of costs: (1) transaction 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 other funds.

Actual Expenses

The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, November 30, 2010.

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 a six month period and held through the period ended, November 30, 2010.

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
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra QQQ®  
Actual   $ 1,000.00     $ 1,283.90     $ 5.44       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Dow30SM  
Actual   $ 1,000.00     $ 1,186.90     $ 5.21       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra S&P500®  
Actual   $ 1,000.00     $ 1,170.80     $ 5.06       0.93 %  
Hypothetical   $ 1,000.00     $ 1,020.41     $ 4.71       0.93 %  
Ultra Russell3000  
Actual   $ 1,000.00     $ 1,175.40     $ 5.18       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MidCap400  
Actual   $ 1,000.00     $ 1,229.30     $ 5.31       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra SmallCap600  
Actual   $ 1,000.00     $ 1,163.70     $ 5.15       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000  
Actual   $ 1,000.00     $ 1,175.40     $ 5.18       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro QQQ®  
Actual   $ 1,000.00     $ 1,416.50     $ 5.75       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
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraPro Dow30SM  
Actual   $ 1,000.00     $ 1,268.40     $ 5.40       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro S&P500®  
Actual   $ 1,000.00     $ 1,236.60     $ 5.33       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro MidCap400  
Actual   $ 1,000.00     $ 1,315.20     $ 5.51       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Russell2000  
Actual   $ 1,000.00     $ 1,209.80     $ 5.26       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell1000 Value  
Actual   $ 1,000.00     $ 1,106.30     $ 5.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell1000 Growth  
Actual   $ 1,000.00     $ 1,252.40     $ 5.36       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell MidCap Value  
Actual   $ 1,000.00     $ 1,168.20     $ 5.16       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell MidCap Growth  
Actual   $ 1,000.00     $ 1,287.10     $ 5.45       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000 Value  
Actual   $ 1,000.00     $ 1,090.20     $ 4.98       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Russell2000 Growth  
Actual   $ 1,000.00     $ 1,259.00     $ 5.38       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Basic Materials  
Actual   $ 1,000.00     $ 1,423.30     $ 5.77       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Nasdaq Biotechnology  
Actual   $ 1,000.00     $ 1,142.60     $ 5.10       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Consumer Goods  
Actual   $ 1,000.00     $ 1,257.30     $ 5.38       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Consumer Services  
Actual   $ 1,000.00     $ 1,205.90     $ 5.25       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
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra Financials  
Actual   $ 1,000.00     $ 961.10     $ 4.67       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Health Care  
Actual   $ 1,000.00     $ 1,107.40     $ 5.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Industrials  
Actual   $ 1,000.00     $ 1,190.40     $ 5.22       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Oil & Gas  
Actual   $ 1,000.00     $ 1,357.40     $ 5.61       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Real Estate  
Actual   $ 1,000.00     $ 1,165.50     $ 5.16       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra KBW Regional Banking  
Actual   $ 1,000.00     $ 771.20     $ 4.22       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Semiconductors  
Actual   $ 1,000.00     $ 1,157.00     $ 5.14       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Technology  
Actual   $ 1,000.00     $ 1,188.90     $ 5.21       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Telecommunications  
Actual   $ 1,000.00     $ 1,262.50     $ 5.39       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra Utilities  
Actual   $ 1,000.00     $ 1,189.90     $ 5.22       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI EAFE  
Actual   $ 1,000.00     $ 1,256.10     $ 5.37       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Emerging Markets  
Actual   $ 1,000.00     $ 1,311.20     $ 5.50       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Europe  
Actual   $ 1,000.00     $ 1,280.50     $ 5.43       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Pacific ex-Japan  
Actual   $ 1,000.00     $ 1,461.30     $ 5.86       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
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
Ultra MSCI Brazil  
Actual   $ 1,000.00     $ 1,266.00     $ 5.40       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra FTSE China 25  
Actual   $ 1,000.00     $ 1,217.30     $ 5.28       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Japan  
Actual   $ 1,000.00     $ 1,155.60     $ 5.13       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra MSCI Mexico Investable Market  
Actual   $ 1,000.00     $ 1,409.80     $ 5.74       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra 7-10 Year Treasury  
Actual   $ 1,000.00     $ 1,135.20     $ 5.08       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Ultra 20+ Year Treasury  
Actual   $ 1,000.00     $ 1,074.40     $ 4.94       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short QQQ®  
Actual   $ 1,000.00     $ 850.90     $ 4.41       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Dow30SM  
Actual   $ 1,000.00     $ 893.10     $ 4.51       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short S&P500®  
Actual   $ 1,000.00     $ 895.20     $ 4.28       0.90 %  
Hypothetical   $ 1,000.00     $ 1,020.56     $ 4.56       0.90 %  
Short MidCap400  
Actual   $ 1,000.00     $ 864.00     $ 4.44       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short SmallCap600  
Actual   $ 1,000.00     $ 874.50     $ 4.46       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Russell2000  
Actual   $ 1,000.00     $ 865.20     $ 4.44       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort QQQ®  
Actual   $ 1,000.00     $ 712.00     $ 4.08       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Dow30SM  
Actual   $ 1,000.00     $ 789.40     $ 4.26       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

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


    Beginning
Account
Value		   Ending
Account
Value
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort S&P500®  
Actual   $ 1,000.00     $ 790.70     $ 4.04       0.90 %  
Hypothetical   $ 1,000.00     $ 1,020.56     $ 4.56       0.90 %  
UltraShort Russell3000  
Actual   $ 1,000.00     $ 779.50     $ 4.24       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MidCap400  
Actual   $ 1,000.00     $ 731.10     $ 4.12       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort SmallCap600  
Actual   $ 1,000.00     $ 742.10     $ 4.15       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell2000  
Actual   $ 1,000.00     $ 723.70     $ 4.11       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short QQQ®  
Actual   $ 1,000.00     $ 585.20     $ 3.78       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short Dow30SM  
Actual   $ 1,000.00     $ 689.00     $ 4.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short S&P500®  
Actual   $ 1,000.00     $ 686.50     $ 4.02       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short MidCap400  
Actual   $ 1,000.00     $ 603.90     $ 3.82       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraPro Short Russell2000  
Actual   $ 1,000.00     $ 583.40     $ 3.77       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell1000 Value  
Actual   $ 1,000.00     $ 827.00     $ 4.35       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell1000 Growth  
Actual   $ 1,000.00     $ 738.30     $ 4.14       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell MidCap Value  
Actual   $ 1,000.00     $ 766.60     $ 4.21       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell MidCap Growth  
Actual   $ 1,000.00     $ 699.00     $ 4.05       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

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


    Beginning
Account
Value		   Ending
Account
Value
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort Russell2000 Value  
Actual   $ 1,000.00     $ 774.80     $ 4.23       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Russell2000 Growth  
Actual   $ 1,000.00     $ 674.90     $ 3.99       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Basic Materials  
Actual   $ 1,000.00     $ 783.50     $ 4.25       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Financials  
Actual   $ 1,000.00     $ 964.90     $ 4.68       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Oil & Gas  
Actual   $ 1,000.00     $ 815.40     $ 4.32       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short Real Estate  
Actual   $ 1,000.00     $ 870.80     $ 4.46       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short KBW Regional Banking  
Actual   $ 1,000.00     $ 1,051.60     $ 4.89       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Basic Materials  
Actual   $ 1,000.00     $ 592.80     $ 3.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Nasdaq Biotechnology  
Actual   $ 1,000.00     $ 787.10     $ 4.26       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Consumer Goods  
Actual   $ 1,000.00     $ 753.80     $ 4.18       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Consumer Services  
Actual   $ 1,000.00     $ 757.40     $ 4.19       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Financials  
Actual   $ 1,000.00     $ 906.20     $ 4.54       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Health Care  
Actual   $ 1,000.00     $ 850.90     $ 4.41       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Industrials  
Actual   $ 1,000.00     $ 746.20     $ 4.16       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

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


    Beginning
Account
Value		   Ending
Account
Value
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort Oil & Gas  
Actual   $ 1,000.00     $ 647.30     $ 3.92       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Real Estate  
Actual   $ 1,000.00     $ 731.90     $ 4.12       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Semiconductors  
Actual   $ 1,000.00     $ 746.90     $ 4.16       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Technology  
Actual   $ 1,000.00     $ 765.20     $ 4.20       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Telecommunications  
Actual   $ 1,000.00     $ 737.30     $ 4.14       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort Utilities  
Actual   $ 1,000.00     $ 790.00     $ 4.26       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short MSCI EAFE  
Actual   $ 1,000.00     $ 846.00     $ 4.40       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short MSCI Emerging Markets  
Actual   $ 1,000.00     $ 825.00     $ 4.35       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short FTSE China 25  
Actual   $ 1,000.00     $ 858.60     $ 4.43       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI EAFE  
Actual   $ 1,000.00     $ 697.20     $ 4.04       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Emerging Markets  
Actual   $ 1,000.00     $ 663.70     $ 3.96       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Europe  
Actual   $ 1,000.00     $ 645.60     $ 3.92       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Pacific ex-Japan  
Actual   $ 1,000.00     $ 590.90     $ 3.79       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Brazil  
Actual   $ 1,000.00     $ 676.00     $ 3.99       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  

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


    Beginning
Account
Value		   Ending
Account
Value
11/30/10		   Expenses Paid
During the
Period*		   Annualized
Expense Ratio
During Period		  
UltraShort FTSE China 25  
Actual   $ 1,000.00     $ 721.40     $ 4.10       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Japan  
Actual   $ 1,000.00     $ 798.70     $ 4.28       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort MSCI Mexico Investable Market  
Actual   $ 1,000.00     $ 639.40     $ 3.90       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
Short 20+ Year Treasury  
Actual   $ 1,000.00     $ 934.70     $ 4.61       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort 7-10 Year Treasury  
Actual   $ 1,000.00     $ 850.50     $ 4.41       0.95 %  
Hypothetical   $ 1,000.00     $ 1,020.31     $ 4.81       0.95 %  
UltraShort 20+ Year Treasury  
Actual   $ 1,000.00     $ 862.20     $ 4.34       0.93 %  
Hypothetical   $ 1,000.00     $ 1,020.41     $ 4.71       0.93 %  
Credit Suisse 130/30  
Actual   $ 1,000.00     $ 1,075.60     $ 4.94       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).

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



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Schedule of Portfolio Investments

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 1


  Ultra QQQ®  QLD

Shares     Value  
    Common Stocks (a) — 60.9%  
    Consumer Discretionary — 9.4%  
  75,431     Amazon.com, Inc.*   $ 13,230,597    
  37,833     Apollo Group, Inc., Class A*     1,286,322    
  90,016     Bed Bath & Beyond, Inc.*     3,937,300    
  367,445     Comcast Corp., Class A     7,348,900    
  160,106     DIRECTV, Class A*     6,649,202    
  54,812     DISH Network Corp., Class A*     1,007,993    
  70,910     Expedia, Inc.     1,867,060    
  45,784     Garmin Ltd.     1,325,905    
  139,122     Liberty Media Corp. - Interactive,
Class A*		     2,150,826    
  104,362     Mattel, Inc.     2,696,714    
  361,452     News Corp., Class A     4,930,205    
  35,100     O'Reilly Automotive, Inc.*     2,112,318    
  12,992     priceline.com, Inc.*     5,119,498    
  31,323     Ross Stores, Inc.     2,032,236    
  29,355     Sears Holdings Corp.*     1,922,753    
  124,421     Staples, Inc.     2,738,506    
  261,039     Starbucks Corp.     7,987,793    
  42,208     Urban Outfitters, Inc.*     1,595,040    
  86,116     Virgin Media, Inc.     2,194,236    
  34,157     Wynn Resorts Ltd.     3,453,273    
      75,586,677    
    Consumer Staples — 0.5%  
  58,676     Costco Wholesale Corp.     3,967,084    
    Health Care — 8.3%  
  113,322     Amgen, Inc.*     5,970,936    
  66,703     Biogen Idec, Inc.*     4,266,991    
  115,556     Celgene Corp.*     6,861,715    
  18,593     Cephalon, Inc.*     1,180,470    
  20,840     Cerner Corp.*     1,831,002    
  34,778     DENTSPLY International, Inc.     1,075,336    
  122,782     Express Scripts, Inc.*     6,395,714    
  81,053     Genzyme Corp.*     5,772,595    
  209,501     Gilead Sciences, Inc.*     7,646,787    
  23,151     Henry Schein, Inc.*     1,329,562    
  69,134     Hologic, Inc.*     1,133,798    
  30,950     Illumina, Inc.*     1,860,714    
  9,969     Intuitive Surgical, Inc.*     2,594,831    
  47,066     Life Technologies Corp.*     2,344,122    
  112,022     Mylan, Inc.*     2,191,710    
  30,165     Patterson Cos., Inc.     896,805    
  59,731     QIAGEN N.V.*     1,093,077    
  185,806     Teva Pharmaceutical
Industries Ltd. (ADR)		     9,297,732    
  53,812     Vertex Pharmaceuticals, Inc.*     1,782,792    
  63,757     Warner Chilcott plc, Class A     1,212,021    
      66,738,710    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Industrials — 2.5%  
  41,596     C.H. Robinson Worldwide, Inc.   $ 3,066,041    
  46,529     Cintas Corp.     1,244,418    
  52,849     Expeditors International of
Washington, Inc.		     2,795,712    
  35,754     Fastenal Co.     1,913,554    
  33,792     Foster Wheeler AG*     946,176    
  31,264     J.B. Hunt Transport Services, Inc.     1,141,136    
  25,699     Joy Global, Inc.     1,961,348    
  103,654     PACCAR, Inc.     5,582,804    
  22,723     Stericycle, Inc.*     1,679,230    
      20,330,419    
    Information Technology — 39.0%  
  277,341     Activision Blizzard, Inc.     3,255,983    
  130,579     Adobe Systems, Inc.*     3,620,956    
  109,619     Altera Corp.     3,846,531    
  323,242     Apple, Inc.*     100,576,748    
  176,189     Applied Materials, Inc.     2,190,029    
  60,054     Autodesk, Inc.*     2,119,306    
  88,201     Automatic Data Processing, Inc.     3,931,119    
  69,557     Baidu, Inc. (ADR)*     7,316,701    
  52,696     BMC Software, Inc.*     2,339,702    
  103,760     Broadcom Corp., Class A     4,616,282    
  125,713     CA, Inc.     2,877,571    
  52,015     Check Point Software
Technologies Ltd.*		     2,229,883    
  517,587     Cisco Systems, Inc.*     9,916,967    
  56,349     Citrix Systems, Inc.*     3,742,701    
  74,398     Cognizant Technology Solutions
Corp., Class A*		     4,834,382    
  181,484     Dell, Inc.*     2,399,218    
  248,253     eBay, Inc.*     7,231,610    
  84,464     Electronic Arts, Inc.*     1,259,358    
  19,004     First Solar, Inc.*     2,334,641    
  47,634     Fiserv, Inc.*     2,634,160    
  216,165     Flextronics International Ltd.*     1,567,196    
  41,976     FLIR Systems, Inc.*     1,125,167    
  38,025     Google, Inc., Class A*     21,130,873    
  27,776     Infosys Technologies Ltd. (ADR)     1,837,382    
  494,598     Intel Corp.     10,445,910    
  100,379     Intuit, Inc.*     4,506,013    
  51,591     KLA-Tencor Corp.     1,891,842    
  32,517     Lam Research Corp.*     1,473,996    
  76,103     Linear Technology Corp.     2,480,958    
  43,552     Logitech International S.A.
(Registered)*		     841,425    
  157,343     Marvell Technology Group Ltd.*     3,035,146    
  74,487     Maxim Integrated Products, Inc.     1,731,823    
  39,211     Microchip Technology, Inc.     1,317,882    
  755,493     Microsoft Corp.     19,045,978    

 

See accompanying notes to the financial statements.

2 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  QLD  Ultra QQQ®

Shares     Value  
    Common Stocks (a) (continued)  
  94,721     NetApp, Inc.*   $ 4,824,140    
  142,987     NVIDIA Corp.*     1,944,623    
  531,627     Oracle Corp.     14,375,194    
  86,987     Paychex, Inc.     2,482,609    
  491,104     QUALCOMM, Inc.     22,954,201    
  133,976     Research In Motion Ltd.*     8,286,416    
  60,088     SanDisk Corp.*     2,679,925    
  119,352     Seagate Technology plc*     1,600,510    
  209,372     Symantec Corp.*     3,517,450    
  41,639     VeriSign, Inc.*     1,428,634    
  87,107     Xilinx, Inc.     2,362,342    
  164,427     Yahoo!, Inc.*     2,593,014    
      314,754,497    
    Materials — 0.2%  
  29,561     Sigma-Aldrich Corp.     1,868,847    
    Telecommunication Services — 1.0%  
  26,725     Millicom International Cellular S.A.     2,319,196    
  41,525     NII Holdings, Inc.*     1,609,509    
  179,471     Vodafone Group plc (ADR)     4,497,543    
      8,426,248    
        Total Common Stocks
(Cost $502,360,532)		     491,672,482    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 9.5%		  
        Federal Home Loan Bank        
$ 30,279,881     0.07%, due 12/01/10     30,279,881    
  46,312,949     0.09%, due 12/06/10     46,312,949    
        Total U.S. Government & Agency
Securities (Cost $76,592,830)		     76,592,830    
    Repurchase Agreements (a)(b) — 21.8%  
  175,815,711     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $175,817,987		     175,815,711    
        Total Repurchase Agreements
(Cost $175,815,711)		     175,815,711    
        Total Investment Securities
(Cost $754,769,073) — 92.2%		     744,081,023    
        Other assets less liabilities — 7.8%     63,082,995    
        Net Assets — 100.0%   $ 807,164,018    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $75,676,311.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

ADR  American Depositary Receipt

As of November 30, 2010, 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   $ 19,763,543    
Aggregate gross unrealized depreciation     (31,849,967 )  
Net unrealized depreciation   $ (12,086,424 )  
Federal income tax cost of investments   $ 756,167,447    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 3


  Ultra QQQ®  QLD

Futures Contracts Purchased

Ultra QQQ® had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini NASDAQ-100 Futures Contracts     2,708     12/17/10   $ 114,643,180     $ 12,638,371    

 

Cash collateral in the amount of $12,214,496 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra QQQ® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100® Index   $ 29,187,874     $ (754,294 )  
Equity Index Swap Agreement with Credit Suisse International, based on the NASDAQ-100® Index     148,164,205       8,731,584    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
NASDAQ-100® Index		     8,213,135       (265,836 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     91,805,773       (1,594,381 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     75,066,766       (3,107,247 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
NASDAQ-100® Index		     111,483,014       11,707,958    
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     478,775,210       27,963,019    
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     65,389,056       9,958,884    
        $ 52,639,687    

See accompanying notes to the financial statements.

4 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  DDM  Ultra Dow30SM

Shares     Value  
    Common Stocks (a) — 53.2%  
    Consumer Discretionary — 5.3%  
  108,002     Home Depot, Inc.   $ 3,262,740    
  108,002     McDonald's Corp.     8,456,557    
  108,002     Walt Disney Co. (The)     3,943,153    
      15,662,450    
    Consumer Staples — 7.6%  
  108,002     Coca-Cola Co. (The)     6,822,486    
  108,002     Kraft Foods, Inc., Class A     3,267,061    
  108,002     Procter & Gamble Co. (The)     6,595,682    
  108,002     Wal-Mart Stores, Inc.     5,841,828    
      22,527,057    
    Energy — 5.5%  
  108,002     Chevron Corp.     8,744,922    
  108,002     Exxon Mobil Corp.     7,512,619    
      16,257,541    
    Financials — 5.3%  
  108,002     American Express Co.     4,667,847    
  108,002     Bank of America Corp.     1,182,622    
  108,002     JPMorgan Chase & Co.     4,037,115    
  108,002     Travelers Cos., Inc. (The)     5,831,028    
      15,718,612    
    Health Care — 4.1%  
  108,002     Johnson & Johnson     6,647,523    
  108,002     Merck & Co., Inc.     3,722,829    
  108,002     Pfizer, Inc.     1,759,353    
      12,129,705    
    Industrials — 11.9%  
  108,002     3M Co.     9,070,008    
  108,002     Boeing Co. (The)     6,887,288    
  108,002     Caterpillar, Inc.     9,136,969    
  108,002     General Electric Co.     1,709,672    
  108,002     United Technologies Corp.     8,129,310    
      34,933,247    
    Information Technology — 9.1%  
  108,002     Cisco Systems, Inc.*     2,069,318    
  108,002     Hewlett-Packard Co.     4,528,524    
  108,002     Intel Corp.     2,281,002    
  108,002     International Business
Machines Corp.		     15,277,963    
  108,002     Microsoft Corp.     2,722,731    
      26,879,538    
    Materials — 2.2%  
  108,002     Alcoa, Inc.     1,416,986    
  108,002     E.I. du Pont de Nemours & Co.     5,075,014    
      6,492,000    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Telecommunication Services — 2.2%  
  108,002     AT&T, Inc.   $ 3,001,375    
  108,002     Verizon Communications, Inc.     3,457,144    
      6,458,519    
        Total Common Stocks
(Cost $158,597,818)		     157,058,669    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 13.2%		  
        Federal Home Loan Bank        
$ 13,050,485     0.07%, due 12/01/10     13,050,485    
  25,804,199     0.09%, due 12/06/10     25,804,199    
        Total U.S. Government & Agency
Securities (Cost $38,854,684)		     38,854,684    
    Repurchase Agreements (a)(b) — 30.4%  
  89,571,807     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $89,573,021		     89,571,807    
        Total Repurchase Agreements
(Cost $89,571,807)		     89,571,807    
        Total Investment Securities
(Cost $287,024,309) — 96.8%		     285,485,160    
        Other assets less liabilities — 3.2%     9,584,441    
        Net Assets — 100.0%   $ 295,069,601    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $55,554,711.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 4,830,457    
Aggregate gross unrealized depreciation     (6,421,749 )  
Net unrealized depreciation   $ (1,591,292 )  
Federal income tax cost of investments   $ 287,076,452    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 5


  Ultra Dow30SM  DDM

Futures Contracts Purchased

Ultra Dow30SM had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     436     12/17/10   $ 23,969,100     $ 1,429,230    

 

Cash collateral in the amount of $4,563,000 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra Dow30SM had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index   $ 14,088,667     $ (473,252 )  
Equity Index Swap Agreement with Credit Suisse International, based on the Dow Jones
Industrial AverageSM Index		     99,976,473       1,450,256    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
Industrial AverageSM Index		     8,687,050       (291,304 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
Industrial AverageSM Index		     47,126,561       (795,700 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
Industrial AverageSM Index		     9,446,538       (316,788 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones Industrial AverageSM Index     209,939,496       3,107,208    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones Industrial AverageSM Index     19,887,000       1,939,675    
        $ 4,620,095    

See accompanying notes to the financial statements.

6 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SSO  Ultra S&P500®

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 78.7%  
  76,200     3M Co. (Industrials)     0.4 %   $ 6,399,276    
  164,899     Abbott Laboratories
(Health Care)		     0.5 %     7,669,453    
  222,487     Altria Group, Inc.
(Consumer Staples)		     0.4 %     5,339,688    
  37,855     Amazon.com, Inc.*
(Consumer Discretionary)		     0.5 %     6,639,767    
  112,010     American Express Co.
(Financials)		     0.2 %     4,841,072    
  102,328     Amgen, Inc.*
(Health Care)		     0.4 %     5,391,662    
  97,779     Apple, Inc.*
(Information Technology)		     2.1 %     30,423,936    
  631,308     AT&T, Inc.
(Telecommunication
Services)		     1.2 %     17,544,049    
  1,071,958     Bank of America Corp.
(Financials)		     0.8 %     11,737,940    
  185,103     Berkshire Hathaway, Inc.,
Class B* (Financials)		     1.0 %     14,749,007    
  78,285     Boeing Co. (The)
(Industrials)		     0.3 %     4,992,234    
  67,461     Caterpillar, Inc. (Industrials)     0.4 %     5,707,201    
  214,555     Chevron Corp. (Energy)     1.2 %     17,372,518    
  610,192     Cisco Systems, Inc.*
(Information Technology)		     0.8 %     11,691,279    
  2,724,861     Citigroup, Inc.* (Financials)     0.8 %     11,444,416    
  246,471     Coca-Cola Co. (The)
(Consumer Staples)		     1.1 %     15,569,573    
  300,339     Comcast Corp., Class A
(Consumer Discretionary)		     0.4 %     6,006,780    
  158,719     ConocoPhillips (Energy)     0.7 %     9,550,122    
  544,835     Exxon Mobil Corp. (Energy)     2.6 %     37,898,723    
  368,017     Ford Motor Co.*
(Consumer Discretionary)		     0.4 %     5,866,191    
  50,427     Freeport-McMoRan
Copper & Gold, Inc.
(Materials)		     0.4 %     5,109,264    
  1,144,018     General Electric Co.
(Industrials)		     1.2 %     18,109,805    
  54,985     Goldman Sachs Group, Inc.
(The) (Financials)		     0.6 %     8,585,358    
  26,606     Google, Inc., Class A*
(Information Technology)		     1.0 %     14,785,220    
  242,674     Hewlett-Packard Co.
(Information Technology)		     0.7 %     10,175,321    
  178,197     Home Depot, Inc.
(Consumer Discretionary)		     0.4 %     5,383,331    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  594,450     Intel Corp.
(Information Technology)		     0.9 %   $ 12,554,784    
  134,973     International Business
Machines Corp.
(Information Technology)		     1.3 %     19,093,281    
  294,731     Johnson & Johnson
(Health Care)		     1.2 %     18,140,693    
  424,286     JPMorgan Chase & Co.
(Financials)		     1.1 %     15,859,811    
  186,282     Kraft Foods, Inc., Class A
(Consumer Staples)		     0.4 %     5,635,031    
  113,874     McDonald's Corp.
(Consumer Discretionary)		     0.6 %     8,916,334    
  329,332     Merck & Co., Inc.
(Health Care)		     0.8 %     11,352,074    
  814,874     Microsoft Corp.
(Information Technology)		     1.4 %     20,542,974    
  86,769     Occidental Petroleum
Corp. (Energy)		     0.5 %     7,650,423    
  414,139     Oracle Corp.
(Information Technology)		     0.8 %     11,198,319    
  170,243     PepsiCo, Inc.
(Consumer Staples)		     0.8 %     11,002,805    
  860,137     Pfizer, Inc. (Health Care)     1.0 %     14,011,632    
  196,141     Philip Morris International,
Inc. (Consumer Staples)		     0.8 %     11,158,462    
  303,727     Procter & Gamble Co.
(The) (Consumer Staples)		     1.3 %     18,548,608    
  171,782     QUALCOMM, Inc.
(Information Technology)		     0.6 %     8,029,091    
  145,937     Schlumberger Ltd. (Energy)     0.8 %     11,286,801    
  204,817     U.S. Bancorp (Financials)     0.2 %     4,870,548    
  105,819     United Parcel Service, Inc.,
Class B (Industrials)		     0.5 %     7,421,086    
  99,396     United Technologies
Corp. (Industrials)		     0.5 %     7,481,537    
  302,033     Verizon Communications,
Inc. (Telecommunication
Services)		     0.7 %     9,668,076    
  214,038     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.8 %     11,577,315    
  204,636     Walt Disney Co. (The)
(Consumer Discretionary)		     0.5 %     7,471,260    
  560,003     Wells Fargo & Co.
(Financials)		     1.0 %     15,237,682    
  17,460,764     Other Common Stocks     39.7 %     578,961,408    
        Total Common Stocks
(Cost $1,112,170,317)		         1,146,653,221    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 7


  Ultra S&P500®  SSO

Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 4.4%		  
        Federal Home Loan Bank,              
$ 20,556,308     0.07%, due 12/01/10         $ 20,556,308    
  42,756,291     0.09%, due 12/06/10           42,756,291    
        Total U.S. Government & Agency
Securities (Cost $63,312,599)		         63,312,599    
    Repurchase Agreements (a)(b) — 10.0%  
  146,072,102     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $146,074,097		           146,072,102    
        Total Repurchase Agreements
(Cost $146,072,102)		           146,072,102    
        Total Investment Securities
(Cost $1,321,555,018) — 93.1%		         1,356,037,922    
        Other assets less liabilities — 6.9%         100,650,556    
        Net Assets — 100.0%         $ 1,456,688,478    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $123,892,053.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 86,285,205    
Aggregate gross unrealized depreciation     (57,076,397 )  
Net unrealized appreciation   $ 29,208,808    
Federal income tax cost of investments   $ 1,326,829,114    

Futures Contracts Purchased

Ultra S&P500® had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     828     12/17/10   $ 48,831,300     $ 3,521,567    

 

Cash collateral in the amount of $4,852,901 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra S&P500® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index   $ 953,176,427     $ 81,236,920    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index     113,227,172       6,349,554    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     139,496,491       (3,479,686 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     26,759,104       (922,361 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index     63,366,510       (2,191,358 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P 500® Index     146,466,892       (4,697,611 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     275,405,701       18,940,495    
        $ 95,235,953    

See accompanying notes to the financial statements.

8 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SSO  Ultra S&P500®

Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     8.5 %  
Consumer Staples     8.7 %  
Energy     9.2 %  
Financials     12.0 %  
Health Care     8.8 %  
Industrials     8.6 %  
Information Technology     14.9 %  
Materials     2.9 %  
Telecommunication Services     2.4 %  
Utilities     2.7 %  
Other1     21.3 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 9


  Ultra Russell3000  UWC

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 14.3%  
  52     3M Co. (Industrials)     0.1 %   $ 4,367    
  112     Abbott Laboratories
(Health Care)		     0.1 %     5,209    
  151     Altria Group, Inc.
(Consumer Staples)		     0.1 %     3,624    
  25     Amazon.com, Inc.*
(Consumer Discretionary)		     0.1 %     4,385    
  69     Amgen, Inc.*
(Health Care)		     0.1 %     3,636    
  66     Apple, Inc.*
(Information Technology)		     0.3 %     20,536    
  427     AT&T, Inc.
(Telecommunication
Services)		     0.2 %     11,866    
  725     Bank of America Corp.
(Financials)		     0.1 %     7,939    
  125     Berkshire Hathaway, Inc.,
Class B* (Financials)		     0.1 %     9,960    
  55     Boeing Co. (The)
(Industrials)		     0.0 %     3,507    
  45     Caterpillar, Inc. (Industrials)     0.1 %     3,807    
  145     Chevron Corp. (Energy)     0.2 %     11,741    
  413     Cisco Systems, Inc.*
(Information Technology)		     0.1 %     7,913    
  1,530     Citigroup, Inc.* (Financials)     0.1 %     6,426    
  152     Coca-Cola Co. (The)
(Consumer Staples)		     0.1 %     9,602    
  203     Comcast Corp., Class A
(Consumer Discretionary)		     0.1 %     4,060    
  108     ConocoPhillips (Energy)     0.1 %     6,498    
  369     Exxon Mobil Corp. (Energy)     0.4 %     25,668    
  241     Ford Motor Co.*
(Consumer Discretionary)		     0.1 %     3,842    
  34     Freeport-McMoRan
Copper & Gold, Inc.
(Materials)		     0.0 %     3,445    
  772     General Electric Co.
(Industrials)		     0.2 %     12,221    
  37     Goldman Sachs Group,
Inc. (The) (Financials)		     0.1 %     5,777    
  18     Google, Inc., Class A*
(Information Technology)		     0.1 %     10,003    
  170     Hewlett-Packard Co.
(Information Technology)		     0.1 %     7,128    
  122     Home Depot, Inc.
(Consumer Discretionary)		     0.1 %     3,686    
  402     Intel Corp.
(Information Technology)		     0.1 %     8,490    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  93     International Business
Machines Corp.
(Information Technology)		     0.2 %   $ 13,156    
  199     Johnson & Johnson
(Health Care)		     0.2 %     12,248    
  288     JPMorgan Chase & Co.
(Financials)		     0.2 %     10,765    
  116     Kraft Foods, Inc., Class A
(Consumer Staples)		     0.0 %     3,509    
  78     McDonald's Corp.
(Consumer Discretionary)		     0.1 %     6,107    
  225     Merck & Co., Inc.
(Health Care)		     0.1 %     7,756    
  554     Microsoft Corp.
(Information Technology)		     0.2 %     13,966    
  59     Occidental Petroleum
Corp. (Energy)		     0.1 %     5,202    
  275     Oracle Corp.
(Information Technology)		     0.1 %     7,436    
  117     PepsiCo, Inc.
(Consumer Staples)		     0.1 %     7,562    
  583     Pfizer, Inc. (Health Care)     0.1 %     9,497    
  134     Philip Morris International,
Inc. (Consumer Staples)		     0.1 %     7,623    
  208     Procter & Gamble Co.
(The) (Consumer Staples)		     0.2 %     12,703    
  119     QUALCOMM, Inc.
(Information Technology)		     0.1 %     5,562    
  99     Schlumberger Ltd.
(Energy)		     0.1 %     7,657    
  139     U.S. Bancorp (Financials)     0.0 %     3,305    
  37     Union Pacific Corp.
(Industrials)		     0.0 %     3,334    
  52     United Parcel Service, Inc.,
Class B (Industrials)		     0.1 %     3,647    
  67     United Technologies
Corp. (Industrials)		     0.1 %     5,043    
  204     Verizon Communications,
Inc. (Telecommunication
Services)		     0.1 %     6,530    
  148     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.1 %     8,005    
  142     Walt Disney Co. (The)
(Consumer Discretionary)		     0.1 %     5,184    
  352     Wells Fargo & Co.
(Financials)		     0.1 %     9,578    
  21,588     Other Common Stocks     8.6 %     582,980    
        Total Common Stocks
(Cost $884,722)		         963,691    

 

See accompanying notes to the financial statements.

10 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UWC  Ultra Russell3000

Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 25.9%		  
        Federal Home Loan Bank,              
$ 1,089,024     0.07%, due 12/01/10         $ 1,089,024    
  653,719     0.09%, due 12/06/10           653,719    
        Total U.S. Government & Agency
Securities (Cost $1,742,743)		         1,742,743    
    Repurchase Agreements (a)(b) — 58.3%  
  3,934,160     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10/ - 12/06/10, total
to be received $3,934,201		           3,934,160    
        Total Repurchase Agreements
(Cost $3,934,160)		         3,934,160    
        Total Investment Securities
(Cost $6,561,625) — 98.5%		         6,640,594    
        Other assets less liabilities — 1.5%         103,711    
        Net Assets — 100.0%       $ 6,744,305    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $1,664,495.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 121,203    
Aggregate gross unrealized depreciation     (43,841 )  
Net unrealized appreciation   $ 77,362    
Federal income tax cost of investments   $ 6,563,232    

Swap Agreements

Ultra Russell3000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 3000® Index		   $ 729,336     $ (21,731 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index     5,922,461       (177,216 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell 3000® Index		     2,736,999       (73,727 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 3000® Index     146,641       123,574    
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index     2,987,155       321,658    
        $ 172,558    

 

Ultra Russell3000 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     1.7 %  
Consumer Staples     1.3 %  
Energy     1.6 %  
Financials     2.3 %  
Health Care     1.6 %  
Industrials     1.6 %  
Information Technology     2.7 %  
Materials     0.6 %  
Telecommunication Services     0.4 %  
Utilities     0.5 %  
Other1     85.7 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 11


  Ultra MidCap400  MVV

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 57.7%  
  4,615     Advance Auto Parts, Inc.
(Consumer Discretionary)		     0.3 %   $ 304,544    
  2,814     Affiliated Managers Group,
Inc.* (Financials)		     0.2 %     245,972    
  5,034     Albemarle Corp.
(Materials)		     0.3 %     272,289    
  9,256     AMB Property Corp.
(REIT) (Financials)		     0.3 %     270,090    
  5,857     AMETEK, Inc.
(Industrials)		     0.3 %     346,559    
  4,983     ANSYS, Inc.*
(Information Technology)		     0.2 %     241,675    
  8,947     Arch Coal, Inc. (Energy)     0.3 %     261,252    
  25,364     Atmel Corp.*
(Information Technology)		     0.3 %     263,532    
  8,357     Avnet, Inc.*
(Information Technology)		     0.3 %     256,142    
  6,246     BorgWarner, Inc.*
(Consumer Discretionary)		     0.4 %     376,884    
  4,461     Bucyrus International, Inc.
(Industrials)		     0.4 %     397,743    
  1,705     Chipotle Mexican Grill, Inc.*
(Consumer Discretionary)		     0.4 %     440,725    
  3,904     Church & Dwight Co.,
Inc. (Consumer Staples)		     0.2 %     254,736    
  4,616     Cimarex Energy Co.
(Energy)		     0.4 %     371,773    
  5,920     Cree, Inc.*
(Information Technology)		     0.4 %     385,866    
  6,969     Dollar Tree, Inc.*
(Consumer Discretionary)		     0.4 %     382,947    
  6,238     Edwards Lifesciences
Corp.* (Health Care)		     0.4 %     413,954    
  3,858     Energizer Holdings, Inc.*
(Consumer Staples)		     0.3 %     271,565    
  3,082     Everest Re Group Ltd.
(Financials)		     0.3 %     257,316    
  4,408     F5 Networks, Inc.*
(Information Technology)		     0.6 %     581,327    
  3,376     Federal Realty
Investment Trust
(REIT) (Financials)		     0.3 %     261,269    
  6,286     Green Mountain Coffee
Roasters, Inc.*
(Consumer Staples)		     0.2 %     233,085    
  5,031     Henry Schein, Inc.*
(Health Care)		     0.3 %     288,930    
  14,266     Hologic, Inc.*
(Health Care)		     0.2 %     233,962    
  5,681     Joy Global, Inc.
(Industrials)		     0.4 %     433,574    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  5,618     Kansas City Southern*
(Industrials)		     0.3 %   $ 265,956    
  6,802     Lam Research Corp.*
(Information Technology)		     0.3 %     308,335    
  3,698     Lubrizol Corp. (Materials)     0.4 %     386,663    
  7,142     Macerich Co. (The)
(REIT) (Financials)		     0.3 %     330,960    
  4,508     Manpower, Inc.
(Industrials)		     0.2 %     253,891    
  1,829     Mettler-Toledo International,
Inc.* (Health Care)		     0.3 %     265,534    
  4,508     National Fuel Gas Co.
(Utilities)		     0.3 %     285,627    
  6,780     Nationwide Health
Properties, Inc.
(REIT) (Financials)		     0.2 %     244,419    
  2,381     NetFlix, Inc.*
(Consumer Discretionary)		     0.5 %     490,248    
  23,975     New York Community
Bancorp, Inc.
(Financials)		     0.4 %     402,780    
  7,346     Newfield Exploration
Co.* (Energy)		     0.5 %     490,933    
  5,675     NSTAR (Utilities)     0.2 %     234,945    
  5,351     OGE Energy Corp.
(Utilities)		     0.2 %     238,173    
  4,521     Perrigo Co. (Health Care)     0.3 %     272,345    
  6,512     PetSmart, Inc.
(Consumer Discretionary)		     0.2 %     246,544    
  3,633     Phillips-Van Heusen
Corp. (Consumer
Discretionary)		     0.2 %     246,463    
  9,669     Pride International,
Inc.* (Energy)		     0.3 %     300,706    
  8,349     ResMed, Inc.*
(Health Care)		     0.3 %     266,751    
  7,779     Riverbed Technology,
Inc.* (Information
Technology)		     0.3 %     263,786    
  5,651     Rovi Corp.*
(Information Technology)		     0.3 %     311,766    
  9,786     Skyworks Solutions, Inc.*
(Information Technology)		     0.2 %     249,054    
  4,290     SL Green Realty Corp.
(REIT) (Financials)		     0.3 %     280,566    
  6,528     Trimble Navigation Ltd.*
(Information Technology)		     0.2 %     243,103    
  11,111     Vertex Pharmaceuticals,
Inc.* (Health Care)		     0.4 %     368,107    
  1,618,338     Other Common Stocks     42.5 %     42,789,020    
        Total Common Stocks
(Cost $52,774,025)		         58,084,386    

 

See accompanying notes to the financial statements.

12 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  MVV  Ultra MidCap400

Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 10.7%		  
        Federal Home Loan Bank,              
$ 3,603,607     0.07%, due 12/01/10         $ 3,603,607    
  7,223,127     0.09%, due 12/06/10           7,223,127    
        Total U.S. Government & Agency
Securities (Cost $10,826,734)		         10,826,734    
    Repurchase Agreements (a)(b) — 24.8%  
  24,964,341     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $24,964,679		           24,964,341    
        Total Repurchase Agreements
(Cost $24,964,341)		         24,964,341    
        Total Investment Securities
(Cost $88,565,100) — 93.2%		         93,875,461    
        Other assets less liabilities — 6.8%         6,882,961    
        Net Assets — 100.0%       $ 100,758,422    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $20,871,797.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

As of November 30, 2010, 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   $ 8,167,003    
Aggregate gross unrealized depreciation     (3,276,278 )  
Net unrealized appreciation   $ 4,890,725    
Federal income tax cost of investments   $ 88,984,736    

Futures Contracts Purchased

Ultra MidCap400 had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     35     12/17/10   $ 2,980,950     $ 330,859    

 

Cash collateral in the amount of $455,060 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra MidCap400 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400TM Index   $ 43,529,894     $ 4,758,955    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		     7,239,204       800,179    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     30,584,536       (367,515 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400TM Index     15,656,005       (135,899 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     23,736,868       1,873,478    
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400TM Index     19,730,969       (348,103 )  
        $ 6,581,095    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 13


  Ultra MidCap400  MVV

Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     8.7 %  
Consumer Staples     2.1 %  
Energy     3.6 %  
Financials     10.9 %  
Health Care     6.2 %  
Industrials     9.1 %  
Information Technology     9.4 %  
Materials     3.7 %  
Telecommunication Services     0.5 %  
Utilities     3.5 %  
Other1     42.3 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

14 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SAA  Ultra SmallCap600

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 68.3%  
  4,307     Actuant Corp., Class A
(Industrials)		     0.2 %   $ 101,774    
  3,194     AMERIGROUP Corp.*
(Health Care)		     0.3 %     137,438    
  8,095     BioMed Realty Trust,
Inc. (REIT) (Financials)		     0.3 %     142,715    
  3,326     Brady Corp., Class A
(Industrials)		     0.2 %     102,873    
  1,186     CARBO Ceramics, Inc.
(Energy)		     0.3 %     115,220    
  3,764     Carter's, Inc.*
(Consumer Discretionary)		     0.3 %     119,168    
  2,463     Catalyst Health Solutions,
Inc.* (Health Care)		     0.3 %     105,712    
  3,193     CLARCOR, Inc.
(Industrials)		     0.3 %     129,987    
  2,049     Coinstar, Inc.*
(Consumer Discretionary)		     0.3 %     132,038    
  2,826     Concur Technologies,
Inc.* (Information
Technology)		     0.3 %     144,719    
  2,953     Cooper Cos., Inc. (The)
(Health Care)		     0.4 %     157,985    
  10,019     Cypress Semiconductor
Corp.* (Information
Technology)		     0.4 %     156,998    
  9,777     DiamondRock Hospitality
Co. (REIT)* (Financials)		     0.2 %     102,952    
  9,379     East West Bancorp,
Inc. (Financials)		     0.4 %     162,632    
  4,203     EMCOR Group, Inc.*
(Industrials)		     0.3 %     112,640    
  2,946     Entertainment Properties
Trust (REIT) (Financials)		     0.3 %     136,400    
  1,902     Esterline Technologies
Corp.* (Industrials)		     0.3 %     111,990    
  1,718     HMS Holdings Corp.*
(Health Care)		     0.3 %     108,251    
  2,345     Home Properties, Inc.
(REIT) (Financials)		     0.3 %     125,669    
  3,314     Kilroy Realty Corp.
(REIT) (Financials)		     0.3 %     113,074    
  4,427     LaSalle Hotel Properties
(REIT) (Financials)		     0.3 %     105,363    
  2,112     Magellan Health Services,
Inc.* (Health Care)		     0.2 %     102,854    
  5,260     Microsemi Corp.*
(Information Technology)		     0.3 %     116,456    
  2,079     Mid-America Apartment
Communities, Inc.
(REIT) (Financials)		     0.3 %     127,588    
  2,877     Moog, Inc., Class A*
(Industrials)		     0.3 %     106,046    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  5,278     National Retail Properties,
Inc. (REIT) (Financials)		     0.3 %   $ 137,281    
  2,620     New Jersey Resources
Corp. (Utilities)		     0.3 %     112,948    
  3,175     Oil States International,
Inc.* (Energy)		     0.4 %     188,373    
  4,511     Piedmont Natural Gas
Co., Inc. (Utilities)		     0.3 %     133,435    
  3,080     Post Properties, Inc.
(REIT) (Financials)		     0.2 %     104,936    
  1,992     ProAssurance Corp.*
(Financials)		     0.3 %     117,986    
  2,709     Progress Software Corp.*
(Information Technology)		     0.2 %     104,486    
  4,526     Regeneron Pharmaceuticals,
Inc.* (Health Care)		     0.3 %     130,439    
  3,617     Salix Pharmaceuticals
Ltd.* (Health Care)		     0.4 %     161,499    
  1,345     SEACOR Holdings, Inc.*
(Energy)		     0.3 %     146,605    
  2,540     Signature Bank/NY*
(Financials)		     0.3 %     111,633    
  3,982     SM Energy Co. (Energy)     0.5 %     197,866    
  2,874     Southwest Gas Corp.
(Utilities)		     0.2 %     100,676    
  2,240     Stifel Financial Corp.*
(Financials)		     0.3 %     116,099    
  2,566     Tanger Factory Outlet
Centers (REIT)
(Financials)		     0.3 %     123,117    
  1,960     Toro Co. (The) (Industrials)     0.3 %     114,092    
  2,214     TreeHouse Foods, Inc.*
(Consumer Staples)		     0.3 %     109,992    
  9,831     TriQuint Semiconductor,
Inc.* (Information
Technology)		     0.3 %     117,087    
  2,984     United Natural Foods,
Inc.* (Consumer Staples)		     0.3 %     111,721    
  4,725     Varian Semiconductor
Equipment Associates,
Inc.* (Information
Technology)		     0.3 %     148,979    
  2,557     Veeco Instruments, Inc.*
(Information Technology)		     0.3 %     112,457    
  2,536     Viasat, Inc.*
(Information Technology)		     0.2 %     104,889    
  4,244     World Fuel Services
Corp. (Energy)		     0.3 %     127,744    
  2,394     Wright Express Corp.*
(Information Technology)		     0.2 %     103,110    
  1,209,144     Other Common Stocks     53.8 %     22,564,025    
        Total Common Stocks
(Cost $26,928,136)		         28,680,017    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 15


  Ultra SmallCap600  SAA


 Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 6.0%		  
    Federal Home Loan Bank,              
$ 844,102     0.07%, due 12/01/10         $ 844,102    
  1,662,215     0.09%, due 12/06/10           1,662,215    
    Total U.S. Government & Agency
Securities (Cost $2,506,317)		         2,506,317    
    Repurchase Agreements (a)(b) — 13.8%  
  5,777,444     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $5,777,522		           5,777,444    
    Total Repurchase Agreements
(Cost $5,777,444)		         5,777,444    
    Total Investment Securities
(Cost $35,211,897) — 88.1%		         36,963,778    
    Other assets less liabilities — 11.9%         4,989,390    
    Net Assets — 100.0%       $ 41,953,168    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $5,366,876.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

As of November 30, 2010, 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   $ 3,751,588    
Aggregate gross unrealized depreciation     (4,482,421 )  
Net unrealized depreciation   $ (730,833 )  
Federal income tax cost of investments   $ 37,694,611    

Futures Contracts Purchased

Ultra SmallCap600 had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P SmallCap 600 Futures Contracts     25     12/17/10   $ 964,750     $ 117,453    

 

Cash collateral in the amount of $91,515 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra SmallCap600 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P SmallCap 600TM Index   $ 24,932,586     $ 3,666,338    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		     3,065,789       306,151    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     4,459,650       (308,953 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P SmallCap 600TM Index     2,131,083       313,871    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P SmallCap 600TM Index		     8,261,606       (97,169 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     11,429,374       1,100,264    
        $ 4,980,502    

See accompanying notes to the financial statements.

16 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SAA  Ultra SmallCap600

Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     10.4 %  
Consumer Staples     2.3 %  
Energy     4.0 %  
Financials     12.7 %  
Health Care     8.4 %  
Industrials     10.7 %  
Information Technology     13.7 %  
Materials     3.0 %  
Telecommunication Services     0.4 %  
Utilities     2.7 %  
Other1     31.7 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 17


  Ultra Russell2000  UWM

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 52.7%  
  4,356     Acme Packet, Inc.*
(Information Technology)		     0.1 %   $ 213,357    
  4,330     Acuity Brands, Inc.
(Industrials)		     0.1 %     233,214    
  7,454     Allied Nevada Gold
Corp.* (Materials)		     0.1 %     199,320    
  6,499     American Campus
Communities, Inc.
(REIT) (Financials)		     0.1 %     204,329    
  33,808     American Capital Ltd.*
(Financials)		     0.1 %     243,080    
  5,150     AMERIGROUP Corp.*
(Health Care)		     0.1 %     221,604    
  19,301     Apollo Investment Corp.
(Financials)		     0.1 %     203,819    
  4,663     Baldor Electric Co.
(Industrials)		     0.2 %     295,215    
  13,024     BioMed Realty Trust,
Inc. (REIT) (Financials)		     0.1 %     229,613    
  11,588     Brigham Exploration Co.*
(Energy)		     0.2 %     291,438    
  13,744     CBL & Associates
Properties, Inc.
(REIT) (Financials)		     0.1 %     226,776    
  5,022     CLARCOR, Inc.
(Industrials)		     0.1 %     204,446    
  8,763     Coeur d'Alene Mines
Corp.* (Materials)		     0.1 %     213,379    
  3,156     Coinstar, Inc.*
(Consumer Discretionary)		     0.1 %     203,373    
  7,740     Complete Production
Services, Inc.* (Energy)		     0.1 %     220,203    
  4,007     Concur Technologies,
Inc.* (Information
Technology)		     0.1 %     205,198    
  13,933     Dana Holding Corp.*
(Consumer Discretionary)		     0.1 %     210,528    
  3,852     Deckers Outdoor Corp.*
(Consumer Discretionary)		     0.2 %     296,219    
  3,383     Dril-Quip, Inc.* (Energy)     0.1 %     261,980    
  4,631     Entertainment Properties
Trust (REIT) (Financials)		     0.1 %     214,415    
  11,987     GrafTech International
Ltd.* (Industrials)		     0.1 %     234,945    
  25,495     Hecla Mining Co.*
(Materials)		     0.1 %     244,497    
  7,126     Highwoods Properties,
Inc. (REIT) (Financials)		     0.1 %     217,414    
  3,734     Home Properties, Inc.
(REIT) (Financials)		     0.1 %     200,105    
  8,494     Jack Henry & Associates,
Inc. (Information
Technology)		     0.1 %     232,226    
  27,890     MFA Financial, Inc.
(REIT) (Financials)		     0.1 %     227,303    
  3,267     Mid-America Apartment
Communities, Inc.
(REIT) (Financials)		     0.1 %     200,496    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  8,293     National Retail Properties,
Inc. (REIT) (Financials)		     0.1 %   $ 215,701    
  3,395     Nordson Corp. (Industrials)     0.1 %     269,665    
  11,559     Parametric Technology
Corp.* (Information
Technology)		     0.1 %     247,594    
  7,143     Piedmont Natural Gas
Co., Inc. (Utilities)		     0.1 %     211,290    
  3,100     Polaris Industries, Inc.
(Consumer Discretionary)		     0.1 %     225,339    
  9,651     Rackspace Hosting, Inc.*
(Information Technology)		     0.2 %     281,520    
  12,556     Riverbed Technology, Inc.*
(Information Technology)		     0.2 %     425,774    
  3,875     Rock-Tenn Co., Class A
(Materials)		     0.1 %     209,599    
  5,190     Rockwood Holdings, Inc.*
(Materials)		     0.1 %     198,102    
  5,671     Salix Pharmaceuticals Ltd.*
(Health Care)		     0.1 %     253,210    
  12,084     Solutia, Inc.* (Materials)     0.1 %     258,356    
  6,676     Sotheby's (Consumer
Discretionary)		     0.1 %     267,774    
  5,900     STERIS Corp. (Health Care)     0.1 %     203,019    
  6,942     Syniverse Holdings, Inc.*
(Telecommunication
Services)		     0.1 %     212,148    
  5,949     Tenneco, Inc.*
(Consumer Discretionary)		     0.1 %     216,901    
  16,538     TIBCO Software, Inc.*
(Information Technology)		     0.2 %     324,806    
  3,505     Under Armour, Inc.,
Class A* (Consumer
Discretionary)		     0.1 %     202,344    
  8,507     VeriFone Systems, Inc.*
(Information Technology)		     0.2 %     295,618    
  4,423     Warnaco Group, Inc.
(The)* (Consumer
Discretionary)		     0.1 %     238,179    
  6,069     Woodward Governor Co.
(Industrials)		     0.1 %     204,829    
  6,839     World Fuel Services Corp.
(Energy)		     0.1 %     205,854    
  7,233     WR Grace & Co.*
(Materials)		     0.1 %     242,089    
  7,071,479     Other Common Stocks     47.1 %     97,421,821    
        Total Common Stocks
(Cost $108,199,733)		         108,980,024    
No. of
Warrants		  
 
 
 
    Warrants — 0.0%  
  67     GreenHunter Energy, Inc.,
expiring 08/27/11
at $27.50*		     0.0 %     —    
        Total Warrants
(Cost $—)		         —    

 

See accompanying notes to the financial statements.

18 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UWM  Ultra Russell2000

Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 11.4%		  
        Federal Home Loan Bank,              
$ 8,099,466     0.07%, due 12/01/10         $ 8,099,466    
  15,377,969     0.09%, due 12/06/10           15,377,969    
        Total U.S. Government & Agency
Securities (Cost $23,477,435)		         23,477,435    
    Repurchase Agreements (a)(b) — 26.2%  
  54,087,185     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $54,087,913		           54,087,185    
        Total Repurchase Agreements
(Cost $54,087,185)		         54,087,185    
        Total Investment Securities
(Cost $185,764,353) — 90.3%		         186,544,644    
        Other assets less liabilities — 9.7%           20,138,357    
        Net Assets — 100.0%       $ 206,683,001    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $26,168,206.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

As of November 30, 2010, 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   $ 10,881,282    
Aggregate gross unrealized depreciation     (10,965,349 )  
Net unrealized depreciation   $ (84,067 )  
Federal income tax cost of investments   $ 186,628,711    

Futures Contracts Purchased

Ultra Russell2000 had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     296     12/17/10   $ 21,498,480     $ 2,804,082    

 

Cash collateral in the amount of $1,735,020 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra Russell2000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index   $ 6,519,820     $ (815,491 )  
Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index     60,871,616       1,328,464    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Index		     2,335,343       (29,313 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     33,002,901       (477,497 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     128,562,866       11,986,235    
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     51,639,635       6,502,962    
        $ 18,495,360    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 19


  Ultra Russell2000  UWM

Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     7.4 %  
Consumer Staples     1.6 %  
Energy     3.3 %  
Financials     10.7 %  
Health Care     6.3 %  
Industrials     8.3 %  
Information Technology     10.0 %  
Materials     2.9 %  
Telecommunication Services     0.5 %  
Utilities     1.7 %  
Other1     47.3 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

20 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)



  TQQQ  UltraPro QQQ®

Shares     Value  
    Common Stocks (a) — 67.1%  
    Consumer Discretionary — 10.3%  
  11,926     Amazon.com, Inc.*   $ 2,091,820    
  5,979     Apollo Group, Inc., Class A*     203,286    
  14,234     Bed Bath & Beyond, Inc.*     622,595    
  58,097     Comcast Corp., Class A     1,161,940    
  25,315     DIRECTV, Class A*     1,051,332    
  8,667     DISH Network Corp., Class A*     159,386    
  11,211     Expedia, Inc.     295,186    
  7,240     Garmin Ltd.     209,670    
  22,000     Liberty Media Corp. - Interactive,
Class A*		     340,120    
  16,500     Mattel, Inc.     426,360    
  57,150     News Corp., Class A     779,526    
  5,549     O'Reilly Automotive, Inc.*     333,939    
  2,051     priceline.com, Inc.*     808,197    
  4,952     Ross Stores, Inc.     321,286    
  4,642     Sears Holdings Corp.*     304,051    
  19,671     Staples, Inc.     432,959    
  41,273     Starbucks Corp.     1,262,954    
  6,671     Urban Outfitters, Inc.*     252,097    
  13,617     Virgin Media, Inc.     346,961    
  5,400     Wynn Resorts Ltd.     545,940    
      11,949,605    
    Consumer Staples — 0.5%  
  9,279     Costco Wholesale Corp.     627,353    
    Health Care — 9.1%  
  17,918     Amgen, Inc.*     944,099    
  10,547     Biogen Idec, Inc.*     674,692    
  18,272     Celgene Corp.*     1,084,991    
  2,937     Cephalon, Inc.*     186,470    
  3,295     Cerner Corp.*     289,499    
  5,501     DENTSPLY International, Inc.     170,091    
  19,412     Express Scripts, Inc.*     1,011,171    
  12,815     Genzyme Corp.*     912,684    
  33,125     Gilead Sciences, Inc.*     1,209,063    
  3,658     Henry Schein, Inc.*     210,079    
  10,928     Hologic, Inc.*     179,219    
  4,892     Illumina, Inc.*     294,107    
  1,577     Intuitive Surgical, Inc.*     410,477    
  7,442     Life Technologies Corp.*     370,649    
  17,711     Mylan, Inc.*     346,516    
  4,770     Patterson Cos., Inc.     141,812    
  9,447     QIAGEN N.V.*     172,880    
  29,377     Teva Pharmaceutical
Industries Ltd. (ADR)		     1,470,025    
  8,508     Vertex Pharmaceuticals, Inc.*     281,870    
  10,081     Warner Chilcott plc, Class A     191,640    
      10,552,034    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Industrials — 2.8%  
  6,576     C.H. Robinson Worldwide, Inc.   $ 484,717    
  7,356     Cintas Corp.     196,736    
  8,355     Expeditors International of
Washington, Inc.		     441,979    
  5,653     Fastenal Co.     302,549    
  5,342     Foster Wheeler AG*     149,576    
  4,943     J.B. Hunt Transport Services, Inc.     180,419    
  4,063     Joy Global, Inc.     310,088    
  16,388     PACCAR, Inc.     882,658    
  3,594     Stericycle, Inc.*     265,597    
      3,214,319    
    Information Technology — 43.0%  
  43,852     Activision Blizzard, Inc.     514,822    
  20,645     Adobe Systems, Inc.*     572,486    
  17,331     Altera Corp.     608,145    
  51,108     Apple, Inc.*     15,902,254    
  27,858     Applied Materials, Inc.     346,275    
  9,494     Autodesk, Inc.*     335,043    
  13,945     Automatic Data Processing, Inc.     621,529    
  10,997     Baidu, Inc. (ADR)*     1,156,774    
  8,330     BMC Software, Inc.*     369,852    
  16,405     Broadcom Corp., Class A     729,858    
  19,877     CA, Inc.     454,985    
  8,226     Check Point Software
Technologies Ltd.*		     352,649    
  81,836     Cisco Systems, Inc.*     1,567,978    
  8,910     Citrix Systems, Inc.*     591,802    
  11,763     Cognizant Technology Solutions
Corp., Class A*		     764,360    
  28,695     Dell, Inc.*     379,348    
  39,250     eBay, Inc.*     1,143,352    
  13,354     Electronic Arts, Inc.*     199,108    
  3,004     First Solar, Inc.*     369,041    
  7,530     Fiserv, Inc.*     416,409    
  34,179     Flextronics International Ltd.*     247,798    
  6,638     FLIR Systems, Inc.*     177,932    
  6,013     Google, Inc., Class A*     3,341,484    
  4,391     Infosys Technologies Ltd. (ADR)     290,465    
  78,201     Intel Corp.     1,651,605    
  15,872     Intuit, Inc.*     712,494    
  8,156     KLA-Tencor Corp.     299,081    
  5,144     Lam Research Corp.*     233,178    
  12,033     Linear Technology Corp.     392,276    
  6,889     Logitech International S.A.
(Registered)*		     133,095    
  24,878     Marvell Technology Group Ltd.*     479,897    
  11,776     Maxim Integrated Products, Inc.     273,792    
  6,200     Microchip Technology, Inc.     208,382    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 21


  UltraPro QQQ®  TQQQ

Shares     Value  
    Common Stocks (a) (continued)  
  119,453     Microsoft Corp.   $ 3,011,410    
  14,975     NetApp, Inc.*     762,677    
  22,608     NVIDIA Corp.*     307,469    
  84,057     Oracle Corp.     2,272,901    
  13,754     Paychex, Inc.     392,539    
  77,650     QUALCOMM, Inc.     3,629,361    
  21,184     Research In Motion Ltd.*     1,310,230    
  9,501     SanDisk Corp.*     423,745    
  18,869     Seagate Technology plc*     253,033    
  33,105     Symantec Corp.*     556,164    
  6,586     VeriSign, Inc.*     225,966    
  13,772     Xilinx, Inc.     373,497    
  25,994     Yahoo!, Inc.*     409,925    
      49,766,466    
    Materials — 0.3%  
  4,674     Sigma-Aldrich Corp.     295,490    
    Telecommunication Services — 1.1%  
  4,224     Millicom International Cellular S.A.     366,559    
  6,566     NII Holdings, Inc.*     254,498    
  28,373     Vodafone Group plc (ADR)     711,027    
      1,332,084    
        Total Common Stocks
(Cost $74,928,171)		     77,737,351    
Principal
Amount		  
   
    U.S. Government & Agency
Securities (a) — 9.4%		  
        Federal Home Loan Bank        
$ 4,977,125     0.07%, due 12/01/10     4,977,125    
  5,883,871     0.09%, due 12/06/10     5,883,871    
        Total U.S. Government & Agency
Securities (Cost $10,860,996)		     10,860,996    

 

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 21.4%  
$ 24,817,832     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $24,818,138		   $ 24,817,832    
    Total Repurchase Agreements
(Cost $24,817,832)		     24,817,832    
    Total Investment Securities
(Cost $110,606,999) — 97.9%		     113,416,179    
    Other assets less liabilities — 2.1%     2,421,293    
    Net Assets — 100.0%   $ 115,837,472    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $58,314,456.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

ADR  American Depositary Receipt

As of November 30, 2010, 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   $ 4,542,561    
Aggregate gross unrealized depreciation     (2,080,892 )  
Net unrealized appreciation   $ 2,461,669    
Federal income tax cost of investments   $ 110,954,510    

 

 

Futures Contracts Purchased

UltraPro QQQ® had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini NASDAQ-100 Futures Contracts     258     12/17/10   $ 10,922,430     $ (53,034 )  

 

Cash collateral in the amount of $1,650,626 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

See accompanying notes to the financial statements.

22 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  TQQQ  UltraPro QQQ®

Swap Agreements

UltraPro QQQ® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100® Index   $ 24,694,861     $ (678,689 )  
Equity Index Swap Agreement with Credit Suisse International, based on the NASDAQ-100® Index     24,145,005       4,265,197    
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     55,577,561       (2,066,970 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
NASDAQ-100® Index		     61,725,139       (226,190 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     72,781,636       (263,759 )  
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     19,945,663       15,394    
        $ 1,044,983    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 23


  UltraPro Dow30SM  UDOW

Shares     Value  
    Common Stocks (a) — 51.3%  
    Consumer Discretionary — 5.1%  
  7,275     Home Depot, Inc.   $ 219,778    
  7,275     McDonald's Corp.     569,633    
  7,275     Walt Disney Co. (The)     265,610    
      1,055,021    
    Consumer Staples — 7.4%  
  7,275     Coca-Cola Co. (The)     459,562    
  7,275     Kraft Foods, Inc., Class A     220,069    
  7,275     Procter & Gamble Co. (The)     444,284    
  7,275     Wal-Mart Stores, Inc.     393,504    
      1,517,419    
    Energy — 5.3%  
  7,275     Chevron Corp.     589,057    
  7,275     Exxon Mobil Corp.     506,049    
      1,095,106    
    Financials — 5.1%  
  7,275     American Express Co.     314,426    
  7,275     Bank of America Corp.     79,661    
  7,275     JPMorgan Chase & Co.     271,940    
  7,275     Travelers Cos., Inc. (The)     392,777    
      1,058,804    
    Health Care — 4.0%  
  7,275     Johnson & Johnson     447,776    
  7,275     Merck & Co., Inc.     250,769    
  7,275     Pfizer, Inc.     118,510    
      817,055    
    Industrials — 11.4%  
  7,275     3M Co.     610,955    
  7,275     Boeing Co. (The)     463,927    
  7,275     Caterpillar, Inc.     615,465    
  7,275     General Electric Co.     115,163    
  7,275     United Technologies Corp.     547,589    
      2,353,099    
    Information Technology — 8.8%  
  7,275     Cisco Systems, Inc.*     139,389    
  7,275     Hewlett-Packard Co.     305,041    
  7,275     Intel Corp.     153,648    
  7,275     International Business
Machines Corp.		     1,029,121    
  7,275     Microsoft Corp.     183,403    
      1,810,602    
    Materials — 2.1%  
  7,275     Alcoa, Inc.     95,448    
  7,275     E.I. du Pont de Nemours & Co.     341,852    
      437,300    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Telecommunication Services — 2.1%  
  7,275     AT&T, Inc.   $ 202,172    
  7,275     Verizon Communications, Inc.     232,873    
      435,045    
        Total Common Stocks
(Cost $10,823,550)		     10,579,451    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 14.5%		  
        Federal Home Loan Bank        
$ 2,199,707     0.07%, due 12/01/10     2,199,707    
  796,307     0.09%, due 12/06/10     796,307    
        Total U.S. Government & Agency
Securities (Cost $2,996,014)		     2,996,014    
    Repurchase Agreements (a)(b) — 32.6%  
  6,709,141     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $6,709,204		     6,709,141    
        Total Repurchase Agreements
(Cost $6,709,141)		     6,709,141    
        Total Investment Securities
(Cost $20,528,705) — 98.4%		     20,284,606    
        Other assets less liabilities — 1.6%     327,616    
        Net Assets — 100.0%   $ 20,612,222    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $5,042,535.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 3,322    
Aggregate gross unrealized depreciation     (259,614 )  
Net unrealized depreciation   $ (256,292 )  
Federal income tax cost of investments   $ 20,540,898    

 

See accompanying notes to the financial statements.

24 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UDOW  UltraPro Dow30SM

Futures Contracts Purchased

UltraPro Dow30SM had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Dow Jones Futures Contracts     53     12/17/10   $ 2,913,675     $ (25,733 )  

 

Cash collateral in the amount of $403,000 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

  UltraPro Dow30SM had the following open swap agreements as of November 30, 2010:

   
Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index   $ 9,904,313     $ (153,494 )  
Equity Index Swap Agreement with Credit Suisse International, based on the Dow Jones
Industrial AverageSM Index		     21,883,650       (152,688 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index     9,528,153       (251,383 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
Industrial AverageSM Index		     2,822,131       81,686    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones Industrial AverageSM Index     4,211,300       411,610    
        $ (64,269 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 25


  UltraPro S&P500®  UPRO

Principal
Amount		  
 
Value		  
    U.S. Government & Agency
Securities (a) — 29.4%		  
        Federal Home Loan Bank        
$ 39,396,515     0.07%, due 12/01/10   $ 39,396,515    
  25,197,897     0.09%, due 12/06/10     25,197,897    
        Total U.S. Government & Agency
Securities (Cost $64,594,412)		     64,594,412    
    Repurchase Agreements (a)(b) — 66.4%  
  145,979,169     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $145,980,737		     145,979,169    
        Total Repurchase Agreements
(Cost $145,979,169)		     145,979,169    
        Total Investment Securities
(Cost $210,573,581) † — 95.8%		     210,573,581    
        Other assets less liabilities — 4.2%     9,215,737    
        Net Assets — 100.0%   $ 219,789,318    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $77,364,872.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Purchased

UltraPro S&P500® had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini S&P 500 Futures Contracts     219     12/17/10   $ 12,915,525     $ (15,171 )  

 

Cash collateral in the amount of $1,240,250 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro S&P500® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index   $ 56,438,513     $ 5,591,463    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index     18,668,301       (644,013 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     75,654,264       (1,474,458 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index     64,553,883       5,092,764    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P 500® Index     105,842,874       (103,643 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     180,688,974       (186,637 )  
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     144,607,203       (13,379 )  
        $ 8,262,097    

See accompanying notes to the financial statements.

26 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UMDD  UltraPro MidCap400

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 47.6%  
  985     Advance Auto Parts, Inc.
(Consumer Discretionary)		     0.3 %   $ 65,000    
  601     Affiliated Managers
Group, Inc.* (Financials)		     0.2 %     52,533    
  1,076     Albemarle Corp.
(Materials)		     0.2 %     58,201    
  1,979     AMB Property Corp. (REIT)
(Financials)		     0.2 %     57,747    
  1,251     AMETEK, Inc. (Industrials)     0.3 %     74,022    
  1,064     ANSYS, Inc.*
(Information Technology)		     0.2 %     51,604    
  1,913     Arch Coal, Inc. (Energy)     0.2 %     55,860    
  5,418     Atmel Corp.*
(Information Technology)		     0.2 %     56,293    
  1,787     Avnet, Inc.*
(Information Technology)		     0.2 %     54,772    
  1,333     BorgWarner, Inc.*
(Consumer Discretionary)		     0.3 %     80,433    
  953     Bucyrus International, Inc.
(Industrials)		     0.3 %     84,970    
  364     Chipotle Mexican Grill, Inc.*
(Consumer Discretionary)		     0.4 %     94,090    
  833     Church & Dwight Co., Inc.
(Consumer Staples)		     0.2 %     54,353    
  986     Cimarex Energy Co.
(Energy)		     0.3 %     79,412    
  1,263     Cree, Inc.*
(Information Technology)		     0.3 %     82,322    
  1,489     Dollar Tree, Inc.*
(Consumer Discretionary)		     0.3 %     81,821    
  1,334     Edwards Lifesciences Corp.*
(Health Care)		     0.3 %     88,524    
  823     Energizer Holdings, Inc.*
(Consumer Staples)		     0.2 %     57,931    
  657     Everest Re Group Ltd.
(Financials)		     0.2 %     54,853    
  940     F5 Networks, Inc.*
(Information Technology)		     0.5 %     123,967    
  722     Federal Realty Investment
Trust (REIT) (Financials)		     0.2 %     55,876    
  1,339     Green Mountain Coffee
Roasters, Inc.*
(Consumer Staples)		     0.2 %     49,650    
  1,075     Henry Schein, Inc.*
(Health Care)		     0.3 %     61,737    
  3,050     Hologic, Inc.*
(Health Care)		     0.2 %     50,020    
  1,214     Joy Global, Inc. (Industrials)     0.4 %     92,653    
  1,199     Kansas City Southern*
(Industrials)		     0.2 %     56,761    
  1,452     Lam Research Corp.*
(Information Technology)		     0.3 %     65,819    
  789     Lubrizol Corp. (Materials)     0.3 %     82,498    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,525     Macerich Co. (The) (REIT)
(Financials)		     0.3 %   $ 70,669    
  962     Manpower, Inc. (Industrials)     0.2 %     54,180    
  390     Mettler-Toledo
International, Inc.*
(Health Care)		     0.2 %     56,620    
  964     National Fuel Gas Co.
(Utilities)		     0.2 %     61,079    
  1,446     Nationwide Health
Properties, Inc. (REIT)
(Financials)		     0.2 %     52,128    
  508     NetFlix, Inc.*
(Consumer Discretionary)		     0.4 %     104,597    
  5,126     New York Community
Bancorp, Inc. (Financials)		     0.3 %     86,117    
  1,569     Newfield Exploration Co.*
(Energy)		     0.4 %     104,856    
  1,211     NSTAR (Utilities)     0.2 %     50,135    
  1,143     OGE Energy Corp. (Utilities)     0.2 %     50,875    
  964     Perrigo Co. (Health Care)     0.2 %     58,071    
  1,392     PetSmart, Inc.
(Consumer Discretionary)		     0.2 %     52,701    
  775     Phillips-Van Heusen Corp.
(Consumer Discretionary)		     0.2 %     52,576    
  2,067     Pride International, Inc.*
(Energy)		     0.3 %     64,284    
  1,787     ResMed, Inc.* (Health Care)     0.2 %     57,095    
  1,660     Riverbed Technology, Inc.*
(Information Technology)		     0.2 %     56,291    
  1,205     Rovi Corp.*
(Information Technology)		     0.3 %     66,480    
  2,088     Skyworks Solutions, Inc.*
(Information Technology)		     0.2 %     53,140    
  917     SL Green Realty Corp. (REIT)
(Financials)		     0.2 %     59,972    
  1,393     Trimble Navigation Ltd.*
(Information Technology)		     0.2 %     51,875    
  2,371     Vertex Pharmaceuticals, Inc.*
(Health Care)		     0.3 %     78,551    
  345,640     Other Common Stocks     35.1 %     9,139,718    
        Total Common Stocks
(Cost $11,107,393)		         12,405,732    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 7.3%		  
        Federal Home Loan Bank,              
$ 638,260     0.07%, due 12/01/10           638,260    
  1,259,845     0.09%, due 12/06/10           1,259,845    
        Total U.S. Government & Agency
Securities (Cost $1,898,105)		         1,898,105    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 27


  UltraPro MidCap400  UMDD

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 16.8%  
$ 4,375,586     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,375,646		         $ 4,375,586    
    Total Repurchase Agreements
(Cost $4,375,586)		           4,375,586    
    Total Investment Securities
(Cost $17,381,084) — 71.7%		           18,679,423    
    Other assets less liabilities — 28.3%           7,367,239    
    Net Assets — 100.0%         $ 26,046,662    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $4,561,235.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

 

As of November 30, 2010, 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   $ 1,673,396    
Aggregate gross unrealized depreciation     (417,894 )  
Net unrealized appreciation   $ 1,255,502    
Federal income tax cost of investments   $ 17,423,921    

Futures Contracts Purchased

UltraPro MidCap400 had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     13     12/17/10   $ 1,107,210     $ 26,043    

 

Cash collateral in the amount of $238,720 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

  UltraPro MidCap400 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400TM Index   $ 7,259,345     $ 981,208    
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		     4,477,418       494,907    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     6,045,643       (9,004 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400TM Index     5,231,337       605,005    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P MidCap 400TM Index		     3,344,836       (40,525 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     25,296,519       4,615,676    
Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400TM Index     12,950,618       576,443    
        $ 7,223,710    

See accompanying notes to the financial statements.

28 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UMDD  UltraPro MidCap400

UltraPro MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     7.1 %  
Consumer Staples     1.7 %  
Energy     3.0 %  
Financials     9.0 %  
Health Care     5.1 %  
Industrials     7.5 %  
Information Technology     7.8 %  
Materials     3.1 %  
Telecommunication Services     0.4 %  
Utilities     2.9 %  
Other1     52.4 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 29


  UltraPro Russell2000  URTY

Shares     Value  
    Common Stocks (a) — 0.0%  
    Financials — 0.0%  
  2     Southside Bancshares, Inc.   $ 35    
        Total Common Stocks
(Cost $32)		     35    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 27.2%		  
        Federal Home Loan Bank        
$ 7,730,729     0.07%, due 12/01/10     7,730,729    
  2,577,464     0.09%, due 12/06/10     2,577,464    
        Total U.S. Government & Agency
Securities (Cost $10,308,193)		     10,308,193    
    Repurchase Agreements (a)(b) — 60.8%  
  23,056,828     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $23,057,041		     23,056,828    
        Total Repurchase Agreements
(Cost $23,056,828)		     23,056,828    
        Total Investment Securities
(Cost $33,365,053) — 88.0%		     33,365,056    
        Other assets less liabilities — 12.0%     4,529,965    
        Net Assets — 100.0%   $ 37,895,021    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At 11/30/10, the aggregate amount held in a segregated account was $16,229,944.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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    
Aggregate gross unrealized depreciation     (1 )  
Net unrealized appreciation   $ 3    
Federal income tax cost of investments   $ 33,365,053    

Futures Contracts Purchased

UltraPro Russell2000 had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     69     12/17/10   $ 5,011,470     $ 151,104    

 

Cash collateral in the amount of $541,620 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Russell2000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index   $ 21,553,940     $ 93,279    
Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index     24,430,259       4,690,833    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     35,810,454       (438,454 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 2000® Index     20,854,183       (955,528 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     6,036,789       751,200    
        $ 4,141,330    

See accompanying notes to the financial statements.

30 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UVG  Ultra Russell1000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 67.2%  
  1,212     Amgen, Inc.*
(Health Care)		     0.6 %   $ 63,860    
  626     Anadarko Petroleum Corp.
(Energy)		     0.4 %     40,164    
  483     Apache Corp. (Energy)     0.5 %     51,990    
  7,472     AT&T, Inc.
(Telecommunication
Services)		     1.8 %     207,647    
  12,687     Bank of America Corp.
(Financials)		     1.2 %     138,923    
  1,534     Bank of New York Mellon
Corp. (The) (Financials)		     0.4 %     41,403    
  2,187     Berkshire Hathaway, Inc.,
Class B* (Financials)		     1.5 %     174,260    
  2,175     Bristol-Myers Squibb Co.
(Health Care)		     0.5 %     54,897    
  2,406     Chevron Corp. (Energy)     1.7 %     194,814    
  26,751     Citigroup, Inc.* (Financials)     1.0 %     112,354    
  676     Coca-Cola Co. (The)
(Consumer Staples)		     0.4 %     42,703    
  3,557     Comcast Corp., Class A
(Consumer Discretionary)		     0.6 %     71,140    
  1,161     ConocoPhillips (Energy)     0.6 %     69,857    
  1,727     Corning, Inc. (Information
Technology)		     0.3 %     30,499    
  492     CSX Corp. (Industrials)     0.3 %     29,919    
  1,530     CVS Caremark Corp.
(Consumer Staples)		     0.4 %     47,430    
  565     Devon Energy Corp.
(Energy)		     0.4 %     39,872    
  754     Dominion Resources, Inc.
(Utilities)		     0.3 %     31,314    
  1,460     Dow Chemical Co. (The)
(Materials)		     0.4 %     45,523    
  750     E.I. du Pont de Nemours &
Co. (Materials)		     0.3 %     35,242    
  990     Eli Lilly & Co. (Health Care)     0.3 %     33,323    
  835     Exelon Corp. (Utilities)     0.3 %     32,874    
  522     Exxon Mobil Corp. (Energy)     0.3 %     36,310    
  10,368     General Electric Co.
(Industrials)		     1.5 %     164,125    
  651     Goldman Sachs Group, Inc.
(The) (Financials)		     0.9 %     101,647    
  2,223     Intel Corp. (Information
Technology)		     0.4 %     46,950    
  2,964     Johnson & Johnson
(Health Care)		     1.6 %     182,434    
  5,031     JPMorgan Chase & Co.
(Financials)		     1.7 %     188,059    
  2,028     Kraft Foods, Inc., Class A
(Consumer Staples)		     0.5 %     61,347    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  3,943     Merck & Co., Inc.
(Health Care)		     1.2 %   $ 135,915    
  3,206     Microsoft Corp.
(Information Technology)		     0.7 %     80,823    
  1,329     Morgan Stanley (Financials)     0.3 %     32,507    
  530     National Oilwell Varco, Inc.
(Energy)		     0.3 %     32,484    
  2,285     News Corp., Class A
(Consumer Discretionary)		     0.3 %     31,167    
  818     Occidental Petroleum Corp.
(Energy)		     0.6 %     72,123    
  867     PepsiCo, Inc. (Consumer
Staples)		     0.5 %     56,034    
  10,199     Pfizer, Inc. (Health Care)     1.5 %     166,142    
  665     PNC Financial Services
Group, Inc. (Financials)		     0.3 %     35,810    
  3,423     Procter & Gamble Co. (The)
(Consumer Staples)		     1.9 %     209,043    
  586     Prudential Financial, Inc.
(Financials)		     0.2 %     29,698    
  1,043     Southern Co. (Utilities)     0.3 %     39,342    
  1,144     Time Warner, Inc.
(Consumer Discretionary)		     0.3 %     33,737    
  2,424     U.S. Bancorp (Financials)     0.5 %     57,643    
  560     Union Pacific Corp.
(Industrials)		     0.4 %     50,462    
  1,438     UnitedHealth Group, Inc.
(Health Care)		     0.5 %     52,516    
  3,575     Verizon Communications,
Inc. (Telecommunication
Services)		     1.0 %     114,436    
  1,022     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.5 %     55,280    
  2,477     Walt Disney Co. (The)
(Consumer Discretionary)		     0.8 %     90,435    
  6,153     Wells Fargo & Co.
(Financials)		     1.5 %     167,423    
  141,611     Other Common Stocks     32.5 %     3,666,500    
        Total Common Stocks
(Cost $7,252,000)		         7,580,400    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 11.8%		  
        Federal Home Loan Bank,              
$ 818,086     0.07%, due 12/01/10           818,086    
  512,886     0.09%, due 12/06/10           512,886    
        Total U.S. Government & Agency
Securities (Cost $1,330,972)		         1,330,972    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 31


  Ultra Russell1000 Value  UVG

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 26.6%  
$ 3,006,864     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,006,896		         $ 3,006,864    
    Total Repurchase Agreements
(Cost $3,006,864)		           3,006,864    
    Total Investment Securities
(Cost $11,589,836) — 105.6%		         11,918,236    
    Liabilities in excess of
other assets — (5.6%)		         (632,500 )  
    Net Assets — 100.0%         $ 11,285,736    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $3,296,901.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 561,083    
Aggregate gross unrealized depreciation     (597,755 )  
Net unrealized depreciation   $ (36,672 )  
Federal income tax cost of investments   $ 11,954,908    

Swap Agreements

Ultra Russell1000 Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 1000®
Value Index		   $ 211,236     $ (8,296 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Value Index     1,190,998       (78,591 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Value Index     10,807,634       (500,564 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index     2,782,480       (18,429 )  
        $ (605,880 )  

 

Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     5.3 %  
Consumer Staples     6.9 %  
Energy     8.2 %  
Financials     17.9 %  
Health Care     8.6 %  
Industrials     6.1 %  
Information Technology     3.8 %  
Materials     2.2 %  
Telecommunication Services     3.4 %  
Utilities     4.8 %  
Other1     32.8 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

32 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UKF  Ultra Russell1000 Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 64.8%  
  1,011     3M Co. (Industrials)     0.6 %   $ 84,904    
  1,974     Abbott Laboratories
(Health Care)		     0.7 %     91,811    
  1,721     Altria Group, Inc.
(Consumer Staples)		     0.3 %     41,304    
  496     Amazon.com, Inc.*
(Consumer Discretionary)		     0.6 %     86,998    
  1,487     American Express Co.
(Financials)		     0.5 %     64,268    
  1,290     Apple, Inc.* (Information
Technology)		     2.9 %     401,384    
  872     Boeing Co. (The) (Industrials)     0.4 %     55,607    
  891     Caterpillar, Inc. (Industrials)     0.6 %     75,379    
  656     Celgene Corp.* (Health Care)     0.3 %     38,953    
  8,097     Cisco Systems, Inc.*
(Information Technology)		     1.1 %     155,139    
  2,228     Coca-Cola Co. (The)
(Consumer Staples)		     1.0 %     140,743    
  582     Colgate-Palmolive Co.
(Consumer Staples)		     0.3 %     44,552    
  808     ConocoPhillips (Energy)     0.4 %     48,617    
  625     Costco Wholesale Corp.
(Consumer Staples)		     0.3 %     42,256    
  569     Deere & Co. (Industrials)     0.3 %     42,504    
  1,258     DIRECTV, Class A*
(Consumer Discretionary)		     0.4 %     52,245    
  2,914     EMC Corp.* (Information
Technology)		     0.5 %     62,622    
  1,068     Emerson Electric Co.
(Industrials)		     0.4 %     58,815    
  777     Express Scripts, Inc.*
(Health Care)		     0.3 %     40,474    
  6,641     Exxon Mobil Corp. (Energy)     3.4 %     461,948    
  4,728     Ford Motor Co.* (Consumer
Discretionary)		     0.6 %     75,364    
  666     Freeport-McMoRan
Copper & Gold, Inc.
(Materials)		     0.5 %     67,479    
  3,512     General Electric Co.
(Industrials)		     0.4 %     55,595    
  1,189     Gilead Sciences, Inc.*
(Health Care)		     0.3 %     43,398    
  345     Google, Inc., Class A*
(Information Technology)		     1.4 %     191,720    
  1,288     Halliburton Co. (Energy)     0.4 %     48,738    
  3,325     Hewlett-Packard Co.
(Information Technology)		     1.0 %     139,417    
  2,401     Home Depot, Inc.
(Consumer Discretionary)		     0.5 %     72,534    
  1,086     Honeywell International, Inc.
(Industrials)		     0.4 %     53,985    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  5,396     Intel Corp. (Information
Technology)		     0.8 %   $ 113,964    
  1,818     International Business
Machines Corp.
(Information Technology)		     1.9 %     257,174    
  1,525     McDonald's Corp.
(Consumer Discretionary)		     0.9 %     119,408    
  1,201     Medtronic, Inc. (Health Care)     0.3 %     40,270    
  7,265     Microsoft Corp.
(Information Technology)		     1.3 %     183,151    
  773     Monsanto Co. (Materials)     0.3 %     46,318    
  674     Newmont Mining Corp.
(Materials)		     0.3 %     39,651    
  510     NIKE, Inc., Class B
(Consumer Discretionary)		     0.3 %     43,926    
  5,401     Oracle Corp. (Information
Technology)		     1.1 %     146,043    
  1,315     PepsiCo, Inc. (Consumer
Staples)		     0.6 %     84,988    
  2,211     Philip Morris International,
Inc. (Consumer Staples)		     0.9 %     125,784    
  434     Praxair, Inc. (Materials)     0.3 %     39,950    
  2,326     QUALCOMM, Inc.
(Information Technology)		     0.8 %     108,717    
  1,691     Schlumberger Ltd. (Energy)     1.0 %     130,782    
  1,044     Target Corp. (Consumer
Discretionary)		     0.4 %     59,445    
  1,012     United Parcel Service, Inc.,
Class B (Industrials)		     0.5 %     70,972    
  1,209     United Technologies Corp.
(Industrials)		     0.7 %     91,001    
  662     Visa, Inc., Class A
(Information Technology)		     0.4 %     48,889    
  1,264     Walgreen Co. (Consumer
Staples)		     0.3 %     44,050    
  1,747     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.7 %     94,495    
  115,479     Other Common Stocks     30.2 %     4,124,122    
        Total Common Stocks
(Cost $7,398,129)		         8,851,853    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 7.5%		  
        Federal Home Loan Bank,              
$ 397,025     0.07%, due 12/01/10           397,025    
  635,702     0.09%, due 12/06/10           635,702    
        Total U.S. Government & Agency
Securities (Cost $1,032,727)		         1,032,727    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 33


  Ultra Russell1000 Growth  UKF

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 17.4%  
$ 2,372,445     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,372,475		         $ 2,372,445    
    Total Repurchase Agreements
(Cost $2,372,445)		           2,372,445    
    Total Investment Securities
(Cost $10,803,301) — 89.7%		           12,257,025    
    Other assets less liabilities — 10.3%         1,403,233    
    Net Assets — 100.0%         $ 13,660,258    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $2,181,142.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 1,501,716    
Aggregate gross unrealized depreciation     (812,060 )  
Net unrealized appreciation   $ 689,656    
Federal income tax cost of investments   $ 11,567,369    

Swap Agreements

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 1000®
Growth Index		   $ 304,869     $ (7,230 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index     3,095,595       (100,325 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 1000®
Growth Index		     1,110,176       112,733    
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index     10,408,658       1,213,608    
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index     3,550,886       203,150    
        $ 1,421,936    

 

Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     9.8 %  
Consumer Staples     6.3 %  
Energy     6.9 %  
Financials     3.0 %  
Health Care     6.2 %  
Industrials     8.5 %  
Information Technology     20.2 %  
Materials     3.3 %  
Telecommunication Services     0.6 %  
Utilities     — %  
Other1     35.2 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

34 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UVU  Ultra Russell MidCap Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 20.4%  
  153     Ameriprise Financial, Inc.
(Financials)		     0.1 %   $ 7,932    
  461     Annaly Capital Management,
Inc. (REIT) (Financials)		     0.1 %     8,386    
  201     AON Corp. (Financials)     0.1 %     8,064    
  62     AvalonBay Communities,
Inc. (REIT) (Financials)		     0.1 %     6,840    
  103     Boston Properties, Inc.
(REIT) (Financials)		     0.1 %     8,631    
  1,128     Boston Scientific Corp.*
(Health Care)		     0.1 %     7,242    
  446     CBS Corp., Class B
(Consumer Discretionary)		     0.1 %     7,511    
  224     CenturyLink, Inc.
(Telecommunication
Services)		     0.2 %     9,630    
  206     CIGNA Corp. (Health Care)     0.1 %     7,583    
  209     Consolidated Edison, Inc.
(Utilities)		     0.2 %     10,109    
  404     Discover Financial Services
(Financials)		     0.1 %     7,385    
  92     Eaton Corp. (Industrials)     0.1 %     8,869    
  242     Edison International
(Utilities)		     0.1 %     8,939    
  197     Equity Residential (REIT)
(Financials)		     0.2 %     9,846    
  591     Fifth Third Bancorp
(Financials)		     0.1 %     7,062    
  226     FirstEnergy Corp. (Utilities)     0.1 %     7,935    
  125     Fluor Corp. (Industrials)     0.1 %     7,229    
  212     Forest Laboratories, Inc.*
(Health Care)		     0.1 %     6,761    
  139     H. J. Heinz Co. (Consumer
Staples)		     0.1 %     6,710    
  303     Hartford Financial Services
Group, Inc. (Financials)		     0.1 %     6,745    
  231     HCP, Inc. (REIT) (Financials)     0.1 %     7,607    
  490     Host Hotels & Resorts, Inc.
(REIT) (Financials)		     0.1 %     8,075    
  127     Humana, Inc.* (Health Care)     0.1 %     7,117    
  240     Ingersoll-Rand plc
(Industrials)		     0.2 %     9,840    
  444     Liberty Media Corp. -
Interactive, Class A*
(Consumer Discretionary)		     0.1 %     6,864    
  113     Lorillard, Inc. (Consumer
Staples)		     0.1 %     8,993    
  283     Macy's, Inc. (Consumer
Discretionary)		     0.1 %     7,267    
  131     Mead Johnson Nutrition Co.
(Consumer Staples)		     0.1 %     7,804    
  126     Murphy Oil Corp. (Energy)     0.1 %     8,508    
  130     Noble Energy, Inc. (Energy)     0.2 %     10,562    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  86     Parker Hannifin Corp.
(Industrials)		     0.1 %   $ 6,900    
  200     Peabody Energy Corp.
(Energy)		     0.2 %     11,762    
  86     Pioneer Natural Resources
Co. (Energy)		     0.1 %     6,889    
  103     PPG Industries, Inc.
(Materials)		     0.1 %     8,030    
  359     PPL Corp. (Utilities)     0.1 %     9,122    
  214     Progress Energy, Inc.
(Utilities)		     0.1 %     9,350    
  499     Progressive Corp. (The)
(Financials)		     0.2 %     10,150    
  1,291     Qwest Communications
International, Inc.
(Telecommunication
Services)		     0.1 %     9,037    
  289     Safeway, Inc. (Consumer
Staples)		     0.1 %     6,644    
  185     Sempra Energy (Utilities)     0.1 %     9,267    
  482     Spectra Energy Corp.
(Energy)		     0.2 %     11,457    
  119     Stanley Black & Decker,
Inc. (Consumer
Discretionary)		     0.1 %     7,084    
  372     SunTrust Banks, Inc.
(Financials)		     0.1 %     8,690    
  421     Valero Energy Corp.
(Energy)		     0.1 %     8,201    
  109     Vornado Realty Trust
(REIT) (Financials)		     0.1 %     8,892    
  329     Weatherford International
Ltd.* (Energy)		     0.1 %     6,715    
  398     Weyerhaeuser Co.
(Materials)		     0.1 %     6,643    
  341     Xcel Energy, Inc.
(Utilities)		     0.1 %     8,014    
  1,026     Xerox Corp. (Information
Technology)		     0.2 %     11,758    
  45,904     Other Common Stocks     14.6 %     1,028,898    
        Total Common Stocks
(Cost $1,392,125)		         1,435,549    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 19.7%		  
        Federal Home Loan Bank,              
$ 833,560     0.07%, due 12/01/10           833,560    
  553,353     0.09%, due 12/06/10           553,353    
        Total U.S. Government & Agency
Securities (Cost $1,386,913)		           1,386,913    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 35


  Ultra Russell MidCap Value  UVU

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 44.6%  
$ 3,136,373     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,136,406		         $ 3,136,373    
    Total Repurchase Agreements
(Cost $3,136,373)		           3,136,373    
    Total Investment Securities
(Cost $5,915,411) — 84.7%		           5,958,835    
    Other assets less liabilities — 15.3%         1,079,802    
    Net Assets — 100.0%         $ 7,038,637    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $1,660,562.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

As of November 30, 2010, 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     (141,297 )  
Net unrealized depreciation   $ (141,297 )  
Federal income tax cost of investments   $ 6,100,132    

Swap Agreements

Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap®
Value Index		   $ 262,360     $ (7,872 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index     1,603,356       (66,095 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index     6,685,049       1,042,238    
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index     4,086,244       134,874    
        $ 1,103,145    

 

Ultra Russell MidCap Value invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     2.2 %  
Consumer Staples     1.4 %  
Energy     2.3 %  
Financials     5.8 %  
Health Care     1.1 %  
Industrials     2.1 %  
Information Technology     1.3 %  
Materials     1.2 %  
Telecommunication Services     0.5 %  
Utilities     2.5 %  
Other1     79.6 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

36 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UKW  Ultra Russell MidCap Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 46.2%  
  1,159     Agilent Technologies, Inc.*
(Information Technology)		     0.3 %   $ 40,588    
  605     Akamai Technologies, Inc.*
(Information Technology)		     0.2 %     31,575    
  1,005     Altera Corp. (Information
Technology)		     0.3 %     35,265    
  941     AmerisourceBergen Corp.
(Health Care)		     0.2 %     29,030    
  578     Amphenol Corp., Class A
(Information Technology)		     0.2 %     28,917    
  992     Analog Devices, Inc.
(Information Technology)		     0.3 %     35,276    
  763     Autodesk, Inc.*
(Information Technology)		     0.2 %     26,926    
  1,427     Avon Products, Inc.
(Consumer Staples)		     0.4 %     40,755    
  877     Bed Bath & Beyond, Inc.*
(Consumer Discretionary)		     0.3 %     38,360    
  552     C.H. Robinson Worldwide,
Inc. (Industrials)		     0.3 %     40,688    
  317     C.R. Bard, Inc. (Health Care)     0.2 %     26,897    
  105     Chipotle Mexican Grill, Inc.*
(Consumer Discretionary)		     0.2 %     27,141    
  619     Citrix Systems, Inc.*
(Information Technology)		     0.4 %     41,114    
  451     Cliffs Natural Resources,
Inc. (Materials)		     0.2 %     30,821    
  442     Clorox Co. (Consumer
Staples)		     0.2 %     27,320    
  1,016     Coach, Inc. (Consumer
Discretionary)		     0.5 %     57,445    
  558     Cooper Industries plc
(Industrials)		     0.2 %     30,411    
  967     Crown Castle International
Corp.* (Telecommunication
Services)		     0.3 %     40,169    
  668     Cummins, Inc. (Industrials)     0.5 %     64,876    
  2,630     Delta Air Lines, Inc.*
(Industrials)		     0.3 %     35,978    
  692     Discovery Communications,
Inc., Class A* (Consumer
Discretionary)		     0.2 %     28,220    
  777     Ecolab, Inc. (Materials)     0.3 %     37,148    
  367     Estee Lauder Cos., Inc.
(The), Class A (Consumer
Staples)		     0.2 %     27,496    
  709     Expeditors International of
Washington, Inc.
(Industrials)		     0.3 %     37,506    
  267     F5 Networks, Inc.*
(Information Technology)		     0.3 %     35,212    
  405     FMC Technologies, Inc.*
(Energy)		     0.3 %     34,117    
  552     Hospira, Inc.* (Health Care)     0.2 %     31,056    
  246     IntercontinentalExchange,
Inc.* (Financials)		     0.2 %     27,724    
  1,131     International Paper Co.
(Materials)		     0.2 %     28,241    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  934     Intuit, Inc.* (Information
Technology)		     0.3 %   $ 41,927    
  130     Intuitive Surgical, Inc.*
(Health Care)		     0.4 %     33,838    
  348     Laboratory Corp. of America
Holdings* (Health Care)		     0.2 %     28,546    
  890     Limited Brands, Inc.
(Consumer Discretionary)		     0.2 %     29,966    
  904     Marriott International, Inc.,
Class A (Consumer
Discretionary)		     0.3 %     35,446    
  1,662     Marsh & McLennan Cos.,
Inc. (Financials)		     0.4 %     41,683    
  1,803     Marvell Technology Group
Ltd.* (Information
Technology)		     0.3 %     34,780    
  1,148     NetApp, Inc.* (Information
Technology)		     0.5 %     58,468    
  133     NetFlix, Inc.* (Consumer
Discretionary)		     0.2 %     27,385    
  460     O'Reilly Automotive, Inc.*
(Consumer Discretionary)		     0.2 %     27,683    
  1,075     Paychex, Inc. (Information
Technology)		     0.2 %     30,681    
  158     priceline.com, Inc.*
(Consumer Discretionary)		     0.5 %     62,260    
  628     Red Hat, Inc.* (Information
Technology)		     0.2 %     27,318    
  475     Rockwell Automation, Inc.
(Industrials)		     0.2 %     31,407    
  381     Salesforce.com, Inc.*
(Information Technology)		     0.4 %     53,043    
  766     SanDisk Corp.* (Information
Technology)		     0.3 %     34,164    
  631     Starwood Hotels & Resorts
Worldwide, Inc. (Consumer
Discretionary)		     0.3 %     35,866    
  864     T. Rowe Price Group, Inc.
(Financials)		     0.4 %     50,397    
  411     Varian Medical Systems,
Inc.* (Health Care)		     0.2 %     27,056    
  2,238     Western Union Co. (The)
(Information Technology)		     0.3 %     39,478    
  139,017     Other Common Stocks     32.3 %     4,108,889    
        Total Common Stocks
(Cost $4,552,644)		         5,876,553    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 12.1%		  
        Federal Home Loan Bank,              
$ 665,061     0.07%, due 12/01/10           665,061    
  877,845     0.09%, due 12/06/10           877,845    
        Total U.S. Government & Agency
Securities (Cost $1,542,906)		         1,542,906    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 37


  Ultra Russell MidCap Growth  UKW

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 27.7%  
$ 3,532,554     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,532,600		         $ 3,532,554    
    Total Repurchase Agreements
(Cost $3,532,554)		           3,532,554    
    Total Investment Securities
(Cost $9,628,104) — 86.0%		           10,952,013    
    Other assets less liabilities — 14.0%         1,784,450    
    Net Assets — 100.0%         $ 12,736,463    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $2,423,907.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 1,108,480    
Aggregate gross unrealized depreciation     (159,695 )  
Net unrealized appreciation   $ 948,785    
Federal income tax cost of investments   $ 10,003,228    

Swap Agreements

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap®
Growth Index		   $ 114,446     $ (367 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index     6,371,675       (42,166 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index     9,169,609       1,505,167    
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index     3,943,649       339,595    
        $ 1,802,229    

 

Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     9.6 %  
Consumer Staples     2.4 %  
Energy     2.8 %  
Financials     3.2 %  
Health Care     5.6 %  
Industrials     7.3 %  
Information Technology     11.2 %  
Materials     3.1 %  
Telecommunication Services     0.9 %  
Utilities     0.1 %  
Other1     53.8 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

38 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UVT  Ultra Russell2000 Value

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 62.7%  
  806     Alaska Air Group, Inc.*
(Industrials)		     0.2 %   $ 44,330    
  2,300     Alterra Capital Holdings Ltd.
(Financials)		     0.2 %     46,782    
  1,559     American Campus
Communities, Inc. (REIT)
(Financials)		     0.2 %     49,015    
  8,110     American Capital Ltd.*
(Financials)		     0.3 %     58,311    
  1,074     AMERIGROUP Corp.*
(Health Care)		     0.2 %     46,214    
  4,629     Apollo Investment Corp.
(Financials)		     0.2 %     48,882    
  1,221     Berry Petroleum Co.,
Class A (Energy)		     0.2 %     46,532    
  1,097     Bill Barrett Corp.* (Energy)     0.2 %     42,180    
  3,124     BioMed Realty Trust, Inc.
(REIT) (Financials)		     0.3 %     55,076    
  858     Bristow Group, Inc.*
(Energy)		     0.2 %     37,675    
  3,297     CBL & Associates
Properties, Inc. (REIT)
(Financials)		     0.3 %     54,401    
  1,449     Cleco Corp. (Utilities)     0.2 %     43,948    
  1,966     Coeur d'Alene Mines Corp.*
(Materials)		     0.2 %     47,872    
  1,856     Complete Production
Services, Inc.* (Energy)		     0.3 %     52,803    
  3,684     DiamondRock Hospitality
Co. (REIT)* (Financials)		     0.2 %     38,793    
  1,583     EMCOR Group, Inc.*
(Industrials)		     0.2 %     42,424    
  1,110     Entertainment Properties
Trust (REIT) (Financials)		     0.3 %     51,393    
  712     Esterline Technologies
Corp.* (Industrials)		     0.2 %     41,923    
  2,573     FirstMerit Corp. (Financials)     0.2 %     44,835    
  1,384     Healthspring, Inc.*
(Health Care)		     0.2 %     37,133    
  6,115     Hecla Mining Co.*
(Materials)		     0.3 %     58,643    
  1,709     Highwoods Properties,
Inc. (REIT) (Financials)		     0.3 %     52,142    
  1,148     IDACORP, Inc. (Utilities)     0.2 %     41,695    
  5,826     JetBlue Airways Corp.*
(Industrials)		     0.2 %     39,559    
  1,297     Kilroy Realty Corp. (REIT)
(Financials)		     0.2 %     44,254    
  1,667     LaSalle Hotel Properties
(REIT) (Financials)		     0.2 %     39,675    
  796     Magellan Health Services,
Inc.* (Health Care)		     0.2 %     38,765    
  1,439     Medicis Pharmaceutical
Corp., Class A (Health Care)		     0.2 %     37,918    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  6,690     MFA Financial, Inc. (REIT)
(Financials)		     0.3 %   $ 54,524    
  4,786     MGIC Investment Corp.*
(Financials)		     0.2 %     40,777    
  1,083     Moog, Inc., Class A*
(Industrials)		     0.2 %     39,919    
  1,989     National Retail Properties,
Inc. (REIT) (Financials)		     0.3 %     51,734    
  986     New Jersey Resources
Corp. (Utilities)		     0.2 %     42,506    
  1,081     Nicor, Inc. (Utilities)     0.2 %     46,753    
  1,790     Omega Healthcare Investors,
Inc. (REIT) (Financials)		     0.2 %     37,787    
  1,713     Piedmont Natural Gas Co.,
Inc. (Utilities)		     0.3 %     50,671    
  981     Platinum Underwriters
Holdings Ltd. (Financials)		     0.2 %     42,409    
  1,797     Portland General Electric Co.
(Utilities)		     0.2 %     38,042    
  1,161     Post Properties, Inc. (REIT)
(Financials)		     0.2 %     39,555    
  776     ProAssurance Corp.*
(Financials)		     0.2 %     45,962    
  1,571     Rent-A-Center, Inc.
(Consumer Discretionary)		     0.2 %     43,737    
  1,182     Sensient Technologies Corp.
(Materials)		     0.2 %     40,153    
  1,083     Southwest Gas Corp.
(Utilities)		     0.2 %     37,937    
  997     SVB Financial Group*
(Financials)		     0.2 %     44,795    
  830     TreeHouse Foods, Inc.*
(Consumer Staples)		     0.2 %     41,234    
  3,851     US Airways Group, Inc.*
(Industrials)		     0.2 %     42,977    
  866     Vail Resorts, Inc.*
(Consumer Discretionary)		     0.2 %     39,212    
  1,209     WGL Holdings, Inc. (Utilities)     0.2 %     43,838    
  1,461     WR Grace & Co.* (Materials)     0.2 %     48,900    
  848,850     Other Common Stocks     51.9 %     10,519,712    
        Total Common Stocks
(Cost $12,357,026)		         12,716,307    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 9.5%		  
        Federal Home Loan Bank,              
$ 890,849     0.07%, due 12/01/10           890,849    
  1,030,146     0.09%, due 12/06/10           1,030,146    
        Total U.S. Government & Agency
Securities (Cost $1,920,995)		         1,920,995    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 39


  Ultra Russell2000 Value  UVT

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 21.6%  
$ 4,387,809     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,387,863		         $ 4,387,809    
    Total Repurchase Agreements
(Cost $4,387,809)		           4,387,809    
    Total Investment Securities
(Cost $18,665,830) — 93.8%		           19,025,111    
    Other assets less liabilities — 6.2%         1,249,288    
    Net Assets — 100.0%         $ 20,274,399    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $4,861,638.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

REIT  Real Estate Investment Trust

As of November 30, 2010, 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   $ 1,903,827    
Aggregate gross unrealized depreciation     (2,255,259 )  
Net unrealized depreciation   $ (351,432 )  
Federal income tax cost of investments   $ 19,376,543    

Swap Agreements

Ultra Russell2000 Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000®
Value Index		   $ 61,296     $ (1,452 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index     10,580,481       (308,226 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 2000®
Value Index		     1,117,603       121,388    
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index     9,187,443       1,503,894    
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index     6,885,863       (1,080 )  
        $ 1,314,524    

 

Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     6.2 %  
Consumer Staples     1.9 %  
Energy     4.8 %  
Financials     23.0 %  
Health Care     3.4 %  
Industrials     9.0 %  
Information Technology     6.0 %  
Materials     3.9 %  
Telecommunication Services     0.4 %  
Utilities     4.1 %  
Other1     37.3 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

40 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)



  UKK  Ultra Russell2000 Growth

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 64.8%  
  1,258     Acme Packet, Inc.*
(Information Technology)		     0.3 %   $ 61,617    
  1,250     Acuity Brands, Inc.
(Industrials)		     0.3 %     67,325    
  1,786     ADTRAN, Inc.
(Information Technology)		     0.2 %     55,616    
  2,151     Allied Nevada Gold Corp.*
(Materials)		     0.2 %     57,518    
  2,582     Ariba, Inc.*
(Information Technology)		     0.2 %     52,247    
  2,703     ArvinMeritor, Inc.*
(Industrials)		     0.2 %     48,249    
  1,266     Baldor Electric Co.
(Industrials)		     0.3 %     80,150    
  3,344     Brigham Exploration Co.*
(Energy)		     0.3 %     84,102    
  548     CARBO Ceramics, Inc.
(Energy)		     0.2 %     53,238    
  1,707     Carter's, Inc.* (Consumer
Discretionary)		     0.2 %     54,044    
  1,735     Cheesecake Factory,
Inc. (The)* (Consumer
Discretionary)		     0.2 %     55,294    
  1,356     CLARCOR, Inc.
(Industrials)		     0.2 %     55,203    
  663     Clean Harbors, Inc.*
(Industrials)		     0.2 %     49,095    
  911     Coinstar, Inc.*
(Consumer Discretionary)		     0.2 %     58,705    
  1,156     Concur Technologies,
Inc.* (Information
Technology)		     0.3 %     59,199    
  3,720     Dana Holding Corp.*
(Consumer Discretionary)		     0.2 %     56,209    
  1,112     Deckers Outdoor Corp.*
(Consumer Discretionary)		     0.3 %     85,513    
  976     Dril-Quip, Inc.* (Energy)     0.3 %     75,581    
  1,114     Genesee & Wyoming, Inc.,
Class A* (Industrials)		     0.2 %     52,904    
  3,459     GrafTech International
Ltd.* (Industrials)		     0.3 %     67,796    
  780     HMS Holdings Corp.*
(Health Care)		     0.2 %     49,148    
  2,451     Jack Henry & Associates,
Inc. (Information
Technology)		     0.3 %     67,010    
  1,799     Netlogic Microsystems,
Inc.* (Information
Technology)		     0.2 %     56,129    
  980     Nordson Corp.
(Industrials)		     0.3 %     77,841    
  1,799     Onyx Pharmaceuticals,
Inc.* (Health Care)		     0.2 %     52,981    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  3,335     Parametric Technology
Corp.* (Information
Technology)		     0.3 %   $ 71,436    
  1,386     Plantronics, Inc.
(Information Technology)		     0.2 %     49,577    
  894     Polaris Industries, Inc.
(Consumer Discretionary)		     0.3 %     64,985    
  2,785     Rackspace Hosting, Inc.*
(Information Technology)		     0.3 %     81,238    
  7,711     RF Micro Devices, Inc.*
(Information Technology)		     0.2 %     54,054    
  3,624     Riverbed Technology, Inc.*
(Information Technology)		     0.5 %     122,890    
  1,637     Salix Pharmaceuticals Ltd.*
(Health Care)		     0.3 %     73,092    
  1,175     Signature Bank/NY*
(Financials)		     0.2 %     51,641    
  3,486     Solutia, Inc.* (Materials)     0.3 %     74,531    
  1,926     Sotheby's (Consumer
Discretionary)		     0.3 %     77,252    
  1,616     STERIS Corp.
(Health Care)		     0.2 %     55,607    
  1,808     SuccessFactors, Inc.*
(Information Technology)		     0.2 %     54,547    
  2,003     Syniverse Holdings, Inc.*
(Telecommunication
Services)		     0.3 %     61,212    
  1,716     Tenneco, Inc.* (Consumer
Discretionary)		     0.3 %     62,565    
  4,773     TIBCO Software, Inc.*
(Information Technology)		     0.4 %     93,742    
  4,459     TriQuint Semiconductor,
Inc.* (Information
Technology)		     0.2 %     53,107    
  1,011     Under Armour, Inc.,
Class A* (Consumer
Discretionary)		     0.2 %     58,365    
  1,378     United Natural Foods,
Inc.* (Consumer Staples)		     0.2 %     51,592    
  1,165     Veeco Instruments, Inc.*
(Information Technology)		     0.2 %     51,237    
  2,455     VeriFone Systems, Inc.*
(Information Technology)		     0.3 %     85,311    
  1,276     Warnaco Group, Inc. (The)*
(Consumer Discretionary)		     0.3 %     68,713    
  800     Watsco, Inc. (Industrials)     0.2 %     48,216    
  1,751     Woodward Governor Co.
(Industrials)		     0.3 %     59,096    
  1,114     Wright Express Corp.*
(Information Technology)		     0.2 %     47,980    
  921,500     Other Common Stocks     52.4 %     13,044,986    
        Total Common Stocks
(Cost $12,913,424)		         16,149,686    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 41


  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		  
 
 
 
    U.S. Government & Agency
Securities (a) — 9.4%		  
        Federal Home Loan Bank,              
$ 794,810     0.07%, due 12/01/10           794,810    
  1,531,299     0.09%, due 12/06/10           1,531,299    
        Total U.S. Government & Agency
Securities (Cost $2,326,109)		         2,326,109    
    Repurchase Agreements (a)(b) — 21.5%  
  5,360,148     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $5,360,220		           5,360,148    
        Total Repurchase Agreements
(Cost $5,360,148)		         5,360,148    
        Total Investment Securities
(Cost $20,599,681) — 95.7%		         23,835,943    
        Other assets less liabilities — 4.3%         1,071,416    
        Net Assets — 100.0%       $ 24,907,359    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $4,365,075.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 3,482,619    
Aggregate gross unrealized depreciation     (1,211,743 )  
Net unrealized appreciation   $ 2,270,876    
Federal income tax cost of investments   $ 21,565,067    

Swap Agreements

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Growth Index		   $ 244,546     $ (487 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Growth Index     10,905,999       (73,417 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Growth Index     16,318,711       596,166    
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index     6,191,763       525,714    
        $ 1,047,976    

See accompanying notes to the financial statements.

42 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UKK  Ultra Russell2000 Growth

Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     11.6 %  
Consumer Staples     1.9 %  
Energy     3.1 %  
Financials     3.1 %  
Health Care     11.8 %  
Industrials     11.1 %  
Information Technology     18.0 %  
Materials     3.2 %  
Telecommunication Services     0.9 %  
Utilities     0.1 %  
Other1     35.2 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 43


  Ultra Basic Materials  UYM

Shares     Value  
    Common Stocks (a) — 27.9%  
    Chemicals — 14.5%  
  5,726     A. Schulman, Inc.   $ 115,951    
  36,148     Air Products & Chemicals, Inc.     3,116,681    
  13,069     Airgas, Inc.     798,516    
  16,741     Albemarle Corp.     905,521    
  13,002     Ashland, Inc.     661,542    
  9,232     Cabot Corp.     330,506    
  10,245     Calgon Carbon Corp.*     143,123    
  28,683     Celanese Corp.     1,061,271    
  13,017     CF Industries Holdings, Inc.     1,572,063    
  8,873     Cytec Industries, Inc.     424,396    
  209,447     Dow Chemical Co. (The)     6,530,557    
  164,654     E.I. du Pont de Nemours & Co.     7,737,091    
  12,512     Eastman Chemical Co.     973,559    
  42,747     Ecolab, Inc.     2,043,734    
  13,318     FMC Corp.     1,036,407    
  8,861     H.B. Fuller Co.     185,815    
  35,224     Huntsman Corp.     544,915    
  14,391     International Flavors &
Fragrances, Inc.		     755,815    
  7,803     Intrepid Potash, Inc.*     239,162    
  12,502     Lubrizol Corp.     1,307,209    
  3,434     Minerals Technologies, Inc.     208,925    
  27,251     Mosaic Co. (The)     1,842,985    
  1,898     NewMarket Corp.     238,768    
  12,632     Olin Corp.     230,787    
  5,628     OM Group, Inc.*     211,613    
  30,292     PPG Industries, Inc.     2,361,564    
  56,484     Praxair, Inc.     5,199,352    
  9,299     Rockwood Holdings, Inc.*     354,943    
  23,581     RPM International, Inc.     482,939    
  9,030     Sensient Technologies Corp.     306,749    
  19,159     Sigma-Aldrich Corp.     1,211,232    
  22,240     Solutia, Inc.*     475,491    
  11,039     WR Grace & Co.*     369,475    
      43,978,657    
    Commercial Services & Supplies — 0.2%  
  18,988     Avery Dennison Corp.     712,809    
    Metals & Mining — 9.8%  
  20,014     AK Steel Holding Corp.     265,786    
  186,869     Alcoa, Inc.     2,451,721    
  17,007     Allegheny Technologies, Inc.     879,262    
  14,672     Allied Nevada Gold Corp.*     392,329    
  8,072     Carpenter Technology Corp.     294,386    
  24,795     Cliffs Natural Resources, Inc.     1,694,490    

 

Shares     Value  
    Common Stocks (a) (continued)  
  16,128     Coeur d'Alene Mines Corp.*   $ 392,717    
  20,569     Commercial Metals Co.     316,146    
  5,999     Compass Minerals
International, Inc.		     495,517    
  86,162     Freeport-McMoRan Copper &
Gold, Inc.		     8,729,934    
  46,901     Hecla Mining Co.*     449,781    
  2,687     Kaiser Aluminum Corp.     126,020    
  88,546     Newmont Mining Corp.     5,209,161    
  52,189     Nucor Corp.     1,969,613    
  13,592     Reliance Steel & Aluminum Co.     604,164    
  9,661     Royal Gold, Inc.     497,735    
  5,492     RTI International Metals, Inc.*     155,808    
  38,798     Southern Copper Corp.     1,626,800    
  39,411     Steel Dynamics, Inc.     628,211    
  15,669     Titanium Metals Corp.*     270,604    
  26,248     United States Steel Corp.     1,275,915    
  9,703     Walter Energy, Inc.     995,916    
  11,783     Worthington Industries, Inc.     188,764    
      29,910,780    
    Oil, Gas & Consumable Fuels — 2.6%  
  21,846     Alpha Natural Resources, Inc.*     1,082,688    
  29,758     Arch Coal, Inc.     868,934    
  41,337     CONSOL Energy, Inc.     1,734,500    
  18,854     Massey Energy Co.     925,920    
  14,090     Patriot Coal Corp.*     227,976    
  48,831     Peabody Energy Corp.     2,871,751    
  20,582     USEC, Inc.*     122,463    
      7,834,232    
    Paper & Forest Products — 0.8%  
  7,680     Domtar Corp.     583,066    
  73,995     International Paper Co.     1,847,655    
      2,430,721    
        Total Common Stocks
(Cost $83,804,238)		     84,867,199    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 20.9%		  
        Federal Home Loan Bank        
$ 32,647,311     0.07%, due 12/01/10     32,647,311    
  30,706,160     0.09%, due 12/06/10     30,706,160    
        Total U.S. Government & Agency
Securities (Cost $63,353,471)		     63,353,471    

 

See accompanying notes to the financial statements.

44 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UYM  Ultra Basic Materials

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 47.4%  
$ 144,166,812     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $144,168,501		   $ 144,166,812    
    Total Repurchase Agreements
(Cost $144,166,812)		     144,166,812    
    Total Investment Securities
(Cost $291,324,521) — 96.2%		     292,387,482    
    Other assets less liabilities — 3.8%     11,497,786    
    Net Assets — 100.0%   $ 303,885,268    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $68,156,738.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 1,611,317    
Aggregate gross unrealized depreciation     (732,678 )  
Net unrealized appreciation   $ 878,639    
Federal income tax cost of investments   $ 291,508,843    

Swap Agreements

Ultra Basic Materials had the following open swap agreements as of November 30, 2010:

    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		   $ 108,191,498     $ 2,589,691    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Basic MaterialsSM Index     33,807,083       (1,871,079 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Basic MaterialsSM Index		     34,592,568       6,193,572    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Basic MaterialsSM Index		     11,431,646       (1,189,550 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Basic MaterialsSM Index     287,844,600       6,777,384    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Basic MaterialsSM Index     48,155,769       (1,202,285 )  
        $ 11,297,733    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 45


  Ultra Nasdaq Biotechnology  BIB

Shares     Value  
    Common Stocks (a) — 69.8%  
    Biotechnology — 45.3%  
  713     Acorda Therapeutics, Inc.*   $ 18,787    
  537     Affymax, Inc.*     3,630    
  1,758     Alexion Pharmaceuticals, Inc.*     134,399    
  1,558     Alkermes, Inc.*     16,328    
  1,921     Allos Therapeutics, Inc.*     7,799    
  802     Alnylam Pharmaceuticals, Inc.*     7,338    
  404     AMAG Pharmaceuticals, Inc.*     6,339    
  5,629     Amgen, Inc.*     296,592    
  1,266     Amylin Pharmaceuticals, Inc.*     16,224    
  1,793     Arena Pharmaceuticals, Inc.*     2,600    
  2,329     Ariad Pharmaceuticals, Inc.*     9,386    
  585     Arqule, Inc.*     3,176    
  680     Array Biopharma, Inc.*     2,183    
  2,129     AVI BioPharma, Inc.*     3,917    
  817     BioCryst Pharmaceuticals, Inc.*     4,036    
  1,743     Biogen Idec, Inc.*     111,500    
  2,316     BioMarin Pharmaceutical, Inc.*     62,717    
  1,516     Celera Corp.*     8,596    
  3,748     Celgene Corp.*     222,556    
  649     Cephalon, Inc.*     41,205    
  445     China Biologic Products, Inc.*     5,180    
  294     Crucell N.V. (ADR)*     9,205    
  1,295     Cubist Pharmaceuticals, Inc.*     28,114    
  1,373     Curis, Inc.*     2,307    
  1,191     Cytokinetics, Inc.*     2,632    
  841     Cytori Therapeutics, Inc.*     3,776    
  2,685     Dendreon Corp.*     95,962    
  2,085     Dyax Corp.*     4,712    
  1,465     Enzon Pharmaceuticals, Inc.*     16,291    
  2,686     Exelixis, Inc.*     15,552    
  566     Genomic Health, Inc.*     10,443    
  1,664     Genzyme Corp.*     118,510    
  2,411     Geron Corp.*     13,815    
  5,434     Gilead Sciences, Inc.*     198,341    
  984     GTx, Inc.*     2,854    
  1,755     Halozyme Therapeutics, Inc.*     12,145    
  1,892     Human Genome Sciences, Inc.*     46,411    
  1,260     Idenix Pharmaceuticals, Inc.*     4,801    
  971     Immunogen, Inc.*     8,079    
  1,460     Immunomedics, Inc.*     4,599    
  2,615     Incyte Corp.*     37,944    
  1,605     InterMune, Inc.*     20,159    
  846     Ironwood Pharmaceuticals, Inc.*     9,044    
  1,800     Isis Pharmaceuticals, Inc.*     16,983    
  6,159     Lexicon Pharmaceuticals, Inc.*     8,376    
  408     Ligand Pharmaceuticals, Inc.,
Class B*		     3,441    
  2,440     MannKind Corp.*     15,323    
  545     Maxygen, Inc.*     3,526    

 

Shares     Value  
    Common Stocks (a) (continued)  
  656     Medivation, Inc.*   $ 7,432    
  1,708     Micromet, Inc.*     12,400    
  891     Momenta Pharmaceuticals, Inc.*     13,588    
  1,656     Myriad Genetics, Inc.*     35,654    
  1,059     Nabi Biopharmaceuticals*     5,507    
  562     Neurocrine Biosciences, Inc.*     4,091    
  2,046     Novavax, Inc.*     4,563    
  1,141     NPS Pharmaceuticals, Inc.*     7,086    
  1,611     Onyx Pharmaceuticals, Inc.*     47,444    
  877     Orexigen Therapeutics, Inc.*     4,569    
  646     Osiris Therapeutics, Inc.*     4,238    
  1,871     PDL BioPharma, Inc.     10,814    
  1,648     Pharmasset, Inc.*     71,391    
  689     Progenics Pharmaceuticals, Inc.*     3,273    
  847     QLT, Inc.*     5,124    
  2,200     Regeneron Pharmaceuticals, Inc.*     63,404    
  1,049     Rigel Pharmaceuticals, Inc.*     8,371    
  832     Sangamo Biosciences, Inc.*     3,877    
  1,192     Savient Pharmaceuticals, Inc.*     14,077    
  1,789     Seattle Genetics, Inc.*     27,014    
  920     SIGA Technologies, Inc.*     11,592    
  1,017     Sinovac Biotech Ltd.*     4,932    
  975     Spectrum Pharmaceuticals, Inc.*     4,339    
  2,352     StemCells, Inc.*     2,493    
  796     Synta Pharmaceuticals Corp.*     3,415    
  2,278     Talecris Biotherapeutics
Holdings Corp.*		     49,433    
  557     Targacept, Inc.*     11,808    
  1,278     Theravance, Inc.*     31,924    
  1,214     United Therapeutics Corp.*     76,397    
  524     Vanda Pharmaceuticals, Inc.*     4,223    
  3,625     Vertex Pharmaceuticals, Inc.*     120,096    
  1,360     Vical, Inc.*     2,666    
      2,375,068    
    Health Care Equipment & Supplies — 0.6%  
  625     Gen-Probe, Inc.*     32,413    
    Life Sciences Tools & Services — 6.0%  
  1,187     Affymetrix, Inc.*     4,938    
  676     Albany Molecular Research, Inc.*     3,414    
  985     Caliper Life Sciences, Inc.*     5,782    
  2,111     Illumina, Inc.*     126,913    
  1,485     Life Technologies Corp.*     73,960    
  803     Luminex Corp.*     13,555    
  2,612     QIAGEN N.V.*     47,800    
  1,459     Sequenom, Inc.*     10,023    
  456     Techne Corp.     27,392    
      313,777    

 

See accompanying notes to the financial statements.

46 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  BIB  Ultra Nasdaq Biotechnology

Shares     Value  
   
Common Stocks (a) (continued)		  
    Personal Products — 0.0%  
  330     China Sky One Medical, Inc.*   $ 2,419    
    Pharmaceuticals — 17.9%  
  1,890     Akorn, Inc.*     10,036    
  1,119     Alexza Pharmaceuticals, Inc.*     1,011    
  431     Ardea Biosciences, Inc.*     9,581    
  866     Auxilium Pharmaceuticals, Inc.*     16,393    
  2,196     AVANIR Pharmaceuticals, Inc.,
Class A*		     9,399    
  462     Biodel, Inc.*     785    
  527     BioMimetic Therapeutics, Inc.*     5,881    
  777     BMP Sunstone Corp.*     7,677    
  1,146     Cadence Pharmaceuticals, Inc.*     8,217    
  1,236     Cardiome Pharma Corp.*     5,970    
  816     Cypress Bioscience, Inc.*     3,248    
  864     Depomed, Inc.*     4,717    
  1,593     Durect Corp.*     4,747    
  1,052     Endo Pharmaceuticals
Holdings, Inc.*		     37,883    
  871     Eurand N.V.*     9,555    
  492     Flamel Technologies S.A. (ADR)*     3,488    
  244     Hi-Tech Pharmacal Co., Inc.*     5,802    
  1,351     Impax Laboratories, Inc.*     24,183    
  2,359     Inspire Pharmaceuticals, Inc.*     16,466    
  757     Jazz Pharmaceuticals, Inc.*     12,604    
  541     MAP Pharmaceuticals, Inc.*     7,774    
  720     Medicines Co. (The)*     9,490    
  5,698     Mylan, Inc.*     111,481    
  2,179     Nektar Therapeutics*     27,608    
  436     Obagi Medical Products, Inc.*     4,761    
  716     Optimer Pharmaceuticals, Inc.*     6,781    
  643     Pain Therapeutics, Inc.*     5,125    
  1,678     Perrigo Co.     101,083    
  574     Pozen, Inc.*     3,674    
  1,305     Questcor Pharmaceuticals, Inc.*     18,583    
  1,190     Salix Pharmaceuticals Ltd.*     53,133    
  1,197     Santarus, Inc.*     3,304    
  920     Shire plc (ADR)     64,713    
  1,172     SuperGen, Inc.*     3,106    
  4,625     Teva Pharmaceutical Industries
Ltd. (ADR)		     231,435    
  1,414     ViroPharma, Inc.*     21,846    
  1,251     Vivus, Inc.*     8,131    
  2,908     Warner Chilcott plc, Class A     55,281    
  584     XenoPort, Inc.*     4,526    
      939,478    
        Total Common Stocks
(Cost $3,783,928)		     3,663,155    

 

Principal
Amount		  
 
Value		  
    U.S. Government & Agency
Securities (a) — 9.7%		  
        Federal Home Loan Bank        
$ 164,754     0.07%, due 12/01/10   $ 164,754    
  346,193     0.09%, due 12/06/10     346,193    
        Total U.S. Government & Agency
Securities (Cost $510,947)		     510,947    
    Repurchase Agreements (a)(b) — 22.5%  
  1,179,025     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,179,041		     1,179,025    
        Total Repurchase Agreements
(Cost $1,179,025)		     1,179,025    
        Total Investment Securities
(Cost $5,473,900) — 102.0%		     5,353,127    
        Liabilities in excess of
other assets — (2.0%)		     (105,828 )  
        Net Assets — 100.0%   $ 5,247,299    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $1,430,574.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

ADR  American Depositary Receipt

As of November 30, 2010, 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   $ 297,683    
Aggregate gross unrealized depreciation     (421,643 )  
Net unrealized depreciation   $ (123,960 )  
Federal income tax cost of investments   $ 5,477,087    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 47


  Ultra Nasdaq Biotechnology  BIB

Swap Agreements

Ultra Nasdaq Biotechnology had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the NASDAQ
Biotechnology Index®		   $ 3,151,321     $ (145,595 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ Biotechnology Index®     2,052,375       (29,615 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the NASDAQ
Biotechnology Index®		     1,584,622       89,517    
        $ (85,693 )  

See accompanying notes to the financial statements.

48 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UGE  Ultra Consumer Goods

Shares     Value  
    Common Stocks (a) — 37.4%  
    Auto Components — 1.4%  
  620     BorgWarner, Inc.*   $ 37,411    
  332     Cooper Tire & Rubber Co.     6,935    
  757     Dana Holding Corp.*     11,438    
  749     Gentex Corp.     15,721    
  1,305     Goodyear Tire & Rubber Co. (The)*     12,476    
  3,649     Johnson Controls, Inc.     132,970    
  270     Lear Corp.*     23,698    
  324     Tenneco, Inc.*     11,813    
  451     TRW Automotive Holdings Corp.*     21,418    
      273,880    
    Automobiles — 1.8%  
  18,141     Ford Motor Co.*     289,168    
  1,266     Harley-Davidson, Inc.     39,600    
  191     Thor Industries, Inc.     5,640    
      334,408    
    Beverages — 8.0%  
  101     Brown-Forman Corp., Class A     6,589    
  491     Brown-Forman Corp., Class B     32,121    
  346     Central European Distribution
Corp.*		     8,315    
  11,578     Coca-Cola Co. (The)     731,382    
  1,778     Coca-Cola Enterprises, Inc.     42,939    
  1,017     Constellation Brands, Inc.,
Class A*		     20,960    
  1,299     Dr. Pepper Snapple Group, Inc.     47,582    
  384     Hansen Natural Corp.*     20,437    
  867     Molson Coors Brewing Co.,
Class B		     41,313    
  8,651     PepsiCo, Inc.     559,114    
      1,510,752    
    Biotechnology — 0.0%  
  181     Martek Biosciences Corp.*     3,982    
    Chemicals — 1.0%  
  2,944     Monsanto Co.     176,405    
  244     Scotts Miracle-Gro Co. (The),
Class A		     12,190    
      188,595    
    Commercial Services & Supplies — 0.1%  
  303     Herman Miller, Inc.     6,526    
  201     HNI Corp.     5,355    
      11,881    
    Distributors — 0.3%  
  868     Genuine Parts Co.     41,786    
  760     LKQ Corp.*     16,397    
      58,183    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Food Products — 6.3%  
  3,194     Archer-Daniels-Midland Co.   $ 92,594    
  762     Bunge Ltd.     46,345    
  1,147     Campbell Soup Co.     38,883    
  243     Chiquita Brands International, Inc.*     2,717    
  2,432     ConAgra Foods, Inc.     52,239    
  410     Corn Products International, Inc.     17,679    
  447     Darling International, Inc.*     5,176    
  981     Dean Foods Co.*     7,132    
  1,083     Del Monte Foods Co.     20,285    
  498     Flowers Foods, Inc.     13,048    
  224     Fresh Del Monte Produce, Inc.     4,919    
  3,347     General Mills, Inc.     118,250    
  630     Green Mountain Coffee
Roasters, Inc.*		     23,360    
  1,706     H. J. Heinz Co.     82,349    
  220     Hain Celestial Group, Inc. (The)*     5,832    
  845     Hershey Co. (The)     39,546    
  393     Hormel Foods Corp.     19,288    
  642     J.M. Smucker Co. (The)     40,606    
  1,402     Kellogg Co.     69,020    
  8,706     Kraft Foods, Inc., Class A     263,356    
  111     Lancaster Colony Corp.     5,780    
  602     McCormick & Co., Inc.
(Non-Voting)		     26,494    
  1,112     Mead Johnson Nutrition Co.     66,242    
  297     Ralcorp Holdings, Inc.*     18,390    
  3,402     Sara Lee Corp.     51,030    
  841     Smithfield Foods, Inc.*     14,810    
  129     Tootsie Roll Industries, Inc.     3,437    
  189     TreeHouse Foods, Inc.*     9,390    
  1,672     Tyson Foods, Inc., Class A     26,468    
      1,184,665    
    Household Durables — 1.6%  
  1,510     D.R. Horton, Inc.     15,160    
  627     Garmin Ltd.     18,158    
  377     Harman International
Industries, Inc.*		     16,434    
  502     Jarden Corp.     15,411    
  416     KB Home     4,701    
  796     Leggett & Platt, Inc.     16,477    
  836     Lennar Corp., Class A     12,699    
  199     MDC Holdings, Inc.     4,969    
  301     Mohawk Industries, Inc.*     15,815    
  1,517     Newell Rubbermaid, Inc.     25,440    
  32     NVR, Inc.*     19,839    
  1,817     PulteGroup, Inc.*     11,374    
  239     Ryland Group, Inc.     3,485    
  901     Stanley Black & Decker, Inc.     53,637    
  358     Tempur-Pedic International, Inc.*     12,569    
  734     Toll Brothers, Inc.*     13,175    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 49


  Ultra Consumer Goods  UGE

Shares     Value  
    Common Stocks (a) (continued)  
  341     Tupperware Brands Corp.   $ 15,850    
  414     Whirlpool Corp.     30,222    
      305,415    
    Household Products — 7.3%  
  382     Church & Dwight Co., Inc.     24,926    
  752     Clorox Co.     46,481    
  2,677     Colgate-Palmolive Co.     204,924    
  378     Energizer Holdings, Inc.*     26,607    
  2,225     Kimberly-Clark Corp.     137,705    
  15,436     Procter & Gamble Co. (The)     942,677    
  85     WD-40 Co.     3,323    
      1,386,643    
    Leisure Equipment & Products — 0.6%  
  481     Brunswick Corp.     7,672    
  350     Callaway Golf Co.     2,681    
  1,460     Eastman Kodak Co.*     6,876    
  683     Hasbro, Inc.     32,552    
  1,965     Mattel, Inc.     50,776    
  177     Polaris Industries, Inc.     12,866    
  269     Pool Corp.     5,700    
      119,123    
    Machinery — 0.2%  
  273     Briggs & Stratton Corp.     4,753    
  313     Snap-On, Inc.     16,567    
  349     WABCO Holdings, Inc.*     17,345    
      38,665    
    Personal Products — 0.9%  
  475     Alberto-Culver Co.     17,670    
  2,333     Avon Products, Inc.     66,631    
  659     Estee Lauder Cos., Inc. (The),
Class A		     49,372    
  328     Herbalife Ltd.     22,511    
  302     Nu Skin Enterprises, Inc., Class A     9,546    
      165,730    
    Software — 0.4%  
  2,985     Activision Blizzard, Inc.     35,044    
  1,777     Electronic Arts, Inc.*     26,495    
  460     Take-Two Interactive Software, Inc.*     5,090    
  628     TiVo, Inc.*     5,162    
      71,791    
    Textiles, Apparel & Luxury Goods — 2.4%  
  322     Carter's, Inc.*     10,195    
  1,658     Coach, Inc.     93,743    
  209     Deckers Outdoor Corp.*     16,072    
  257     Fossil, Inc.*     17,386    

 

Shares     Value  
    Common Stocks (a) (continued)  
  510     Hanesbrands, Inc.*   $ 13,846    
  388     Iconix Brand Group, Inc.*     7,248    
  474     Jones Group, Inc. (The)     6,418    
  1,616     NIKE, Inc., Class B     139,186    
  333     Phillips-Van Heusen Corp.     22,591    
  354     Polo Ralph Lauren Corp.     38,671    
  195     Skechers U.S.A., Inc., Class A*     4,503    
  225     Timberland Co. (The), Class A*     5,575    
  189     Under Armour, Inc., Class A*     10,911    
  465     VF Corp.     38,539    
  241     Warnaco Group, Inc. (The)*     12,978    
  265     Wolverine World Wide, Inc.     8,281    
      446,143    
    Tobacco — 5.1%  
  11,325     Altria Group, Inc.     271,800    
  837     Lorillard, Inc.     66,608    
  9,967     Philip Morris International, Inc.     567,023    
  1,840     Reynolds American, Inc.     56,930    
  132     Universal Corp.     5,400    
      967,761    
        Total Common Stocks
(Cost $6,463,998)		     7,067,617    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 18.2%		  
        Federal Home Loan Bank        
$ 2,431,758     0.07%, due 12/01/10     2,431,758    
  1,007,872     0.09%, due 12/06/10     1,007,872    
        Total U.S. Government & Agency
Securities (Cost $3,439,630)		     3,439,630    
    Repurchase Agreements (a)(b) — 40.9%  
  7,718,059     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $7,718,135		     7,718,059    
        Total Repurchase Agreements
(Cost $7,718,059)		     7,718,059    
        Total Investment Securities
(Cost $17,621,687) — 96.5%		     18,225,306    
        Other assets less liabilities — 3.5%     651,714    
        Net Assets — 100.0%   $ 18,877,020    

 

*  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. At

 

See accompanying notes to the financial statements.

50 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UGE  Ultra Consumer Goods

11/30/10, the aggregate amount held in a segregated account was $7,883,518.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 670,595    
Aggregate gross unrealized depreciation     (565,600 )  
Net unrealized appreciation   $ 104,995    
Federal income tax cost of investments   $ 18,120,311    

Swap Agreements

Ultra Consumer Goods had the following open swap agreements as of November 30, 2010:

    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		   $ 3,440,365     $ (1,885 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Consumer GoodsSM Index		     4,709,357       (132,952 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Consumer GoodsSM Index		     2,749,958       226,199    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Consumer GoodsSM Index		     18,037,216       257,313    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones
U.S. Consumer GoodsSM Index		     654,415       341,717    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer GoodsSM Index     1,091,414       (27,011 )  
        $ 663,381    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 51


  Ultra Consumer Services  UCC

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 31.4%  
  718     Amazon.com, Inc.*
(Internet & Catalog Retail)		     1.2 %   $ 125,937    
  577     AmerisourceBergen Corp.
(Health Care Providers &
Services)		     0.2 %     17,800    
  542     Bed Bath & Beyond, Inc.*
(Specialty Retail)		     0.2 %     23,707    
  703     Best Buy Co., Inc.
(Specialty Retail)		     0.3 %     30,032    
  746     Cardinal Health, Inc.
(Health Care Providers &
Services)		     0.3 %     26,543    
  852     Carnival Corp. (Hotels,
Restaurants & Leisure)		     0.3 %     35,196    
  1,293     CBS Corp., Class B (Media)     0.2 %     21,774    
  65     Chipotle Mexican Grill, Inc.*
(Hotels, Restaurants &
Leisure)		     0.1 %     16,802    
  4,261     Comcast Corp., Class A
(Media)		     0.8 %     85,220    
  1,507     Comcast Corp., Special,
Class A (Media)		     0.3 %     28,588    
  911     Costco Wholesale Corp.
(Food & Staples Retailing)		     0.6 %     61,593    
  2,818     CVS Caremark Corp.
(Food & Staples Retailing)		     0.8 %     87,358    
  1,627     Delta Air Lines, Inc.*
(Airlines)		     0.2 %     22,257    
  1,796     DIRECTV, Class A* (Media)     0.7 %     74,588    
  2,322     eBay, Inc.* (Internet
Software & Services)		     0.7 %     67,640    
  3,516     Home Depot, Inc.
(Specialty Retail)		     1.0 %     106,218    
  593     Kohl's Corp.*
(Multiline Retail)		     0.3 %     33,457    
  1,243     Kroger Co. (The) (Food &
Staples Retailing)		     0.3 %     29,273    
  894     Las Vegas Sands Corp.*
(Hotels, Restaurants &
Leisure)		     0.4 %     44,772    
  1,169     Liberty Media Corp. -
Interactive, Class A*
(Internet & Catalog Retail)		     0.2 %     18,073    
  569     Limited Brands, Inc.
(Specialty Retail)		     0.2 %     19,158    
  2,987     Lowe's Cos., Inc.
(Specialty Retail)		     0.7 %     67,805    
  868     Macy's, Inc.
(Multiline Retail)		     0.2 %     22,290    
  651     Marriott International, Inc.,
Class A (Hotels,
Restaurants & Leisure)		     0.2 %     25,526    
  2,205     McDonald's Corp. (Hotels,
Restaurants & Leisure)		     1.7 %     172,651    
  641     McGraw-Hill Cos., Inc. (The)
(Media)		     0.2 %     22,108    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  537     McKesson Corp. (Health
Care Providers & Services)		     0.3 %   $ 34,314    
  93     NetFlix, Inc.* (Internet &
Catalog Retail)		     0.2 %     19,149    
  3,755     News Corp., Class A (Media)     0.5 %     51,218    
  624     Omnicom Group, Inc.
(Media)		     0.3 %     28,355    
  282     O'Reilly Automotive, Inc.*
(Specialty Retail)		     0.2 %     16,971    
  100     priceline.com, Inc.*
(Internet & Catalog Retail)		     0.4 %     39,405    
  788     Safeway, Inc. (Food &
Staples Retailing)		     0.2 %     18,116    
  1,535     Southwest Airlines Co.
(Airlines)		     0.2 %     20,446    
  1,512     Staples, Inc. (Specialty Retail)     0.3 %     33,279    
  1,538     Starbucks Corp. (Hotels,
Restaurants & Leisure)		     0.5 %     47,063    
  362     Starwood Hotels & Resorts
Worldwide, Inc. (Hotels,
Restaurants & Leisure)		     0.2 %     20,576    
  1,220     Sysco Corp. (Food & Staples
Retailing)		     0.3 %     35,404    
  1,387     Target Corp. (Multiline Retail)     0.8 %     78,976    
  730     Time Warner Cable, Inc.
(Media)		     0.4 %     44,924    
  2,326     Time Warner, Inc. (Media)     0.7 %     68,594    
  844     TJX Cos., Inc.
(Specialty Retail)		     0.4 %     38,495    
  650     United Continental Holdings,
Inc.* (Airlines)		     0.2 %     17,992    
  1,150     Viacom, Inc., Class B (Media)     0.4 %     43,505    
  2,025     Walgreen Co. (Food &
Staples Retailing)		     0.7 %     70,571    
  4,355     Wal-Mart Stores, Inc.
(Food & Staples Retailing)		     2.3 %     235,562    
  3,677     Walt Disney Co. (The)
(Media)		     1.3 %     134,247    
  180     Wynn Resorts Ltd. (Hotels,
Restaurants & Leisure)		     0.2 %     18,198    
  966     Yum! Brands, Inc. (Hotels,
Restaurants & Leisure)		     0.5 %     48,377    
  30,791     Other Common Stocks     7.6 %     783,866    
        Total Common Stocks
(Cost $3,105,508)		         3,233,969    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 20.0%		  
        Federal Home Loan Bank,              
$ 1,329,049     0.07%, due 12/01/10           1,329,049    
  738,468     0.09%, due 12/06/10           738,468    
        Total U.S. Government & Agency
Securities (Cost $2,067,517)		           2,067,517    

 

See accompanying notes to the financial statements.

52 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UCC  Ultra Consumer Services

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 45.2%  
$ 4,661,189     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,661,236		       $ 4,661,189    
    Total Repurchase Agreements
(Cost $4,661,189)		         4,661,189    
    Total Investment Securities
(Cost $9,834,214) — 96.6%		         9,962,675    
    Other assets less liabilities — 3.4%         345,792    
    Net Assets — 100.0%       $ 10,308,467    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $3,323,233.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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     (557,240 )  
Net unrealized depreciation   $ (557,240 )  
Federal income tax cost of investments   $ 10,519,915    

Swap Agreements

  Ultra Consumer Services had the following open swap agreements as of November 30, 2010:

    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 ServicesSM Index		   $ 1,910,916     $ 41,082    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Consumer ServicesSM Index		     2,588,454       (17,868 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Consumer ServicesSM Index		     8,668,628       (65,995 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones
U.S. Consumer ServicesSM Index		     1,948,127       438,667    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer ServicesSM Index     2,296,028       (31,659 )  
        $ 364,227    

 

Ultra Consumer Services invested, as a percentage of net assets, in the following industries as of November 30, 2010:

Airlines     0.8 %  
Commercial Services & Supplies     0.1 %  
Diversified Consumer Services     0.5 %  
Electronic Equipment, Instruments & Components     0.1 %  
Food & Staples Retailing     5.5 %  
Health Care Providers & Services     0.9 %  
Hotels, Restaurants & Leisure     5.4 %  
Internet & Catalog Retail     2.1 %  
Internet Software & Services     0.8 %  
IT Services     0.0 %  
Media     7.4 %  
Multiline Retail     2.0 %  
Professional Services     0.1 %  
Road & Rail     0.1 %  
Software     0.1 %  
Specialty Retail     5.5 %  
Other1     68.6 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 53


  Ultra Financials  UYG

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 71.6%  
  142,640     ACE Ltd. (Insurance)     0.7 %   $ 8,347,293    
  196,322     Aflac, Inc. (Insurance)     0.9 %     10,110,583    
  212,379     Allstate Corp. (The)
(Insurance)		     0.5 %     6,182,353    
  448,422     American Express Co.
(Consumer Finance)		     1.7 %     19,380,799    
  105,746     Ameriprise Financial, Inc.
(Capital Markets)		     0.5 %     5,481,873    
  261,004     Annaly Capital
Management, Inc. (Real
Estate Investment Trusts)		     0.4 %     4,747,663    
  124,209     AON Corp. (Insurance)     0.4 %     4,983,265    
  35,867     AvalonBay Communities,
Inc. (Real Estate
Investment Trusts)		     0.3 %     3,957,206    
  4,185,554     Bank of America Corp.
(Diversified Financial
Services)		     3.9 %     45,831,816    
  508,966     Bank of New York Mellon
Corp. (The)
(Capital Markets)		     1.2 %     13,736,992    
  291,249     BB&T Corp. (Commercial
Banks)		     0.6 %     6,756,977    
  354,242     Berkshire Hathaway, Inc.,
Class B* (Insurance)		     2.4 %     28,226,003    
  38,140     BlackRock, Inc.
(Capital Markets)		     0.5 %     6,216,820    
  58,361     Boston Properties, Inc.
(Real Estate Investment
Trusts)		     0.4 %     4,890,652    
  192,213     Capital One Financial Corp.
(Consumer Finance)		     0.7 %     7,156,090    
  407,543     Charles Schwab Corp. (The)
(Capital Markets)		     0.5 %     6,125,371    
  132,491     Chubb Corp. (Insurance)     0.7 %     7,553,312    
  10,008,816     Citigroup, Inc.* (Diversified
Financial Services)		     3.6 %     42,037,027    
  28,311     CME Group, Inc. (Diversified
Financial Services)		     0.7 %     8,155,267    
  229,039     Discover Financial Services
(Consumer Finance)		     0.4 %     4,186,833    
  119,165     Equity Residential (Real
Estate Investment Trusts)		     0.5 %     5,955,867    
  334,974     Fifth Third Bancorp
(Commercial Banks)		     0.3 %     4,002,939    
  65,602     Franklin Resources, Inc.
(Capital Markets)		     0.7 %     7,484,532    
  181,542     Goldman Sachs Group, Inc.
(The) (Capital Markets)		     2.4 %     28,345,968    
  187,048     Hartford Financial Services
Group, Inc. (Insurance)		     0.4 %     4,163,688    
  129,721     HCP, Inc. (Real Estate
Investment Trusts)		     0.4 %     4,271,713    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  277,229     Host Hotels & Resorts, Inc.
(Real Estate Investment
Trusts)		     0.4 %   $ 4,568,734    
  197,172     Invesco Ltd. (Capital
Markets)		     0.4 %     4,286,519    
  1,673,369     JPMorgan Chase & Co.
(Diversified Financial
Services)		     5.4 %     62,550,533    
  143,193     Loews Corp. (Insurance)     0.5 %     5,356,850    
  227,787     Marsh & McLennan Cos.,
Inc. (Insurance)		     0.5 %     5,712,898    
  43,897     Mastercard, Inc., Class A
(IT Services)		     0.9 %     10,404,906    
  244,009     MetLife, Inc. (Insurance)     0.8 %     9,308,943    
  537,321     Morgan Stanley
(Capital Markets)		     1.1 %     13,142,872    
  101,674     Northern Trust Corp.
(Capital Markets)		     0.4 %     5,114,202    
  221,566     PNC Financial Services
Group, Inc.
(Commercial Banks)		     1.0 %     11,931,329    
  262,909     Progressive Corp. (The)
(Insurance)		     0.5 %     5,347,569    
  194,170     Prudential Financial, Inc.
(Insurance)		     0.9 %     9,840,536    
  59,391     Public Storage
(Real Estate Investment
Trusts)		     0.5 %     5,737,171    
  123,334     Simon Property Group, Inc.
(Real Estate Investment
Trusts)		     1.1 %     12,148,399    
  208,272     State Street Corp.
(Capital Markets)		     0.8 %     8,997,350    
  210,092     SunTrust Banks, Inc.
(Commercial Banks)		     0.4 %     4,907,749    
  109,086     T. Rowe Price Group, Inc.
(Capital Markets)		     0.5 %     6,362,986    
  197,953     Travelers Cos., Inc. (The)
(Insurance)		     0.9 %     10,687,482    
  805,292     U.S. Bancorp
(Commercial Banks)		     1.6 %     19,149,844    
  208,477     Visa, Inc., Class A
(IT Services)		     1.3 %     15,396,026    
  75,872     Vornado Realty Trust (Real
Estate Investment Trusts)		     0.5 %     6,189,638    
  2,063,940     Wells Fargo & Co.
(Commercial Banks)		     4.8 %     56,159,807    
  278,036     Western Union Co. (The)
(IT Services)		     0.4 %     4,904,555    
  12,134,958     Other Common Stocks     20.3 %     236,934,320    
      Total Common Stocks
(Cost $828,722,632)		         833,430,120    

 

See accompanying notes to the financial statements.

54 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UYG  Ultra Financials

Principal
Amount		  
 
  Value  
    U.S. Government & Agency
Securities (a) — 9.6%		  
        Federal Home Loan Bank,              
$ 37,030,551     0.07%, due 12/01/10         $ 37,030,551    
  74,786,411     0.09%, due 12/06/10           74,786,411    
        Total U.S. Government & Agency
Securities (Cost $111,816,962)		         111,816,962    
    Repurchase Agreements (a)(b) — 22.1%  
  257,859,107     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $257,862,612		           257,859,107    
        Total Repurchase Agreements
(Cost $257,859,107)		         257,859,107    
        Total Investment Securities
(Cost $1,198,398,701) — 103.3%		         1,203,106,189    
        Liabilities in excess of
other assets — (3.3%)		         (38,140,746 )  
        Net Assets — 100.0%       $ 1,164,965,443    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $595,929,586.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 170,664,358    
Aggregate gross unrealized depreciation     (189,741,047 )  
Net unrealized depreciation   $ (19,076,689 )  
Federal income tax cost of investments   $ 1,222,182,878    

Swap Agreements

Ultra Financials had the following open swap agreements as of November 30, 2010:

    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		   $ 63,630,533     $ (6,000,126 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     22,115,672       (7,997,721 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. FinancialsSM Index		     115,324,059       (7,829,342 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. FinancialsSM Index		     126,060,730       (2,425,300 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. FinancialsSM Index		     264,264,157       (3,216,965 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     124,275,669       3,108,056    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     785,192,062       (13,761,754 )  
        $ (38,123,152 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 55


  Ultra Financials  UYG

Ultra Financials invested, as a percentage of net assets, in the following industries as of November 30, 2010:

Capital Markets     10.7 %  
Commercial Banks     12.7 %  
Consumer Finance     2.9 %  
Diversified Financial Services     14.6 %  
Insurance     15.5 %  
IT Services     2.6 %  
Professional Services     0.2 %  
Real Estate Investment Trusts     10.7 %  
Real Estate Management & Development     0.6 %  
Thrifts & Mortgage Finance     1.1 %  
Other1     28.4 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

56 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  RXL  Ultra Health Care

Shares     Value  
    Common Stocks (a) — 92.9%  
    Biotechnology — 13.3%  
  1,327     Acorda Therapeutics, Inc.*   $ 34,966    
  3,070     Alexion Pharmaceuticals, Inc.*     234,701    
  3,240     Alkermes, Inc.*     33,955    
  32,824     Amgen, Inc.*     1,729,497    
  4,459     Amylin Pharmaceuticals, Inc.*     57,142    
  7,790     Biogen Idec, Inc.*     498,326    
  3,482     BioMarin Pharmaceutical, Inc.*     94,293    
  2,809     Celera Corp.*     15,927    
  15,772     Celgene Corp.*     936,541    
  2,558     Cephalon, Inc.*     162,407    
  2,036     Cepheid, Inc.*     40,089    
  1,997     Cubist Pharmaceuticals, Inc.*     43,355    
  4,934     Dendreon Corp.*     176,341    
  8,732     Genzyme Corp.*     621,893    
  28,736     Gilead Sciences, Inc.*     1,048,864    
  6,419     Human Genome Sciences, Inc.*     157,458    
  3,870     Incyte Corp.*     56,154    
  3,182     Isis Pharmaceuticals, Inc.*     30,022    
  3,223     Myriad Genetics, Inc.*     69,391    
  2,129     Onyx Pharmaceuticals, Inc.*     62,699    
  4,088     PDL BioPharma, Inc.     23,629    
  2,206     Regeneron Pharmaceuticals, Inc.*     63,577    
  2,313     Savient Pharmaceuticals, Inc.*     27,317    
  2,105     Talecris Biotherapeutics
Holdings Corp.*		     45,679    
  2,185     Theravance, Inc.*     54,581    
  1,704     United Therapeutics Corp.*     107,233    
  6,922     Vertex Pharmaceuticals, Inc.*     229,326    
      6,655,363    
    Health Care Equipment & Supplies — 17.7%  
  2,614     Alcon, Inc.     411,052    
  2,881     Alere, Inc.*     91,933    
  2,583     American Medical Systems
Holdings, Inc.*		     46,313    
  20,023     Baxter International, Inc.     972,117    
  2,376     Beckman Coulter, Inc.     129,991    
  7,516     Becton, Dickinson and Co.     585,722    
  51,654     Boston Scientific Corp.*     331,619    
  3,209     C.R. Bard, Inc.     272,284    
  6,162     CareFusion Corp.*     140,925    
  1,596     Cooper Cos., Inc. (The)     85,386    
  17,266     Covidien plc     726,381    
  4,894     DENTSPLY International, Inc.     151,322    
  3,853     Edwards Lifesciences Corp.*     255,685    
  1,668     Gen-Probe, Inc.*     86,502    
  861     Haemonetics Corp.*     50,618    
  2,144     Hill-Rom Holdings, Inc.     84,860    
  8,856     Hologic, Inc.*     145,238    
  5,653     Hospira, Inc.*     318,038    

 

Shares     Value  
    Common Stocks (a) (continued)  
  1,972     IDEXX Laboratories, Inc.*   $ 126,622    
  2,396     Immucor, Inc.*     44,015    
  1,348     Intuitive Surgical, Inc.*     350,871    
  1,058     Invacare Corp.     28,555    
  2,148     Kinetic Concepts, Inc.*     85,297    
  1,835     Masimo Corp.     56,628    
  37,108     Medtronic, Inc.     1,244,231    
  1,340     NuVasive, Inc.*     31,302    
  5,187     ResMed, Inc.*     165,725    
  1,387     Sirona Dental Systems, Inc.*     52,415    
  11,153     St. Jude Medical, Inc.*     431,510    
  1,850     STERIS Corp.     63,658    
  10,425     Stryker Corp.     522,188    
  1,359     Teleflex, Inc.     67,868    
  1,964     Thoratec Corp.*     49,994    
  4,168     Varian Medical Systems, Inc.*     274,379    
  1,138     West Pharmaceutical Services, Inc.     43,153    
  6,948     Zimmer Holdings, Inc.*     342,258    
      8,866,655    
    Health Care Providers & Services — 15.4%  
  14,302     Aetna, Inc.     423,625    
  979     Amedisys, Inc.*     27,784    
  1,772     AMERIGROUP Corp.*     76,249    
  2,601     Brookdale Senior Living, Inc.*     49,731    
  1,331     Catalyst Health Solutions, Inc.*     57,127    
  1,765     Centene Corp.*     41,036    
  9,420     CIGNA Corp.     346,750    
  3,251     Community Health Systems, Inc.*     103,577    
  5,075     Coventry Health Care, Inc.*     128,499    
  3,560     DaVita, Inc.*     258,812    
  1,032     Emergency Medical Services Corp.,
Class A*		     51,125    
  17,236     Express Scripts, Inc.*     897,823    
  8,578     Health Management Associates,
Inc., Class A*		     76,430    
  3,338     Health Net, Inc.*     90,126    
  3,197     HealthSouth Corp.*     57,546    
  1,168     Healthways, Inc.*     11,271    
  3,131     Henry Schein, Inc.*     179,813    
  930     HMS Holdings Corp.*     58,599    
  5,831     Humana, Inc.*     326,769    
  3,522     Laboratory Corp. of America
Holdings*		     288,910    
  1,877     LifePoint Hospitals, Inc.*     67,985    
  3,391     Lincare Holdings, Inc.     87,318    
  1,142     Magellan Health Services, Inc.*     55,616    
  15,654     Medco Health Solutions, Inc.*     959,903    
  1,612     MEDNAX, Inc.*     98,655    
  2,141     Owens & Minor, Inc.     60,483    
  3,428     Patterson Cos., Inc.     101,915    
  1,943     PSS World Medical, Inc.*     40,026    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 57


  Ultra Health Care  RXL

Shares     Value  
   
Common Stocks (a) (continued)		  
  5,065     Quest Diagnostics, Inc.   $ 249,806    
  16,445     Tenet Healthcare Corp.*     67,096    
  38,523     UnitedHealth Group, Inc.     1,406,860    
  3,075     Universal Health Services, Inc.,
Class B		     126,444    
  1,446     WellCare Health Plans, Inc.*     40,705    
  13,697     WellPoint, Inc.*     763,471    
      7,677,885    
    Life Sciences Tools & Services — 3.9%  
  654     Bio-Rad Laboratories, Inc., Class A*     61,051    
  2,265     Charles River Laboratories
International, Inc.*		     73,952    
  2,217     Covance, Inc.*     99,566    
  4,259     Illumina, Inc.*     256,051    
  6,257     Life Technologies Corp.*     311,630    
  1,984     Parexel International Corp.*     34,839    
  3,774     Pharmaceutical Product
Development, Inc.		     94,048    
  1,285     Techne Corp.     77,190    
  13,985     Thermo Fisher Scientific, Inc.*     711,277    
  3,182     Waters Corp.*     244,600    
      1,964,204    
    Pharmaceuticals — 42.6%  
  52,721     Abbott Laboratories     2,452,054    
  10,419     Allergan, Inc.     690,467    
  1,616     Auxilium Pharmaceuticals, Inc.*     30,591    
  58,864     Bristol-Myers Squibb Co.     1,485,727    
  33,642     Eli Lilly & Co.     1,132,390    
  3,560     Endo Pharmaceuticals
Holdings, Inc.*		     128,196    
  9,869     Forest Laboratories, Inc.*     314,722    
  94,770     Johnson & Johnson     5,833,094    
  8,553     King Pharmaceuticals, Inc.*     121,025    
  2,000     Medicis Pharmaceutical Corp.,
Class A		     52,700    
  105,316     Merck & Co., Inc.     3,630,243    
  14,850     Mylan, Inc.*     290,540    
  3,227     Nektar Therapeutics*     40,886    
  1,183     Par Pharmaceutical Cos., Inc.*     42,505    
  2,827     Perrigo Co.     170,298    
  276,010     Pfizer, Inc.     4,496,203    
  1,755     Salix Pharmaceuticals Ltd.*     78,361    
  3,949     Warner Chilcott plc, Class A     75,070    
  4,264     Watson Pharmaceuticals, Inc.*     207,827    
      21,272,899    
        Total Common Stocks
(Cost $44,868,993)		     46,437,006    

 

Principal
Amount		  
 
Value		  
    U.S. Government & Agency
Securities (a) — 1.8%		  
        Federal Home Loan Bank        
$ 303,003     0.07%, due 12/01/10   $ 303,003    
  617,269     0.09%, due 12/06/10     617,269    
        Total U.S. Government & Agency
Securities (Cost $920,272)		     920,272    
    Repurchase Agreements (a)(b) — 4.3%  
  2,122,516     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,122,545		     2,122,516    
        Total Repurchase Agreements
(Cost $2,122,516)		     2,122,516    
        Total Investment Securities
(Cost $47,911,781) — 99.0%		     49,479,794    
        Other assets less liabilities — 1.0%     517,733    
        Net Assets — 100.0%   $ 49,997,527    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $7,350,856.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 4,197,576    
Aggregate gross unrealized depreciation     (2,800,014 )  
Net unrealized appreciation   $ 1,397,562    
Federal income tax cost of investments   $ 48,082,232    

 

See accompanying notes to the financial statements.

58 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  RXL  Ultra Health Care

Swap Agreements

Ultra Health Care had the following open swap agreements as of November 30, 2010:

    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		   $ 19,235,561     $ 550,251    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Health CareSM Index     7,822,229       (320,118 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Health CareSM Index     12,519,252       750,281    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Health CareSM Index     13,968,338       (516,152 )  
        $ 464,262    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 59


  Ultra Industrials  UXI

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 37.1%  
  4,005     3M Co. (Industrial
Conglomerates)		     1.3 %   $ 336,340    
  3,885     Accenture plc, Class A
(IT Services)		     0.6 %     168,298    
  2,144     Agilent Technologies, Inc.*
(Electronic Equipment,
Instruments &
Components)		     0.3 %     75,083    
  1,066     Amphenol Corp., Class A
(Electronic Equipment,
Instruments &
Components)		     0.2 %     53,332    
  3,074     Automatic Data Processing,
Inc. (IT Services)		     0.5 %     137,008    
  4,012     Boeing Co. (The)
(Aerospace & Defense)		     1.0 %     255,845    
  1,018     C.H. Robinson Worldwide,
Inc. (Air Freight & Logistics)		     0.3 %     75,037    
  3,493     Caterpillar, Inc. (Machinery)     1.1 %     295,508    
  1,021     Cooper Industries plc
(Electrical Equipment)		     0.2 %     55,645    
  2,329     CSX Corp. (Road & Rail)     0.5 %     141,626    
  1,106     Cummins, Inc. (Machinery)     0.4 %     107,415    
  3,098     Danaher Corp. (Machinery)     0.5 %     133,988    
  2,585     Deere & Co. (Machinery)     0.7 %     193,099    
  1,143     Dover Corp. (Machinery)     0.2 %     62,648    
  1,032     Eaton Corp. (Machinery)     0.4 %     99,485    
  4,632     Emerson Electric Co.
(Electrical Equipment)		     1.0 %     255,084    
  1,311     Expeditors International of
Washington, Inc.
(Air Freight & Logistics)		     0.3 %     69,352    
  1,783     FedEx Corp. (Air Freight &
Logistics)		     0.6 %     162,467    
  918     Fiserv, Inc.* (IT Services)     0.2 %     50,765    
  1,097     Fluor Corp. (Construction &
Engineering)		     0.2 %     63,440    
  932     Fortune Brands, Inc.
(Household Durables)		     0.2 %     55,072    
  1,950     General Dynamics Corp.
(Aerospace & Defense)		     0.5 %     128,875    
  65,490     General Electric Co.
(Industrial Conglomerates)		     3.9 %     1,036,707    
  765     Goodrich Corp.
(Aerospace & Defense)		     0.2 %     65,614    
  4,281     Honeywell International, Inc.
(Aerospace & Defense)		     0.8 %     212,809    
  2,634     Illinois Tool Works, Inc.
(Machinery)		     0.5 %     125,457    
  1,950     Ingersoll-Rand plc
(Machinery)		     0.3 %     79,950    
  1,121     ITT Corp. (Aerospace &
Defense)		     0.2 %     51,566    
  626     Joy Global, Inc. (Machinery)     0.2 %     47,776    
  701     L-3 Communications
Holdings, Inc.
(Aerospace & Defense)		     0.2 %     49,301    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  1,773     Lockheed Martin Corp.
(Aerospace & Defense)		     0.5 %   $ 120,635    
  2,251     Norfolk Southern Corp.
(Road & Rail)		     0.5 %     135,443    
  1,679     Northrop Grumman Corp.
(Aerospace & Defense)		     0.4 %     103,561    
  2,229     PACCAR, Inc. (Machinery)     0.4 %     120,054    
  988     Parker Hannifin Corp.
(Machinery)		     0.3 %     79,267    
  1,988     Paychex, Inc. (IT Services)     0.2 %     56,738    
  870     Precision Castparts Corp.
(Aerospace & Defense)		     0.4 %     120,121    
  2,296     Raytheon Co. (Aerospace &
Defense)		     0.4 %     106,190    
  1,920     Republic Services, Inc.
(Commercial Services &
Supplies)		     0.2 %     54,029    
  866     Rockwell Automation, Inc.
(Electrical Equipment)		     0.2 %     57,260    
  969     Rockwell Collins, Inc.
(Aerospace & Defense)		     0.2 %     54,322    
  2,746     Tyco Electronics Ltd.
(Electronic Equipment,
Instruments &
Components)		     0.3 %     83,533    
  3,055     Tyco International Ltd.
(Industrial Conglomerates)		     0.4 %     115,754    
  3,053     Union Pacific Corp.
(Road & Rail)		     1.0 %     275,106    
  4,385     United Parcel Service, Inc.,
Class B (Air Freight &
Logistics)		     1.1 %     307,520    
  5,309     United Technologies Corp.
(Aerospace & Defense)		     1.5 %     399,608    
  365     W.W. Grainger, Inc. (Trading
Companies & Distributors)		     0.2 %     45,599    
  2,738     Waste Management, Inc.
(Commercial Services &
Supplies)		     0.4 %     93,777    
  3,272     Weyerhaeuser Co. (Paper &
Forest Products)		     0.2 %     54,610    
  95,534     Other Common Stocks     10.8 %     2,890,494    
        Total Common Stocks
(Cost $8,881,297)		         9,918,213    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 18.1%		  
        Federal Home Loan Bank,              
$ 1,857,465     0.07%, due 12/01/10           1,857,465    
  2,991,659     0.09%, due 12/06/10           2,991,659    
        Total U.S. Government & Agency
Securities (Cost $4,849,124)		           4,849,124    

 

See accompanying notes to the financial statements.

60 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UXI  Ultra Industrials

Principal
Amount		  
 
  Value  
    Repurchase Agreements (a)(b) — 41.6%  
$ 11,140,830     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $11,140,976		       $ 11,140,830    
    Total Repurchase Agreements
(Cost $11,140,830)		         11,140,830    
    Total Investment Securities
(Cost $24,871,251) — 96.8%		         25,908,167    
    Other assets less liabilities — 3.2%         857,477    
    Net Assets — 100.0%       $ 26,765,644    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $10,290,004.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation   $ 1,772,474    
Aggregate gross unrealized depreciation     (787,435 )  
Net unrealized appreciation   $ 985,039    
Federal income tax cost of investments   $ 24,923,128    

Swap Agreements

Ultra Industrials had the following open swap agreements as of November 30, 2010:

    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		   $ 1,926,216     $ 1,165,376    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index     33,603,359       (606,854 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. IndustrialsSM Index		     4,975,032       81,033    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index     3,164,167       238,851    
        $ 878,406    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 61


  Ultra Industrials  UXI

Ultra Industrials invested, as a percentage of net assets, in the following industries as of November 30, 2010:

Aerospace & Defense     6.7 %  
Air Freight & Logistics     2.4 %  
Building Products     0.3 %  
Chemicals     0.3 %  
Commercial Services & Supplies     1.3 %  
Communications Equipment     0.1 %  
Construction & Engineering     0.9 %  
Construction Materials     0.2 %  
Containers & Packaging     0.9 %  
Diversified Consumer Services     0.0 %  
Diversified Financial Services     0.0 %  
Electrical Equipment     2.3 %  
Electronic Equipment, Instruments & Components     1.8 %  
Energy Equipment & Services     0.1 %  
Household Durables     0.2 %  
Industrial Conglomerates     5.8 %  
Internet Software & Services     0.1 %  
IT Services     2.3 %  
Life Sciences Tools & Services     0.2 %  
Machinery     6.9 %  
Marine     0.1 %  
Metals & Mining     0.0 %  
Multi-Utilities     0.1 %  
Office Electronics     0.1 %  
Oil, Gas & Consumable Fuels     0.1 %  
Paper & Forest Products     0.3 %  
Professional Services     0.4 %  
Road & Rail     2.5 %  
Semiconductors & Semiconductor Equipment     0.0 %  
Software     0.1 %  
Trading Companies & Distributors     0.6 %  
Other1     62.9 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

62 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)



  DIG  Ultra Oil & Gas

Shares     Value  
    Common Stocks (a) — 62.1%  
    Energy Equipment & Services — 14.3%  
  8,025     Atwood Oceanics, Inc.*   $ 285,690    
  61,321     Baker Hughes, Inc.     3,198,503    
  4,903     Bristow Group, Inc.*     215,291    
  35,087     Cameron International Corp.*     1,688,036    
  2,877     CARBO Ceramics, Inc.     279,500    
  10,532     Complete Production Services, Inc.*     299,635    
  6,428     Core Laboratories N.V.     550,237    
  9,443     Diamond Offshore Drilling, Inc.     611,529    
  11,797     Dresser-Rand Group, Inc.*     447,460    
  4,440     Dril-Quip, Inc.*     343,834    
  9,007     Exterran Holdings, Inc.*     204,189    
  17,309     FMC Technologies, Inc.*     1,458,110    
  15,784     Global Industries Ltd.*     98,334    
  130,757     Halliburton Co.     4,947,845    
  15,055     Helix Energy Solutions Group, Inc.*     211,222    
  13,941     Helmerich & Payne, Inc.     632,364    
  18,112     Key Energy Services, Inc.*     186,554    
  40,997     Nabors Industries Ltd.*     905,624    
  60,253     National Oilwell Varco, Inc.     3,692,906    
  37,083     Noble Corp.     1,257,855    
  7,810     Oceaneering International, Inc.*     539,671    
  7,212     Oil States International, Inc.*     427,888    
  16,580     Parker Drilling Co.*     66,320    
  22,282     Patterson-UTI Energy, Inc.     439,847    
  22,905     Pride International, Inc.*     712,345    
  16,415     Rowan Cos., Inc.*     494,912    
  196,609     Schlumberger Ltd.     15,205,740    
  3,053     SEACOR Holdings, Inc.*     332,777    
  11,327     Superior Energy Services, Inc.*     378,208    
  10,846     Tetra Technologies, Inc.*     119,306    
  7,434     Tidewater, Inc.     364,935    
  46,098     Transocean Ltd.*     3,089,949    
  6,789     Unit Corp.*     271,356    
  106,785     Weatherford International Ltd.*     2,179,482    
      46,137,454    
    Gas Utilities — 0.1%  
  10,440     Energen Corp.     454,871    
    Machinery — 0.0%  
  4,135     Chart Industries, Inc.*     130,790    
    Multi-Utilities — 0.2%  
  14,010     OGE Energy Corp.     623,585    
    Oil, Gas & Consumable Fuels — 47.1%  
  71,278     Anadarko Petroleum Corp.     4,573,196    
  54,991     Apache Corp.     5,919,231    
  11,241     Atlas Energy, Inc.*     482,801    
  6,849     Berry Petroleum Co., Class A     261,015    
  5,949     Bill Barrett Corp.*     228,739    

 

Shares     Value  
    Common Stocks (a) (continued)  
  16,770     Brigham Exploration Co.*   $ 421,765    
  14,978     Cabot Oil & Gas Corp.     523,781    
  4,441     Carrizo Oil & Gas, Inc.*     128,878    
  93,321     Chesapeake Energy Corp.     1,970,940    
  288,851     Chevron Corp.     23,388,265    
  12,082     Cimarex Energy Co.     973,084    
  6,616     Comstock Resources, Inc.*     162,092    
  12,442     Concho Resources, Inc.*     1,029,576    
  199,863     ConocoPhillips     12,025,757    
  4,508     Continental Resources, Inc.*     240,953    
  57,347     Denbury Resources, Inc.*     1,042,568    
  59,140     Devon Energy Corp.     4,173,510    
  101,636     El Paso Corp.     1,371,070    
  36,294     EOG Resources, Inc.     3,228,351    
  21,502     EQT Corp.     870,186    
  24,631     EXCO Resources, Inc.     457,398    
  735,935     Exxon Mobil Corp.     51,191,639    
  16,183     Forest Oil Corp.*     553,782    
  14,915     Frontier Oil Corp.     231,630    
  42,552     Hess Corp.     2,980,768    
  6,413     Holly Corp.     230,483    
  102,341     Marathon Oil Corp.     3,425,353    
  27,335     Murphy Oil Corp.     1,845,659    
  19,232     Newfield Exploration Co.*     1,285,275    
  24,978     Noble Energy, Inc.     2,029,463    
  116,699     Occidental Petroleum Corp.     10,289,351    
  6,555     Penn Virginia Corp.     103,962    
  43,334     Petrohawk Energy Corp.*     772,645    
  13,288     Pioneer Natural Resources Co.     1,064,502    
  20,068     Plains Exploration & Production Co.*     575,149    
  25,222     QEP Resources, Inc.     886,049    
  17,225     Quicksilver Resources, Inc.*     244,940    
  22,977     Range Resources Corp.     964,804    
  53,921     SandRidge Energy, Inc.*     278,232    
  9,064     SM Energy Co.     450,390    
  16,756     Southern Union Co.     395,609    
  49,869     Southwestern Energy Co.*     1,805,258    
  17,382     Sunoco, Inc.     697,713    
  5,455     Swift Energy Co.*     199,053    
  20,205     Tesoro Corp.*     329,746    
  21,893     Ultra Petroleum Corp.*     1,028,752    
  81,084     Valero Energy Corp.     1,579,516    
  8,464     Whiting Petroleum Corp.*     931,463    
  84,253     Williams Cos., Inc. (The)     1,921,811    
      151,766,153    
    Semiconductors & Semiconductor
Equipment — 0.4%		  
  7,913     First Solar, Inc.*     972,112    
  7,988     SunPower Corp., Class A*     93,140    
  6,060     SunPower Corp., Class B*     69,539    
      1,134,791    
        Total Common Stocks
(Cost $189,614,690)		     200,247,644    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 63


  Ultra Oil & Gas  DIG

Principal
Amount 
 
 
Value		  
    U.S. Government & Agency
Securities (a) — 7.4%		  
    Federal Home Loan Bank        
$ 7,752,965     0.07%, due 12/01/10   $ 7,752,965    
  16,199,826     0.09%, due 12/06/10     16,199,826    
    Total U.S. Government & Agency
Securities (Cost $23,952,791)		     23,952,791    
    Repurchase Agreements (a)(b) — 17.1%  
  55,266,825     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $55,267,579		     55,266,825    
    Total Repurchase Agreements
(Cost $55,266,825)		     55,266,825    
    Total Investment Securities
(Cost $268,834,306) — 86.6%		     279,467,260    
    Other assets less liabilities — 13.4%     43,068,919    
    Net Assets — 100.0%   $ 322,536,179    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $123,169,130.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 16,932,386    
Aggregate gross unrealized depreciation     (6,999,334 )  
Net unrealized appreciation   $ 9,933,052    
Federal income tax cost of investments   $ 269,534,208    

 

Swap Agreements

Ultra Oil & Gas had the following open swap agreements as of November 30, 2010:

    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		   $ 12,042,666     $ 17,394    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     31,075,625       (228,576 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     25,917,101       52,827    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Oil & GasSM Index		     220,083,067       26,384,133    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Oil & GasSM Index		     17,654,115       (213,275 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     98,433,179       11,290,948    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     40,130,800       4,820,676    
        $ 42,124,127    

See accompanying notes to the financial statements.

64 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  URE  Ultra Real Estate

Shares     Value  
    Common Stocks (a) — 62.1%  
    Real Estate Investment Trusts — 58.7%  
  48,953     Alexandria Real Estate
Equities, Inc.		   $ 3,267,613    
  164,643     AMB Property Corp.     4,804,283    
  63,349     American Campus
Communities, Inc.		     1,991,693    
  606,697     Annaly Capital Management, Inc.     11,035,818    
  114,406     Apartment Investment &
Management Co., Class A		     2,759,473    
  83,379     AvalonBay Communities, Inc.     9,199,205    
  125,843     BioMed Realty Trust, Inc.     2,218,612    
  135,680     Boston Properties, Inc.     11,369,984    
  128,628     Brandywine Realty Trust     1,422,626    
  62,449     BRE Properties, Inc.     2,689,678    
  65,577     Camden Property Trust     3,349,017    
  134,970     CBL & Associates Properties, Inc.     2,227,005    
  987,037     Chimera Investment Corp.     3,948,148    
  69,732     Colonial Properties Trust     1,255,176    
  70,585     CommonWealth REIT     1,766,743    
  64,060     Corporate Office Properties Trust     2,172,275    
  206,735     DCT Industrial Trust, Inc.     1,021,271    
  184,997     Developers Diversified Realty Corp.     2,373,512    
  151,327     DiamondRock Hospitality Co.*     1,593,473    
  85,239     Digital Realty Trust, Inc.     4,476,752    
  118,917     Douglas Emmett, Inc.     1,985,914    
  241,655     Duke Realty Corp.     2,689,620    
  57,996     DuPont Fabros Technology, Inc.     1,310,130    
  26,382     EastGroup Properties, Inc.     1,051,850    
  45,509     Entertainment Properties Trust     2,107,067    
  29,730     Equity Lifestyle Properties, Inc.     1,601,852    
  277,011     Equity Residential     13,845,010    
  29,477     Essex Property Trust, Inc.     3,267,231    
  59,634     Federal Realty Investment Trust     4,615,075    
  70,509     Franklin Street Properties Corp.     904,630    
  43,051     Hatteras Financial Corp.     1,333,720    
  301,544     HCP, Inc.     9,929,844    
  120,436     Health Care REIT, Inc.     5,573,778    
  62,309     Healthcare Realty Trust, Inc.     1,286,058    
  70,093     Highwoods Properties, Inc.     2,138,537    
  36,710     Home Properties, Inc.     1,967,289    
  120,798     Hospitality Properties Trust     2,672,052    
  644,400     Host Hotels & Resorts, Inc.     10,619,712    
  51,203     Kilroy Realty Corp.     1,747,046    
  393,325     Kimco Realty Corp.     6,552,794    
  68,335     LaSalle Hotel Properties     1,626,373    
  106,614     Lexington Realty Trust     836,920    
  110,883     Liberty Property Trust     3,475,073    
  127,012     Macerich Co. (The)     5,885,736    
  77,537     Mack-Cali Realty Corp.     2,461,800    
  274,492     MFA Financial, Inc.     2,237,110    

 

Shares     Value  
    Common Stocks (a) (continued)  
  32,109     Mid-America Apartment
Communities, Inc.		   $ 1,970,529    
  81,564     National Retail Properties, Inc.     2,121,480    
  121,165     Nationwide Health Properties, Inc.     4,367,998    
  91,031     Omega Healthcare Investors, Inc.     1,921,664    
  159,392     Plum Creek Timber Co., Inc.     5,744,488    
  47,438     Post Properties, Inc.     1,616,213    
  39,114     Potlatch Corp.     1,239,132    
  541,609     ProLogis     7,046,333    
  138,064     Public Storage     13,336,982    
  77,809     Rayonier, Inc.     3,965,147    
  102,083     Realty Income Corp.     3,475,926    
  68,251     Redwood Trust, Inc.     943,911    
  80,075     Regency Centers Corp.     3,260,654    
  124,307     Senior Housing Properties Trust     2,775,775    
  286,680     Simon Property Group, Inc.     28,237,980    
  76,323     SL Green Realty Corp.     4,991,524    
  115,234     Sunstone Hotel Investors, Inc.*     1,097,028    
  39,437     Tanger Factory Outlet Centers     1,892,187    
  53,443     Taubman Centers, Inc.     2,593,589    
  158,770     UDR, Inc.     3,540,571    
  153,228     Ventas, Inc.     7,856,000    
  176,387     Vornado Realty Trust     14,389,651    
  61,156     Washington Real Estate
Investment Trust		     1,876,266    
  117,099     Weingarten Realty Investors     2,775,246    
      291,700,852    
    Real Estate Management &
Development — 3.4%		  
  253,615     Brookfield Properties Corp.     4,100,954    
  287,874     CB Richard Ellis Group, Inc.,
Class A*		     5,524,302    
  118,276     Forest City Enterprises, Inc.,
Class A*		     1,815,537    
  34,959     Forestar Group, Inc.*     629,961    
  41,156     Jones Lang LaSalle, Inc.     3,285,072    
  89,795     St. Joe Co. (The)*     1,580,392    
      16,936,218    
        Total Common Stocks
(Cost $281,529,520)		     308,637,070    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 9.7%		  
        Federal Home Loan Bank        
$ 15,936,815     0.07%, due 12/01/10     15,936,815    
  32,500,881     0.09%, due 12/06/10     32,500,881    
        Total U.S. Government & Agency
Securities (Cost $48,437,696)		     48,437,696    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 65


  Ultra Real Estate  URE

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 22.5%  
$ 111,718,587     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $111,720,108		   $ 111,718,587    
    Total Repurchase Agreements
(Cost $111,718,587)		     111,718,587    
    Total Investment Securities
(Cost $441,685,803) — 94.3%		     468,793,353    
    Other assets less liabilities — 5.7%     28,279,911    
    Net Assets — 100.0%   $ 497,073,264    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $218,642,259.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 23,159,810    
Aggregate gross unrealized depreciation     (3,451,021 )  
Net unrealized appreciation   $ 19,708,789    
Federal income tax cost of investments   $ 449,084,564    

Swap Agreements

Ultra Real Estate had the following open swap agreements as of November 30, 2010:

    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		   $ 107,407,433     $ 19,546,456    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index     82,702,121       (137,565 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Real EstateSM Index		     53,007,151       (6,123,467 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Real EstateSM Index		     63,516,481       6,304,397    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Real EstateSM Index		     62,670,989       18,083,076    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index     208,956,504       (5,233,693 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Real EstateSM Index     108,253,874       (4,437,016 )  
          $ 28,002,188    

See accompanying notes to the financial statements.

66 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  KRU  Ultra KBW Regional Banking

Shares     Value  
    Common Stocks (a) — 77.4%  
    Commercial Banks — 73.1%  
  8,777     Associated Banc-Corp   $ 112,302    
  3,408     BancorpSouth, Inc.     43,793    
  2,148     Bank of Hawaii Corp.     93,008    
  1,587     BOK Financial Corp.     74,113    
  16,713     Boston Private Financial
Holdings, Inc.		     89,749    
  9,897     Cathay General Bancorp     133,708    
  2,334     City Holding Co.     74,851    
  1,914     City National Corp./CA     102,820    
  4,995     Columbia Banking System, Inc.     87,113    
  4,295     Community Bank System, Inc.     103,424    
  12,698     CVB Financial Corp.     99,933    
  6,863     East West Bancorp, Inc.     119,004    
  10,363     First Commonwealth
Financial Corp.		     64,251    
  6,442     First Financial Bancorp     106,422    
  5,556     First Horizon National Corp.*     53,171    
  9,291     First Midwest Bancorp, Inc./IL     87,057    
  6,023     FirstMerit Corp.     104,951    
  14,006     FNB Corp./PA     122,833    
  13,725     Fulton Financial Corp.     118,721    
  5,229     Glacier Bancorp, Inc.     69,702    
  1,821     Hancock Holding Co.     57,362    
  1,400     Iberiabank Corp.     70,574    
  5,416     MB Financial, Inc.     77,070    
  11,437     National Penn Bancshares, Inc.     76,742    
  8,264     Old National Bancorp/IN     85,202    
  4,995     PacWest Bancorp     84,915    
  6,536     Pinnacle Financial Partners, Inc.*     64,249    
  4,483     PrivateBancorp, Inc.     54,513    
  2,195     Prosperity Bancshares, Inc.     71,425    
  3,455     S&T Bancorp, Inc.     67,787    
  2,988     Signature Bank/NY*     131,323    
  13,306     Sterling Bancshares, Inc./TX     78,971    
  10,363     Susquehanna Bancshares, Inc.     83,422    
  2,334     SVB Financial Group*     104,867    
  38,842     Synovus Financial Corp.     78,849    
  4,949     TCF Financial Corp.     67,356    
  5,883     Texas Capital Bancshares, Inc.*     111,071    
  3,781     Trustmark Corp.     80,686    
  1,633     UMB Financial Corp.     60,911    
  8,730     Umpqua Holdings Corp.     92,451    
  3,221     United Bankshares, Inc.     84,422    
  6,863     Valley National Bancorp     87,160    
  4,762     Webster Financial Corp.     78,573    
  1,260     Westamerica Bancorp.     61,589    
  9,477     Whitney Holding Corp./LA     88,989    
  6,629     Wilmington Trust Corp.     25,986    
  2,894     Wintrust Financial Corp.     82,913    
      3,970,304    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Thrifts & Mortgage Finance — 4.3%  
  7,703     Brookline Bancorp, Inc.   $ 75,721    
  5,088     Hudson City Bancorp, Inc.     57,749    
  7,330     Provident Financial Services, Inc.     101,007    
      234,477    
        Total Common Stocks
(Cost $4,844,416)		     4,204,781    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 10.5%		  
        Federal Home Loan Bank        
$ 229,251     0.07%, due 12/01/10     229,251    
  341,334     0.09%, due 12/06/10     341,334    
        Total U.S. Government & Agency
Securities (Cost $570,585)		     570,585    
    Repurchase Agreements (a)(b) — 24.1%  
  1,309,145     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,309,162		     1,309,145    
        Total Repurchase Agreements
(Cost $1,309,145)		     1,309,145    
        Total Investment Securities
(Cost $6,724,146) — 112.0%		     6,084,511    
        Liabilities in excess of
other assets — (12.0%)		     (651,177 )  
        Net Assets — 100.0%   $ 5,433,334    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $3,844,674.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 46,042    
Aggregate gross unrealized depreciation     (807,559 )  
Net unrealized depreciation   $ (761,517 )  
Federal income tax cost of investments   $ 6,846,028    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 67


  Ultra KBW Regional Banking  KRU

Swap Agreements

Ultra KBW Regional Banking had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Deutsche Bank AG, based on the KBW Regional BankingSM Index   $ 684,384     $ (123,676 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the KBW Regional BankingSM Index     1,712,578       (94,565 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the KBW Regional
BankingSM Index		     3,632,613       (353,312 )  
Equity Index Swap Agreement with UBS AG, based on the KBW Regional BankingSM Index     629,570       (73,241 )  
          $ (644,794 )  

See accompanying notes to the financial statements.

68 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  USD  Ultra Semiconductors

Shares     Value  
    Common Stocks (a) — 44.7%  
    Communications Equipment — 0.2%  
  3,574     InterDigital, Inc.*   $ 118,192    
    Computers & Peripherals — 1.3%  
  19,081     SanDisk Corp.*     851,013    
    Semiconductors & Semiconductor
Equipment — 43.2%		  
  45,938     Advanced Micro Devices, Inc.*     334,888    
  25,153     Altera Corp.     882,619    
  8,275     Amkor Technology, Inc.*     57,594    
  24,371     Analog Devices, Inc.     866,633    
  109,839     Applied Materials, Inc.     1,365,299    
  5,426     Applied Micro Circuits Corp.*     50,353    
  5,727     Atheros Communications, Inc.*     186,471    
  37,715     Atmel Corp.*     391,859    
  2,570     ATMI, Inc.*     46,132    
  36,700     Broadcom Corp., Class A     1,632,783    
  1,919     Cabot Microelectronics Corp.*     75,743    
  8,011     Cree, Inc.*     522,157    
  2,287     Cymer, Inc.*     87,066    
  13,111     Cypress Semiconductor Corp.*     205,449    
  10,155     Fairchild Semiconductor
International, Inc.*		     142,678    
  4,040     Formfactor, Inc.*     37,491    
  12,978     Integrated Device Technology, Inc.*     83,449    
  455,352     Intel Corp.     9,617,034    
  5,837     International Rectifier Corp.*     165,537    
  10,009     Intersil Corp., Class A     127,615    
  13,741     KLA-Tencor Corp.     503,882    
  10,346     Lam Research Corp.*     468,984    
  16,878     Linear Technology Corp.     550,223    
  52,545     LSI Corp.*     301,608    
  44,012     Marvell Technology Group Ltd.*     848,991    
  24,425     Maxim Integrated Products, Inc.     567,881    
  18,615     MEMC Electronic Materials, Inc.*     215,376    
  14,892     Microchip Technology, Inc.     500,520    
  81,391     Micron Technology, Inc.*     590,899    
  6,791     Microsemi Corp.*     150,353    
  19,349     National Semiconductor Corp.     258,309    
  4,678     Netlogic Microsystems, Inc.*     145,954    
  7,522     Novellus Systems, Inc.*     226,788    
  46,583     NVIDIA Corp.*     633,529    
  4,358     Omnivision Technologies, Inc.*     123,288    
  34,807     ON Semiconductor Corp.*     283,851    
  18,623     PMC-Sierra, Inc.*     135,017    
  9,169     Rambus, Inc.*     183,472    
  22,192     RF Micro Devices, Inc.*     155,566    
  5,050     Semtech Corp.*     118,119    
  3,650     Silicon Laboratories, Inc.*     155,052    
  14,451     Skyworks Solutions, Inc.*     367,778    

 

Shares     Value  
    Common Stocks (a) (continued)  
  14,756     Teradyne, Inc.*   $ 175,006    
  4,111     Tessera Technologies, Inc.*     81,850    
  97,844     Texas Instruments, Inc.     3,111,439    
  12,708     TriQuint Semiconductor, Inc.*     151,352    
  6,088     Varian Semiconductor Equipment
Associates, Inc.*		     191,955    
  21,186     Xilinx, Inc.     574,564    
  4,065     Zoran Corp.*     27,967    
      28,678,423    
        Total Common Stocks
(Cost $27,186,127)		     29,647,628    
Principal
Amount		  
 
 
    U.S. Government & Agency
Securities (a) — 14.4%		  
        Federal Home Loan Bank        
$ 3,072,174     0.07%, due 12/01/10     3,072,174    
  6,453,718     0.09%, due 12/06/10     6,453,718    
        Total U.S. Government & Agency
Securities (Cost $9,525,892)		     9,525,892    
    Repurchase Agreements (a)(b) — 33.1%  
  21,981,154     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $21,981,455		     21,981,154    
        Total Repurchase Agreements
(Cost $21,981,154)		     21,981,154    
        Total Investment Securities
(Cost $58,693,173) — 92.2%		     61,154,674    
        Other assets less liabilities — 7.8%     5,168,894    
        Net Assets — 100.0%   $ 66,323,568    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $20,808,124.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 3,252,041    
Aggregate gross unrealized depreciation     (1,016,838 )  
Net unrealized appreciation   $ 2,235,203    
Federal income tax cost of investments   $ 58,919,471    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 69


  Ultra Semiconductors  USD

Swap Agreements

Ultra Semiconductors had the following open swap agreements as of November 30, 2010:

    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		   $ 15,071,187     $ 1,398,221    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. SemiconductorsSM Index		     13,497,753       29,592    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. SemiconductorsSM Index		     7,640,884       742,030    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. SemiconductorsSM Index		     18,112,453       1,181,188    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. SemiconductorsSM Index     32,655,770       2,124,404    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. SemiconductorsSM Index     16,302,326       (171,901 )  
          $ 5,303,534    

See accompanying notes to the financial statements.

70 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  ROM  Ultra Technology

Shares     Value  
    Common Stocks (a) — 73.4%  
    Commercial Services & Supplies — 0.2%  
  11,213     Pitney Bowes, Inc.   $ 246,013    
    Communications Equipment — 9.3%  
  3,366     ADTRAN, Inc.     104,817    
  6,851     Arris Group, Inc.*     68,579    
  23,990     Brocade Communications
Systems, Inc.*		     119,470    
  5,004     Ciena Corp.*     75,811    
  311,642     Cisco Systems, Inc.*     5,971,061    
  1,521     Comtech Telecommunications Corp.     45,113    
  4,362     Emulex Corp.*     49,378    
  4,246     F5 Networks, Inc.*     559,962    
  5,365     Harmonic, Inc.*     36,267    
  7,063     Harris Corp.     312,467    
  2,360     InterDigital, Inc.*     78,045    
  11,775     JDS Uniphase Corp.*     139,769    
  28,528     Juniper Networks, Inc.*     970,523    
  116,071     Motorola, Inc.*     889,104    
  2,578     Plantronics, Inc.     92,215    
  4,605     Polycom, Inc.*     170,408    
  86,732     QUALCOMM, Inc.     4,053,854    
  7,678     Riverbed Technology, Inc.*     260,361    
  11,281     Sonus Networks, Inc.*     30,233    
  3,690     Tekelec*     45,571    
  19,112     Tellabs, Inc.     120,597    
      14,193,605    
    Computers & Peripherals — 17.7%  
  48,996     Apple, Inc.*     15,245,105    
  93,243     Dell, Inc.*     1,232,672    
  3,580     Diebold, Inc.     112,484    
  2,446     Electronics for Imaging, Inc.*     32,018    
  110,213     EMC Corp.*     2,368,477    
  126,706     Hewlett-Packard Co.     5,312,783    
  2,629     Intermec, Inc.*     29,734    
  4,238     Lexmark International, Inc., Class A*     153,585    
  8,632     NCR Corp.*     124,214    
  19,205     NetApp, Inc.*     978,111    
  5,903     QLogic Corp.*     105,605    
  12,591     SanDisk Corp.*     561,559    
  25,494     Seagate Technology plc*     341,875    
  1,809     Synaptics, Inc.*     51,556    
  12,354     Western Digital Corp.*     413,859    
      27,063,637    
    Electronic Equipment, Instruments &
Components — 1.2%		  
  3,805     Brightpoint, Inc.*     31,201    
  84,521     Corning, Inc.     1,492,641    
  8,467     Ingram Micro, Inc., Class A*     151,136    

 

Shares     Value  
    Common Stocks (a) (continued)  
  2,498     Insight Enterprises, Inc.*   $ 31,499    
  2,740     Tech Data Corp.*     120,752    
      1,827,229    
    Health Care Technology — 0.4%  
  9,064     Allscripts Healthcare Solutions, Inc.*     159,073    
  1,789     athenahealth, Inc.*     73,367    
  3,746     Cerner Corp.*     329,124    
  992     Quality Systems, Inc.     63,974    
      625,538    
    Internet Software & Services — 6.6%  
  9,813     Akamai Technologies, Inc.*     512,140    
  5,735     AOL, Inc.*     138,672    
  2,142     Digital River, Inc.*     78,868    
  5,829     Earthlink, Inc.     52,257    
  2,445     Equinix, Inc.*     189,732    
  13,187     Google, Inc., Class A*     7,328,148    
  4,054     IAC/InterActiveCorp*     114,161    
  2,411     j2 Global Communications, Inc.*     64,567    
  5,599     Rackspace Hosting, Inc.*     163,323    
  2,175     SAVVIS, Inc.*     54,658    
  4,706     United Online, Inc.     29,954    
  9,407     VeriSign, Inc.*     322,754    
  68,317     Yahoo!, Inc.*     1,077,359    
      10,126,593    
    IT Services — 8.2%  
  10,215     Amdocs Ltd.*     265,590    
  1,622     CACI International, Inc., Class A*     81,635    
  16,177     Cognizant Technology Solutions
Corp., Class A*		     1,051,182    
  8,299     Computer Sciences Corp.     370,384    
  1,838     CSG Systems International, Inc.*     34,591    
  2,015     DST Systems, Inc.     86,363    
  4,037     Gartner, Inc.*     129,870    
  68,146     International Business
Machines Corp.		     9,639,933    
  20,530     SAIC, Inc.*     314,520    
  2,347     SRA International, Inc., Class A*     46,048    
  9,007     Teradata Corp.*     370,098    
  2,079     Unisys Corp.*     47,006    
  4,618     VeriFone Systems, Inc.*     160,476    
      12,597,696    
    Office Electronics — 0.5%  
  74,497     Xerox Corp.     853,736    
    Semiconductors & Semiconductor
Equipment — 12.4%		  
  30,317     Advanced Micro Devices, Inc.*     221,011    
  16,601     Altera Corp.     582,529    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 71


  Ultra Technology  ROM

Shares     Value  
    Common Stocks (a) (continued)  
  5,460     Amkor Technology, Inc.*   $ 38,002    
  16,082     Analog Devices, Inc.     571,876    
  72,491     Applied Materials, Inc.     901,063    
  3,580     Applied Micro Circuits Corp.*     33,222    
  3,776     Atheros Communications, Inc.*     122,947    
  24,891     Atmel Corp.*     258,618    
  1,695     ATMI, Inc.*     30,425    
  24,223     Broadcom Corp., Class A     1,077,681    
  1,267     Cabot Microelectronics Corp.*     50,008    
  5,290     Cree, Inc.*     344,802    
  1,512     Cymer, Inc.*     57,562    
  8,651     Cypress Semiconductor Corp.*     135,561    
  6,704     Fairchild Semiconductor
International, Inc.*		     94,191    
  2,667     Formfactor, Inc.*     24,750    
  8,566     Integrated Device Technology, Inc.*     55,079    
  300,515     Intel Corp.     6,346,877    
  3,852     International Rectifier Corp.*     109,243    
  6,604     Intersil Corp., Class A     84,201    
  9,067     KLA-Tencor Corp.     332,487    
  6,831     Lam Research Corp.*     309,649    
  11,140     Linear Technology Corp.     363,164    
  34,678     LSI Corp.*     199,052    
  29,047     Marvell Technology Group Ltd.*     560,317    
  16,120     Maxim Integrated Products, Inc.     374,790    
  12,282     MEMC Electronic Materials, Inc.*     142,103    
  9,828     Microchip Technology, Inc.     330,319    
  53,716     Micron Technology, Inc.*     389,978    
  4,481     Microsemi Corp.*     99,209    
  12,773     National Semiconductor Corp.     170,520    
  3,089     Netlogic Microsystems, Inc.*     96,377    
  4,963     Novellus Systems, Inc.*     149,634    
  30,741     NVIDIA Corp.*     418,078    
  2,873     Omnivision Technologies, Inc.*     81,277    
  22,973     ON Semiconductor Corp.*     187,345    
  12,293     PMC-Sierra, Inc.*     89,124    
  6,054     Rambus, Inc.*     121,141    
  14,646     RF Micro Devices, Inc.*     102,668    
  3,331     Semtech Corp.*     77,912    
  2,411     Silicon Laboratories, Inc.*     102,419    
  9,539     Skyworks Solutions, Inc.*     242,768    
  9,738     Teradyne, Inc.*     115,493    
  2,712     Tessera Technologies, Inc.*     53,996    
  64,575     Texas Instruments, Inc.     2,053,485    
  8,386     TriQuint Semiconductor, Inc.*     99,877    
  4,019     Varian Semiconductor Equipment
Associates, Inc.*		     126,719    
  13,986     Xilinx, Inc.     379,300    
  2,683     Zoran Corp.*     18,459    
      18,927,308    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Software — 16.8%  
  1,837     ACI Worldwide, Inc.*   $ 46,641    
  28,321     Adobe Systems, Inc.*     785,341    
  876     Advent Software, Inc.*     45,184    
  4,880     ANSYS, Inc.*     236,680    
  4,846     Ariba, Inc.*     98,059    
  12,385     Autodesk, Inc.*     437,067    
  1,846     Blackboard, Inc.*     76,701    
  9,737     BMC Software, Inc.*     432,323    
  22,198     CA, Inc.     508,112    
  14,604     Cadence Design Systems, Inc.*     114,787    
  9,072     Check Point Software
Technologies Ltd.*		     388,917    
  10,037     Citrix Systems, Inc.*     666,658    
  12,289     Compuware Corp.*     126,577    
  2,433     Concur Technologies, Inc.*     124,594    
  2,253     Fair Isaac Corp.     52,608    
  4,959     Informatica Corp.*     204,708    
  15,698     Intuit, Inc.*     704,683    
  2,246     JDA Software Group, Inc.*     59,306    
  8,212     McAfee, Inc.*     384,732    
  5,772     Mentor Graphics Corp.*     64,906    
  4,306     MICROS Systems, Inc.*     188,258    
  415,843     Microsoft Corp.     10,483,402    
  18,657     Novell, Inc.*     111,196    
  13,051     Nuance Communications, Inc.*     230,676    
  206,734     Oracle Corp.     5,590,087    
  6,267     Parametric Technology Corp.*     134,239    
  2,339     Progress Software Corp.*     90,215    
  3,389     Quest Software, Inc.*     85,742    
  10,160     Red Hat, Inc.*     441,960    
  5,573     Rovi Corp.*     307,462    
  6,272     Salesforce.com, Inc.*     873,188    
  3,742     Solera Holdings, Inc.     179,616    
  42,644     Symantec Corp.*     716,419    
  8,083     Synopsys, Inc.*     207,652    
  9,001     TIBCO Software, Inc.*     176,780    
  4,157     VMware, Inc., Class A*     338,879    
  2,132     Websense, Inc.*     44,196    
      25,758,551    
    Wireless Telecommunication Services — 0.1%  
  3,768     Syniverse Holdings, Inc.*     115,150    
        Total Common Stocks
(Cost $104,860,622)		     112,335,056    

 

See accompanying notes to the financial statements.

72 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  ROM  Ultra Technology

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 6.9%		  
        Federal Home Loan Bank        
$ 3,391,346     0.07%, due 12/01/10   $ 3,391,346    
  7,123,432     0.09%, due 12/06/10     7,123,432    
        Total U.S. Government & Agency
Securities (Cost $10,514,778)		     10,514,778    
    Repurchase Agreements (a)(b) — 15.9%  
  24,262,985     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $24,263,318		     24,262,985    
        Total Repurchase Agreements
(Cost $24,262,985)		     24,262,985    
        Total Investment Securities
(Cost $139,638,385) — 96.2%		     147,112,819    
        Other assets less liabilities — 3.8%     5,833,941    
        Net Assets — 100.0%   $ 152,946,760    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $41,382,638.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 15,870,597    
Aggregate gross unrealized depreciation     (13,373,065 )  
Net unrealized appreciation   $ 2,497,532    
Federal income tax cost of investments   $ 144,615,287    

Swap Agreements

Ultra Technology had the following open swap agreements as of November 30, 2010:

    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		   $ 75,635,381     $ 8,216,573    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. TechnologySM Index     44,775,256       (2,608,301 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. TechnologySM Index		     13,209,722       934,025    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. TechnologySM Index		     13,953,456       945,056    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. TechnologySM Index     10,801,163       733,389    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. TechnologySM Index     35,568,861       (2,428,629 )  
          $ 5,792,113    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 73


  Ultra Telecommunications  LTL

Shares     Value  
   
Common Stocks (a) — 47.9%		  
    Diversified Financial Services — 1.6%  
  4,394     Leucadia National Corp.*   $ 114,068    
    Diversified Telecommunication Services — 28.2%  
  996     AboveNet, Inc.*     58,465    
  3,203     Alaska Communications Systems
Group, Inc.		     33,760    
  18,397     AT&T, Inc.     511,253    
  683     Atlantic Tele-Network, Inc.     23,420    
  2,342     Cbeyond, Inc.*     30,868    
  4,464     CenturyLink, Inc.     191,907    
  13,542     Cincinnati Bell, Inc.*     33,043    
  1,804     Consolidated Communications
Holdings, Inc.		     33,230    
  17,593     Frontier Communications Corp.     160,096    
  3,035     General Communication, Inc.,
Class A*		     34,204    
  2,303     Global Crossing Ltd.*     30,791    
  58,257     Level 3 Communications, Inc.*     58,257    
  8,379     PAETEC Holding Corp.*     31,002    
  24,141     Qwest Communications
International, Inc.		     168,987    
  4,345     tw telecom, inc.*     71,606    
  12,307     Verizon Communications, Inc.     393,947    
  9,661     Windstream Corp.     125,979    
      1,990,815    
    Media — 2.1%  
  5,714     Virgin Media, Inc.     145,593    
    Wireless Telecommunication Services — 16.0%  
  4,462     American Tower Corp., Class A*     225,643    
  3,760     Crown Castle International Corp.*     156,190    
  3,609     Leap Wireless International, Inc.*     39,284    
  7,657     MetroPCS Communications, Inc.*     93,033    
  3,204     NII Holdings, Inc.*     124,187    
  1,979     NTELOS Holdings Corp.     33,603    
  2,658     SBA Communications Corp.,
Class A*		     104,061    
  1,718     Shenandoah
Telecommunications Co.		     30,048    
  40,847     Sprint Nextel Corp.*     154,402    
  2,657     Telephone & Data Systems, Inc.     94,802    
  903     United States Cellular Corp.*     41,339    
  1,807     USA Mobility, Inc.     30,755    
      1,127,347    
        Total Common Stocks
(Cost $3,031,566)		     3,377,823    

 

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 15.6%		  
        Federal Home Loan Bank        
$ 612,207     0.07%, due 12/01/10   $ 612,207    
  491,184     0.09%, due 12/06/10     491,184    
        Total U.S. Government & Agency
Securities (Cost $1,103,391)		     1,103,391    
    Repurchase Agreements (a)(b) — 35.5%  
  2,503,651     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,503,679		     2,503,651    
        Total Repurchase Agreements
(Cost $2,503,651)		     2,503,651    
        Total Investment Securities
(Cost $6,638,608) — 99.0%		     6,984,865    
        Other assets less liabilities — 1.0%     67,131    
        Net Assets — 100.0%   $ 7,051,996    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $862,633.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 443,352    
Aggregate gross unrealized depreciation     (98,414 )  
Net unrealized appreciation   $ 344,938    
Federal income tax cost of investments   $ 6,639,927    

 

See accompanying notes to the financial statements.

74 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  LTL  Ultra Telecommunications

Swap Agreements

Ultra Telecommunications had the following open swap agreements as of November 30, 2010:

    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		   $ 2,852,445     $ 316,771    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     2,598,877       (74,229 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     1,323,444       (36,943 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Select TelecommunicationsSM Index     3,932,808       (121,740 )  
          $ 83,859    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 75


  Ultra Utilities  UPW

Shares     Value  
    Common Stocks (a) — 87.6%  
    Commercial Services & Supplies — 0.4%  
  5,152     Covanta Holding Corp.   $ 80,990    
    Electric Utilities — 42.0%  
  6,705     Allegheny Energy, Inc.     153,008    
  1,162     Allete, Inc.     41,054    
  18,871     American Electric Power Co., Inc.     671,808    
  2,391     Cleco Corp.     72,519    
  4,741     DPL, Inc.     120,090    
  51,637     Duke Energy Corp.     906,229    
  11,846     Edison International     437,591    
  1,733     El Paso Electric Co.*     45,647    
  7,394     Entergy Corp.     526,749    
  26,122     Exelon Corp.     1,028,423    
  12,066     FirstEnergy Corp.     423,637    
  5,351     Great Plains Energy, Inc.     99,796    
  3,623     Hawaiian Electric Industries, Inc.     79,308    
  1,904     IDACORP, Inc.     69,153    
  1,985     ITC Holdings Corp.     120,192    
  16,360     NextEra Energy, Inc.     828,143    
  6,932     Northeast Utilities     215,585    
  9,249     NV Energy, Inc.     126,619    
  8,817     Pepco Holdings, Inc.     161,792    
  4,293     Pinnacle West Capital Corp.     173,523    
  3,106     PNM Resources, Inc.     37,210    
  2,974     Portland General Electric Co.     62,960    
  19,056     PPL Corp.     484,213    
  11,581     Progress Energy, Inc.     505,974    
  32,470     Southern Co.     1,224,768    
  1,426     UniSource Energy Corp.     50,152    
  4,373     Westar Energy, Inc.     108,931    
      8,775,074    
    Gas Utilities — 6.4%  
  3,088     AGL Resources, Inc.     113,422    
  3,569     Atmos Energy Corp.     107,320    
  827     Laclede Group, Inc. (The)     29,234    
  2,735     National Fuel Gas Co.     173,290    
  1,646     New Jersey Resources Corp.     70,959    
  1,777     Nicor, Inc.     76,855    
  1,052     Northwest Natural Gas Co.     51,359    
  3,898     Oneok, Inc.     199,227    
  2,666     Piedmont Natural Gas Co., Inc.     78,860    
  6,928     Questar Corp.     115,074    
  1,180     South Jersey Industries, Inc.     60,404    
  1,793     Southwest Gas Corp.     62,809    
  4,308     UGI Corp.     127,818    
  1,984     WGL Holdings, Inc.     71,940    
      1,338,571    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Independent Power Producers &
Energy Traders — 4.9%		  
  31,481     AES Corp. (The)*   $ 340,310    
  13,819     Calpine Corp.*     167,210    
  7,129     Constellation Energy Group, Inc.     202,178    
  4,053     Dynegy, Inc.*     20,630    
  5,707     Mirant Corp.*     56,613    
  10,149     NRG Energy, Inc.*     196,688    
  13,988     RRI Energy, Inc.*     49,238    
      1,032,867    
    Multi-Utilities — 29.5%  
  4,367     Alliant Energy Corp.     158,566    
  9,378     Ameren Corp.     269,336    
  2,154     Avista Corp.     46,031    
  1,535     Black Hills Corp.     46,587    
  15,623     CenterPoint Energy, Inc.     244,187    
  9,088     CMS Energy Corp.     163,311    
  11,107     Consolidated Edison, Inc.     537,246    
  23,317     Dominion Resources, Inc.     968,355    
  6,666     DTE Energy Co.     296,970    
  3,024     Integrys Energy Group, Inc.     147,269    
  10,956     NiSource, Inc.     183,294    
  1,421     NorthWestern Corp.     40,939    
  4,100     NSTAR     169,740    
  15,467     PG&E Corp.     725,866    
  20,126     Public Service Enterprise
Group, Inc.		     620,485    
  4,530     SCANA Corp.     184,009    
  9,121     Sempra Energy     456,871    
  7,983     TECO Energy, Inc.     133,715    
  3,204     Vectren Corp.     82,984    
  4,631     Wisconsin Energy Corp.     278,879    
  18,036     Xcel Energy, Inc.     423,846    
      6,178,486    
    Oil, Gas & Consumable Fuels — 2.9%  
  25,629     Spectra Energy Corp.     609,201    
    Water Utilities — 1.5%  
  6,909     American Water Works Co., Inc.     169,339    
  5,420     Aqua America, Inc.     116,801    
  764     California Water Service Group     28,421    
      314,561    
        Total Common Stocks
(Cost $18,436,433)		     18,329,750    

 

See accompanying notes to the financial statements.

76 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UPW  Ultra Utilities

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 1.6%		  
        Federal Home Loan Bank        
$ 117,764     0.07%, due 12/01/10   $ 117,764    
  217,145     0.09%, due 12/06/10     217,145    
        Total U.S. Government & Agency
Securities (Cost $334,909)		     334,909    
    Repurchase Agreements (a)(b) — 3.7%  
  771,193     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $771,203		     771,193    
        Total Repurchase Agreements
(Cost $771,193)		     771,193    
        Total Investment Securities
(Cost $19,542,535) — 92.9%		     19,435,852    
        Other assets less liabilities — 7.1%     1,474,463    
        Net Assets — 100.0%   $ 20,910,315    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $1,813,824.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 1,520,292    
Aggregate gross unrealized depreciation     (1,683,968 )  
Net unrealized depreciation   $ (163,676 )  
Federal income tax cost of investments   $ 19,599,528    

Swap Agreements

Ultra Utilities had the following open swap agreements as of November 30, 2010:

    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		   $ 5,392,050     $ 376,119    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. UtilitiesSM Index     3,588,533       (142,875 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. UtilitiesSM Index     12,285,596       1,219,659    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. UtilitiesSM Index     2,240,032       (84,947 )  
          $ 1,367,956    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 77


  Ultra MSCI EAFE  EFO

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.4%		  
        Federal Home Loan Bank        
$ 1,225,245     0.07%, due 12/01/10   $ 1,225,245    
  1,203,730     0.09%, due 12/06/10     1,203,730    
      Total U.S. Government & Agency
Securities (Cost $2,428,975)		     2,428,975    
    Repurchase Agreements (a)(b) — 75.9%  
  5,531,740     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $5,531,806		     5,531,740    
        Total Repurchase Agreements
(Cost $5,531,740)		     5,531,740    
        Total Investment Securities
(Cost $7,960,715) † — 109.3%		     7,960,715    
        Liabilities in excess of
other assets — (9.3%)		     (674,622 )  
        Net Assets — 100.0%   $ 7,286,093    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,997,414.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI EAFE had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI EAFE Index®		   $ 1,555,934     $ (131,035 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     195,444       (66,682 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the MSCI EAFE Index®     2,759,310       136,432    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the MSCI EAFE Index®     2,932,070       (247,762 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     3,827,108       (183,762 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI EAFE Index®     3,303,590       (147,523 )  
        $ (640,332 )  

 

††  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.

See accompanying notes to the financial statements.

78 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EET  Ultra MSCI Emerging Markets

Shares     Value  
    Common Stocks (a) — 6.7%  
    Aerospace & Defense — 0.0%  
  359     Empresa Brasileira de Aeronautica
S.A. (ADR)		   $ 10,454    
    Airlines — 0.2%  
  347     China Eastern Airlines Corp., Ltd.
(ADR)*		     10,170    
  499     China Southern Airlines Co., Ltd.
(ADR)*		     17,874    
  423     Gol Linhas Aereas Inteligentes S.A.
(ADR)		     6,840    
  802     Lan Airlines S.A. (ADR)     24,677    
  189     TAM S.A. (ADR)     4,598    
      64,159    
    Beverages — 0.2%  
  304     Cia de Bebidas das Americas (ADR)     37,778    
  99     Coca-Cola Femsa, S.A.B de C.V.
(ADR)		     8,017    
  282     Fomento Economico Mexicano,
S.A.B de C.V. (ADR)		     15,947    
      61,742    
    Capital Markets — 0.0%  
  179     Administradora de Fondos de
Pensiones Provida S.A. (ADR)		     13,461    
    Chemicals — 0.1%  
  421     Braskem S.A. (ADR)*     9,039    
  650     Sinopec Shanghai Petrochemical
Co., Ltd. (ADR)		     31,655    
  224     Sociedad Quimica y Minera de
Chile S.A. (ADR)		     11,361    
      52,055    
    Commercial Banks — 1.0%  
  1,533     Banco Bradesco S.A. (ADR)     30,752    
  312     Banco de Chile (ADR)     26,570    
  1,948     Banco Santander (Brasil) S.A. (ADR)     25,421    
  456     Banco Santander Chile (ADR)     41,760    
  324     Bancolumbia S.A. (ADR)     19,991    
  268     HDFC Bank Ltd. (ADR)     47,262    
  1,525     ICICI Bank Ltd. (ADR)     76,311    
  1,200     Itau Unibanco Holding S.A. (ADR)     27,996    
  767     KB Financial Group, Inc. (ADR)     35,313    
  635     Shinhan Financial Group Co., Ltd.
(ADR)		     48,742    
      380,118    
    Communications Equipment — 0.0%  
  314     China Techfaith Wireless
Communication Technology Ltd.
(ADR)* 		    1,234    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Construction & Engineering — 0.1%  
  1,936     Empresas ICA, S.A.B de C.V.
(ADR)*		   $ 20,212    
    Construction Materials — 0.1%  
  3,423     Cemex, S.A.B de C.V. (ADR)*     30,944    
    Diversified Consumer Services — 0.0%  
  719     Noah Education Holdings Ltd.
(ADR)*		     1,438    
    Diversified Telecommunication Services — 0.3%  
  142     Brasil Telecom S.A. (ADR)*     2,917    
  235     China Telecom Corp., Ltd. (ADR)     11,759    
  1,275     China Unicom Hong Kong Ltd.
(ADR)		     17,136    
  1,223     Chunghwa Telecom Co. Ltd. (ADR)     29,487    
  481     City Telecom HK Ltd. (ADR)     7,177    
  960     KT Corp. (ADR)     19,526    
  836     Mahanagar Telephone Nigam Ltd.
(ADR)*		     2,115    
  887     P.T. Telekomunikasi Indonesia, Tbk.
Co. (ADR)		     31,923    
  557     Tata Communications Ltd. (ADR)*     6,550    
      128,590    
    Electric Utilities — 0.1%  
  9     Cia Energetica de Minas Gerais
(ADR)		     154    
  290     Enersis S.A. (ADR)     6,899    
  2,118     Korea Electric Power Corp. (ADR)*     25,225    
      32,278    
    Electronic Equipment, Instruments &
Components — 0.2%		  
  4,303     AU Optronics Corp. (ADR)*     42,772    
  2,403     LG Display Co., Ltd. (ADR)     40,947    
      83,719    
    Energy Equipment & Services — 0.0%  
  2,111     WSP Holdings Ltd. (ADR)*     2,386    
    Food & Staples Retailing — 0.0%  
  155     Cia Brasileira de Distribuicao Grupo
Pao de Acucar, Class A (ADR)		     6,521    
    Food Products — 0.1%  
  1,449     Agria Corp. (ADR)*     2,028    
  550     BRF - Brasil Foods S.A. (ADR)     8,382    
  759     Wimm-Bill-Dann Foods OJSC
(ADR)		     17,920    
      28,330    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 79


  Ultra MSCI Emerging Markets  EET

Shares     Value  
    Common Stocks (a) (continued)  
    Health Care Equipment & Supplies — 0.0%  
  255     China Medical Technologies, Inc.
(ADR)*		   $ 2,915    
  488     Mindray Medical International Ltd.
(ADR)		     12,810    
      15,725    
    Hotels, Restaurants & Leisure — 0.1%  
  397     Ctrip.com International Ltd. (ADR)*     17,397    
  486     Home Inns & Hotels Management,
Inc. (ADR)*		     23,138    
      40,535    
    Household Durables — 0.0%  
  272     Desarrolladora Homex, S.A.B de
C.V. (ADR)*		     9,153    
  297     Gafisa S.A. (ADR)     4,265    
      13,418    
    Independent Power Producers &
Energy Traders — 0.0%		  
  806     Huaneng Power International, Inc.
(ADR)		     17,345    
    Insurance — 0.1%  
  568     China Life Insurance Co., Ltd.
(ADR)		     36,443    
    Internet & Catalog Retail — 0.0%  
  694     Acorn International, Inc. (ADR)     3,331    
    Internet Software & Services — 0.1%  
  220     Baidu, Inc. (ADR)*     23,142    
  289     Netease.com, Inc. (ADR)*     11,034    
      34,176    
    IT Services — 0.2%  
  481     Infosys Technologies Ltd. (ADR)     31,818    
  343     Patni Computer Systems Ltd. (ADR)     7,073    
  2,757     Wipro Ltd. (ADR)     37,743    
      76,634    
    Machinery — 0.2%  
  168     Duoyuan Global Water, Inc. (ADR)*     2,102    
  1,856     Tata Motors Ltd. (ADR)     60,710    
      62,812    
    Media — 0.1%  
  868     Grupo Televisa S.A. (ADR)     20,224    
  236     NET Servicos de Comunicacao
S.A. (ADR)*		     3,134    
      23,358    

 

Shares     Value  
    Common Stocks (a) (continued)  
    Metals & Mining — 1.1%  
  1,120     Aluminum Corp. of China Ltd.
(ADR)*		   $ 24,763    
  680     AngloGold Ashanti Ltd. (ADR)     31,845    
  380     Cia de Minas Buenaventura S.A.
(ADR)		     19,243    
  1,483     Cia Siderurgica Nacional S.A. (ADR)     23,209    
  1,479     DRDGOLD Ltd. (ADR)     7,011    
  1,960     Gerdau S.A. (ADR)     22,775    
  1,674     Gold Fields Ltd. (ADR)     27,939    
  3,279     Grupo Simec, S.A.B de C.V. (ADR)*     23,675    
  1,413     Harmony Gold Mining Co., Ltd.
(ADR)		     16,009    
  1,386     Mechel OAO (ADR)     32,543    
  572     POSCO (ADR)     56,308    
  1,760     Sterlite Industries India Ltd. (ADR)     24,939    
  3,443     Vale S.A. (ADR)     103,195    
      413,454    
    Oil, Gas & Consumable Fuels — 0.8%  
  366     China Petroleum & Chemical Corp.
(ADR)		     33,980    
  261     CNOOC Ltd. (ADR)     56,193    
  914     Ecopetrol S.A. (ADR)     36,715    
  288     PetroChina Co., Ltd. (ADR)     35,378    
  1,333     Petroleo Brasileiro S.A. (ADR)     40,885    
  1,973     Sasol Ltd. (ADR)     88,134    
  132     Ultrapar Participacoes S.A. (ADR)     7,809    
  424     Yanzhou Coal Mining Co., Ltd.
(ADR)		     11,698    
      310,792    
    Paper & Forest Products — 0.1%  
  7,633     Sappi Ltd. (ADR)*     38,928    
    Pharmaceuticals — 0.1%  
  470     Dr. Reddy's Laboratories Ltd. (ADR)     18,321    
  536     Simcere Pharmaceutical Group
(ADR)*		     6,689    
  1,024     Tongjitang Chinese Medicines Co.
(ADR)*		     4,444    
      29,454    
    Road & Rail — 0.0%  
  115     Guangshen Railway Co., Ltd. (ADR)     2,314    
    Semiconductors & Semiconductor
Equipment — 0.6%		  
  11,034     Advanced Semiconductor
Engineering, Inc. (ADR)		     56,273    
  5,134     Himax Technologies, Inc. (ADR)     10,679    
  192     JA Solar Holdings Co., Ltd. (ADR)*     1,330    

 

See accompanying notes to the financial statements.

80 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EET  Ultra MSCI Emerging Markets

Shares     Value  
   
Common Stocks (a) (continued)		  
  339     O2Micro International Ltd. (ADR)*   $ 2,102    
  199     Renesola Ltd. (ADR)*     1,638    
  1,535     Semiconductor Manufacturing
International Corp. (ADR)*		     5,526    
  1,215     Silicon Motion Technology Corp.
(ADR)*		     4,884    
  7,104     Siliconware Precision Industries Co.
(ADR)		     36,515    
  6     Solarfun Power Holdings Co., Ltd.
(ADR)*		     50    
  5,565     Taiwan Semiconductor
Manufacturing Co., Ltd. (ADR)		     59,824    
  11,376     United Microelectronics Corp.
(ADR)		     32,422    
  1,190     Vimicro International Corp. (ADR)*     3,772    
      215,015    
    Software — 0.1%  
  596     Shanda Interactive Entertainment
Ltd. (ADR)*		     23,560    
  328     The9 Ltd. (ADR)*     2,099    
      25,659    
    Transportation Infrastructure — 0.0%  
  312     Grupo Aeroportuario del Pacifico,
S.A.B. de C.V. (ADR)		     11,900    
  315     Grupo Aeroportuario del Sureste,
S.A.B. de C.V. (ADR)		     16,289    
      28,189    
    Wireless Telecommunication Services — 0.7%  
  614     America Movil, S.A.B. de C.V. (ADR)     34,666    
  1,271     China Mobile Ltd. (ADR)     63,359    
  1,911     Mobile Telesystems OJSC (ADR)     40,074    
  21     Philippine Long Distance
Telephone Co. (ADR)		     1,142    
  555     PT Indosat Tbk. (ADR)     16,817    
  1,654     SK Telecom Co., Ltd. (ADR)     29,739    
  171     Tim Participacoes S.A. (ADR)     5,499    
  3,624     Turkcell Iletisim Hizmet A.S. (ADR)     61,753    
  200     Vivo Participacoes S.A. (ADR)     5,774    
      258,823    
        Total Common Stocks
(Cost $2,628,765)		     2,564,046    
    Investment Companies (a) — 0.4%  
    Mutual Funds — 0.4%  
  6,786     iShares MSCI Malaysia Index Fund     92,290    
  962     iShares MSCI Thailand Index Fund     60,481    
        Total Investment Companies
(Cost $156,424)		     152,771    

 

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 26.6%		  
        Federal Home Loan Bank        
$ 5,300,656     0.07%, due 12/01/10   $ 5,300,656    
  4,861,340     0.09%, due 12/06/10     4,861,340    
        Total U.S. Government & Agency
Securities (Cost $10,161,996)		     10,161,996    
    Repurchase Agreements (a)(b) — 60.4%  
  23,113,989     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $23,114,259		     23,113,989    
        Total Repurchase Agreements
(Cost $23,113,989)		     23,113,989    
        Total Investment Securities
(Cost $36,061,174) — 94.1%		     35,992,802    
        Other assets less liabilities — 5.9%     2,237,417    
        Net Assets — 100.0%   $ 38,230,219    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $8,017,568.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

ADR  American Depositary Receipt

As of November 30, 2010, 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   $ 11,001    
Aggregate gross unrealized depreciation     (79,591 )  
Net unrealized depreciation   $ (68,590 )  
Federal income tax cost of investments   $ 36,061,392    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 81


  Ultra MSCI Emerging Markets  EET

Swap Agreements ††

Ultra MSCI Emerging Markets had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the MSCI Emerging Markets Index®   $ 13,299,552     $ (2,170,454 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Emerging
Markets Index®		     8,573,938       883,008    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     11,869,332       686,326    
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI Emerging
Markets Index®		     6,943,854       (767,036 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the MSCI Emerging Markets Index®     5,392,602       387,206    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the MSCI Emerging
Markets Index®		     865,310       (68,975 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     23,790,236       (993,298 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     3,051,964       1,888,908    
        $ (154,315 )  

 

††  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 Emerging Markets invested, as a percentage of net assets, in the following countries as of November 30, 2010:

Brazil     1.0 %  
Cayman Islands     0.0 %  
Chile     0.3 %  
China     1.0 %  
Colombia     0.1 %  
Hong Kong     0.4 %  
India     0.8 %  
Indonesia     0.1 %  
Mexico     0.5 %  
Peru     0.1 %  
Philippines     0.0 %  
Russia     0.2 %  
South Africa     0.6 %  
South Korea     0.7 %  
Taiwan     0.7 %  
Turkey     0.2 %  
United States     0.4 %  
Other1     92.9 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

82 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UPV  Ultra MSCI Europe

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 38.0%		  
        Federal Home Loan Bank        
$ 720,794     0.07%, due 12/01/10   $ 720,794    
  393,733     0.09%, due 12/06/10     393,733    
        Total U.S. Government & Agency
Securities (Cost $1,114,527)		     1,114,527    
    Repurchase Agreements (a)(b) — 85.6%  
  2,511,963     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,511,988		     2,511,963    
        Total Repurchase Agreements
(Cost $2,511,963)		     2,511,963    
        Total Investment Securities
(Cost $3,626,490) † — 123.6%		     3,626,490    
        Liabilities in excess of
other assets — (23.6%)		     (691,606 )  
        Net Assets — 100.0%   $ 2,934,884    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,705,575.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Europe had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Europe Index®   $ 2,767,242     $ (437,976 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Europe Index®     1,774,440       (137,456 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Europe Index®     1,335,741       (104,052 )  
        $ (679,484 )  

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 83


  Ultra MSCI Pacific ex-Japan  UXJ

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 26.6%		  
        Federal Home Loan Bank        
$ 405,131     0.07%, due 12/01/10   $ 405,131    
  453,969     0.09%, due 12/06/10     453,969    
        Total U.S. Government & Agency
Securities (Cost $859,100)		     859,100    
    Repurchase Agreements (a)(b) — 60.8%  
  1,961,186     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,961,209		     1,961,186    
        Total Repurchase Agreements
(Cost $1,961,186)		     1,961,186    
        Total Investment Securities
(Cost $2,820,286) † — 87.4%		     2,820,286    
        Other assets less liabilities — 12.6%     407,805    
        Net Assets — 100.0%   $ 3,228,091    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $605,496.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Pacific ex-Japan had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Pacific ex-Japan Index®   $ 827,534     $ (121,186 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the MSCI
Pacific ex-Japan Index®		     1,641,888       (153,253 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Pacific ex-Japan Index®     1,714,389       226,952    
Equity Index Swap Agreement with UBS AG, based on the MSCI Pacific ex-Japan Index®     2,271,392       467,659    
        $ 420,172    

 

††  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.

84 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)



  UBR  Ultra MSCI Brazil

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 30.9%		  
        Federal Home Loan Bank        
$ 2,305,966     0.07%, due 12/01/10   $ 2,305,966    
  1,668,234     0.09%, due 12/06/10     1,668,234    
        Total U.S. Government & Agency
Securities (Cost $3,974,200)		     3,974,200    
    Repurchase Agreements (a)(b) — 70.1%  
  9,000,959     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $9,001,059		     9,000,959    
        Total Repurchase Agreements
(Cost $9,000,959)		     9,000,959    
        Total Investment Securities
(Cost $12,975,159) † — 101.0%		     12,975,159    
        Liabilities in excess of
other assets — (1.0%)		     (123,627 )  
        Net Assets — 100.0%   $ 12,851,532    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,715,734.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Brazil had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Brazil Index®   $ 13,669,346     $ (798,911 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Brazil Index®     9,363,711       (395,410 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the MSCI Brazil Index®     268,700       (21,431 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Brazil Index®     1,314,156       651,100    
Equity Index Swap Agreement with UBS AG, based on the MSCI Brazil Index®     960,888       458,891    
        $ (105,761 )  

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 85


  Ultra FTSE China 25  XPP

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 26.2%		  
        Federal Home Loan Bank        
$ 5,638,866     0.07%, due 12/01/10   $ 5,638,866    
  3,974,967     0.09%, due 12/06/10     3,974,967    
        Total U.S. Government & Agency
Securities (Cost $9,613,833)		     9,613,833    
    Repurchase Agreements (a)(b) — 59.2%  
  21,763,830     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $21,764,068		     21,763,830    
        Total Repurchase Agreements
(Cost $21,763,830)		     21,763,830    
        Total Investment Securities
(Cost $31,377,663) † — 85.4%		     31,377,663    
        Other assets less liabilities — 14.6%     5,365,042    
        Net Assets — 100.0%   $ 36,742,705    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $11,640,981.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra FTSE China 25 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
FTSE China 25 Index®		   $ 1,710,736     $ 3,502,445    
Equity Index Swap Agreement with Deutsche Bank AG, based on the FTSE China 25 Index®     24,152,160       (1,407,500 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the FTSE China 25 Index®     12,791,722       (1,346,381 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the FTSE China 25 Index®     14,028,494       (178,058 )  
Equity Index Swap Agreement with Societe Generale, based on the FTSE China 25 Index®     19,147,535       (903,095 )  
Equity Index Swap Agreement with UBS AG, based on the FTSE China 25 Index®     1,592,585       1,099,853    
        $ 767,264    

 

††  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.

86 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EZJ  Ultra MSCI Japan

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 29.3%		  
        Federal Home Loan Bank        
$ 1,493,170     0.07%, due 12/01/10   $ 1,493,170    
  1,513,866     0.09%, due 12/06/10     1,513,866    
        Total U.S. Government & Agency
Securities (Cost $3,007,036)		     3,007,036    
    Repurchase Agreements (a)(b) — 66.8%  
  6,852,135     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $6,852,216		     6,852,135    
        Total Repurchase Agreements
(Cost $6,852,135)		     6,852,135    
        Total Investment Securities
(Cost $9,859,171) † — 96.1%		     9,859,171    
        Other assets less liabilities — 3.9%     402,036    
        Net Assets — 100.0%   $ 10,261,207    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $2,121,243.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Japan had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Japan Index®   $ 3,113,828     $ (24,445 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Japan Index®     2,782,396       127,945    
Equity Index Swap Agreement with Merrill Lynch International, based on the MSCI Japan Index®     9,096,289       210,164    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the MSCI Japan Index®     1,840,279       (14,609 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Japan Index®     1,960,411       142,044    
Equity Index Swap Agreement with UBS AG, based on the MSCI Japan Index®     1,724,273       (13,891 )  
        $ 427,208    

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 87


  Ultra MSCI Mexico Investable Market  UMX

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 25.7%		  
        Federal Home Loan Bank        
$ 253,277     0.07%, due 12/01/10   $ 253,277    
  229,788     0.09%, due 12/06/10     229,788    
        Total U.S. Government & Agency
Securities (Cost $483,065)		     483,065    
    Repurchase Agreements (a)(b) — 58.5%  
  1,098,539     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,098,552		     1,098,539    
        Total Repurchase Agreements
(Cost $1,098,539)		     1,098,539    
        Total Investment Securities
(Cost $1,581,604) † — 84.2%		     1,581,604    
        Other assets less liabilities — 15.8%     296,762    
        Net Assets — 100.0%   $ 1,878,366    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $380,516.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Ultra MSCI Mexico Investable Market had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Mexico Investable Market Index®		   $ 1,063,499     $ (1,656 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Mexico Investable Market Index®     1,351,414       (18,947 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
MSCI Mexico Investable Market Index®		     143,804       (9,433 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Mexico Investable Market Index®     754,391       (6,545 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Mexico Investable Market Index®     445,081       344,381    
        $ 307,800    

 

††  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.

88 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UST  Ultra 7-10 Year Treasury

Principal
Amount		     Value  
    U.S. Treasury Obligations (a) — 59.0%  
        U.S. Treasury Bonds        
$ 31,000     9.13%, due 05/15/18   $ 46,001    
  33,100     9.00%, due 11/15/18     49,443    
  60,500     8.88%, due 02/15/19     90,268    
  87,400     8.13%, due 08/15/19     126,388    
  43,700     8.50%, due 02/15/20     65,004    
  35,000     8.75%, due 05/15/20     53,003    
  78,700     8.75%, due 08/15/20     119,661    
      549,768    
        U.S. Treasury Notes        
  234,300     3.50%, due 02/15/18     255,057    
  184,600     3.88%, due 05/15/18     205,627    
  205,900     4.00%, due 08/15/18     231,187    
  369,100     3.75%, due 11/15/18     407,279    
  397,500     2.75%, due 02/15/19     407,065    
  425,900     3.13%, due 05/15/19     446,530    
  447,200     3.63%, due 08/15/19     485,282    
  475,600     3.38%, due 11/15/19     505,251    
  475,600     3.63%, due 02/15/20     513,945    
  468,500     3.50%, due 05/15/20     500,124    
  468,000     2.63%, due 08/15/20     462,808    
  170,200     2.63%, due 11/15/20     167,700    
      4,587,855    
        Total U.S. Treasury Obligations
(Cost $5,081,587)		     5,137,623    
    U.S. Government & Agency
Securities (a) — 12.4%		  
        Federal Home Loan Bank        
  451,585     0.07%, due 12/01/10     451,585    
  633,638     0.09%, due 12/06/10     633,638    
        Total U.S. Government & Agency
Securities (Cost $1,085,223)		     1,085,223    

 

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 28.6%  
$ 2,487,351     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,487,382		   $ 2,487,351    
    Total Repurchase Agreements
(Cost $2,487,351)		     2,487,351    
    Total Investment Securities
(Cost $8,654,161) — 100.0%		     8,710,197    
    Liabilities in excess of
other assets — 0.0%		     (1,865 )  
    Net Assets — 100.0%   $ 8,708,332    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At 11/30/10, the aggregate amount held in a segregated account was $230,195.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 70,169    
Aggregate gross unrealized depreciation     (14,133 )  
Net unrealized appreciation   $ 56,036    
Federal income tax cost of investments   $ 8,654,161    

 

Futures Contracts Purchased

Ultra 7-10 Year Treasury had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. 7-10 Year Note Futures Contracts     4     03/22/11   $ 496,438     $ (1,521 )  

 

Cash collateral in the amount of $7,577 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 89


  Ultra 7-10 Year Treasury  UST

Swap Agreements

Ultra 7-10 Year Treasury had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Bond Index Swap Agreement with Citibank, N.A., based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		   $ 2,655,053     $ (17,974 )  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     2,182,610       (26,262 )  
Bond Index Swap Agreement with Deutsche Bank AG, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     3,672,737       44,439    
Bond Index Swap Agreement with Goldman Sachs International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     1,131,250       (19,836 )  
Bond Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Barclays Capital 7-10 Year U.S. Treasury Bond Index		     2,199,318       21,330    
        $ 1,697    

See accompanying notes to the financial statements.

90 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  UBT  Ultra 20+ Year Treasury

Principal
Amount		     Value  
    U.S. Treasury Obligations (a) — 49.0%  
        U.S. Treasury Bonds        
$ 225,100     5.38%, due 02/15/31   $ 274,903    
  381,600     4.50%, due 02/15/36     412,367    
  219,300     4.75%, due 02/15/37     245,924    
  223,400     5.00%, due 05/15/37     260,086    
  234,800     4.38%, due 02/15/38     247,531    
  315,700     4.50%, due 05/15/38     339,378    
  386,700     3.50%, due 02/15/39     347,607    
  531,200     4.25%, due 05/15/39     545,476    
  602,900     4.50%, due 08/15/39     645,197    
  671,900     4.38%, due 11/15/39     704,025    
  673,300     4.63%, due 02/15/40     735,475    
  673,600     4.38%, due 05/15/40     705,807    
  673,600     3.88%, due 08/15/40     647,393    
  256,600     4.25%, due 11/15/40     263,135    
      6,374,304    
        Total U.S. Treasury Obligations
(Cost $6,522,005)		     6,374,304    
    U.S. Government & Agency
Securities (a) — 16.2%		  
        Federal Home Loan Bank        
  1,427,565     0.07%, due 12/01/10     1,427,565    
  684,549     0.09%, due 12/06/10     684,549    
        Total U.S. Government & Agency
Securities (Cost $2,112,114)		     2,112,114    

 

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 36.5%  
$ 4,750,166     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,750,214		   $ 4,750,166    
    Total Repurchase Agreements
(Cost $4,750,166)		     4,750,166    
    Total Investment Securities
(Cost $13,384,285) — 101.7%		     13,236,584    
    Liabilities in excess of
other assets — (1.7%)		     (227,064 )  
    Net Assets — 100.0%   $ 13,009,520    

 

(a)  A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At 11/30/10, the aggregate amount held in a segregated account was $130,182.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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     (209,035 )  
Net unrealized depreciation   $ (209,035 )  
Federal income tax cost of investments   $ 13,445,619    

 

Futures Contracts Purchased

Ultra 20+ Year Treasury had the following open long futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
U.S. Long Bond Futures Contracts     11     03/22/11   $ 1,400,094     $ 7,094    

 

Cash collateral in the amount of $30,473 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Ultra 20+ Year Treasury had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Bond Index Swap Agreement with Citibank, N.A., based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		   $ 7,963,428     $ 29,665    
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     10,677,384       (315,311 )  
        $ (285,646 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 91


  Short QQQ®  PSQ

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 32.4%		  
        Federal Home Loan Bank        
$ 31,923,056     0.07%, due 12/01/10   $ 31,923,056    
  42,321,928     0.09%, due 12/06/10     42,321,928    
        Total U.S. Government & Agency
Securities (Cost $74,244,984)		     74,244,984    
    Repurchase Agreements (a)(b) — 74.1%  
  170,000,611     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $170,002,751		     170,000,611    
        Total Repurchase Agreements
(Cost $170,000,611)		     170,000,611    
        Total Investment Securities
(Cost $244,245,595) † — 106.5%		     244,245,595    
        Liabilities in excess of
other assets — (6.5%)		     (14,821,554 )  
        Net Assets — 100.0%   $ 229,424,041    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $36,024,789.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short QQQ® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini NASDAQ-100 Futures Contracts     555     12/17/10   $ 23,495,925     $ 209,448    

 

Cash collateral in the amount of $1,956,375 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short QQQ® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100® Index   $ (5,399,239 )   $ (6,055 )  
Equity Index Swap Agreement with Credit Suisse International, based on the NASDAQ-100® Index     (11,105,519 )     (91,383 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the NASDAQ-100® Index     (648,611 )     20,915    
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     (9,001,161 )     197,511    
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     (17,241,945 )     178,997    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the NASDAQ-100® Index     (33,444,904 )     (3,554,387 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     (70,333,544 )     (7,321,271 )  
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     (58,740,992 )     1,847,515    
        $ (8,728,158 )  

See accompanying notes to the financial statements.

92 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  DOG  Short Dow30SM

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 30.8%		  
        Federal Home Loan Bank        
$ 36,021,908     0.07%, due 12/01/10   $ 36,021,908    
  49,369,423     0.09%, due 12/06/10     49,369,423    
        Total U.S. Government & Agency
Securities (Cost $85,391,331)		     85,391,331    
    Repurchase Agreements (a)(b) — 70.6%  
  195,637,537     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $195,640,017		     195,637,537    
        Total Repurchase Agreements
(Cost $195,637,537)		     195,637,537    
        Total Investment Securities
(Cost $281,028,868) † — 101.4%		     281,028,868    
        Liabilities in excess of
other assets — (1.4%)		     (3,797,494 )  
        Net Assets — 100.0%   $ 277,231,374    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $34,627,232.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short Dow30SM had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     479     12/17/10   $ 26,333,025     $ 187,596    

 

Cash collateral in the amount of $2,847,000 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short Dow30SM had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index   $ (3,456,678 )   $ 112,172    
Equity Index Swap Agreement with Credit Suisse International, based on the Dow Jones
Industrial AverageSM Index		     (29,992,942 )     (470,910 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
Industrial AverageSM Index		     (8,527,321 )     284,917    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index     (13,083,614 )     364,233    
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones Industrial
AverageSM Index		     (17,721,672 )     401,301    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones Industrial AverageSM Index     (130,674,017 )     (8,605,566 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones Industrial AverageSM Index     (47,443,296 )     (4,734,185 )  
        $ (12,648,038 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 93


  Short S&P500®  SH

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.2%		  
        Federal Home Loan Bank        
$ 282,574,593     0.07%, due 12/01/10   $ 282,574,593    
  356,522,637     0.09%, due 12/06/10     356,522,637    
        Total U.S. Government & Agency
Securities (Cost $639,097,230)		     639,097,230    
    Repurchase Agreements (a)(b) — 75.8%  
  1,462,068,580     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,462,086,808		     1,462,068,580    
        Total Repurchase Agreements
(Cost $1,462,068,580)		     1,462,068,580    
        Total Investment Securities
(Cost $2,101,165,810) † — 109.0%		     2,101,165,810    
        Liabilities in excess of
other assets — (9.0%)		     (173,774,049 )  
        Net Assets — 100.0%   $ 1,927,391,761    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $119,196,048.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short S&P500® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     772     12/17/10   $ 45,528,700     $ 626,309    

 

Cash collateral in the amount of $3,392,561 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short S&P500® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index   $ (825,424,560 )   $ (61,563,272 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index     (341,321,994 )     (29,980,426 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (16,153,871 )     1,428,932    
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     (70,565,137 )     (179,092 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index     (204,593,199 )     182,926    
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (423,811,410 )     (58,066,753 )  
        $ (148,177,685 )  

See accompanying notes to the financial statements.

94 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  MYY  Short MidCap400

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 32.6%		  
        Federal Home Loan Bank        
$ 4,951,532     0.07%, due 12/01/10   $ 4,951,532    
  6,324,840     0.09%, due 12/06/10     6,324,840    
        Total U.S. Government & Agency
Securities (Cost $11,276,372)		     11,276,372    
    Repurchase Agreements (a)(b) — 74.7%  
  25,802,733     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $25,803,055		     25,802,733    
        Total Repurchase Agreements
(Cost $25,802,733)		     25,802,733    
        Total Investment Securities
(Cost $37,079,105) † — 107.3%		     37,079,105    
        Liabilities in excess of
other assets — (7.3%)		     (2,516,777 )  
        Net Assets — 100.0%   $ 34,562,328    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,377,241.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short MidCap400 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     10     12/17/10   $ 851,700     $ 1,674    

 

Cash collateral in the amount of $75,373 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short MidCap400 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400TM Index   $ (16,493,389 )   $ (441,147 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		     (3,595,420 )     (366,372 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     (1,119,572 )     (37,741 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400TM Index     (5,745,546 )     (485,128 )  
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     (6,767,213 )     (1,244,977 )  
        $ (2,575,365 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 95


  Short SmallCap600  SBB

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.0%		  
        Federal Home Loan Bank        
$ 4,260,559     0.07%, due 12/01/10   $ 4,260,559    
  4,949,856     0.09%, due 12/06/10     4,949,856    
        Total U.S. Government & Agency
Securities (Cost $9,210,415)		     9,210,415    
    Repurchase Agreements (a)(b) — 75.2%  
  21,039,591     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $21,039,849		     21,039,591    
        Total Repurchase Agreements
(Cost $21,039,591)		     21,039,591    
        Total Investment Securities
(Cost $30,250,006) † — 108.2%		     30,250,006    
        Liabilities in excess of
other assets — (8.2%)		     (2,281,267 )  
        Net Assets — 100.0%   $ 27,968,739    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $2,257,314.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short SmallCap600 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P SmallCap 600 Futures Contracts     3     12/17/10   $ 115,770     $ 808    

 

Cash collateral in the amount of $9,687 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.  

 

Swap Agreements

Short SmallCap600 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P SmallCap 600TM Index   $ (14,596,462 )   $ (1,205,757 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		     (2,256,203 )     (226,314 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     (1,551,027 )     (34,009 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P SmallCap 600TM Index     (6,320,559 )     (809,084 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P SmallCap 600TM Index		     (200,748 )     1,966    
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     (2,925,703 )     19,120    
        $ (2,254,078 )  

See accompanying notes to the financial statements.

96 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  RWM  Short Russell2000

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 31.8%		  
        Federal Home Loan Bank        
$ 39,165,314     0.07%, due 12/01/10   $ 39,165,314    
  53,144,445     0.09%, due 12/06/10     53,144,445    
        Total U.S. Government & Agency
Securities (Cost $92,309,759)		     92,309,759    
    Repurchase Agreements (a)(b) — 72.9%  
  211,450,908     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $211,453,584		     211,450,908    
        Total Repurchase Agreements
(Cost $211,450,908)		     211,450,908    
        Total Investment Securities
(Cost $303,760,667) † — 104.7%		     303,760,667    
        Liabilities in excess of
other assets — (4.7%)		     (13,651,854 )  
        Net Assets — 100.0%   $ 290,108,813    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $30,927,906.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short Russell2000 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Russell 2000 Futures Contracts     225     12/17/10   $ 16,341,750     $ (42,082 )  

 

Cash collateral in the amount of $992,250 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short Russell2000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index   $ (29,638,317 )   $ 92,817    
Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index     (71,016,885 )     (1,715,347 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Index		     (7,378,669 )     90,873    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     (39,530,647 )     386,192    
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     (86,940,906 )     (8,124,624 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     (39,272,591 )     (5,107,988 )  
        $ (14,378,077 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 97


  UltraShort QQQ®  QID

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 32.4%		  
        Federal Home Loan Bank        
$ 136,728,659     0.07%, due 12/01/10   $ 136,728,659    
  105,581,851     0.09%, due 12/06/10     105,581,851    
        Total U.S. Government & Agency
Securities (Cost $242,310,510)		     242,310,510    
    Repurchase Agreements (a)(b) — 73.6%  
  549,436,737     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $549,442,895		     549,436,737    
        Total Repurchase Agreements
(Cost $549,436,737)		     549,436,737    
        Total Investment Securities
(Cost $791,747,247) † — 106.0%		     791,747,247    
        Liabilities in excess of
other assets — (6.0%)		     (44,788,174 )  
        Net Assets — 100.0%   $ 746,959,073    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $242,980,169.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort QQQ® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini NASDAQ-100 Futures Contracts     1,895     12/17/10   $ 80,224,825     $ 956,071    

 

Cash collateral in the amount of $6,679,875 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort QQQ® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100® Index   $ (24,091,835 )   $ (493,743 )  
Equity Index Swap Agreement with Credit Suisse International, based on the NASDAQ-100® Index     (169,335,600 )     (10,175,170 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
NASDAQ-100® Index		     (7,904,061 )     254,878    
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     (36,732,397 )     172,422    
Equity Index Swap Agreement with Goldman Sachs International, based on the NASDAQ-100® Index     (48,826,198 )     462,132    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
NASDAQ-100® Index		     (83,612,261 )     (8,885,968 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     (402,163,439 )     (41,862,635 )  
Equity Index Swap Agreement with UBS AG, based on the NASDAQ-100® Index     (641,027,871 )     20,161,532    
        $ (40,366,552 )  

See accompanying notes to the financial statements.

98 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  DXD  UltraShort Dow30SM

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 34.2%		  
        Federal Home Loan Bank        
$ 86,694,100     0.07%, due 12/01/10   $ 86,694,100    
  63,231,393     0.09%, due 12/06/10     63,231,393    
        Total U.S. Government & Agency
Securities (Cost $149,925,493)		     149,925,493    
    Repurchase Agreements (a)(b) — 77.5%  
  339,607,663     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $339,611,420		     339,607,663    
        Total Repurchase Agreements
(Cost $339,607,663)		     339,607,663    
        Total Investment Securities
(Cost $489,533,156) † — 111.7%		     489,533,156    
        Liabilities in excess of
other assets — (11.7%)		     (51,470,314 )  
        Net Assets — 100.0%   $ 438,062,842    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $165,722,596.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort Dow30SM had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Dow Jones Futures Contracts     774     12/17/10   $ 42,550,650     $ 390,985    

 

Cash collateral in the amount of $5,030,969 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort Dow30SM had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index   $ (17,016,776 )   $ 653,936    
Equity Index Swap Agreement with Credit Suisse International, based on the Dow Jones
Industrial AverageSM Index		     (99,976,473 )     (1,569,701 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
Industrial AverageSM Index		     (6,367,123 )     212,740    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index     (43,006,162 )     537,801    
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
Industrial AverageSM Index		     (29,192,377 )     655,081    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones Industrial AverageSM Index     (226,255,729 )     (14,900,120 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones Industrial AverageSM Index     (411,760,676 )     (41,088,023 )  
        $ (55,498,286 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 99


  UltraShort S&P500®  SDS

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 34.8%		  
        Federal Home Loan Bank        
$ 502,875,098     0.07%, due 12/01/10   $ 502,875,098    
  412,220,817     0.09%, due 12/06/10     412,220,817    
        Total U.S. Government & Agency
Securities (Cost $915,095,915)		     915,095,915    
    Repurchase Agreements (a)(b) — 78.9%  
  2,077,203,958     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,077,227,558		     2,077,203,958    
        Total Repurchase Agreements
(Cost $2,077,203,958)		     2,077,203,958    
        Total Investment Securities
(Cost $2,992,299,873) † — 113.7%		     2,992,299,873    
        Liabilities in excess of
other assets — (13.7%)		     (360,952,320 )  
        Net Assets — 100.0%   $ 2,631,347,553    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $328,133,839.

(a)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort S&P500® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     1,792     12/17/10   $ 105,683,200     $ 1,545,286    

 

Cash collateral in the amount of $6,869,085 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort S&P500® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index   $ (3,058,632,219 )   $ (228,124,311 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index     (158,985,804 )     12,554,583    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (90,952,112 )     2,295,485    
Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index     (248,460,938 )     1,542,434    
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index     (395,308,345 )     (14,105,613 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P 500® Index     (120,447,939 )     1,154,502    
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (1,070,766,142 )     (146,706,557 )  
Equity Index Swap Agreement with UBS AG, based on the S&P 500® Index     (13,533,394 )     463,598    
          $ (370,925,879 )  

See accompanying notes to the financial statements.

100 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  TWQ  UltraShort Russell3000

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 32.5%		  
        Federal Home Loan Bank        
$ 377,279     0.07%, due 12/01/10   $ 377,279    
  226,499     0.09%, due 12/06/10     226,499    
        Total U.S. Government & Agency
Securities (Cost $603,778)		     603,778    
    Repurchase Agreements (a)(b) — 73.3%  
  1,363,003     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,363,017		     1,363,003    
        Total Repurchase Agreements
(Cost $1,363,003)		     1,363,003    
        Total Investment Securities
(Cost $1,966,781) † — 105.8%		     1,966,781    
        Liabilities in excess of
other assets — (5.8%)		     (107,371 )  
        Net Assets — 100.0%   $ 1,859,410    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $780,767.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell3000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 3000® Index		   $ (224,690 )   $ 6,647    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index     (1,086,705 )     20,099    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 3000® Index     (1,172,679 )     8,317    
Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index     (1,238,390 )     (135,135 )  
        $ (100,072 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 101


  UltraShort MidCap400  MZZ

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.5%		  
        Federal Home Loan Bank        
$ 5,417,711     0.07%, due 12/01/10   $ 5,417,711    
  5,166,809     0.09%, due 12/06/10     5,166,809    
        Total U.S. Government & Agency
Securities (Cost $10,584,520)		     10,584,520    
    Repurchase Agreements (a)(b) — 76.4%  
  24,092,151     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $24,092,434		     24,092,151    
        Total Repurchase Agreements
(Cost $24,092,151)		     24,092,151    
        Total Investment Securities
(Cost $34,676,671) † — 109.9%		     34,676,671    
        Liabilities in excess of
other assets — (9.9%)		     (3,121,380 )  
        Net Assets — 100.0%   $ 31,555,291    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $6,942,469.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort MidCap400 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     14     12/17/10   $ 1,192,380     $ 8,087    

 

Cash collateral in the amount of $105,507 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort MidCap400 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400TM Index   $ (6,270,287 )   $ (448,688 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P MidCap 400TM Index		     (6,146,259 )     (684,061 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     (8,401,277 )     (94,404 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400TM Index     (12,970,054 )     (2,033,465 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P MidCap 400TM Index		     (490,670 )     4,068    
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     (27,630,486 )     74,869    
        $ (3,181,681 )  

See accompanying notes to the financial statements.

102 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SDD  UltraShort SmallCap600

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 34.4%		  
        Federal Home Loan Bank        
$ 3,660,107     0.07%, due 12/01/10   $ 3,660,107    
  2,898,907     0.09%, due 12/06/10     2,898,907    
        Total U.S. Government & Agency
Securities (Cost $6,559,014)		     6,559,014    
    Repurchase Agreements (a)(b) — 78.1%  
  14,879,281     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $14,879,449		     14,879,281    
        Total Repurchase Agreements
(Cost $14,879,281)		     14,879,281    
        Total Investment Securities
(Cost $21,438,295) † — 112.5%		     21,438,295    
        Liabilities in excess of
other assets — (12.5%)		     (2,381,984 )  
        Net Assets — 100.0%   $ 19,056,311    

 

(a)  All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At 11/30/10, the aggregate amount held in a segregated account was $3,928,264.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort SmallCap600 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P SmallCap 600 Futures Contracts     5     12/17/10   $ 192,950     $ 692    

 

Cash collateral in the amount of $16,150 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort SmallCap600 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P SmallCap 600TM Index   $ (7,916,550 )   $ (436,851 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
S&P SmallCap 600TM Index		     (6,569,722 )     (723,907 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600TM Index     (3,187,307 )     (82,606 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P SmallCap 600TM Index     (9,398,299 )     (1,203,060 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P SmallCap 600TM Index		     (2,379,623 )     21,371    
Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600TM Index     (8,488,148 )     55,471    
        $ (2,369,582 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 103


  UltraShort Russell2000  TWM

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.8%		  
        Federal Home Loan Bank        
$ 64,112,920     0.07%, due 12/01/10   $ 64,112,920    
  53,837,496     0.09%, due 12/06/10     53,837,496    
        Total U.S. Government & Agency
Securities (Cost $117,950,416)		     117,950,416    
    Repurchase Agreements (a)(b) — 76.9%  
  267,855,891     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $267,858,950		     267,855,891    
        Total Repurchase Agreements
(Cost $267,855,891)		     267,855,891    
        Total Investment Securities
(Cost $385,806,307) † — 110.7%		     385,806,307    
        Liabilities in excess of
other assets — (10.7%)		     (37,415,622 )  
        Net Assets — 100.0%   $ 348,390,685    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $110,976,118.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort Russell2000 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini Russell 2000 Futures Contracts     230     12/17/10   $ 16,704,900     $ 48,259    

 

Cash collateral in the amount of $1,014,265 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort Russell2000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index   $ (4,205,694 )   $ (515,824 )  
Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index     (60,871,616 )     (1,470,298 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Index     (9,928,016 )     122,270    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     (27,198,959 )     (987,976 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     (391,205,572 )     (36,558,141 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index     (186,664,414 )     1,370,031    
        $ (38,039,938 )  

See accompanying notes to the financial statements.

104 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SQQQ  UltraPro Short QQQ®

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 37.3%		  
        Federal Home Loan Bank        
$ 14,678,854     0.07%, due 12/01/10   $ 14,678,854    
  6,895,353     0.09%, due 12/06/10     6,895,353    
        Total U.S. Government & Agency
Securities (Cost $21,574,207)		     21,574,207    
    Repurchase Agreements (a)(b) — 83.8%  
  48,504,550     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $48,505,035		     48,504,550    
        Total Repurchase Agreements
(Cost $48,504,550)		     48,504,550    
        Total Investment Securities
(Cost $70,078,757) † — 121.1%		     70,078,757    
        Liabilities in excess of
other assets — (21.1%)		     (12,190,823 )  
        Net Assets — 100.0%   $ 57,887,934    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $27,603,008.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short QQQ® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini NASDAQ-100 Futures Contracts     197     12/17/10   $ 8,339,995     $ 75,114    

 

Cash collateral in the amount of $694,425 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Short QQQ® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the NASDAQ-100® Index   $ (13,418,522 )   $ 713,074    
Equity Index Swap Agreement with Credit Suisse International, based on the NASDAQ-100® Index     (36,875,946 )     (3,993,462 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ-100® Index     (25,997,793 )     (97,215 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the NASDAQ-100® Index     (50,167,356 )     (5,331,581 )  
Equity Index Swap Agreement with Societe Generale, based on the NASDAQ-100® Index     (38,862,540 )     (4,222,454 )  
        $ (12,931,638 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 105



  UltraPro Short Dow30SM  SDOW


 Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 30.3%		  
    Federal Home Loan Bank        
$ 7,271,348     0.07%, due 12/01/10   $ 7,271,348    
  3,247,946     0.09%, due 12/06/10     3,247,946    
    Total U.S. Government & Agency
Securities (Cost $10,519,294)		     10,519,294    
    Repurchase Agreements (a)(b) — 68.2%  
  23,631,273     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $23,631,507		     23,631,273    
    Total Repurchase Agreements
(Cost $23,631,273)		     23,631,273    
    Total Investment Securities
(Cost $34,150,567) † — 98.5%		     34,150,567    
    Other assets less liabilities — 1.5%     503,141    
    Net Assets — 100.0%   $ 34,653,708    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $14,131,049.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short Dow30SM had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Dow Jones Futures Contracts     81     12/17/10   $ 4,452,975     $ (31,671 )  

 

Cash collateral in the amount of $526,500 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Short Dow30SM had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Dow Jones Industrial AverageSM Index   $ (30,141,780 )   $ 1,004,291    
Equity Index Swap Agreement with Credit Suisse International, based on the Dow Jones
Industrial AverageSM Index		     (19,271,932 )     (1,448,079 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones Industrial AverageSM Index     (42,918,255 )     913,590    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones Industrial AverageSM Index     (7,171,511 )     (472,281 )  
        $ (2,479 )  

See accompanying notes to the financial statements.

106 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SPXU  UltraPro Short S&P500®

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 37.5%		  
        Federal Home Loan Bank        
$ 86,827,751     0.07%, due 12/01/10   $ 86,827,751    
  47,065,940     0.09%, due 12/06/10     47,065,940    
        Total U.S. Government & Agency
Securities (Cost $133,893,691)		     133,893,691    
    Repurchase Agreements (a)(b) — 84.6%  
  301,735,878     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $301,738,993		     301,735,878    
        Total Repurchase Agreements
(Cost $301,735,878)		     301,735,878    
        Total Investment Securities
(Cost $435,629,569) † — 122.1% 		    435,629,569    
        Liabilities in excess of
other assets — (22.1%)		     (78,981,701 )  
        Net Assets — 100.0%   $ 356,647,868    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $108,657,692.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short S&P500® had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P 500 Futures Contracts     954     12/17/10   $ 56,262,150     $ 673,950    

 

Cash collateral in the amount of $3,815,832 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Short S&P500® had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index   $ (363,516,217 )   $ (36,363,159 )  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index     (91,922,940 )     3,160,013    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index     (54,476,989 )     330,806    
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index     (272,724,406 )     (18,764,570 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P 500® Index     (63,643,565 )     2,437,291    
Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index     (167,422,075 )     (22,938,637 )  
        $ (72,138,256 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 107


  UltraPro Short MidCap400  SMDD

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 32.1%		  
        Federal Home Loan Bank        
$ 785,230     0.07%, due 12/01/10   $ 785,230    
  291,229     0.09%, due 12/06/10     291,229    
        Total U.S. Government & Agency
Securities (Cost $1,076,459)		     1,076,459    
    Repurchase Agreements (a)(b) — 71.9%  
  2,411,421     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,411,443		     2,411,421    
        Total Repurchase Agreements
(Cost $2,411,421)		     2,411,421    
        Total Investment Securities
(Cost $3,487,880) † — 104.0%		     3,487,880    
        Liabilities in excess of
other assets — (4.0%)		     (135,250 )  
        Net Assets — 100.0%   $ 3,352,630    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,966,463.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short MidCap400 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
E-Mini S&P MidCap 400 Futures Contracts     8     12/17/10   $ 681,360     $ 2,170    

 

Cash collateral in the amount of $60,306 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Short MidCap400 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400TM Index   $ (221,253 )   $ 1,854    
Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400TM Index     (502,883 )     (22,222 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400TM Index     (1,668,155 )     (194,442 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
S&P MidCap 400TM Index		     (2,164,642 )     15,478    
Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400TM Index     (4,785,974 )     12,968    
        $ (186,364 )  

See accompanying notes to the financial statements.

108 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SRTY  UltraPro Short Russell2000


 Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 33.6%		  
    Federal Home Loan Bank        
$ 6,970,185     0.07%, due 12/01/10   $ 6,970,185    
  3,388,998     0.09%, due 12/06/10     3,388,998    
    Total U.S. Government & Agency
Securities (Cost $10,359,183)		     10,359,183    
    Repurchase Agreements (a)(b) — 75.7%  
  23,303,124     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $23,303,358		     23,303,124    
    Total Repurchase Agreements
(Cost $23,303,124)		     23,303,124    
    Total Investment Securities
(Cost $33,662,307) † — 109.3%		     33,662,307    
    Liabilities in excess of
other assets — (9.3%)		     (2,876,515 )  
    Net Assets — 100.0%   $ 30,785,792    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $11,965,693.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraPro Short Russell2000 had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
E-Mini Russell 2000 Futures Contracts     42     12/17/10   $ 3,050,460     $ (2,514 )  

 

Cash collateral in the amount of $185,220 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraPro Short Russell2000 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index   $ (24,319,571 )   $ 341,368    
Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index     (21,423,829 )     (1,931,698 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index     (29,575,391 )     (145,877 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index     (13,987,669 )     (1,307,147 )  
        $ (3,043,354 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 109


  UltraShort Russell1000 Value  SJF

Principal
Amount		     Value  
    U.S. Government & Agency
Securities (a) — 30.1%		  
        Federal Home Loan Bank        
$ 566,227     0.07%, due 12/01/10   $ 566,227    
  342,223     0.09%, due 12/06/10     342,223    
        Total U.S. Government & Agency
Securities (Cost $908,450)		     908,450    
    Repurchase Agreements (a)(b) — 68.0%  
  2,051,024     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,051,045		     2,051,024    
        Total Repurchase Agreements
(Cost $2,051,024)		     2,051,024    
        Total Investment Securities
(Cost $2,959,474) † — 98.1%		     2,959,474    
        Other assets less liabilities — 1.9%     56,263    
        Net Assets — 100.0%   $ 3,015,737    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,274,322.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell1000 Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 1000® Value Index		   $ (53,215 )   $ 2,084    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Value Index     (1,918,453 )     51,114    
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Value Index     (926,195 )     10,382    
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index     (3,134,506 )     9,762    
        $ 73,342    

See accompanying notes to the financial statements.

110 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SFK  UltraShort Russell1000 Growth

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 34.6%		  
    Federal Home Loan Bank        
$ 1,142,915     0.07%, due 12/01/10   $ 1,142,915    
  876,809     0.09%, due 12/06/10     876,809    
    Total U.S. Government & Agency
Securities (Cost $2,019,724)		     2,019,724    
    Repurchase Agreements (a)(b) — 78.4%  
  4,579,170     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,579,222		     4,579,170    
    Total Repurchase Agreements
(Cost $4,579,170)		     4,579,170    
    Total Investment Securities
(Cost $6,598,894) † — 113.0%		     6,598,894    
    Liabilities in excess of
other assets — (13.0%)		     (757,602 )  
    Net Assets — 100.0%   $ 5,841,292    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $2,112,475.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell1000 Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 1000® Growth Index		   $ (215,893 )   $ 5,094    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index     (1,110,886 )     (6,955 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell 1000® Growth Index		     (3,330,927 )     (342,600 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index     (3,628,707 )     (193,082 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index     (3,391,841 )     (202,382 )  
        $ (739,925 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 111


  UltraShort Russell MidCap Value  SJL

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 32.2%		  
    Federal Home Loan Bank        
$ 482,400     0.07%, due 12/01/10   $ 482,400    
  337,254     0.09%, due 12/06/10     337,254    
    Total U.S. Government & Agency
Securities (Cost $819,654)		     819,654    
    Repurchase Agreements (a)(b) — 72.8%  
  1,855,263     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,855,284		     1,855,263    
    Total Repurchase Agreements
(Cost $1,855,263)		     1,855,263    
    Total Investment Securities
(Cost $2,674,917) † — 105.0%		     2,674,917    
    Liabilities in excess of
other assets — (5.0%)		     (128,424 )  
    Net Assets — 100.0%   $ 2,546,493    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $895,725.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell MidCap Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Value Index		   $ (61,605 )   $ 1,837    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index     (1,713,915 )     33,101    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell Midcap® Value Index		     (1,257,123 )     (64,067 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index     (1,156,031 )     (51,872 )  
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index     (905,111 )     (33,939 )  
        $ (114,940 )  

See accompanying notes to the financial statements.

112 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SDK  UltraShort Russell MidCap Growth

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 33.8%		  
    Federal Home Loan Bank        
$ 860,278     0.07%, due 12/01/10   $ 860,278    
  368,564     0.09%, due 12/06/10     368,564    
    Total U.S. Government & Agency
Securities (Cost $1,228,842)		     1,228,842    
    Repurchase Agreements (a)(b) — 76.0%  
  2,758,757     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,758,784		     2,758,757    
    Total Repurchase Agreements
(Cost $2,758,757)		     2,758,757    
    Total Investment Securities
(Cost $3,987,599) † — 109.8%		     3,987,599    
    Liabilities in excess of
other assets — (9.8%)		     (355,383 )  
    Net Assets — 100.0%   $ 3,632,216    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,945,662.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell MidCap Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell Midcap® Growth Index		   $ (39,903 )   $ 124    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index     (1,582,542 )     (13,677 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell Midcap® Growth Index		     (2,487,163 )     (51,279 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index     (911,098 )     (74,640 )  
Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index     (2,247,040 )     (201,364 )  
        $ (340,836 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 113


  UltraShort Russell2000 Value  SJH

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 30.1%		  
    Federal Home Loan Bank        
$ 1,590,823     0.07%, due 12/01/10   $ 1,590,823    
  974,988     0.09%, due 12/06/10     974,988    
    Total U.S. Government & Agency
Securities (Cost $2,565,811)		     2,565,811    
    Repurchase Agreements (a)(b) — 68.0%  
  5,794,275     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $5,794,338		     5,794,275    
    Total Repurchase Agreements
(Cost $5,794,275)		     5,794,275    
    Total Investment Securities
(Cost $8,360,086) † — 98.1%		     8,360,086    
    Other assets less liabilities — 1.9%     165,684    
    Net Assets — 100.0%   $ 8,525,770    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,335,669.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell2000 Value had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Value Index		   $ (198,678 )   $ 4,683    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index     (2,486,545 )     42,652    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell 2000® Value Index		     (9,516,409 )     236,493    
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index     (2,556,854 )     (86,059 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index     (2,294,836 )     (11,130 )  
        $ 186,639    

See accompanying notes to the financial statements.

114 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SKK  UltraShort Russell2000 Growth


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 38.8%		  
    Federal Home Loan Bank        
$ 2,899,665     0.07%, due 12/01/10   $ 2,899,665    
  1,697,240     0.09%, due 12/06/10     1,697,240    
    Total U.S. Government & Agency
Securities (Cost $4,596,905)		     4,596,905    
    Repurchase Agreements (a)(b) — 87.7%  
  10,372,816     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $10,372,925		     10,372,816    
    Total Repurchase Agreements
(Cost $10,372,816)		     10,372,816    
    Total Investment Securities
(Cost $14,969,721) † — 126.5%		     14,969,721    
    Liabilities in excess of
other assets — (26.5%)		     (3,135,218 )  
    Net Assets — 100.0%   $ 11,834,503    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $6,501,398.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Russell2000 Growth had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Depreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
Russell 2000® Growth Index		   $ (46,282 )   $ (394 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Growth Index     (803,902 )     (79,358 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Russell 2000® Growth Index		     (14,077,528 )     (2,113,654 )  
Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Growth Index     (6,734,408 )     (797,121 )  
Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index     (2,006,335 )     (119,935 )  
        $ (3,110,462 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 115


  Short Basic Materials  SBM

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 31.7%		  
    Federal Home Loan Bank        
$ 640,209     0.07%, due 12/01/10   $ 640,209    
  688,103     0.09%, due 12/06/10     688,103    
    Total U.S. Government & Agency
Securities (Cost $1,328,312)		     1,328,312    
    Repurchase Agreements (a)(b) — 72.4%  
  3,030,032     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,030,068		     3,030,032    
    Total Repurchase Agreements
(Cost $3,030,032)		     3,030,032    
    Total Investment Securities
(Cost $4,358,344) † — 104.1%		     4,358,344    
    Liabilities in excess of
other assets — (4.1%)		     (172,032 )  
    Net Assets — 100.0%   $ 4,186,312    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $640,937.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

Short Basic Materials had the following open swap agreements as of November 30, 2010:

    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		   $ (1,482,090 )   $ (104,054 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (794,180 )     4,126    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (1,908,332 )     (60,333 )  
        $ (160,261 )  

See accompanying notes to the financial statements.

116 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SEF  Short Financials


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 28.9%		  
    Federal Home Loan Bank        
$ 15,994,695     0.07%, due 12/01/10   $ 15,994,695    
  18,252,631     0.09%, due 12/06/10     18,252,631    
    Total U.S. Government & Agency
Securities (Cost $34,247,326)		     34,247,326    
    Repurchase Agreements (a)(b) — 66.1%  
  78,206,806     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $78,207,763		     78,206,806    
    Total Repurchase Agreements
(Cost $78,206,806)		     78,206,806    
    Total Investment Securities
(Cost $112,454,132) † — 95.0%		     112,454,132    
    Other assets less liabilities — 5.0%     5,882,121    
    Net Assets — 100.0%   $ 118,336,253    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $20,632,161.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

Short Financials had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Dow Jones
U.S. FinancialsSM Index		   $ (14,924,912 )   $ 863,245    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     (12,837,184 )     519,903    
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. FinancialsSM Index		     (11,725,267 )     663,867    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. FinancialsSM Index		     (7,326,101 )     110,756    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. FinancialsSM Index		     (19,967,769 )     201,152    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     (8,381,989 )     103,155    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     (43,193,745 )     653,001    
        $ 3,115,079    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 117


  Short Oil & Gas  DDG

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 32.4%		  
    Federal Home Loan Bank        
$ 2,193,332     0.07%, due 12/01/10   $ 2,193,332    
  2,085,750     0.09%, due 12/06/10     2,085,750    
    Total U.S. Government & Agency
Securities (Cost $4,279,082)		     4,279,082    
    Repurchase Agreements (a)(b) — 73.6%  
  9,739,406     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $9,739,519		     9,739,406    
    Total Repurchase Agreements
(Cost $9,739,406)		     9,739,406    
    Total Investment Securities
(Cost $14,018,488) † — 106.0%		     14,018,488    
    Liabilities in excess of
other assets — (6.0%)		     (794,511 )  
    Net Assets — 100.0%   $ 13,223,977    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,372,067.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

Short Oil & Gas had the following open swap agreements as of November 30, 2010:

    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		   $ (2,095,964 )   $ (3,395 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     (729,223 )     (12,135 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     (1,311,734 )     (20,345 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Oil & GasSM Index		     (4,822,098 )     (709,792 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Oil & GasSM Index		     (3,708,906 )     (437,446 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     (195,329 )     (288 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     (356,597 )     (578 )  
        $ (1,183,979 )  

See accompanying notes to the financial statements.

118 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  REK  Short Real Estate


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 29.5%		  
    Federal Home Loan Bank        
$ 3,028,105     0.07%, due 12/01/10   $ 3,028,105    
  3,767,173     0.09%, due 12/06/10     3,767,173    
    Total U.S. Government & Agency
Securities (Cost $6,795,278)		     6,795,278    
    Repurchase Agreements (a)(b) — 67.4%  
  15,541,711     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $15,541,903		     15,541,711    
    Total Repurchase Agreements
(Cost $15,541,711)		     15,541,711    
    Total Investment Securities
(Cost $22,336,989) † — 96.9%		     22,336,989    
    Other assets less liabilities — 3.1%     719,828    
    Net Assets — 100.0%   $ 23,056,817    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,247,523.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

Short Real Estate had the following open swap agreements as of November 30, 2010:

    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		   $ (2,522,544 )   $ (189,982 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index     (6,455,255 )     197,628    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Real EstateSM Index		     (1,247,577 )     (72,482 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Real EstateSM Index     (12,824,332 )     815,492    
        $ 750,656    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 119


  Short KBW Regional Banking  KRS


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 28.6%		  
    Federal Home Loan Bank        
$ 4,900,586     0.07%, due 12/01/10   $ 4,900,586    
  4,956,989     0.09%, due 12/06/10     4,956,989    
    Total U.S. Government & Agency
Securities (Cost $9,857,575)		     9,857,575    
    Repurchase Agreements (a)(b) — 65.2%  
  22,461,516     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $22,461,783		     22,461,516    
    Total Repurchase Agreements
(Cost $22,461,516)		     22,461,516    
    Total Investment Securities
(Cost $32,319,091) † — 93.8%		     32,319,091    
    Other assets less liabilities — 6.2%     2,146,274    
    Net Assets — 100.0%   $ 34,465,365    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $8,135,297.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

Short KBW Regional Banking had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Deutsche Bank AG, based on the KBW Regional BankingSM Index   $ (7,369,973 )   $ 213,454    
Equity Index Swap Agreement with Merrill Lynch International, based on the KBW Regional BankingSM Index     (5,221,271 )     807,778    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the KBW Regional
BankingSM Index		     (9,669,350 )     529,455    
Equity Index Swap Agreement with UBS AG, based on the KBW Regional BankingSM Index     (12,283,277 )     631,422    
        $ 2,182,109    

See accompanying notes to the financial statements.

120 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SMN  UltraShort Basic Materials


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 41.2%		  
    Federal Home Loan Bank        
$ 25,923,228     0.07%, due 12/01/10   $ 25,923,228    
  13,574,567     0.09%, due 12/06/10     13,574,567    
    Total U.S. Government & Agency
Securities (Cost $39,497,795)		     39,497,795    
    Repurchase Agreements (a)(b) — 92.9%  
  88,958,928     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $88,959,840		     88,958,928    
    Total Repurchase Agreements
(Cost $88,958,928)		     88,958,928    
    Total Investment Securities
(Cost $128,456,723) † — 134.1%		     128,456,723    
    Liabilities in excess of
other assets — (34.1%)		     (32,665,258 )  
    Net Assets — 100.0%   $ 95,791,465    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $31,590,694.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Basic Materials had the following open swap agreements as of November 30, 2010:

    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		   $ (76,736,723 )   $ (19,326,133 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (23,149,608 )     (384,544 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (3,538,164 )     97,704    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (50,158,050 )     (8,732,609 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones
U.S. Basic MaterialsSM Index		     (23,788,360 )     (3,963,944 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Basic MaterialsSM Index     (14,193,574 )     (218,886 )  
        $ (32,528,412 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 121


  UltraShort Nasdaq Biotechnology  BIS

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 28.9%		  
    Federal Home Loan Bank        
$ 525,480     0.07%, due 12/01/10   $ 525,480    
  322,085     0.09%, due 12/06/10     322,085    
    Total U.S. Government & Agency
Securities (Cost $847,565)		     847,565    
    Repurchase Agreements (a)(b) — 65.2%  
  1,914,025     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,914,045		     1,914,025    
    Total Repurchase Agreements
(Cost $1,914,025)		     1,914,025    
    Total Investment Securities
(Cost $2,761,590) † — 94.1%		     2,761,590    
    Other assets less liabilities — 5.9%     173,812    
    Net Assets — 100.0%   $ 2,935,402    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $971,603.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Nasdaq Biotechnology had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the NASDAQ
Biotechnology Index®		   $ (1,253,028 )   $ 125,427    
Equity Index Swap Agreement with Deutsche Bank AG, based on the NASDAQ Biotechnology Index®     (2,266,633 )     9,153    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the NASDAQ
Biotechnology Index®		     (2,354,772 )     56,170    
        $ 190,750    

See accompanying notes to the financial statements.

122 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SZK  UltraShort Consumer Goods

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 35.3%		  
    Federal Home Loan Bank        
$ 2,234,941     0.07%, due 12/01/10   $ 2,234,941    
  1,806,826     0.09%, due 12/06/10     1,806,826    
    Total U.S. Government & Agency
Securities (Cost $4,041,767)		     4,041,767    
    Repurchase Agreements (a)(b) — 80.1%  
  9,172,236     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $9,172,340		     9,172,236    
    Total Repurchase Agreements
(Cost $9,172,236)		     9,172,236    
    Total Investment Securities
(Cost $13,214,003) † — 115.4%		     13,214,003    
    Liabilities in excess of
other assets — (15.4%)		     (1,767,229 )  
    Net Assets — 100.0%   $ 11,446,774    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,492,584.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Consumer Goods had the following open swap agreements as of November 30, 2010:

    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		   $ (14,068,047 )   $ (1,371,122 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Consumer GoodsSM Index		     (3,051,528 )     28,128    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Consumer GoodsSM Index		     (2,221,177 )     (191,132 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones
U.S. Consumer GoodsSM Index		     (1,492,690 )     (254,807 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer GoodsSM Index     (2,064,912 )     44,890    
        $ (1,744,043 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 123


  UltraShort Consumer Services  SCC


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.1%		  
    Federal Home Loan Bank        
$ 5,801,577     0.07%, due 12/01/10   $ 5,801,577    
  3,995,761     0.09%, due 12/06/10     3,995,761    
    Total U.S. Government & Agency
Securities (Cost $9,797,338)		     9,797,338    
    Repurchase Agreements (a)(b) — 83.8%  
  22,170,134     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $22,170,375		     22,170,134    
    Total Repurchase Agreements
(Cost $22,170,134)		     22,170,134    
    Total Investment Securities
(Cost $31,967,472) † — 120.9%		     31,967,472    
    Liabilities in excess of
other assets — (20.9%)		     (5,523,659 )  
    Net Assets — 100.0%   $ 26,443,813    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $11,158,026.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Consumer Services had the following open swap agreements as of November 30, 2010:

    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 ServicesSM Index		   $ (3,389,480 )   $ (1,026,914 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. Consumer ServicesSM Index		     (10,816,533 )     110,605    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Consumer ServicesSM Index		     (9,845,062 )     (911,326 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones
U.S. Consumer ServicesSM Index		     (22,000,897 )     (3,606,381 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones
U.S. Consumer ServicesSM Index		     (6,708,014 )     (46,360 )  
        $ (5,480,376 )  

See accompanying notes to the financial statements.

124 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SKF  UltraShort Financials


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 29.0%		  
    Federal Home Loan Bank        
$ 89,128,516     0.07%, due 12/01/10   $ 89,128,516    
  54,313,497     0.09%, due 12/06/10     54,313,497    
    Total U.S. Government & Agency
Securities (Cost $143,442,013)		     143,442,013    
    Repurchase Agreements (a)(b) — 65.4%  
  323,897,703     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $323,901,140		     323,897,703    
    Total Repurchase Agreements
(Cost $323,897,703)		     323,897,703    
    Total Investment Securities
(Cost $467,339,716) † — 94.4%		     467,339,716    
    Other assets less liabilities — 5.6%     27,873,811    
    Net Assets — 100.0%   $ 495,213,527    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $189,934,334.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Financials had the following open swap agreements as of November 30, 2010:

    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		   $ (67,719,776 )   $ 3,364,061    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index     (110,713,083 )     2,955,851    
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. FinancialsSM Index		     (48,081,240 )     1,545,879    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. FinancialsSM Index		     (20,867,749 )     (2,095,345 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. FinancialsSM Index		     (145,811,511 )     1,468,880    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index     (100,999,265 )     1,242,976    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index     (496,306,611 )     7,503,146    
        $ 15,985,448    

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 125


  UltraShort Health Care  RXD

Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 30.5%		  
    Federal Home Loan Bank        
$ 804,782     0.07%, due 12/01/10   $ 804,782    
  677,383     0.09%, due 12/06/10     677,383    
    Total U.S. Government & Agency
Securities (Cost $1,482,165)		     1,482,165    
    Repurchase Agreements (a)(b) — 69.4%  
  3,366,018     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,366,055		     3,366,018    
    Total Repurchase Agreements
(Cost $3,366,018)		     3,366,018    
    Total Investment Securities
(Cost $4,848,183) † — 99.9%		     4,848,183    
    Other assets less liabilities — 0.1%     4,933    
    Net Assets — 100.0%   $ 4,853,116    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $601,208.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Health Care had the following open swap agreements as of November 30, 2010:

    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		   $ (5,969,955 )   $ (77,949 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Health CareSM Index     (1,604,721 )     36,742    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Health CareSM Index     (951,661 )     31,690    
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Health CareSM Index     (1,176,207 )     27,244    
        $ 17,727    

See accompanying notes to the financial statements.

126 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)



  SIJ  UltraShort Industrials


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 34.7%		  
    Federal Home Loan Bank        
$ 2,022,666     0.07%, due 12/01/10   $ 2,022,666    
  1,589,624     0.09%, due 12/06/10     1,589,624    
    Total U.S. Government & Agency
Securities (Cost $3,612,290)		     3,612,290    
    Repurchase Agreements (a)(b) — 78.8%  
  8,193,420     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $8,193,512		     8,193,420    
    Total Repurchase Agreements
(Cost $8,193,420)		     8,193,420    
    Total Investment Securities
(Cost $11,805,710) † — 113.5%		     11,805,710    
    Liabilities in excess of
other assets — (13.5%)		     (1,400,871 )  
    Net Assets — 100.0%   $ 10,404,839    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,815,619.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Industrials had the following open swap agreements as of November 30, 2010:

    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		   $ (111,501 )   $ 2,068    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones
U.S. IndustrialsSM Index		     (3,435,267 )     4,547    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. IndustrialsSM Index		     (10,801,795 )     (728,287 )  
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. IndustrialsSM Index		     (2,487,037 )     (527,224 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. IndustrialsSM Index     (1,868,105 )     (165,277 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index     (2,104,912 )     38,785    
        $ (1,375,388 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 127


  UltraShort Oil & Gas  DUG


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 40.7%		  
    Federal Home Loan Bank        
$ 23,757,221     0.07%, due 12/01/10   $ 23,757,221    
  16,563,672     0.09%, due 12/06/10     16,563,672    
    Total U.S. Government & Agency
Securities (Cost $40,320,893)		     40,320,893    
    Repurchase Agreements (a)(b) — 92.0%  
  91,260,790     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $91,261,790		     91,260,790    
    Total Repurchase Agreements
(Cost $91,260,790)		     91,260,790    
    Total Investment Securities
(Cost $131,581,683) † — 132.7%		     131,581,683    
    Liabilities in excess of
other assets — (32.7%)		     (32,408,755 )  
    Net Assets — 100.0%   $ 99,172,928    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $49,665,410.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Oil & Gas had the following open swap agreements as of November 30, 2010:  

 

    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		   $ (6,403,510 )   $ (10,371 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Oil & GasSM Index     (8,238,380 )     (121,231 )  
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Oil & GasSM Index		     (1,242,340 )     (523,445 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Oil & GasSM Index		     (146,729,560 )     (21,434,767 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Oil & GasSM Index     (31,626,549 )     (3,696,253 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Oil & GasSM Index     (4,109,912 )     (493,041 )  
    $ (26,279,108 )  

See accompanying notes to the financial statements.

128 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SRS  UltraShort Real Estate


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.0%		  
    Federal Home Loan Bank        
$ 64,346,102     0.07%, due 12/01/10   $ 64,346,102    
  51,176,042     0.09%, due 12/06/10     51,176,042    
    Total U.S. Government & Agency
Securities (Cost $115,522,144)		     115,522,144    
    Repurchase Agreements (a)(b) — 83.9%  
  262,084,356     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $262,087,314		     262,084,356    
    Total Repurchase Agreements
(Cost $262,084,356)		     262,084,356    
    Total Investment Securities
(Cost $377,606,500) † — 120.9%		     377,606,500    
    Liabilities in excess of
other assets — (20.9%)		     (65,293,282 )  
    Net Assets — 100.0%   $ 312,313,218    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $127,528,715.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Real Estate had the following open swap agreements as of November 30, 2010:

    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		   $ (1,668,075 )   $ 101,613    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Real EstateSM Index     (42,053,269 )     3,227,381    
Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones
U.S. Real EstateSM Index		     (56,924,348 )     (907,205 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. Real EstateSM Index		     (26,880,961 )     1,637,483    
Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones
U.S. Real EstateSM Index		     (11,264,309 )     (2,962,180 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Real EstateSM Index     (461,797,948 )     (79,314,200 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Real EstateSM Index     (23,992,525 )     847,000    
        $ (77,370,108 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 129


  UltraShort Semiconductors  SSG


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.1%		  
    Federal Home Loan Bank        
$ 4,545,079     0.07%, due 12/01/10   $ 4,545,079    
  3,597,484     0.09%, due 12/06/10     3,597,484    
    Total U.S. Government & Agency
Securities (Cost $8,142,563)		     8,142,563    
    Repurchase Agreements (a)(b) — 84.2%  
  18,471,383     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $18,471,591		     18,471,383    
    Total Repurchase Agreements
(Cost $18,471,383)		     18,471,383    
    Total Investment Securities
(Cost $26,613,946) † — 121.3%		     26,613,946    
    Liabilities in excess of
other assets — (21.3%)		     (4,680,461 )  
    Net Assets — 100.0%   $ 21,933,485    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $7,058,689.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Semiconductors had the following open swap agreements as of November 30, 2010:

    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		   $ (8,480,261 )   $ (797,153 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. SemiconductorsSM Index     (5,610,951 )     (1,966 )  
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. SemiconductorsSM Index		     (3,977,748 )     (401,059 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. SemiconductorsSM Index     (21,370,774 )     (3,385,481 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. SemiconductorsSM Index     (4,422,082 )     (60,134 )  
        $ (4,645,793 )  

See accompanying notes to the financial statements.

130 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  REW  UltraShort Technology


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 34.1%		  
    Federal Home Loan Bank        
$ 4,180,769     0.07%, due 12/01/10   $ 4,180,769    
  3,396,225     0.09%, due 12/06/10     3,396,225    
    Total U.S. Government & Agency
Securities (Cost $7,576,994)		     7,576,994    
    Repurchase Agreements (a)(b) — 77.3%  
  17,196,439     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $17,196,634		     17,196,439    
    Total Repurchase Agreements
(Cost $17,196,439)		     17,196,439    
    Total Investment Securities
(Cost $24,773,433) † — 111.4%		     24,773,433    
    Liabilities in excess of
other assets — (11.4%)		     (2,536,115 )  
    Net Assets — 100.0%   $ 22,237,318    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,258,030.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Technology had the following open swap agreements as of November 30, 2010:

    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		   $ (22,533,010 )   $ (1,799,391 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. TechnologySM Index     (8,935,397 )     246,153    
Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones
U.S. TechnologySM Index		     (3,565,020 )     (265,628 )  
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. TechnologySM Index     (4,636,256 )     (825,039 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. TechnologySM Index     (4,794,293 )     144,297    
        $ (2,499,608 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 131


  UltraShort Telecommunications  TLL


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.5%		  
    Federal Home Loan Bank        
$ 311,560     0.07%, due 12/01/10   $ 311,560    
  268,418     0.09%, due 12/06/10     268,418    
    Total U.S. Government & Agency
Securities (Cost $579,978)		     579,978    
    Repurchase Agreements (a)(b) — 85.3%  
  1,317,694     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,317,709		     1,317,694    
    Total Repurchase Agreements
(Cost $1,317,694)		     1,317,694    
    Total Investment Securities
(Cost $1,897,672) † — 122.8%		     1,897,672    
    Liabilities in excess of
other assets — (22.8%)		     (352,344 )  
    Net Assets — 100.0%   $ 1,545,328    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $377,346.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Telecommunications had the following open swap agreements as of November 30, 2010:

    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		   $ (523,514 )   $ 14,284    
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     (579,500 )     14,585    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     (1,627,608 )     (358,674 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Select
TelecommunicationsSM Index		     (359,212 )     2,016    
        $ (327,789 )  

See accompanying notes to the financial statements.

132 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  SDP  UltraShort Utilities


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 32.7%		  
    Federal Home Loan Bank        
$ 974,250     0.07%, due 12/01/10   $ 974,250    
  1,175,672     0.09%, due 12/06/10     1,175,672    
    Total U.S. Government & Agency
Securities (Cost $2,149,922)		     2,149,922    
    Repurchase Agreements (a)(b) — 74.8%  
  4,914,477     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $4,914,539		     4,914,477    
    Total Repurchase Agreements
(Cost $4,914,477)		     4,914,477    
    Total Investment Securities
(Cost $7,064,399) † — 107.5%		     7,064,399    
    Liabilities in excess of
other assets — (7.5%)		     (490,178 )  
    Net Assets — 100.0%   $ 6,574,221    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $1,167,413.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements

UltraShort Utilities had the following open swap agreements as of November 30, 2010:

    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		   $ (953,345 )   $ (67,472 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. UtilitiesSM Index     (2,044,088 )     46,157    
Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. UtilitiesSM Index     (8,783,150 )     (485,998 )  
Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. UtilitiesSM Index     (1,369,239 )     35,670    
        $ (471,643 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 133


  Short MSCI EAFE  EFZ


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 31.7%		  
    Federal Home Loan Bank        
$ 16,796,366     0.07%, due 12/01/10   $ 16,796,366    
  20,711,473     0.09%, due 12/06/10     20,711,473    
    Total U.S. Government & Agency
Securities (Cost $37,507,839)		     37,507,839    
    Repurchase Agreements (a)(b) — 72.4%  
  85,771,857     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $85,772,921		     85,771,857    
    Total Repurchase Agreements
(Cost $85,771,857)		     85,771,857    
    Total Investment Securities
(Cost $123,279,696) † — 104.1%		     123,279,696    
    Liabilities in excess of
other assets — (4.1%)		     (4,908,647 )  
    Net Assets — 100.0%   $ 118,371,049    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $20,191,651.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Short MSCI EAFE had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI EAFE Index®   $ (10,816,796 )   $ (515,845 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     (33,378,831 )     1,771,104    
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI EAFE Index®     (11,003,336 )     313,630    
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     (36,402,771 )     (3,025,814 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI EAFE Index®     (26,630,298 )     (4,998,865 )  
        $ (6,455,790 )  

 

††  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.

134 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EUM  Short MSCI Emerging Markets


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 30.0%		  
    Federal Home Loan Bank        
$ 30,462,265     0.07%, due 12/01/10   $ 30,462,265    
  40,789,571     0.09%, due 12/06/10     40,789,571    
    Total U.S. Government & Agency
Securities (Cost $71,251,836)		     71,251,836    
    Repurchase Agreements (a)(b) — 68.6%  
  163,175,904     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $163,177,963		     163,175,904    
    Total Repurchase Agreements
(Cost $163,175,904)		     163,175,904    
    Total Investment Securities
(Cost $234,427,740) † — 98.6%		     234,427,740    
    Other assets less liabilities — 1.4%     3,262,899    
    Net Assets — 100.0%   $ 237,690,639    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $12,282,577.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Short MSCI Emerging Markets had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI
Emerging Markets Index®		   $ (78,203,663 )   $ (8,325,614 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     (27,160,957 )     825,746    
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI
Emerging Markets Index®		     (7,220,899 )     570,791    
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     (73,846,729 )     4,369,901    
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     (50,891,015 )     4,029,336    
        $ 1,470,160    

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 135


  Short FTSE China 25  YXI


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 24.9%		  
    Federal Home Loan Bank        
$ 405,014     0.07%, due 12/01/10   $ 405,014    
  677,674     0.09%, due 12/06/10     677,674    
    Total U.S. Government & Agency
Securities (Cost $1,082,688)		     1,082,688    
    Repurchase Agreements (a)(b) — 57.4%  
  2,489,076     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,489,107		     2,489,076    
    Total Repurchase Agreements
(Cost $2,489,076)		     2,489,076    
    Total Investment Securities
(Cost $3,571,764) † — 82.3%		     3,571,764    
    Other assets less liabilities — 17.7%     768,076    
    Net Assets — 100.0%   $ 4,339,840    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $265,579.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

Short FTSE China 25 had the following open swap agreements as of November 30, 2010:  

 

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Deutsche Bank AG, based on the FTSE China 25 Index®   $ (860,762 )   $ 29,556    
Equity Index Swap Agreement with Goldman Sachs International, based on the FTSE China 25 Index®     (752,144 )     78,560    
Equity Index Swap Agreement with Societe Generale, based on the FTSE China 25 Index®     (1,618,477 )     99,962    
Equity Index Swap Agreement with UBS AG, based on the FTSE China 25 Index®     (1,112,108 )     63,539    
    $ 271,617    

 

††  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.

136 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EFU  UltraShort MSCI EAFE


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 34.4%		  
    Federal Home Loan Bank        
$ 3,848,111     0.07%, due 12/01/10   $ 3,848,111    
  3,493,330     0.09%, due 12/06/10     3,493,330    
    Total U.S. Government & Agency
Securities (Cost $7,341,441)		     7,341,441    
    Repurchase Agreements (a)(b) — 78.3%  
  16,695,396     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $16,695,590		     16,695,396    
    Total Repurchase Agreements
(Cost $16,695,396)		     16,695,396    
    Total Investment Securities
(Cost $24,036,837) † — 112.7%		     24,036,837    
    Liabilities in excess of
other assets — (12.7%)		     (2,702,271 )  
    Net Assets — 100.0%   $ 21,334,566    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $6,831,397.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI EAFE had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI EAFE Index®   $ (1,071,504 )   $ 90,035    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI EAFE Index®     (9,817,928 )     348,284    
Equity Index Swap Agreement with Societe Generale, based on the MSCI EAFE Index®     (29,018,831 )     (3,208,939 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI EAFE Index®     (2,720,053 )     132,095    
        $ (2,638,525 )  

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 137


  UltraShort MSCI Emerging Markets  EEV


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.7%		  
    Federal Home Loan Bank        
$ 27,466,170     0.07%, due 12/01/10   $ 27,466,170    
  17,853,802     0.09%, due 12/06/10     17,853,802    
    Total U.S. Government & Agency
Securities (Cost $45,319,972)		     45,319,972    
    Repurchase Agreements (a)(b) — 85.1%  
  102,449,119     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $102,450,221		     102,449,119    
    Total Repurchase Agreements
(Cost $102,449,119)		     102,449,119    
    Total Investment Securities
(Cost $147,769,091) † — 122.8%		     147,769,091    
    Liabilities in excess of
other assets — (22.8%)		     (27,402,707 )  
    Net Assets — 100.0%   $ 120,366,384    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $16,764,922.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Emerging Markets had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Emerging Markets Index®		   $ (101,859,245 )   $ (25,118,500 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Emerging Markets Index®     (26,003,327 )     1,316,184    
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI Emerging Markets Index®     (17,666,891 )     29,742    
Equity Index Swap Agreement with Societe Generale, based on the MSCI Emerging Markets Index®     (78,921,517 )     (6,049,487 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Emerging Markets Index®     (15,734,915 )     541,492    
        $ (29,280,569 )  

 

††  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.

138 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EPV  UltraShort MSCI Europe


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 32.8%		  
    Federal Home Loan Bank        
$ 13,004,991     0.07%, due 12/01/10   $ 13,004,991    
  9,633,029     0.09%, due 12/06/10     9,633,029    
    Total U.S. Government & Agency
Securities (Cost $22,638,020)		     22,638,020    
    Repurchase Agreements (a)(b) — 74.2%  
  51,293,244     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $51,293,814		     51,293,244    
    Total Repurchase Agreements
(Cost $51,293,244)		     51,293,244    
    Total Investment Securities
(Cost $73,931,264) † — 107.0%		     73,931,264    
    Liabilities in excess of
other assets — (7.0%)		     (4,836,123 )  
    Net Assets — 100.0%   $ 69,095,141    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $21,035,336.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Europe had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Europe Index®		   $ (3,493,431 )   $ (5,288,664 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Europe Index®     (44,610,466 )     2,657,772    
Equity Index Swap Agreement with Goldman Sachs International, based on the MSCI Europe Index®     (14,106,856 )     884,379    
Equity Index Swap Agreement with Societe Generale, based on the MSCI Europe Index®     (59,374,583 )     (9,670,315 )  
Equity Index Swap Agreement with UBS AG, based on the MSCI Europe Index®     (15,938,016 )     1,185,670    
        $ (10,231,158 )  

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 139


  UltraShort MSCI Pacific ex-Japan  JPX


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 21.3%		  
    Federal Home Loan Bank        
$ 308,110     0.07%, due 12/01/10   $ 308,110    
  234,275     0.09%, due 12/06/10     234,275    
    Total U.S. Government & Agency
Securities (Cost $542,385)		     542,385    
    Repurchase Agreements (a)(b) — 48.4%  
  1,229,511     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,229,524		     1,229,511    
    Total Repurchase Agreements
(Cost $1,229,511)		     1,229,511    
    Total Investment Securities
(Cost $1,771,896) † — 69.7%		     1,771,896    
    Other assets less liabilities — 30.3%     770,795    
    Net Assets — 100.0%   $ 2,542,691    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $157,346.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Pacific ex-Japan had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Pacific ex-Japan Index®		   $ (2,117,963 )   $ 54,328    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Pacific ex-Japan Index®     (2,595,002 )     49,875    
Equity Index Swap Agreement with UBS AG, based on the MSCI Pacific ex-Japan Index®     (371,076 )     34,411    
    $ 138,614    

 

††  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.

140 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  BZQ  UltraShort MSCI Brazil


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 29.4%		  
    Federal Home Loan Bank        
$ 3,629,261     0.07%, due 12/01/10   $ 3,629,261    
  2,789,801     0.09%, due 12/06/10     2,789,801    
    Total U.S. Government & Agency
Securities (Cost $6,419,062)		     6,419,062    
    Repurchase Agreements (a)(b) — 66.8%  
  14,553,971     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $14,554,135		     14,553,971    
    Total Repurchase Agreements
(Cost $14,553,971)		     14,553,971    
    Total Investment Securities
(Cost $20,973,033) † — 96.2%		     20,973,033    
    Other assets less liabilities — 3.8%     832,743    
    Net Assets — 100.0%   $ 21,805,776    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $6,890,656.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Brazil had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the MSCI Brazil Index®   $ (2,325,876 )   $ 184,631    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Brazil Index®     (14,393,390 )     320,455    
Equity Index Swap Agreement with Societe Generale, based on the MSCI Brazil Index®     (4,257,131 )     334,987    
Equity Index Swap Agreement with UBS AG, based on the MSCI Brazil Index®     (22,864,942 )     22,947    
    $ 863,020    

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 141


  UltraShort FTSE China 25  FXP


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 37.3%		  
    Federal Home Loan Bank        
$ 45,868,606     0.07%, due 12/01/10   $ 45,868,606    
  30,482,194     0.09%, due 12/06/10     30,482,194    
    Total U.S. Government & Agency
Securities (Cost $76,350,800)		     76,350,800    
    Repurchase Agreements (a)(b) — 84.5%  
  172,663,434     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $172,665,302		     172,663,434    
    Total Repurchase Agreements
(Cost $172,663,434)		     172,663,434    
    Total Investment Securities
(Cost $249,014,234) † — 121.8%		     249,014,234    
    Liabilities in excess of
other assets — (21.8%)		     (44,554,014 )  
    Net Assets — 100.0%   $ 204,460,220    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $39,748,222.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort FTSE China 25 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
FTSE China 25 Index®		   $ (151,755,158 )   $ (33,532,003 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the FTSE China 25 Index®     (33,754,405 )     1,690,332    
Equity Index Swap Agreement with Goldman Sachs International, based on the FTSE China 25 Index®     (22,932,374 )     1,038,281    
Equity Index Swap Agreement with Societe Generale, based on the FTSE China 25 Index®     (173,193,378 )     (18,263,900 )  
Equity Index Swap Agreement with UBS AG, based on the FTSE China 25 Index®     (27,009,223 )     1,029,661    
        $ (48,037,629 )  

 

††  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.

142 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  EWV  UltraShort MSCI Japan


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 30.8%		  
    Federal Home Loan Bank        
$ 2,221,269     0.07%, due 12/01/10   $ 2,221,269    
  2,306,649     0.09%, due 12/06/10     2,306,649    
    Total U.S. Government & Agency
Securities (Cost $4,527,918)		     4,527,918    
    Repurchase Agreements (a)(b) — 70.1%  
  10,322,259     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $10,322,383		     10,322,259    
    Total Repurchase Agreements
(Cost $10,322,259)		     10,322,259    
    Total Investment Securities
(Cost $14,850,177) † — 100.9%		     14,850,177    
    Liabilities in excess of
other assets — (0.9%)		     (125,585 )  
    Net Assets — 100.0%   $ 14,724,592    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $3,040,665.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Japan had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Japan Index®		   $ (4,530,364 )   $ (148,860 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Japan Index®     (13,277,490 )     (9,202 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Japan Index®     (7,414,647 )     52,324    
Equity Index Swap Agreement with UBS AG, based on the MSCI Japan Index®     (4,230,319 )     32,339    
        $ (73,399 )  

 

††  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, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 143


  UltraShort MSCI Mexico Investable Market  SMK


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 38.2%		  
    Federal Home Loan Bank        
$ 579,394     0.07%, due 12/01/10   $ 579,394    
  548,816     0.09%, due 12/06/10     548,816    
    Total U.S. Government & Agency
Securities (Cost $1,128,210)		     1,128,210    
    Repurchase Agreements (a)(b) — 86.9%  
  2,567,678     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $2,567,708		     2,567,678    
    Total Repurchase Agreements
(Cost $2,567,678)		     2,567,678    
    Total Investment Securities
(Cost $3,695,888) † — 125.1%		     3,695,888    
    Liabilities in excess of
other assets — (25.1%)		     (741,328 )  
    Net Assets — 100.0%   $ 2,954,560    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $732,027.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Swap Agreements ††

UltraShort MSCI Mexico Investable Market had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the
MSCI Mexico Investable Market Index®		   $ (1,220,849 )   $ 14,395    
Equity Index Swap Agreement with Deutsche Bank AG, based on the MSCI Mexico Investable Market Index®     (1,031,007 )     (25,786 )  
Equity Index Swap Agreement with Societe Generale, based on the MSCI Mexico Investable Market Index®     (3,673,698 )     (718,204 )  
        $ (729,595 )  

 

††  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.

144 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  TBF  Short 20+ Year Treasury


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 30.5%		  
    Federal Home Loan Bank        
$ 74,539,308     0.07%, due 12/01/10   $ 74,539,308    
  137,803,844     0.09%, due 12/06/10     137,803,844    
    Total U.S. Government & Agency
Securities (Cost $212,343,152)		     212,343,152    
    Repurchase Agreements (a)(b) — 70.2%  
  488,982,534     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $488,989,082		     488,982,534    
    Total Repurchase Agreements
(Cost $488,982,534)		     488,982,534    
    Total Investment Securities
(Cost $701,325,686) † — 100.7%		     701,325,686    
    Liabilities in excess of
other assets — (0.7%)		     (4,617,541 )  
    Net Assets — 100.0%   $ 696,708,145    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $15,697,116.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. Long Bond Futures Contracts     188     03/22/11   $ 23,928,875     $ (95,549 )  

 

Cash collateral in the amount of $634,459 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

Short 20+ Year Treasury had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Bond Index Swap Agreement with Citibank, N.A., based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		   $ (184,759,227 )   $ (4,472,461 )  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (164,493,344 )     (2,396,830 )  
Bond Index Swap Agreement with Deutsche Bank AG, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (143,916,170 )     (1,334,225 )  
Bond Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Barclays
Capital 20+ Year U.S. Treasury Bond Index		     (183,965,233 )     1,594,941    
        $ (6,608,575 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 145


  UltraShort 7-10 Year Treasury  PST


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 29.2%		  
    Federal Home Loan Bank        
$ 44,655,345     0.07%, due 12/01/10   $ 44,655,345    
  80,412,738     0.09%, due 12/06/10     80,412,738    
    Total U.S. Government & Agency
Securities (Cost $125,068,083)		     125,068,083    
    Repurchase Agreements (a)(b) — 67.1%  
  287,881,463     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $287,885,300		     287,881,463    
    Total Repurchase Agreements
(Cost $287,881,463)		     287,881,463    
    Total Investment Securities
(Cost $412,949,546) † — 96.3%		     412,949,546    
    Other assets less liabilities — 3.7%     15,795,956    
    Net Assets — 100.0%   $ 428,745,502    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $10,217,681.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort 7-10 Year Treasury had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Appreciation		  
U.S. 10 Year Note Futures Contracts     122     03/22/11   $ 15,141,344     $ 69,411    

 

Cash collateral in the amount of $292,951 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort 7-10 Year Treasury had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation		  
Bond Index Swap Agreement with Citibank, N.A., based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		   $ (108,046,951 )   $ 1,453,736    
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     (206,068,086 )     2,081,808    
Bond Index Swap Agreement with Deutsche Bank AG, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     (179,236,711 )     2,324,505    
Bond Index Swap Agreement with Goldman Sachs International, based on the Barclays Capital 7-10 Year
U.S. Treasury Bond Index		     (17,520,713 )     287,618    
Bond Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Barclays Capital
7-10 Year U.S. Treasury Bond Index		     (334,650,287 )     5,366,637    
    $ 11,514,304    

See accompanying notes to the financial statements.

146 :: Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  TBT   UltraShort 20+ Year Treasury


 Principal
Amount 
 
  Value  
    U.S. Government & Agency
Securities (a) — 32.4%		  
    Federal Home Loan Bank        
$ 773,885,391     0.07%, due 12/01/10   $ 773,885,391    
  877,593,081     0.09%, due 12/06/10     877,593,081    
    Total U.S. Government & Agency
Securities (Cost $1,651,478,472)		     1,651,478,472    
    Repurchase Agreements (a)(b) — 73.9%  
  3,770,869,102     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $3,770,915,092		     3,770,869,102    
    Total Repurchase Agreements
(Cost $3,770,869,102)		     3,770,869,102    
    Total Investment Securities
(Cost $5,422,347,574) † — 106.3%		     5,422,347,574    
    Liabilities in excess of
other assets — (6.3%)		     (320,755,442 )  
    Net Assets — 100.0%   $ 5,101,592,132    

 

(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. At 11/30/10, the aggregate amount held in a segregated account was $533,725,240.

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

†  Tax basis equals book cost.

Futures Contracts Sold

UltraShort 20+ Year Treasury had the following open short futures contracts as of November 30, 2010:

    Number of
Contracts		   Expiration Date   Notional Amount
at Value		   Unrealized
Depreciation		  
U.S. Long Bond Futures Contracts     1,960     03/22/11   $ 249,471,250     $ (233,524 )  

 

Cash collateral in the amount of $5,264,636 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

Swap Agreements

UltraShort 20+ Year Treasury had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Bond Index Swap Agreement with Citibank, N.A., based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		   $ (2,175,975,775 )   $ (64,770,747 )  
Bond Index Swap Agreement with Credit Suisse International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (4,418,529,296 )     (291,457,936 )  
Bond Index Swap Agreement with Deutsche Bank AG, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (1,041,184,679 )     (35,035,105 )  
Bond Index Swap Agreement with Goldman Sachs International, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (392,765,310 )     (2,781,655 )  
Bond Index Swap Agreement with Morgan Stanley & Co. International plc, based on the
Barclays Capital 20+ Year U.S. Treasury Bond Index		     (460,314,782 )     22,778,383    
Bond Index Swap Agreement with UBS AG, based on the Barclays Capital 20+ Year
U.S. Treasury Bond Index		     (1,485,658,830 )     (108,494,476 )  
        $ (479,761,536 )  

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Schedule of Portfolio Investments :: 147


  Credit Suisse 130/30  CSM

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) — 98.3%  
  3,120     Apache Corp. (Energy)     0.6 %   $ 335,837    
  4,341     Apple, Inc.*
(Information Technology)		     2.3 %     1,350,702    
  30,271     AT&T, Inc.
(Telecommunication
Services)		     1.4 %     841,231    
  29,173     Bank of America Corp.
(Financials)		     0.5 %     319,444    
  11,685     Bank of New York
Mellon Corp. (The)
(Financials)		     0.5 %     315,378    
  6,305     Broadcom Corp., Class A
(Information Technology)		     0.5 %     280,509    
  4,903     Celgene Corp.*
(Health Care)		     0.5 %     291,140    
  10,282     Chevron Corp. (Energy)     1.4 %     832,534    
  22,158     Cisco Systems, Inc.*
(Information Technology)		     0.7 %     424,547    
  66,038     Citigroup, Inc.* (Financials)     0.5 %     277,360    
  12,057     Coca-Cola Co. (The)
(Consumer Staples)		     1.3 %     761,641    
  16,058     Comcast Corp., Class A
(Consumer Discretionary)		     0.6 %     321,160    
  16,196     Corning, Inc.
(Information Technology)		     0.5 %     286,021    
  4,576     CSX Corp. (Industrials)     0.5 %     278,267    
  9,492     Eli Lilly & Co. (Health Care)     0.6 %     319,501    
  5,662     Express Scripts, Inc.*
(Health Care)		     0.5 %     294,934    
  17,871     Exxon Mobil Corp. (Energy)     2.1 %     1,243,107    
  3,259     FedEx Corp. (Industrials)     0.5 %     296,960    
  24,799     Ford Motor Co.*
(Consumer Discretionary)		     0.7 %     395,296    
  3,569     Freeport-McMoRan
Copper & Gold, Inc.
(Materials)		     0.6 %     361,611    
  33,799     General Electric Co.
(Industrials)		     0.9 %     535,038    
  8,132     Gilead Sciences, Inc.*
(Health Care)		     0.5 %     296,818    
  739     Google, Inc., Class A*
(Information Technology)		     0.7 %     410,670    
  31,537     Intel Corp.
(Information Technology)		     1.1 %     666,061    
  3,982     International Business
Machines Corp.
(Information Technology)		     1.0 %     563,294    
  10,097     Johnson & Johnson
(Health Care)		     1.1 %     621,470    
  7,669     Johnson Controls, Inc.
(Consumer Discretionary)		     0.5 %     279,458    
  12,110     JPMorgan Chase & Co.
(Financials)		     0.8 %     452,672    

 

Shares  
  Percentage of
Net Assets		   Value  
    Common Stocks (a) (continued)  
  8,251     Marathon Oil Corp.
(Energy)		     0.5 %   $ 276,161    
  4,792     Medco Health Solutions,
Inc.* (Health Care)		     0.5 %     293,845    
  10,780     Merck & Co., Inc.
(Health Care)		     0.6 %     371,587    
  8,463     MetLife, Inc. (Financials)     0.6 %     322,863    
  38,326     Microsoft Corp.
(Information Technology)		     1.6 %     966,198    
  12,900     Morgan Stanley
(Financials)		     0.5 %     315,534    
  4,879     Newmont Mining Corp.
(Materials)		     0.5 %     287,032    
  21,820     News Corp., Class A
(Consumer Discretionary)		     0.5 %     297,625    
  13,321     Oracle Corp.
(Information Technology)		     0.6 %     360,200    
  9,374     PepsiCo, Inc.
(Consumer Staples)		     1.0 %     605,842    
  23,363     Pfizer, Inc. (Health Care)     0.6 %     380,583    
  9,470     Philip Morris International,
Inc. (Consumer Staples)		     0.9 %     538,748    
  8,946     Procter & Gamble Co. (The)
(Consumer Staples)		     0.9 %     546,332    
  2,031     Salesforce.com, Inc.*
(Information Technology)		     0.5 %     282,756    
  6,120     Target Corp.
(Consumer Discretionary)		     0.6 %     348,473    
  5,207     Travelers Cos., Inc. (The)
(Financials)		     0.5 %     281,126    
  15,426     U.S. Bancorp (Financials)     0.6 %     366,830    
  6,768     United Parcel Service, Inc.,
Class B (Industrials)		     0.8 %     474,640    
  10,576     Verizon Communications,
Inc. (Telecommunication
Services)		     0.6 %     338,538    
  7,664     Wal-Mart Stores, Inc.
(Consumer Staples)		     0.7 %     414,546    
  19,109     Wells Fargo & Co.
(Financials)		     0.9 %     519,956    
  1,275,731     Other Common Stocks     60.4 %     35,451,523    
        Total Common Stocks
(Cost $53,774,493)		         57,693,599    
Principal
Amount		  
 
 
 
    U.S. Government & Agency
Securities (a) — 0.9%		  
        Federal Home Loan Bank,            
$ 209,931     0.07%, due 12/01/10           209,931    
  339,427     0.09%, due 12/06/10           339,427    
        Total U.S. Government & Agency
Securities (Cost $549,358)		           549,358    

 

See accompanying notes to the financial statements.

148 :: Summary Schedule of Portfolio Investments :: November 30, 2010 (Unaudited)


  CSM  Credit Suisse 130/30

Principal
Amount		     Value  
    Repurchase Agreements (a)(b) — 2.2%  
$ 1,262,231     Repurchase Agreements with
various counterparties,
rates 0.22% - 0.25%,
dated 11/29/10 - 11/30/10,
due 12/01/10 - 12/06/10, total
to be received $1,262,248		   $ 1,262,231    
    Total Repurchase Agreements
(Cost $1,262,231)		     1,262,231    
    Total Investment Securities
(Cost $55,586,082) — 101.4%		     59,505,188    
    Liabilities in excess of
other assets — (1.4%)		     (801,069 )  
    Net Assets — 100.0%   $ 58,704,119    

 

*  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. At 11/30/10, the aggregate amount held in a segregated account was $9,020,846.

 

(b)  The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

As of November 30, 2010, 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   $ 4,513,788    
Aggregate gross unrealized depreciation     (734,923 )  
Net unrealized appreciation   $ 3,778,865    
Federal income tax cost of investments   $ 55,726,323    

 

Swap Agreements

Credit Suisse 130/30 had the following open swap agreements as of November 30, 2010:

    Notional Amount
at Value		   Unrealized
Appreciation/
(Depreciation)		  
Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the
Credit Suisse 130/30 Large Cap Index		   $ (15,213,261 )   $ (253,353 )  
Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the
Credit Suisse 130/30 Large Cap Index		     15,518,697       (546,563 )  
Equity Index Swap Agreement with Societe Generale, based on positions within the
Credit Suisse 130/30 Large Cap Index		     (2,642,015 )     52,572    
Equity Index Swap Agreement with Societe Generale, based on positions within the
Credit Suisse 130/30 Large Cap Index		     3,328,728       (117,145 )  
        $ (864,489 )  

 

Credit Suisse 130/30 invested, as a percentage of net assets, in the following industries, as of November 30, 2010:

Consumer Discretionary     9.8 %  
Consumer Staples     10.5 %  
Energy     10.0 %  
Financials     16.6 %  
Health Care     10.1 %  
Industrials     8.4 %  
Information Technology     20.1 %  
Materials     4.6 %  
Telecommunication Services     2.5 %  
Utilities     5.7 %  
Other1     1.7 %  
      100.0 %  

 

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

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Summary Schedule of Portfolio Investments :: 149



Statements of Assets and Liabilities

150 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
Russell3000		   Ultra
MidCap400		   Ultra
SmallCap600		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 754,769,073     $ 287,024,309     $ 1,321,555,018     $ 6,561,625     $ 88,565,100     $ 35,211,897    
Securities, at value     568,265,312       195,913,353       1,209,965,820       2,706,434       68,911,120       31,186,334    
Repurchase agreements, at value     175,815,711       89,571,807       146,072,102       3,934,160       24,964,341       5,777,444    
Total Investment Securities     744,081,023       285,485,160       1,356,037,922       6,640,594       93,875,461       36,963,778    
Cash     —       105       —       146       —       —    
Segregated cash balances with
brokers for futures contracts		     12,214,496       4,563,000       4,852,901       —       455,060       91,515    
Segregated cash balances with
custodian for swap agreements		     250,046       353,737       205,300       —       —       —    
Dividends and interest receivable     787,189       610,704       2,756,614       2,346       67,246       19,613    
Receivable for investments sold     —       —       —       2       —       2,225    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     5,712,230       7,438,261       38,271,725       —       —       —    
Receivable from Advisor     —       —       —       20,650       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     58,361,445       6,497,139       106,526,969       445,232       7,432,612       5,386,624    
Prepaid licensing fees     —       —       —       835       —       —    
Prepaid expenses     2,456       1,117       4,381       17       407       172    
Total Assets     821,408,885       304,949,223       1,508,655,812       7,109,822       101,830,786       42,463,927    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     5,755,811       7,515,013       39,004,387       —       75,362       39,876    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     433,823       168,133       892,890       —       47,169       1,391    
Management Services fees payable     65,187       24,135       119,051       —       8,549       3,866    
Custodian fees payable     43,919       16,273       102,348       53,341       17,171       17,801    
Administration fees payable     21,393       15,229       25,060       29,168       11,168       11,997    
Trustee fees payable     2,476       857       4,499       25       248       122    
Licensing fees payable     118,211       42,419       2,316       —       1,364       4,508    
Professional fees payable     29,522       13,296       32,406       9,105       12,426       10,656    
Payable for variation margin on
futures contracts		     1,958,884       169,260       315,460       —       32,997       7,816    
Unrealized depreciation on
swap agreements		     5,721,758       1,877,044       11,291,016       272,674       851,517       406,122    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     93,883       37,963       177,901       1,204       14,393       6,604    
Total Liabilities     14,244,867       9,879,622       51,967,334       365,517       1,072,364       510,759    
NET ASSETS   $ 807,164,018     $ 295,069,601     $ 1,456,688,478     $ 6,744,305     $ 100,758,422     $ 41,953,168    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 1,312,164,213     $ 546,365,502     $ 2,103,008,005     $ 4,384,307     $ 91,056,074     $ 44,335,583    
Accumulated undistributed net
investment income (loss)		     (2,268,363 )     329,407       2,429,334       15,750       (152,721 )     (55,211 )  
Accumulated net realized gains
(losses) on investments		     (557,321,840 )     (256,135,484 )     (781,989,285 )     2,092,721       (2,367,246 )     (9,177,040 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     (10,688,050 )     (1,539,149 )     34,482,904       78,969       5,310,361       1,751,881    
Futures contracts     12,638,371       1,429,230       3,521,567       —       330,859       117,453    
Swap agreements     52,639,687       4,620,095       95,235,953       172,558       6,581,095       4,980,502    
NET ASSETS   $ 807,164,018     $ 295,069,601     $ 1,456,688,478     $ 6,744,305     $ 100,758,422     $ 41,953,168    
Shares (unlimited number of shares
authorized, no par value)		     10,875,000       6,000,000       34,500,000       100,001       1,800,000       1,050,000    
Net Asset Value   $ 74.22     $ 49.18     $ 42.22     $ 67.44     $ 55.98     $ 39.96    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 151


    Ultra
Russell2000		   UltraPro
QQQ®		   UltraPro
Dow30SM		   UltraPro
S&P500®		   UltraPro
MidCap400		   UltraPro
Russell2000		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 185,764,353     $ 110,606,999     $ 20,528,705     $ 210,573,581     $ 17,381,084     $ 33,365,053    
Securities, at value     132,457,459       88,598,347       13,575,465       64,594,412       14,303,837       10,308,228    
Repurchase agreements, at value     54,087,185       24,817,832       6,709,141       145,979,169       4,375,586       23,056,828    
Total Investment Securities     186,544,644       113,416,179       20,284,606       210,573,581       18,679,423       33,365,056    
Cash     4,763       —       —       —       —       236    
Segregated cash balances with
brokers for futures contracts		     1,735,020       1,650,626       403,000       1,240,250       238,720       541,620    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       —    
Dividends and interest receivable     101,205       112,112       27,887       13,497       13,555       321    
Receivable for investments sold     363,096       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       —       6,056    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     19,817,661       4,280,591       493,296       10,684,227       7,273,239       5,535,312    
Prepaid licensing fees     —       —       —       —       —       533    
Prepaid expenses     630       95       43       368       64       49    
Total Assets     208,567,019       119,459,603       21,208,832       222,511,923       26,205,001       39,449,183    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     5,733       —       —       —       15,015       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     80,531       46,926       5,122       103,124       5,475       —    
Management Services fees payable     17,633       8,973       1,441       16,172       2,162       —    
Custodian fees payable     137,266       6,857       1,652       47,573       48,668       75,158    
Administration fees payable     15,876       10,788       3,325       13,206       4,397       4,997    
Trustee fees payable     641       303       46       733       84       109    
Licensing fees payable     55,653       24,601       1,200       2,918       1,469       —    
Professional fees payable     15,164       11,115       9,978       13,841       10,312       10,252    
Payable for variation margin on
futures contracts		     204,096       268,143       14,141       79,851       17,699       65,863    
Unrealized depreciation on
swap agreements		     1,322,301       3,235,608       557,565       2,422,130       49,529       1,393,982    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     29,124       8,817       2,140       23,057       3,529       3,801    
Total Liabilities     1,884,018       3,622,131       596,610       2,722,605       158,339       1,554,162    
NET ASSETS   $ 206,683,001     $ 115,837,472     $ 20,612,222     $ 219,789,318     $ 26,046,662     $ 37,895,021    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 312,374,293     $ 87,924,815     $ 17,825,402     $ 165,367,197     $ 16,226,171     $ 27,672,503    
Accumulated undistributed net
investment income (loss)		     (22,316 )     (82,383 )     9,771       316,930       (8,657 )     (53,808 )  
Accumulated net realized gains
(losses) on investments		     (127,748,709 )     24,193,911       3,111,150       45,858,265       1,281,056       5,983,889    
Net unrealized appreciation
(depreciation) on:		  
Investments     780,291       2,809,180       (244,099 )     —       1,298,339       3    
Futures contracts     2,804,082       (53,034 )     (25,733 )     (15,171 )     26,043       151,104    
Swap agreements     18,495,360       1,044,983       (64,269 )     8,262,097       7,223,710       4,141,330    
NET ASSETS   $ 206,683,001     $ 115,837,472     $ 20,612,222     $ 219,789,318     $ 26,046,662     $ 37,895,021    
Shares (unlimited number of shares
authorized, no par value)		     5,625,000       900,001       200,001       1,300,001       200,001       300,001    
Net Asset Value   $ 36.74     $ 128.71     $ 103.06     $ 169.07     $ 130.23     $ 126.32    

 

See accompanying notes to the financial statements.

152 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra Russell
MidCap
Value		   Ultra Russell
MidCap
Growth		   Ultra
Russell2000
Value		   Ultra
Russell2000
Growth		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 11,589,836     $ 10,803,301     $ 5,915,411     $ 9,628,104     $ 18,665,830     $ 20,599,681    
Securities, at value     8,911,372       9,884,580       2,822,462       7,419,459       14,637,302       18,475,795    
Repurchase agreements, at value     3,006,864       2,372,445       3,136,373       3,532,554       4,387,809       5,360,148    
Total Investment Securities     11,918,236       12,257,025       5,958,835       10,952,013       19,025,111       23,835,943    
Cash     —       —       —       —       942       54,558    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       —    
Dividends and interest receivable     19,143       18,653       3,338       7,590       14,961       9,589    
Receivable for investments sold     —       —       —       —       272       37,214    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     18,793       18,575       27,135       19,984       7,971       9,874    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       1,529,491       1,177,112       1,844,762       1,625,282       1,121,880    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     53       57       57       54       77       70    
Total Assets     11,956,225       13,823,801       7,166,477       12,824,403       20,674,616       25,069,128    
LIABILITIES:  
Cash overdraft     —       4       —       —       —       —    
Payable for investments purchased     67       —       —       —       —       497    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       —       —       —       —    
Management Services fees payable     —       —       —       —       —       —    
Custodian fees payable     24,339       15,470       13,696       6,167       52,034       49,963    
Administration fees payable     26,267       26,296       28,112       27,144       24,674       23,902    
Trustee fees payable     40       35       19       29       54       62    
Licensing fees payable     2,535       2,691       816       738       180       789    
Professional fees payable     9,266       9,323       9,396       9,299       9,630       9,659    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     605,880       107,555       73,967       42,533       310,758       73,904    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     2,095       2,169       1,834       2,030       2,887       2,993    
Total Liabilities     670,489       163,543       127,840       87,940       400,217       161,769    
NET ASSETS   $ 11,285,736     $ 13,660,258     $ 7,038,637     $ 12,736,463     $ 20,274,399     $ 24,907,359    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 18,514,125     $ 20,386,336     $ 3,821,059     $ 16,024,439     $ 26,227,400     $ 24,308,789    
Accumulated undistributed net
investment income (loss)		     25,148       35,999       (8,519 )     (23,183 )     (24,438 )     (79,397 )  
Accumulated net realized gains
(losses) on investments		     (6,976,057 )     (9,637,737 )     2,079,528       (6,390,931 )     (7,602,368 )     (3,606,271 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     328,400       1,453,724       43,424       1,323,909       359,281       3,236,262    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (605,880 )     1,421,936       1,103,145       1,802,229       1,314,524       1,047,976    
NET ASSETS   $ 11,285,736     $ 13,660,258     $ 7,038,637     $ 12,736,463     $ 20,274,399     $ 24,907,359    
Shares (unlimited number of shares
authorized, no par value)		     450,000       300,000       225,000       300,000       750,000       600,000    
Net Asset Value   $ 25.08     $ 45.53     $ 31.28     $ 42.45     $ 27.03     $ 41.51    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 153


    Ultra
Basic
Materials		   Ultra
Nasdaq
Biotechnology		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		   Ultra
Health Care		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 291,324,521     $ 5,473,900     $ 17,621,687     $ 9,834,214     $ 1,198,398,701     $ 47,911,781    
Securities, at value     148,220,670       4,174,102       10,507,247       5,301,486       945,247,082       47,357,278    
Repurchase agreements, at value     144,166,812       1,179,025       7,718,059       4,661,189       257,859,107       2,122,516    
Total Investment Securities     292,387,482       5,353,127       18,225,306       9,962,675       1,203,106,189       49,479,794    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       233,696       —    
Dividends and interest receivable     97,433       925       11,834       6,848       1,126,326       118,966    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     499,088       —       11,639       —       —       —    
Receivable for capital shares issued     9,441,046       —       —       —       —       —    
Receivable from Advisor     —       2,227       10,645       21,393       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     15,560,647       89,517       825,229       479,749       3,108,056       1,300,532    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     1,135       —       101       47       5,389       111    
Total Assets     317,986,831       5,445,796       19,084,754       10,470,712       1,207,579,656       50,899,403    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       1,581    
Payable for investments purchased     9,503,984       2,089       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     171,027       —       —       —       754,850       19,332    
Management Services fees payable     24,540       —       —       —       102,027       4,305    
Custodian fees payable     14,152       2,844       3,796       4,421       40,711       3,083    
Administration fees payable     15,331       1,018       21,528       23,560       24,571       9,750    
Trustee fees payable     875       15       57       58       3,350       179    
Licensing fees payable     49,720       6,649       7,175       6,259       207,045       11,712    
Professional fees payable     19,987       9,663       9,813       9,468       80,340       9,878    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     4,262,914       175,210       161,848       115,522       41,231,208       836,270    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     39,033       1,009       3,517       2,957       170,111       5,786    
Total Liabilities     14,101,563       198,497       207,734       162,245       42,614,213       901,876    
NET ASSETS   $ 303,885,268     $ 5,247,299     $ 18,877,020     $ 10,308,467     $ 1,164,965,443     $ 49,997,527    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 15,380,524     $ 5,995,581     $ 10,124,474     $ 6,551,404     $ 3,395,520,702     $ 59,360,723    
Accumulated undistributed net
investment income (loss)		     (69,452 )     (3,122 )     24,420       (1,610 )     27,586       85,367    
Accumulated net realized gains
(losses) on investments		     276,213,502       (538,694 )     7,461,126       3,265,985       (2,197,167,181 )     (11,480,838 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     1,062,961       (120,773 )     603,619       128,461       4,707,488       1,568,013    
Futures contracts     —       —       —       —       —       —    
Swap agreements     11,297,733       (85,693 )     663,381       364,227       (38,123,152 )     464,262    
NET ASSETS   $ 303,885,268     $ 5,247,299     $ 18,877,020     $ 10,308,467     $ 1,164,965,443     $ 49,997,527    
Shares (unlimited number of shares
authorized, no par value)		     7,275,000       100,001       300,000       225,000       21,184,625       1,050,000    
Net Asset Value   $ 41.77     $ 52.47     $ 62.92     $ 45.82     $ 54.99     $ 47.62    

 

See accompanying notes to the financial statements.

154 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    Ultra
Industrials		   Ultra
Oil & Gas		   Ultra
Real Estate		   Ultra
KBW Regional
Banking		   Ultra
Semiconductors		   Ultra
Technology		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 24,871,251     $ 268,834,306     $ 441,685,803     $ 6,724,146     $ 58,693,173     $ 139,638,385    
Securities, at value     14,767,337       224,200,435       357,074,766       4,775,366       39,173,520       122,849,834    
Repurchase agreements, at value     11,140,830       55,266,825       111,718,587       1,309,145       21,981,154       24,262,985    
Total Investment Securities     25,908,167       279,467,260       468,793,353       6,084,511       61,154,674       147,112,819    
Cash     —       75       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       11,846       485,458       —       —       —    
Dividends and interest receivable     24,248       852,748       250,295       5,742       129,719       218,688    
Receivable for investments sold     —       —       10,495,243       —       8,321,659       —    
Due from counterparty     —       580,234       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     1,864       —       —       1,484       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     1,485,260       42,565,978       43,933,929       —       5,475,435       10,829,043    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     124       1,182       1,659       —       267       437    
Total Assets     27,419,663       323,479,323       523,959,937       6,091,737       75,081,754       158,160,987    
LIABILITIES:  
Cash overdraft     20       —       —       —       —       —    
Payable for investments purchased     —       133,045       —       —       —       —    
Payable for capital shares redeemed     —       —       10,398,487       —       8,492,248       —    
Advisory fees payable     —       191,851       297,808       —       35,193       88,254    
Management Services fees payable     —       27,956       41,380       —       6,092       13,553    
Custodian fees payable     6,552       14,358       15,799       1,772       5,145       9,807    
Administration fees payable     16,597       16,111       18,724       1,318       9,553       12,419    
Trustee fees payable     101       1,123       1,500       27       213       354    
Licensing fees payable     8,711       56,654       82,280       558       14,794       22,959    
Professional fees payable     10,269       18,323       28,737       8,750       11,624       13,376    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     606,854       441,851       15,931,741       644,794       171,901       5,036,930    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     4,915       41,872       70,217       1,184       11,423       16,575    
Total Liabilities     654,019       943,144       26,886,673       658,403       8,758,186       5,214,227    
NET ASSETS   $ 26,765,644     $ 322,536,179     $ 497,073,264     $ 5,433,334     $ 66,323,568     $ 152,946,760    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 7,707,964     $ 266,021,005     $ 130,382,120     $ 9,338,825     $ 64,849,568     $ 129,096,890    
Accumulated undistributed net
investment income (loss)		     189,304       768,484       5,035,117       4,748       18,382       (200,087 )  
Accumulated net realized gains
(losses) on investments		     16,953,054       2,989,609       306,546,289       (2,625,810 )     (6,309,417 )     10,783,410    
Net unrealized appreciation
(depreciation) on:		  
Investments     1,036,916       10,632,954       27,107,550       (639,635 )     2,461,501       7,474,434    
Futures contracts     —       —       —       —       —       —    
Swap agreements     878,406       42,124,127       28,002,188       (644,794 )     5,303,534       5,792,113    
NET ASSETS   $ 26,765,644     $ 322,536,179     $ 497,073,264     $ 5,433,334     $ 66,323,568     $ 152,946,760    
Shares (unlimited number of shares
authorized, no par value)		     675,000       8,325,000       10,754,372       150,001       1,800,000       2,700,000    
Net Asset Value   $ 39.65     $ 38.74     $ 46.22     $ 36.22     $ 36.85     $ 56.65    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 155


    Ultra
Telecommunications		   Ultra
Utilities		   Ultra
MSCI EAFE		   Ultra MSCI
Emerging
Markets		   Ultra
MSCI Europe		   Ultra MSCI
Pacific
ex-Japan		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 6,638,608     $ 19,542,535     $ 7,960,715     $ 36,061,174     $ 3,626,490     $ 2,820,286    
Securities, at value     4,481,214       18,664,659       2,428,975       12,878,813       1,114,527       859,100    
Repurchase agreements, at value     2,503,651       771,193       5,531,740       23,113,989       2,511,963       1,961,186    
Total Investment Securities     6,984,865       19,435,852       7,960,715       35,992,802       3,626,490       2,820,286    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       2,450,000       —       —    
Dividends and interest receivable     653       118,837       30       22,853       14       11    
Receivable for investments sold     2,186       —       —       —       —       —    
Due from counterparty     —       23,064       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     26,457       8,409       22,104       —       2,767       2,499    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     316,771       1,595,778       136,432       3,845,448       —       694,611    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     56       71       22       98       —       —    
Total Assets     7,330,988       21,182,011       8,119,303       42,311,201       3,629,271       3,517,407    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       —       17,242       —       —    
Management Services fees payable     —       —       —       3,974       —       —    
Custodian fees payable     965       2,838       7,597       8,563       458       462    
Administration fees payable     28,671       21,225       27,828       15,344       755       775    
Trustee fees payable     12       73       41       119       11       10    
Licensing fees payable     5,219       7,296       10,363       21,422       3,764       3,764    
Professional fees payable     9,289       9,395       9,148       10,020       9,159       9,182    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     232,912       227,822       776,764       3,999,763       679,484       274,439    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     1,924       3,047       1,469       4,535       756       684    
Total Liabilities     278,992       271,696       833,210       4,080,982       694,387       289,316    
NET ASSETS   $ 7,051,996     $ 20,910,315     $ 7,286,093     $ 38,230,219     $ 2,934,884     $ 3,228,091    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 6,320,917     $ 32,269,754     $ 5,307,343     $ 28,558,964     $ 2,618,355     $ 3,000,690    
Accumulated undistributed net
investment income (loss)		     20,012       138,550       (16,583 )     (46,273 )     (15,587 )     (13,814 )  
Accumulated net realized gains
(losses) on investments		     280,951       (12,759,262 )     2,635,665       9,940,215       1,011,600       (178,957 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     346,257       (106,683 )     —       (68,372 )     —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     83,859       1,367,956       (640,332 )     (154,315 )     (679,484 )     420,172    
NET ASSETS   $ 7,051,996     $ 20,910,315     $ 7,286,093     $ 38,230,219     $ 2,934,884     $ 3,228,091    
Shares (unlimited number of shares
authorized, no par value)		     150,000       525,000       100,001       400,001       100,001       100,001    
Net Asset Value   $ 47.01     $ 39.83     $ 72.86     $ 95.58     $ 29.35     $ 32.28    

 

See accompanying notes to the financial statements.

156 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    Ultra
MSCI Brazil		   Ultra
FTSE
China 25		   Ultra
MSCI Japan		   Ultra
MSCI Mexico
Investable
Market		   Ultra
7-10 Year
Treasury		   Ultra
20+ Year
Treasury		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 12,975,159     $ 31,377,663     $ 9,859,171     $ 1,581,604     $ 8,654,161     $ 13,384,285    
Securities, at value     3,974,200       9,613,833       3,007,036       483,065       6,222,846       8,486,418    
Repurchase agreements, at value     9,000,959       21,763,830       6,852,135       1,098,539       2,487,351       4,750,166    
Total Investment Securities     12,975,159       31,377,663       9,859,171       1,581,604       8,710,197       13,236,584    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       7,577       30,473    
Segregated cash balances with
custodian for swap agreements		     —       4,650,000       —       —       —       —    
Dividends and interest receivable     49       119       38       6       31,669       50,199    
Receivable for investments sold     —       —       —       —       168,627       261,103    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       24,231       3,467       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       733       5,306    
Unrealized appreciation on
swap agreements		     1,109,991       4,602,298       480,153       344,381       65,769       29,665    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     —       126       29       —       29       48    
Total Assets     14,085,199       40,630,206       10,363,622       1,929,458       8,984,601       13,613,378    
LIABILITIES:  
Cash overdraft     —       —       1       —       —       —    
Payable for investments purchased     —       —       —       —       192,157       263,175    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     490       6,685       —       —       1,126       4,332    
Management Services fees payable     861       3,181       —       —       722       1,322    
Custodian fees payable     532       884       305       446       739       1,119    
Administration fees payable     1,910       13,681       27,822       496       1,948       3,148    
Trustee fees payable     31       119       35       8       78       79    
Licensing fees payable     3,764       11,927       10,419       3,764       2,006       2,163    
Professional fees payable     9,200       10,196       9,223       9,146       10,913       10,827    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     1,215,752       3,835,034       52,945       36,581       64,072       315,311    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     1,127       5,794       1,665       651       2,508       2,382    
Total Liabilities     1,233,667       3,887,501       102,415       51,092       276,269       603,858    
NET ASSETS   $ 12,851,532     $ 36,742,705     $ 10,261,207     $ 1,878,366     $ 8,708,332     $ 13,009,520    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 12,263,570     $ 32,500,176     $ 8,840,617     $ 1,389,729     $ 4,846,715     $ 12,688,614    
Accumulated undistributed net
investment income (loss)		     (29,937 )     (369,359 )     (88,869 )     (11,956 )     (17,825 )     57,011    
Accumulated net realized gains
(losses) on investments		     723,660       3,844,624       1,082,251       192,793       3,823,230       690,148    
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       56,036       (147,701 )  
Futures contracts     —       —       —       —       (1,521 )     7,094    
Swap agreements     (105,761 )     767,264       427,208       307,800       1,697       (285,646 )  
NET ASSETS   $ 12,851,532     $ 36,742,705     $ 10,261,207     $ 1,878,366     $ 8,708,332     $ 13,009,520    
Shares (unlimited number of shares
authorized, no par value)		     400,001       500,001       150,001       50,001       100,001       150,001    
Net Asset Value   $ 32.13     $ 73.49     $ 68.41     $ 37.57     $ 87.08     $ 86.73    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 157


    Short QQQ®   Short Dow30SM   Short S&P500®   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 244,245,595     $ 281,028,868     $ 2,101,165,810     $ 37,079,105     $ 30,250,006     $ 303,760,667    
Securities, at value     74,244,984       85,391,331       639,097,230       11,276,372       9,210,415       92,309,759    
Repurchase agreements, at value     170,000,611       195,637,537       1,462,068,580       25,802,733       21,039,591       211,450,908    
Total Investment Securities     244,245,595       281,028,868       2,101,165,810       37,079,105       30,250,006       303,760,667    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     1,956,375       2,847,000       3,392,561       75,373       9,687       992,250    
Segregated cash balances with
custodian for swap agreements		     2,673,000       2,730,000       11,262,000       —       —       —    
Dividends and interest receivable     935       1,076       8,035       142       115       1,163    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       23,231       —       —    
Receivable for capital shares issued     —       3,495,624       —       —       —       —    
Receivable from Advisor     —       —       —       —       —       —    
Receivable for variation margin on
futures contracts		     305,250       94,076       199,168       5,127       843       117,000    
Unrealized appreciation on
swap agreements		     2,244,938       1,162,623       1,611,858       —       21,086       569,882    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     503       693       4,204       93       78       625    
Total Assets     251,426,596       291,359,960       2,117,643,636       37,183,071       30,281,815       305,441,587    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     10,786,877       —       38,683,184       —       —       —    
Advisory fees payable     124,145       163,818       1,228,534       9,685       3,165       156,802    
Management Services fees payable     19,233       23,209       163,803       2,854       2,383       25,009    
Custodian fees payable     8,652       10,088       39,385       5,798       661       7,494    
Administration fees payable     10,877       11,788       22,186       10,888       13,114       12,053    
Trustee fees payable     824       1,075       8,238       125       117       1,316    
Licensing fees payable     35,699       52,008       2,318       1,365       4,508       125,874    
Professional fees payable     14,596       15,878       57,299       9,700       9,714       16,466    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     10,973,096       13,810,661       149,789,543       2,575,365       2,275,164       14,947,959    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     28,556       40,061       257,385       4,963       4,250       39,801    
Total Liabilities     22,002,555       14,128,586       190,251,875       2,620,743       2,313,076       15,332,774    
NET ASSETS   $ 229,424,041     $ 277,231,374     $ 1,927,391,761     $ 34,562,328     $ 27,968,739     $ 290,108,813    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 362,986,856     $ 396,600,179     $ 2,777,734,605     $ 68,507,250     $ 52,743,485     $ 433,735,195    
Accumulated undistributed net
investment income (loss)		     (1,920,120 )     (2,547,688 )     (16,011,857 )     (360,614 )     (290,496 )     (2,412,906 )  
Accumulated net realized gains
(losses) on investments		     (123,123,985 )     (104,360,675 )     (686,779,611 )     (31,010,617 )     (22,230,980 )     (126,793,317 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     209,448       187,596       626,309       1,674       808       (42,082 )  
Swap agreements     (8,728,158 )     (12,648,038 )     (148,177,685 )     (2,575,365 )     (2,254,078 )     (14,378,077 )  
NET ASSETS   $ 229,424,041     $ 277,231,374     $ 1,927,391,761     $ 34,562,328     $ 27,968,739     $ 290,108,813    
Shares (unlimited number of shares
authorized, no par value)		     6,300,000       5,925,000       41,101,429       975,000       900,000       8,325,000    
Net Asset Value   $ 36.42     $ 46.79     $ 46.89     $ 35.45     $ 31.08     $ 34.85    

 

See accompanying notes to the financial statements.

158 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    UltraShort
QQQ®		   UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
Russell3000		   UltraShort
MidCap400		   UltraShort
SmallCap600		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 791,747,247     $ 489,533,156     $ 2,992,299,873     $ 1,966,781     $ 34,676,671     $ 21,438,295    
Securities, at value     242,310,510       149,925,493       915,095,915       603,778       10,584,520       6,559,014    
Repurchase agreements, at value     549,436,737       339,607,663       2,077,203,958       1,363,003       24,092,151       14,879,281    
Total Investment Securities     791,747,247       489,533,156       2,992,299,873       1,966,781       34,676,671       21,438,295    
Cash     2,920,949       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     6,679,875       5,030,969       6,869,085       —       105,507       16,150    
Segregated cash balances with
custodian for swap agreements		     —       4,499,545       37,775,337       —       —       —    
Dividends and interest receivable     3,007       1,859       11,376       7       132       81    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     3,088       1,127       7,090       —       —       —    
Receivable from Advisor     —       —       —       23,689       —       5,195    
Receivable for variation margin on
futures contracts		     1,042,250       170,280       419,992       —       7,194       1,400    
Unrealized appreciation on
swap agreements		     21,050,964       2,059,558       18,010,602       35,063       78,937       76,842    
Prepaid licensing fees     —       —       —       835       —       —    
Prepaid expenses     2,570       1,560       9,126       5       122       58    
Total Assets     823,449,950       501,298,054       3,055,402,481       2,026,380       34,868,563       21,538,021    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     14,295,725       5,152,893       32,540,472       —       —       —    
Advisory fees payable     423,015       264,667       1,672,274       —       6,680       —    
Management Services fees payable     62,478       36,634       222,968       —       2,599       —    
Custodian fees payable     88,670       26,220       91,853       57       11,501       1,915    
Administration fees payable     17,967       14,689       24,892       22,210       11,812       16,701    
Trustee fees payable     2,688       1,623       10,656       8       108       78    
Licensing fees payable     46,457       82,518       9,020       —       4,022       4,508    
Professional fees payable     21,162       25,059       117,602       8,943       9,733       9,187    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     61,417,516       57,557,844       388,936,481       135,135       3,260,618       2,446,424    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     115,199       73,065       428,710       617       6,199       2,897    
Total Liabilities     76,490,877       63,235,212       424,054,928       166,970       3,313,272       2,481,710    
NET ASSETS   $ 746,959,073     $ 438,062,842     $ 2,631,347,553     $ 1,859,410     $ 31,555,291     $ 19,056,311    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 1,852,334,000     $ 995,163,128     $ 5,731,556,590     $ 4,572,701     $ 120,440,272     $ 53,652,030    
Accumulated undistributed net
investment income (loss)		     (7,950,182 )     (4,766,188 )     (27,514,623 )     (23,383 )     (371,739 )     (198,534 )  
Accumulated net realized gains
(losses) on investments		     (1,058,014,264 )     (497,226,797 )     (2,703,313,821 )     (2,589,836 )     (85,339,648 )     (32,028,295 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     956,071       390,985       1,545,286       —       8,087       692    
Swap agreements     (40,366,552 )     (55,498,286 )     (370,925,879 )     (100,072 )     (3,181,681 )     (2,369,582 )  
NET ASSETS   $ 746,959,073     $ 438,062,842     $ 2,631,347,553     $ 1,859,410     $ 31,555,291     $ 19,056,311    
Shares (unlimited number of shares
authorized, no par value)		     58,200,000       18,975,000       96,750,000       100,001       2,325,000       1,200,000    
Net Asset Value   $ 12.83     $ 23.09     $ 27.20     $ 18.59     $ 13.57     $ 15.88    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 159


    UltraShort
Russell2000		   UltraPro Short
QQQ®		   UltraPro Short
Dow30SM		   UltraPro Short
S&P500®		   UltraPro Short
MidCap400		   UltraPro Short
Russell2000		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 385,806,307     $ 70,078,757     $ 34,150,567     $ 435,629,569     $ 3,487,880     $ 33,662,307    
Securities, at value     117,950,416       21,574,207       10,519,294       133,893,691       1,076,459       10,359,183    
Repurchase agreements, at value     267,855,891       48,504,550       23,631,273       301,735,878       2,411,421       23,303,124    
Total Investment Securities     385,806,307       70,078,757       34,150,567       435,629,569       3,487,880       33,662,307    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     1,014,265       694,425       526,500       3,815,832       60,306       185,220    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       —    
Dividends and interest receivable     1,467       264       129       1,647       14       127    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       —       —       674       —    
Receivable for variation margin on
futures contracts		     119,600       108,350       17,820       282,674       4,093       21,840    
Unrealized appreciation on
swap agreements		     1,492,301       713,074       1,917,881       5,928,110       30,300       341,368    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     1,465       31       26       640       15       32    
Total Assets     388,435,405       71,594,901       36,612,923       445,658,472       3,583,282       34,210,894    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       10,611,993       —       —    
Advisory fees payable     189,585       23,331       13,057       219,642       —       12,184    
Management Services fees payable     29,391       4,828       2,638       29,516       —       2,609    
Custodian fees payable     25,220       1,481       1,145       5,977       956       1,176    
Administration fees payable     13,134       7,280       4,721       12,687       958       4,671    
Trustee fees payable     1,572       216       133       1,377       15       115    
Licensing fees payable     177,138       9,032       3,843       2,918       1,469       6,353    
Professional fees payable     17,078       10,306       9,969       16,950       9,622       9,959    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     39,532,239       13,644,712       1,920,360       78,066,366       216,664       3,384,722    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     59,363       5,781       3,349       43,178       968       3,313    
Total Liabilities     40,044,720       13,706,967       1,959,215       89,010,604       230,652       3,425,102    
NET ASSETS   $ 348,390,685     $ 57,887,934     $ 34,653,708     $ 356,647,868     $ 3,352,630     $ 30,785,792    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 1,005,604,222     $ 91,411,611     $ 46,596,251     $ 568,955,968     $ 8,000,080     $ 51,610,727    
Accumulated undistributed net
investment income (loss)		     (4,286,180 )     (221,307 )     (130,185 )     (2,338,946 )     (33,038 )     (135,064 )  
Accumulated net realized gains
(losses) on investments		     (614,935,678 )     (20,445,846 )     (11,778,208 )     (138,504,848 )     (4,430,218 )     (17,644,003 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     48,259       75,114       (31,671 )     673,950       2,170       (2,514 )  
Swap agreements     (38,039,938 )     (12,931,638 )     (2,479 )     (72,138,256 )     (186,364 )     (3,043,354 )  
NET ASSETS   $ 348,390,685     $ 57,887,934     $ 34,653,708     $ 356,647,868     $ 3,352,630     $ 30,785,792    
Shares (unlimited number of shares
authorized, no par value)		     23,625,000       1,600,001       700,001       15,000,001       100,001       1,050,001    
Net Asset Value   $ 14.75     $ 36.18     $ 49.51     $ 23.78     $ 33.53     $ 29.32    

 

See accompanying notes to the financial statements.

160 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    UltraShort
Russell1000
Value		   UltraShort
Russell1000
Growth		   UltraShort
Russell MidCap
Value		   UltraShort
Russell MidCap
Growth		   UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 2,959,474     $ 6,598,894     $ 2,674,917     $ 3,987,599     $ 8,360,086     $ 14,969,721    
Securities, at value     908,450       2,019,724       819,654       1,228,842       2,565,811       4,596,905    
Repurchase agreements, at value     2,051,024       4,579,170       1,855,263       2,758,757       5,794,275       10,372,816    
Total Investment Securities     2,959,474       6,598,894       2,674,917       3,987,599       8,360,086       14,969,721    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       —       —       —    
Dividends and interest receivable     11       25       10       15       32       57    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     21,148       18,932       23,775       21,849       14,921       12,307    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     73,342       5,094       34,938       124       283,828       —    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     34       33       11       23       31       41    
Total Assets     3,054,009       6,622,978       2,733,651       4,009,610       8,658,898       14,982,126    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       —       —       —       —    
Management Services fees payable     —       —       —       —       —       —    
Custodian fees payable     675       475       379       379       988       1,350    
Administration fees payable     22,356       21,977       23,178       22,687       20,422       19,589    
Trustee fees payable     20       27       23       24       45       56    
Licensing fees payable     4,928       3,717       3,640       3,144       3,785       4,805    
Professional fees payable     8,908       9,099       9,039       8,987       9,041       9,223    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     —       745,019       149,878       340,960       97,189       3,110,462    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     1,385       1,372       1,021       1,213       1,658       2,138    
Total Liabilities     38,272       781,686       187,158       377,394       133,128       3,147,623    
NET ASSETS   $ 3,015,737     $ 5,841,292     $ 2,546,493     $ 3,632,216     $ 8,525,770     $ 11,834,503    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 23,446,572     $ 31,022,515     $ 11,960,483     $ 20,028,249     $ 34,377,986     $ 38,458,579    
Accumulated undistributed net
investment income (loss)		     (82,539 )     (86,370 )     (39,322 )     (61,099 )     (99,119 )     (124,168 )  
Accumulated net realized gains
(losses) on investments		     (20,421,638 )     (24,354,928 )     (9,259,728 )     (15,994,098 )     (25,939,736 )     (23,389,446 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     73,342       (739,925 )     (114,940 )     (340,836 )     186,639       (3,110,462 )  
NET ASSETS   $ 3,015,737     $ 5,841,292     $ 2,546,493     $ 3,632,216     $ 8,525,770     $ 11,834,503    
Shares (unlimited number of shares
authorized, no par value)		     75,000       225,000       150,000       225,000       525,000       1,050,000    
Net Asset Value   $ 40.21     $ 25.96     $ 16.98     $ 16.14     $ 16.24     $ 11.27    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 161


   
Short Basic
Materials		  
Short
Financials		  
Short
Oil & Gas		  
Short
Real Estate		   Short
KBW Regional
Banking		  
UltraShort
Basic Materials		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 4,358,344     $ 112,454,132     $ 14,018,488     $ 22,336,989     $ 32,319,091     $ 128,456,723    
Securities, at value     1,328,312       34,247,326       4,279,082       6,795,278       9,857,575       39,497,795    
Repurchase agreements, at value     3,030,032       78,206,806       9,739,406       15,541,711       22,461,516       88,958,928    
Total Investment Securities     4,358,344       112,454,132       14,018,488       22,336,989       32,319,091       128,456,723    
Cash     —       —       —       —       —       137    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       2,904,000       415,000       —       —       —    
Dividends and interest receivable     17       429       53       86       123       485    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     22       —       13,098       —       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     4,126       3,115,079       —       1,013,120       2,182,109       97,704    
Prepaid licensing fees     460       —       —       —       —       —    
Prepaid expenses     14       276       28       14       —       340    
Total Assets     4,362,983       118,473,916       14,446,667       23,350,209       34,501,323       128,555,389    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       64,703       —       8,924       14,314       51,437    
Management Services fees payable     —       9,894       —       1,946       2,767       7,969    
Custodian fees payable     961       1,997       599       1,243       862       4,310    
Administration fees payable     785       8,512       19,984       3,343       4,607       8,022    
Trustee fees payable     16       440       47       105       97       319    
Licensing fees payable     —       25,744       6,843       2,930       2,115       21,077    
Professional fees payable     9,630       11,891       9,253       9,829       8,317       12,509    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     164,387       —       1,183,979       262,464       —       32,626,116    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     892       14,482       1,985       2,608       2,879       32,165    
Total Liabilities     176,671       137,663       1,222,690       293,392       35,958       32,763,924    
NET ASSETS   $ 4,186,312     $ 118,336,253     $ 13,223,977     $ 23,056,817     $ 34,465,365     $ 95,791,465    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 5,000,600     $ 208,704,499     $ 19,299,612     $ 27,879,565     $ 33,401,642     $ 343,558,344    
Accumulated undistributed net
investment income (loss)		     (28,091 )     (1,020,197 )     (116,853 )     (95,004 )     (111,808 )     (1,069,195 )  
Accumulated net realized gains
(losses) on investments		     (625,936 )     (92,463,128 )     (4,774,803 )     (5,478,400 )     (1,006,578 )     (214,169,272 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (160,261 )     3,115,079       (1,183,979 )     750,656       2,182,109       (32,528,412 )  
NET ASSETS   $ 4,186,312     $ 118,336,253     $ 13,223,977     $ 23,056,817     $ 34,465,365     $ 95,791,465    
Shares (unlimited number of shares
authorized, no par value)		     100,001       2,925,001       300,001       550,001       500,001       4,064,819    
Net Asset Value   $ 41.86     $ 40.46     $ 44.08     $ 41.92     $ 68.93     $ 23.57    

 

See accompanying notes to the financial statements.

162 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    UltraShort
Nasdaq
Biotechnology		   UltraShort
Consumer
Goods		   UltraShort
Consumer
Services		  
UltraShort
Financials		  
UltraShort
Health Care		  
UltraShort
Industrials		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 2,761,590     $ 13,214,003     $ 31,967,472     $ 467,339,716     $ 4,848,183     $ 11,805,710    
Securities, at value     847,565       4,041,767       9,797,338       143,442,013       1,482,165       3,612,290    
Repurchase agreements, at value     1,914,025       9,172,236       22,170,134       323,897,703       3,366,018       8,193,420    
Total Investment Securities     2,761,590       13,214,003       31,967,472       467,339,716       4,848,183       11,805,710    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     —       —       —       12,428,593       —       —    
Dividends and interest receivable     11       50       121       1,770       18       45    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       3,116       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     1,567       14,901       —       —       22,412       15,575    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     190,750       73,018       110,605       18,080,793       95,676       45,400    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     —       47       98       1,678       20       41    
Total Assets     2,953,918       13,302,019       32,078,296       497,852,550       4,969,425       11,866,771    
LIABILITIES:  
Cash overdraft     —       135       —       30       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       —       —    
Advisory fees payable     —       —       3,102       292,843       —       —    
Management Services fees payable     —       —       2,229       40,513       —       —    
Custodian fees payable     534       889       1,805       29,822       692       1,537    
Administration fees payable     613       20,454       11,385       15,614       23,305       20,542    
Trustee fees payable     21       37       126       1,762       17       38    
Licensing fees payable     6,466       5,399       9,046       77,735       4,408       5,199    
Professional fees payable     9,672       9,076       9,808       20,436       8,947       9,381    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     —       1,817,061       5,590,981       2,095,345       77,949       1,420,788    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     1,210       2,194       6,001       64,923       991       4,447    
Total Liabilities     18,516       1,855,245       5,634,483       2,639,023       116,309       1,461,932    
NET ASSETS   $ 2,935,402     $ 11,446,774     $ 26,443,813     $ 495,213,527     $ 4,853,116     $ 10,404,839    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 3,186,103     $ 28,546,570     $ 106,583,211     $ 1,689,081,341     $ 17,832,264     $ 51,086,755    
Accumulated undistributed net
investment income (loss)		     (32,730 )     (138,770 )     (329,885 )     (5,925,582 )     (46,515 )     (137,998 )  
Accumulated net realized gains
(losses) on investments		     (408,721 )     (15,216,983 )     (74,329,137 )     (1,203,927,680 )     (12,950,360 )     (39,168,530 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     190,750       (1,744,043 )     (5,480,376 )     15,985,448       17,727       (1,375,388 )  
NET ASSETS   $ 2,935,402     $ 11,446,774     $ 26,443,813     $ 495,213,527     $ 4,853,116     $ 10,404,839    
Shares (unlimited number of shares
authorized, no par value)		     50,001       375,000       1,125,000       25,875,000       150,000       675,000    
Net Asset Value   $ 58.71     $ 30.52     $ 23.51     $ 19.14     $ 32.35     $ 15.41    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 163


    UltraShort
Oil & Gas		   UltraShort
Real Estate		   UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Telecommunications		   UltraShort
Utilities		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 131,581,683     $ 377,606,500     $ 26,613,946     $ 24,773,433     $ 1,897,672     $ 7,064,399    
Securities, at value     40,320,893       115,522,144       8,142,563       7,576,994       579,978       2,149,922    
Repurchase agreements, at value     91,260,790       262,084,356       18,471,383       17,196,439       1,317,694       4,914,477    
Total Investment Securities     131,581,683       377,606,500       26,613,946       24,773,433       1,897,672       7,064,399    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     726,339       15,458,210       —       —       —       —    
Dividends and interest receivable     499       1,435       101       94       7       27    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       —    
Receivable from Advisor     —       —       2,430       4,090       24,257       20,912    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     —       5,813,477       —       390,450       30,885       81,827    
Prepaid licensing fees     —       —       —       —       —       —    
Prepaid expenses     —       1,652       74       68       7       24    
Total Assets     132,308,521       398,881,274       26,616,551       25,168,135       1,952,828       7,167,189    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     6,699,985       3,005,426       —       —       —       —    
Advisory fees payable     58,830       185,993       —       —       —       —    
Management Services fees payable     9,078       25,871       —       —       —       —    
Custodian fees payable     11,081       24,040       1,043       1,278       146       850    
Administration fees payable     8,455       12,793       15,189       16,941       24,463       22,963    
Trustee fees payable     349       1,033       93       74       8       20    
Licensing fees payable     21,202       61,160       7,988       7,031       4,531       4,491    
Professional fees payable     12,769       15,066       9,330       9,333       8,992       8,981    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     26,279,108       83,183,585       4,645,793       2,890,058       358,674       553,470    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     34,736       53,089       3,630       6,102       10,686       2,193    
Total Liabilities     33,135,593       86,568,056       4,683,066       2,930,817       407,500       592,968    
NET ASSETS   $ 99,172,928     $ 312,313,218     $ 21,933,485     $ 22,237,318     $ 1,545,328     $ 6,574,221    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 307,087,679     $ 3,528,965,006     $ 78,801,684     $ 81,901,358     $ 8,098,873     $ 18,424,744    
Accumulated undistributed net
investment income (loss)		     (1,597,768 )     (4,964,634 )     (240,839 )     (204,908 )     (16,409 )     (62,040 )  
Accumulated net realized gains
(losses) on investments		     (180,037,875 )     (3,134,317,046 )     (51,981,567 )     (56,959,524 )     (6,209,347 )     (11,316,840 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (26,279,108 )     (77,370,108 )     (4,645,793 )     (2,499,608 )     (327,789 )     (471,643 )  
NET ASSETS   $ 99,172,928     $ 312,313,218     $ 21,933,485     $ 22,237,318     $ 1,545,328     $ 6,574,221    
Shares (unlimited number of shares
authorized, no par value)		     2,219,794       15,584,064       1,800,000       1,275,000       150,000       375,000    
Net Asset Value   $ 44.68     $ 20.04     $ 12.19     $ 17.44     $ 10.30     $ 17.53    

 

See accompanying notes to the financial statements.

164 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    Short MSCI
EAFE		   Short MSCI
Emerging
Markets		   Short FTSE
China 25		   UltraShort
MSCI EAFE		   UltraShort
MSCI Emerging
Markets		   UltraShort
MSCI Europe		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 123,279,696     $ 234,427,740     $ 3,571,764     $ 24,036,837     $ 147,769,091     $ 73,931,264    
Securities, at value     37,507,839       71,251,836       1,082,688       7,341,441       45,319,972       22,638,020    
Repurchase agreements, at value     85,771,857       163,175,904       2,489,076       16,695,396       102,449,119       51,293,244    
Total Investment Securities     123,279,696       234,427,740       3,571,764       24,036,837       147,769,091       73,931,264    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       —    
Segregated cash balances with
custodian for swap agreements		     1,700,000       2,050,000       510,000       —       4,861,053       3,760,000    
Dividends and interest receivable     471       897       14       91       560       281    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     —       —       —       —       —       1,676,045    
Receivable from Advisor     —       —       141       4,474       —       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     2,084,734       9,795,774       271,617       570,414       1,887,418       4,727,821    
Prepaid licensing fees     —       —       —       —       —       12,846    
Prepaid expenses     161       685       13       102       462       127    
Total Assets     127,065,062       246,275,096       4,353,549       24,611,918       154,518,584       84,108,384    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       —       —       2,713,597       —    
Advisory fees payable     48,400       118,424       —       —       49,228       18,595    
Management Services fees payable     8,418       18,121       —       —       9,448       4,532    
Custodian fees payable     1,801       3,084       1,045       1,781       5,940       282    
Administration fees payable     8,088       10,620       779       13,180       8,469       6,493    
Trustee fees payable     466       761       21       103       373       210    
Licensing fees payable     59,723       57,565       1,190       39,282       162,086       —    
Professional fees payable     10,857       16,455       9,639       9,677       13,409       10,517    
Payable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized depreciation on
swap agreements		     8,540,524       8,325,614       —       3,208,939       31,167,987       14,958,979    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     15,736       33,813       1,035       4,390       21,663       13,635    
Total Liabilities     8,694,013       8,584,457       13,709       3,277,352       34,152,200       15,013,243    
NET ASSETS   $ 118,371,049     $ 237,690,639     $ 4,339,840     $ 21,334,566     $ 120,366,384     $ 69,095,141    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 177,468,240     $ 369,874,416     $ 5,401,077     $ 100,125,127     $ 733,500,201     $ 118,856,950    
Accumulated undistributed net
investment income (loss)		     (834,265 )     (2,234,130 )     (34,431 )     (284,020 )     (1,632,290 )     (520,859 )  
Accumulated net realized gains
(losses) on investments		     (51,807,136 )     (131,419,807 )     (1,298,423 )     (75,868,016 )     (582,220,958 )     (39,009,792 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (6,455,790 )     1,470,160       271,617       (2,638,525 )     (29,280,569 )     (10,231,158 )  
NET ASSETS   $ 118,371,049     $ 237,690,639     $ 4,339,840     $ 21,334,566     $ 120,366,384     $ 69,095,141    
Shares (unlimited number of shares
authorized, no par value)		     2,175,000       7,200,000       100,001       675,000       3,269,744       4,000,001    
Net Asset Value   $ 54.42     $ 33.01     $ 43.40     $ 31.61     $ 36.81     $ 17.27    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 165


    UltraShort
MSCI Pacific
ex-Japan		   UltraShort
MSCI Brazil		   UltraShort
FTSE China 25		   UltraShort
MSCI Japan		   UltraShort
MSCI Mexico
Investable
Market		   Short
20+ Year
Treasury		  
ASSETS:  
Securities and Repurchase
Agreements, at cost		   $ 1,771,896     $ 20,973,033     $ 249,014,234     $ 14,850,177     $ 3,695,888     $ 701,325,686    
Securities, at value     542,385       6,419,062       76,350,800       4,527,918       1,128,210       212,343,152    
Repurchase agreements, at value     1,229,511       14,553,971       172,663,434       10,322,259       2,567,678       488,982,534    
Total Investment Securities     1,771,896       20,973,033       249,014,234       14,850,177       3,695,888       701,325,686    
Cash     —       —       —       —       —       —    
Segregated cash balances with
brokers for futures contracts		     —       —       —       —       —       634,459    
Segregated cash balances with
custodian for swap agreements		     —       —       6,004,000       —       —       —    
Dividends and interest receivable     7       80       944       57       14       2,695    
Receivable for investments sold     —       —       —       —       —       —    
Due from counterparty     —       —       —       —       —       —    
Receivable for capital shares issued     635,818       —       —       —       —       2,124,110    
Receivable from Advisor     27,028       1,071       —       12,341       25,407       —    
Receivable for variation margin on
futures contracts		     —       —       —       —       —       —    
Unrealized appreciation on
swap agreements		     138,614       863,020       3,758,274       84,663       14,395       1,594,941    
Prepaid licensing fees     2,695       —       —       —       —       —    
Prepaid expenses     4       71       1,165       41       6       1,188    
Total Assets     2,576,062       21,837,275       258,778,617       14,947,279       3,735,710       705,683,079    
LIABILITIES:  
Cash overdraft     —       —       —       —       —       —    
Payable for investments purchased     —       —       —       —       —       —    
Payable for capital shares redeemed     —       —       2,231,092       —       —       —    
Advisory fees payable     —       —       112,188       —       —       411,780    
Management Services fees payable     —       —       16,804       —       —       55,203    
Custodian fees payable     136       450       6,371       461       144       10,988    
Administration fees payable     23,617       12,165       10,350       19,374       22,806       16,403    
Trustee fees payable     8       106       672       55       14       1,491    
Licensing fees payable     —       4,244       82,483       33,441       4,297       77,434    
Professional fees payable     8,947       9,737       20,983       9,099       8,986       24,271    
Payable for variation margin on
futures contracts		     —       —       —       —       —       111,625    
Unrealized depreciation on
swap agreements		     —       —       51,795,903       158,062       743,990       8,203,516    
Due to counterparty     —       —       —       —       —       —    
Other liabilities     663       4,797       41,551       2,195       913       62,223    
Total Liabilities     33,371       31,499       54,318,397       222,687       781,150       8,974,934    
NET ASSETS   $ 2,542,691     $ 21,805,776     $ 204,460,220     $ 14,724,592     $ 2,954,560     $ 696,708,145    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 7,179,470     $ 41,071,962     $ 856,286,677     $ 25,938,519     $ 15,142,640     $ 766,753,205    
Accumulated undistributed net
investment income (loss)		     (26,253 )     (235,049 )     (3,024,277 )     (149,759 )     (39,952 )     (3,678,829 )  
Accumulated net realized gains
(losses) on investments		     (4,749,140 )     (19,894,157 )     (600,764,551 )     (10,990,769 )     (11,418,533 )     (59,662,107 )  
Net unrealized appreciation
(depreciation) on:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       (95,549 )  
Swap agreements     138,614       863,020       (48,037,629 )     (73,399 )     (729,595 )     (6,608,575 )  
NET ASSETS   $ 2,542,691     $ 21,805,776     $ 204,460,220     $ 14,724,592     $ 2,954,560     $ 696,708,145    
Shares (unlimited number of shares
authorized, no par value)		     200,001       1,250,001       6,719,589       375,000       200,001       16,400,001    
Net Asset Value   $ 12.71     $ 17.44     $ 30.43     $ 39.27     $ 14.77     $ 42.48    

 

See accompanying notes to the financial statements.

166 :: ProShares Trust :: Statements of Assets and Liabilities :: November 30, 2010 (Unaudited)


    UltraShort
7-10 Year
Treasury		   UltraShort
20+ Year
Treasury		   Credit Suisse
130/30		  
ASSETS:  
Securities and Repurchase Agreements, at cost   $ 412,949,546     $ 5,422,347,574     $ 55,586,082    
Securities, at value     125,068,083       1,651,478,472       58,242,957    
Repurchase agreements, at value     287,881,463       3,770,869,102       1,262,231    
Total Investment Securities     412,949,546       5,422,347,574       59,505,188    
Cash     —       —       —    
Segregated cash balances with brokers for futures contracts     292,951       5,264,636       —    
Segregated cash balances with custodian for swap agreements     4,444,052       97,560,013       —    
Dividends and interest receivable     1,586       20,705       158,410    
Receivable for investments sold     —       —       —    
Due from counterparty     —       —       —    
Receivable for capital shares issued     —       85,877,979       —    
Receivable from Advisor     —       —       —    
Other receivable     —       —       573    
Receivable for variation margin on futures contracts     —       —       —    
Unrealized appreciation on swap agreements     11,514,304       22,778,383       52,572    
Prepaid licensing fees     —       —       —    
Prepaid expenses     1,175       13,287       105    
Total Assets     429,203,614       5,633,862,577       59,716,848    
LIABILITIES:  
Cash overdraft     —       —       —    
Payable for investments purchased     —       —       —    
Payable for capital shares redeemed     —       23,554,765       —    
Advisory fees payable     244,095       3,230,329       23,897    
Management Services fees payable     33,522       430,708       4,919    
Custodian fees payable     7,376       81,350       12,056    
Administration fees payable     13,904       30,436       8,828    
Trustee fees payable     1,061       13,931       169    
Licensing fees payable     71,609       749,213       27,896    
Professional fees payable     13,550       128,579       10,742    
Payable for variation margin on futures contracts     28,592       926,798       —    
Unrealized depreciation on swap agreements     —       502,539,919       917,061    
Due to counterparty     —       —       —    
Other liabilities     44,403       584,417       7,161    
Total Liabilities     458,112       532,270,445       1,012,729    
NET ASSETS   $ 428,745,502     $ 5,101,592,132     $ 58,704,119    
NET ASSETS CONSIST OF:  
Paid in Capital   $ 550,166,013     $ 6,253,357,055     $ 53,738,388    
Accumulated undistributed net investment income (loss)     (3,277,906 )     (41,693,730 )     264,231    
Accumulated net realized gains (losses) on investments     (129,726,320 )     (630,076,133 )     1,646,883    
Net unrealized appreciation (depreciation) on:  
Investments     —       —       3,919,106    
Futures contracts     69,411       (233,524 )     —    
Swap agreements     11,514,304       (479,761,536 )     (864,489 )  
NET ASSETS   $ 428,745,502     $ 5,101,592,132     $ 58,704,119    
Shares (unlimited number of shares authorized, no par value)     10,800,000       147,450,000       1,100,001    
Net Asset Value   $ 39.70     $ 34.60     $ 53.37    

 

See accompanying notes to the financial statements.

November 30, 2010 (Unaudited) :: Statements of Assets and Liabilities :: ProShares Trust :: 167



Statements of Operations

168 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    Ultra
QQQ®		   Ultra
Dow30SM		   Ultra
S&P500®		   Ultra
Russell3000		   Ultra
MidCap400		   Ultra
SmallCap600		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 2,871,173     $ 2,423,428     $ 13,837,101     $ 37,548     $ 452,881     $ 184,664    
Interest     186,796       98,992       109,387       1,333       19,753       4,329    
Foreign withholding tax on dividends     (32,303 )     —       —       (6 )     —       —    
Total Investment Income     3,025,666       2,522,420       13,946,488       38,875       472,634       188,993    
EXPENSES:  
Advisory fees (Note 4)     2,930,802       1,133,567       5,525,533       23,319       368,262       167,701    
Management Services fees (Note 4)     390,771       151,141       736,732       3,109       49,101       22,360    
Professional fees     19,166       12,854       28,058       9,000       10,180       9,503    
Administration fees (Note 5)     125,417       91,159       143,575       49,308       63,378       51,993    
Custodian fees (Note 6)     81,999       25,256       256,713       40,481       44,396       65,335    
Printing and Shareholder reports     78,167       29,962       146,117       688       9,742       4,556    
Licensing fees     395,782       65,468       7,515       5,010       6,263       6,263    
Trustee fees     4,771       1,866       8,950       41       603       279    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     12,783       6,212       21,927       1,857       3,283       2,438    
Total Gross Expenses before
fees waived and/or reimbursed		     4,039,658       1,517,485       6,875,120       132,813       555,208       330,428    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (322,062 )     (80,250 )     —       (103,248 )     (88,264 )     (117,827 )  
Total Net Expenses     3,717,596       1,437,235       6,875,120       29,565       466,944       212,601    
Net Investment Income (Loss)     (691,930 )     1,085,185       7,071,368       9,310       5,690       (23,608 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     (1,838,877 )     (27,800 )     (19,530,820 )     (34,171 )     370,966       379,700    
Futures contracts     (561,768 )     769,703       (2,238,223 )     —       (343,874 )     (98,432 )  
Swap agreements     (2,207,874 )     (2,950,454 )     9,068,804       932,649       2,109,713       (5,475,881 )  
In-kind redemptions of investments     53,055,321       18,593,022       99,540,528       321,316       12,867,415       3,219,064    
Net realized gain (loss)     48,446,802       16,384,471       86,840,289       1,219,794       15,004,220       (1,975,549 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     12,271,261       (3,251,010 )     14,178,152       40,355       (7,726,640 )     (1,014,224 )  
Futures contracts     16,520,867       3,282,797       11,776,199       —       453,795       116,432    
Swap agreements     103,919,638       34,330,747       115,651,987       (239,115 )     9,443,593       9,181,579    
Change in net unrealized
appreciation (depreciation)		     132,711,766       34,362,534       141,606,338       (198,760 )     2,170,748       8,283,787    
Net realized and unrealized gain (loss)     181,158,568       50,747,005       228,446,627       1,021,034       17,174,968       6,308,238    
Change in Net Assets Resulting
from Operations		   $ 180,466,638     $ 51,832,190     $ 235,517,995     $ 1,030,344     $ 17,180,658     $ 6,284,630    

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 169


    Ultra
Russell2000		   UltraPro
QQQ®		   UltraPro
Dow30SM		   UltraPro
S&P500®		   UltraPro
MidCap400		   UltraPro
Russell2000		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 979,329     $ 301,059     $ 89,970     $ 1,300,409     $ 107,303     $ 88,681    
Interest     52,025       11,077       4,908       40,409       3,971       8,749    
Foreign withholding tax on dividends     (58 )     (2,392 )     —       —       —       (4 )  
Total Investment Income     1,031,296       309,744       94,878       1,340,818       111,274       97,426    
EXPENSES:  
Advisory fees (Note 4)     825,559       294,328       53,256       745,249       90,883       107,893    
Management Services fees (Note 4)     110,074       39,243       7,101       99,366       12,117       14,385    
Professional fees     11,862       9,868       9,089       11,423       9,227       9,275    
Administration fees (Note 5)     85,759       56,881       14,215       79,110       24,604       31,030    
Custodian fees (Note 6)     197,539       15,778       4,112       95,111       53,372       110,647    
Printing and Shareholder reports     22,676       7,307       1,367       19,175       2,428       2,801    
Licensing fees     93,443       47,510       7,851       6,262       6,262       5,010    
Trustee fees     1,382       426       83       1,155       145       164    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     4,824       3,257       2,010       5,289       2,269       2,453    
Total Gross Expenses before
fees waived and/or reimbursed		     1,353,118       474,598       99,084       1,062,140       201,307       283,658    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (306,597 )     (100,930 )     (31,544 )     (116,882 )     (85,987 )     (146,784 )  
Total Net Expenses     1,046,521       373,668       67,540       945,258       115,320       136,874    
Net Investment Income (Loss)     (15,225 )     (63,924 )     27,338       395,560       (4,046 )     (39,448 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     (9,590,288 )     (44,886 )     (80 )     1,107,608       (299,596 )     1,174,836    
Futures contracts     (4,766,559 )     2,178,883       188,254       503,827       238,659       125,320    
Swap agreements     (5,420,336 )     18,901,514       2,632,793       27,531,343       (557,161 )     3,895,318    
In-kind redemptions of investments     10,953,909       2,991,287       557,959       9,162,568       906,755       —    
Net realized gain (loss)     (8,823,274 )     24,026,798       3,378,926       38,305,346       288,657       5,195,474    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     6,892,180       4,169,691       (190,154 )     588,073       795,213       (116,146 )  
Futures contracts     3,183,616       192,429       3,931       (113,848 )     (7,677 )     112,488    
Swap agreements     27,049,553       (197,407 )     (275,297 )     6,124,290       6,217,846       2,135,540    
Change in net unrealized
appreciation (depreciation)		     37,125,349       4,164,713       (461,520 )     6,598,515       7,005,382       2,131,882    
Net realized and unrealized gain (loss)     28,302,075       28,191,511       2,917,406       44,903,861       7,294,039       7,327,356    
Change in Net Assets Resulting
from Operations		   $ 28,286,850     $ 28,127,587     $ 2,944,744     $ 45,299,421     $ 7,289,993     $ 7,287,908    

 

See accompanying notes to the financial statements.

170 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    Ultra
Russell1000
Value		   Ultra
Russell1000
Growth		   Ultra Russell
MidCap
Value		   Ultra Russell
MidCap
Growth		   Ultra
Russell2000
Value		   Ultra
Russell2000
Growth		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 121,131     $ 82,467     $ 47,127     $ 33,836     $ 114,726     $ 52,593    
Interest     3,340       2,535       3,608       3,890       5,269       5,294    
Foreign withholding tax on dividends     (21 )     (19 )     —       (14 )     (9 )     —    
Total Investment Income     124,450       84,983       50,735       37,712       119,986       57,887    
EXPENSES:  
Advisory fees (Note 4)     48,367       50,091       32,695       42,190       70,539       75,683    
Management Services fees (Note 4)     6,449       6,679       4,359       5,625       9,405       10,091    
Professional fees     9,081       9,083       9,030       9,058       9,154       9,168    
Administration fees (Note 5)     51,798       51,717       51,470       51,408       53,489       53,280    
Custodian fees (Note 6)     23,726       23,314       28,976       18,782       53,360       55,256    
Printing and Shareholder reports     1,308       1,323       917       1,139       1,874       1,982    
Licensing fees     3,906       2,452       2,131       2,108       1,312       1,295    
Trustee fees     80       82       57       70       115       120    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,956       1,965       1,924       1,937       2,042       2,046    
Total Gross Expenses before
fees waived and/or reimbursed		     146,671       146,706       131,559       132,317       201,290       208,921    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (85,371 )     (83,177 )     (90,115 )     (78,810 )     (111,907 )     (112,916 )  
Total Net Expenses     61,300       63,529       41,444       53,507       89,383       96,005    
Net Investment Income (Loss)     63,150       21,454       9,291       (15,795 )     30,603       (38,118 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     112,488       40,874       (154,013 )     97,922       314,659       102,832    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (573,727 )     (466,915 )     (1,873,263 )     (1,554,725 )     (3,832,184 )     (446,038 )  
In-kind redemptions of investments     469,829       —       234,741       625,900       138,658       —    
Net realized gain (loss)     8,590       (426,041 )     (1,792,535 )     (830,903 )     (3,378,867 )     (343,206 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     (56,554 )     1,099,181       201,907       (275,850 )     (94,586 )     2,027,365    
Futures contracts     —       —       —       —       —       —    
Swap agreements     1,251,647       2,206,104       2,748,979       3,521,882       4,388,971       3,476,594    
Change in net unrealized
appreciation (depreciation)		     1,195,093       3,305,285       2,950,886       3,246,032       4,294,385       5,503,959    
Net realized and unrealized gain (loss)     1,203,683       2,879,244       1,158,351       2,415,129       915,518       5,160,753    
Change in Net Assets Resulting
from Operations		   $ 1,266,833     $ 2,900,698     $ 1,167,642     $ 2,399,334     $ 946,121     $ 5,122,635    

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 171


    Ultra
Basic
Materials		   Ultra
Nasdaq
Biotechnology		   Ultra
Consumer
Goods		   Ultra
Consumer
Services		   Ultra
Financials		   Ultra
Health Care		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 1,021,704     $ 27,564     $ 244,370     $ 76,446     $ 6,886,328     $ 471,359    
Interest     115,890       1,238       4,001       4,320       283,484       2,873    
Foreign withholding tax on dividends     —       —       —       —       (5,622 )     (2,130 )  
Total Investment Income     1,137,594       28,802       248,371       80,766       7,164,190       472,102    
EXPENSES:  
Advisory fees (Note 4)     1,126,354       18,211       81,469       62,298       4,818,621       177,985    
Management Services fees (Note 4)     150,179       2,428       10,862       8,306       642,478       23,731    
Professional fees     12,844       8,974       9,199       9,149       25,774       9,521    
Administration fees (Note 5)     91,043       4,951       50,654       50,719       140,603       51,019    
Custodian fees (Note 6)     30,448       4,987       6,994       12,434       124,039       9,539    
Printing and Shareholder reports     30,227       487       2,210       1,828       128,869       4,646    
Licensing fees     65,083       10,695       9,355       8,333       263,258       14,503    
Trustee fees     1,848       29       136       112       8,026       277    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     6,304       1,832       2,116       2,005       21,933       2,641    
Total Gross Expenses before
fees waived and/or reimbursed		     1,514,330       52,594       172,995       155,184       6,173,601       293,862    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (84,866 )     (29,508 )     (69,665 )     (76,201 )     (70,907 )     (68,270 )  
Total Net Expenses     1,429,464       23,086       103,330       78,983       6,102,694       225,592    
Net Investment Income (Loss)     (291,870 )     5,716       145,041       1,783       1,061,496       246,510    
NET REALIZED GAIN (LOSS) ON:  
Investments     515,124       (169,990 )     50,205       (890 )     (1,215,984 )     (375,934 )  
Futures contracts     —       —       —       —       —       —    
Swap agreements     91,284,812       (97,972 )     1,870,644       1,401,560       (87,611,516 )     1,188,711    
In-kind redemptions of investments     41,043,838       —       3,226,624       1,767,785       35,801,156       —    
Net realized gain (loss)     132,843,774       (267,962 )     5,147,473       3,168,455       (53,026,344 )     812,777    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     (24,573,615 )     404,968       (1,380,686 )     (951,573 )     (41,991,356 )     2,480,258    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (3,458,120 )     513,682       1,306,720       498,077       41,536,089       1,330,903    
Change in net unrealized
appreciation (depreciation)		     (28,031,735 )     918,650       (73,966 )     (453,496 )     (455,267 )     3,811,161    
Net realized and unrealized gain (loss)     104,812,039       650,688       5,073,507       2,714,959       (53,481,611 )     4,623,938    
Change in Net Assets Resulting
from Operations		   $ 104,520,169     $ 656,404     $ 5,218,548     $ 2,716,742     $ (52,420,115 )   $ 4,870,448    

 

See accompanying notes to the financial statements.

172 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    Ultra
Industrials		   Ultra
Oil & Gas		   Ultra
Real Estate		   Ultra
KBW Regional
Banking		   Ultra
Semiconductors		   Ultra
Technology		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 343,760     $ 2,728,717     $ 5,444,758     $ 53,196     $ 394,472     $ 455,591    
Interest     5,529       48,438       104,862       1,320       21,085       18,524    
Foreign withholding tax on dividends     —       (1,437 )     (14,786 )     —       —       —    
Total Investment Income     349,289       2,775,718       5,534,834       54,516       415,557       474,115    
EXPENSES:  
Advisory fees (Note 4)     122,301       1,358,765       1,920,879       26,571       271,207       464,741    
Management Services fees (Note 4)     16,307       181,167       256,115       3,543       36,161       61,965    
Professional fees     9,346       13,603       15,707       9,002       9,864       10,494    
Administration fees (Note 5)     51,023       97,334       111,430       7,126       56,397       67,150    
Custodian fees (Note 6)     16,093       50,943       46,079       6,899       7,657       19,475    
Printing and Shareholder reports     3,343       35,717       52,151       704       7,410       12,116    
Licensing fees     11,533       77,479       107,458       6,717       19,475       29,797    
Trustee fees     207       2,198       3,213       42       446       729    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     2,254       6,876       9,145       1,880       3,000       3,549    
Total Gross Expenses before
fees waived and/or reimbursed		     232,407       1,824,082       2,522,177       62,484       411,617       670,016    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (77,344 )     (99,791 )     (86,952 )     (28,867 )     (67,733 )     (80,683 )  
Total Net Expenses     155,063       1,724,291       2,435,225       33,617       343,884       589,333    
Net Investment Income (Loss)     194,226       1,051,427       3,099,609       20,899       71,673       (115,218 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     (388,314 )     (898,839 )     2,865,828       (168,811 )     (119,507 )     220,438    
Futures contracts     —       —       —       —       —       —    
Swap agreements     2,117,937       (767,855 )     26,602,590       (715,080 )     2,906,063       2,805,882    
In-kind redemptions of investments     3,676,531       33,267,888       39,917,154       (55,039 )     9,167,223       6,480,658    
Net realized gain (loss)     5,406,154       31,601,194       69,385,572       (938,930 )     11,953,779       9,506,978    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     (1,270,581 )     19,428,711       (16,935,593 )     (279,379 )     (5,431,977 )     2,264,800    
Futures contracts     —       —       —       —       —       —    
Swap agreements     1,247,323       69,780,725       23,411,974       (451,746 )     5,520,981       9,423,391    
Change in net unrealized
appreciation (depreciation)		     (23,258 )     89,209,436       6,476,381       (731,125 )     89,004       11,688,191    
Net realized and unrealized gain (loss)     5,382,896       120,810,630       75,861,953       (1,670,055 )     12,042,783       21,195,169    
Change in Net Assets Resulting
from Operations		   $ 5,577,122     $ 121,862,057     $ 78,961,562     $ (1,649,156 )   $ 12,114,456     $ 21,079,951    

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 173


    Ultra
Telecommunications		   Ultra
Utilities		   Ultra
MSCI EAFE		   Ultra MSCI
Emerging
Markets		   Ultra
MSCI
Europe		   Ultra MSCI
Pacific
ex-Japan		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ 51,326     $ 416,596     $ 232     $ 128,726     $ —     $ —    
Interest     2,304       1,632       6,688       16,091       2,247       1,892    
Foreign withholding tax on dividends     —       —       —       (833 )     —       —    
Total Investment Income     53,630       418,228       6,920       143,984       2,247       1,892    
EXPENSES:  
Advisory fees (Note 4)     23,830       83,609       35,634       139,485       12,507       10,924    
Management Services fees (Note 4)     3,177       11,148       4,751       18,598       1,664       1,457    
Professional fees     8,995       9,201       9,044       9,361       8,952       8,947    
Administration fees (Note 5)     50,307       50,564       49,837       50,636       3,370       2,955    
Custodian fees (Note 6)     2,586       4,620       4,356       9,796       613       536    
Printing and Shareholder reports     650       2,220       1,026       3,438       324       288    
Licensing fees     6,281       9,469       17,138       17,636       17,500       17,500    
Trustee fees     41       136       61       205       20       17    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,896       2,068       1,978       2,358       1,805       1,801    
Total Gross Expenses before
fees waived and/or reimbursed		     97,763       173,035       123,825       251,513       46,755       44,425    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (67,547 )     (67,035 )     (78,616 )     (74,560 )     (30,919 )     (30,561 )  
Total Net Expenses     30,216       106,000       45,209       176,953       15,836       13,864    
Net Investment Income (Loss)     23,414       312,228       (38,289 )     (32,969 )     (13,589 )     (11,972 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     28,294       (103,302 )     36       (1,175,178 )     —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     597,674       508,623       3,096,474       8,236,677       1,281,112       51,360    
In-kind redemptions of investments     (213,110 )     —       —       1,493,643       —       —    
Net realized gain (loss)     412,858       405,321       3,096,510       8,555,142       1,281,112       51,360    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     398,791       1,528,675       —       952,364       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     338,103       1,699,851       (414,978 )     (322,327 )     (329,793 )     979,563    
Change in net unrealized
appreciation (depreciation)		     736,894       3,228,526       (414,978 )     630,037       (329,793 )     979,563    
Net realized and unrealized gain (loss)     1,149,752       3,633,847       2,681,532       9,185,179       951,319       1,030,923    
Change in Net Assets Resulting
from Operations		   $ 1,173,166     $ 3,946,075     $ 2,643,243     $ 9,152,210     $ 937,730     $ 1,018,951    

 

See accompanying notes to the financial statements.

174 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    Ultra
MSCI Brazil		   Ultra
FTSE China 25		   Ultra
MSCI Japan		   Ultra
MSCI Mexico
Investable
Market		   Ultra
7-10 Year
Treasury		   Ultra
20+ Year
Treasury		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     4,776       25,935       6,994       1,745       66,562       126,067    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     4,776       25,935       6,994       1,745       66,562       126,067    
EXPENSES:  
Advisory fees (Note 4)     25,792       147,094       35,926       9,215       67,218       65,089    
Management Services fees (Note 4)     3,435       19,613       4,790       1,229       8,962       8,678    
Professional fees     9,004       9,424       9,045       8,942       9,166       9,150    
Administration fees (Note 5)     6,912       50,458       49,760       2,499       17,944       17,374    
Custodian fees (Note 6)     812       2,829       746       537       2,323       2,359    
Printing and Shareholder reports     719       3,929       1,028       243       1,941       1,904    
Licensing fees     17,500       20,695       27,418       17,500       8,372       8,265    
Trustee fees     40       242       61       15       118       105    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,868       2,558       1,933       1,797       2,244       2,246    
Total Gross Expenses before
fees waived and/or reimbursed		     66,082       256,842       130,707       41,977       118,288       115,170    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (33,419 )     (70,300 )     (85,162 )     (30,281 )     (33,077 )     (32,749 )  
Total Net Expenses     32,663       186,542       45,545       11,696       85,211       82,421    
Net Investment Income (Loss)     (27,887 )     (160,607 )     (38,551 )     (9,951 )     (18,649 )     43,646    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       69,711       (303,128 )  
Futures contracts     —       —       —       —       88,753       (22,493 )  
Swap agreements     845,706       7,567,447       797,941       226,829       3,400,561       710,562    
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     845,706       7,567,447       797,941       226,829       3,559,025       384,941    
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       20,577       (214,759 )  
Futures contracts     —       —       —       —       (358 )     11,872    
Swap agreements     38,763       346,775       643,066       607,708       (950,137 )     (1,023,431 )  
Change in net unrealized
appreciation (depreciation)		     38,763       346,775       643,066       607,708       (929,918 )     (1,226,318 )  
Net realized and unrealized gain (loss)     884,469       7,914,222       1,441,007       834,537       2,629,107       (841,377 )  
Change in Net Assets Resulting
from Operations		   $ 856,582     $ 7,753,615     $ 1,402,456     $ 824,586     $ 2,610,458     $ (797,731 )  

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 175


    Short QQQ®   Short Dow30SM   Short S&P500®   Short
MidCap400		   Short
SmallCap600		   Short
Russell2000		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     188,605       236,244       1,736,944       29,430       24,828       261,849    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     188,605       236,244       1,736,944       29,430       24,828       261,849    
EXPENSES:  
Advisory fees (Note 4)     909,789       1,152,639       8,364,221       144,673       118,707       1,280,186    
Management Services fees (Note 4)     121,304       153,684       1,115,221       19,290       15,828       170,690    
Professional fees     11,943       12,832       36,993       9,396       9,326       13,308    
Administration fees (Note 5)     66,010       72,796       133,341       40,556       40,491       76,203    
Custodian fees (Note 6)     14,583       18,026       126,607       2,450       2,582       20,193    
Printing and Shareholder reports     22,971       29,887       213,571       3,675       3,138       33,336    
Licensing fees     126,315       66,485       7,515       6,262       6,263       167,905    
Trustee fees     1,408       1,805       12,889       226       191       2,000    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     5,831       7,617       49,879       2,347       2,458       9,857    
Total Gross Expenses before
fees waived and/or reimbursed		     1,280,154       1,515,771       10,060,237       228,875       198,984       1,773,678    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (128,932 )     (56,792 )     —       (45,770 )     (48,752 )     (153,776 )  
Total Net Expenses     1,151,222       1,458,979       10,060,237       183,105       150,232       1,619,902    
Net Investment Income (Loss)     (962,617 )     (1,222,735 )     (8,323,293 )     (153,675 )     (125,404 )     (1,358,053 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (4,449,865 )     (4,888,784 )     (17,203,780 )     (67,228 )     (113,233 )     (7,317,788 )  
Swap agreements     (22,054,480 )     (6,332,786 )     (162,972,753 )     (1,320,309 )     (2,993,843 )     (31,778,273 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (26,504,345 )     (11,221,570 )     (180,176,533 )     (1,387,537 )     (3,107,076 )     (39,096,061 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     (2,296,056 )     (2,481,278 )     (16,830,906 )     (201,660 )     (42,698 )     (3,728,668 )  
Swap agreements     (12,692,977 )     (23,661,712 )     (100,441,549 )     (3,702,180 )     (1,565,960 )     (18,055,712 )  
Change in net unrealized
appreciation (depreciation)		     (14,989,033 )     (26,142,990 )     (117,272,455 )     (3,903,840 )     (1,608,658 )     (21,784,380 )  
Net realized and unrealized gain (loss)     (41,493,378 )     (37,364,560 )     (297,448,988 )     (5,291,377 )     (4,715,734 )     (60,880,441 )  
Change in Net Assets Resulting
from Operations		   $ (42,455,995 )   $ (38,587,295 )   $ (305,772,281 )   $ (5,445,052 )   $ (4,841,138 )   $ (62,238,494 )  

 

See accompanying notes to the financial statements.

176 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    UltraShort
QQQ®		   UltraShort
Dow30SM		   UltraShort
S&P500®		   UltraShort
Russell3000		   UltraShort
MidCap400		   UltraShort
SmallCap600		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     695,690       407,037       2,704,481       1,801       29,669       18,650    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     695,690       407,037       2,704,481       1,801       29,669       18,650    
EXPENSES:  
Advisory fees (Note 4)     3,292,795       1,944,372       12,567,379       8,195       137,285       84,675    
Management Services fees (Note 4)     439,036       259,248       1,675,638       1,093       18,305       11,290    
Professional fees     20,044       15,555       51,962       8,938       9,377       9,193    
Administration fees (Note 5)     111,173       92,656       148,109       33,950       40,529       40,411    
Custodian fees (Note 6)     50,857       30,485       190,219       329       2,453       2,097    
Printing and Shareholder reports     84,954       50,301       325,535       209       3,530       2,123    
Licensing fees     446,551       108,711       11,272       5,010       6,262       6,263    
Trustee fees     5,216       3,105       20,141       13       220       131    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     19,610       11,583       61,123       1,801       2,371       2,265    
Total Gross Expenses before
fees waived and/or reimbursed		     4,470,236       2,516,016       15,051,378       59,538       220,332       158,448    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (307,700 )     (56,468 )     —       (49,172 )     (46,723 )     (51,389 )  
Total Net Expenses     4,162,536       2,459,548       15,051,378       10,366       173,609       107,059    
Net Investment Income (Loss)     (3,466,846 )     (2,052,511 )     (12,346,897 )     (8,565 )     (143,940 )     (88,409 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (9,699,810 )     (5,899,598 )     (5,846,982 )     —       28,924       (160,828 )  
Swap agreements     (225,746,613 )     (32,660,385 )     (642,684,935 )     (498,904 )     (11,914,461 )     (4,341,535 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (235,446,423 )     (38,559,983 )     (648,531,917 )     (498,904 )     (11,885,537 )     (4,502,363 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     (12,839,531 )     (6,527,100 )     (37,613,700 )     —       (211,936 )     (51,749 )  
Swap agreements     (50,265,848 )     (77,278,292 )     (119,178,518 )     (17,641 )     1,620,569       (2,644,998 )  
Change in net unrealized
appreciation (depreciation)		     (63,105,379 )     (83,805,392 )     (156,792,218 )     (17,641 )     1,408,633       (2,696,747 )  
Net realized and unrealized gain (loss)     (298,551,802 )     (122,365,375 )     (805,324,135 )     (516,545 )     (10,476,904 )     (7,199,110 )  
Change in Net Assets Resulting
from Operations		   $ (302,018,648 )   $ (124,417,886 )   $ (817,671,032 )   $ (525,110 )   $ (10,620,844 )   $ (7,287,519 )  

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 177


    UltraShort
Russell2000		   UltraPro Short
QQQ®		   UltraPro Short
Dow30SM		   UltraPro Short
S&P500®		   UltraPro Short
MidCap400		   UltraPro Short
Russell2000		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     387,028       40,834       21,906       309,584       4,163       22,755    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     387,028       40,834       21,906       309,584       4,163       22,755    
EXPENSES:  
Advisory fees (Note 4)     1,846,899       181,365       102,625       1,350,305       18,051       107,407    
Management Services fees (Note 4)     246,251       24,182       13,683       180,039       2,407       14,321    
Professional fees     15,247       9,534       9,259       13,499       8,971       9,257    
Administration fees (Note 5)     89,859       34,689       21,907       78,005       3,864       22,927    
Custodian fees (Note 6)     28,896       4,098       2,807       20,863       1,290       2,898    
Printing and Shareholder reports     47,792       4,726       2,613       34,409       458       2,575    
Licensing fees     262,321       32,449       10,484       6,262       6,262       11,896    
Trustee fees     2,999       271       152       2,064       29       155    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       8,302       —       —    
Other fees     12,521       3,212       2,687       12,746       1,865       2,518    
Total Gross Expenses before
fees waived and/or reimbursed		     2,552,785       294,526       166,217       1,706,494       43,197       173,954    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (217,932 )     (65,706 )     (36,531 )     —       (20,391 )     (38,380 )  
Total Net Expenses     2,334,853       228,820       129,686       1,706,494       22,806       135,574    
Net Investment Income (Loss)     (1,947,825 )     (187,986 )     (107,780 )     (1,396,910 )     (18,643 )     (112,819 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     (3,513,187 )     (1,761,571 )     (410,972 )     (2,759,391 )     (55,901 )     (919,960 )  
Swap agreements     (139,046,203 )     (18,019,549 )     (10,097,932 )     (80,445,814 )     (1,669,867 )     (14,229,045 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (142,559,390 )     (19,781,120 )     (10,508,904 )     (83,205,205 )     (1,725,768 )     (15,149,005 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     (8,896,997 )     (199,864 )     (185,053 )     (2,401,681 )     (111,051 )     (214,015 )  
Swap agreements     (17,108,423 )     (12,597,050 )     (522,266 )     (56,274,368 )     (344,231 )     (2,179,212 )  
Change in net unrealized
appreciation (depreciation)		     (26,005,420 )     (12,796,914 )     (707,319 )     (58,676,049 )     (455,282 )     (2,393,227 )  
Net realized and unrealized gain (loss)     (168,564,810 )     (32,578,034 )     (11,216,223 )     (141,881,254 )     (2,181,050 )     (17,542,232 )  
Change in Net Assets Resulting
from Operations		   $ (170,512,635 )   $ (32,766,020 )   $ (11,324,003 )   $ (143,278,164 )   $ (2,199,693 )   $ (17,655,051 )  

 

See accompanying notes to the financial statements.

178 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    UltraShort
Russell1000
Value		   UltraShort
Russell1000
Growth		   UltraShort
Russell MidCap
Value		   UltraShort
Russell MidCap
Growth		   UltraShort
Russell2000
Value		   UltraShort
Russell2000
Growth		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     5,604       6,863       4,275       5,237       9,757       12,151    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     5,604       6,863       4,275       5,237       9,757       12,151    
EXPENSES:  
Advisory fees (Note 4)     27,805       33,005       19,942       24,937       46,249       55,776    
Management Services fees (Note 4)     3,707       4,401       2,659       3,325       6,166       7,437    
Professional fees     9,010       9,023       8,979       8,997       9,060       9,105    
Administration fees (Note 5)     40,268       40,293       40,262       40,272       40,316       40,345    
Custodian fees (Note 6)     671       786       521       609       1,000       1,047    
Printing and Shareholder reports     760       855       518       649       1,126       1,460    
Licensing fees     3,613       3,817       5,010       4,460       3,889       4,742    
Trustee fees     48       54       33       41       69       90    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,895       1,882       1,946       1,948       2,054       2,141    
Total Gross Expenses before
fees waived and/or reimbursed		     87,777       94,116       79,870       85,238       109,929       122,143    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (52,596 )     (52,377 )     (54,656 )     (53,723 )     (51,433 )     (51,649 )  
Total Net Expenses     35,181       41,739       25,214       31,515       58,496       70,494    
Net Investment Income (Loss)     (29,577 )     (34,876 )     (20,939 )     (26,278 )     (48,739 )     (58,343 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (658,929 )     (786,374 )     (1,609,828 )     (2,052,161 )     (2,731,871 )     (2,542,096 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (658,929 )     (786,374 )     (1,609,828 )     (2,052,161 )     (2,731,871 )     (2,542,096 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (773,154 )     (1,693,754 )     (83,426 )     (662,966 )     (361,851 )     (3,277,088 )  
Change in net unrealized
appreciation (depreciation)		     (773,154 )     (1,693,754 )     (83,426 )     (662,966 )     (361,851 )     (3,277,088 )  
Net realized and unrealized gain (loss)     (1,432,083 )     (2,480,128 )     (1,693,254 )     (2,715,127 )     (3,093,722 )     (5,819,184 )  
Change in Net Assets Resulting
from Operations		   $ (1,461,660 )   $ (2,515,004 )   $ (1,714,193 )   $ (2,741,405 )   $ (3,142,461 )   $ (5,877,527 )  

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 179


    Short Basic
Materials		   Short
Financials		   Short
Oil & Gas		   Short
Real Estate		   Short
KBW Regional
Banking		   UltraShort
Basic Materials		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     3,713       90,842       10,245       17,598       19,114       99,206    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     3,713       90,842       10,245       17,598       19,114       99,206    
EXPENSES:  
Advisory fees (Note 4)     18,308       459,800       50,227       82,535       96,386       433,404    
Management Services fees (Note 4)     2,441       61,306       6,697       11,005       12,851       57,787    
Professional fees     8,972       10,483       9,081       9,185       9,216       10,359    
Administration fees (Note 5)     3,942       51,040       40,359       17,646       20,604       50,142    
Custodian fees (Note 6)     817       7,701       1,290       1,767       2,120       7,348    
Printing and Shareholder reports     473       11,911       1,301       2,205       2,307       10,908    
Licensing fees     5,987       29,534       7,690       9,412       10,441       28,126    
Trustee fees     30       718       77       117       138       692    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,843       3,759       1,976       2,583       2,174       4,335    
Total Gross Expenses before
fees waived and/or reimbursed		     42,813       636,252       118,698       136,455       156,237       603,101    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (19,654 )     (54,010 )     (55,159 )     (32,034 )     (34,158 )     (55,659 )  
Total Net Expenses     23,159       582,242       63,539       104,421       122,079       547,442    
Net Investment Income (Loss)     (19,446 )     (491,400 )     (53,294 )     (86,823 )     (102,965 )     (448,236 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (925,461 )     (8,650,411 )     (1,817,175 )     (5,433,535 )     (2,057,046 )     (36,937,312 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (925,461 )     (8,650,411 )     (1,817,175 )     (5,433,535 )     (2,057,046 )     (36,937,312 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (211,890 )     3,373,383       (1,206,681 )     883,906       2,188,505       (21,267,483 )  
Change in net unrealized
appreciation (depreciation)		     (211,890 )     3,373,383       (1,206,681 )     883,906       2,188,505       (21,267,483 )  
Net realized and unrealized gain (loss)     (1,137,351 )     (5,277,028 )     (3,023,856 )     (4,549,629 )     131,459       (58,204,795 )  
Change in Net Assets Resulting
from Operations		   $ (1,156,797 )   $ (5,768,428 )   $ (3,077,150 )   $ (4,636,452 )   $ 28,494     $ (58,653,031 )  

 

See accompanying notes to the financial statements.

180 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    UltraShort
Nasdaq
Biotechnology		   UltraShort
Consumer
Goods		   UltraShort
Consumer
Services		   UltraShort
Financials		   UltraShort
Health Care		   UltraShort
Industrials		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     4,559       10,510       29,299       402,190       4,020       9,863    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     4,559       10,510       29,299       402,190       4,020       9,863    
EXPENSES:  
Advisory fees (Note 4)     23,203       48,689       134,460       2,119,872       19,554       47,603    
Management Services fees (Note 4)     3,094       6,492       17,928       282,648       2,607       6,347    
Professional fees     8,993       9,074       9,372       16,258       8,975       9,071    
Administration fees (Note 5)     4,987       40,342       40,483       95,371       40,282       40,334    
Custodian fees (Note 6)     689       1,022       2,420       33,165       422       1,099    
Printing and Shareholder reports     634       1,241       3,518       55,708       495       1,214    
Licensing fees     11,361       7,607       12,182       119,324       6,053       7,549    
Trustee fees     39       78       214       3,426       31       76    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,847       1,974       2,491       9,828       1,831       1,926    
Total Gross Expenses before
fees waived and/or reimbursed		     54,847       116,519       223,068       2,735,600       80,250       115,219    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (25,502 )     (54,953 )     (53,037 )     (52,120 )     (55,506 )     (55,015 )  
Total Net Expenses     29,345       61,566       170,031       2,683,480       24,744       60,204    
Net Investment Income (Loss)     (24,786 )     (51,056 )     (140,732 )     (2,281,290 )     (20,724 )     (50,341 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (1,498,092 )     (2,100,768 )     (7,250,072 )     (82,611,445 )     (638,494 )     (2,123,437 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (1,498,092 )     (2,100,768 )     (7,250,072 )     (82,611,445 )     (638,494 )     (2,123,437 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (185,188 )     (1,832,952 )     (3,435,461 )     26,970,054       (190,782 )     (1,358,632 )  
Change in net unrealized
appreciation (depreciation)		     (185,188 )     (1,832,952 )     (3,435,461 )     26,970,054       (190,782 )     (1,358,632 )  
Net realized and unrealized gain (loss)     (1,683,280 )     (3,933,720 )     (10,685,533 )     (55,641,391 )     (829,276 )     (3,482,069 )  
Change in Net Assets Resulting
from Operations		   $ (1,708,066 )   $ (3,984,776 )   $ (10,826,265 )   $ (57,922,681 )   $ (850,000 )   $ (3,532,410 )  

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 181


    UltraShort
Oil & Gas		   UltraShort
Real Estate		   UltraShort
Semiconductors		   UltraShort
Technology		   UltraShort
Telecommunications		   UltraShort
Utilities		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     96,171       336,705       20,928       18,171       1,719       5,042    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     96,171       336,705       20,928       18,171       1,719       5,042    
EXPENSES:  
Advisory fees (Note 4)     481,336       1,465,567       98,500       84,603       7,290       23,175    
Management Services fees (Note 4)     64,178       195,408       13,133       11,280       972       3,090    
Professional fees     10,605       13,930       9,258       9,194       8,938       8,989    
Administration fees (Note 5)     51,764       81,184       40,435       40,436       40,252       40,297    
Custodian fees (Note 6)     8,373       23,237       1,932       1,685       308       622    
Printing and Shareholder reports     12,882       37,821       2,618       2,148       214       600    
Licensing fees     30,682       83,175       10,264       9,523       5,399       6,247    
Trustee fees     803       2,397       161       133       13       37    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     3,191       10,147       2,270       2,173       11,776       1,867    
Total Gross Expenses before
fees waived and/or reimbursed		     663,814       1,912,866       178,571       161,175       75,162       84,924    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (55,509 )     (59,761 )     (54,010 )     (54,195 )     (65,945 )     (55,606 )  
Total Net Expenses     608,305       1,853,105       124,561       106,980       9,217       29,318    
Net Investment Income (Loss)     (512,134 )     (1,516,400 )     (103,633 )     (88,809 )     (7,498 )     (24,276 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (19,627,065 )     (84,380,243 )     (4,883,682 )     (4,336,176 )     (481,246 )     (917,094 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (19,627,065 )     (84,380,243 )     (4,883,682 )     (4,336,176 )     (481,246 )     (917,094 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (32,498,371 )     (36,858,703 )     (2,384,174 )     (2,059,927 )     (135,623 )     (474,517 )  
Change in net unrealized
appreciation (depreciation)		     (32,498,371 )     (36,858,703 )     (2,384,174 )     (2,059,927 )     (135,623 )     (474,517 )  
Net realized and unrealized gain (loss)     (52,125,436 )     (121,238,946 )     (7,267,856 )     (6,396,103 )     (616,869 )     (1,391,611 )  
Change in Net Assets Resulting
from Operations		   $ (52,637,570 )   $ (122,755,346 )   $ (7,371,489 )   $ (6,484,912 )   $ (624,367 )   $ (1,415,887 )  

 

See accompanying notes to the financial statements.

182 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    Short MSCI
EAFE		   Short MSCI
Emerging
Markets		   Short FTSE
China 25		   UltraShort
MSCI EAFE		   UltraShort
MSCI Emerging
Markets		   UltraShort
MSCI Europe		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     103,273       194,936       4,608       28,333       132,601       73,718    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     103,273       194,936       4,608       28,333       132,601       73,718    
EXPENSES:  
Advisory fees (Note 4)     496,177       941,996       23,535       122,890       586,014       326,655    
Management Services fees (Note 4)     66,156       125,599       3,138       16,385       78,135       43,554    
Professional fees     10,578       12,116       8,988       9,346       10,885       9,960    
Administration fees (Note 5)     52,255       66,911       5,057       40,438       55,287       45,821    
Custodian fees (Note 6)     8,071       14,750       886       2,363       9,741       5,779    
Printing and Shareholder reports     12,694       24,402       590       3,300       14,958       7,968    
Licensing fees     60,836       107,613       7,521       20,472       77,953       25,559    
Trustee fees     776       1,512       37       208       960       510    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     3,655       6,509       1,868       2,249       4,891       3,542    
Total Gross Expenses before
fees waived and/or reimbursed		     711,198       1,301,408       51,620       217,651       838,824       469,348    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (83,471 )     (109,680 )     (21,839 )     (62,376 )     (98,392 )     (56,965 )  
Total Net Expenses     627,727       1,191,728       29,781       155,275       740,432       412,383    
Net Investment Income (Loss)     (524,454 )     (996,792 )     (25,173 )     (126,942 )     (607,831 )     (338,665 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (21,283,604 )     (60,529,889 )     (1,757,142 )     (12,047,256 )     (48,118,668 )     (57,357,654 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (21,283,604 )     (60,529,889 )     (1,757,142 )     (12,047,256 )     (48,118,668 )     (57,357,654 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       —    
Swap agreements     (6,222,654 )     10,204,954       715,777       (2,195,236 )     (15,669,391 )     6,702,847    
Change in net unrealized
appreciation (depreciation)		     (6,222,654 )     10,204,954       715,777       (2,195,236 )     (15,669,391 )     6,702,847    
Net realized and unrealized gain (loss)     (27,506,258 )     (50,324,935 )     (1,041,365 )     (14,242,492 )     (63,788,059 )     (50,654,807 )  
Change in Net Assets Resulting
from Operations		   $ (28,030,712 )   $ (51,321,727 )   $ (1,066,538 )   $ (14,369,434 )   $ (64,395,890 )   $ (50,993,472 )  

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 183


    UltraShort
MSCI Pacific
ex-Japan		   UltraShort
MSCI Brazil		   UltraShort
FTSE China 25		   UltraShort
MSCI Japan		   UltraShort
MSCI Mexico
Investable
Market		   Short
20+ Year
Treasury		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ —     $ —     $ —     $ —    
Interest     2,399       29,594       233,325       12,181       3,590       397,481    
Foreign withholding tax on dividends     —       —       —       —       —       —    
Total Investment Income     2,399       29,594       233,325       12,181       3,590       397,481    
EXPENSES:  
Advisory fees (Note 4)     8,801       128,718       1,046,326       58,767       16,785       1,894,493    
Management Services fees (Note 4)     1,174       17,162       139,509       7,835       2,238       252,597    
Professional fees     8,940       9,348       12,624       9,109       8,963       15,031    
Administration fees (Note 5)     36,905       40,211       69,713       40,372       37,014       90,987    
Custodian fees (Note 6)     242       2,269       16,680       1,226       484       29,890    
Printing and Shareholder reports     225       3,301       28,254       1,500       401       46,427    
Licensing fees     17,500       17,500       116,340       27,418       17,500       99,735    
Trustee fees     14       210       1,810       92       25       2,839    
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4)		     —       —       —       —       —       —    
Other fees     1,809       2,412       8,281       2,050       1,891       11,094    
Total Gross Expenses before
fees waived and/or reimbursed		     75,610       221,131       1,439,537       148,369       85,301       2,443,093    
LESS:  
Expenses waived and/or
reimbursed by Advisor (Note 4)		     (64,496 )     (58,562 )     (116,871 )     (74,025 )     (64,088 )     (43,998 )  
Total Net Expenses     11,114       162,569       1,322,666       74,344       21,213       2,399,095    
Net Investment Income (Loss)     (8,715 )     (132,975 )     (1,089,341 )     (62,163 )     (17,623 )     (2,001,614 )  
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       (2,241,378 )  
Swap agreements     (2,299,149 )     (26,313,446 )     (80,382,107 )     (3,245,235 )     (1,534,889 )     (18,318,720 )  
In-kind redemptions of investments     —       —       —       —       —       —    
Net realized gain (loss)     (2,299,149 )     (26,313,446 )     (80,382,107 )     (3,245,235 )     (1,534,889 )     (20,560,098 )  
CHANGE IN NET UNREALIZED
APPRECIATION (DEPRECIATION) ON:		  
Investments     —       —       —       —       —       —    
Futures contracts     —       —       —       —       —       (322,712 )  
Swap agreements     988,922       11,111,452       (17,064,798 )     (180,943 )     (149,921 )     (5,525,253 )  
Change in net unrealized
appreciation (depreciation)		     988,922       11,111,452       (17,064,798 )     (180,943 )     (149,921 )     (5,847,965 )  
Net realized and unrealized gain (loss)     (1,310,227 )     (15,201,994 )     (97,446,905 )     (3,426,178 )     (1,684,810 )     (26,408,063 )  
Change in Net Assets Resulting
from Operations		   $ (1,318,942 )   $ (15,334,969 )   $ (98,536,246 )   $ (3,488,341 )   $ (1,702,433 )   $ (28,409,677 )  

 

See accompanying notes to the financial statements.

184 :: ProShares Trust :: Statements of Operations :: For the Periods Ended November 30, 2010 (Unaudited)


    UltraShort
7-10 Year
Treasury		   UltraShort
20+ Year
Treasury		   Credit Suisse
130/30		  
    Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		   Six Months
Ended
November 30,
2010		  
INVESTMENT INCOME:  
Dividends   $ —     $ —     $ 564,161    
Interest     325,799       3,909,974       756    
Foreign withholding tax on dividends     —       —       —    
Total Investment Income     325,799       3,909,974       564,917    
EXPENSES:  
Advisory fees (Note 4)     1,351,399       17,605,087       199,398    
Management Services fees (Note 4)     180,185       2,347,328       26,586    
Professional fees     13,461       68,420       9,589    
Administration fees (Note 5)     78,122       165,241       51,397    
Custodian fees (Note 6)     21,268       266,463       23,166    
Printing and Shareholder reports     34,584       453,116       5,172    
Licensing fees     72,581       890,279       20,027    
Trustee fees     2,124       27,744       315    
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4)     —       —       —    
Other fees     7,357       64,954       2,670    
Total Gross Expenses before fees waived and/or reimbursed     1,761,081       21,888,632       338,320    
LESS:  
Expenses waived and/or reimbursed by Advisor (Note 4)     (50,697 )     —       (85,643 )  
Total Net Expenses     1,710,384       21,888,632       252,677    
Net Investment Income (Loss)     (1,384,585 )     (17,978,658 )     312,240    
NET REALIZED GAIN (LOSS) ON:  
Investments     —       —       (158,557 )  
Futures contracts     (1,259,280 )     (33,756,342 )     —    
Swap agreements     (107,574,086 )     (132,134,996 )     403,248    
In-kind redemptions of investments     —       —       (1,052,300 )  
Net realized gain (loss)     (108,833,366 )     (165,891,338 )     (807,609 )  
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:  
Investments     —       —       5,061,431    
Futures contracts     14,182       (3,679,919 )     —    
Swap agreements     55,295,020       (435,634,355 )     (769,255 )  
Change in net unrealized appreciation (depreciation)     55,309,202       (439,314,274 )     4,292,176    
Net realized and unrealized gain (loss)     (53,524,164 )     (605,205,612 )     3,484,567    
Change in Net Assets Resulting from Operations   $ (54,908,749 )   $ (623,184,270 )   $ 3,796,807    

 

See accompanying notes to the financial statements.

For the Periods Ended November 30, 2010 (Unaudited) :: Statements of Operations :: ProShares Trust :: 185



Statements of Changes in Net Assets

186 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra QQQ®   Ultra Dow30SM   Ultra S&P500®  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (691,930 )   $ (3,860,071 )   $ 1,085,185     $ 4,728,843     $ 7,071,368     $ 15,124,079    
Net realized gain (loss)     48,446,802       515,974,306       16,384,471       201,491,452       86,840,289       760,285,891    
Change in net unrealized
appreciation (depreciation)		     132,711,766       (13,038,591 )     34,362,534       (8,899,706 )     141,606,338       (40,112,474 )  
Change in Net Assets Resulting
from Operations		     180,466,638       499,075,644       51,832,190       197,320,589       235,517,995       735,297,496    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       (1,235,181 )     (6,955,330 )     (7,813,725 )     (18,323,391 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       (367,836 )  
Total distributions     —       —       (1,235,181 )     (6,955,330 )     (7,813,725 )     (18,691,227 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     445,066,326       639,256,253       99,343,890       169,330,935       223,097,202       800,211,794    
Cost of shares redeemed     (607,427,940 )     (1,429,880,797 )     (188,683,947 )     (628,351,817 )     (636,317,940 )     (2,272,642,458 )  
Change in net assets resulting
from capital transactions		     (162,361,614 )     (790,624,544 )     (89,340,057 )     (459,020,882 )     (413,220,738 )     (1,472,430,664 )  
Change in net assets     18,105,024       (291,548,900 )     (38,743,048 )     (268,655,623 )     (185,516,468 )     (755,824,395 )  
NET ASSETS:  
Beginning of period   $ 789,058,994     $ 1,080,607,894     $ 333,812,649     $ 602,468,272     $ 1,642,204,946     $ 2,398,029,341    
End of period   $ 807,164,018     $ 789,058,994     $ 295,069,601     $ 333,812,649     $ 1,456,688,478     $ 1,642,204,946    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (2,268,363 )   $ (1,576,433 )   $ 329,407     $ 479,403     $ 2,429,334     $ 3,171,691    
SHARE TRANSACTIONS:  
Beginning of period     13,650,000       29,925,000       8,025,000       20,625,000       45,300,000       91,500,000    
Issued     75,000       3,300,000       75,000       1,875,000       300,000       5,175,000    
Issued in-kind     6,600,000       8,925,000       2,100,000       2,400,000       5,625,000       17,325,000    
Redeemed     —       (13,875,000 )     —       (10,275,000 )     —       (42,300,000 )  
Redemption in-kind     (9,450,000 )     (14,625,000 )     (4,200,000 )     (6,600,000 )     (16,725,000 )     (26,400,000 )  
Shares outstanding, end of period     10,875,000       13,650,000       6,000,000       8,025,000       34,500,000       45,300,000    

 

(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 :: 187


    Ultra Russell3000   Ultra MidCap400   Ultra SmallCap600  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 30, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 9,310     $ 50,984     $ 5,690     $ 132,067     $ (23,608 )   $ (34,368 )  
Net realized gain (loss)     1,219,794       1,683,037       15,004,220       70,789,654       (1,975,549 )     30,687,308    
Change in net unrealized
appreciation (depreciation)		     (198,760 )     450,287       2,170,748       4,970,282       8,283,787       (469,242 )  
Change in Net Assets Resulting
from Operations		     1,030,344       2,184,308       17,180,658       75,892,003       6,284,630       30,183,698    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (14,597 )     (28,237 )     (21,034 )     (232,671 )     —       (19,114 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       (220,873 )     —       (49,915 )  
Total distributions     (14,597 )     (28,237 )     (21,034 )     (453,544 )     —       (69,029 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     6,623,699       11,845,436       10,761,754       7,700,834       2,039       —    
Cost of shares redeemed     (6,647,285 )     (8,249,363 )     (43,314,116 )     (125,883,548 )     (18,422,478 )     (30,590,679 )  
Change in net assets resulting
from capital transactions		     (23,586 )     3,596,073       (32,552,362 )     (118,182,714 )     (18,420,439 )     (30,590,679 )  
Change in net assets     992,161       5,752,144       (15,392,738 )     (42,744,255 )     (12,135,809 )     (476,010 )  
NET ASSETS:  
Beginning of period   $ 5,752,144     $ —     $ 116,151,160     $ 158,895,415     $ 54,088,977     $ 54,564,987    
End of period   $ 6,744,305     $ 5,752,144     $ 100,758,422     $ 116,151,160     $ 41,953,168     $ 54,088,977    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 15,750     $ 21,037     $ (152,721 )   $ (137,377 )   $ (55,211 )   $ (31,603 )  
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       2,550,000       5,925,000       1,575,000       2,700,000    
Issued     100,000       250,001       —       225,000       —       —    
Issued in-kind     —       —       225,000       —       —       —    
Redeemed     (50,000 )     —       —       (2,475,000 )     —       (375,000 )  
Redemption in-kind     (50,000 )     (150,000 )     (975,000 )     (1,125,000 )     (525,000 )     (750,000 )  
Shares outstanding, end of period     100,001       100,001       1,800,000       2,550,000       1,050,000       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.

188 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Russell2000   UltraPro QQQ®   UltraPro Dow30SM  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (15,225 )   $ (26,141 )   $ (63,924 )   $ (18,459 )   $ 27,338     $ 22,455    
Net realized gain (loss)     (8,823,274 )     139,857,794       24,026,798       167,113       3,378,926       (267,776 )  
Change in net unrealized
appreciation (depreciation)		     37,125,349       (28,690,492 )     4,164,713       (363,584 )     (461,520 )     127,419    
Change in Net Assets Resulting
from Operations		     28,286,850       111,141,161       28,127,587       (214,930 )     2,944,744       (117,902 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (37,342 )     (79,211 )     —       —       (36,209 )     (3,813 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       (437,257 )     —       —       —       —    
Total distributions     (37,342 )     (516,468 )     —       —       (36,209 )     (3,813 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     20,319,624       168,006,406       71,843,894       57,496,576       20,566,161       12,342,408    
Cost of shares redeemed     (106,868,121 )     (317,639,229 )     (29,567,160 )     (11,848,495 )     (15,083,167 )     —    
Change in net assets resulting
from capital transactions		     (86,548,497 )     (149,632,823 )     42,276,734       45,648,081       5,482,994       12,342,408    
Change in net assets     (58,298,989 )     (39,008,130 )     70,404,321       45,433,151       8,391,529       12,220,693    
NET ASSETS:  
Beginning of period   $ 264,981,990     $ 303,990,120     $ 45,433,151     $ —     $ 12,220,693     $ —    
End of period   $ 206,683,001     $ 264,981,990     $ 115,837,472     $ 45,433,151     $ 20,612,222     $ 12,220,693    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (22,316 )   $ 30,251     $ (82,383 )   $ (18,459 )   $ 9,771     $ 18,642    
SHARE TRANSACTIONS:  
Beginning of period     8,475,000       16,200,000       500,001       —       150,001       —    
Issued     450,000       3,000,000       100,000       100,001       100,000       100,001    
Issued in-kind     225,000       2,325,000       600,000       500,000       100,000       50,000    
Redeemed     (225,000 )     (5,850,000 )     —       —       —       —    
Redemption in-kind     (3,300,000 )     (7,200,000 )     (300,000 )     (100,000 )     (150,000 )     —    
Shares outstanding, end of period     5,625,000       8,475,000       900,001       500,001       200,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 189


    UltraPro S&P500®   UltraPro MidCap400   UltraPro Russell2000  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 23, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 395,560     $ 455,942     $ (4,046 )   $ (1,349 )   $ (39,448 )   $ (14,360 )  
Net realized gain (loss)     38,305,346       13,146,033       288,657       992,399       5,195,474       788,415    
Change in net unrealized
appreciation (depreciation)		     6,598,515       1,648,411       7,005,382       1,542,710       2,131,882       2,160,555    
Change in Net Assets Resulting
from Operations		     45,299,421       15,250,386       7,289,993       2,533,760       7,287,908       2,934,610    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (395,829 )     (141,750 )     —       (3,262 )     —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       (16,188 )     —       —       —    
Total distributions     (395,829 )     (141,750 )     (16,188 )     (3,262 )     —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     170,744,094       183,852,854       5,157,058       17,287,285       32,245,228       12,727,848    
Cost of shares redeemed     (132,875,031 )     (61,944,827 )     (6,201,984 )     —       (17,300,573 )     —    
Change in net assets resulting
from capital transactions		     37,869,063       121,908,027       (1,044,926 )     17,287,285       14,944,655       12,727,848    
Change in net assets     82,772,655       137,016,663       6,228,879       19,817,783       22,232,563       15,662,458    
NET ASSETS:  
Beginning of period   $ 137,016,663     $ —     $ 19,817,783     $ —     $ 15,662,458     $ —    
End of period   $ 219,789,318     $ 137,016,663     $ 26,046,662     $ 19,817,783     $ 37,895,021     $ 15,662,458    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 316,930     $ 317,199     $ (8,657 )   $ (4,611 )   $ (53,808 )   $ (14,360 )  
SHARE TRANSACTIONS:  
Beginning of period     1,000,001       —       200,001       —       150,001       —    
Issued     600,000       1,000,001       50,000       100,001       200,000       150,001    
Issued in-kind     600,000       450,000       —       100,000       100,000       —    
Redeemed     (50,000 )     —       —       —       (150,000 )     —    
Redemption in-kind     (850,000 )     (450,000 )     (50,000 )     —       —       —    
Shares outstanding, end of period     1,300,001       1,000,001       200,001       200,001       300,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

190 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Russell1000 Value   Ultra Russell1000 Growth   Ultra Russell MidCap Value  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 63,150     $ 177,331     $ 21,454     $ 186,545     $ 9,291     $ 158,984    
Net realized gain (loss)     8,590       9,582,848       (426,041 )     13,802,610       (1,792,535 )     13,928,418    
Change in net unrealized
appreciation (depreciation)		     1,195,093       (2,346,825 )     3,305,285       (1,496,386 )     2,950,886       (2,150,697 )  
Change in Net Assets Resulting
from Operations		     1,266,833       7,413,354       2,900,698       12,492,769       1,167,642       11,936,705    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (56,600 )     (221,541 )     (15,576 )     (215,815 )     (19,111 )     (182,559 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       (9,046 )     —       (9,150 )  
Total distributions     (56,600 )     (221,541 )     (15,576 )     (224,861 )     (19,111 )     (191,709 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     400       1,459,534       630       —       696       4,585,187    
Cost of shares redeemed     (3,585,018 )     (15,475,121 )     (2,874,014 )     (27,691,106 )     (6,183,273 )     (18,034,876 )  
Change in net assets resulting
from capital transactions		     (3,584,618 )     (14,015,587 )     (2,873,384 )     (27,691,106 )     (6,182,577 )     (13,449,689 )  
Change in net assets     (2,374,385 )     (6,823,774 )     11,738       (15,423,198 )     (5,034,046 )     (1,704,693 )  
NET ASSETS:  
Beginning of period   $ 13,660,121     $ 20,483,895     $ 13,648,520     $ 29,071,718     $ 12,072,683     $ 13,777,376    
End of period   $ 11,285,736     $ 13,660,121     $ 13,660,258     $ 13,648,520     $ 7,038,637     $ 12,072,683    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 25,148     $ 18,598     $ 35,999     $ 30,121     $ (8,519 )   $ 1,301    
SHARE TRANSACTIONS:  
Beginning of period     600,000       1,275,000       375,000       1,125,000       450,000       900,000    
Issued     —       75,000       —       —       —       150,000    
Issued in-kind     —       —       —       —       —       75,000    
Redeemed     —       (225,000 )     (75,000 )     (75,000 )     —       —    
Redemption in-kind     (150,000 )     (525,000 )     —       (675,000 )     (225,000 )     (675,000 )  
Shares outstanding, end of period     450,000       600,000       300,000       375,000       225,000       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.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 191


    Ultra Russell MidCap Growth   Ultra Russell2000 Value   Ultra Russell2000 Growth  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (15,795 )   $ (3,258 )   $ 30,603     $ 105,058     $ (38,118 )   $ (116,485 )  
Net realized gain (loss)     (830,903 )     10,915,624       (3,378,867 )     12,234,829       (343,206 )     17,019,641    
Change in net unrealized
appreciation (depreciation)		     3,246,032       (2,087,982 )     4,294,385       (739,728 )     5,503,959       (2,884,796 )  
Change in Net Assets Resulting
from Operations		     2,399,334       8,824,384       946,121       11,600,159       5,122,635       14,018,360    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       (9,277 )     (43,202 )     (140,691 )     —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       (12,234 )     —       —       —       —    
Total distributions     —       (21,511 )     (43,202 )     (140,691 )     —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     522       —       1,856,755       —       —       1,506,201    
Cost of shares redeemed     (4,505,397 )     (9,420,567 )     (2,987,448 )     (9,405,142 )     —       (18,922,466 )  
Change in net assets resulting
from capital transactions		     (4,504,875 )     (9,420,567 )     (1,130,693 )     (9,405,142 )     —       (17,416,265 )  
Change in net assets     (2,105,541 )     (617,694 )     (227,774 )     2,054,326       5,122,635       (3,397,905 )  
NET ASSETS:  
Beginning of period   $ 14,842,004     $ 15,459,698     $ 20,502,173     $ 18,447,847     $ 19,784,724     $ 23,182,629    
End of period   $ 12,736,463     $ 14,842,004     $ 20,274,399     $ 20,502,173     $ 24,907,359     $ 19,784,724    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (23,183 )   $ (7,388 )   $ (24,438 )   $ (11,839 )   $ (79,397 )   $ (41,279 )  
SHARE TRANSACTIONS:  
Beginning of period     450,000       750,000       825,000       1,275,000       600,000       1,125,000    
Issued     —       —       75,000       —       —       75,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       —       —       —       —    
Redemption in-kind     (150,000 )     (300,000 )     (150,000 )     (450,000 )     —       (600,000 )  
Shares outstanding, end of period     300,000       450,000       750,000       825,000       600,000       600,000    

 

(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.

192 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Basic Materials   Ultra Nasdaq Biotechnology   Ultra Consumer Goods  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   April 7, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (291,870 )   $ 2,097,380     $ 5,716     $ (5,854 )   $ 145,041     $ 418,698    
Net realized gain (loss)     132,843,774       283,418,343       (267,962 )     (270,732 )     5,147,473       8,848,439    
Change in net unrealized
appreciation (depreciation)		     (28,031,735 )     (86,528,806 )     918,650       (1,125,116 )     (73,966 )     804,498    
Change in Net Assets Resulting
from Operations		     104,520,169       198,986,917       656,404       (1,401,702 )     5,218,548       10,071,635    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (360,129 )     (2,569,372 )     (2,984 )     —       (169,136 )     (404,833 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       (5,799 )     —       —       —    
Total distributions     (360,129 )     (2,569,372 )     (8,783 )     —       (169,136 )     (404,833 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     69,151,320       176,007,220       —       6,001,380       4,744,993       5,367,025    
Cost of shares redeemed     (184,513,632 )     (523,865,669 )     —       —       (17,387,834 )     (4,481,278 )  
Change in net assets resulting
from capital transactions		     (115,362,312 )     (347,858,449 )     —       6,001,380       (12,642,841 )     885,747    
Change in net assets     (11,202,272 )     (151,440,904 )     647,621       4,599,678       (7,593,429 )     10,552,549    
NET ASSETS:  
Beginning of period   $ 315,087,540     $ 466,528,444     $ 4,599,678     $ —     $ 26,470,449     $ 15,917,900    
End of period   $ 303,885,268     $ 315,087,540     $ 5,247,299     $ 4,599,678     $ 18,877,020     $ 26,470,449    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (69,452 )   $ 582,547     $ (3,122 )   $ (5,854 )   $ 24,420     $ 48,515    
SHARE TRANSACTIONS:  
Beginning of period     10,725,000       23,475,000       100,001       —       525,000       450,000    
Issued     600,000       4,950,000       —       100,001       75,000       150,000    
Issued in-kind     1,425,000       2,550,000       —       —       —       —    
Redeemed     —       (9,375,000 )     —       —       —       —    
Redemption in-kind     (5,475,000 )     (10,875,000 )     —       —       (300,000 )     (75,000 )  
Shares outstanding, end of period     7,275,000       10,725,000       100,001       100,001       300,000       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 :: 193


    Ultra Consumer Services   Ultra Financials   Ultra Health Care  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 1,783     $ 49,630     $ 1,061,496     $ 5,274,678     $ 246,510     $ 574,259    
Net realized gain (loss)     3,168,455       5,804,099       (53,026,344 )     978,343,323       812,777       11,349,884    
Change in net unrealized
appreciation (depreciation)		     (453,496 )     1,177,855       (455,267 )     (124,828,949 )     3,811,161       1,298,327    
Change in Net Assets Resulting
from Operations		     2,716,742       7,031,584       (52,420,115 )     858,789,052       4,870,448       13,222,470    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (15,404 )     (42,729 )     (96,379 )     (7,079,423 )     (220,656 )     (618,678 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       (11,646 )     —       (4,962,377 )     —       (18,231 )  
Total distributions     (15,404 )     (54,375 )     (96,379 )     (12,041,800 )     (220,656 )     (636,909 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,341       6,636,429       38,424,611       182,418,493       16,410,936       3,754,268    
Cost of shares redeemed     (12,358,139 )     (5,089,288 )     (247,695,431 )     (2,120,328,109 )     (3,475,295 )     (32,585,499 )  
Change in net assets resulting
from capital transactions		     (12,356,798 )     1,547,141       (209,270,820 )     (1,937,909,616 )     12,935,641       (28,831,231 )  
Change in net assets     (9,655,460 )     8,524,350       (261,787,314 )     (1,091,162,364 )     17,585,433       (16,245,670 )  
NET ASSETS:  
Beginning of period   $ 19,963,927     $ 11,439,577     $ 1,426,752,757     $ 2,517,915,121     $ 32,412,094     $ 48,657,764    
End of period   $ 10,308,467     $ 19,963,927     $ 1,164,965,443     $ 1,426,752,757     $ 49,997,527     $ 32,412,094    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (1,610 )   $ 12,011     $ 27,586     $ (937,531 )   $ 85,367     $ 59,513    
SHARE TRANSACTIONS:  
Beginning of period     525,000       525,000       24,934,625       61,012,500       750,000       1,425,000    
Issued     —       75,000       —       4,237,500       —       —    
Issued in-kind     —       75,000       675,000       75,000       375,000       75,000    
Redeemed     —       —       —       (25,015,375 )     (75,000 )     (600,000 )  
Redemption in-kind     (300,000 )     (150,000 )     (4,425,000 )     (15,375,000 )     —       (150,000 )  
Shares outstanding, end of period     225,000       525,000       21,184,625       24,934,625       1,050,000       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.

194 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Industrials   Ultra Oil & Gas   Ultra Real Estate  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 194,226     $ 296,635     $ 1,051,427     $ 2,807,623     $ 3,099,609     $ 13,044,017    
Net realized gain (loss)     5,406,154       21,742,875       31,601,194       192,715,986       69,385,572       414,776,052    
Change in net unrealized
appreciation (depreciation)		     (23,258 )     68,610       89,209,436       (143,547,398 )     6,476,381       11,476,462    
Change in Net Assets Resulting
from Operations		     5,577,122       22,108,120       121,862,057       51,976,211       78,961,562       439,296,531    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (90,287 )     (276,045 )     (1,762,234 )     (2,957,115 )     (3,660,817 )     (9,973,668 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       (740,383 )     —       —    
Total distributions     (90,287 )     (276,045 )     (1,762,234 )     (3,697,498 )     (3,660,817 )     (9,973,668 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     4,783,233       2,994,668       141,715,993       490,089,066       74,909,298       746,817,941    
Cost of shares redeemed     (18,560,684 )     (19,998,215 )     (313,524,196 )     (982,669,452 )     (244,273,876 )     (1,036,443,111 )  
Change in net assets resulting
from capital transactions		     (13,777,451 )     (17,003,547 )     (171,808,203 )     (492,580,386 )     (169,364,578 )     (289,625,170 )  
Change in net assets     (8,290,616 )     4,828,528       (51,708,380 )     (444,301,673 )     (94,063,833 )     139,697,693    
NET ASSETS:  
Beginning of period   $ 35,056,260     $ 30,227,732     $ 374,244,559     $ 818,546,232     $ 591,137,097     $ 451,439,404    
End of period   $ 26,765,644     $ 35,056,260     $ 322,536,179     $ 374,244,559     $ 497,073,264     $ 591,137,097    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 189,304     $ 85,365     $ 768,484     $ 1,479,291     $ 5,035,117     $ 5,596,325    
SHARE TRANSACTIONS:  
Beginning of period     1,050,000       1,500,000       13,050,000       27,375,000       14,804,372       23,550,000 (c)  
Issued     —       150,000       750,000       7,950,000       450,000       24,105,000 (c)  
Issued in-kind     150,000       —       4,500,000       8,550,000       1,200,000       6,180,000 (c)  
Redeemed     —       —       —       (24,150,000 )     —       (18,720,628 )(c)  
Redemption in-kind     (525,000 )     (600,000 )     (9,975,000 )     (6,675,000 )     (5,700,000 )     (20,310,000 )(c)  
Shares outstanding, end of period     675,000       1,050,000       8,325,000       13,050,000       10,754,372       14,804,372 (c)  

 

(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.

(c)  As described in Note 12, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 195


    Ultra KBW Regional Banking   Ultra Semiconductors   Ultra Technology  
    Six Months
Ended
November 30,
2010
(Unaudited)		   April 20, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 20,899     $ (305 )   $ 71,673     $ 378,206     $ (115,218 )   $ (322,361 )  
Net realized gain (loss)     (938,930 )     (1,686,880 )     11,953,779       52,339,886       9,506,978       75,400,622    
Change in net unrealized
appreciation (depreciation)		     (731,125 )     (553,304 )     89,004       2,397,348       11,688,191       (4,500,442 )  
Change in Net Assets Resulting
from Operations		     (1,649,156 )     (2,240,489 )     12,114,456       55,115,440       21,079,951       70,577,819    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (15,846 )     —       (119,066 )     (589,796 )     —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     (4,598 )     —       —       (67,408 )     —       (41,237 )  
Total distributions     (20,444 )     —       (119,066 )     (657,204 )     —       (41,237 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     12,258,717       24,832,287       16,674,451       17,880,111       35,786,213       13,494,312    
Cost of shares redeemed     (12,225,382 )     (15,522,199 )     (38,894,677 )     (101,275,252 )     (25,435,836 )     (90,952,905 )  
Change in net assets resulting
from capital transactions		     33,335       9,310,088       (22,220,226 )     (83,395,141 )     10,350,377       (77,458,593 )  
Change in net assets     (1,636,265 )     7,069,599       (10,224,836 )     (28,936,905 )     31,430,328       (6,922,011 )  
NET ASSETS:  
Beginning of period   $ 7,069,599     $ —     $ 76,548,404     $ 105,485,309     $ 121,516,432     $ 128,438,443    
End of period   $ 5,433,334     $ 7,069,599     $ 66,323,568     $ 76,548,404     $ 152,946,760     $ 121,516,432    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 4,748     $ (305 )   $ 18,382     $ 65,775     $ (200,087 )   $ (84,869 )  
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       2,400,000       5,550,000       2,550,000       4,350,000    
Issued     50,000       100,001       225,000       150,000       75,000       225,000    
Issued in-kind     250,000       350,000       375,000       450,000       600,000       75,000    
Redeemed     —       —       —       (2,625,000 )     —       (1,125,000 )  
Redemption in-kind     (300,000 )     (300,000 )     (1,200,000 )     (1,125,000 )     (525,000 )     (975,000 )  
Shares outstanding, end of period     150,001       150,001       1,800,000       2,400,000       2,700,000       2,550,000    

 

*  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.

196 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra Telecommunications   Ultra Utilities   Ultra MSCI EAFE  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 2, 2009*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ 23,414     $ 348,364     $ 312,228     $ 719,986     $ (38,289 )   $ 19,728    
Net realized gain (loss)     412,858       5,006,978       405,321       4,644,046       3,096,510       (460,845 )  
Change in net unrealized
appreciation (depreciation)		     736,894       (1,810,761 )     3,228,526       (9,788 )     (414,978 )     (225,354 )  
Change in Net Assets Resulting
from Operations		     1,173,166       3,544,581       3,946,075       5,354,244       2,643,243       (666,471 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (61,129 )     (354,673 )     (286,062 )     (769,314 )     (2,967 )     (16,940 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     (61,129 )     (354,673 )     (286,062 )     (769,314 )     (2,967 )     (16,940 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     2,856,474       2,868,080       675       14,431,780       2,959,607       13,844,990    
Cost of shares redeemed     (5,383,577 )     (9,237,548 )     (3,087,789 )     (23,859,871 )     (4,113,248 )     (7,362,121 )  
Change in net assets resulting
from capital transactions		     (2,527,103 )     (6,369,468 )     (3,087,114 )     (9,428,091 )     (1,153,641 )     6,482,869    
Change in net assets     (1,415,066 )     (3,179,560 )     572,899       (4,843,161 )     1,486,635       5,799,458    
NET ASSETS:  
Beginning of period   $ 8,467,062     $ 11,646,622     $ 20,337,416     $ 25,180,577     $ 5,799,458     $ —    
End of period   $ 7,051,996     $ 8,467,062     $ 20,910,315     $ 20,337,416     $ 7,286,093     $ 5,799,458    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ 20,012     $ 57,727     $ 138,550     $ 112,384     $ (16,583 )   $ 24,673    
SHARE TRANSACTIONS:  
Beginning of period     225,000       375,000       600,000       900,000       100,001       —    
Issued     —       —       —       —       50,000       150,001    
Issued in-kind     75,000       75,000       —       375,000       —       50,000    
Redeemed     —       —       (75,000 )     (225,000 )     (50,000 )     —    
Redemption in-kind     (150,000 )     (225,000 )     —       (450,000 )     —       (100,000 )  
Shares outstanding, end of period     150,000       225,000       525,000       600,000       100,001       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 :: 197


    Ultra MSCI Emerging Markets   Ultra MSCI Europe   Ultra MSCI Pacific ex-Japan  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 2, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   April 27, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   April 27, 2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (32,969 )   $ 25,421     $ (13,589 )   $ (1,998 )   $ (11,972 )   $ (1,842 )  
Net realized gain (loss)     8,555,142       2,266,882       1,281,112       (269,512 )     51,360       (230,317 )  
Change in net unrealized
appreciation (depreciation)		     630,037       (852,724 )     (329,793 )     (349,691 )     979,563       (559,391 )  
Change in Net Assets Resulting
from Operations		     9,152,210       1,439,579       937,730       (621,201 )     1,018,951       (791,550 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     (54,008 )     —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     (54,008 )     —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     20,316,257       53,053,170       314       4,058,554       —       3,000,690    
Cost of shares redeemed     (20,392,261 )     (25,284,728 )     (1,440,513 )     —       —       —    
Change in net assets resulting
from capital transactions		     (76,004 )     27,768,442       (1,440,199 )     4,058,554       —       3,000,690    
Change in net assets     9,022,198       29,208,021       (502,469 )     3,437,353       1,018,951       2,209,140    
NET ASSETS:  
Beginning of period   $ 29,208,021     $ —     $ 3,437,353     $ —     $ 2,209,140     $ —    
End of period   $ 38,230,219     $ 29,208,021     $ 2,934,884     $ 3,437,353     $ 3,228,091     $ 2,209,140    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (46,273 )   $ 40,704     $ (15,587 )   $ (1,998 )   $ (13,814 )   $ (1,842 )  
SHARE TRANSACTIONS:  
Beginning of period     400,001       —       150,001       —       100,001       —    
Issued     200,000       600,001       —       150,001       —       100,001    
Issued in-kind     —       100,000       —       —       —       —    
Redeemed     —       —       (50,000 )     —       —       —    
Redemption in-kind     (200,000 )     (300,000 )     —       —       —       —    
Shares outstanding, end of period     400,001       400,001       100,001       150,001       100,001       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.

198 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Ultra MSCI Brazil   Ultra FTSE China 25   Ultra MSCI Japan  
    Six Months
Ended
November 30,
2010
(Unaudited)		   April 27, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 2, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 2, 2009*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (27,887 )   $ (2,050 )   $ (160,607 )   $ (269,790 )   $ (38,551 )   $ (81,620 )  
Net realized gain (loss)     845,706       (122,046 )     7,567,447       (3,722,823 )     797,941       284,310    
Change in net unrealized
appreciation (depreciation)		     38,763       (144,524 )     346,775       420,489       643,066       (215,858 )  
Change in Net Assets Resulting
from Operations		     856,582       (268,620 )     7,753,615       (3,572,124 )     1,402,456       (13,168 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     11,744,686       4,076,372       21,075,709       73,519,742       3,372,992       8,892,765    
Cost of shares redeemed     (3,557,488 )     —       (37,363,277 )     (24,670,960 )     (3,393,838 )     —    
Change in net assets resulting
from capital transactions		     8,187,198       4,076,372       (16,287,568 )     48,848,782       (20,846 )     8,892,765    
Change in net assets     9,043,780       3,807,752       (8,533,953 )     45,276,658       1,381,610       8,879,597    
NET ASSETS:  
Beginning of period   $ 3,807,752     $ —     $ 45,276,658     $ —     $ 8,879,597     $ —    
End of period   $ 12,851,532     $ 3,807,752     $ 36,742,705     $ 45,276,658     $ 10,261,207     $ 8,879,597    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (29,937 )   $ (2,050 )   $ (369,359 )   $ (208,752 )   $ (88,869 )   $ (50,318 )  
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       750,001       —       150,001       —    
Issued     350,000       150,001       300,000       1,100,001       50,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (100,000 )     —       (550,000 )     (350,000 )     (50,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     400,001       150,001       500,001       750,001       150,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 199


    Ultra MSCI
Mexico Investable Market		   Ultra 7-10 Year Treasury   Ultra 20+ Year Treasury  
    Six Months
Ended
November 30,
2010
(Unaudited)		   April 27, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   January 19,
2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   January 19,
2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (9,951 )   $ (2,005 )   $ (18,649 )   $ 824     $ 43,646     $ 33,354    
Net realized gain (loss)     226,829       (34,036 )     3,559,025       264,205       384,941       305,207    
Change in net unrealized
appreciation (depreciation)		     607,708       (299,908 )     (929,918 )     986,130       (1,226,318 )     800,065    
Change in Net Assets Resulting
from Operations		     824,586       (335,949 )     2,610,458       1,251,159       (797,731 )     1,138,626    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       (6,129 )     (13,860 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       (6,129 )     (13,860 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     344       3,000,690       38,233,470       21,221,770       41,884,361       61,307,703    
Cost of shares redeemed     (1,611,305 )     —       (43,641,768 )     (10,966,757 )     (36,146,366 )     (54,357,084 )  
Change in net assets resulting
from capital transactions		     (1,610,961 )     3,000,690       (5,408,298 )     10,255,013       5,737,995       6,950,619    
Change in net assets     (786,375 )     2,664,741       (2,797,840 )     11,506,172       4,934,135       8,075,385    
NET ASSETS:  
Beginning of period   $ 2,664,741     $ —     $ 11,506,172     $ —     $ 8,075,385     $ —    
End of period   $ 1,878,366     $ 2,664,741     $ 8,708,332     $ 11,506,172     $ 13,009,520     $ 8,075,385    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (11,956 )   $ (2,005 )   $ (17,825 )   $ 824     $ 57,011     $ 19,494    
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       150,001       —       100,001       —    
Issued     —       100,001       450,000       300,001       450,000       850,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (50,000 )     —       (500,000 )     (150,000 )     (400,000 )     (750,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     50,001       100,001       100,001       150,001       150,001       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.

200 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Short QQQ®   Short Dow30SM   Short S&P500®  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (962,617 )   $ (1,593,207 )   $ (1,222,735 )   $ (2,230,185 )   $ (8,323,293 )   $ (12,857,749 )  
Net realized gain (loss)     (26,504,345 )     (77,657,441 )     (11,221,570 )     (90,817,928 )     (180,176,533 )     (425,231,267 )  
Change in net unrealized
appreciation (depreciation)		     (14,989,033 )     16,780,492       (26,142,990 )     24,920,505       (117,272,455 )     27,288,026    
Change in Net Assets Resulting
from Operations		     (42,455,995 )     (62,470,156 )     (38,587,295 )     (68,127,608 )     (305,772,281 )     (410,800,990 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     116,929,196       224,978,017       132,852,163       193,849,947       1,396,692,075       2,118,181,327    
Cost of shares redeemed     (82,599,194 )     (99,637,663 )     (96,027,308 )     (81,210,189 )     (943,260,438 )     (1,210,142,684 )  
Change in net assets resulting
from capital transactions		     34,330,002       125,340,354       36,824,855       112,639,758       453,431,637       908,038,643    
Change in net assets     (8,125,993 )     62,870,198       (1,762,440 )     44,512,150       147,659,356       497,237,653    
NET ASSETS:  
Beginning of period   $ 237,550,034     $ 174,679,836     $ 278,993,814     $ 234,481,664     $ 1,779,732,405     $ 1,282,494,752    
End of period   $ 229,424,041     $ 237,550,034     $ 277,231,374     $ 278,993,814     $ 1,927,391,761     $ 1,779,732,405    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (1,920,120 )   $ (957,503 )   $ (2,547,688 )   $ (1,324,953 )   $ (16,011,857 )   $ (7,688,564 )  
SHARE TRANSACTIONS:  
Beginning of period     5,550,000       3,000,000       5,325,000       3,525,000       33,976,429       19,426,429    
Issued     2,925,000       4,725,000       2,625,000       3,300,000       26,625,000       36,150,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (2,175,000 )     (2,175,000 )     (2,025,000 )     (1,500,000 )     (19,500,000 )     (21,600,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     6,300,000       5,550,000       5,925,000       5,325,000       41,101,429       33,976,429    

 

(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 :: 201


    Short MidCap400   Short SmallCap600   Short Russell2000  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (153,675 )   $ (342,214 )   $ (125,404 )   $ (310,772 )   $ (1,358,053 )   $ (1,445,870 )  
Net realized gain (loss)     (1,387,537 )     (21,220,900 )     (3,107,076 )     (16,010,776 )     (39,096,061 )     (74,538,659 )  
Change in net unrealized
appreciation (depreciation)		     (3,903,840 )     3,990,697       (1,608,658 )     500,998       (21,784,380 )     13,198,965    
Change in Net Assets Resulting
from Operations		     (5,445,052 )     (17,572,417 )     (4,841,138 )     (15,820,550 )     (62,238,494 )     (62,785,564 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       69,716,442       10,899,712       38,038,581       212,023,081       365,119,816    
Cost of shares redeemed     —       (42,762,466 )     (4,744,952 )     (18,723,494 )     (119,457,380 )     (121,041,365 )  
Change in net assets resulting
from capital transactions		     —       26,953,976       6,154,760       19,315,087       92,565,701       244,078,451    
Change in net assets     (5,445,052 )     9,381,559       1,313,622       3,494,537       30,327,207       181,292,887    
NET ASSETS:  
Beginning of period   $ 40,007,380     $ 30,625,821     $ 26,655,117     $ 23,160,580     $ 259,781,606     $ 78,488,719    
End of period   $ 34,562,328     $ 40,007,380     $ 27,968,739     $ 26,655,117     $ 290,108,813     $ 259,781,606    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (360,614 )   $ (206,939 )   $ (290,496 )   $ (165,092 )   $ (2,412,906 )   $ (1,054,853 )  
SHARE TRANSACTIONS:  
Beginning of period     975,000       525,000       750,000       450,000       6,450,000       1,350,000    
Issued     —       1,350,000       300,000       750,000       5,100,000       7,875,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (900,000 )     (150,000 )     (450,000 )     (3,225,000 )     (2,775,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     975,000       975,000       900,000       750,000       8,325,000       6,450,000    

 

(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.

202 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort QQQ®   UltraShort Dow30SM   UltraShort S&P500®  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (3,466,846 )   $ (8,189,670 )   $ (2,052,511 )   $ (4,965,913 )   $ (12,346,897 )   $ (27,564,652 )  
Net realized gain (loss)     (235,446,423 )     (765,563,761 )     (38,559,983 )     (377,101,363 )     (648,531,917 )     (1,962,402,378 )  
Change in net unrealized
appreciation (depreciation)		     (63,105,379 )     150,659,763       (83,805,392 )     73,018,189       (156,792,218 )     142,659,384    
Change in Net Assets Resulting
from Operations		     (302,018,648 )     (623,093,668 )     (124,417,886 )     (309,049,087 )     (817,671,032 )     (1,847,307,646 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     386,066,742       1,182,274,724       122,068,433       541,757,540       1,016,737,532       3,433,730,985    
Cost of shares redeemed     (224,845,785 )     (627,845,984 )     (92,668,903 )     (338,830,646 )     (1,079,394,196 )     (1,947,600,841 )  
Change in net assets resulting
from capital transactions		     161,220,957       554,428,740       29,399,530       202,926,894       (62,656,664 )     1,486,130,144    
Change in net assets     (140,797,691 )     (68,664,928 )     (95,018,356 )     (106,122,193 )     (880,327,696 )     (361,177,502 )  
NET ASSETS:  
Beginning of period   $ 887,756,764     $ 956,421,692     $ 533,081,198     $ 639,203,391     $ 3,511,675,249     $ 3,872,852,751    
End of period   $ 746,959,073     $ 887,756,764     $ 438,062,842     $ 533,081,198     $ 2,631,347,553     $ 3,511,675,249    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (7,950,182 )   $ (4,483,336 )   $ (4,766,188 )   $ (2,713,677 )   $ (27,514,623 )   $ (15,167,726 )  
SHARE TRANSACTIONS:  
Beginning of period     49,275,000       27,825,000       18,225,000       13,275,000       102,075,000       69,000,000    
Issued     24,300,000       49,725,000       4,575,000       15,975,000       30,750,000       84,675,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (15,375,000 )     (28,275,000 )     (3,825,000 )     (11,025,000 )     (36,075,000 )     (51,600,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     58,200,000       49,275,000       18,975,000       18,225,000       96,750,000       102,075,000    

 

(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 :: 203


    UltraShort Russell3000   UltraShort MidCap400   UltraShort SmallCap600  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 30, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (8,565 )   $ (27,748 )   $ (143,940 )   $ (418,191 )   $ (88,409 )   $ (206,482 )  
Net realized gain (loss)     (498,904 )     (2,090,932 )     (11,885,537 )     (45,456,852 )     (4,502,363 )     (24,949,587 )  
Change in net unrealized
appreciation (depreciation)		     (17,641 )     (82,431 )     1,408,633       5,547,344       (2,696,747 )     4,770,482    
Change in Net Assets Resulting
from Operations		     (525,110 )     (2,201,111 )     (10,620,844 )     (40,327,699 )     (7,287,519 )     (20,385,587 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       5,893,225       4,871,626       33,563,078       8,583,019       14,924,585    
Cost of shares redeemed     —       (1,307,594 )     (5,836,420 )     (11,554,425 )     (1,503,254 )     —    
Change in net assets resulting
from capital transactions		     —       4,585,631       (964,794 )     22,008,653       7,079,765       14,924,585    
Change in net assets     (525,110 )     2,384,520       (11,585,638 )     (18,319,046 )     (207,754 )     (5,461,002 )  
NET ASSETS:  
Beginning of period   $ 2,384,520     $ —     $ 43,140,929     $ 61,459,975     $ 19,264,065     $ 24,725,067    
End of period   $ 1,859,410     $ 2,384,520     $ 31,555,291     $ 43,140,929     $ 19,056,311     $ 19,264,065    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (23,383 )   $ (14,818 )   $ (371,739 )   $ (227,799 )   $ (198,534 )   $ (110,125 )  
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       2,325,000       1,575,000       900,000       525,000    
Issued     —       150,001       300,000       1,200,000       375,000       375,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (50,000 )     (300,000 )     (450,000 )     (75,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     100,001       100,001       2,325,000       2,325,000       1,200,000       900,000    

 

*  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.

204 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Russell2000   UltraPro Short QQQ®   UltraPro Short Dow30SM  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (1,947,825 )   $ (3,975,778 )   $ (187,986 )   $ (33,321 )   $ (107,780 )   $ (22,405 )  
Net realized gain (loss)     (142,559,390 )     (446,907,258 )     (19,781,120 )     (664,726 )     (10,508,904 )     (1,269,304 )  
Change in net unrealized
appreciation (depreciation)		     (26,005,420 )     77,811,316       (12,796,914 )     (59,610 )     (707,319 )     673,169    
Change in Net Assets Resulting
from Operations		     (170,512,635 )     (373,071,720 )     (32,766,020 )     (757,657 )     (11,324,003 )     (618,540 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     212,213,016       665,926,177       86,407,772       28,575,525       40,093,056       11,396,720    
Cost of shares redeemed     (162,561,794 )     (402,069,456 )     (23,571,686 )     —       (4,893,525 )     —    
Change in net assets resulting
from capital transactions		     49,651,222       263,856,721       62,836,086       28,575,525       35,199,531       11,396,720    
Change in net assets     (120,861,413 )     (109,214,999 )     30,070,066       27,817,868       23,875,528       10,778,180    
NET ASSETS:  
Beginning of period   $ 469,252,098     $ 578,467,097     $ 27,817,868     $ —     $ 10,778,180     $ —    
End of period   $ 348,390,685     $ 469,252,098     $ 57,887,934     $ 27,817,868     $ 34,653,708     $ 10,778,180    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (4,286,180 )   $ (2,338,355 )   $ (221,307 )   $ (33,321 )   $ (130,185 )   $ (22,405 )  
SHARE TRANSACTIONS:  
Beginning of period     23,025,000       12,900,000       450,001       —       150,001       —    
Issued     9,675,000       26,175,000       1,700,000       450,001       650,000       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (9,075,000 )     (16,050,000 )     (550,000 )     —       (100,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     23,625,000       23,025,000       1,600,001       450,001       700,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 205


    UltraPro Short S&P500®   UltraPro Short MidCap400   UltraPro Short Russell2000  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 23, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   February 9,
2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (1,396,910 )   $ (1,240,327 )   $ (18,643 )   $ (14,395 )   $ (112,819 )   $ (22,245 )  
Net realized gain (loss)     (83,205,205 )     (55,299,643 )     (1,725,768 )     (2,704,450 )     (15,149,005 )     (2,494,998 )  
Change in net unrealized
appreciation (depreciation)		     (58,676,049 )     (12,788,257 )     (455,282 )     271,088       (2,393,227 )     (652,641 )  
Change in Net Assets Resulting
from Operations		     (143,278,164 )     (69,328,227 )     (2,199,693 )     (2,447,757 )     (17,655,051 )     (3,169,884 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     403,305,931       406,656,411       —       8,000,080       34,775,717       18,246,791    
Cost of shares redeemed     (152,753,126 )     (87,954,957 )     —       —       (1,411,781 )     —    
Change in net assets resulting
from capital transactions		     250,552,805       318,701,454       —       8,000,080       33,363,936       18,246,791    
Change in net assets     107,274,641       249,373,227       (2,199,693 )     5,552,323       15,708,885       15,076,907    
NET ASSETS:  
Beginning of period   $ 249,373,227     $ —     $ 5,552,323     $ —     $ 15,076,907     $ —    
End of period   $ 356,647,868     $ 249,373,227     $ 3,352,630     $ 5,552,323     $ 30,785,792     $ 15,076,907    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (2,338,946 )   $ (942,036 )   $ (33,038 )   $ (14,395 )   $ (135,064 )   $ (22,245 )  
SHARE TRANSACTIONS:  
Beginning of period     7,200,001       —       100,001       —       300,001       —    
Issued     13,400,000       9,700,001       —       100,001       800,000       300,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (5,600,000 )     (2,500,000 )     —       —       (50,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     15,000,001       7,200,001       100,001       100,001       1,050,001       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.

206 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Russell1000 Value   UltraShort Russell1000 Growth   UltraShort Russell MidCap Value  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (29,577 )   $ (89,477 )   $ (34,876 )   $ (96,186 )   $ (20,939 )   $ (35,318 )  
Net realized gain (loss)     (658,929 )     (9,305,486 )     (786,374 )     (9,873,714 )     (1,609,828 )     (5,208,426 )  
Change in net unrealized
appreciation (depreciation)		     (773,154 )     3,577,506       (1,693,754 )     4,039,170       (83,426 )     879,581    
Change in Net Assets Resulting
from Operations		     (1,461,660 )     (5,817,457 )     (2,515,004 )     (5,930,730 )     (1,714,193 )     (4,364,163 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       (340,001 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       (340,001 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     1,443       4,020,319       487       3,494,948       5,261,877       3,940,411    
Cost of shares redeemed     (6,463,377 )     —       (2,192,072 )     (4,267,535 )     (4,323,524 )     —    
Change in net assets resulting
from capital transactions		     (6,461,934 )     4,020,319       (2,191,585 )     (772,587 )     938,353       3,940,411    
Change in net assets     (7,923,594 )     (1,797,138 )     (4,706,589 )     (6,703,317 )     (775,840 )     (763,753 )  
NET ASSETS:  
Beginning of period   $ 10,939,331     $ 12,736,469     $ 10,547,881     $ 17,251,198     $ 3,322,333     $ 4,086,086    
End of period   $ 3,015,737     $ 10,939,331     $ 5,841,292     $ 10,547,881     $ 2,546,493     $ 3,322,333    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (82,539 )   $ (52,962 )   $ (86,370 )   $ (51,494 )   $ (39,322 )   $ (18,383 )  
SHARE TRANSACTIONS:  
Beginning of period     225,000       150,000       300,000       300,000       150,000       75,000    
Issued     —       75,000       —       75,000       225,000       75,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (150,000 )     —       (75,000 )     (75,000 )     (225,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     75,000       225,000       225,000       300,000       150,000       150,000    

 

(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 :: 207


    UltraShort Russell MidCap Growth   UltraShort Russell2000 Value   UltraShort Russell2000 Growth  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (26,278 )   $ (59,744 )   $ (48,739 )   $ (98,489 )   $ (58,343 )   $ (106,849 )  
Net realized gain (loss)     (2,052,161 )     (6,871,993 )     (2,731,871 )     (13,196,971 )     (2,542,096 )     (11,762,983 )  
Change in net unrealized
appreciation (depreciation)		     (662,966 )     1,740,870       (361,851 )     2,878,061       (3,277,088 )     2,332,325    
Change in Net Assets Resulting
from Operations		     (2,741,405 )     (5,190,867 )     (3,142,461 )     (10,417,399 )     (5,877,527 )     (9,537,507 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       (1,300,001 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       (1,300,001 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     5,719,673       5,169,082       6,353,444       5,713,065       11,071,911       11,930,679    
Cost of shares redeemed     (4,540,679 )     (1,592,581 )     (2,546,960 )     (2,202,379 )     (5,885,074 )     —    
Change in net assets resulting
from capital transactions		     1,178,994       3,576,501       3,806,484       3,510,686       5,186,837       11,930,679    
Change in net assets     (1,562,411 )     (1,614,366 )     664,023       (6,906,713 )     (690,690 )     1,093,171    
NET ASSETS:  
Beginning of period   $ 5,194,627     $ 6,808,993     $ 7,861,747     $ 14,768,460     $ 12,525,193     $ 11,432,022    
End of period   $ 3,632,216     $ 5,194,627     $ 8,525,770     $ 7,861,747     $ 11,834,503     $ 12,525,193    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (61,099 )   $ (34,821 )   $ (99,119 )   $ (50,380 )   $ (124,168 )   $ (65,825 )  
SHARE TRANSACTIONS:  
Beginning of period     225,000       150,000       375,000       300,000       750,000       300,000    
Issued     225,000       150,000       300,000       150,000       675,000       450,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (225,000 )     (75,000 )     (150,000 )     (75,000 )     (375,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     225,000       225,000       525,000       375,000       1,050,000       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.

208 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Short Basic Materials   Short Financials   Short Oil & Gas  
    Six Months
Ended
November 30,
2010
(Unaudited)		   March 16, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (19,446 )   $ (8,645 )   $ (491,400 )   $ (973,891 )   $ (53,294 )   $ (110,189 )  
Net realized gain (loss)     (925,461 )     299,525       (8,650,411 )     (59,289,005 )     (1,817,175 )     (2,539,339 )  
Change in net unrealized
appreciation (depreciation)		     (211,890 )     51,629       3,373,383       22,178,168       (1,206,681 )     574,872    
Change in Net Assets Resulting
from Operations		     (1,156,797 )     342,509       (5,768,428 )     (38,084,728 )     (3,077,150 )     (2,074,656 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     —       5,000,600       40,957,261       68,516,279       7,649,364       13,602,259    
Cost of shares redeemed     —       —       (20,635,413 )     (84,019,491 )     (3,512,483 )     (3,798,787 )  
Change in net assets resulting
from capital transactions		     —       5,000,600       20,321,848       (15,503,212 )     4,136,881       9,803,472    
Change in net assets     (1,156,797 )     5,343,109       14,553,420       (53,587,940 )     1,059,731       7,728,816    
NET ASSETS:  
Beginning of period   $ 5,343,109     $ —     $ 103,782,833     $ 157,370,773     $ 12,164,246     $ 4,435,430    
End of period   $ 4,186,312     $ 5,343,109     $ 118,336,253     $ 103,782,833     $ 13,223,977     $ 12,164,246    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (28,091 )   $ (8,645 )   $ (1,020,197 )   $ (528,797 )   $ (116,853 )   $ (63,559 )  
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       2,475,001       2,775,001       225,001       75,001    
Issued     —       100,001       975,000       1,425,000       150,000       225,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       —       (525,000 )     (1,725,000 )     (75,000 )     (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     100,001       100,001       2,925,001       2,475,001       300,001       225,001    

 

*  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 :: 209


    Short Real Estate   Short KBW Regional Banking   UltraShort Basic Materials  
    Six Months
Ended
November 30,
2010
(Unaudited)		   March 16, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   April 20, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (86,823 )   $ (8,181 )   $ (102,965 )   $ (8,843 )   $ (448,236 )   $ (1,055,285 )  
Net realized gain (loss)     (5,433,535 )     (44,865 )     (2,057,046 )     1,050,468       (36,937,312 )     (129,386,725 )  
Change in net unrealized
appreciation (depreciation)		     883,906       (133,250 )     2,188,505       (6,396 )     (21,267,483 )     17,749,424    
Change in Net Assets Resulting
from Operations		     (4,636,452 )     (186,296 )     28,494       1,035,229       (58,653,031 )     (112,692,586 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     35,222,368       5,000,600       34,869,708       18,630,101       52,098,760       236,248,054    
Cost of shares redeemed     (12,343,403 )     —       (20,098,167 )     —       (29,446,724 )     (54,455,146 )  
Change in net assets resulting
from capital transactions		     22,878,965       5,000,600       14,771,541       18,630,101       22,652,036       181,792,908    
Change in net assets     18,242,513       4,814,304       14,800,035       19,665,330       (36,000,995 )     69,100,322    
NET ASSETS:  
Beginning of period   $ 4,814,304     $ —     $ 19,665,330     $ —     $ 131,792,460     $ 62,692,138    
End of period   $ 23,056,817     $ 4,814,304     $ 34,465,365     $ 19,665,330     $ 95,791,465     $ 131,792,460    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (95,004 )   $ (8,181 )   $ (111,808 )   $ (8,843 )   $ (1,069,195 )   $ (620,959 )  
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       300,001       —       3,314,819       705,000 (c)  
Issued     750,000       100,001       500,000       300,001       1,800,000       3,735,000 (c)  
Issued in-kind     —       —       —       —       —       — (c)  
Redeemed     (300,000 )     —       (300,000 )     —       (1,050,000 )     (1,125,181 )(c)  
Redemption in-kind     —       —       —       —       —       — (c)  
Shares outstanding, end of period     550,001       100,001       500,001       300,001       4,064,819       3,314,819 (c)  

 

*  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.

(c)  As described in Note 12, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

 

See accompanying notes to the financial statements.

210 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Nasdaq Biotechnology   UltraShort Consumer Goods   UltraShort Consumer Services  
    Six Months
Ended
November 30,
2010
(Unaudited)		   April 7, 2010*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (24,786 )   $ (7,944 )   $ (51,056 )   $ (168,507 )   $ (140,732 )   $ (446,138 )  
Net realized gain (loss)     (1,498,092 )     1,089,371       (2,100,768 )     (15,969,979 )     (7,250,072 )     (60,391,341 )  
Change in net unrealized
appreciation (depreciation)		     (185,188 )     375,938       (1,832,952 )     4,491,100       (3,435,461 )     14,013,542    
Change in Net Assets Resulting
from Operations		     (1,708,066 )     1,457,365       (3,984,776 )     (11,647,386 )     (10,826,265 )     (46,823,937 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     626       6,001,381       3,191,128       9,836,442       14,685,636       43,537,272    
Cost of shares redeemed     (2,815,904 )     —       (2,943,860 )     (2,678,313 )     (10,010,704 )     (36,531,671 )  
Change in net assets resulting
from capital transactions		     (2,815,278 )     6,001,381       247,268       7,158,129       4,674,932       7,005,601    
Change in net assets     (4,523,344 )     7,458,746       (3,737,508 )     (4,489,257 )     (6,151,333 )     (39,818,336 )  
NET ASSETS:  
Beginning of period   $ 7,458,746     $ —     $ 15,184,282     $ 19,673,539     $ 32,595,146     $ 72,413,482    
End of period   $ 2,935,402     $ 7,458,746     $ 11,446,774     $ 15,184,282     $ 26,443,813     $ 32,595,146    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (32,730 )   $ (7,944 )   $ (138,770 )   $ (87,714 )   $ (329,885 )   $ (189,153 )  
SHARE TRANSACTIONS:  
Beginning of period     100,001       —       375,000       300,000       1,050,000       1,125,000    
Issued     —       100,001       75,000       150,000       450,000       750,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (50,000 )     —       (75,000 )     (75,000 )     (375,000 )     (825,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     50,001       100,001       375,000       375,000       1,125,000       1,050,000    

 

*  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 :: 211


    UltraShort Financials   UltraShort Health Care   UltraShort Industrials  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (2,281,290 )   $ (6,977,782 )   $ (20,724 )   $ (59,059 )   $ (50,341 )   $ (194,114 )  
Net realized gain (loss)     (82,611,445 )     (1,030,196,210 )     (638,494 )     (5,201,630 )     (2,123,437 )     (29,126,349 )  
Change in net unrealized
appreciation (depreciation)		     26,970,054       469,165,367       (190,782 )     1,775,300       (1,358,632 )     8,086,705    
Change in Net Assets Resulting
from Operations		     (57,922,681 )     (568,008,625 )     (850,000 )     (3,485,389 )     (3,532,410 )     (21,233,758 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     69,487,312       1,014,472,497       —       —       —       10,072,414    
Cost of shares redeemed     (115,113,622 )     (1,051,974,626 )     —       (3,147,057 )     —       (10,651,255 )  
Change in net assets resulting
from capital transactions		     (45,626,310 )     (37,502,129 )     —       (3,147,057 )     —       (578,841 )  
Change in net assets     (103,548,991 )     (605,510,754 )     (850,000 )     (6,632,446 )     (3,532,410 )     (21,812,599 )  
NET ASSETS:  
Beginning of period   $ 598,762,518     $ 1,204,273,272     $ 5,703,116     $ 12,335,562     $ 13,937,249     $ 35,749,848    
End of period   $ 495,213,527     $ 598,762,518     $ 4,853,116     $ 5,703,116     $ 10,404,839     $ 13,937,249    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (5,925,582 )   $ (3,644,292 )   $ (46,515 )   $ (25,791 )   $ (137,998 )   $ (87,657 )  
SHARE TRANSACTIONS:  
Beginning of period     28,350,000       29,100,000       150,000       225,000       675,000       825,000    
Issued     3,525,000       35,025,000       —       —       —       225,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (6,000,000 )     (35,775,000 )     —       (75,000 )     —       (375,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     25,875,000       28,350,000       150,000       150,000       675,000       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.

212 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort Oil & Gas   UltraShort Real Estate   UltraShort Semiconductors  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (512,134 )   $ (2,275,472 )   $ (1,516,400 )   $ (6,963,933 )   $ (103,633 )   $ (247,846 )  
Net realized gain (loss)     (19,627,065 )     (113,757,764 )     (84,380,243 )     (1,576,714,835 )     (4,883,682 )     (30,738,013 )  
Change in net unrealized
appreciation (depreciation)		     (32,498,371 )     57,994,876       (36,858,703 )     504,898,058       (2,384,174 )     5,202,673    
Change in Net Assets Resulting
from Operations		     (52,637,570 )     (58,038,360 )     (122,755,346 )     (1,078,780,710 )     (7,371,489 )     (25,783,186 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     101,699,104       376,956,618       69,453,475       974,265,615       9,533,455       25,066,561    
Cost of shares redeemed     (87,577,103 )     (400,797,042 )     (73,409,176 )     (695,645,384 )     (4,705,798 )     (9,336,950 )  
Change in net assets resulting
from capital transactions		     14,122,001       (23,840,424 )     (3,955,701 )     278,620,231       4,827,657       15,729,611    
Change in net assets     (38,515,569 )     (81,878,784 )     (126,711,047 )     (800,160,479 )     (2,543,832 )     (10,053,575 )  
NET ASSETS:  
Beginning of period   $ 137,688,497     $ 219,567,281     $ 439,024,265     $ 1,239,184,744     $ 24,477,317     $ 34,530,892    
End of period   $ 99,172,928     $ 137,688,497     $ 312,313,218     $ 439,024,265     $ 21,933,485     $ 24,477,317    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (1,597,768 )   $ (1,085,634 )   $ (4,964,634 )   $ (3,448,234 )   $ (240,839 )   $ (137,206 )  
SHARE TRANSACTIONS:  
Beginning of period     1,994,794       2,535,000 (c)     16,034,064       12,720,000 (c)     1,500,000       900,000    
Issued     1,725,000       4,830,000 (c)     2,775,000       16,605,000 (c)     600,000       975,000    
Issued in-kind     —       — (c)     —       — (c)     —       —    
Redeemed     (1,500,000 )     (5,370,206 )(c)     (3,225,000 )     (13,290,936 )(c)     (300,000 )     (375,000 )  
Redemption in-kind     —       — (c)     —       — (c)     —       —    
Shares outstanding, end of period     2,219,794       1,994,794 (c)     15,584,064       16,034,064 (c)     1,800,000       1,500,000    

 

(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.

(c)  As described in Note 12, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 213


    UltraShort Technology   UltraShort Telecommunications   UltraShort Utilities  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (88,809 )   $ (214,772 )   $ (7,498 )   $ (15,299 )   $ (24,276 )   $ (73,572 )  
Net realized gain (loss)     (4,336,176 )     (28,407,320 )     (481,246 )     (724,722 )     (917,094 )     (5,743,149 )  
Change in net unrealized
appreciation (depreciation)		     (2,059,927 )     9,420,027       (135,623 )     (15,776 )     (474,517 )     2,092,456    
Change in Net Assets Resulting
from Operations		     (6,484,912 )     (19,202,065 )     (624,367 )     (755,797 )     (1,415,887 )     (3,724,265 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       (8,014 )     —       (32,214 )  
Net realized gains on investments     —       —       —       (710,001 )     —       (2,580,000 )  
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       (718,015 )     —       (2,612,214 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     14,384,421       6,631,215       855,554       1,243,577       1,334,004       2,365,426    
Cost of shares redeemed     (7,886,092 )     (1,596,176 )     (780,951 )     —       —       (1,691,046 )  
Change in net assets resulting
from capital transactions		     6,498,329       5,035,039       74,603       1,243,577       1,334,004       674,380    
Change in net assets     13,417       (14,167,026 )     (549,764 )     (230,235 )     (81,883 )     (5,662,099 )  
NET ASSETS:  
Beginning of period   $ 22,223,901     $ 36,390,927     $ 2,095,092     $ 2,325,327     $ 6,656,104     $ 12,318,203    
End of period   $ 22,237,318     $ 22,223,901     $ 1,545,328     $ 2,095,092     $ 6,574,221     $ 6,656,104    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (204,908 )   $ (116,099 )   $ (16,409 )   $ (8,911 )   $ (62,040 )   $ (37,764 )  
SHARE TRANSACTIONS:  
Beginning of period     975,000       825,000       150,000       75,000       300,000       300,000    
Issued     675,000       225,000       75,000       75,000       75,000       75,000    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (375,000 )     (75,000 )     (75,000 )     —       —       (75,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     1,275,000       975,000       150,000       150,000       375,000       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.

214 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    Short MSCI EAFE   Short MSCI Emerging Markets   Short FTSE China 25  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   March 16, 2010*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (524,454 )   $ (520,263 )   $ (996,792 )   $ (1,846,638 )   $ (25,173 )   $ (9,258 )  
Net realized gain (loss)     (21,283,604 )     (19,729,264 )     (60,529,889 )     (47,469,615 )     (1,757,142 )     458,719    
Change in net unrealized
appreciation (depreciation)		     (6,222,654 )     9,678,169       10,204,954       882,604       715,777       (444,160 )  
Change in Net Assets Resulting
from Operations		     (28,030,712 )     (10,571,358 )     (51,321,727 )     (48,433,649 )     (1,066,538 )     5,301    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     89,755,489       198,430,321       43,411,884       396,267,187       237       7,576,512    
Cost of shares redeemed     (107,382,834 )     (84,291,178 )     (57,508,525 )     (99,425,062 )     (2,175,672 )     —    
Change in net assets resulting
from capital transactions		     (17,627,345 )     114,139,143       (14,096,641 )     296,842,125       (2,175,435 )     7,576,512    
Change in net assets     (45,658,057 )     103,567,785       (65,418,368 )     248,408,476       (3,241,973 )     7,581,813    
NET ASSETS:  
Beginning of period   $ 164,029,106     $ 60,461,321     $ 303,109,007     $ 54,700,531     $ 7,581,813     $ —    
End of period   $ 118,371,049     $ 164,029,106     $ 237,690,639     $ 303,109,007     $ 4,339,840     $ 7,581,813    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (834,265 )   $ (309,811 )   $ (2,234,130 )   $ (1,237,338 )   $ (34,431 )   $ (9,258 )  
SHARE TRANSACTIONS:  
Beginning of period     2,550,000       825,000       7,575,000       1,050,000       150,001       —    
Issued     1,500,000       3,150,000       1,200,000       8,625,000       —       150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     (1,875,000 )     (1,425,000 )     (1,575,000 )     (2,100,000 )     (50,000 )     —    
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     2,175,000       2,550,000       7,200,000       7,575,000       100,001       150,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 215


    UltraShort MSCI EAFE   UltraShort
MSCI Emerging Markets		   UltraShort MSCI Europe  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 16, 2009*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (126,942 )   $ (300,979 )   $ (607,831 )   $ (1,762,727 )   $ (338,665 )   $ (201,842 )  
Net realized gain (loss)     (12,047,256 )     (34,507,234 )     (48,118,668 )     (202,237,566 )     (57,357,654 )     18,347,862    
Change in net unrealized
appreciation (depreciation)		     (2,195,236 )     19,168,739       (15,669,391 )     61,692,656       6,702,847       (16,934,005 )  
Change in Net Assets Resulting
from Operations		     (14,369,434 )     (15,639,474 )     (64,395,890 )     (142,307,637 )     (50,993,472 )     1,212,015    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     2,992,889       36,498,970       33,731,547       402,952,418       47,750,024       226,673,931    
Cost of shares redeemed     (14,891,832 )     (29,462,644 )     (80,207,208 )     (236,481,980 )     (114,903,183 )     (40,644,174 )  
Change in net assets resulting
from capital transactions		     (11,898,943 )     7,036,326       (46,475,661 )     166,470,438       (67,153,159 )     186,029,757    
Change in net assets     (26,268,377 )     (8,603,148 )     (110,871,551 )     24,162,801       (118,146,631 )     187,241,772    
NET ASSETS:  
Beginning of period   $ 47,602,943     $ 56,206,091     $ 231,237,935     $ 207,075,134     $ 187,241,772     $ —    
End of period   $ 21,334,566     $ 47,602,943     $ 120,366,384     $ 231,237,935     $ 69,095,141     $ 187,241,772    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (284,020 )   $ (157,078 )   $ (1,632,290 )   $ (1,024,459 )   $ (520,859 )   $ (182,194 )  
SHARE TRANSACTIONS:  
Beginning of period     1,050,000       900,000       4,169,744       1,995,000 (c)     7,000,001       —    
Issued     75,000       750,000       825,000       6,330,000 (c)     2,150,000       8,750,001    
Issued in-kind     —       —       —       — (c)     —       —    
Redeemed     (450,000 )     (600,000 )     (1,725,000 )     (4,155,256 )(c)     (5,150,000 )     (1,750,000 )  
Redemption in-kind     —       —       —       — (c)     —       —    
Shares outstanding, end of period     675,000       1,050,000       3,269,744       4,169,744 (c)     4,000,001       7,000,001    

 

*  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.

(c)  As described in Note 12, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

 

See accompanying notes to the financial statements.

216 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort MSCI Pacific ex-Japan   UltraShort MSCI Brazil   UltraShort FTSE China 25  
    Six Months
Ended
November 30,
2010
(Unaudited)		   June 16, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 16, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (8,715 )   $ (26,447 )   $ (132,975 )   $ (120,270 )   $ (1,089,341 )   $ (2,917,885 )  
Net realized gain (loss)     (2,299,149 )     (2,449,991 )     (26,313,446 )     6,419,289       (80,382,107 )     (136,299,376 )  
Change in net unrealized
appreciation (depreciation)		     988,922       (850,308 )     11,111,452       (10,248,432 )     (17,064,798 )     19,923,747    
Change in Net Assets Resulting
from Operations		     (1,318,942 )     (3,326,746 )     (15,334,969 )     (3,949,413 )     (98,536,246 )     (119,293,514 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     635,818       12,442,777       11,537,502       53,850,459       30,735,065       516,331,395    
Cost of shares redeemed     —       (5,890,216 )     (16,973,520 )     (7,324,283 )     (128,215,562 )     (166,246,771 )  
Change in net assets resulting
from capital transactions		     635,818       6,552,561       (5,436,018 )     46,526,176       (97,480,497 )     350,084,624    
Change in net assets     (683,124 )     3,225,815       (20,770,987 )     42,576,763       (196,016,743 )     230,791,110    
NET ASSETS:  
Beginning of period   $ 3,225,815     $ —     $ 42,576,763     $ —     $ 400,476,963     $ 169,685,853    
End of period   $ 2,542,691     $ 3,225,815     $ 21,805,776     $ 42,576,763     $ 204,460,220     $ 400,476,963    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (26,253 )   $ (17,538 )   $ (235,049 )   $ (102,074 )   $ (3,024,277 )   $ (1,934,936 )  
SHARE TRANSACTIONS:  
Beginning of period     150,001       —       1,650,001       —       9,494,589       2,490,000 (c)  
Issued     50,000       500,001       500,000       1,900,001       900,000       10,620,000 (c)  
Issued in-kind     —       —       —       —       —       — (c)  
Redeemed     —       (350,000 )     (900,000 )     (250,000 )     (3,675,000 )     (3,615,411 )(c)  
Redemption in-kind     —       —       —       —       —       — (c)  
Shares outstanding, end of period     200,001       150,001       1,250,001       1,650,001       6,719,589       9,494,589 (c)  

 

*  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.

(c)  As described in Note 12, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

 

See accompanying notes to the financial statements.

For the Periods Indicated :: Statements of Changes in Net Assets :: ProShares Trust :: 217


    UltraShort MSCI Japan   UltraShort
MSCI Mexico Investable Market		   Short 20+ Year Treasury  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   June 16, 2009*
through
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   August 18,
2009*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (62,163 )   $ (128,699 )   $ (17,623 )   $ (58,228 )   $ (2,001,614 )   $ (1,749,937 )  
Net realized gain (loss)     (3,245,235 )     (5,868,628 )     (1,534,889 )     (9,883,644 )     (20,560,098 )     (39,102,009 )  
Change in net unrealized
appreciation (depreciation)		     (180,943 )     2,350,854       (149,921 )     (579,674 )     (5,847,965 )     (856,159 )  
Change in Net Assets Resulting
from Operations		     (3,488,341 )     (3,646,473 )     (1,702,433 )     (10,521,546 )     (28,409,677 )     (41,708,105 )  
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       —       —    
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       —       —    
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     3,460,658       11,293,794       3,332,618       21,020,487       281,974,598       550,292,576    
Cost of shares redeemed     —       (6,122,835 )     (2,140,292 )     (7,034,274 )     (36,374,689 )     (29,066,558 )  
Change in net assets resulting
from capital transactions		     3,460,658       5,170,959       1,192,326       13,986,213       245,599,909       521,226,018    
Change in net assets     (27,683 )     1,524,486       (510,107 )     3,464,667       217,190,232       479,517,913    
NET ASSETS:  
Beginning of period   $ 14,752,275     $ 13,227,789     $ 3,464,667     $ —     $ 479,517,913     $ —    
End of period   $ 14,724,592     $ 14,752,275     $ 2,954,560     $ 3,464,667     $ 696,708,145     $ 479,517,913    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (149,759 )   $ (87,596 )   $ (39,952 )   $ (22,329 )   $ (3,678,829 )   $ (1,677,215 )  
SHARE TRANSACTIONS:  
Beginning of period     300,000       225,000       150,001       —       10,550,001       —    
Issued     75,000       225,000       150,000       400,001       6,700,000       11,150,001    
Issued in-kind     —       —       —       —       —       —    
Redeemed     —       (150,000 )     (100,000 )     (250,000 )     (850,000 )     (600,000 )  
Redemption in-kind     —       —       —       —       —       —    
Shares outstanding, end of period     375,000       300,000       200,001       150,001       16,400,001       10,550,001    

 

*  Commencement of investment operations.

(a)  Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.

 

See accompanying notes to the financial statements.

218 :: ProShares Trust :: Statements of Changes in Net Assets :: For the Periods Indicated


    UltraShort 7-10 Year Treasury   UltraShort 20+ Year Treasury   Credit Suisse 130/30  
    Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   Year Ended
May 31, 2010		   Six Months
Ended
November 30,
2010
(Unaudited)		   July 13, 2009*
through
May 31, 2010		  
FROM INVESTMENT ACTIVITIES:  
OPERATIONS:  
Net investment income (loss)   $ (1,384,585 )   $ (3,251,709 )   $ (17,978,658 )   $ (38,818,447 )   $ 312,240     $ 233,364    
Net realized gain (loss)     (108,833,366 )     (6,329,493 )     (165,891,338 )     (846,150,443 )     (807,609 )     3,072,523    
Change in net unrealized
appreciation (depreciation)		     55,309,202       (58,092,258 )     (439,314,274 )     (209,612,928 )     4,292,176       (1,237,559 )  
Change in Net Assets Resulting
from Operations		     (54,908,749 )     (67,673,460 )     (623,184,270 )     (1,094,581,818 )     3,796,807       2,068,328    
DISTRIBUTIONS TO SHAREHOLDERS FROM:  
Net investment income     —       —       —       —       (169,258 )     (112,115 )  
Net realized gains on investments     —       —       —       —       —       —    
Tax return of capital     —       —       —       —       —       —    
Total distributions     —       —       —       —       (169,258 )     (112,115 )  
CAPITAL TRANSACTIONS (a):  
Proceeds from shares issued     122,888,647       202,928,705       2,038,281,684       5,622,012,441       7,574,296       69,756,104    
Cost of shares redeemed     (6,864,762 )     (213,447,239 )     (1,472,455,854 )     (3,426,690,486 )     (7,267,641 )     (16,942,402 )  
Change in net assets resulting
from capital transactions		     116,023,885       (10,518,534 )     565,825,830       2,195,321,955       306,655       52,813,702    
Change in net assets     61,115,136       (78,191,994 )     (57,358,440 )     1,100,740,137       3,934,204       54,769,915    
NET ASSETS:  
Beginning of period   $ 367,630,366     $ 445,822,360     $ 5,158,950,572     $ 4,058,210,435     $ 54,769,915     $ —    
End of period   $ 428,745,502     $ 367,630,366     $ 5,101,592,132     $ 5,158,950,572     $ 58,704,119     $ 54,769,915    
Accumulated undistributed
net investment income (loss)
included in end of period
net assets		   $ (3,277,906 )   $ (1,893,321 )   $ (41,693,730 )   $ (23,715,072 )   $ 264,231     $ 121,249    
SHARE TRANSACTIONS:  
Beginning of period     7,875,000       7,875,000       128,550,000       77,325,000       1,100,001       —    
Issued     3,075,000       3,900,000       60,525,000       120,675,000       —       1,200,001    
Issued in-kind     —       —       —       —       150,000       250,000    
Redeemed     (150,000 )     (3,900,000 )     (41,625,000 )     (69,450,000 )     —       —    
Redemption in-kind     —       —       —       —       (150,000 )     (350,000 )  
Shares outstanding, end of period     10,800,000       7,875,000       147,450,000       128,550,000       1,100,001       1,100,001    

 

*  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 :: 219



Financial Highlights

220 :: 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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		   $ 57.81     $ (0.06 )   $ 16.46     $ 0.01     $ 16.41     $ —     $ —     $ —     $ —     $ 74.22       28.39 %     28.47 %  
Year ended
May 31, 2010		     36.11       (0.21 )     21.90       0.01       21.70       —       —       —       —       57.81       60.09       60.08    
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, 2010
(Unaudited)		     41.60       0.16       7.60       — (h)     7.76       (0.18 )     —       —       (0.18 )     49.18       18.69       18.60    
Year ended
May 31, 2010		     29.21       0.41       12.49       0.01       12.91       (0.52 )     —       —       (0.52 )     41.60       44.49       43.08    
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, 2010
(Unaudited)		     36.25       0.18       5.99       — (h)     6.17       (0.20 )     —       —       (0.20 )     42.22       17.08       17.00    
Year ended
May 31, 2010		     26.21       0.29       10.09       0.01       10.39       (0.34 )     —       (0.01 )     (0.35 )     36.25       39.73       38.68    
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, 2010
(Unaudited)		     1.03 %     0.95 %     (0.26 )%     (0.18 )%   $ 807,164       1 %  
Year ended
May 31, 2010		     1.03       0.95       (0.50 )     (0.42 )     789,059       32    
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, 2010
(Unaudited)		     1.00       0.95       0.66       0.72       295,070       — (j)  
Year ended
May 31, 2010		     0.99       0.95       1.02       1.06       333,813       30    
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, 2010
(Unaudited)		     0.93       0.93       0.96       0.96       1,456,688       2    
Year ended
May 31, 2010		     0.92       0.92       0.84       0.84       1,642,205       57    
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.

Financial Highlights :: ProShares Trust :: 221


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  
Six Months ended
November 30, 2010
(Unaudited)		   $ 57.52     $ 0.09     $ 9.96     $ 0.02     $ 10.07     $ (0.15 )   $ —     $ —     $ (0.15 )   $ 67.44       17.54 %     16.72 %  
June 30, 2009*
through
May 31, 2010		     40.00       0.44       17.29       0.03       17.76       (0.24 )     —       —       (0.24 )     57.52       44.37       44.50    
Ultra MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     45.55       — (h)     10.44       — (h)     10.44       (0.01 )     —       —       (0.01 )     55.98       22.93       22.84    
Year ended
May 31, 2010		     26.82       0.04       18.79       0.01       18.84       (0.05 )     —       (0.06 )     (0.11 )     45.55       70.39       69.69    
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, 2010
(Unaudited)		     34.34       (0.02 )     5.64       — (h)     5.62       —       —       —       —       39.96       16.37       16.12    
Year ended
May 31, 2010		     20.21       (0.02 )     14.18       — (h)     14.16       (0.01 )     —       (0.02 )     (0.03 )     34.34       70.13       70.23    
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  
Six Months ended
November 30, 2010
(Unaudited)		     4.27 %     0.95 %     (3.02 )%     0.30 %   $ 6,744       7 %  
June 30, 2009*
through
May 31, 2010		     4.17       0.95       (2.37 )     0.85       5,752       8    
Ultra MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     1.13       0.95       (0.17 )     0.01       100,758       5    
Year ended
May 31, 2010		     1.06       0.95       (0.01 )     0.10       116,151       51    
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, 2010
(Unaudited)		     1.48       0.95       (0.63 )     (0.11 )     41,953       6    
Year ended
May 31, 2010		     1.24       0.95       (0.34 )     (0.06 )     54,089       48    
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.

222 :: 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 Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		   $ 31.27     $ — (h)   $ 5.48     $ — (h)   $ 5.48     $ (0.01 )   $ —     $ —     $ (0.01 )   $ 36.74       17.54 %     17.40 %  
Year ended
May 31, 2010		     18.76       — (h)     12.54       0.01       12.55       — (h)     —       (0.04 )     (0.04 )     31.27       66.93       67.40    
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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     90.87       (0.08 )     37.91       0.01       37.84       —       —       —       —       128.71       41.65       41.46    
February 9, 2010*
through
May 31, 2010		     80.00       (0.06 )     10.92 (i)     0.01       10.87       —       —       —       —       90.87       13.59       13.81    
UltraPro Dow30SM  
Six Months ended
November 30, 2010
(Unaudited)		     81.47       0.18       21.62       0.03       21.83       (0.24 )     —       —       (0.24 )     103.06       26.84       27.21    
February 9, 2010*
through
May 31, 2010		     80.00       0.16       1.33 (i)     0.01       1.50       (0.03 )     —       —       (0.03 )     81.47       1.86       1.75    
UltraPro S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     137.02       0.29       32.04       0.03       32.36       (0.31 )     —       —       (0.31 )     169.07       23.66       23.70    
June 23, 2009*
through
May 31, 2010		     80.00       0.76       56.44       0.05       57.25       (0.23 )     —       —       (0.23 )     137.02       71.53       71.23    

 

     
    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, 2010
(Unaudited)		     1.23 %     0.95 %     (0.29 )%     (0.01 )%   $ 206,683       20 %  
Year ended
May 31, 2010		     1.21       0.95       (0.27 )     (0.01 )     264,982       98    
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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     1.21       0.95       (0.42 )     (0.16 )     115,837       1    
February 9, 2010*
through
May 31, 2010		     1.64       0.95       (0.89 )     (0.20 )     45,433       55    
UltraPro Dow30SM  
Six Months ended
November 30, 2010
(Unaudited)		     1.39       0.95       (0.06 )     0.38       20,612       — (j)  
February 9, 2010*
through
May 31, 2010		     1.85       0.95       (0.36 )     0.54       12,221       44    
UltraPro S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     1.07       0.95       0.28       0.40       219,789       2    
June 23, 2009*
through
May 31, 2010		     1.27       0.95       0.24       0.56       137,017       69    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 223


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)		  
UltraPro MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		   $ 99.09     $ (0.02 )   $ 31.21     $ 0.01     $ 31.20     $ —     $ —     $ (0.06 )   $ (0.06 )   $ 130.23       31.52 %     31.35 %  
February 9, 2010*
through
May 31, 2010		     80.00       (0.01 )     19.12       — (h)     19.11       (0.02 )     —       —       (0.02 )     99.09       23.88       24.00    
UltraPro Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     104.42       (0.14 )     22.00       0.04       21.90       —       —       —       —       126.32       20.98       20.98    
February 9, 2010*
through
May 31, 2010		     80.00       (0.10 )     24.51       0.01       24.42       —       —       —       —       104.42       30.53       30.64    
Ultra Russell1000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     22.77       0.11       2.30       — (h)     2.41       (0.10 )     —       —       (0.10 )     25.08       10.63       9.87    
Year ended
May 31, 2010		     16.07       0.19       6.73       — (h)     6.92       (0.22 )     —       —       (0.22 )     22.77       43.23       43.48    
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    
Ultra Russell1000 Growth  
Six Months ended
November 30, 2010
(Unaudited)		     36.40       0.06       9.12       — (h)     9.18       (0.05 )     —       —       (0.05 )     45.53       25.24       24.63    
Year ended
May 31, 2010		     25.84       0.22       10.63       — (h)     10.85       (0.28 )     —       (0.01 )     (0.29 )     36.40       42.02       44.11    
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    

 

     
    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)		  
UltraPro MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     1.66 %     0.95 %     (0.74 )%     (0.03 )%   $ 26,047       30 %  
February 9, 2010*
through
May 31, 2010		     2.18       0.95       (1.25 )     (0.02 )     19,818       55    
UltraPro Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     1.97       0.95       (1.29 )     (0.27 )     37,895       13    
February 9, 2010*
through
May 31, 2010		     3.03       0.95       (2.36 )     (0.27 )     15,662       3    
Ultra Russell1000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     2.27       0.95       (0.34 )     0.98       11,286       28    
Year ended
May 31, 2010		     1.87       0.95       (0.04 )     0.88       13,660       68    
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    
Ultra Russell1000 Growth  
Six Months ended
November 30, 2010
(Unaudited)		     2.19       0.95       (0.92 )     0.32       13,660       59    
Year ended
May 31, 2010		     1.51       0.95       0.09       0.65       13,649       53    
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    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

224 :: 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 Russell MidCap Value  
Six Months ended
November 30, 2010
(Unaudited)		   $ 26.83     $ 0.03     $ 4.48     $ — (h)   $ 4.51     $ (0.06 )   $ —     $ —     $ (0.06 )   $ 31.28       16.82 %     16.67 %  
Year ended
May 31, 2010		     15.31       0.18       11.55       — (h)     11.73       (0.20 )     —       (0.01 )     (0.21 )     26.83       77.01       77.99    
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, 2010
(Unaudited)		     32.98       (0.05 )     9.52       — (h)     9.47       —       —       —       —       42.45       28.71       28.69    
Year ended
May 31, 2010		     20.61       — (h)     12.40       — (h)     12.40       (0.02 )     —       (0.01 )     (0.03 )     32.98       60.20       60.03    
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    
Ultra Russell2000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     24.85       0.04       2.19       — (h)     2.23       (0.05 )     —       —       (0.05 )     27.03       9.02       8.74    
Year ended
May 31, 2010		     14.47       0.10       10.40       — (h)     10.50       (0.12 )     —       —       (0.12 )     24.85       72.89       74.04    
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    

 

     
    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 Russell MidCap Value  
Six Months ended
November 30, 2010
(Unaudited)		     3.02 %     0.95 %     (1.85 )%     0.21 %   $ 7,039       80 %  
Year ended
May 31, 2010		     1.77       0.95       (0.03 )     0.80       12,073       45    
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, 2010
(Unaudited)		     2.35       0.95       (1.68 )     (0.28 )     12,736       64    
Year ended
May 31, 2010		     1.75       0.95       (0.82 )     (0.02 )     14,842       48    
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    
Ultra Russell2000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     2.14       0.95       (0.86 )     0.33       20,274       30    
Year ended
May 31, 2010		     2.12       0.95       (0.69 )     0.48       20,502       70    
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    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 225


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 Growth  
Six Months ended
November 30, 2010
(Unaudited)		   $ 32.97     $ (0.06 )   $ 8.60     $ —     $ 8.54     $ —     $ —     $ —     $ —     $ 41.51       25.90 %     25.65 %  
Year ended
May 31, 2010		     20.61       (0.12 )     12.48       — (h)     12.36       —       —       —       —       32.97       59.97       61.15    
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, 2010
(Unaudited)		     29.38       (0.03 )     12.45       — (h)     12.42       (0.03 )     —       —       (0.03 )     41.77       42.33       41.95    
Year ended
May 31, 2010		     19.87       0.14       9.51 (i)     0.01       9.66       (0.15 )     —       —       (0.15 )     29.38       48.75       49.56    
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    
Ultra Nasdaq Biotechnology  
Six Months ended
November 30, 2010
(Unaudited)		     46.00       0.06       6.50       —       6.56       (0.03 )     —       (0.06 )     (0.09 )     52.47       14.26       13.43    
April 7, 2010*
through
May 31, 2010		     60.00       (0.06 )     (13.95 )     0.01       (14.00 )     —       —       —       —       46.00       (23.33 )     (22.55 )  

 

     
    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 Growth  
Six Months ended
November 30, 2010
(Unaudited)		     2.07 %     0.95 %     (1.49 )%     (0.38 )%   $ 24,907       34 %  
Year ended
May 31, 2010		     1.80       0.95       (1.27 )     (0.43 )     19,785       60    
Year ended
May 31, 2009		     3.23       0.95       (2.29 )     — (m)     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, 2010
(Unaudited)		     1.01       0.95       (0.25 )     (0.19 )     303,885       3    
Year ended
May 31, 2010		     1.00       0.95       0.46       0.50       315,088       93    
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    
Ultra Nasdaq Biotechnology  
Six Months ended
November 30, 2010
(Unaudited)		     2.16       0.95       (0.98 )     0.24       5,247       4    
April 7, 2010*
through
May 31, 2010		     4.38       0.95       (4.16 )     (0.73 )     4,600       5    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

226 :: 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, 2010
(Unaudited)		   $ 50.42     $ 0.37     $ 12.53     $ 0.01     $ 12.91     $ (0.41 )   $ —     $ —     $ (0.41 )   $ 62.92       25.73 %     26.42 %  
Year ended
May 31, 2010		     35.37       0.72       15.00       — (h)     15.72       (0.67 )     —       —       (0.67 )     50.42       44.58       44.24    
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, 2010
(Unaudited)		     38.03       — (h)     7.82       — (h)     7.82       (0.03 )     —       —       (0.03 )     45.82       20.59       20.81    
Year ended
May 31, 2010		     21.79       0.10       16.25       — (h)     16.35       (0.09 )     —       (0.02 )     (0.11 )     38.03       75.17       75.95    
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, 2010
(Unaudited)		     57.22       0.05       (2.28 )     — (h)     (2.23 )     — (h)     —       —       — (h)     54.99       (3.89 )     (3.97 )  
Year ended
May 31, 2010(l)		     41.27       0.14       16.08 (i)     0.01       16.23       (0.15 )     —       (0.13 )     (0.28 )     57.22       39.34       40.17    
Year ended
May 31, 2009(l)		     297.57       1.19       (255.11 )     0.02       (253.90 )     (2.40 )     —       —       (2.40 )     41.27       (85.83 )     (85.83 )  
Year ended
May 31, 2008(l)		     719.00       6.98       (417.41 )     0.27       (410.16 )     (11.27 )     —       —       (11.27 )     297.57       (57.74 )     (58.00 )  
January 30, 2007*
through
May 31, 2007(l)		     700.00       5.55       13.45       —       19.00       —       —       —       —       719.00       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, 2010
(Unaudited)		     1.59 %     0.95 %     0.69 %     1.33 %   $ 18,877       2 %  
Year ended
May 31, 2010		     1.44       0.95       1.00       1.48       26,470       24    
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, 2010
(Unaudited)		     1.87       0.95       (0.90 )     0.02       10,308       3    
Year ended
May 31, 2010		     1.84       0.95       (0.57 )     0.31       19,964       42    
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, 2010
(Unaudited)		     0.96       0.95       0.15       0.17       1,164,965       3    
Year ended
May 31, 2010(l)		     0.96       0.95       0.25       0.26       1,426,753       32    
Year ended
May 31, 2009(l)		     0.98       0.95       2.23       2.26       2,517,915       238    
Year ended
May 31, 2008(l)		     1.04       0.95       1.98       2.07       1,055,642       15    
January 30, 2007*
through
May 31, 2007(l)		     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 :: 227


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, 2010
(Unaudited)		   $ 43.22     $ 0.24     $ 4.40     $ — (h)   $ 4.64     $ (0.24 )   $ —     $ —     $ (0.24 )   $ 47.62       10.74 %     10.11 %  
Year ended
May 31, 2010		     34.15       0.59       9.16       0.01       9.76       (0.67 )     —       (0.02 )     (0.69 )     43.22       28.42       30.57    
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, 2010
(Unaudited)		     33.39       0.20       6.15       — (h)     6.35       (0.09 )     —       —       (0.09 )     39.65       19.04       18.95    
Year ended
May 31, 2010		     20.15       0.21       13.22       — (h)     13.43       (0.19 )     —       —       (0.19 )     33.39       66.86       67.32    
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, 2010
(Unaudited)		     28.68       0.09       10.12       — (h)     10.21       (0.15 )     —       —       (0.15 )     38.74       35.74       35.98    
Year ended
May 31, 2010		     29.90       0.18       (1.19 )(i)     0.01       (1.00 )     (0.17 )     —       (0.05 )     (0.22 )     28.68       (3.39 )     (4.10 )  
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, 2010
(Unaudited)		     1.24 %     0.95 %     0.75 %     1.04 %   $ 49,998       2 %  
Year ended
May 31, 2010		     1.25       0.95       1.03       1.33       32,412       50    
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, 2010
(Unaudited)		     1.42       0.95       0.72       1.19       26,766       2    
Year ended
May 31, 2010		     1.32       0.95       0.36       0.73       35,056       14    
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, 2010
(Unaudited)		     1.01       0.95       0.52       0.58       322,536       6    
Year ended
May 31, 2010		     0.99       0.95       0.53       0.57       374,245       61    
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.

228 :: 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, 2010
(Unaudited)		   $ 39.93     $ 0.26     $ 6.32     $ — (h)   $ 6.58     $ (0.29 )   $ —     $ —     $ (0.29 )   $ 46.22       16.55 %     16.80 %  
Year ended
May 31, 2010(k)		     19.17       0.65       20.56       0.02       21.23       (0.47 )     —       —       (0.47 )     39.93       112.43       113.23    
Year ended
May 31, 2009(k)		     182.64       0.80       (160.90 )     0.03       (160.07 )     (3.40 )     —       —       (3.40 )     19.17       (88.98 )     (89.01 )  
Year ended
May 31, 2008(k)		     309.08       3.68       (122.08 )(i)     0.07       (118.33 )     (8.11 )     —       —       (8.11 )     182.64       (38.58 )     (38.66 )  
January 30, 2007*
through
May 31, 2007(k)		     350.00       2.18       (43.10 )     —       (40.92 )     —       —       —       —       309.08       (11.69 )     (11.86 )  
Ultra KBW Regional Banking  
Six Months ended
November 30, 2010
(Unaudited)		     47.13       0.12       (10.91 )     0.02       (10.77 )     (0.11 )     —       (0.03 )     (0.14 )     36.22       (22.88 )     (22.78 )  
April 20, 2010*
through
May 31, 2010		     60.00       — (h)     (12.91 )     0.04       (12.87 )     —       —       —       —       47.13       (21.45 )     (21.63 )  
Ultra Semiconductors  
Six Months ended
November 30, 2010
(Unaudited)		     31.90       0.03       4.97       — (h)     5.00       (0.05 )     —       —       (0.05 )     36.85       15.70       15.83    
Year ended
May 31, 2010		     19.01       0.11       12.96       0.01       13.08       (0.17 )     —       (0.02 )     (0.19 )     31.90       68.97       69.90    
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    

 

     
    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, 2010
(Unaudited)		     0.98 %     0.95 %     1.18 %     1.21 %   $ 497,073       3 %  
Year ended
May 31, 2010(k)		     0.99       0.95       2.17       2.21       591,137       29    
Year ended
May 31, 2009(k)		     1.11       0.95       3.36       3.52       451,439       211    
Year ended
May 31, 2008(k)		     1.34       0.95       1.66       2.05       57,532       23    
January 30, 2007*
through
May 31, 2007(k)		     1.87       0.95       1.09       2.01       4,636       114    
Ultra KBW Regional Banking  
Six Months ended
November 30, 2010
(Unaudited)		     1.77       0.95       (0.23 )     0.59       5,433       18    
April 20, 2010*
through
May 31, 2010		     4.90       0.95       (3.99 )     (0.04 )     7,070       24    
Ultra Semiconductors  
Six Months ended
November 30, 2010
(Unaudited)		     1.14       0.95       0.01       0.20       66,324       3    
Year ended
May 31, 2010		     1.11       0.95       0.25       0.41       76,548       61    
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    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 229


ProShares Trust Financial Highlights FOR THE PERIODS INDICATED

    SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED  
    PER SHARE OPERATING PERFORMANCE  
    INVESTMENT OPERATIONS   DISTRIBUTIONS       TOTAL
RETURN (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 Technology  
Six Months ended
November 30, 2010
(Unaudited)		   $ 47.65     $ (0.05 )   $ 9.05     $ — (h)   $ 9.00     $ —     $ —     $ —     $ —     $ 56.65       18.89 %     19.03 %  
Year ended
May 31, 2010		     29.53       (0.10 )     18.23       — (h)     18.13       —       —       (0.01 )     (0.01 )     47.65       61.41       61.17    
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    
Ultra Telecommunications  
Six Months ended
November 30, 2010
(Unaudited)		     37.63       0.16       9.62       0.01       9.79       (0.41 )     —       —       (0.41 )     47.01       26.25       23.89    
Year ended
May 31, 2010		     31.06       0.95       6.53       — (h)     7.48       (0.91 )     —       —       (0.91 )     37.63       24.33       27.83    
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, 2010
(Unaudited)		     33.90       0.54       5.87       — (h)     6.41       (0.48 )     —       —       (0.48 )     39.83       18.99       17.47    
Year ended
May 31, 2010		     27.98       0.94       6.01       0.01       6.96       (1.04 )     —       —       (1.04 )     33.90       24.82       27.45    
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    

 

     
    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 Technology  
Six Months ended
November 30, 2010
(Unaudited)		     1.08 %     0.95 %     (0.32 )%     (0.19 )%   $ 152,947       2 %  
Year ended
May 31, 2010		     1.06       0.95       (0.33 )     (0.22 )     121,516       57    
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    
Ultra Telecommunications  
Six Months ended
November 30, 2010
(Unaudited)		     3.07       0.95       (1.39 )     0.74       7,052       19    
Year ended
May 31, 2010		     1.98       0.95       1.70       2.73       8,467       43    
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, 2010
(Unaudited)		     1.55       0.95       2.20       2.80       20,910       3    
Year ended
May 31, 2010		     1.45       0.95       2.21       2.71       20,337       16    
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)  

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

230 :: 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 MSCI EAFE  
Six Months ended
November 30, 2010
(Unaudited)		   $ 57.99     $ (0.28 )   $ 15.16     $ 0.01     $ 14.89     $ (0.02 )   $ —     $ —     $ (0.02 )   $ 72.86       25.61 %     27.12 %  
June 2, 2009*
through
May 31, 2010		     60.00       0.15       (2.07 )     0.03       (1.89 )     (0.12 )     —       —       (0.12 )     57.99       (3.15 )     (1.82 )  
Ultra MSCI Emerging Markets  
Six Months ended
November 30, 2010
(Unaudited)		     73.02       (0.08 )     22.76       0.02       22.70       (0.14 )     —       —       (0.14 )     95.58       31.12       34.13    
June 2, 2009*
through
May 31, 2010		     60.00       0.09       12.88       0.05       13.02       —       —       —       —       73.02       21.70       19.15    
Ultra MSCI Europe  
Six Months ended
November 30, 2010
(Unaudited)		     22.92       (0.12 )     6.55       — (h)     6.43       —       —       —       —       29.35       28.05       25.36    
April 27, 2010*
through
May 31, 2010		     30.00       (0.02 )     (7.07 )     0.01       (7.08 )     —       —       —       —       22.92       (23.60 )     (21.67 )  
Ultra MSCI Pacific ex-Japan  
Six Months ended
November 30, 2010
(Unaudited)		     22.09       (0.12 )     10.31       —       10.19       —       —       —       —       32.28       46.13       42.08    
April 27, 2010*
through
May 31, 2010		     30.00       (0.02 )     (7.90 )     0.01       (7.91 )     —       —       —       —       22.09       (26.37 )     (23.87 )  
Ultra MSCI Brazil  
Six Months ended
November 30, 2010
(Unaudited)		     25.38       (0.13 )     6.86       0.02       6.75       —       —       —       —       32.13       26.60       34.49    
April 27, 2010*
through
May 31, 2010		     30.00       (0.02 )     (4.61 )     0.01       (4.62 )     —       —       —       —       25.38       (15.40 )     (20.37 )  

 

     
    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 MSCI EAFE  
Six Months ended
November 30, 2010
(Unaudited)		     2.60 %     0.95 %     (2.46 )%     (0.80 )%   $ 7,286       — %  
June 2, 2009*
through
May 31, 2010		     1.99       0.95       (0.84 )     0.21       5,799       145    
Ultra MSCI Emerging Markets  
Six Months ended
November 30, 2010
(Unaudited)		     1.35       0.95       (0.58 )     (0.18 )     38,230       54    
June 2, 2009*
through
May 31, 2010		     1.55       0.95       (0.49 )     0.11       29,208       25    
Ultra MSCI Europe  
Six Months ended
November 30, 2010
(Unaudited)		     2.81       0.95       (2.67 )     (0.82 )     2,935       —    
April 27, 2010*
through
May 31, 2010		     11.50       0.95       (11.35 )     (0.80 )     3,437       —    
Ultra MSCI Pacific ex-Japan  
Six Months ended
November 30, 2010
(Unaudited)		     3.04       0.95       (2.91 )     (0.82 )     3,228       —    
April 27, 2010*
through
May 31, 2010		     12.19       0.95       (12.02 )     (0.79 )     2,209       —    
Ultra MSCI Brazil  
Six Months ended
November 30, 2010
(Unaudited)		     1.92       0.95       (1.78 )     (0.81 )     12,852       —    
April 27, 2010*
through
May 31, 2010		     11.20       0.95       (11.04 )     (0.80 )     3,808       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 231


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 China 25  
Six Months ended
November 30, 2010
(Unaudited)		   $ 60.37     $ (0.28 )   $ 13.38     $ 0.02     $ 13.12     $ —     $ —     $ —     $ —     $ 73.49       21.73 %     22.03 %  
June 2, 2009*
through
May 31, 2010		     60.00       (0.58 )     0.90 (i)     0.05       0.37       —       —       —       —       60.37       0.62       0.57    
Ultra MSCI Japan  
Six Months ended
November 30, 2010
(Unaudited)		     59.20       (0.25 )     9.45       0.01       9.21       —       —       —       —       68.41       15.56       14.28    
June 2, 2009*
through
May 31, 2010		     60.00       (0.56 )     (0.25 )(i)     0.01       (0.80 )     —       —       —       —       59.20       (1.33 )     (0.55 )  
Ultra MSCI Mexico Investable Market  
Six Months ended
November 30, 2010
(Unaudited)		     26.65       (0.12 )     11.04       — (h)     10.92       —       —       —       —       37.57       40.98       44.28    
April 27, 2010*
through
May 31, 2010		     30.00       (0.02 )     (3.34 )     0.01       (3.35 )     —       —       —       —       26.65       (11.17 )     (13.13 )  
Ultra 7-10 Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     76.71       (0.09 )     10.35       0.11       10.37       —       —       —       —       87.08       13.52       13.33    
January 19, 2010*
through
May 31, 2010		     70.00       — (h)     6.67       0.04       6.71       —       —       —       —       76.71       9.59       9.41    
Ultra 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     80.75       0.23       5.67 (i)     0.11       6.01       (0.03 )     —       —       (0.03 )     86.73       7.44       6.88    
January 19, 2010*
through
May 31, 2010		     70.00       0.17       10.48       0.16       10.81       (0.06 )     —       —       (0.06 )     80.75       15.45       15.32    

 

     
    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 China 25  
Six Months ended
November 30, 2010
(Unaudited)		     1.31 %     0.95 %     (1.18 )%     (0.82 )%   $ 36,743       — %  
June 2, 2009*
through
May 31, 2010		     1.31       0.95       (1.23 )     (0.87 )     45,277       —    
Ultra MSCI Japan  
Six Months ended
November 30, 2010
(Unaudited)		     2.73       0.95       (2.58 )     (0.80 )     10,261       —    
June 2, 2009*
through
May 31, 2010		     2.04       0.95       (1.95 )     (0.87 )     8,880       —    
Ultra MSCI Mexico Investable Market  
Six Months ended
November 30, 2010
(Unaudited)		     3.41       0.95       (3.27 )     (0.81 )     1,878       —    
April 27, 2010*
through
May 31, 2010		     11.34       0.95       (11.19 )     (0.79 )     2,665       —    
Ultra 7-10 Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     1.32       0.95       (0.58 )     (0.21 )     8,708       124    
January 19, 2010*
through
May 31, 2010		     2.27       0.95       (1.30 )     0.02       11,506       136    
Ultra 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     1.33       0.95       0.13       0.50       13,010       80    
January 19, 2010*
through
May 31, 2010		     2.16       0.95       (0.53 )     0.68       8,075       228    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

232 :: 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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		   $ 42.80     $ (0.16 )   $ (6.22 )   $ — (h)   $ (6.38 )   $ —     $ —     $ —     $ —     $ 36.42       (14.91 )%     (14.93 )%  
Year ended
May 31, 2010		     58.23       (0.40 )     (15.04 )     0.01       (15.43 )     —       —       —       —       42.80       (26.50 )     (26.52 )  
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, 2010
(Unaudited)		     52.39       (0.20 )     (5.40 )     — (h)     (5.60 )     —       —       —       —       46.79       (10.69 )     (10.78 )  
Year ended
May 31, 2010		     66.52       (0.47 )     (13.67 )     0.01       (14.13 )     —       —       —       —       52.39       (21.24 )     (20.70 )  
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 )  
Short S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     52.38       (0.19 )     (5.31 )     0.01       (5.49 )     —       —       —       —       46.89       (10.48 )     (10.43 )  
Year ended
May 31, 2010		     66.02       (0.46 )     (13.19 )     0.01       (13.64 )     —       —       —       —       52.38       (20.66 )     (20.46 )  
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 )  

 

     
    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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     1.06 %     0.95 %     (0.90 )%     (0.79 )%   $ 229,424       — %  
Year ended
May 31, 2010		     1.08       0.95       (0.98 )     (0.85 )     237,550       —    
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, 2010
(Unaudited)		     0.99       0.95       (0.83 )     (0.80 )     277,231       —    
Year ended
May 31, 2010		     1.00       0.95       (0.90 )     (0.86 )     278,994       —    
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       —    
Short S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     0.90       0.90       (0.75 )     (0.75 )     1,927,392       —    
Year ended
May 31, 2010		     0.92       0.92       (0.83 )     (0.83 )     1,779,732       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 233


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 MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		   $ 41.03     $ (0.16 )   $ (5.42 )   $ —     $ (5.58 )   $ —     $ —     $ —     $ —     $ 35.45       (13.60 )%     (13.61 )%  
Year ended
May 31, 2010		     58.33       (0.40 )     (16.91 )     0.01       (17.30 )     —       —       —       —       41.03       (29.67 )     (29.56 )  
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, 2010
(Unaudited)		     35.54       (0.14 )     (4.32 )     — (h)     (4.46 )     —       —       —       —       31.08       (12.55 )     (12.61 )  
Year ended
May 31, 2010		     51.47       (0.35 )     (15.59 )     0.01       (15.93 )     —       —       —       —       35.54       (30.95 )     (31.11 )  
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 )  
Short Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     40.28       (0.16 )     (5.27 )     — (h)     (5.43 )     —       —       —       —       34.85       (13.48 )     (13.39 )  
Year ended
May 31, 2010		     58.14       (0.38 )     (17.49 )     0.01       (17.86 )     —       —       —       —       40.28       (30.72 )     (30.77 )  
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 )  

 

     
    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 MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     1.19 %     0.95 %     (1.03 )%     (0.80 )%   $ 34,562       — %  
Year ended
May 31, 2010		     1.18       0.95       (1.09 )     (0.85 )     40,007       —    
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, 2010
(Unaudited)		     1.26       0.95       (1.10 )     (0.79 )     27,969       —    
Year ended
May 31, 2010		     1.21       0.95       (1.11 )     (0.86 )     26,655       —    
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       —    
Short Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     1.04       0.95       (0.89 )     (0.80 )     290,109       —    
Year ended
May 31, 2010		     1.07       0.95       (0.98 )     (0.86 )     259,782       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

234 :: 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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		   $ 18.02     $ (0.06 )   $ (5.13 )   $ — (h)   $ (5.19 )   $ —     $ —     $ —     $ —     $ 12.83       (28.80 )%     (28.68 )%  
Year ended
May 31, 2010		     34.37       (0.18 )     (16.17 )     — (h)     (16.35 )     —       —       —       —       18.02       (47.57 )     (47.67 )  
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, 2010
(Unaudited)		     29.25       (0.10 )     (6.06 )     — (h)     (6.16 )     —       —       —       —       23.09       (21.06 )     (20.86 )  
Year ended
May 31, 2010		     48.15       (0.28 )     (18.62 )     — (h)     (18.90 )     —       —       —       —       29.25       (39.25 )     (39.04 )  
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 )  
UltraShort S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     34.40       (0.12 )     (7.08 )     — (h)     (7.20 )     —       —       —       —       27.20       (20.93 )     (20.99 )  
Year ended
May 31, 2010		     56.13       (0.31 )     (21.42 )     — (h)     (21.73 )     —       —       —       —       34.40       (38.71 )     (38.04 )  
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 )  

 

     
    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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     1.02 %     0.95 %     (0.86 )%     (0.79 )%   $ 746,959       — %  
Year ended
May 31, 2010		     1.02       0.95       (0.92 )     (0.85 )     887,757       —    
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, 2010
(Unaudited)		     0.97       0.95       (0.81 )     (0.79 )     438,063       —    
Year ended
May 31, 2010		     0.97       0.95       (0.87 )     (0.85 )     533,081       —    
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       —    
UltraShort S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     0.90       0.90       (0.74 )     (0.74 )     2,631,348       —    
Year ended
May 31, 2010		     0.90       0.90       (0.80 )     (0.80 )     3,511,675       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 235


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 Russell3000  
Six Months ended
November 30, 2010
(Unaudited)		   $ 23.84     $ (0.09 )   $ (5.16 )   $ —     $ (5.25 )   $ —     $ —     $ —     $ —     $ 18.59       (22.05 )%     (22.16 )%  
June 30, 2009*
through
May 31, 2010		     40.00       (0.22 )     (15.95 )     0.01       (16.16 )     —       —       —       —       23.84       (40.38 )     (40.43 )  
UltraShort MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     18.56       (0.07 )     (4.92 )     — (h)     (4.99 )     —       —       —       —       13.57       (26.89 )     (26.75 )  
Year ended
May 31, 2010		     39.02       (0.21 )     (20.25 )     — (h)     (20.46 )     —       —       —       —       18.56       (52.43 )     (52.33 )  
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 )  
UltraShort SmallCap600  
Six Months ended
November 30, 2010
(Unaudited)		     21.40       (0.08 )     (5.44 )     — (h)     (5.52 )     —       —       —       —       15.88       (25.79 )     (25.93 )  
Year ended
May 31, 2010		     47.10       (0.24 )     (25.46 )     — (h)     (25.70 )     —       —       —       —       21.40       (54.56 )     (54.78 )  
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 )  

 

     
    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 Russell3000  
Six Months ended
November 30, 2010
(Unaudited)		     5.46 %     0.95 %     (5.29 )%     (0.78 )%   $ 1,859       — %  
June 30, 2009*
through
May 31, 2010		     2.17       0.95       (2.08 )     (0.86 )     2,385       —    
UltraShort MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     1.21       0.95       (1.04 )     (0.79 )     31,555       —    
Year ended
May 31, 2010		     1.14       0.95       (1.03 )     (0.85 )     43,141       —    
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       —    
UltraShort SmallCap600  
Six Months ended
November 30, 2010
(Unaudited)		     1.41       0.95       (1.24 )     (0.78 )     19,056       —    
Year ended
May 31, 2010		     1.36       0.95       (1.25 )     (0.84 )     19,264       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

236 :: 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 Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		   $ 20.38     $ (0.08 )   $ (5.55 )   $ — (h)   $ (5.63 )   $ —     $ —     $ —     $ —     $ 14.75       (27.63 )%     (27.47 )%  
Year ended
May 31, 2010		     44.84       (0.22 )     (24.25 )     0.01       (24.46 )     —       —       —       —       20.38       (54.56 )     (54.78 )  
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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     61.82       (0.18 )     (25.47 )     0.01       (25.64 )     —       —       —       —       36.18       (41.48 )     (41.57 )  
February 9, 2010*
through
May 31, 2010		     80.00       (0.15 )     (18.03 )     —       (18.18 )     —       —       —       —       61.82       (22.73 )     (22.66 )  
UltraPro Short Dow30SM  
Six Months ended
November 30, 2010
(Unaudited)		     71.85       (0.22 )     (22.12 )     — (h)     (22.34 )     —       —       —       —       49.51       (31.10 )     (31.30 )  
February 9, 2010*
through
May 31, 2010		     80.00       (0.16 )     (7.99 )     —       (8.15 )     —       —       —       —       71.85       (10.18 )     (10.04 )  
UltraPro Short S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     34.64       (0.11 )     (10.75 )     — (h)     (10.86 )     —       —       —       —       23.78       (31.35 )     (31.02 )  
June 23, 2009*
through
May 31, 2010		     80.00       (0.29 )     (45.08 )     0.01       (45.36 )     —       —       —       —       34.64       (56.70 )     (56.80 )  

 

     
    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)		  
UltraShort Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     1.04 %     0.95 %     (0.88 )%     (0.79 )%   $ 348,391       — %  
Year ended
May 31, 2010		     1.04       0.95       (0.93 )     (0.84 )     469,252       —    
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 QQQ®  
Six Months ended
November 30, 2010
(Unaudited)		     1.22       0.95       (1.05 )     (0.78 )     57,888       —    
February 9, 2010*
through
May 31, 2010		     1.86       0.95       (1.73 )     (0.82 )     27,818       —    
UltraPro Short Dow30SM  
Six Months ended
November 30, 2010
(Unaudited)		     1.22       0.95       (1.06 )     (0.79 )     34,654       —    
February 9, 2010*
through
May 31, 2010		     2.15       0.95       (2.02 )     (0.83 )     10,778       —    
UltraPro Short S&P500®  
Six Months ended
November 30, 2010
(Unaudited)		     0.95       0.95       (0.78 )     (0.78 )     356,648       —    
June 23, 2009*
through
May 31, 2010		     1.01       0.95       (0.91 )     (0.86 )     249,373       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 237


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)		  
UltraPro Short MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		   $ 55.52     $ (0.19 )   $ (21.80 )   $ —     $ (21.99 )   $ —     $ —     $ —     $ —     $ 33.53       (39.61 )%     (39.50 )%  
February 9, 2010*
through
May 31, 2010		     80.00       (0.14 )     (24.34 )     —       (24.48 )     —       —       —       —       55.52       (30.60 )     (30.69 )  
UltraPro Short Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     50.26       (0.16 )     (20.78 )     — (h)     (20.94 )     —       —       —       —       29.32       (41.66 )     (41.55 )  
February 9, 2010*
through
May 31, 2010		     80.00       (0.13 )     (29.61 )     —       (29.74 )     —       —       —       —       50.26       (37.18 )     (37.21 )  
UltraShort Russell1000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     48.62       (0.18 )     (8.24 )     0.01       (8.41 )     —       —       —       —       40.21       (17.30 )     (17.35 )  
Year ended
May 31, 2010		     84.91       (0.47 )     (35.82 )     — (h)     (36.29 )     —       —       —       —       48.62       (42.74 )     (42.11 )  
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, 2010
(Unaudited)		     35.16       (0.13 )     (9.07 )     — (h)     (9.20 )     —       —       —       —       25.96       (26.17 )     (26.40 )  
Year ended
May 31, 2010		     57.50       (0.34 )     (22.01 )     0.01       (22.34 )     —       —       —       —       35.16       (38.86 )     (38.64 )  
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 )  

 

     
    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)		  
UltraPro Short MidCap400  
Six Months ended
November 30, 2010
(Unaudited)		     1.80 %     0.95 %     (1.63 )%     (0.78 )%   $ 3,353       — %  
February 9, 2010*
through
May 31, 2010		     2.74       0.95       (2.63 )     (0.84 )     5,552       —    
UltraPro Short Russell2000  
Six Months ended
November 30, 2010
(Unaudited)		     1.22       0.95       (1.06 )     (0.79 )     30,786       —    
February 9, 2010*
through
May 31, 2010		     2.12       0.95       (1.99 )     (0.82 )     15,077       —    
UltraShort Russell1000 Value  
Six Months ended
November 30, 2010
(Unaudited)		     2.37       0.95       (2.22 )     (0.80 )     3,016       —    
Year ended
May 31, 2010		     1.96       0.95       (1.85 )     (0.84 )     10,939       —    
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, 2010
(Unaudited)		     2.14       0.95       (1.99 )     (0.79 )     5,841       —    
Year ended
May 31, 2010		     1.89       0.95       (1.78 )     (0.85 )     10,548       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

238 :: 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 Value  
Six Months ended
November 30, 2010
(Unaudited)		   $ 22.15     $ (0.08 )   $ (5.10 )   $ 0.01     $ (5.17 )   $ —     $ —     $ —     $ —     $ 16.98       (23.34 )%     (21.82 )%  
Year ended
May 31, 2010		     54.48       (0.25 )     (28.49 )     0.01       (28.73 )     —       (3.60 )     —       (3.60 )     22.15       (56.07 )     (56.50 )  
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 )  
UltraShort Russell MidCap Growth  
Six Months ended
November 30, 2010
(Unaudited)		     23.09       (0.08 )     (6.88 )     0.01       (6.95 )     —       —       —       —       16.14       (30.10 )     (30.16 )  
Year ended
May 31, 2010		     45.39       (0.24 )     (22.07 )     0.01       (22.30 )     —       —       —       —       23.09       (49.14 )     (49.35 )  
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, 2010
(Unaudited)		     20.96       (0.08 )     (4.64 )     — (h)     (4.72 )     —       —       —       —       16.24       (22.52 )     (22.61 )  
Year ended
May 31, 2010		     49.23       (0.25 )     (28.02 )     — (h)     (28.27 )     —       —       —       —       20.96       (57.42 )     (57.68 )  
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 )  

 

     
    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 Value  
Six Months ended
November 30, 2010
(Unaudited)		     3.01 %     0.95 %     (2.85 )%     (0.79 )%   $ 2,546       — %  
Year ended
May 31, 2010		     3.54       0.95       (3.43 )     (0.84 )     3,322       —    
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       —    
UltraShort Russell MidCap Growth  
Six Months ended
November 30, 2010
(Unaudited)		     2.57       0.95       (2.41 )     (0.79 )     3,632       —    
Year ended
May 31, 2010		     2.48       0.95       (2.38 )     (0.84 )     5,195       —    
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, 2010
(Unaudited)		     1.79       0.95       (1.63 )     (0.79 )     8,526       —    
Year ended
May 31, 2010		     1.85       0.95       (1.74 )     (0.84 )     7,862       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 239


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 Russell2000 Growth  
Six Months ended
November 30, 2010
(Unaudited)		   $ 16.70     $ (0.06 )   $ (5.37 )   $ — (h)   $ (5.43 )   $ —     $ —     $ —     $ —     $ 11.27       (32.51 )%     (32.67 )%  
Year ended
May 31, 2010		     38.11       (0.18 )     (17.94 )     — (h)     (18.12 )     —       (3.29 )     —       (3.29 )     16.70       (51.35 )     (51.60 )  
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 )  
Short Basic Materials  
Six Months ended
November 30, 2010
(Unaudited)		     53.43       (0.19 )     (11.38 )     —       (11.57 )     —       —       —       —       41.86       (21.65 )     (21.59 )  
March 16, 2010*
through
May 31, 2010		     50.00       (0.09 )     3.51       0.01       3.43       —       —       —       —       53.43       6.86       5.98    
Short Financials  
Six Months ended
November 30, 2010
(Unaudited)		     41.93       (0.17 )     (1.30 )     — (h)     (1.47 )     —       —       —       —       40.46       (3.51 )     (3.57 )  
Year ended
May 31, 2010		     56.71       (0.39 )     (14.39 )     — (h)     (14.78 )     —       —       —       —       41.93       (26.06 )     (26.19 )  
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, 2010
(Unaudited)		     54.06       (0.20 )     (9.78 )     — (h)     (9.98 )     —       —       —       —       44.08       (18.46 )     (18.84 )  
Year ended
May 31, 2010		     59.14       (0.46 )     (4.62 )     — (h)     (5.08 )     —       —       —       —       54.06       (8.59 )     (8.86 )  
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    

 

     
    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 Russell2000 Growth  
Six Months ended
November 30, 2010
(Unaudited)		     1.65 %     0.95 %     (1.48 )%     (0.79 )%   $ 11,835       — %  
Year ended
May 31, 2010		     1.80       0.95       (1.69 )     (0.84 )     12,525       —    
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       —    
Short Basic Materials  
Six Months ended
November 30, 2010
(Unaudited)		     1.76       0.95       (1.60 )     (0.80 )     4,186       —    
March 16, 2010*
through
May 31, 2010		     3.52       0.95       (3.39 )     (0.82 )     5,343       —    
Short Financials  
Six Months ended
November 30, 2010
(Unaudited)		     1.04       0.95       (0.89 )     (0.80 )     118,336       —    
Year ended
May 31, 2010		     1.04       0.95       (0.94 )     (0.85 )     103,783       —    
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, 2010
(Unaudited)		     1.77       0.95       (1.62 )     (0.80 )     13,224       —    
Year ended
May 31, 2010		     1.81       0.95       (1.73 )     (0.87 )     12,164       —    
June 10, 2008*
through
May 31, 2009		     1.70       0.95       (0.55 )     0.20       4,435       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

240 :: 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 Real Estate  
Six Months ended
November 30, 2010
(Unaudited)		   $ 48.14     $ (0.17 )   $ (6.06 )   $ 0.01     $ (6.22 )   $ —     $ —     $ —     $ —     $ 41.92       (12.92 )%     (12.64 )%  
March 16, 2010*
through
May 31, 2010		     50.00       (0.08 )     (1.79 )     0.01       (1.86 )     —       —       —       —       48.14       (3.72 )     (4.12 )  
Short KBW Regional Banking  
Six Months ended
November 30, 2010
(Unaudited)		     65.55       (0.28 )     3.64       0.02       3.38       —       —       —       —       68.93       5.16       5.04    
April 20, 2010*
through
May 31, 2010		     60.00       (0.06 )     5.60       0.01       5.55       —       —       —       —       65.55       9.25       9.35    
UltraShort Basic Materials  
Six Months ended
November 30, 2010
(Unaudited)		     39.76       (0.13 )     (16.07 )     0.01       (16.19 )     —       —       —       —       23.57       (40.72 )     (40.57 )  
Year ended
May 31, 2010(k)		     88.93       (0.41 )     (48.79 )     0.03       (49.17 )     —       —       —       —       39.76       (55.30 )     (55.66 )  
Year ended
May 31, 2009(k)		     142.62       0.85       79.28       0.29       80.42       (1.21 )     (132.90 )     —       (134.11 )     88.93       1.25       1.23    
Year ended
May 31, 2008(k)		     265.38       4.10       (118.26 )     0.28       (113.88 )     (8.88 )     —       —       (8.88 )     142.62       (44.32 )     (43.75 )  
January 30, 2007*
through
May 31, 2007(k)		     350.00       4.79       (89.41 )     —       (84.62 )     —       —       —       —       265.38       (24.17 )     (24.54 )  
UltraShort Nasdaq Biotechnology  
Six Months ended
November 30, 2010
(Unaudited)		     74.59       (0.27 )     (15.62 )     0.01       (15.88 )     —       —       —       —       58.71       (21.29 )     (22.48 )  
April 7, 2010*
through
May 31, 2010		     60.00       (0.08 )     14.66       0.01       14.59       —       —       —       —       74.59       24.32       23.17    

 

     
    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)		  
Short Real Estate  
Six Months ended
November 30, 2010
(Unaudited)		     1.24 %     0.95 %     (1.08 )%     (0.79 )%   $ 23,057       — %  
March 16, 2010*
through
May 31, 2010		     3.68       0.95       (3.54 )     (0.82 )     4,814       —    
Short KBW Regional Banking  
Six Months ended
November 30, 2010
(Unaudited)		     1.22       0.95       (1.07 )     (0.80 )     34,465       —    
April 20, 2010*
through
May 31, 2010		     3.40       0.95       (3.27 )     (0.82 )     19,665       —    
UltraShort Basic Materials  
Six Months ended
November 30, 2010
(Unaudited)		     1.05       0.95       (0.87 )     (0.78 )     95,791       —    
Year ended
May 31, 2010(k)		     1.05       0.95       (0.94 )     (0.84 )     131,792       —    
Year ended
May 31, 2009(k)		     1.01       0.95       0.37       0.43       62,692       —    
Year ended
May 31, 2008(k)		     1.08       0.95       2.07       2.20       205,366       —    
January 30, 2007*
through
May 31, 2007(k)		     2.00       0.95       3.64       4.69       7,961       —    
UltraShort Nasdaq Biotechnology  
Six Months ended
November 30, 2010
(Unaudited)		     1.78       0.95       (1.63 )     (0.80 )     2,935       —    
April 7, 2010*
through
May 31, 2010		     3.56       0.95       (3.42 )     (0.81 )     7,459       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 241


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, 2010
(Unaudited)		   $ 40.49     $ (0.14 )   $ (9.83 )   $ — (h)   $ (9.97 )   $ —     $ —     $ —     $ —     $ 30.52       (24.62 )%     (24.52 )%  
Year ended
May 31, 2010		     65.58       (0.39 )     (24.71 )     0.01       (25.09 )     —       —       —       —       40.49       (38.26 )     (38.31 )  
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, 2010
(Unaudited)		     31.04       (0.12 )     (7.41 )     — (h)     (7.53 )     —       —       —       —       23.51       (24.26 )     (24.36 )  
Year ended
May 31, 2010		     64.37       (0.37 )     (32.97 )     0.01       (33.33 )     —       —       —       —       31.04       (51.78 )     (51.73 )  
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, 2010
(Unaudited)		     21.12       (0.08 )     (1.90 )     — (h)     (1.98 )     —       —       —       —       19.14       (9.38 )     (9.25 )  
Year ended
May 31, 2010		     41.38       (0.22 )     (20.05 )     0.01       (20.26 )     —       —       —       —       21.12       (48.97 )     (49.24 )  
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, 2010
(Unaudited)		     1.80 %     0.95 %     (1.64 )%     (0.79 )%   $ 11,447       — %  
Year ended
May 31, 2010		     1.49       0.95       (1.38 )     (0.84 )     15,184       —    
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, 2010
(Unaudited)		     1.25       0.95       (1.08 )     (0.79 )     26,444       —    
Year ended
May 31, 2010		     1.15       0.95       (1.03 )     (0.83 )     32,595       —    
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, 2010
(Unaudited)		     0.97       0.95       (0.83 )     (0.81 )     495,214       —    
Year ended
May 31, 2010		     0.96       0.95       (0.86 )     (0.85 )     598,763       —    
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.

242 :: 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 Health Care  
Six Months ended
November 30, 2010
(Unaudited)		   $ 38.02     $ (0.14 )   $ (5.53 )   $ —     $ (5.67 )   $ —     $ —     $ —     $ —     $ 32.35       (14.91 )%     (15.16 )%  
Year ended
May 31, 2010		     54.82       (0.34 )     (16.46 )     — (h)     (16.80 )     —       —       —       —       38.02       (30.66 )     (32.07 )  
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, 2010
(Unaudited)		     20.65       (0.07 )     (5.17 )     —       (5.24 )     —       —       —       —       15.41       (25.38 )     (25.47 )  
Year ended
May 31, 2010		     43.33       (0.23 )     (22.46 )     0.01       (22.68 )     —       —       —       —       20.65       (52.34 )     (52.12 )  
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, 2010
(Unaudited)		     69.02       (0.24 )     (24.11 )     0.01       (24.34 )     —       —       —       —       44.68       (35.27 )     (35.32 )  
Year ended
May 31, 2010(k)		     86.61       (0.61 )     (17.00 )     0.02       (17.59 )     —       —       —       —       69.02       (20.30 )     (19.67 )  
Year ended
May 31, 2009(k)		     143.61       1.00       (17.55 )(i)     0.17       (16.38 )     (1.30 )     (39.32 )     —       (40.62 )     86.61       (22.80 )     (23.55 )  
Year ended
May 31, 2008(k)		     254.96       3.11       (109.64 )     0.11       (106.42 )     (4.93 )     —       —       (4.93 )     143.61       (42.37 )     (42.21 )  
January 30, 2007*
through
May 31, 2007(k)		     350.00       4.70       (99.74 )     —       (95.04 )     —       —       —       —       254.96       (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, 2010
(Unaudited)		     3.08 %     0.95 %     (2.93 )%     (0.80 )%   $ 4,853       — %  
Year ended
May 31, 2010		     2.52       0.95       (2.41 )     (0.84 )     5,703       —    
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, 2010
(Unaudited)		     1.82       0.95       (1.66 )     (0.79 )     10,405       —    
Year ended
May 31, 2010		     1.42       0.95       (1.30 )     (0.83 )     13,937       —    
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, 2010
(Unaudited)		     1.04       0.95       (0.89 )     (0.80 )     99,173       —    
Year ended
May 31, 2010(k)		     1.00       0.95       (0.91 )     (0.86 )     137,688       —    
Year ended
May 31, 2009(k)		     0.95       0.95       0.62       0.62       219,567       —    
Year ended
May 31, 2008(k)		     0.99       0.95       1.78       1.82       2,328,579       —    
January 30, 2007*
through
May 31, 2007(k)		     1.59       0.95       3.87       4.51       30,595       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 243


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, 2010
(Unaudited)		   $ 27.38     $ (0.09 )   $ (7.25 )   $ — (h)   $ (7.34 )   $ —     $ —     $ —     $ —     $ 20.04       (26.81 )%     (26.77 )%  
Year ended
May 31, 2010(k)		     97.42       (0.40 )     (69.65 )     0.01       (70.04 )     —       —       —       —       27.38       (71.90 )     (72.07 )  
Year ended
May 31, 2009(k)		     422.22       (0.28 )     (299.38 )     0.34       (299.32 )     (2.65 )     (22.83 )     —       (25.48 )     97.42       (74.95 )     (74.96 )  
Year ended
May 31, 2008(k)		     383.64       13.29       33.09 (i)     0.44       46.82       (8.24 )     —       —       (8.24 )     422.22       12.03       12.33    
January 30, 2007*
through
May 31, 2007(k)		     350.00       5.48       28.16       —       33.64       —       —       —       —       383.64       9.61       9.90    
UltraShort Semiconductors  
Six Months ended
November 30, 2010
(Unaudited)		     16.32       (0.06 )     (4.07 )     — (h)     (4.13 )     —       —       —       —       12.19       (25.31 )     (25.44 )  
Year ended
May 31, 2010		     38.37       (0.18 )     (21.88 )     0.01       (22.05 )     —       —       —       —       16.32       (57.47 )     (57.78 )  
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, 2010
(Unaudited)		     22.79       (0.08 )     (5.27 )     — (h)     (5.35 )     —       —       —       —       17.44       (23.48 )     (23.69 )  
Year ended
May 31, 2010		     44.11       (0.22 )     (21.10 )     — (h)     (21.32 )     —       —       —       —       22.79       (48.33 )     (48.20 )  
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, 2010
(Unaudited)		     0.98 %     0.95 %     (0.81 )%     (0.78 )%   $ 312,313       — %  
Year ended
May 31, 2010(k)		     0.97       0.95       (0.86 )     (0.85 )     439,024       —    
Year ended
May 31, 2009(k)		     0.96       0.95       (0.11 )     (0.10 )     1,239,185       —    
Year ended
May 31, 2008(k)		     0.98       0.95       2.66       2.69       804,324       —    
January 30, 2007*
through
May 31, 2007(k)		     1.24       0.95       4.00       4.29       97,829       —    
UltraShort Semiconductors  
Six Months ended
November 30, 2010
(Unaudited)		     1.36       0.95       (1.20 )     (0.79 )     21,933       —    
Year ended
May 31, 2010		     1.31       0.95       (1.19 )     (0.83 )     24,477       —    
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, 2010
(Unaudited)		     1.43       0.95       (1.27 )     (0.79 )     22,237       —    
Year ended
May 31, 2010		     1.37       0.95       (1.26 )     (0.84 )     22,224       —    
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.

244 :: 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 Telecommunications  
Six Months ended
November 30, 2010
(Unaudited)		   $ 13.97     $ (0.05 )   $ (3.62 )   $ — (h)   $ (3.67 )   $ —     $ —     $ —     $ —     $ 10.30       (26.27 )%     (25.18 )%  
Year ended
May 31, 2010		     31.00       (0.15 )     (7.30 )     — (h)     (7.45 )     (0.11 )     (9.47 )     —       (9.58 )     13.97       (32.03 )     (34.04 )  
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, 2010
(Unaudited)		     22.19       (0.07 )     (4.59 )     — (h)     (4.66 )     —       —       —       —       17.53       (21.00 )     (20.44 )  
Year ended
May 31, 2010		     41.06       (0.21 )     (10.83 )     — (h)     (11.04 )     (0.09 )     (7.74 )     —       (7.83 )     22.19       (30.14 )     (31.40 )  
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, 2010
(Unaudited)		     64.33       (0.23 )     (9.69 )     0.01       (9.91 )     —       —       —       —       54.42       (15.40 )     (15.40 )  
Year ended
May 31, 2010		     73.29       (0.53 )     (8.46 )     0.03       (8.96 )     —       —       —       —       64.33       (12.23 )     (12.48 )  
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, 2010
(Unaudited)		     7.75 %     0.95 %     (7.57 )%     (0.77 )%   $ 1,545       — %  
Year ended
May 31, 2010		     7.05       0.95       (6.95 )     (0.85 )     2,095       —    
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, 2010
(Unaudited)		     2.75       0.95       (2.59 )     (0.79 )     6,574       —    
Year ended
May 31, 2010		     2.23       0.95       (2.13 )     (0.85 )     6,656       —    
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, 2010
(Unaudited)		     1.08       0.95       (0.92 )     (0.79 )     118,371       —    
Year ended
May 31, 2010		     1.15       0.95       (1.05 )     (0.85 )     164,029       —    
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.

Financial Highlights :: ProShares Trust :: 245


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, 2010
(Unaudited)		   $ 40.01     $ (0.14 )   $ (6.86 )   $ — (h)   $ (7.00 )   $ —     $ —     $ —     $ —     $ 33.01       (17.50 )%     (18.38 )%  
Year ended
May 31, 2010		     52.10       (0.35 )     (11.75 )     0.01       (12.09 )     —       —       —       —       40.01       (23.21 )     (22.70 )  
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 )  
Short FTSE China 25  
Six Months ended
November 30, 2010
(Unaudited)		     50.55       (0.19 )     (6.96 )     — (h)     (7.15 )     —       —       —       —       43.40       (14.14 )     (14.90 )  
March 16, 2010*
through
May 31, 2010		     50.00       (0.08 )     0.62       0.01       0.55       —       —       —       —       50.55       1.10       2.00    
UltraShort MSCI EAFE  
Six Months ended
November 30, 2010
(Unaudited)		     45.34       (0.14 )     (13.59 )     — (h)     (13.73 )     —       —       —       —       31.61       (30.28 )     (30.24 )  
Year ended
May 31, 2010		     62.45       (0.37 )     (16.76 )     0.02       (17.11 )     —       —       —       —       45.34       (27.40 )     (27.48 )  
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, 2010
(Unaudited)		     55.46       (0.17 )     (18.49 )     0.01       (18.65 )     —       —       —       —       36.81       (33.63 )     (34.87 )  
Year ended
May 31, 2010(k)		     103.80       (0.55 )     (47.83 )     0.04       (48.34 )     —       —       —       —       55.46       (46.57 )     (45.68 )  
Year ended
May 31, 2009(k)		     316.77       (0.15 )     (193.65 )     0.51       (193.29 )     (2.69 )     (16.99 )     —       (19.68 )     103.80       (65.89 )     (65.53 )  
October 30, 2007*
through
May 31, 2008(k)		     350.00       4.25       (35.07 )     0.30       (30.52 )     (2.71 )     —       —       (2.71 )     316.77       (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, 2010
(Unaudited)		     1.04 %     0.95 %     (0.88 )%     (0.79 )%   $ 237,691       — %  
Year ended
May 31, 2010		     1.05       0.95       (0.96 )     (0.86 )     303,109       —    
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       —    
Short FTSE China 25  
Six Months ended
November 30, 2010
(Unaudited)		     1.65       0.95       (1.50 )     (0.80 )     4,340       —    
March 16, 2010*
through
May 31, 2010		     3.41       0.95       (3.27 )     (0.81 )     7,582       —    
UltraShort MSCI EAFE  
Six Months ended
November 30, 2010
(Unaudited)		     1.33       0.95       (1.16 )     (0.78 )     21,335       —    
Year ended
May 31, 2010		     1.29       0.95       (1.18 )     (0.84 )     47,603       —    
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, 2010
(Unaudited)		     1.08       0.95       (0.91 )     (0.78 )     120,366       —    
Year ended
May 31, 2010(k)		     1.05       0.95       (0.95 )     (0.85 )     231,238       —    
Year ended
May 31, 2009(k)		     1.08       0.95       (0.17 )     (0.04 )     207,075       —    
October 30, 2007*
through
May 31, 2008(k)		     1.01       0.95       1.87       1.93       275,590       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

246 :: 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 Europe  
Six Months ended
November 30, 2010
(Unaudited)		   $ 26.75     $ (0.08 )   $ (9.41 )   $ 0.01     $ (9.48 )   $ —     $ —     $ —     $ —     $ 17.27       (35.44 )%     (34.91 )%  
June 16, 2009*
through
May 31, 2010		     40.00       (0.19 )     (13.12 )(i)     0.06       (13.25 )     —       —       —       —       26.75       (33.13 )     (33.75 )  
UltraShort MSCI Pacific ex-Japan  
Six Months ended
November 30, 2010
(Unaudited)		     21.51       (0.06 )     (8.74 )     — (h)     (8.80 )     —       —       —       —       12.71       (40.91 )     (39.52 )  
June 16, 2009*
through
May 31, 2010		     40.00       (0.17 )     (18.35 )     0.03       (18.49 )     —       —       —       —       21.51       (46.23 )     (48.00 )  
UltraShort MSCI Brazil  
Six Months ended
November 30, 2010
(Unaudited)		     25.80       (0.08 )     (8.28 )     — (h)     (8.36 )     —       —       —       —       17.44       (32.40 )     (36.59 )  
June 16, 2009*
through
May 31, 2010		     60.00       (0.21 )     (34.01 )     0.02       (34.20 )     —       —       —       —       25.80       (57.00 )     (54.13 )  
UltraShort FTSE China 25  
Six Months ended
November 30, 2010
(Unaudited)		     42.18       (0.14 )     (11.61 )     — (h)     (11.75 )     —       —       —       —       30.43       (27.86 )     (27.79 )  
Year ended
May 31, 2010(k)		     68.15       (0.38 )     (25.59 )     — (h)     (25.97 )     —       —       —       —       42.18       (38.11 )     (38.21 )  
Year ended
May 31, 2009(k)		     337.84       0.66       (267.53 )     0.30       (266.57 )     (3.12 )     —       —       (3.12 )     68.15       (79.69 )     (79.68 )  
November 6, 2007*
through
May 31, 2008(k)		     350.00       4.89       (15.06 )     0.41       (9.76 )     (2.40 )     —       —       (2.40 )     337.84       (2.91 )     (2.78 )  

 

     
    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  
Six Months ended
November 30, 2010
(Unaudited)		     1.08 %     0.95 %     (0.91 )%     (0.78 )%   $ 69,095       — %  
June 16, 2009*
through
May 31, 2010		     1.29       0.95       (1.17 )     (0.83 )     187,242       —    
UltraShort MSCI Pacific ex-Japan  
Six Months ended
November 30, 2010
(Unaudited)		     6.46       0.95       (6.26 )     (0.74 )     2,543       —    
June 16, 2009*
through
May 31, 2010		     3.01       0.95       (2.90 )     (0.84 )     3,226       —    
UltraShort MSCI Brazil  
Six Months ended
November 30, 2010
(Unaudited)		     1.29       0.95       (1.12 )     (0.78 )     21,806       —    
June 16, 2009*
through
May 31, 2010		     1.51       0.95       (1.40 )     (0.84 )     42,577       —    
UltraShort FTSE China 25  
Six Months ended
November 30, 2010
(Unaudited)		     1.03       0.95       (0.87 )     (0.78 )     204,460       —    
Year ended
May 31, 2010(k)		     1.03       0.95       (0.94 )     (0.86 )     400,477       —    
Year ended
May 31, 2009(k)		     1.02       0.95       0.18       0.25       169,686       —    
November 6, 2007*
through
May 31, 2008(k)		     1.05       0.95       2.06       2.16       673,999       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 247


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 Japan  
Six Months ended
November 30, 2010
(Unaudited)		   $ 49.17     $ (0.18 )   $ (9.72 )   $ — (h)   $ (9.90 )   $ —     $ —     $ —     $ —     $ 39.27       (20.13 )%     (19.36 )%  
Year ended
May 31, 2010		     58.79       (0.41 )     (9.22 )     0.01       (9.62 )     —       —       —       —       49.17       (16.36 )     (16.81 )  
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 )  
UltraShort MSCI Mexico Investable Market  
Six Months ended
November 30, 2010
(Unaudited)		     23.10       (0.08 )     (8.26 )     0.01       (8.33 )     —       —       —       —       14.77       (36.06 )     (38.46 )  
June 16, 2009*
through
May 31, 2010		     60.00       (0.27 )     (36.66 )     0.03       (36.90 )     —       —       —       —       23.10       (61.50 )     (59.92 )  
Short 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     45.45       (0.17 )     (2.80 )     — (h)     (2.97 )     —       —       —       —       42.48       (6.53 )     (6.35 )  
August 18, 2009*
through
May 31, 2010		     50.00       (0.33 )     (4.23 )     0.01       (4.55 )     —       —       —       —       45.45       (9.10 )     (8.96 )  
UltraShort 7-10 Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     46.68       (0.16 )     (6.82 )     — (h)     (6.98 )     —       —       —       —       39.70       (14.95 )     (14.71 )  
Year ended
May 31, 2010		     56.61       (0.46 )     (9.48 )     0.01       (9.93 )     —       —       —       —       46.68       (17.56 )     (17.60 )  
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    

 

     
    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 Japan  
Six Months ended
November 30, 2010
(Unaudited)		     1.90 %     0.95 %     (1.74 )%     (0.79 )%   $ 14,725       — %  
Year ended
May 31, 2010		     1.95       0.95       (1.85 )     (0.85 )     14,752       —    
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       —    
UltraShort MSCI Mexico Investable Market  
Six Months ended
November 30, 2010
(Unaudited)		     3.82       0.95       (3.66 )     (0.79 )     2,955       —    
June 16, 2009*
through
May 31, 2010		     1.98       0.95       (1.88 )     (0.85 )     3,465       —    
Short 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     0.97       0.95       (0.81 )     (0.79 )     696,708       —    
August 18, 2009*
through
May 31, 2010		     1.03       0.95       (0.94 )     (0.86 )     479,518       —    
UltraShort 7-10 Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     0.98       0.95       (0.80 )     (0.77 )     428,746       —    
Year ended
May 31, 2010		     0.99       0.95       (0.90 )     (0.86 )     367,630       —    
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       —    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

248 :: 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 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		   $ 40.13     $ (0.13 )   $ (5.40 )   $ — (h)   $ (5.53 )   $ —     $ —     $ —     $ —     $ 34.60       (13.78 )%     (13.65 )%  
Year ended
May 31, 2010		     52.48       (0.42 )     (11.95 )     0.02       (12.35 )     —       —       —       —       40.13       (23.55 )     (23.48 )  
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  
Six Months ended
November 30, 2010
(Unaudited)		     49.79       0.30       3.45       — (h)     3.75       (0.17 )     —       —       (0.17 )     53.37       7.56       7.08    
July 13, 2009*
through
May 31, 2010		     40.00       0.38       9.63       0.02       10.03       (0.24 )     —       —       (0.24 )     49.79       25.08       25.71    

 

     
    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 20+ Year Treasury  
Six Months ended
November 30, 2010
(Unaudited)		     0.93 %     0.93 %     (0.77 )%     (0.77 )%   $ 5,101,592       — %  
Year ended
May 31, 2010		     0.95       0.95       (0.87 )     (0.87 )     5,158,951       —    
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  
Six Months ended
November 30, 2010
(Unaudited)		     1.27       0.95       0.85       1.17       58,704       39    
July 13, 2009*
through
May 31, 2010		     1.60       0.95       0.23       0.87       54,770       101    

 

*  Commencement of investment operations.

 

See accompanying notes to the financial statements.

Financial Highlights :: ProShares Trust :: 249



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 the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE and NASDAQ) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price. Market value may be greater or less than net asset value, depending on the Fund's closing price on the listing market.

(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)  Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 15, 2010.

(l)  Per share amounts have been restated on a retroactive basis to reflect a 1:10 reverse stock split effective April 15, 2010.

(m)  Less than 0.005%.

See accompanying notes to the financial statements.

250 :: Financial Highlights :: ProShares Trust



Notes to Financial Statements

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 251


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 99 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.

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. Fixed-income securities are valued according to prices as furnished by an independent pricing service, generally at the mean of the bid and asked quotes for those instruments, except that fixed income securities may be 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 prices become stale, 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 may be 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.

252 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


The following is a summary of the valuations as of November 30, 2010 for each Fund based upon the three levels defined above:

At November 30, 2010 there were no Level 3 portfolio investments for which significant unobservable inputs were used to determine fair value. Please refer to the Schedules of Portfolio Investments to view equity securities segregated by industry type.

    LEVEL 1 - Quoted Prices   LEVEL 2 - Other Significant Observable Inputs   Total  
    Common
Stocks /
Shares of
Beneficial
Interest		   Futures
Contracts*		   Rights /
Warrants		   U.S.
Treasury
Obligations		   U.S.
Government &
Agency
Securities		   Repurchase
Agreements		   Swap
Agreements*		   Investment
Securities,
including
Repurchase
Agreements		   Other
Financial
Instruments,
including
Futures
Contracts
and Swap
Agreements*		  
Ultra QQQ®   $ 491,672,482     $ 12,638,371       —       —     $ 76,592,830     $ 175,815,711     $ 52,639,687     $ 744,081,023     $ 65,278,058    
Ultra Dow30SM     157,058,669       1,429,230       —       —       38,854,684       89,571,807       4,620,095       285,485,160       6,049,325    
Ultra S&P500®     1,146,653,221       3,521,567       —       —       63,312,599       146,072,102       95,235,953       1,356,037,922       98,757,520    
Ultra Russell3000     963,691       —       —       —       1,742,743       3,934,160       172,558       6,640,594       172,558    
Ultra MidCap400     58,084,386       330,859       —       —       10,826,734       24,964,341       6,581,095       93,875,461       6,911,954    
Ultra SmallCap600     28,680,017       117,453       —       —       2,506,317       5,777,444       4,980,502       36,963,778       5,097,955    
Ultra Russell2000     108,980,024       2,804,082       —       —       23,477,435       54,087,185       18,495,360       186,544,644       21,299,442    
UltraPro QQQ®     77,737,351       (53,034 )     —       —       10,860,996       24,817,832       1,044,983       113,416,179       991,949    
UltraPro Dow30SM     10,579,451       (25,733 )     —       —       2,996,014       6,709,141       (64,269 )     20,284,606       (90,002 )  
UltraPro S&P500®     —       (15,171 )     —       —       64,594,412       145,979,169       8,262,097       210,573,581       8,246,926    
UltraPro MidCap400     12,405,732       26,043       —       —       1,898,105       4,375,586       7,223,710       18,679,423       7,249,753    
UltraPro Russell2000     35       151,104       —       —       10,308,193       23,056,828       4,141,330       33,365,056       4,292,434    
Ultra Russell1000
Value		     7,580,400       —       —       —       1,330,972       3,006,864       (605,880 )     11,918,236       (605,880 )  
Ultra Russell1000
Growth		     8,851,853       —       —       —       1,032,727       2,372,445       1,421,936       12,257,025       1,421,936    
Ultra Russell MidCap
Value		     1,435,549       —       —       —       1,386,913       3,136,373       1,103,145       5,958,835       1,103,145    
Ultra Russell MidCap
Growth		     5,876,553       —       —       —       1,542,906       3,532,554       1,802,229       10,952,013       1,802,229    
Ultra Russell2000
Value		     12,716,307       —       —       —       1,920,995       4,387,809       1,314,524       19,025,111       1,314,524    
Ultra Russell2000
Growth		     16,149,686       —       —       —       2,326,109       5,360,148       1,047,976       23,835,943       1,047,976    
Ultra Basic Materials     84,867,199       —       —       —       63,353,471       144,166,812       11,297,733       292,387,482       11,297,733    
Ultra Nasdaq
Biotechnology		     3,663,155       —       —       —       510,947       1,179,025       (85,693 )     5,353,127       (85,693 )  
Ultra Consumer Goods     7,067,617       —       —       —       3,439,630       7,718,059       663,381       18,225,306       663,381    
Ultra Consumer
Services		     3,233,969       —       —       —       2,067,517       4,661,189       364,227       9,962,675       364,227    
Ultra Financials     833,430,120       —       —       —       111,816,962       257,859,107       (38,123,152 )     1,203,106,189       (38,123,152 )  
Ultra Health Care     46,437,006       —       —       —       920,272       2,122,516       464,262       49,479,794       464,262    
Ultra Industrials     9,918,213       —       —       —       4,849,124       11,140,830       878,406       25,908,167       878,406    
Ultra Oil & Gas     200,247,644       —       —       —       23,952,791       55,266,825       42,124,127       279,467,260       42,124,127    
Ultra Real Estate     308,637,070       —       —       —       48,437,696       111,718,587       28,002,188       468,793,353       28,002,188    
Ultra KBW Regional
Banking		     4,204,781       —       —       —       570,585       1,309,145       (644,794 )     6,084,511       (644,794 )  
Ultra Semiconductors     29,647,628       —       —       —       9,525,892       21,981,154       5,303,534       61,154,674       5,303,534    
Ultra Technology     112,335,056       —       —       —       10,514,778       24,262,985       5,792,113       147,112,819       5,792,113    
Ultra
Telecommunications		     3,377,823       —       —       —       1,103,391       2,503,651       83,859       6,984,865       83,859    
Ultra Utilities     18,329,750       —       —       —       334,909       771,193       1,367,956       19,435,852       1,367,956    
Ultra MSCI EAFE     —       —       —       —       2,428,975       5,531,740       (640,332 )     7,960,715       (640,332 )  
Ultra MSCI Emerging
Markets		     2,716,817       —       —       —       10,161,996       23,113,989       (154,315 )     35,992,802       (154,315 )  
Ultra MSCI Europe     —       —       —       —       1,114,527       2,511,963       (679,484 )     3,626,490       (679,484 )  

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 253


    LEVEL 1 - Quoted Prices   LEVEL 2 - Other Significant Observable Inputs   Total  
    Common
Stocks /
Shares of
Beneficial
Interest		   Futures
Contracts*		   Rights /
Warrants		   U.S.
Treasury
Obligations		   U.S.
Government &
Agency
Securities		   Repurchase
Agreements		   Swap
Agreements*		   Investment
Securities,
including
Repurchase
Agreements		   Other
Financial
Instruments,
including
Futures
Contracts
and Swap
Agreements*		  
Ultra MSCI Pacific
ex-Japan		     —       —       —       —     $ 859,100     $ 1,961,186     $ 420,172     $ 2,820,286     $ 420,172    
Ultra MSCI Brazil     —       —       —       —       3,974,200       9,000,959       (105,761 )     12,975,159       (105,761 )  
Ultra FTSE China 25     —       —       —       —       9,613,833       21,763,830       767,264       31,377,663       767,264    
Ultra MSCI Japan     —       —       —       —       3,007,036       6,852,135       427,208       9,859,171       427,208    
Ultra MSCI Mexico
Investable Market		     —       —       —       —       483,065       1,098,539       307,800       1,581,604       307,800    
Ultra 7-10 Year Treasury     —     $ (1,521 )     —     $ 5,137,623       1,085,223       2,487,351       1,697       8,710,197       176    
Ultra 20+ Year Treasury     —       7,094       —       6,374,304       2,112,114       4,750,166       (285,646 )     13,236,584       (278,552 )  
Short QQQ®     —       209,448       —       —       74,244,984       170,000,611       (8,728,158 )     244,245,595       (8,518,710 )  
Short Dow30SM     —       187,596       —       —       85,391,331       195,637,537       (12,648,038 )     281,028,868       (12,460,442 )  
Short S&P500®     —       626,309       —       —       639,097,230       1,462,068,580       (148,177,685 )     2,101,165,810       (147,551,376 )  
Short MidCap400     —       1,674       —       —       11,276,372       25,802,733       (2,575,365 )     37,079,105       (2,573,691 )  
Short SmallCap600     —       808       —       —       9,210,415       21,039,591       (2,254,078 )     30,250,006       (2,253,270 )  
Short Russell2000     —       (42,082 )     —       —       92,309,759       211,450,908       (14,378,077 )     303,760,667       (14,420,159 )  
UltraShort QQQ®     —       956,071       —       —       242,310,510       549,436,737       (40,366,552 )     791,747,247       (39,410,481 )  
UltraShort Dow30SM     —       390,985       —       —       149,925,493       339,607,663       (55,498,286 )     489,533,156       (55,107,301 )  
UltraShort S&P500®     —       1,545,286       —       —       915,095,915       2,077,203,958       (370,925,879 )     2,992,299,873       (369,380,593 )  
UltraShort Russell3000     —       —       —       —       603,778       1,363,003       (100,072 )     1,966,781       (100,072 )  
UltraShort MidCap400     —       8,087       —       —       10,584,520       24,092,151       (3,181,681 )     34,676,671       (3,173,594 )  
UltraShort SmallCap600     —       692       —       —       6,559,014       14,879,281       (2,369,582 )     21,438,295       (2,368,890 )  
UltraShort Russell2000     —       48,259       —       —       117,950,416       267,855,891       (38,039,938 )     385,806,307       (37,991,679 )  
UltraPro Short QQQ®     —       75,114       —       —       21,574,207       48,504,550       (12,931,638 )     70,078,757       (12,856,524 )  
UltraPro Short
Dow30SM		     —       (31,671 )     —       —       10,519,294       23,631,273       (2,479 )     34,150,567       (34,150 )  
UltraPro Short
S&P500®		     —       673,950       —       —       133,893,691       301,735,878       (72,138,256 )     435,629,569       (71,464,306 )  
UltraPro Short
MidCap400		     —       2,170       —       —       1,076,459       2,411,421       (186,364 )     3,487,880       (184,194 )  
UltraPro Short
Russell2000		     —       (2,514 )     —       —       10,359,183       23,303,124       (3,043,354 )     33,662,307       (3,045,868 )  
UltraShort Russell1000
Value		     —       —       —       —       908,450       2,051,024       73,342       2,959,474       73,342    
UltraShort Russell1000
Growth		     —       —       —       —       2,019,724       4,579,170       (739,925 )     6,598,894       (739,925 )  
UltraShort Russell
MidCap Value		     —       —       —       —       819,654       1,855,263       (114,940 )     2,674,917       (114,940 )  
UltraShort Russell
MidCap Growth		     —       —       —       —       1,228,842       2,758,757       (340,836 )     3,987,599       (340,836 )  
UltraShort Russell2000
Value		     —       —       —       —       2,565,811       5,794,275       186,639       8,360,086       186,639    
UltraShort Russell2000
Growth		     —       —       —       —       4,596,905       10,372,816       (3,110,462 )     14,969,721       (3,110,462 )  
Short Basic Materials     —       —       —       —       1,328,312       3,030,032       (160,261 )     4,358,344       (160,261 )  
Short Financials     —       —       —       —       34,247,326       78,206,806       3,115,079       112,454,132       3,115,079    
Short Oil & Gas     —       —       —       —       4,279,082       9,739,406       (1,183,979 )     14,018,488       (1,183,979 )  
Short Real Estate     —       —       —       —       6,795,278       15,541,711       750,656       22,336,989       750,656    
Short KBW Regional
Banking		     —       —       —       —       9,857,575       22,461,516       2,182,109       32,319,091       2,182,109    
UltraShort Basic
Materials		     —       —       —       —       39,497,795       88,958,928       (32,528,412 )     128,456,723       (32,528,412 )  

254 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


    LEVEL 1 - Quoted Prices   LEVEL 2 - Other Significant Observable Inputs   Total  
    Common
Stocks /
Shares of
Beneficial
Interest		   Futures
Contracts*		   Rights /
Warrants		   U.S.
Treasury
Obligations		   U.S.
Government &
Agency
Securities		   Repurchase
Agreements		   Swap
Agreements*		   Investment
Securities,
including
Repurchase
Agreements		   Other
Financial
Instruments,
including
Futures
Contracts
and Swap
Agreements*		  
UltraShort Nasdaq
Biotechnology		     —       —       —       —     $ 847,565     $ 1,914,025     $ 190,750     $ 2,761,590     $ 190,750    
UltraShort Consumer
Goods		     —       —       —       —       4,041,767       9,172,236       (1,744,043 )     13,214,003       (1,744,043 )  
UltraShort Consumer
Services		     —       —       —       —       9,797,338       22,170,134       (5,480,376 )     31,967,472       (5,480,376 )  
UltraShort Financials     —       —       —       —       143,442,013       323,897,703       15,985,448       467,339,716       15,985,448    
UltraShort Health Care     —       —       —       —       1,482,165       3,366,018       17,727       4,848,183       17,727    
UltraShort Industrials     —       —       —       —       3,612,290       8,193,420       (1,375,388 )     11,805,710       (1,375,388 )  
UltraShort Oil & Gas     —       —       —       —       40,320,893       91,260,790       (26,279,108 )     131,581,683       (26,279,108 )  
UltraShort Real Estate     —       —       —       —       115,522,144       262,084,356       (77,370,108 )     377,606,500       (77,370,108 )  
UltraShort
Semiconductors		     —       —       —       —       8,142,563       18,471,383       (4,645,793 )     26,613,946       (4,645,793 )  
UltraShort Technology     —       —       —       —       7,576,994       17,196,439       (2,499,608 )     24,773,433       (2,499,608 )  
UltraShort
Telecommunications		     —       —       —       —       579,978       1,317,694       (327,789 )     1,897,672       (327,789 )  
UltraShort Utilities     —       —       —       —       2,149,922       4,914,477       (471,643 )     7,064,399       (471,643 )  
Short MSCI EAFE     —       —       —       —       37,507,839       85,771,857       (6,455,790 )     123,279,696       (6,455,790 )  
Short MSCI Emerging
Markets		     —       —       —       —       71,251,836       163,175,904       1,470,160       234,427,740       1,470,160    
Short FTSE China 25     —       —       —       —       1,082,688       2,489,076       271,617       3,571,764       271,617    
UltraShort MSCI EAFE     —       —       —       —       7,341,441       16,695,396       (2,638,525 )     24,036,837       (2,638,525 )  
UltraShort MSCI
Emerging Markets		     —       —       —       —       45,319,972       102,449,119       (29,280,569 )     147,769,091       (29,280,569 )  
UltraShort MSCI
Europe		     —       —       —       —       22,638,020       51,293,244       (10,231,158 )     73,931,264       (10,231,158 )  
UltraShort MSCI Pacific
ex-Japan		     —       —       —       —       542,385       1,229,511       138,614       1,771,896       138,614    
UltraShort MSCI Brazil     —       —       —       —       6,419,062       14,553,971       863,020       20,973,033       863,020    
UltraShort FTSE
China 25		     —       —       —       —       76,350,800       172,663,434       (48,037,629 )     249,014,234       (48,037,629 )  
UltraShort MSCI Japan     —       —       —       —       4,527,918       10,322,259       (73,399 )     14,850,177       (73,399 )  
UltraShort MSCI Mexico
Investable Market		     —       —       —       —       1,128,210       2,567,678       (729,595 )     3,695,888       (729,595 )  
Short 20+ Year
Treasury		     —     $ (95,549 )     —       —       212,343,152       488,982,534       (6,608,575 )     701,325,686       (6,704,124 )  
UltraShort 7-10 Year
Treasury		     —       69,411       —       —       125,068,083       287,881,463       11,514,304       412,949,546       11,583,715    
UltraShort 20+ Year
Treasury		     —       (233,524 )     —       —       1,651,478,472       3,770,869,102       (479,761,536 )     5,422,347,574       (479,995,060 )  
Credit Suisse 130/30   $ 57,693,599       —       —       —       549,358       1,262,231       (864,489 )     59,505,188       (864,489 )  

 

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

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 255


In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update 2010-06 to Accounting Standards CodificationTM ("ASC") 820 "Fair Value Measurements and Disclosures." The requirements set forth in the update include the disclosure of significant transfers of securities to and from each level on a gross basis along with the reasons for the transfers. The update also requires disclosure of Level 3 gross purchases and sales within the rollforward of Level 3 investments. The update is effective for interim and annual reporting periods beginning after December 15, 2009, except that disclosure of gross purchases and sales in the Level 3 rollforward is effective for interim and annual periods beginning after December 15, 2010. The Funds disclose significant transfers between levels based on valuations at the end of the reporting period. There were no significant transfers between Level 1, 2, or 3 as of November 30, 2010, based on levels assigned to securities on May 31, 2010.

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 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 certain risks related to investing in foreign securities in non-U.S. markets.

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.

At November 30, 2010, the Funds had undivided interest in joint Repurchase Agreements with the following counterparties, for the time periods and rates indicated. Amounts shown in the table below represent Principal Amount, Cost and Value for each respective Repurchase Agreement.

Fund Name   Credit Suisse
(USA) LLC, 0.24%,
dated 11/30/10,
due 12/01/10(1)		   Credit Suisse
(USA) LLC, 0.25%,
dated 11/30/10,
due 12/01/10(2)		   ING Financial
Markets LLC,
0.22%, dated
11/29/10, due
12/06/10(3)		   ING Financial
Markets LLC,
0.23%, dated
11/30/10, due
12/01/10(4)		   ING Financial
Markets LLC,
0.24%, dated
11/30/10, due
12/01/10(5)		   JPMorgan
Chase & Co.,
0.23%, dated
11/30/10, due
12/01/10(6)		  
Ultra QQQ®   $ 56,167,029     $ 3,859,480     $ 30,875,840     $ 4,631,376     $ 40,013,389     $ 40,268,597    
Ultra Dow30SM     31,294,600       2,150,388       17,203,100       2,580,465       18,078,467       18,264,787    
Ultra S&P500®     51,853,616       3,563,087       28,504,693       4,275,704       28,776,973       29,098,029    
Ultra Russell3000     792,811       54,477       435,820       65,373       1,294,859       1,290,820    
Ultra MidCap400     8,760,003       601,938       4,815,502       722,325       5,005,923       5,058,650    
Ultra SmallCap600     2,015,888       138,520       1,108,163       166,224       1,168,343       1,180,306    
Ultra Russell2000     18,649,964       1,281,520       10,252,159       1,537,824       11,129,200       11,236,518    
UltraPro QQQ®     7,135,792       490,331       3,922,649       588,397       6,330,646       6,350,017    
UltraPro Dow30SM     965,739       66,360       530,881       79,632       2,540,767       2,525,762    
UltraPro S&P500®     30,559,294       2,099,862       16,798,892       2,519,834       47,063,589       46,937,698    
UltraPro MidCap400     1,527,904       104,989       839,911       125,987       883,855       892,940    
UltraPro Russell2000     3,125,875       214,792       1,718,339       257,751       8,897,846       8,842,225    
Ultra Russell1000 Value     622,013       42,741       341,930       51,289       975,820       973,071    
Ultra Russell1000 Growth     770,961       52,976       423,809       63,571       528,705       532,423    
Ultra Russell MidCap Value     671,090       46,114       368,908       55,336       998,662       996,263    
Ultra Russell MidCap Growth     1,064,625       73,155       585,240       87,786       858,982       862,766    
Ultra Russell2000 Value     1,249,332       85,847       686,776       103,016       1,129,836       1,133,002    
Ultra Russell2000 Growth     1,857,116       127,610       1,020,884       153,133       1,095,291       1,106,114    
Ultra Basic Materials     37,239,559       2,558,891       20,471,131       3,070,670       40,401,275       40,425,286    

256 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund Name   Credit Suisse
(USA) LLC, 0.24%,
dated 11/30/10,
due 12/01/10(1)		   Credit Suisse
(USA) LLC, 0.25%,
dated 11/30/10,
due 12/01/10(2)		   ING Financial
Markets LLC,
0.22%, dated
11/29/10, due
12/06/10(3)		   ING Financial
Markets LLC,
0.23%, dated
11/30/10, due
12/01/10(4)		   ING Financial
Markets LLC,
0.24%, dated
11/30/10, due
12/01/10(5)		   JPMorgan
Chase & Co.,
0.23%, dated
11/30/10, due
12/01/10(6)		  
Ultra Nasdaq Biotechnology   $ 419,853     $ 28,850     $ 230,800     $ 34,620     $ 231,141     $ 233,761    
Ultra Consumer Goods     1,222,318       83,991       671,926       100,789       2,826,978       2,812,057    
Ultra Consumer Services     895,593       61,540       492,321       73,848       1,571,795       1,566,092    
Ultra Financials     90,698,836       6,232,310       49,858,480       7,478,772       51,520,777       52,069,932    
Ultra Health Care     748,606       51,440       411,520       61,728       422,329       426,893    
Ultra Industrials     3,628,200       249,309       1,994,474       299,171       2,476,026       2,493,650    
Ultra Oil & Gas     19,646,689       1,350,009       10,800,073       1,620,011       10,863,993       10,986,050    
Ultra Real Estate     39,416,146       2,708,454       21,667,633       3,250,145       22,217,876       22,458,333    
Ultra KBW Regional Banking     413,960       28,445       227,560       34,134       301,618       303,428    
Ultra Semiconductors     7,826,886       537,819       4,302,554       645,383       4,309,848       4,358,664    
Ultra Technology     8,639,096       593,630       4,749,038       712,356       4,757,494       4,811,371    
Ultra Telecommunications     595,695       40,933       327,462       49,119       745,549       744,893    
Ultra Utilities     263,347       18,096       144,766       21,715       160,897       162,372    
Ultra MSCI EAFE     1,459,849       100,313       802,500       120,375       1,523,566       1,525,137    
Ultra MSCI Emerging Markets     5,895,695       405,119       3,240,950       486,143       6,541,903       6,544,179    
Ultra MSCI Europe     477,508       32,812       262,493       39,374       851,479       848,297    
Ultra MSCI Pacific ex-Japan     550,561       37,831       302,651       45,398       511,747       512,998    
Ultra MSCI Brazil     2,023,187       139,022       1,112,176       166,826       2,782,295       2,777,453    
Ultra FTSE China 25     4,820,727       331,253       2,650,024       397,504       6,788,765       6,775,557    
Ultra MSCI Japan     1,835,973       126,158       1,009,261       151,389       1,863,413       1,865,941    
Ultra MSCI Mexico
Investable Market		     278,680       19,149       153,195       22,979       312,230       312,306    
Ultra 7-10 Year Treasury     768,459       52,804       422,433       63,365       588,615       591,675    
Ultra 20+ Year Treasury     830,201       57,047       456,374       68,456       1,672,817       1,665,271    
Short QQQ®     51,326,833       3,526,889       28,215,112       4,232,267       41,257,706       41,441,804    
Short Dow30SM     59,873,834       4,114,191       32,913,524       4,937,029       46,785,074       47,013,885    
Short S&P500®     432,380,531       29,710,740       237,685,918       35,652,888       362,622,664       364,015,839    
Short MidCap400     7,670,586       527,079       4,216,634       632,495       6,365,257       6,390,682    
Short SmallCap600     6,003,045       412,495       3,299,962       494,994       5,406,824       5,422,271    
Short Russell2000     64,452,073       4,428,781       35,430,250       5,314,537       50,791,726       51,033,541    
UltraShort QQQ®     128,046,671       8,798,642       70,389,132       10,558,370       165,922,007       165,721,915    
UltraShort Dow30SM     76,685,238       5,269,375       42,155,000       6,323,250       104,675,089       104,499,711    
UltraShort S&P500®     499,929,702       34,352,336       274,818,688       41,222,803       613,652,079       613,228,350    
UltraShort Russell3000     274,691       18,875       151,002       22,650       448,592       447,193    
UltraShort MidCap400     6,266,159       430,575       3,444,599       516,690       6,714,607       6,719,521    
UltraShort SmallCap600     3,515,712       241,580       1,932,639       289,896       4,451,931       4,447,523    
UltraShort Russell2000     65,292,586       4,486,537       35,892,292       5,383,844       78,418,953       78,381,679    
UltraPro Short QQQ®     8,362,488       574,623       4,596,982       689,547       17,180,190       17,100,720    
UltraPro Short Dow30SM     3,939,017       270,667       2,165,335       324,800       8,486,506       8,444,948    
UltraPro Short S&P500®     57,080,235       3,922,230       31,377,842       4,706,676       102,518,484       102,130,411    
UltraPro Short MidCap400     353,194       24,269       194,156       29,123       907,972       902,707    
UltraPro Short Russell2000     4,110,080       282,421       2,259,371       338,906       8,174,292       8,138,054    
UltraShort Russell1000 Value     415,038       28,519       228,153       34,223       673,580       671,511    
UltraShort Russell1000 Growth     1,063,369       73,069       584,550       87,682       1,386,123       1,384,377    
UltraShort Russell MidCap Value     409,012       28,105       224,840       33,726       580,373       579,207    
UltraShort Russell MidCap Growth     446,984       30,714       245,714       36,857       1,001,805       996,683    
UltraShort Russell2000 Value     1,182,438       81,250       650,004       97,501       1,894,360       1,888,722    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 257


Fund Name   Credit Suisse
(USA) LLC, 0.24%,
dated 11/30/10,
due 12/01/10(1)		   Credit Suisse
(USA) LLC, 0.25%,
dated 11/30/10,
due 12/01/10(2)		   ING Financial
Markets LLC,
0.22%, dated
11/29/10, due
12/06/10(3)		   ING Financial
Markets LLC,
0.23%, dated
11/30/10, due
12/01/10(4)		   ING Financial
Markets LLC,
0.24%, dated
11/30/10, due
12/01/10(5)		   JPMorgan
Chase & Co.,
0.23%, dated
11/30/10, due
12/01/10(6)		  
UltraShort Russell2000 Growth   $ 2,058,365     $ 141,439     $ 1,131,513     $ 169,727     $ 3,441,547     $ 3,430,225    
Short Basic Materials     834,511       57,343       458,743       68,811       804,515       806,109    
Short Financials     22,136,273       1,521,079       12,168,634       1,825,295       20,250,923       20,304,602    
Short Oil & Gas     2,529,539       173,816       1,390,525       208,579       2,717,518       2,719,429    
Short Real Estate     4,568,720       313,937       2,511,492       376,724       3,878,303       3,892,535    
Short KBW Regional Banking     6,011,696       413,090       3,304,717       495,708       6,114,079       6,122,226    
UltraShort Basic Materials     16,462,849       1,131,234       9,049,870       1,357,480       30,539,797       30,417,698    
UltraShort Nasdaq Biotechnology     390,615       26,841       214,727       32,209       625,748       623,885    
UltraShort Consumer Goods     2,191,268       150,572       1,204,572       180,686       2,723,676       2,721,462    
UltraShort Consumer Services     4,845,946       332,986       2,663,888       399,583       6,971,273       6,956,458    
UltraShort Financials     65,869,867       4,526,204       36,209,632       5,431,445       106,090,268       105,770,287    
UltraShort Health Care     821,511       56,450       451,596       67,739       984,585       984,137    
UltraShort Industrials     1,927,850       132,471       1,059,768       158,965       2,458,482       2,455,884    
UltraShort Oil & Gas     20,087,951       1,380,330       11,042,641       1,656,396       28,575,756       28,517,716    
UltraShort Real Estate     62,064,851       4,264,745       34,117,959       5,117,694       78,296,918       78,222,189    
UltraShort Semiconductors     4,362,926       299,796       2,398,365       359,755       5,528,024       5,522,517    
UltraShort Technology     4,118,845       283,024       2,264,190       339,628       5,097,339       5,093,413    
UltraShort Telecommunications     325,530       22,369       178,949       26,842       382,049       381,955    
UltraShort Utilities     1,425,821       97,974       783,795       117,569       1,242,607       1,246,711    
Short MSCI EAFE     25,118,286       1,725,986       13,807,890       2,071,184       21,485,988       21,562,523    
Short MSCI Emerging Markets     49,468,433       3,399,190       27,193,523       4,079,028       39,427,387       39,608,343    
Short FTSE China 25     821,864       56,474       451,790       67,769       543,503       547,676    
UltraShort MSCI EAFE     4,236,611       291,116       2,328,927       349,339       4,744,109       4,745,294    
UltraShort MSCI Emerging Markets     21,652,584       1,487,843       11,902,743       1,785,411       32,852,282       32,768,256    
UltraShort MSCI Europe     11,682,664       802,766       6,422,132       963,320       15,723,370       15,698,992    
UltraShort MSCI Pacific ex-Japan     284,122       19,523       156,186       23,428       373,376       372,876    
UltraShort MSCI Brazil     3,383,391       232,487       1,859,900       278,985       4,402,343       4,396,865    
UltraShort FTSE China 25     36,967,939       2,540,227       20,321,818       3,048,273       54,958,397       54,826,780    
UltraShort MSCI Japan     2,797,438       192,224       1,537,793       230,669       2,779,830       2,784,305    
UltraShort MSCI Mexico
Investable Market		     665,588       45,735       365,884       54,883       717,556       718,032    
Short 20+ Year Treasury     167,124,589       11,483,855       91,870,837       13,780,626       101,891,782       102,830,845    
UltraShort 7-10 Year Treasury     97,522,285       6,701,179       53,609,430       8,041,415       60,736,286       61,270,868    
UltraShort 20+ Year Treasury     1,064,319,969       73,134,037       585,072,293       87,760,844       979,028,582       981,553,377    
Credit Suisse 130/30     411,648       28,286       226,289       33,943       280,028       282,037    

 

Each Repurchase Agreement was fully collateralized by U.S. government and/or agency securities at November 30, 2010 as follows:

(1)  Government National Mortgage Association, 2.63% to 7.50%, due 01/20/18 to 05/15/53; U.S. Treasury Bill, 0%, due 11/17/11; U.S. Treasury Bond, 8.13%, due 08/15/21; U.S. Treasury Notes, 1.00% to 4.63%, due 08/31/11 to 02/15/19

(2)  Federal Home Loan Bank, 0.40% to 4.10%, due 11/18/11 to 11/04/30; Federal Home Loan Mortgage Corp., 0%, due 02/16/12

(3)  Federal Farm Credit Bank, 0% to 5.00%, due 05/18/11 to 01/17/17; Federal Home Loan Bank, 0% to 4.18%, due 12/06/10 to 10/28/30; Federal Home Loan Mortgage Corp., 3.88% to 5.13%, due 04/18/11 to 01/19/16; Federal National Mortgage Association, 0.38% to 6.00%, due 12/15/10 to 04/18/36

(4)  U.S. Treasury Notes, 0.63% to 3.50%, due 12/31/10 to 08/31/14

(5)  Federal Home Loan Bank, 0% to 5.38%, due 12/06/10 to 03/06/19; Federal Home Loan Mortgage Corp., 0%, due 12/08/10 to 08/29/11; Federal National Mortgage Association, 0%, due 01/18/11 to 08/08/11; U.S. Treasury Notes, 0.63% to 4.63%, due 07/31/12 to 08/15/20

(6)  Federal Farm Credit Bank, 0% to 6.90%, due 09/22/14 to 09/14/20; Federal Home Loan Bank, 0% to 6.00%, due 05/16/11 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/10/12 to 11/29/19; Federal National Mortgage Association, 0% to 4.13%, due 04/01/11 to 03/02/17; U.S. Treasury Bonds, 0% to 11.25%, due 02/15/15 to 08/15/20; U.S. Treasury Notes, 0.50% to 5.00%, due 01/15/11 to 07/15/20

258 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


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 Portfolio 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. 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 or bond future 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 in the index are not physically delivered. A bond futures contract, if held to expiration, generally obligates the seller to deliver (and the purchaser to accept) one of the specified underlying reference bonds. The Funds generally choose to engage in closing or offsetting transactions before final settlement.

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 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

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 259


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 ProShares Short 20+ Year Treasury, Ultra and UltraShort 7-10 Year Treasury and Ultra and UltraShort 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, 2010 contractually terminate within twenty-four 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 existing at the date of termination.

The Funds collateralize swap agreements with certain securities and cash equivalents as indicated on their Schedule of Portfolio 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 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, 2010

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®   $ 70,999,816         Ultra QQQ®   $ 5,721,758    
        Ultra Dow30SM     7,926,369         Ultra Dow30SM     1,877,044    
        Ultra S&P500®     110,048,536         Ultra S&P500®     11,291,016    
        Ultra Russell3000     445,232         Ultra Russell3000     272,674    
        Ultra MidCap400     7,763,471         Ultra MidCap400     851,517    
        Ultra SmallCap600     5,504,077         Ultra SmallCap600     406,122    
        Ultra Russell2000     22,621,743         Ultra Russell2000     1,322,301    
        UltraPro QQQ®     4,280,591         UltraPro QQQ®     3,288,642    
        UltraPro Dow30SM     493,296         UltraPro Dow30SM     583,298    
        UltraPro S&P500®     10,684,227         UltraPro S&P500®     2,437,301    
        UltraPro MidCap400     7,299,282         UltraPro MidCap400     49,529    
        UltraPro Russell2000     5,686,416         UltraPro Russell2000     1,393,982    
        Ultra Russell1000 Value     —         Ultra Russell1000 Value     605,880    
        Ultra Russell1000 Growth     1,529,491         Ultra Russell1000 Growth     107,555    
        Ultra Russell MidCap Value     1,177,112         Ultra Russell MidCap Value     73,967    
        Ultra Russell MidCap Growth     1,844,762         Ultra Russell MidCap Growth     42,533    
        Ultra Russell2000 Value     1,625,282         Ultra Russell2000 Value     310,758    
        Ultra Russell2000 Growth     1,121,880         Ultra Russell2000 Growth     73,904    
        Ultra Basic Materials     15,560,647         Ultra Basic Materials     4,262,914    
        Ultra Nasdaq Biotechnology     89,517         Ultra Nasdaq Biotechnology     175,210    

260 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


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 Consumer Goods   $ 825,229         Ultra Consumer Goods   $ 161,848    
        Ultra Consumer Services     479,749         Ultra Consumer Services     115,522    
        Ultra Financials     3,108,056         Ultra Financials     41,231,208    
        Ultra Health Care     1,300,532         Ultra Health Care     836,270    
        Ultra Industrials     1,485,260         Ultra Industrials     606,854    
        Ultra Oil & Gas     42,565,978         Ultra Oil & Gas     441,851    
        Ultra Real Estate     43,933,929         Ultra Real Estate     15,931,741    
        Ultra KBW Regional Banking     —         Ultra KBW Regional Banking     644,794    
        Ultra Semiconductors     5,475,435         Ultra Semiconductors     171,901    
        Ultra Technology     10,829,043         Ultra Technology     5,036,930    
        Ultra Telecommunications     316,771         Ultra Telecommunications     232,912    
        Ultra Utilities     1,595,778         Ultra Utilities     227,822    
        Ultra MSCI EAFE     136,432         Ultra MSCI EAFE     776,764    
        Ultra MSCI Emerging
Markets		     3,845,448         Ultra MSCI Emerging
Markets		     3,999,763    
        Ultra MSCI Europe     —         Ultra MSCI Europe     679,484    
        Ultra MSCI Pacific ex-Japan     694,611         Ultra MSCI Pacific ex-Japan     274,439    
        Ultra MSCI Brazil     1,109,991         Ultra MSCI Brazil     1,215,752    
        Ultra FTSE China 25     4,602,298         Ultra FTSE China 25     3,835,034    
        Ultra MSCI Japan     480,153         Ultra MSCI Japan     52,945    
        Ultra MSCI Mexico
Investable Market		     344,381         Ultra MSCI Mexico
Investable Market		     36,581    
        Ultra 7-10 Year Treasury     65,769         Ultra 7-10 Year Treasury     65,593    
        Ultra 20+ Year Treasury     36,759         Ultra 20+ Year Treasury     315,311    
        Short QQQ®     2,454,386         Short QQQ®     10,973,096    
        Short Dow30SM     1,350,219         Short Dow30SM     13,810,661    
        Short S&P500®     2,238,167         Short S&P500®     149,789,543    
        Short MidCap400     1,674         Short MidCap400     2,575,365    
        Short SmallCap600     21,894         Short SmallCap600     2,275,164    
        Short Russell2000     569,882         Short Russell2000     14,990,041    
        UltraShort QQQ®     22,007,035         UltraShort QQQ®     61,417,516    
        UltraShort Dow30SM     2,450,543         UltraShort Dow30SM     57,557,844    
        UltraShort S&P500®     19,555,888         UltraShort S&P500®     388,936,481    
        UltraShort Russell3000     35,063         UltraShort Russell3000     135,135    
        UltraShort MidCap400     87,024         UltraShort MidCap400     3,260,618    
        UltraShort SmallCap600     77,534         UltraShort SmallCap600     2,446,424    
        UltraShort Russell2000     1,540,560         UltraShort Russell2000     39,532,239    
        UltraPro Short QQQ®     788,188         UltraPro Short QQQ®     13,644,712    
        UltraPro Short Dow30SM     1,917,881         UltraPro Short Dow30SM     1,952,031    
        UltraPro Short S&P500®     6,602,060         UltraPro Short S&P500®     78,066,366    
        UltraPro Short MidCap400     32,470         UltraPro Short MidCap400     216,664    
        UltraPro Short Russell2000     341,368         UltraPro Short Russell2000     3,387,236    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 261


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 Value   $ 73,342         UltraShort Russell1000 Value     —    
        UltraShort Russell1000
Growth		     5,094         UltraShort Russell1000
Growth		   $ 745,019    
        UltraShort Russell MidCap
Value		     34,938         UltraShort Russell MidCap
Value		     149,878    
        UltraShort Russell MidCap
Growth		     124         UltraShort Russell MidCap
Growth		     340,960    
        UltraShort Russell2000 Value     283,828         UltraShort Russell2000 Value     97,189    
        UltraShort Russell2000
Growth		     —         UltraShort Russell2000
Growth		     3,110,462    
        Short Basic Materials     4,126         Short Basic Materials     164,387    
        Short Financials     3,115,079         Short Financials     —    
        Short Oil & Gas     —         Short Oil & Gas     1,183,979    
        Short Real Estate     1,013,120         Short Real Estate     262,464    
        Short KBW Regional Banking     2,182,109         Short KBW Regional Banking     —    
        UltraShort Basic Materials     97,704         UltraShort Basic Materials     32,626,116    
        UltraShort Nasdaq
Biotechnology		     190,750         UltraShort Nasdaq
Biotechnology		     —    
        UltraShort Consumer Goods     73,018         UltraShort Consumer Goods     1,817,061    
        UltraShort Consumer
Services		     110,605         UltraShort Consumer
Services		     5,590,981    
        UltraShort Financials     18,080,793         UltraShort Financials     2,095,345    
        UltraShort Health Care     95,676         UltraShort Health Care     77,949    
        UltraShort Industrials     45,400         UltraShort Industrials     1,420,788    
        UltraShort Oil & Gas     —         UltraShort Oil & Gas     26,279,108    
        UltraShort Real Estate     5,813,477         UltraShort Real Estate     83,183,585    
        UltraShort Semiconductors     —         UltraShort Semiconductors     4,645,793    
        UltraShort Technology     390,450         UltraShort Technology     2,890,058    
        UltraShort
Telecommunications		     30,885         UltraShort
Telecommunications		     358,674    
        UltraShort Utilities     81,827         UltraShort Utilities     553,470    
        Short MSCI EAFE     2,084,734         Short MSCI EAFE     8,540,524    
        Short MSCI Emerging
Markets		     9,795,774         Short MSCI Emerging
Markets		     8,325,614    
        Short FTSE China 25     271,617         Short FTSE China 25     —    
        UltraShort MSCI EAFE     570,414         UltraShort MSCI EAFE     3,208,939    
        UltraShort MSCI Emerging
Markets		     1,887,418         UltraShort MSCI Emerging
Markets		     31,167,987    
        UltraShort MSCI Europe     4,727,821         UltraShort MSCI Europe     14,958,979    
        UltraShort MSCI Pacific
ex-Japan		     138,614         UltraShort MSCI Pacific
ex-Japan		     —    
        UltraShort MSCI Brazil     863,020         UltraShort MSCI Brazil     —    
        UltraShort FTSE China 25     3,758,274         UltraShort FTSE China 25     51,795,903    
        UltraShort MSCI Japan     84,663         UltraShort MSCI Japan     158,062    

262 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


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 MSCI Mexico
Investable Market		   $ 14,395         UltraShort MSCI Mexico
Investable Market		   $ 743,990    
        Short 20+ Year Treasury     1,594,941         Short 20+ Year Treasury     8,299,065    
        UltraShort 7-10 Year Treasury     11,583,715         UltraShort 7-10 Year Treasury     —    
        UltraShort 20+ Year Treasury     22,778,383         UltraShort 20+ Year Treasury     502,773,443    
        Credit Suisse 130/30     52,572         Credit Suisse 130/30     917,061    

 

*  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.

The Effect of Derivative Instruments on the Statements of Operations for the six months ended November 30, 2010

  

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®   $ (2,769,642 )   $ 120,440,505    
        Ultra Dow30SM     (2,180,751 )     37,613,544    
        Ultra S&P500®     6,830,581       127,428,186    
        Ultra Russell3000     932,649       (239,115 )  
        Ultra MidCap400     1,765,839       9,897,388    
        Ultra SmallCap600     (5,574,313 )     9,298,011    
        Ultra Russell2000     (10,186,895 )     30,233,169    
        UltraPro QQQ®     21,080,397       (4,978 )  
        UltraPro Dow30SM     2,821,047       (271,366 )  
        UltraPro S&P500®     28,035,170       6,010,442    
        UltraPro MidCap400     (318,502 )     6,210,169    
        UltraPro Russell2000     4,020,638       2,248,028    
        Ultra Russell1000 Value     (573,727 )     1,251,647    
        Ultra Russell1000 Growth     (466,915 )     2,206,104    
        Ultra Russell MidCap Value     (1,873,263 )     2,748,979    
        Ultra Russell MidCap Growth     (1,554,725 )     3,521,882    
        Ultra Russell2000 Value     (3,832,184 )     4,388,971    
        Ultra Russell2000 Growth     (446,038 )     3,476,594    
        Ultra Basic Materials     91,284,812       (3,458,120 )  
        Ultra Nasdaq Biotechnology     (97,972 )     513,682    
        Ultra Consumer Goods     1,870,644       1,306,720    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 263


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 Consumer Services   $ 1,401,560     $ 498,077    
        Ultra Financials     (87,611,516 )     41,536,089    
        Ultra Health Care     1,188,711       1,330,903    
        Ultra Industrials     2,117,937       1,247,323    
        Ultra Oil & Gas     (767,855 )     69,780,725    
        Ultra Real Estate     26,602,590       23,411,974    
        Ultra KBW Regional Banking     (715,080 )     (451,746 )  
        Ultra Semiconductors     2,906,063       5,520,981    
        Ultra Technology     2,805,882       9,423,391    
        Ultra Telecommunications     597,674       338,103    
        Ultra Utilities     508,623       1,699,851    
        Ultra MSCI EAFE     3,096,474       (414,978 )  
        Ultra MSCI Emerging Markets     8,236,677       (322,327 )  
        Ultra MSCI Europe     1,281,112       (329,793 )  
        Ultra MSCI Pacific ex-Japan     51,360       979,563    
        Ultra MSCI Brazil     845,706       38,763    
        Ultra FTSE China 25     7,567,447       346,775    
        Ultra MSCI Japan     797,941       643,066    
        Ultra MSCI Mexico Investable Market     226,829       607,708    
        Ultra 7-10 Year Treasury     3,489,314       (950,495 )  
        Ultra 20+ Year Treasury     688,069       (1,011,559 )  
        Short QQQ®     (26,504,345 )     (14,989,033 )  
        Short Dow30SM     (11,221,570 )     (26,142,990 )  
        Short S&P500®     (180,176,533 )     (117,272,455 )  
        Short MidCap400     (1,387,537 )     (3,903,840 )  
        Short SmallCap600     (3,107,076 )     (1,608,658 )  
        Short Russell2000     (39,096,061 )     (21,784,380 )  
        UltraShort QQQ®     (235,446,423 )     (63,105,379 )  
        UltraShort Dow30SM     (38,559,983 )     (83,805,392 )  
        UltraShort S&P500®     (648,531,917 )     (156,792,218 )  
        UltraShort Russell3000     (498,904 )     (17,641 )  
        UltraShort MidCap400     (11,885,537 )     1,408,633    
        UltraShort SmallCap600     (4,502,363 )     (2,696,747 )  
        UltraShort Russell2000     (142,559,390 )     (26,005,420 )  
        UltraPro Short QQQ®     (19,781,120 )     (12,796,914 )  
        UltraPro Short Dow30SM     (10,508,904 )     (707,319 )  
        UltraPro Short S&P500®     (83,205,205 )     (58,676,049 )  
        UltraPro Short MidCap400     (1,725,768 )     (455,282 )  
        UltraPro Short Russell2000     (15,149,005 )     (2,393,227 )  
        UltraShort Russell1000 Value     (658,929 )     (773,154 )  
        UltraShort Russell1000 Growth     (786,374 )     (1,693,754 )  
        UltraShort Russell MidCap Value     (1,609,828 )     (83,426 )  

264 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


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 Russell MidCap Growth   $ (2,052,161 )   $ (662,966 )  
        UltraShort Russell2000 Value     (2,731,871 )     (361,851 )  
        UltraShort Russell2000 Growth     (2,542,096 )     (3,277,088 )  
        Short Basic Materials     (925,461 )     (211,890 )  
        Short Financials     (8,650,411 )     3,373,383    
        Short Oil & Gas     (1,817,175 )     (1,206,681 )  
        Short Real Estate     (5,433,535 )     883,906    
        Short KBW Regional Banking     (2,057,046 )     2,188,505    
        UltraShort Basic Materials     (36,937,312 )     (21,267,483 )  
        UltraShort Nasdaq Biotechnology     (1,498,092 )     (185,188 )  
        UltraShort Consumer Goods     (2,100,768 )     (1,832,952 )  
        UltraShort Consumer Services     (7,250,072 )     (3,435,461 )  
        UltraShort Financials     (82,611,445 )     26,970,054    
        UltraShort Health Care     (638,494 )     (190,782 )  
        UltraShort Industrials     (2,123,437 )     (1,358,632 )  
        UltraShort Oil & Gas     (19,627,065 )     (32,498,371 )  
        UltraShort Real Estate     (84,380,243 )     (36,858,703 )  
        UltraShort Semiconductors     (4,883,682 )     (2,384,174 )  
        UltraShort Technology     (4,336,176 )     (2,059,927 )  
        UltraShort Telecommunications     (481,246 )     (135,623 )  
        UltraShort Utilities     (917,094 )     (474,517 )  
        Short MSCI EAFE     (21,383,604 )     (6,222,654 )  
        Short MSCI Emerging Markets     (60,529,889 )     10,204,954    
        Short FTSE China 25     (1,757,142 )     715,777    
        UltraShort MSCI EAFE     (12,047,256 )     (2,195,236 )  
        UltraShort MSCI Emerging Markets     (48,118,668 )     (15,669,391 )  
        UltraShort MSCI Europe     (57,357,654 )     6,702,847    
        UltraShort MSCI Pacific ex-Japan     (2,299,149 )     988,922    
        UltraShort MSCI Brazil     (26,313,446 )     11,111,452    
        UltraShort FTSE China 25     (80,382,107 )     (17,064,798 )  
        UltraShort MSCI Japan     (3,245,235 )     (180,943 )  
        UltraShort MSCI Mexico Investable Market     (1,534,889 )     (149,921 )  
        Short 20+ Year Treasury     (20,560,098 )     (5,847,965 )  
        UltraShort 7-10 Year Treasury     (108,833,366 )     55,309,202    
        UltraShort 20+ Year Treasury     (165,891,338 )     (439,314,274 )  
        Credit Suisse 130/30     403,248       (769,255 )  

 

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.

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 265


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, 2010, 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 years ended October 31, 2010 and October 31, 2009, were as follows:

    Year Ended October 31, 2010   Year Ended October 31, 2009  
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®     —       —       —       —       —       —       —       —    
Ultra Dow30SM   $ 3,019,708       —       —     $ 3,019,708     $ 14,255,646       —       —     $ 14,255,646    
Ultra S&P500®     14,065,200       —       —       14,065,200       38,134,373       —     $ 367,836       38,502,209    
Ultra Russell3000     30,062       —       —       30,062       12,772       —       —       12,772    
Ultra MidCap400     112,878       —       —       112,878       635,914       —       220,873       856,787    
Ultra SmallCap600     —       —       —       —       138,349       —       49,915       188,264    
Ultra Russell2000     65,174       —       —       65,174       1,246,142       —       437,257       1,683,399    
UltraPro QQQ®     —       —       —       —       —       —       —       —    
UltraPro Dow30SM     40,021       —       —       40,021       —       —       —       —    
UltraPro S&P500®     512,277       —       —       512,277       25,302       —       —       25,302    
UltraPro MidCap400     —       —     $ 19,450       19,450       —       —       —       —    
UltraPro Russell2000     —       —       —       —       —       —       —       —    
Ultra Russell1000
Value 		    146,013       —       —       146,013       341,000       —       —       341,000    
Ultra Russell1000
Growth 		    146,575       —       —       146,575       179,470       —       9,046       188,516    
Ultra Russell MidCap
Value 		    104,900       —       —       104,900       178,133       —       9,150       187,283    
Ultra Russell MidCap
Growth 		    10,881       —       —       10,881       24,884       —       12,234       37,118    
Ultra Russell2000 Value     84,281       —       —       84,281       196,735       —       —       196,735    
Ultra Russell2000
Growth 		    —       —       —       —       —       —       10,077       10,077    
Ultra Basic Materials     1,189,614       —       —       1,189,614       4,707,191       —       —       4,707,191    
Ultra Nasdaq
Biotechnology		     2,984       —       5,799       8,783       —       —       —       —    
Ultra Consumer
Goods 		    397,598       —       —       397,598       293,113       —       —       293,113    
Ultra Consumer
Services 		    46,087       —       —       46,087       53,836       —       11,646       65,482    
Ultra Financials     2,775,591       —       —       2,775,591       29,030,024       —       4,962,377       33,992,401    
Ultra Health Care     649,233       —       —       649,233       475,535       —       18,231       493,766    
Ultra Industrials     184,928       —       —       184,928       336,855       —       —       336,855    
Ultra Oil & Gas     2,715,775       —       —       2,715,775       5,823,113       —       740,383       6,563,496    
Ultra Real Estate     5,048,539       —       —       5,048,539       12,671,834       —       —       12,671,834    

266 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


    Year Ended October 31, 2010   Year Ended October 31, 2009  
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 KBW Regional
Banking 		  $ 15,846       —     $ 4,598     $ 20,444       —       —       —       —    
Ultra Semiconductors     345,291       —       —       345,291     $ 841,375       —     $ 67,408     $ 908,783    
Ultra Technology     —       —       —       —       32,348       —       191,660       224,008    
Ultra
Telecommunications		     227,427       —       —       227,427       327,812       —       —       327,812    
Ultra Utilities     668,282       —       —       668,282       828,586       —       —       828,586    
Ultra MSCI EAFE     19,906       —       —       19,906       —       —       —       —    
Ultra MSCI Emerging
Markets 		    54,008       —       —       54,008       —       —       —       —    
Ultra MSCI Europe     —       —       —       —       —       —       —       —    
Ultra MSCI Pacific
ex-Japan		     —       —       —       —       —       —       —       —    
Ultra MSCI Brazil     —       —       —       —       —       —       —       —    
Ultra FTSE China 25     —       —       —       —       —       —       —       —    
Ultra MSCI Japan     —       —       —       —       —       —       —       —    
Ultra MSCI Mexico
Investable Market		     —       —       —       —       —       —       —       —    
Ultra 7-10 Year
Treasury		     —       —       —       —       —       —       —       —    
Ultra 20+ Year
Treasury		     19,989       —       —       19,989       —       —       —       —    
Short QQQ®     —       —       —       —       4,857,267     $ 248,328       —       5,105,595    
Short Dow30SM     —       —       —       —       20,334,279       644,280       —       20,978,559    
Short S&P500®     —       —       —       —       57,351,350       184,807       —       57,536,157    
Short MidCap400     —       —       —       —       3,831,813       407,412       —       4,239,225    
Short SmallCap600     —       —       —       —       7,266,783       —       —       7,266,783    
Short Russell2000     —       —       —       —       16,407,387       179,159       —       16,586,546    
UltraShort QQQ®     —       —       —       —       104,079,968       —       —       104,079,968    
UltraShort Dow30SM     —       —       —       —       139,678,620       —       —       139,678,620    
UltraShort S&P500®     —       —       —       —       386,940,342       —       —       386,940,342    
UltraShort Russell3000     —       —       —       —       —       —       —       —    
UltraShort MidCap400      —       —       —       —       23,260,894       —       —       23,260,894    
UltraShort
SmallCap600  		    —       —       —       —       10,792,862       —       —       10,792,862    
UltraShort Russell2000     —       —       —       —       133,518,106       —       —       133,518,106    
UltraPro Short QQQ®     —       —       —       —       —       —       —       —    
UltraPro Short
Dow30SM 		    —       —       —       —       —       —       —       —    
UltraPro Short
S&P500®		     —       —       —       —       —       —       —       —    
UltraPro Short
MidCap400 		    —       —       —       —       —       —       —       —    
UltraPro Short
Russell2000  		    —       —       —       —       —       —       —       —    
UltraShort Russell1000
Value 		    —       —       —       —       2,158,640       —       —       2,158,640    
UltraShort Russell1000
Growth 		    —       —       —       —       7,425,631       —       —       7,425,631    
UltraShort Russell
MidCap Value		     —       —       —       —       4,496,614       —       —       4,496,614    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 267


    Year Ended October 31, 2010   Year Ended October 31, 2009  
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 Russell
MidCap Growth		     —       —       —       —     $ 4,034,605       —       —     $ 4,034,605    
UltraShort Russell2000
Value 		    —       —       —       —       2,291,569       —       —       2,291,569    
UltraShort Russell2000
Growth 		    —       —       —       —       8,175,002       —       —       8,175,002    
Short Basic Materials     —       —       —       —       —       —       —       —    
Short Financials     —       —       —       —       1,805,528       —       —       1,805,528    
Short Oil & Gas     —       —       —       —       1,823,555       —       —       1,823,555    
Short Real Estate     —       —       —       —       —       —       —       —    
Short KBW Regional
Banking		     —       —       —       —       —       —       —       —    
UltraShort Basic
Materials 		    —       —       —       —       45,864,183       —       —       45,864,183    
UltraShort Nasdaq
Biotechnology		     —       —       —       —       —       —       —       —    
UltraShort Consumer
Goods 		    —       —       —       —       8,488,763       —       —       8,488,763    
UltraShort Consumer
Services 		    —       —       —       —       38,162,521       —       —       38,162,521    
UltraShort Financials     —       —       —       —       —       —       —       —    
UltraShort Health Care     —       —       —       —       4,449,637       —       —       4,449,637    
UltraShort Industrials     —       —       —       —       39,519,612       —       —       39,519,612    
UltraShort Oil & Gas     —       —       —       —       75,696,978       —       —       75,696,978    
UltraShort Real Estate     —       —       —       —       100,188,889       —       —       100,188,889    
UltraShort
Semiconductors 		    —       —       —       —       12,716,082       —       —       12,716,082    
UltraShort Technology     —       —       —       —       19,878,350       —       —       19,878,350    
UltraShort
Telecommunications		   $ 8,014       —       —     $ 8,014       3,207,854       —       —       3,207,854    
UltraShort Utilities     32,214       —       —       32,214       10,305,423       —       —       10,305,423    
Short MSCI EAFE     —       —       —       —       8,530,603       —       —       8,530,603    
Short MSCI Emerging
Markets 		    —       —       —       —       2,875,902       —       —       2,875,902    
Short FTSE China 25     —       —       —       —       —       —       —       —    
UltraShort MSCI EAFE     —       —       —       —       18,091,178       —       —       18,091,178    
UltraShort MSCI
Emerging Markets		     —       —       —       —       —       —       —       —    
UltraShort MSCI Europe     —       —       —       —       —       —       —       —    
UltraShort MSCI Pacific
ex-Japan		     —       —       —       —       —       —       —       —    
UltraShort MSCI Brazil     —       —       —       —       —       —       —       —    
UltraShort FTSE
China 25		     —       —       —       —       —       —       —       —    
UltraShort MSCI
Japan 		    —       —       —       —       1,824,093       —       —       1,824,093    
UltraShort MSCI Mexico
Investable Market		     —       —       —       —       —       —       —       —    
Short 20+ Year
Treasury 		    —       —       —       —       —       —       —       —    

268 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


    Year Ended October 31, 2010   Year Ended October 31, 2009  
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 7-10 Year
Treasury		     —       —       —       —     $ 3,260       —       —     $ 3,260    
UltraShort 20+ Year
Treasury 		    —       —       —       —       —       —       —       —    
Credit Suisse 130/30   $ 228,668       —       —     $ 228,668       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, 2010 (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®     —       —     $ (687,464,839 )   $ 67,519,593    
Ultra Dow30SM     —       —       (314,769,219 )     10,501,039    
Ultra S&P500®   $ 340,205       —       (1,062,757,660 )     152,387,269    
Ultra Russell3000     —       —       —       1,503,231    
Ultra MidCap400     —       —       (42,624,120 )     18,749,556    
Ultra SmallCap600     —       —       (14,522,237 )     3,769,963    
Ultra Russell2000     —       —       (164,709,277 )     10,247,682    
UltraPro QQQ®     —       —       (3,312,816 )     30,775,649    
UltraPro Dow30SM     —       —       (126,763 )     3,241,757    
UltraPro S&P500®     —       —       (534,984 )     44,784,419    
UltraPro MidCap400     —       —       (202,862 )     7,847,328    
UltraPro Russell2000     —       —       (710,949 )     8,010,744    
Ultra Russell1000 Value     6,736       —       (8,988,729 )     (396,550 )  
Ultra Russell1000 Growth     —       —       (12,195,742 )     2,045,074    
Ultra Russell MidCap Value     —       —       (2,039,946 )     1,073,947    
Ultra Russell MidCap Growth     —       —       (8,726,501 )     2,371,719    
Ultra Russell2000 Value     —       —       (9,113,094 )     706,232    
Ultra Russell2000 Growth     —       —       (7,503,915 )     2,064,164    
Ultra Basic Materials     —       —       —       98,052,124    
Ultra Nasdaq Biotechnology     —       —       (565,831 )     63,399    
Ultra Consumer Goods     —       —       —       3,808,864    
Ultra Consumer Services     —       —       (203,852 )     781,984    
Ultra Financials     —       —       (2,384,298,091 )     (16,297,090 )  
Ultra Health Care     —       —       (13,522,587 )     5,017,135    
Ultra Industrials     —       —       —       5,084,138    
Ultra Oil & Gas     —       —       (82,191,390 )     26,539,508    
Ultra Real Estate     —       —       —       112,345,308    
Ultra KBW Regional Banking     —       —       (1,965,194 )     (1,266,119 )  
Ultra Semiconductors     —       —       (31,196,621 )     6,568,172    
Ultra Technology     —       —       (15,059,872 )     22,480,801    
Ultra Telecommunications     9,914       —       (847,723 )     711,906    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 269


Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
Ultra Utilities   $ 34,142       —     $ (13,863,832 )   $ 2,461,261    
Ultra MSCI EAFE     —       —       —       2,521,257    
Ultra MSCI Emerging Markets     —       —       (167,146 )     11,200,524    
Ultra MSCI Europe     —       —       (289,198 )     1,157,417    
Ultra MSCI Pacific ex-Japan     —       —       (385,999 )     808,554    
Ultra MSCI Brazil     —       —       (542,934 )     1,830,517    
Ultra FTSE China 25     —       —       (1,734,319 )     9,717,841    
Ultra MSCI Japan     —       —       (297,533 )     1,312,963    
Ultra MSCI Mexico Investable Market     —       —       (87,729 )     469,529    
Ultra 7-10 Year Treasury     —       —       —       3,533,618    
Ultra 20+ Year Treasury     37,843       —       (671,582 )     1,851,374    
Short QQQ®     —       —       (105,597,978 )     (25,352,321 )  
Short Dow30SM     —       —       (101,951,410 )     (15,898,828 )  
Short S&P500®     —       —       (671,481,723 )     (152,937,198 )  
Short MidCap400     —       —       (30,754,888 )     (1,722,382 )  
Short SmallCap600     —       —       (20,655,125 )     (2,632,248 )  
Short Russell2000     —       —       (116,430,205 )     (11,294,505 )  
UltraShort QQQ®     —       —       (890,181,936 )     (201,084,043 )  
UltraShort Dow30SM     —       —       (489,622,501 )     (65,043,365 )  
UltraShort S&P500®     —       —       (2,568,572,376 )     (479,500,805 )  
UltraShort Russell3000     —       —       (2,353,619 )     (303,754 )  
UltraShort MidCap400     —       —       (81,299,058 )     (5,162,008 )  
UltraShort SmallCap600     —       —       (28,814,438 )     (3,993,324 )  
UltraShort Russell2000     —       —       (569,049,142 )     (52,377,046 )  
UltraPro Short QQQ®     —       —       (13,723,268 )     (18,598,746 )  
UltraPro Short Dow30SM     —       —       (9,009,922 )     (3,194,972 )  
UltraPro Short S&P500®     —       —       (102,042,722 )     (102,766,699 )  
UltraPro Short MidCap400     —       —       (2,821,723 )     (1,433,197 )  
UltraPro Short Russell2000     —       —       (13,054,940 )     (3,643,117 )  
UltraShort Russell1000 Value     —       —       (20,206,488 )     (117,783 )  
UltraShort Russell1000 Growth     —       —       (24,211,670 )     (711,557 )  
UltraShort Russell MidCap Value     —       —       (9,148,210 )     (182,704 )  
UltraShort Russell MidCap Growth     —       —       (15,461,988 )     (603,883 )  
UltraShort Russell2000 Value     —       —       (23,919,246 )     (1,217,351 )  
UltraShort Russell2000 Growth     —       —       (13,016,043 )     (2,239,830 )  
Short Basic Materials     —       —       (568,074 )     (81,922 )  
Short Financials     —       —       (89,776,790 )     473,266    
Short Oil & Gas     —       —       (4,304,935 )     (836,770 )  
Short Real Estate     —       —       (3,968,005 )     (830,287 )  
Short KBW Regional Banking     —       —       (475,909 )     1,744,670    
UltraShort Basic Materials     —       —       (209,559,186 )     (29,159,490 )  
UltraShort Nasdaq Biotechnology     —       —       (435,627 )     108,578    
UltraShort Consumer Goods     —       —       (14,965,048 )     (1,996,212 )  
UltraShort Consumer Services     —       —       (72,601,340 )     (5,794,839 )  
UltraShort Financials     —       —       (1,189,065,946 )     3,507,036    
UltraShort Health Care     —       —       (12,789,664 )     (361,960 )  
UltraShort Industrials     —       —       (39,018,943 )     (1,081,790 )  
UltraShort Oil & Gas     —       —       (175,611,968 )     (16,711,244 )  
UltraShort Real Estate     —       —       (3,128,331,080 )     (89,006,521 )  

270 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund   Undistributed
Ordinary
Income		   Undistributed
Long-Term
Capital Gain		   Accumulated
Capital and
Other Losses		   Unrealized
Appreciation/
(Depreciation)		  
UltraShort Semiconductors     —       —     $ (50,507,717 )   $ (3,407,185 )  
UltraShort Technology     —       —       (55,925,422 )     (3,881,333 )  
UltraShort Telecommunications     —       —       (6,090,805 )     (460,920 )  
UltraShort Utilities     —       —       (11,270,733 )     (813,942 )  
Short MSCI EAFE     —       —       (51,343,003 )     (11,904,499 )  
Short MSCI Emerging Markets     —       —       (111,643,740 )     (24,164,972 )  
Short FTSE China 25     —       —       (1,199,922 )     48,692    
UltraShort MSCI EAFE     —       —       (75,354,966 )     (4,739,087 )  
UltraShort MSCI Emerging Markets     —       —       (580,360,285 )     (37,102,174 )  
UltraShort MSCI Europe     —       —       (38,249,173 )     (20,021,836 )  
UltraShort MSCI Pacific ex-Japan     —       —       (4,678,690 )     10,362    
UltraShort MSCI Brazil     —       —       (20,418,401 )     800,477    
UltraShort FTSE China 25     —       —       (131,146,062 )     (63,099,773 )  
UltraShort MSCI Japan     —       —       (10,193,997 )     108,547    
UltraShort MSCI Mexico Investable Market     —       —       (11,227,876 )     (711,627 )  
Short 20+ Year Treasury     —       —       (56,812,921 )     (13,501,175 )  
UltraShort 7-10 Year Treasury     —       —       (34,196,936 )     (89,680,801 )  
UltraShort 20+ Year Treasury     —       —       (664,186,865 )     (526,753,406 )  
Credit Suisse 130/30     —       —       (440,194 )     5,059,682    

 

For the tax year ended October 31, 2010, the following Funds had available capital loss carryforwards to offset future net capital gains, to the extent provided by regulations, through the indicated expiration date.

Fund   Expiring October 31,
2016		   Expiring October 31,
2017		   Expiring October 31,
2018		   Total  
Ultra QQQ®   $ 132,668,303     $ 554,796,536       —     $ 687,464,839    
Ultra Dow30SM     —       314,769,219       —       314,769,219    
Ultra S&P500®     —       1,062,757,660       —       1,062,757,660    
Ultra Russell3000     —       —       —       —    
Ultra MidCap400     —       42,624,120       —       42,624,120    
Ultra SmallCap600     —       14,522,237       —       14,522,237    
Ultra Russell2000     4,500,799       160,208,478       —       164,709,277    
UltraPro QQQ®     —       —     $ 3,312,816       3,312,816    
UltraPro Dow30SM     —       —       126,763       126,763    
UltraPro S&P500®     —       —       534,984       534,984    
UltraPro MidCap400     —       —       202,862       202,862    
UltraPro Russell2000     —       —       710,949       710,949    
Ultra Russell1000 Value     1,649,658       7,339,071       —       8,988,729    
Ultra Russell1000 Growth     1,110,325       11,085,417       —       12,195,742    
Ultra Russell MidCap Value     1,548,614       491,332       —       2,039,946    
Ultra Russell MidCap Growth     6,014,353       2,712,148       —       8,726,501    
Ultra Russell2000 Value     5,450,901       3,662,193       —       9,113,094    
Ultra Russell2000 Growth     897,939       6,605,976       —       7,503,915    
Ultra Basic Materials     —       —       —       —    
Ultra Nasdaq Biotechnology     —       —       565,831       565,831    
Ultra Consumer Goods     —       —       —       —    
Ultra Consumer Services     —       203,852       —       203,852    
Ultra Financials     977,035,076       1,407,263,015       —       2,384,298,091    
Ultra Health Care     —       13,552,587       —       13,522,587    
Ultra Industrials     —       —       —       —    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 271


Fund   Expiring October 31,
2016		   Expiring October 31,
2017		   Expiring October 31,
2018		   Total  
Ultra Oil & Gas     —     $ 82,191,390       —     $ 82,191,390    
Ultra Real Estate     —       —       —       —    
Ultra KBW Regional Banking     —       —     $ 1,965,194       1,965,194    
Ultra Semiconductors   $ 7,883,495       23,313,126       —       31,196,621    
Ultra Technology     —       15,059,872       —       15,059,872    
Ultra Telecommunications     —       847,723       —       847,723    
Ultra Utilities     547,751       13,316,081       —       13,863,832    
Ultra MSCI EAFE     —       —       —       —    
Ultra MSCI Emerging Markets     —       11,592       155,554       167,146    
Ultra MSCI Europe     —       —       289,198       289,198    
Ultra MSCI Pacific ex-Japan     —       —       385,999       385,999    
Ultra MSCI Brazil     —       —       542,934       542,934    
Ultra FTSE China 25     —       465,248       1,269,071       1,734,319    
Ultra MSCI Japan     —       9,848       287,685       297,533    
Ultra MSCI Mexico Investable Market     —       —       87,729       87,729    
Ultra 7-10 Year Treasury     —       —       —       —    
Ultra 20+ Year Treasury     —       —       671,582       671,582    
Short QQQ®     —       46,413,351       59,184,627       105,597,978    
Short Dow30SM     —       27,666,267       74,285,143       101,951,410    
Short S&P500®     —       275,479,255       396,002,468       671,481,723    
Short MidCap400     —       14,091,075       16,663,813       30,754,888    
Short SmallCap600     —       10,910,309       9,744,816       20,655,125    
Short Russell2000     —       30,602,995       85,827,210       116,430,205    
UltraShort QQQ®     —       344,027,075       546,154,861       890,181,936    
UltraShort Dow30SM     —       211,568,661       278,053,840       489,622,501    
UltraShort S&P500®     —       954,224,900       1,614,347,476       2,568,572,376    
UltraShort Russell3000     —       578,178       1,775,441       2,353,619    
UltraShort MidCap400     —       62,058,079       19,240,979       81,299,058    
UltraShort SmallCap600     —       10,418,599       18,395,839       28,814,438    
UltraShort Russell2000     —       197,617,837       371,431,305       569,049,142    
UltraPro Short QQQ®     —       —       13,723,268       13,723,268    
UltraPro Short Dow30SM     —       —       9,009,922       9,009,922    
UltraPro Short S&P500®     —       21,450,893       80,591,829       102,042,722    
UltraPro Short MidCap400     —       —       2,821,723       2,821,723    
UltraPro Short Russell2000     —       —       13,054,940       13,054,940    
UltraShort Russell1000 Value     —       15,201,628       5,004,860       20,206,488    
UltraShort Russell1000 Growth     —       18,361,737       5,849,933       24,211,670    
UltraShort Russell MidCap Value     —       4,103,949       5,044,261       9,148,210    
UltraShort Russell MidCap Growth     —       11,156,011       4,305,977       15,461,988    
UltraShort Russell2000 Value     —       14,216,121       9,703,125       23,919,246    
UltraShort Russell2000 Growth     —       13,016,043       —       13,016,043    
Short Basic Materials     —       —       568,074       568,074    
Short Financials     —       55,095,891       34,680,899       89,776,790    
Short Oil & Gas     —       1,584,332       2,720,603       4,304,935    
Short Real Estate     —       —       3,968,005       3,968,005    
Short KBW Regional Banking     —       —       475,909       475,909    
UltraShort Basic Materials     —       99,100,007       110,459,179       209,559,186    
UltraShort Nasdaq Biotechnology     —       —       435,627       435,627    
UltraShort Consumer Goods     —       680,668       14,284,380       14,965,048    

272 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund   Expiring October 31,
2016		   Expiring October 31,
2017		   Expiring October 31,
2018		   Total  
UltraShort Consumer Services     —     $ 37,806,587     $ 34,794,753     $ 72,601,340    
UltraShort Financials     —       939,341,490       249,724,456       1,189,065,946    
UltraShort Health Care     —       10,002,522       2,787,142       12,789,664    
UltraShort Industrials     —       17,718,515       21,300,428       39,018,943    
UltraShort Oil & Gas     —       72,588,775       103,023,193       175,611,968    
UltraShort Real Estate     —       2,597,807,224       530,523,856       3,128,331,080    
UltraShort Semiconductors     —       28,767,489       21,740,228       50,507,717    
UltraShort Technology     —       38,866,512       17,058,910       55,925,422    
UltraShort Telecommunications     —       5,408,371       682,434       6,090,805    
UltraShort Utilities     —       7,484,152       3,786,581       11,270,733    
Short MSCI EAFE     —       32,745,434       18,597,569       51,343,003    
Short MSCI Emerging Markets     —       40,438,104       71,205,636       111,643,740    
Short FTSE China 25     —       —       1,199,922       1,199,922    
UltraShort MSCI EAFE     —       67,426,453       7,928,513       75,354,966    
UltraShort MSCI Emerging Markets     —       520,833,289       59,526,996       580,360,285    
UltraShort MSCI Europe     —       3,795,429       34,453,744       38,249,173    
UltraShort MSCI Pacific ex-Japan     —       1,002,480       3,676,210       4,678,690    
UltraShort MSCI Brazil     —       3,763,284       16,655,117       20,418,401    
UltraShort FTSE China 25     —       —       131,146,062       131,146,062    
UltraShort MSCI Japan     —       3,844,289       6,349,708       10,193,997    
UltraShort MSCI Mexico Investable Market     —       6,041,732       5,186,144       11,227,876    
Short 20+ Year Treasury     —       228,972       56,583,949       56,812,921    
UltraShort 7-10 Year Treasury   $ 5,030,158       249,611       28,917,167       34,196,936    
UltraShort 20+ Year Treasury     —       —       664,186,865       664,186,865    
Credit Suisse 130/30     —       —       440,194       440,194    

 

For the tax year ended October 31, 2010, the following Funds utilized capital loss carryforwards to offset net capital gains with the amount stated below:

Fund   Capital Loss Utilized  
Ultra QQQ®   $ 323,882,178    
Ultra Dow30SM     145,368,165    
Ultra S&P500®     480,697,312    
Ultra MidCap400     34,019,372    
Ultra SmallCap600     11,364,361    
Ultra Russell2000     49,363,856    
Ultra Russell1000 Value     5,397,008    
Ultra Russell1000 Growth     5,601,514    
Ultra Russell MidCap Value     4,333,614    
Ultra Russell MidCap Growth     3,559,487    
Ultra Russell2000 Value     2,083,741    
Ultra Russell2000 Growth     6,788,158    
Ultra Basic Materials     61,950,843    
Ultra Consumer Goods     3,397,788    
Ultra Consumer Services     3,038,282    
Ultra Financials     451,404,001    
Ultra Health Care     8,430,839    
Ultra Industrials     4,161,303    
Ultra Oil & Gas     80,275,821    
Ultra Real Estate     35,989,167    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 273


Fund   Capital Loss Utilized  
Ultra Semiconductors   $ 22,567,716    
Ultra Technology     33,066,846    
Ultra Telecommunications     2,972,221    
Ultra Utilities     3,233,034    
Ultra MSCI EAFE     43,571    

 

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 financial 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 assets 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.

These expense limitations remain in effect until the dates specified in the table below, after which they may be terminated or revised. Additionally, for the six months ended November 30, 2010, advisory and management services fees waivers and expense reimbursements were as follows:

Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		   Expense Limitation
Effective Through		  
Ultra QQQ®   $ 322,062       —       —     September 30, 2011  
Ultra Dow30SM     80,250       —       —     September 30, 2011  
Ultra S&P500®     —       —       —     September 30, 2011  
Ultra Russell3000     23,319     $ 3,109     $ 76,820     September 30, 2011  
Ultra MidCap400     88,264       —       —     September 30, 2011  
Ultra SmallCap600     117,827       —       —     September 30, 2011  
Ultra Russell2000     306,597       —       —     September 30, 2011  
UltraPro QQQ®     100,930       —       —     September 30, 2011  
UltraPro Dow30SM     31,544       —       —     September 30, 2011  
UltraPro S&P500®     116,882       —       —     September 30, 2011  
UltraPro MidCap400     85,987       —       —     September 30, 2011  
UltraPro Russell2000     107,893       14,385       24,506     September 30, 2011  
Ultra Russell1000 Value     48,367       6,449       30,555     September 30, 2011  
Ultra Russell1000 Growth     50,091       6,679       26,407     September 30, 2011  
Ultra Russell MidCap Value     32,695       4,359       53,061     September 30, 2011  
Ultra Russell MidCap Growth     42,190       5,625       30,995     September 30, 2011  
Ultra Russell2000 Value     70,539       9,405       31,963     September 30, 2011  
Ultra Russell2000 Growth     75,683       10,091       27,142     September 30, 2011  
Ultra Basic Materials     84,866       —       —     September 30, 2011  

274 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		   Expense Limitation
Effective Through		  
Ultra Nasdaq Biotechnology   $ 18,211     $ 2,428     $ 8,869     September 30, 2011  
Ultra Consumer Goods     69,665       —       —     September 30, 2011  
Ultra Consumer Services     62,298       8,306       5,597     September 30, 2011  
Ultra Financials     70,907       —       —     September 30, 2011  
Ultra Health Care     68,270       —       —     September 30, 2011  
Ultra Industrials     77,344       —       —     September 30, 2011  
Ultra Oil & Gas     99,791       —       —     September 30, 2011  
Ultra Real Estate     86,952       —       —     September 30, 2011  
Ultra KBW Regional Banking     26,571       2,296       —     September 30, 2011  
Ultra Semiconductors     67,733       —       —     September 30, 2011  
Ultra Technology     80,683       —       —     September 30, 2011  
Ultra Telecommunications     23,830       3,177       40,540     September 30, 2011  
Ultra Utilities     67,035       —       —     September 30, 2011  
Ultra MSCI EAFE     35,634       4,751       38,231     September 30, 2011  
Ultra MSCI Emerging Markets     74,560       —       —     September 30, 2011  
Ultra MSCI Europe     12,507       1,664       16,748     September 30, 2011  
Ultra MSCI Pacific ex-Japan     10,924       1,457       18,180     September 30, 2011  
Ultra MSCI Brazil     25,792       3,435       4,192     September 30, 2011  
Ultra FTSE China 25     70,300       —       —     September 30, 2011  
Ultra MSCI Japan     35,926       4,790       44,446     September 30, 2011  
Ultra MSCI Mexico Investable Market     9,215       1,229       19,837     September 30, 2011  
Ultra 7-10 Year Treasury     33,077       —       —     September 30, 2011  
Ultra 20+ Year Treasury     32,749       —       —     September 30, 2011  
Short QQQ®     128,932       —       —     September 30, 2011  
Short Dow30SM     56,792       —       —     September 30, 2011  
Short S&P500®     —       —       —     September 30, 2011  
Short MidCap400     45,770       —       —     September 30, 2011  
Short SmallCap600     48,752       —       —     September 30, 2011  
Short Russell2000     153,776       —       —     September 30, 2011  
UltraShort QQQ®     307,700       —       —     September 30, 2011  
UltraShort Dow30SM     56,468       —       —     September 30, 2011  
UltraShort S&P500®     —       —       —     September 30, 2011  
UltraShort Russell3000     8,195       1,093       39,884     September 30, 2011  
UltraShort MidCap400     46,723       —       —     September 30, 2011  
UltraShort SmallCap600     51,389       —       —     September 30, 2011  
UltraShort Russell2000     217,932       —       —     September 30, 2011  
UltraPro Short QQQ®     65,706       —       —     September 30, 2011  
UltraPro Short Dow30SM     36,531       —       —     September 30, 2011  
UltraPro Short S&P500®     —       —       —     September 30, 2011  
UltraPro Short MidCap400     18,051       2,340       —     September 30, 2011  
UltraPro Short Russell2000     38,380       —       —     September 30, 2011  
UltraShort Russell1000 Value     27,805       3,707       21,084     September 30, 2011  
UltraShort Russell1000 Growth     33,005       4,401       14,971     September 30, 2011  
UltraShort Russell MidCap Value     19,942       2,659       32,055     September 30, 2011  
UltraShort Russell MidCap Growth     24,937       3,325       25,461     September 30, 2011  
UltraShort Russell2000 Value     46,249       5,184       —     September 30, 2011  
UltraShort Russell2000 Growth     51,649       —       —     September 30, 2011  
Short Basic Materials     18,308       1,346       —     September 30, 2011  
Short Financials     54,010       —       —     September 30, 2011  
Short Oil & Gas     50,227       4,932       —     September 30, 2011  

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 275


Fund   Advisory
Fees Waived		   Management Services
Fees Waived		   Expense
Reimbursements		   Expense Limitation
Effective Through		  
Short Real Estate   $ 32,034       —       —     September 30, 2011  
Short KBW Regional Banking     34,158       —       —     September 30, 2011  
UltraShort Basic Materials     55,659       —       —     September 30, 2011  
UltraShort Nasdaq Biotechnology     23,203     $ 2,299       —     September 30, 2011  
UltraShort Consumer Goods     48,689       6,264       —     September 30, 2011  
UltraShort Consumer Services     53,037       —       —     September 30, 2011  
UltraShort Financials     52,120       —       —     September 30, 2011  
UltraShort Health Care     19,554       2,607     $ 33,345     September 30, 2011  
UltraShort Industrials     47,603       6,347       1,065     September 30, 2011  
UltraShort Oil & Gas     55,509       —       —     September 30, 2011  
UltraShort Real Estate     59,761       —       —     September 30, 2011  
UltraShort Semiconductors     54,010       —       —     September 30, 2011  
UltraShort Technology     54,195       —       —     September 30, 2011  
UltraShort Telecommunications     7,290       972       57,683     September 30, 2011  
UltraShort Utilities     23,175       3,090       29,341     September 30, 2011  
Short MSCI EAFE     83,471       —       —     September 30, 2011  
Short MSCI Emerging Markets     109,680       —       —     September 30, 2011  
Short FTSE China 25     21,839       —       —     September 30, 2011  
UltraShort MSCI EAFE     62,376       —       —     September 30, 2011  
UltraShort MSCI Emerging Markets     98,392       —       —     September 30, 2011  
UltraShort MSCI Europe     56,965       —       —     September 30, 2011  
UltraShort MSCI Pacific ex-Japan     8,801       1,174       54,521     September 30, 2011  
UltraShort MSCI Brazil     58,562       —       —     September 30, 2011  
UltraShort FTSE China 25     116,871       —       —     September 30, 2011  
UltraShort MSCI Japan     58,767       7,835       7,423     September 30, 2011  
UltraShort MSCI Mexico Investable Market      16,785       2,238       45,065     September 30, 2011  
Short 20+ Year Treasury     43,998       —       —     September 30, 2011  
UltraShort 7-10 Year Treasury     50,697       —       —     September 30, 2011  
UltraShort 20+ Year Treasury     —       —       —     September 30, 2011  
Credit Suisse 130/30     85,643       —       —     September 30, 2011  

 

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, 2010, 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   2016   Recoupment  
Ultra QQQ®   $ 361,690     $ 771,609     $ 1,032,842     $ 709,796     $ 108,409     $ 2,984,346    
Ultra Dow30SM     207,359       161,837       261,374       182,406       26,175       839,151    
Ultra S&P500®     —       —       —       —       —       —    
Ultra Russell3000     —       —       12,081       246,967       37,080       296,128    
Ultra MidCap400     273,290       262,439       286,102       146,363       34,309       1,002,503    
Ultra SmallCap600     117,270       153,502       300,310       139,951       54,751       765,784    
Ultra Russell2000     309,572       420,622       989,384       500,359       101,001       2,320,938    
UltraPro QQQ®     —       —       —       127,004       39,419       166,423    
UltraPro Dow30SM     —       —       —       58,027       11,184       69,211    
UltraPro S&P500®     —       —       22,535       315,207       37,815       375,557    
UltraPro MidCap400     —       —       —       144,446       21,906       166,352    
UltraPro Russell2000     —       —       —       191,089       64,677       255,766    

276 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


    Expires September 30,   Total Amount  
        Eligible for  
Fund   2012   2013   2014   2015   2016   Recoupment  
Ultra Russell1000 Value   $ 57,385     $ 109,448     $ 261,071     $ 167,372     $ 43,149     $ 638,425    
Ultra Russell1000 Growth     66,939       152,278       242,598       131,939       47,386       641,140    
Ultra Russell MidCap Value     77,416       94,764       236,618       145,226       55,100       609,124    
Ultra Russell MidCap Growth     89,292       114,507       200,040       136,213       48,336       588,388    
Ultra Russell2000 Value     58,450       211,820       515,701       199,379       39,539       1,024,889    
Ultra Russell2000 Growth     58,964       215,223       415,427       186,104       49,073       924,791    
Ultra Basic Materials     76,918       102,535       239,877       190,416       25,591       635,337    
Ultra Nasdaq Biotechnology     —       —       —       44,699       12,133       56,832    
Ultra Consumer Goods     77,004       68,249       158,112       131,595       40,616       475,576    
Ultra Consumer Services     88,455       65,215       177,086       133,564       46,508       510,828    
Ultra Financials     —       112,089       761,323       247,379       22,367       1,143,158    
Ultra Health Care     78,759       97,149       168,152       120,479       26,254       490,793    
Ultra Industrials     85,307       79,122       214,947       136,317       35,382       551,075    
Ultra Oil & Gas     91,521       145,921       335,397       192,483       36,418       801,740    
Ultra Real Estate     80,853       114,651       224,831       220,577       24,944       665,856    
Ultra KBW Regional Banking     —       —       —       42,986       13,267       56,253    
Ultra Semiconductors     75,309       123,648       158,603       143,414       21,098       522,072    
Ultra Technology     91,135       164,530       217,672       157,093       25,183       655,613    
Ultra Telecommunications     —       57,580       68,674       125,448       49,373       301,075    
Ultra Utilities     73,170       82,736       146,632       126,160       38,317       467,015    
Ultra MSCI EAFE     —       —       26,000       105,384       47,360       178,744    
Ultra MSCI Emerging Markets     —       —       27,016       154,408       27,556       208,980    
Ultra MSCI Europe     —       —       —       47,068       10,157       57,225    
Ultra MSCI Pacific ex-Japan     —       —       —       46,719       10,131       56,850    
Ultra MSCI Brazil     —       —       —       47,846       11,883       59,729    
Ultra FTSE China 25     —       —       32,285       120,815       29,899       182,999    
Ultra MSCI Japan     —       —       22,003       112,279       53,132       187,414    
Ultra MSCI Mexico Investable Market     —       —       —       46,822       9,767       56,589    
Ultra 7-10 Year Treasury     —       —       —       82,505       10,164       92,669    
Ultra 20+ Year Treasury     —       —       —       79,850       12,450       92,300    
Short QQQ®     219,846       168,003       215,413       249,007       41,916       894,185    
Short Dow30SM     192,171       125,550       161,660       126,493       20,768       626,642    
Short S&P500®     —       —       —       —       —       —    
Short MidCap400     142,197       100,315       114,278       91,606       20,036       468,432    
Short SmallCap600     59,810       63,566       108,189       88,782       25,249       345,596    
Short Russell2000     64,261       123,244       137,737       249,967       63,421       638,630    
UltraShort QQQ®     670,394       899,034       796,497       684,875       98,111       3,148,911    
UltraShort Dow30SM     179,342       148,653       206,675       137,009       20,619       692,298    
UltraShort S&P500®     —       —       —       —       —       —    
UltraShort Russell3000     —       —       9,870       41,270       37,592       88,732    
UltraShort MidCap400     108,364       56,499       114,805       88,298       21,498       389,464    
UltraShort SmallCap600     70,561       71,544       80,948       98,313       30,075       351,441    
UltraShort Russell2000     —       615,963       508,317       433,918       72,346       1,630,544    
UltraPro Short QQQ®     —       —       —       75,950       26,456       102,406    
UltraPro Short Dow30SM     —       —       —       55,242       13,770       69,012    
UltraPro Short S&P500®     —       —       7,040       64,080       1,734       72,854    
UltraPro Short MidCap400     —       —       —       44,676       6,272       50,948    
UltraPro Short Russell2000     —       —       —       55,364       14,665       70,029    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 277


    Expires September 30,   Total Amount  
        Eligible for  
Fund   2012   2013   2014   2015   2016   Recoupment  
UltraShort Russell1000 Value   $ 53,831     $ 61,391     $ 101,657     $ 104,030     $ 36,626     $ 357,535    
UltraShort Russell1000 Growth     54,154       70,360       101,672       103,131       35,997       365,314    
UltraShort Russell MidCap Value     53,472       54,825       103,107       108,378       39,062       358,844    
UltraShort Russell MidCap Growth     53,742       60,877       97,039       107,231       37,721       356,610    
UltraShort Russell2000 Value     54,296       97,134       98,814       102,681       33,940       386,865    
UltraShort Russell2000 Growth     59,247       94,559       92,050       106,155       33,314       385,325    
Short Basic Materials     —       —       —       40,821       6,032       46,853    
Short Financials     —       19,202       138,811       106,960       18,525       283,498    
Short Oil & Gas     —       17,770       61,648       109,018       36,168       224,604    
Short Real Estate     —       —       —       47,276       12,112       59,388    
Short KBW Regional Banking     —       —       —       48,117       12,543       60,660    
UltraShort Basic Materials     60,990       92,233       130,605       121,376       17,606       422,810    
UltraShort Nasdaq Biotechnology     —       —       —       43,366       7,693       51,059    
UltraShort Consumer Goods     59,683       80,083       93,231       102,795       35,750       371,542    
UltraShort Consumer Services     57,420       82,163       127,371       96,627       23,559       387,140    
UltraShort Financials     —       —       —       150,292       18,678       168,970    
UltraShort Health Care     58,739       64,036       106,039       106,298       39,721       374,833    
UltraShort Industrials     56,536       81,081       106,401       97,750       35,763       377,531    
UltraShort Oil & Gas     —       16,933       231,746       133,633       18,438       400,750    
UltraShort Real Estate     1,346       116,788       219,350       155,399       17,606       510,489    
UltraShort Semiconductors     58,648       73,995       102,945       103,156       29,289       368,033    
UltraShort Technology     56,727       79,027       97,208       103,886       31,067       367,915    
UltraShort Telecommunications     —       46,637       55,028       122,462       38,224       262,351    
UltraShort Utilities     63,394       70,395       99,410       106,631       39,528       379,358    
Short MSCI EAFE     —       123,975       108,317       137,857       27,741       397,890    
Short MSCI Emerging Markets     —       139,208       126,379       230,446       34,434       530,467    
Short FTSE China 25     —       —       —       43,396       6,367       49,763    
UltraShort MSCI EAFE     —       125,111       201,598       118,651       28,170       473,530    
UltraShort MSCI Emerging Markets     —       46,278       607,157       204,238       34,462       892,135    
UltraShort MSCI Europe     —       —       35,032       80,035       25,119       140,186    
UltraShort MSCI Pacific ex-Japan     —       —       32,734       52,364       44,364       129,462    
UltraShort MSCI Brazil     —       —       34,971       77,999       25,811       138,781    
UltraShort FTSE China 25     —       388,127       203,949       296,402       30,681       919,159    
UltraShort MSCI Japan     —       179,711       165,376       147,896       39,262       532,245    
UltraShort MSCI Mexico Investable Market     —       —       35,981       54,810       43,169       133,960    
Short 20+ Year Treasury     —       —       8,257       192,091       8,475       208,823    
UltraShort 7-10 Year Treasury     —       69,507       128,733       137,977       15,239       351,456    
UltraShort 20+ Year Treasury     —       —       —       —       —       —    
Credit Suisse 130/30     —       —       27,443       204,973       26,370       258,786    

 

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.

278 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


6. Custodian Fees

JPMorgan Chase Bank acts as custodian for the Funds in accordance with a custodian agreement. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. Custodian fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses.

7. Trustees Fees

Each Independent Trustee of ProShares and other affiliated funds is 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 Distribution Co. 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, 2010		   Year
Ended
May 31, 2010		  
Ultra QQQ®   $ 67,076     $ 235,270    
Ultra Dow30SM     31,922       130,495    
Ultra S&P500®     70,016       404,907    
Ultra Russell3000     2.528       3,550    
Ultra MidCap400     4.848       23,072    
Ultra SmallCap600     2,038       4,325    
Ultra Russell2000     13,762       58,290    
UltraPro QQQ®     7,471       3,452    
UltraPro Dow30SM     4,556       880    
UltraPro S&P500®     41,021       32,597    
UltraPro MidCap400     1,894       880    
UltraPro Russell2000     10,166       1,389    
Ultra Russell1000 Value     400       2,356    
Ultra Russell1000 Growth     630       3,349    
Ultra Russell MidCap Value     695       2,743    
Ultra Russell MidCap Growth     522       1,024    
Ultra Russell2000 Value     743       1,040    
Ultra Russell2000 Growth     —       2,399    
Ultra Basic Materials     29,446       112,324    
Ultra Nasdaq Biotechnology     —       1,320    
Ultra Consumer Goods     2,939       1,631    
Ultra Consumer Services     1,338       1,651    
Ultra Financials     27,231       384,533    
Ultra Health Care     759       6,371    
Ultra Industrials     2,610       2,842    
Ultra Oil & Gas     36,380       211,899    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 279


Fund   Six Months
Ended
November 30, 2010		   Year
Ended
May 31, 2010		  
Ultra Real Estate   $ 37,273     $ 303,048    
Ultra KBW Regional Banking     2,971       5,084    
Ultra Semiconductors     6,700       20,853    
Ultra Technology     3,307       15,612    
Ultra Telecommunications     933       1,345    
Ultra Utilities     675       5,085    
Ultra MSCI EAFE     1,520       3,396    
Ultra MSCI Emerging Markets     6,624       13,590    
Ultra MSCI Europe     314       902    
Ultra MSCI Pacific ex-Japan     —       660    
Ultra MSCI Brazil     3,324       894    
Ultra FTSE China 25     12,808       21,454    
Ultra MSCI Japan     1,471       1,985    
Ultra MSCI Mexico Investable Market     344       660    
Ultra 7-10 Year Treasury     23,295       7,158    
Ultra 20+ Year Treasury     20,414       30,527    
Short QQQ®     21,930       35,720    
Short Dow30SM     25,193       30,224    
Short S&P500®     257,557       366,656    
Short MidCap400     —       12,404    
Short SmallCap600     1,728       6,178    
Short Russell2000     36,597       52,707    
UltraShort QQQ®     48,689       135,981    
UltraShort Dow30SM     20,009       73,366    
UltraShort S&P500®     235,037       424,791    
UltraShort Russell3000     —       1,576    
UltraShort MidCap400     1,255       2,486    
UltraShort SmallCap600     2,218       3,373    
UltraShort Russell2000     36,463       82,096    
UltraPro Short QQQ®     10,784       —    
UltraPro Short Dow30SM         2,173    
UltraPro Short S&P500®     49,911       43,311    
UltraPro Short MidCap400     —       —    
UltraPro Short Russell2000     667       —    
UltraShort Russell1000 Value     1,443       882    
UltraShort Russell1000 Growth     487       1,728    
UltraShort Russell MidCap Value     2,087       882    
UltraShort Russell MidCap Growth     2,242       1,490    
UltraShort Russell2000 Value     1,963       1,720    
UltraShort Russell2000 Growth     3,687       2,634    
Short Basic Materials     —       550    
Short Financials     2,291       9,270    
Short Oil & Gas     386       419    
Short Real Estate ..     5,240       550    
Short KBW Regional Banking     5,994       2,054    
UltraShort Basic Materials     18,325       65,340    
UltraShort Nasdaq Biotechnology     626       1,320    
UltraShort Consumer Goods     1,346       2,795    
UltraShort Consumer Services     5,475       17,716    

280 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund   Six Months
Ended
November 30, 2010		   Year
Ended
May 31, 2010		  
UltraShort Financials   $ 25,256     $ 231,622    
UltraShort Health Care     —       678    
UltraShort Industrials     —       4,589    
UltraShort Oil & Gas     19,143       86,588    
UltraShort Real Estate     15,928       152,827    
UltraShort Semiconductors     3,131       7,708    
UltraShort Technology     1,705       353    
UltraShort Telecommunications     357       272    
UltraShort Utilities     290       913    
Short MSCI EAFE     21,621       31,035    
Short MSCI Emerging Markets     11,182       54,890    
Short FTSE China 25     237       828    
UltraShort MSCI EAFE     3,890       14,560    
UltraShort MSCI Emerging Markets     25,362       140,318    
UltraShort MSCI Europe     35,515       57,285    
UltraShort MSCI Pacific ex-Japan     138       4,090    
UltraShort MSCI Brazil     6,145       13,253    
UltraShort FTSE China 25     28,111       36,271    
UltraShort MSCI Japan     779       3,985    
UltraShort MSCI Mexico Investable Market     1,222       6,265    
Short 20+ Year Treasury     3,998       35,600    
UltraShort 7-10 Year Treasury     1,508       71,488    
UltraShort 20+ Year Treasury     322,682       1,440,249    
Credit Suisse 130/30     1,135       12,256    

 

10. Investment Transactions

For the six months ended November 30, 2010, 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®   $ 17,276,874     $ 7,892,946    
Ultra Dow30SM     10,511,238       309,100    
Ultra S&P500®     23,658,312       128,254,194    
Ultra Russell3000     234,217       1,198,416    
Ultra MidCap400     3,244,961       4,287,359    
Ultra SmallCap600     2,268,809       6,391,677    
Ultra Russell2000     31,573,597       56,674,825    
UltraPro QQQ®     553,254       463,949    
UltraPro Dow30SM     9,556,103       8,356    
UltraPro S&P500®     2,417,149       77,567,870    
UltraPro MidCap400     8,797,429       4,800,061    
UltraPro Russell2000     1,849,498       23,645,971    
Ultra Russell1000 Value     4,065,822       2,549,409    
Ultra Russell1000 Growth     5,517,944       5,535,243    
Ultra Russell MidCap Value     3,092,919       3,046,273    
Ultra Russell MidCap Growth     4,134,373       5,160,048    
Ultra Russell2000 Value     3,848,482       3,932,412    
Ultra Russell2000 Growth     6,207,129       4,901,614    
Ultra Basic Materials     37,101,514       3,435,589    

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 281


Fund   Purchases   Sales  
Ultra Nasdaq Biotechnology   $ 125,735     $ 1,096,488    
Ultra Consumer Goods     355,114       426,922    
Ultra Consumer Services     779,183       256,739    
Ultra Financials     32,004,200       30,110,081    
Ultra Health Care     649,726       3,659,105    
Ultra Industrials     433,804       10,031,379    
Ultra Oil & Gas     17,337,599       15,873,256    
Ultra Real Estate     40,029,329       9,434,517    
Ultra KBW Regional Banking     1,508,300       1,145,413    
Ultra Semiconductors     3,556,408       1,249,730    
Ultra Technology     2,115,287       2,424,519    
Ultra Telecommunications     693,145       757,760    
Ultra Utilities     530,389       1,662,786    
Ultra MSCI Emerging Markets     5,506,487       12,323,890    
Ultra 7-10 Year Treasury     9,774,533       6,032,230    
Ultra 20+ Year Treasury     10,486,891       4,735,433    
Credit Suisse 130/30     20,632,254       20,862,011    

 

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, 2010, 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®   $ 596,227,469     $ 53,055,321    
Ultra Dow30SM     186,274,751       18,593,022    
Ultra S&P500®     629,631,273       99,540,528    
Ultra Russell3000     3,321,443       321,316    
Ultra MidCap400     43,752,971       12,867,415    
Ultra SmallCap600     18,524,050       3,219,064    
Ultra Russell2000     99,758,227       10,953,909    
UltraPro QQQ®     29,432,672       2,991,287    
UltraPro Dow30SM     15,328,981       557,959    
UltraPro S&P500®     124,150,700       9,162,568    
UltraPro MidCap400     6,054,238       906,755    
Ultra Russell1000 Value     3,574,901       469,829    
Ultra Russell MidCap Value     6,133,581       234,741    
Ultra Russell MidCap Growth     4,640,154       625,900    
Ultra Russell2000 Value     3,060,757       138,658    
Ultra Basic Materials     182,733,492       41,043,838    
Ultra Consumer Goods     17,166,860       3,226,624    
Ultra Consumer Services     12,324,446       1,767,785    
Ultra Financials     225,694,736       35,801,156    
Ultra Industrials     18,250,594       3,676,531    
Ultra Oil & Gas     306,527,461       33,267,888    
Ultra Real Estate     241,228,861       39,917,154    
Ultra KBW Regional Banking     12,102,356       (55,039 )  
Ultra Semiconductors     38,327,219       9,167,223    

282 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


Fund   Fair Value   Net Realized
Gains (Losses)		  
Ultra Technology   $ 25,602,816     $ 6,480,658    
Ultra Telecommunications     5,354,909       (213,110 )  
Ultra MSCI Emerging Markets     10,319,585       1,493,643    
Credit Suisse 130/30     7,097,999       (1,052,300 )  

 

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, 2010, the fair value of the securities received for subscriptions were as follows:

Fund   Fair Value  
Ultra QQQ®   $ 433,763,506    
Ultra Dow30SM     95,394,265    
Ultra S&P500®     217,564,511    
Ultra MidCap400     10,743,165    
Ultra Russell2000     6,824,872    
UltraPro QQQ®     63,129,830    
UltraPro Dow30SM     9,639,363    
UltraPro S&P500®     77,819,849    
UltraPro Russell2000     9,397,281    
Ultra Basic Materials     52,740,816    
Ultra Financials     20,374,663    
Ultra Health Care     16,502,168    
Ultra Industrials     4,703,856    
Ultra Oil & Gas     121,262,967    
Ultra Real Estate     55,259,123    
Ultra KBW Regional Banking     9,663,118    
Ultra Semiconductors     10,459,067    
Ultra Technology     31,022,032    
Ultra Telecommunications     2,841,510    
Credit Suisse 130/30     7,387,205    

 

12. Reverse Share Splits

Effective April 15, 2010, the Ultra Real Estate, UltraShort Basic Materials, UltraShort Oil & Gas, UltraShort Real Estate, UltraShort MSCI Emerging Markets and UltraShort FTSE China 25 Funds underwent a 1-for-5 reverse share split, and the Ultra Financials Fund underwent a 1-for-10 reverse share split. The effect of these transactions was to divide the number of outstanding shares of the Funds by the reverse split factor, with a corresponding increase in the net asset value per share, resulting in no effect to the net assets of the Funds. The historical share transactions presented in the Statements of Changes in Net Assets and Per share data presented in the Financial Highlights have been adjusted retroactively to give effect to these reverse share splits.

13. Risk

•  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.

•  Geographic Concentration Risk

Certain Funds that are exposed to particular countries or geographic regions may be particularly susceptible to economic, political or regulatory events affecting those countries or regions.

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 283


•  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 and risks 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 or around 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 objective.

Compounding affects all investments, but has a more significant impact on a leveraged fund. 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, 2010, the Ultra S&P500®, Ultra SmallCap600, Ultra Russell2000, UltraPro MidCap400, UltraPro Russell2000, Ultra Russell1000 Growth, Ultra Russell MidCap Value, Ultra Russell MidCap Growth, Ultra Russell2000 Value, Ultra Oil & Gas, Ultra Technology, Ultra Utilities, Ultra MSCI Pacific ex-Japan, Ultra MSCI Brazil, Ultra FTSE China 25 and Ultra MSCI Mexico Investable Market 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.

14. 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.

284 :: ProShares Trust :: Notes to Financial Statements :: November 30, 2010


15. Transactions with Lehman Brothers Holdings, Inc.

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 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. The outstanding swap agreement and brokerage transaction balances due from Lehman are included in "Due from (to) counterparty" and "Receivable for investments sold", respectively, on the Statements of Assets and Liabilities.

16. Subsequent Events

Subsequent events occurring after the date of this report have been evaluated for potential impact, for purposes of recognition or disclosure in the financial statements, through the date the report was issued.

Effective December 13, 2010, the name of the following Funds changed as below.

New Name   Old Name  
ProShares Ultra FTSE China 25   ProShares Ultra FTSE/Xinhua China 25  
ProShares Short FTSE China 25   ProShares Short FTSE/Xinhua China 25  
ProShares UltraShort FTSE China 25   ProShares UltraShort FTSE/Xinhua China 25  

November 30, 2010 :: Notes to Financial Statements :: ProShares Trust :: 285


Under an amended investment advisory agreement, dated December 15, 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 Board. 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 of a Fund to the extent the Fund's total annual operating expenses, before fee waivers and expense reimbursements, exceed 0.95%, as a percentage of average daily net assets, through September 30, 2011. After such date, the expense limitation may be terminated or revised. Amounts waived or reimbursed in a particular contractual period may be recouped by ProShare Advisors within five years of the end of that contractual period, to the extent that recoupment will not cause a Fund's expenses to exceed any expense limitation in place at that time.

At a meeting held on December 13, 2010, 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 its 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 unusual 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, 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 and the selection of counterparties, as well as the favorable terms of derivatives transactions the Advisor was able to negotiate with swap counterparties. The Board also reviewed the quality of the Advisor's ability to manage the Funds in a tax efficient manner, which is more challenging than for traditional ETFs, as well as the quality of the 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 that benefit Fund shareholders, particularly in light of the unique nature of the Funds and the services required to support them.

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 by other ETFs and mutual funds with similar investment objectives and/or in the same Lipper categories as the Funds. The Board considered that obtaining meaningful industry fee comparisons for the Funds is challenging because there are few similar funds in the marketplace. Based on the information it received, 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 use 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 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

286 :: ProShares Trust :: Board Approval of Investment Advisory Agreement (Unaudited)


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 it 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 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. Based on these considerations, the Board determined that it was not necessary for the Funds to impose advisory fee breakpoints at this time, but would continue to monitor the advisability of adding breakpoints in the future.

Conclusion

Based upon its evaluation, including its 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.

Board Approval of Investment Advisory Agreement (Unaudited) :: ProShares Trust :: 287


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.

288 :: ProShares Trust :: Misc. Information (Unaudited)


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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 300%, 200%, -100%, -200% or -300% 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 the Registrant.

 


 

Item 6. Investments

 

(a)                                  Schedule I — Investments in Securities of Unaffiliated Issuers

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, 2010 (Unaudited)

Ultra S&P500®

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 78.7%

 

 

 

 

 

Consumer Discretionary - 8.5%

 

 

 

 

 

 

 

 

 

9,419

 

Abercrombie & Fitch Co., Class A

 

$

473,305

 

37,855

 

Amazon.com, Inc.*

 

6,639,767

 

13,453

 

Apollo Group, Inc., Class A*

 

457,402

 

6,734

 

AutoNation, Inc.*

 

175,959

 

2,902

 

AutoZone, Inc.*

 

752,808

 

28,093

 

Bed Bath & Beyond, Inc.*

 

1,228,788

 

36,954

 

Best Buy Co., Inc.

 

1,578,675

 

8,666

 

Big Lots, Inc.*

 

265,613

 

23,826

 

CarMax, Inc.*

 

783,875

 

46,232

 

Carnival Corp.

 

1,909,844

 

72,654

 

CBS Corp., Class B

 

1,223,493

 

31,829

 

Coach, Inc.

 

1,799,612

 

300,339

 

Comcast Corp., Class A

 

6,006,780

 

29,532

 

D.R. Horton, Inc.

 

296,501

 

15,039

 

Darden Restaurants, Inc.

 

736,159

 

6,608

 

DeVry, Inc.

 

283,748

 

92,753

 

DIRECTV, Class A*

 

3,852,032

 

30,365

 

Discovery Communications, Inc., Class A*

 

1,238,285

 

28,692

 

Eastman Kodak Co.*

 

135,139

 

22,137

 

Expedia, Inc.

 

582,867

 

14,423

 

Family Dollar Stores, Inc.

 

724,035

 

368,017

 

Ford Motor Co.*

 

5,866,191

 

16,266

 

Fortune Brands, Inc.

 

961,158

 

16,353

 

GameStop Corp., Class A*

 

325,752

 

25,460

 

Gannett Co., Inc.

 

333,781

 

48,074

 

Gap, Inc. (The)

 

1,026,861

 

16,984

 

Genuine Parts Co.

 

817,610

 

25,967

 

Goodyear Tire & Rubber Co. (The)*

 

248,245

 

33,007

 

H&R Block, Inc.

 

415,558

 

25,177

 

Harley-Davidson, Inc.

 

787,537

 

7,434

 

Harman International Industries, Inc.*

 

324,048

 

14,966

 

Hasbro, Inc.

 

713,280

 

178,197

 

Home Depot, Inc.

 

5,383,331

 

31,828

 

International Game Technology

 

492,697

 

52,265

 

Interpublic Group of Cos., Inc. (The)*

 

556,622

 

25,237

 

J.C. Penney Co., Inc.

 

839,635

 

71,876

 

Johnson Controls, Inc.

 

2,619,161

 

32,907

 

Kohl’s Corp.*

 

1,856,613

 

15,846

 

Leggett & Platt, Inc.

 

328,012

 

17,426

 

Lennar Corp., Class A

 

264,701

 

28,877

 

Limited Brands, Inc.

 

972,289

 

150,151

 

Lowe’s Cos., Inc.

 

3,408,428

 

45,116

 

Macy’s, Inc.

 

1,158,579

 

30,673

 

Marriott International, Inc., Class A

 

1,202,688

 

39,014

 

Mattel, Inc.

 

1,008,122

 

113,874

 

McDonald’s Corp.

 

8,916,334

 

33,801

 

McGraw-Hill Cos., Inc. (The)

 

1,165,797

 

3,932

 

Meredith Corp.

 

132,194

 

12,409

 

New York Times Co. (The), Class A*

 

111,557

 

33,679

 

Newell Rubbermaid, Inc.

 

564,797

 

244,005

 

News Corp., Class A

 

3,328,228

 

41,548

 

NIKE, Inc., Class B

 

3,578,529

 

17,738

 

Nordstrom, Inc.

 

759,186

 

29,443

 

Office Depot, Inc.*

 

128,077

 

32,232

 

Omnicom Group, Inc.

 

1,464,622

 

14,743

 

O’Reilly Automotive, Inc.*

 

887,234

 

7,060

 

Polo Ralph Lauren Corp.

 

771,234

 

5,182

 

priceline.com, Inc.*

 

2,041,967

 

33,719

 

PulteGroup, Inc.*

 

211,081

 

13,325

 

RadioShack Corp.

 

245,846

 

13,109

 

Ross Stores, Inc.

 

850,512

 

9,596

 

Scripps Networks Interactive, Inc., Class A

 

488,916

 

4,728

 

Sears Holdings Corp.*

 

309,684

 

17,730

 

Stanley Black & Decker, Inc.

 

1,055,467

 

78,009

 

Staples, Inc.

 

1,716,978

 

79,685

 

Starbucks Corp.

 

2,438,361

 

20,232

 

Starwood Hotels & Resorts Worldwide, Inc.

 

1,149,987

 

77,195

 

Target Corp.

 

4,395,483

 

13,602

 

Tiffany & Co.

 

844,684

 

37,816

 

Time Warner Cable, Inc.

 

2,327,197

 

120,343

 

Time Warner, Inc.

 

3,548,915

 

42,866

 

TJX Cos., Inc.

 

1,955,118

 

13,930

 

Urban Outfitters, Inc.*

 

526,415

 

9,446

 

VF Corp.

 

782,884

 

64,887

 

Viacom, Inc., Class B

 

2,454,675

 

204,636

 

Walt Disney Co. (The)

 

7,471,260

 

629

 

Washington Post Co. (The), Class B

 

237,146

 

8,030

 

Whirlpool Corp.

 

586,190

 

19,248

 

Wyndham Worldwide Corp.

 

553,380

 

8,080

 

Wynn Resorts Ltd.

 

816,888

 

49,943

 

Yum! Brands, Inc.

 

2,501,145

 

 

 

 

 

124,373,554

 

 

 

Consumer Staples - 8.7%

 

 

 

 

 

 

 

 

 

222,487

 

Altria Group, Inc.

 

5,339,688

 

68,753

 

Archer-Daniels-Midland Co.

 

1,993,149

 

45,796

 

Avon Products, Inc.

 

1,307,934

 

11,115

 

Brown-Forman Corp., Class B

 

727,143

 

20,704

 

Campbell Soup Co.

 

701,866

 

15,058

 

Clorox Co.

 

930,735

 

246,471

 

Coca-Cola Co. (The)

 

15,569,573

 

34,679

 

Coca-Cola Enterprises, Inc.

 

837,498

 

52,007

 

Colgate-Palmolive Co.

 

3,981,136

 

47,680

 

ConAgra Foods, Inc.

 

1,024,166

 

18,962

 

Constellation Brands, Inc., Class A*

 

390,807

 

47,146

 

Costco Wholesale Corp.

 

3,187,541

 

145,437

 

CVS Caremark Corp.

 

4,508,547

 

19,410

 

Dean Foods Co.*

 

141,111

 

25,568

 

Dr. Pepper Snapple Group, Inc.

 

936,556

 

12,197

 

Estee Lauder Cos., Inc. (The), Class A

 

913,799

 

68,709

 

General Mills, Inc.

 

2,427,489

 

33,737

 

H. J. Heinz Co.

 

1,628,485

 

16,512

 

Hershey Co. (The)

 

772,762

 

7,412

 

Hormel Foods Corp.

 

363,781

 

12,716

 

J.M. Smucker Co. (The)

 

804,287

 

27,881

 

Kellogg Co.

 

1,372,582

 

43,801

 

Kimberly-Clark Corp.

 

2,710,844

 

186,282

 

Kraft Foods, Inc., Class A

 

5,635,031

 

69,073

 

Kroger Co. (The)

 

1,626,669

 

16,321

 

Lorillard, Inc.

 

1,298,825

 

14,163

 

McCormick & Co., Inc. (Non-Voting)

 

623,314

 

21,840

 

Mead Johnson Nutrition Co.

 

1,301,009

 

16,845

 

Molson Coors Brewing Co., Class B

 

802,664

 

170,243

 

PepsiCo, Inc.

 

11,002,805

 

196,141

 

Philip Morris International, Inc.

 

11,158,461

 

303,727

 

Procter & Gamble Co. (The)

 

18,548,608

 

36,115

 

Reynolds American, Inc.

 

1,117,398

 

41,604

 

Safeway, Inc.

 

956,476

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

70,632

 

Sara Lee Corp.

 

$

1,059,480

 

22,684

 

SUPERVALU, Inc.

 

205,063

 

63,241

 

Sysco Corp.

 

1,835,254

 

32,683

 

Tyson Foods, Inc., Class A

 

517,372

 

104,590

 

Walgreen Co.

 

3,644,961

 

214,038

 

Wal-Mart Stores, Inc.

 

11,577,315

 

15,649

 

Whole Foods Market, Inc.*

 

738,946

 

 

 

 

 

126,221,130

 

 

 

Energy - 9.2%

 

 

 

 

 

 

 

 

 

52,880

 

Anadarko Petroleum Corp.

 

3,392,781

 

40,800

 

Apache Corp.

 

4,391,712

 

45,815

 

Baker Hughes, Inc.

 

2,389,710

 

11,099

 

Cabot Oil & Gas Corp.

 

388,132

 

26,135

 

Cameron International Corp.*

 

1,257,355

 

69,508

 

Chesapeake Energy Corp.

 

1,468,009

 

214,555

 

Chevron Corp.

 

17,372,518

 

158,719

 

ConocoPhillips

 

9,550,122

 

24,118

 

CONSOL Energy, Inc.

 

1,011,991

 

42,672

 

Denbury Resources, Inc.*

 

775,777

 

46,548

 

Devon Energy Corp.

 

3,284,892

 

7,432

 

Diamond Offshore Drilling, Inc.

 

481,296

 

75,182

 

El Paso Corp.

 

1,014,205

 

27,050

 

EOG Resources, Inc.

 

2,406,098

 

15,315

 

EQT Corp.

 

619,798

 

544,835

 

Exxon Mobil Corp.

 

37,898,723

 

13,029

 

FMC Technologies, Inc.*

 

1,097,563

 

96,642

 

Halliburton Co.

 

3,656,933

 

11,303

 

Helmerich & Payne, Inc.

 

512,704

 

31,225

 

Hess Corp.

 

2,187,311

 

75,805

 

Marathon Oil Corp.

 

2,537,193

 

11,022

 

Massey Energy Co.

 

541,290

 

20,472

 

Murphy Oil Corp.

 

1,382,270

 

30,467

 

Nabors Industries Ltd.*

 

673,016

 

44,771

 

National Oilwell Varco, Inc.

 

2,744,015

 

18,644

 

Noble Energy, Inc.

 

1,514,825

 

86,769

 

Occidental Petroleum Corp.

 

7,650,423

 

28,711

 

Peabody Energy Corp.

 

1,688,494

 

12,382

 

Pioneer Natural Resources Co.

 

991,922

 

18,692

 

QEP Resources, Inc.

 

656,650

 

17,027

 

Range Resources Corp.

 

714,964

 

12,301

 

Rowan Cos., Inc.*

 

370,875

 

145,937

 

Schlumberger Ltd.

 

11,286,802

 

36,983

 

Southwestern Energy Co.*

 

1,338,785

 

69,248

 

Spectra Energy Corp.

 

1,646,025

 

12,888

 

Sunoco, Inc.

 

517,324

 

15,081

 

Tesoro Corp.*

 

246,122

 

60,411

 

Valero Energy Corp.

 

1,176,806

 

62,409

 

Williams Cos., Inc. (The)

 

1,423,549

 

 

 

 

 

134,258,980

 

 

 

Financials - 12.0%

 

 

 

 

 

 

 

 

 

35,921

 

ACE Ltd.

 

2,102,097

 

50,181

 

Aflac, Inc.

 

2,584,322

 

57,460

 

Allstate Corp. (The)

 

1,672,661

 

112,010

 

American Express Co.

 

4,841,072

 

14,415

 

American International Group, Inc.*

 

595,195

 

26,856

 

Ameriprise Financial, Inc.

 

1,392,215

 

35,098

 

AON Corp.

 

1,408,132

 

12,501

 

Apartment Investment & Management Co., Class A (REIT)

 

301,524

 

11,410

 

Assurant, Inc.

 

402,431

 

9,131

 

AvalonBay Communities, Inc. (REIT)

 

1,007,423

 

1,071,958

 

Bank of America Corp.

 

11,737,940

 

129,573

 

Bank of New York Mellon Corp. (The)

 

3,497,175

 

73,933

 

BB&T Corp.

 

1,715,246

 

185,103

 

Berkshire Hathaway, Inc., Class B*

 

14,749,007

 

14,869

 

Boston Properties, Inc. (REIT)

 

1,246,022

 

48,776

 

Capital One Financial Corp.

 

1,815,930

 

30,985

 

CB Richard Ellis Group, Inc., Class A*

 

594,602

 

104,421

 

Charles Schwab Corp. (The)

 

1,569,448

 

33,655

 

Chubb Corp.

 

1,918,672

 

17,417

 

Cincinnati Financial Corp.

 

525,035

 

2,724,861

 

Citigroup, Inc.*

 

11,444,416

 

7,189

 

CME Group, Inc.

 

2,070,863

 

18,847

 

Comerica, Inc.

 

687,727

 

58,093

 

Discover Financial Services

 

1,061,940

 

21,172

 

E*Trade Financial Corp.*

 

312,287

 

30,229

 

Equity Residential (REIT)

 

1,510,845

 

9,459

 

Federated Investors, Inc., Class B

 

224,273

 

84,917

 

Fifth Third Bancorp

 

1,014,758

 

24,825

 

First Horizon National Corp.*

 

237,575

 

15,831

 

Franklin Resources, Inc.

 

1,806,159

 

52,248

 

Genworth Financial, Inc., Class A*

 

609,212

 

54,985

 

Goldman Sachs Group, Inc. (The)

 

8,585,358

 

47,443

 

Hartford Financial Services Group, Inc.

 

1,056,081

 

33,134

 

HCP, Inc. (REIT)

 

1,091,103

 

14,174

 

Health Care REIT, Inc. (REIT)

 

655,973

 

70,338

 

Host Hotels & Resorts, Inc. (REIT)

 

1,159,170

 

56,352

 

Hudson City Bancorp, Inc.

 

639,595

 

76,549

 

Huntington Bancshares, Inc./OH

 

446,663

 

7,897

 

IntercontinentalExchange, Inc.*

 

889,992

 

49,899

 

Invesco Ltd.

 

1,084,804

 

19,641

 

Janus Capital Group, Inc.

 

205,052

 

424,286

 

JPMorgan Chase & Co.

 

15,859,811

 

93,915

 

KeyCorp

 

707,180

 

43,338

 

Kimco Realty Corp. (REIT)

 

722,011

 

16,519

 

Legg Mason, Inc.

 

538,850

 

20,188

 

Leucadia National Corp.*

 

524,080

 

33,896

 

Lincoln National Corp.

 

809,437

 

34,008

 

Loews Corp.

 

1,272,239

 

12,734

 

M&T Bank Corp.

 

980,009

 

57,833

 

Marsh & McLennan Cos., Inc.

 

1,450,452

 

56,324

 

Marshall & Ilsley Corp.

 

269,792

 

97,021

 

MetLife, Inc.

 

3,701,351

 

20,923

 

Moody’s Corp.

 

561,364

 

161,712

 

Morgan Stanley

 

3,955,476

 

15,594

 

NASDAQ OMX Group, Inc. (The)*

 

334,647

 

25,866

 

Northern Trust Corp.

 

1,301,060

 

27,875

 

NYSE Euronext

 

761,545

 

40,062

 

People’s United Financial, Inc.

 

496,368

 

17,412

 

Plum Creek Timber Co., Inc. (REIT)

 

627,528

 

56,204

 

PNC Financial Services Group, Inc.

 

3,026,585

 

34,170

 

Principal Financial Group, Inc.

 

930,791

 

71,659

 

Progressive Corp. (The)

 

1,457,544

 

59,517

 

ProLogis (REIT)

 

774,316

 

49,787

 

Prudential Financial, Inc.

 

2,523,205

 

14,946

 

Public Storage (REIT)

 

1,443,784

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

134,178

 

Regions Financial Corp.

 

$

721,878

 

31,264

 

Simon Property Group, Inc. (REIT)

 

3,079,504

 

51,898

 

SLM Corp.*

 

599,422

 

53,620

 

State Street Corp.

 

2,316,384

 

53,416

 

SunTrust Banks, Inc.

 

1,247,798

 

27,780

 

T. Rowe Price Group, Inc.

 

1,620,407

 

8,814

 

Torchmark Corp.

 

506,541

 

50,196

 

Travelers Cos., Inc. (The)

 

2,710,082

 

204,817

 

U.S. Bancorp

 

4,870,548

 

35,645

 

Unum Group

 

766,011

 

16,772

 

Ventas, Inc. (REIT)

 

859,900

 

17,351

 

Vornado Realty Trust (REIT)

 

1,415,495

 

560,003

 

Wells Fargo & Co.

 

15,237,682

 

36,419

 

XL Group plc

 

715,998

 

18,469

 

Zions Bancorp.

 

359,222

 

 

 

 

 

174,526,292

 

 

 

Health Care - 8.8%

 

 

 

 

 

 

 

 

 

164,899

 

Abbott Laboratories

 

7,669,453

 

44,652

 

Aetna, Inc.

 

1,322,592

 

32,857

 

Allergan, Inc.

 

2,177,433

 

30,238

 

AmerisourceBergen Corp.

 

932,842

 

102,328

 

Amgen, Inc.*

 

5,391,662

 

62,518

 

Baxter International, Inc.

 

3,035,249

 

24,953

 

Becton, Dickinson and Co.

 

1,944,587

 

25,862

 

Biogen Idec, Inc.*

 

1,654,392

 

161,981

 

Boston Scientific Corp.*

 

1,039,918

 

183,808

 

Bristol-Myers Squibb Co.

 

4,639,314

 

10,169

 

C.R. Bard, Inc.

 

862,840

 

37,586

 

Cardinal Health, Inc.

 

1,337,310

 

23,783

 

CareFusion Corp.*

 

543,917

 

50,264

 

Celgene Corp.*

 

2,984,676

 

8,050

 

Cephalon, Inc.*

 

511,095

 

7,588

 

Cerner Corp.*

 

666,682

 

29,605

 

CIGNA Corp.

 

1,089,760

 

15,796

 

Coventry Health Care, Inc.*

 

399,955

 

11,097

 

DaVita, Inc.*

 

806,752

 

15,694

 

DENTSPLY International, Inc.

 

485,259

 

108,421

 

Eli Lilly & Co.

 

3,649,451

 

58,057

 

Express Scripts, Inc.*

 

3,024,189

 

30,520

 

Forest Laboratories, Inc.*

 

973,283

 

27,264

 

Genzyme Corp.*

 

1,941,742

 

89,632

 

Gilead Sciences, Inc.*

 

3,271,568

 

17,728

 

Hospira, Inc.*

 

997,377

 

18,187

 

Humana, Inc.*

 

1,019,199

 

4,166

 

Intuitive Surgical, Inc.*

 

1,084,368

 

294,731

 

Johnson & Johnson

 

18,140,693

 

26,674

 

King Pharmaceuticals, Inc.*

 

377,437

 

11,151

 

Laboratory Corp. of America Holdings*

 

914,717

 

19,502

 

Life Technologies Corp.*

 

971,297

 

27,965

 

McKesson Corp.

 

1,786,964

 

46,319

 

Medco Health Solutions, Inc.*

 

2,840,281

 

115,573

 

Medtronic, Inc.

 

3,875,163

 

329,332

 

Merck & Co., Inc.

 

11,352,074

 

46,511

 

Mylan, Inc.*

 

909,988

 

9,929

 

Patterson Cos., Inc.

 

295,189

 

12,575

 

PerkinElmer, Inc.

 

292,998

 

860,137

 

Pfizer, Inc.

 

14,011,632

 

16,199

 

Quest Diagnostics, Inc.

 

798,935

 

36,459

 

St. Jude Medical, Inc.*

 

1,410,599

 

36,515

 

Stryker Corp.

 

1,829,036

 

51,914

 

Tenet Healthcare Corp.*

 

211,809

 

43,878

 

Thermo Fisher Scientific, Inc.*

 

2,231,635

 

120,304

 

UnitedHealth Group, Inc.

 

4,393,502

 

13,210

 

Varian Medical Systems, Inc.*

 

869,614

 

9,966

 

Waters Corp.*

 

766,086

 

13,333

 

Watson Pharmaceuticals, Inc.*

 

649,850

 

42,733

 

WellPoint, Inc.*

 

2,381,937

 

21,699

 

Zimmer Holdings, Inc.*

 

1,068,893

 

 

 

 

 

127,837,194

 

 

 

Industrials - 8.6%

 

 

 

 

 

 

 

 

 

76,200

 

3M Co.

 

6,399,276

 

11,832

 

Avery Dennison Corp.

 

444,173

 

78,285

 

Boeing Co. (The)

 

4,992,234

 

17,739

 

C.H. Robinson Worldwide, Inc.

 

1,307,542

 

67,461

 

Caterpillar, Inc.

 

5,707,201

 

14,036

 

Cintas Corp.

 

375,393

 

40,630

 

CSX Corp.

 

2,470,710

 

21,465

 

Cummins, Inc.

 

2,084,681

 

57,267

 

Danaher Corp.

 

2,476,798

 

45,412

 

Deere & Co.

 

3,392,276

 

19,955

 

Dover Corp.

 

1,093,734

 

5,372

 

Dun & Bradstreet Corp.

 

404,726

 

17,910

 

Eaton Corp.

 

1,726,524

 

80,470

 

Emerson Electric Co.

 

4,431,483

 

13,529

 

Equifax, Inc.

 

468,239

 

22,767

 

Expeditors International of Washington, Inc.

 

1,204,374

 

15,777

 

Fastenal Co.

 

844,385

 

33,436

 

FedEx Corp.

 

3,046,688

 

6,013

 

Flowserve Corp.

 

634,131

 

19,083

 

Fluor Corp.

 

1,103,570

 

40,678

 

General Dynamics Corp.

 

2,688,409

 

1,144,018

 

General Electric Co.

 

18,109,805

 

13,386

 

Goodrich Corp.

 

1,148,117

 

82,639

 

Honeywell International, Inc.

 

4,107,985

 

53,891

 

Illinois Tool Works, Inc.

 

2,566,828

 

34,396

 

Ingersoll-Rand plc

 

1,410,236

 

21,549

 

Iron Mountain, Inc.

 

478,603

 

19,613

 

ITT Corp.

 

902,198

 

13,346

 

Jacobs Engineering Group, Inc.*

 

513,821

 

12,357

 

L-3 Communications Holdings, Inc.

 

869,068

 

31,810

 

Lockheed Martin Corp.

 

2,164,352

 

38,338

 

Masco Corp.

 

418,268

 

39,561

 

Norfolk Southern Corp.

 

2,380,385

 

31,492

 

Northrop Grumman Corp.

 

1,942,427

 

38,986

 

PACCAR, Inc.

 

2,099,786

 

12,510

 

Pall Corp.

 

566,328

 

17,187

 

Parker Hannifin Corp.

 

1,378,913

 

22,179

 

Pitney Bowes, Inc.

 

486,607

 

15,187

 

Precision Castparts Corp.

 

2,096,869

 

22,518

 

Quanta Services, Inc.*

 

396,542

 

22,050

 

R.R. Donnelley & Sons Co.

 

347,508

 

40,018

 

Raytheon Co.

 

1,850,833

 

32,781

 

Republic Services, Inc.

 

922,457

 

16,060

 

Robert Half International, Inc.

 

445,183

 

15,246

 

Rockwell Automation, Inc.

 

1,008,066

 

16,830

 

Rockwell Collins, Inc.

 

943,490

 

9,998

 

Roper Industries, Inc.

 

723,955

 

5,694

 

Ryder System, Inc.

 

245,468

 

6,174

 

Snap-On, Inc.

 

326,790

 

79,511

 

Southwest Airlines Co.

 

1,059,087

 

9,058

 

Stericycle, Inc.*

 

669,386

 

29,168

 

Textron, Inc.

 

652,196

 

53,250

 

Tyco International Ltd.

 

2,017,643

 

53,235

 

Union Pacific Corp.

 

4,797,006

 

105,819

 

United Parcel Service, Inc., Class B

 

7,421,086

 

99,396

 

United Technologies Corp.

 

7,481,537

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,355

 

W.W. Grainger, Inc.

 

$

793,930

 

51,682

 

Waste Management, Inc.

 

1,770,109

 

 

 

 

 

124,809,415

 

 

 

Information Technology - 14.9%

 

 

 

 

 

 

 

 

 

56,271

 

Adobe Systems, Inc.*

 

1,560,395

 

60,430

 

Advanced Micro Devices, Inc.*

 

440,535

 

37,216

 

Agilent Technologies, Inc.*

 

1,303,304

 

19,395

 

Akamai Technologies, Inc.*

 

1,012,225

 

32,151

 

Altera Corp.

 

1,128,179

 

18,555

 

Amphenol Corp., Class A

 

928,307

 

31,813

 

Analog Devices, Inc.

 

1,131,270

 

97,779

 

Apple, Inc.*

 

30,423,936

 

143,623

 

Applied Materials, Inc.

 

1,785,234

 

24,528

 

Autodesk, Inc.*

 

865,593

 

52,637

 

Automatic Data Processing, Inc.

 

2,346,031

 

19,417

 

BMC Software, Inc.*

 

862,115

 

47,929

 

Broadcom Corp., Class A

 

2,132,361

 

41,771

 

CA, Inc.

 

956,138

 

610,192

 

Cisco Systems, Inc.*

 

11,691,279

 

19,829

 

Citrix Systems, Inc.*

 

1,317,042

 

31,976

 

Cognizant Technology Solutions Corp., Class A*

 

2,077,800

 

16,468

 

Computer Sciences Corp.

 

734,967

 

24,039

 

Compuware Corp.*

 

247,602

 

166,731

 

Corning, Inc.

 

2,944,469

 

181,040

 

Dell, Inc.*

 

2,393,349

 

123,570

 

eBay, Inc.*

 

3,599,594

 

35,008

 

Electronic Arts, Inc.*

 

521,969

 

219,646

 

EMC Corp.*

 

4,720,193

 

28,207

 

Fidelity National Information Services, Inc.

 

758,768

 

5,761

 

First Solar, Inc.*

 

707,739

 

16,346

 

Fiserv, Inc.*

 

903,934

 

16,316

 

FLIR Systems, Inc.*

 

437,350

 

26,606

 

Google, Inc., Class A*

 

14,785,220

 

13,878

 

Harris Corp.

 

613,963

 

242,674

 

Hewlett-Packard Co.

 

10,175,321

 

594,450

 

Intel Corp.

 

12,554,784

 

134,973

 

International Business Machines Corp.

 

19,093,281

 

30,250

 

Intuit, Inc.*

 

1,357,923

 

20,702

 

Jabil Circuit, Inc.

 

312,807

 

24,037

 

JDS Uniphase Corp.*

 

285,319

 

56,289

 

Juniper Networks, Inc.*

 

1,914,952

 

18,184

 

KLA-Tencor Corp.

 

666,807

 

8,422

 

Lexmark International, Inc., Class A*

 

305,213

 

23,952

 

Linear Technology Corp.

 

780,835

 

69,966

 

LSI Corp.*

 

401,605

 

10,355

 

Mastercard, Inc., Class A

 

2,454,446

 

16,703

 

McAfee, Inc.*

 

782,536

 

24,297

 

MEMC Electronic Materials, Inc.*

 

281,116

 

19,804

 

Microchip Technology, Inc.

 

665,612

 

91,262

 

Micron Technology, Inc.*

 

662,562

 

814,874

 

Microsoft Corp.

 

20,542,974

 

14,483

 

Molex, Inc.

 

301,246

 

13,433

 

Monster Worldwide, Inc.*

 

303,317

 

248,192

 

Motorola, Inc.*

 

1,901,151

 

25,425

 

National Semiconductor Corp.

 

339,424

 

38,205

 

NetApp, Inc.*

 

1,945,781

 

37,356

 

Novell, Inc.*

 

222,642

 

10,329

 

Novellus Systems, Inc.*

 

311,419

 

61,097

 

NVIDIA Corp.*

 

830,919

 

414,139

 

Oracle Corp.

 

11,198,319

 

34,373

 

Paychex, Inc.

 

981,005

 

11,938

 

QLogic Corp.*

 

213,571

 

171,782

 

QUALCOMM, Inc.

 

8,029,091

 

20,170

 

Red Hat, Inc.*

 

877,395

 

31,253

 

SAIC, Inc.*

 

478,796

 

12,529

 

Salesforce.com, Inc.*

 

1,744,287

 

24,537

 

SanDisk Corp.*

 

1,094,350

 

85,445

 

Symantec Corp.*

 

1,435,476

 

41,204

 

Tellabs, Inc.

 

259,997

 

17,831

 

Teradata Corp.*

 

732,676

 

19,253

 

Teradyne, Inc.*

 

228,341

 

127,901

 

Texas Instruments, Inc.

 

4,067,252

 

17,749

 

Total System Services, Inc.

 

267,832

 

18,632

 

VeriSign, Inc.*

 

639,264

 

53,178

 

Visa, Inc., Class A

 

3,927,195

 

24,486

 

Western Digital Corp.*

 

820,281

 

70,624

 

Western Union Co. (The)

 

1,245,807

 

147,300

 

Xerox Corp.

 

1,688,058

 

27,662

 

Xilinx, Inc.

 

750,193

 

144,279

 

Yahoo!, Inc.*

 

2,275,280

 

 

 

 

 

217,679,319

 

 

 

Materials - 2.9%

 

 

 

 

 

 

 

 

 

22,700

 

Air Products & Chemicals, Inc.

 

1,957,194

 

7,965

 

Airgas, Inc.

 

486,661

 

11,765

 

AK Steel Holding Corp.

 

156,239

 

109,106

 

Alcoa, Inc.

 

1,431,471

 

10,535

 

Allegheny Technologies, Inc.

 

544,659

 

9,868

 

Ball Corp.

 

650,104

 

11,654

 

Bemis Co., Inc.

 

366,169

 

7,601

 

CF Industries Holdings, Inc.

 

917,973

 

14,472

 

Cliffs Natural Resources, Inc.

 

989,016

 

123,324

 

Dow Chemical Co. (The)

 

3,845,242

 

96,821

 

E.I. du Pont de Nemours & Co.

 

4,549,619

 

7,755

 

Eastman Chemical Co.

 

603,417

 

24,911

 

Ecolab, Inc.

 

1,190,995

 

7,793

 

FMC Corp.

 

606,451

 

50,427

 

Freeport-McMoRan Copper & Gold, Inc.

 

5,109,264

 

8,475

 

International Flavors & Fragrances, Inc.

 

445,107

 

46,645

 

International Paper Co.

 

1,164,726

 

18,250

 

MeadWestvaco Corp.

 

453,330

 

57,827

 

Monsanto Co.

 

3,464,994

 

52,485

 

Newmont Mining Corp.

 

3,087,693

 

33,674

 

Nucor Corp.

 

1,270,857

 

17,653

 

Owens-Illinois, Inc.*

 

474,513

 

17,743

 

PPG Industries, Inc.

 

1,383,244

 

32,671

 

Praxair, Inc.

 

3,007,366

 

17,033

 

Sealed Air Corp.

 

396,017

 

9,849

 

Sherwin-Williams Co. (The)

 

730,500

 

12,957

 

Sigma-Aldrich Corp.

 

819,141

 

8,957

 

Titanium Metals Corp.*

 

154,687

 

15,329

 

United States Steel Corp.

 

745,143

 

13,614

 

Vulcan Materials Co.

 

546,194

 

57,218

 

Weyerhaeuser Co.

 

954,968

 

 

 

 

 

42,502,954

 

 

 

Telecommunication Services - 2.4%

 

 

 

 

 

 

 

 

 

43,137

 

American Tower Corp., Class A*

 

2,181,438

 

631,308

 

AT&T, Inc.

 

17,544,049

 

32,075

 

CenturyLink, Inc.

 

1,378,904

 

105,890

 

Frontier Communications Corp.

 

963,599

 

27,909

 

MetroPCS Communications, Inc.*

 

339,094

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

186,103

 

Qwest Communications International, Inc.

 

$

1,302,721

 

318,430

 

Sprint Nextel Corp.*

 

1,203,666

 

302,033

 

Verizon Communications, Inc.

 

9,668,076

 

51,611

 

Windstream Corp.

 

673,008

 

 

 

 

 

35,254,555

 

 

 

Utilities - 2.7%

 

 

 

 

 

 

 

 

 

71,376

 

AES Corp. (The)*

 

771,574

 

18,134

 

Allegheny Energy, Inc.

 

413,818

 

25,453

 

Ameren Corp.

 

731,010

 

51,148

 

American Electric Power Co., Inc.

 

1,820,869

 

44,441

 

CenterPoint Energy, Inc.

 

694,613

 

24,644

 

CMS Energy Corp.

 

442,853

 

30,121

 

Consolidated Edison, Inc.

 

1,456,953

 

21,562

 

Constellation Energy Group, Inc.

 

611,498

 

63,043

 

Dominion Resources, Inc.

 

2,618,176

 

17,975

 

DTE Energy Co.

 

800,786

 

140,247

 

Duke Energy Corp.

 

2,461,335

 

34,814

 

Edison International

 

1,286,029

 

20,248

 

Entergy Corp.

 

1,442,467

 

70,561

 

Exelon Corp.

 

2,777,987

 

32,563

 

FirstEnergy Corp.

 

1,143,287

 

8,216

 

Integrys Energy Group, Inc.

 

400,119

 

44,298

 

NextEra Energy, Inc.

 

2,242,365

 

4,868

 

Nicor, Inc.

 

210,541

 

29,618

 

NiSource, Inc.

 

495,509

 

18,806

 

Northeast Utilities

 

584,867

 

27,295

 

NRG Energy, Inc.*

 

528,977

 

11,373

 

Oneok, Inc.

 

581,274

 

23,837

 

Pepco Holdings, Inc.

 

437,409

 

41,805

 

PG&E Corp.

 

1,961,909

 

11,577

 

Pinnacle West Capital Corp.

 

467,942

 

51,660

 

PPL Corp.

 

1,312,681

 

31,297

 

Progress Energy, Inc.

 

1,367,366

 

54,064

 

Public Service Enterprise Group, Inc.

 

1,666,793

 

12,131

 

SCANA Corp.

 

492,761

 

26,434

 

Sempra Energy

 

1,324,079

 

88,877

 

Southern Co.

 

3,352,440

 

22,827

 

TECO Energy, Inc.

 

382,352

 

12,509

 

Wisconsin Energy Corp.

 

753,292

 

49,102

 

Xcel Energy, Inc.

 

1,153,897

 

 

 

 

 

39,189,828

 

 

 

Total Common Stocks
(Cost $1,112,170,317)

 

1,146,653,221

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 4.4%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

20,556,308

 

0.07%, due 12/01/10

 

20,556,308

 

42,756,291

 

0.09%, due 12/06/10

 

42,756,291

 

 

 

Total U.S. Government & Agency Securities (Cost $63,312,599)

 

63,312,599

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 10.0%

 

 

 

146,072,102

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $146,074,097

 

146,072,102

 

 

 

Total Repurchase Agreements
(Cost $146,072,102)

 

146,072,102

 

 

 

Total Investment Securities

 

 

 

 

 

(Cost $1,321,555,018) — 93.1%

 

1,356,037,922

 

 

 

Other assets less liabilities — 6.9%

 

100,650,556

 

 

 

Net Assets — 100.0%

 

$

1,456,688,478

 

 

*                                         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. At 11/30/10, the aggregate amount held in a segregated account was $123,892,053.

(b)                                 The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT       Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

86,285,205

 

Aggregate gross unrealized depreciation

 

(57,076,397

)

Net unrealized appreciation

 

$

29,208,808

 

Federal income tax cost of investments

 

$

1,326,829,114

 

 

See accompanying notes to the financial statements.


 

Futures Contracts Purchased

Ultra S&P500® had the following open long futures contracts as of November 30, 2010:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P 500 Futures Contracts

 

828

 

12/17/10

 

$

48,831,300

 

$

3,521,567

 

 

Cash collateral in the amount of $4,852,901 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

 

Swap Agreements

Ultra S&P500® had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse International, based on the S&P 500® Index

 

$

953,176,427

 

$

81,236,920

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P 500® Index

 

113,227,172

 

6,349,554

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P 500® Index

 

139,496,491

 

(3,479,686

)

 

 

 

 

 

 

Equity Index Swap Agreement with Goldman Sachs International, based on the S&P 500® Index

 

26,759,104

 

(922,361

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the S&P 500® Index

 

63,366,510

 

(2,191,358

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P 500® Index

 

146,466,892

 

(4,697,611

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P 500® Index

 

275,405,701

 

18,940,495

 

 

 

 

 

 

 

 

 

 

 

$

95,235,953

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell3000

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 14.3%

 

 

 

 

 

Consumer Discretionary - 1.7%

 

 

 

 

 

 

 

 

 

2

 

1-800-Flowers.com, Inc., Class A*

 

$

4

 

3

 

99 Cents Only Stores*

 

47

 

1

 

A.H. Belo Corp., Class A*

 

9

 

5

 

Aaron’s, Inc.

 

100

 

6

 

Abercrombie & Fitch Co., Class A

 

302

 

6

 

Advance Auto Parts, Inc.

 

396

 

7

 

Aeropostale, Inc.*

 

189

 

2

 

AFC Enterprises, Inc.*

 

27

 

25

 

Amazon.com, Inc.*

 

4,385

 

1

 

Ambassadors Group, Inc.

 

11

 

2

 

American Apparel, Inc.*

 

3

 

4

 

American Axle & Manufacturing Holdings, Inc.*

 

43

 

14

 

American Eagle Outfitters, Inc.

 

231

 

3

 

American Greetings Corp., Class A

 

60

 

1

 

American Public Education, Inc.*

 

34

 

1

 

America’s Car-Mart, Inc.*

 

25

 

2

 

Amerigon, Inc.*

 

21

 

2

 

Ameristar Casinos, Inc.

 

36

 

4

 

AnnTaylor Stores Corp.*

 

108

 

9

 

Apollo Group, Inc., Class A*

 

306

 

2

 

Arbitron, Inc.

 

58

 

1

 

Arctic Cat, Inc.*

 

15

 

2

 

Asbury Automotive Group, Inc.*

 

31

 

1

 

Ascent Media Corp., Class A*

 

31

 

1

 

Audiovox Corp., Class A*

 

7

 

6

 

Autoliv, Inc.

 

441

 

5

 

AutoNation, Inc.*

 

131

 

2

 

AutoZone, Inc.*

 

519

 

1

 

Ballantyne Strong, Inc.*

 

7

 

4

 

Bally Technologies, Inc.*

 

157

 

3

 

Barnes & Noble, Inc.

 

42

 

5

 

Beazer Homes USA, Inc.*

 

21

 

2

 

bebe stores, inc.

 

13

 

19

 

Bed Bath & Beyond, Inc.*

 

831

 

7

 

Belo Corp., Class A*

 

41

 

24

 

Best Buy Co., Inc.

 

1,025

 

2

 

Big 5 Sporting Goods Corp.

 

28

 

5

 

Big Lots, Inc.*

 

153

 

2

 

BJ’s Restaurants, Inc.*

 

73

 

1

 

Blue Nile, Inc.*

 

49

 

1

 

Bluegreen Corp.*

 

3

 

2

 

Bob Evans Farms, Inc.

 

62

 

1

 

Bon-Ton Stores, Inc. (The)*

 

13

 

1

 

Books-A-Million, Inc.

 

6

 

4

 

Borders Group, Inc.*

 

4

 

9

 

BorgWarner, Inc.*

 

543

 

4

 

Boyd Gaming Corp.*

 

36

 

1

 

Bridgepoint Education, Inc.*

 

15

 

7

 

Brinker International, Inc.

 

143

 

1

 

Brookfield Homes Corp.*

 

9

 

3

 

Brown Shoe Co., Inc.

 

43

 

6

 

Brunswick Corp.

 

96

 

2

 

Buckle, Inc. (The)

 

76

 

1

 

Buffalo Wild Wings, Inc.*

 

48

 

1

 

Build-A-Bear Workshop, Inc.*

 

6

 

3

 

Cabela’s, Inc.*

 

67

 

17

 

Cablevision Systems Corp., Class A

 

538

 

1

 

California Pizza Kitchen, Inc.*

 

17

 

5

 

Callaway Golf Co.

 

38

 

1

 

Cambium Learning Group, Inc.*

 

3

 

1

 

Capella Education Co.*

 

55

 

5

 

Career Education Corp.*

 

89

 

1

 

Caribou Coffee Co., Inc.*

 

11

 

16

 

CarMax, Inc.*

 

526

 

1

 

Carmike Cinemas, Inc.*

 

8

 

32

 

Carnival Corp.

 

1,322

 

1

 

Carrols Restaurant Group, Inc.*

 

7

 

4

 

Carter’s, Inc.*

 

127

 

3

 

Casual Male Retail Group, Inc.*

 

14

 

2

 

Cato Corp. (The), Class A

 

57

 

49

 

CBS Corp., Class B

 

825

 

2

 

CEC Entertainment, Inc.*

 

75

 

3

 

Central European Media Enterprises Ltd., Class A*

 

57

 

8

 

Charming Shoppes, Inc.*

 

30

 

4

 

Cheesecake Factory, Inc. (The)*

 

127

 

1

 

Cherokee, Inc.

 

20

 

13

 

Chico’s FAS, Inc.

 

157

 

2

 

Children’s Place Retail Stores, Inc. (The)*

 

104

 

2

 

Chipotle Mexican Grill, Inc.*

 

517

 

2

 

Choice Hotels International, Inc.

 

75

 

3

 

Christopher & Banks Corp.

 

16

 

1

 

Churchill Downs, Inc.

 

40

 

4

 

Cinemark Holdings, Inc.

 

70

 

1

 

Citi Trends, Inc.*

 

24

 

4

 

CKX, Inc.*

 

17

 

3

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

41

 

22

 

Coach, Inc.

 

1,244

 

2

 

Coinstar, Inc.*

 

129

 

4

 

Coldwater Creek, Inc.*

 

14

 

5

 

Collective Brands, Inc.*

 

84

 

1

 

Columbia Sportswear Co.

 

56

 

203

 

Comcast Corp., Class A

 

4,060

 

1

 

Conn’s, Inc.*

 

3

 

4

 

Cooper Tire & Rubber Co.

 

84

 

1

 

Core-Mark Holding Co., Inc.*

 

36

 

6

 

Corinthian Colleges, Inc.*

 

25

 

2

 

Cracker Barrel Old Country Store, Inc.

 

105

 

6

 

CROCS, Inc.*

 

105

 

2

 

Crown Media Holdings, Inc., Class A*

 

5

 

1

 

CSS Industries, Inc.

 

18

 

1

 

Culp, Inc.*

 

10

 

2

 

Cumulus Media, Inc., Class A*

 

7

 

20

 

D.R. Horton, Inc.

 

201

 

10

 

Dana Holding Corp.*

 

151

 

10

 

Darden Restaurants, Inc.

 

490

 

3

 

Deckers Outdoor Corp.*

 

231

 

7

 

Denny’s Corp.*

 

26

 

5

 

DeVry, Inc.

 

215

 

4

 

Dex One Corp.*

 

19

 

6

 

Dick’s Sporting Goods, Inc.*

 

205

 

3

 

Dillard’s, Inc., Class A

 

94

 

1

 

DineEquity, Inc.*

 

53

 

64

 

DIRECTV, Class A*

 

2,658

 

21

 

Discovery Communications, Inc., Class A*

 

856

 

14

 

DISH Network Corp., Class A*

 

257

 

5

 

Dollar General Corp.*

 

164

 

9

 

Dollar Tree, Inc.*

 

495

 

3

 

Domino’s Pizza, Inc.*

 

44

 

1

 

Dorman Products, Inc.*

 

40

 

5

 

DreamWorks Animation SKG, Inc., Class A*

 

155

 

4

 

Dress Barn, Inc. (The)*

 

99

 

1

 

Drew Industries, Inc.*

 

20

 

7

 

Drugstore.com, Inc.*

 

12

 

1

 

DSW, Inc., Class A*

 

39

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2

 

E.W. Scripps Co. (The), Class A*

 

$

18

 

19

 

Eastman Kodak Co.*

 

89

 

3

 

Education Management Corp.*

 

42

 

2

 

Empire Resorts, Inc.*

 

2

 

2

 

Entercom Communications Corp., Class A*

 

17

 

4

 

Entravision Communications Corp., Class A*

 

10

 

2

 

Ethan Allen Interiors, Inc.

 

33

 

5

 

Exide Technologies*

 

41

 

15

 

Expedia, Inc.

 

395

 

1

 

Express, Inc.*

 

15

 

10

 

Family Dollar Stores, Inc.

 

502

 

1

 

Federal-Mogul Corp.*

 

19

 

4

 

Finish Line (The), Class A

 

71

 

11

 

Foot Locker, Inc.

 

208

 

241

 

Ford Motor Co.*

 

3,842

 

11

 

Fortune Brands, Inc.

 

650

 

4

 

Fossil, Inc.*

 

271

 

3

 

Fred’s, Inc., Class A

 

38

 

1

 

Fuel Systems Solutions, Inc.*

 

35

 

3

 

Furniture Brands International, Inc.*

 

13

 

1

 

G-III Apparel Group Ltd.*

 

27

 

1

 

Gaiam, Inc., Class A

 

8

 

11

 

GameStop Corp., Class A*

 

219

 

17

 

Gannett Co., Inc.

 

223

 

31

 

Gap, Inc. (The)

 

662

 

8

 

Garmin Ltd.

 

232

 

3

 

Gaylord Entertainment Co.*

 

103

 

2

 

Genesco, Inc.*

 

77

 

10

 

Gentex Corp.

 

210

 

11

 

Genuine Parts Co.

 

530

 

2

 

Global Sources Ltd.*

 

18

 

18

 

Goodyear Tire & Rubber Co. (The)*

 

172

 

2

 

Grand Canyon Education, Inc.*

 

38

 

4

 

Gray Television, Inc.*

 

8

 

2

 

Group 1 Automotive, Inc.

 

77

 

5

 

Guess?, Inc.

 

236

 

22

 

H&R Block, Inc.

 

277

 

7

 

Hanesbrands, Inc.*

 

190

 

17

 

Harley-Davidson, Inc.

 

532

 

5

 

Harman International Industries, Inc.*

 

218

 

3

 

Harte-Hanks, Inc.

 

37

 

9

 

Hasbro, Inc.

 

429

 

1

 

Haverty Furniture Cos., Inc.

 

12

 

2

 

Helen of Troy Ltd.*

 

47

 

1

 

hhgregg, Inc.*

 

25

 

2

 

Hibbett Sports, Inc.*

 

69

 

5

 

Hillenbrand, Inc.

 

97

 

122

 

Home Depot, Inc.

 

3,686

 

1

 

Hooker Furniture Corp.

 

11

 

3

 

HOT Topic, Inc.

 

18

 

4

 

Hovnanian Enterprises, Inc., Class A*

 

15

 

3

 

HSN, Inc.*

 

85

 

3

 

Hyatt Hotels Corp., Class A*

 

126

 

5

 

Iconix Brand Group, Inc.*

 

93

 

22

 

International Game Technology

 

341

 

2

 

International Speedway Corp., Class A

 

47

 

35

 

Interpublic Group of Cos., Inc. (The)*

 

373

 

3

 

Interval Leisure Group, Inc.*

 

50

 

2

 

iRobot Corp.*

 

41

 

1

 

Isle of Capri Casinos, Inc.*

 

9

 

2

 

ITT Educational Services, Inc.*

 

117

 

4

 

J. Crew Group, Inc.*

 

175

 

17

 

J.C. Penney Co., Inc.

 

566

 

4

 

Jack in the Box, Inc.*

 

80

 

2

 

Jakks Pacific, Inc.*

 

38

 

4

 

Jamba, Inc.*

 

8

 

7

 

Jarden Corp.

 

215

 

2

 

Jo-Ann Stores, Inc.*

 

97

 

3

 

Joe’s Jeans, Inc.*

 

5

 

3

 

John Wiley & Sons, Inc., Class A

 

125

 

49

 

Johnson Controls, Inc.

 

1,786

 

6

 

Jones Group, Inc. (The)

 

81

 

2

 

JoS. A. Bank Clothiers, Inc.*

 

90

 

3

 

Journal Communications, Inc., Class A*

 

14

 

2

 

K12, Inc.*

 

51

 

6

 

KB Home

 

68

 

1

 

Kenneth Cole Productions, Inc., Class A*

 

14

 

1

 

Kid Brands, Inc.*

 

9

 

1

 

Kirkland’s, Inc.*

 

12

 

2

 

Knology, Inc.*

 

31

 

22

 

Kohl’s Corp.*

 

1,241

 

4

 

Krispy Kreme Doughnuts, Inc.*

 

24

 

2

 

K-Swiss, Inc., Class A*

 

25

 

4

 

Lamar Advertising Co., Class A*

 

147

 

23

 

Las Vegas Sands Corp.*

 

1,152

 

4

 

La-Z-Boy, Inc.*

 

30

 

2

 

Leapfrog Enterprises, Inc.*

 

11

 

4

 

Lear Corp.*

 

351

 

3

 

Lee Enterprises, Inc.*

 

6

 

11

 

Leggett & Platt, Inc.

 

228

 

12

 

Lennar Corp., Class A

 

182

 

1

 

Libbey, Inc.*

 

14

 

17

 

Liberty Global, Inc., Class A*

 

599

 

5

 

Liberty Media Corp. - Capital, Class A*

 

288

 

43

 

Liberty Media Corp. - Interactive, Class A*

 

665

 

4

 

Liberty Media Corp. - Starz, Class A*

 

251

 

3

 

Life Time Fitness, Inc.*

 

118

 

1

 

Lifetime Brands, Inc.*

 

15

 

19

 

Limited Brands, Inc.

 

640

 

2

 

LIN TV Corp., Class A*

 

9

 

1

 

Lincoln Educational Services Corp.*

 

15

 

5

 

Lions Gate Entertainment Corp.*

 

36

 

2

 

Lithia Motors, Inc., Class A

 

26

 

10

 

Live Nation Entertainment, Inc.*

 

108

 

7

 

Liz Claiborne, Inc.*

 

51

 

10

 

LKQ Corp.*

 

216

 

2

 

LodgeNet Interactive Corp.*

 

6

 

104

 

Lowe’s Cos., Inc.

 

2,361

 

2

 

Lumber Liquidators Holdings, Inc.*

 

47

 

1

 

M/I Homes, Inc.*

 

12

 

1

 

Mac-Gray Corp.

 

14

 

31

 

Macy’s, Inc.

 

796

 

4

 

Madison Square Garden, Inc., Class A*

 

88

 

2

 

Maidenform Brands, Inc.*

 

55

 

1

 

Marcus Corp.

 

13

 

1

 

Marine Products Corp.*

 

6

 

2

 

MarineMax, Inc.*

 

15

 

20

 

Marriott International, Inc., Class A

 

784

 

2

 

Martha Stewart Living Omnimedia, Class A*

 

9

 

26

 

Mattel, Inc.

 

672

 

2

 

Matthews International Corp., Class A

 

65

 

4

 

McClatchy Co. (The), Class A*

 

13

 

1

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

9

 

78

 

McDonald’s Corp.

 

6,107

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

23

 

McGraw-Hill Cos., Inc. (The)

 

$

793

 

3

 

MDC Holdings, Inc.

 

75

 

2

 

Media General, Inc., Class A*

 

9

 

3

 

Mediacom Communications Corp., Class A*

 

25

 

4

 

Men’s Wearhouse, Inc. (The)

 

114

 

3

 

Meredith Corp.

 

101

 

2

 

Meritage Homes Corp.*

 

38

 

22

 

MGM Resorts International*

 

269

 

1

 

Midas, Inc.*

 

8

 

3

 

Modine Manufacturing Co.*

 

42

 

4

 

Mohawk Industries, Inc.*

 

210

 

1

 

Monarch Casino & Resort, Inc.*

 

12

 

1

 

Monro Muffler Brake, Inc.

 

49

 

2

 

Morgans Hotel Group Co.*

 

15

 

2

 

Morningstar, Inc.*

 

101

 

1

 

Movado Group, Inc.*

 

12

 

2

 

Multimedia Games, Inc.*

 

9

 

1

 

National American University Holdings, Inc.

 

7

 

4

 

National CineMedia, Inc.

 

75

 

3

 

NetFlix, Inc.*

 

618

 

2

 

New York & Co., Inc.*

 

7

 

10

 

New York Times Co. (The), Class A*

 

90

 

23

 

Newell Rubbermaid, Inc.

 

386

 

165

 

News Corp., Class A

 

2,251

 

1

 

Nexstar Broadcasting Group, Inc., Class A*

 

5

 

26

 

NIKE, Inc., Class B

 

2,239

 

12

 

Nordstrom, Inc.

 

514

 

2

 

NutriSystem, Inc.

 

41

 

1

 

O’Charleys, Inc.*

 

7

 

20

 

Office Depot, Inc.*

 

87

 

6

 

OfficeMax, Inc.*

 

103

 

22

 

Omnicom Group, Inc.

 

1,000

 

1

 

Orbitz Worldwide, Inc.*

 

5

 

10

 

O’Reilly Automotive, Inc.*

 

602

 

7

 

Orient-Express Hotels Ltd., Class A*

 

81

 

1

 

Outdoor Channel Holdings, Inc.*

 

6

 

1

 

Overstock.com, Inc.*

 

15

 

1

 

Oxford Industries, Inc.

 

25

 

2

 

P.F. Chang’s China Bistro, Inc.

 

101

 

5

 

Pacific Sunwear of California, Inc.*

 

31

 

2

 

Panera Bread Co., Class A*

 

200

 

2

 

Papa John’s International, Inc.*

 

51

 

1

 

Peet’s Coffee & Tea, Inc.*

 

38

 

5

 

Penn National Gaming, Inc.*

 

176

 

3

 

Penske Automotive Group, Inc.*

 

45

 

4

 

PEP Boys-Manny Moe & Jack

 

50

 

1

 

Perry Ellis International, Inc.*

 

27

 

2

 

PetMed Express, Inc.

 

35

 

9

 

PetSmart, Inc.

 

341

 

4

 

Phillips-Van Heusen Corp.

 

271

 

8

 

Pier 1 Imports, Inc.*

 

78

 

4

 

Pinnacle Entertainment, Inc.*

 

53

 

2

 

Playboy Enterprises, Inc., Class B*

 

10

 

2

 

Polaris Industries, Inc.

 

145

 

4

 

Polo Ralph Lauren Corp.

 

437

 

4

 

Pool Corp.

 

85

 

1

 

Pre-Paid Legal Services, Inc.*

 

65

 

3

 

priceline.com, Inc.*

 

1,182

 

1

 

PRIMEDIA, Inc.

 

5

 

1

 

Princeton Review, Inc.*

 

1

 

24

 

PulteGroup, Inc.*

 

150

 

9

 

Quiksilver, Inc.*

 

39

 

1

 

R.G. Barry Corp.

 

12

 

2

 

Radio One, Inc., Class D*

 

2

 

8

 

RadioShack Corp.

 

148

 

2

 

RC2 Corp.*

 

44

 

1

 

Red Lion Hotels Corp.*

 

8

 

1

 

Red Robin Gourmet Burgers, Inc.*

 

19

 

6

 

Regal Entertainment Group, Class A

 

81

 

4

 

Regis Corp.

 

71

 

5

 

Rent-A-Center, Inc.

 

139

 

1

 

Rentrak Corp.*

 

26

 

2

 

Retail Ventures, Inc.*

 

33

 

9

 

Ross Stores, Inc.

 

584

 

10

 

Royal Caribbean Cruises Ltd.*

 

403

 

5

 

Ruby Tuesday, Inc.*

 

64

 

1

 

Rue21, Inc.*

 

30

 

2

 

Ruth’s Hospitality Group, Inc.*

 

10

 

3

 

Ryland Group, Inc.

 

44

 

10

 

Saks, Inc.*

 

111

 

7

 

Sally Beauty Holdings, Inc.*

 

96

 

2

 

Scholastic Corp.

 

56

 

5

 

Scientific Games Corp., Class A*

 

40

 

6

 

Scripps Networks Interactive, Inc., Class A

 

306

 

3

 

Sealy Corp.*

 

9

 

3

 

Sears Holdings Corp.*

 

196

 

4

 

Select Comfort Corp.*

 

35

 

18

 

Service Corp. International

 

145

 

1

 

Shoe Carnival, Inc.*

 

28

 

4

 

Shuffle Master, Inc.*

 

43

 

2

 

Shutterfly, Inc.*

 

66

 

6

 

Signet Jewelers Ltd.*

 

239

 

3

 

Sinclair Broadcast Group, Inc., Class A

 

23

 

281

 

Sirius XM Radio, Inc.*

 

385

 

3

 

Skechers U.S.A., Inc., Class A*

 

69

 

4

 

Smith & Wesson Holding Corp.*

 

15

 

3

 

Sonic Automotive, Inc., Class A*

 

37

 

4

 

Sonic Corp.*

 

37

 

5

 

Sotheby’s

 

201

 

2

 

Spartan Motors, Inc.

 

11

 

1

 

Speedway Motorsports, Inc.

 

15

 

3

 

Stage Stores, Inc.

 

45

 

1

 

Standard Motor Products, Inc.

 

13

 

8

 

Standard Pacific Corp.*

 

28

 

12

 

Stanley Black & Decker, Inc.

 

714

 

53

 

Staples, Inc.

 

1,167

 

54

 

Starbucks Corp.

 

1,652

 

14

 

Starwood Hotels & Resorts Worldwide, Inc.

 

796

 

2

 

Stein Mart, Inc.*

 

20

 

1

 

Steiner Leisure Ltd.*

 

40

 

2

 

Steven Madden Ltd.*

 

90

 

6

 

Stewart Enterprises, Inc., Class A

 

34

 

1

 

Stoneridge, Inc.*

 

13

 

1

 

Strayer Education, Inc.

 

136

 

1

 

Sturm Ruger & Co., Inc.

 

16

 

1

 

Summer Infant, Inc.*

 

7

 

2

 

Superior Industries International, Inc.

 

39

 

1

 

SuperMedia, Inc.*

 

5

 

1

 

Systemax, Inc.*

 

13

 

5

 

Talbots, Inc.*

 

57

 

53

 

Target Corp.

 

3,018

 

5

 

Tempur-Pedic International, Inc.*

 

176

 

4

 

Tenneco, Inc.*

 

146

 

1

 

Tesla Motors, Inc.*

 

35

 

4

 

Texas Roadhouse, Inc.*

 

68

 

27

 

Thomson Reuters Corp.

 

982

 

2

 

Thor Industries, Inc.

 

59

 

9

 

Tiffany & Co.

 

559

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3

 

Timberland Co. (The), Class A*

 

$

74

 

26

 

Time Warner Cable, Inc.

 

1,600

 

82

 

Time Warner, Inc.

 

2,418

 

29

 

TJX Cos., Inc.

 

1,323

 

10

 

Toll Brothers, Inc.*

 

180

 

5

 

Tractor Supply Co.

 

212

 

2

 

True Religion Apparel, Inc.*

 

45

 

6

 

TRW Automotive Holdings Corp.*

 

285

 

2

 

Tuesday Morning Corp.*

 

10

 

5

 

Tupperware Brands Corp.

 

232

 

1

 

U.S. Auto Parts Network, Inc.*

 

8

 

2

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

70

 

3

 

Under Armour, Inc., Class A*

 

173

 

1

 

Unifi, Inc.*

 

14

 

1

 

Universal Electronics, Inc.*

 

27

 

2

 

Universal Technical Institute, Inc.

 

41

 

9

 

Urban Outfitters, Inc.*

 

340

 

3

 

Vail Resorts, Inc.*

 

136

 

4

 

Valassis Communications, Inc.*

 

130

 

6

 

VF Corp.

 

497

 

44

 

Viacom, Inc., Class B

 

1,665

 

24

 

Virgin Media, Inc.

 

612

 

1

 

Vitacost.com, Inc.*

 

6

 

1

 

Vitamin Shoppe, Inc.*

 

30

 

1

 

Volcom, Inc.

 

18

 

142

 

Walt Disney Co. (The)

 

5,184

 

3

 

Warnaco Group, Inc. (The)*

 

162

 

3

 

Warner Music Group Corp.*

 

14

 

2

 

Weight Watchers International, Inc.

 

68

 

24

 

Wendy’s/Arby’s Group, Inc., Class A

 

114

 

1

 

West Marine, Inc.*

 

10

 

7

 

Wet Seal, Inc. (The), Class A*

 

23

 

1

 

Weyco Group, Inc.

 

24

 

5

 

Whirlpool Corp.

 

365

 

7

 

Williams-Sonoma, Inc.

 

233

 

2

 

Winnebago Industries, Inc.*

 

21

 

4

 

WMS Industries, Inc.*

 

177

 

4

 

Wolverine World Wide, Inc.

 

125

 

2

 

World Wrestling Entertainment, Inc., Class A

 

28

 

13

 

Wyndham Worldwide Corp.

 

374

 

5

 

Wynn Resorts Ltd.

 

506

 

34

 

Yum! Brands, Inc.

 

1,703

 

1

 

Zumiez, Inc.*

 

32

 

 

 

 

 

112,557

 

 

 

Consumer Staples - 1.3%

 

 

 

 

 

 

 

 

 

6

 

Alberto-Culver Co.

 

223

 

6

 

Alliance One International, Inc.*

 

23

 

151

 

Altria Group, Inc.

 

3,624

 

1

 

Andersons, Inc. (The)

 

32

 

46

 

Archer-Daniels-Midland Co.

 

1,334

 

31

 

Avon Products, Inc.

 

885

 

3

 

B&G Foods, Inc.

 

38

 

4

 

BJ’s Wholesale Club, Inc.*

 

183

 

1

 

Boston Beer Co., Inc., Class A*

 

82

 

8

 

Brown-Forman Corp., Class B

 

523

 

10

 

Bunge Ltd.

 

608

 

1

 

Calavo Growers, Inc.

 

23

 

1

 

Cal-Maine Foods, Inc.

 

31

 

13

 

Campbell Soup Co.

 

441

 

3

 

Casey’s General Stores, Inc.

 

119

 

1

 

Cellu Tissue Holdings, Inc.*

 

12

 

5

 

Central European Distribution Corp.*

 

120

 

4

 

Central Garden and Pet Co., Class A*

 

37

 

3

 

Chiquita Brands International, Inc.*

 

34

 

5

 

Church & Dwight Co., Inc.

 

326

 

10

 

Clorox Co.

 

618

 

152

 

Coca-Cola Co. (The)

 

9,602

 

23

 

Coca-Cola Enterprises, Inc.

 

555

 

35

 

Colgate-Palmolive Co.

 

2,679

 

32

 

ConAgra Foods, Inc.

 

687

 

13

 

Constellation Brands, Inc., Class A*

 

268

 

5

 

Corn Products International, Inc.

 

216

 

32

 

Costco Wholesale Corp.

 

2,164

 

98

 

CVS Caremark Corp.

 

3,038

 

6

 

Darling International, Inc.*

 

69

 

13

 

Dean Foods Co.*

 

95

 

14

 

Del Monte Foods Co.

 

262

 

2

 

Diamond Foods, Inc.

 

93

 

3

 

Dole Food Co., Inc.*

 

28

 

18

 

Dr. Pepper Snapple Group, Inc.

 

659

 

2

 

Elizabeth Arden, Inc.*

 

43

 

5

 

Energizer Holdings, Inc.*

 

352

 

8

 

Estee Lauder Cos., Inc. (The), Class A

 

599

 

1

 

Female Health Co. (The)

 

6

 

5

 

Flowers Foods, Inc.

 

131

 

3

 

Fresh Del Monte Produce, Inc.

 

66

 

48

 

General Mills, Inc.

 

1,696

 

2

 

Great Atlantic & Pacific Tea Co.*

 

6

 

8

 

Green Mountain Coffee Roasters, Inc.*

 

297

 

23

 

H. J. Heinz Co.

 

1,110

 

3

 

Hain Celestial Group, Inc. (The)*

 

80

 

5

 

Hansen Natural Corp.*

 

266

 

1

 

Harbinger Group, Inc.*

 

5

 

6

 

Heckmann Corp.*

 

23

 

4

 

Herbalife Ltd.

 

275

 

11

 

Hershey Co. (The)

 

515

 

5

 

Hormel Foods Corp.

 

245

 

1

 

Imperial Sugar Co.

 

14

 

1

 

Ingles Markets, Inc., Class A

 

19

 

1

 

Inter Parfums, Inc.

 

18

 

1

 

J&J Snack Foods Corp.

 

46

 

9

 

J.M. Smucker Co. (The)

 

569

 

1

 

John B. Sanfilippo & Son, Inc.*

 

12

 

19

 

Kellogg Co.

 

935

 

30

 

Kimberly-Clark Corp.

 

1,857

 

116

 

Kraft Foods, Inc., Class A

 

3,509

 

47

 

Kroger Co. (The)

 

1,107

 

1

 

Lancaster Colony Corp.

 

52

 

2

 

Lance, Inc.

 

47

 

1

 

Limoneira Co.

 

22

 

11

 

Lorillard, Inc.

 

875

 

10

 

McCormick & Co., Inc. (Non-Voting)

 

440

 

15

 

Mead Johnson Nutrition Co.

 

894

 

1

 

Medifast, Inc.*

 

24

 

1

 

MGP Ingredients, Inc.

 

9

 

10

 

Molson Coors Brewing Co., Class B

 

476

 

1

 

Nash Finch Co.

 

37

 

1

 

National Beverage Corp.

 

13

 

1

 

Nature’s Sunshine Products, Inc.*

 

9

 

4

 

Nu Skin Enterprises, Inc., Class A

 

126

 

1

 

Nutraceutical International Corp.*

 

15

 

2

 

Pantry, Inc. (The)*

 

41

 

117

 

PepsiCo, Inc.

 

7,562

 

134

 

Philip Morris International, Inc.

 

7,623

 

4

 

Pilgrim’s Pride Corp.*

 

27

 

3

 

Prestige Brands Holdings, Inc.*

 

35

 

1

 

Pricesmart, Inc.

 

34

 

208

 

Procter & Gamble Co. (The)

 

12,703

 

4

 

Ralcorp Holdings, Inc.*

 

248

 

1

 

Revlon, Inc., Class A*

 

10

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

24

 

Reynolds American, Inc.

 

$

743

 

40

 

Rite Aid Corp.*

 

38

 

3

 

Ruddick Corp.

 

110

 

28

 

Safeway, Inc.

 

644

 

2

 

Sanderson Farms, Inc.

 

89

 

48

 

Sara Lee Corp.

 

720

 

1

 

Schiff Nutrition International, Inc.

 

8

 

1

 

Seneca Foods Corp., Class A*

 

24

 

5

 

Smart Balance, Inc.*

 

18

 

10

 

Smithfield Foods, Inc.*

 

176

 

2

 

Spartan Stores, Inc.

 

33

 

1

 

Spectrum Brands Holdings, Inc.*

 

27

 

7

 

Star Scientific, Inc.*

 

13

 

15

 

SUPERVALU, Inc.

 

136

 

1

 

Susser Holdings Corp.*

 

13

 

1

 

Synutra International, Inc.*

 

13

 

43

 

Sysco Corp.

 

1,248

 

2

 

Tootsie Roll Industries, Inc.

 

53

 

3

 

TreeHouse Foods, Inc.*

 

149

 

22

 

Tyson Foods, Inc., Class A

 

348

 

3

 

United Natural Foods, Inc.*

 

112

 

2

 

Universal Corp.

 

82

 

3

 

Vector Group Ltd.

 

55

 

71

 

Walgreen Co.

 

2,474

 

148

 

Wal-Mart Stores, Inc.

 

8,005

 

1

 

WD-40 Co.

 

39

 

1

 

Weis Markets, Inc.

 

39

 

10

 

Whole Foods Market, Inc.*

 

472

 

4

 

Winn-Dixie Stores, Inc.*

 

24

 

 

 

 

 

90,759

 

 

 

Energy - 1.6%

 

 

 

 

 

 

 

 

 

5

 

Abraxas Petroleum Corp.*

 

21

 

3

 

Allis-Chalmers Energy, Inc.*

 

19

 

1

 

Alon USA Energy, Inc.

 

6

 

9

 

Alpha Natural Resources, Inc.*

 

446

 

4

 

American Oil & Gas, Inc.*

 

38

 

36

 

Anadarko Petroleum Corp.

 

2,310

 

28

 

Apache Corp.

 

3,014

 

1

 

Apco Oil and Gas International, Inc.

 

38

 

1

 

Approach Resources, Inc.*

 

18

 

12

 

Arch Coal, Inc.

 

350

 

6

 

Atlas Energy, Inc.*

 

258

 

3

 

ATP Oil & Gas Corp.*

 

44

 

4

 

Atwood Oceanics, Inc.*

 

142

 

31

 

Baker Hughes, Inc.

 

1,617

 

2

 

Basic Energy Services, Inc.*

 

29

 

4

 

Berry Petroleum Co., Class A

 

152

 

3

 

Bill Barrett Corp.*

 

115

 

7

 

BPZ Resources, Inc.*

 

28

 

8

 

Brigham Exploration Co.*

 

201

 

3

 

Bristow Group, Inc.*

 

132

 

8

 

Cabot Oil & Gas Corp.

 

280

 

7

 

Cal Dive International, Inc.*

 

37

 

2

 

Callon Petroleum Co.*

 

12

 

3

 

CAMAC Energy, Inc.*

 

8

 

18

 

Cameron International Corp.*

 

866

 

1

 

CARBO Ceramics, Inc.

 

97

 

2

 

Carrizo Oil & Gas, Inc.*

 

58

 

4

 

Cheniere Energy, Inc.*

 

22

 

47

 

Chesapeake Energy Corp.

 

993

 

145

 

Chevron Corp.

 

11,741

 

6

 

Cimarex Energy Co.

 

483

 

3

 

Clean Energy Fuels Corp.*

 

40

 

2

 

Cloud Peak Energy, Inc.*

 

42

 

5

 

Cobalt International Energy, Inc.*

 

57

 

6

 

Complete Production Services, Inc.*

 

171

 

3

 

Comstock Resources, Inc.*

 

74

 

7

 

Concho Resources, Inc.*

 

579

 

108

 

ConocoPhillips

 

6,498

 

16

 

CONSOL Energy, Inc.

 

671

 

1

 

Contango Oil & Gas Co.*

 

56

 

2

 

Continental Resources, Inc.*

 

107

 

3

 

Core Laboratories N.V.

 

257

 

3

 

Crosstex Energy, Inc.

 

28

 

2

 

CVR Energy, Inc.*

 

24

 

1

 

Dawson Geophysical Co.*

 

28

 

1

 

Delek U.S. Holdings, Inc.

 

7

 

13

 

Delta Petroleum Corp.*

 

10

 

29

 

Denbury Resources, Inc.*

 

527

 

32

 

Devon Energy Corp.

 

2,258

 

4

 

DHT Holdings, Inc.

 

18

 

5

 

Diamond Offshore Drilling, Inc.

 

324

 

6

 

Dresser-Rand Group, Inc.*

 

228

 

2

 

Dril-Quip, Inc.*

 

155

 

51

 

El Paso Corp.

 

688

 

1

 

Endeavour International Corp.*

 

15

 

2

 

Energy Partners Ltd.*

 

24

 

4

 

Energy XXI Bermuda Ltd.*

 

99

 

18

 

EOG Resources, Inc.

 

1,601

 

11

 

EQT Corp.

 

445

 

1

 

Evolution Petroleum Corp.*

 

6

 

11

 

EXCO Resources, Inc.

 

204

 

5

 

Exterran Holdings, Inc.*

 

113

 

369

 

Exxon Mobil Corp.

 

25,668

 

9

 

FMC Technologies, Inc.*

 

758

 

8

 

Forest Oil Corp.*

 

274

 

8

 

Frontier Oil Corp.

 

124

 

4

 

Frontline Ltd.

 

104

 

3

 

FX Energy, Inc.*

 

18

 

3

 

Gastar Exploration Ltd.*

 

14

 

6

 

General Maritime Corp.

 

23

 

1

 

GeoResources, Inc.*

 

20

 

1

 

Global Geophysical Services, Inc.*

 

9

 

7

 

Global Industries Ltd.*

 

44

 

2

 

GMX Resources, Inc.*

 

9

 

3

 

Golar LNG Ltd.

 

42

 

2

 

Goodrich Petroleum Corp.*

 

26

 

1

 

Green Plains Renewable Energy, Inc.*

 

11

 

1

 

Gulf Island Fabrication, Inc.

 

27

 

2

 

GulfMark Offshore, Inc., Class A*

 

59

 

2

 

Gulfport Energy Corp.*

 

37

 

66

 

Halliburton Co.

 

2,497

 

2

 

Harvest Natural Resources, Inc.*

 

26

 

8

 

Helix Energy Solutions Group, Inc.*

 

112

 

7

 

Helmerich & Payne, Inc.

 

318

 

8

 

Hercules Offshore, Inc.*

 

20

 

21

 

Hess Corp.

 

1,471

 

3

 

Holly Corp.

 

108

 

2

 

Hornbeck Offshore Services, Inc.*

 

44

 

1

 

Houston American Energy Corp.

 

17

 

9

 

International Coal Group, Inc.*

 

68

 

9

 

ION Geophysical Corp.*

 

65

 

2

 

James River Coal Co.*

 

40

 

9

 

Key Energy Services, Inc.*

 

93

 

2

 

Knightsbridge Tankers Ltd.

 

45

 

11

 

Kodiak Oil & Gas Corp.*

 

55

 

1

 

L&L Energy, Inc.*

 

11

 

2

 

Lufkin Industries, Inc.

 

101

 

4

 

Magnum Hunter Resources Corp.*

 

25

 

51

 

Marathon Oil Corp.

 

1,707

 

7

 

Massey Energy Co.

 

344

 

2

 

Matrix Service Co.*

 

20

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

17

 

McDermott International, Inc.*

 

$

312

 

6

 

McMoRan Exploration Co.*

 

90

 

1

 

Miller Petroleum, Inc.*

 

5

 

14

 

Murphy Oil Corp.

 

945

 

21

 

Nabors Industries Ltd.*

 

464

 

30

 

National Oilwell Varco, Inc.

 

1,839

 

1

 

Natural Gas Services Group, Inc.*

 

16

 

10

 

Newfield Exploration Co.*

 

668

 

6

 

Newpark Resources, Inc.*

 

34

 

13

 

Noble Energy, Inc.

 

1,056

 

3

 

Nordic American Tanker Shipping

 

78

 

3

 

Northern Oil and Gas, Inc.*

 

69

 

3

 

Oasis Petroleum, Inc.*

 

76

 

59

 

Occidental Petroleum Corp.

 

5,202

 

4

 

Oceaneering International, Inc.*

 

276

 

4

 

Oil States International, Inc.*

 

237

 

2

 

Overseas Shipholding Group, Inc.

 

70

 

1

 

Panhandle Oil and Gas, Inc., Class A

 

26

 

8

 

Parker Drilling Co.*

 

32

 

6

 

Patriot Coal Corp.*

 

97

 

11

 

Patterson-UTI Energy, Inc.

 

217

 

19

 

Peabody Energy Corp.

 

1,117

 

3

 

Penn Virginia Corp.

 

48

 

22

 

Petrohawk Energy Corp.*

 

392

 

1

 

Petroleum Development Corp.*

 

36

 

4

 

Petroquest Energy, Inc.*

 

28

 

1

 

PHI, Inc. (Non-Voting)*

 

17

 

4

 

Pioneer Drilling Co.*

 

27

 

8

 

Pioneer Natural Resources Co.

 

641

 

10

 

Plains Exploration & Production Co.*

 

287

 

13

 

Pride International, Inc.*

 

404

 

13

 

QEP Resources, Inc.

 

457

 

9

 

Quicksilver Resources, Inc.*

 

128

 

4

 

RAM Energy Resources, Inc.*

 

7

 

12

 

Range Resources Corp.

 

504

 

16

 

Rentech, Inc.*

 

20

 

3

 

Resolute Energy Corp.*

 

39

 

1

 

REX American Resources Corp.*

 

16

 

2

 

Rex Energy Corp.*

 

24

 

4

 

Rosetta Resources, Inc.*

 

143

 

8

 

Rowan Cos., Inc.*

 

241

 

2

 

RPC, Inc.

 

59

 

26

 

SandRidge Energy, Inc.*

 

134

 

99

 

Schlumberger Ltd.

 

7,657

 

1

 

Scorpio Tankers, Inc.*

 

10

 

2

 

SEACOR Holdings, Inc.*

 

218

 

1

 

Seahawk Drilling, Inc.*

 

8

 

3

 

Ship Finance International Ltd.

 

65

 

5

 

SM Energy Co.

 

248

 

9

 

Southern Union Co.

 

212

 

25

 

Southwestern Energy Co.*

 

905

 

47

 

Spectra Energy Corp.

 

1,117

 

3

 

Stone Energy Corp.*

 

62

 

9

 

Sunoco, Inc.

 

361

 

6

 

Superior Energy Services, Inc.*

 

200

 

3

 

Swift Energy Co.*

 

109

 

5

 

Syntroleum Corp.*

 

9

 

1

 

T-3 Energy Services, Inc.*

 

36

 

3

 

Teekay Corp.

 

96

 

2

 

Teekay Tankers Ltd., Class A

 

24

 

2

 

Tesco Corp.*

 

26

 

10

 

Tesoro Corp.*

 

163

 

5

 

Tetra Technologies, Inc.*

 

55

 

4

 

Tidewater, Inc.

 

196

 

11

 

TransAtlantic Petroleum Ltd.*

 

36

 

11

 

Ultra Petroleum Corp.*

 

517

 

1

 

Union Drilling, Inc.*

 

6

 

3

 

Unit Corp.*

 

120

 

4

 

Uranium Energy Corp.*

 

28

 

8

 

USEC, Inc.*

 

48

 

4

 

Vaalco Energy, Inc.*

 

30

 

41

 

Valero Energy Corp.

 

799

 

11

 

Vantage Drilling Co.*

 

19

 

1

 

Venoco, Inc.*

 

17

 

3

 

W&T Offshore, Inc.

 

50

 

5

 

Warren Resources, Inc.*

 

22

 

54

 

Weatherford International Ltd.*

 

1,102

 

4

 

Western Refining, Inc.*

 

39

 

4

 

Whiting Petroleum Corp.*

 

440

 

3

 

Willbros Group, Inc.*

 

22

 

42

 

Williams Cos., Inc. (The)

 

958

 

5

 

World Fuel Services Corp.

 

150

 

 

 

 

 

106,141

 

 

 

Financials - 2.3%

 

 

 

 

 

 

 

 

 

1

 

1st Source Corp.

 

19

 

2

 

1st United Bancorp, Inc./FL*

 

12

 

2

 

Abington Bancorp, Inc.

 

24

 

3

 

Acadia Realty Trust (REIT)

 

55

 

24

 

ACE Ltd.

 

1,404

 

4

 

Advance America Cash Advance Centers, Inc.

 

19

 

4

 

Affiliated Managers Group, Inc.*

 

350

 

34

 

Aflac, Inc.

 

1,751

 

1

 

Agree Realty Corp. (REIT)

 

28

 

4

 

Alexandria Real Estate Equities, Inc. (REIT)

 

267

 

3

 

Allied World Assurance Co. Holdings Ltd.

 

176

 

39

 

Allstate Corp. (The)

 

1,135

 

7

 

Alterra Capital Holdings Ltd.

 

142

 

12

 

AMB Property Corp. (REIT)

 

350

 

5

 

American Campus Communities, Inc. (REIT)

 

157

 

4

 

American Capital Agency Corp. (REIT)

 

117

 

25

 

American Capital Ltd.*

 

180

 

4

 

American Equity Investment Life Holding Co.

 

44

 

76

 

American Express Co.

 

3,285

 

6

 

American Financial Group, Inc./OH

 

185

 

9

 

American International Group, Inc.*

 

372

 

1

 

American National Insurance Co.

 

80

 

1

 

American Safety Insurance Holdings Ltd.*

 

20

 

19

 

Ameriprise Financial, Inc.

 

985

 

2

 

Ameris Bancorp*

 

19

 

1

 

AMERISAFE, Inc.*

 

18

 

1

 

Ames National Corp.

 

20

 

2

 

AmTrust Financial Services, Inc.

 

32

 

45

 

Annaly Capital Management, Inc. (REIT)

 

819

 

9

 

Anworth Mortgage Asset Corp. (REIT)

 

62

 

24

 

AON Corp.

 

963

 

8

 

Apartment Investment & Management Co., Class A (REIT)

 

193

 

1

 

Apollo Commercial Real Estate Finance, Inc. (REIT)

 

16

 

14

 

Apollo Investment Corp.

 

148

 

4

 

Arch Capital Group Ltd.*

 

361

 

14

 

Ares Capital Corp.

 

230

 

2

 

Argo Group International Holdings Ltd.

 

74

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1

 

Arrow Financial Corp.

 

$

28

 

8

 

Arthur J. Gallagher & Co.

 

225

 

2

 

Artio Global Investors, Inc.

 

26

 

3

 

Ashford Hospitality Trust, Inc. (REIT)*

 

28

 

6

 

Aspen Insurance Holdings Ltd.

 

173

 

1

 

Asset Acceptance Capital Corp.*

 

6

 

13

 

Associated Banc-Corp

 

166

 

3

 

Associated Estates Realty Corp. (REIT)

 

45

 

8

 

Assurant, Inc.

 

282

 

13

 

Assured Guaranty Ltd.

 

221

 

1

 

Asta Funding, Inc.

 

7

 

6

 

Astoria Financial Corp.

 

72

 

6

 

AvalonBay Communities, Inc. (REIT)

 

662

 

1

 

Avatar Holdings, Inc.*

 

20

 

9

 

Axis Capital Holdings Ltd.

 

318

 

1

 

Baldwin & Lyons, Inc., Class B

 

23

 

1

 

Bancfirst Corp.

 

41

 

2

 

Banco Latinoamericano de Comercio Exterior S.A., Class E

 

32

 

2

 

Bancorp, Inc. (The)/DE*

 

17

 

6

 

BancorpSouth, Inc.

 

77

 

3

 

Bank Mutual Corp.

 

14

 

725

 

Bank of America Corp.

 

7,939

 

3

 

Bank of Hawaii Corp.

 

130

 

88

 

Bank of New York Mellon Corp. (The)

 

2,375

 

1

 

Bank of the Ozarks, Inc.

 

38

 

1

 

BankFinancial Corp.

 

9

 

50

 

BB&T Corp.

 

1,160

 

3

 

Beneficial Mutual Bancorp, Inc.*

 

23

 

125

 

Berkshire Hathaway, Inc., Class B*

 

9,960

 

1

 

Berkshire Hills Bancorp, Inc.

 

20

 

4

 

BGC Partners, Inc., Class A

 

31

 

9

 

BioMed Realty Trust, Inc. (REIT)

 

159

 

5

 

BlackRock Kelso Capital Corp.

 

56

 

3

 

BlackRock, Inc.

 

489

 

1

 

BofI Holding, Inc.*

 

13

 

2

 

BOK Financial Corp.

 

93

 

5

 

Boston Private Financial Holdings, Inc.

 

27

 

10

 

Boston Properties, Inc. (REIT)

 

838

 

9

 

Brandywine Realty Trust (REIT)

 

100

 

5

 

BRE Properties, Inc. (REIT)

 

215

 

4

 

Brookline Bancorp, Inc.

 

39

 

8

 

Brown & Brown, Inc.

 

183

 

1

 

Bryn Mawr Bank Corp.

 

17

 

1

 

Calamos Asset Management, Inc., Class A

 

12

 

1

 

Camden National Corp.

 

36

 

5

 

Camden Property Trust (REIT)

 

255

 

1

 

Capital City Bank Group, Inc.

 

13

 

33

 

Capital One Financial Corp.

 

1,229

 

23

 

CapitalSource, Inc.

 

149

 

1

 

Capitol Federal Financial

 

23

 

4

 

CapLease, Inc. (REIT)

 

24

 

5

 

Capstead Mortgage Corp. (REIT)

 

59

 

2

 

Cardinal Financial Corp.

 

21

 

2

 

Cardtronics, Inc.*

 

34

 

2

 

Cash America International, Inc.

 

72

 

6

 

Cathay General Bancorp

 

81

 

21

 

CB Richard Ellis Group, Inc., Class A*

 

403

 

10

 

CBL & Associates Properties, Inc. (REIT)

 

165

 

1

 

CBOE Holdings, Inc.

 

24

 

4

 

Cedar Shopping Centers, Inc. (REIT)

 

24

 

3

 

Center Financial Corp.*

 

19

 

2

 

CenterState Banks, Inc.

 

14

 

72

 

Charles Schwab Corp. (The)

 

1,082

 

1

 

Chatham Lodging Trust (REIT)

 

16

 

2

 

Chemical Financial Corp.

 

42

 

1

 

Chesapeake Lodging Trust (REIT)

 

19

 

64

 

Chimera Investment Corp. (REIT)

 

256

 

22

 

Chubb Corp.

 

1,254

 

11

 

Cincinnati Financial Corp.

 

332

 

14

 

CIT Group, Inc.*

 

552

 

1,530

 

Citigroup, Inc.*

 

6,426

 

1

 

Citizens & Northern Corp.

 

15

 

29

 

Citizens Republic Bancorp, Inc.*

 

17

 

3

 

Citizens, Inc./TX*

 

21

 

1

 

City Holding Co.

 

32

 

3

 

City National Corp./CA

 

161

 

1

 

Clifton Savings Bancorp, Inc.

 

9

 

5

 

CME Group, Inc.

 

1,440

 

2

 

CNA Financial Corp.*

 

52

 

1

 

CNA Surety Corp.*

 

24

 

1

 

CNB Financial Corp./PA

 

14

 

16

 

CNO Financial Group, Inc.*

 

94

 

2

 

CoBiz Financial, Inc.

 

10

 

3

 

Cogdell Spencer, Inc. (REIT)

 

17

 

1

 

Cohen & Steers, Inc.

 

25

 

6

 

Colonial Properties Trust (REIT)

 

108

 

1

 

Colony Financial, Inc. (REIT)

 

19

 

3

 

Columbia Banking System, Inc.

 

52

 

13

 

Comerica, Inc.

 

474

 

5

 

Commerce Bancshares, Inc./MO

 

188

 

5

 

CommonWealth REIT (REIT)

 

125

 

2

 

Community Bank System, Inc.

 

48

 

1

 

Community Trust Bancorp, Inc.

 

28

 

2

 

Compass Diversified Holdings

 

33

 

1

 

CompuCredit Holdings Corp.

 

6

 

4

 

Corporate Office Properties Trust (REIT)

 

136

 

7

 

Cousins Properties, Inc. (REIT)

 

52

 

3

 

Cowen Group, Inc., Class A*

 

12

 

2

 

Crawford & Co., Class B*

 

6

 

1

 

CreXus Investment Corp. (REIT)

 

13

 

4

 

Cullen/Frost Bankers, Inc.

 

214

 

6

 

CVB Financial Corp.

 

47

 

3

 

Cypress Sharpridge Investments, Inc. (REIT)

 

41

 

1

 

Danvers Bancorp, Inc.

 

15

 

15

 

DCT Industrial Trust, Inc. (REIT)

 

74

 

3

 

Delphi Financial Group, Inc., Class A

 

77

 

14

 

Developers Diversified Realty Corp. (REIT)

 

180

 

11

 

DiamondRock Hospitality Co. (REIT)*

 

116

 

6

 

Digital Realty Trust, Inc. (REIT)

 

315

 

2

 

Dime Community Bancshares, Inc.

 

27

 

39

 

Discover Financial Services

 

713

 

2

 

Dollar Financial Corp.*

 

52

 

1

 

Donegal Group, Inc., Class A

 

15

 

1

 

Doral Financial Corp.*

 

1

 

9

 

Douglas Emmett, Inc. (REIT)

 

150

 

2

 

Duff & Phelps Corp., Class A

 

27

 

18

 

Duke Realty Corp. (REIT)

 

200

 

3

 

DuPont Fabros Technology, Inc. (REIT)

 

68

 

1

 

Dynex Capital, Inc. (REIT)

 

10

 

16

 

E*Trade Financial Corp.*

 

236

 

1

 

Eagle Bancorp, Inc.*

 

13

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11

 

East West Bancorp, Inc.

 

$

191

 

2

 

EastGroup Properties, Inc. (REIT)

 

80

 

9

 

Eaton Vance Corp.

 

267

 

4

 

Education Realty Trust, Inc. (REIT)

 

29

 

2

 

eHealth, Inc.*

 

30

 

3

 

Employers Holdings, Inc.

 

48

 

1

 

Encore Bancshares, Inc.*

 

9

 

1

 

Encore Capital Group, Inc.*

 

19

 

3

 

Endurance Specialty Holdings Ltd.

 

132

 

1

 

Enstar Group Ltd.*

 

83

 

1

 

Enterprise Financial Services Corp.

 

10

 

3

 

Entertainment Properties Trust (REIT)

 

139

 

1

 

Epoch Holding Corp.

 

16

 

2

 

Equity Lifestyle Properties, Inc. (REIT)

 

108

 

3

 

Equity One, Inc. (REIT)

 

52

 

20

 

Equity Residential (REIT)

 

1,000

 

2

 

Erie Indemnity Co., Class A

 

126

 

1

 

ESB Financial Corp.

 

14

 

1

 

ESSA Bancorp, Inc.

 

13

 

2

 

Essex Property Trust, Inc. (REIT)

 

222

 

1

 

Evercore Partners, Inc., Class A

 

30

 

4

 

Everest Re Group Ltd.

 

334

 

1

 

Excel Trust, Inc. (REIT)

 

12

 

6

 

Extra Space Storage, Inc. (REIT)

 

96

 

3

 

EZCORP, Inc., Class A*

 

75

 

1

 

FBL Financial Group, Inc., Class A

 

27

 

4

 

FBR Capital Markets Corp.*

 

14

 

1

 

Federal Agricultural Mortgage Corp., Class C

 

14

 

4

 

Federal Realty Investment Trust (REIT)

 

310

 

6

 

Federated Investors, Inc., Class B

 

142

 

7

 

FelCor Lodging Trust, Inc. (REIT)*

 

42

 

17

 

Fidelity National Financial, Inc., Class A

 

230

 

4

 

Fifth Street Finance Corp.

 

46

 

57

 

Fifth Third Bancorp

 

681

 

1

 

Financial Engines, Inc.*

 

17

 

1

 

Financial Institutions, Inc.

 

18

 

8

 

First American Financial Corp.

 

113

 

1

 

First Bancorp, Inc./ME

 

14

 

23

 

First BanCorp./Puerto Rico*

 

6

 

1

 

First Bancorp/NC

 

14

 

4

 

First Busey Corp.

 

17

 

2

 

First Cash Financial Services, Inc.*

 

58

 

8

 

First Commonwealth Financial Corp.

 

50

 

1

 

First Community Bancshares, Inc./VA

 

14

 

4

 

First Financial Bancorp

 

66

 

2

 

First Financial Bankshares, Inc.

 

97

 

1

 

First Financial Corp./IN

 

30

 

1

 

First Financial Holdings, Inc.

 

11

 

17

 

First Horizon National Corp.*

 

163

 

5

 

First Industrial Realty Trust, Inc. (REIT)*

 

38

 

1

 

First Interstate BancSystem, Inc.

 

14

 

4

 

First Marblehead Corp. (The)*

 

8

 

2

 

First Merchants Corp.

 

17

 

1

 

First Mercury Financial Corp.

 

16

 

5

 

First Midwest Bancorp, Inc./IL

 

47

 

15

 

First Niagara Financial Group, Inc.

 

186

 

1

 

First of Long Island Corp. (The)

 

26

 

3

 

First Potomac Realty Trust (REIT)

 

47

 

1

 

First South Bancorp, Inc./NC

 

7

 

8

 

FirstMerit Corp.

 

139

 

3

 

Flagstar Bancorp, Inc.*

 

4

 

4

 

Flagstone Reinsurance Holdings S.A.

 

46

 

2

 

Flushing Financial Corp.

 

27

 

8

 

FNB Corp./PA

 

70

 

9

 

Forest City Enterprises, Inc., Class A*

 

138

 

3

 

Forestar Group, Inc.*

 

54

 

1

 

FPIC Insurance Group, Inc.*

 

37

 

11

 

Franklin Resources, Inc.

 

1,255

 

5

 

Franklin Street Properties Corp. (REIT)

 

64

 

14

 

Fulton Financial Corp.

 

121

 

1

 

GAMCO Investors, Inc., Class A

 

44

 

18

 

General Growth Properties, Inc. (REIT)

 

291

 

35

 

Genworth Financial, Inc., Class A*

 

408

 

1

 

German American Bancorp, Inc.

 

17

 

2

 

Getty Realty Corp. (REIT)

 

60

 

5

 

GFI Group, Inc.

 

23

 

5

 

Glacier Bancorp, Inc.

 

67

 

2

 

Gladstone Capital Corp.

 

22

 

1

 

Gladstone Commercial Corp. (REIT)

 

18

 

2

 

Gladstone Investment Corp.

 

16

 

6

 

Gleacher & Co., Inc.*

 

15

 

6

 

Glimcher Realty Trust (REIT)

 

49

 

1

 

Global Indemnity plc*

 

19

 

37

 

Goldman Sachs Group, Inc. (The)

 

5,777

 

1

 

Golub Capital BDC, Inc.

 

16

 

2

 

Government Properties Income Trust (REIT)

 

51

 

1

 

Great Southern Bancorp, Inc.

 

22

 

1

 

Green Bankshares, Inc.*

 

3

 

2

 

Greenhill & Co., Inc.

 

150

 

2

 

Greenlight Capital Re Ltd., Class A*

 

56

 

1

 

Hallmark Financial Services*

 

9

 

2

 

Hancock Holding Co.

 

63

 

7

 

Hanmi Financial Corp.*

 

6

 

3

 

Hanover Insurance Group, Inc. (The)

 

136

 

1

 

Harleysville Group, Inc.

 

36

 

2

 

Harris & Harris Group, Inc.*

 

9

 

32

 

Hartford Financial Services Group, Inc.

 

712

 

3

 

Hatteras Financial Corp. (REIT)

 

93

 

8

 

HCC Insurance Holdings, Inc.

 

225

 

22

 

HCP, Inc. (REIT)

 

724

 

10

 

Health Care REIT, Inc. (REIT)

 

463

 

5

 

Healthcare Realty Trust, Inc. (REIT)

 

103

 

1

 

Heartland Financial USA, Inc.

 

16

 

3

 

Hercules Technology Growth Capital, Inc.

 

30

 

1

 

Heritage Financial Corp./WA*

 

14

 

10

 

Hersha Hospitality Trust (REIT)

 

61

 

1

 

HFF, Inc., Class A*

 

9

 

5

 

Highwoods Properties, Inc. (REIT)

 

153

 

3

 

Hilltop Holdings, Inc.*

 

30

 

1

 

Home Bancorp, Inc.*

 

14

 

2

 

Home Bancshares, Inc./AR

 

41

 

1

 

Home Federal Bancorp, Inc./ID

 

12

 

3

 

Home Properties, Inc. (REIT)

 

161

 

3

 

Horace Mann Educators Corp.

 

49

 

9

 

Hospitality Properties Trust (REIT)

 

199

 

48

 

Host Hotels & Resorts, Inc. (REIT)

 

791

 

2

 

Howard Hughes Corp. (The)*

 

72

 

34

 

Hudson City Bancorp, Inc.

 

386

 

1

 

Hudson Pacific Properties, Inc. (REIT)

 

15

 

1

 

Hudson Valley Holding Corp.

 

22

 

52

 

Huntington Bancshares, Inc./OH

 

303

 

2

 

Iberiabank Corp.

 

101

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2

 

Independent Bank Corp./MA

 

$

49

 

1

 

Infinity Property & Casualty Corp.

 

58

 

5

 

Inland Real Estate Corp. (REIT)

 

43

 

3

 

Interactive Brokers Group, Inc., Class A*

 

55

 

5

 

IntercontinentalExchange, Inc.*

 

564

 

1

 

International Assets Holding Corp.*

 

23

 

4

 

International Bancshares Corp.

 

69

 

34

 

Invesco Ltd.

 

739

 

3

 

Invesco Mortgage Capital, Inc. (REIT)

 

68

 

3

 

Investment Technology Group, Inc.*

 

44

 

3

 

Investors Bancorp, Inc.*

 

37

 

5

 

Investors Real Estate Trust (REIT)

 

44

 

7

 

iStar Financial, Inc. (REIT)*

 

38

 

13

 

Janus Capital Group, Inc.

 

136

 

8

 

Jefferies Group, Inc.

 

193

 

1

 

JMP Group, Inc.

 

7

 

3

 

Jones Lang LaSalle, Inc.

 

239

 

288

 

JPMorgan Chase & Co.

 

10,765

 

1

 

Kayne Anderson Energy Development Co.

 

18

 

3

 

KBW, Inc.

 

70

 

1

 

Kearny Financial Corp.

 

9

 

2

 

Kennedy-Wilson Holdings, Inc.*

 

20

 

64

 

KeyCorp

 

482

 

4

 

Kilroy Realty Corp. (REIT)

 

136

 

29

 

Kimco Realty Corp. (REIT)

 

483

 

4

 

Kite Realty Group Trust (REIT)

 

20

 

7

 

Knight Capital Group, Inc., Class A*

 

92

 

3

 

LaBranche & Co., Inc.*

 

9

 

7

 

Ladenburg Thalmann Financial Services, Inc.*

 

9

 

1

 

Lakeland Bancorp, Inc.

 

10

 

1

 

Lakeland Financial Corp.

 

21

 

5

 

LaSalle Hotel Properties (REIT)

 

119

 

7

 

Lazard Ltd., Class A

 

251

 

11

 

Legg Mason, Inc.

 

359

 

14

 

Leucadia National Corp.*

 

363

 

7

 

Lexington Realty Trust (REIT)

 

55

 

8

 

Liberty Property Trust (REIT)

 

251

 

1

 

Life Partners Holdings, Inc.

 

21

 

22

 

Lincoln National Corp.

 

525

 

23

 

Loews Corp.

 

860

 

2

 

LTC Properties, Inc. (REIT)

 

54

 

5

 

M&T Bank Corp.

 

385

 

9

 

Macerich Co. (The) (REIT)

 

417

 

6

 

Mack-Cali Realty Corp. (REIT)

 

190

 

4

 

Maiden Holdings Ltd.

 

30

 

1

 

Main Street Capital Corp.

 

17

 

1

 

MainSource Financial Group, Inc.

 

9

 

1

 

Markel Corp.*

 

353

 

2

 

MarketAxess Holdings, Inc.

 

36

 

1

 

Marlin Business Services Corp.*

 

11

 

39

 

Marsh & McLennan Cos., Inc.

 

978

 

38

 

Marshall & Ilsley Corp.

 

182

 

4

 

MB Financial, Inc.

 

57

 

11

 

MBIA, Inc.*

 

110

 

6

 

MCG Capital Corp.

 

42

 

4

 

Meadowbrook Insurance Group, Inc.

 

38

 

1

 

Medallion Financial Corp.

 

8

 

8

 

Medical Properties Trust, Inc. (REIT)

 

84

 

2

 

Mercury General Corp.

 

86

 

1

 

Meridian Interstate Bancorp, Inc.*

 

11

 

47

 

MetLife, Inc.

 

1,793

 

1

 

Metro Bancorp, Inc.*

 

10

 

8

 

MF Global Holdings Ltd.*

 

63

 

20

 

MFA Financial, Inc. (REIT)

 

163

 

14

 

MGIC Investment Corp.*

 

119

 

2

 

Mid-America Apartment Communities, Inc. (REIT)

 

123

 

1

 

MidSouth Bancorp, Inc.

 

13

 

1

 

Mission West Properties, Inc. (REIT)

 

7

 

2

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

16

 

5

 

Montpelier Re Holdings Ltd.

 

98

 

15

 

Moody’s Corp.

 

402

 

109

 

Morgan Stanley

 

2,666

 

3

 

MPG Office Trust, Inc. (REIT)*

 

7

 

8

 

MSCI, Inc., Class A*

 

272

 

2

 

MVC Capital, Inc.

 

27

 

3

 

Nara Bancorp, Inc.*

 

24

 

10

 

NASDAQ OMX Group, Inc. (The)*

 

215

 

1

 

National Bankshares, Inc.

 

26

 

3

 

National Financial Partners Corp.*

 

35

 

2

 

National Health Investors, Inc. (REIT)

 

88

 

9

 

National Penn Bancshares, Inc.

 

60

 

6

 

National Retail Properties, Inc. (REIT)

 

156

 

9

 

Nationwide Health Properties, Inc. (REIT)

 

324

 

1

 

Navigators Group, Inc. (The)*

 

49

 

2

 

NBT Bancorp, Inc.

 

44

 

2

 

Nelnet, Inc., Class A

 

43

 

31

 

New York Community Bancorp, Inc.

 

521

 

8

 

NewAlliance Bancshares, Inc.

 

107

 

4

 

Newcastle Investment Corp. (REIT)*

 

23

 

2

 

NewStar Financial, Inc.*

 

17

 

2

 

NGP Capital Resources Co.

 

18

 

17

 

Northern Trust Corp.

 

855

 

1

 

Northfield Bancorp, Inc.

 

13

 

5

 

NorthStar Realty Finance Corp. (REIT)

 

21

 

8

 

Northwest Bancshares, Inc.

 

82

 

19

 

NYSE Euronext

 

519

 

1

 

OceanFirst Financial Corp.

 

12

 

5

 

Ocwen Financial Corp.*

 

44

 

6

 

Old National Bancorp/IN

 

62

 

19

 

Old Republic International Corp.

 

241

 

7

 

Omega Healthcare Investors, Inc. (REIT)

 

148

 

1

 

OmniAmerican Bancorp, Inc.*

 

12

 

1

 

One Liberty Properties, Inc. (REIT)

 

15

 

2

 

OneBeacon Insurance Group Ltd., Class A

 

29

 

1

 

Oppenheimer Holdings Inc., Class A

 

24

 

3

 

optionsXpress Holdings, Inc.*

 

52

 

3

 

Oriental Financial Group, Inc.

 

35

 

4

 

Oritani Financial Corp.

 

45

 

1

 

Pacific Continental Corp.

 

9

 

2

 

PacWest Bancorp

 

34

 

1

 

Park National Corp.

 

68

 

2

 

Parkway Properties, Inc./MD (REIT)

 

32

 

6

 

PartnerRe Ltd.

 

465

 

1

 

Peapack Gladstone Financial Corp.

 

12

 

3

 

Pebblebrook Hotel Trust (REIT)*

 

56

 

3

 

PennantPark Investment Corp.

 

35

 

4

 

Pennsylvania Real Estate Investment Trust (REIT)

 

54

 

1

 

PennyMac Mortgage Investment Trust (REIT)

 

18

 

1

 

Penson Worldwide, Inc.*

 

5

 

1

 

Peoples Bancorp, Inc./OH

 

13

 

27

 

People’s United Financial, Inc.

 

335

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4

 

PHH Corp.*

 

$

85

 

8

 

Phoenix Cos, Inc. (The)*

 

18

 

2

 

Pico Holdings, Inc.*

 

57

 

4

 

Piedmont Office Realty Trust, Inc., Class A (REIT)

 

80

 

2

 

Pinnacle Financial Partners, Inc.*

 

20

 

1

 

Piper Jaffray Cos.*

 

30

 

3

 

Platinum Underwriters Holdings Ltd.

 

130

 

12

 

Plum Creek Timber Co., Inc. (REIT)

 

432

 

10

 

PMI Group, Inc. (The)*

 

31

 

38

 

PNC Financial Services Group, Inc.

 

2,046

 

74

 

Popular, Inc.*

 

213

 

1

 

Portfolio Recovery Associates, Inc.*

 

63

 

4

 

Post Properties, Inc. (REIT)

 

136

 

3

 

Potlatch Corp. (REIT)

 

95

 

1

 

Presidential Life Corp.

 

9

 

2

 

Primerica, Inc.

 

45

 

1

 

Primus Guaranty Ltd.*

 

5

 

23

 

Principal Financial Group, Inc.

 

627

 

4

 

PrivateBancorp, Inc.

 

49

 

2

 

ProAssurance Corp.*

 

118

 

48

 

Progressive Corp. (The)

 

976

 

34

 

ProLogis (REIT)

 

442

 

6

 

Prospect Capital Corp.

 

59

 

3

 

Prosperity Bancshares, Inc.

 

98

 

6

 

Protective Life Corp.

 

141

 

4

 

Provident Financial Services, Inc.

 

55

 

3

 

Provident New York Bancorp

 

28

 

34

 

Prudential Financial, Inc.

 

1,723

 

1

 

PS Business Parks, Inc. (REIT)

 

52

 

10

 

Public Storage (REIT)

 

966

 

1

 

Pzena Investment Management, Inc., Class A

 

7

 

10

 

Radian Group, Inc.

 

71

 

7

 

RAIT Financial Trust (REIT)*

 

11

 

3

 

Ramco-Gershenson Properties Trust (REIT)

 

34

 

7

 

Raymond James Financial, Inc.

 

201

 

6

 

Rayonier, Inc. (REIT)

 

306

 

8

 

Realty Income Corp. (REIT)

 

272

 

6

 

Redwood Trust, Inc. (REIT)

 

83

 

6

 

Regency Centers Corp. (REIT)

 

244

 

91

 

Regions Financial Corp.

 

490

 

5

 

Reinsurance Group of America, Inc.

 

250

 

4

 

RenaissanceRe Holdings Ltd.

 

241

 

2

 

Renasant Corp.

 

35

 

1

 

Republic Bancorp, Inc./KY, Class A

 

21

 

3

 

Resource Capital Corp. (REIT)

 

20

 

3

 

Retail Opportunity Investments Corp. (REIT)

 

29

 

1

 

RLI Corp.

 

58

 

1

 

Rockville Financial, Inc.

 

11

 

1

 

Rodman & Renshaw Capital Group, Inc.*

 

2

 

1

 

Roma Financial Corp.

 

10

 

2

 

S&T Bancorp, Inc.

 

39

 

1

 

S. Y. Bancorp, Inc.

 

24

 

2

 

Sabra Healthcare REIT, Inc. (REIT)

 

28

 

1

 

Safeguard Scientifics, Inc.*

 

15

 

1

 

Safety Insurance Group, Inc.

 

47

 

2

 

Sanders Morris Harris Group, Inc.

 

14

 

2

 

Sandy Spring Bancorp, Inc.

 

34

 

1

 

SCBT Financial Corp.

 

31

 

2

 

SeaBright Holdings, Inc.

 

18

 

11

 

SEI Investments Co.

 

248

 

4

 

Selective Insurance Group, Inc.

 

66

 

9

 

Senior Housing Properties Trust (REIT)

 

201

 

1

 

Sierra Bancorp

 

10

 

3

 

Signature Bank/NY*

 

132

 

1

 

Simmons First National Corp., Class A

 

29

 

21

 

Simon Property Group, Inc. (REIT)

 

2,068

 

6

 

SL Green Realty Corp. (REIT)

 

392

 

35

 

SLM Corp.*

 

404

 

1

 

Southside Bancshares, Inc.

 

26

 

1

 

Southwest Bancorp, Inc./OK

 

11

 

2

 

Sovran Self Storage, Inc. (REIT)

 

72

 

7

 

St. Joe Co. (The)*

 

123

 

3

 

StanCorp Financial Group, Inc.

 

125

 

3

 

Starwood Property Trust, Inc. (REIT)

 

60

 

1

 

State Auto Financial Corp.

 

16

 

1

 

State Bancorp, Inc./NY

 

9

 

36

 

State Street Corp.

 

1,555

 

2

 

StellarOne Corp.

 

26

 

2

 

Sterling Bancorp/NY

 

19

 

7

 

Sterling Bancshares, Inc./TX

 

42

 

1

 

Stewart Information Services Corp.

 

11

 

2

 

Stifel Financial Corp.*

 

104

 

10

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

47

 

1

 

Suffolk Bancorp

 

26

 

1

 

Sun Communities, Inc. (REIT)

 

33

 

7

 

Sunstone Hotel Investors, Inc. (REIT)*

 

67

 

36

 

SunTrust Banks, Inc.

 

841

 

9

 

Susquehanna Bancshares, Inc.

 

72

 

3

 

SVB Financial Group*

 

135

 

2

 

SWS Group, Inc.

 

10

 

3

 

Symetra Financial Corp.

 

36

 

57

 

Synovus Financial Corp.

 

116

 

19

 

T. Rowe Price Group, Inc.

 

1,108

 

3

 

Tanger Factory Outlet Centers (REIT)

 

144

 

4

 

Taubman Centers, Inc. (REIT)

 

194

 

1

 

Taylor Capital Group, Inc.*

 

12

 

10

 

TCF Financial Corp.

 

136

 

17

 

TD Ameritrade Holding Corp.

 

285

 

1

 

Tejon Ranch Co.*

 

24

 

1

 

Terreno Realty Corp. (REIT)*

 

18

 

1

 

Territorial Bancorp, Inc.

 

18

 

3

 

Texas Capital Bancshares, Inc.*

 

57

 

6

 

TFS Financial Corp.

 

49

 

1

 

THL Credit, Inc.

 

13

 

3

 

Thomas Properties Group, Inc.*

 

13

 

2

 

TICC Capital Corp.

 

21

 

1

 

Tompkins Financial Corp.

 

38

 

6

 

Torchmark Corp.

 

345

 

3

 

Tower Group, Inc.

 

77

 

2

 

TowneBank/VA

 

31

 

3

 

TradeStation Group, Inc.*

 

19

 

5

 

Transatlantic Holdings, Inc.

 

253

 

34

 

Travelers Cos., Inc. (The)

 

1,836

 

1

 

Triangle Capital Corp.

 

19

 

1

 

Trico Bancshares

 

14

 

6

 

TrustCo Bank Corp NY

 

34

 

5

 

Trustmark Corp.

 

107

 

2

 

Two Harbors Investment Corp. (REIT)

 

20

 

139

 

U.S. Bancorp

 

3,305

 

13

 

UDR, Inc. (REIT)

 

290

 

2

 

UMB Financial Corp.

 

75

 

1

 

UMH Properties, Inc. (REIT)

 

10

 

8

 

Umpqua Holdings Corp.

 

85

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1

 

Union First Market Bankshares Corp.

 

$

14

 

3

 

United Bankshares, Inc.

 

79

 

7

 

United Community Banks, Inc./GA*

 

11

 

1

 

United Financial Bancorp, Inc.

 

15

 

2

 

United Fire & Casualty Co.

 

41

 

4

 

Unitrin, Inc.

 

95

 

1

 

Universal Health Realty Income Trust (REIT)

 

35

 

1

 

Universal Insurance Holdings, Inc.

 

5

 

1

 

Univest Corp. of Pennsylvania

 

19

 

24

 

Unum Group

 

516

 

2

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

37

 

7

 

U-Store-It Trust (REIT)

 

58

 

5

 

Validus Holdings Ltd.

 

146

 

12

 

Valley National Bancorp

 

152

 

11

 

Ventas, Inc. (REIT)

 

564

 

1

 

ViewPoint Financial Group

 

10

 

2

 

Virginia Commerce Bancorp, Inc.*

 

11

 

12

 

Vornado Realty Trust (REIT)

 

979

 

9

 

W. R. Berkley Corp.

 

240

 

6

 

Waddell & Reed Financial, Inc., Class A

 

185

 

2

 

Walter Investment Management Corp. (REIT)

 

35

 

1

 

Washington Banking Co.

 

13

 

8

 

Washington Federal, Inc.

 

118

 

4

 

Washington Real Estate Investment Trust (REIT)

 

123

 

1

 

Washington Trust Bancorp, Inc.

 

21

 

1

 

Waterstone Financial, Inc.*

 

4

 

5

 

Webster Financial Corp.

 

83

 

9

 

Weingarten Realty Investors (REIT)

 

213

 

352

 

Wells Fargo & Co.

 

9,578

 

2

 

WesBanco, Inc.

 

35

 

1

 

West Bancorp., Inc.

 

7

 

7

 

West Coast Bancorp/OR*

 

18

 

2

 

Westamerica Bancorp.

 

98

 

5

 

Western Alliance Bancorp.*

 

31

 

2

 

Westfield Financial, Inc.

 

16

 

1

 

White Mountains Insurance Group Ltd.

 

318

 

7

 

Whitney Holding Corp./LA

 

66

 

7

 

Wilmington Trust Corp.

 

27

 

1

 

Wilshire Bancorp, Inc.

 

7

 

2

 

Winthrop Realty Trust (REIT)

 

24

 

2

 

Wintrust Financial Corp.

 

57

 

1

 

World Acceptance Corp.*

 

44

 

25

 

XL Group plc

 

492

 

13

 

Zions Bancorp.

 

253

 

 

 

 

 

152,315

 

 

 

Health Care - 1.6%

 

 

 

 

 

 

 

 

 

2

 

Abaxis, Inc.*

 

54

 

112

 

Abbott Laboratories

 

5,209

 

2

 

Abiomed, Inc.*

 

23

 

4

 

Accelrys, Inc.*

 

34

 

1

 

Accretive Health, Inc.*

 

14

 

4

 

Accuray, Inc.*

 

24

 

3

 

Acorda Therapeutics, Inc.*

 

79

 

1

 

Acura Pharmaceuticals, Inc.*

 

3

 

31

 

Aetna, Inc.

 

918

 

1

 

Affymax, Inc.*

 

7

 

5

 

Affymetrix, Inc.*

 

21

 

1

 

Air Methods Corp.*

 

49

 

4

 

Akorn, Inc.*

 

21

 

2

 

Albany Molecular Research, Inc.*

 

10

 

5

 

Alcon, Inc.

 

786

 

6

 

Alere, Inc.*

 

191

 

6

 

Alexion Pharmaceuticals, Inc.*

 

459

 

3

 

Alexza Pharmaceuticals, Inc.*

 

3

 

4

 

Align Technology, Inc.*

 

70

 

7

 

Alkermes, Inc.*

 

73

 

22

 

Allergan, Inc.

 

1,458

 

2

 

Alliance HealthCare Services, Inc.*

 

8

 

3

 

Allied Healthcare International, Inc.*

 

9

 

6

 

Allos Therapeutics, Inc.*

 

24

 

8

 

Allscripts Healthcare Solutions, Inc.*

 

140

 

1

 

Almost Family, Inc.*

 

35

 

3

 

Alnylam Pharmaceuticals, Inc.*

 

27

 

4

 

Alphatec Holdings, Inc.*

 

9

 

2

 

AMAG Pharmaceuticals, Inc.*

 

31

 

2

 

Amedisys, Inc.*

 

57

 

1

 

America Service Group, Inc.

 

15

 

1

 

American Dental Partners, Inc.*

 

12

 

5

 

American Medical Systems Holdings, Inc.*

 

90

 

4

 

AMERIGROUP Corp.*

 

172

 

20

 

AmerisourceBergen Corp.

 

617

 

69

 

Amgen, Inc.*

 

3,636

 

3

 

AMN Healthcare Services, Inc.*

 

17

 

2

 

Amsurg Corp.*

 

37

 

10

 

Amylin Pharmaceuticals, Inc.*

 

128

 

1

 

Analogic Corp.

 

46

 

2

 

AngioDynamics, Inc.*

 

28

 

5

 

Antares Pharma, Inc.*

 

7

 

2

 

Aoxing Pharmaceutical Co., Inc.*

 

5

 

1

 

Ardea Biosciences, Inc.*

 

22

 

8

 

Arena Pharmaceuticals, Inc.*

 

12

 

8

 

Ariad Pharmaceuticals, Inc.*

 

32

 

3

 

Arqule, Inc.*

 

16

 

4

 

Array Biopharma, Inc.*

 

13

 

2

 

ArthroCare Corp.*

 

61

 

3

 

AspenBio Pharma, Inc.*

 

2

 

1

 

Assisted Living Concepts, Inc., Class A*

 

30

 

2

 

athenahealth, Inc.*

 

82

 

3

 

Auxilium Pharmaceuticals, Inc.*

 

57

 

5

 

AVANIR Pharmaceuticals, Inc., Class A*

 

21

 

1

 

AVEO Pharmaceuticals, Inc.*

 

15

 

8

 

AVI BioPharma, Inc.*

 

15

 

43

 

Baxter International, Inc.

 

2,088

 

5

 

Beckman Coulter, Inc.

 

274

 

17

 

Becton, Dickinson and Co.

 

1,325

 

2

 

BioCryst Pharmaceuticals, Inc.*

 

10

 

1

 

Biodel, Inc.*

 

2

 

17

 

Biogen Idec, Inc.*

 

1,088

 

7

 

BioMarin Pharmaceutical, Inc.*

 

190

 

1

 

BioMimetic Therapeutics, Inc.*

 

11

 

1

 

Bio-Rad Laboratories, Inc., Class A*

 

93

 

2

 

Bio-Reference Labs, Inc.*

 

42

 

5

 

BioSante Pharmaceuticals, Inc.*

 

7

 

3

 

BioScrip, Inc.*

 

12

 

2

 

BioTime, Inc.*

 

16

 

2

 

BMP Sunstone Corp.*

 

20

 

110

 

Boston Scientific Corp.*

 

706

 

124

 

Bristol-Myers Squibb Co.

 

3,130

 

6

 

Brookdale Senior Living, Inc.*

 

115

 

5

 

Bruker Corp.*

 

77

 

7

 

C.R. Bard, Inc.

 

594

 

2

 

Cadence Pharmaceuticals, Inc.*

 

14

 

3

 

Caliper Life Sciences, Inc.*

 

18

 

2

 

Cambrex Corp.*

 

9

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1

 

Cantel Medical Corp.

 

$

20

 

2

 

Capital Senior Living Corp.*

 

13

 

1

 

Caraco Pharmaceutical Laboratories Ltd.*

 

5

 

26

 

Cardinal Health, Inc.

 

925

 

2

 

CardioNet, Inc.*

 

8

 

13

 

CareFusion Corp.*

 

297

 

3

 

Catalyst Health Solutions, Inc.*

 

129

 

6

 

Celera Corp.*

 

34

 

33

 

Celgene Corp.*

 

1,960

 

2

 

Celldex Therapeutics, Inc.*

 

8

 

4

 

Centene Corp.*

 

93

 

5

 

Cephalon, Inc.*

 

317

 

4

 

Cepheid, Inc.*

 

79

 

5

 

Cerner Corp.*

 

439

 

3

 

Cerus Corp.*

 

7

 

5

 

Charles River Laboratories International, Inc.*

 

163

 

3

 

Chelsea Therapeutics International Ltd.*

 

16

 

2

 

Chemed Corp.

 

122

 

1

 

Chindex International, Inc.*

 

15

 

20

 

CIGNA Corp.

 

736

 

4

 

Clarient, Inc.*

 

20

 

1

 

Clinical Data, Inc.*

 

18

 

7

 

Community Health Systems, Inc.*

 

223

 

1

 

Computer Programs & Systems, Inc.

 

47

 

2

 

Conceptus, Inc.*

 

26

 

2

 

CONMED Corp.*

 

43

 

2

 

Continucare Corp.*

 

9

 

3

 

Cooper Cos., Inc. (The)

 

161

 

2

 

Corcept Therapeutics, Inc.*

 

8

 

1

 

Cornerstone Therapeutics, Inc.*

 

6

 

1

 

Corvel Corp.*

 

46

 

5

 

Covance, Inc.*

 

225

 

11

 

Coventry Health Care, Inc.*

 

279

 

36

 

Covidien plc

 

1,515

 

2

 

Cross Country Healthcare, Inc.*

 

15

 

2

 

CryoLife, Inc.*

 

11

 

4

 

Cubist Pharmaceuticals, Inc.*

 

87

 

1

 

Cumberland Pharmaceuticals, Inc.*

 

7

 

5

 

Curis, Inc.*

 

8

 

1

 

Cutera, Inc.*

 

7

 

2

 

Cyberonics, Inc.*

 

54

 

1

 

Cynosure, Inc., Class A*

 

9

 

3

 

Cypress Bioscience, Inc.*

 

12

 

3

 

Cytokinetics, Inc.*

 

7

 

3

 

Cytori Therapeutics, Inc.*

 

13

 

8

 

CytRx Corp.*

 

8

 

8

 

DaVita, Inc.*

 

582

 

3

 

Delcath Systems, Inc.*

 

30

 

10

 

Dendreon Corp.*

 

357

 

11

 

DENTSPLY International, Inc.

 

340

 

4

 

Depomed, Inc.*

 

22

 

4

 

DexCom, Inc.*

 

45

 

1

 

Dionex Corp.*

 

91

 

6

 

Durect Corp.*

 

18

 

7

 

Dyax Corp.*

 

16

 

5

 

Dynavax Technologies Corp.*

 

10

 

1

 

DynaVox, Inc., Class A*

 

4

 

8

 

Edwards Lifesciences Corp.*

 

531

 

74

 

Eli Lilly & Co.

 

2,491

 

2

 

Emdeon, Inc., Class A*

 

25

 

2

 

Emergency Medical Services Corp., Class A*

 

99

 

1

 

Emergent Biosolutions, Inc.*

 

18

 

1

 

Emeritus Corp.*

 

18

 

8

 

Endo Pharmaceuticals Holdings, Inc.*

 

288

 

4

 

Endologix, Inc.*

 

23

 

1

 

Ensign Group, Inc. (The)

 

22

 

2

 

Enzo Biochem, Inc.*

 

9

 

4

 

Enzon Pharmaceuticals, Inc.*

 

44

 

4

 

eResearchTechnology, Inc.*

 

22

 

1

 

Eurand N.V.*

 

11

 

3

 

Exact Sciences Corp.*

 

18

 

1

 

Exactech, Inc.*

 

18

 

8

 

Exelixis, Inc.*

 

46

 

40

 

Express Scripts, Inc.*

 

2,084

 

2

 

Five Star Quality Care, Inc.*

 

13

 

21

 

Forest Laboratories, Inc.*

 

670

 

1

 

Furiex Pharmaceuticals, Inc.*

 

12

 

1

 

Genomic Health, Inc.*

 

18

 

1

 

Genoptix, Inc.*

 

17

 

4

 

Gen-Probe, Inc.*

 

207

 

2

 

Gentiva Health Services, Inc.*

 

46

 

19

 

Genzyme Corp.*

 

1,353

 

7

 

Geron Corp.*

 

40

 

61

 

Gilead Sciences, Inc.*

 

2,227

 

2

 

Greatbatch, Inc.*

 

44

 

2

 

Haemonetics Corp.*

 

118

 

5

 

Halozyme Therapeutics, Inc.*

 

35

 

2

 

Hanger Orthopedic Group, Inc.*

 

38

 

3

 

Hansen Medical, Inc.*

 

4

 

18

 

Health Management Associates, Inc., Class A*

 

160

 

7

 

Health Net, Inc.*

 

189

 

7

 

HealthSouth Corp.*

 

126

 

4

 

Healthspring, Inc.*

 

107

 

2

 

Healthways, Inc.*

 

19

 

1

 

HeartWare International, Inc.*

 

92

 

7

 

Henry Schein, Inc.*

 

402

 

5

 

Hill-Rom Holdings, Inc.

 

198

 

1

 

Hi-Tech Pharmacal Co., Inc.*

 

24

 

2

 

HMS Holdings Corp.*

 

126

 

19

 

Hologic, Inc.*

 

312

 

12

 

Hospira, Inc.*

 

675

 

14

 

Human Genome Sciences, Inc.*

 

343

 

12

 

Humana, Inc.*

 

672

 

1

 

ICU Medical, Inc.*

 

37

 

3

 

Idenix Pharmaceuticals, Inc.*

 

11

 

4

 

IDEXX Laboratories, Inc.*

 

257

 

9

 

Illumina, Inc.*

 

541

 

5

 

Immucor, Inc.*

 

92

 

5

 

Immunogen, Inc.*

 

42

 

5

 

Immunomedics, Inc.*

 

16

 

5

 

Impax Laboratories, Inc.*

 

90

 

6

 

Incyte Corp.*

 

87

 

1

 

Infinity Pharmaceuticals, Inc.*

 

6

 

4

 

Inhibitex, Inc.*

 

12

 

6

 

Inovio Pharmaceuticals, Inc.*

 

7

 

4

 

Inspire Pharmaceuticals, Inc.*

 

28

 

3

 

Insulet Corp.*

 

41

 

2

 

Integra LifeSciences Holdings Corp.*

 

87

 

3

 

InterMune, Inc.*

 

38

 

3

 

Intuitive Surgical, Inc.*

 

781

 

2

 

Invacare Corp.

 

54

 

1

 

IPC The Hospitalist Co., Inc.*

 

32

 

1

 

IRIS International, Inc.*

 

9

 

1

 

Ironwood Pharmaceuticals, Inc.*

 

11

 

7

 

Isis Pharmaceuticals, Inc.*

 

66

 

1

 

Jazz Pharmaceuticals, Inc.*

 

17

 

199

 

Johnson & Johnson

 

12,248

 

1

 

Kendle International, Inc.*

 

9

 

1

 

Kensey Nash Corp.*

 

27

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

4

 

Keryx Biopharmaceuticals, Inc.*

 

$

22

 

3

 

Kindred Healthcare, Inc.*

 

48

 

5

 

Kinetic Concepts, Inc.*

 

199

 

18

 

King Pharmaceuticals, Inc.*

 

255

 

8

 

Laboratory Corp. of America Holdings*

 

656

 

1

 

Landauer, Inc.

 

66

 

1

 

Lannett Co., Inc.*

 

6

 

1

 

LCA-Vision, Inc.*

 

5

 

14

 

Lexicon Pharmaceuticals, Inc.*

 

19

 

1

 

LHC Group, Inc.*

 

26

 

13

 

Life Technologies Corp.*

 

647

 

4

 

LifePoint Hospitals, Inc.*

 

145

 

2

 

Ligand Pharmaceuticals, Inc., Class B*

 

13

 

7

 

Lincare Holdings, Inc.

 

180

 

3

 

Luminex Corp.*

 

51

 

2

 

Magellan Health Services, Inc.*

 

97

 

2

 

MAKO Surgical Corp.*

 

23

 

5

 

MannKind Corp.*

 

31

 

1

 

MAP Pharmaceuticals, Inc.*

 

14

 

2

 

Martek Biosciences Corp.*

 

44

 

4

 

Masimo Corp.

 

123

 

2

 

Maxygen, Inc.*

 

13

 

20

 

McKesson Corp.

 

1,278

 

3

 

MedAssets, Inc.*

 

56

 

1

 

MedCath Corp.*

 

13

 

31

 

Medco Health Solutions, Inc.*

 

1,901

 

1

 

Medical Action Industries, Inc.*

 

8

 

4

 

Medicines Co. (The)*

 

53

 

4

 

Medicis Pharmaceutical Corp., Class A

 

105

 

1

 

Medidata Solutions, Inc.*

 

20

 

2

 

Medivation, Inc.*

 

23

 

3

 

MEDNAX, Inc.*

 

184

 

1

 

MedQuist, Inc.

 

9

 

80

 

Medtronic, Inc.

 

2,682

 

2

 

MELA Sciences, Inc.*

 

7

 

225

 

Merck & Co., Inc.

 

7,756

 

4

 

Merge Healthcare, Inc.*

 

15

 

3

 

Meridian Bioscience, Inc.

 

67

 

2

 

Merit Medical Systems, Inc.*

 

30

 

2

 

Metabolix, Inc.*

 

20

 

3

 

Metropolitan Health Networks, Inc.*

 

13

 

2

 

Mettler-Toledo International, Inc.*

 

290

 

6

 

Micromet, Inc.*

 

44

 

1

 

Molina Healthcare, Inc.*

 

25

 

3

 

Momenta Pharmaceuticals, Inc.*

 

46

 

1

 

MWI Veterinary Supply, Inc.*

 

61

 

22

 

Mylan, Inc.*

 

430

 

7

 

Myriad Genetics, Inc.*

 

151

 

3

 

Nabi Biopharmaceuticals*

 

16

 

1

 

Nanosphere, Inc.*

 

5

 

1

 

National Healthcare Corp.

 

43

 

2

 

Natus Medical, Inc.*

 

26

 

7

 

Nektar Therapeutics*

 

89

 

2

 

Neogen Corp.*

 

74

 

2

 

NeoStem, Inc.*

 

3

 

3

 

Neuralstem, Inc.*

 

6

 

4

 

Neurocrine Biosciences, Inc.*

 

29

 

1

 

NeurogesX, Inc.*

 

5

 

7

 

Novavax, Inc.*

 

16

 

5

 

NPS Pharmaceuticals, Inc.*

 

31

 

3

 

NuVasive, Inc.*

 

70

 

2

 

NxStage Medical, Inc.*

 

43

 

1

 

Nymox Pharmaceutical Corp.*

 

4

 

1

 

Obagi Medical Products, Inc.*

 

11

 

1

 

Omeros Corp.*

 

8

 

9

 

Omnicare, Inc.

 

208

 

2

 

Omnicell, Inc.*

 

27

 

5

 

Onyx Pharmaceuticals, Inc.*

 

147

 

6

 

Opko Health, Inc.*

 

18

 

2

 

Optimer Pharmaceuticals, Inc.*

 

19

 

3

 

OraSure Technologies, Inc.*

 

16

 

2

 

Orexigen Therapeutics, Inc.*

 

10

 

1

 

Orthofix International N.V.*

 

27

 

5

 

Orthovita, Inc.*

 

10

 

1

 

Osiris Therapeutics, Inc.*

 

7

 

5

 

Owens & Minor, Inc.

 

141

 

3

 

Pain Therapeutics, Inc.*

 

24

 

1

 

Palomar Medical Technologies, Inc.*

 

12

 

3

 

Par Pharmaceutical Cos., Inc.*

 

108

 

4

 

Parexel International Corp.*

 

70

 

7

 

Patterson Cos., Inc.

 

208

 

1

 

PDI, Inc.*

 

9

 

10

 

PDL BioPharma, Inc.

 

58

 

4

 

Peregrine Pharmaceuticals, Inc.*

 

6

 

9

 

PerkinElmer, Inc.

 

210

 

6

 

Perrigo Co.

 

361

 

583

 

Pfizer, Inc.

 

9,497

 

8

 

Pharmaceutical Product Development, Inc.

 

199

 

3

 

Pharmacyclics, Inc.*

 

16

 

2

 

Pharmasset, Inc.*

 

87

 

2

 

PharMerica Corp.*

 

22

 

2

 

Pozen, Inc.*

 

13

 

2

 

Progenics Pharmaceuticals, Inc.*

 

10

 

1

 

Prospect Medical Holdings, Inc.*

 

8

 

1

 

Providence Service Corp. (The)*

 

17

 

4

 

PSS World Medical, Inc.*

 

82

 

3

 

Pure Bioscience*

 

6

 

1

 

Quality Systems, Inc.

 

65

 

10

 

Quest Diagnostics, Inc.

 

493

 

4

 

Questcor Pharmaceuticals, Inc.*

 

57

 

2

 

Quidel Corp.*

 

26

 

5

 

Regeneron Pharmaceuticals, Inc.*

 

144

 

2

 

RehabCare Group, Inc.*

 

40

 

2

 

Res-Care, Inc.*

 

26

 

11

 

ResMed, Inc.*

 

351

 

4

 

Rigel Pharmaceuticals, Inc.*

 

32

 

1

 

Rochester Medical Corp.*

 

11

 

4

 

RTI Biologics, Inc.*

 

11

 

1

 

Rural/Metro Corp.*

 

11

 

4

 

Salix Pharmaceuticals Ltd.*

 

179

 

3

 

Sangamo Biosciences, Inc.*

 

14

 

4

 

Santarus, Inc.*

 

11

 

5

 

Savient Pharmaceuticals, Inc.*

 

59

 

3

 

Sciclone Pharmaceuticals, Inc.*

 

11

 

6

 

Seattle Genetics, Inc.*

 

91

 

4

 

Select Medical Holdings Corp.*

 

25

 

5

 

Sequenom, Inc.*

 

34

 

2

 

SIGA Technologies, Inc.*

 

25

 

2

 

Sirona Dental Systems, Inc.*

 

76

 

1

 

Skilled Healthcare Group, Inc., Class A*

 

6

 

4

 

Solta Medical, Inc.*

 

8

 

2

 

Somaxon Pharmaceuticals, Inc.*

 

5

 

1

 

SonoSite, Inc.*

 

30

 

2

 

Spectranetics Corp. (The)*

 

10

 

4

 

Spectrum Pharmaceuticals, Inc.*

 

18

 

24

 

St. Jude Medical, Inc.*

 

941

 

3

 

Staar Surgical Co.*

 

16

 

9

 

StemCells, Inc.*

 

10

 

2

 

Stereotaxis, Inc.*

 

7

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

4

 

STERIS Corp.

 

$

138

 

23

 

Stryker Corp.

 

1,152

 

1

 

Sucampo Pharmaceuticals, Inc., Class A*

 

3

 

2

 

Sun Healthcare Group, Inc.*

 

16

 

4

 

Sunrise Senior Living, Inc.*

 

15

 

4

 

SuperGen, Inc.*

 

11

 

1

 

SurModics, Inc.*

 

9

 

4

 

SXC Health Solutions Corp.*

 

153

 

3

 

Symmetry Medical, Inc.*

 

25

 

3

 

Syneron Medical Ltd.*

 

29

 

1

 

Synovis Life Technologies, Inc.*

 

16

 

2

 

Synta Pharmaceuticals Corp.*

 

9

 

4

 

Talecris Biotherapeutics Holdings Corp.*

 

87

 

2

 

Targacept, Inc.*

 

42

 

1

 

Team Health Holdings, Inc.*

 

14

 

3

 

Techne Corp.

 

180

 

3

 

Teleflex, Inc.

 

150

 

35

 

Tenet Healthcare Corp.*

 

143

 

5

 

Theravance, Inc.*

 

125

 

30

 

Thermo Fisher Scientific, Inc.*

 

1,526

 

4

 

Thoratec Corp.*

 

102

 

3

 

TomoTherapy, Inc.*

 

11

 

1

 

Transcend Services, Inc.*

 

16

 

1

 

Triple-S Management Corp., Class B*

 

19

 

1

 

U.S. Physical Therapy, Inc.*

 

19

 

3

 

Unilife Corp.*

 

16

 

4

 

United Therapeutics Corp.*

 

252

 

82

 

UnitedHealth Group, Inc.

 

2,995

 

2

 

Universal American Corp.

 

30

 

6

 

Universal Health Services, Inc., Class B

 

247

 

2

 

Vanda Pharmaceuticals, Inc.*

 

16

 

9

 

Varian Medical Systems, Inc.*

 

592

 

1

 

Vascular Solutions, Inc.*

 

11

 

6

 

VCA Antech, Inc.*

 

131

 

15

 

Vertex Pharmaceuticals, Inc.*

 

497

 

5

 

Vical, Inc.*

 

10

 

6

 

ViroPharma, Inc.*

 

93

 

1

 

Vital Images, Inc.*

 

13

 

6

 

Vivus, Inc.*

 

39

 

4

 

Volcano Corp.*

 

106

 

7

 

Warner Chilcott plc, Class A

 

133

 

7

 

Waters Corp.*

 

538

 

8

 

Watson Pharmaceuticals, Inc.*

 

390

 

3

 

WellCare Health Plans, Inc.*

 

84

 

29

 

WellPoint, Inc.*

 

1,616

 

2

 

West Pharmaceutical Services, Inc.

 

76

 

3

 

Wright Medical Group, Inc.*

 

40

 

2

 

XenoPort, Inc.*

 

16

 

5

 

Zalicus, Inc.*

 

6

 

15

 

Zimmer Holdings, Inc.*

 

739

 

4

 

ZIOPHARM Oncology, Inc.*

 

16

 

2

 

Zoll Medical Corp.*

 

67

 

 

 

 

 

109,064

 

 

 

Industrials - 1.6%

 

 

 

 

 

 

 

 

 

1

 

3D Systems Corp.*

 

28

 

52

 

3M Co.

 

4,367

 

3

 

A. O. Smith Corp.

 

118

 

5

 

A123 Systems, Inc.*

 

38

 

1

 

AAON, Inc.

 

26

 

3

 

AAR Corp.*

 

74

 

4

 

ABM Industries, Inc.

 

92

 

2

 

Acacia Research - Acacia Technologies*

 

55

 

4

 

ACCO Brands Corp.*

 

28

 

2

 

Aceto Corp.

 

15

 

5

 

Actuant Corp., Class A

 

118

 

3

 

Acuity Brands, Inc.

 

162

 

2

 

Administaff, Inc.

 

57

 

4

 

Advanced Battery Technologies, Inc.*

 

15

 

1

 

Advisory Board Co. (The)*

 

47

 

7

 

Aecom Technology Corp.*

 

180

 

1

 

Aerovironment, Inc.*

 

25

 

7

 

AGCO Corp.*

 

316

 

4

 

Air Transport Services Group, Inc.*

 

30

 

4

 

Aircastle Ltd.

 

38

 

10

 

AirTran Holdings, Inc.*

 

74

 

3

 

Alaska Air Group, Inc.*

 

165

 

2

 

Albany International Corp., Class A

 

42

 

3

 

Alexander & Baldwin, Inc.

 

105

 

1

 

Allegiant Travel Co.

 

50

 

2

 

Alliant Techsystems, Inc.*

 

148

 

2

 

Altra Holdings, Inc.*

 

34

 

1

 

Amerco, Inc.*

 

97

 

1

 

Ameresco, Inc., Class A*

 

13

 

1

 

American Commercial Lines, Inc.*

 

33

 

1

 

American Railcar Industries, Inc.*

 

15

 

3

 

American Reprographics Co.*

 

21

 

1

 

American Science & Engineering, Inc.

 

81

 

3

 

American Superconductor Corp.*

 

100

 

1

 

American Woodmark Corp.

 

21

 

1

 

Ameron International Corp.

 

71

 

8

 

AMETEK, Inc.

 

473

 

1

 

Ampco-Pittsburgh Corp.

 

26

 

24

 

AMR Corp.*

 

205

 

2

 

APAC Customer Services, Inc.*

 

12

 

2

 

Apogee Enterprises, Inc.

 

22

 

6

 

Applied Energetics, Inc.*

 

5

 

3

 

Applied Industrial Technologies, Inc.

 

90

 

1

 

Applied Signal Technology, Inc.

 

33

 

1

 

Argan, Inc.*

 

9

 

2

 

Arkansas Best Corp.

 

49

 

1

 

Armstrong World Industries, Inc.*

 

48

 

7

 

ArvinMeritor, Inc.*

 

125

 

1

 

Astec Industries, Inc.*

 

30

 

1

 

Astronics Corp.*

 

21

 

2

 

Atlas Air Worldwide Holdings, Inc.*

 

109

 

8

 

Avery Dennison Corp.

 

300

 

7

 

Avis Budget Group, Inc.*

 

93

 

1

 

AZZ, Inc.

 

37

 

8

 

Babcock & Wilcox Co.*

 

194

 

1

 

Badger Meter, Inc.

 

42

 

3

 

Baldor Electric Co.

 

190

 

1

 

Baltic Trading Ltd.

 

12

 

4

 

Barnes Group, Inc.

 

76

 

1

 

Barrett Business Services, Inc.

 

15

 

7

 

BE Aerospace, Inc.*

 

249

 

3

 

Beacon Roofing Supply, Inc.*

 

52

 

3

 

Belden, Inc.

 

100

 

3

 

Blount International, Inc.*

 

46

 

1

 

BlueLinx Holdings, Inc.*

 

4

 

55

 

Boeing Co. (The)

 

3,507

 

4

 

Brady Corp., Class A

 

124

 

4

 

Briggs & Stratton Corp.

 

70

 

3

 

Brink’s Co. (The)

 

74

 

7

 

Broadwind Energy, Inc.*

 

13

 

5

 

Bucyrus International, Inc.

 

446

 

3

 

Builders FirstSource, Inc.*

 

5

 

12

 

C.H. Robinson Worldwide, Inc.

 

885

 

1

 

CAI International, Inc.*

 

20

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

17

 

Capstone Turbine Corp.*

 

$

13

 

4

 

Carlisle Cos., Inc.

 

146

 

1

 

Cascade Corp.

 

37

 

2

 

Casella Waste Systems, Inc., Class A*

 

9

 

45

 

Caterpillar, Inc.

 

3,807

 

3

 

CBIZ, Inc.*

 

18

 

1

 

CDI Corp.

 

17

 

1

 

Celadon Group, Inc.*

 

13

 

4

 

Cenveo, Inc.*

 

20

 

2

 

Ceradyne, Inc.*

 

53

 

2

 

Chart Industries, Inc.*

 

63

 

7

 

Chicago Bridge & Iron Co. N.V. (NY Shares)*

 

198

 

10

 

Cintas Corp.

 

267

 

1

 

CIRCOR International, Inc.

 

40

 

4

 

CLARCOR, Inc.

 

163

 

2

 

Clean Harbors, Inc.*

 

148

 

2

 

CNH Global N.V.*

 

83

 

1

 

Coleman Cable, Inc.*

 

6

 

2

 

Colfax Corp.*

 

34

 

1

 

Columbus McKinnon Corp.*

 

16

 

3

 

Comfort Systems USA, Inc.

 

33

 

2

 

Commercial Vehicle Group, Inc.*

 

28

 

1

 

Consolidated Graphics, Inc.*

 

48

 

4

 

Con-way, Inc.

 

135

 

12

 

Cooper Industries plc

 

654

 

2

 

Copa Holdings S.A., Class A

 

112

 

5

 

Copart, Inc.*

 

177

 

2

 

Corporate Executive Board Co. (The)

 

69

 

8

 

Corrections Corp. of America*

 

193

 

1

 

CoStar Group, Inc.*

 

53

 

1

 

Courier Corp.

 

14

 

9

 

Covanta Holding Corp.

 

141

 

1

 

CRA International, Inc.*

 

22

 

4

 

Crane Co.

 

150

 

28

 

CSX Corp.

 

1,703

 

1

 

Cubic Corp.

 

46

 

15

 

Cummins, Inc.

 

1,457

 

3

 

Curtiss-Wright Corp.

 

93

 

38

 

Danaher Corp.

 

1,644

 

31

 

Deere & Co.

 

2,316

 

57

 

Delta Air Lines, Inc.*

 

780

 

4

 

Deluxe Corp.

 

85

 

2

 

DigitalGlobe, Inc.*

 

59

 

2

 

Dolan Co. (The)*

 

27

 

2

 

Dollar Thrifty Automotive Group, Inc.*

 

92

 

6

 

Donaldson Co., Inc.

 

326

 

1

 

Douglas Dynamics, Inc.

 

15

 

14

 

Dover Corp.

 

767

 

1

 

Ducommun, Inc.

 

22

 

4

 

Dun & Bradstreet Corp.

 

301

 

1

 

DXP Enterprises, Inc.*

 

22

 

3

 

Dycom Industries, Inc.*

 

40

 

1

 

Dynamex, Inc.*

 

24

 

1

 

Dynamic Materials Corp.

 

16

 

4

 

Eagle Bulk Shipping, Inc.*

 

20

 

12

 

Eaton Corp.

 

1,157

 

5

 

EMCOR Group, Inc.*

 

134

 

54

 

Emerson Electric Co.

 

2,974

 

1

 

Encore Wire Corp.

 

23

 

4

 

Ener1, Inc.*

 

17

 

3

 

Energy Recovery, Inc.*

 

10

 

6

 

EnergySolutions, Inc.

 

30

 

1

 

EnerNOC, Inc.*

 

25

 

3

 

EnerSys*

 

91

 

2

 

Ennis, Inc.

 

34

 

1

 

EnPro Industries, Inc.*

 

37

 

9

 

Equifax, Inc.

 

311

 

2

 

ESCO Technologies, Inc.

 

70

 

2

 

Esterline Technologies Corp.*

 

118

 

3

 

Excel Maritime Carriers Ltd.*

 

17

 

15

 

Expeditors International of Washington, Inc.

 

793

 

1

 

Exponent, Inc.*

 

35

 

10

 

Fastenal Co.

 

535

 

5

 

Federal Signal Corp.

 

32

 

23

 

FedEx Corp.

 

2,096

 

3

 

Flow International Corp.*

 

10

 

4

 

Flowserve Corp.

 

422

 

13

 

Fluor Corp.

 

752

 

5

 

Force Protection, Inc.*

 

26

 

2

 

Forward Air Corp.

 

55

 

1

 

Franklin Covey Co.*

 

8

 

2

 

Franklin Electric Co., Inc.

 

78

 

1

 

FreightCar America, Inc.

 

25

 

3

 

FTI Consulting, Inc.*

 

107

 

1

 

Fuel Tech, Inc.*

 

7

 

7

 

FuelCell Energy, Inc.*

 

8

 

3

 

Furmanite Corp.*

 

20

 

1

 

G&K Services, Inc., Class A

 

28

 

4

 

Gardner Denver, Inc.

 

262

 

3

 

GATX Corp.

 

100

 

2

 

Genco Shipping & Trading Ltd.*

 

29

 

4

 

GenCorp, Inc.*

 

20

 

1

 

Generac Holdings, Inc.*

 

15

 

4

 

General Cable Corp.*

 

131

 

25

 

General Dynamics Corp.

 

1,652

 

772

 

General Electric Co.

 

12,221

 

3

 

Genesee & Wyoming, Inc., Class A*

 

142

 

4

 

Geo Group, Inc. (The)*

 

96

 

2

 

GeoEye, Inc.*

 

80

 

2

 

Gibraltar Industries, Inc.*

 

20

 

9

 

Goodrich Corp.

 

772

 

1

 

Gorman-Rupp Co. (The)

 

30

 

1

 

GP Strategies Corp.*

 

9

 

4

 

Graco, Inc.

 

144

 

9

 

GrafTech International Ltd.*

 

176

 

1

 

Graham Corp.

 

16

 

3

 

Granite Construction, Inc.

 

76

 

4

 

Great Lakes Dredge & Dock Corp.

 

31

 

1

 

Greenbrier Cos., Inc.*

 

19

 

3

 

Griffon Corp.*

 

36

 

2

 

H&E Equipment Services, Inc.*

 

20

 

6

 

Harsco Corp.

 

144

 

4

 

Hawaiian Holdings, Inc.*

 

32

 

5

 

Healthcare Services Group, Inc.

 

72

 

4

 

Heartland Express, Inc.

 

62

 

2

 

HEICO Corp.

 

105

 

1

 

Heidrick & Struggles International, Inc.

 

21

 

1

 

Herley Industries, Inc.*

 

16

 

4

 

Herman Miller, Inc.

 

86

 

14

 

Hertz Global Holdings, Inc.*

 

172

 

7

 

Hexcel Corp.*

 

120

 

1

 

Higher One Holdings, Inc.*

 

20

 

2

 

Hill International, Inc.*

 

10

 

3

 

HNI Corp.

 

80

 

1

 

Hoku Corp.*

 

3

 

55

 

Honeywell International, Inc.

 

2,734

 

2

 

Horizon Lines, Inc., Class A

 

7

 

1

 

Houston Wire & Cable Co.

 

11

 

3

 

HUB Group, Inc., Class A*

 

98

 

4

 

Hubbell, Inc., Class B

 

226

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2

 

Hudson Highland Group, Inc.*

 

$

8

 

2

 

Huron Consulting Group, Inc.*

 

45

 

1

 

ICF International, Inc.*

 

24

 

6

 

IDEX Corp.

 

225

 

4

 

IHS, Inc., Class A*

 

289

 

2

 

II-VI, Inc.*

 

82

 

32

 

Illinois Tool Works, Inc.

 

1,524

 

23

 

Ingersoll-Rand plc

 

943

 

2

 

InnerWorkings, Inc.*

 

12

 

3

 

Insituform Technologies, Inc., Class A*

 

66

 

1

 

Insteel Industries, Inc.

 

10

 

4

 

Interface, Inc., Class A

 

58

 

2

 

Interline Brands, Inc.*

 

41

 

13

 

Iron Mountain, Inc.

 

289

 

13

 

ITT Corp.

 

598

 

7

 

J.B. Hunt Transport Services, Inc.

 

256

 

9

 

Jacobs Engineering Group, Inc.*

 

347

 

18

 

JetBlue Airways Corp.*

 

122

 

2

 

John Bean Technologies Corp.

 

37

 

7

 

Joy Global, Inc.

 

534

 

1

 

Kadant, Inc.*

 

19

 

2

 

Kaman Corp.

 

56

 

7

 

Kansas City Southern*

 

331

 

2

 

KAR Auction Services, Inc.*

 

24

 

2

 

Kaydon Corp.

 

70

 

12

 

KBR, Inc.

 

325

 

2

 

Kelly Services, Inc., Class A*

 

36

 

6

 

Kennametal, Inc.

 

203

 

2

 

Kforce, Inc.*

 

30

 

2

 

Kimball International, Inc., Class B

 

12

 

4

 

Kirby Corp.*

 

179

 

4

 

Knight Transportation, Inc.

 

77

 

3

 

Knoll, Inc.

 

46

 

3

 

Korn/Ferry International*

 

52

 

1

 

Kratos Defense & Security Solutions, Inc.*

 

11

 

1

 

L.B. Foster Co., Class A*

 

35

 

8

 

L-3 Communications Holdings, Inc.

 

563

 

1

 

LaBarge, Inc.*

 

14

 

1

 

Ladish Co., Inc.*

 

47

 

4

 

Landstar System, Inc.

 

144

 

1

 

Layne Christensen Co.*

 

33

 

2

 

LECG Corp.*

 

2

 

3

 

Lennox International, Inc.

 

132

 

3

 

Lincoln Electric Holdings, Inc.

 

185

 

1

 

Lindsay Corp.

 

59

 

1

 

LMI Aerospace, Inc.*

 

16

 

22

 

Lockheed Martin Corp.

 

1,497

 

1

 

LSI Industries, Inc.

 

9

 

1

 

Lydall, Inc.*

 

7

 

1

 

M&F Worldwide Corp.*

 

24

 

9

 

Manitowoc Co., Inc. (The)*

 

99

 

6

 

Manpower, Inc.

 

338

 

1

 

Marten Transport Ltd.

 

22

 

26

 

Masco Corp.

 

284

 

4

 

MasTec, Inc.*

 

57

 

2

 

McGrath RentCorp

 

56

 

3

 

Metalico, Inc.*

 

13

 

1

 

Met-Pro Corp.

 

11

 

1

 

Michael Baker Corp.*

 

32

 

1

 

Middleby Corp.*

 

80

 

1

 

Miller Industries, Inc.

 

14

 

2

 

Mine Safety Appliances Co.

 

58

 

1

 

Mistras Group, Inc.*

 

12

 

3

 

Mobile Mini, Inc.*

 

54

 

3

 

Moog, Inc., Class A*

 

111

 

3

 

MSC Industrial Direct Co., Class A

 

180

 

3

 

Mueller Industries, Inc.

 

91

 

11

 

Mueller Water Products, Inc., Class A

 

39

 

1

 

Multi-Color Corp.

 

20

 

1

 

MYR Group, Inc.*

 

16

 

4

 

Navigant Consulting, Inc.*

 

33

 

5

 

Navistar International Corp.*

 

256

 

1

 

NCI Building Systems, Inc.*

 

10

 

2

 

Nordson Corp.

 

159

 

27

 

Norfolk Southern Corp.

 

1,625

 

22

 

Northrop Grumman Corp.

 

1,357

 

1

 

Northwest Pipe Co.*

 

22

 

3

 

Old Dominion Freight Line, Inc.*

 

87

 

3

 

On Assignment, Inc.*

 

21

 

4

 

Orbital Sciences Corp.*

 

65

 

2

 

Orion Marine Group, Inc.*

 

27

 

6

 

Oshkosh Corp.*

 

172

 

8

 

Owens Corning*

 

210

 

26

 

PACCAR, Inc.

 

1,400

 

3

 

Pacer International, Inc.*

 

17

 

8

 

Pall Corp.

 

362

 

12

 

Parker Hannifin Corp.

 

963

 

1

 

Park-Ohio Holdings Corp.*

 

19

 

7

 

Pentair, Inc.

 

230

 

1

 

PGT, Inc.*

 

2

 

1

 

Pike Electric Corp.*

 

7

 

1

 

Pinnacle Airlines Corp.*

 

8

 

15

 

Pitney Bowes, Inc.

 

329

 

1

 

PMFG, Inc.*

 

15

 

2

 

Polypore International, Inc.*

 

64

 

1

 

Powell Industries, Inc.*

 

35

 

1

 

PowerSecure International, Inc.*

 

9

 

10

 

Precision Castparts Corp.

 

1,381

 

2

 

Primoris Services Corp.

 

18

 

1

 

Quality Distribution, Inc.*

 

7

 

3

 

Quanex Building Products Corp.

 

50

 

15

 

Quanta Services, Inc.*

 

264

 

15

 

R.R. Donnelley & Sons Co.

 

236

 

2

 

RailAmerica, Inc.*

 

25

 

1

 

Raven Industries, Inc.

 

44

 

28

 

Raytheon Co.

 

1,295

 

2

 

RBC Bearings, Inc.*

 

74

 

3

 

Regal-Beloit Corp.

 

183

 

2

 

Republic Airways Holdings, Inc.*

 

16

 

23

 

Republic Services, Inc.

 

647

 

3

 

Resources Connection, Inc.

 

50

 

1

 

Roadrunner Transportation Systems, Inc.*

 

13

 

2

 

Robbins & Myers, Inc.

 

62

 

11

 

Robert Half International, Inc.

 

305

 

10

 

Rockwell Automation, Inc.

 

661

 

11

 

Rockwell Collins, Inc.

 

617

 

3

 

Rollins, Inc.

 

81

 

7

 

Roper Industries, Inc.

 

507

 

4

 

RSC Holdings, Inc.*

 

31

 

2

 

Rush Enterprises, Inc., Class A*

 

35

 

4

 

Ryder System, Inc.

 

172

 

1

 

Saia, Inc.*

 

15

 

8

 

Satcon Technology Corp.*

 

28

 

1

 

Sauer-Danfoss, Inc.*

 

30

 

1

 

Schawk, Inc.

 

18

 

1

 

School Specialty, Inc.*

 

13

 

4

 

SFN Group, Inc.*

 

34

 

6

 

Shaw Group, Inc. (The)*

 

192

 

3

 

Simpson Manufacturing Co., Inc.

 

78

 

4

 

Skywest, Inc.

 

65

 

4

 

Snap-On, Inc.

 

212

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

54

 

Southwest Airlines Co.

 

$

719

 

8

 

Spirit Aerosystems Holdings, Inc., Class A*

 

156

 

4

 

SPX Corp.

 

263

 

1

 

Standard Parking Corp.*

 

18

 

1

 

Standard Register Co. (The)

 

3

 

1

 

Standex International Corp.

 

30

 

6

 

Steelcase, Inc., Class A

 

57

 

6

 

Stericycle, Inc.*

 

443

 

1

 

Sterling Construction Co., Inc.*

 

13

 

1

 

Sun Hydraulics Corp.

 

31

 

3

 

SYKES Enterprises, Inc.*

 

55

 

1

 

TAL International Group, Inc.

 

28

 

5

 

Taser International, Inc.*

 

20

 

1

 

Team, Inc.*

 

20

 

1

 

Tecumseh Products Co., Class A*

 

13

 

3

 

Teledyne Technologies, Inc.*

 

121

 

1

 

Tennant Co.

 

34

 

8

 

Terex Corp.*

 

194

 

4

 

Tetra Tech, Inc.*

 

92

 

1

 

Textainer Group Holdings Ltd.

 

28

 

20

 

Textron, Inc.

 

447

 

1

 

Thermadyne Holdings Corp.*

 

15

 

4

 

Thomas & Betts Corp.*

 

178

 

6

 

Timken Co.

 

261

 

3

 

Titan International, Inc.

 

48

 

1

 

Titan Machinery, Inc.*

 

21

 

2

 

Toro Co. (The)

 

116

 

3

 

Towers Watson & Co., Class A

 

151

 

4

 

TransDigm Group, Inc.*

 

274

 

2

 

Tredegar Corp.

 

37

 

1

 

Trex Co., Inc.*

 

18

 

1

 

Trimas Corp.*

 

20

 

6

 

Trinity Industries, Inc.

 

137

 

1

 

Triumph Group, Inc.

 

84

 

3

 

TrueBlue, Inc.*

 

49

 

2

 

Tutor Perini Corp.

 

38

 

1

 

Twin Disc, Inc.

 

24

 

37

 

Tyco International Ltd.

 

1,402

 

2

 

Ultrapetrol (Bahamas) Ltd.*

 

14

 

1

 

Unifirst Corp.

 

51

 

37

 

Union Pacific Corp.

 

3,334

 

22

 

United Continental Holdings, Inc.*

 

609

 

52

 

United Parcel Service, Inc., Class B

 

3,647

 

4

 

United Rentals, Inc.*

 

78

 

2

 

United Stationers, Inc.*

 

127

 

67

 

United Technologies Corp.

 

5,043

 

1

 

Universal Forest Products, Inc.

 

33

 

3

 

UQM Technologies, Inc.*

 

6

 

6

 

URS Corp.*

 

237

 

12

 

US Airways Group, Inc.*

 

134

 

1

 

US Ecology, Inc.

 

16

 

1

 

USA Truck, Inc.*

 

13

 

5

 

USG Corp.*

 

63

 

7

 

UTi Worldwide, Inc.

 

135

 

2

 

Valmont Industries, Inc.

 

162

 

7

 

Verisk Analytics, Inc., Class A*

 

212

 

1

 

Viad Corp.

 

24

 

1

 

Vicor Corp.

 

17

 

1

 

Volt Information Sciences, Inc.*

 

7

 

4

 

W.W. Grainger, Inc.

 

500

 

5

 

Wabash National Corp.*

 

53

 

5

 

WABCO Holdings, Inc.*

 

248

 

9

 

Waste Connections, Inc.

 

234

 

35

 

Waste Management, Inc.

 

1,199

 

2

 

Watsco, Inc.

 

121

 

2

 

Watts Water Technologies, Inc., Class A

 

65

 

3

 

Werner Enterprises, Inc.

 

65

 

3

 

WESCO International, Inc.*

 

143

 

3

 

Westinghouse Air Brake Technologies Corp.

 

139

 

4

 

Woodward Governor Co.

 

135

 

1

 

Xerium Technologies, Inc.*

 

13

 

 

 

 

 

110,579

 

 

 

Information Technology - 2.7%

 

 

 

 

 

 

 

 

 

44

 

Accenture plc, Class A

 

1,906

 

2

 

ACI Worldwide, Inc.*

 

51

 

3

 

Acme Packet, Inc.*

 

147

 

38

 

Activision Blizzard, Inc.

 

446

 

3

 

Actuate Corp.*

 

17

 

5

 

Acxiom Corp.*

 

85

 

7

 

ADC Telecommunications, Inc.*

 

89

 

38

 

Adobe Systems, Inc.*

 

1,054

 

4

 

ADTRAN, Inc.

 

125

 

3

 

Advanced Analogic Technologies, Inc.*

 

11

 

3

 

Advanced Energy Industries, Inc.*

 

35

 

43

 

Advanced Micro Devices, Inc.*

 

313

 

1

 

Advent Software, Inc.*

 

52

 

25

 

Agilent Technologies, Inc.*

 

876

 

1

 

Agilysys, Inc.*

 

5

 

13

 

Akamai Technologies, Inc.*

 

678

 

4

 

Alliance Data Systems Corp.*

 

252

 

22

 

Altera Corp.

 

772

 

15

 

Amdocs Ltd.*

 

390

 

2

 

American Software, Inc., Class A

 

13

 

8

 

Amkor Technology, Inc.*

 

56

 

13

 

Amphenol Corp., Class A

 

650

 

5

 

ANADIGICS, Inc.*

 

32

 

22

 

Analog Devices, Inc.

 

782

 

1

 

Anaren, Inc.*

 

18

 

1

 

Ancestry.com, Inc.*

 

29

 

2

 

Anixter International, Inc.

 

112

 

7

 

ANSYS, Inc.*

 

340

 

8

 

AOL, Inc.*

 

193

 

66

 

Apple, Inc.*

 

20,536

 

97

 

Applied Materials, Inc.

 

1,206

 

5

 

Applied Micro Circuits Corp.*

 

46

 

1

 

Archipelago Learning, Inc.*

 

9

 

6

 

Ariba, Inc.*

 

121

 

9

 

Arris Group, Inc.*

 

90

 

9

 

Arrow Electronics, Inc.*

 

279

 

11

 

Art Technology Group, Inc.*

 

66

 

6

 

Aruba Networks, Inc.*

 

127

 

4

 

Aspen Technology, Inc.*

 

50

 

5

 

Atheros Communications, Inc.*

 

163

 

33

 

Atmel Corp.*

 

343

 

2

 

ATMI, Inc.*

 

36

 

17

 

Autodesk, Inc.*

 

600

 

36

 

Automatic Data Processing, Inc.

 

1,605

 

8

 

Avago Technologies Ltd.*

 

209

 

4

 

Aviat Networks, Inc.*

 

17

 

2

 

Avid Technology, Inc.*

 

31

 

11

 

Avnet, Inc.*

 

337

 

3

 

AVX Corp.

 

43

 

8

 

Axcelis Technologies, Inc.*

 

20

 

2

 

AXT, Inc.*

 

17

 

1

 

Bel Fuse, Inc., Class B

 

22

 

5

 

Benchmark Electronics, Inc.*

 

80

 

4

 

BigBand Networks, Inc.*

 

12

 

1

 

Black Box Corp.

 

36

 

 

See accompanying notes to the financial statements.

 


 

 

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Common Stocks (a) (continued)

 

 

 

3

 

Blackbaud, Inc.

 

$

76

 

2

 

Blackboard, Inc.*

 

83

 

3

 

Blue Coat Systems, Inc.*

 

80

 

13

 

BMC Software, Inc.*

 

577

 

2

 

Bottomline Technologies, Inc.*

 

38

 

5

 

Brightpoint, Inc.*

 

41

 

36

 

Broadcom Corp., Class A

 

1,602

 

9

 

Broadridge Financial Solutions, Inc.

 

185

 

1

 

BroadSoft, Inc.*

 

23

 

32

 

Brocade Communications Systems, Inc.*

 

159

 

5

 

Brooks Automation, Inc.*

 

36

 

28

 

CA, Inc.

 

641

 

2

 

Cabot Microelectronics Corp.*

 

79

 

2

 

CACI International, Inc., Class A*

 

101

 

20

 

Cadence Design Systems, Inc.*

 

157

 

1

 

Calix, Inc.*

 

13

 

1

 

Cass Information Systems, Inc.

 

35

 

3

 

Cavium Networks, Inc.*

 

110

 

2

 

CDC Corp., Class A*

 

8

 

2

 

CEVA, Inc.*

 

46

 

3

 

Checkpoint Systems, Inc.*

 

54

 

5

 

Ciber, Inc.*

 

17

 

7

 

Ciena Corp.*

 

106

 

5

 

Cirrus Logic, Inc.*

 

76

 

413

 

Cisco Systems, Inc.*

 

7,913

 

13

 

Citrix Systems, Inc.*

 

863

 

4

 

Cogent, Inc.*

 

42

 

3

 

Cognex Corp.

 

84

 

22

 

Cognizant Technology Solutions Corp., Class A*

 

1,430

 

2

 

Coherent, Inc.*

 

83

 

2

 

Cohu, Inc.

 

29

 

7

 

CommScope, Inc.*

 

221

 

3

 

CommVault Systems, Inc.*

 

87

 

2

 

Compellent Technologies, Inc.*

 

52

 

11

 

Computer Sciences Corp.

 

491

 

1

 

Computer Task Group, Inc.*

 

10

 

16

 

Compuware Corp.*

 

165

 

2

 

comScore, Inc.*

 

44

 

2

 

Comtech Telecommunications Corp.

 

59

 

2

 

Comverge, Inc.*

 

13

 

3

 

Concur Technologies, Inc.*

 

154

 

6

 

Conexant Systems, Inc.*

 

8

 

2

 

Constant Contact, Inc.*

 

51

 

7

 

Convergys Corp.*

 

90

 

8

 

CoreLogic, Inc.

 

146

 

113

 

Corning, Inc.

 

1,996

 

1

 

CPI International, Inc.*

 

19

 

3

 

Cray, Inc.*

 

21

 

8

 

Cree, Inc.*

 

521

 

2

 

CSG Systems International, Inc.*

 

38

 

2

 

CTS Corp.

 

21

 

2

 

Cymer, Inc.*

 

76

 

12

 

Cypress Semiconductor Corp.*

 

188

 

2

 

Daktronics, Inc.

 

27

 

1

 

DDi Corp.

 

11

 

3

 

DealerTrack Holdings, Inc.*

 

57

 

123

 

Dell, Inc.*

 

1,626

 

1

 

Deltek, Inc.*

 

7

 

1

 

DemandTec, Inc.*

 

10

 

2

 

DG FastChannel, Inc.*

 

50

 

1

 

Dice Holdings, Inc.*

 

11

 

5

 

Diebold, Inc.

 

157

 

2

 

Digi International, Inc.*

 

19

 

3

 

Digital River, Inc.*

 

110

 

2

 

Diodes, Inc.*

 

49

 

4

 

Dolby Laboratories, Inc., Class A*

 

253

 

2

 

DSP Group, Inc.*

 

15

 

3

 

DST Systems, Inc.

 

129

 

1

 

DTS, Inc.*

 

47

 

8

 

Earthlink, Inc.

 

72

 

83

 

eBay, Inc.*

 

2,418

 

2

 

Ebix, Inc.*

 

42

 

2

 

Echelon Corp.*

 

19

 

1

 

Echo Global Logistics, Inc.*

 

11

 

3

 

EchoStar Corp., Class A*

 

61

 

1

 

Electro Rent Corp.

 

15

 

2

 

Electro Scientific Industries, Inc.*

 

30

 

24

 

Electronic Arts, Inc.*

 

358

 

3

 

Electronics for Imaging, Inc.*

 

39

 

149

 

EMC Corp.*

 

3,202

 

1

 

EMS Technologies, Inc.*

 

19

 

6

 

Emulex Corp.*

 

68

 

4

 

Energy Conversion Devices, Inc.*

 

18

 

9

 

Entegris, Inc.*

 

59

 

5

 

Entropic Communications, Inc.*

 

45

 

1

 

Envestnet, Inc.*

 

15

 

4

 

Epicor Software Corp.*

 

37

 

2

 

EPIQ Systems, Inc.

 

26

 

3

 

Equinix, Inc.*

 

233

 

4

 

Euronet Worldwide, Inc.*

 

65

 

14

 

Evergreen Solar, Inc.*

 

11

 

3

 

Exar Corp.*

 

20

 

1

 

ExlService Holdings, Inc.*

 

21

 

7

 

Extreme Networks*

 

21

 

6

 

F5 Networks, Inc.*

 

791

 

1

 

Fabrinet*

 

17

 

3

 

Factset Research Systems, Inc.

 

266

 

3

 

Fair Isaac Corp.

 

70

 

9

 

Fairchild Semiconductor International, Inc.*

 

126

 

2

 

FalconStor Software, Inc.*

 

5

 

1

 

FARO Technologies, Inc.*

 

26

 

3

 

FEI Co.*

 

71

 

19

 

Fidelity National Information Services, Inc.

 

511

 

5

 

Finisar Corp.*

 

96

 

4

 

First Solar, Inc.*

 

491

 

11

 

Fiserv, Inc.*

 

608

 

11

 

FLIR Systems, Inc.*

 

295

 

4

 

Formfactor, Inc.*

 

37

 

1

 

Forrester Research, Inc.*

 

35

 

3

 

Fortinet, Inc.*

 

96

 

3

 

FSI International, Inc.*

 

11

 

5

 

Gartner, Inc.*

 

161

 

5

 

Genpact Ltd.*

 

70

 

2

 

Gerber Scientific, Inc.*

 

14

 

4

 

Global Cash Access Holdings, Inc.*

 

9

 

6

 

Global Payments, Inc.

 

249

 

2

 

Globecomm Systems, Inc.*

 

17

 

18

 

Google, Inc., Class A*

 

10,003

 

5

 

GSI Commerce, Inc.*

 

119

 

1

 

GSI Technology, Inc.*

 

7

 

5

 

GT Solar International, Inc.*

 

33

 

1

 

Guidance Software, Inc.*

 

6

 

2

 

Hackett Group, Inc. (The)*

 

7

 

7

 

Harmonic, Inc.*

 

47

 

9

 

Harris Corp.

 

398

 

3

 

Heartland Payment Systems, Inc.

 

47

 

170

 

Hewlett-Packard Co.

 

7,128

 

2

 

Hittite Microwave Corp.*

 

115

 

1

 

Hughes Communications, Inc.*

 

40

 

2

 

Hutchinson Technology, Inc.*

 

6

 

 

See accompanying notes to the financial statements.

 

 


 

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Common Stocks (a) (continued)

 

 

 

3

 

Hypercom Corp.*

 

$

22

 

6

 

IAC/InterActiveCorp*

 

169

 

2

 

iGate Corp.

 

40

 

2

 

Ikanos Communications, Inc.*

 

2

 

2

 

Imation Corp.*

 

19

 

2

 

Immersion Corp.*

 

11

 

6

 

Infinera Corp.*

 

49

 

7

 

Informatica Corp.*

 

289

 

3

 

Infospace, Inc.*

 

23

 

11

 

Ingram Micro, Inc., Class A*

 

196

 

3

 

Insight Enterprises, Inc.*

 

38

 

1

 

Integral Systems, Inc.*

 

9

 

12

 

Integrated Device Technology, Inc.*

 

77

 

2

 

Integrated Silicon Solution, Inc.*

 

16

 

402

 

Intel Corp.

 

8,490

 

1

 

Interactive Intelligence, Inc.*

 

27

 

3

 

InterDigital, Inc.*

 

99

 

4

 

Intermec, Inc.*

 

45

 

4

 

Internap Network Services Corp.*

 

21

 

93

 

International Business Machines Corp.

 

13,156

 

5

 

International Rectifier Corp.*

 

142

 

2

 

Internet Brands, Inc., Class A*

 

27

 

3

 

Internet Capital Group, Inc.*

 

37

 

9

 

Intersil Corp., Class A

 

115

 

2

 

Intevac, Inc.*

 

27

 

1

 

IntraLinks Holdings, Inc.*

 

21

 

20

 

Intuit, Inc.*

 

898

 

2

 

IPG Photonics Corp.*

 

57

 

2

 

Isilon Systems, Inc.*

 

68

 

3

 

Itron, Inc.*

 

170

 

2

 

Ixia*

 

32

 

2

 

IXYS Corp.*

 

22

 

3

 

j2 Global Communications, Inc.*

 

80

 

13

 

Jabil Circuit, Inc.

 

196

 

6

 

Jack Henry & Associates, Inc.

 

164

 

3

 

JDA Software Group, Inc.*

 

79

 

16

 

JDS Uniphase Corp.*

 

190

 

38

 

Juniper Networks, Inc.*

 

1,293

 

1

 

Keithley Instruments, Inc.

 

22

 

2

 

Kenexa Corp.*

 

37

 

1

 

Keynote Systems, Inc.

 

12

 

1

 

KIT Digital, Inc.*

 

14

 

12

 

KLA-Tencor Corp.

 

440

 

2

 

Knot, Inc. (The)*

 

19

 

5

 

Kopin Corp.*

 

20

 

5

 

Kulicke & Soffa Industries, Inc.*

 

33

 

1

 

KVH Industries, Inc.*

 

13

 

6

 

L-1 Identity Solutions, Inc.*

 

71

 

9

 

Lam Research Corp.*

 

408

 

8

 

Lattice Semiconductor Corp.*

 

36

 

10

 

Lawson Software, Inc.*

 

86

 

7

 

Lender Processing Services, Inc.

 

215

 

6

 

Lexmark International, Inc., Class A*

 

217

 

3

 

Limelight Networks, Inc.*

 

21

 

16

 

Linear Technology Corp.

 

522

 

4

 

Lionbridge Technologies, Inc.*

 

13

 

1

 

Liquidity Services, Inc.*

 

15

 

2

 

Littelfuse, Inc.

 

93

 

3

 

LivePerson, Inc.*

 

29

 

1

 

Local.com Corp.*

 

4

 

1

 

LogMeIn, Inc.*

 

44

 

1

 

LoopNet, Inc.*

 

11

 

1

 

Loral Space & Communications, Inc.*

 

73

 

47

 

LSI Corp.*

 

270

 

4

 

LTX-Credence Corp.*

 

32

 

4

 

Magma Design Automation, Inc.*

 

17

 

2

 

Manhattan Associates, Inc.*

 

62

 

2

 

Mantech International Corp., Class A*

 

80

 

1

 

Marchex, Inc., Class B

 

7

 

39

 

Marvell Technology Group Ltd.*

 

752

 

7

 

Mastercard, Inc., Class A

 

1,659

 

4

 

Mattson Technology, Inc.*

 

11

 

22

 

Maxim Integrated Products, Inc.

 

512

 

1

 

MAXIMUS, Inc.

 

61

 

1

 

MaxLinear, Inc., Class A*

 

11

 

2

 

Maxwell Technologies, Inc.*

 

32

 

11

 

McAfee, Inc.*

 

515

 

1

 

Measurement Specialties, Inc.*

 

26

 

16

 

MEMC Electronic Materials, Inc.*

 

185

 

8

 

Mentor Graphics Corp.*

 

90

 

2

 

Mercury Computer Systems, Inc.*

 

36

 

3

 

Methode Electronics, Inc.

 

31

 

4

 

Micrel, Inc.

 

50

 

13

 

Microchip Technology, Inc.

 

437

 

62

 

Micron Technology, Inc.*

 

450

 

6

 

MICROS Systems, Inc.*

 

262

 

6

 

Microsemi Corp.*

 

133

 

554

 

Microsoft Corp.

 

13,966

 

1

 

MicroStrategy, Inc., Class A*

 

87

 

4

 

Microtune, Inc.*

 

12

 

6

 

Microvision, Inc.*

 

8

 

2

 

Mindspeed Technologies, Inc.*

 

12

 

3

 

MIPS Technologies, Inc.*

 

41

 

4

 

MKS Instruments, Inc.*

 

81

 

3

 

ModusLink Global Solutions, Inc.*

 

20

 

10

 

Molex, Inc.

 

208

 

6

 

MoneyGram International, Inc.*

 

15

 

2

 

Monolithic Power Systems, Inc.*

 

32

 

2

 

Monotype Imaging Holdings, Inc.*

 

22

 

9

 

Monster Worldwide, Inc.*

 

203

 

2

 

MoSys, Inc.*

 

8

 

168

 

Motorola, Inc.*

 

1,287

 

11

 

Move, Inc.*

 

28

 

1

 

MTS Systems Corp.

 

38

 

1

 

Multi-Fineline Electronix, Inc.*

 

23

 

1

 

Nanometrics, Inc.*

 

12

 

4

 

National Instruments Corp.

 

136

 

17

 

National Semiconductor Corp.

 

227

 

12

 

NCR Corp.*

 

173

 

25

 

NetApp, Inc.*

 

1,273

 

3

 

Netgear, Inc.*

 

95

 

5

 

Netlogic Microsystems, Inc.*

 

156

 

2

 

Netscout Systems, Inc.*

 

44

 

1

 

NetSuite, Inc.*

 

25

 

3

 

Network Engines, Inc.*

 

5

 

2

 

Network Equipment Technologies, Inc.*

 

8

 

5

 

NeuStar, Inc., Class A*

 

129

 

3

 

Newport Corp.*

 

44

 

4

 

NIC, Inc.

 

33

 

2

 

Novatel Wireless, Inc.*

 

20

 

25

 

Novell, Inc.*

 

149

 

7

 

Novellus Systems, Inc.*

 

211

 

16

 

Nuance Communications, Inc.*

 

283

 

41

 

NVIDIA Corp.*

 

558

 

1

 

Occam Networks, Inc.*

 

7

 

4

 

Oclaro, Inc.*

 

39

 

4

 

Omnivision Technologies, Inc.*

 

113

 

31

 

ON Semiconductor Corp.*

 

253

 

2

 

Online Resources Corp.*

 

9

 

1

 

OpenTable, Inc.*

 

73

 

6

 

Openwave Systems, Inc.*

 

14

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

1

 

Oplink Communications, Inc.*

 

$

17

 

1

 

Opnet Technologies, Inc.

 

24

 

3

 

Opnext, Inc.*

 

4

 

275

 

Oracle Corp.

 

7,436

 

1

 

OSI Systems, Inc.*

 

35

 

8

 

Parametric Technology Corp.*

 

171

 

1

 

Park Electrochemical Corp.

 

27

 

23

 

Paychex, Inc.

 

656

 

1

 

PC Connection, Inc.*

 

9

 

1

 

PC-Tel, Inc.*

 

6

 

2

 

PDF Solutions, Inc.*

 

8

 

1

 

Pegasystems, Inc.

 

31

 

2

 

Perficient, Inc.*

 

23

 

2

 

Pericom Semiconductor Corp.*

 

20

 

4

 

Photronics, Inc.*

 

26

 

3

 

Plantronics, Inc.

 

107

 

3

 

Plexus Corp.*

 

81

 

3

 

PLX Technology, Inc.*

 

10

 

17

 

PMC-Sierra, Inc.*

 

123

 

6

 

Polycom, Inc.*

 

222

 

2

 

Power Integrations, Inc.

 

81

 

5

 

Power-One, Inc.*

 

47

 

10

 

Powerwave Technologies, Inc.*

 

21

 

2

 

Presstek, Inc.*

 

4

 

3

 

Progress Software Corp.*

 

116

 

1

 

PROS Holdings, Inc.*

 

10

 

3

 

Pulse Electronics Corp.

 

12

 

1

 

QAD, Inc.*

 

5

 

1

 

QLIK Technologies, Inc.*

 

24

 

8

 

QLogic Corp.*

 

143

 

119

 

QUALCOMM, Inc.

 

5,562

 

15

 

Quantum Corp.*

 

54

 

4

 

Quest Software, Inc.*

 

101

 

1

 

QuinStreet, Inc.*

 

20

 

7

 

Rackspace Hosting, Inc.*

 

204

 

2

 

Radiant Systems, Inc.*

 

36

 

2

 

Radisys Corp.*

 

18

 

8

 

Rambus, Inc.*

 

160

 

1

 

RealD, Inc.*

 

28

 

6

 

RealNetworks, Inc.*

 

21

 

1

 

RealPage, Inc.*

 

27

 

14

 

Red Hat, Inc.*

 

609

 

1

 

Renaissance Learning, Inc.

 

12

 

19

 

RF Micro Devices, Inc.*

 

133

 

1

 

Richardson Electronics Ltd.

 

11

 

2

 

RightNow Technologies, Inc.*

 

51

 

1

 

Rimage Corp.*

 

15

 

10

 

Riverbed Technology, Inc.*

 

339

 

2

 

Rofin-Sinar Technologies, Inc.*

 

57

 

1

 

Rogers Corp.*

 

33

 

1

 

Rosetta Stone, Inc.*

 

21

 

7

 

Rovi Corp.*

 

386

 

1

 

Rubicon Technology, Inc.*

 

22

 

2

 

Rudolph Technologies, Inc.*

 

15

 

4

 

S1 Corp.*

 

25

 

2

 

Saba Software, Inc.*

 

12

 

22

 

SAIC, Inc.*

 

337

 

8

 

Salesforce.com, Inc.*

 

1,114

 

17

 

SanDisk Corp.*

 

758

 

6

 

Sanmina-SCI Corp.*

 

63

 

7

 

Sapient Corp.

 

84

 

3

 

SAVVIS, Inc.*

 

75

 

2

 

ScanSource, Inc.*

 

58

 

2

 

Seachange International, Inc.*

 

16

 

35

 

Seagate Technology plc*

 

469

 

4

 

Semtech Corp.*

 

94

 

3

 

ShoreTel, Inc.*

 

21

 

2

 

Sigma Designs, Inc.*

 

24

 

2

 

Silicon Graphics International Corp.*

 

15

 

6

 

Silicon Image, Inc.*

 

46

 

3

 

Silicon Laboratories, Inc.*

 

127

 

13

 

Skyworks Solutions, Inc.*

 

331

 

4

 

SMART Modular Technologies (WWH), Inc.*

 

22

 

2

 

Smith Micro Software, Inc.*

 

30

 

3

 

SolarWinds, Inc.*

 

54

 

5

 

Solera Holdings, Inc.

 

240

 

3

 

Sonic Solutions, Inc.*

 

30

 

15

 

Sonus Networks, Inc.*

 

40

 

2

 

Sourcefire, Inc.*

 

54

 

1

 

Spansion, Inc., Class A*

 

20

 

1

 

Spectrum Control, Inc.*

 

15

 

3

 

SRA International, Inc., Class A*

 

59

 

1

 

SRS Labs, Inc.*

 

9

 

1

 

SS&C Technologies Holdings, Inc.*

 

19

 

1

 

Stamps.com, Inc.

 

13

 

2

 

Standard Microsystems Corp.*

 

55

 

3

 

STEC, Inc.*

 

51

 

1

 

Stratasys, Inc.*

 

34

 

5

 

SuccessFactors, Inc.*

 

151

 

7

 

SunPower Corp., Class A*

 

82

 

2

 

Super Micro Computer, Inc.*

 

21

 

1

 

Supertex, Inc.*

 

25

 

3

 

Support.com, Inc.*

 

19

 

1

 

Sycamore Networks, Inc.

 

30

 

58

 

Symantec Corp.*

 

974

 

3

 

Symmetricom, Inc.*

 

20

 

2

 

Synaptics, Inc.*

 

57

 

1

 

Synchronoss Technologies, Inc.*

 

26

 

2

 

SYNNEX Corp.*

 

57

 

11

 

Synopsys, Inc.*

 

283

 

1

 

Syntel, Inc.

 

48

 

5

 

Take-Two Interactive Software, Inc.*

 

55

 

3

 

Taleo Corp., Class A*

 

92

 

3

 

Tech Data Corp.*

 

132

 

1

 

TechTarget, Inc.*

 

6

 

5

 

Tekelec*

 

62

 

3

 

TeleCommunication Systems, Inc., Class A*

 

14

 

1

 

TeleNav, Inc.*

 

7

 

2

 

TeleTech Holdings, Inc.*

 

38

 

28

 

Tellabs, Inc.

 

177

 

12

 

Teradata Corp.*

 

493

 

13

 

Teradyne, Inc.*

 

154

 

4

 

Terremark Worldwide, Inc.*

 

48

 

4

 

Tessera Technologies, Inc.*

 

80

 

88

 

Texas Instruments, Inc.

 

2,798

 

5

 

THQ, Inc.*

 

26

 

12

 

TIBCO Software, Inc.*

 

236

 

1

 

Tier Technologies, Inc.*

 

5

 

8

 

TiVo, Inc.*

 

66

 

2

 

TNS, Inc.*

 

38

 

12

 

Total System Services, Inc.

 

181

 

5

 

Trident Microsystems, Inc.*

 

9

 

9

 

Trimble Navigation Ltd.*

 

335

 

11

 

TriQuint Semiconductor, Inc.*

 

131

 

6

 

TTM Technologies, Inc.*

 

80

 

2

 

Tyler Technologies, Inc.*

 

41

 

2

 

Ultimate Software Group, Inc.*

 

88

 

2

 

Ultra Clean Holdings*

 

16

 

2

 

Ultratech, Inc.*

 

37

 

3

 

Unisys Corp.*

 

68

 

6

 

United Online, Inc.

 

38

 

2

 

Universal Display Corp.*

 

50

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

8

 

UTStarcom, Inc.*

 

$

17

 

6

 

ValueClick, Inc.*

 

93

 

5

 

Varian Semiconductor Equipment Associates, Inc.*

 

158

 

2

 

VASCO Data Security International, Inc.*

 

17

 

3

 

Veeco Instruments, Inc.*

 

132

 

6

 

VeriFone Systems, Inc.*

 

209

 

13

 

VeriSign, Inc.*

 

446

 

2

 

Viasat, Inc.*

 

83

 

3

 

VirnetX Holding Corp.

 

42

 

1

 

Virtusa Corp.*

 

14

 

34

 

Visa, Inc., Class A

 

2,511

 

12

 

Vishay Intertechnology, Inc.*

 

171

 

1

 

Vishay Precision Group, Inc.*

 

17

 

3

 

Vistaprint N.V.*

 

121

 

5

 

VMware, Inc., Class A*

 

408

 

1

 

Vocus, Inc.*

 

24

 

2

 

Volterra Semiconductor Corp.*

 

45

 

6

 

Wave Systems Corp., Class A*

 

16

 

4

 

WebMD Health Corp.*

 

205

 

3

 

Websense, Inc.*

 

62

 

17

 

Western Digital Corp.*

 

570

 

49

 

Western Union Co. (The)

 

864

 

3

 

Wright Express Corp.*

 

129

 

100

 

Xerox Corp.

 

1,146

 

19

 

Xilinx, Inc.

 

515

 

2

 

X-Rite, Inc.*

 

8

 

2

 

Xyratex Ltd.*

 

31

 

100

 

Yahoo!, Inc.*

 

1,577

 

4

 

Zebra Technologies Corp., Class A*

 

146

 

4

 

Zix Corp.*

 

15

 

4

 

Zoran Corp.*

 

28

 

1

 

Zygo Corp.*

 

11

 

 

 

 

 

180,277

 

 

 

Materials - 0.6%

 

 

 

 

 

 

 

 

 

2

 

A. Schulman, Inc.

 

40

 

1

 

A.M. Castle & Co.*

 

15

 

15

 

Air Products & Chemicals, Inc.

 

1,293

 

6

 

Airgas, Inc.

 

367

 

8

 

AK Steel Holding Corp.

 

106

 

7

 

Albemarle Corp.

 

379

 

74

 

Alcoa, Inc.

 

971

 

7

 

Allegheny Technologies, Inc.

 

362

 

5

 

Allied Nevada Gold Corp.*

 

134

 

2

 

AMCOL International Corp.

 

56

 

1

 

American Vanguard Corp.

 

7

 

5

 

Aptargroup, Inc.

 

228

 

2

 

Arch Chemicals, Inc.

 

69

 

6

 

Ashland, Inc.

 

305

 

2

 

Balchem Corp.

 

62

 

7

 

Ball Corp.

 

461

 

8

 

Bemis Co., Inc.

 

251

 

5

 

Boise, Inc.

 

37

 

1

 

Brush Engineered Materials, Inc.*

 

35

 

3

 

Buckeye Technologies, Inc.

 

60

 

5

 

Cabot Corp.

 

179

 

4

 

Calgon Carbon Corp.*

 

56

 

4

 

Capital Gold Corp.*

 

18

 

3

 

Carpenter Technology Corp.

 

109

 

11

 

Celanese Corp.

 

407

 

5

 

Century Aluminum Co.*

 

69

 

5

 

CF Industries Holdings, Inc.

 

604

 

1

 

Clearwater Paper Corp.*

 

80

 

10

 

Cliffs Natural Resources, Inc.

 

683

 

6

 

Coeur d’Alene Mines Corp.*

 

146

 

8

 

Commercial Metals Co.

 

123

 

2

 

Compass Minerals International, Inc.

 

165

 

12

 

Crown Holdings, Inc.*

 

372

 

4

 

Cytec Industries, Inc.

 

191

 

1

 

Deltic Timber Corp.

 

52

 

3

 

Domtar Corp.

 

228

 

84

 

Dow Chemical Co. (The)

 

2,619

 

66

 

E.I. du Pont de Nemours & Co.

 

3,101

 

3

 

Eagle Materials, Inc.

 

75

 

5

 

Eastman Chemical Co.

 

389

 

17

 

Ecolab, Inc.

 

813

 

6

 

Ferro Corp.*

 

86

 

5

 

FMC Corp.

 

389

 

34

 

Freeport-McMoRan Copper & Gold, Inc.

 

3,445

 

5

 

General Moly, Inc.*

 

28

 

2

 

Georgia Gulf Corp.*

 

41

 

4

 

Globe Specialty Metals, Inc.

 

65

 

19

 

Golden Star Resources Ltd.*

 

82

 

1

 

Graham Packaging Co., Inc.*

 

13

 

8

 

Graphic Packaging Holding Co.*

 

30

 

3

 

Greif, Inc., Class A

 

175

 

4

 

H.B. Fuller Co.

 

84

 

1

 

Hawkins, Inc.

 

44

 

1

 

Haynes International, Inc.

 

39

 

4

 

Headwaters, Inc.*

 

16

 

19

 

Hecla Mining Co.*

 

182

 

3

 

Horsehead Holding Corp.*

 

35

 

14

 

Huntsman Corp.

 

217

 

2

 

Innophos Holdings, Inc.

 

68

 

6

 

International Flavors & Fragrances, Inc.

 

315

 

32

 

International Paper Co.

 

799

 

3

 

Intrepid Potash, Inc.*

 

92

 

6

 

Jaguar Mining, Inc.*

 

40

 

1

 

Kaiser Aluminum Corp.

 

47

 

3

 

KapStone Paper and Packaging Corp.*

 

44

 

1

 

Koppers Holdings, Inc.

 

29

 

1

 

Kraton Performance Polymers, Inc.*

 

28

 

2

 

Landec Corp.*

 

13

 

9

 

Louisiana-Pacific Corp.*

 

74

 

1

 

LSB Industries, Inc.*

 

23

 

5

 

Lubrizol Corp.

 

523

 

3

 

Martin Marietta Materials, Inc.

 

254

 

12

 

MeadWestvaco Corp.

 

298

 

1

 

Metals USA Holdings Corp.*

 

14

 

1

 

Minerals Technologies, Inc.

 

61

 

2

 

Molycorp, Inc.*

 

58

 

39

 

Monsanto Co.

 

2,337

 

11

 

Mosaic Co. (The)

 

744

 

3

 

Myers Industries, Inc.

 

29

 

9

 

Nalco Holding Co.

 

265

 

1

 

Neenah Paper, Inc.

 

18

 

1

 

NewMarket Corp.

 

126

 

34

 

Newmont Mining Corp.

 

2,000

 

1

 

Noranda Aluminum Holding Corp.*

 

12

 

23

 

Nucor Corp.

 

868

 

6

 

Olin Corp.

 

110

 

1

 

Olympic Steel, Inc.

 

21

 

2

 

OM Group, Inc.*

 

75

 

3

 

Omnova Solutions, Inc.*

 

26

 

12

 

Owens-Illinois, Inc.*

 

323

 

3

 

P. H.  Glatfelter Co.

 

37

 

7

 

Packaging Corp. of America

 

180

 

7

 

PolyOne Corp.*

 

87

 

12

 

PPG Industries, Inc.

 

935

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

22

 

Praxair, Inc.

 

$

2,025

 

1

 

Quaker Chemical Corp.

 

38

 

5

 

Reliance Steel & Aluminum Co.

 

222

 

3

 

Rock-Tenn Co., Class A

 

162

 

4

 

Rockwood Holdings, Inc.*

 

153

 

4

 

Royal Gold, Inc.

 

206

 

9

 

RPM International, Inc.

 

184

 

2

 

RTI International Metals, Inc.*

 

57

 

2

 

Schnitzer Steel Industries, Inc., Class A

 

114

 

1

 

Schweitzer-Mauduit International, Inc.

 

63

 

3

 

Scotts Miracle-Gro Co. (The), Class A

 

150

 

12

 

Sealed Air Corp.

 

279

 

3

 

Senomyx, Inc.*

 

17

 

4

 

Sensient Technologies Corp.

 

136

 

7

 

Sherwin-Williams Co. (The)

 

519

 

9

 

Sigma-Aldrich Corp.

 

569

 

4

 

Silgan Holdings, Inc.

 

137

 

9

 

Solutia, Inc.*

 

192

 

7

 

Sonoco Products Co.

 

229

 

12

 

Southern Copper Corp.

 

503

 

2

 

Spartech Corp.*

 

19

 

16

 

Steel Dynamics, Inc.

 

255

 

1

 

Stepan Co.

 

71

 

3

 

Stillwater Mining Co.*

 

57

 

2

 

STR Holdings, Inc.*

 

36

 

8

 

Temple-Inland, Inc.

 

168

 

2

 

Texas Industries, Inc.

 

75

 

10

 

Thompson Creek Metals Co., Inc.*

 

121

 

6

 

Titanium Metals Corp.*

 

104

 

1

 

TPC Group, Inc.*

 

28

 

2

 

U.S. Energy Corp.*

 

10

 

6

 

U.S. Gold Corp.*

 

39

 

10

 

United States Steel Corp.

 

486

 

7

 

Valspar Corp.

 

231

 

1

 

Verso Paper Corp.*

 

3

 

9

 

Vulcan Materials Co.

 

361

 

4

 

Walter Energy, Inc.

 

411

 

4

 

Wausau Paper Corp.

 

31

 

1

 

Westlake Chemical Corp.

 

38

 

39

 

Weyerhaeuser Co.

 

651

 

4

 

Worthington Industries, Inc.

 

64

 

5

 

WR Grace & Co.*

 

167

 

2

 

Zep, Inc.

 

36

 

2

 

Zoltek Cos., Inc.*

 

18

 

 

 

 

 

41,096

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

2

 

AboveNet, Inc.*

 

117

 

3

 

Alaska Communications Systems Group, Inc.

 

32

 

29

 

American Tower Corp., Class A*

 

1,467

 

427

 

AT&T, Inc.

 

11,866

 

1

 

Atlantic Tele-Network, Inc.

 

34

 

2

 

Cbeyond, Inc.*

 

26

 

22

 

CenturyLink, Inc.

 

946

 

15

 

Cincinnati Bell, Inc.*

 

37

 

11

 

Clearwire Corp., Class A*

 

77

 

3

 

Cogent Communications Group, Inc.*

 

36

 

2

 

Consolidated Communications Holdings, Inc.

 

37

 

21

 

Crown Castle International Corp.*

 

872

 

4

 

FiberTower Corp.*

 

17

 

71

 

Frontier Communications Corp.

 

646

 

3

 

General Communication, Inc., Class A*

 

34

 

2

 

Global Crossing Ltd.*

 

27

 

5

 

Globalstar, Inc.*

 

8

 

7

 

ICO Global Communications Holdings Ltd.*

 

11

 

1

 

IDT Corp., Class B

 

21

 

2

 

Iridium Communications, Inc.*

 

19

 

4

 

Leap Wireless International, Inc.*

 

44

 

120

 

Level 3 Communications, Inc.*

 

120

 

18

 

MetroPCS Communications, Inc.*

 

219

 

2

 

Neutral Tandem, Inc.*

 

29

 

12

 

NII Holdings, Inc.*

 

465

 

2

 

NTELOS Holdings Corp.

 

34

 

9

 

PAETEC Holding Corp.*

 

33

 

4

 

Premiere Global Services, Inc.*

 

28

 

126

 

Qwest Communications International, Inc.

 

882

 

8

 

SBA Communications Corp., Class A*

 

313

 

2

 

Shenandoah Telecommunications Co.

 

35

 

213

 

Sprint Nextel Corp.*

 

805

 

5

 

Syniverse Holdings, Inc.*

 

153

 

6

 

Telephone & Data Systems, Inc.

 

214

 

11

 

tw telecom, inc.*

 

181

 

1

 

United States Cellular Corp.*

 

46

 

2

 

USA Mobility, Inc.

 

34

 

204

 

Verizon Communications, Inc.

 

6,530

 

8

 

Vonage Holdings Corp.*

 

19

 

35

 

Windstream Corp.

 

456

 

 

 

 

 

26,970

 

 

 

Utilities - 0.5%

 

 

 

 

 

 

 

 

 

48

 

AES Corp. (The)*

 

519

 

6

 

AGL Resources, Inc.

 

220

 

12

 

Allegheny Energy, Inc.

 

274

 

2

 

Allete, Inc.

 

71

 

8

 

Alliant Energy Corp.

 

290

 

17

 

Ameren Corp.

 

488

 

1

 

American DG Energy, Inc.*

 

3

 

35

 

American Electric Power Co., Inc.

 

1,246

 

1

 

American States Water Co.

 

37

 

13

 

American Water Works Co., Inc.

 

319

 

10

 

Aqua America, Inc.

 

216

 

7

 

Atmos Energy Corp.

 

211

 

4

 

Avista Corp.

 

85

 

3

 

Black Hills Corp.

 

91

 

1

 

Cadiz, Inc.*

 

11

 

1

 

California Water Service Group

 

37

 

25

 

Calpine Corp.*

 

303

 

30

 

CenterPoint Energy, Inc.

 

469

 

1

 

Central Vermont Public Service Corp.

 

20

 

1

 

CH Energy Group, Inc.

 

47

 

1

 

Chesapeake Utilities Corp.

 

38

 

4

 

Cleco Corp.

 

121

 

17

 

CMS Energy Corp.

 

305

 

1

 

Connecticut Water Service, Inc.

 

25

 

20

 

Consolidated Edison, Inc.

 

967

 

1

 

Consolidated Water Co., Ltd.

 

9

 

13

 

Constellation Energy Group, Inc.

 

369

 

43

 

Dominion Resources, Inc.

 

1,786

 

9

 

DPL, Inc.

 

228

 

12

 

DTE Energy Co.

 

535

 

95

 

Duke Energy Corp.

 

1,667

 

7

 

Dynegy, Inc.*

 

36

 

24

 

Edison International

 

887

 

3

 

El Paso Electric Co.*

 

79

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3

 

Empire District Electric Co. (The)

 

$

65

 

5

 

Energen Corp.

 

218

 

14

 

Entergy Corp.

 

997

 

48

 

Exelon Corp.

 

1,890

 

22

 

FirstEnergy Corp.

 

772

 

10

 

Great Plains Energy, Inc.

 

186

 

7

 

Hawaiian Electric Industries, Inc.

 

153

 

3

 

IDACORP, Inc.

 

109

 

6

 

Integrys Energy Group, Inc.

 

292

 

4

 

ITC Holdings Corp.

 

242

 

2

 

Laclede Group, Inc. (The)

 

71

 

14

 

MDU Resources Group, Inc.

 

286

 

2

 

MGE Energy, Inc.

 

83

 

1

 

Middlesex Water Co.

 

17

 

11

 

Mirant Corp.*

 

109

 

5

 

National Fuel Gas Co.

 

317

 

3

 

New Jersey Resources Corp.

 

129

 

30

 

NextEra Energy, Inc.

 

1,519

 

3

 

Nicor, Inc.

 

130

 

20

 

NiSource, Inc.

 

335

 

13

 

Northeast Utilities

 

404

 

2

 

Northwest Natural Gas Co.

 

98

 

3

 

NorthWestern Corp.

 

86

 

18

 

NRG Energy, Inc.*

 

349

 

8

 

NSTAR

 

331

 

17

 

NV Energy, Inc.

 

233

 

7

 

OGE Energy Corp.

 

312

 

8

 

Oneok, Inc.

 

409

 

1

 

Ormat Technologies, Inc.

 

27

 

3

 

Otter Tail Corp.

 

62

 

16

 

Pepco Holdings, Inc.

 

294

 

27

 

PG&E Corp.

 

1,267

 

5

 

Piedmont Natural Gas Co., Inc.

 

148

 

8

 

Pinnacle West Capital Corp.

 

323

 

6

 

PNM Resources, Inc.

 

72

 

5

 

Portland General Electric Co.

 

106

 

35

 

PPL Corp.

 

889

 

21

 

Progress Energy, Inc.

 

917

 

37

 

Public Service Enterprise Group, Inc.

 

1,141

 

13

 

Questar Corp.

 

216

 

26

 

RRI Energy, Inc.*

 

92

 

8

 

SCANA Corp.

 

325

 

18

 

Sempra Energy

 

902

 

1

 

SJW Corp.

 

25

 

2

 

South Jersey Industries, Inc.

 

102

 

60

 

Southern Co.

 

2,263

 

3

 

Southwest Gas Corp.

 

105

 

15

 

TECO Energy, Inc.

 

251

 

8

 

UGI Corp.

 

237

 

4

 

UIL Holdings Corp.

 

117

 

3

 

UniSource Energy Corp.

 

106

 

1

 

Unitil Corp.

 

23

 

6

 

Vectren Corp.

 

155

 

8

 

Westar Energy, Inc.

 

199

 

4

 

WGL Holdings, Inc.

 

145

 

8

 

Wisconsin Energy Corp.

 

482

 

33

 

Xcel Energy, Inc.

 

775

 

1

 

York Water Co.

 

16

 

 

 

 

 

33,933

 

 

 

Total Common Stocks
(Cost $884,722)

 

963,691

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 25.9%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

1,089,024

 

0.07%, due 12/01/10

 

 

1,089,024

 

653,719

 

0.09%, due 12/06/10

 

653,719

 

 

 

Total U.S. Government & Agency Securities (Cost $1,742,743)

 

1,742,743

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 58.3%

 

 

 

3,934,160

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $3,934,201

 

3,934,160

 

 

 

Total Repurchase Agreements
(Cost $3,934,160)

 

3,934,160

 

 

 

Total Investment Securities
(Cost $6,561,625) — 98.5%

 

6,640,594

 

 

 

Other assets less liabilities — 1.5%

 

103,711

 

 

 

Net Assets — 100.0%

 

$

 6,744,305

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $1,664,495.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

121,203

 

Aggregate gross unrealized depreciation

 

(43,841

)

Net unrealized appreciation

 

$

77,362

 

Federal income tax cost of investments

 

$

6,563,232

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Russell3000 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 3000® Index

 

$

729,336

 

$

(21,731

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 3000® Index

 

5,922,461

 

(177,216

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 3000® Index

 

2,736,999

 

(73,727

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 3000® Index

 

146,641

 

123,574

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 3000® Index

 

2,987,155

 

321,658

 

 

 

 

 

 

 

 

 

 

 

$

172,558

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra MidCap400

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 57.7%

 

 

 

 

 

Consumer Discretionary - 8.7%

 

 

 

 

 

 

 

 

 

2,527

 

99 Cents Only Stores*

 

$

39,699

 

3,993

 

Aaron’s, Inc.

 

79,700

 

4,615

 

Advance Auto Parts, Inc.

 

304,544

 

5,065

 

Aeropostale, Inc.*

 

136,907

 

10,763

 

American Eagle Outfitters, Inc.

 

177,589

 

2,174

 

American Greetings Corp., Class A

 

43,632

 

3,234

 

AnnTaylor Stores Corp.*

 

87,027

 

2,955

 

Bally Technologies, Inc.*

 

115,747

 

2,190

 

Barnes & Noble, Inc.

 

30,704

 

1,679

 

Bob Evans Farms, Inc.

 

52,284

 

6,246

 

BorgWarner, Inc.*

 

376,884

 

3,030

 

Boyd Gaming Corp.*

 

27,088

 

5,071

 

Brinker International, Inc.

 

103,651

 

3,651

 

Career Education Corp.*

 

64,951

 

3,259

 

Cheesecake Factory, Inc. (The)*

 

103,864

 

9,839

 

Chico’s FAS, Inc.

 

118,560

 

1,705

 

Chipotle Mexican Grill, Inc.*

 

440,725

 

3,192

 

Coldwater Creek, Inc.*

 

10,789

 

3,576

 

Collective Brands, Inc.*

 

60,399

 

4,850

 

Corinthian Colleges, Inc.*

 

20,031

 

2,124

 

Deckers Outdoor Corp.*

 

163,336

 

4,824

 

Dick’s Sporting Goods, Inc.*

 

165,029

 

6,969

 

Dollar Tree, Inc.*

 

382,947

 

3,922

 

DreamWorks Animation SKG, Inc., Class A*

 

121,543

 

3,787

 

Dress Barn, Inc. (The)*

 

93,539

 

8,628

 

Foot Locker, Inc.

 

162,810

 

2,904

 

Fossil, Inc.*

 

196,456

 

7,676

 

Gentex Corp.

 

161,119

 

3,471

 

Guess?, Inc.

 

164,005

 

5,263

 

Hanesbrands, Inc.*

 

142,890

 

2,099

 

Harte-Hanks, Inc.

 

26,112

 

1,606

 

International Speedway Corp., Class A

 

38,046

 

1,509

 

ITT Educational Services, Inc.*

 

88,261

 

3,491

 

J. Crew Group, Inc.*

 

152,627

 

2,542

 

John Wiley & Sons, Inc., Class A

 

105,493

 

3,955

 

KB Home

 

44,691

 

3,134

 

Lamar Advertising Co., Class A*

 

115,174

 

2,300

 

Life Time Fitness, Inc.*

 

90,712

 

7,862

 

LKQ Corp.*

 

169,623

 

1,666

 

Matthews International Corp., Class A

 

54,112

 

2,077

 

MDC Holdings, Inc.

 

51,863

 

3,098

 

Mohawk Industries, Inc.*

 

162,769

 

2,381

 

NetFlix, Inc.*

 

490,248

 

321

 

NVR, Inc.*

 

199,014

 

1,705

 

Panera Bread Co., Class A*

 

170,909

 

6,512

 

PetSmart, Inc.

 

246,544

 

3,633

 

Phillips-Van Heusen Corp.

 

246,463

 

1,826

 

Polaris Industries, Inc.

 

132,732

 

3,161

 

Regis Corp.

 

56,329

 

3,624

 

Rent-A-Center, Inc.

 

100,892

 

2,426

 

Ryland Group, Inc.

 

35,371

 

8,859

 

Saks, Inc.*

 

98,689

 

1,307

 

Scholastic Corp.

 

36,727

 

3,456

 

Scientific Games Corp., Class A*

 

27,821

 

13,520

 

Service Corp. International

 

108,971

 

3,690

 

Sotheby’s

 

148,006

 

768

 

Strayer Education, Inc.

 

104,348

 

2,327

 

Thor Industries, Inc.

 

68,716

 

2,206

 

Timberland Co. (The), Class A*

 

54,665

 

7,906

 

Toll Brothers, Inc.*

 

141,913

 

4,001

 

Tractor Supply Co.

 

169,922

 

3,480

 

Tupperware Brands Corp.

 

161,750

 

1,925

 

Under Armour, Inc., Class A*

 

111,130

 

2,442

 

Warnaco Group, Inc. (The)*

 

131,502

 

17,644

 

Wendy’s/Arby’s Group, Inc., Class A

 

84,162

 

5,925

 

Williams-Sonoma, Inc.

 

197,125

 

3,183

 

WMS Industries, Inc.*

 

141,166

 

 

 

 

 

8,713,047

 

 

 

Consumer Staples - 2.1%

 

 

 

 

 

 

 

 

 

4,718

 

Alberto-Culver Co.

 

175,510

 

2,990

 

BJ’s Wholesale Club, Inc.*

 

136,972

 

3,904

 

Church & Dwight Co., Inc.

 

254,736

 

4,143

 

Corn Products International, Inc.

 

178,646

 

3,858

 

Energizer Holdings, Inc.*

 

271,565

 

4,180

 

Flowers Foods, Inc.

 

109,516

 

6,286

 

Green Mountain Coffee Roasters, Inc.*

 

233,085

 

3,766

 

Hansen Natural Corp.*

 

200,427

 

1,074

 

Lancaster Colony Corp.

 

55,923

 

3,021

 

Ralcorp Holdings, Inc.*

 

187,060

 

2,329

 

Ruddick Corp.

 

85,614

 

9,093

 

Smithfield Foods, Inc.*

 

160,128

 

1,341

 

Tootsie Roll Industries, Inc.

 

35,724

 

1,329

 

Universal Corp.

 

54,369

 

 

 

 

 

2,139,275

 

 

 

Energy - 3.6%

 

 

 

 

 

 

 

 

 

8,947

 

Arch Coal, Inc.

 

261,253

 

3,125

 

Atwood Oceanics, Inc.*

 

111,250

 

2,518

 

Bill Barrett Corp.*

 

96,817

 

4,616

 

Cimarex Energy Co.

 

371,773

 

2,600

 

Comstock Resources, Inc.*

 

63,700

 

1,880

 

Dril-Quip, Inc.*

 

145,587

 

3,476

 

Exterran Holdings, Inc.*

 

78,801

 

6,208

 

Forest Oil Corp.*

 

212,438

 

5,827

 

Frontier Oil Corp.

 

90,493

 

5,776

 

Helix Energy Solutions Group, Inc.*

 

81,037

 

7,346

 

Newfield Exploration Co.*

 

490,933

 

2,966

 

Oceaneering International, Inc.*

 

204,951

 

1,456

 

Overseas Shipholding Group, Inc.

 

50,916

 

4,386

 

Patriot Coal Corp.*

 

70,966

 

8,468

 

Patterson-UTI Energy, Inc.

 

167,158

 

7,714

 

Plains Exploration & Production Co.*

 

221,083

 

9,669

 

Pride International, Inc.*

 

300,706

 

6,438

 

Quicksilver Resources, Inc.*

 

91,548

 

6,853

 

Southern Union Co.

 

161,799

 

4,325

 

Superior Energy Services, Inc.*

 

144,412

 

2,856

 

Tidewater, Inc.

 

140,201

 

2,175

 

Unit Corp.*

 

86,935

 

 

 

 

 

3,644,757

 

 

 

Financials - 10.9%

 

 

 

 

 

 

 

 

 

2,814

 

Affiliated Managers Group, Inc.*

 

245,972

 

2,991

 

Alexandria Real Estate Equities, Inc. (REIT)

 

199,649

 

9,256

 

AMB Property Corp. (REIT)

 

270,090

 

4,334

 

American Financial Group, Inc./OH

 

133,357

 

10,678

 

Apollo Investment Corp.

 

112,760

 

5,763

 

Arthur J. Gallagher & Co.

 

161,825

 

9,523

 

Associated Banc-Corp

 

121,847

 

4,526

 

Astoria Financial Corp.

 

54,493

 

4,042

 

BancorpSouth, Inc.

 

51,940

 

2,647

 

Bank of Hawaii Corp.

 

114,615

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

3,507

 

BRE Properties, Inc. (REIT)

 

$

151,046

 

6,387

 

Brown & Brown, Inc.

 

146,071

 

3,670

 

Camden Property Trust (REIT)

 

187,427

 

4,326

 

Cathay General Bancorp

 

58,444

 

2,540

 

City National Corp./CA

 

136,449

 

4,065

 

Commerce Bancshares, Inc./MO

 

152,641

 

3,612

 

Corporate Office Properties Trust (REIT)

 

122,483

 

5,644

 

Cousins Properties, Inc. (REIT)

 

41,878

 

3,332

 

Cullen/Frost Bankers, Inc.

 

178,395

 

13,781

 

Duke Realty Corp. (REIT)

 

153,383

 

6,528

 

Eaton Vance Corp.

 

194,012

 

2,280

 

Equity One, Inc. (REIT)

 

39,467

 

1,662

 

Essex Property Trust, Inc. (REIT)

 

184,216

 

3,082

 

Everest Re Group Ltd.

 

257,316

 

3,376

 

Federal Realty Investment Trust (REIT)

 

261,269

 

12,477

 

Fidelity National Financial, Inc., Class A

 

168,439

 

5,696

 

First American Financial Corp.

 

80,712

 

11,512

 

First Niagara Financial Group, Inc.

 

142,576

 

5,931

 

FirstMerit Corp.

 

103,348

 

10,920

 

Fulton Financial Corp.

 

94,458

 

1,389

 

Greenhill & Co., Inc.

 

104,092

 

2,469

 

Hanover Insurance Group, Inc. (The)

 

111,796

 

6,331

 

HCC Insurance Holdings, Inc.

 

177,774

 

3,942

 

Highwoods Properties, Inc. (REIT)

 

120,270

 

6,792

 

Hospitality Properties Trust (REIT)

 

150,239

 

2,900

 

International Bancshares Corp.

 

49,880

 

6,772

 

Jefferies Group, Inc.

 

163,544

 

2,336

 

Jones Lang LaSalle, Inc.

 

186,460

 

6,232

 

Liberty Property Trust (REIT)

 

195,311

 

7,142

 

Macerich Co. (The) (REIT)

 

330,960

 

4,366

 

Mack-Cali Realty Corp. (REIT)

 

138,620

 

1,962

 

Mercury General Corp.

 

84,248

 

6,452

 

MSCI, Inc., Class A*

 

219,755

 

6,780

 

Nationwide Health Properties, Inc. (REIT)

 

244,419

 

23,975

 

New York Community Bancorp, Inc.

 

402,780

 

5,838

 

NewAlliance Bancshares, Inc.

 

77,879

 

14,207

 

Old Republic International Corp.

 

179,861

 

5,192

 

Omega Healthcare Investors, Inc. (REIT)

 

109,603

 

1,710

 

PacWest Bancorp

 

29,070

 

2,200

 

Potlatch Corp. (REIT)

 

69,696

 

2,568

 

Prosperity Bancshares, Inc.

 

83,563

 

4,713

 

Protective Life Corp.

 

110,850

 

5,473

 

Raymond James Financial, Inc.

 

156,966

 

4,416

 

Rayonier, Inc. (REIT)

 

225,039

 

6,033

 

Realty Income Corp. (REIT)

 

205,424

 

4,504

 

Regency Centers Corp. (REIT)

 

183,403

 

4,028

 

Reinsurance Group of America, Inc.

 

201,118

 

8,053

 

SEI Investments Co.

 

181,837

 

7,013

 

Senior Housing Properties Trust (REIT)

 

156,600

 

4,290

 

SL Green Realty Corp. (REIT)

 

280,566

 

2,560

 

StanCorp Financial Group, Inc.

 

106,496

 

2,298

 

SVB Financial Group*

 

103,249

 

43,108

 

Synovus Financial Corp.

 

87,509

 

6,941

 

TCF Financial Corp.

 

94,467

 

3,492

 

Transatlantic Holdings, Inc.

 

176,695

 

3,129

 

Trustmark Corp.

 

66,773

 

9,826

 

UDR, Inc. (REIT)

 

219,120

 

2,752

 

Unitrin, Inc.

 

65,112

 

8,863

 

Valley National Bancorp

 

112,560

 

6,668

 

W. R. Berkley Corp.

 

177,969

 

4,681

 

Waddell & Reed Financial, Inc., Class A

 

144,175

 

6,192

 

Washington Federal, Inc.

 

91,394

 

3,674

 

Webster Financial Corp.

 

60,621

 

6,595

 

Weingarten Realty Investors (REIT)

 

156,302

 

1,615

 

Westamerica Bancorp.

 

78,941

 

5,021

 

Wilmington Trust Corp.

 

19,682

 

 

 

 

 

11,013,266

 

 

 

Health Care - 6.2%

 

 

 

 

 

 

 

 

 

10,473

 

Allscripts Healthcare Solutions, Inc.*

 

183,801

 

3,793

 

Beckman Coulter, Inc.

 

207,515

 

1,063

 

Bio-Rad Laboratories, Inc., Class A*

 

99,231

 

3,170

 

Charles River Laboratories International, Inc.*

 

103,501

 

5,225

 

Community Health Systems, Inc.*

 

166,469

 

3,562

 

Covance, Inc.*

 

159,969

 

6,238

 

Edwards Lifesciences Corp.*

 

413,954

 

6,323

 

Endo Pharmaceuticals Holdings, Inc.*

 

227,691

 

2,666

 

Gen-Probe, Inc.*

 

138,259

 

13,782

 

Health Management Associates, Inc., Class A*

 

122,798

 

5,337

 

Health Net, Inc.*

 

144,099

 

5,031

 

Henry Schein, Inc.*

 

288,930

 

3,473

 

Hill-Rom Holdings, Inc.

 

137,461

 

14,266

 

Hologic, Inc.*

 

233,962

 

3,176

 

IDEXX Laboratories, Inc.*

 

203,931

 

3,847

 

Immucor, Inc.*

 

70,669

 

2,176

 

Kindred Healthcare, Inc.*

 

35,121

 

3,434

 

Kinetic Concepts, Inc.*

 

136,364

 

2,971

 

LifePoint Hospitals, Inc.*

 

107,610

 

5,373

 

Lincare Holdings, Inc.

 

138,355

 

3,221

 

Masimo Corp.

 

99,400

 

3,297

 

Medicis Pharmaceutical Corp., Class A

 

86,876

 

2,609

 

MEDNAX, Inc.*

 

159,671

 

1,829

 

Mettler-Toledo International, Inc.*

 

265,534

 

6,474

 

Omnicare, Inc.

 

149,291

 

3,473

 

Owens & Minor, Inc.

 

98,112

 

4,521

 

Perrigo Co.

 

272,345

 

6,525

 

Pharmaceutical Product Development, Inc.

 

162,603

 

8,349

 

ResMed, Inc.*

 

266,751

 

3,262

 

STERIS Corp.

 

112,245

 

2,054

 

Techne Corp.

 

123,384

 

2,196

 

Teleflex, Inc.

 

109,668

 

3,202

 

Thoratec Corp.*

 

81,507

 

2,721

 

United Therapeutics Corp.*

 

171,233

 

5,349

 

Universal Health Services, Inc., Class B

 

219,951

 

4,733

 

VCA Antech, Inc.*

 

103,392

 

11,111

 

Vertex Pharmaceuticals, Inc.*

 

368,107

 

2,335

 

WellCare Health Plans, Inc.*

 

65,730

 

 

 

 

 

6,235,490

 

 

 

Industrials - 9.1%

 

 

 

 

 

 

 

 

 

2,396

 

Acuity Brands, Inc.

 

129,049

 

6,362

 

Aecom Technology Corp.*

 

163,885

 

5,122

 

AGCO Corp.*

 

231,207

 

7,446

 

AirTran Holdings, Inc.*

 

55,398

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,969

 

Alaska Air Group, Inc.*

 

$

108,295

 

2,263

 

Alexander & Baldwin, Inc.

 

79,409

 

1,820

 

Alliant Techsystems, Inc.*

 

134,516

 

5,857

 

AMETEK, Inc.

 

346,559

 

2,585

 

Baldor Electric Co.

 

163,656

 

5,625

 

BE Aerospace, Inc.*

 

199,687

 

2,570

 

Brink’s Co. (The)

 

63,068

 

4,461

 

Bucyrus International, Inc.

 

397,743

 

3,350

 

Carlisle Cos., Inc.

 

122,677

 

1,259

 

Clean Harbors, Inc.*

 

93,229

 

2,961

 

Con-way, Inc.

 

100,082

 

3,927

 

Copart, Inc.*

 

139,330

 

1,885

 

Corporate Executive Board Co. (The)

 

65,391

 

6,052

 

Corrections Corp. of America*

 

146,156

 

2,547

 

Crane Co.

 

95,462

 

2,827

 

Deluxe Corp.

 

59,904

 

4,184

 

Donaldson Co., Inc.

 

227,149

 

2,585

 

FTI Consulting, Inc.*

 

92,129

 

2,886

 

Gardner Denver, Inc.

 

188,889

 

2,551

 

GATX Corp.

 

84,617

 

3,338

 

Graco, Inc.

 

120,034

 

1,856

 

Granite Construction, Inc.

 

47,087

 

4,431

 

Harsco Corp.

 

106,610

 

3,136

 

Herman Miller, Inc.

 

67,549

 

2,493

 

HNI Corp.

 

66,413

 

3,303

 

Hubbell, Inc., Class B

 

186,818

 

4,471

 

IDEX Corp.

 

167,528

 

4,863

 

J.B. Hunt Transport Services, Inc.

 

177,499

 

11,036

 

JetBlue Airways Corp.*

 

74,934

 

5,681

 

Joy Global, Inc.

 

433,574

 

5,618

 

Kansas City Southern*

 

265,956

 

8,561

 

KBR, Inc.

 

231,832

 

4,499

 

Kennametal, Inc.

 

152,156

 

2,974

 

Kirby Corp.*

 

132,849

 

2,534

 

Korn/Ferry International*

 

43,889

 

2,762

 

Landstar System, Inc.

 

99,294

 

2,505

 

Lennox International, Inc.

 

110,195

 

2,347

 

Lincoln Electric Holdings, Inc.

 

144,716

 

4,508

 

Manpower, Inc.

 

253,891

 

1,667

 

Mine Safety Appliances Co.

 

48,043

 

2,438

 

MSC Industrial Direct Co., Class A

 

146,621

 

2,790

 

Navigant Consulting, Inc.*

 

23,213

 

1,879

 

Nordson Corp.

 

149,249

 

4,959

 

Oshkosh Corp.*

 

142,323

 

5,431

 

Pentair, Inc.

 

178,680

 

2,118

 

Regal-Beloit Corp.

 

129,198

 

2,322

 

Rollins, Inc.

 

62,740

 

4,642

 

Shaw Group, Inc. (The)*

 

148,776

 

2,746

 

SPX Corp.

 

180,357

 

5,984

 

Terex Corp.*

 

145,292

 

2,863

 

Thomas & Betts Corp.*

 

127,260

 

4,399

 

Timken Co.

 

191,620

 

2,481

 

Towers Watson & Co., Class A

 

124,546

 

4,363

 

Trinity Industries, Inc.

 

99,913

 

3,330

 

United Rentals, Inc.*

 

65,335

 

4,590

 

URS Corp.*

 

181,489

 

1,168

 

Valmont Industries, Inc.

 

94,444

 

6,419

 

Waste Connections, Inc.

 

166,881

 

1,529

 

Watsco, Inc.

 

92,153

 

2,426

 

Werner Enterprises, Inc.

 

52,353

 

2,642

 

Westinghouse Air Brake Technologies Corp.

 

122,140

 

3,212

 

Woodward Governor Co.

 

108,405

 

 

 

 

 

9,151,342

 

 

 

Information Technology - 9.4%

 

 

 

 

 

 

 

 

 

1,874

 

ACI Worldwide, Inc.*

 

 47,581

 

4,385

 

Acxiom Corp.*

 

74,589

 

5,339

 

ADC Telecommunications, Inc.*

 

67,912

 

3,430

 

ADTRAN, Inc.

 

106,810

 

863

 

Advent Software, Inc.*

 

44,514

 

2,883

 

Alliance Data Systems Corp.*

 

181,860

 

4,983

 

ANSYS, Inc.*

 

241,675

 

5,874

 

AOL, Inc.*

 

142,033

 

6,453

 

Arrow Electronics, Inc.*

 

200,108

 

25,364

 

Atmel Corp.*

 

263,532

 

8,357

 

Avnet, Inc.*

 

256,142

 

6,980

 

Broadridge Financial Solutions, Inc.

 

143,718

 

14,585

 

Cadence Design Systems, Inc.*

 

114,638

 

5,095

 

Ciena Corp.*

 

77,189

 

5,199

 

CommScope, Inc.*

 

164,340

 

6,806

 

Convergys Corp.*

 

87,729

 

5,730

 

CoreLogic, Inc.

 

104,343

 

5,920

 

Cree, Inc.*

 

385,866

 

3,632

 

Diebold, Inc.

 

114,117

 

2,180

 

Digital River, Inc.*

 

80,268

 

1,971

 

DST Systems, Inc.

 

84,477

 

2,498

 

Equinix, Inc.*

 

193,845

 

4,408

 

F5 Networks, Inc.*

 

581,327

 

2,538

 

Factset Research Systems, Inc.

 

225,044

 

2,296

 

Fair Isaac Corp.

 

53,612

 

6,919

 

Fairchild Semiconductor International, Inc.*

 

97,212

 

3,968

 

Gartner, Inc.*

 

127,651

 

4,366

 

Global Payments, Inc.

 

181,451

 

5,070

 

Informatica Corp.*

 

209,290

 

8,631

 

Ingram Micro, Inc., Class A*

 

154,063

 

8,687

 

Integrated Device Technology, Inc.*

 

55,857

 

3,890

 

International Rectifier Corp.*

 

110,320

 

6,809

 

Intersil Corp., Class A

 

86,815

 

2,219

 

Itron, Inc.*

 

125,973

 

4,696

 

Jack Henry & Associates, Inc.

 

128,389

 

6,802

 

Lam Research Corp.*

 

308,335

 

5,099

 

Lender Processing Services, Inc.

 

156,896

 

1,233

 

Mantech International Corp., Class A*

 

49,221

 

5,989

 

Mentor Graphics Corp.*

 

67,346

 

4,422

 

MICROS Systems, Inc.*

 

193,330

 

3,220

 

National Instruments Corp.

 

109,866

 

8,824

 

NCR Corp.*

 

126,977

 

4,128

 

NeuStar, Inc., Class A*

 

106,668

 

6,394

 

Parametric Technology Corp.*

 

136,960

 

2,611

 

Plantronics, Inc.

 

93,396

 

4,691

 

Polycom, Inc.*

 

173,590

 

3,400

 

Quest Software, Inc.*

 

86,020

 

5,282

 

Rackspace Hosting, Inc.*

 

154,076

 

14,914

 

RF Micro Devices, Inc.*

 

104,547

 

7,779

 

Riverbed Technology, Inc.*

 

263,786

 

5,651

 

Rovi Corp.*

 

311,766

 

3,402

 

Semtech Corp.*

 

79,573

 

2,444

 

Silicon Laboratories, Inc.*

 

103,821

 

9,786

 

Skyworks Solutions, Inc.*

 

249,054

 

3,854

 

Solera Holdings, Inc.

 

184,992

 

2,383

 

SRA International, Inc., Class A*

 

46,754

 

8,145

 

Synopsys, Inc.*

 

209,245

 

2,554

 

Tech Data Corp.*

 

112,555

 

8,980

 

TIBCO Software, Inc.*

 

176,367

 

6,528

 

Trimble Navigation Ltd.*

 

243,103

 

4,478

 

ValueClick, Inc.*

 

69,588

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

9,059

 

Vishay Intertechnology, Inc.*

 

$

129,181

 

3,105

 

Zebra Technologies Corp., Class A*

 

113,146

 

 

 

 

 

9,474,449

 

 

 

Materials - 3.7%

 

 

 

 

 

 

 

 

 

5,034

 

Albemarle Corp.

 

272,289

 

3,695

 

Aptargroup, Inc.

 

168,751

 

4,323

 

Ashland, Inc.

 

219,954

 

3,598

 

Cabot Corp.

 

128,808

 

2,423

 

Carpenter Technology Corp.

 

88,367

 

6,286

 

Commercial Metals Co.

 

96,616

 

2,695

 

Cytec Industries, Inc.

 

128,902

 

1,705

 

Greif, Inc., Class A

 

99,640

 

2,427

 

Intrepid Potash, Inc.*

 

74,388

 

6,971

 

Louisiana-Pacific Corp.*

 

57,162

 

3,698

 

Lubrizol Corp.

 

386,663

 

2,503

 

Martin Marietta Materials, Inc.

 

211,604

 

1,035

 

Minerals Technologies, Inc.

 

62,969

 

544

 

NewMarket Corp.

 

68,435

 

4,339

 

Olin Corp.

 

79,273

 

5,678

 

Packaging Corp. of America

 

145,641

 

4,069

 

Reliance Steel & Aluminum Co.

 

180,867

 

2,145

 

Rock-Tenn Co., Class A

 

116,023

 

7,137

 

RPM International, Inc.

 

146,166

 

2,531

 

Scotts Miracle-Gro Co. (The), Class A

 

126,449

 

2,723

 

Sensient Technologies Corp.

 

92,500

 

2,674

 

Silgan Holdings, Inc.

 

91,558

 

5,527

 

Sonoco Products Co.

 

181,064

 

11,921

 

Steel Dynamics, Inc.

 

190,021

 

5,921

 

Temple-Inland, Inc.

 

124,163

 

5,395

 

Valspar Corp.

 

178,251

 

3,140

 

Worthington Industries, Inc.

 

50,303

 

 

 

 

 

3,766,827

 

 

 

Telecommunication Services - 0.5%

 

 

 

 

 

 

 

 

 

11,075

 

Cincinnati Bell, Inc.*

 

27,023

 

3,842

 

Syniverse Holdings, Inc.*

 

117,412

 

5,066

 

Telephone & Data Systems, Inc.

 

180,755

 

8,353

 

tw telecom, inc.*

 

137,657

 

 

 

 

 

462,847

 

 

 

Utilities - 3.5%

 

 

 

 

 

 

 

 

 

4,286

 

AGL Resources, Inc.

 

157,425

 

6,099

 

Alliant Energy Corp.

 

221,455

 

7,539

 

Aqua America, Inc.

 

162,465

 

4,939

 

Atmos Energy Corp.

 

148,516

 

2,158

 

Black Hills Corp.

 

65,495

 

3,343

 

Cleco Corp.

 

101,393

 

6,550

 

DPL, Inc.

 

165,911

 

5,558

 

Dynegy, Inc.*

 

28,290

 

3,958

 

Energen Corp.

 

172,450

 

7,461

 

Great Plains Energy, Inc.

 

139,148

 

5,130

 

Hawaiian Electric Industries, Inc.

 

112,296

 

2,647

 

IDACORP, Inc.

 

96,139

 

10,359

 

MDU Resources Group, Inc.

 

211,738

 

4,508

 

National Fuel Gas Co.

 

285,627

 

5,675

 

NSTAR

 

234,945

 

12,936

 

NV Energy, Inc.

 

177,094

 

5,351

 

OGE Energy Corp.

 

238,173

 

4,775

 

PNM Resources, Inc.

 

57,204

 

9,639

 

Questar Corp.

 

160,104

 

6,022

 

UGI Corp.

 

178,673

 

4,470

 

Vectren Corp.

 

115,773

 

6,092

 

Westar Energy, Inc.

 

151,752

 

2,786

 

WGL Holdings, Inc.

 

101,020

 

 

 

 

 

3,483,086

 

 

 

Total Common Stocks

 

 

 

 

 

(Cost $52,774,025)

 

58,084,386

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 10.7%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

3,603,607

 

0.07%, due 12/01/10

 

3,603,607

 

7,223,127

 

0.09%, due 12/06/10

 

7,223,127

 

 

 

Total U.S. Government & Agency Securities (Cost $10,826,734)

 

10,826,734

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 24.8%

 

 

 

24,964,341

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $24,964,679

 

24,964,341

 

 

 

Total Repurchase Agreements

(Cost $24,964,341)

 

24,964,341

 

 

 

Total Investment Securities

 

 

 

 

 

(Cost $88,565,100) — 93.2%

 

93,875,461

 

 

 

Other assets less liabilities — 6.8%

 

6,882,961

 

 

 

Net Assets — 100.0%

 

$

100,758,422

 

 

*                      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. At 11/30/10, the aggregate amount held in a segregated account was $20,871,797.

(b)              The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT

Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

8,167,003

 

Aggregate gross unrealized depreciation

 

(3,276,278

)

Net unrealized appreciation

 

$

4,890,725

 

Federal income tax cost of investments

 

$

88,984,736

 

 

See accompanying notes to the financial statements.

 


 

Futures Contracts Purchased

Ultra MidCap400 had the following open long futures contracts as of November 30, 2010:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

E-Mini S&P MidCap 400 Futures Contracts

 

35

 

12/17/10

 

$

2,980,950

 

$

330,859

 

 

Cash collateral in the amount of $455,060 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

 

Swap Agreements

Ultra MidCap400 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400™ Index 

 

$

43,529,894

 

$

4,758,955

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P MidCap 400™ Index

 

7,239,204

 

800,179

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400™ Index

 

30,584,536

 

(367,515

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400™ Index

 

15,656,005

 

(135,899

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400™ Index

 

23,736,868

 

1,873,478

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400™ Index

 

19,730,969

 

(348,103

)

 

 

 

 

 

 

 

 

 

 

$

6,581,095

 

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra SmallCap600

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 68.3%

 

 

 

 

 

Consumer Discretionary - 10.4%

 

 

 

 

 

 

 

 

 

1,163

 

American Public Education, Inc.*

 

$

39,740

 

1,683

 

Arbitron, Inc.

 

49,177

 

775

 

Arctic Cat, Inc.*

 

11,555

 

1,173

 

Audiovox Corp., Class A*

 

8,035

 

1,380

 

Big 5 Sporting Goods Corp.

 

19,044

 

91

 

Biglari Holdings, Inc.*

 

35,335

 

1,408

 

BJ’s Restaurants, Inc.*

 

51,603

 

895

 

Blue Nile, Inc.*

 

44,258

 

339

 

Blyth, Inc.

 

15,113

 

2,744

 

Brown Shoe Co., Inc.

 

39,020

 

5,610

 

Brunswick Corp.

 

89,479

 

1,635

 

Buckle, Inc. (The)

 

62,375

 

1,151

 

Buffalo Wild Wings, Inc.*

 

55,812

 

2,506

 

Cabela’s, Inc.*

 

55,758

 

1,557

 

California Pizza Kitchen, Inc.*

 

26,329

 

4,082

 

Callaway Golf Co.

 

31,268

 

1,047

 

Capella Education Co.*

 

57,365

 

3,764

 

Carter’s, Inc.*

 

119,168

 

1,879

 

Cato Corp. (The), Class A

 

53,645

 

1,348

 

CEC Entertainment, Inc.*

 

50,577

 

1,703

 

Children’s Place Retail Stores, Inc. (The)*

 

88,403

 

2,268

 

Christopher & Banks Corp.

 

12,088

 

2,049

 

Coinstar, Inc.*

 

132,038

 

1,495

 

Cracker Barrel Old Country Store, Inc.

 

78,727

 

5,420

 

CROCS, Inc.*

 

95,094

 

977

 

DineEquity, Inc.*

 

52,191

 

1,195

 

Drew Industries, Inc.*

 

24,139

 

1,906

 

E.W. Scripps Co. (The), Class A*

 

17,211

 

1,799

 

Ethan Allen Interiors, Inc.

 

29,665

 

3,445

 

Finish Line (The), Class A

 

61,493

 

2,494

 

Fred’s, Inc., Class A

 

31,898

 

1,522

 

Genesco, Inc.*

 

58,536

 

1,492

 

Group 1 Automotive, Inc.

 

57,785

 

1,197

 

Haverty Furniture Cos., Inc.

 

14,376

 

1,943

 

Helen of Troy Ltd.*

 

45,894

 

1,780

 

Hibbett Sports, Inc.*

 

60,965

 

3,948

 

Hillenbrand, Inc.

 

76,236

 

2,820

 

HOT Topic, Inc.

 

17,287

 

2,411

 

HSN, Inc.*

 

68,352

 

4,573

 

Iconix Brand Group, Inc.*

 

85,424

 

2,530

 

Interval Leisure Group, Inc.*

 

41,922

 

3,489

 

Jack in the Box, Inc.*

 

70,181

 

1,769

 

Jakks Pacific, Inc.*

 

34,053

 

1,691

 

Jo-Ann Stores, Inc.*

 

81,912

 

1,746

 

JoS. A. Bank Clothiers, Inc.*

 

78,640

 

1,366

 

Kid Brands, Inc.*

 

12,854

 

983

 

Kirkland’s, Inc.*

 

11,747

 

1,714

 

K-Swiss, Inc., Class A*

 

21,459

 

3,262

 

La-Z-Boy, Inc.*

 

24,563

 

1,344

 

Lithia Motors, Inc., Class A

 

17,418

 

9,334

 

Live Nation Entertainment, Inc.*

 

100,434

 

5,992

 

Liz Claiborne, Inc.*

 

43,802

 

1,458

 

Lumber Liquidators Holdings, Inc.*

 

34,321

 

1,176

 

M/I Homes, Inc.*

 

13,559

 

1,445

 

Maidenform Brands, Inc.*

 

39,651

 

1,352

 

Marcus Corp.

 

17,522

 

1,397

 

MarineMax, Inc.*

 

10,659

 

3,317

 

Men’s Wearhouse, Inc. (The)

 

94,601

 

2,035

 

Meritage Homes Corp.*

 

38,604

 

904

 

Midas, Inc.*

 

7,051

 

715

 

Monarch Casino & Resort, Inc.*

 

8,587

 

1,254

 

Monro Muffler Brake, Inc.

 

61,998

 

1,157

 

Movado Group, Inc.*

 

13,884

 

1,735

 

Multimedia Games, Inc.*

 

7,495

 

327

 

National Presto Industries, Inc.

 

37,965

 

1,705

 

NutriSystem, Inc.

 

35,242

 

1,191

 

O’Charleys, Inc.*

 

8,242

 

5,373

 

OfficeMax, Inc.*

 

91,825

 

880

 

Oxford Industries, Inc.

 

21,736

 

1,467

 

P.F. Chang’s China Bistro, Inc.

 

74,142

 

1,284

 

Papa John’s International, Inc.*

 

32,883

 

805

 

Peet’s Coffee & Tea, Inc.*

 

30,695

 

3,284

 

PEP Boys-Manny Moe & Jack

 

40,689

 

655

 

Perry Ellis International, Inc.*

 

17,823

 

1,462

 

PetMed Express, Inc.

 

25,921

 

3,828

 

Pinnacle Entertainment, Inc.*

 

50,989

 

3,134

 

Pool Corp.

 

66,409

 

621

 

Pre-Paid Legal Services, Inc.*

 

40,166

 

8,157

 

Quiksilver, Inc.*

 

35,075

 

1,360

 

RC2 Corp.*

 

30,124

 

990

 

Red Robin Gourmet Burgers, Inc.*

 

18,345

 

4,081

 

Ruby Tuesday, Inc.*

 

52,196

 

1,936

 

Ruth’s Hospitality Group, Inc.*

 

9,564

 

3,394

 

Shuffle Master, Inc.*

 

36,418

 

2,114

 

Skechers U.S.A., Inc., Class A*

 

48,812

 

430

 

Skyline Corp.

 

8,161

 

2,210

 

Sonic Automotive, Inc., Class A*

 

27,360

 

3,868

 

Sonic Corp.*

 

36,204

 

2,082

 

Spartan Motors, Inc.

 

11,014

 

2,358

 

Stage Stores, Inc.

 

35,677

 

1,181

 

Standard Motor Products, Inc.

 

14,857

 

6,279

 

Standard Pacific Corp.*

 

22,353

 

1,668

 

Stein Mart, Inc.*

 

16,513

 

1,436

 

Steven Madden Ltd.*

 

64,979

 

1,209

 

Sturm Ruger & Co., Inc.

 

19,344

 

1,471

 

Superior Industries International, Inc.

 

28,596

 

3,631

 

Texas Roadhouse, Inc.*

 

62,054

 

1,609

 

True Religion Apparel, Inc.*

 

36,090

 

2,287

 

Tuesday Morning Corp.*

 

11,892

 

939

 

Universal Electronics, Inc.*

 

25,804

 

1,291

 

Universal Technical Institute, Inc.

 

26,737

 

1,069

 

Volcom, Inc.

 

19,242

 

1,843

 

Winnebago Industries, Inc.*

 

19,315

 

3,052

 

Wolverine World Wide, Inc.

 

95,375

 

1,517

 

Zale Corp.*

 

4,521

 

1,344

 

Zumiez, Inc.*

 

42,753

 

 

 

 

 

4,343,477

 

 

 

Consumer Staples - 2.3%

 

 

 

 

 

 

 

 

 

5,641

 

Alliance One International, Inc.*

 

21,887

 

1,165

 

Andersons, Inc. (The)

 

37,653

 

587

 

Boston Beer Co., Inc., Class A*

 

47,946

 

749

 

Calavo Growers, Inc.

 

17,294

 

834

 

Cal-Maine Foods, Inc.

 

25,570

 

2,388

 

Casey’s General Stores, Inc.

 

94,911

 

3,535

 

Central Garden and Pet Co., Class A*

 

33,017

 

5,224

 

Darling International, Inc.*

 

60,494

 

1,383

 

Diamond Foods, Inc.

 

64,365

 

1,793

 

Great Atlantic & Pacific Tea Co.*

 

5,379

 

2,678

 

Hain Celestial Group, Inc. (The)*

 

70,994

 

898

 

J&J Snack Foods Corp.

 

41,083

 

2,036

 

Lance, Inc.

 

47,663

 

849

 

Medifast, Inc.*

 

20,682

 

769

 

Nash Finch Co.

 

28,415

 

1,208

 

Sanderson Farms, Inc.

 

53,466

 

577

 

Seneca Foods Corp., Class A*

 

13,727

 

1,427

 

Spartan Stores, Inc.

 

23,346

 

2,214

 

TreeHouse Foods, Inc.*

 

109,991

 

2,984

 

United Natural Foods, Inc.*

 

111,721

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,051

 

WD-40 Co.

 

$

41,084

 

 

 

 

 

970,688

 

 

 

Energy - 4.0%

 

 

 

 

 

 

 

 

 

1,467

 

Basic Energy Services, Inc.*

 

21,271

 

2,263

 

Bristow Group, Inc.*

 

99,368

 

1,186

 

CARBO Ceramics, Inc.

 

115,220

 

814

 

Contango Oil & Gas Co.*

 

45,389

 

907

 

Gulf Island Fabrication, Inc.

 

24,271

 

1,725

 

Gulfport Energy Corp.*

 

32,154

 

2,765

 

Holly Corp.

 

99,374

 

1,470

 

Hornbeck Offshore Services, Inc.*

 

32,413

 

9,531

 

ION Geophysical Corp.*

 

68,528

 

1,898

 

Lufkin Industries, Inc.

 

96,096

 

1,670

 

Matrix Service Co.*

 

16,583

 

3,175

 

Oil States International, Inc.*

 

188,373

 

2,881

 

Penn Virginia Corp.

 

45,693

 

1,438

 

Petroleum Development Corp.*

 

51,222

 

3,478

 

Petroquest Energy, Inc.*

 

24,102

 

3,429

 

Pioneer Drilling Co.*

 

23,489

 

1,345

 

SEACOR Holdings, Inc.*

 

146,605

 

748

 

Seahawk Drilling, Inc.*

 

6,081

 

3,982

 

SM Energy Co.

 

197,866

 

3,039

 

Stone Energy Corp.*

 

62,786

 

2,620

 

Swift Energy Co.*

 

95,604

 

4,789

 

Tetra Technologies, Inc.*

 

52,679

 

4,244

 

World Fuel Services Corp.

 

127,744

 

 

 

 

 

1,672,911

 

 

 

Financials - 12.7%

 

 

 

 

 

 

 

 

 

2,543

 

Acadia Realty Trust (REIT)

 

46,435

 

1,199

 

AMERISAFE, Inc.*

 

22,170

 

2,878

 

Bank Mutual Corp.

 

13,181

 

824

 

Bank of the Ozarks, Inc.

 

31,221

 

8,095

 

BioMed Realty Trust, Inc. (REIT)

 

142,715

 

4,758

 

Boston Private Financial Holdings, Inc.

 

25,550

 

3,743

 

Brookline Bancorp, Inc.

 

36,794

 

1,875

 

Cash America International, Inc.

 

67,875

 

2,920

 

Cedar Shopping Centers, Inc. (REIT)

 

17,695

 

1,005

 

City Holding Co.

 

32,230

 

5,408

 

Colonial Properties Trust (REIT)

 

97,344

 

2,490

 

Columbia Banking System, Inc.

 

43,426

 

2,101

 

Community Bank System, Inc.

 

50,592

 

3,394

 

Delphi Financial Group, Inc., Class A

 

87,158

 

9,777

 

DiamondRock Hospitality Co. (REIT)*

 

102,952

 

1,729

 

Dime Community Bancshares, Inc.

 

23,601

 

9,379

 

East West Bancorp, Inc.

 

162,632

 

1,706

 

EastGroup Properties, Inc. (REIT)

 

68,018

 

1,492

 

eHealth, Inc.*

 

22,455

 

2,569

 

Employers Holdings, Inc.

 

41,489

 

2,946

 

Entertainment Properties Trust (REIT)

 

136,400

 

5,524

 

Extra Space Storage, Inc. (REIT)

 

88,494

 

3,114

 

EZCORP, Inc., Class A*

 

78,348

 

20,144

 

First BanCorp./Puerto Rico*

 

4,835

 

1,896

 

First Cash Financial Services, Inc.*

 

54,586

 

5,753

 

First Commonwealth Financial Corp.

 

35,669

 

3,631

 

First Financial Bancorp

 

59,984

 

1,320

 

First Financial Bankshares, Inc.

 

63,848

 

4,695

 

First Midwest Bancorp, Inc./IL

 

43,992

 

2,308

 

Forestar Group, Inc.*

 

41,590

 

4,339

 

Franklin Street Properties Corp. (REIT)

 

55,669

 

4,560

 

Glacier Bancorp, Inc.

 

60,785

 

1,847

 

Hancock Holding Co.

 

58,180

 

9,585

 

Hanmi Financial Corp.*

 

 

8,800

 

3,982

 

Healthcare Realty Trust, Inc. (REIT)

 

82,188

 

1,371

 

Home Bancshares, Inc./AR

 

28,380

 

2,345

 

Home Properties, Inc. (REIT)

 

125,669

 

2,484

 

Horace Mann Educators Corp.

 

40,564

 

1,342

 

Independent Bank Corp./MA

 

32,597

 

791

 

Infinity Property & Casualty Corp.

 

45,664

 

4,659

 

Inland Real Estate Corp. (REIT)

 

39,601

 

2,641

 

Interactive Brokers Group, Inc., Class A*

 

48,436

 

2,673

 

Investment Technology Group, Inc.*

 

39,293

 

3,314

 

Kilroy Realty Corp. (REIT)

 

113,074

 

4,008

 

Kite Realty Group Trust (REIT)

 

20,120

 

2,315

 

LaBranche & Co., Inc.*

 

6,991

 

4,427

 

LaSalle Hotel Properties (REIT)

 

105,363

 

7,229

 

Lexington Realty Trust (REIT)

 

56,748

 

1,636

 

LTC Properties, Inc. (REIT)

 

44,156

 

7,050

 

Medical Properties Trust, Inc. (REIT)

 

73,884

 

2,079

 

Mid-America Apartment Communities, Inc. (REIT)

 

127,588

 

2,374

 

Nara Bancorp, Inc.*

 

19,372

 

2,704

 

National Financial Partners Corp.*

 

31,799

 

7,986

 

National Penn Bancshares, Inc.

 

53,586

 

5,278

 

National Retail Properties, Inc. (REIT)

 

137,281

 

782

 

Navigators Group, Inc. (The)*

 

38,701

 

2,184

 

NBT Bancorp, Inc.

 

48,485

 

5,526

 

Old National Bancorp/IN

 

56,973

 

2,691

 

optionsXpress Holdings, Inc.*

 

46,527

 

1,359

 

Parkway Properties, Inc./MD (REIT)

 

21,595

 

3,460

 

Pennsylvania Real Estate Investment Trust (REIT)

 

46,468

 

2,113

 

Pinnacle Financial Partners, Inc.*

 

20,771

 

983

 

Piper Jaffray Cos.*

 

29,461

 

1,073

 

Portfolio Recovery Associates, Inc.*

 

67,996

 

3,080

 

Post Properties, Inc. (REIT)

 

104,936

 

1,299

 

Presidential Life Corp.

 

12,042

 

3,713

 

PrivateBancorp, Inc.

 

45,150

 

1,992

 

ProAssurance Corp.*

 

117,986

 

3,267

 

Provident Financial Services, Inc.

 

45,019

 

1,169

 

PS Business Parks, Inc. (REIT)

 

60,578

 

558

 

Rewards Network, Inc.*

 

7,672

 

1,036

 

RLI Corp.

 

60,067

 

1,550

 

S&T Bancorp, Inc.

 

30,411

 

966

 

Safety Insurance Group, Inc.

 

45,218

 

3,373

 

Selective Insurance Group, Inc.

 

55,654

 

2,540

 

Signature Bank/NY*

 

111,633

 

1,078

 

Simmons First National Corp., Class A

 

31,316

 

1,747

 

Sovran Self Storage, Inc. (REIT)

 

62,944

 

1,702

 

Sterling Bancorp/NY

 

15,982

 

6,457

 

Sterling Bancshares, Inc./TX

 

38,322

 

1,164

 

Stewart Information Services Corp.

 

12,385

 

2,240

 

Stifel Financial Corp.*

 

116,099

 

8,218

 

Susquehanna Bancshares, Inc.

 

66,155

 

1,789

 

SWS Group, Inc.

 

9,303

 

2,566

 

Tanger Factory Outlet Centers (REIT)

 

123,117

 

515

 

Tompkins Financial Corp.

 

19,755

 

2,698

 

Tower Group, Inc.

 

69,393

 

2,535

 

TradeStation Group, Inc.*

 

16,123

 

4,870

 

TrustCo Bank Corp NY

 

27,321

 

1,899

 

UMB Financial Corp.

 

70,833

 

7,258

 

Umpqua Holdings Corp.

 

76,862

 

2,428

 

United Bankshares, Inc.

 

63,638

 

5,903

 

United Community Banks, Inc./GA*

 

9,032

 

1,333

 

United Fire & Casualty Co.

 

27,646

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

777

 

Universal Health Realty Income Trust (REIT)

 

$

27,249

 

1,452

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

26,717

 

6,114

 

Whitney Holding Corp./LA

 

57,410

 

1,232

 

Wilshire Bancorp, Inc.

 

8,723

 

1,969

 

Wintrust Financial Corp.

 

56,412

 

1,000

 

World Acceptance Corp.*

 

44,060

 

 

 

 

 

5,349,207

 

 

 

Health Care - 8.4%

 

 

 

 

 

 

 

 

 

1,396

 

Abaxis, Inc.*

 

37,692

 

4,492

 

Affymetrix, Inc.*

 

18,687

 

692

 

Air Methods Corp.*

 

34,067

 

4,242

 

Align Technology, Inc.*

 

74,193

 

509

 

Almost Family, Inc.*

 

18,039

 

1,805

 

Amedisys, Inc.*

 

51,226

 

4,756

 

American Medical Systems Holdings, Inc.*

 

85,275

 

3,194

 

AMERIGROUP Corp.*

 

137,438

 

2,463

 

AMN Healthcare Services, Inc.*

 

13,793

 

1,959

 

Amsurg Corp.*

 

36,006

 

819

 

Analogic Corp.

 

38,059

 

2,332

 

Arqule, Inc.*

 

12,663

 

1,531

 

Bio-Reference Labs, Inc.*

 

32,105

 

1,857

 

Cambrex Corp.*

 

7,929

 

828

 

Cantel Medical Corp.

 

16,717

 

2,463

 

Catalyst Health Solutions, Inc.*

 

105,712

 

3,106

 

Centene Corp.*

 

72,215

 

1,450

 

Chemed Corp.

 

88,363

 

686

 

Computer Programs & Systems, Inc.

 

32,029

 

1,856

 

CONMED Corp.*

 

39,923

 

2,953

 

Cooper Cos., Inc. (The)

 

157,986

 

415

 

Corvel Corp.*

 

18,961

 

1,964

 

Cross Country Healthcare, Inc.*

 

15,084

 

1,824

 

CryoLife, Inc.*

 

10,287

 

3,690

 

Cubist Pharmaceuticals, Inc.*

 

80,110

 

1,514

 

Cyberonics, Inc.*

 

40,681

 

1,094

 

Dionex Corp.*

 

99,740

 

1,353

 

Emergent Biosolutions, Inc.*

 

24,787

 

817

 

Ensign Group, Inc. (The)

 

17,574

 

2,116

 

Enzo Biochem, Inc.*

 

9,310

 

2,680

 

eResearchTechnology, Inc.*

 

15,035

 

1,110

 

Genoptix, Inc.*

 

18,948

 

1,887

 

Gentiva Health Services, Inc.*

 

43,363

 

1,474

 

Greatbatch, Inc.*

 

32,295

 

1,543

 

Haemonetics Corp.*

 

90,713

 

2,020

 

Hanger Orthopedic Group, Inc.*

 

38,744

 

3,579

 

Healthspring, Inc.*

 

96,025

 

2,161

 

Healthways, Inc.*

 

20,854

 

636

 

Hi-Tech Pharmacal Co., Inc.*

 

15,124

 

1,718

 

HMS Holdings Corp.*

 

108,251

 

732

 

ICU Medical, Inc.*

 

26,828

 

1,323

 

Integra LifeSciences Holdings Corp.*

 

57,379

 

2,054

 

Invacare Corp.

 

55,437

 

1,016

 

IPC The Hospitalist Co., Inc.*

 

32,939

 

943

 

Kendle International, Inc.*

 

8,496

 

602

 

Kensey Nash Corp.*

 

16,338

 

594

 

Landauer, Inc.

 

38,972

 

1,181

 

LCA-Vision, Inc.*

 

6,118

 

970

 

LHC Group, Inc.*

 

25,657

 

2,112

 

Magellan Health Services, Inc.*

 

102,854

 

2,110

 

Martek Biosciences Corp.*

 

46,420

 

1,283

 

MedCath Corp.*

 

16,191

 

2,576

 

Meridian Bioscience, Inc.

 

57,239

 

1,786

 

Merit Medical Systems, Inc.*

 

27,219

 

1,044

 

Molina Healthcare, Inc.*

 

26,507

 

776

 

MWI Veterinary Supply, Inc.*

 

47,414

 

1,798

 

Natus Medical, Inc.*

 

23,122

 

1,426

 

Neogen Corp.*

 

52,976

 

2,057

 

Omnicell, Inc.*

 

27,564

 

1,173

 

Palomar Medical Technologies, Inc.*

 

14,604

 

2,219

 

Par Pharmaceutical Cos., Inc.*

 

79,729

 

3,699

 

Parexel International Corp.*

 

64,954

 

1,942

 

PharMerica Corp.*

 

21,090

 

3,532

 

PSS World Medical, Inc.*

 

72,759

 

1,208

 

Quality Systems, Inc.

 

77,904

 

4,526

 

Regeneron Pharmaceuticals, Inc.*

 

130,439

 

1,573

 

RehabCare Group, Inc.*

 

31,822

 

3,617

 

Salix Pharmaceuticals Ltd.*

 

161,499

 

4,278

 

Savient Pharmaceuticals, Inc.*

 

50,523

 

1,104

 

SurModics, Inc.*

 

10,212

 

2,278

 

Symmetry Medical, Inc.*

 

18,611

 

4,934

 

ViroPharma, Inc.*

 

76,230

 

2,108

 

West Pharmaceutical Services, Inc.

 

79,935

 

1,358

 

Zoll Medical Corp.*

 

45,384

 

 

 

 

 

3,537,368

 

 

 

Industrials - 10.7%

 

 

 

 

 

 

 

 

 

2,091

 

A. O. Smith Corp.

 

82,406

 

746

 

AAON, Inc.

 

19,135

 

2,470

 

AAR Corp.*

 

60,663

 

2,966

 

ABM Industries, Inc.

 

68,307

 

4,307

 

Actuant Corp., Class A

 

101,774

 

1,446

 

Administaff, Inc.

 

40,907

 

944

 

Aerovironment, Inc.*

 

23,317

 

1,750

 

Albany International Corp., Class A

 

36,925

 

973

 

Allegiant Travel Co.

 

48,582

 

570

 

American Science & Engineering, Inc.

 

45,953

 

1,771

 

Apogee Enterprises, Inc.

 

19,924

 

2,361

 

Applied Industrial Technologies, Inc.

 

70,547

 

844

 

Applied Signal Technology, Inc.

 

27,734

 

1,604

 

Arkansas Best Corp.

 

39,515

 

1,262

 

Astec Industries, Inc.*

 

37,797

 

789

 

AZZ, Inc.

 

29,406

 

951

 

Badger Meter, Inc.

 

40,341

 

2,851

 

Barnes Group, Inc.

 

54,426

 

2,962

 

Belden, Inc.

 

98,575

 

3,326

 

Brady Corp., Class A

 

102,873

 

3,168

 

Briggs & Stratton Corp.

 

55,155

 

582

 

Cascade Corp.

 

21,255

 

803

 

CDI Corp.

 

13,771

 

1,615

 

Ceradyne, Inc.*

 

42,668

 

1,082

 

CIRCOR International, Inc.

 

42,739

 

3,193

 

CLARCOR, Inc.

 

129,987

 

2,410

 

Comfort Systems USA, Inc.

 

26,871

 

634

 

Consolidated Graphics, Inc.*

 

30,153

 

988

 

Cubic Corp.

 

45,082

 

2,903

 

Curtiss-Wright Corp.

 

90,196

 

1,918

 

Dolan Co. (The)*

 

26,277

 

2,458

 

Dycom Industries, Inc.*

 

32,495

 

4,203

 

EMCOR Group, Inc.*

 

112,640

 

1,203

 

Encore Wire Corp.

 

27,404

 

1,303

 

EnPro Industries, Inc.*

 

47,755

 

1,675

 

ESCO Technologies, Inc.

 

58,759

 

1,902

 

Esterline Technologies Corp.*

 

111,990

 

878

 

Exponent, Inc.*

 

30,660

 

3,924

 

Federal Signal Corp.

 

25,153

 

1,836

 

Forward Air Corp.

 

50,527

 

1,176

 

G&K Services, Inc., Class A

 

32,622

 

3,667

 

GenCorp, Inc.*

 

18,005

 

4,107

 

Geo Group, Inc. (The)*

 

98,979

 

1,916

 

Gibraltar Industries, Inc.*

 

19,486

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,894

 

Griffon Corp.*

 

$

35,075

 

4,164

 

Healthcare Services Group, Inc.

 

66,332

 

3,177

 

Heartland Express, Inc.

 

49,085

 

1,106

 

Heidrick & Struggles International, Inc.

 

22,972

 

2,358

 

HUB Group, Inc., Class A*

 

76,942

 

1,587

 

II-VI, Inc.*

 

64,797

 

2,488

 

Insituform Technologies, Inc., Class A*

 

55,084

 

3,980

 

Interface, Inc., Class A

 

57,471

 

1,783

 

John Bean Technologies Corp.

 

32,896

 

1,643

 

Kaman Corp.

 

46,283

 

2,121

 

Kaydon Corp.

 

74,193

 

1,768

 

Kelly Services, Inc., Class A*

 

31,603

 

3,871

 

Knight Transportation, Inc.

 

74,633

 

255

 

Lawson Products, Inc.

 

5,128

 

791

 

Lindsay Corp.

 

46,701

 

1,081

 

Lydall, Inc.*

 

7,816

 

2,307

 

Mobile Mini, Inc.*

 

41,687

 

2,877

 

Moog, Inc., Class A*

 

106,046

 

2,386

 

Mueller Industries, Inc.

 

72,749

 

1,068

 

NCI Building Systems, Inc.*

 

11,118

 

2,659

 

Old Dominion Freight Line, Inc.*

 

76,792

 

2,308

 

On Assignment, Inc.*

 

15,856

 

3,649

 

Orbital Sciences Corp.*

 

59,479

 

1,704

 

Orion Marine Group, Inc.*

 

22,902

 

556

 

Powell Industries, Inc.*

 

19,560

 

2,403

 

Quanex Building Products Corp.

 

39,746

 

2,088

 

Robbins & Myers, Inc.

 

64,749

 

1,016

 

School Specialty, Inc.*

 

12,832

 

3,277

 

SFN Group, Inc.*

 

28,084

 

2,475

 

Simpson Manufacturing Co., Inc.

 

64,028

 

3,541

 

Skywest, Inc.

 

57,329

 

807

 

Standard Register Co. (The)

 

2,397

 

790

 

Standex International Corp.

 

23,621

 

2,581

 

SYKES Enterprises, Inc.*

 

47,490

 

2,295

 

Teledyne Technologies, Inc.*

 

92,305

 

3,911

 

Tetra Tech, Inc.*

 

90,383

 

1,960

 

Toro Co. (The)

 

114,092

 

1,435

 

Tredegar Corp.

 

26,734

 

1,041

 

Triumph Group, Inc.

 

87,579

 

2,794

 

TrueBlue, Inc.*

 

46,045

 

918

 

Unifirst Corp.

 

47,066

 

1,463

 

United Stationers, Inc.*

 

92,857

 

1,227

 

Universal Forest Products, Inc.

 

40,098

 

1,301

 

Viad Corp.

 

30,899

 

1,243

 

Vicor Corp.

 

20,858

 

771

 

Volt Information Sciences, Inc.*

 

5,150

 

1,823

 

Watts Water Technologies, Inc., Class A

 

59,339

 

 

 

 

 

4,506,617

 

 

 

Information Technology - 13.7%

 

 

 

 

 

 

 

 

 

2,409

 

Advanced Energy Industries, Inc.*

 

28,137

 

1,285

 

Agilysys, Inc.*

 

6,592

 

1,754

 

Anixter International, Inc.

 

97,996

 

7,833

 

Arris Group, Inc.*

 

78,408

 

1,994

 

ATMI, Inc.*

 

35,792

 

1,831

 

Avid Technology, Inc.*

 

28,527

 

736

 

Bel Fuse, Inc., Class B

 

16,523

 

3,894

 

Benchmark Electronics, Inc.*

 

62,577

 

1,112

 

Black Box Corp.

 

39,843

 

2,741

 

Blackbaud, Inc.

 

69,375

 

2,700

 

Blue Coat Systems, Inc.*

 

71,820

 

1,984

 

Bottomline Technologies, Inc.*

 

37,557

 

4,477

 

Brightpoint, Inc.*

 

36,711

 

4,111

 

Brooks Automation, Inc.*

 

29,805

 

1,458

 

Cabot Microelectronics Corp.*

 

57,547

 

1,914

 

CACI International, Inc., Class A*

 

96,332

 

1,321

 

CEVA, Inc.*

 

30,647

 

2,502

 

Checkpoint Systems, Inc.*

 

44,886

 

4,382

 

Ciber, Inc.*

 

14,724

 

2,515

 

Cognex Corp.

 

70,319

 

1,492

 

Cohu, Inc.

 

21,604

 

2,736

 

CommVault Systems, Inc.*

 

79,700

 

1,443

 

Compellent Technologies, Inc.*

 

37,518

 

1,579

 

comScore, Inc.*

 

34,738

 

1,793

 

Comtech Telecommunications Corp.

 

53,180

 

2,826

 

Concur Technologies, Inc.*

 

144,719

 

2,159

 

CSG Systems International, Inc.*

 

40,632

 

2,151

 

CTS Corp.

 

22,134

 

1,847

 

Cymer, Inc.*

 

70,315

 

10,019

 

Cypress Semiconductor Corp.*

 

156,998

 

2,175

 

Daktronics, Inc.

 

29,319

 

2,552

 

DealerTrack Holdings, Inc.*

 

48,743

 

1,572

 

DG FastChannel, Inc.*

 

39,662

 

1,579

 

Digi International, Inc.*

 

15,158

 

2,248

 

Diodes, Inc.*

 

55,526

 

1,464

 

DSP Group, Inc.*

 

11,200

 

1,073

 

DTS, Inc.*

 

50,367

 

2,166

 

Ebix, Inc.*

 

44,945

 

1,487

 

Electro Scientific Industries, Inc.*

 

22,216

 

971

 

EMS Technologies, Inc.*

 

18,051

 

2,891

 

Epicor Software Corp.*

 

27,060

 

2,124

 

EPIQ Systems, Inc.

 

27,060

 

2,769

 

Exar Corp.*

 

18,552

 

1,022

 

FARO Technologies, Inc.*

 

26,541

 

2,406

 

FEI Co.*

 

57,263

 

947

 

Forrester Research, Inc.*

 

32,814

 

1,594

 

Gerber Scientific, Inc.*

 

11,541

 

6,133

 

Harmonic, Inc.*

 

41,459

 

2,393

 

Heartland Payment Systems, Inc.

 

37,785

 

1,527

 

Hittite Microwave Corp.*

 

87,405

 

1,482

 

Hutchinson Technology, Inc.*

 

4,594

 

1,821

 

iGate Corp.

 

36,420

 

2,269

 

Infospace, Inc.*

 

17,517

 

2,930

 

Insight Enterprises, Inc.*

 

36,947

 

1,109

 

Integral Systems, Inc.*

 

10,114

 

814

 

Interactive Intelligence, Inc.*

 

22,011

 

3,133

 

Intermec, Inc.*

 

35,434

 

1,409

 

Intevac, Inc.*

 

18,740

 

2,851

 

j2 Global Communications, Inc.*

 

76,350

 

2,615

 

JDA Software Group, Inc.*

 

69,049

 

868

 

Keithley Instruments, Inc.

 

18,723

 

1,899

 

Knot, Inc. (The)*

 

17,756

 

4,221

 

Kopin Corp.*

 

16,968

 

4,438

 

Kulicke & Soffa Industries, Inc.*

 

29,424

 

1,080

 

Liquidity Services, Inc.*

 

16,708

 

1,385

 

Littelfuse, Inc.

 

64,084

 

1,025

 

LogMeIn, Inc.*

 

44,885

 

1,160

 

LoJack Corp.*

 

5,719

 

1,380

 

Manhattan Associates, Inc.*

 

42,904

 

1,083

 

MAXIMUS, Inc.

 

65,738

 

1,499

 

Mercury Computer Systems, Inc.*

 

26,697

 

2,369

 

Methode Electronics, Inc.

 

24,188

 

3,159

 

Micrel, Inc.

 

39,108

 

5,260

 

Microsemi Corp.*

 

116,456

 

549

 

MicroStrategy, Inc., Class A*

 

47,516

 

3,174

 

MKS Instruments, Inc.*

 

64,654

 

2,288

 

Monolithic Power Systems, Inc.*

 

36,905

 

1,040

 

MTS Systems Corp.

 

39,853

 

495

 

NCI, Inc., Class A*

 

10,875

 

2,228

 

Netgear, Inc.*

 

70,806

 

2,234

 

Netscout Systems, Inc.*

 

49,349

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,904

 

Network Equipment Technologies, Inc.*

 

$

7,730

 

2,323

 

Newport Corp.*

 

33,753

 

1,975

 

Novatel Wireless, Inc.*

 

19,375

 

1,320

 

Oplink Communications, Inc.*

 

22,823

 

1,152

 

OSI Systems, Inc.*

 

40,170

 

1,303

 

Park Electrochemical Corp.

 

35,702

 

1,212

 

PC-Tel, Inc.*

 

7,611

 

1,957

 

Perficient, Inc.*

 

22,075

 

1,613

 

Pericom Semiconductor Corp.*

 

16,114

 

2,557

 

Plexus Corp.*

 

69,384

 

1,753

 

Power Integrations, Inc.

 

70,628

 

2,709

 

Progress Software Corp.*

 

104,486

 

2,610

 

Pulse Electronics Corp.

 

10,701

 

2,018

 

Radiant Systems, Inc.*

 

36,425

 

1,525

 

Radisys Corp.*

 

13,771

 

1,471

 

RightNow Technologies, Inc.*

 

37,260

 

1,781

 

Rofin-Sinar Technologies, Inc.*

 

51,133

 

998

 

Rogers Corp.*

 

32,924

 

1,976

 

Rudolph Technologies, Inc.*

 

14,741

 

1,705

 

ScanSource, Inc.*

 

49,735

 

1,696

 

Sigma Designs, Inc.*

 

20,352

 

1,940

 

Smith Micro Software, Inc.*

 

28,984

 

3,009

 

Sonic Solutions, Inc.*

 

30,030

 

1,735

 

Sourcefire, Inc.*

 

47,071

 

740

 

Stamps.com, Inc.

 

9,738

 

1,418

 

Standard Microsystems Corp.*

 

38,641

 

756

 

StarTek, Inc.*

 

3,228

 

1,298

 

Stratasys, Inc.*

 

43,898

 

1,551

 

Super Micro Computer, Inc.*

 

15,975

 

820

 

Supertex, Inc.*

 

20,508

 

2,780

 

Symmetricom, Inc.*

 

18,487

 

2,156

 

Synaptics, Inc.*

 

61,446

 

1,516

 

Synchronoss Technologies, Inc.*

 

39,401

 

1,470

 

SYNNEX Corp.*

 

42,130

 

5,352

 

Take-Two Interactive Software, Inc.*

 

59,220

 

2,505

 

Taleo Corp., Class A*

 

76,904

 

4,327

 

Tekelec*

 

53,438

 

1,846

 

TeleTech Holdings, Inc.*

 

35,000

 

3,183

 

Tessera Technologies, Inc.*

 

63,374

 

4,295

 

THQ, Inc.*

 

21,905

 

653

 

Tollgrade Communications, Inc.*

 

5,590

 

9,831

 

TriQuint Semiconductor, Inc.*

 

117,087

 

2,741

 

TTM Technologies, Inc.*

 

36,332

 

1,601

 

Tyler Technologies, Inc.*

 

32,676

 

1,514

 

Ultratech, Inc.*

 

27,812

 

5,518

 

United Online, Inc.

 

35,122

 

4,725

 

Varian Semiconductor Equipment Associates, Inc.*

 

148,979

 

2,557

 

Veeco Instruments, Inc.*

 

112,457

 

2,536

 

Viasat, Inc.*

 

104,889

 

1,704

 

Volterra Semiconductor Corp.*

 

38,374

 

2,658

 

Websense, Inc.*

 

55,100

 

2,394

 

Wright Express Corp.*

 

103,110

 

 

 

 

 

5,738,614

 

 

 

Materials - 3.0%

 

 

 

 

 

 

 

 

 

1,997

 

A. Schulman, Inc.

 

40,439

 

1,061

 

A.M. Castle & Co.*

 

16,063

 

1,588

 

AMCOL International Corp.

 

44,353

 

1,306

 

American Vanguard Corp.

 

8,907

 

1,591

 

Arch Chemicals, Inc.

 

55,239

 

1,784

 

Balchem Corp.

 

55,233

 

1,285

 

Brush Engineered Materials, Inc.*

 

45,232

 

2,485

 

Buckeye Technologies, Inc.

 

49,501

 

3,523

 

Calgon Carbon Corp.*

 

49,216

 

3,539

 

Century Aluminum Co.*

 

48,997

 

728

 

Clearwater Paper Corp.*

 

58,604

 

683

 

Deltic Timber Corp.

 

35,523

 

2,778

 

Eagle Materials, Inc.

 

69,061

 

3,101

 

H.B. Fuller Co.

 

65,028

 

3,833

 

Headwaters, Inc.*

 

14,910

 

925

 

Kaiser Aluminum Corp.

 

43,382

 

2,422

 

KapStone Paper and Packaging Corp.*

 

35,652

 

1,018

 

LSB Industries, Inc.*

 

23,475

 

2,211

 

Myers Industries, Inc.

 

21,226

 

930

 

Neenah Paper, Inc.

 

17,131

 

570

 

Olympic Steel, Inc.

 

11,993

 

1,958

 

OM Group, Inc.*

 

73,621

 

722

 

Penford Corp.*

 

4,310

 

5,874

 

PolyOne Corp.*

 

73,190

 

704

 

Quaker Chemical Corp.

 

26,738

 

1,907

 

RTI International Metals, Inc.*

 

54,102

 

1,165

 

Schweitzer-Mauduit International, Inc.

 

73,174

 

487

 

Stepan Co.

 

34,358

 

1,760

 

Texas Industries, Inc.

 

66,317

 

3,108

 

Wausau Paper Corp.

 

23,963

 

1,375

 

Zep, Inc.

 

24,956

 

 

 

 

 

1,263,894

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

572

 

Atlantic Tele-Network, Inc.

 

19,614

 

1,928

 

Cbeyond, Inc.*

 

25,411

 

2,489

 

General Communication, Inc., Class A*

 

28,051

 

2,093

 

Neutral Tandem, Inc.*

 

30,076

 

1,905

 

NTELOS Holdings Corp.

 

32,347

 

1,404

 

USA Mobility, Inc.

 

23,896

 

 

 

 

 

159,395

 

 

 

Utilities - 2.7%

 

 

 

 

 

 

 

 

 

1,944

 

Allete, Inc.

 

68,682

 

1,176

 

American States Water Co.

 

43,018

 

3,463

 

Avista Corp.

 

74,004

 

783

 

Central Vermont Public Service Corp.

 

15,817

 

1,001

 

CH Energy Group, Inc.

 

46,687

 

2,779

 

El Paso Electric Co.*

 

73,199

 

1,413

 

Laclede Group, Inc. (The)

 

49,949

 

2,620

 

New Jersey Resources Corp.

 

112,948

 

1,684

 

Northwest Natural Gas Co.

 

82,213

 

2,294

 

NorthWestern Corp.

 

66,090

 

4,511

 

Piedmont Natural Gas Co., Inc.

 

133,435

 

1,893

 

South Jersey Industries, Inc.

 

96,903

 

2,874

 

Southwest Gas Corp.

 

100,676

 

3,209

 

UIL Holdings Corp.

 

94,248

 

2,274

 

UniSource Energy Corp.

 

79,977

 

 

 

 

 

1,137,846

 

 

 

Total Common Stocks
(Cost $26,928,136)

 

28,680,017

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 6.0%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

844,102

 

0.07%, due 12/01/10

 

844,102

 

1,662,215

 

0.09%, due 12/06/10

 

1,662,215

 

 

 

Total U.S. Government & Agency Securities (Cost $2,506,317)

 

2,506,317

 

 

See accompanying notes to the financial statements.

 


 

 

Principal
Amount

 

 

 

Value

 

 

 

Repurchase Agreements (a)(b) - 13.8%

 

 

 

$

5,777,444

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $5,777,522

 

$

5,777,444

 

 

 

Total Repurchase Agreements
(Cost $5,777,444)

 

5,777,444

 

 

 

Total Investment Securities
(Cost $35,211,897) — 88.1%

 

36,963,778

 

 

 

Other assets less liabilities — 11.9%

 

4,989,390

 

 

 

Net Assets — 100.0%

 

$

41,953,168

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $5,366,876.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

3,751,588

 

Aggregate gross unrealized depreciation

 

(4,482,421

)

Net unrealized depreciation

 

$

(730,833

)

Federal income tax cost of investments

 

$

37,694,611

 

 

Futures Contracts Purchased

Ultra SmallCap600 had the following open long futures contracts as of November 30, 2010:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P SmallCap 600 Futures Contracts

 

25

 

12/17/10

 

$

964,750

 

$

117,453

 

 

Cash collateral in the amount of $91,515 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

 

Swap Agreements

Ultra SmallCap600 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse International, based on the S&P SmallCap 600™ Index

 

$

 24,932,586

 

$

 3,666,338

 

 

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P SmallCap 600™ Index

 

3,065,789

 

306,151

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P SmallCap 600™ Index

 

4,459,650

 

(308,953

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the S&P SmallCap 600™ Index

 

2,131,083

 

313,871

 

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P SmallCap 600™ Index

 

8,261,606

 

(97,169

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P SmallCap 600™ Index

 

11,429,374

 

1,100,264

 

 

 

 

 

 

 

 

 

 

 

$

4,980,502

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell2000

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 52.7%

 

 

 

 

 

Consumer Discretionary - 7.4%

 

 

 

 

 

 

 

 

 

2,587

 

1-800-Flowers.com, Inc., Class A*

 

$

5,148

 

4,576

 

99 Cents Only Stores*

 

71,889

 

1,789

 

A.H. Belo Corp., Class A*

 

15,743

 

2,547

 

AFC Enterprises, Inc.*

 

33,824

 

1,901

 

Ambassadors Group, Inc.

 

20,930

 

3,286

 

American Apparel, Inc.*

 

4,600

 

5,975

 

American Axle & Manufacturing Holdings, Inc.*

 

64,171

 

3,936

 

American Greetings Corp., Class A

 

78,996

 

1,828

 

American Public Education, Inc.*

 

62,463

 

936

 

America’s Car-Mart, Inc.*

 

23,746

 

2,149

 

Amerigon, Inc.*

 

22,565

 

2,631

 

Ameristar Casinos, Inc.

 

46,990

 

5,854

 

AnnTaylor Stores Corp.*

 

157,531

 

2,651

 

Arbitron, Inc.

 

77,462

 

1,207

 

Arctic Cat, Inc.*

 

17,996

 

2,891

 

Asbury Automotive Group, Inc.*

 

45,504

 

1,420

 

Ascent Media Corp., Class A*

 

43,892

 

1,724

 

Audiovox Corp., Class A*

 

11,809

 

1,413

 

Ballantyne Strong, Inc.*

 

9,693

 

3,837

 

Barnes & Noble, Inc.

 

53,795

 

435

 

Beasley Broadcasting Group, Inc., Class A*

 

1,757

 

7,432

 

Beazer Homes USA, Inc.*

 

30,917

 

3,259

 

bebe stores, inc.

 

20,988

 

9,077

 

Belo Corp., Class A*

 

52,647

 

2,168

 

Big 5 Sporting Goods Corp.

 

29,918

 

140

 

Biglari Holdings, Inc.*

 

54,362

 

2,237

 

BJ’s Restaurants, Inc.*

 

81,986

 

1,258

 

Blue Nile, Inc.*

 

62,208

 

1,429

 

Bluegreen Corp.*

 

4,130

 

537

 

Blyth, Inc.

 

23,939

 

3,032

 

Bob Evans Farms, Inc.

 

94,416

 

1,171

 

Bon-Ton Stores, Inc. (The)*

 

15,715

 

705

 

Books-A-Million, Inc.

 

4,491

 

4,951

 

Borders Group, Inc.*

 

5,298

 

5,368

 

Boyd Gaming Corp.*

 

47,990

 

1,942

 

Bridgepoint Education, Inc.*

 

29,713

 

946

 

Brookfield Homes Corp.*

 

8,344

 

4,321

 

Brown Shoe Co., Inc.

 

61,445

 

8,812

 

Brunswick Corp.

 

140,551

 

2,600

 

Buckle, Inc. (The)

 

99,190

 

1,808

 

Buffalo Wild Wings, Inc.*

 

87,670

 

1,716

 

Build-A-Bear Workshop, Inc.*

 

10,639

 

4,002

 

Cabela’s, Inc.*

 

89,044

 

1,922

 

California Pizza Kitchen, Inc.*

 

32,501

 

6,410

 

Callaway Golf Co.

 

49,101

 

1,651

 

Cambium Learning Group, Inc.*

 

4,920

 

1,668

 

Capella Education Co.*

 

91,390

 

723

 

Caribou Coffee Co., Inc.*

 

7,910

 

1,008

 

Carmike Cinemas, Inc.*

 

8,457

 

1,235

 

Carrols Restaurant Group, Inc.*

 

8,756

 

5,911

 

Carter’s, Inc.*

 

187,142

 

4,147

 

Casual Male Retail Group, Inc.*

 

19,906

 

2,773

 

Cato Corp. (The), Class A

 

79,169

 

653

 

Cavco Industries, Inc.*

 

23,808

 

2,185

 

CEC Entertainment, Inc.*

 

81,981

 

11,533

 

Charming Shoppes, Inc.*

 

43,883

 

6,014

 

Cheesecake Factory, Inc. (The)*

 

191,666

 

769

 

Cherokee, Inc.

 

15,149

 

2,761

 

Children’s Place Retail Stores, Inc. (The)*

 

143,324

 

3,564

 

Christopher & Banks Corp.

 

18,996

 

1,134

 

Churchill Downs, Inc.

 

44,895

 

5,668

 

Cinemark Holdings, Inc.

 

99,473

 

1,476

 

Citi Trends, Inc.*

 

34,966

 

5,531

 

CKX, Inc.*

 

22,843

 

3,156

 

Coinstar, Inc.*

 

203,373

 

6,014

 

Coldwater Creek, Inc.*

 

20,327

 

6,449

 

Collective Brands, Inc.*

 

108,924

 

1,139

 

Columbia Sportswear Co.

 

63,374

 

977

 

Conn’s, Inc.*

 

3,126

 

6,097

 

Cooper Tire & Rubber Co.

 

127,366

 

1,063

 

Core-Mark Holding Co., Inc.*

 

38,481

 

8,772

 

Corinthian Colleges, Inc.*

 

36,228

 

521

 

CPI Corp.

 

14,828

 

2,373

 

Cracker Barrel Old Country Store, Inc.

 

124,962

 

8,541

 

CROCS, Inc.*

 

149,852

 

2,497

 

Crown Media Holdings, Inc., Class A*

 

6,567

 

744

 

CSS Industries, Inc.

 

13,593

 

880

 

Culp, Inc.*

 

9,064

 

2,171

 

Cumulus Media, Inc., Class A*

 

7,707

 

13,933

 

Dana Holding Corp.*

 

210,528

 

3,852

 

Deckers Outdoor Corp.*

 

296,219

 

594

 

Delta Apparel, Inc.*

 

7,395

 

9,881

 

Denny’s Corp.*

 

36,164

 

499

 

Destination Maternity Corp.*

 

19,102

 

4,980

 

Dex One Corp.*

 

23,655

 

4,314

 

Dillard’s, Inc., Class A

 

134,511

 

1,781

 

DineEquity, Inc.*

 

95,141

 

3,681

 

Domino’s Pizza, Inc.*

 

54,368

 

1,128

 

Dorman Products, Inc.*

 

44,567

 

5,913

 

Dress Barn, Inc. (The)*

 

146,051

 

1,897

 

Drew Industries, Inc.*

 

38,319

 

9,240

 

Drugstore.com, Inc.*

 

15,893

 

1,408

 

DSW, Inc., Class A*

 

55,053

 

3,148

 

E.W. Scripps Co. (The), Class A*

 

28,426

 

26,749

 

Eastman Kodak Co.*

 

125,988

 

555

 

Einstein Noah Restaurant Group, Inc.*

 

7,093

 

2,525

 

Empire Resorts, Inc.*

 

2,601

 

2,344

 

Entercom Communications Corp., Class A*

 

20,369

 

4,835

 

Entravision Communications Corp., Class A*

 

12,039

 

2,456

 

Ethan Allen Interiors, Inc.

 

40,499

 

7,523

 

Exide Technologies*

 

61,538

 

1,589

 

Express, Inc.*

 

23,962

 

5,061

 

Finish Line (The), Class A

 

90,339

 

650

 

Fisher Communications, Inc.*

 

13,032

 

3,910

 

Fred’s, Inc., Class A

 

50,009

 

1,423

 

Fuel Systems Solutions, Inc.*

 

49,179

 

4,662

 

Furniture Brands International, Inc.*

 

20,559

 

1,536

 

G-III Apparel Group Ltd.*

 

42,040

 

1,585

 

Gaiam, Inc., Class A

 

11,919

 

3,452

 

Gaylord Entertainment Co.*

 

118,507

 

2,393

 

Genesco, Inc.*

 

92,035

 

2,304

 

Global Sources Ltd.*

 

20,851

 

535

 

Gordmans Stores, Inc.*

 

6,827

 

3,085

 

Grand Canyon Education, Inc.*

 

58,738

 

4,825

 

Gray Television, Inc.*

 

9,602

 

2,443

 

Group 1 Automotive, Inc.

 

94,617

 

3,858

 

Harte-Hanks, Inc.

 

47,994

 

1,813

 

Haverty Furniture Cos., Inc.

 

21,774

 

3,053

 

Helen of Troy Ltd.*

 

72,112

 

1,309

 

hhgregg, Inc.*

 

32,817

 

2,865

 

Hibbett Sports, Inc.*

 

98,126

 

1,072

 

Hooker Furniture Corp.

 

12,189

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4,428

 

HOT Topic, Inc.

 

$

27,144

 

5,188

 

Hovnanian Enterprises, Inc., Class A*

 

19,247

 

3,869

 

HSN, Inc.*

 

109,686

 

7,188

 

Iconix Brand Group, Inc.*

 

134,272

 

3,963

 

Interval Leisure Group, Inc.*

 

65,667

 

2,094

 

iRobot Corp.*

 

42,508

 

1,563

 

Isle of Capri Casinos, Inc.*

 

13,739

 

5,478

 

Jack in the Box, Inc.*

 

110,190

 

2,779

 

Jakks Pacific, Inc.*

 

53,496

 

5,915

 

Jamba, Inc.*

 

11,948

 

2,725

 

Jo-Ann Stores, Inc.*

 

131,999

 

4,229

 

Joe’s Jeans, Inc.*

 

6,724

 

433

 

Johnson Outdoors, Inc., Class A*

 

5,607

 

8,677

 

Jones Group, Inc. (The)

 

117,487

 

2,742

 

JoS. A. Bank Clothiers, Inc.*

 

123,500

 

4,179

 

Journal Communications, Inc., Class A*

 

18,973

 

2,502

 

K12, Inc.*

 

64,151

 

758

 

Kenneth Cole Productions, Inc., Class A*

 

10,256

 

1,251

 

Kid Brands, Inc.*

 

11,772

 

1,663

 

Kirkland’s, Inc.*

 

19,873

 

3,036

 

Knology, Inc.*

 

46,724

 

5,813

 

Krispy Kreme Doughnuts, Inc.*

 

34,820

 

2,608

 

K-Swiss, Inc., Class A*

 

32,652

 

465

 

Lacrosse Footwear, Inc.

 

7,170

 

5,131

 

La-Z-Boy, Inc.*

 

38,636

 

3,364

 

Leapfrog Enterprises, Inc.*

 

19,108

 

614

 

Learning Tree International, Inc.

 

6,091

 

4,470

 

Lee Enterprises, Inc.*

 

8,582

 

1,610

 

Libbey, Inc.*

 

23,297

 

4,154

 

Life Time Fitness, Inc.*

 

163,834

 

921

 

Lifetime Brands, Inc.*

 

13,576

 

2,862

 

LIN TV Corp., Class A*

 

12,965

 

1,635

 

Lincoln Educational Services Corp.*

 

23,969

 

6,762

 

Lions Gate Entertainment Corp.*

 

48,754

 

2,156

 

Lithia Motors, Inc., Class A

 

27,942

 

14,009

 

Live Nation Entertainment, Inc.*

 

150,737

 

9,406

 

Liz Claiborne, Inc.*

 

68,758

 

2,495

 

LodgeNet Interactive Corp.*

 

7,734

 

2,214

 

Lumber Liquidators Holdings, Inc.*

 

52,118

 

1,844

 

M/I Homes, Inc.*

 

21,261

 

1,163

 

Mac-Gray Corp.

 

16,270

 

2,281

 

Maidenform Brands, Inc.*

 

62,591

 

2,025

 

Marcus Corp.

 

26,244

 

988

 

Marine Products Corp.*

 

6,303

 

2,195

 

MarineMax, Inc.*

 

16,748

 

2,643

 

Martha Stewart Living Omnimedia, Class A*

 

12,528

 

3,008

 

Matthews International Corp., Class A

 

97,700

 

5,935

 

McClatchy Co. (The), Class A*

 

18,755

 

1,478

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

12,918

 

2,193

 

Media General, Inc., Class A*

 

9,342

 

3,983

 

Mediacom Communications Corp., Class A*

 

33,656

 

5,238

 

Men’s Wearhouse, Inc. (The)

 

149,388

 

3,192

 

Meritage Homes Corp.*

 

60,552

 

1,421

 

Midas, Inc.*

 

11,084

 

4,605

 

Modine Manufacturing Co.*

 

63,825

 

879

 

Monarch Casino & Resort, Inc.*

 

10,557

 

1,977

 

Monro Muffler Brake, Inc.

 

97,743

 

2,151

 

Morgans Hotel Group Co.*

 

16,434

 

1,546

 

Movado Group, Inc.*

 

18,552

 

2,732

 

Multimedia Games, Inc.*

 

11,802

 

779

 

National American University Holdings, Inc.

 

5,344

 

5,275

 

National CineMedia, Inc.

 

98,431

 

477

 

National Presto Industries, Inc.

 

55,380

 

2,505

 

New York & Co., Inc.*

 

8,642

 

1,062

 

Nexstar Broadcasting Group, Inc., Class A*

 

5,735

 

2,676

 

NutriSystem, Inc.

 

55,313

 

1,786

 

O’Charleys, Inc.*

 

12,359

 

8,442

 

OfficeMax, Inc.*

 

144,274

 

1,964

 

Orbitz Worldwide, Inc.*

 

10,723

 

9,036

 

Orient-Express Hotels Ltd., Class A*

 

104,547

 

1,171

 

Outdoor Channel Holdings, Inc.*

 

7,611

 

1,466

 

Overstock.com, Inc.*

 

22,606

 

1,377

 

Oxford Industries, Inc.

 

34,012

 

2,302

 

P.F. Chang’s China Bistro, Inc.

 

116,343

 

6,613

 

Pacific Sunwear of California, Inc.*

 

41,596

 

2,078

 

Papa John’s International, Inc.*

 

53,218

 

1,168

 

Peet’s Coffee & Tea, Inc.*

 

44,536

 

4,402

 

Penske Automotive Group, Inc.*

 

66,426

 

5,223

 

PEP Boys-Manny Moe & Jack

 

64,713

 

1,001

 

Perry Ellis International, Inc.*

 

27,237

 

2,289

 

PetMed Express, Inc.

 

40,584

 

10,406

 

Pier 1 Imports, Inc.*

 

101,563

 

6,029

 

Pinnacle Entertainment, Inc.*

 

80,306

 

2,141

 

Playboy Enterprises, Inc., Class B*

 

10,448

 

3,100

 

Polaris Industries, Inc.

 

225,339

 

4,932

 

Pool Corp.

 

104,509

 

746

 

Pre-Paid Legal Services, Inc.*

 

48,251

 

1,661

 

PRIMEDIA, Inc.

 

8,355

 

1,857

 

Princeton Review, Inc.*

 

1,764

 

12,900

 

Quiksilver, Inc.*

 

55,470

 

840

 

R.G. Barry Corp.

 

9,660

 

3,118

 

Radio One, Inc., Class D*

 

3,367

 

2,144

 

RC2 Corp.*

 

47,490

 

478

 

ReachLocal, Inc.*

 

8,241

 

1,201

 

Red Lion Hotels Corp.*

 

9,212

 

1,552

 

Red Robin Gourmet Burgers, Inc.*

 

28,759

 

5,716

 

Regis Corp.

 

101,859

 

6,553

 

Rent-A-Center, Inc.

 

182,436

 

933

 

Rentrak Corp.*

 

24,631

 

2,301

 

Retail Ventures, Inc.*

 

37,736

 

6,421

 

Ruby Tuesday, Inc.*

 

82,125

 

1,464

 

Rue21, Inc.*

 

43,935

 

2,985

 

Ruth’s Hospitality Group, Inc.*

 

14,746

 

4,388

 

Ryland Group, Inc.

 

63,977

 

13,475

 

Saks, Inc.*

 

150,111

 

9,385

 

Sally Beauty Holdings, Inc.*

 

129,044

 

3,036

 

Scholastic Corp.

 

85,312

 

6,471

 

Scientific Games Corp., Class A*

 

52,092

 

4,782

 

Sealy Corp.*

 

14,442

 

5,436

 

Select Comfort Corp.*

 

47,782

 

518

 

Shiloh Industries, Inc.*

 

5,765

 

909

 

Shoe Carnival, Inc.*

 

25,216

 

5,334

 

Shuffle Master, Inc.*

 

57,234

 

2,672

 

Shutterfly, Inc.*

 

88,176

 

4,503

 

Sinclair Broadcast Group, Inc., Class A

 

34,898

 

3,444

 

Skechers U.S.A., Inc., Class A*

 

79,522

 

682

 

Skyline Corp.

 

12,944

 

5,950

 

Smith & Wesson Holding Corp.*

 

22,848

 

3,970

 

Sonic Automotive, Inc., Class A*

 

49,149

 

6,089

 

Sonic Corp.*

 

56,993

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

6,676

 

Sotheby’s

 

$

267,774

 

3,272

 

Spartan Motors, Inc.

 

17,309

 

1,235

 

Speedway Motorsports, Inc.

 

18,192

 

3,854

 

Stage Stores, Inc.

 

58,311

 

1,951

 

Standard Motor Products, Inc.

 

24,544

 

10,640

 

Standard Pacific Corp.*

 

37,878

 

2,688

 

Stein Mart, Inc.*

 

26,611

 

1,476

 

Steiner Leisure Ltd.*

 

59,365

 

567

 

Steinway Musical Instruments, Inc.*

 

9,781

 

2,441

 

Steven Madden Ltd.*

 

110,455

 

8,103

 

Stewart Enterprises, Inc., Class A

 

45,944

 

1,522

 

Stoneridge, Inc.*

 

19,786

 

1,906

 

Sturm Ruger & Co., Inc.

 

30,496

 

1,072

 

Summer Infant, Inc.*

 

7,729

 

2,304

 

Superior Industries International, Inc.

 

44,790

 

1,274

 

SuperMedia, Inc.*

 

5,758

 

1,072

 

Systemax, Inc.*

 

13,915

 

6,991

 

Talbots, Inc.*

 

80,396

 

5,949

 

Tenneco, Inc.*

 

216,901

 

5,714

 

Texas Roadhouse, Inc.*

 

97,652

 

4,117

 

Timberland Co. (The), Class A*

 

102,019

 

2,531

 

True Religion Apparel, Inc.*

 

56,770

 

2,938

 

Tuesday Morning Corp.*

 

15,278

 

1,302

 

U.S. Auto Parts Network, Inc.*

 

10,403

 

3,126

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

109,254

 

3,505

 

Under Armour, Inc., Class A*

 

202,344

 

1,362

 

Unifi, Inc.*

 

19,363

 

1,358

 

Universal Electronics, Inc.*

 

37,318

 

2,097

 

Universal Technical Institute, Inc.

 

43,429

 

3,609

 

Vail Resorts, Inc.*

 

163,416

 

4,960

 

Valassis Communications, Inc.*

 

161,448

 

136

 

Value Line, Inc.

 

1,958

 

1,428

 

Vitacost.com, Inc.*

 

8,854

 

1,586

 

Vitamin Shoppe, Inc.*

 

46,803

 

1,922

 

Volcom, Inc.

 

34,596

 

4,423

 

Warnaco Group, Inc. (The)*

 

238,179

 

4,452

 

Warner Music Group Corp.*

 

21,459

 

1,446

 

West Marine, Inc.*

 

13,838

 

524

 

Westwood One, Inc.*

 

4,941

 

10,119

 

Wet Seal, Inc. (The), Class A*

 

33,089

 

705

 

Weyco Group, Inc.

 

17,068

 

238

 

Winmark Corp.

 

7,652

 

2,898

 

Winnebago Industries, Inc.*

 

30,371

 

4,938

 

Wolverine World Wide, Inc.

 

154,312

 

2,400

 

World Wrestling Entertainment, Inc., Class A

 

33,648

 

2,046

 

Zumiez, Inc.*

 

65,083

 

 

 

 

 

15,238,636

 

 

 

Consumer Staples - 1.6%

 

 

 

 

 

 

 

 

 

354

 

Alico, Inc.

 

8,195

 

8,870

 

Alliance One International, Inc.*

 

34,416

 

1,830

 

Andersons, Inc. (The)

 

59,146

 

119

 

Arden Group, Inc., Class A

 

9,639

 

4,742

 

B&G Foods, Inc.

 

60,603

 

863

 

Boston Beer Co., Inc., Class A*

 

70,490

 

180

 

Bridgford Foods Corp.

 

2,286

 

1,095

 

Calavo Growers, Inc.

 

25,284

 

1,401

 

Cal-Maine Foods, Inc.

 

42,955

 

3,768

 

Casey’s General Stores, Inc.

 

149,759

 

824

 

Cellu Tissue Holdings, Inc.*

 

9,822

 

5,635

 

Central Garden and Pet Co., Class A*

 

52,631

 

4,471

 

Chiquita Brands International, Inc.*

 

49,986

 

422

 

Coca-Cola Bottling Co. Consolidated

 

24,687

 

8,206

 

Darling International, Inc.*

 

95,025

 

2,172

 

Diamond Foods, Inc.

 

101,085

 

3,576

 

Dole Food Co., Inc.*

 

33,865

 

2,419

 

Elizabeth Arden, Inc.*

 

51,549

 

671

 

Farmer Bros Co.

 

11,689

 

1,777

 

Female Health Co. (The)

 

10,147

 

3,946

 

Fresh Del Monte Produce, Inc.

 

86,654

 

3,178

 

Great Atlantic & Pacific Tea Co.*

 

9,534

 

237

 

Griffin Land & Nurseries, Inc.

 

6,906

 

4,075

 

Hain Celestial Group, Inc. (The)*

 

108,028

 

900

 

Harbinger Group, Inc.*

 

4,203

 

8,837

 

Heckmann Corp.*

 

34,199

 

1,212

 

Imperial Sugar Co.

 

16,677

 

1,250

 

Ingles Markets, Inc., Class A

 

23,313

 

1,421

 

Inter Parfums, Inc.

 

25,947

 

1,415

 

J&J Snack Foods Corp.

 

64,736

 

784

 

John B. Sanfilippo & Son, Inc.*

 

9,337

 

1,926

 

Lancaster Colony Corp.

 

100,287

 

2,575

 

Lance, Inc.

 

60,281

 

483

 

Lifeway Foods, Inc.*

 

4,598

 

809

 

Limoneira Co.

 

17,644

 

1,341

 

Medifast, Inc.*

 

32,667

 

1,167

 

MGP Ingredients, Inc.

 

10,631

 

1,252

 

Nash Finch Co.

 

46,261

 

1,105

 

National Beverage Corp.

 

14,464

 

755

 

Nature’s Sunshine Products, Inc.*

 

6,531

 

4,903

 

Nu Skin Enterprises, Inc., Class A

 

154,984

 

923

 

Nutraceutical International Corp.*

 

13,725

 

510

 

Oil-Dri Corp. of America

 

11,429

 

2,263

 

Pantry, Inc. (The)*

 

46,482

 

4,841

 

Pilgrim’s Pride Corp.*

 

32,144

 

4,163

 

Prestige Brands Holdings, Inc.*

 

48,999

 

1,574

 

Pricesmart, Inc.

 

52,839

 

1,062

 

Revlon, Inc., Class A*

 

10,535

 

55,492

 

Rite Aid Corp.*

 

52,146

 

4,365

 

Ruddick Corp.

 

160,457

 

2,264

 

Sanderson Farms, Inc.

 

100,205

 

1,145

 

Schiff Nutrition International, Inc.

 

9,423

 

834

 

Seneca Foods Corp., Class A*

 

19,841

 

6,232

 

Smart Balance, Inc.*

 

22,809

 

2,242

 

Spartan Stores, Inc.

 

36,679

 

1,812

 

Spectrum Brands Holdings, Inc.*

 

48,978

 

9,598

 

Star Scientific, Inc.*

 

17,852

 

745

 

Susser Holdings Corp.*

 

10,013

 

1,902

 

Synutra International, Inc.*

 

24,289

 

2,391

 

Tootsie Roll Industries, Inc.

 

63,696

 

3,464

 

TreeHouse Foods, Inc.*

 

172,092

 

4,777

 

United Natural Foods, Inc.*

 

178,851

 

2,406

 

Universal Corp.

 

98,429

 

600

 

USANA Health Sciences, Inc.*

 

25,272

 

4,515

 

Vector Group Ltd.

 

82,579

 

616

 

Village Super Market, Inc., Class A

 

19,416

 

1,652

 

WD-40 Co.

 

64,577

 

1,097

 

Weis Markets, Inc.

 

42,278

 

5,483

 

Winn-Dixie Stores, Inc.*

 

33,337

 

 

 

 

 

3,240,513

 

 

 

Energy - 3.3%

 

 

 

 

 

 

 

 

 

6,695

 

Abraxas Petroleum Corp.*

 

28,521

 

3,570

 

Allis-Chalmers Energy, Inc.*

 

22,919

 

760

 

Alon USA Energy, Inc.

 

4,210

 

5,000

 

American Oil & Gas, Inc.*

 

48,100

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

907

 

Apco Oil and Gas International, Inc.

 

$

34,239

 

1,294

 

Approach Resources, Inc.*

 

23,641

 

4,431

 

ATP Oil & Gas Corp.*

 

65,224

 

2,307

 

Basic Energy Services, Inc.*

 

33,452

 

5,090

 

Berry Petroleum Co., Class A

 

193,980

 

4,573

 

Bill Barrett Corp.*

 

175,832

 

9,692

 

BPZ Resources, Inc.*

 

38,187

 

11,588

 

Brigham Exploration Co.*

 

291,438

 

3,580

 

Bristow Group, Inc.*

 

157,198

 

9,377

 

Cal Dive International, Inc.*

 

50,167

 

2,866

 

Callon Petroleum Co.*

 

16,967

 

4,747

 

CAMAC Energy, Inc.*

 

12,959

 

1,901

 

CARBO Ceramics, Inc.

 

184,682

 

3,100

 

Carrizo Oil & Gas, Inc.*

 

89,962

 

5,702

 

Cheniere Energy, Inc.*

 

31,760

 

583

 

Clayton Williams Energy, Inc.*

 

43,818

 

3,990

 

Clean Energy Fuels Corp.*

 

53,386

 

3,138

 

Cloud Peak Energy, Inc.*

 

65,804

 

7,740

 

Complete Production Services, Inc.*

 

220,203

 

1,178

 

Contango Oil & Gas Co.*

 

65,685

 

4,006

 

Crosstex Energy, Inc.

 

37,056

 

3,019

 

CVR Energy, Inc.*

 

36,319

 

781

 

Dawson Geophysical Co.*

 

21,884

 

1,351

 

Delek U.S. Holdings, Inc.

 

9,619

 

18,413

 

Delta Petroleum Corp.*

 

14,016

 

4,845

 

DHT Holdings, Inc.

 

21,270

 

3,383

 

Dril-Quip, Inc.*

 

261,980

 

2,006

 

Endeavour International Corp.*

 

20,699

 

2,879

 

Energy Partners Ltd.*

 

34,865

 

5,039

 

Energy XXI Bermuda Ltd.*

 

124,211

 

1,469

 

Evolution Petroleum Corp.*

 

8,858

 

4,310

 

FX Energy, Inc.*

 

25,472

 

4,342

 

Gastar Exploration Ltd.*

 

20,451

 

7,836

 

General Maritime Corp.

 

29,934

 

1,295

 

GeoResources, Inc.*

 

25,796

 

745

 

Global Geophysical Services, Inc.*

 

6,891

 

10,087

 

Global Industries Ltd.*

 

62,842

 

3,068

 

GMX Resources, Inc.*

 

13,591

 

3,621

 

Golar LNG Ltd.

 

50,368

 

2,432

 

Goodrich Petroleum Corp.*

 

31,981

 

1,594

 

Green Plains Renewable Energy, Inc.*

 

17,502

 

1,423

 

Gulf Island Fabrication, Inc.

 

38,080

 

2,316

 

GulfMark Offshore, Inc., Class A*

 

67,905

 

2,694

 

Gulfport Energy Corp.*

 

50,216

 

382

 

Hallador Energy Co.

 

4,393

 

3,309

 

Harvest Natural Resources, Inc.*

 

42,388

 

10,407

 

Helix Energy Solutions Group, Inc.*

 

146,010

 

11,425

 

Hercules Offshore, Inc.*

 

29,191

 

2,313

 

Hornbeck Offshore Services, Inc.*

 

51,002

 

1,793

 

Houston American Energy Corp.

 

30,858

 

13,063

 

International Coal Group, Inc.*

 

99,409

 

12,646

 

ION Geophysical Corp.*

 

90,925

 

113

 

Isramco, Inc.*

 

6,477

 

2,767

 

James River Coal Co.*

 

55,063

 

12,484

 

Key Energy Services, Inc.*

 

128,585

 

2,430

 

Knightsbridge Tankers Ltd.

 

55,258

 

15,514

 

Kodiak Oil & Gas Corp.*

 

77,570

 

1,748

 

L&L Energy, Inc.*

 

18,476

 

2,981

 

Lufkin Industries, Inc.

 

150,928

 

5,240

 

Magnum Hunter Resources Corp.*

 

32,174

 

2,622

 

Matrix Service Co.*

 

26,036

 

8,279

 

McMoRan Exploration Co.*

 

123,606

 

1,796

 

Miller Petroleum, Inc.*

 

9,339

 

1,205

 

Natural Gas Services Group, Inc.*

 

19,822

 

8,859

 

Newpark Resources, Inc.*

 

50,674

 

4,672

 

Nordic American Tanker Shipping

 

120,865

 

4,392

 

Northern Oil and Gas, Inc.*

 

100,357

 

4,808

 

Oasis Petroleum, Inc.*

 

122,027

 

2,543

 

Overseas Shipholding Group, Inc.

 

88,929

 

407

 

OYO Geospace Corp.*

 

30,875

 

713

 

Panhandle Oil and Gas, Inc., Class A

 

18,274

 

11,549

 

Parker Drilling Co.*

 

46,196

 

7,780

 

Patriot Coal Corp.*

 

125,880

 

4,524

 

Penn Virginia Corp.

 

71,751

 

1,916

 

Petroleum Development Corp.*

 

68,248

 

5,496

 

Petroquest Energy, Inc.*

 

38,087

 

1,317

 

PHI, Inc. (Non-Voting)*

 

22,257

 

5,389

 

Pioneer Drilling Co.*

 

36,915

 

5,521

 

RAM Energy Resources, Inc.*

 

9,607

 

21,465

 

Rentech, Inc.*

 

26,617

 

3,783

 

Resolute Energy Corp.*

 

48,687

 

722

 

REX American Resources Corp.*

 

11,653

 

3,212

 

Rex Energy Corp.*

 

38,062

 

5,246

 

Rosetta Resources, Inc.*

 

187,912

 

2,871

 

RPC, Inc.

 

84,120

 

1,291

 

Scorpio Tankers, Inc.*

 

12,845

 

1,065

 

Seahawk Drilling, Inc.*

 

8,658

 

4,451

 

Ship Finance International Ltd.

 

96,631

 

4,295

 

Stone Energy Corp.*

 

88,735

 

3,765

 

Swift Energy Co.*

 

137,385

 

6,900

 

Syntroleum Corp.*

 

12,765

 

1,304

 

T-3 Energy Services, Inc.*

 

46,357

 

3,199

 

Teekay Tankers Ltd., Class A

 

37,908

 

3,005

 

Tesco Corp.*

 

39,696

 

7,534

 

Tetra Technologies, Inc.*

 

82,874

 

14,656

 

TransAtlantic Petroleum Ltd.*

 

47,339

 

1,474

 

Union Drilling, Inc.*

 

9,301

 

6,033

 

Uranium Energy Corp.*

 

42,231

 

11,354

 

USEC, Inc.*

 

67,556

 

5,031

 

Vaalco Energy, Inc.*

 

37,179

 

15,135

 

Vantage Drilling Co.*

 

26,638

 

1,962

 

Venoco, Inc.*

 

34,158

 

3,479

 

W&T Offshore, Inc.

 

58,273

 

7,049

 

Warren Resources, Inc.*

 

31,227

 

5,108

 

Western Refining, Inc.*

 

49,803

 

4,764

 

Willbros Group, Inc.*

 

34,444

 

6,839

 

World Fuel Services Corp.

 

205,854

 

 

 

 

 

6,737,500

 

 

 

Financials - 10.7%

 

 

 

 

 

 

 

 

 

1,520

 

1st Source Corp.

 

28,378

 

2,183

 

1st United Bancorp, Inc./FL*

 

12,705

 

2,075

 

Abington Bancorp, Inc.

 

24,900

 

3,992

 

Acadia Realty Trust (REIT)

 

72,894

 

5,471

 

Advance America Cash Advance Centers, Inc.

 

26,042

 

865

 

Agree Realty Corp. (REIT)

 

24,177

 

205

 

Alexander’s, Inc. (REIT)

 

79,023

 

462

 

Alliance Financial Corp./NY

 

13,643

 

9,591

 

Alterra Capital Holdings Ltd.

 

195,081

 

6,499

 

American Campus Communities, Inc. (REIT)

 

204,329

 

5,026

 

American Capital Agency Corp. (REIT)

 

147,362

 

33,808

 

American Capital Ltd.*

 

243,080

 

5,824

 

American Equity Investment Life Holding Co.

 

63,948

 

611

 

American National Bankshares, Inc.

 

13,644

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

617

 

American Physicians Service Group, Inc.

 

$

20,034

 

1,029

 

American Safety Insurance Holdings Ltd.*

 

20,302

 

2,350

 

Ameris Bancorp*

 

22,654

 

1,875

 

AMERISAFE, Inc.*

 

34,669

 

813

 

Ames National Corp.

 

15,886

 

2,224

 

AmTrust Financial Services, Inc.

 

35,606

 

11,827

 

Anworth Mortgage Asset Corp. (REIT)

 

82,079

 

1,745

 

Apollo Commercial Real Estate Finance, Inc. (REIT)

 

28,653

 

19,301

 

Apollo Investment Corp.

 

203,819

 

3,092

 

Argo Group International Holdings Ltd.

 

114,033

 

669

 

Arlington Asset Investment Corp., Class A

 

16,477

 

969

 

Arrow Financial Corp.

 

27,074

 

2,764

 

Artio Global Investors, Inc.

 

36,125

 

4,039

 

Ashford Hospitality Trust, Inc. (REIT)*

 

37,967

 

1,498

 

Asset Acceptance Capital Corp.*

 

8,808

 

4,117

 

Associated Estates Realty Corp. (REIT)

 

61,549

 

1,054

 

Asta Funding, Inc.

 

7,536

 

8,599

 

Astoria Financial Corp.

 

103,532

 

884

 

Avatar Holdings, Inc.*

 

17,335

 

821

 

Baldwin & Lyons, Inc., Class B

 

18,990

 

701

 

Bancfirst Corp.

 

28,447

 

2,746

 

Banco Latinoamericano de Comercio Exterior S.A., Class E

 

44,595

 

368

 

Bancorp Rhode Island, Inc.

 

10,974

 

2,244

 

Bancorp, Inc. (The)/DE*

 

19,298

 

4,527

 

Bank Mutual Corp.

 

20,734

 

523

 

Bank of Marin Bancorp

 

17,468

 

1,304

 

Bank of the Ozarks, Inc.

 

49,409

 

1,905

 

BankFinancial Corp.

 

17,774

 

3,457

 

Beneficial Mutual Bancorp, Inc.*

 

26,861

 

1,397

 

Berkshire Hills Bancorp, Inc.

 

28,038

 

5,675

 

BGC Partners, Inc., Class A

 

43,414

 

13,024

 

BioMed Realty Trust, Inc. (REIT)

 

229,613

 

7,117

 

BlackRock Kelso Capital Corp.

 

79,782

 

704

 

BofI Holding, Inc.*

 

9,490

 

7,448

 

Boston Private Financial Holdings, Inc.

 

39,996

 

625

 

Bridge Bancorp, Inc.

 

15,231

 

5,875

 

Brookline Bancorp, Inc.

 

57,751

 

963

 

Bryn Mawr Bank Corp.

 

16,169

 

1,916

 

Calamos Asset Management, Inc., Class A

 

22,858

 

185

 

California First National Bancorp

 

2,568

 

762

 

Camden National Corp.

 

27,356

 

1,185

 

Capital City Bank Group, Inc.

 

14,990

 

284

 

Capital Southwest Corp.

 

28,474

 

5,693

 

CapLease, Inc. (REIT)

 

34,727

 

6,981

 

Capstead Mortgage Corp. (REIT)

 

82,027

 

2,861

 

Cardinal Financial Corp.

 

29,640

 

2,683

 

Cardtronics, Inc.*

 

45,343

 

2,943

 

Cash America International, Inc.

 

106,537

 

7,816

 

Cathay General Bancorp

 

105,594

 

13,744

 

CBL & Associates Properties, Inc. (REIT)

 

226,776

 

5,432

 

Cedar Shopping Centers, Inc. (REIT)

 

32,918

 

3,536

 

Center Financial Corp.*

 

22,135

 

2,554

 

CenterState Banks, Inc.

 

18,057

 

340

 

Century Bancorp, Inc./MA, Class A

 

8,197

 

857

 

Chatham Lodging Trust (REIT)

 

14,081

 

2,429

 

Chemical Financial Corp.

 

50,815

 

1,491

 

Chesapeake Lodging Trust (REIT)

 

28,359

 

1,207

 

Citizens & Northern Corp.

 

17,996

 

39,260

 

Citizens Republic Bancorp, Inc.*

 

22,771

 

3,628

 

Citizens, Inc./TX*

 

25,396

 

1,572

 

City Holding Co.

 

50,414

 

992

 

Clifton Savings Bancorp, Inc.

 

9,384

 

1,760

 

CNA Surety Corp.*

 

41,360

 

1,213

 

CNB Financial Corp./PA

 

17,382

 

22,105

 

CNO Financial Group, Inc.*

 

129,314

 

3,215

 

CoBiz Financial, Inc.

 

15,786

 

4,278

 

Cogdell Spencer, Inc. (REIT)

 

24,470

 

1,740

 

Cohen & Steers, Inc.

 

43,848

 

7,729

 

Colonial Properties Trust (REIT)

 

139,122

 

1,459

 

Colony Financial, Inc. (REIT)

 

28,144

 

3,908

 

Columbia Banking System, Inc.

 

68,156

 

3,300

 

Community Bank System, Inc.

 

79,464

 

1,361

 

Community Trust Bancorp, Inc.

 

37,441

 

3,295

 

Compass Diversified Holdings

 

54,697

 

1,141

 

CompuCredit Holdings Corp.

 

6,846

 

542

 

Consolidated-Tomoka Land Co.

 

15,176

 

8,991

 

Cousins Properties, Inc. (REIT)

 

66,713

 

3,604

 

Cowen Group, Inc., Class A*

 

14,704

 

2,378

 

Crawford & Co., Class B*

 

7,015

 

559

 

Credit Acceptance Corp.*

 

34,697

 

1,345

 

CreXus Investment Corp. (REIT)

 

17,001

 

8,942

 

CVB Financial Corp.

 

70,374

 

3,572

 

Cypress Sharpridge Investments, Inc. (REIT)

 

48,758

 

1,875

 

Danvers Bancorp, Inc.

 

28,594

 

21,024

 

DCT Industrial Trust, Inc. (REIT)

 

103,859

 

4,732

 

Delphi Financial Group, Inc., Class A

 

121,518

 

240

 

Diamond Hill Investment Group, Inc.

 

16,618

 

15,363

 

DiamondRock Hospitality Co. (REIT)*

 

161,772

 

2,660

 

Dime Community Bancshares, Inc.

 

36,309

 

2,425

 

Dollar Financial Corp.*

 

63,486

 

1,111

 

Donegal Group, Inc., Class A

 

16,521

 

1,875

 

Doral Financial Corp.*

 

2,644

 

2,713

 

Duff & Phelps Corp., Class A

 

36,273

 

4,076

 

DuPont Fabros Technology, Inc. (REIT)

 

92,077

 

2,035

 

Dynex Capital, Inc. (REIT)

 

21,367

 

1,635

 

Eagle Bancorp, Inc.*

 

20,715

 

2,682

 

EastGroup Properties, Inc. (REIT)

 

106,931

 

5,670

 

Education Realty Trust, Inc. (REIT)

 

41,618

 

2,344

 

eHealth, Inc.*

 

35,277

 

476

 

EMC Insurance Group, Inc.

 

10,605

 

4,254

 

Employers Holdings, Inc.

 

68,702

 

798

 

Encore Bancshares, Inc.*

 

7,557

 

1,385

 

Encore Capital Group, Inc.*

 

25,747

 

694

 

Enstar Group Ltd.*

 

57,602

 

1,478

 

Enterprise Financial Services Corp.

 

14,736

 

4,631

 

Entertainment Properties Trust (REIT)

 

214,415

 

1,312

 

Epoch Holding Corp.

 

21,031

 

2,603

 

Equity Lifestyle Properties, Inc. (REIT)

 

140,250

 

3,635

 

Equity One, Inc. (REIT)

 

62,922

 

884

 

ESB Financial Corp.

 

12,464

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,414

 

ESSA Bancorp, Inc.

 

$

18,594

 

1,558

 

Evercore Partners, Inc., Class A

 

47,020

 

1,494

 

Excel Trust, Inc. (REIT)

 

17,271

 

8,679

 

Extra Space Storage, Inc. (REIT)

 

139,038

 

4,594

 

EZCORP, Inc., Class A*

 

115,585

 

1,338

 

FBL Financial Group, Inc., Class A

 

35,751

 

5,231

 

FBR Capital Markets Corp.*

 

18,936

 

960

 

Federal Agricultural Mortgage Corp., Class C

 

13,402

 

9,662

 

FelCor Lodging Trust, Inc. (REIT)*

 

57,296

 

5,494

 

Fifth Street Finance Corp.

 

63,346

 

1,284

 

Financial Engines, Inc.*

 

21,725

 

1,088

 

Financial Institutions, Inc.

 

19,856

 

10,344

 

First American Financial Corp.

 

146,574

 

868

 

First Bancorp, Inc./ME

 

12,143

 

31,811

 

First BanCorp./Puerto Rico*

 

7,635

 

1,491

 

First Bancorp/NC

 

21,605

 

5,205

 

First Busey Corp.

 

22,642

 

2,998

 

First Cash Financial Services, Inc.*

 

86,312

 

10,433

 

First Commonwealth Financial Corp.

 

64,685

 

1,571

 

First Community Bancshares, Inc./VA

 

21,790

 

5,757

 

First Financial Bancorp

 

95,106

 

2,074

 

First Financial Bankshares, Inc.

 

100,319

 

1,102

 

First Financial Corp./IN

 

33,214

 

1,645

 

First Financial Holdings, Inc.

 

18,079

 

6,299

 

First Industrial Realty Trust, Inc. (REIT)*

 

47,935

 

1,234

 

First Interstate BancSystem, Inc.

 

16,807

 

5,509

 

First Marblehead Corp. (The)*

 

11,238

 

2,543

 

First Merchants Corp.

 

21,081

 

1,423

 

First Mercury Financial Corp.

 

23,309

 

7,371

 

First Midwest Bancorp, Inc./IL

 

69,066

 

693

 

First of Long Island Corp. (The)

 

17,852

 

3,689

 

First Potomac Realty Trust (REIT)

 

58,065

 

820

 

First South Bancorp, Inc./NC

 

6,093

 

10,726

 

FirstMerit Corp.

 

186,901

 

4,667

 

Flagstar Bancorp, Inc.*

 

5,787

 

5,187

 

Flagstone Reinsurance Holdings S.A.

 

59,391

 

3,104

 

Flushing Financial Corp.

 

41,594

 

11,390

 

FNB Corp./PA

 

99,890

 

3,627

 

Forestar Group, Inc.*

 

65,359

 

540

 

Fox Chase Bancorp, Inc.*

 

5,675

 

974

 

FPIC Insurance Group, Inc.*

 

36,019

 

6,884

 

Franklin Street Properties Corp. (REIT)

 

88,322

 

691

 

GAMCO Investors, Inc., Class A

 

30,439

 

1,103

 

German American Bancorp, Inc.

 

19,170

 

132

 

Gerova Financial Group Ltd.*

 

3,475

 

2,084

 

Getty Realty Corp. (REIT)

 

62,124

 

6,608

 

GFI Group, Inc.

 

30,661

 

7,157

 

Glacier Bancorp, Inc.

 

95,403

 

2,096

 

Gladstone Capital Corp.

 

23,454

 

852

 

Gladstone Commercial Corp. (REIT)

 

15,762

 

2,197

 

Gladstone Investment Corp.

 

17,071

 

7,749

 

Gleacher & Co., Inc.*

 

19,450

 

8,467

 

Glimcher Realty Trust (REIT)

 

69,260

 

1,372

 

Global Indemnity plc*

 

26,315

 

740

 

Golub Capital BDC, Inc.

 

12,010

 

2,746

 

Government Properties Income Trust (REIT)

 

70,435

 

1,009

 

Great Southern Bancorp, Inc.

 

22,561

 

1,179

 

Green Bankshares, Inc.*

 

3,136

 

2,818

 

Greenlight Capital Re Ltd., Class A*

 

78,848

 

1,154

 

Hallmark Financial Services*

 

10,132

 

2,906

 

Hancock Holding Co.

 

91,539

 

10,192

 

Hanmi Financial Corp.*

 

9,357

 

1,153

 

Harleysville Group, Inc.

 

41,035

 

3,071

 

Harris & Harris Group, Inc.*

 

13,451

 

4,591

 

Hatteras Financial Corp. (REIT)

 

142,229

 

6,200

 

Healthcare Realty Trust, Inc. (REIT)

 

127,968

 

1,304

 

Heartland Financial USA, Inc.

 

20,955

 

3,609

 

Hercules Technology Growth Capital, Inc.

 

36,018

 

981

 

Heritage Financial Corp./WA*

 

13,459

 

184

 

Heritage Financial Group, Inc.

 

1,889

 

13,405

 

Hersha Hospitality Trust (REIT)

 

82,173

 

1,774

 

HFF, Inc., Class A*

 

16,427

 

7,126

 

Highwoods Properties, Inc. (REIT)

 

217,414

 

3,945

 

Hilltop Holdings, Inc.*

 

38,819

 

759

 

Home Bancorp, Inc.*

 

10,338

 

2,183

 

Home Bancshares, Inc./AR

 

45,188

 

1,664

 

Home Federal Bancorp, Inc./ID

 

19,186

 

3,734

 

Home Properties, Inc. (REIT)

 

200,105

 

3,908

 

Horace Mann Educators Corp.

 

63,818

 

1,462

 

Hudson Pacific Properties, Inc. (REIT)

 

22,310

 

1,301

 

Hudson Valley Holding Corp.

 

25,766

 

2,666

 

Iberiabank Corp.

 

134,393

 

2,106

 

Independent Bank Corp./MA

 

51,155

 

984

 

IndyMac Bancorp, Inc.*

 

12

 

1,315

 

Infinity Property & Casualty Corp.

 

75,915

 

7,401

 

Inland Real Estate Corp. (REIT)

 

62,908

 

1,264

 

International Assets Holding Corp.*

 

28,857

 

5,281

 

International Bancshares Corp.

 

90,833

 

3,967

 

Invesco Mortgage Capital, Inc. (REIT)

 

89,575

 

4,340

 

Investment Technology Group, Inc.*

 

63,798

 

4,783

 

Investors Bancorp, Inc.*

 

58,592

 

7,473

 

Investors Real Estate Trust (REIT)

 

66,136

 

9,296

 

iStar Financial, Inc. (REIT)*

 

50,570

 

1,485

 

JMP Group, Inc.

 

10,380

 

275

 

Kaiser Federal Financial Group, Inc.

 

2,655

 

418

 

Kansas City Life Insurance Co.

 

13,096

 

1,045

 

Kayne Anderson Energy Development Co.

 

19,029

 

3,532

 

KBW, Inc.

 

82,013

 

1,505

 

Kearny Financial Corp.

 

12,928

 

2,065

 

Kennedy-Wilson Holdings, Inc.*

 

20,216

 

5,407

 

Kilroy Realty Corp. (REIT)

 

184,487

 

5,397

 

Kite Realty Group Trust (REIT)

 

27,093

 

9,407

 

Knight Capital Group, Inc., Class A*

 

123,608

 

3,702

 

LaBranche & Co., Inc.*

 

11,180

 

9,076

 

Ladenburg Thalmann Financial Services, Inc.*

 

11,073

 

2,045

 

Lakeland Bancorp, Inc.

 

21,370

 

1,603

 

Lakeland Financial Corp.

 

33,519

 

6,951

 

LaSalle Hotel Properties (REIT)

 

165,434

 

9,628

 

Lexington Realty Trust (REIT)

 

75,580

 

729

 

Life Partners Holdings, Inc.

 

15,593

 

2,569

 

LTC Properties, Inc. (REIT)

 

69,337

 

4,942

 

Maiden Holdings Ltd.

 

37,213

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,494

 

Main Street Capital Corp.

 

$

25,443

 

2,005

 

MainSource Financial Group, Inc.

 

18,366

 

2,749

 

MarketAxess Holdings, Inc.

 

50,004

 

854

 

Marlin Business Services Corp.*

 

9,052

 

5,269

 

MB Financial, Inc.

 

74,978

 

7,622

 

MCG Capital Corp.

 

53,278

 

5,395

 

Meadowbrook Insurance Group, Inc.

 

51,037

 

1,477

 

Medallion Financial Corp.

 

12,525

 

11,073

 

Medical Properties Trust, Inc. (REIT)

 

116,045

 

476

 

Merchants Bancshares, Inc.

 

12,961

 

903

 

Meridian Interstate Bancorp, Inc.*

 

9,888

 

1,342

 

Metro Bancorp, Inc.*

 

13,487

 

10,444

 

MF Global Holdings Ltd.*

 

81,985

 

27,890

 

MFA Financial, Inc. (REIT)

 

227,303

 

19,954

 

MGIC Investment Corp.*

 

170,008

 

3,267

 

Mid-America Apartment Communities, Inc. (REIT)

 

200,496

 

743

 

MidSouth Bancorp, Inc.

 

10,001

 

688

 

MidWestOne Financial Group, Inc.

 

9,942

 

1,772

 

Mission West Properties, Inc. (REIT)

 

11,571

 

2,647

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

21,520

 

7,073

 

Montpelier Re Holdings Ltd.

 

139,197

 

4,781

 

MPG Office Trust, Inc. (REIT)*

 

10,948

 

2,421

 

MVC Capital, Inc.

 

32,998

 

3,781

 

Nara Bancorp, Inc.*

 

30,853

 

346

 

NASB Financial, Inc.

 

4,450

 

692

 

National Bankshares, Inc.

 

18,283

 

4,248

 

National Financial Partners Corp.*

 

49,956

 

2,430

 

National Health Investors, Inc. (REIT)

 

106,920

 

656

 

National Interstate Corp.

 

13,546

 

12,545

 

National Penn Bancshares, Inc.

 

84,177

 

8,293

 

National Retail Properties, Inc. (REIT)

 

215,701

 

222

 

National Western Life Insurance Co., Class A

 

37,014

 

1,212

 

Navigators Group, Inc. (The)*

 

59,982

 

3,428

 

NBT Bancorp, Inc.

 

76,102

 

2,625

 

Nelnet, Inc., Class A

 

56,044

 

10,551

 

NewAlliance Bancshares, Inc.

 

140,750

 

6,173

 

Newcastle Investment Corp. (REIT)*

 

35,124

 

2,781

 

NewStar Financial, Inc.*

 

23,472

 

2,152

 

NGP Capital Resources Co.

 

19,454

 

1,786

 

Northfield Bancorp, Inc.

 

22,700

 

7,511

 

NorthStar Realty Finance Corp. (REIT)

 

31,772

 

11,021

 

Northwest Bancshares, Inc.

 

113,075

 

1,445

 

OceanFirst Financial Corp.

 

17,441

 

7,391

 

Ocwen Financial Corp.*

 

65,041

 

8,680

 

Old National Bancorp/IN

 

89,491

 

9,256

 

Omega Healthcare Investors, Inc. (REIT)

 

195,394

 

1,183

 

OmniAmerican Bancorp, Inc.*

 

14,598

 

838

 

One Liberty Properties, Inc. (REIT)

 

12,830

 

1,000

 

Oppenheimer Holdings Inc., Class A

 

23,590

 

4,204

 

optionsXpress Holdings, Inc.*

 

72,687

 

4,611

 

Oriental Financial Group, Inc.

 

53,488

 

5,531

 

Oritani Financial Corp.

 

62,113

 

667

 

Orrstown Financial Services, Inc.

 

17,475

 

1,829

 

Pacific Continental Corp.

 

15,803

 

3,060

 

PacWest Bancorp

 

52,020

 

1,243

 

Park National Corp.

 

83,977

 

2,145

 

Parkway Properties, Inc./MD (REIT)

 

34,084

 

873

 

Peapack Gladstone Financial Corp.

 

10,476

 

3,685

 

Pebblebrook Hotel Trust (REIT)*

 

69,057

 

3,542

 

PennantPark Investment Corp.

 

41,441

 

379

 

Penns Woods Bancorp, Inc.

 

14,133

 

5,508

 

Pennsylvania Real Estate Investment Trust (REIT)

 

73,972

 

1,664

 

PennyMac Mortgage Investment Trust (REIT)

 

29,619

 

2,034

 

Penson Worldwide, Inc.*

 

9,906

 

1,047

 

Peoples Bancorp, Inc./OH

 

13,601

 

5,516

 

PHH Corp.*

 

117,105

 

11,549

 

Phoenix Cos, Inc. (The)*

 

26,447

 

2,250

 

Pico Holdings, Inc.*

 

64,238

 

3,320

 

Pinnacle Financial Partners, Inc.*

 

32,636

 

1,542

 

Piper Jaffray Cos.*

 

46,214

 

4,092

 

Platinum Underwriters Holdings Ltd.

 

176,897

 

14,229

 

PMI Group, Inc. (The)*

 

44,394

 

354

 

Porter Bancorp, Inc.

 

3,790

 

1,690

 

Portfolio Recovery Associates, Inc.*

 

107,095

 

4,838

 

Post Properties, Inc. (REIT)

 

164,831

 

3,979

 

Potlatch Corp. (REIT)

 

126,055

 

2,060

 

Presidential Life Corp.

 

19,096

 

2,395

 

Primerica, Inc.

 

54,103

 

1,617

 

Primus Guaranty Ltd.*

 

7,794

 

5,178

 

PrivateBancorp, Inc.

 

62,964

 

3,234

 

ProAssurance Corp.*

 

191,550

 

7,699

 

Prospect Capital Corp.

 

75,296

 

4,639

 

Prosperity Bancshares, Inc.

 

150,953

 

5,965

 

Provident Financial Services, Inc.

 

82,198

 

3,865

 

Provident New York Bancorp

 

36,215

 

1,843

 

PS Business Parks, Inc. (REIT)

 

95,504

 

762

 

Pzena Investment Management, Inc., Class A

 

5,418

 

13,241

 

Radian Group, Inc.

 

93,879

 

9,664

 

RAIT Financial Trust (REIT)*

 

15,559

 

3,779

 

Ramco-Gershenson Properties Trust (REIT)

 

43,459

 

7,758

 

Redwood Trust, Inc. (REIT)

 

107,293

 

2,494

 

Renasant Corp.

 

43,196

 

976

 

Republic Bancorp, Inc./KY, Class A

 

20,018

 

4,373

 

Resource Capital Corp. (REIT)

 

29,168

 

4,161

 

Retail Opportunity Investments Corp. (REIT)

 

40,903

 

1,822

 

RLI Corp.

 

105,640

 

811

 

Rockville Financial, Inc.

 

8,921

 

1,585

 

Rodman & Renshaw Capital Group, Inc.*

 

3,772

 

806

 

Roma Financial Corp.

 

7,770

 

2,467

 

S&T Bancorp, Inc.

 

48,403

 

1,181

 

S. Y. Bancorp, Inc.

 

28,250

 

2,480

 

Sabra Healthcare REIT, Inc. (REIT)

 

42,278

 

2,040

 

Safeguard Scientifics, Inc.*

 

30,029

 

1,259

 

Safety Insurance Group, Inc.

 

58,934

 

2,067

 

Sanders Morris Harris Group, Inc.

 

14,056

 

2,385

 

Sandy Spring Bancorp, Inc.

 

40,473

 

628

 

Saul Centers, Inc. (REIT)

 

26,734

 

1,269

 

SCBT Financial Corp.

 

39,225

 

2,189

 

SeaBright Holdings, Inc.

 

19,241

 

5,303

 

Selective Insurance Group, Inc.

 

87,499

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,139

 

Sierra Bancorp

 

$

11,789

 

4,068

 

Signature Bank/NY*

 

178,789

 

1,709

 

Simmons First National Corp., Class A

 

49,646

 

574

 

Solar Capital Ltd.

 

13,478

 

1,576

 

Southside Bancshares, Inc.

 

32,972

 

1,930

 

Southwest Bancorp, Inc./OK

 

20,304

 

2,742

 

Sovran Self Storage, Inc. (REIT)

 

98,794

 

4,738

 

Starwood Property Trust, Inc. (REIT)

 

94,570

 

1,435

 

State Auto Financial Corp.

 

22,587

 

1,656

 

State Bancorp, Inc./NY

 

15,103

 

2,272

 

StellarOne Corp.

 

29,763

 

2,670

 

Sterling Bancorp/NY

 

25,071

 

9,126

 

Sterling Bancshares, Inc./TX

 

54,163

 

1,720

 

Stewart Information Services Corp.

 

18,301

 

3,395

 

Stifel Financial Corp.*

 

175,963

 

13,992

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

65,343

 

398

 

Student Loan Corp. (The)

 

11,932

 

960

 

Suffolk Bancorp

 

24,653

 

1,891

 

Sun Communities, Inc. (REIT)

 

62,668

 

9,806

 

Sunstone Hotel Investors, Inc. (REIT)*

 

93,353

 

12,906

 

Susquehanna Bancshares, Inc.

 

103,893

 

4,153

 

SVB Financial Group*

 

186,594

 

2,846

 

SWS Group, Inc.

 

14,799

 

4,026

 

Tanger Factory Outlet Centers (REIT)

 

193,167

 

952

 

Taylor Capital Group, Inc.*

 

11,833

 

1,301

 

Tejon Ranch Co.*

 

31,471

 

870

 

Terreno Realty Corp. (REIT)*

 

15,442

 

1,220

 

Territorial Bancorp, Inc.

 

22,472

 

3,635

 

Texas Capital Bancshares, Inc.*

 

68,629

 

899

 

THL Credit, Inc.

 

11,777

 

3,508

 

Thomas Properties Group, Inc.*

 

15,049

 

2,674

 

TICC Capital Corp.

 

28,184

 

785

 

Tompkins Financial Corp.

 

30,113

 

558

 

Tower Bancorp, Inc.

 

12,867

 

4,031

 

Tower Group, Inc.

 

103,677

 

2,341

 

TowneBank/VA

 

36,145

 

4,070

 

TradeStation Group, Inc.*

 

25,885

 

1,476

 

Triangle Capital Corp.

 

27,586

 

1,388

 

Trico Bancshares

 

20,029

 

7,652

 

TrustCo Bank Corp NY

 

42,928

 

6,356

 

Trustmark Corp.

 

135,637

 

2,594

 

Two Harbors Investment Corp. (REIT)

 

25,525

 

3,157

 

UMB Financial Corp.

 

117,756

 

981

 

UMH Properties, Inc. (REIT)

 

9,437

 

11,403

 

Umpqua Holdings Corp.

 

120,758

 

1,777

 

Union First Market Bankshares Corp.

 

24,345

 

3,867

 

United Bankshares, Inc.

 

101,354

 

9,380

 

United Community Banks, Inc./GA*

 

14,351

 

1,662

 

United Financial Bancorp, Inc.

 

24,647

 

2,269

 

United Fire & Casualty Co.

 

47,059

 

1,126

 

Universal Health Realty Income Trust (REIT)

 

39,489

 

1,715

 

Universal Insurance Holdings, Inc.

 

8,352

 

1,653

 

Univest Corp. of Pennsylvania

 

30,762

 

2,230

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

41,032

 

9,303

 

U-Store-It Trust (REIT)

 

76,936

 

1,420

 

ViewPoint Financial Group

 

14,896

 

2,142

 

Virginia Commerce Bancorp, Inc.*

 

12,145

 

504

 

Virtus Investment Partners, Inc.*

 

22,579

 

2,558

 

Walter Investment Management Corp. (REIT)

 

44,125

 

1,523

 

Washington Banking Co.

 

19,479

 

6,047

 

Washington Real Estate Investment Trust (REIT)

 

185,522

 

1,405

 

Washington Trust Bancorp, Inc.

 

29,491

 

711

 

Waterstone Financial, Inc.*

 

2,595

 

6,501

 

Webster Financial Corp.

 

107,266

 

2,297

 

WesBanco, Inc.

 

40,037

 

1,551

 

West Bancorp., Inc.

 

11,276

 

9,329

 

West Coast Bancorp/OR*

 

24,629

 

2,918

 

Westamerica Bancorp.

 

142,632

 

6,520

 

Western Alliance Bancorp.*

 

40,228

 

2,947

 

Westfield Financial, Inc.

 

24,224

 

582

 

Westwood Holdings Group, Inc.

 

20,888

 

9,601

 

Whitney Holding Corp./LA

 

90,153

 

1,943

 

Wilshire Bancorp, Inc.

 

13,756

 

2,267

 

Winthrop Realty Trust (REIT)

 

27,136

 

3,095

 

Wintrust Financial Corp.

 

88,672

 

1,633

 

World Acceptance Corp.*

 

71,950

 

581

 

WSFS Financial Corp.

 

25,273

 

 

 

 

 

22,161,187

 

 

 

Health Care - 6.3%

 

 

 

 

 

 

 

 

 

2,198

 

Abaxis, Inc.*

 

59,346

 

3,109

 

Abiomed, Inc.*

 

35,691

 

5,472

 

Accelrys, Inc.*

 

46,074

 

1,156

 

Accretive Health, Inc.*

 

15,826

 

5,088

 

Accuray, Inc.*

 

30,426

 

3,856

 

Acorda Therapeutics, Inc.*

 

101,606

 

913

 

Acura Pharmaceuticals, Inc.*

 

2,410

 

2,047

 

Affymax, Inc.*

 

13,838

 

7,052

 

Affymetrix, Inc.*

 

29,336

 

1,111

 

Air Methods Corp.*

 

54,695

 

5,494

 

Akorn, Inc.*

 

29,173

 

2,347

 

Albany Molecular Research, Inc.*

 

11,852

 

4,352

 

Alexza Pharmaceuticals, Inc.*

 

3,933

 

5,900

 

Align Technology, Inc.*

 

103,191

 

654

 

Alimera Sciences, Inc.*

 

7,482

 

9,443

 

Alkermes, Inc.*

 

98,963

 

2,737

 

Alliance HealthCare Services, Inc.*

 

10,264

 

4,490

 

Allied Healthcare International, Inc.*

 

13,021

 

7,827

 

Allos Therapeutics, Inc.*

 

31,778

 

816

 

Almost Family, Inc.*

 

28,919

 

3,628

 

Alnylam Pharmaceuticals, Inc.*

 

33,196

 

5,058

 

Alphatec Holdings, Inc.*

 

11,380

 

2,092

 

AMAG Pharmaceuticals, Inc.*

 

32,823

 

2,843

 

Amedisys, Inc.*

 

80,684

 

896

 

America Service Group, Inc.

 

13,153

 

1,566

 

American Dental Partners, Inc.*

 

19,340

 

7,506

 

American Medical Systems Holdings, Inc.*

 

134,583

 

5,150

 

AMERIGROUP Corp.*

 

221,604

 

3,893

 

AMN Healthcare Services, Inc.*

 

21,801

 

3,077

 

Amsurg Corp.*

 

56,555

 

1,283

 

Analogic Corp.

 

59,621

 

2,464

 

AngioDynamics, Inc.*

 

34,422

 

7,012

 

Antares Pharma, Inc.*

 

10,027

 

572

 

Anthera Pharmaceuticals, Inc.*

 

3,129

 

2,406

 

Aoxing Pharmaceutical Co., Inc.*

 

5,895

 

1,324

 

Ardea Biosciences, Inc.*

 

29,433

 

11,172

 

Arena Pharmaceuticals, Inc.*

 

16,199

 

11,018

 

Ariad Pharmaceuticals, Inc.*

 

44,403

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

4,134

 

Arqule, Inc.*

 

$

22,448

 

5,286

 

Array Biopharma, Inc.*

 

16,968

 

2,683

 

ArthroCare Corp.*

 

81,241

 

3,553

 

AspenBio Pharma, Inc.*

 

2,167

 

981

 

Assisted Living Concepts, Inc., Class A*

 

29,646

 

3,296

 

athenahealth, Inc.*

 

135,169

 

155

 

Atrion Corp.

 

25,442

 

4,149

 

Auxilium Pharmaceuticals, Inc.*

 

78,541

 

7,178

 

AVANIR Pharmaceuticals, Inc., Class A*

 

30,722

 

923

 

AVEO Pharmaceuticals, Inc.*

 

13,642

 

10,990

 

AVI BioPharma, Inc.*

 

20,222

 

2,873

 

BioCryst Pharmaceuticals, Inc.*

 

14,193

 

1,842

 

Biodel, Inc.*

 

3,131

 

1,790

 

BioMimetic Therapeutics, Inc.*

 

19,976

 

2,382

 

Bio-Reference Labs, Inc.*

 

49,951

 

7,005

 

BioSante Pharmaceuticals, Inc.*

 

10,297

 

3,895

 

BioScrip, Inc.*

 

15,658

 

394

 

BioSpecifics Technologies Corp.*

 

8,936

 

2,118

 

BioTime, Inc.*

 

16,944

 

2,755

 

BMP Sunstone Corp.*

 

27,219

 

7,233

 

Bruker Corp.*

 

111,533

 

2,473

 

Cadence Pharmaceuticals, Inc.*

 

17,731

 

4,466

 

Caliper Life Sciences, Inc.*

 

26,215

 

2,919

 

Cambrex Corp.*

 

12,464

 

1,281

 

Cantel Medical Corp.

 

25,863

 

2,692

 

Capital Senior Living Corp.*

 

17,067

 

858

 

Caraco Pharmaceutical Laboratories Ltd.*

 

4,084

 

2,401

 

CardioNet, Inc.*

 

9,700

 

3,782

 

Catalyst Health Solutions, Inc.*

 

162,323

 

8,159

 

Celera Corp.*

 

46,262

 

3,163

 

Celldex Therapeutics, Inc.*

 

13,126

 

4,883

 

Centene Corp.*

 

113,530

 

5,912

 

Cepheid, Inc.*

 

116,407

 

3,870

 

Cerus Corp.*

 

9,327

 

3,827

 

Chelsea Therapeutics International Ltd.*

 

20,781

 

2,272

 

Chemed Corp.

 

138,456

 

1,364

 

Chindex International, Inc.*

 

20,774

 

5,472

 

Clarient, Inc.*

 

27,360

 

1,168

 

Clinical Data, Inc.*

 

21,351

 

608

 

Codexis, Inc.*

 

5,727

 

978

 

Computer Programs & Systems, Inc.

 

45,663

 

3,090

 

Conceptus, Inc.*

 

40,633

 

2,908

 

CONMED Corp.*

 

62,551

 

2,889

 

Continucare Corp.*

 

13,636

 

2,706

 

Corcept Therapeutics, Inc.*

 

10,553

 

780

 

Cornerstone Therapeutics, Inc.*

 

4,657

 

695

 

Corvel Corp.*

 

31,755

 

3,087

 

Cross Country Healthcare, Inc.*

 

23,708

 

2,854

 

CryoLife, Inc.*

 

16,097

 

5,814

 

Cubist Pharmaceuticals, Inc.*

 

126,222

 

1,227

 

Cumberland Pharmaceuticals, Inc.*

 

8,417

 

7,527

 

Curis, Inc.*

 

12,645

 

1,343

 

Cutera, Inc.*

 

9,414

 

2,766

 

Cyberonics, Inc.*

 

74,322

 

969

 

Cynosure, Inc., Class A*

 

9,186

 

3,823

 

Cypress Bioscience, Inc.*

 

15,216

 

4,624

 

Cytokinetics, Inc.*

 

10,219

 

4,577

 

Cytori Therapeutics, Inc.*

 

20,551

 

10,865

 

CytRx Corp.*

 

11,300

 

4,347

 

Delcath Systems, Inc.*

 

43,731

 

5,214

 

Depomed, Inc.*

 

28,468

 

5,716

 

DexCom, Inc.*

 

64,448

 

1,753

 

Dionex Corp.*

 

159,821

 

8,637

 

Durect Corp.*

 

25,738

 

9,723

 

Dyax Corp.*

 

21,974

 

7,126

 

Dynavax Technologies Corp.*

 

14,252

 

934

 

DynaVox, Inc., Class A*

 

3,680

 

2,043

 

Emergent Biosolutions, Inc.*

 

37,428

 

1,984

 

Emeritus Corp.*

 

35,771

 

4,843

 

Endologix, Inc.*

 

27,508

 

1,422

 

Ensign Group, Inc. (The)

 

30,587

 

3,315

 

Enzo Biochem, Inc.*

 

14,586

 

4,930

 

Enzon Pharmaceuticals, Inc.*

 

54,822

 

4,859

 

eResearchTechnology, Inc.*

 

27,259

 

1,823

 

Eurand N.V.*

 

19,998

 

3,539

 

Exact Sciences Corp.*

 

21,022

 

826

 

Exactech, Inc.*

 

14,719

 

10,807

 

Exelixis, Inc.*

 

62,573

 

3,145

 

Five Star Quality Care, Inc.*

 

20,191

 

874

 

Furiex Pharmaceuticals, Inc.*

 

10,768

 

1,391

 

Genomic Health, Inc.*

 

25,664

 

1,741

 

Genoptix, Inc.*

 

29,719

 

2,968

 

Gentiva Health Services, Inc.*

 

68,205

 

9,774

 

Geron Corp.*

 

56,005

 

2,310

 

Greatbatch, Inc.*

 

50,612

 

2,503

 

Haemonetics Corp.*

 

147,151

 

7,146

 

Halozyme Therapeutics, Inc.*

 

49,450

 

2,593

 

Hanger Orthopedic Group, Inc.*

 

49,734

 

4,228

 

Hansen Medical, Inc.*

 

6,088

 

9,319

 

HealthSouth Corp.*

 

167,742

 

5,768

 

Healthspring, Inc.*

 

154,755

 

3,394

 

Healthways, Inc.*

 

32,752

 

932

 

HeartWare International, Inc.*

 

85,707

 

987

 

Hi-Tech Pharmacal Co., Inc.*

 

23,471

 

2,705

 

HMS Holdings Corp.*

 

170,442

 

1,164

 

ICU Medical, Inc.*

 

42,661

 

3,552

 

Idenix Pharmaceuticals, Inc.*

 

13,533

 

6,954

 

Immucor, Inc.*

 

127,745

 

6,747

 

Immunogen, Inc.*

 

56,135

 

6,534

 

Immunomedics, Inc.*

 

20,582

 

6,230

 

Impax Laboratories, Inc.*

 

111,517

 

8,758

 

Incyte Corp.*

 

127,079

 

1,446

 

Infinity Pharmaceuticals, Inc.*

 

9,095

 

4,898

 

Inhibitex, Inc.*

 

14,351

 

7,984

 

Inovio Pharmaceuticals, Inc.*

 

9,421

 

5,919

 

Inspire Pharmaceuticals, Inc.*

 

41,315

 

3,994

 

Insulet Corp.*

 

54,199

 

2,094

 

Integra LifeSciences Holdings Corp.*

 

90,817

 

4,524

 

InterMune, Inc.*

 

56,821

 

2,897

 

Invacare Corp.

 

78,190

 

1,617

 

IPC The Hospitalist Co., Inc.*

 

52,423

 

1,617

 

IRIS International, Inc.*

 

15,184

 

1,922

 

Ironwood Pharmaceuticals, Inc.*

 

20,546

 

9,370

 

Isis Pharmaceuticals, Inc.*

 

88,406

 

1,485

 

Jazz Pharmaceuticals, Inc.*

 

24,725

 

1,483

 

Kendle International, Inc.*

 

13,362

 

730

 

Kensey Nash Corp.*

 

19,812

 

5,079

 

Keryx Biopharmaceuticals, Inc.*

 

27,731

 

3,931

 

Kindred Healthcare, Inc.*

 

63,446

 

937

 

Landauer, Inc.

 

61,477

 

1,035

 

Lannett Co., Inc.*

 

5,724

 

1,860

 

LCA-Vision, Inc.*

 

9,635

 

19,684

 

Lexicon Pharmaceuticals, Inc.*

 

26,770

 

1,555

 

LHC Group, Inc.*

 

41,130

 

1,951

 

Ligand Pharmaceuticals, Inc., Class B*

 

16,465

 

3,732

 

Luminex Corp.*

 

62,996

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

3,318

 

Magellan Health Services, Inc.*

 

$

161,587

 

2,544

 

MAKO Surgical Corp.*

 

29,180

 

6,634

 

MannKind Corp.*

 

41,662

 

1,565

 

MAP Pharmaceuticals, Inc.*

 

22,489

 

3,314

 

Martek Biosciences Corp.*

 

72,908

 

5,166

 

Masimo Corp.

 

159,423

 

3,095

 

Maxygen, Inc.*

 

20,025

 

4,284

 

MedAssets, Inc.*

 

79,447

 

2,043

 

MedCath Corp.*

 

25,783

 

1,424

 

Medical Action Industries, Inc.*

 

11,335

 

5,301

 

Medicines Co. (The)*

 

69,867

 

6,000

 

Medicis Pharmaceutical Corp., Class A

 

158,100

 

1,870

 

Medidata Solutions, Inc.*

 

37,213

 

3,388

 

Medivation, Inc.*

 

38,386

 

1,126

 

MedQuist, Inc.

 

10,044

 

2,510

 

MELA Sciences, Inc.*

 

8,936

 

5,142

 

Merge Healthcare, Inc.*

 

19,848

 

4,044

 

Meridian Bioscience, Inc.

 

89,858

 

2,806

 

Merit Medical Systems, Inc.*

 

42,763

 

2,664

 

Metabolix, Inc.*

 

27,279

 

3,974

 

Metropolitan Health Networks, Inc.*

 

17,128

 

8,045

 

Micromet, Inc.*

 

58,407

 

1,543

 

Molina Healthcare, Inc.*

 

39,177

 

4,001

 

Momenta Pharmaceuticals, Inc.*

 

61,015

 

1,225

 

MWI Veterinary Supply, Inc.*

 

74,847

 

4,457

 

Nabi Biopharmaceuticals*

 

23,176

 

1,697

 

Nanosphere, Inc.*

 

8,875

 

896

 

National Healthcare Corp.

 

38,815

 

178

 

National Research Corp.

 

5,039

 

2,834

 

Natus Medical, Inc.*

 

36,445

 

9,362

 

Nektar Therapeutics*

 

118,617

 

2,246

 

Neogen Corp.*

 

83,439

 

2,702

 

NeoStem, Inc.*

 

3,513

 

4,582

 

Neuralstem, Inc.*

 

9,210

 

4,879

 

Neurocrine Biosciences, Inc.*

 

35,519

 

1,101

 

NeurogesX, Inc.*

 

5,901

 

8,996

 

Novavax, Inc.*

 

20,061

 

6,661

 

NPS Pharmaceuticals, Inc.*

 

41,365

 

356

 

NuPathe, Inc.*

 

2,125

 

3,899

 

NuVasive, Inc.*

 

91,081

 

2,470

 

NxStage Medical, Inc.*

 

53,451

 

1,842

 

Nymox Pharmaceutical Corp.*

 

7,534

 

1,702

 

Obagi Medical Products, Inc.*

 

18,586

 

1,863

 

Omeros Corp.*

 

15,109

 

3,237

 

Omnicell, Inc.*

 

43,376

 

6,233

 

Onyx Pharmaceuticals, Inc.*

 

183,562

 

8,816

 

Opko Health, Inc.*

 

26,624

 

3,319

 

Optimer Pharmaceuticals, Inc.*

 

31,431

 

4,597

 

OraSure Technologies, Inc.*

 

24,134

 

3,024

 

Orexigen Therapeutics, Inc.*

 

15,755

 

1,752

 

Orthofix International N.V.*

 

47,637

 

6,633

 

Orthovita, Inc.*

 

13,200

 

1,673

 

Osiris Therapeutics, Inc.*

 

10,975

 

6,280

 

Owens & Minor, Inc.

 

177,410

 

3,535

 

Pain Therapeutics, Inc.*

 

28,174

 

1,843

 

Palomar Medical Technologies, Inc.*

 

22,945

 

3,491

 

Par Pharmaceutical Cos., Inc.*

 

125,432

 

5,811

 

Parexel International Corp.*

 

102,041

 

883

 

PDI, Inc.*

 

8,353

 

13,908

 

PDL BioPharma, Inc.

 

80,388

 

5,481

 

Peregrine Pharmaceuticals, Inc.*

 

8,441

 

4,317

 

Pharmacyclics, Inc.*

 

23,398

 

2,918

 

Pharmasset, Inc.*

 

126,408

 

3,052

 

PharMerica Corp.*

 

33,145

 

2,645

 

Pozen, Inc.*

 

16,928

 

2,814

 

Progenics Pharmaceuticals, Inc.*

 

13,366

 

952

 

Prospect Medical Holdings, Inc.*

 

8,035

 

1,287

 

Providence Service Corp. (The)*

 

21,634

 

5,691

 

PSS World Medical, Inc.*

 

117,235

 

3,466

 

Pure Bioscience*

 

7,452

 

1,878

 

Quality Systems, Inc.

 

121,112

 

5,477

 

Questcor Pharmaceuticals, Inc.*

 

77,992

 

2,149

 

Quidel Corp.*

 

28,388

 

2,470

 

RehabCare Group, Inc.*

 

49,968

 

2,511

 

Res-Care, Inc.*

 

33,221

 

5,174

 

Rigel Pharmaceuticals, Inc.*

 

41,289

 

1,077

 

Rochester Medical Corp.*

 

11,912

 

5,446

 

RTI Biologics, Inc.*

 

14,759

 

1,903

 

Rural/Metro Corp.*

 

21,561

 

5,671

 

Salix Pharmaceuticals Ltd.*

 

253,210

 

4,490

 

Sangamo Biosciences, Inc.*

 

20,923

 

5,215

 

Santarus, Inc.*

 

14,393

 

6,718

 

Savient Pharmaceuticals, Inc.*

 

79,340

 

3,706

 

Sciclone Pharmaceuticals, Inc.*

 

13,860

 

8,320

 

Seattle Genetics, Inc.*

 

125,632

 

5,001

 

Select Medical Holdings Corp.*

 

30,956

 

7,473

 

Sequenom, Inc.*

 

51,339

 

3,114

 

SIGA Technologies, Inc.*

 

39,236

 

3,334

 

Sirona Dental Systems, Inc.*

 

125,992

 

1,975

 

Skilled Healthcare Group, Inc., Class A*

 

12,561

 

5,913

 

Solta Medical, Inc.*

 

12,003

 

2,821

 

Somaxon Pharmaceuticals, Inc.*

 

7,588

 

1,453

 

SonoSite, Inc.*

 

44,142

 

3,295

 

Spectranetics Corp. (The)*

 

16,113

 

4,927

 

Spectrum Pharmaceuticals, Inc.*

 

21,925

 

442

 

St. Jude Medical, Inc.*

 

17,089

 

3,468

 

Staar Surgical Co.*

 

18,554

 

11,915

 

StemCells, Inc.*

 

12,630

 

2,841

 

Stereotaxis, Inc.*

 

9,801

 

5,900

 

STERIS Corp.

 

203,019

 

1,103

 

Sucampo Pharmaceuticals, Inc., Class A*

 

3,805

 

2,480

 

Sun Healthcare Group, Inc.*

 

24,301

 

5,559

 

Sunrise Senior Living, Inc.*

 

20,457

 

5,604

 

SuperGen, Inc.*

 

14,851

 

1,734

 

SurModics, Inc.*

 

16,039

 

3,581

 

Symmetry Medical, Inc.*

 

29,257

 

3,546

 

Syneron Medical Ltd.*

 

34,219

 

1,125

 

Synovis Life Technologies, Inc.*

 

18,169

 

2,223

 

Synta Pharmaceuticals Corp.*

 

9,537

 

2,374

 

Targacept, Inc.*

 

50,329

 

1,526

 

Team Health Holdings, Inc.*

 

21,059

 

6,221

 

Theravance, Inc.*

 

155,401

 

4,810

 

TomoTherapy, Inc.*

 

16,835

 

907

 

Transcend Services, Inc.*

 

14,512

 

535

 

Transcept Pharmaceuticals, Inc.*

 

3,445

 

2,022

 

Triple-S Management Corp., Class B*

 

38,843

 

1,009

 

U.S. Physical Therapy, Inc.*

 

19,363

 

4,817

 

Unilife Corp.*

 

26,156

 

3,187

 

Universal American Corp.

 

47,263

 

2,777

 

Vanda Pharmaceuticals, Inc.*

 

22,383

 

1,664

 

Vascular Solutions, Inc.*

 

17,605

 

7,093

 

Vical, Inc.*

 

13,902

 

7,749

 

ViroPharma, Inc.*

 

119,722

 

1,437

 

Vital Images, Inc.*

 

19,285

 

8,048

 

Vivus, Inc.*

 

52,312

 

5,003

 

Volcano Corp.*

 

132,830

 

4,222

 

WellCare Health Plans, Inc.*

 

118,849

 

3,308

 

West Pharmaceutical Services, Inc.

 

125,439

 

 

See accompanying notes to the financial statements.

 


 

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Common Stocks (a) (continued)

 

 

 

3,867

 

Wright Medical Group, Inc.*

 

$

51,006

 

2,731

 

XenoPort, Inc.*

 

21,165

 

559

 

Young Innovations, Inc.

 

16,893

 

6,547

 

Zalicus, Inc.*

 

7,725

 

4,864

 

ZIOPHARM Oncology, Inc.*

 

19,991

 

2,135

 

Zoll Medical Corp.*

 

71,352

 

 

 

 

 

13,122,400

 

 

 

Industrials - 8.3%

 

 

 

 

 

 

 

 

 

1,813

 

3D Systems Corp.*

 

51,018

 

3,620

 

A. O. Smith Corp.

 

142,644

 

7,232

 

A123 Systems, Inc.*

 

55,614

 

1,229

 

AAON, Inc.

 

31,524

 

3,885

 

AAR Corp.*

 

95,416

 

5,168

 

ABM Industries, Inc.

 

119,019

 

3,361

 

Acacia Research - Acacia Technologies*

 

91,587

 

5,456

 

ACCO Brands Corp.*

 

38,301

 

2,531

 

Aceto Corp.

 

18,957

 

6,760

 

Actuant Corp., Class A

 

159,739

 

4,330

 

Acuity Brands, Inc.

 

233,214

 

2,168

 

Administaff, Inc.

 

61,333

 

5,877

 

Advanced Battery Technologies, Inc.*

 

22,215

 

1,542

 

Advisory Board Co. (The)*

 

73,183

 

1,647

 

Aerovironment, Inc.*

 

40,681

 

5,393

 

Air Transport Services Group, Inc.*

 

39,800

 

5,052

 

Aircastle Ltd.

 

48,398

 

13,465

 

AirTran Holdings, Inc.*

 

100,180

 

643

 

Alamo Group, Inc.

 

16,467

 

3,560

 

Alaska Air Group, Inc.*

 

195,800

 

2,720

 

Albany International Corp., Class A

 

57,392

 

1,512

 

Allegiant Travel Co.

 

75,494

 

2,665

 

Altra Holdings, Inc.*

 

44,719

 

852

 

Amerco, Inc.*

 

82,593

 

864

 

Ameresco, Inc., Class A*

 

11,189

 

901

 

American Commercial Lines, Inc.*

 

29,733

 

940

 

American Railcar Industries, Inc.*

 

14,109

 

3,665

 

American Reprographics Co.*

 

25,765

 

898

 

American Science & Engineering, Inc.

 

72,397

 

4,468

 

American Superconductor Corp.*

 

148,695

 

903

 

American Woodmark Corp.

 

18,791

 

917

 

Ameron International Corp.

 

64,924

 

850

 

Ampco-Pittsburgh Corp.

 

22,389

 

3,167

 

APAC Customer Services, Inc.*

 

18,749

 

2,794

 

Apogee Enterprises, Inc.

 

31,432

 

7,715

 

Applied Energetics, Inc.*

 

6,172

 

4,216

 

Applied Industrial Technologies, Inc.

 

125,974

 

1,325

 

Applied Signal Technology, Inc.

 

43,539

 

771

 

Argan, Inc.*

 

6,569

 

2,518

 

Arkansas Best Corp.

 

62,031

 

9,363

 

ArvinMeritor, Inc.*

 

167,130

 

1,977

 

Astec Industries, Inc.*

 

59,211

 

932

 

Astronics Corp.*

 

19,171

 

2,572

 

Atlas Air Worldwide Holdings, Inc.*

 

140,328

 

10,221

 

Avis Budget Group, Inc.*

 

135,837

 

1,235

 

AZZ, Inc.

 

46,028

 

1,493

 

Badger Meter, Inc.

 

63,333

 

4,663

 

Baldor Electric Co.

 

295,215

 

1,624

 

Baltic Trading Ltd.

 

19,050

 

4,880

 

Barnes Group, Inc.

 

93,159

 

773

 

Barrett Business Services, Inc.

 

11,464

 

4,535

 

Beacon Roofing Supply, Inc.*

 

77,957

 

4,655

 

Belden, Inc.

 

154,918

 

4,761

 

Blount International, Inc.*

 

73,605

 

1,091

 

BlueLinx Holdings, Inc.*

 

4,091

 

4,864

 

Brady Corp., Class A

 

150,444

 

4,986

 

Briggs & Stratton Corp.

 

86,806

 

4,768

 

Brink’s Co. (The)

 

117,007

 

9,214

 

Broadwind Energy, Inc.*

 

17,599

 

4,513

 

Builders FirstSource, Inc.*

 

7,131

 

991

 

CAI International, Inc.*

 

20,266

 

23,941

 

Capstone Turbine Corp.*

 

18,722

 

901

 

Cascade Corp.

 

32,905

 

2,483

 

Casella Waste Systems, Inc., Class A*

 

11,322

 

4,392

 

CBIZ, Inc.*

 

26,440

 

1,249

 

CDI Corp.

 

21,420

 

1,985

 

Celadon Group, Inc.*

 

26,738

 

5,475

 

Cenveo, Inc.*

 

28,032

 

2,533

 

Ceradyne, Inc.*

 

66,922

 

2,857

 

Chart Industries, Inc.*

 

90,367

 

1,701

 

CIRCOR International, Inc.

 

67,189

 

5,022

 

CLARCOR, Inc.

 

204,446

 

2,299

 

Clean Harbors, Inc.*

 

170,241

 

788

 

Coleman Cable, Inc.*

 

4,531

 

2,392

 

Colfax Corp.*

 

40,377

 

1,907

 

Columbus McKinnon Corp.*

 

31,294

 

3,788

 

Comfort Systems USA, Inc.

 

42,236

 

2,437

 

Commercial Vehicle Group, Inc.*

 

34,532

 

113

 

Compx International, Inc.

 

1,337

 

929

 

Consolidated Graphics, Inc.*

 

44,183

 

3,412

 

Corporate Executive Board Co. (The)

 

118,362

 

2,062

 

CoStar Group, Inc.*

 

108,750

 

1,019

 

Courier Corp.

 

14,480

 

1,102

 

CRA International, Inc.*

 

24,354

 

1,568

 

Cubic Corp.

 

71,548

 

4,565

 

Curtiss-Wright Corp.

 

141,835

 

5,108

 

Deluxe Corp.

 

108,239

 

2,742

 

DigitalGlobe, Inc.*

 

80,971

 

3,019

 

Dolan Co. (The)*

 

41,360

 

2,853

 

Dollar Thrifty Automotive Group, Inc.*

 

131,010

 

1,070

 

Douglas Dynamics, Inc.

 

15,782

 

1,043

 

Ducommun, Inc.

 

23,342

 

819

 

DXP Enterprises, Inc.*

 

17,625

 

3,848

 

Dycom Industries, Inc.*

 

50,871

 

970

 

Dynamex, Inc.*

 

23,425

 

1,291

 

Dynamic Materials Corp.

 

20,772

 

6,186

 

Eagle Bulk Shipping, Inc.*

 

30,930

 

6,599

 

EMCOR Group, Inc.*

 

176,853

 

1,843

 

Encore Wire Corp.

 

41,984

 

6,070

 

Ener1, Inc.*

 

26,404

 

4,085

 

Energy Recovery, Inc.*

 

13,603

 

8,809

 

EnergySolutions, Inc.

 

44,045

 

1,961

 

EnerNOC, Inc.*

 

48,103

 

4,804

 

EnerSys*

 

145,033

 

2,580

 

Ennis, Inc.

 

44,041

 

2,047

 

EnPro Industries, Inc.*

 

75,023

 

2,631

 

ESCO Technologies, Inc.

 

92,295

 

2,970

 

Esterline Technologies Corp.*

 

174,874

 

3,961

 

Excel Maritime Carriers Ltd.*

 

21,984

 

1,382

 

Exponent, Inc.*

 

48,259

 

6,195

 

Federal Signal Corp.

 

39,710

 

4,670

 

Flow International Corp.*

 

15,458

 

6,993

 

Force Protection, Inc.*

 

35,874

 

2,885

 

Forward Air Corp.

 

79,395

 

1,303

 

Franklin Covey Co.*

 

10,463

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,314

 

Franklin Electric Co., Inc.

 

$

90,038

 

1,186

 

FreightCar America, Inc.

 

29,460

 

1,781

 

Fuel Tech, Inc.*

 

13,019

 

9,488

 

FuelCell Energy, Inc.*

 

10,721

 

3,659

 

Furmanite Corp.*

 

24,259

 

1,849

 

G&K Services, Inc., Class A

 

51,291

 

2,826

 

Genco Shipping & Trading Ltd.*

 

41,486

 

5,825

 

GenCorp, Inc.*

 

28,601

 

1,923

 

Generac Holdings, Inc.*

 

28,576

 

3,861

 

Genesee & Wyoming, Inc., Class A*

 

183,359

 

6,077

 

Geo Group, Inc. (The)*

 

146,456

 

2,196

 

GeoEye, Inc.*

 

87,533

 

3,014

 

Gibraltar Industries, Inc.*

 

30,652

 

474

 

Global Defense Technology & Systems, Inc.*

 

6,465

 

1,214

 

Gorman-Rupp Co. (The)

 

36,092

 

1,465

 

GP Strategies Corp.*

 

13,507

 

11,987

 

GrafTech International Ltd.*

 

234,945

 

984

 

Graham Corp.

 

16,098

 

3,470

 

Granite Construction, Inc.

 

88,034

 

5,832

 

Great Lakes Dredge & Dock Corp.

 

44,790

 

1,884

 

Greenbrier Cos., Inc.*

 

35,344

 

4,459

 

Griffon Corp.*

 

54,043

 

2,753

 

H&E Equipment Services, Inc.*

 

27,392

 

5,151

 

Hawaiian Holdings, Inc.*

 

40,693

 

493

 

Hawk Corp., Class A*

 

24,635

 

6,537

 

Healthcare Services Group, Inc.

 

104,134

 

5,021

 

Heartland Express, Inc.

 

77,574

 

2,921

 

HEICO Corp.

 

153,645

 

1,741

 

Heidrick & Struggles International, Inc.

 

36,161

 

1,350

 

Herley Industries, Inc.*

 

21,951

 

5,673

 

Herman Miller, Inc.

 

122,196

 

9,660

 

Hexcel Corp.*

 

165,669

 

1,029

 

Higher One Holdings, Inc.*

 

20,848

 

2,573

 

Hill International, Inc.*

 

13,328

 

4,503

 

HNI Corp.

 

119,960

 

1,701

 

Hoku Corp.*

 

4,321

 

3,029

 

Horizon Lines, Inc., Class A

 

11,056

 

1,765

 

Houston Wire & Cable Co.

 

18,797

 

3,717

 

HUB Group, Inc., Class A*

 

121,286

 

3,200

 

Hudson Highland Group, Inc.*

 

13,056

 

2,190

 

Huron Consulting Group, Inc.*

 

49,735

 

1,706

 

ICF International, Inc.*

 

40,842

 

2,499

 

II-VI, Inc.*

 

102,034

 

2,364

 

InnerWorkings, Inc.*

 

14,586

 

3,909

 

Insituform Technologies, Inc., Class A*

 

86,545

 

1,748

 

Insteel Industries, Inc.

 

18,127

 

5,027

 

Interface, Inc., Class A

 

72,590

 

3,283

 

Interline Brands, Inc.*

 

67,630

 

560

 

International Shipholding Corp.

 

14,806

 

24,288

 

JetBlue Airways Corp.*

 

164,916

 

2,803

 

John Bean Technologies Corp.

 

51,715

 

1,236

 

Kadant, Inc.*

 

23,719

 

2,583

 

Kaman Corp.

 

72,763

 

3,330

 

Kaydon Corp.

 

116,483

 

2,631

 

Kelly Services, Inc., Class A*

 

47,029

 

3,061

 

Kforce, Inc.*

 

46,252

 

3,118

 

Kimball International, Inc., Class B

 

18,271

 

5,916

 

Knight Transportation, Inc.

 

114,060

 

4,677

 

Knoll, Inc.

 

71,792

 

4,582

 

Korn/Ferry International*

 

79,360

 

1,822

 

Kratos Defense & Security Solutions, Inc.*

 

19,259

 

1,016

 

L.B. Foster Co., Class A*

 

35,245

 

1,237

 

LaBarge, Inc.*

 

17,528

 

1,563

 

Ladish Co., Inc.*

 

73,367

 

404

 

Lawson Products, Inc.

 

8,124

 

1,945

 

Layne Christensen Co.*

 

64,127

 

2,564

 

LECG Corp.*

 

2,416

 

1,243

 

Lindsay Corp.

 

73,387

 

878

 

LMI Aerospace, Inc.*

 

14,285

 

1,884

 

LSI Industries, Inc.

 

16,636

 

1,700

 

Lydall, Inc.*

 

12,291

 

1,059

 

M&F Worldwide Corp.*

 

24,939

 

1,533

 

Marten Transport Ltd.

 

32,959

 

5,275

 

MasTec, Inc.*

 

75,591

 

2,383

 

McGrath RentCorp

 

66,533

 

3,737

 

Metalico, Inc.*

 

16,331

 

1,457

 

Met-Pro Corp.

 

16,071

 

786

 

Michael Baker Corp.*

 

25,223

 

1,655

 

Middleby Corp.*

 

133,178

 

1,007

 

Miller Industries, Inc.

 

14,118

 

2,642

 

Mine Safety Appliances Co.

 

76,142

 

1,435

 

Mistras Group, Inc.*

 

17,076

 

3,624

 

Mobile Mini, Inc.*

 

65,486

 

4,514

 

Moog, Inc., Class A*

 

166,386

 

3,749

 

Mueller Industries, Inc.

 

114,307

 

15,375

 

Mueller Water Products, Inc., Class A

 

54,120

 

1,119

 

Multi-Color Corp.

 

21,876

 

1,982

 

MYR Group, Inc.*

 

31,256

 

578

 

NACCO Industries, Inc., Class A

 

53,529

 

5,036

 

Navigant Consulting, Inc.*

 

41,900

 

1,946

 

NCI Building Systems, Inc.*

 

20,258

 

3,395

 

Nordson Corp.

 

269,665

 

919

 

Northwest Pipe Co.*

 

20,393

 

4,157

 

Old Dominion Freight Line, Inc.*

 

120,054

 

273

 

Omega Flex, Inc.

 

4,633

 

3,628

 

On Assignment, Inc.*

 

24,924

 

5,736

 

Orbital Sciences Corp.*

 

93,497

 

2,674

 

Orion Marine Group, Inc.*

 

35,939

 

460

 

P.A.M. Transportation Services, Inc.*

 

4,982

 

3,478

 

Pacer International, Inc.*

 

19,442

 

782

 

Park-Ohio Holdings Corp.*

 

15,132

 

142

 

Patriot Transportation Holding, Inc.*

 

10,568

 

1,910

 

PGT, Inc.*

 

4,202

 

1,631

 

Pike Electric Corp.*

 

11,629

 

1,849

 

Pinnacle Airlines Corp.*

 

15,032

 

1,464

 

PMFG, Inc.*

 

21,814

 

2,167

 

Polypore International, Inc.*

 

68,867

 

879

 

Powell Industries, Inc.*

 

30,923

 

1,819

 

PowerSecure International, Inc.*

 

15,680

 

221

 

Preformed Line Products Co.

 

10,277

 

2,179

 

Primoris Services Corp.

 

19,262

 

936

 

Quality Distribution, Inc.*

 

6,496

 

3,769

 

Quanex Building Products Corp.

 

62,339

 

2,302

 

RailAmerica, Inc.*

 

28,545

 

1,617

 

Raven Industries, Inc.

 

71,795

 

2,162

 

RBC Bearings, Inc.*

 

79,756

 

3,413

 

Republic Airways Holdings, Inc.*

 

26,485

 

4,612

 

Resources Connection, Inc.

 

77,159

 

1,058

 

Roadrunner Transportation Systems, Inc.*

 

13,415

 

2,674

 

Robbins & Myers, Inc.

 

82,921

 

4,270

 

Rollins, Inc.

 

115,375

 

4,902

 

RSC Holdings, Inc.*

 

38,187

 

3,175

 

Rush Enterprises, Inc., Class A*

 

55,785

 

1,582

 

Saia, Inc.*

 

23,841

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11,499

 

Satcon Technology Corp.*

 

$

40,591

 

1,150

 

Sauer-Danfoss, Inc.*

 

34,948

 

1,102

 

Schawk, Inc.

 

19,770

 

1,877

 

School Specialty, Inc.*

 

23,707

 

31

 

Seaboard Corp.

 

57,722

 

5,168

 

SFN Group, Inc.*

 

44,290

 

3,917

 

Simpson Manufacturing Co., Inc.

 

101,333

 

5,569

 

Skywest, Inc.

 

90,162

 

1,541

 

Standard Parking Corp.*

 

27,368

 

1,782

 

Standard Register Co. (The)

 

5,293

 

1,242

 

Standex International Corp.

 

37,136

 

7,627

 

Steelcase, Inc., Class A

 

73,067

 

1,602

 

Sterling Construction Co., Inc.*

 

21,611

 

1,244

 

Sun Hydraulics Corp.

 

38,763

 

4,106

 

SYKES Enterprises, Inc.*

 

75,550

 

1,664

 

TAL International Group, Inc.

 

47,141

 

6,232

 

Taser International, Inc.*

 

25,115

 

1,888

 

Team, Inc.*

 

38,440

 

1,840

 

Tecumseh Products Co., Class A*

 

24,527

 

3,606

 

Teledyne Technologies, Inc.*

 

145,033

 

1,879

 

Tennant Co.

 

64,149

 

6,145

 

Tetra Tech, Inc.*

 

142,011

 

944

 

Textainer Group Holdings Ltd.

 

26,262

 

863

 

Thermadyne Holdings Corp.*

 

12,910

 

3,511

 

Titan International, Inc.

 

56,106

 

1,298

 

Titan Machinery, Inc.*

 

27,213

 

2,441

 

Tredegar Corp.

 

45,476

 

1,541

 

Trex Co., Inc.*

 

28,431

 

1,494

 

Trimas Corp.*

 

29,805

 

1,664

 

Triumph Group, Inc.

 

139,992

 

4,391

 

TrueBlue, Inc.*

 

72,364

 

2,657

 

Tutor Perini Corp.

 

50,616

 

833

 

Twin Disc, Inc.

 

20,325

 

2,203

 

Ultrapetrol (Bahamas) Ltd.*

 

15,223

 

1,403

 

Unifirst Corp.

 

71,932

 

176

 

United Capital Corp.*

 

5,192

 

6,018

 

United Rentals, Inc.*

 

118,073

 

2,411

 

United Stationers, Inc.*

 

153,026

 

1,928

 

Universal Forest Products, Inc.

 

63,007

 

580

 

Universal Truckload Services, Inc.*

 

8,700

 

3,585

 

UQM Technologies, Inc.*

 

7,134

 

16,053

 

US Airways Group, Inc.*

 

179,151

 

1,825

 

US Ecology, Inc.

 

28,671

 

780

 

USA Truck, Inc.*

 

10,335

 

2,046

 

Viad Corp.

 

48,592

 

1,945

 

Vicor Corp.

 

32,637

 

1,493

 

Volt Information Sciences, Inc.*

 

9,973

 

414

 

VSE Corp.

 

12,573

 

6,798

 

Wabash National Corp.*

 

71,719

 

2,772

 

Watsco, Inc.

 

167,068

 

2,917

 

Watts Water Technologies, Inc., Class A

 

94,948

 

4,284

 

Werner Enterprises, Inc.

 

92,449

 

6,069

 

Woodward Governor Co.

 

204,829

 

743

 

Xerium Technologies, Inc.*

 

9,674

 

 

 

 

 

17,137,604

 

 

 

Information Technology - 10.0%

 

 

 

 

 

 

 

 

 

3,388

 

ACI Worldwide, Inc.*

 

86,021

 

4,356

 

Acme Packet, Inc.*

 

213,357

 

4,513

 

Actuate Corp.*

 

25,453

 

6,805

 

Acxiom Corp.*

 

115,753

 

9,655

 

ADC Telecommunications, Inc.*

 

122,812

 

6,190

 

ADTRAN, Inc.

 

192,757

 

4,279

 

Advanced Analogic Technologies, Inc.*

 

15,661

 

3,626

 

Advanced Energy Industries, Inc.*

 

42,352

 

1,571

 

Advent Software, Inc.*

 

81,032

 

1,766

 

Agilysys, Inc.*

 

9,060

 

504

 

Alpha & Omega Semiconductor Ltd.*

 

5,927

 

2,196

 

American Software, Inc., Class A

 

14,735

 

10,441

 

Amkor Technology, Inc.*

 

72,669

 

6,493

 

ANADIGICS, Inc.*

 

41,685

 

1,460

 

Anaren, Inc.*

 

26,587

 

1,882

 

Ancestry.com, Inc.*

 

53,788

 

2,794

 

Anixter International, Inc.

 

156,101

 

6,514

 

Applied Micro Circuits Corp.*

 

60,450

 

1,168

 

Archipelago Learning, Inc.*

 

10,080

 

8,950

 

Ariba, Inc.*

 

181,103

 

12,624

 

Arris Group, Inc.*

 

126,366

 

15,631

 

Art Technology Group, Inc.*

 

93,317

 

7,677

 

Aruba Networks, Inc.*

 

162,752

 

6,190

 

Aspen Technology, Inc.*

 

77,375

 

3,137

 

ATMI, Inc.*

 

56,309

 

5,942

 

Aviat Networks, Inc.*

 

24,600

 

2,894

 

Avid Technology, Inc.*

 

45,088

 

10,368

 

Axcelis Technologies, Inc.*

 

25,713

 

3,086

 

AXT, Inc.*

 

25,459

 

1,037

 

Bel Fuse, Inc., Class B

 

23,281

 

6,273

 

Benchmark Electronics, Inc.*

 

100,807

 

4,968

 

BigBand Networks, Inc.*

 

14,805

 

1,745

 

Black Box Corp.

 

62,523

 

4,463

 

Blackbaud, Inc.

 

112,959

 

3,397

 

Blackboard, Inc.*

 

141,145

 

4,145

 

Blue Coat Systems, Inc.*

 

110,257

 

3,137

 

Bottomline Technologies, Inc.*

 

59,383

 

7,013

 

Brightpoint, Inc.*

 

57,507

 

743

 

BroadSoft, Inc.*

 

16,888

 

6,472

 

Brooks Automation, Inc.*

 

46,922

 

2,351

 

Cabot Microelectronics Corp.*

 

92,794

 

3,011

 

CACI International, Inc., Class A*

 

151,544

 

743

 

Calix, Inc.*

 

9,488

 

836

 

Cass Information Systems, Inc.

 

29,561

 

4,417

 

Cavium Networks, Inc.*

 

162,524

 

2,945

 

CDC Corp., Class A*

 

11,397

 

2,089

 

CEVA, Inc.*

 

48,465

 

3,931

 

Checkpoint Systems, Inc.*

 

70,522

 

6,201

 

Ciber, Inc.*

 

20,835

 

6,880

 

Cirrus Logic, Inc.*

 

105,058

 

5,229

 

Cogent, Inc.*

 

54,852

 

3,946

 

Cognex Corp.

 

110,330

 

2,514

 

Coherent, Inc.*

 

103,853

 

2,343

 

Cohu, Inc.

 

33,927

 

4,299

 

CommVault Systems, Inc.*

 

125,230

 

2,319

 

Compellent Technologies, Inc.*

 

60,294

 

1,472

 

Computer Task Group, Inc.*

 

14,499

 

2,258

 

comScore, Inc.*

 

49,676

 

2,838

 

Comtech Telecommunications Corp.

 

84,175

 

2,505

 

Comverge, Inc.*

 

16,708

 

4,007

 

Concur Technologies, Inc.*

 

205,198

 

8,080

 

Conexant Systems, Inc.*

 

10,989

 

2,837

 

Constant Contact, Inc.*

 

72,599

 

585

 

Convio, Inc.*

 

4,276

 

743

 

CPI International, Inc.*

 

14,377

 

3,534

 

Cray, Inc.*

 

25,233

 

3,387

 

CSG Systems International, Inc.*

 

63,743

 

3,385

 

CTS Corp.

 

34,832

 

2,994

 

Cymer, Inc.*

 

113,982

 

3,369

 

Daktronics, Inc.

 

45,414

 

1,315

 

DDi Corp.

 

13,794

 

4,013

 

DealerTrack Holdings, Inc.*

 

76,648

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,965

 

Deltek, Inc.*

 

$

14,030

 

1,905

 

DemandTec, Inc.*

 

19,717

 

2,495

 

DG FastChannel, Inc.*

 

62,949

 

1,583

 

Dice Holdings, Inc.*

 

17,888

 

2,481

 

Digi International, Inc.*

 

23,818

 

670

 

Digimarc Corp.*

 

18,827

 

3,947

 

Digital River, Inc.*

 

145,329

 

3,377

 

Diodes, Inc.*

 

83,412

 

2,307

 

DSP Group, Inc.*

 

17,649

 

1,732

 

DTS, Inc.*

 

81,300

 

10,744

 

Earthlink, Inc.

 

96,320

 

2,674

 

Ebix, Inc.*

 

55,485

 

3,283

 

Echelon Corp.*

 

31,287

 

1,062

 

Echo Global Logistics, Inc.*

 

12,160

 

1,642

 

Electro Rent Corp.

 

24,334

 

2,752

 

Electro Scientific Industries, Inc.*

 

41,115

 

4,511

 

Electronics for Imaging, Inc.*

 

59,049

 

1,524

 

EMS Technologies, Inc.*

 

28,331

 

8,078

 

Emulex Corp.*

 

91,443

 

4,830

 

Energy Conversion Devices, Inc.*

 

21,687

 

13,076

 

Entegris, Inc.*

 

84,994

 

6,476

 

Entropic Communications, Inc.*

 

57,895

 

768

 

Envestnet, Inc.*

 

11,205

 

4,867

 

Epicor Software Corp.*

 

45,555

 

3,262

 

EPIQ Systems, Inc.

 

41,558

 

378

 

ePlus, Inc.*

 

8,770

 

4,879

 

Euronet Worldwide, Inc.*

 

79,820

 

19,158

 

Evergreen Solar, Inc.*

 

14,905

 

3,589

 

Exar Corp.*

 

24,046

 

1,511

 

ExlService Holdings, Inc.*

 

31,232

 

8,957

 

Extreme Networks*

 

26,244

 

975

 

Fabrinet*

 

16,809

 

4,150

 

Fair Isaac Corp.

 

96,902

 

2,936

 

FalconStor Software, Inc.*

 

7,810

 

1,606

 

FARO Technologies, Inc.*

 

41,708

 

3,785

 

FEI Co.*

 

90,083

 

7,499

 

Finisar Corp.*

 

143,381

 

4,979

 

Formfactor, Inc.*

 

46,205

 

1,453

 

Forrester Research, Inc.*

 

50,346

 

4,170

 

Fortinet, Inc.*

 

132,898

 

3,826

 

FSI International, Inc.*

 

13,506

 

2,507

 

Gerber Scientific, Inc.*

 

18,151

 

5,021

 

Global Cash Access Holdings, Inc.*

 

11,448

 

2,136

 

Globecomm Systems, Inc.*

 

18,049

 

6,602

 

GSI Commerce, Inc.*

 

157,458

 

1,919

 

GSI Technology, Inc.*

 

14,201

 

6,214

 

GT Solar International, Inc.*

 

41,572

 

1,324

 

Guidance Software, Inc.*

 

8,116

 

2,839

 

Hackett Group, Inc. (The)*

 

9,993

 

9,647

 

Harmonic, Inc.*

 

65,214

 

3,766

 

Heartland Payment Systems, Inc.

 

59,465

 

2,719

 

Hittite Microwave Corp.*

 

155,636

 

888

 

Hughes Communications, Inc.*

 

35,165

 

2,326

 

Hutchinson Technology, Inc.*

 

7,211

 

4,591

 

Hypercom Corp.*

 

33,973

 

2,354

 

iGate Corp.

 

47,080

 

2,989

 

Ikanos Communications, Inc.*

 

3,288

 

2,964

 

Imation Corp.*

 

28,158

 

2,796

 

Immersion Corp.*

 

15,686

 

8,757

 

Infinera Corp.*

 

71,457

 

3,568

 

Infospace, Inc.*

 

27,545

 

4,600

 

Insight Enterprises, Inc.*

 

58,006

 

1,746

 

Integral Systems, Inc.*

 

15,923

 

16,172

 

Integrated Device Technology, Inc.*

 

103,986

 

2,581

 

Integrated Silicon Solution, Inc.*

 

20,622

 

1,301

 

Interactive Intelligence, Inc.*

 

35,179

 

4,379

 

InterDigital, Inc.*

 

144,814

 

4,867

 

Intermec, Inc.*

 

55,046

 

5,157

 

Internap Network Services Corp.*

 

26,971

 

2,867

 

Internet Brands, Inc., Class A*

 

38,217

 

3,625

 

Internet Capital Group, Inc.*

 

44,914

 

2,219

 

Intevac, Inc.*

 

29,513

 

1,097

 

IntraLinks Holdings, Inc.*

 

22,554

 

2,582

 

IPG Photonics Corp.*

 

74,000

 

2,657

 

Isilon Systems, Inc.*

 

89,674

 

3,255

 

Ixia*

 

51,624

 

2,390

 

IXYS Corp.*

 

26,744

 

4,499

 

j2 Global Communications, Inc.*

 

120,483

 

8,494

 

Jack Henry & Associates, Inc.

 

232,226

 

4,147

 

JDA Software Group, Inc.*

 

109,502

 

1,117

 

Keithley Instruments, Inc.

 

24,094

 

2,250

 

Kenexa Corp.*

 

41,197

 

1,256

 

Keynote Systems, Inc.

 

15,373

 

1,972

 

KIT Digital, Inc.*

 

27,154

 

2,993

 

Knot, Inc. (The)*

 

27,985

 

6,633

 

Kopin Corp.*

 

26,665

 

6,982

 

Kulicke & Soffa Industries, Inc.*

 

46,291

 

1,428

 

KVH Industries, Inc.*

 

18,921

 

7,644

 

L-1 Identity Solutions, Inc.*

 

90,429

 

11,542

 

Lattice Semiconductor Corp.*

 

51,362

 

13,810

 

Lawson Software, Inc.*

 

118,628

 

4,562

 

Limelight Networks, Inc.*

 

32,390

 

5,933

 

Lionbridge Technologies, Inc.*

 

19,342

 

1,409

 

Liquidity Services, Inc.*

 

21,797

 

2,184

 

Littelfuse, Inc.

 

101,054

 

4,430

 

LivePerson, Inc.*

 

42,794

 

1,591

 

Local.com Corp.*

 

6,062

 

1,501

 

LogMeIn, Inc.*

 

65,729

 

1,807

 

LoopNet, Inc.*

 

19,263

 

1,073

 

Loral Space & Communications, Inc.*

 

78,415

 

4,871

 

LTX-Credence Corp.*

 

38,383

 

5,923

 

Magma Design Automation, Inc.*

 

24,521

 

2,263

 

Manhattan Associates, Inc.*

 

70,357

 

2,212

 

Mantech International Corp., Class A*

 

88,303

 

1,922

 

Marchex, Inc., Class B

 

13,877

 

4,982

 

Mattson Technology, Inc.*

 

13,800

 

1,741

 

MAXIMUS, Inc.

 

105,679

 

741

 

MaxLinear, Inc., Class A*

 

7,958

 

2,627

 

Maxwell Technologies, Inc.*

 

42,479

 

1,445

 

Measurement Specialties, Inc.*

 

36,963

 

542

 

MediaMind Technologies, Inc.*

 

7,111

 

10,621

 

Mentor Graphics Corp.*

 

119,433

 

2,356

 

Mercury Computer Systems, Inc.*

 

41,960

 

540

 

Meru Networks, Inc.*

 

7,490

 

3,709

 

Methode Electronics, Inc.

 

37,869

 

5,064

 

Micrel, Inc.

 

62,692

 

8,265

 

Microsemi Corp.*

 

182,987

 

900

 

MicroStrategy, Inc., Class A*

 

77,895

 

5,381

 

Microtune, Inc.*

 

15,713

 

8,837

 

Microvision, Inc.*

 

12,460

 

3,181

 

Mindspeed Technologies, Inc.*

 

19,818

 

4,576

 

MIPS Technologies, Inc.*

 

62,188

 

4,990

 

MKS Instruments, Inc.*

 

101,646

 

4,410

 

ModusLink Global Solutions, Inc.*

 

29,547

 

8,281

 

MoneyGram International, Inc.*

 

20,288

 

3,222

 

Monolithic Power Systems, Inc.*

 

51,971

 

2,218

 

Monotype Imaging Holdings, Inc.*

 

24,842

 

2,703

 

MoSys, Inc.*

 

11,028

 

529

 

Motricity, Inc.*

 

15,732

 

15,526

 

Move, Inc.*

 

39,281

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,625

 

MTS Systems Corp.

 

$

62,270

 

1,041

 

Multi-Fineline Electronix, Inc.*

 

24,255

 

1,775

 

Nanometrics, Inc.*

 

21,034

 

660

 

NCI, Inc., Class A*

 

14,500

 

3,507

 

Netgear, Inc.*

 

111,452

 

6,231

 

Netlogic Microsystems, Inc.*

 

194,407

 

3,044

 

Netscout Systems, Inc.*

 

67,242

 

1,824

 

NetSuite, Inc.*

 

45,272

 

3,589

 

Network Engines, Inc.*

 

5,527

 

2,989

 

Network Equipment Technologies, Inc.*

 

12,135

 

3,652

 

Newport Corp.*

 

53,064

 

5,557

 

NIC, Inc.

 

46,401

 

3,109

 

Novatel Wireless, Inc.*

 

30,499

 

466

 

NVE Corp.*

 

23,761

 

1,251

 

Occam Networks, Inc.*

 

9,307

 

4,915

 

Oclaro, Inc.*

 

47,675

 

5,186

 

Omnivision Technologies, Inc.*

 

146,712

 

2,677

 

Online Resources Corp.*

 

11,591

 

1,575

 

OpenTable, Inc.*

 

114,250

 

8,351

 

Openwave Systems, Inc.*

 

19,959

 

1,925

 

Oplink Communications, Inc.*

 

33,283

 

1,322

 

Opnet Technologies, Inc.

 

32,151

 

4,312

 

Opnext, Inc.*

 

5,907

 

1,614

 

OSI Systems, Inc.*

 

56,280

 

11,559

 

Parametric Technology Corp.*

 

247,594

 

2,048

 

Park Electrochemical Corp.

 

56,115

 

947

 

PC Connection, Inc.*

 

8,542

 

1,902

 

PC-Tel, Inc.*

 

11,945

 

2,249

 

PDF Solutions, Inc.*

 

8,973

 

1,612

 

Pegasystems, Inc.

 

49,891

 

2,310

 

Perficient, Inc.*

 

26,057

 

2,524

 

Pericom Semiconductor Corp.*

 

25,215

 

5,315

 

Photronics, Inc.*

 

33,963

 

4,803

 

Plantronics, Inc.

 

171,803

 

4,019

 

Plexus Corp.*

 

109,056

 

3,688

 

PLX Technology, Inc.*

 

12,392

 

2,456

 

Power Integrations, Inc.

 

98,952

 

6,955

 

Power-One, Inc.*

 

65,725

 

13,212

 

Powerwave Technologies, Inc.*

 

27,877

 

2,733

 

Presstek, Inc.*

 

5,056

 

4,196

 

Progress Software Corp.*

 

161,840

 

1,927

 

PROS Holdings, Inc.*

 

18,403

 

4,109

 

Pulse Electronics Corp.

 

16,847

 

1,272

 

QAD, Inc.*

 

5,991

 

1,333

 

QLIK Technologies, Inc.*

 

31,419

 

21,335

 

Quantum Corp.*

 

77,446

 

5,967

 

Quest Software, Inc.*

 

150,965

 

1,000

 

QuinStreet, Inc.*

 

20,000

 

9,651

 

Rackspace Hosting, Inc.*

 

281,520

 

3,290

 

Radiant Systems, Inc.*

 

59,384

 

2,394

 

Radisys Corp.*

 

21,618

 

1,441

 

RealD, Inc.*

 

41,040

 

8,334

 

RealNetworks, Inc.*

 

28,502

 

1,409

 

RealPage, Inc.*

 

38,607

 

1,309

 

Renaissance Learning, Inc.

 

15,407

 

26,719

 

RF Micro Devices, Inc.*

 

187,300

 

1,439

 

Richardson Electronics Ltd.

 

15,412

 

2,155

 

RightNow Technologies, Inc.*

 

54,586

 

943

 

Rimage Corp.*

 

14,428

 

12,556

 

Riverbed Technology, Inc.*

 

425,774

 

2,816

 

Rofin-Sinar Technologies, Inc.*

 

80,847

 

1,572

 

Rogers Corp.*

 

51,860

 

1,042

 

Rosetta Stone, Inc.*

 

21,872

 

1,580

 

Rubicon Technology, Inc.*

 

34,665

 

3,107

 

Rudolph Technologies, Inc.*

 

23,178

 

5,153

 

S1 Corp.*

 

32,670

 

2,785

 

Saba Software, Inc.*

 

16,794

 

7,918

 

Sanmina-SCI Corp.*

 

82,743

 

10,260

 

Sapient Corp.

 

122,402

 

3,733

 

SAVVIS, Inc.*

 

93,810

 

2,671

 

ScanSource, Inc.*

 

77,913

 

2,773

 

Seachange International, Inc.*

 

22,295

 

6,182

 

Semtech Corp.*

 

144,597

 

4,480

 

ShoreTel, Inc.*

 

31,808

 

3,099

 

Sigma Designs, Inc.*

 

37,188

 

3,055

 

Silicon Graphics International Corp.*

 

23,493

 

7,631

 

Silicon Image, Inc.*

 

58,530

 

5,229

 

SMART Modular Technologies (WWH), Inc.*

 

29,282

 

3,028

 

Smith Micro Software, Inc.*

 

45,238

 

3,477

 

SolarWinds, Inc.*

 

62,099

 

4,222

 

Sonic Solutions, Inc.*

 

42,136

 

20,725

 

Sonus Networks, Inc.*

 

55,543

 

2,736

 

Sourcefire, Inc.*

 

74,228

 

1,292

 

Spansion, Inc., Class A*

 

25,543

 

1,265

 

Spectrum Control, Inc.*

 

19,317

 

467

 

SPS Commerce, Inc.*

 

5,539

 

4,271

 

SRA International, Inc., Class A*

 

83,797

 

1,174

 

SRS Labs, Inc.*

 

10,002

 

1,242

 

SS&C Technologies Holdings, Inc.*

 

24,107

 

1,051

 

Stamps.com, Inc.

 

13,831

 

2,230

 

Standard Microsystems Corp.*

 

60,767

 

4,056

 

STEC, Inc.*

 

68,932

 

2,042

 

Stratasys, Inc.*

 

69,060

 

450

 

Stream Global Services, Inc.*

 

1,728

 

6,265

 

SuccessFactors, Inc.*

 

189,015

 

2,430

 

Super Micro Computer, Inc.*

 

25,029

 

980

 

Supertex, Inc.*

 

24,510

 

4,645

 

Support.com, Inc.*

 

30,053

 

1,922

 

Sycamore Networks, Inc.

 

57,698

 

4,367

 

Symmetricom, Inc.*

 

29,041

 

3,373

 

Synaptics, Inc.*

 

96,130

 

2,022

 

Synchronoss Technologies, Inc.*

 

52,552

 

2,233

 

SYNNEX Corp.*

 

63,998

 

1,309

 

Syntel, Inc.

 

62,492

 

7,011

 

Take-Two Interactive Software, Inc.*

 

77,577

 

3,956

 

Taleo Corp., Class A*

 

121,449

 

1,502

 

TechTarget, Inc.*

 

8,937

 

6,799

 

Tekelec*

 

83,968

 

4,513

 

TeleCommunication Systems, Inc., Class A*

 

21,031

 

801

 

TeleNav, Inc.*

 

5,223

 

3,006

 

TeleTech Holdings, Inc.*

 

56,994

 

5,797

 

Terremark Worldwide, Inc.*

 

69,361

 

502

 

Tessco Technologies, Inc.

 

7,635

 

4,997

 

Tessera Technologies, Inc.*

 

99,490

 

6,726

 

THQ, Inc.*

 

34,303

 

16,538

 

TIBCO Software, Inc.*

 

324,806

 

1,377

 

Tier Technologies, Inc.*

 

6,747

 

11,494

 

TiVo, Inc.*

 

94,481

 

2,593

 

TNS, Inc.*

 

49,837

 

548

 

Travelzoo, Inc.*

 

23,559

 

7,069

 

Trident Microsystems, Inc.*

 

13,078

 

15,454

 

TriQuint Semiconductor, Inc.*

 

184,057

 

7,966

 

TTM Technologies, Inc.*

 

105,589

 

3,080

 

Tyler Technologies, Inc.*

 

62,863

 

2,481

 

Ultimate Software Group, Inc.*

 

108,841

 

2,153

 

Ultra Clean Holdings*

 

16,880

 

2,386

 

Ultratech, Inc.*

 

43,831

 

4,237

 

Unisys Corp.*

 

95,799

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

8,677

 

United Online, Inc.

 

$

55,229

 

2,997

 

Universal Display Corp.*

 

74,206

 

11,642

 

UTStarcom, Inc.*

 

24,914

 

8,096

 

ValueClick, Inc.*

 

125,812

 

2,682

 

VASCO Data Security International, Inc.*

 

23,172

 

4,034

 

Veeco Instruments, Inc.*

 

177,415

 

8,507

 

VeriFone Systems, Inc.*

 

295,618

 

3,305

 

Viasat, Inc.*

 

136,695

 

425

 

Viasystems Group, Inc.*

 

7,374

 

3,506

 

VirnetX Holding Corp.

 

48,663

 

1,345

 

Virtusa Corp.*

 

18,346

 

1,664

 

Vocus, Inc.*

 

40,735

 

2,464

 

Volterra Semiconductor Corp.*

 

55,489

 

7,971

 

Wave Systems Corp., Class A*

 

21,043

 

4,303

 

Websense, Inc.*

 

89,201

 

3,864

 

Wright Express Corp.*

 

166,422

 

3,325

 

X-Rite, Inc.*

 

13,998

 

3,000

 

Xyratex Ltd.*

 

45,840

 

5,552

 

Zix Corp.*

 

21,320

 

5,103

 

Zoran Corp.*

 

35,109

 

1,740

 

Zygo Corp.*

 

19,940

 

 

 

 

 

20,653,526

 

 

 

Materials - 2.9%

 

 

 

 

 

 

 

 

 

3,136

 

A. Schulman, Inc.

 

63,504

 

1,665

 

A.M. Castle & Co.*

 

25,208

 

412

 

AEP Industries, Inc.*

 

9,909

 

7,454

 

Allied Nevada Gold Corp.*

 

199,320

 

2,374

 

AMCOL International Corp.

 

66,306

 

2,022

 

American Vanguard Corp.

 

13,790

 

2,250

 

Arch Chemicals, Inc.

 

78,120

 

2,807

 

Balchem Corp.

 

86,905

 

6,979

 

Boise, Inc.

 

51,296

 

2,021

 

Brush Engineered Materials, Inc.*

 

71,139

 

3,910

 

Buckeye Technologies, Inc.

 

77,887

 

5,589

 

Calgon Carbon Corp.*

 

78,078

 

6,096

 

Capital Gold Corp.*

 

28,102

 

6,348

 

Century Aluminum Co.*

 

87,888

 

1,140

 

Clearwater Paper Corp.*

 

91,770

 

8,763

 

Coeur d’Alene Mines Corp.*

 

213,379

 

1,067

 

Deltic Timber Corp.

 

55,495

 

8,574

 

Ferro Corp.*

 

122,351

 

6,399

 

General Moly, Inc.*

 

35,322

 

3,356

 

Georgia Gulf Corp.*

 

68,227

 

6,106

 

Globe Specialty Metals, Inc.

 

98,978

 

25,671

 

Golden Star Resources Ltd.*

 

110,899

 

1,704

 

Graham Packaging Co., Inc.*

 

21,470

 

11,173

 

Graphic Packaging Holding Co.*

 

41,564

 

4,872

 

H.B. Fuller Co.

 

102,166

 

860

 

Hawkins, Inc.

 

37,436

 

1,210

 

Haynes International, Inc.

 

46,791

 

6,010

 

Headwaters, Inc.*

 

23,379

 

25,495

 

Hecla Mining Co.*

 

244,497

 

4,311

 

Horsehead Holding Corp.*

 

50,137

 

2,132

 

Innophos Holdings, Inc.

 

72,616

 

8,368

 

Jaguar Mining, Inc.*

 

55,396

 

1,511

 

Kaiser Aluminum Corp.

 

70,866

 

3,803

 

KapStone Paper and Packaging Corp.*

 

55,980

 

610

 

KMG Chemicals, Inc.

 

8,723

 

2,046

 

Koppers Holdings, Inc.

 

58,516

 

1,117

 

Kraton Performance Polymers, Inc.*

 

31,812

 

2,627

 

Landec Corp.*

 

16,445

 

12,623

 

Louisiana-Pacific Corp.*

 

103,509

 

1,701

 

LSB Industries, Inc.*

 

39,225

 

1,141

 

Metals USA Holdings Corp.*

 

15,552

 

1,870

 

Minerals Technologies, Inc.

 

113,771

 

2,549

 

Molycorp, Inc.*

 

73,972

 

3,513

 

Myers Industries, Inc.

 

33,725

 

1,462

 

Neenah Paper, Inc.

 

26,930

 

1,027

 

NewMarket Corp.

 

129,197

 

677

 

NL Industries, Inc.

 

7,961

 

1,142

 

Noranda Aluminum Holding Corp.*

 

13,578

 

7,851

 

Olin Corp.

 

143,438

 

906

 

Olympic Steel, Inc.

 

19,062

 

3,071

 

OM Group, Inc.*

 

115,470

 

4,443

 

Omnova Solutions, Inc.*

 

39,009

 

4,556

 

P. H.  Glatfelter Co.

 

56,677

 

9,236

 

PolyOne Corp.*

 

115,081

 

1,109

 

Quaker Chemical Corp.

 

42,120

 

3,875

 

Rock-Tenn Co., Class A

 

209,599

 

5,190

 

Rockwood Holdings, Inc.*

 

198,102

 

2,992

 

RTI International Metals, Inc.*

 

84,883

 

1,826

 

Schweitzer-Mauduit International, Inc.

 

114,691

 

3,842

 

Senomyx, Inc.*

 

21,669

 

4,929

 

Sensient Technologies Corp.

 

167,438

 

5,373

 

Silgan Holdings, Inc.

 

183,971

 

12,084

 

Solutia, Inc.*

 

258,356

 

3,075

 

Spartech Corp.*

 

29,243

 

778

 

Stepan Co.

 

54,888

 

4,430

 

Stillwater Mining Co.*

 

83,816

 

2,826

 

STR Holdings, Inc.*

 

50,727

 

2,069

 

Texas Industries, Inc.

 

77,960

 

13,917

 

Thompson Creek Metals Co., Inc.*

 

169,091

 

785

 

TPC Group, Inc.*

 

21,917

 

2,664

 

U.S. Energy Corp.*

 

13,107

 

8,877

 

U.S. Gold Corp.*

 

58,233

 

262

 

United States Lime & Minerals, Inc.*

 

10,742

 

673

 

Universal Stainless & Alloy*

 

21,045

 

1,465

 

Verso Paper Corp.*

 

5,142

 

4,879

 

Wausau Paper Corp.

 

37,617

 

1,955

 

Westlake Chemical Corp.

 

73,821

 

5,627

 

Worthington Industries, Inc.

 

90,144

 

7,233

 

WR Grace & Co.*

 

242,088

 

2,159

 

Zep, Inc.

 

39,186

 

2,764

 

Zoltek Cos., Inc.*

 

25,125

 

 

 

 

 

6,102,545

 

 

 

Telecommunication Services - 0.5%

 

 

 

 

 

 

 

 

 

2,241

 

AboveNet, Inc.*

 

131,547

 

4,434

 

Alaska Communications Systems Group, Inc.

 

46,734

 

929

 

Atlantic Tele-Network, Inc.

 

31,855

 

2,667

 

Cbeyond, Inc.*

 

35,151

 

20,022

 

Cincinnati Bell, Inc.*

 

48,854

 

4,468

 

Cogent Communications Group, Inc.*

 

53,973

 

2,478

 

Consolidated Communications Holdings, Inc.

 

45,645

 

4,974

 

FiberTower Corp.*

 

21,687

 

4,734

 

General Communication, Inc., Class A*

 

53,352

 

3,001

 

Global Crossing Ltd.*

 

40,123

 

6,948

 

Globalstar, Inc.*

 

10,700

 

9,360

 

ICO Global Communications Holdings Ltd.*

 

14,134

 

1,409

 

IDT Corp., Class B

 

29,293

 

3,389

 

Iridium Communications, Inc.*

 

31,653

 

3,290

 

Neutral Tandem, Inc.*

 

47,277

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

2,928

 

NTELOS Holdings Corp.

 

$

49,717

 

12,531

 

PAETEC Holding Corp.*

 

46,365

 

5,976

 

Premiere Global Services, Inc.*

 

42,191

 

2,363

 

Shenandoah Telecommunications Co.

 

41,329

 

6,942

 

Syniverse Holdings, Inc.*

 

212,148

 

2,204

 

USA Mobility, Inc.

 

37,512

 

10,478

 

Vonage Holdings Corp.*

 

25,357

 

 

 

 

 

1,096,597

 

 

 

Utilities - 1.7%

 

 

 

 

 

 

 

 

 

3,097

 

Allete, Inc.

 

109,417

 

1,871

 

American DG Energy, Inc.*

 

5,332

 

1,849

 

American States Water Co.

 

67,636

 

626

 

Artesian Resources Corp., Class A

 

11,750

 

5,468

 

Avista Corp.

 

116,851

 

3,902

 

Black Hills Corp.

 

118,426

 

1,212

 

Cadiz, Inc.*

 

13,671

 

1,961

 

California Water Service Group

 

72,949

 

1,191

 

Central Vermont Public Service Corp.

 

24,058

 

1,576

 

CH Energy Group, Inc.

 

73,505

 

945

 

Chesapeake Utilities Corp.

 

35,523

 

6,040

 

Cleco Corp.

 

183,193

 

848

 

Connecticut Water Service, Inc.

 

21,599

 

1,449

 

Consolidated Water Co., Ltd.

 

12,795

 

10,205

 

Dynegy, Inc.*

 

51,944

 

4,354

 

El Paso Electric Co.*

 

114,684

 

3,994

 

Empire District Electric Co. (The)

 

86,071

 

4,791

 

IDACORP, Inc.

 

174,009

 

2,220

 

Laclede Group, Inc. (The)

 

78,477

 

2,303

 

MGE Energy, Inc.

 

95,091

 

1,522

 

Middlesex Water Co.

 

26,574

 

4,109

 

New Jersey Resources Corp.

 

177,139

 

4,510

 

Nicor, Inc.

 

195,058

 

2,645

 

Northwest Natural Gas Co.

 

129,129

 

3,601

 

NorthWestern Corp.

 

103,745

 

3,579

 

Otter Tail Corp.

 

73,584

 

7,143

 

Piedmont Natural Gas Co., Inc.

 

211,290

 

8,630

 

PNM Resources, Inc.

 

103,387

 

7,494

 

Portland General Electric Co.

 

158,648

 

1,290

 

SJW Corp.

 

32,224

 

2,976

 

South Jersey Industries, Inc.

 

152,341

 

4,514

 

Southwest Gas Corp.

 

158,125

 

5,022

 

UIL Holdings Corp.

 

147,496

 

3,589

 

UniSource Energy Corp.

 

126,225

 

1,081

 

Unitil Corp.

 

24,885

 

5,041

 

WGL Holdings, Inc.

 

182,787

 

1,257

 

York Water Co.

 

19,898

 

 

 

 

 

3,489,516

 

 

 

Total Common Stocks

(Cost $108,199,733)

 

108,980,024

 

 

No. of
Warrants

 

 

 

 

 

 

 

Warrants - 0.0%

 

 

 

67

 

GreenHunter Energy, Inc., expiring 08/27/11 at $27.50*

 

—

 

 

 

Total Warrants
(Cost $—)

 

—

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 11.4%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

8,099,466

 

0.07%, due 12/01/10

 

8,099,466

 

15,377,969

 

0.09%, due 12/06/10

 

15,377,969

 

 

 

Total U.S. Government & Agency Securities (Cost $23,477,435)

 

23,477,435

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 26.2%

 

 

 

54,087,185

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $54,087,913

 

54,087,185

 

 

 

Total Repurchase Agreements
(Cost $54,087,185)

 

54,087,185

 

 

 

Total Investment Securities

(Cost $185,764,353) — 90.3%

 

186,544,644

 

 

 

Other assets less liabilities — 9.7%

 

20,138,357

 

 

 

Net Assets — 100.0%

 

$

206,683,001

 

 

*

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. At 11/30/10, the aggregate amount held in a segregated account was $26,168,206.

(b)

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT       Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

10,881,282

 

Aggregate gross unrealized depreciation

 

(10,965,349

)

Net unrealized depreciation

 

$

(84,067

)

Federal income tax cost of investments

 

$

186,628,711

 

 

See accompanying notes to the financial statements.

 


 

Futures Contracts Purchased

Ultra Russell2000 had the following open long futures contracts as of November 30, 2010:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini Russell 2000 Futures Contracts

 

296

 

12/17/10

 

$

21,498,480

 

$

2,804,082

 

 

Cash collateral in the amount of $1,735,020 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

 

Swap Agreements

Ultra Russell2000 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Citibank, N.A., based on the Russell 2000® Index

 

$

6,519,820

 

$

(815,491

)

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse International, based on the Russell 2000® Index

 

60,871,616

 

1,328,464

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Index

 

2,335,343

 

(29,313

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Index

 

33,002,901

 

(477,497

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Index

 

128,562,866

 

11,986,235

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Index

 

51,639,635

 

6,502,962

 

 

 

 

 

 

 

 

 

 

 

$

18,495,360

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

UltraPro MidCap400

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 47.6%

 

 

 

 

 

Consumer Discretionary - 7.1%

 

 

 

 

 

 

 

 

 

537

 

99 Cents Only Stores*

 

$

8,436

 

852

 

Aaron’s, Inc.

 

17,006

 

985

 

Advance Auto Parts, Inc.

 

65,000

 

1,081

 

Aeropostale, Inc.*

 

29,219

 

2,301

 

American Eagle Outfitters, Inc.

 

37,967

 

462

 

American Greetings Corp., Class A

 

9,272

 

690

 

AnnTaylor Stores Corp.*

 

18,568

 

631

 

Bally Technologies, Inc.*

 

24,716

 

472

 

Barnes & Noble, Inc.

 

6,617

 

359

 

Bob Evans Farms, Inc.

 

11,179

 

1,333

 

BorgWarner, Inc.*

 

80,433

 

644

 

Boyd Gaming Corp.*

 

5,757

 

1,083

 

Brinker International, Inc.

 

22,137

 

783

 

Career Education Corp.*

 

13,930

 

696

 

Cheesecake Factory, Inc. (The)*

 

22,182

 

2,101

 

Chico’s FAS, Inc.

 

25,317

 

364

 

Chipotle Mexican Grill, Inc.*

 

94,090

 

672

 

Coldwater Creek, Inc.*

 

2,271

 

767

 

Collective Brands, Inc.*

 

12,955

 

1,037

 

Corinthian Colleges, Inc.*

 

4,283

 

454

 

Deckers Outdoor Corp.*

 

34,913

 

1,029

 

Dick’s Sporting Goods, Inc.*

 

35,202

 

1,489

 

Dollar Tree, Inc.*

 

81,821

 

837

 

DreamWorks Animation SKG, Inc., Class A*

 

25,939

 

808

 

Dress Barn, Inc. (The)*

 

19,958

 

1,848

 

Foot Locker, Inc.

 

34,872

 

620

 

Fossil, Inc.*

 

41,943

 

1,639

 

Gentex Corp.

 

34,403

 

740

 

Guess?, Inc.

 

34,965

 

1,125

 

Hanesbrands, Inc.*

 

30,544

 

446

 

Harte-Hanks, Inc.

 

5,548

 

342

 

International Speedway Corp., Class A

 

8,102

 

322

 

ITT Educational Services, Inc.*

 

18,834

 

745

 

J. Crew Group, Inc.*

 

32,571

 

543

 

John Wiley & Sons, Inc., Class A

 

22,535

 

844

 

KB Home

 

9,537

 

669

 

Lamar Advertising Co., Class A*

 

24,586

 

491

 

Life Time Fitness, Inc.*

 

19,365

 

1,679

 

LKQ Corp.*

 

36,224

 

359

 

Matthews International Corp., Class A

 

11,660

 

444

 

MDC Holdings, Inc.

 

11,087

 

661

 

Mohawk Industries, Inc.*

 

34,729

 

508

 

NetFlix, Inc.*

 

104,597

 

69

 

NVR, Inc.*

 

42,779

 

364

 

Panera Bread Co., Class A*

 

36,487

 

1,392

 

PetSmart, Inc.

 

52,701

 

775

 

Phillips-Van Heusen Corp.

 

52,576

 

390

 

Polaris Industries, Inc.

 

28,349

 

676

 

Regis Corp.

 

12,046

 

774

 

Rent-A-Center, Inc.

 

21,548

 

518

 

Ryland Group, Inc.

 

7,552

 

1,894

 

Saks, Inc.*

 

21,099

 

279

 

Scholastic Corp.

 

7,840

 

738

 

Scientific Games Corp., Class A*

 

5,941

 

2,885

 

Service Corp. International

 

23,253

 

789

 

Sotheby’s

 

31,647

 

164

 

Strayer Education, Inc.

 

22,283

 

497

 

Thor Industries, Inc.

 

14,676

 

471

 

Timberland Co. (The), Class A*

 

11,671

 

1,687

 

Toll Brothers, Inc.*

 

30,282

 

855

 

Tractor Supply Co.

 

36,312

 

745

 

Tupperware Brands Corp.

 

34,628

 

410

 

Under Armour, Inc., Class A*

 

23,669

 

522

 

Warnaco Group, Inc. (The)*

 

28,110

 

3,764

 

Wendy’s/Arby’s Group, Inc., Class A

 

17,954

 

1,264

 

Williams-Sonoma, Inc.

 

42,053

 

679

 

WMS Industries, Inc.*

 

30,114

 

 

 

 

 

1,860,840

 

 

 

Consumer Staples - 1.7%

 

 

 

 

 

 

 

 

 

1,008

 

Alberto-Culver Co.

 

37,498

 

638

 

BJ’s Wholesale Club, Inc.*

 

29,227

 

833

 

Church & Dwight Co., Inc.

 

54,353

 

886

 

Corn Products International, Inc.

 

38,204

 

823

 

Energizer Holdings, Inc.*

 

57,931

 

892

 

Flowers Foods, Inc.

 

23,370

 

1,339

 

Green Mountain Coffee Roasters, Inc.*

 

49,650

 

804

 

Hansen Natural Corp.*

 

42,789

 

230

 

Lancaster Colony Corp.

 

11,976

 

646

 

Ralcorp Holdings, Inc.*

 

40,000

 

497

 

Ruddick Corp.

 

18,270

 

1,940

 

Smithfield Foods, Inc.*

 

34,163

 

286

 

Tootsie Roll Industries, Inc.

 

7,619

 

284

 

Universal Corp.

 

11,619

 

 

 

 

 

456,669

 

 

 

Energy - 3.0%

 

 

 

 

 

 

 

 

 

1,913

 

Arch Coal, Inc.

 

55,860

 

672

 

Atwood Oceanics, Inc.*

 

23,923

 

537

 

Bill Barrett Corp.*

 

20,648

 

986

 

Cimarex Energy Co.

 

79,412

 

555

 

Comstock Resources, Inc.*

 

13,597

 

402

 

Dril-Quip, Inc.*

 

31,131

 

743

 

Exterran Holdings, Inc.*

 

16,844

 

1,325

 

Forest Oil Corp.*

 

45,342

 

1,247

 

Frontier Oil Corp.

 

19,366

 

1,233

 

Helix Energy Solutions Group, Inc.*

 

17,299

 

1,569

 

Newfield Exploration Co.*

 

104,856

 

633

 

Oceaneering International, Inc.*

 

43,740

 

310

 

Overseas Shipholding Group, Inc.

 

10,841

 

936

 

Patriot Coal Corp.*

 

15,144

 

1,809

 

Patterson-UTI Energy, Inc.

 

35,710

 

1,649

 

Plains Exploration & Production Co.*

 

47,260

 

2,067

 

Pride International, Inc.*

 

64,284

 

1,374

 

Quicksilver Resources, Inc.*

 

19,538

 

1,465

 

Southern Union Co.

 

34,589

 

924

 

Superior Energy Services, Inc.*

 

30,852

 

613

 

Tidewater, Inc.

 

30,092

 

464

 

Unit Corp.*

 

18,546

 

 

 

 

 

778,874

 

 

 

Financials - 9.0%

 

 

 

 

 

 

 

 

 

601

 

Affiliated Managers Group, Inc.*

 

52,533

 

639

 

Alexandria Real Estate Equities, Inc. (REIT)

 

42,653

 

1,979

 

AMB Property Corp. (REIT)

 

57,747

 

925

 

American Financial Group, Inc./OH

 

28,462

 

2,281

 

Apollo Investment Corp.

 

24,087

 

1,229

 

Arthur J. Gallagher & Co.

 

34,510

 

2,035

 

Associated Banc-Corp

 

26,038

 

968

 

Astoria Financial Corp.

 

11,655

 

865

 

BancorpSouth, Inc.

 

11,115

 

564

 

Bank of Hawaii Corp.

 

24,421

 

748

 

BRE Properties, Inc. (REIT)

 

32,216

 

1,363

 

Brown & Brown, Inc.

 

31,172

 

783

 

Camden Property Trust (REIT)

 

39,988

 

924

 

Cathay General Bancorp

 

12,483

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

542

 

City National Corp./CA

 

$

29,116

 

867

 

Commerce Bancshares, Inc./MO

 

32,556

 

772

 

Corporate Office Properties Trust (REIT)

 

26,179

 

1,204

 

Cousins Properties, Inc. (REIT)

 

8,934

 

712

 

Cullen/Frost Bankers, Inc.

 

38,120

 

2,940

 

Duke Realty Corp. (REIT)

 

32,722

 

1,398

 

Eaton Vance Corp.

 

41,549

 

487

 

Equity One, Inc. (REIT)

 

8,430

 

354

 

Essex Property Trust, Inc. (REIT)

 

39,237

 

657

 

Everest Re Group Ltd.

 

54,853

 

722

 

Federal Realty Investment Trust (REIT)

 

55,876

 

2,663

 

Fidelity National Financial, Inc., Class A

 

35,951

 

1,215

 

First American Financial Corp.

 

17,217

 

2,461

 

First Niagara Financial Group, Inc.

 

30,479

 

1,263

 

FirstMerit Corp.

 

22,008

 

2,333

 

Fulton Financial Corp.

 

20,180

 

296

 

Greenhill & Co., Inc.

 

22,182

 

527

 

Hanover Insurance Group, Inc. (The)

 

23,863

 

1,352

 

HCC Insurance Holdings, Inc.

 

37,964

 

843

 

Highwoods Properties, Inc. (REIT)

 

25,720

 

1,452

 

Hospitality Properties Trust (REIT)

 

32,118

 

619

 

International Bancshares Corp.

 

10,647

 

1,445

 

Jefferies Group, Inc.

 

34,897

 

499

 

Jones Lang LaSalle, Inc.

 

39,830

 

1,331

 

Liberty Property Trust (REIT)

 

41,714

 

1,525

 

Macerich Co. (The) (REIT)

 

70,669

 

933

 

Mack-Cali Realty Corp. (REIT)

 

29,623

 

420

 

Mercury General Corp.

 

18,035

 

1,377

 

MSCI, Inc., Class A*

 

46,901

 

1,446

 

Nationwide Health Properties, Inc. (REIT)

 

52,128

 

5,126

 

New York Community Bancorp, Inc.

 

86,117

 

1,252

 

NewAlliance Bancshares, Inc.

 

16,702

 

3,034

 

Old Republic International Corp.

 

38,410

 

1,108

 

Omega Healthcare Investors, Inc. (REIT)

 

23,390

 

364

 

PacWest Bancorp

 

6,188

 

470

 

Potlatch Corp. (REIT)

 

14,890

 

548

 

Prosperity Bancshares, Inc.

 

17,832

 

1,007

 

Protective Life Corp.

 

23,685

 

1,170

 

Raymond James Financial, Inc.

 

33,556

 

944

 

Rayonier, Inc. (REIT)

 

48,106

 

1,289

 

Realty Income Corp. (REIT)

 

43,890

 

962

 

Regency Centers Corp. (REIT)

 

39,173

 

861

 

Reinsurance Group of America, Inc.

 

42,990

 

1,719

 

SEI Investments Co.

 

38,815

 

1,500

 

Senior Housing Properties Trust (REIT)

 

33,495

 

917

 

SL Green Realty Corp. (REIT)

 

59,972

 

546

 

StanCorp Financial Group, Inc.

 

22,714

 

490

 

SVB Financial Group*

 

22,016

 

9,206

 

Synovus Financial Corp.

 

18,688

 

1,481

 

TCF Financial Corp.

 

20,156

 

745

 

Transatlantic Holdings, Inc.

 

37,697

 

669

 

Trustmark Corp.

 

14,276

 

2,096

 

UDR, Inc. (REIT)

 

46,741

 

587

 

Unitrin, Inc.

 

13,888

 

1,894

 

Valley National Bancorp

 

24,054

 

1,422

 

W. R. Berkley Corp.

 

37,953

 

998

 

Waddell & Reed Financial, Inc., Class A

 

30,738

 

1,324

 

Washington Federal, Inc.

 

19,542

 

790

 

Webster Financial Corp.

 

13,035

 

1,407

 

Weingarten Realty Investors (REIT)

 

33,346

 

346

 

Westamerica Bancorp.

 

16,912

 

1,072

 

Wilmington Trust Corp.

 

4,202

 

 

 

 

 

2,351,947

 

 

 

Health Care - 5.1%

 

 

 

 

 

 

 

 

 

2,237

 

Allscripts Healthcare Solutions, Inc.*

 

39,259

 

810

 

Beckman Coulter, Inc.

 

44,315

 

227

 

Bio-Rad Laboratories, Inc., Class A*

 

21,191

 

677

 

Charles River Laboratories International, Inc.*

 

22,104

 

1,119

 

Community Health Systems, Inc.*

 

35,651

 

761

 

Covance, Inc.*

 

34,177

 

1,334

 

Edwards Lifesciences Corp.*

 

88,524

 

1,349

 

Endo Pharmaceuticals Holdings, Inc.*

 

48,578

 

569

 

Gen-Probe, Inc.*

 

29,508

 

2,946

 

Health Management Associates, Inc., Class A*

 

26,249

 

1,139

 

Health Net, Inc.*

 

30,753

 

1,075

 

Henry Schein, Inc.*

 

61,737

 

741

 

Hill-Rom Holdings, Inc.

 

29,329

 

3,050

 

Hologic, Inc.*

 

50,020

 

678

 

IDEXX Laboratories, Inc.*

 

43,534

 

822

 

Immucor, Inc.*

 

15,100

 

465

 

Kindred Healthcare, Inc.*

 

7,505

 

733

 

Kinetic Concepts, Inc.*

 

29,108

 

634

 

LifePoint Hospitals, Inc.*

 

22,964

 

1,147

 

Lincare Holdings, Inc.

 

29,535

 

687

 

Masimo Corp.

 

21,201

 

704

 

Medicis Pharmaceutical Corp., Class A

 

18,550

 

557

 

MEDNAX, Inc.*

 

34,089

 

390

 

Mettler-Toledo International, Inc.*

 

56,620

 

1,381

 

Omnicare, Inc.

 

31,846

 

741

 

Owens & Minor, Inc.

 

20,933

 

964

 

Perrigo Co.

 

58,071

 

1,393

 

Pharmaceutical Product Development, Inc.

 

34,714

 

1,787

 

ResMed, Inc.*

 

57,095

 

696

 

STERIS Corp.

 

23,949

 

440

 

Techne Corp.

 

26,431

 

469

 

Teleflex, Inc.

 

23,422

 

684

 

Thoratec Corp.*

 

17,411

 

581

 

United Therapeutics Corp.*

 

36,562

 

1,143

 

Universal Health Services, Inc., Class B

 

47,000

 

1,011

 

VCA Antech, Inc.*

 

22,085

 

2,371

 

Vertex Pharmaceuticals, Inc.*

 

78,551

 

499

 

WellCare Health Plans, Inc.*

 

14,047

 

 

 

 

 

1,331,718

 

 

 

Industrials - 7.5%

 

 

 

 

 

 

 

 

 

511

 

Acuity Brands, Inc.

 

27,522

 

1,358

 

Aecom Technology Corp.*

 

34,982

 

1,095

 

AGCO Corp.*

 

49,428

 

1,591

 

AirTran Holdings, Inc.*

 

11,837

 

420

 

Alaska Air Group, Inc.*

 

23,100

 

483

 

Alexander & Baldwin, Inc.

 

16,948

 

388

 

Alliant Techsystems, Inc.*

 

28,677

 

1,251

 

AMETEK, Inc.

 

74,022

 

552

 

Baldor Electric Co.

 

34,947

 

1,202

 

BE Aerospace, Inc.*

 

42,671

 

549

 

Brink’s Co. (The)

 

13,472

 

953

 

Bucyrus International, Inc.

 

84,969

 

716

 

Carlisle Cos., Inc.

 

26,220

 

269

 

Clean Harbors, Inc.*

 

19,919

 

630

 

Con-way, Inc.

 

21,294

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

838

 

Copart, Inc.*

 

$

29,732

 

403

 

Corporate Executive Board Co. (The)

 

13,980

 

1,292

 

Corrections Corp. of America*

 

31,202

 

543

 

Crane Co.

 

20,352

 

604

 

Deluxe Corp.

 

12,799

 

893

 

Donaldson Co., Inc.

 

48,481

 

553

 

FTI Consulting, Inc.*

 

19,709

 

617

 

Gardner Denver, Inc.

 

40,383

 

544

 

GATX Corp.

 

18,045

 

715

 

Graco, Inc.

 

25,711

 

395

 

Granite Construction, Inc.

 

10,021

 

948

 

Harsco Corp.

 

22,809

 

670

 

Herman Miller, Inc.

 

14,432

 

534

 

HNI Corp.

 

14,226

 

707

 

Hubbell, Inc., Class B

 

39,988

 

955

 

IDEX Corp.

 

35,784

 

1,038

 

J.B. Hunt Transport Services, Inc.

 

37,887

 

2,355

 

JetBlue Airways Corp.*

 

15,990

 

1,214

 

Joy Global, Inc.

 

92,652

 

1,199

 

Kansas City Southern*

 

56,761

 

1,827

 

KBR, Inc.

 

49,475

 

961

 

Kennametal, Inc.

 

32,501

 

637

 

Kirby Corp.*

 

28,455

 

539

 

Korn/Ferry International*

 

9,336

 

592

 

Landstar System, Inc.

 

21,282

 

535

 

Lennox International, Inc.

 

23,535

 

502

 

Lincoln Electric Holdings, Inc.

 

30,953

 

962

 

Manpower, Inc.

 

54,180

 

354

 

Mine Safety Appliances Co.

 

10,202

 

520

 

MSC Industrial Direct Co., Class A

 

31,273

 

598

 

Navigant Consulting, Inc.*

 

4,975

 

402

 

Nordson Corp.

 

31,931

 

1,058

 

Oshkosh Corp.*

 

30,365

 

1,161

 

Pentair, Inc.

 

38,197

 

452

 

Regal-Beloit Corp.

 

27,572

 

495

 

Rollins, Inc.

 

13,375

 

992

 

Shaw Group, Inc. (The)*

 

31,794

 

587

 

SPX Corp.

 

38,554

 

1,280

 

Terex Corp.*

 

31,078

 

611

 

Thomas & Betts Corp.*

 

27,159

 

938

 

Timken Co.

 

40,859

 

529

 

Towers Watson & Co., Class A

 

26,556

 

931

 

Trinity Industries, Inc.

 

21,320

 

711

 

United Rentals, Inc.*

 

13,950

 

979

 

URS Corp.*

 

38,710

 

250

 

Valmont Industries, Inc.

 

20,215

 

1,374

 

Waste Connections, Inc.

 

35,724

 

327

 

Watsco, Inc.

 

19,708

 

518

 

Werner Enterprises, Inc.

 

11,178

 

565

 

Westinghouse Air Brake Technologies Corp.

 

26,120

 

686

 

Woodward Governor Co.

 

23,153

 

 

 

 

 

1,954,637

 

 

 

Information Technology - 7.8%

 

 

 

 

 

 

 

 

 

404

 

ACI Worldwide, Inc.*

 

10,258

 

936

 

Acxiom Corp.*

 

15,921

 

1,142

 

ADC Telecommunications, Inc.*

 

14,526

 

732

 

ADTRAN, Inc.

 

22,795

 

185

 

Advent Software, Inc.*

 

9,542

 

616

 

Alliance Data Systems Corp.*

 

38,857

 

1,064

 

ANSYS, Inc.*

 

51,604

 

1,256

 

AOL, Inc.*

 

30,370

 

1,377

 

Arrow Electronics, Inc.*

 

42,701

 

5,418

 

Atmel Corp.*

 

56,293

 

1,787

 

Avnet, Inc.*

 

54,772

 

1,493

 

Broadridge Financial Solutions, Inc.

 

30,741

 

3,113

 

Cadence Design Systems, Inc.*

 

24,468

 

1,084

 

Ciena Corp.*

 

16,423

 

1,110

 

CommScope, Inc.*

 

35,087

 

1,453

 

Convergys Corp.*

 

18,729

 

1,225

 

CoreLogic, Inc.

 

22,307

 

1,263

 

Cree, Inc.*

 

82,322

 

777

 

Diebold, Inc.

 

24,413

 

466

 

Digital River, Inc.*

 

17,158

 

420

 

DST Systems, Inc.

 

18,001

 

533

 

Equinix, Inc.*

 

41,361

 

940

 

F5 Networks, Inc.*

 

123,967

 

541

 

Factset Research Systems, Inc.

 

47,971

 

491

 

Fair Isaac Corp.

 

11,465

 

1,484

 

Fairchild Semiconductor International, Inc.*

 

20,850

 

847

 

Gartner, Inc.*

 

27,248

 

932

 

Global Payments, Inc.

 

38,734

 

1,082

 

Informatica Corp.*

 

44,665

 

1,846

 

Ingram Micro, Inc., Class A*

 

32,951

 

1,854

 

Integrated Device Technology, Inc.*

 

11,921

 

833

 

International Rectifier Corp.*

 

23,624

 

1,455

 

Intersil Corp., Class A

 

18,551

 

474

 

Itron, Inc.*

 

26,909

 

1,001

 

Jack Henry & Associates, Inc.

 

27,367

 

1,452

 

Lam Research Corp.*

 

65,819

 

1,088

 

Lender Processing Services, Inc.

 

33,478

 

264

 

Mantech International Corp., Class A*

 

10,539

 

1,277

 

Mentor Graphics Corp.*

 

14,360

 

947

 

MICROS Systems, Inc.*

 

41,403

 

687

 

National Instruments Corp.

 

23,440

 

1,885

 

NCR Corp.*

 

27,125

 

882

 

NeuStar, Inc., Class A*

 

22,791

 

1,370

 

Parametric Technology Corp.*

 

29,345

 

557

 

Plantronics, Inc.

 

19,924

 

1,002

 

Polycom, Inc.*

 

37,079

 

728

 

Quest Software, Inc.*

 

18,418

 

1,128

 

Rackspace Hosting, Inc.*

 

32,904

 

3,180

 

RF Micro Devices, Inc.*

 

22,292

 

1,660

 

Riverbed Technology, Inc.*

 

56,291

 

1,205

 

Rovi Corp.*

 

66,480

 

725

 

Semtech Corp.*

 

16,958

 

522

 

Silicon Laboratories, Inc.*

 

22,175

 

2,088

 

Skyworks Solutions, Inc.*

 

53,140

 

823

 

Solera Holdings, Inc.

 

39,504

 

511

 

SRA International, Inc., Class A*

 

10,026

 

1,739

 

Synopsys, Inc.*

 

44,675

 

545

 

Tech Data Corp.*

 

24,018

 

1,916

 

TIBCO Software, Inc.*

 

37,630

 

1,393

 

Trimble Navigation Ltd.*

 

51,875

 

955

 

ValueClick, Inc.*

 

14,841

 

1,935

 

Vishay Intertechnology, Inc.*

 

27,593

 

663

 

Zebra Technologies Corp., Class A*

 

24,160

 

 

 

 

 

2,023,155

 

 

 

Materials - 3.1%

 

 

 

 

 

 

 

 

 

1,076

 

Albemarle Corp.

 

58,201

 

801

 

Aptargroup, Inc.

 

36,582

 

923

 

Ashland, Inc.

 

46,962

 

770

 

Cabot Corp.

 

27,566

 

518

 

Carpenter Technology Corp.

 

18,892

 

1,343

 

Commercial Metals Co.

 

20,642

 

575

 

Cytec Industries, Inc.

 

27,502

 

364

 

Greif, Inc., Class A

 

21,272

 

518

 

Intrepid Potash, Inc.*

 

15,877

 

1,479

 

Louisiana-Pacific Corp.*

 

12,128

 

789

 

Lubrizol Corp.

 

82,498

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

534

 

Martin Marietta Materials, Inc.

 

$

45,144

 

223

 

Minerals Technologies, Inc.

 

13,567

 

116

 

NewMarket Corp.

 

14,593

 

927

 

Olin Corp.

 

16,936

 

1,212

 

Packaging Corp. of America

 

31,088

 

869

 

Reliance Steel & Aluminum Co.

 

38,627

 

458

 

Rock-Tenn Co., Class A

 

24,773

 

1,524

 

RPM International, Inc.

 

31,212

 

540

 

Scotts Miracle-Gro Co. (The), Class A

 

26,978

 

582

 

Sensient Technologies Corp.

 

19,771

 

571

 

Silgan Holdings, Inc.

 

19,551

 

1,180

 

Sonoco Products Co.

 

38,657

 

2,547

 

Steel Dynamics, Inc.

 

40,599

 

1,265

 

Temple-Inland, Inc.

 

26,527

 

1,151

 

Valspar Corp.

 

38,029

 

670

 

Worthington Industries, Inc.

 

10,733

 

 

 

 

 

804,907

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

2,365

 

Cincinnati Bell, Inc.*

 

5,771

 

823

 

Syniverse Holdings, Inc.*

 

25,151

 

1,081

 

Telephone & Data Systems, Inc.

 

38,570

 

1,786

 

tw telecom, inc.*

 

29,433

 

 

 

 

 

98,925

 

 

 

Utilities - 2.9%

 

 

 

 

 

 

 

 

 

916

 

AGL Resources, Inc.

 

33,645

 

1,304

 

Alliant Energy Corp.

 

47,348

 

1,611

 

Aqua America, Inc.

 

34,717

 

1,054

 

Atmos Energy Corp.

 

31,694

 

461

 

Black Hills Corp.

 

13,991

 

714

 

Cleco Corp.

 

21,656

 

1,400

 

DPL, Inc.

 

35,462

 

1,182

 

Dynegy, Inc.*

 

6,016

 

846

 

Energen Corp.

 

36,860

 

1,596

 

Great Plains Energy, Inc.

 

29,765

 

1,093

 

Hawaiian Electric Industries, Inc.

 

23,926

 

565

 

IDACORP, Inc.

 

20,521

 

2,214

 

MDU Resources Group, Inc.

 

45,254

 

964

 

National Fuel Gas Co.

 

61,079

 

1,211

 

NSTAR

 

50,135

 

2,765

 

NV Energy, Inc.

 

37,853

 

1,143

 

OGE Energy Corp.

 

50,875

 

1,020

 

PNM Resources, Inc.

 

12,220

 

2,059

 

Questar Corp.

 

34,200

 

1,285

 

UGI Corp.

 

38,126

 

955

 

Vectren Corp.

 

24,734

 

1,301

 

Westar Energy, Inc.

 

32,408

 

595

 

WGL Holdings, Inc.

 

21,575

 

 

 

 

 

744,060

 

 

 

Total Common Stocks

(Cost $11,107,393)

 

12,405,732

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 7.3%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

638,260

 

0.07%, due 12/01/10

 

638,260

 

1,259,845

 

0.09%, due 12/06/10

 

1,259,845

 

 

 

Total U.S. Government & Agency Securities (Cost $1,898,105)

 

1,898,105

 

 

 

 

Repurchase Agreements (a)(b) - 16.8%

 

 

 

 

4,375,586

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $4,375,646

 

4,375,586

 

 

 

Total Repurchase Agreements
(Cost $4,375,586)

 

4,375,586

 

 

 

Total Investment Securities

(Cost $17,381,084) — 71.7%

 

18,679,423

 

 

 

Other assets less liabilities — 28.3%

 

7,367,239

 

 

 

Net Assets — 100.0%

 

$

26,046,662

 

 

*

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. At 11/30/10, the aggregate amount held in a segregated account was $4,561,235.

(b)

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT       Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

1,673,396

 

Aggregate gross unrealized depreciation

 

(417,894

)

Net unrealized appreciation

 

$

1,255,502

 

Federal income tax cost of investments

 

$

17,423,921

 

 

See accompanying notes to the financial statements.

 


 

Futures Contracts Purchased

UltraPro MidCap400 had the following open long futures contracts as of November 30, 2010:

 

 

 

Number of
Contracts

 

Expiration
Date

 

Notional Amount
at Value

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

E-Mini S&P MidCap 400 Futures Contracts

 

13

 

12/17/10

 

$

1,107,210

 

$

26,043

 

 

Cash collateral in the amount of $238,720 was pledged to cover margin requirements for open futures contracts as of November 30, 2010.

 

Swap Agreements

UltraPro MidCap400 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse International, based on the S&P MidCap 400™ Index

 

$

7,259,345

 

$

981,208

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the S&P MidCap 400™ Index

 

4,477,418

 

494,907

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the S&P MidCap 400™ Index

 

6,045,643

 

(9,004

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the S&P MidCap 400™ Index

 

5,231,337

 

605,005

 

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the S&P MidCap 400™ Index

 

3,344,836

 

(40,525

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the S&P MidCap 400™ Index

 

25,296,519

 

4,615,676

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the S&P MidCap 400™ Index

 

12,950,618

 

576,443

 

 

 

 

 

 

 

 

 

 

 

$

7,223,710

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell1000 Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 67.2%

 

 

 

 

 

Consumer Discretionary - 5.3%

 

 

 

 

 

 

 

 

 

41

 

Aaron’s, Inc.

 

$

818

 

26

 

Abercrombie & Fitch Co., Class A

 

1,306

 

186

 

American Eagle Outfitters, Inc.

 

3,069

 

71

 

Autoliv, Inc.

 

5,213

 

55

 

AutoNation, Inc.*

 

1,437

 

11

 

BorgWarner, Inc.*

 

664

 

17

 

Brinker International, Inc.

 

347

 

297

 

Cablevision Systems Corp., Class A

 

9,406

 

346

 

Carnival Corp.

 

14,293

 

757

 

CBS Corp., Class B

 

12,748

 

47

 

Central European Media Enterprises Ltd., Class A*

 

901

 

33

 

Choice Hotels International, Inc.

 

1,229

 

51

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

701

 

3,557

 

Comcast Corp., Class A

 

71,140

 

352

 

D.R. Horton, Inc.

 

3,534

 

97

 

Discovery Communications, Inc., Class A*

 

3,956

 

253

 

DISH Network Corp., Class A*

 

4,653

 

24

 

Education Management Corp.*

 

339

 

152

 

Expedia, Inc.

 

4,002

 

19

 

Federal-Mogul Corp.*

 

355

 

198

 

Foot Locker, Inc.

 

3,736

 

169

 

Fortune Brands, Inc.

 

9,986

 

193

 

GameStop Corp., Class A*

 

3,845

 

301

 

Gannett Co., Inc.

 

3,946

 

59

 

Gap, Inc. (The)

 

1,260

 

133

 

Garmin Ltd.

 

3,852

 

201

 

Genuine Parts Co.

 

9,676

 

229

 

H&R Block, Inc.

 

2,883

 

46

 

Harman International Industries, Inc.*

 

2,005

 

55

 

Hyatt Hotels Corp., Class A*

 

2,302

 

25

 

International Speedway Corp., Class A

 

592

 

202

 

J.C. Penney Co., Inc.

 

6,721

 

116

 

Jarden Corp.

 

3,561

 

4

 

John Wiley & Sons, Inc., Class A

 

166

 

49

 

Johnson Controls, Inc.

 

1,786

 

97

 

KB Home

 

1,096

 

101

 

Kohl’s Corp.*

 

5,698

 

58

 

Lamar Advertising Co., Class A*

 

2,131

 

44

 

Lear Corp.*

 

3,862

 

77

 

Leggett & Platt, Inc.

 

1,594

 

201

 

Lennar Corp., Class A

 

3,053

 

299

 

Liberty Global, Inc., Class A*

 

10,543

 

93

 

Liberty Media Corp. - Capital, Class A*

 

5,355

 

756

 

Liberty Media Corp. - Interactive, Class A*

 

11,688

 

65

 

Liberty Media Corp. - Starz, Class A*

 

4,085

 

434

 

Lowe’s Cos., Inc.

 

9,852

 

481

 

Macy’s, Inc.

 

12,352

 

52

 

Madison Square Garden, Inc., Class A*

 

1,141

 

194

 

Mattel, Inc.

 

5,013

 

119

 

McGraw-Hill Cos., Inc. (The)

 

4,104

 

48

 

MDC Holdings, Inc.

 

1,199

 

27

 

Meredith Corp.

 

908

 

324

 

MGM Resorts International*

 

3,963

 

63

 

Mohawk Industries, Inc.*

 

3,310

 

172

 

New York Times Co. (The), Class A*

 

1,546

 

412

 

Newell Rubbermaid, Inc.

 

6,909

 

2,285

 

News Corp., Class A

 

31,167

 

313

 

Office Depot, Inc.*

 

1,362

 

75

 

Omnicom Group, Inc.

 

3,408

 

86

 

Penn National Gaming, Inc.*

 

3,019

 

426

 

PulteGroup, Inc.*

 

2,667

 

141

 

RadioShack Corp.

 

2,601

 

79

 

Regal Entertainment Group, Class A

 

1,066

 

102

 

Royal Caribbean Cruises Ltd.*

 

4,106

 

58

 

Sears Holdings Corp.*

 

3,799

 

322

 

Service Corp. International

 

2,595

 

108

 

Signet Jewelers Ltd.*

 

4,302

 

203

 

Stanley Black & Decker, Inc.

 

12,085

 

6

 

Tesla Motors, Inc.*

 

212

 

320

 

Thomson Reuters Corp.

 

11,635

 

448

 

Time Warner Cable, Inc.

 

27,570

 

1,144

 

Time Warner, Inc.

 

33,737

 

183

 

Toll Brothers, Inc.*

 

3,285

 

32

 

TRW Automotive Holdings Corp.*

 

1,520

 

111

 

VF Corp.

 

9,200

 

617

 

Viacom, Inc., Class B

 

23,341

 

420

 

Virgin Media, Inc.

 

10,702

 

2,477

 

Walt Disney Co. (The)

 

90,435

 

7

 

Washington Post Co. (The), Class B

 

2,639

 

256

 

Wendy’s/Arby’s Group, Inc., Class A

 

1,221

 

55

 

Whirlpool Corp.

 

4,015

 

228

 

Wyndham Worldwide Corp.

 

6,555

 

 

 

 

 

594,074

 

 

 

Consumer Staples - 6.9%

 

 

 

 

 

 

 

 

 

84

 

Alberto-Culver Co.

 

3,125

 

1,098

 

Altria Group, Inc.

 

26,352

 

813

 

Archer-Daniels-Midland Co.

 

23,569

 

63

 

BJ’s Wholesale Club, Inc.*

 

2,886

 

34

 

Brown-Forman Corp., Class B

 

2,224

 

182

 

Bunge Ltd.

 

11,069

 

93

 

Campbell Soup Co.

 

3,153

 

89

 

Central European Distribution Corp.*

 

2,139

 

10

 

Clorox Co.

 

618

 

676

 

Coca-Cola Co. (The)

 

42,703

 

156

 

Coca-Cola Enterprises, Inc.

 

3,767

 

101

 

Colgate-Palmolive Co.

 

7,731

 

506

 

ConAgra Foods, Inc.

 

10,869

 

232

 

Constellation Brands, Inc., Class A*

 

4,781

 

95

 

Corn Products International, Inc.

 

4,096

 

1,530

 

CVS Caremark Corp.

 

47,430

 

229

 

Dean Foods Co.*

 

1,665

 

251

 

Del Monte Foods Co.

 

4,701

 

216

 

Dr. Pepper Snapple Group, Inc.

 

7,912

 

89

 

Energizer Holdings, Inc.*

 

6,265

 

60

 

Flowers Foods, Inc.

 

1,572

 

340

 

General Mills, Inc.

 

12,012

 

236

 

H. J. Heinz Co.

 

11,392

 

13

 

Hansen Natural Corp.*

 

692

 

81

 

Hershey Co. (The)

 

3,791

 

87

 

Hormel Foods Corp.

 

4,270

 

151

 

J.M. Smucker Co. (The)

 

9,551

 

34

 

Kellogg Co.

 

1,674

 

109

 

Kimberly-Clark Corp.

 

6,746

 

2,028

 

Kraft Foods, Inc., Class A

 

61,347

 

769

 

Kroger Co. (The)

 

18,110

 

193

 

Lorillard, Inc.

 

15,359

 

84

 

McCormick & Co., Inc. (Non-Voting)

 

3,697

 

224

 

Mead Johnson Nutrition Co.

 

13,344

 

167

 

Molson Coors Brewing Co., Class B

 

7,958

 

867

 

PepsiCo, Inc.

 

56,034

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

 

 

 

 

370

 

Philip Morris International, Inc.

 

$

21,049

 

3,423

 

Procter & Gamble Co. (The)

 

209,043

 

70

 

Ralcorp Holdings, Inc.*

 

4,334

 

424

 

Reynolds American, Inc.

 

13,119

 

491

 

Safeway, Inc.

 

11,288

 

240

 

Sara Lee Corp.

 

3,600

 

174

 

Smithfield Foods, Inc.*

 

3,064

 

268

 

SUPERVALU, Inc.

 

2,423

 

377

 

Tyson Foods, Inc., Class A

 

5,968

 

110

 

Walgreen Co.

 

3,833

 

1,022

 

Wal-Mart Stores, Inc.

 

55,280

 

 

 

 

 

777,605

 

 

 

Energy - 8.2%

 

 

 

 

 

 

 

 

 

133

 

Alpha Natural Resources, Inc.*

 

6,592

 

626

 

Anadarko Petroleum Corp.

 

40,164

 

483

 

Apache Corp.

 

51,990

 

60

 

Arch Coal, Inc.

 

1,752

 

26

 

Atlas Energy, Inc.*

 

1,117

 

57

 

Atwood Oceanics, Inc.*

 

2,029

 

394

 

Baker Hughes, Inc.

 

20,551

 

131

 

Cabot Oil & Gas Corp.

 

4,581

 

132

 

Cameron International Corp.*

 

6,351

 

823

 

Chesapeake Energy Corp.

 

17,382

 

2,406

 

Chevron Corp.

 

194,814

 

93

 

Cobalt International Energy, Inc.*

 

1,057

 

60

 

Comstock Resources, Inc.*

 

1,470

 

1,161

 

ConocoPhillips

 

69,857

 

155

 

CONSOL Energy, Inc.

 

6,504

 

4

 

Continental Resources, Inc.*

 

214

 

505

 

Denbury Resources, Inc.*

 

9,181

 

565

 

Devon Energy Corp.

 

39,872

 

59

 

Diamond Offshore Drilling, Inc.

 

3,821

 

10

 

Dresser-Rand Group, Inc.*

 

379

 

726

 

El Paso Corp.

 

9,794

 

13

 

EQT Corp.

 

526

 

71

 

Exterran Holdings, Inc.*

 

1,610

 

522

 

Exxon Mobil Corp.

 

36,310

 

50

 

Forest Oil Corp.*

 

1,711

 

134

 

Frontier Oil Corp.

 

2,081

 

11

 

Frontline Ltd.

 

285

 

118

 

Helmerich & Payne, Inc.

 

5,353

 

369

 

Hess Corp.

 

25,848

 

18

 

Holly Corp.

 

647

 

658

 

Marathon Oil Corp.

 

22,023

 

130

 

Massey Energy Co.

 

6,384

 

62

 

McDermott International, Inc.*

 

1,136

 

214

 

Murphy Oil Corp.

 

14,449

 

216

 

Nabors Industries Ltd.*

 

4,771

 

530

 

National Oilwell Varco, Inc.

 

32,484

 

169

 

Newfield Exploration Co.*

 

11,294

 

221

 

Noble Energy, Inc.

 

17,956

 

818

 

Occidental Petroleum Corp.

 

72,123

 

70

 

Oceaneering International, Inc.*

 

4,837

 

59

 

Oil States International, Inc.*

 

3,501

 

195

 

Patterson-UTI Energy, Inc.

 

3,849

 

340

 

Peabody Energy Corp.

 

19,995

 

111

 

Petrohawk Energy Corp.*

 

1,979

 

147

 

Pioneer Natural Resources Co.

 

11,776

 

177

 

Plains Exploration & Production Co.*

 

5,073

 

134

 

Pride International, Inc.*

 

4,167

 

221

 

QEP Resources, Inc.

 

7,764

 

140

 

Quicksilver Resources, Inc.*

 

1,991

 

127

 

Rowan Cos., Inc.*

 

3,829

 

188

 

SandRidge Energy, Inc.*

 

970

 

220

 

Schlumberger Ltd.

 

17,015

 

26

 

SEACOR Holdings, Inc.*

 

2,834

 

26

 

SM Energy Co.

 

1,292

 

157

 

Southern Union Co.

 

3,707

 

820

 

Spectra Energy Corp.

 

19,491

 

152

 

Sunoco, Inc.

 

6,101

 

92

 

Superior Energy Services, Inc.*

 

3,072

 

54

 

Teekay Corp.

 

1,722

 

179

 

Tesoro Corp.*

 

2,921

 

66

 

Tidewater, Inc.

 

3,240

 

50

 

Unit Corp.*

 

1,999

 

715

 

Valero Energy Corp.

 

13,928

 

558

 

Weatherford International Ltd.*

 

11,389

 

69

 

Whiting Petroleum Corp.*

 

7,593

 

434

 

Williams Cos., Inc. (The)

 

9,900

 

 

 

 

 

922,398

 

 

 

Financials - 17.9%

 

 

 

 

 

 

 

 

 

363

 

ACE Ltd.

 

21,243

 

33

 

Aflac, Inc.

 

1,699

 

69

 

Alexandria Real Estate Equities, Inc. (REIT)

 

4,606

 

9

 

Alleghany Corp.*

 

2,711

 

51

 

Allied World Assurance Co. Holdings Ltd.

 

2,996

 

680

 

Allstate Corp. (The)

 

19,795

 

193

 

AMB Property Corp. (REIT)

 

5,632

 

108

 

American Financial Group, Inc./OH

 

3,323

 

153

 

American International Group, Inc.*

 

6,317

 

9

 

American National Insurance Co.

 

716

 

260

 

Ameriprise Financial, Inc.

 

13,478

 

784

 

Annaly Capital Management, Inc. (REIT)

 

14,261

 

341

 

AON Corp.

 

13,681

 

74

 

Apartment Investment & Management Co., Class A (REIT)

 

1,785

 

59

 

Arch Capital Group Ltd.*

 

5,328

 

242

 

Ares Capital Corp.

 

3,976

 

99

 

Arthur J. Gallagher & Co.

 

2,780

 

98

 

Aspen Insurance Holdings Ltd.

 

2,832

 

219

 

Associated Banc-Corp

 

2,802

 

141

 

Assurant, Inc.

 

4,973

 

233

 

Assured Guaranty Ltd.

 

3,963

 

105

 

AvalonBay Communities, Inc. (REIT)

 

11,585

 

109

 

Axis Capital Holdings Ltd.

 

3,852

 

106

 

BancorpSouth, Inc.

 

1,362

 

12,687

 

Bank of America Corp.

 

138,923

 

41

 

Bank of Hawaii Corp.

 

1,775

 

1,534

 

Bank of New York Mellon Corp. (The)

 

41,403

 

875

 

BB&T Corp.

 

20,300

 

2,187

 

Berkshire Hathaway, Inc., Class B*

 

174,260

 

29

 

BlackRock, Inc.

 

4,727

 

32

 

BOK Financial Corp.

 

1,494

 

175

 

Boston Properties, Inc. (REIT)

 

14,665

 

166

 

Brandywine Realty Trust (REIT)

 

1,836

 

81

 

BRE Properties, Inc. (REIT)

 

3,489

 

66

 

Brown & Brown, Inc.

 

1,509

 

83

 

Camden Property Trust (REIT)

 

4,239

 

577

 

Capital One Financial Corp.

 

21,482

 

408

 

CapitalSource, Inc.

 

2,636

 

23

 

Capitol Federal Financial

 

537

 

11

 

CBOE Holdings, Inc.

 

262

 

1,117

 

Chimera Investment Corp. (REIT)

 

4,468

 

379

 

Chubb Corp.

 

21,607

 

185

 

Cincinnati Financial Corp.

 

5,577

 

253

 

CIT Group, Inc.*

 

9,983

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

26,751

 

Citigroup, Inc.*

 

$

112,354

 

58

 

City National Corp./CA

 

3,116

 

83

 

CME Group, Inc.

 

23,909

 

34

 

CNA Financial Corp.*

 

878

 

223

 

Comerica, Inc.

 

8,137

 

91

 

Commerce Bancshares, Inc./MO

 

3,417

 

94

 

CommonWealth REIT (REIT)

 

2,353

 

75

 

Corporate Office Properties Trust (REIT)

 

2,543

 

67

 

Cullen/Frost Bankers, Inc.

 

3,587

 

252

 

Developers Diversified Realty Corp. (REIT)

 

3,233

 

6

 

Digital Realty Trust, Inc. (REIT)

 

315

 

688

 

Discover Financial Services

 

12,577

 

155

 

Douglas Emmett, Inc. (REIT)

 

2,588

 

318

 

Duke Realty Corp. (REIT)

 

3,539

 

278

 

E*Trade Financial Corp.*

 

4,100

 

187

 

East West Bancorp, Inc.

 

3,243

 

51

 

Endurance Specialty Holdings Ltd.

 

2,250

 

335

 

Equity Residential (REIT)

 

16,743

 

11

 

Erie Indemnity Co., Class A

 

693

 

23

 

Essex Property Trust, Inc. (REIT)

 

2,549

 

75

 

Everest Re Group Ltd.

 

6,262

 

31

 

Federal Realty Investment Trust (REIT)

 

2,399

 

36

 

Federated Investors, Inc., Class B

 

854

 

290

 

Fidelity National Financial, Inc., Class A

 

3,915

 

1,005

 

Fifth Third Bancorp

 

12,010

 

7

 

First Citizens BancShares, Inc./NC, Class A

 

1,217

 

294

 

First Horizon National Corp.*

 

2,814

 

264

 

First Niagara Financial Group, Inc.

 

3,270

 

161

 

Forest City Enterprises, Inc., Class A*

 

2,471

 

251

 

Fulton Financial Corp.

 

2,171

 

57

 

General Growth Properties, Inc. (REIT)

 

923

 

504

 

Genworth Financial, Inc., Class A*

 

5,877

 

651

 

Goldman Sachs Group, Inc. (The)

 

101,647

 

2

 

Green Dot Corp., Class A*

 

116

 

57

 

Hanover Insurance Group, Inc. (The)

 

2,581

 

514

 

Hartford Financial Services Group, Inc.

 

11,442

 

145

 

HCC Insurance Holdings, Inc.

 

4,072

 

392

 

HCP, Inc. (REIT)

 

12,909

 

169

 

Health Care REIT, Inc. (REIT)

 

7,821

 

156

 

Hospitality Properties Trust (REIT)

 

3,451

 

833

 

Host Hotels & Resorts, Inc. (REIT)

 

13,728

 

6

 

Howard Hughes Corp. (The)*

 

229

 

547

 

Hudson City Bancorp, Inc.

 

6,208

 

906

 

Huntington Bancshares, Inc./OH

 

5,286

 

32

 

Interactive Brokers Group, Inc., Class A*

 

587

 

413

 

Invesco Ltd.

 

8,979

 

212

 

Janus Capital Group, Inc.

 

2,213

 

147

 

Jefferies Group, Inc.

 

3,550

 

5,031

 

JPMorgan Chase & Co.

 

188,059

 

1,111

 

KeyCorp

 

8,366

 

513

 

Kimco Realty Corp. (REIT)

 

8,547

 

196

 

Legg Mason, Inc.

 

6,393

 

247

 

Leucadia National Corp.*

 

6,412

 

144

 

Liberty Property Trust (REIT)

 

4,513

 

382

 

Lincoln National Corp.

 

9,122

 

398

 

Loews Corp.

 

14,889

 

93

 

M&T Bank Corp.

 

7,157

 

164

 

Macerich Co. (The) (REIT)

 

7,600

 

100

 

Mack-Cali Realty Corp. (REIT)

 

3,175

 

12

 

Markel Corp.*

 

4,242

 

54

 

Marsh & McLennan Cos., Inc.

 

1,354

 

667

 

Marshall & Ilsley Corp.

 

3,195

 

194

 

MBIA, Inc.*

 

1,938

 

34

 

Mercury General Corp.

 

1,460

 

566

 

MetLife, Inc.

 

21,593

 

1,329

 

Morgan Stanley

 

32,507

 

155

 

NASDAQ OMX Group, Inc. (The)*

 

3,326

 

151

 

Nationwide Health Properties, Inc. (REIT)

 

5,444

 

550

 

New York Community Bancorp, Inc.

 

9,240

 

183

 

Northern Trust Corp.

 

9,205

 

259

 

NYSE Euronext

 

7,076

 

327

 

Old Republic International Corp.

 

4,140

 

29

 

OneBeacon Insurance Group Ltd., Class A

 

424

 

98

 

PartnerRe Ltd.

 

7,595

 

470

 

People’s United Financial, Inc.

 

5,823

 

67

 

Piedmont Office Realty Trust, Inc., Class A (REIT)

 

1,333

 

119

 

Plum Creek Timber Co., Inc. (REIT)

 

4,289

 

665

 

PNC Financial Services Group, Inc.

 

35,810

 

1,293

 

Popular, Inc.*

 

3,724

 

405

 

Principal Financial Group, Inc.

 

11,032

 

848

 

Progressive Corp. (The)

 

17,248

 

565

 

ProLogis (REIT)

 

7,351

 

108

 

Protective Life Corp.

 

2,540

 

586

 

Prudential Financial, Inc.

 

29,698

 

17

 

Public Storage (REIT)

 

1,642

 

126

 

Raymond James Financial, Inc.

 

3,614

 

71

 

Rayonier, Inc. (REIT)

 

3,618

 

140

 

Realty Income Corp. (REIT)

 

4,767

 

103

 

Regency Centers Corp. (REIT)

 

4,194

 

1,588

 

Regions Financial Corp.

 

8,543

 

92

 

Reinsurance Group of America, Inc.

 

4,594

 

70

 

RenaissanceRe Holdings Ltd.

 

4,220

 

161

 

Senior Housing Properties Trust (REIT)

 

3,595

 

114

 

Simon Property Group, Inc. (REIT)

 

11,229

 

99

 

SL Green Realty Corp. (REIT)

 

6,475

 

615

 

SLM Corp.*

 

7,103

 

12

 

St. Joe Co. (The)*

 

211

 

60

 

StanCorp Financial Group, Inc.

 

2,496

 

635

 

State Street Corp.

 

27,432

 

632

 

SunTrust Banks, Inc.

 

14,763

 

44

 

Symetra Financial Corp.

 

532

 

990

 

Synovus Financial Corp.

 

2,010

 

69

 

Taubman Centers, Inc. (REIT)

 

3,349

 

179

 

TCF Financial Corp.

 

2,436

 

101

 

TFS Financial Corp.

 

826

 

104

 

Torchmark Corp.

 

5,977

 

81

 

Transatlantic Holdings, Inc.

 

4,099

 

526

 

Travelers Cos., Inc. (The)

 

28,399

 

2,424

 

U.S. Bancorp

 

57,643

 

215

 

UDR, Inc. (REIT)

 

4,794

 

64

 

Unitrin, Inc.

 

1,514

 

421

 

Unum Group

 

9,047

 

83

 

Validus Holdings Ltd.

 

2,424

 

204

 

Valley National Bancorp

 

2,591

 

144

 

Ventas, Inc. (REIT)

 

7,383

 

186

 

Vornado Realty Trust (REIT)

 

15,174

 

160

 

W. R. Berkley Corp.

 

4,270

 

142

 

Washington Federal, Inc.

 

2,096

 

152

 

Weingarten Realty Investors (REIT)

 

3,602

 

6,153

 

Wells Fargo & Co.

 

167,423

 

2

 

Wesco Financial Corp.

 

724

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

10

 

White Mountains Insurance Group Ltd.

 

$

3,175

 

115

 

Wilmington Trust Corp.

 

451

 

433

 

XL Group plc

 

8,513

 

220

 

Zions Bancorp.

 

4,279

 

 

 

 

 

2,019,041

 

 

 

Health Care - 8.6%

 

 

 

 

 

 

 

 

 

192

 

Abbott Laboratories

 

8,930

 

537

 

Aetna, Inc.

 

15,906

 

75

 

Alere, Inc.*

 

2,393

 

1,212

 

Amgen, Inc.*

 

63,860

 

126

 

Baxter International, Inc.

 

6,117

 

89

 

Beckman Coulter, Inc.

 

4,869

 

306

 

Biogen Idec, Inc.*

 

19,575

 

25

 

Bio-Rad Laboratories, Inc., Class A*

 

2,334

 

1,918

 

Boston Scientific Corp.*

 

12,314

 

2,175

 

Bristol-Myers Squibb Co.

 

54,897

 

94

 

Brookdale Senior Living, Inc.*

 

1,797

 

301

 

Cardinal Health, Inc.

 

10,710

 

179

 

CareFusion Corp.*

 

4,094

 

95

 

Cephalon, Inc.*

 

6,032

 

64

 

Charles River Laboratories International, Inc.*

 

2,090

 

350

 

CIGNA Corp.

 

12,884

 

37

 

Community Health Systems, Inc.*

 

1,179

 

46

 

Cooper Cos., Inc. (The)

 

2,461

 

187

 

Coventry Health Care, Inc.*

 

4,735

 

990

 

Eli Lilly & Co.

 

33,323

 

3

 

Emdeon, Inc., Class A*

 

37

 

147

 

Endo Pharmaceuticals Holdings, Inc.*

 

5,293

 

361

 

Forest Laboratories, Inc.*

 

11,512

 

81

 

Genzyme Corp.*

 

5,769

 

126

 

Health Net, Inc.*

 

3,402

 

13

 

Hill-Rom Holdings, Inc.

 

515

 

328

 

Hologic, Inc.*

 

5,379

 

216

 

Humana, Inc.*

 

12,105

 

2,964

 

Johnson & Johnson

 

182,434

 

72

 

Kinetic Concepts, Inc.*

 

2,859

 

316

 

King Pharmaceuticals, Inc.*

 

4,471

 

67

 

Life Technologies Corp.*

 

3,337

 

70

 

LifePoint Hospitals, Inc.*

 

2,535

 

195

 

McKesson Corp.

 

12,460

 

3

 

MEDNAX, Inc.*

 

184

 

322

 

Medtronic, Inc.

 

10,797

 

3,943

 

Merck & Co., Inc.

 

135,915

 

62

 

Mylan, Inc.*

 

1,213

 

137

 

Omnicare, Inc.

 

3,159

 

81

 

PerkinElmer, Inc.

 

1,887

 

10,199

 

Pfizer, Inc.

 

166,142

 

24

 

Quest Diagnostics, Inc.

 

1,184

 

42

 

Teleflex, Inc.

 

2,097

 

170

 

Tenet Healthcare Corp.*

 

694

 

519

 

Thermo Fisher Scientific, Inc.*

 

26,396

 

1,438

 

UnitedHealth Group, Inc.

 

52,516

 

106

 

Universal Health Services, Inc., Class B

 

4,359

 

141

 

Watson Pharmaceuticals, Inc.*

 

6,872

 

506

 

WellPoint, Inc.*

 

28,204

 

256

 

Zimmer Holdings, Inc.*

 

12,611

 

 

 

 

 

976,838

 

 

 

Industrials - 6.1%

 

 

 

 

 

 

 

 

 

89

 

Aecom Technology Corp.*

 

2,293

 

118

 

AGCO Corp.*

 

5,326

 

52

 

Alexander & Baldwin, Inc.

 

1,825

 

3

 

Alliant Techsystems, Inc.*

 

222

 

284

 

AMR Corp.*

 

2,431

 

23

 

Armstrong World Industries, Inc.*

 

1,115

 

131

 

Avery Dennison Corp.

 

4,918

 

30

 

Babcock & Wilcox Co.*

 

729

 

122

 

BE Aerospace, Inc.*

 

4,331

 

183

 

Boeing Co. (The)

 

11,670

 

71

 

Carlisle Cos., Inc.

 

2,600

 

76

 

Chicago Bridge & Iron Co. N.V. (NY Shares)*

 

2,152

 

168

 

Cintas Corp.

 

4,493

 

27

 

CNH Global N.V.*

 

1,118

 

62

 

Con-way, Inc.

 

2,096

 

15

 

Copa Holdings S.A., Class A

 

837

 

119

 

Corrections Corp. of America*

 

2,874

 

155

 

Covanta Holding Corp.

 

2,437

 

63

 

Crane Co.

 

2,361

 

492

 

CSX Corp.

 

29,918

 

50

 

Danaher Corp.

 

2,162

 

31

 

Deere & Co.

 

2,316

 

86

 

Dover Corp.

 

4,714

 

156

 

Eaton Corp.

 

15,038

 

160

 

Equifax, Inc.

 

5,538

 

140

 

FedEx Corp.

 

12,757

 

10

 

Flowserve Corp.

 

1,055

 

212

 

Fluor Corp.

 

12,260

 

11

 

FTI Consulting, Inc.*

 

392

 

4

 

Gardner Denver, Inc.

 

262

 

43

 

GATX Corp.

 

1,426

 

43

 

General Cable Corp.*

 

1,410

 

437

 

General Dynamics Corp.

 

28,881

 

10,368

 

General Electric Co.

 

164,125

 

114

 

Goodrich Corp.

 

9,778

 

95

 

Harsco Corp.

 

2,286

 

36

 

Hertz Global Holdings, Inc.*

 

441

 

46

 

Hubbell, Inc., Class B

 

2,602

 

18

 

IDEX Corp.

 

674

 

407

 

Ingersoll-Rand plc

 

16,687

 

232

 

ITT Corp.

 

10,672

 

62

 

Jacobs Engineering Group, Inc.*

 

2,387

 

53

 

Kansas City Southern*

 

2,509

 

30

 

KAR Auction Services, Inc.*

 

361

 

192

 

KBR, Inc.

 

5,199

 

27

 

Kennametal, Inc.

 

913

 

64

 

Kirby Corp.*

 

2,859

 

147

 

L-3 Communications Holdings, Inc.

 

10,338

 

84

 

Lockheed Martin Corp.

 

5,715

 

103

 

Manpower, Inc.

 

5,801

 

317

 

Masco Corp.

 

3,458

 

468

 

Norfolk Southern Corp.

 

28,160

 

381

 

Northrop Grumman Corp.

 

23,500

 

64

 

Owens Corning*

 

1,684

 

146

 

Parker Hannifin Corp.

 

11,714

 

60

 

Pentair, Inc.

 

1,974

 

74

 

Pitney Bowes, Inc.

 

1,624

 

266

 

Quanta Services, Inc.*

 

4,684

 

247

 

R.R. Donnelley & Sons Co.

 

3,893

 

482

 

Raytheon Co.

 

22,292

 

8

 

Regal-Beloit Corp.

 

488

 

288

 

Republic Services, Inc.

 

8,104

 

95

 

Rockwell Collins, Inc.

 

5,326

 

31

 

Ryder System, Inc.

 

1,336

 

45

 

Shaw Group, Inc. (The)*

 

1,442

 

73

 

Snap-On, Inc.

 

3,864

 

817

 

Southwest Airlines Co.

 

10,882

 

114

 

Spirit Aerosystems Holdings, Inc., Class A*

 

2,220

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

50

 

SPX Corp.

 

$

3,284

 

138

 

Terex Corp.*

 

3,351

 

167

 

Textron, Inc.

 

3,734

 

55

 

Thomas & Betts Corp.*

 

2,445

 

29

 

Timken Co.

 

1,263

 

46

 

Towers Watson & Co., Class A

 

2,309

 

100

 

Trinity Industries, Inc.

 

2,290

 

552

 

Tyco International Ltd.

 

20,915

 

560

 

Union Pacific Corp.

 

50,462

 

54

 

United Continental Holdings, Inc.*

 

1,495

 

102

 

United Technologies Corp.

 

7,677

 

105

 

URS Corp.*

 

4,152

 

50

 

USG Corp.*

 

634

 

21

 

UTi Worldwide, Inc.

 

404

 

32

 

Waste Connections, Inc.

 

819

 

611

 

Waste Management, Inc.

 

20,927

 

36

 

WESCO International, Inc.*

 

1,718

 

51

 

Westinghouse Air Brake Technologies Corp.

 

2,358

 

 

 

 

 

684,186

 

 

 

Information Technology - 3.8%

 

 

 

 

 

 

 

 

 

478

 

Activision Blizzard, Inc.

 

5,612

 

469

 

Advanced Micro Devices, Inc.*

 

3,419

 

188

 

Amdocs Ltd.*

 

4,888

 

135

 

AOL, Inc.*

 

3,264

 

137

 

Arrow Electronics, Inc.*

 

4,248

 

61

 

Atmel Corp.*

 

634

 

192

 

Avnet, Inc.*

 

5,885

 

56

 

AVX Corp.

 

801

 

14

 

Broadridge Financial Solutions, Inc.

 

288

 

562

 

Brocade Communications Systems, Inc.*

 

2,799

 

91

 

CA, Inc.

 

2,083

 

119

 

CommScope, Inc.*

 

3,762

 

195

 

Computer Sciences Corp.

 

8,703

 

123

 

Compuware Corp.*

 

1,267

 

126

 

Convergys Corp.*

 

1,624

 

148

 

CoreLogic, Inc.

 

2,695

 

1,727

 

Corning, Inc.

 

30,499

 

66

 

Diebold, Inc.

 

2,074

 

901

 

eBay, Inc.*

 

26,246

 

47

 

EchoStar Corp., Class A*

 

948

 

25

 

Electronic Arts, Inc.*

 

373

 

159

 

Fairchild Semiconductor International, Inc.*

 

2,234

 

334

 

Fidelity National Information Services, Inc.

 

8,985

 

64

 

Fiserv, Inc.*

 

3,539

 

66

 

IAC/InterActiveCorp*

 

1,859

 

187

 

Ingram Micro, Inc., Class A*

 

3,338

 

2,223

 

Intel Corp.

 

46,950

 

90

 

International Rectifier Corp.*

 

2,552

 

102

 

Intersil Corp., Class A

 

1,301

 

4

 

Itron, Inc.*

 

227

 

66

 

Jabil Circuit, Inc.

 

997

 

203

 

KLA-Tencor Corp.

 

7,444

 

99

 

Lexmark International, Inc., Class A*

 

3,588

 

826

 

LSI Corp.*

 

4,741

 

167

 

MEMC Electronic Materials, Inc.*

 

1,932

 

1,082

 

Micron Technology, Inc.*

 

7,855

 

3,206

 

Microsoft Corp.

 

80,823

 

168

 

Molex, Inc.

 

3,494

 

80

 

Monster Worldwide, Inc.*

 

1,806

 

2,938

 

Motorola, Inc.*

 

22,505

 

27

 

National Semiconductor Corp.

 

360

 

441

 

Novell, Inc.*

 

2,628

 

14

 

Novellus Systems, Inc.*

 

422

 

275

 

PMC-Sierra, Inc.*

 

1,994

 

172

 

Seagate Technology plc*

 

2,307

 

75

 

SunPower Corp., Class A*

 

875

 

915

 

Symantec Corp.*

 

15,372

 

178

 

Synopsys, Inc.*

 

4,573

 

59

 

Tech Data Corp.*

 

2,600

 

487

 

Tellabs, Inc.

 

3,073

 

845

 

Texas Instruments, Inc.

 

26,871

 

208

 

Total System Services, Inc.

 

3,139

 

218

 

Vishay Intertechnology, Inc.*

 

3,109

 

15

 

Vishay Precision Group, Inc.*

 

251

 

224

 

Western Digital Corp.*

 

7,504

 

1,744

 

Xerox Corp.

 

19,986

 

1,012

 

Yahoo!, Inc.*

 

15,959

 

31

 

Zebra Technologies Corp., Class A*

 

1,130

 

 

 

 

 

430,435

 

 

 

Materials - 2.2%

 

 

 

 

 

 

 

 

 

119

 

AK Steel Holding Corp.

 

1,580

 

1,104

 

Alcoa, Inc.

 

14,484

 

86

 

Aptargroup, Inc.

 

3,928

 

91

 

Ashland, Inc.

 

4,630

 

92

 

Ball Corp.

 

6,061

 

138

 

Bemis Co., Inc.

 

4,336

 

83

 

Cabot Corp.

 

2,971

 

25

 

CF Industries Holdings, Inc.

 

3,019

 

144

 

Commercial Metals Co.

 

2,213

 

62

 

Cytec Industries, Inc.

 

2,965

 

54

 

Domtar Corp.

 

4,100

 

1,460

 

Dow Chemical Co. (The)

 

45,523

 

750

 

E.I. du Pont de Nemours & Co.

 

35,243

 

73

 

Eastman Chemical Co.

 

5,680

 

29

 

FMC Corp.

 

2,257

 

44

 

Greif, Inc., Class A

 

2,571

 

239

 

Huntsman Corp.

 

3,697

 

123

 

International Paper Co.

 

3,071

 

56

 

Intrepid Potash, Inc.*

 

1,716

 

216

 

MeadWestvaco Corp.

 

5,365

 

228

 

Nucor Corp.

 

8,605

 

144

 

Owens-Illinois, Inc.*

 

3,871

 

131

 

Packaging Corp. of America

 

3,360

 

175

 

PPG Industries, Inc.

 

13,643

 

83

 

Reliance Steel & Aluminum Co.

 

3,689

 

57

 

Royal Gold, Inc.

 

2,937

 

82

 

RPM International, Inc.

 

1,679

 

23

 

Schnitzer Steel Industries, Inc., Class A

 

1,313

 

202

 

Sealed Air Corp.

 

4,697

 

45

 

Sherwin-Williams Co. (The)

 

3,338

 

12

 

Sigma-Aldrich Corp.

 

759

 

127

 

Sonoco Products Co.

 

4,161

 

274

 

Steel Dynamics, Inc.

 

4,368

 

111

 

Temple-Inland, Inc.

 

2,328

 

147

 

United States Steel Corp.

 

7,146

 

113

 

Valspar Corp.

 

3,734

 

161

 

Vulcan Materials Co.

 

6,459

 

14

 

Walter Energy, Inc.

 

1,437

 

677

 

Weyerhaeuser Co.

 

11,299

 

 

 

 

 

244,233

 

 

 

Telecommunication Services - 3.4%

 

 

 

 

 

 

 

 

 

7,472

 

AT&T, Inc.

 

207,647

 

380

 

CenturyLink, Inc.

 

16,336

 

43

 

Clearwire Corp., Class A*

 

302

 

769

 

Frontier Communications Corp.

 

6,998

 

77

 

Leap Wireless International, Inc.*

 

838

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,286

 

Level 3 Communications, Inc.*

 

$

1,286

 

166

 

MetroPCS Communications, Inc.*

 

2,017

 

44

 

NII Holdings, Inc.*

 

1,705

 

2,196

 

Qwest Communications International, Inc.

 

15,372

 

3,725

 

Sprint Nextel Corp.*

 

14,080

 

107

 

Telephone & Data Systems, Inc.

 

3,818

 

19

 

United States Cellular Corp.*

 

870

 

3,575

 

Verizon Communications, Inc.

 

114,436

 

357

 

Windstream Corp.

 

4,655

 

 

 

 

 

390,360

 

 

 

Utilities - 4.8%

 

 

 

 

 

 

 

 

 

847

 

AES Corp. (The)*

 

9,156

 

99

 

AGL Resources, Inc.

 

3,636

 

215

 

Allegheny Energy, Inc.

 

4,906

 

140

 

Alliant Energy Corp.

 

5,083

 

301

 

Ameren Corp.

 

8,645

 

606

 

American Electric Power Co., Inc.

 

21,574

 

221

 

American Water Works Co., Inc.

 

5,417

 

173

 

Aqua America, Inc.

 

3,728

 

118

 

Atmos Energy Corp.

 

3,548

 

236

 

Calpine Corp.*

 

2,856

 

532

 

CenterPoint Energy, Inc.

 

8,315

 

291

 

CMS Energy Corp.

 

5,229

 

357

 

Consolidated Edison, Inc.

 

17,268

 

234

 

Constellation Energy Group, Inc.

 

6,636

 

754

 

Dominion Resources, Inc.

 

31,314

 

151

 

DPL, Inc.

 

3,825

 

213

 

DTE Energy Co.

 

9,489

 

1,660

 

Duke Energy Corp.

 

29,133

 

412

 

Edison International

 

15,219

 

90

 

Energen Corp.

 

3,921

 

240

 

Entergy Corp.

 

17,098

 

835

 

Exelon Corp.

 

32,874

 

385

 

FirstEnergy Corp.

 

13,517

 

172

 

Great Plains Energy, Inc.

 

3,208

 

118

 

Hawaiian Electric Industries, Inc.

 

2,583

 

98

 

Integrys Energy Group, Inc.

 

4,773

 

8

 

ITC Holdings Corp.

 

484

 

238

 

MDU Resources Group, Inc.

 

4,865

 

184

 

Mirant Corp.*

 

1,825

 

93

 

National Fuel Gas Co.

 

5,893

 

524

 

NextEra Energy, Inc.

 

26,525

 

350

 

NiSource, Inc.

 

5,856

 

223

 

Northeast Utilities

 

6,935

 

323

 

NRG Energy, Inc.*

 

6,260

 

136

 

NSTAR

 

5,630

 

297

 

NV Energy, Inc.

 

4,066

 

123

 

OGE Energy Corp.

 

5,475

 

135

 

Oneok, Inc.

 

6,900

 

12

 

Ormat Technologies, Inc.

 

322

 

282

 

Pepco Holdings, Inc.

 

5,175

 

471

 

PG&E Corp.

 

22,104

 

137

 

Pinnacle West Capital Corp.

 

5,538

 

610

 

PPL Corp.

 

15,500

 

363

 

Progress Energy, Inc.

 

15,859

 

639

 

Public Service Enterprise Group, Inc.

 

19,700

 

221

 

Questar Corp.

 

3,671

 

447

 

RRI Energy, Inc.*

 

1,573

 

143

 

SCANA Corp.

 

5,809

 

313

 

Sempra Energy

 

15,678

 

1,043

 

Southern Co.

 

39,342

 

271

 

TECO Energy, Inc.

 

4,539

 

138

 

UGI Corp.

 

4,094

 

103

 

Vectren Corp.

 

2,668

 

140

 

Westar Energy, Inc.

 

3,487

 

147

 

Wisconsin Energy Corp.

 

8,852

 

581

 

Xcel Energy, Inc.

 

13,654

 

 

 

 

 

541,230

 

 

 

Total Common Stocks
(Cost $7,252,000)

 

7,580,400

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 11.8%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

818,086

 

0.07%, due 12/01/10

 

818,086

 

512,886

 

0.09%, due 12/06/10

 

512,886

 

 

 

Total U.S. Government & Agency Securities (Cost $1,330,972)

 

1,330,972

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 26.6%

 

 

 

3,006,864

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $3,006,896

 

3,006,864

 

 

 

Total Repurchase Agreements
(Cost $3,006,864)

 

3,006,864

 

 

 

Total Investment Securities
(Cost $11,589,836) — 105.6%

 

11,918,236

 

 

 

Liabilities in excess of other assets — (5.6%)

 

(632,500

)

 

 

Net Assets — 100.0%

 

$

 11,285,736

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $3,296,901.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

561,083

 

Aggregate gross unrealized depreciation

 

(597,755

)

Net unrealized depreciation

 

$

(36,672

)

Federal income tax cost of investments

 

$

11,954,908

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Russell1000 Value had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Depreciation

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 1000® Value Index

 

$

211,236

 

$

(8,296

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Value Index

 

1,190,998

 

(78,591

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Value Index

 

10,807,634

 

(500,564

)

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Value Index

 

2,782,480

 

(18,429

)

 

 

 

 

 

 

 

 

 

 

$

(605,880

)

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell1000 Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 64.8%

 

 

 

 

 

Consumer Discretionary - 9.8%

 

 

 

 

 

 

 

 

 

58

 

Aaron’s, Inc.

 

$

1,158

 

96

 

Abercrombie & Fitch Co., Class A

 

4,824

 

125

 

Advance Auto Parts, Inc.

 

8,249

 

133

 

Aeropostale, Inc.*

 

3,595

 

496

 

Amazon.com, Inc.*

 

86,998

 

68

 

American Eagle Outfitters, Inc.

 

1,122

 

184

 

Apollo Group, Inc., Class A*

 

6,256

 

41

 

Autoliv, Inc.

 

3,010

 

32

 

AutoNation, Inc.*

 

836

 

37

 

AutoZone, Inc.*

 

9,598

 

78

 

Bally Technologies, Inc.*

 

3,055

 

373

 

Bed Bath & Beyond, Inc.*

 

16,315

 

461

 

Best Buy Co., Inc.

 

19,694

 

107

 

Big Lots, Inc.*

 

3,280

 

154

 

BorgWarner, Inc.*

 

9,292

 

127

 

Brinker International, Inc.

 

2,596

 

93

 

Career Education Corp.*

 

1,654

 

317

 

CarMax, Inc.*

 

10,429

 

232

 

Carnival Corp.

 

9,584

 

115

 

CBS Corp., Class B

 

1,937

 

253

 

Chico’s FAS, Inc.

 

3,049

 

45

 

Chipotle Mexican Grill, Inc.*

 

11,632

 

3

 

Choice Hotels International, Inc.

 

112

 

433

 

Coach, Inc.

 

24,482

 

199

 

Darden Restaurants, Inc.

 

9,741

 

90

 

DeVry, Inc.

 

3,865

 

127

 

Dick’s Sporting Goods, Inc.*

 

4,345

 

1,258

 

DIRECTV, Class A*

 

52,245

 

295

 

Discovery Communications, Inc., Class A*

 

12,030

 

99

 

Dollar General Corp.*

 

3,251

 

180

 

Dollar Tree, Inc.*

 

9,891

 

105

 

DreamWorks Animation SKG, Inc., Class A*

 

3,254

 

34

 

Education Management Corp.*

 

480

 

120

 

Expedia, Inc.

 

3,160

 

192

 

Family Dollar Stores, Inc.

 

9,638

 

6

 

Federal-Mogul Corp.*

 

112

 

4,728

 

Ford Motor Co.*

 

75,364

 

26

 

Fortune Brands, Inc.

 

1,536

 

75

 

Fossil, Inc.*

 

5,074

 

537

 

Gap, Inc. (The)

 

11,470

 

10

 

Garmin Ltd.

 

290

 

198

 

Gentex Corp.

 

4,156

 

344

 

Goodyear Tire & Rubber Co. (The)*

 

3,289

 

92

 

Guess?, Inc.

 

4,347

 

181

 

H&R Block, Inc.

 

2,279

 

136

 

Hanesbrands, Inc.*

 

3,692

 

334

 

Harley-Davidson, Inc.

 

10,448

 

47

 

Harman International Industries, Inc.*

 

2,049

 

185

 

Hasbro, Inc.

 

8,817

 

88

 

Hillenbrand, Inc.

 

1,699

 

2,401

 

Home Depot, Inc.

 

72,534

 

423

 

International Game Technology

 

6,548

 

15

 

International Speedway Corp., Class A

 

355

 

694

 

Interpublic Group of Cos., Inc. (The)*

 

7,391

 

45

 

ITT Educational Services, Inc.*

 

2,632

 

78

 

J. Crew Group, Inc.*

 

3,410

 

109

 

J.C. Penney Co., Inc.

 

3,626

 

59

 

John Wiley & Sons, Inc., Class A

 

2,449

 

899

 

Johnson Controls, Inc.

 

32,760

 

322

 

Kohl’s Corp.*

 

18,167

 

17

 

Lamar Advertising Co., Class A*

 

625

 

448

 

Las Vegas Sands Corp.*

 

22,436

 

21

 

Lear Corp.*

 

1,843

 

124

 

Leggett & Platt, Inc.

 

2,567

 

379

 

Limited Brands, Inc.

 

12,761

 

203

 

LKQ Corp.*

 

4,380

 

1,559

 

Lowe’s Cos., Inc.

 

35,389

 

59

 

Macy’s, Inc.

 

1,515

 

28

 

Madison Square Garden, Inc., Class A*

 

614

 

385

 

Marriott International, Inc., Class A

 

15,096

 

300

 

Mattel, Inc.

 

7,752

 

1,525

 

McDonald’s Corp.

 

119,408

 

314

 

McGraw-Hill Cos., Inc. (The)

 

10,830

 

22

 

Meredith Corp.

 

740

 

68

 

MGM Resorts International*

 

832

 

10

 

Mohawk Industries, Inc.*

 

525

 

31

 

Morningstar, Inc.*

 

1,563

 

57

 

NetFlix, Inc.*

 

11,736

 

677

 

News Corp., Class A

 

9,234

 

510

 

NIKE, Inc., Class B

 

43,926

 

237

 

Nordstrom, Inc.

 

10,144

 

8

 

NVR, Inc.*

 

4,960

 

39

 

Office Depot, Inc.*

 

170

 

351

 

Omnicom Group, Inc.

 

15,949

 

196

 

O’Reilly Automotive, Inc.*

 

11,795

 

43

 

Panera Bread Co., Class A*

 

4,310

 

168

 

PetSmart, Inc.

 

6,361

 

80

 

Phillips-Van Heusen Corp.

 

5,427

 

79

 

Polo Ralph Lauren Corp.

 

8,630

 

67

 

priceline.com, Inc.*

 

26,401

 

26

 

Regal Entertainment Group, Class A

 

351

 

173

 

Ross Stores, Inc.

 

11,224

 

73

 

Royal Caribbean Cruises Ltd.*

 

2,938

 

127

 

Scripps Networks Interactive, Inc., Class A

 

6,471

 

5,509

 

Sirius XM Radio, Inc.*

 

7,547

 

1,035

 

Staples, Inc.

 

22,780

 

1,056

 

Starbucks Corp.

 

32,314

 

269

 

Starwood Hotels & Resorts Worldwide, Inc.

 

15,290

 

20

 

Strayer Education, Inc.

 

2,717

 

1,044

 

Target Corp.

 

59,445

 

103

 

Tempur-Pedic International, Inc.*

 

3,616

 

15

 

Tesla Motors, Inc.*

 

530

 

172

 

Thomson Reuters Corp.

 

6,254

 

47

 

Thor Industries, Inc.

 

1,388

 

179

 

Tiffany & Co.

 

11,116

 

333

 

Time Warner, Inc.

 

9,820

 

578

 

TJX Cos., Inc.

 

26,363

 

103

 

Tractor Supply Co.

 

4,374

 

75

 

TRW Automotive Holdings Corp.*

 

3,562

 

90

 

Tupperware Brands Corp.

 

4,183

 

173

 

Urban Outfitters, Inc.*

 

6,538

 

170

 

Viacom, Inc., Class B

 

6,431

 

47

 

Weight Watchers International, Inc.

 

1,609

 

179

 

Wendy’s/Arby’s Group, Inc., Class A

 

854

 

46

 

Whirlpool Corp.

 

3,358

 

136

 

Williams-Sonoma, Inc.

 

4,525

 

82

 

WMS Industries, Inc.*

 

3,637

 

107

 

Wynn Resorts Ltd.

 

10,818

 

663

 

Yum! Brands, Inc.

 

33,203

 

 

 

 

 

1,340,326

 

 

 

Consumer Staples - 6.3%

 

 

 

 

 

 

 

 

 

27

 

Alberto-Culver Co.

 

1,004

 

1,721

 

Altria Group, Inc.

 

41,304

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

607

 

Avon Products, Inc.

 

$

17,336

 

6

 

BJ’s Wholesale Club, Inc.*

 

275

 

113

 

Brown-Forman Corp., Class B

 

7,392

 

156

 

Campbell Soup Co.

 

5,288

 

100

 

Church & Dwight Co., Inc.

 

6,525

 

188

 

Clorox Co.

 

11,620

 

2,228

 

Coca-Cola Co. (The)

 

140,743

 

277

 

Coca-Cola Enterprises, Inc.

 

6,690

 

582

 

Colgate-Palmolive Co.

 

44,552

 

64

 

ConAgra Foods, Inc.

 

1,375

 

625

 

Costco Wholesale Corp.

 

42,256

 

214

 

CVS Caremark Corp.

 

6,634

 

107

 

Dr. Pepper Snapple Group, Inc.

 

3,919

 

156

 

Estee Lauder Cos., Inc. (The), Class A

 

11,687

 

40

 

Flowers Foods, Inc.

 

1,048

 

560

 

General Mills, Inc.

 

19,785

 

157

 

Green Mountain Coffee Roasters, Inc.*

 

5,822

 

184

 

H. J. Heinz Co.

 

8,882

 

79

 

Hansen Natural Corp.*

 

4,204

 

85

 

Herbalife Ltd.

 

5,834

 

127

 

Hershey Co. (The)

 

5,944

 

327

 

Kellogg Co.

 

16,098

 

465

 

Kimberly-Clark Corp.

 

28,779

 

52

 

Kroger Co. (The)

 

1,225

 

94

 

McCormick & Co., Inc. (Non-Voting)

 

4,137

 

40

 

Mead Johnson Nutrition Co.

 

2,383

 

1,315

 

PepsiCo, Inc.

 

84,988

 

2,211

 

Philip Morris International, Inc.

 

125,784

 

245

 

Procter & Gamble Co. (The)

 

14,962

 

668

 

Sara Lee Corp.

 

10,020

 

839

 

Sysco Corp.

 

24,348

 

1,264

 

Walgreen Co.

 

44,050

 

1,747

 

Wal-Mart Stores, Inc.

 

94,495

 

198

 

Whole Foods Market, Inc.*

 

9,350

 

 

 

 

 

860,738

 

 

 

Energy - 6.9%

 

 

 

 

 

 

 

 

 

23

 

Alpha Natural Resources, Inc.*

 

1,140

 

163

 

Arch Coal, Inc.

 

4,760

 

81

 

Atlas Energy, Inc.*

 

3,479

 

16

 

Atwood Oceanics, Inc.*

 

570

 

167

 

Baker Hughes, Inc.

 

8,711

 

198

 

Cameron International Corp.*

 

9,526

 

151

 

Chevron Corp.

 

12,226

 

119

 

Cimarex Energy Co.

 

9,584

 

130

 

Concho Resources, Inc.*

 

10,758

 

808

 

ConocoPhillips

 

48,617

 

147

 

CONSOL Energy, Inc.

 

6,168

 

40

 

Continental Resources, Inc.*

 

2,138

 

63

 

Core Laboratories N.V.

 

5,393

 

32

 

Diamond Offshore Drilling, Inc.

 

2,072

 

106

 

Dresser-Rand Group, Inc.*

 

4,021

 

184

 

El Paso Corp.

 

2,482

 

359

 

EOG Resources, Inc.

 

31,933

 

197

 

EQT Corp.

 

7,973

 

208

 

EXCO Resources, Inc.

 

3,863

 

9

 

Exterran Holdings, Inc.*

 

204

 

6,641

 

Exxon Mobil Corp.

 

461,948

 

172

 

FMC Technologies, Inc.*

 

14,489

 

103

 

Forest Oil Corp.*

 

3,525

 

60

 

Frontline Ltd.

 

1,556

 

1,288

 

Halliburton Co.

 

48,738

 

43

 

Holly Corp.

 

1,545

 

269

 

Marathon Oil Corp.

 

9,003

 

259

 

McDermott International, Inc.*

 

4,747

 

32

 

Murphy Oil Corp.

 

2,161

 

161

 

Nabors Industries Ltd.*

 

3,557

 

234

 

Occidental Petroleum Corp.

 

20,632

 

4

 

Oil States International, Inc.*

 

237

 

304

 

Petrohawk Energy Corp.*

 

5,420

 

99

 

Pride International, Inc.*

 

3,079

 

10

 

Quicksilver Resources, Inc.*

 

142

 

226

 

Range Resources Corp.

 

9,490

 

20

 

Rowan Cos., Inc.*

 

603

 

299

 

SandRidge Energy, Inc.*

 

1,543

 

1,691

 

Schlumberger Ltd.

 

130,782

 

61

 

SM Energy Co.

 

3,031

 

491

 

Southwestern Energy Co.*

 

17,774

 

8

 

Superior Energy Services, Inc.*

 

267

 

216

 

Ultra Petroleum Corp.*

 

10,150

 

423

 

Weatherford International Ltd.*

 

8,633

 

6

 

Whiting Petroleum Corp.*

 

660

 

341

 

Williams Cos., Inc. (The)

 

7,778

 

 

 

 

 

947,108

 

 

 

Financials - 3.0%

 

 

 

 

 

 

 

 

 

73

 

ACE Ltd.

 

4,272

 

72

 

Affiliated Managers Group, Inc.*

 

6,294

 

629

 

Aflac, Inc.

 

32,394

 

22

 

AMB Property Corp. (REIT)

 

642

 

1,487

 

American Express Co.

 

64,268

 

73

 

Ameriprise Financial, Inc.

 

3,784

 

84

 

AON Corp.

 

3,370

 

82

 

Apartment Investment & Management Co., Class A (REIT)

 

1,978

 

4

 

Arch Capital Group Ltd.*

 

361

 

37

 

Arthur J. Gallagher & Co.

 

1,039

 

48

 

Axis Capital Holdings Ltd.

 

1,696

 

22

 

Bank of Hawaii Corp.

 

953

 

17

 

BlackRock, Inc.

 

2,771

 

86

 

Brown & Brown, Inc.

 

1,967

 

2

 

Capitol Federal Financial

 

47

 

404

 

CB Richard Ellis Group, Inc., Class A*

 

7,753

 

8

 

CBOE Holdings, Inc.

 

190

 

1,403

 

Charles Schwab Corp. (The)

 

21,087

 

117

 

Digital Realty Trust, Inc. (REIT)

 

6,145

 

167

 

Eaton Vance Corp.

 

4,963

 

7

 

Endurance Specialty Holdings Ltd.

 

309

 

26

 

Equity Residential (REIT)

 

1,299

 

29

 

Erie Indemnity Co., Class A

 

1,826

 

17

 

Essex Property Trust, Inc. (REIT)

 

1,884

 

52

 

Federal Realty Investment Trust (REIT)

 

4,024

 

86

 

Federated Investors, Inc., Class B

 

2,039

 

211

 

Franklin Resources, Inc.

 

24,073

 

287

 

General Growth Properties, Inc. (REIT)

 

4,647

 

128

 

Genworth Financial, Inc., Class A*

 

1,492

 

5

 

Green Dot Corp., Class A*

 

289

 

42

 

Greenhill & Co., Inc.

 

3,147

 

53

 

Hartford Financial Services Group, Inc.

 

1,180

 

28

 

Howard Hughes Corp. (The)*

 

1,151

 

56

 

Hudson City Bancorp, Inc.

 

636

 

15

 

Interactive Brokers Group, Inc., Class A*

 

275

 

105

 

IntercontinentalExchange, Inc.*

 

11,833

 

201

 

Invesco Ltd.

 

4,370

 

24

 

Janus Capital Group, Inc.

 

251

 

60

 

Jones Lang LaSalle, Inc.

 

4,789

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

130

 

Lazard Ltd., Class A

 

$

4,655

 

708

 

Marsh & McLennan Cos., Inc.

 

17,757

 

289

 

MetLife, Inc.

 

11,025

 

291

 

Moody’s Corp.

 

7,808

 

682

 

Morgan Stanley

 

16,682

 

156

 

MSCI, Inc., Class A*

 

5,313

 

19

 

NASDAQ OMX Group, Inc. (The)*

 

408

 

137

 

Northern Trust Corp.

 

6,891

 

80

 

NYSE Euronext

 

2,186

 

98

 

Plum Creek Timber Co., Inc. (REIT)

 

3,532

 

42

 

ProLogis (REIT)

 

546

 

180

 

Public Storage (REIT)

 

17,388

 

34

 

Rayonier, Inc. (REIT)

 

1,733

 

212

 

SEI Investments Co.

 

4,787

 

287

 

Simon Property Group, Inc. (REIT)

 

28,270

 

118

 

St. Joe Co. (The)*

 

2,077

 

368

 

T. Rowe Price Group, Inc.

 

21,465

 

331

 

TD Ameritrade Holding Corp.

 

5,541

 

77

 

Travelers Cos., Inc. (The)

 

4,157

 

17

 

UDR, Inc. (REIT)

 

379

 

11

 

Validus Holdings Ltd.

 

321

 

60

 

Ventas, Inc. (REIT)

 

3,076

 

21

 

Vornado Realty Trust (REIT)

 

1,713

 

123

 

Waddell & Reed Financial, Inc., Class A

 

3,788

 

 

 

 

 

406,986

 

 

 

Health Care - 6.2%

 

 

 

 

 

 

 

 

 

1,974

 

Abbott Laboratories

 

91,811

 

98

 

Alcon, Inc.

 

15,411

 

35

 

Alere, Inc.*

 

1,117

 

127

 

Alexion Pharmaceuticals, Inc.*

 

9,709

 

431

 

Allergan, Inc.

 

28,562

 

165

 

Allscripts Healthcare Solutions, Inc.*

 

2,896

 

401

 

AmerisourceBergen Corp.

 

12,371

 

204

 

Amylin Pharmaceuticals, Inc.*

 

2,614

 

704

 

Baxter International, Inc.

 

34,179

 

331

 

Becton, Dickinson and Co.

 

25,795

 

144

 

BioMarin Pharmaceutical, Inc.*

 

3,900

 

17

 

Brookdale Senior Living, Inc.*

 

325

 

135

 

C.R. Bard, Inc.

 

11,455

 

177

 

Cardinal Health, Inc.

 

6,298

 

56

 

CareFusion Corp.*

 

1,281

 

656

 

Celgene Corp.*

 

38,953

 

98

 

Cerner Corp.*

 

8,610

 

22

 

Charles River Laboratories International, Inc.*

 

718

 

93

 

Community Health Systems, Inc.*

 

2,963

 

12

 

Cooper Cos., Inc. (The)

 

642

 

92

 

Covance, Inc.*

 

4,132

 

711

 

Covidien plc

 

29,912

 

147

 

DaVita, Inc.*

 

10,687

 

204

 

Dendreon Corp.*

 

7,291

 

207

 

DENTSPLY International, Inc.

 

6,400

 

161

 

Edwards Lifesciences Corp.*

 

10,684

 

332

 

Eli Lilly & Co.

 

11,175

 

37

 

Emdeon, Inc., Class A*

 

461

 

42

 

Emergency Medical Services Corp., Class A*

 

2,081

 

777

 

Express Scripts, Inc.*

 

40,474

 

70

 

Gen-Probe, Inc.*

 

3,630

 

288

 

Genzyme Corp.*

 

20,511

 

1,189

 

Gilead Sciences, Inc.*

 

43,399

 

355

 

Health Management Associates, Inc., Class A*

 

3,163

 

130

 

Henry Schein, Inc.*

 

7,466

 

75

 

Hill-Rom Holdings, Inc.

 

2,969

 

235

 

Hospira, Inc.*

 

13,221

 

266

 

Human Genome Sciences, Inc.*

 

6,525

 

82

 

IDEXX Laboratories, Inc.*

 

5,265

 

173

 

Illumina, Inc.*

 

10,401

 

56

 

Intuitive Surgical, Inc.*

 

14,576

 

587

 

Johnson & Johnson

 

36,130

 

8

 

Kinetic Concepts, Inc.*

 

318

 

148

 

Laboratory Corp. of America Holdings*

 

12,140

 

183

 

Life Technologies Corp.*

 

9,114

 

141

 

Lincare Holdings, Inc.

 

3,631

 

166

 

McKesson Corp.

 

10,607

 

615

 

Medco Health Solutions, Inc.*

 

37,712

 

63

 

MEDNAX, Inc.*

 

3,856

 

1,201

 

Medtronic, Inc.

 

40,270

 

48

 

Mettler-Toledo International, Inc.*

 

6,969

 

369

 

Mylan, Inc.*

 

7,220

 

131

 

Myriad Genetics, Inc.*

 

2,820

 

17

 

Omnicare, Inc.

 

392

 

145

 

Patterson Cos., Inc.

 

4,311

 

76

 

PerkinElmer, Inc.

 

1,771

 

115

 

Perrigo Co.

 

6,928

 

150

 

Pharmaceutical Product Development, Inc.

 

3,738

 

173

 

Quest Diagnostics, Inc.

 

8,532

 

99

 

Regeneron Pharmaceuticals, Inc.*

 

2,853

 

215

 

ResMed, Inc.*

 

6,869

 

463

 

St. Jude Medical, Inc.*

 

17,913

 

447

 

Stryker Corp.

 

22,390

 

87

 

SXC Health Solutions Corp.*

 

3,336

 

73

 

Talecris Biotherapeutics Holdings Corp.*

 

1,584

 

53

 

Techne Corp.

 

3,184

 

9

 

Teleflex, Inc.

 

449

 

496

 

Tenet Healthcare Corp.*

 

2,024

 

81

 

Thoratec Corp.*

 

2,062

 

70

 

United Therapeutics Corp.*

 

4,405

 

9

 

Universal Health Services, Inc., Class B

 

370

 

175

 

Varian Medical Systems, Inc.*

 

11,520

 

122

 

VCA Antech, Inc.*

 

2,665

 

287

 

Vertex Pharmaceuticals, Inc.*

 

9,508

 

128

 

Warner Chilcott plc, Class A

 

2,433

 

132

 

Waters Corp.*

 

10,147

 

 

 

 

 

854,204

 

 

 

Industrials - 8.5%

 

 

 

 

 

 

 

 

 

1,011

 

3M Co.

 

84,904

 

44

 

Aecom Technology Corp.*

 

1,133

 

43

 

Alliant Techsystems, Inc.*

 

3,178

 

151

 

AMETEK, Inc.

 

8,935

 

152

 

AMR Corp.*

 

1,301

 

2

 

Armstrong World Industries, Inc.*

 

97

 

9

 

Avery Dennison Corp.

 

338

 

129

 

Babcock & Wilcox Co.*

 

3,133

 

872

 

Boeing Co. (The)

 

55,607

 

107

 

Bucyrus International, Inc.

 

9,540

 

235

 

C.H. Robinson Worldwide, Inc.

 

17,322

 

6

 

Carlisle Cos., Inc.

 

220

 

891

 

Caterpillar, Inc.

 

75,379

 

58

 

Chicago Bridge & Iron Co. N.V. (NY Shares)*

 

1,642

 

6

 

CNH Global N.V.*

 

249

 

6

 

Con-way, Inc.

 

203

 

238

 

Cooper Industries plc

 

12,971

 

28

 

Copa Holdings S.A., Class A

 

1,562

 

102

 

Copart, Inc.*

 

3,619

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

28

 

Corrections Corp. of America*

 

$

676

 

11

 

Covanta Holding Corp.

 

173

 

284

 

Cummins, Inc.

 

27,582

 

698

 

Danaher Corp.

 

30,188

 

569

 

Deere & Co.

 

42,504

 

1,120

 

Delta Air Lines, Inc.*

 

15,322

 

109

 

Donaldson Co., Inc.

 

5,918

 

167

 

Dover Corp.

 

9,153

 

71

 

Dun & Bradstreet Corp.

 

5,349

 

62

 

Eaton Corp.

 

5,977

 

1,068

 

Emerson Electric Co.

 

58,815

 

302

 

Expeditors International of Washington, Inc.

 

15,976

 

188

 

Fastenal Co.

 

10,062

 

287

 

FedEx Corp.

 

26,151

 

68

 

Flowserve Corp.

 

7,171

 

15

 

Fluor Corp.

 

867

 

54

 

FTI Consulting, Inc.*

 

1,925

 

70

 

Gardner Denver, Inc.

 

4,582

 

18

 

GATX Corp.

 

597

 

26

 

General Cable Corp.*

 

853

 

3,512

 

General Electric Co.

 

55,595

 

50

 

Goodrich Corp.

 

4,288

 

86

 

Graco, Inc.

 

3,093

 

9

 

Harsco Corp.

 

217

 

234

 

Hertz Global Holdings, Inc.*

 

2,869

 

1,086

 

Honeywell International, Inc.

 

53,985

 

34

 

Hubbell, Inc., Class B

 

1,923

 

95

 

IDEX Corp.

 

3,560

 

69

 

IHS, Inc., Class A*

 

4,990

 

625

 

Illinois Tool Works, Inc.

 

29,769

 

259

 

Iron Mountain, Inc.

 

5,752

 

129

 

J.B. Hunt Transport Services, Inc.

 

4,708

 

107

 

Jacobs Engineering Group, Inc.*

 

4,119

 

146

 

Joy Global, Inc.

 

11,143

 

86

 

Kansas City Southern*

 

4,071

 

6

 

KAR Auction Services, Inc.*

 

72

 

13

 

KBR, Inc.

 

352

 

87

 

Kennametal, Inc.

 

2,942

 

5

 

Kirby Corp.*

 

223

 

71

 

Landstar System, Inc.

 

2,552

 

67

 

Lennox International, Inc.

 

2,947

 

60

 

Lincoln Electric Holdings, Inc.

 

3,700

 

344

 

Lockheed Martin Corp.

 

23,406

 

186

 

Manitowoc Co., Inc. (The)*

 

2,042

 

153

 

Masco Corp.

 

1,669

 

62

 

MSC Industrial Direct Co., Class A

 

3,729

 

101

 

Navistar International Corp.*

 

5,169

 

127

 

Oshkosh Corp.*

 

3,645

 

90

 

Owens Corning*

 

2,368

 

517

 

PACCAR, Inc.

 

27,846

 

166

 

Pall Corp.

 

7,515

 

65

 

Parker Hannifin Corp.

 

5,215

 

73

 

Pentair, Inc.

 

2,402

 

210

 

Pitney Bowes, Inc.

 

4,607

 

202

 

Precision Castparts Corp.

 

27,890

 

16

 

R.R. Donnelley & Sons Co.

 

252

 

46

 

Regal-Beloit Corp.

 

2,806

 

138

 

Republic Services, Inc.

 

3,883

 

213

 

Robert Half International, Inc.

 

5,904

 

202

 

Rockwell Automation, Inc.

 

13,356

 

117

 

Rockwell Collins, Inc.

 

6,559

 

133

 

Roper Industries, Inc.

 

9,631

 

40

 

Ryder System, Inc.

 

1,724

 

69

 

Shaw Group, Inc. (The)*

 

2,211

 

140

 

Southwest Airlines Co.

 

1,865

 

23

 

Spirit Aerosystems Holdings, Inc., Class A*

 

448

 

14

 

SPX Corp.

 

920

 

120

 

Stericycle, Inc.*

 

8,868

 

200

 

Textron, Inc.

 

4,472

 

13

 

Thomas & Betts Corp.*

 

578

 

90

 

Timken Co.

 

3,920

 

44

 

Toro Co. (The)

 

2,561

 

9

 

Towers Watson & Co., Class A

 

452

 

70

 

TransDigm Group, Inc.*

 

4,795

 

105

 

Tyco International Ltd.

 

3,978

 

90

 

Union Pacific Corp.

 

8,110

 

384

 

United Continental Holdings, Inc.*

 

10,629

 

1,012

 

United Parcel Service, Inc., Class B

 

70,972

 

1,209

 

United Technologies Corp.

 

91,001

 

39

 

USG Corp.*

 

495

 

121

 

UTi Worldwide, Inc.

 

2,329

 

31

 

Valmont Industries, Inc.

 

2,507

 

146

 

Verisk Analytics, Inc., Class A*

 

4,419

 

83

 

W.W. Grainger, Inc.

 

10,369

 

91

 

WABCO Holdings, Inc.*

 

4,523

 

131

 

Waste Connections, Inc.

 

3,393

 

19

 

WESCO International, Inc.*

 

907

 

11

 

Westinghouse Air Brake Technologies Corp.

 

509

 

 

 

 

 

1,160,893

 

 

 

Information Technology - 20.2%

 

 

 

 

 

 

 

 

 

867

 

Accenture plc, Class A

 

37,558

 

199

 

Activision Blizzard, Inc.

 

2,336

 

746

 

Adobe Systems, Inc.*

 

20,687

 

326

 

Advanced Micro Devices, Inc.*

 

2,377

 

494

 

Agilent Technologies, Inc.*

 

17,300

 

257

 

Akamai Technologies, Inc.*

 

13,413

 

76

 

Alliance Data Systems Corp.*

 

4,794

 

428

 

Altera Corp.

 

15,019

 

82

 

Amdocs Ltd.*

 

2,132

 

246

 

Amphenol Corp., Class A

 

12,307

 

422

 

Analog Devices, Inc.

 

15,006

 

128

 

ANSYS, Inc.*

 

6,208

 

1,290

 

Apple, Inc.*

 

401,383

 

1,904

 

Applied Materials, Inc.

 

23,667

 

19

 

Arrow Electronics, Inc.*

 

589

 

99

 

Atheros Communications, Inc.*

 

3,223

 

585

 

Atmel Corp.*

 

6,078

 

325

 

Autodesk, Inc.*

 

11,469

 

713

 

Automatic Data Processing, Inc.

 

31,778

 

150

 

Avago Technologies Ltd.*

 

3,917

 

5

 

AVX Corp.

 

72

 

257

 

BMC Software, Inc.*

 

11,411

 

704

 

Broadcom Corp., Class A

 

31,321

 

164

 

Broadridge Financial Solutions, Inc.

 

3,377

 

449

 

CA, Inc.

 

10,278

 

383

 

Cadence Design Systems, Inc.*

 

3,010

 

131

 

Ciena Corp.*

 

1,985

 

8,097

 

Cisco Systems, Inc.*

 

155,139

 

263

 

Citrix Systems, Inc.*

 

17,468

 

425

 

Cognizant Technology Solutions Corp., Class A*

 

27,616

 

180

 

Compuware Corp.*

 

1,854

 

277

 

Corning, Inc.

 

4,892

 

152

 

Cree, Inc.*

 

9,907

 

232

 

Cypress Semiconductor Corp.*

 

3,635

 

2,412

 

Dell, Inc.*

 

31,887

 

20

 

Diebold, Inc.

 

628

 

76

 

Dolby Laboratories, Inc., Class A*

 

4,810

 

50

 

DST Systems, Inc.

 

2,143

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

620

 

eBay, Inc.*

 

$

18,061

 

439

 

Electronic Arts, Inc.*

 

6,545

 

2,914

 

EMC Corp.*

 

62,622

 

64

 

Equinix, Inc.*

 

4,966

 

114

 

F5 Networks, Inc.*

 

15,034

 

66

 

Factset Research Systems, Inc.

 

5,852

 

79

 

First Solar, Inc.*

 

9,705

 

144

 

Fiserv, Inc.*

 

7,963

 

217

 

FLIR Systems, Inc.*

 

5,817

 

104

 

Gartner, Inc.*

 

3,346

 

93

 

Genpact Ltd.*

 

1,295

 

116

 

Global Payments, Inc.

 

4,821

 

345

 

Google, Inc., Class A*

 

191,720

 

184

 

Harris Corp.

 

8,140

 

3,325

 

Hewlett-Packard Co.

 

139,417

 

48

 

IAC/InterActiveCorp*

 

1,352

 

130

 

Informatica Corp.*

 

5,366

 

13

 

Ingram Micro, Inc., Class A*

 

232

 

5,396

 

Intel Corp.

 

113,964

 

1,818

 

International Business Machines Corp.

 

257,174

 

60

 

Intersil Corp., Class A

 

765

 

398

 

Intuit, Inc.*

 

17,866

 

53

 

Itron, Inc.*

 

3,009

 

180

 

Jabil Circuit, Inc.

 

2,720

 

306

 

JDS Uniphase Corp.*

 

3,632

 

746

 

Juniper Networks, Inc.*

 

25,379

 

13

 

KLA-Tencor Corp.

 

477

 

179

 

Lam Research Corp.*

 

8,114

 

134

 

Lender Processing Services, Inc.

 

4,123

 

318

 

Linear Technology Corp.

 

10,367

 

768

 

Marvell Technology Group Ltd.*

 

14,815

 

138

 

Mastercard, Inc., Class A

 

32,710

 

429

 

Maxim Integrated Products, Inc.

 

9,974

 

221

 

McAfee, Inc.*

 

10,354

 

134

 

MEMC Electronic Materials, Inc.*

 

1,550

 

261

 

Microchip Technology, Inc.

 

8,772

 

114

 

MICROS Systems, Inc.*

 

4,984

 

7,265

 

Microsoft Corp.

 

183,151

 

89

 

Monster Worldwide, Inc.*

 

2,010

 

82

 

National Instruments Corp.

 

2,798

 

307

 

National Semiconductor Corp.

 

4,098

 

227

 

NCR Corp.*

 

3,267

 

489

 

NetApp, Inc.*

 

24,905

 

106

 

NeuStar, Inc., Class A*

 

2,739

 

121

 

Novellus Systems, Inc.*

 

3,648

 

322

 

Nuance Communications, Inc.*

 

5,691

 

811

 

NVIDIA Corp.*

 

11,030

 

609

 

ON Semiconductor Corp.*

 

4,966

 

5,401

 

Oracle Corp.

 

146,043

 

458

 

Paychex, Inc.

 

13,071

 

17

 

PMC-Sierra, Inc.*

 

123

 

121

 

Polycom, Inc.*

 

4,478

 

158

 

QLogic Corp.*

 

2,827

 

2,326

 

QUALCOMM, Inc.

 

108,717

 

149

 

Rambus, Inc.*

 

2,981

 

267

 

Red Hat, Inc.*

 

11,615

 

145

 

Rovi Corp.*

 

8,000

 

439

 

SAIC, Inc.*

 

6,725

 

162

 

Salesforce.com, Inc.*

 

22,554

 

326

 

SanDisk Corp.*

 

14,540

 

499

 

Seagate Technology plc*

 

6,692

 

65

 

Silicon Laboratories, Inc.*

 

2,761

 

251

 

Skyworks Solutions, Inc.*

 

6,388

 

99

 

Solera Holdings, Inc.

 

4,752

 

54

 

SunPower Corp., Class A*

 

630

 

106

 

Symantec Corp.*

 

1,781

 

13

 

Synopsys, Inc.*

 

334

 

237

 

Teradata Corp.*

 

9,738

 

256

 

Teradyne, Inc.*

 

3,036

 

785

 

Texas Instruments, Inc.

 

24,963

 

172

 

Trimble Navigation Ltd.*

 

6,405

 

106

 

Varian Semiconductor Equipment Associates, Inc.*

 

3,342

 

259

 

VeriSign, Inc.*

 

8,886

 

662

 

Visa, Inc., Class A

 

48,889

 

62

 

Vistaprint N.V.*

 

2,500

 

104

 

VMware, Inc., Class A*

 

8,478

 

84

 

WebMD Health Corp.*

 

4,313

 

74

 

Western Digital Corp.*

 

2,479

 

953

 

Western Union Co. (The)

 

16,811

 

367

 

Xilinx, Inc.

 

9,953

 

829

 

Yahoo!, Inc.*

 

13,073

 

47

 

Zebra Technologies Corp., Class A*

 

1,713

 

 

 

 

 

2,753,571

 

 

 

Materials - 3.3%

 

 

 

 

 

 

 

 

 

301

 

Air Products & Chemicals, Inc.

 

25,952

 

118

 

Airgas, Inc.

 

7,210

 

23

 

AK Steel Holding Corp.

 

306

 

130

 

Albemarle Corp.

 

7,032

 

210

 

Alcoa, Inc.

 

2,755

 

140

 

Allegheny Technologies, Inc.

 

7,238

 

10

 

Ashland, Inc.

 

509

 

27

 

Ball Corp.

 

1,779

 

62

 

Carpenter Technology Corp.

 

2,261

 

222

 

Celanese Corp.

 

8,214

 

73

 

CF Industries Holdings, Inc.

 

8,816

 

192

 

Cliffs Natural Resources, Inc.

 

13,121

 

46

 

Compass Minerals International, Inc.

 

3,800

 

230

 

Crown Holdings, Inc.*

 

7,137

 

443

 

E.I. du Pont de Nemours & Co.

 

20,817

 

62

 

Eagle Materials, Inc.

 

1,541

 

21

 

Eastman Chemical Co.

 

1,634

 

331

 

Ecolab, Inc.

 

15,825

 

71

 

FMC Corp.

 

5,525

 

666

 

Freeport-McMoRan Copper & Gold, Inc.

 

67,479

 

113

 

International Flavors & Fragrances, Inc.

 

5,935

 

482

 

International Paper Co.

 

12,036

 

97

 

Lubrizol Corp.

 

10,142

 

64

 

Martin Marietta Materials, Inc.

 

5,411

 

773

 

Monsanto Co.

 

46,318

 

224

 

Mosaic Co. (The)

 

15,149

 

184

 

Nalco Holding Co.

 

5,413

 

674

 

Newmont Mining Corp.

 

39,651

 

192

 

Nucor Corp.

 

7,246

 

72

 

Owens-Illinois, Inc.*

 

1,935

 

39

 

PPG Industries, Inc.

 

3,041

 

434

 

Praxair, Inc.

 

39,950

 

12

 

Reliance Steel & Aluminum Co.

 

533

 

12

 

Royal Gold, Inc.

 

618

 

92

 

RPM International, Inc.

 

1,884

 

6

 

Schnitzer Steel Industries, Inc., Class A

 

343

 

65

 

Scotts Miracle-Gro Co. (The), Class A

 

3,247

 

81

 

Sherwin-Williams Co. (The)

 

6,008

 

159

 

Sigma-Aldrich Corp.

 

10,052

 

240

 

Southern Copper Corp.

 

10,063

 

28

 

Temple-Inland, Inc.

 

587

 

121

 

Titanium Metals Corp.*

 

2,090

 

38

 

United States Steel Corp.

 

1,847

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

14

 

Valspar Corp.

 

$

463

 

60

 

Walter Energy, Inc.

 

6,158

 

 

 

 

 

445,071

 

 

 

Telecommunication Services - 0.6%

 

 

 

 

 

 

 

 

 

572

 

American Tower Corp., Class A*

 

28,926

 

164

 

Clearwire Corp., Class A*

 

1,151

 

412

 

Crown Castle International Corp.*

 

17,115

 

537

 

Frontier Communications Corp.

 

4,887

 

906

 

Level 3 Communications, Inc.*

 

906

 

170

 

MetroPCS Communications, Inc.*

 

2,066

 

187

 

NII Holdings, Inc.*

 

7,248

 

166

 

SBA Communications Corp., Class A*

 

6,499

 

215

 

tw telecom, inc.*

 

3,543

 

284

 

Windstream Corp.

 

3,703

 

 

 

 

 

76,044

 

 

 

Utilities - 0.0%

 

 

 

 

 

 

 

 

 

230

 

Calpine Corp.*

 

2,783

 

62

 

ITC Holdings Corp.

 

3,754

 

14

 

Ormat Technologies, Inc.

 

375

 

 

 

 

 

6,912

 

 

 

Total Common Stocks
(Cost $7,398,129)

 

8,851,853

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 7.5%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

397,025

 

0.07%, due 12/01/10

 

397,025

 

635,702

 

0.09%, due 12/06/10

 

635,702

 

 

 

Total U.S. Government & Agency Securities (Cost $1,032,727)

 

1,032,727

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 17.4%

 

 

 

2,372,445

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $2,372,475

 

2,372,445

 

 

 

Total Repurchase Agreements
(Cost $2,372,445)

 

2,372,445

 

 

 

Total Investment Securities
(Cost $10,803,301) — 89.7%

 

12,257,025

 

 

 

Other assets less liabilities — 10.3%

 

1,403,233

 

 

 

Net Assets — 100.0%

 

$

 13,660,258

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $2,181,142.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

1,501,716

 

Aggregate gross unrealized depreciation

 

(812,060

)

Net unrealized appreciation

 

$

689,656

 

Federal income tax cost of investments

 

$

11,567,369

 

 

Swap Agreements

Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

 

 

 

 

 

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 1000® Growth Index

 

$

304,869

 

$

(7,230

)

 

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 1000® Growth Index

 

3,095,595

 

(100,325

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 1000® Growth Index

 

1,110,176

 

112,733

 

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 1000® Growth Index

 

10,408,658

 

1,213,608

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 1000® Growth Index

 

3,550,886

 

203,150

 

 

 

 

 

 

 

 

 

 

 

$

1,421,936

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell MidCap Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 20.4%

 

 

 

 

 

Consumer Discretionary - 2.2%

 

 

 

 

 

 

 

 

 

24

 

Aaron’s, Inc.

 

$

479

 

16

 

Abercrombie & Fitch Co., Class A

 

804

 

109

 

American Eagle Outfitters, Inc.

 

1,799

 

42

 

Autoliv, Inc.

 

3,084

 

33

 

AutoNation, Inc.*

 

862

 

7

 

BorgWarner, Inc.*

 

422

 

10

 

Brinker International, Inc.

 

204

 

175

 

Cablevision Systems Corp., Class A

 

5,542

 

446

 

CBS Corp., Class B

 

7,511

 

28

 

Central European Media Enterprises Ltd., Class A*

 

536

 

19

 

Choice Hotels International, Inc.

 

708

 

30

 

Clear Channel Outdoor Holdings, Inc., Class A*

 

412

 

207

 

D.R. Horton, Inc.

 

2,078

 

57

 

Discovery Communications, Inc., Class A*

 

2,324

 

149

 

DISH Network Corp., Class A*

 

2,740

 

14

 

Education Management Corp.*

 

198

 

90

 

Expedia, Inc.

 

2,370

 

12

 

Federal-Mogul Corp.*

 

224

 

117

 

Foot Locker, Inc.

 

2,208

 

99

 

Fortune Brands, Inc.

 

5,850

 

113

 

GameStop Corp., Class A*

 

2,251

 

177

 

Gannett Co., Inc.

 

2,320

 

78

 

Garmin Ltd.

 

2,259

 

118

 

Genuine Parts Co.

 

5,681

 

135

 

H&R Block, Inc.

 

1,700

 

27

 

Harman International Industries, Inc.*

 

1,177

 

33

 

Hyatt Hotels Corp., Class A*

 

1,381

 

14

 

International Speedway Corp., Class A

 

332

 

119

 

J.C. Penney Co., Inc.

 

3,959

 

68

 

Jarden Corp.

 

2,088

 

3

 

John Wiley & Sons, Inc., Class A

 

125

 

57

 

KB Home

 

644

 

33

 

Lamar Advertising Co., Class A*

 

1,213

 

26

 

Lear Corp.*

 

2,282

 

45

 

Leggett & Platt, Inc.

 

932

 

118

 

Lennar Corp., Class A

 

1,792

 

176

 

Liberty Global, Inc., Class A*

 

6,206

 

54

 

Liberty Media Corp. - Capital, Class A*

 

3,109

 

444

 

Liberty Media Corp. - Interactive, Class A*

 

6,864

 

38

 

Liberty Media Corp. - Starz, Class A*

 

2,388

 

283

 

Macy’s, Inc.

 

7,267

 

30

 

Madison Square Garden, Inc., Class A*

 

658

 

114

 

Mattel, Inc.

 

2,946

 

70

 

McGraw-Hill Cos., Inc. (The)

 

2,414

 

28

 

MDC Holdings, Inc.

 

699

 

16

 

Meredith Corp.

 

538

 

186

 

MGM Resorts International*

 

2,275

 

37

 

Mohawk Industries, Inc.*

 

1,944

 

100

 

New York Times Co. (The), Class A*

 

899

 

235

 

Newell Rubbermaid, Inc.

 

3,941

 

184

 

Office Depot, Inc.*

 

800

 

51

 

Penn National Gaming, Inc.*

 

1,791

 

251

 

PulteGroup, Inc.*

 

1,571

 

85

 

RadioShack Corp.

 

1,568

 

46

 

Regal Entertainment Group, Class A

 

621

 

60

 

Royal Caribbean Cruises Ltd.*

 

2,415

 

34

 

Sears Holdings Corp.*

 

2,227

 

190

 

Service Corp. International

 

1,531

 

63

 

Signet Jewelers Ltd.*

 

2,509

 

119

 

Stanley Black & Decker, Inc.

 

7,084

 

3

 

Tesla Motors, Inc.*

 

106

 

107

 

Toll Brothers, Inc.*

 

1,921

 

19

 

TRW Automotive Holdings Corp.*

 

902

 

65

 

VF Corp.

 

5,387

 

247

 

Virgin Media, Inc.

 

6,294

 

4

 

Washington Post Co. (The), Class B

 

1,508

 

150

 

Wendy’s/Arby’s Group, Inc., Class A

 

716

 

31

 

Whirlpool Corp.

 

2,263

 

134

 

Wyndham Worldwide Corp.

 

3,853

 

 

 

 

 

157,706

 

 

 

Consumer Staples - 1.4%

 

 

 

 

 

 

 

 

 

50

 

Alberto-Culver Co.

 

1,860

 

37

 

BJ’s Wholesale Club, Inc.*

 

1,695

 

20

 

Brown-Forman Corp., Class B

 

1,308

 

107

 

Bunge Ltd.

 

6,508

 

54

 

Campbell Soup Co.

 

1,831

 

53

 

Central European Distribution Corp.*

 

1,274

 

6

 

Clorox Co.

 

371

 

92

 

Coca-Cola Enterprises, Inc.

 

2,222

 

298

 

ConAgra Foods, Inc.

 

6,401

 

137

 

Constellation Brands, Inc., Class A*

 

2,824

 

56

 

Corn Products International, Inc.

 

2,415

 

135

 

Dean Foods Co.*

 

981

 

147

 

Del Monte Foods Co.

 

2,753

 

127

 

Dr. Pepper Snapple Group, Inc.

 

4,652

 

52

 

Energizer Holdings, Inc.*

 

3,660

 

36

 

Flowers Foods, Inc.

 

943

 

139

 

H. J. Heinz Co.

 

6,709

 

8

 

Hansen Natural Corp.*

 

426

 

48

 

Hershey Co. (The)

 

2,246

 

52

 

Hormel Foods Corp.

 

2,552

 

88

 

J.M. Smucker Co. (The)

 

5,566

 

113

 

Lorillard, Inc.

 

8,993

 

49

 

McCormick & Co., Inc. (Non-Voting)

 

2,156

 

131

 

Mead Johnson Nutrition Co.

 

7,804

 

98

 

Molson Coors Brewing Co., Class B

 

4,670

 

41

 

Ralcorp Holdings, Inc.*

 

2,539

 

289

 

Safeway, Inc.

 

6,644

 

141

 

Sara Lee Corp.

 

2,115

 

102

 

Smithfield Foods, Inc.*

 

1,796

 

158

 

SUPERVALU, Inc.

 

1,428

 

222

 

Tyson Foods, Inc., Class A

 

3,514

 

 

 

 

 

100,856

 

 

 

Energy - 2.3%

 

 

 

 

 

 

 

 

 

78

 

Alpha Natural Resources, Inc.*

 

3,866

 

36

 

Arch Coal, Inc.

 

1,051

 

15

 

Atlas Energy, Inc.*

 

644

 

33

 

Atwood Oceanics, Inc.*

 

1,175

 

77

 

Cabot Oil & Gas Corp.

 

2,693

 

78

 

Cameron International Corp.*

 

3,753

 

54

 

Cobalt International Energy, Inc.*

 

613

 

35

 

Comstock Resources, Inc.*

 

857

 

91

 

CONSOL Energy, Inc.

 

3,818

 

3

 

Continental Resources, Inc.*

 

160

 

297

 

Denbury Resources, Inc.*

 

5,399

 

35

 

Diamond Offshore Drilling, Inc.

 

2,267

 

6

 

Dresser-Rand Group, Inc.*

 

228

 

427

 

El Paso Corp.

 

5,760

 

8

 

EQT Corp.

 

324

 

42

 

Exterran Holdings, Inc.*

 

952

 

30

 

Forest Oil Corp.*

 

1,027

 

79

 

Frontier Oil Corp.

 

1,227

 

7

 

Frontline Ltd.

 

182

 

70

 

Helmerich & Payne, Inc.

 

3,175

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

10

 

Holly Corp.

 

$

359

 

76

 

Massey Energy Co.

 

3,732

 

36

 

McDermott International, Inc.*

 

660

 

126

 

Murphy Oil Corp.

 

8,508

 

128

 

Nabors Industries Ltd.*

 

2,828

 

99

 

Newfield Exploration Co.*

 

6,616

 

130

 

Noble Energy, Inc.

 

10,562

 

41

 

Oceaneering International, Inc.*

 

2,833

 

35

 

Oil States International, Inc.*

 

2,077

 

114

 

Patterson-UTI Energy, Inc.

 

2,250

 

200

 

Peabody Energy Corp.

 

11,762

 

65

 

Petrohawk Energy Corp.*

 

1,159

 

86

 

Pioneer Natural Resources Co.

 

6,889

 

104

 

Plains Exploration & Production Co.*

 

2,981

 

79

 

Pride International, Inc.*

 

2,457

 

130

 

QEP Resources, Inc.

 

4,567

 

83

 

Quicksilver Resources, Inc.*

 

1,180

 

75

 

Rowan Cos., Inc.*

 

2,261

 

111

 

SandRidge Energy, Inc.*

 

573

 

16

 

SEACOR Holdings, Inc.*

 

1,744

 

15

 

SM Energy Co.

 

745

 

93

 

Southern Union Co.

 

2,196

 

482

 

Spectra Energy Corp.

 

11,457

 

90

 

Sunoco, Inc.

 

3,613

 

54

 

Superior Energy Services, Inc.*

 

1,803

 

31

 

Teekay Corp.

 

989

 

105

 

Tesoro Corp.*

 

1,714

 

39

 

Tidewater, Inc.

 

1,914

 

30

 

Unit Corp.*

 

1,199

 

421

 

Valero Energy Corp.

 

8,201

 

329

 

Weatherford International Ltd.*

 

6,715

 

41

 

Whiting Petroleum Corp.*

 

4,512

 

 

 

 

 

160,227

 

 

 

Financials - 5.8%

 

 

 

 

 

 

 

 

 

41

 

Alexandria Real Estate Equities, Inc. (REIT)

 

2,737

 

5

 

Alleghany Corp.*

 

1,506

 

32

 

Allied World Assurance Co. Holdings Ltd.

 

1,880

 

114

 

AMB Property Corp. (REIT)

 

3,327

 

64

 

American Financial Group, Inc./OH

 

1,969

 

90

 

American International Group, Inc.*

 

3,716

 

5

 

American National Insurance Co.

 

398

 

153

 

Ameriprise Financial, Inc.

 

7,931

 

461

 

Annaly Capital Management, Inc. (REIT)

 

8,386

 

201

 

AON Corp.

 

8,064

 

44

 

Apartment Investment & Management Co., Class A (REIT)

 

1,061

 

35

 

Arch Capital Group Ltd.*

 

3,160

 

143

 

Ares Capital Corp.

 

2,349

 

58

 

Arthur J. Gallagher & Co.

 

1,629

 

58

 

Aspen Insurance Holdings Ltd.

 

1,676

 

129

 

Associated Banc-Corp

 

1,651

 

83

 

Assurant, Inc.

 

2,927

 

137

 

Assured Guaranty Ltd.

 

2,330

 

62

 

AvalonBay Communities, Inc. (REIT)

 

6,840

 

64

 

Axis Capital Holdings Ltd.

 

2,262

 

62

 

BancorpSouth, Inc.

 

797

 

24

 

Bank of Hawaii Corp.

 

1,039

 

19

 

BOK Financial Corp.

 

887

 

103

 

Boston Properties, Inc. (REIT)

 

8,631

 

97

 

Brandywine Realty Trust (REIT)

 

1,073

 

47

 

BRE Properties, Inc. (REIT)

 

2,024

 

39

 

Brown & Brown, Inc.

 

892

 

49

 

Camden Property Trust (REIT)

 

2,502

 

240

 

CapitalSource, Inc.

 

1,550

 

14

 

Capitol Federal Financial

 

327

 

6

 

CBOE Holdings, Inc.

 

143

 

657

 

Chimera Investment Corp. (REIT)

 

2,628

 

108

 

Cincinnati Financial Corp.

 

3,256

 

149

 

CIT Group, Inc.*

 

5,880

 

33

 

City National Corp./CA

 

1,773

 

20

 

CNA Financial Corp.*

 

516

 

132

 

Comerica, Inc.

 

4,817

 

54

 

Commerce Bancshares, Inc./MO

 

2,028

 

54

 

CommonWealth REIT (REIT)

 

1,352

 

44

 

Corporate Office Properties Trust (REIT)

 

1,492

 

39

 

Cullen/Frost Bankers, Inc.

 

2,088

 

148

 

Developers Diversified Realty Corp. (REIT)

 

1,899

 

3

 

Digital Realty Trust, Inc. (REIT)

 

158

 

404

 

Discover Financial Services

 

7,385

 

91

 

Douglas Emmett, Inc. (REIT)

 

1,520

 

187

 

Duke Realty Corp. (REIT)

 

2,081

 

164

 

E*Trade Financial Corp.*

 

2,419

 

110

 

East West Bancorp, Inc.

 

1,907

 

30

 

Endurance Specialty Holdings Ltd.

 

1,323

 

197

 

Equity Residential (REIT)

 

9,846

 

6

 

Erie Indemnity Co., Class A

 

378

 

14

 

Essex Property Trust, Inc. (REIT)

 

1,552

 

44

 

Everest Re Group Ltd.

 

3,674

 

18

 

Federal Realty Investment Trust (REIT)

 

1,393

 

21

 

Federated Investors, Inc., Class B

 

498

 

170

 

Fidelity National Financial, Inc., Class A

 

2,295

 

591

 

Fifth Third Bancorp

 

7,062

 

4

 

First Citizens BancShares, Inc./NC, Class A

 

696

 

173

 

First Horizon National Corp.*

 

1,656

 

156

 

First Niagara Financial Group, Inc.

 

1,932

 

94

 

Forest City Enterprises, Inc., Class A*

 

1,443

 

148

 

Fulton Financial Corp.

 

1,280

 

33

 

General Growth Properties, Inc. (REIT)

 

534

 

297

 

Genworth Financial, Inc., Class A*

 

3,463

 

1

 

Green Dot Corp., Class A*

 

58

 

33

 

Hanover Insurance Group, Inc. (The)

 

1,494

 

303

 

Hartford Financial Services Group, Inc.

 

6,745

 

85

 

HCC Insurance Holdings, Inc.

 

2,387

 

231

 

HCP, Inc. (REIT)

 

7,607

 

100

 

Health Care REIT, Inc. (REIT)

 

4,628

 

92

 

Hospitality Properties Trust (REIT)

 

2,035

 

490

 

Host Hotels & Resorts, Inc. (REIT)

 

8,075

 

3

 

Howard Hughes Corp. (The)*

 

132

 

322

 

Hudson City Bancorp, Inc.

 

3,655

 

533

 

Huntington Bancshares, Inc./OH

 

3,110

 

19

 

Interactive Brokers Group, Inc., Class A*

 

348

 

242

 

Invesco Ltd.

 

5,261

 

124

 

Janus Capital Group, Inc.

 

1,295

 

87

 

Jefferies Group, Inc.

 

2,101

 

654

 

KeyCorp

 

4,925

 

301

 

Kimco Realty Corp. (REIT)

 

5,015

 

115

 

Legg Mason, Inc.

 

3,751

 

145

 

Leucadia National Corp.*

 

3,764

 

85

 

Liberty Property Trust (REIT)

 

2,664

 

225

 

Lincoln National Corp.

 

5,373

 

55

 

M&T Bank Corp.

 

4,233

 

96

 

Macerich Co. (The) (REIT)

 

4,449

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

59

 

Mack-Cali Realty Corp. (REIT)

 

$

1,873

 

7

 

Markel Corp.*

 

2,474

 

31

 

Marsh & McLennan Cos., Inc.

 

777

 

392

 

Marshall & Ilsley Corp.

 

1,878

 

114

 

MBIA, Inc.*

 

1,139

 

20

 

Mercury General Corp.

 

859

 

91

 

NASDAQ OMX Group, Inc. (The)*

 

1,953

 

89

 

Nationwide Health Properties, Inc. (REIT)

 

3,208

 

324

 

New York Community Bancorp, Inc.

 

5,443

 

152

 

NYSE Euronext

 

4,153

 

193

 

Old Republic International Corp.

 

2,443

 

17

 

OneBeacon Insurance Group Ltd., Class A

 

249

 

58

 

PartnerRe Ltd.

 

4,495

 

276

 

People’s United Financial, Inc.

 

3,420

 

39

 

Piedmont Office Realty Trust, Inc., Class A (REIT)

 

776

 

69

 

Plum Creek Timber Co., Inc. (REIT)

 

2,487

 

760

 

Popular, Inc.*

 

2,189

 

238

 

Principal Financial Group, Inc.

 

6,483

 

499

 

Progressive Corp. (The)

 

10,150

 

333

 

ProLogis (REIT)

 

4,332

 

63

 

Protective Life Corp.

 

1,482

 

74

 

Raymond James Financial, Inc.

 

2,122

 

42

 

Rayonier, Inc. (REIT)

 

2,140

 

83

 

Realty Income Corp. (REIT)

 

2,826

 

61

 

Regency Centers Corp. (REIT)

 

2,484

 

934

 

Regions Financial Corp.

 

5,025

 

55

 

Reinsurance Group of America, Inc.

 

2,746

 

41

 

RenaissanceRe Holdings Ltd.

 

2,471

 

94

 

Senior Housing Properties Trust (REIT)

 

2,099

 

58

 

SL Green Realty Corp. (REIT)

 

3,793

 

361

 

SLM Corp.*

 

4,170

 

7

 

St. Joe Co. (The)*

 

123

 

35

 

StanCorp Financial Group, Inc.

 

1,456

 

372

 

SunTrust Banks, Inc.

 

8,690

 

26

 

Symetra Financial Corp.

 

315

 

582

 

Synovus Financial Corp.

 

1,181

 

40

 

Taubman Centers, Inc. (REIT)

 

1,941

 

105

 

TCF Financial Corp.

 

1,429

 

59

 

TFS Financial Corp.

 

483

 

61

 

Torchmark Corp.

 

3,506

 

47

 

Transatlantic Holdings, Inc.

 

2,378

 

126

 

UDR, Inc. (REIT)

 

2,810

 

38

 

Unitrin, Inc.

 

899

 

247

 

Unum Group

 

5,308

 

49

 

Validus Holdings Ltd.

 

1,431

 

119

 

Valley National Bancorp

 

1,511

 

84

 

Ventas, Inc. (REIT)

 

4,307

 

109

 

Vornado Realty Trust (REIT)

 

8,892

 

94

 

W. R. Berkley Corp.

 

2,509

 

84

 

Washington Federal, Inc.

 

1,240

 

89

 

Weingarten Realty Investors (REIT)

 

2,109

 

1

 

Wesco Financial Corp.

 

362

 

6

 

White Mountains Insurance Group Ltd.

 

1,905

 

68

 

Wilmington Trust Corp.

 

267

 

254

 

XL Group plc

 

4,994

 

129

 

Zions Bancorp.

 

2,509

 

 

 

 

 

405,687

 

 

 

Health Care - 1.1%

 

 

 

 

 

 

 

 

 

44

 

Alere, Inc.*

 

1,404

 

52

 

Beckman Coulter, Inc.

 

2,845

 

14

 

Bio-Rad Laboratories, Inc., Class A*

 

1,307

 

1,128

 

Boston Scientific Corp.*

 

7,242

 

55

 

Brookdale Senior Living, Inc.*

 

1,052

 

105

 

CareFusion Corp.*

 

2,401

 

56

 

Cephalon, Inc.*

 

3,555

 

37

 

Charles River Laboratories International, Inc.*

 

1,208

 

206

 

CIGNA Corp.

 

7,583

 

21

 

Community Health Systems, Inc.*

 

669

 

27

 

Cooper Cos., Inc. (The)

 

1,445

 

110

 

Coventry Health Care, Inc.*

 

2,785

 

2

 

Emdeon, Inc., Class A*

 

25

 

87

 

Endo Pharmaceuticals Holdings, Inc.*

 

3,133

 

212

 

Forest Laboratories, Inc.*

 

6,761

 

74

 

Health Net, Inc.*

 

1,998

 

7

 

Hill-Rom Holdings, Inc.

 

277

 

192

 

Hologic, Inc.*

 

3,149

 

127

 

Humana, Inc.*

 

7,117

 

42

 

Kinetic Concepts, Inc.*

 

1,668

 

186

 

King Pharmaceuticals, Inc.*

 

2,632

 

40

 

Life Technologies Corp.*

 

1,992

 

41

 

LifePoint Hospitals, Inc.*

 

1,485

 

2

 

MEDNAX, Inc.*

 

122

 

36

 

Mylan, Inc.*

 

704

 

81

 

Omnicare, Inc.

 

1,868

 

48

 

PerkinElmer, Inc.

 

1,118

 

14

 

Quest Diagnostics, Inc.

 

690

 

25

 

Teleflex, Inc.

 

1,249

 

101

 

Tenet Healthcare Corp.*

 

412

 

63

 

Universal Health Services, Inc., Class B

 

2,591

 

83

 

Watson Pharmaceuticals, Inc.*

 

4,045

 

 

 

 

 

76,532

 

 

 

Industrials - 2.1%

 

 

 

 

 

 

 

 

 

52

 

Aecom Technology Corp.*

 

1,340

 

69

 

AGCO Corp.*

 

3,115

 

31

 

Alexander & Baldwin, Inc.

 

1,088

 

2

 

Alliant Techsystems, Inc.*

 

148

 

168

 

AMR Corp.*

 

1,438

 

13

 

Armstrong World Industries, Inc.*

 

630

 

78

 

Avery Dennison Corp.

 

2,928

 

18

 

Babcock & Wilcox Co.*

 

437

 

71

 

BE Aerospace, Inc.*

 

2,521

 

42

 

Carlisle Cos., Inc.

 

1,538

 

45

 

Chicago Bridge & Iron Co. N.V. (NY Shares)*

 

1,274

 

99

 

Cintas Corp.

 

2,648

 

16

 

CNH Global N.V.*

 

663

 

36

 

Con-way, Inc.

 

1,217

 

8

 

Copa Holdings S.A., Class A

 

446

 

69

 

Corrections Corp. of America*

 

1,666

 

91

 

Covanta Holding Corp.

 

1,431

 

37

 

Crane Co.

 

1,387

 

51

 

Dover Corp.

 

2,795

 

92

 

Eaton Corp.

 

8,869

 

94

 

Equifax, Inc.

 

3,253

 

7

 

Flowserve Corp.

 

738

 

125

 

Fluor Corp.

 

7,229

 

7

 

FTI Consulting, Inc.*

 

249

 

2

 

Gardner Denver, Inc.

 

131

 

25

 

GATX Corp.

 

829

 

25

 

General Cable Corp.*

 

820

 

67

 

Goodrich Corp.

 

5,747

 

55

 

Harsco Corp.

 

1,323

 

21

 

Hertz Global Holdings, Inc.*

 

257

 

27

 

Hubbell, Inc., Class B

 

1,527

 

11

 

IDEX Corp.

 

412

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

240

 

Ingersoll-Rand plc

 

$

9,840

 

137

 

ITT Corp.

 

6,302

 

37

 

Jacobs Engineering Group, Inc.*

 

1,425

 

32

 

Kansas City Southern*

 

1,515

 

18

 

KAR Auction Services, Inc.*

 

217

 

112

 

KBR, Inc.

 

3,033

 

15

 

Kennametal, Inc.

 

507

 

37

 

Kirby Corp.*

 

1,653

 

87

 

L-3 Communications Holdings, Inc.

 

6,119

 

61

 

Manpower, Inc.

 

3,436

 

187

 

Masco Corp.

 

2,040

 

38

 

Owens Corning*

 

1,000

 

86

 

Parker Hannifin Corp.

 

6,900

 

35

 

Pentair, Inc.

 

1,151

 

44

 

Pitney Bowes, Inc.

 

965

 

156

 

Quanta Services, Inc.*

 

2,747

 

145

 

R.R. Donnelley & Sons Co.

 

2,285

 

4

 

Regal-Beloit Corp.

 

244

 

170

 

Republic Services, Inc.

 

4,784

 

56

 

Rockwell Collins, Inc.

 

3,139

 

19

 

Ryder System, Inc.

 

819

 

26

 

Shaw Group, Inc. (The)*

 

833

 

43

 

Snap-On, Inc.

 

2,276

 

480

 

Southwest Airlines Co.

 

6,394

 

67

 

Spirit Aerosystems Holdings, Inc., Class A*

 

1,304

 

30

 

SPX Corp.

 

1,970

 

81

 

Terex Corp.*

 

1,967

 

99

 

Textron, Inc.

 

2,214

 

33

 

Thomas & Betts Corp.*

 

1,467

 

17

 

Timken Co.

 

741

 

27

 

Towers Watson & Co., Class A

 

1,355

 

59

 

Trinity Industries, Inc.

 

1,351

 

31

 

United Continental Holdings, Inc.*

 

858

 

62

 

URS Corp.*

 

2,451

 

30

 

USG Corp.*

 

381

 

12

 

UTi Worldwide, Inc.

 

231

 

18

 

Waste Connections, Inc.

 

468

 

21

 

WESCO International, Inc.*

 

1,002

 

31

 

Westinghouse Air Brake Technologies Corp.

 

1,433

 

 

 

 

 

148,911

 

 

 

Information Technology - 1.3%

 

 

 

 

 

 

 

 

 

275

 

Advanced Micro Devices, Inc.*

 

2,005

 

110

 

Amdocs Ltd.*

 

2,860

 

80

 

AOL, Inc.*

 

1,934

 

80

 

Arrow Electronics, Inc.*

 

2,481

 

36

 

Atmel Corp.*

 

374

 

112

 

Avnet, Inc.*

 

3,433

 

33

 

AVX Corp.

 

472

 

8

 

Broadridge Financial Solutions, Inc.

 

165

 

330

 

Brocade Communications Systems, Inc.*

 

1,643

 

54

 

CA, Inc.

 

1,236

 

71

 

CommScope, Inc.*

 

2,244

 

115

 

Computer Sciences Corp.

 

5,132

 

72

 

Compuware Corp.*

 

742

 

74

 

Convergys Corp.*

 

954

 

87

 

CoreLogic, Inc.

 

1,584

 

39

 

Diebold, Inc.

 

1,225

 

28

 

EchoStar Corp., Class A*

 

565

 

15

 

Electronic Arts, Inc.*

 

224

 

94

 

Fairchild Semiconductor International, Inc.*

 

1,321

 

196

 

Fidelity National Information Services, Inc.

 

5,272

 

38

 

Fiserv, Inc.*

 

2,101

 

39

 

IAC/InterActiveCorp*

 

1,098

 

110

 

Ingram Micro, Inc., Class A*

 

1,964

 

53

 

International Rectifier Corp.*

 

1,503

 

61

 

Intersil Corp., Class A

 

778

 

2

 

Itron, Inc.*

 

114

 

40

 

Jabil Circuit, Inc.

 

604

 

120

 

KLA-Tencor Corp.

 

4,400

 

58

 

Lexmark International, Inc., Class A*

 

2,102

 

486

 

LSI Corp.*

 

2,790

 

99

 

MEMC Electronic Materials, Inc.*

 

1,145

 

636

 

Micron Technology, Inc.*

 

4,617

 

99

 

Molex, Inc.

 

2,059

 

47

 

Monster Worldwide, Inc.*

 

1,061

 

17

 

National Semiconductor Corp.

 

227

 

259

 

Novell, Inc.*

 

1,544

 

8

 

Novellus Systems, Inc.*

 

241

 

162

 

PMC-Sierra, Inc.*

 

1,175

 

100

 

Seagate Technology plc*

 

1,341

 

44

 

SunPower Corp., Class A*

 

513

 

104

 

Synopsys, Inc.*

 

2,672

 

35

 

Tech Data Corp.*

 

1,543

 

286

 

Tellabs, Inc.

 

1,805

 

123

 

Total System Services, Inc.

 

1,856

 

128

 

Vishay Intertechnology, Inc.*

 

1,825

 

9

 

Vishay Precision Group, Inc.*

 

151

 

131

 

Western Digital Corp.*

 

4,389

 

1,026

 

Xerox Corp.

 

11,758

 

19

 

Zebra Technologies Corp., Class A*

 

692

 

 

 

 

 

93,934

 

 

 

Materials - 1.2%

 

 

 

 

 

 

 

 

 

70

 

AK Steel Holding Corp.

 

930

 

50

 

Aptargroup, Inc.

 

2,283

 

54

 

Ashland, Inc.

 

2,748

 

54

 

Ball Corp.

 

3,558

 

81

 

Bemis Co., Inc.

 

2,545

 

48

 

Cabot Corp.

 

1,718

 

15

 

CF Industries Holdings, Inc.

 

1,812

 

84

 

Commercial Metals Co.

 

1,291

 

36

 

Cytec Industries, Inc.

 

1,722

 

31

 

Domtar Corp.

 

2,353

 

43

 

Eastman Chemical Co.

 

3,346

 

17

 

FMC Corp.

 

1,323

 

26

 

Greif, Inc., Class A

 

1,519

 

141

 

Huntsman Corp.

 

2,181

 

73

 

International Paper Co.

 

1,823

 

33

 

Intrepid Potash, Inc.*

 

1,011

 

127

 

MeadWestvaco Corp.

 

3,155

 

85

 

Owens-Illinois, Inc.*

 

2,285

 

77

 

Packaging Corp. of America

 

1,975

 

103

 

PPG Industries, Inc.

 

8,030

 

49

 

Reliance Steel & Aluminum Co.

 

2,178

 

34

 

Royal Gold, Inc.

 

1,752

 

48

 

RPM International, Inc.

 

983

 

13

 

Schnitzer Steel Industries, Inc., Class A

 

742

 

118

 

Sealed Air Corp.

 

2,743

 

26

 

Sherwin-Williams Co. (The)

 

1,928

 

7

 

Sigma-Aldrich Corp.

 

443

 

74

 

Sonoco Products Co.

 

2,424

 

161

 

Steel Dynamics, Inc.

 

2,566

 

65

 

Temple-Inland, Inc.

 

1,363

 

87

 

United States Steel Corp.

 

4,229

 

66

 

Valspar Corp.

 

2,181

 

95

 

Vulcan Materials Co.

 

3,811

 

9

 

Walter Energy, Inc.

 

924

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

398

 

Weyerhaeuser Co.

 

$

6,643

 

 

 

 

 

82,518

 

 

 

Telecommunication Services - 0.5%

 

 

 

 

 

 

 

 

 

224

 

CenturyLink, Inc.

 

9,630

 

26

 

Clearwire Corp., Class A*

 

182

 

452

 

Frontier Communications Corp.

 

4,113

 

45

 

Leap Wireless International, Inc.*

 

490

 

756

 

Level 3 Communications, Inc.*

 

756

 

98

 

MetroPCS Communications, Inc.*

 

1,191

 

26

 

NII Holdings, Inc.*

 

1,008

 

1,291

 

Qwest Communications International, Inc.

 

9,037

 

63

 

Telephone & Data Systems, Inc.

 

2,248

 

11

 

United States Cellular Corp.*

 

504

 

211

 

Windstream Corp.

 

2,751

 

 

 

 

 

31,910

 

 

 

Utilities - 2.5%

 

 

 

 

 

 

 

 

 

498

 

AES Corp. (The)*

 

5,383

 

58

 

AGL Resources, Inc.

 

2,130

 

126

 

Allegheny Energy, Inc.

 

2,875

 

83

 

Alliant Energy Corp.

 

3,014

 

177

 

Ameren Corp.

 

5,083

 

130

 

American Water Works Co., Inc.

 

3,186

 

102

 

Aqua America, Inc.

 

2,198

 

69

 

Atmos Energy Corp.

 

2,075

 

139

 

Calpine Corp.*

 

1,682

 

313

 

CenterPoint Energy, Inc.

 

4,892

 

171

 

CMS Energy Corp.

 

3,073

 

209

 

Consolidated Edison, Inc.

 

10,109

 

137

 

Constellation Energy Group, Inc.

 

3,885

 

89

 

DPL, Inc.

 

2,254

 

125

 

DTE Energy Co.

 

5,569

 

242

 

Edison International

 

8,939

 

53

 

Energen Corp.

 

2,309

 

226

 

FirstEnergy Corp.

 

7,935

 

100

 

Great Plains Energy, Inc.

 

1,865

 

69

 

Hawaiian Electric Industries, Inc.

 

1,510

 

57

 

Integrys Energy Group, Inc.

 

2,776

 

5

 

ITC Holdings Corp.

 

303

 

140

 

MDU Resources Group, Inc.

 

2,862

 

108

 

Mirant Corp.*

 

1,071

 

55

 

National Fuel Gas Co.

 

3,485

 

206

 

NiSource, Inc.

 

3,446

 

131

 

Northeast Utilities

 

4,074

 

190

 

NRG Energy, Inc.*

 

3,682

 

79

 

NSTAR

 

3,271

 

175

 

NV Energy, Inc.

 

2,396

 

72

 

OGE Energy Corp.

 

3,205

 

79

 

Oneok, Inc.

 

4,038

 

7

 

Ormat Technologies, Inc.

 

188

 

166

 

Pepco Holdings, Inc.

 

3,046

 

80

 

Pinnacle West Capital Corp.

 

3,234

 

359

 

PPL Corp.

 

9,122

 

214

 

Progress Energy, Inc.

 

9,350

 

130

 

Questar Corp.

 

2,159

 

263

 

RRI Energy, Inc.*

 

926

 

84

 

SCANA Corp.

 

3,412

 

185

 

Sempra Energy

 

9,267

 

160

 

TECO Energy, Inc.

 

2,680

 

82

 

UGI Corp.

 

2,433

 

61

 

Vectren Corp.

 

1,580

 

82

 

Westar Energy, Inc.

 

2,043

 

87

 

Wisconsin Energy Corp.

 

5,239

 

341

 

Xcel Energy, Inc.

 

8,014

 

 

 

 

 

177,268

 

 

 

Total Common Stocks
(Cost $1,392,125)

 

1,435,549

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 19.7%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

833,560

 

0.07%, due 12/01/10

 

833,560

 

553,353

 

0.09%, due 12/06/10

 

553,353

 

 

 

Total U.S. Government & Agency Securities (Cost $1,386,913)

 

1,386,913

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 44.6%

 

 

 

3,136,373

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $3,136,406

 

3,136,373

 

 

 

Total Repurchase Agreements
(Cost $3,136,373)

 

3,136,373

 

 

 

Total Investment Securities
(Cost $5,915,411) — 84.7%

 

5,958,835

 

 

 

Other assets less liabilities — 15.3%

 

1,079,802

 

 

 

Net Assets — 100.0%

 

$

7,038,637

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $1,660,562.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

(141,297

)

Net unrealized depreciation

 

$

(141,297

)

Federal income tax cost of investments

 

$

6,100,132

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap® Value Index

 

$

262,360

 

$

(7,872

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Value Index

 

1,603,356

 

(66,095

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Value Index

 

6,685,049

 

1,042,238

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Value Index

 

4,086,244

 

134,874

 

 

 

 

 

 

 

 

 

 

 

$

1,103,145

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell MidCap Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 46.2%

 

 

 

 

 

Consumer Discretionary - 9.6%

 

 

 

 

 

 

 

 

 

135

 

Aaron’s, Inc.

 

$

2,695

 

224

 

Abercrombie & Fitch Co., Class A

 

11,256

 

293

 

Advance Auto Parts, Inc.

 

19,335

 

311

 

Aeropostale, Inc.*

 

8,406

 

161

 

American Eagle Outfitters, Inc.

 

2,656

 

431

 

Apollo Group, Inc., Class A*

 

14,654

 

97

 

Autoliv, Inc.

 

7,122

 

75

 

AutoNation, Inc.*

 

1,960

 

88

 

AutoZone, Inc.*

 

22,828

 

184

 

Bally Technologies, Inc.*

 

7,207

 

877

 

Bed Bath & Beyond, Inc.*

 

38,360

 

252

 

Big Lots, Inc.*

 

7,724

 

361

 

BorgWarner, Inc.*

 

21,783

 

298

 

Brinker International, Inc.

 

6,091

 

217

 

Career Education Corp.*

 

3,860

 

745

 

CarMax, Inc.*

 

24,510

 

269

 

CBS Corp., Class B

 

4,530

 

595

 

Chico’s FAS, Inc.

 

7,170

 

105

 

Chipotle Mexican Grill, Inc.*

 

27,141

 

7

 

Choice Hotels International, Inc.

 

261

 

1,016

 

Coach, Inc.

 

57,445

 

468

 

Darden Restaurants, Inc.

 

22,909

 

212

 

DeVry, Inc.

 

9,103

 

298

 

Dick’s Sporting Goods, Inc.*

 

10,195

 

692

 

Discovery Communications, Inc., Class A*

 

28,220

 

233

 

Dollar General Corp.*

 

7,652

 

424

 

Dollar Tree, Inc.*

 

23,299

 

247

 

DreamWorks Animation SKG, Inc., Class A*

 

7,654

 

79

 

Education Management Corp.*

 

1,115

 

281

 

Expedia, Inc.

 

7,399

 

450

 

Family Dollar Stores, Inc.

 

22,590

 

15

 

Federal-Mogul Corp.*

 

280

 

61

 

Fortune Brands, Inc.

 

3,605

 

175

 

Fossil, Inc.*

 

11,839

 

23

 

Garmin Ltd.

 

666

 

464

 

Gentex Corp.

 

9,739

 

809

 

Goodyear Tire & Rubber Co. (The)*

 

7,734

 

215

 

Guess?, Inc.

 

10,159

 

424

 

H&R Block, Inc.

 

5,338

 

318

 

Hanesbrands, Inc.*

 

8,634

 

784

 

Harley-Davidson, Inc.

 

24,523

 

110

 

Harman International Industries, Inc.*

 

4,795

 

434

 

Hasbro, Inc.

 

20,684

 

207

 

Hillenbrand, Inc.

 

3,997

 

993

 

International Game Technology

 

15,372

 

35

 

International Speedway Corp., Class A

 

829

 

1,629

 

Interpublic Group of Cos., Inc. (The)*

 

17,349

 

106

 

ITT Educational Services, Inc.*

 

6,200

 

184

 

J. Crew Group, Inc.*

 

8,044

 

256

 

J.C. Penney Co., Inc.

 

8,517

 

139

 

John Wiley & Sons, Inc., Class A

 

5,768

 

40

 

Lamar Advertising Co., Class A*

 

1,470

 

49

 

Lear Corp.*

 

4,301

 

291

 

Leggett & Platt, Inc.

 

6,024

 

890

 

Limited Brands, Inc.

 

29,966

 

476

 

LKQ Corp.*

 

10,270

 

139

 

Macy’s, Inc.

 

3,569

 

65

 

Madison Square Garden, Inc., Class A*

 

1,426

 

904

 

Marriott International, Inc., Class A

 

35,446

 

704

 

Mattel, Inc.

 

18,191

 

738

 

McGraw-Hill Cos., Inc. (The)

 

25,454

 

51

 

Meredith Corp.

 

1,715

 

160

 

MGM Resorts International*

 

1,957

 

22

 

Mohawk Industries, Inc.*

 

1,156

 

73

 

Morningstar, Inc.*

 

3,680

 

133

 

NetFlix, Inc.*

 

27,385

 

557

 

Nordstrom, Inc.

 

23,840

 

19

 

NVR, Inc.*

 

11,780

 

93

 

Office Depot, Inc.*

 

405

 

460

 

O’Reilly Automotive, Inc.*

 

27,683

 

102

 

Panera Bread Co., Class A*

 

10,224

 

394

 

PetSmart, Inc.

 

14,917

 

188

 

Phillips-Van Heusen Corp.

 

12,754

 

186

 

Polo Ralph Lauren Corp.

 

20,319

 

158

 

priceline.com, Inc.*

 

62,260

 

62

 

Regal Entertainment Group, Class A

 

837

 

407

 

Ross Stores, Inc.

 

26,406

 

171

 

Royal Caribbean Cruises Ltd.*

 

6,883

 

298

 

Scripps Networks Interactive, Inc., Class A

 

15,183

 

12,939

 

Sirius XM Radio, Inc.*

 

17,726

 

631

 

Starwood Hotels & Resorts Worldwide, Inc.

 

35,866

 

46

 

Strayer Education, Inc.

 

6,250

 

241

 

Tempur-Pedic International, Inc.*

 

8,461

 

36

 

Tesla Motors, Inc.*

 

1,272

 

112

 

Thor Industries, Inc.

 

3,307

 

421

 

Tiffany & Co.

 

26,144

 

242

 

Tractor Supply Co.

 

10,278

 

177

 

TRW Automotive Holdings Corp.*

 

8,406

 

210

 

Tupperware Brands Corp.

 

9,761

 

406

 

Urban Outfitters, Inc.*

 

15,343

 

111

 

Weight Watchers International, Inc.

 

3,801

 

421

 

Wendy’s/Arby’s Group, Inc., Class A

 

2,008

 

107

 

Whirlpool Corp.

 

7,811

 

321

 

Williams-Sonoma, Inc.

 

10,680

 

193

 

WMS Industries, Inc.*

 

8,559

 

251

 

Wynn Resorts Ltd.

 

25,376

 

 

 

 

 

1,217,752

 

 

 

Consumer Staples - 2.4%

 

 

 

 

 

 

 

 

 

64

 

Alberto-Culver Co.

 

2,381

 

1,427

 

Avon Products, Inc.

 

40,755

 

15

 

BJ’s Wholesale Club, Inc.*

 

687

 

266

 

Brown-Forman Corp., Class B

 

17,402

 

367

 

Campbell Soup Co.

 

12,441

 

236

 

Church & Dwight Co., Inc.

 

15,399

 

442

 

Clorox Co.

 

27,320

 

651

 

Coca-Cola Enterprises, Inc.

 

15,722

 

150

 

ConAgra Foods, Inc.

 

3,222

 

250

 

Dr. Pepper Snapple Group, Inc.

 

9,157

 

367

 

Estee Lauder Cos., Inc. (The), Class A

 

27,496

 

95

 

Flowers Foods, Inc.

 

2,489

 

368

 

Green Mountain Coffee Roasters, Inc.*

 

13,645

 

432

 

H. J. Heinz Co.

 

20,853

 

186

 

Hansen Natural Corp.*

 

9,899

 

200

 

Herbalife Ltd.

 

13,726

 

299

 

Hershey Co. (The)

 

13,993

 

220

 

McCormick & Co., Inc. (Non-Voting)

 

9,682

 

93

 

Mead Johnson Nutrition Co.

 

5,540

 

1,570

 

Sara Lee Corp.

 

23,550

 

466

 

Whole Foods Market, Inc.*

 

22,005

 

 

 

 

 

307,364

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Energy - 2.8%

 

 

 

 

 

 

 

 

 

54

 

Alpha Natural Resources, Inc.*

 

$

2,676

 

383

 

Arch Coal, Inc.

 

11,184

 

191

 

Atlas Energy, Inc.*

 

8,203

 

38

 

Atwood Oceanics, Inc.*

 

1,353

 

464

 

Cameron International Corp.*

 

22,323

 

279

 

Cimarex Energy Co.

 

22,471

 

305

 

Concho Resources, Inc.*

 

25,239

 

345

 

CONSOL Energy, Inc.

 

14,476

 

93

 

Continental Resources, Inc.*

 

4,971

 

149

 

Core Laboratories N.V.

 

12,754

 

74

 

Diamond Offshore Drilling, Inc.

 

4,792

 

248

 

Dresser-Rand Group, Inc.*

 

9,407

 

431

 

El Paso Corp.

 

5,814

 

462

 

EQT Corp.

 

18,697

 

489

 

EXCO Resources, Inc.

 

9,081

 

22

 

Exterran Holdings, Inc.*

 

499

 

405

 

FMC Technologies, Inc.*

 

34,117

 

241

 

Forest Oil Corp.*

 

8,247

 

141

 

Frontline Ltd.

 

3,657

 

100

 

Holly Corp.

 

3,594

 

608

 

McDermott International, Inc.*

 

11,145

 

75

 

Murphy Oil Corp.

 

5,064

 

379

 

Nabors Industries Ltd.*

 

8,372

 

11

 

Oil States International, Inc.*

 

653

 

714

 

Petrohawk Energy Corp.*

 

12,731

 

232

 

Pride International, Inc.*

 

7,215

 

24

 

Quicksilver Resources, Inc.*

 

341

 

531

 

Range Resources Corp.

 

22,297

 

48

 

Rowan Cos., Inc.*

 

1,447

 

702

 

SandRidge Energy, Inc.*

 

3,622

 

142

 

SM Energy Co.

 

7,056

 

19

 

Superior Energy Services, Inc.*

 

634

 

507

 

Ultra Petroleum Corp.*

 

23,824

 

993

 

Weatherford International Ltd.*

 

20,267

 

14

 

Whiting Petroleum Corp.*

 

1,541

 

 

 

 

 

349,764

 

 

 

Financials - 3.2%

 

 

 

 

 

 

 

 

 

170

 

Affiliated Managers Group, Inc.*

 

14,860

 

52

 

AMB Property Corp. (REIT)

 

1,517

 

172

 

Ameriprise Financial, Inc.

 

8,917

 

197

 

AON Corp.

 

7,904

 

192

 

Apartment Investment & Management Co., Class A (REIT)

 

4,631

 

10

 

Arch Capital Group Ltd.*

 

903

 

87

 

Arthur J. Gallagher & Co.

 

2,443

 

113

 

Axis Capital Holdings Ltd.

 

3,993

 

51

 

Bank of Hawaii Corp.

 

2,208

 

201

 

Brown & Brown, Inc.

 

4,597

 

5

 

Capitol Federal Financial

 

117

 

949

 

CB Richard Ellis Group, Inc., Class A*

 

18,211

 

18

 

CBOE Holdings, Inc.

 

428

 

274

 

Digital Realty Trust, Inc. (REIT)

 

14,391

 

393

 

Eaton Vance Corp.

 

11,680

 

16

 

Endurance Specialty Holdings Ltd.

 

706

 

60

 

Equity Residential (REIT)

 

2,999

 

69

 

Erie Indemnity Co., Class A

 

4,344

 

39

 

Essex Property Trust, Inc. (REIT)

 

4,323

 

122

 

Federal Realty Investment Trust (REIT)

 

9,442

 

202

 

Federated Investors, Inc., Class B

 

4,789

 

673

 

General Growth Properties, Inc. (REIT)

 

10,896

 

301

 

Genworth Financial, Inc., Class A*

 

3,510

 

13

 

Green Dot Corp., Class A*

 

753

 

98

 

Greenhill & Co., Inc.

 

7,344

 

124

 

Hartford Financial Services Group, Inc.

 

2,760

 

66

 

Howard Hughes Corp. (The)*

 

2,698

 

132

 

Hudson City Bancorp, Inc.

 

1,498

 

35

 

Interactive Brokers Group, Inc., Class A*

 

642

 

246

 

IntercontinentalExchange, Inc.*

 

27,724

 

472

 

Invesco Ltd.

 

10,261

 

56

 

Janus Capital Group, Inc.

 

585

 

140

 

Jones Lang LaSalle, Inc.

 

11,175

 

306

 

Lazard Ltd., Class A

 

10,958

 

1,662

 

Marsh & McLennan Cos., Inc.

 

41,683

 

683

 

Moody’s Corp.

 

18,325

 

367

 

MSCI, Inc., Class A*

 

12,500

 

44

 

NASDAQ OMX Group, Inc. (The)*

 

944

 

188

 

NYSE Euronext

 

5,136

 

231

 

Plum Creek Timber Co., Inc. (REIT)

 

8,325

 

98

 

ProLogis (REIT)

 

1,275

 

79

 

Rayonier, Inc. (REIT)

 

4,026

 

498

 

SEI Investments Co.

 

11,245

 

277

 

St. Joe Co. (The)*

 

4,875

 

864

 

T. Rowe Price Group, Inc.

 

50,397

 

777

 

TD Ameritrade Holding Corp.

 

13,007

 

40

 

UDR, Inc. (REIT)

 

892

 

27

 

Validus Holdings Ltd.

 

789

 

142

 

Ventas, Inc. (REIT)

 

7,280

 

48

 

Vornado Realty Trust (REIT)

 

3,916

 

288

 

Waddell & Reed Financial, Inc., Class A

 

8,870

 

 

 

 

 

407,692

 

 

 

Health Care - 5.6%

 

 

 

 

 

 

 

 

 

82

 

Alere, Inc.*

 

2,617

 

298

 

Alexion Pharmaceuticals, Inc.*

 

22,782

 

387

 

Allscripts Healthcare Solutions, Inc.*

 

6,792

 

941

 

AmerisourceBergen Corp.

 

29,030

 

478

 

Amylin Pharmaceuticals, Inc.*

 

6,126

 

338

 

BioMarin Pharmaceutical, Inc.*

 

9,153

 

39

 

Brookdale Senior Living, Inc.*

 

746

 

317

 

C.R. Bard, Inc.

 

26,897

 

131

 

CareFusion Corp.*

 

2,996

 

229

 

Cerner Corp.*

 

20,120

 

52

 

Charles River Laboratories International, Inc.*

 

1,698

 

219

 

Community Health Systems, Inc.*

 

6,977

 

29

 

Cooper Cos., Inc. (The)

 

1,551

 

215

 

Covance, Inc.*

 

9,656

 

346

 

DaVita, Inc.*

 

25,154

 

479

 

Dendreon Corp.*

 

17,119

 

487

 

DENTSPLY International, Inc.

 

15,058

 

377

 

Edwards Lifesciences Corp.*

 

25,018

 

87

 

Emdeon, Inc., Class A*

 

1,085

 

99

 

Emergency Medical Services Corp., Class A*

 

4,904

 

165

 

Gen-Probe, Inc.*

 

8,557

 

834

 

Health Management Associates, Inc., Class A*

 

7,431

 

304

 

Henry Schein, Inc.*

 

17,459

 

177

 

Hill-Rom Holdings, Inc.

 

7,006

 

552

 

Hospira, Inc.*

 

31,056

 

624

 

Human Genome Sciences, Inc.*

 

15,307

 

192

 

IDEXX Laboratories, Inc.*

 

12,328

 

406

 

Illumina, Inc.*

 

24,409

 

130

 

Intuitive Surgical, Inc.*

 

33,838

 

18

 

Kinetic Concepts, Inc.*

 

715

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

348

 

Laboratory Corp. of America Holdings*

 

$

28,546

 

431

 

Life Technologies Corp.*

 

21,466

 

331

 

Lincare Holdings, Inc.

 

8,523

 

148

 

MEDNAX, Inc.*

 

9,058

 

112

 

Mettler-Toledo International, Inc.*

 

16,260

 

866

 

Mylan, Inc.*

 

16,943

 

308

 

Myriad Genetics, Inc.*

 

6,631

 

39

 

Omnicare, Inc.

 

899

 

340

 

Patterson Cos., Inc.

 

10,108

 

178

 

PerkinElmer, Inc.

 

4,147

 

269

 

Perrigo Co.

 

16,205

 

351

 

Pharmaceutical Product Development, Inc.

 

8,747

 

407

 

Quest Diagnostics, Inc.

 

20,073

 

233

 

Regeneron Pharmaceuticals, Inc.*

 

6,715

 

505

 

ResMed, Inc.*

 

16,135

 

204

 

SXC Health Solutions Corp.*

 

7,823

 

171

 

Talecris Biotherapeutics Holdings Corp.*

 

3,711

 

124

 

Techne Corp.

 

7,449

 

21

 

Teleflex, Inc.

 

1,049

 

1,164

 

Tenet Healthcare Corp.*

 

4,749

 

191

 

Thoratec Corp.*

 

4,862

 

165

 

United Therapeutics Corp.*

 

10,383

 

20

 

Universal Health Services, Inc., Class B

 

822

 

411

 

Varian Medical Systems, Inc.*

 

27,056

 

286

 

VCA Antech, Inc.*

 

6,248

 

673

 

Vertex Pharmaceuticals, Inc.*

 

22,296

 

300

 

Warner Chilcott plc, Class A

 

5,703

 

310

 

Waters Corp.*

 

23,830

 

 

 

 

 

710,022

 

 

 

Industrials - 7.3%

 

 

 

 

 

 

 

 

 

104

 

Aecom Technology Corp.*

 

2,679

 

102

 

Alliant Techsystems, Inc.*

 

7,539

 

354

 

AMETEK, Inc.

 

20,946

 

358

 

AMR Corp.*

 

3,064

 

6

 

Armstrong World Industries, Inc.*

 

291

 

21

 

Avery Dennison Corp.

 

788

 

304

 

Babcock & Wilcox Co.*

 

7,384

 

250

 

Bucyrus International, Inc.

 

22,290

 

552

 

C.H. Robinson Worldwide, Inc.

 

40,688

 

14

 

Carlisle Cos., Inc.

 

513

 

136

 

Chicago Bridge & Iron Co. N.V. (NY Shares)*

 

3,850

 

15

 

CNH Global N.V.*

 

621

 

14

 

Con-way, Inc.

 

473

 

558

 

Cooper Industries plc

 

30,411

 

65

 

Copa Holdings S.A., Class A

 

3,625

 

241

 

Copart, Inc.*

 

8,551

 

66

 

Corrections Corp. of America*

 

1,594

 

25

 

Covanta Holding Corp.

 

393

 

668

 

Cummins, Inc.

 

64,876

 

2,630

 

Delta Air Lines, Inc.*

 

35,978

 

257

 

Donaldson Co., Inc.

 

13,953

 

393

 

Dover Corp.

 

21,540

 

168

 

Dun & Bradstreet Corp.

 

12,657

 

146

 

Eaton Corp.

 

14,074

 

709

 

Expeditors International of Washington, Inc.

 

37,506

 

441

 

Fastenal Co.

 

23,602

 

159

 

Flowserve Corp.

 

16,768

 

36

 

Fluor Corp.

 

2,082

 

126

 

FTI Consulting, Inc.*

 

4,491

 

165

 

Gardner Denver, Inc.

 

10,799

 

43

 

GATX Corp.

 

1,426

 

62

 

General Cable Corp.*

 

2,033

 

117

 

Goodrich Corp.

 

10,035

 

202

 

Graco, Inc.

 

7,264

 

20

 

Harsco Corp.

 

481

 

550

 

Hertz Global Holdings, Inc.*

 

6,743

 

80

 

Hubbell, Inc., Class B

 

4,525

 

223

 

IDEX Corp.

 

8,356

 

161

 

IHS, Inc., Class A*

 

11,644

 

609

 

Iron Mountain, Inc.

 

13,526

 

304

 

J.B. Hunt Transport Services, Inc.

 

11,096

 

251

 

Jacobs Engineering Group, Inc.*

 

9,664

 

343

 

Joy Global, Inc.

 

26,178

 

201

 

Kansas City Southern*

 

9,515

 

13

 

KAR Auction Services, Inc.*

 

157

 

31

 

KBR, Inc.

 

840

 

204

 

Kennametal, Inc.

 

6,899

 

12

 

Kirby Corp.*

 

536

 

167

 

Landstar System, Inc.

 

6,004

 

156

 

Lennox International, Inc.

 

6,862

 

142

 

Lincoln Electric Holdings, Inc.

 

8,756

 

437

 

Manitowoc Co., Inc. (The)*

 

4,798

 

358

 

Masco Corp.

 

3,906

 

145

 

MSC Industrial Direct Co., Class A

 

8,720

 

237

 

Navistar International Corp.*

 

12,130

 

299

 

Oshkosh Corp.*

 

8,581

 

211

 

Owens Corning*

 

5,551

 

389

 

Pall Corp.

 

17,610

 

152

 

Parker Hannifin Corp.

 

12,195

 

171

 

Pentair, Inc.

 

5,626

 

494

 

Pitney Bowes, Inc.

 

10,838

 

36

 

R.R. Donnelley & Sons Co.

 

567

 

107

 

Regal-Beloit Corp.

 

6,527

 

324

 

Republic Services, Inc.

 

9,117

 

500

 

Robert Half International, Inc.

 

13,860

 

475

 

Rockwell Automation, Inc.

 

31,407

 

276

 

Rockwell Collins, Inc.

 

15,473

 

313

 

Roper Industries, Inc.

 

22,664

 

93

 

Ryder System, Inc.

 

4,009

 

162

 

Shaw Group, Inc. (The)*

 

5,192

 

330

 

Southwest Airlines Co.

 

4,396

 

53

 

Spirit Aerosystems Holdings, Inc., Class A*

 

1,032

 

32

 

SPX Corp.

 

2,102

 

282

 

Stericycle, Inc.*

 

20,840

 

469

 

Textron, Inc.

 

10,487

 

31

 

Thomas & Betts Corp.*

 

1,378

 

212

 

Timken Co.

 

9,235

 

104

 

Toro Co. (The)

 

6,054

 

22

 

Towers Watson & Co., Class A

 

1,104

 

164

 

TransDigm Group, Inc.*

 

11,234

 

905

 

United Continental Holdings, Inc.*

 

25,050

 

92

 

USG Corp.*

 

1,168

 

283

 

UTi Worldwide, Inc.

 

5,448

 

74

 

Valmont Industries, Inc.

 

5,984

 

344

 

Verisk Analytics, Inc., Class A*

 

10,413

 

195

 

W.W. Grainger, Inc.

 

24,361

 

214

 

WABCO Holdings, Inc.*

 

10,636

 

306

 

Waste Connections, Inc.

 

7,956

 

46

 

WESCO International, Inc.*

 

2,195

 

25

 

Westinghouse Air Brake Technologies Corp.

 

1,156

 

 

 

 

 

927,566

 

 

 

Information Technology - 11.2%

 

 

 

 

 

 

 

 

 

766

 

Advanced Micro Devices, Inc.*

 

5,584

 

1,159

 

Agilent Technologies, Inc.*

 

40,588

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

605

 

Akamai Technologies, Inc.*

 

$

31,575

 

178

 

Alliance Data Systems Corp.*

 

11,228

 

1,005

 

Altera Corp.

 

35,265

 

192

 

Amdocs Ltd.*

 

4,992

 

578

 

Amphenol Corp., Class A

 

28,917

 

992

 

Analog Devices, Inc.

 

35,276

 

301

 

ANSYS, Inc.*

 

14,599

 

44

 

Arrow Electronics, Inc.*

 

1,364

 

233

 

Atheros Communications, Inc.*

 

7,586

 

1,373

 

Atmel Corp.*

 

14,265

 

763

 

Autodesk, Inc.*

 

26,926

 

353

 

Avago Technologies Ltd.*

 

9,217

 

12

 

AVX Corp.

 

172

 

604

 

BMC Software, Inc.*

 

26,818

 

384

 

Broadridge Financial Solutions, Inc.

 

7,907

 

1,055

 

CA, Inc.

 

24,149

 

900

 

Cadence Design Systems, Inc.*

 

7,074

 

308

 

Ciena Corp.*

 

4,666

 

619

 

Citrix Systems, Inc.*

 

41,114

 

423

 

Compuware Corp.*

 

4,357

 

358

 

Cree, Inc.*

 

23,334

 

546

 

Cypress Semiconductor Corp.*

 

8,556

 

47

 

Diebold, Inc.

 

1,477

 

178

 

Dolby Laboratories, Inc., Class A*

 

11,266

 

118

 

DST Systems, Inc.

 

5,057

 

1,032

 

Electronic Arts, Inc.*

 

15,387

 

151

 

Equinix, Inc.*

 

11,718

 

267

 

F5 Networks, Inc.*

 

35,212

 

155

 

Factset Research Systems, Inc.

 

13,744

 

185

 

First Solar, Inc.*

 

22,727

 

339

 

Fiserv, Inc.*

 

18,747

 

511

 

FLIR Systems, Inc.*

 

13,697

 

243

 

Gartner, Inc.*

 

7,817

 

219

 

Genpact Ltd.*

 

3,048

 

272

 

Global Payments, Inc.

 

11,304

 

432

 

Harris Corp.

 

19,112

 

112

 

IAC/InterActiveCorp*

 

3,154

 

306

 

Informatica Corp.*

 

12,632

 

30

 

Ingram Micro, Inc., Class A*

 

536

 

141

 

Intersil Corp., Class A

 

1,798

 

934

 

Intuit, Inc.*

 

41,927

 

125

 

Itron, Inc.*

 

7,096

 

424

 

Jabil Circuit, Inc.

 

6,407

 

719

 

JDS Uniphase Corp.*

 

8,535

 

31

 

KLA-Tencor Corp.

 

1,137

 

421

 

Lam Research Corp.*

 

19,084

 

316

 

Lender Processing Services, Inc.

 

9,723

 

746

 

Linear Technology Corp.

 

24,320

 

1,803

 

Marvell Technology Group Ltd.*

 

34,780

 

1,007

 

Maxim Integrated Products, Inc.

 

23,413

 

520

 

McAfee, Inc.*

 

24,362

 

316

 

MEMC Electronic Materials, Inc.*

 

3,656

 

613

 

Microchip Technology, Inc.

 

20,603

 

267

 

MICROS Systems, Inc.*

 

11,673

 

208

 

Monster Worldwide, Inc.*

 

4,697

 

193

 

National Instruments Corp.

 

6,585

 

721

 

National Semiconductor Corp.

 

9,625

 

534

 

NCR Corp.*

 

7,684

 

1,148

 

NetApp, Inc.*

 

58,468

 

250

 

NeuStar, Inc., Class A*

 

6,460

 

284

 

Novellus Systems, Inc.*

 

8,563

 

757

 

Nuance Communications, Inc.*

 

13,380

 

1,905

 

NVIDIA Corp.*

 

25,908

 

1,431

 

ON Semiconductor Corp.*

 

11,670

 

1,075

 

Paychex, Inc.

 

30,681

 

40

 

PMC-Sierra, Inc.*

 

290

 

284

 

Polycom, Inc.*

 

10,509

 

371

 

QLogic Corp.*

 

6,637

 

349

 

Rambus, Inc.*

 

6,983

 

628

 

Red Hat, Inc.*

 

27,318

 

340

 

Rovi Corp.*

 

18,758

 

1,030

 

SAIC, Inc.*

 

15,780

 

381

 

Salesforce.com, Inc.*

 

53,043

 

766

 

SanDisk Corp.*

 

34,164

 

1,172

 

Seagate Technology plc*

 

15,717

 

153

 

Silicon Laboratories, Inc.*

 

6,499

 

589

 

Skyworks Solutions, Inc.*

 

14,990

 

233

 

Solera Holdings, Inc.

 

11,184

 

127

 

SunPower Corp., Class A*

 

1,481

 

31

 

Synopsys, Inc.*

 

796

 

556

 

Teradata Corp.*

 

22,846

 

600

 

Teradyne, Inc.*

 

7,116

 

404

 

Trimble Navigation Ltd.*

 

15,045

 

248

 

Varian Semiconductor Equipment Associates, Inc.*

 

7,819

 

608

 

VeriSign, Inc.*

 

20,860

 

146

 

Vistaprint N.V.*

 

5,887

 

198

 

WebMD Health Corp.*

 

10,165

 

175

 

Western Digital Corp.*

 

5,863

 

2,238

 

Western Union Co. (The)

 

39,478

 

862

 

Xilinx, Inc.

 

23,377

 

110

 

Zebra Technologies Corp., Class A*

 

4,008

 

 

 

 

 

1,431,012

 

 

 

Materials - 3.1%

 

 

 

 

 

 

 

 

 

278

 

Airgas, Inc.

 

16,986

 

55

 

AK Steel Holding Corp.

 

730

 

304

 

Albemarle Corp.

 

16,443

 

328

 

Allegheny Technologies, Inc.

 

16,958

 

23

 

Ashland, Inc.

 

1,170

 

65

 

Ball Corp.

 

4,282

 

146

 

Carpenter Technology Corp.

 

5,325

 

522

 

Celanese Corp.

 

19,314

 

171

 

CF Industries Holdings, Inc.

 

20,652

 

451

 

Cliffs Natural Resources, Inc.

 

30,821

 

109

 

Compass Minerals International, Inc.

 

9,003

 

539

 

Crown Holdings, Inc.*

 

16,725

 

146

 

Eagle Materials, Inc.

 

3,630

 

50

 

Eastman Chemical Co.

 

3,890

 

777

 

Ecolab, Inc.

 

37,148

 

166

 

FMC Corp.

 

12,918

 

265

 

International Flavors & Fragrances, Inc.

 

13,918

 

1,131

 

International Paper Co.

 

28,241

 

227

 

Lubrizol Corp.

 

23,735

 

151

 

Martin Marietta Materials, Inc.

 

12,766

 

431

 

Nalco Holding Co.

 

12,680

 

170

 

Owens-Illinois, Inc.*

 

4,570

 

91

 

PPG Industries, Inc.

 

7,094

 

28

 

Reliance Steel & Aluminum Co.

 

1,245

 

28

 

Royal Gold, Inc.

 

1,443

 

216

 

RPM International, Inc.

 

4,424

 

15

 

Schnitzer Steel Industries, Inc., Class A

 

856

 

153

 

Scotts Miracle-Gro Co. (The), Class A

 

7,644

 

189

 

Sherwin-Williams Co. (The)

 

14,018

 

373

 

Sigma-Aldrich Corp.

 

23,581

 

66

 

Temple-Inland, Inc.

 

1,384

 

285

 

Titanium Metals Corp.*

 

4,922

 

90

 

United States Steel Corp.

 

4,375

 

33

 

Valspar Corp.

 

1,090

 

140

 

Walter Energy, Inc.

 

14,370

 

 

 

 

 

398,351

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Telecommunication Services - 0.9%

 

 

 

 

 

 

 

 

 

386

 

Clearwire Corp., Class A*

 

$

2,710

 

967

 

Crown Castle International Corp.*

 

40,169

 

1,261

 

Frontier Communications Corp.

 

11,475

 

2,129

 

Level 3 Communications, Inc.*

 

2,129

 

400

 

MetroPCS Communications, Inc.*

 

4,860

 

440

 

NII Holdings, Inc.*

 

17,054

 

390

 

SBA Communications Corp., Class A*

 

15,269

 

505

 

tw telecom, inc.*

 

8,322

 

668

 

Windstream Corp.

 

8,711

 

 

 

 

 

110,699

 

 

 

Utilities - 0.1%

 

 

 

 

 

 

 

 

 

541

 

Calpine Corp.*

 

6,546

 

147

 

ITC Holdings Corp.

 

8,901

 

33

 

Ormat Technologies, Inc.

 

884

 

 

 

 

 

16,331

 

 

 

Total Common Stocks
(Cost $4,552,644)

 

5,876,553

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 12.1%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

665,061

 

0.07%, due 12/01/10

 

665,061

 

877,845

 

0.09%, due 12/06/10

 

877,845

 

 

 

Total U.S. Government & Agency Securities (Cost $1,542,906)

 

1,542,906

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 27.7%

 

 

 

3,532,554

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $3,532,600

 

3,532,554

 

 

 

Total Repurchase Agreements
(Cost $3,532,554)

 

3,532,554

 

 

 

Total Investment Securities
(Cost $9,628,104) — 86.0%

 

10,952,013

 

 

 

Other assets less liabilities — 14.0%

 

1,784,450

 

 

 

Net Assets — 100.0%

 

$

12,736,463

 

 

*                               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. At 11/30/10, the aggregate amount held in a segregated account was $2,423,907.

(b)                       The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT       Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

1,108,480

 

Aggregate gross unrealized depreciation

 

(159,695

)

Net unrealized appreciation

 

$

948,785

 

Federal income tax cost of investments

 

$

10,003,228

 

 

Swap Agreements

Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell Midcap® Growth Index

 

$

114,446

 

$

(367

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell Midcap® Growth Index

 

6,371,675

 

(42,166

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell Midcap® Growth Index

 

9,169,609

 

1,505,167

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell Midcap® Growth Index

 

3,943,649

 

339,595

 

 

 

 

 

 

 

 

 

 

 

$

1,802,229

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell2000 Value

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 62.7%

 

 

 

 

 

Consumer Discretionary - 6.2%

 

 

 

 

 

 

 

 

 

586

 

1-800-Flowers.com, Inc., Class A*

 

$

1,166

 

158

 

99 Cents Only Stores*

 

2,482

 

430

 

A.H. Belo Corp., Class A*

 

3,784

 

112

 

AFC Enterprises, Inc.*

 

1,487

 

686

 

American Apparel, Inc.*

 

960

 

885

 

American Greetings Corp., Class A

 

17,762

 

111

 

America’s Car-Mart, Inc.*

 

2,816

 

289

 

Arctic Cat, Inc.*

 

4,309

 

341

 

Ascent Media Corp., Class A*

 

10,540

 

414

 

Audiovox Corp., Class A*

 

2,836

 

921

 

Barnes & Noble, Inc.

 

12,912

 

27

 

Beasley Broadcasting Group, Inc., Class A*

 

109

 

1,783

 

Beazer Homes USA, Inc.*

 

7,417

 

633

 

bebe stores, inc.

 

4,077

 

31

 

Big 5 Sporting Goods Corp.

 

428

 

31

 

Biglari Holdings, Inc.*

 

12,037

 

343

 

Bluegreen Corp.*

 

991

 

92

 

Blyth, Inc.

 

4,101

 

728

 

Bob Evans Farms, Inc.

 

22,670

 

182

 

Bon-Ton Stores, Inc. (The)*

 

2,442

 

168

 

Books-A-Million, Inc.

 

1,070

 

1,188

 

Borders Group, Inc.*

 

1,271

 

1,288

 

Boyd Gaming Corp.*

 

11,515

 

227

 

Brookfield Homes Corp.*

 

2,002

 

329

 

Brown Shoe Co., Inc.

 

4,678

 

32

 

Buckle, Inc. (The)

 

1,221

 

412

 

Build-A-Bear Workshop, Inc.*

 

2,554

 

960

 

Cabela’s, Inc.*

 

21,360

 

1,538

 

Callaway Golf Co.

 

11,781

 

57

 

Cambium Learning Group, Inc.*

 

170

 

108

 

Carmike Cinemas, Inc.*

 

906

 

111

 

Casual Male Retail Group, Inc.*

 

533

 

125

 

Cavco Industries, Inc.*

 

4,558

 

2,767

 

Charming Shoppes, Inc.*

 

10,528

 

65

 

Children’s Place Retail Stores, Inc. (The)*

 

3,374

 

375

 

Christopher & Banks Corp.

 

1,999

 

229

 

Churchill Downs, Inc.

 

9,066

 

1,359

 

Cinemark Holdings, Inc.

 

23,850

 

1,100

 

CKX, Inc.*

 

4,543

 

489

 

Collective Brands, Inc.*

 

8,259

 

273

 

Columbia Sportswear Co.

 

15,190

 

230

 

Conn’s, Inc.*

 

736

 

221

 

Core-Mark Holding Co., Inc.*

 

8,000

 

40

 

Cracker Barrel Old Country Store, Inc.

 

2,106

 

482

 

Crown Media Holdings, Inc., Class A*

 

1,268

 

178

 

CSS Industries, Inc.

 

3,252

 

419

 

Cumulus Media, Inc., Class A*

 

1,487

 

251

 

Dana Holding Corp.*

 

3,793

 

129

 

Delta Apparel, Inc.*

 

1,606

 

1,119

 

Dex One Corp.*

 

5,315

 

1,035

 

Dillard’s, Inc., Class A

 

32,271

 

555

 

Domino’s Pizza, Inc.*

 

8,197

 

85

 

Dress Barn, Inc. (The)*

 

2,100

 

286

 

Drew Industries, Inc.*

 

5,777

 

756

 

E.W. Scripps Co. (The), Class A*

 

6,827

 

94

 

Entercom Communications Corp., Class A*

 

817

 

387

 

Ethan Allen Interiors, Inc.

 

6,382

 

1,364

 

Exide Technologies*

 

11,158

 

852

 

Finish Line (The), Class A

 

15,208

 

156

 

Fisher Communications, Inc.*

 

3,128

 

939

 

Fred’s, Inc., Class A

 

12,010

 

18

 

Fuel Systems Solutions, Inc.*

 

622

 

1,118

 

Furniture Brands International, Inc.*

 

4,930

 

380

 

Gaiam, Inc., Class A

 

2,858

 

828

 

Gaylord Entertainment Co.*

 

28,425

 

516

 

Genesco, Inc.*

 

19,845

 

37

 

Global Sources Ltd.*

 

335

 

62

 

Gordmans Stores, Inc.*

 

791

 

1,157

 

Gray Television, Inc.*

 

2,302

 

457

 

Group 1 Automotive, Inc.

 

17,700

 

381

 

Haverty Furniture Cos., Inc.

 

4,576

 

732

 

Helen of Troy Ltd.*

 

17,290

 

257

 

Hooker Furniture Corp.

 

2,922

 

616

 

HOT Topic, Inc.

 

3,776

 

1,244

 

Hovnanian Enterprises, Inc., Class A*

 

4,615

 

1,724

 

Iconix Brand Group, Inc.*

 

32,204

 

348

 

Isle of Capri Casinos, Inc.*

 

3,059

 

96

 

Jack in the Box, Inc.*

 

1,931

 

666

 

Jakks Pacific, Inc.*

 

12,821

 

104

 

Johnson Outdoors, Inc., Class A*

 

1,347

 

2,081

 

Jones Group, Inc. (The)

 

28,177

 

869

 

Journal Communications, Inc., Class A*

 

3,945

 

124

 

Kenneth Cole Productions, Inc., Class A*

 

1,678

 

241

 

Kid Brands, Inc.*

 

2,268

 

62

 

Knology, Inc.*

 

954

 

307

 

K-Swiss, Inc., Class A*

 

3,844

 

1,097

 

La-Z-Boy, Inc.*

 

8,260

 

134

 

Leapfrog Enterprises, Inc.*

 

761

 

386

 

Libbey, Inc.*

 

5,585

 

113

 

Life Time Fitness, Inc.*

 

4,457

 

221

 

Lifetime Brands, Inc.*

 

3,258

 

630

 

LIN TV Corp., Class A*

 

2,854

 

464

 

Lions Gate Entertainment Corp.*

 

3,345

 

463

 

Lithia Motors, Inc., Class A

 

6,001

 

3,360

 

Live Nation Entertainment, Inc.*

 

36,154

 

413

 

LodgeNet Interactive Corp.*

 

1,280

 

442

 

M/I Homes, Inc.*

 

5,096

 

279

 

Mac-Gray Corp.

 

3,903

 

486

 

Marcus Corp.

 

6,299

 

527

 

MarineMax, Inc.*

 

4,021

 

212

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

1,853

 

416

 

Media General, Inc., Class A*

 

1,772

 

955

 

Mediacom Communications Corp., Class A*

 

8,070

 

1,257

 

Men’s Wearhouse, Inc. (The)

 

35,850

 

766

 

Meritage Homes Corp.*

 

14,531

 

1,105

 

Modine Manufacturing Co.*

 

15,315

 

154

 

Monarch Casino & Resort, Inc.*

 

1,850

 

335

 

Morgans Hotel Group Co.*

 

2,559

 

371

 

Movado Group, Inc.*

 

4,452

 

578

 

Multimedia Games, Inc.*

 

2,497

 

561

 

New York & Co., Inc.*

 

1,935

 

205

 

Nexstar Broadcasting Group, Inc., Class A*

 

1,107

 

428

 

O’Charleys, Inc.*

 

2,962

 

1,292

 

OfficeMax, Inc.*

 

22,080

 

2,168

 

Orient-Express Hotels Ltd., Class A*

 

25,084

 

281

 

Outdoor Channel Holdings, Inc.*

 

1,827

 

1,586

 

Pacific Sunwear of California, Inc.*

 

9,976

 

108

 

Papa John’s International, Inc.*

 

2,766

 

657

 

Penske Automotive Group, Inc.*

 

9,914

 

1,252

 

PEP Boys-Manny Moe & Jack

 

15,512

 

224

 

Perry Ellis International, Inc.*

 

6,095

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,359

 

Pinnacle Entertainment, Inc.*

 

$

18,102

 

153

 

Playboy Enterprises, Inc., Class B*

 

747

 

279

 

PRIMEDIA, Inc.

 

1,403

 

3,094

 

Quiksilver, Inc.*

 

13,304

 

748

 

Radio One, Inc., Class D*

 

808

 

471

 

RC2 Corp.*

 

10,433

 

288

 

Red Lion Hotels Corp.*

 

2,209

 

373

 

Red Robin Gourmet Burgers, Inc.*

 

6,912

 

1,371

 

Regis Corp.

 

24,431

 

1,571

 

Rent-A-Center, Inc.

 

43,737

 

1,540

 

Ruby Tuesday, Inc.*

 

19,697

 

1,052

 

Ryland Group, Inc.

 

15,338

 

3,232

 

Saks, Inc.*

 

36,005

 

212

 

Sally Beauty Holdings, Inc.*

 

2,915

 

728

 

Scholastic Corp.

 

20,457

 

764

 

Scientific Games Corp., Class A*

 

6,150

 

709

 

Sealy Corp.*

 

2,141

 

196

 

Select Comfort Corp.*

 

1,723

 

63

 

Shiloh Industries, Inc.*

 

701

 

179

 

Shoe Carnival, Inc.*

 

4,965

 

1,001

 

Sinclair Broadcast Group, Inc., Class A

 

7,758

 

164

 

Skyline Corp.

 

3,113

 

83

 

Smith & Wesson Holding Corp.*

 

319

 

801

 

Sonic Automotive, Inc., Class A*

 

9,916

 

785

 

Spartan Motors, Inc.

 

4,153

 

296

 

Speedway Motorsports, Inc.

 

4,360

 

924

 

Stage Stores, Inc.

 

13,980

 

360

 

Standard Motor Products, Inc.

 

4,529

 

2,553

 

Standard Pacific Corp.*

 

9,089

 

382

 

Stein Mart, Inc.*

 

3,782

 

136

 

Steinway Musical Instruments, Inc.*

 

2,346

 

1,943

 

Stewart Enterprises, Inc., Class A

 

11,017

 

416

 

Superior Industries International, Inc.

 

8,087

 

43

 

Systemax, Inc.*

 

558

 

213

 

Talbots, Inc.*

 

2,450

 

291

 

Timberland Co. (The), Class A*

 

7,211

 

704

 

Tuesday Morning Corp.*

 

3,661

 

327

 

Unifi, Inc.*

 

4,645

 

203

 

Universal Electronics, Inc.*

 

5,578

 

866

 

Vail Resorts, Inc.*

 

39,213

 

738

 

Warner Music Group Corp.*

 

3,557

 

347

 

West Marine, Inc.*

 

3,321

 

655

 

Wet Seal, Inc. (The), Class A*

 

2,142

 

89

 

Weyco Group, Inc.

 

2,155

 

73

 

World Wrestling Entertainment, Inc., Class A

 

1,023

 

 

 

 

 

1,259,829

 

 

 

Consumer Staples - 1.9%

 

 

 

 

 

 

 

 

 

56

 

Alico, Inc.

 

1,296

 

2,127

 

Alliance One International, Inc.*

 

8,253

 

439

 

Andersons, Inc. (The)

 

14,189

 

507

 

B&G Foods, Inc.

 

6,479

 

32

 

Cal-Maine Foods, Inc.

 

981

 

558

 

Casey’s General Stores, Inc.

 

22,178

 

42

 

Cellu Tissue Holdings, Inc.*

 

501

 

1,352

 

Central Garden and Pet Co., Class A*

 

12,628

 

1,072

 

Chiquita Brands International, Inc.*

 

11,985

 

504

 

Darling International, Inc.*

 

5,836

 

857

 

Dole Food Co., Inc.*

 

8,116

 

580

 

Elizabeth Arden, Inc.*

 

12,360

 

152

 

Farmer Bros Co.

 

2,648

 

947

 

Fresh Del Monte Produce, Inc.

 

20,796

 

548

 

Great Atlantic & Pacific Tea Co.*

 

1,644

 

57

 

Griffin Land & Nurseries, Inc.

 

1,661

 

978

 

Hain Celestial Group, Inc. (The)*

 

25,927

 

216

 

Harbinger Group, Inc.*

 

1,009

 

290

 

Imperial Sugar Co.

 

3,990

 

300

 

Ingles Markets, Inc., Class A

 

5,595

 

18

 

J&J Snack Foods Corp.

 

824

 

189

 

John B. Sanfilippo & Son, Inc.*

 

2,251

 

238

 

MGP Ingredients, Inc.

 

2,168

 

300

 

Nash Finch Co.

 

11,085

 

221

 

Nutraceutical International Corp.*

 

3,286

 

101

 

Oil-Dri Corp. of America

 

2,263

 

502

 

Pantry, Inc. (The)*

 

10,311

 

652

 

Pilgrim’s Pride Corp.*

 

4,329

 

999

 

Prestige Brands Holdings, Inc.*

 

11,758

 

130

 

Revlon, Inc., Class A*

 

1,290

 

12,299

 

Rite Aid Corp.*

 

11,557

 

500

 

Ruddick Corp.

 

18,380

 

59

 

Sanderson Farms, Inc.

 

2,611

 

200

 

Schiff Nutrition International, Inc.

 

1,646

 

200

 

Seneca Foods Corp., Class A*

 

4,758

 

808

 

Smart Balance, Inc.*

 

2,957

 

538

 

Spartan Stores, Inc.

 

8,802

 

434

 

Spectrum Brands Holdings, Inc.*

 

11,731

 

150

 

Susser Holdings Corp.*

 

2,016

 

55

 

Tootsie Roll Industries, Inc.

 

1,465

 

830

 

TreeHouse Foods, Inc.*

 

41,234

 

577

 

Universal Corp.

 

23,605

 

368

 

Vector Group Ltd.

 

6,731

 

76

 

Village Super Market, Inc., Class A

 

2,396

 

20

 

WD-40 Co.

 

782

 

263

 

Weis Markets, Inc.

 

10,136

 

1,315

 

Winn-Dixie Stores, Inc.*

 

7,995

 

 

 

 

 

376,439

 

 

 

Energy - 4.8%

 

 

 

 

 

 

 

 

 

1,024

 

Abraxas Petroleum Corp.*

 

4,362

 

856

 

Allis-Chalmers Energy, Inc.*

 

5,496

 

182

 

Alon USA Energy, Inc.

 

1,008

 

310

 

Approach Resources, Inc.*

 

5,664

 

1,062

 

ATP Oil & Gas Corp.*

 

15,633

 

554

 

Basic Energy Services, Inc.*

 

8,033

 

1,221

 

Berry Petroleum Co., Class A

 

46,532

 

1,097

 

Bill Barrett Corp.*

 

42,180

 

1,774

 

BPZ Resources, Inc.*

 

6,990

 

858

 

Bristow Group, Inc.*

 

37,675

 

2,249

 

Cal Dive International, Inc.*

 

12,032

 

872

 

Cheniere Energy, Inc.*

 

4,857

 

14

 

Clayton Williams Energy, Inc.*

 

1,052

 

600

 

Cloud Peak Energy, Inc.*

 

12,582

 

1,856

 

Complete Production Services, Inc.*

 

52,803

 

97

 

Contango Oil & Gas Co.*

 

5,409

 

961

 

Crosstex Energy, Inc.

 

8,889

 

724

 

CVR Energy, Inc.*

 

8,710

 

187

 

Dawson Geophysical Co.*

 

5,240

 

324

 

Delek U.S. Holdings, Inc.

 

2,307

 

4,416

 

Delta Petroleum Corp.*

 

3,361

 

1,162

 

DHT Holdings, Inc.

 

5,101

 

691

 

Energy Partners Ltd.*

 

8,368

 

1,041

 

Gastar Exploration Ltd.*

 

4,903

 

1,879

 

General Maritime Corp.

 

7,178

 

310

 

GeoResources, Inc.*

 

6,175

 

179

 

Global Geophysical Services, Inc.*

 

1,656

 

2,420

 

Global Industries Ltd.*

 

15,077

 

735

 

GMX Resources, Inc.*

 

3,256

 

814

 

Golar LNG Ltd.

 

11,323

 

584

 

Goodrich Petroleum Corp.*

 

7,680

 

383

 

Green Plains Renewable Energy, Inc.*

 

4,205

 

342

 

Gulf Island Fabrication, Inc.

 

9,152

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

556

 

GulfMark Offshore, Inc., Class A*

 

$

16,302

 

9

 

Hallador Energy Co.

 

104

 

794

 

Harvest Natural Resources, Inc.*

 

10,171

 

2,497

 

Helix Energy Solutions Group, Inc.*

 

35,033

 

2,740

 

Hercules Offshore, Inc.*

 

7,001

 

555

 

Hornbeck Offshore Services, Inc.*

 

12,238

 

3,133

 

International Coal Group, Inc.*

 

23,842

 

128

 

James River Coal Co.*

 

2,547

 

2,821

 

Key Energy Services, Inc.*

 

29,056

 

583

 

Knightsbridge Tankers Ltd.

 

13,257

 

190

 

Kodiak Oil & Gas Corp.*

 

950

 

530

 

Matrix Service Co.*

 

5,263

 

431

 

Miller Petroleum, Inc.*

 

2,241

 

289

 

Natural Gas Services Group, Inc.*

 

4,754

 

1,978

 

Newpark Resources, Inc.*

 

11,314

 

1,120

 

Nordic American Tanker Shipping

 

28,974

 

582

 

Oasis Petroleum, Inc.*

 

14,771

 

611

 

Overseas Shipholding Group, Inc.

 

21,367

 

7

 

OYO Geospace Corp.*

 

531

 

2,770

 

Parker Drilling Co.*

 

11,080

 

1,866

 

Patriot Coal Corp.*

 

30,192

 

1,085

 

Penn Virginia Corp.

 

17,208

 

460

 

Petroleum Development Corp.*

 

16,385

 

1,015

 

Petroquest Energy, Inc.*

 

7,034

 

316

 

PHI, Inc. (Non-Voting)*

 

5,340

 

1,292

 

Pioneer Drilling Co.*

 

8,850

 

110

 

RAM Energy Resources, Inc.*

 

191

 

827

 

Resolute Energy Corp.*

 

10,644

 

173

 

REX American Resources Corp.*

 

2,792

 

643

 

Rex Energy Corp.*

 

7,620

 

487

 

Rosetta Resources, Inc.*

 

17,444

 

59

 

Scorpio Tankers, Inc.*

 

587

 

256

 

Seahawk Drilling, Inc.*

 

2,081

 

1,067

 

Ship Finance International Ltd.

 

23,165

 

957

 

Stone Energy Corp.*

 

19,772

 

903

 

Swift Energy Co.*

 

32,950

 

312

 

T-3 Energy Services, Inc.*

 

11,092

 

767

 

Teekay Tankers Ltd., Class A

 

9,089

 

721

 

Tesco Corp.*

 

9,524

 

1,610

 

Tetra Technologies, Inc.*

 

17,710

 

354

 

Union Drilling, Inc.*

 

2,234

 

2,723

 

USEC, Inc.*

 

16,202

 

1,065

 

Vaalco Energy, Inc.*

 

7,870

 

3,631

 

Vantage Drilling Co.*

 

6,391

 

362

 

Venoco, Inc.*

 

6,302

 

784

 

W&T Offshore, Inc.

 

13,132

 

1,422

 

Warren Resources, Inc.*

 

6,299

 

1,225

 

Western Refining, Inc.*

 

11,944

 

1,143

 

Willbros Group, Inc.*

 

8,264

 

740

 

World Fuel Services Corp.

 

22,274

 

 

 

 

 

976,267

 

 

 

Financials - 23.0%

 

 

 

 

 

 

 

 

 

365

 

1st Source Corp.

 

6,815

 

523

 

1st United Bancorp, Inc./FL*

 

3,044

 

498

 

Abington Bancorp, Inc.

 

5,976

 

764

 

Acadia Realty Trust (REIT)

 

13,951

 

1,155

 

Advance America Cash Advance Centers, Inc.

 

5,498

 

208

 

Agree Realty Corp. (REIT)

 

5,814

 

17

 

Alexander’s, Inc. (REIT)

 

6,553

 

111

 

Alliance Financial Corp./NY

 

3,278

 

2,300

 

Alterra Capital Holdings Ltd.

 

46,782

 

1,559

 

American Campus Communities, Inc. (REIT)

 

49,015

 

1,205

 

American Capital Agency Corp. (REIT)

 

35,331

 

8,110

 

American Capital Ltd.*

 

58,311

 

1,397

 

American Equity Investment Life Holding Co.

 

15,339

 

146

 

American National Bankshares, Inc.

 

3,260

 

148

 

American Physicians Service Group, Inc.

 

4,806

 

247

 

American Safety Insurance Holdings Ltd.*

 

4,873

 

564

 

Ameris Bancorp*

 

5,437

 

450

 

AMERISAFE, Inc.*

 

8,320

 

195

 

Ames National Corp.

 

3,810

 

533

 

AmTrust Financial Services, Inc.

 

8,533

 

2,837

 

Anworth Mortgage Asset Corp. (REIT)

 

19,689

 

419

 

Apollo Commercial Real Estate Finance, Inc. (REIT)

 

6,880

 

4,629

 

Apollo Investment Corp.

 

48,882

 

741

 

Argo Group International Holdings Ltd.

 

27,328

 

161

 

Arlington Asset Investment Corp., Class A

 

3,965

 

219

 

Arrow Financial Corp.

 

6,119

 

64

 

Artio Global Investors, Inc.

 

836

 

969

 

Ashford Hospitality Trust, Inc. (REIT)*

 

9,109

 

359

 

Asset Acceptance Capital Corp.*

 

2,111

 

444

 

Associated Estates Realty Corp. (REIT)

 

6,638

 

252

 

Asta Funding, Inc.

 

1,802

 

2,062

 

Astoria Financial Corp.

 

24,826

 

212

 

Avatar Holdings, Inc.*

 

4,157

 

196

 

Baldwin & Lyons, Inc., Class B

 

4,533

 

167

 

Bancfirst Corp.

 

6,777

 

658

 

Banco Latinoamericano de Comercio Exterior S.A., Class E

 

10,686

 

88

 

Bancorp Rhode Island, Inc.

 

2,624

 

538

 

Bancorp, Inc. (The)/DE*

 

4,627

 

1,086

 

Bank Mutual Corp.

 

4,974

 

125

 

Bank of Marin Bancorp

 

4,175

 

270

 

Bank of the Ozarks, Inc.

 

10,230

 

456

 

BankFinancial Corp.

 

4,254

 

829

 

Beneficial Mutual Bancorp, Inc.*

 

6,441

 

335

 

Berkshire Hills Bancorp, Inc.

 

6,723

 

3,124

 

BioMed Realty Trust, Inc. (REIT)

 

55,076

 

1,708

 

BlackRock Kelso Capital Corp.

 

19,147

 

168

 

BofI Holding, Inc.*

 

2,265

 

1,787

 

Boston Private Financial Holdings, Inc.

 

9,596

 

100

 

Bridge Bancorp, Inc.

 

2,437

 

1,410

 

Brookline Bancorp, Inc.

 

13,860

 

231

 

Bryn Mawr Bank Corp.

 

3,878

 

460

 

Calamos Asset Management, Inc., Class A

 

5,488

 

45

 

California First National Bancorp

 

625

 

183

 

Camden National Corp.

 

6,570

 

284

 

Capital City Bank Group, Inc.

 

3,593

 

68

 

Capital Southwest Corp.

 

6,818

 

1,365

 

CapLease, Inc. (REIT)

 

8,326

 

1,674

 

Capstead Mortgage Corp. (REIT)

 

19,670

 

686

 

Cardinal Financial Corp.

 

7,107

 

475

 

Cash America International, Inc.

 

17,195

 

1,875

 

Cathay General Bancorp

 

25,331

 

3,297

 

CBL & Associates Properties, Inc. (REIT)

 

54,400

 

1,303

 

Cedar Shopping Centers, Inc. (REIT)

 

7,896

 

848

 

Center Financial Corp.*

 

5,308

 

613

 

CenterState Banks, Inc.

 

4,334

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

81

 

Century Bancorp, Inc./MA, Class A

 

$

1,953

 

205

 

Chatham Lodging Trust (REIT)

 

3,368

 

583

 

Chemical Financial Corp.

 

12,196

 

357

 

Chesapeake Lodging Trust (REIT)

 

6,790

 

289

 

Citizens & Northern Corp.

 

4,309

 

9,417

 

Citizens Republic Bancorp, Inc.*

 

5,462

 

870

 

Citizens, Inc./TX*

 

6,090

 

377

 

City Holding Co.

 

12,090

 

238

 

Clifton Savings Bancorp, Inc.

 

2,251

 

422

 

CNA Surety Corp.*

 

9,917

 

291

 

CNB Financial Corp./PA

 

4,170

 

4,868

 

CNO Financial Group, Inc.*

 

28,478

 

771

 

CoBiz Financial, Inc.

 

3,786

 

1,027

 

Cogdell Spencer, Inc. (REIT)

 

5,874

 

81

 

Cohen & Steers, Inc.

 

2,041

 

1,854

 

Colonial Properties Trust (REIT)

 

33,372

 

349

 

Colony Financial, Inc. (REIT)

 

6,732

 

938

 

Columbia Banking System, Inc.

 

16,359

 

791

 

Community Bank System, Inc.

 

19,047

 

327

 

Community Trust Bancorp, Inc.

 

8,996

 

709

 

Compass Diversified Holdings

 

11,769

 

242

 

CompuCredit Holdings Corp.

 

1,452

 

129

 

Consolidated-Tomoka Land Co.

 

3,612

 

2,156

 

Cousins Properties, Inc. (REIT)

 

15,998

 

865

 

Cowen Group, Inc., Class A*

 

3,529

 

323

 

CreXus Investment Corp. (REIT)

 

4,083

 

2,145

 

CVB Financial Corp.

 

16,881

 

857

 

Cypress Sharpridge Investments, Inc. (REIT)

 

11,698

 

450

 

Danvers Bancorp, Inc.

 

6,863

 

5,042

 

DCT Industrial Trust, Inc. (REIT)

 

24,907

 

1,135

 

Delphi Financial Group, Inc., Class A

 

29,147

 

4

 

Diamond Hill Investment Group, Inc.

 

277

 

3,684

 

DiamondRock Hospitality Co. (REIT)*

 

38,793

 

638

 

Dime Community Bancshares, Inc.

 

8,709

 

267

 

Donegal Group, Inc., Class A

 

3,970

 

450

 

Doral Financial Corp.*

 

634

 

615

 

DuPont Fabros Technology, Inc. (REIT)

 

13,893

 

488

 

Dynex Capital, Inc. (REIT)

 

5,124

 

392

 

Eagle Bancorp, Inc.*

 

4,967

 

356

 

EastGroup Properties, Inc. (REIT)

 

14,194

 

1,359

 

Education Realty Trust, Inc. (REIT)

 

9,975

 

114

 

EMC Insurance Group, Inc.

 

2,540

 

1,020

 

Employers Holdings, Inc.

 

16,473

 

192

 

Encore Bancshares, Inc.*

 

1,818

 

103

 

Encore Capital Group, Inc.*

 

1,915

 

166

 

Enstar Group Ltd.*

 

13,778

 

355

 

Enterprise Financial Services Corp.

 

3,539

 

1,110

 

Entertainment Properties Trust (REIT)

 

51,393

 

25

 

Epoch Holding Corp.

 

401

 

212

 

Equity Lifestyle Properties, Inc. (REIT)

 

11,423

 

753

 

Equity One, Inc. (REIT)

 

13,034

 

212

 

ESB Financial Corp.

 

2,989

 

339

 

ESSA Bancorp, Inc.

 

4,458

 

20

 

Evercore Partners, Inc., Class A

 

604

 

358

 

Excel Trust, Inc. (REIT)

 

4,138

 

2,082

 

Extra Space Storage, Inc. (REIT)

 

33,354

 

80

 

EZCORP, Inc., Class A*

 

2,013

 

320

 

FBL Financial Group, Inc., Class A

 

8,550

 

1,255

 

FBR Capital Markets Corp.*

 

4,543

 

230

 

Federal Agricultural Mortgage Corp., Class C

 

3,211

 

1,191

 

FelCor Lodging Trust, Inc. (REIT)*

 

7,063

 

1,309

 

Fifth Street Finance Corp.

 

15,093

 

261

 

Financial Institutions, Inc.

 

4,763

 

2,332

 

First American Financial Corp.

 

33,044

 

209

 

First Bancorp, Inc./ME

 

2,924

 

7,630

 

First BanCorp./Puerto Rico*

 

1,831

 

357

 

First Bancorp/NC

 

5,173

 

1,249

 

First Busey Corp.

 

5,433

 

2,502

 

First Commonwealth Financial Corp.

 

15,512

 

377

 

First Community Bancshares, Inc./VA

 

5,229

 

1,381

 

First Financial Bancorp

 

22,814

 

279

 

First Financial Bankshares, Inc.

 

13,495

 

265

 

First Financial Corp./IN

 

7,987

 

395

 

First Financial Holdings, Inc.

 

4,341

 

1,511

 

First Industrial Realty Trust, Inc. (REIT)*

 

11,499

 

296

 

First Interstate BancSystem, Inc.

 

4,032

 

1,322

 

First Marblehead Corp. (The)*

 

2,697

 

609

 

First Merchants Corp.

 

5,049

 

342

 

First Mercury Financial Corp.

 

5,602

 

1,768

 

First Midwest Bancorp, Inc./IL

 

16,566

 

166

 

First of Long Island Corp. (The)

 

4,276

 

885

 

First Potomac Realty Trust (REIT)

 

13,930

 

197

 

First South Bancorp, Inc./NC

 

1,464

 

2,573

 

FirstMerit Corp.

 

44,835

 

1,120

 

Flagstar Bancorp, Inc.*

 

1,389

 

1,244

 

Flagstone Reinsurance Holdings S.A.

 

14,244

 

744

 

Flushing Financial Corp.

 

9,970

 

2,732

 

FNB Corp./PA

 

23,960

 

870

 

Forestar Group, Inc.*

 

15,677

 

129

 

Fox Chase Bancorp, Inc.*

 

1,356

 

233

 

FPIC Insurance Group, Inc.*

 

8,616

 

1,651

 

Franklin Street Properties Corp. (REIT)

 

21,182

 

65

 

GAMCO Investors, Inc., Class A

 

2,863

 

265

 

German American Bancorp, Inc.

 

4,606

 

32

 

Gerova Financial Group Ltd.*

 

835

 

275

 

Getty Realty Corp. (REIT)

 

8,198

 

661

 

GFI Group, Inc.

 

3,067

 

1,717

 

Glacier Bancorp, Inc.

 

22,888

 

502

 

Gladstone Capital Corp.

 

5,617

 

204

 

Gladstone Commercial Corp. (REIT)

 

3,774

 

527

 

Gladstone Investment Corp.

 

4,095

 

942

 

Gleacher & Co., Inc.*

 

2,364

 

2,031

 

Glimcher Realty Trust (REIT)

 

16,614

 

329

 

Global Indemnity plc*

 

6,310

 

177

 

Golub Capital BDC, Inc.

 

2,873

 

658

 

Government Properties Income Trust (REIT)

 

16,878

 

242

 

Great Southern Bancorp, Inc.

 

5,411

 

282

 

Green Bankshares, Inc.*

 

750

 

676

 

Greenlight Capital Re Ltd., Class A*

 

18,914

 

277

 

Hallmark Financial Services*

 

2,432

 

696

 

Hancock Holding Co.

 

21,924

 

2,444

 

Hanmi Financial Corp.*

 

2,244

 

277

 

Harleysville Group, Inc.

 

9,858

 

737

 

Harris & Harris Group, Inc.*

 

3,228

 

1,100

 

Hatteras Financial Corp. (REIT)

 

34,078

 

1,487

 

Healthcare Realty Trust, Inc. (REIT)

 

30,692

 

312

 

Heartland Financial USA, Inc.

 

5,014

 

866

 

Hercules Technology Growth Capital, Inc.

 

8,643

 

235

 

Heritage Financial Corp./WA*

 

3,224

 

36

 

Heritage Financial Group, Inc.

 

369

 

3,215

 

Hersha Hospitality Trust (REIT)

 

19,708

 

155

 

HFF, Inc., Class A*

 

1,435

 

1,709

 

Highwoods Properties, Inc. (REIT)

 

52,142

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

947

 

Hilltop Holdings, Inc.*

 

$

9,318

 

182

 

Home Bancorp, Inc.*

 

2,479

 

524

 

Home Bancshares, Inc./AR

 

10,847

 

398

 

Home Federal Bancorp, Inc./ID

 

4,589

 

602

 

Home Properties, Inc. (REIT)

 

32,261

 

937

 

Horace Mann Educators Corp.

 

15,301

 

318

 

Hudson Pacific Properties, Inc. (REIT)

 

4,853

 

312

 

Hudson Valley Holding Corp.

 

6,186

 

639

 

Iberiabank Corp.

 

32,212

 

506

 

Independent Bank Corp./MA

 

12,291

 

316

 

Infinity Property & Casualty Corp.

 

18,243

 

1,776

 

Inland Real Estate Corp. (REIT)

 

15,096

 

304

 

International Assets Holding Corp.*

 

6,940

 

1,267

 

International Bancshares Corp.

 

21,792

 

951

 

Invesco Mortgage Capital, Inc. (REIT)

 

21,474

 

1,041

 

Investment Technology Group, Inc.*

 

15,303

 

990

 

Investors Bancorp, Inc.*

 

12,128

 

1,792

 

Investors Real Estate Trust (REIT)

 

15,859

 

2,230

 

iStar Financial, Inc. (REIT)*

 

12,131

 

327

 

JMP Group, Inc.

 

2,286

 

66

 

Kaiser Federal Financial Group, Inc.

 

639

 

100

 

Kansas City Life Insurance Co.

 

3,133

 

246

 

Kayne Anderson Energy Development Co.

 

4,480

 

273

 

KBW, Inc.

 

6,339

 

361

 

Kearny Financial Corp.

 

3,101

 

31

 

Kennedy-Wilson Holdings, Inc.*

 

303

 

1,297

 

Kilroy Realty Corp. (REIT)

 

44,254

 

1,295

 

Kite Realty Group Trust (REIT)

 

6,501

 

2,257

 

Knight Capital Group, Inc., Class A*

 

29,657

 

887

 

LaBranche & Co., Inc.*

 

2,679

 

491

 

Lakeland Bancorp, Inc.

 

5,131

 

385

 

Lakeland Financial Corp.

 

8,050

 

1,667

 

LaSalle Hotel Properties (REIT)

 

39,675

 

2,309

 

Lexington Realty Trust (REIT)

 

18,126

 

19

 

Life Partners Holdings, Inc.

 

406

 

507

 

LTC Properties, Inc. (REIT)

 

13,684

 

1,185

 

Maiden Holdings Ltd.

 

8,923

 

357

 

Main Street Capital Corp.

 

6,080

 

481

 

MainSource Financial Group, Inc.

 

4,406

 

205

 

Marlin Business Services Corp.*

 

2,173

 

1,264

 

MB Financial, Inc.

 

17,987

 

1,828

 

MCG Capital Corp.

 

12,778

 

1,294

 

Meadowbrook Insurance Group, Inc.

 

12,241

 

355

 

Medallion Financial Corp.

 

3,010

 

2,656

 

Medical Properties Trust, Inc. (REIT)

 

27,835

 

114

 

Merchants Bancshares, Inc.

 

3,104

 

217

 

Meridian Interstate Bancorp, Inc.*

 

2,376

 

323

 

Metro Bancorp, Inc.*

 

3,246

 

2,506

 

MF Global Holdings Ltd.*

 

19,672

 

6,690

 

MFA Financial, Inc. (REIT)

 

54,523

 

4,786

 

MGIC Investment Corp.*

 

40,777

 

301

 

Mid-America Apartment Communities, Inc. (REIT)

 

18,472

 

179

 

MidSouth Bancorp, Inc.

 

2,409

 

165

 

MidWestOne Financial Group, Inc.

 

2,384

 

425

 

Mission West Properties, Inc. (REIT)

 

2,775

 

635

 

Monmouth Real Estate Investment Corp., Class A (REIT)

 

5,163

 

1,697

 

Montpelier Re Holdings Ltd.

 

33,397

 

1,146

 

MPG Office Trust, Inc. (REIT)*

 

2,624

 

544

 

MVC Capital, Inc.

 

7,415

 

906

 

Nara Bancorp, Inc.*

 

7,393

 

84

 

NASB Financial, Inc.

 

1,080

 

166

 

National Bankshares, Inc.

 

4,386

 

1,019

 

National Financial Partners Corp.*

 

11,983

 

333

 

National Health Investors, Inc. (REIT)

 

14,652

 

157

 

National Interstate Corp.

 

3,242

 

3,009

 

National Penn Bancshares, Inc.

 

20,190

 

1,989

 

National Retail Properties, Inc. (REIT)

 

51,734

 

53

 

National Western Life Insurance Co., Class A

 

8,837

 

290

 

Navigators Group, Inc. (The)*

 

14,352

 

823

 

NBT Bancorp, Inc.

 

18,271

 

575

 

Nelnet, Inc., Class A

 

12,276

 

2,530

 

NewAlliance Bancshares, Inc.

 

33,750

 

1,481

 

Newcastle Investment Corp. (REIT)*

 

8,427

 

619

 

NewStar Financial, Inc.*

 

5,224

 

516

 

NGP Capital Resources Co.

 

4,665

 

429

 

Northfield Bancorp, Inc.

 

5,453

 

1,801

 

NorthStar Realty Finance Corp. (REIT)

 

7,618

 

2,643

 

Northwest Bancshares, Inc.

 

27,117

 

346

 

OceanFirst Financial Corp.

 

4,176

 

1,772

 

Ocwen Financial Corp.*

 

15,594

 

2,081

 

Old National Bancorp/IN

 

21,455

 

1,790

 

Omega Healthcare Investors, Inc. (REIT)

 

37,787

 

284

 

OmniAmerican Bancorp, Inc.*

 

3,505

 

201

 

One Liberty Properties, Inc. (REIT)

 

3,077

 

240

 

Oppenheimer Holdings Inc., Class A

 

5,662

 

1,106

 

Oriental Financial Group, Inc.

 

12,830

 

919

 

Oritani Financial Corp.

 

10,320

 

160

 

Orrstown Financial Services, Inc.

 

4,192

 

439

 

Pacific Continental Corp.

 

3,793

 

733

 

PacWest Bancorp

 

12,461

 

298

 

Park National Corp.

 

20,133

 

515

 

Parkway Properties, Inc./MD (REIT)

 

8,183

 

210

 

Peapack Gladstone Financial Corp.

 

2,520

 

884

 

Pebblebrook Hotel Trust (REIT)*

 

16,566

 

849

 

PennantPark Investment Corp.

 

9,933

 

92

 

Penns Woods Bancorp, Inc.

 

3,431

 

1,321

 

Pennsylvania Real Estate Investment Trust (REIT)

 

17,741

 

400

 

PennyMac Mortgage Investment Trust (REIT)

 

7,120

 

488

 

Penson Worldwide, Inc.*

 

2,377

 

251

 

Peoples Bancorp, Inc./OH

 

3,260

 

1,323

 

PHH Corp.*

 

28,087

 

2,770

 

Phoenix Cos, Inc. (The)*

 

6,343

 

540

 

Pico Holdings, Inc.*

 

15,417

 

797

 

Pinnacle Financial Partners, Inc.*

 

7,835

 

370

 

Piper Jaffray Cos.*

 

11,089

 

981

 

Platinum Underwriters Holdings Ltd.

 

42,409

 

3,413

 

PMI Group, Inc. (The)*

 

10,649

 

86

 

Porter Bancorp, Inc.

 

920

 

1,161

 

Post Properties, Inc. (REIT)

 

39,555

 

457

 

Potlatch Corp. (REIT)

 

14,478

 

494

 

Presidential Life Corp.

 

4,579

 

575

 

Primerica, Inc.

 

12,989

 

387

 

Primus Guaranty Ltd.*

 

1,865

 

1,242

 

PrivateBancorp, Inc.

 

15,103

 

776

 

ProAssurance Corp.*

 

45,962

 

1,836

 

Prospect Capital Corp.

 

17,956

 

1,113

 

Prosperity Bancshares, Inc.

 

36,217

 

1,431

 

Provident Financial Services, Inc.

 

19,719

 

928

 

Provident New York Bancorp

 

8,695

 

356

 

PS Business Parks, Inc. (REIT)

 

18,448

 

3,175

 

Radian Group, Inc.

 

22,511

 

2,318

 

RAIT Financial Trust (REIT)*

 

3,732

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

906

 

Ramco-Gershenson Properties Trust (REIT)

 

$

10,419

 

1,860

 

Redwood Trust, Inc. (REIT)

 

25,724

 

598

 

Renasant Corp.

 

10,357

 

234

 

Republic Bancorp, Inc./KY, Class A

 

4,799

 

1,049

 

Resource Capital Corp. (REIT)

 

6,997

 

998

 

Retail Opportunity Investments Corp. (REIT)

 

9,810

 

438

 

RLI Corp.

 

25,395

 

194

 

Rockville Financial, Inc.

 

2,134

 

39

 

Rodman & Renshaw Capital Group, Inc.*

 

93

 

193

 

Roma Financial Corp.

 

1,861

 

591

 

S&T Bancorp, Inc.

 

11,595

 

241

 

S. Y. Bancorp, Inc.

 

5,765

 

595

 

Sabra Healthcare REIT, Inc. (REIT)

 

10,145

 

441

 

Safeguard Scientifics, Inc.*

 

6,492

 

301

 

Safety Insurance Group, Inc.

 

14,090

 

496

 

Sanders Morris Harris Group, Inc.

 

3,373

 

573

 

Sandy Spring Bancorp, Inc.

 

9,724

 

50

 

Saul Centers, Inc. (REIT)

 

2,128

 

305

 

SCBT Financial Corp.

 

9,428

 

526

 

SeaBright Holdings, Inc.

 

4,624

 

1,272

 

Selective Insurance Group, Inc.

 

20,988

 

273

 

Sierra Bancorp

 

2,826

 

410

 

Simmons First National Corp., Class A

 

11,910

 

137

 

Solar Capital Ltd.

 

3,217

 

379

 

Southside Bancshares, Inc.

 

7,935

 

463

 

Southwest Bancorp, Inc./OK

 

4,871

 

659

 

Sovran Self Storage, Inc. (REIT)

 

23,744

 

1,136

 

Starwood Property Trust, Inc. (REIT)

 

22,675

 

344

 

State Auto Financial Corp.

 

5,415

 

397

 

State Bancorp, Inc./NY

 

3,621

 

545

 

StellarOne Corp.

 

7,140

 

641

 

Sterling Bancorp/NY

 

6,019

 

2,189

 

Sterling Bancshares, Inc./TX

 

12,992

 

412

 

Stewart Information Services Corp.

 

4,384

 

77

 

Stifel Financial Corp.*

 

3,991

 

2,524

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

11,787

 

96

 

Student Loan Corp. (The)

 

2,878

 

164

 

Suffolk Bancorp

 

4,212

 

453

 

Sun Communities, Inc. (REIT)

 

15,012

 

2,352

 

Sunstone Hotel Investors, Inc. (REIT)*

 

22,391

 

3,096

 

Susquehanna Bancshares, Inc.

 

24,923

 

997

 

SVB Financial Group*

 

44,795

 

683

 

SWS Group, Inc.

 

3,552

 

412

 

Tanger Factory Outlet Centers (REIT)

 

19,768

 

229

 

Taylor Capital Group, Inc.*

 

2,846

 

207

 

Tejon Ranch Co.*

 

5,007

 

209

 

Terreno Realty Corp. (REIT)*

 

3,710

 

292

 

Territorial Bancorp, Inc.

 

5,379

 

872

 

Texas Capital Bancshares, Inc.*

 

16,463

 

215

 

THL Credit, Inc.

 

2,817

 

841

 

Thomas Properties Group, Inc.*

 

3,608

 

642

 

TICC Capital Corp.

 

6,767

 

189

 

Tompkins Financial Corp.

 

7,250

 

134

 

Tower Bancorp, Inc.

 

3,090

 

529

 

Tower Group, Inc.

 

13,606

 

561

 

TowneBank/VA

 

8,662

 

726

 

TradeStation Group, Inc.*

 

4,617

 

354

 

Triangle Capital Corp.

 

6,616

 

333

 

Trico Bancshares

 

4,805

 

1,740

 

TrustCo Bank Corp NY

 

9,761

 

1,525

 

Trustmark Corp.

 

32,543

 

622

 

Two Harbors Investment Corp. (REIT)

 

6,120

 

758

 

UMB Financial Corp.

 

28,273

 

236

 

UMH Properties, Inc. (REIT)

 

2,270

 

2,734

 

Umpqua Holdings Corp.

 

28,953

 

426

 

Union First Market Bankshares Corp.

 

5,836

 

927

 

United Bankshares, Inc.

 

24,297

 

2,250

 

United Community Banks, Inc./GA*

 

3,443

 

399

 

United Financial Bancorp, Inc.

 

5,917

 

545

 

United Fire & Casualty Co.

 

11,303

 

132

 

Universal Health Realty Income Trust (REIT)

 

4,629

 

411

 

Universal Insurance Holdings, Inc.

 

2,002

 

396

 

Univest Corp. of Pennsylvania

 

7,370

 

465

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

8,556

 

2,231

 

U-Store-It Trust (REIT)

 

18,450

 

216

 

ViewPoint Financial Group

 

2,266

 

513

 

Virginia Commerce Bancorp, Inc.*

 

2,909

 

10

 

Virtus Investment Partners, Inc.*

 

448

 

614

 

Walter Investment Management Corp. (REIT)

 

10,591

 

365

 

Washington Banking Co.

 

4,668

 

1,088

 

Washington Real Estate Investment Trust (REIT)

 

33,380

 

337

 

Washington Trust Bancorp, Inc.

 

7,074

 

171

 

Waterstone Financial, Inc.*

 

624

 

1,559

 

Webster Financial Corp.

 

25,723

 

551

 

WesBanco, Inc.

 

9,604

 

372

 

West Bancorp., Inc.

 

2,704

 

2,238

 

West Coast Bancorp/OR*

 

5,908

 

390

 

Westamerica Bancorp.

 

19,063

 

1,564

 

Western Alliance Bancorp.*

 

9,650

 

706

 

Westfield Financial, Inc.

 

5,803

 

11

 

Westwood Holdings Group, Inc.

 

395

 

2,303

 

Whitney Holding Corp./LA

 

21,625

 

465

 

Wilshire Bancorp, Inc.

 

3,292

 

544

 

Winthrop Realty Trust (REIT)

 

6,512

 

742

 

Wintrust Financial Corp.

 

21,258

 

197

 

World Acceptance Corp.*

 

8,680

 

140

 

WSFS Financial Corp.

 

6,090

 

 

 

 

 

4,670,149

 

 

 

Health Care - 3.4%

 

 

 

 

 

 

 

 

 

616

 

Accelrys, Inc.*

 

5,187

 

1,517

 

Affymetrix, Inc.*

 

6,311

 

564

 

Albany Molecular Research, Inc.*

 

2,848

 

1,636

 

Alkermes, Inc.*

 

17,145

 

1,003

 

Allied Healthcare International, Inc.*

 

2,909

 

270

 

Alphatec Holdings, Inc.*

 

608

 

353

 

American Dental Partners, Inc.*

 

4,360

 

1,074

 

AMERIGROUP Corp.*

 

46,214

 

520

 

AMN Healthcare Services, Inc.*

 

2,912

 

738

 

Amsurg Corp.*

 

13,564

 

87

 

Analogic Corp.

 

4,043

 

590

 

AngioDynamics, Inc.*

 

8,242

 

235

 

Assisted Living Concepts, Inc., Class A*

 

7,102

 

249

 

BioScrip, Inc.*

 

1,001

 

539

 

BMP Sunstone Corp.*

 

5,325

 

700

 

Cambrex Corp.*

 

2,989

 

307

 

Cantel Medical Corp.

 

6,198

 

645

 

Capital Senior Living Corp.*

 

4,089

 

188

 

Caraco Pharmaceutical Laboratories Ltd.*

 

895

 

432

 

CardioNet, Inc.*

 

1,745

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,801

 

Celera Corp.*

 

$

10,212

 

1,172

 

Centene Corp.*

 

27,249

 

189

 

Chindex International, Inc.*

 

2,878

 

697

 

CONMED Corp.*

 

14,992

 

171

 

Continucare Corp.*

 

807

 

188

 

Cornerstone Therapeutics, Inc.*

 

1,122

 

740

 

Cross Country Healthcare, Inc.*

 

5,683

 

618

 

CryoLife, Inc.*

 

3,486

 

302

 

Cutera, Inc.*

 

2,117

 

232

 

Cynosure, Inc., Class A*

 

2,199

 

805

 

Cypress Bioscience, Inc.*

 

3,204

 

88

 

Cytokinetics, Inc.*

 

195

 

197

 

DynaVox, Inc., Class A*

 

776

 

37

 

Emergent Biosolutions, Inc.*

 

678

 

17

 

Ensign Group, Inc. (The)

 

366

 

84

 

Enzo Biochem, Inc.*

 

370

 

449

 

Enzon Pharmaceuticals, Inc.*

 

4,993

 

63

 

Exactech, Inc.*

 

1,123

 

1,203

 

Exelixis, Inc.*

 

6,965

 

754

 

Five Star Quality Care, Inc.*

 

4,841

 

25

 

Furiex Pharmaceuticals, Inc.*

 

308

 

479

 

Gentiva Health Services, Inc.*

 

11,007

 

555

 

Greatbatch, Inc.*

 

12,160

 

306

 

Hanger Orthopedic Group, Inc.*

 

5,869

 

127

 

HealthSouth Corp.*

 

2,286

 

1,384

 

Healthspring, Inc.*

 

37,133

 

814

 

Healthways, Inc.*

 

7,855

 

22

 

Hi-Tech Pharmacal Co., Inc.*

 

523

 

213

 

ICU Medical, Inc.*

 

7,806

 

158

 

Impax Laboratories, Inc.*

 

2,828

 

101

 

Infinity Pharmaceuticals, Inc.*

 

635

 

768

 

Inovio Pharmaceuticals, Inc.*

 

906

 

653

 

Invacare Corp.

 

17,624

 

20

 

Jazz Pharmaceuticals, Inc.*

 

333

 

335

 

Kendle International, Inc.*

 

3,018

 

943

 

Kindred Healthcare, Inc.*

 

15,220

 

174

 

Lannett Co., Inc.*

 

962

 

3,125

 

Lexicon Pharmaceuticals, Inc.*

 

4,250

 

796

 

Magellan Health Services, Inc.*

 

38,765

 

795

 

Martek Biosciences Corp.*

 

17,490

 

672

 

Maxygen, Inc.*

 

4,348

 

490

 

MedCath Corp.*

 

6,184

 

342

 

Medical Action Industries, Inc.*

 

2,722

 

571

 

Medicines Co. (The)*

 

7,526

 

1,439

 

Medicis Pharmaceutical Corp., Class A

 

37,918

 

63

 

Merit Medical Systems, Inc.*

 

960

 

155

 

Molina Healthcare, Inc.*

 

3,935

 

214

 

National Healthcare Corp.

 

9,271

 

16

 

NuPathe, Inc.*

 

96

 

44

 

NxStage Medical, Inc.*

 

952

 

53

 

Nymox Pharmaceutical Corp.*

 

217

 

318

 

Owens & Minor, Inc.

 

8,984

 

187

 

Palomar Medical Technologies, Inc.*

 

2,328

 

837

 

Par Pharmaceutical Cos., Inc.*

 

30,073

 

41

 

PDI, Inc.*

 

388

 

451

 

PharMerica Corp.*

 

4,898

 

192

 

Progenics Pharmaceuticals, Inc.*

 

912

 

121

 

Prospect Medical Holdings, Inc.*

 

1,021

 

486

 

RehabCare Group, Inc.*

 

9,832

 

602

 

Res-Care, Inc.*

 

7,964

 

36

 

Rochester Medical Corp.*

 

398

 

1,232

 

RTI Biologics, Inc.*

 

3,339

 

1,200

 

Select Medical Holdings Corp.*

 

7,428

 

473

 

Skilled Healthcare Group, Inc., Class A*

 

3,008

 

999

 

Solta Medical, Inc.*

 

2,028

 

72

 

STERIS Corp.

 

2,478

 

250

 

Sucampo Pharmaceuticals, Inc., Class A*

 

863

 

595

 

Sun Healthcare Group, Inc.*

 

5,831

 

1,252

 

SuperGen, Inc.*

 

3,318

 

175

 

SurModics, Inc.*

 

1,619

 

859

 

Symmetry Medical, Inc.*

 

7,018

 

646

 

Syneron Medical Ltd.*

 

6,234

 

766

 

TomoTherapy, Inc.*

 

2,681

 

32

 

Transcept Pharmaceuticals, Inc.*

 

206

 

484

 

Triple-S Management Corp., Class B*

 

9,298

 

14

 

U.S. Physical Therapy, Inc.*

 

269

 

764

 

Universal American Corp.

 

11,330

 

1,858

 

ViroPharma, Inc.*

 

28,706

 

95

 

Vital Images, Inc.*

 

1,275

 

1,012

 

WellCare Health Plans, Inc.*

 

28,488

 

343

 

Wright Medical Group, Inc.*

 

4,524

 

88

 

Young Innovations, Inc.

 

2,659

 

 

 

 

 

698,448

 

 

 

Industrials - 9.0%

 

 

 

 

 

 

 

 

 

60

 

A. O. Smith Corp.

 

2,365

 

932

 

AAR Corp.*

 

22,890

 

904

 

ABM Industries, Inc.

 

20,819

 

1,308

 

ACCO Brands Corp.*

 

9,182

 

607

 

Aceto Corp.

 

4,546

 

489

 

Advanced Battery Technologies, Inc.*

 

1,848

 

1,293

 

Air Transport Services Group, Inc.*

 

9,542

 

1,212

 

Aircastle Ltd.

 

11,611

 

3,230

 

AirTran Holdings, Inc.*

 

24,031

 

144

 

Alamo Group, Inc.

 

3,688

 

806

 

Alaska Air Group, Inc.*

 

44,330

 

530

 

Albany International Corp., Class A

 

11,183

 

204

 

Amerco, Inc.*

 

19,776

 

101

 

Ameresco, Inc., Class A*

 

1,308

 

216

 

American Commercial Lines, Inc.*

 

7,128

 

225

 

American Railcar Industries, Inc.*

 

3,377

 

754

 

American Reprographics Co.*

 

5,301

 

200

 

American Woodmark Corp.

 

4,162

 

220

 

Ameron International Corp.

 

15,576

 

184

 

Ampco-Pittsburgh Corp.

 

4,847

 

670

 

Apogee Enterprises, Inc.

 

7,538

 

168

 

Applied Signal Technology, Inc.

 

5,520

 

152

 

Argan, Inc.*

 

1,295

 

604

 

Arkansas Best Corp.

 

14,880

 

474

 

Astec Industries, Inc.*

 

14,196

 

15

 

Astronics Corp.*

 

309

 

617

 

Atlas Air Worldwide Holdings, Inc.*

 

33,664

 

18

 

AZZ, Inc.

 

671

 

66

 

Baldor Electric Co.

 

4,178

 

390

 

Baltic Trading Ltd.

 

4,575

 

149

 

Barnes Group, Inc.

 

2,844

 

58

 

Barrett Business Services, Inc.

 

860

 

1,166

 

Brady Corp., Class A

 

36,064

 

452

 

Briggs & Stratton Corp.

 

7,869

 

180

 

Brink’s Co. (The)

 

4,417

 

1,649

 

Broadwind Energy, Inc.*

 

3,150

 

911

 

Builders FirstSource, Inc.*

 

1,439

 

150

 

CAI International, Inc.*

 

3,068

 

217

 

Cascade Corp.

 

7,925

 

478

 

CBIZ, Inc.*

 

2,878

 

258

 

CDI Corp.

 

4,425

 

188

 

Celadon Group, Inc.*

 

2,532

 

607

 

Ceradyne, Inc.*

 

16,037

 

685

 

Chart Industries, Inc.*

 

21,667

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

384

 

CIRCOR International, Inc.

 

$

15,168

 

77

 

CLARCOR, Inc.

 

3,135

 

11

 

Coleman Cable, Inc.*

 

63

 

457

 

Columbus McKinnon Corp.*

 

7,499

 

908

 

Comfort Systems USA, Inc.

 

10,124

 

585

 

Commercial Vehicle Group, Inc.*

 

8,289

 

6

 

Compx International, Inc.

 

71

 

244

 

Courier Corp.

 

3,467

 

218

 

CRA International, Inc.*

 

4,818

 

215

 

Cubic Corp.

 

9,810

 

1,095

 

Curtiss-Wright Corp.

 

34,022

 

76

 

Deluxe Corp.

 

1,610

 

410

 

Dolan Co. (The)*

 

5,617

 

257

 

Douglas Dynamics, Inc.

 

3,791

 

250

 

Ducommun, Inc.

 

5,595

 

923

 

Dycom Industries, Inc.*

 

12,202

 

126

 

Dynamex, Inc.*

 

3,043

 

182

 

Dynamic Materials Corp.

 

2,928

 

1,483

 

Eagle Bulk Shipping, Inc.*

 

7,415

 

1,583

 

EMCOR Group, Inc.*

 

42,424

 

442

 

Encore Wire Corp.

 

10,069

 

109

 

Energy Recovery, Inc.*

 

363

 

2,113

 

EnergySolutions, Inc.

 

10,565

 

823

 

EnerSys*

 

24,846

 

490

 

Ennis, Inc.

 

8,364

 

285

 

EnPro Industries, Inc.*

 

10,445

 

631

 

ESCO Technologies, Inc.

 

22,135

 

712

 

Esterline Technologies Corp.*

 

41,923

 

950

 

Excel Maritime Carriers Ltd.*

 

5,273

 

19

 

Exponent, Inc.*

 

663

 

1,486

 

Federal Signal Corp.

 

9,525

 

159

 

Flow International Corp.*

 

526

 

1,678

 

Force Protection, Inc.*

 

8,608

 

45

 

Franklin Electric Co., Inc.

 

1,751

 

285

 

FreightCar America, Inc.

 

7,079

 

427

 

Fuel Tech, Inc.*

 

3,121

 

96

 

Furmanite Corp.*

 

636

 

443

 

G&K Services, Inc., Class A

 

12,289

 

677

 

Genco Shipping & Trading Ltd.*

 

9,938

 

1,307

 

GenCorp, Inc.*

 

6,417

 

295

 

Generac Holdings, Inc.*

 

4,384

 

653

 

Geo Group, Inc. (The)*

 

15,737

 

723

 

Gibraltar Industries, Inc.*

 

7,353

 

71

 

Global Defense Technology & Systems, Inc.*

 

968

 

251

 

GP Strategies Corp.*

 

2,314

 

833

 

Granite Construction, Inc.

 

21,133

 

908

 

Great Lakes Dredge & Dock Corp.

 

6,973

 

452

 

Greenbrier Cos., Inc.*

 

8,480

 

1,069

 

Griffon Corp.*

 

12,956

 

661

 

H&E Equipment Services, Inc.*

 

6,577

 

942

 

Hawaiian Holdings, Inc.*

 

7,442

 

382

 

Heidrick & Struggles International, Inc.

 

7,934

 

324

 

Herley Industries, Inc.*

 

5,268

 

412

 

Hexcel Corp.*

 

7,066

 

78

 

Higher One Holdings, Inc.*

 

1,580

 

471

 

Hill International, Inc.*

 

2,440

 

371

 

Hoku Corp.*

 

942

 

727

 

Horizon Lines, Inc., Class A

 

2,654

 

361

 

Huron Consulting Group, Inc.*

 

8,198

 

268

 

ICF International, Inc.*

 

6,416

 

131

 

Insituform Technologies, Inc., Class A*

 

2,900

 

397

 

Insteel Industries, Inc.

 

4,117

 

717

 

Interline Brands, Inc.*

 

14,770

 

134

 

International Shipholding Corp.

 

3,543

 

5,826

 

JetBlue Airways Corp.*

 

39,559

 

218

 

Kadant, Inc.*

 

4,183

 

288

 

Kaman Corp.

 

8,113

 

564

 

Kelly Services, Inc., Class A*

 

10,082

 

748

 

Kimball International, Inc., Class B

 

4,383

 

1,036

 

Korn/Ferry International*

 

17,944

 

438

 

Kratos Defense & Security Solutions, Inc.*

 

4,630

 

243

 

L.B. Foster Co., Class A*

 

8,430

 

49

 

LaBarge, Inc.*

 

694

 

375

 

Ladish Co., Inc.*

 

17,603

 

97

 

Lawson Products, Inc.

 

1,951

 

467

 

Layne Christensen Co.*

 

15,397

 

535

 

LECG Corp.*

 

504

 

211

 

LMI Aerospace, Inc.*

 

3,433

 

452

 

LSI Industries, Inc.

 

3,991

 

407

 

Lydall, Inc.*

 

2,943

 

240

 

M&F Worldwide Corp.*

 

5,652

 

311

 

Marten Transport Ltd.

 

6,687

 

1,266

 

MasTec, Inc.*

 

18,142

 

337

 

McGrath RentCorp

 

9,409

 

896

 

Metalico, Inc.*

 

3,916

 

326

 

Met-Pro Corp.

 

3,596

 

166

 

Michael Baker Corp.*

 

5,327

 

241

 

Miller Industries, Inc.

 

3,379

 

168

 

Mine Safety Appliances Co.

 

4,842

 

869

 

Mobile Mini, Inc.*

 

15,703

 

1,083

 

Moog, Inc., Class A*

 

39,919

 

778

 

Mueller Industries, Inc.

 

23,721

 

243

 

Mueller Water Products, Inc., Class A

 

855

 

254

 

Multi-Color Corp.

 

4,966

 

406

 

MYR Group, Inc.*

 

6,403

 

11

 

NACCO Industries, Inc., Class A

 

1,019

 

929

 

Navigant Consulting, Inc.*

 

7,729

 

221

 

Northwest Pipe Co.*

 

4,904

 

97

 

Old Dominion Freight Line, Inc.*

 

2,801

 

777

 

On Assignment, Inc.*

 

5,338

 

812

 

Orbital Sciences Corp.*

 

13,236

 

110

 

P.A.M. Transportation Services, Inc.*

 

1,191

 

33

 

Patriot Transportation Holding, Inc.*

 

2,456

 

316

 

PGT, Inc.*

 

695

 

392

 

Pike Electric Corp.*

 

2,795

 

443

 

Pinnacle Airlines Corp.*

 

3,602

 

211

 

Powell Industries, Inc.*

 

7,423

 

47

 

Preformed Line Products Co.

 

2,186

 

462

 

Primoris Services Corp.

 

4,084

 

158

 

Quality Distribution, Inc.*

 

1,097

 

716

 

Quanex Building Products Corp.

 

11,843

 

552

 

RailAmerica, Inc.*

 

6,845

 

818

 

Republic Airways Holdings, Inc.*

 

6,348

 

100

 

Roadrunner Transportation Systems, Inc.*

 

1,268

 

642

 

Robbins & Myers, Inc.

 

19,908

 

1,175

 

RSC Holdings, Inc.*

 

9,153

 

761

 

Rush Enterprises, Inc., Class A*

 

13,371

 

379

 

Saia, Inc.*

 

5,712

 

37

 

Schawk, Inc.

 

664

 

290

 

School Specialty, Inc.*

 

3,663

 

8

 

Seaboard Corp.

 

14,896

 

1,074

 

SFN Group, Inc.*

 

9,204

 

58

 

Simpson Manufacturing Co., Inc.

 

1,500

 

1,336

 

Skywest, Inc.

 

21,630

 

243

 

Standex International Corp.

 

7,266

 

1,617

 

Steelcase, Inc., Class A

 

15,491

 

384

 

Sterling Construction Co., Inc.*

 

5,180

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

873

 

SYKES Enterprises, Inc.*

 

$

16,063

 

309

 

TAL International Group, Inc.

 

8,754

 

420

 

Team, Inc.*

 

8,551

 

441

 

Tecumseh Products Co., Class A*

 

5,879

 

628

 

Teledyne Technologies, Inc.*

 

25,258

 

192

 

Thermadyne Holdings Corp.*

 

2,872

 

711

 

Titan International, Inc.

 

11,362

 

213

 

Titan Machinery, Inc.*

 

4,466

 

542

 

Tredegar Corp.

 

10,097

 

398

 

Triumph Group, Inc.

 

33,484

 

386

 

TrueBlue, Inc.*

 

6,361

 

637

 

Tutor Perini Corp.

 

12,135

 

173

 

Twin Disc, Inc.

 

4,221

 

528

 

Ultrapetrol (Bahamas) Ltd.*

 

3,648

 

337

 

Unifirst Corp.

 

17,278

 

42

 

United Capital Corp.*

 

1,239

 

1,443

 

United Rentals, Inc.*

 

28,312

 

214

 

United Stationers, Inc.*

 

13,583

 

462

 

Universal Forest Products, Inc.

 

15,098

 

140

 

Universal Truckload Services, Inc.*

 

2,100

 

3,851

 

US Airways Group, Inc.*

 

42,977

 

30

 

US Ecology, Inc.

 

471

 

188

 

USA Truck, Inc.*

 

2,491

 

426

 

Viad Corp.

 

10,117

 

25

 

Volt Information Sciences, Inc.*

 

167

 

48

 

VSE Corp.

 

1,458

 

1,631

 

Wabash National Corp.*

 

17,207

 

633

 

Watts Water Technologies, Inc., Class A

 

20,604

 

879

 

Werner Enterprises, Inc.

 

18,969

 

33

 

Xerium Technologies, Inc.*

 

430

 

 

 

 

 

1,823,790

 

 

 

Information Technology - 6.0%

 

 

 

 

 

 

 

 

 

336

 

ADC Telecommunications, Inc.*

 

4,274

 

816

 

Advanced Analogic Technologies, Inc.*

 

2,987

 

322

 

Advanced Energy Industries, Inc.*

 

3,761

 

401

 

Agilysys, Inc.*

 

2,057

 

110

 

Alpha & Omega Semiconductor Ltd.*

 

1,294

 

413

 

ANADIGICS, Inc.*

 

2,651

 

312

 

Anaren, Inc.*

 

5,682

 

335

 

Anixter International, Inc.

 

18,716

 

2,447

 

Arris Group, Inc.*

 

24,494

 

708

 

ATMI, Inc.*

 

12,709

 

1,425

 

Aviat Networks, Inc.*

 

5,899

 

694

 

Avid Technology, Inc.*

 

10,813

 

2,271

 

Axcelis Technologies, Inc.*

 

5,632

 

434

 

AXT, Inc.*

 

3,580

 

236

 

Bel Fuse, Inc., Class B

 

5,298

 

1,373

 

Benchmark Electronics, Inc.*

 

22,064

 

639

 

BigBand Networks, Inc.*

 

1,904

 

419

 

Black Box Corp.

 

15,013

 

42

 

BroadSoft, Inc.*

 

955

 

641

 

Brooks Automation, Inc.*

 

4,647

 

437

 

Cabot Microelectronics Corp.*

 

17,248

 

670

 

CACI International, Inc., Class A*

 

33,721

 

22

 

Calix, Inc.*

 

281

 

707

 

CDC Corp., Class A*

 

2,736

 

33

 

CEVA, Inc.*

 

766

 

570

 

Checkpoint Systems, Inc.*

 

10,226

 

1,488

 

Ciber, Inc.*

 

5,000

 

936

 

Cogent, Inc.*

 

9,819

 

197

 

Cognex Corp.

 

5,508

 

188

 

Coherent, Inc.*

 

7,766

 

455

 

Cohu, Inc.

 

6,588

 

115

 

Computer Task Group, Inc.*

 

1,133

 

432

 

Comtech Telecommunications Corp.

 

12,813

 

164

 

CPI International, Inc.*

 

3,173

 

484

 

Cray, Inc.*

 

3,456

 

433

 

CSG Systems International, Inc.*

 

8,149

 

575

 

CTS Corp.

 

5,917

 

544

 

Cymer, Inc.*

 

20,710

 

651

 

Daktronics, Inc.

 

8,775

 

154

 

DealerTrack Holdings, Inc.*

 

2,941

 

30

 

Deltek, Inc.*

 

214

 

498

 

Digi International, Inc.*

 

4,781

 

828

 

Digital River, Inc.*

 

30,487

 

553

 

DSP Group, Inc.*

 

4,230

 

2,577

 

Earthlink, Inc.

 

23,103

 

394

 

Electro Rent Corp.

 

5,839

 

600

 

Electro Scientific Industries, Inc.*

 

8,964

 

1,081

 

Electronics for Imaging, Inc.*

 

14,150

 

347

 

EMS Technologies, Inc.*

 

6,451

 

1,937

 

Emulex Corp.*

 

21,927

 

909

 

Energy Conversion Devices, Inc.*

 

4,081

 

2,142

 

Entegris, Inc.*

 

13,923

 

43

 

Envestnet, Inc.*

 

627

 

450

 

Epicor Software Corp.*

 

4,212

 

727

 

EPIQ Systems, Inc.

 

9,262

 

86

 

ePlus, Inc.*

 

1,995

 

1,171

 

Euronet Worldwide, Inc.*

 

19,158

 

4,595

 

Evergreen Solar, Inc.*

 

3,575

 

766

 

Exar Corp.*

 

5,132

 

1,558

 

Extreme Networks*

 

4,565

 

70

 

Fabrinet*

 

1,207

 

996

 

Fair Isaac Corp.

 

23,257

 

388

 

FalconStor Software, Inc.*

 

1,032

 

661

 

FEI Co.*

 

15,732

 

1,194

 

Formfactor, Inc.*

 

11,080

 

601

 

Gerber Scientific, Inc.*

 

4,351

 

136

 

Global Cash Access Holdings, Inc.*

 

310

 

483

 

Globecomm Systems, Inc.*

 

4,081

 

133

 

GSI Technology, Inc.*

 

984

 

255

 

Hackett Group, Inc. (The)*

 

898

 

1,835

 

Harmonic, Inc.*

 

12,405

 

81

 

Hughes Communications, Inc.*

 

3,208

 

558

 

Hutchinson Technology, Inc.*

 

1,730

 

626

 

Ikanos Communications, Inc.*

 

689

 

711

 

Imation Corp.*

 

6,754

 

160

 

Infinera Corp.*

 

1,306

 

746

 

Infospace, Inc.*

 

5,759

 

844

 

Insight Enterprises, Inc.*

 

10,643

 

393

 

Integral Systems, Inc.*

 

3,584

 

1,489

 

Integrated Device Technology, Inc.*

 

9,574

 

64

 

Integrated Silicon Solution, Inc.*

 

511

 

473

 

Intermec, Inc.*

 

5,350

 

1,237

 

Internap Network Services Corp.*

 

6,469

 

527

 

Internet Brands, Inc., Class A*

 

7,025

 

808

 

Internet Capital Group, Inc.*

 

10,011

 

327

 

Intevac, Inc.*

 

4,349

 

62

 

IntraLinks Holdings, Inc.*

 

1,275

 

211

 

IXYS Corp.*

 

2,361

 

331

 

j2 Global Communications, Inc.*

 

8,864

 

813

 

JDA Software Group, Inc.*

 

21,467

 

264

 

Keynote Systems, Inc.

 

3,231

 

333

 

Knot, Inc. (The)*

 

3,114

 

992

 

Kopin Corp.*

 

3,988

 

1,834

 

L-1 Identity Solutions, Inc.*

 

21,696

 

195

 

Limelight Networks, Inc.*

 

1,384

 

75

 

Littelfuse, Inc.

 

3,470

 

45

 

Mantech International Corp., Class A*

 

1,796

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

461

 

Marchex, Inc., Class B

 

$

3,328

 

347

 

Measurement Specialties, Inc.*

 

8,876

 

30

 

MediaMind Technologies, Inc.*

 

394

 

1,447

 

Mentor Graphics Corp.*

 

16,272

 

500

 

Mercury Computer Systems, Inc.*

 

8,905

 

374

 

Methode Electronics, Inc.

 

3,819

 

1,229

 

Microsemi Corp.*

 

27,210

 

1,115

 

Microtune, Inc.*

 

3,256

 

697

 

MKS Instruments, Inc.*

 

14,198

 

996

 

ModusLink Global Solutions, Inc.*

 

6,673

 

211

 

MoneyGram International, Inc.*

 

517

 

30

 

Motricity, Inc.*

 

892

 

31

 

Multi-Fineline Electronix, Inc.*

 

722

 

608

 

Newport Corp.*

 

8,834

 

671

 

Novatel Wireless, Inc.*

 

6,583

 

293

 

Omnivision Technologies, Inc.*

 

8,289

 

425

 

Online Resources Corp.*

 

1,840

 

283

 

Oplink Communications, Inc.*

 

4,893

 

1,035

 

Opnext, Inc.*

 

1,418

 

99

 

OSI Systems, Inc.*

 

3,452

 

187

 

Park Electrochemical Corp.

 

5,124

 

228

 

PC Connection, Inc.*

 

2,057

 

456

 

PC-Tel, Inc.*

 

2,864

 

177

 

Perficient, Inc.*

 

1,997

 

535

 

Pericom Semiconductor Corp.*

 

5,345

 

1,275

 

Photronics, Inc.*

 

8,147

 

3,169

 

Powerwave Technologies, Inc.*

 

6,687

 

75

 

QLIK Technologies, Inc.*

 

1,768

 

455

 

Quantum Corp.*

 

1,652

 

133

 

Quest Software, Inc.*

 

3,365

 

156

 

Radisys Corp.*

 

1,409

 

185

 

RealD, Inc.*

 

5,269

 

1,999

 

RealNetworks, Inc.*

 

6,837

 

80

 

RealPage, Inc.*

 

2,192

 

248

 

Richardson Electronics Ltd.

 

2,656

 

227

 

Rimage Corp.*

 

3,473

 

367

 

Rofin-Sinar Technologies, Inc.*

 

10,537

 

252

 

Rogers Corp.*

 

8,313

 

45

 

Rudolph Technologies, Inc.*

 

336

 

1,236

 

S1 Corp.*

 

7,836

 

641

 

ScanSource, Inc.*

 

18,698

 

350

 

Seachange International, Inc.*

 

2,814

 

631

 

Sigma Designs, Inc.*

 

7,572

 

683

 

Silicon Graphics International Corp.*

 

5,252

 

434

 

Silicon Image, Inc.*

 

3,329

 

508

 

SMART Modular Technologies (WWH), Inc.*

 

2,845

 

88

 

Smith Micro Software, Inc.*

 

1,315

 

231

 

Sonic Solutions, Inc.*

 

2,305

 

875

 

Sonus Networks, Inc.*

 

2,345

 

189

 

Spectrum Control, Inc.*

 

2,886

 

942

 

SRA International, Inc., Class A*

 

18,482

 

370

 

Standard Microsystems Corp.*

 

10,082

 

28

 

Stream Global Services, Inc.*

 

108

 

461

 

Sycamore Networks, Inc.

 

13,839

 

1,048

 

Symmetricom, Inc.*

 

6,969

 

536

 

SYNNEX Corp.*

 

15,362

 

1,527

 

Take-Two Interactive Software, Inc.*

 

16,896

 

114

 

TechTarget, Inc.*

 

678

 

1,416

 

Tekelec*

 

17,488

 

639

 

TeleCommunication Systems, Inc., Class A*

 

2,978

 

38

 

TeleTech Holdings, Inc.*

 

720

 

50

 

Tessco Technologies, Inc.

 

760

 

506

 

Tessera Technologies, Inc.*

 

10,074

 

1,013

 

THQ, Inc.*

 

5,166

 

172

 

Tier Technologies, Inc.*

 

843

 

1,549

 

Trident Microsystems, Inc.*

 

2,866

 

1,466

 

TTM Technologies, Inc.*

 

19,432

 

110

 

Ultratech, Inc.*

 

2,021

 

605

 

Unisys Corp.*

 

13,679

 

1,633

 

United Online, Inc.

 

10,394

 

2,792

 

UTStarcom, Inc.*

 

5,975

 

429

 

ValueClick, Inc.*

 

6,667

 

123

 

VASCO Data Security International, Inc.*

 

1,063

 

504

 

Viasat, Inc.*

 

20,845

 

28

 

Viasystems Group, Inc.*

 

486

 

148

 

Virtusa Corp.*

 

2,019

 

797

 

X-Rite, Inc.*

 

3,355

 

1,103

 

Zoran Corp.*

 

7,589

 

353

 

Zygo Corp.*

 

4,045

 

 

 

 

 

1,221,254

 

 

 

Materials - 3.9%

 

 

 

 

 

 

 

 

 

713

 

A. Schulman, Inc.

 

14,438

 

399

 

A.M. Castle & Co.*

 

6,041

 

54

 

AEP Industries, Inc.*

 

1,299

 

486

 

American Vanguard Corp.

 

3,314

 

213

 

Arch Chemicals, Inc.

 

7,395

 

1,674

 

Boise, Inc.

 

12,304

 

446

 

Brush Engineered Materials, Inc.*

 

15,699

 

937

 

Buckeye Technologies, Inc.

 

18,665

 

1,522

 

Century Aluminum Co.*

 

21,072

 

72

 

Clearwater Paper Corp.*

 

5,796

 

1,966

 

Coeur d’Alene Mines Corp.*

 

47,872

 

1,156

 

Ferro Corp.*

 

16,496

 

805

 

Georgia Gulf Corp.*

 

16,366

 

378

 

Graham Packaging Co., Inc.*

 

4,763

 

2,680

 

Graphic Packaging Holding Co.*

 

9,970

 

1,087

 

H.B. Fuller Co.

 

22,794

 

35

 

Hawkins, Inc.

 

1,523

 

253

 

Haynes International, Inc.

 

9,783

 

1,441

 

Headwaters, Inc.*

 

5,605

 

6,115

 

Hecla Mining Co.*

 

58,643

 

982

 

Horsehead Holding Corp.*

 

11,421

 

381

 

Innophos Holdings, Inc.

 

12,977

 

363

 

Kaiser Aluminum Corp.

 

17,025

 

912

 

KapStone Paper and Packaging Corp.*

 

13,425

 

21

 

KMG Chemicals, Inc.

 

300

 

40

 

Kraton Performance Polymers, Inc.*

 

1,139

 

527

 

Landec Corp.*

 

3,299

 

3,028

 

Louisiana-Pacific Corp.*

 

24,830

 

130

 

Metals USA Holdings Corp.*

 

1,772

 

413

 

Minerals Technologies, Inc.

 

25,127

 

341

 

Molycorp, Inc.*

 

9,896

 

843

 

Myers Industries, Inc.

 

8,093

 

178

 

Neenah Paper, Inc.

 

3,279

 

112

 

NL Industries, Inc.

 

1,317

 

787

 

Olin Corp.

 

14,378

 

218

 

Olympic Steel, Inc.

 

4,587

 

737

 

OM Group, Inc.*

 

27,711

 

1,093

 

P. H.  Glatfelter Co.

 

13,597

 

667

 

PolyOne Corp.*

 

8,311

 

72

 

Quaker Chemical Corp.

 

2,735

 

612

 

Rock-Tenn Co., Class A

 

33,103

 

320

 

Rockwood Holdings, Inc.*

 

12,214

 

623

 

RTI International Metals, Inc.*

 

17,674

 

1,182

 

Sensient Technologies Corp.

 

40,152

 

653

 

Silgan Holdings, Inc.

 

22,359

 

395

 

Spartech Corp.*

 

3,756

 

497

 

Texas Industries, Inc.

 

18,727

 

2,984

 

Thompson Creek Metals Co., Inc.*

 

36,256

 

 

See accompanying notes to the financial statements.

 

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

189

 

TPC Group, Inc.*

 

$

5,277

 

638

 

U.S. Energy Corp.*

 

3,139

 

162

 

Universal Stainless & Alloy*

 

5,066

 

1,014

 

Wausau Paper Corp.

 

7,818

 

469

 

Westlake Chemical Corp.

 

17,709

 

538

 

Worthington Industries, Inc.

 

8,619

 

1,461

 

WR Grace & Co.*

 

48,900

 

663

 

Zoltek Cos., Inc.*

 

6,027

 

 

 

 

 

791,853

 

 

 

Telecommunication Services - 0.4%

 

 

 

 

 

 

 

 

 

13

 

Atlantic Tele-Network, Inc.

 

446

 

3,444

 

Cincinnati Bell, Inc.*

 

8,403

 

135

 

Consolidated Communications Holdings, Inc.

 

2,487

 

1,193

 

FiberTower Corp.*

 

5,201

 

1,135

 

General Communication, Inc., Class A*

 

12,791

 

283

 

Global Crossing Ltd.*

 

3,784

 

1,666

 

Globalstar, Inc.*

 

2,566

 

869

 

ICO Global Communications Holdings Ltd.*

 

1,312

 

338

 

IDT Corp., Class B

 

7,027

 

814

 

Iridium Communications, Inc.*

 

7,603

 

953

 

PAETEC Holding Corp.*

 

3,526

 

1,433

 

Premiere Global Services, Inc.*

 

10,117

 

31

 

Shenandoah Telecommunications Co.

 

542

 

225

 

USA Mobility, Inc.

 

3,830

 

1,472

 

Vonage Holdings Corp.*

 

3,562

 

 

 

 

 

73,197

 

 

 

Utilities - 4.1%

 

 

 

 

 

 

 

 

 

742

 

Allete, Inc.

 

26,215

 

110

 

American DG Energy, Inc.*

 

314

 

443

 

American States Water Co.

 

16,205

 

151

 

Artesian Resources Corp., Class A

 

2,834

 

1,311

 

Avista Corp.

 

28,016

 

935

 

Black Hills Corp.

 

28,377

 

470

 

California Water Service Group

 

17,484

 

286

 

Central Vermont Public Service Corp.

 

5,777

 

378

 

CH Energy Group, Inc.

 

17,630

 

226

 

Chesapeake Utilities Corp.

 

8,495

 

1,449

 

Cleco Corp.

 

43,948

 

203

 

Connecticut Water Service, Inc.

 

5,170

 

347

 

Consolidated Water Co., Ltd.

 

3,064

 

2,448

 

Dynegy, Inc.*

 

12,460

 

1,045

 

El Paso Electric Co.*

 

27,525

 

959

 

Empire District Electric Co. (The)

 

20,666

 

1,148

 

IDACORP, Inc.

 

41,695

 

532

 

Laclede Group, Inc. (The)

 

18,806

 

552

 

MGE Energy, Inc.

 

22,792

 

365

 

Middlesex Water Co.

 

6,373

 

986

 

New Jersey Resources Corp.

 

42,506

 

1,081

 

Nicor, Inc.

 

46,753

 

634

 

Northwest Natural Gas Co.

 

30,952

 

864

 

NorthWestern Corp.

 

24,892

 

810

 

Otter Tail Corp.

 

16,654

 

1,713

 

Piedmont Natural Gas Co., Inc.

 

50,671

 

2,070

 

PNM Resources, Inc.

 

24,799

 

1,797

 

Portland General Electric Co.

 

38,043

 

309

 

SJW Corp.

 

7,719

 

588

 

South Jersey Industries, Inc.

 

30,100

 

1,083

 

Southwest Gas Corp.

 

37,938

 

1,204

 

UIL Holdings Corp.

 

35,362

 

861

 

UniSource Energy Corp.

 

30,281

 

259

 

Unitil Corp.

 

5,962

 

1,209

 

WGL Holdings, Inc.

 

43,838

 

301

 

York Water Co.

 

4,765

 

 

 

 

 

825,081

 

 

 

Total Common Stocks
(Cost $12,357,026)

 

12,716,307

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 9.5%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

890,849

 

0.07%, due 12/01/10

 

890,849

 

1,030,146

 

0.09%, due 12/06/10

 

1,030,146

 

 

 

Total U.S. Government & Agency Securities (Cost $1,920,995)

 

1,920,995

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 21.6%

 

 

 

4,387,809

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $4,387,863

 

4,387,809

 

 

 

Total Repurchase Agreements
(Cost $4,387,809)

 

4,387,809

 

 

 

Total Investment Securities
(Cost $18,665,830) — 93.8%

 

19,025,111

 

 

 

Other assets less liabilities — 6.2%

 

1,249,288

 

 

 

Net Assets — 100.0%

 

$

 20,274,399

 

 

*                                         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. At 11/30/10, the aggregate amount held in a segregated account was $4,861,638.

(b)                                 The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                     Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

1,903,827

 

Aggregate gross unrealized depreciation

 

(2,255,259

)

Net unrealized depreciation

 

$

(351,432

)

Federal income tax cost of investments

 

$

19,376,543

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Russell2000 Value had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Value Index

 

$

61,296

 

$

(1,452

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Value Index

 

10,580,481

 

(308,226

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Russell 2000® Value Index

 

1,117,603

 

121,388

 

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Value Index

 

9,187,443

 

1,503,894

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Value Index

 

6,885,863

 

(1,080

)

 

 

 

 

 

 

 

 

 

 

$

1,314,524

 

 

See accompanying notes to the financial statements.

 

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Russell2000 Growth

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 64.8%

 

 

 

 

 

Consumer Discretionary - 11.6%

 

 

 

 

 

 

 

 

 

42

 

1-800-Flowers.com, Inc., Class A*

 

$

84

 

1,130

 

99 Cents Only Stores*

 

17,752

 

599

 

AFC Enterprises, Inc.*

 

7,955

 

548

 

Ambassadors Group, Inc.

 

6,033

 

122

 

American Apparel, Inc.*

 

171

 

1,724

 

American Axle & Manufacturing Holdings, Inc.*

 

18,516

 

70

 

American Greetings Corp., Class A

 

1,405

 

528

 

American Public Education, Inc.*

 

18,042

 

136

 

America’s Car-Mart, Inc.*

 

3,450

 

621

 

Amerigon, Inc.*

 

6,520

 

760

 

Ameristar Casinos, Inc.

 

13,574

 

1,689

 

AnnTaylor Stores Corp.*

 

45,451

 

765

 

Arbitron, Inc.

 

22,353

 

834

 

Asbury Automotive Group, Inc.*

 

13,127

 

408

 

Ballantyne Strong, Inc.*

 

2,799

 

93

 

Beasley Broadcasting Group, Inc., Class A*

 

376

 

179

 

bebe stores, inc.

 

1,153

 

2,620

 

Belo Corp., Class A*

 

15,196

 

588

 

Big 5 Sporting Goods Corp.

 

8,114

 

4

 

Biglari Holdings, Inc.*

 

1,553

 

646

 

BJ’s Restaurants, Inc.*

 

23,676

 

363

 

Blue Nile, Inc.*

 

17,950

 

44

 

Blyth, Inc.

 

1,962

 

118

 

Bon-Ton Stores, Inc. (The)*

 

1,584

 

560

 

Bridgepoint Education, Inc.*

 

8,568

 

852

 

Brown Shoe Co., Inc.

 

12,115

 

2,543

 

Brunswick Corp.

 

40,561

 

712

 

Buckle, Inc. (The)

 

27,163

 

522

 

Buffalo Wild Wings, Inc.*

 

25,312

 

555

 

California Pizza Kitchen, Inc.*

 

9,385

 

408

 

Cambium Learning Group, Inc.*

 

1,216

 

482

 

Capella Education Co.*

 

26,409

 

209

 

Caribou Coffee Co., Inc.*

 

2,286

 

161

 

Carmike Cinemas, Inc.*

 

1,351

 

356

 

Carrols Restaurant Group, Inc.*

 

2,524

 

1,707

 

Carter’s, Inc.*

 

54,044

 

1,063

 

Casual Male Retail Group, Inc.*

 

5,102

 

800

 

Cato Corp. (The), Class A

 

22,840

 

37

 

Cavco Industries, Inc.*

 

1,349

 

631

 

CEC Entertainment, Inc.*

 

23,675

 

1,735

 

Cheesecake Factory, Inc. (The)*

 

55,294

 

222

 

Cherokee, Inc.

 

4,373

 

719

 

Children’s Place Retail Stores, Inc. (The)*

 

37,323

 

577

 

Christopher & Banks Corp.

 

3,075

 

52

 

Churchill Downs, Inc.

 

2,059

 

426

 

Citi Trends, Inc.*

 

10,092

 

273

 

CKX, Inc.*

 

1,127

 

911

 

Coinstar, Inc.*

 

58,705

 

1,735

 

Coldwater Creek, Inc.*

 

5,864

 

1,273

 

Collective Brands, Inc.*

 

21,501

 

25

 

Conn’s, Inc.*

 

80

 

1,759

 

Cooper Tire & Rubber Co.

 

36,745

 

41

 

Core-Mark Holding Co., Inc.*

 

1,484

 

2,532

 

Corinthian Colleges, Inc.*

 

10,457

 

150

 

CPI Corp.

 

4,269

 

636

 

Cracker Barrel Old Country Store, Inc.

 

33,492

 

2,465

 

CROCS, Inc.*

 

43,248

 

140

 

Crown Media Holdings, Inc., Class A*

 

368

 

254

 

Culp, Inc.*

 

2,616

 

122

 

Cumulus Media, Inc., Class A*

 

433

 

3,720

 

Dana Holding Corp.*

 

56,209

 

1,112

 

Deckers Outdoor Corp.*

 

85,513

 

17

 

Delta Apparel, Inc.*

 

212

 

2,851

 

Denny’s Corp.*

 

10,435

 

143

 

Destination Maternity Corp.*

 

5,474

 

91

 

Dex One Corp.*

 

432

 

515

 

DineEquity, Inc.*

 

27,511

 

394

 

Domino’s Pizza, Inc.*

 

5,819

 

325

 

Dorman Products, Inc.*

 

12,841

 

1,603

 

Dress Barn, Inc. (The)*

 

39,594

 

203

 

Drew Industries, Inc.*

 

4,101

 

2,666

 

Drugstore.com, Inc.*

 

4,586

 

406

 

DSW, Inc., Class A*

 

15,875

 

7,718

 

Eastman Kodak Co.*

 

36,352

 

160

 

Einstein Noah Restaurant Group, Inc.*

 

2,045

 

729

 

Empire Resorts, Inc.*

 

751

 

562

 

Entercom Communications Corp., Class A*

 

4,884

 

1,396

 

Entravision Communications Corp., Class A*

 

3,476

 

243

 

Ethan Allen Interiors, Inc.

 

4,007

 

530

 

Exide Technologies*

 

4,335

 

459

 

Express, Inc.*

 

6,922

 

435

 

Finish Line (The), Class A

 

7,765

 

389

 

Fuel Systems Solutions, Inc.*

 

13,444

 

443

 

G-III Apparel Group Ltd.*

 

12,125

 

70

 

Genesco, Inc.*

 

2,692

 

622

 

Global Sources Ltd.*

 

5,629

 

80

 

Gordmans Stores, Inc.*

 

1,021

 

890

 

Grand Canyon Education, Inc.*

 

16,946

 

155

 

Group 1 Automotive, Inc.

 

6,003

 

1,113

 

Harte-Hanks, Inc.

 

13,846

 

65

 

Haverty Furniture Cos., Inc.

 

781

 

378

 

hhgregg, Inc.*

 

9,476

 

828

 

Hibbett Sports, Inc.*

 

28,359

 

537

 

HOT Topic, Inc.

 

3,292

 

1,116

 

HSN, Inc.*

 

31,639

 

1,144

 

Interval Leisure Group, Inc.*

 

18,956

 

604

 

iRobot Corp.*

 

12,261

 

32

 

Isle of Capri Casinos, Inc.*

 

281

 

1,466

 

Jack in the Box, Inc.*

 

29,489

 

1,708

 

Jamba, Inc.*

 

3,450

 

786

 

Jo-Ann Stores, Inc.*

 

38,074

 

1,220

 

Joe’s Jeans, Inc.*

 

1,940

 

791

 

JoS. A. Bank Clothiers, Inc.*

 

35,627

 

160

 

Journal Communications, Inc., Class A*

 

726

 

722

 

K12, Inc.*

 

18,512

 

69

 

Kenneth Cole Productions, Inc., Class A*

 

934

 

71

 

Kid Brands, Inc.*

 

668

 

481

 

Kirkland’s, Inc.*

 

5,748

 

802

 

Knology, Inc.*

 

12,343

 

1,678

 

Krispy Kreme Doughnuts, Inc.*

 

10,051

 

383

 

K-Swiss, Inc., Class A*

 

4,795

 

135

 

Lacrosse Footwear, Inc.

 

2,082

 

161

 

La-Z-Boy, Inc.*

 

1,212

 

810

 

Leapfrog Enterprises, Inc.*

 

4,601

 

177

 

Learning Tree International, Inc.

 

1,756

 

1,289

 

Lee Enterprises, Inc.*

 

2,475

 

1,064

 

Life Time Fitness, Inc.*

 

41,964

 

67

 

LIN TV Corp., Class A*

 

303

 

472

 

Lincoln Educational Services Corp.*

 

6,920

 

1,394

 

Lions Gate Entertainment Corp.*

 

10,051

 

65

 

Lithia Motors, Inc., Class A

 

842

 

2,715

 

Liz Claiborne, Inc.*

 

19,847

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

222

 

LodgeNet Interactive Corp.*

 

$

688

 

639

 

Lumber Liquidators Holdings, Inc.*

 

15,042

 

658

 

Maidenform Brands, Inc.*

 

18,056

 

286

 

Marine Products Corp.*

 

1,825

 

763

 

Martha Stewart Living Omnimedia, Class A*

 

3,617

 

868

 

Matthews International Corp., Class A

 

28,193

 

1,713

 

McClatchy Co. (The), Class A*

 

5,413

 

172

 

McCormick & Schmick’s Seafood Restaurants, Inc.*

 

1,503

 

132

 

Media General, Inc., Class A*

 

562

 

409

 

Midas, Inc.*

 

3,190

 

69

 

Monarch Casino & Resort, Inc.*

 

829

 

570

 

Monro Muffler Brake, Inc.

 

28,181

 

219

 

Morgans Hotel Group Co.*

 

1,673

 

93

 

Multimedia Games, Inc.*

 

402

 

224

 

National American University Holdings, Inc.

 

1,537

 

1,523

 

National CineMedia, Inc.

 

28,419

 

138

 

National Presto Industries, Inc.

 

16,022

 

48

 

New York & Co., Inc.*

 

166

 

60

 

Nexstar Broadcasting Group, Inc., Class A*

 

324

 

773

 

NutriSystem, Inc.

 

15,978

 

882

 

OfficeMax, Inc.*

 

15,073

 

567

 

Orbitz Worldwide, Inc.*

 

3,096

 

422

 

Overstock.com, Inc.*

 

6,507

 

397

 

Oxford Industries, Inc.

 

9,806

 

665

 

P.F. Chang’s China Bistro, Inc.

 

33,609

 

470

 

Papa John’s International, Inc.*

 

12,037

 

337

 

Peet’s Coffee & Tea, Inc.*

 

12,850

 

480

 

Penske Automotive Group, Inc.*

 

7,243

 

19

 

Perry Ellis International, Inc.*

 

517

 

660

 

PetMed Express, Inc.

 

11,702

 

3,004

 

Pier 1 Imports, Inc.*

 

29,319

 

104

 

Pinnacle Entertainment, Inc.*

 

1,385

 

433

 

Playboy Enterprises, Inc., Class B*

 

2,113

 

894

 

Polaris Industries, Inc.

 

64,985

 

1,423

 

Pool Corp.

 

30,153

 

216

 

Pre-Paid Legal Services, Inc.*

 

13,971

 

144

 

PRIMEDIA, Inc.

 

724

 

536

 

Princeton Review, Inc.*

 

509

 

243

 

R.G. Barry Corp.

 

2,794

 

52

 

RC2 Corp.*

 

1,152

 

138

 

ReachLocal, Inc.*

 

2,379

 

269

 

Rentrak Corp.*

 

7,102

 

663

 

Retail Ventures, Inc.*

 

10,873

 

422

 

Rue21, Inc.*

 

12,664

 

861

 

Ruth’s Hospitality Group, Inc.*

 

4,253

 

2,454

 

Sally Beauty Holdings, Inc.*

 

33,742

 

949

 

Scientific Games Corp., Class A*

 

7,639

 

527

 

Sealy Corp.*

 

1,592

 

1,334

 

Select Comfort Corp.*

 

11,726

 

74

 

Shiloh Industries, Inc.*

 

824

 

47

 

Shoe Carnival, Inc.*

 

1,304

 

1,539

 

Shuffle Master, Inc.*

 

16,513

 

772

 

Shutterfly, Inc.*

 

25,476

 

95

 

Sinclair Broadcast Group, Inc., Class A

 

736

 

994

 

Skechers U.S.A., Inc., Class A*

 

22,951

 

1,617

 

Smith & Wesson Holding Corp.*

 

6,209

 

182

 

Sonic Automotive, Inc., Class A*

 

2,253

 

1,757

 

Sonic Corp.*

 

16,445

 

1,926

 

Sotheby’s

 

77,252

 

131

 

Standard Motor Products, Inc.

 

1,648

 

316

 

Stein Mart, Inc.*

 

3,128

 

426

 

Steiner Leisure Ltd.*

 

17,134

 

704

 

Steven Madden Ltd.*

 

31,856

 

439

 

Stoneridge, Inc.*

 

5,707

 

549

 

Sturm Ruger & Co., Inc.

 

8,784

 

310

 

Summer Infant, Inc.*

 

2,235

 

164

 

Superior Industries International, Inc.

 

3,188

 

368

 

SuperMedia, Inc.*

 

1,663

 

258

 

Systemax, Inc.*

 

3,349

 

1,761

 

Talbots, Inc.*

 

20,251

 

1,716

 

Tenneco, Inc.*

 

62,565

 

1,649

 

Texas Roadhouse, Inc.*

 

28,181

 

838

 

Timberland Co. (The), Class A*

 

20,766

 

730

 

True Religion Apparel, Inc.*

 

16,374

 

376

 

U.S. Auto Parts Network, Inc.*

 

3,004

 

902

 

Ulta Salon Cosmetics & Fragrance, Inc.*

 

31,525

 

1,011

 

Under Armour, Inc., Class A*

 

58,365

 

147

 

Universal Electronics, Inc.*

 

4,040

 

605

 

Universal Technical Institute, Inc.

 

12,530

 

1,431

 

Valassis Communications, Inc.*

 

46,579

 

39

 

Value Line, Inc.

 

562

 

413

 

Vitacost.com, Inc.*

 

2,561

 

458

 

Vitamin Shoppe, Inc.*

 

13,516

 

555

 

Volcom, Inc.

 

9,990

 

1,276

 

Warnaco Group, Inc. (The)*

 

68,713

 

397

 

Warner Music Group Corp.*

 

1,914

 

151

 

Westwood One, Inc.*

 

1,424

 

2,132

 

Wet Seal, Inc. (The), Class A*

 

6,972

 

97

 

Weyco Group, Inc.

 

2,348

 

69

 

Winmark Corp.

 

2,218

 

836

 

Winnebago Industries, Inc.*

 

8,761

 

1,425

 

Wolverine World Wide, Inc.

 

44,531

 

605

 

World Wrestling Entertainment, Inc., Class A

 

8,482

 

590

 

Zumiez, Inc.*

 

18,768

 

 

 

 

 

2,882,331

 

 

 

Consumer Staples - 1.9%

 

 

 

 

 

 

 

 

 

36

 

Alico, Inc.

 

833

 

34

 

Arden Group, Inc., Class A

 

2,754

 

758

 

B&G Foods, Inc.

 

9,687

 

248

 

Boston Beer Co., Inc., Class A*

 

20,257

 

51

 

Bridgford Foods Corp.

 

648

 

315

 

Calavo Growers, Inc.

 

7,273

 

366

 

Cal-Maine Foods, Inc.

 

11,222

 

416

 

Casey’s General Stores, Inc.

 

16,534

 

188

 

Cellu Tissue Holdings, Inc.*

 

2,241

 

121

 

Coca-Cola Bottling Co. Consolidated

 

7,078

 

1,762

 

Darling International, Inc.*

 

20,404

 

627

 

Diamond Foods, Inc.

 

29,181

 

11

 

Farmer Bros Co.

 

192

 

512

 

Female Health Co. (The)

 

2,923

 

257

 

Great Atlantic & Pacific Tea Co.*

 

771

 

2,549

 

Heckmann Corp.*

 

9,865

 

411

 

Inter Parfums, Inc.

 

7,505

 

386

 

J&J Snack Foods Corp.

 

17,659

 

556

 

Lancaster Colony Corp.

 

28,951

 

743

 

Lance, Inc.

 

17,394

 

139

 

Lifeway Foods, Inc.*

 

1,323

 

233

 

Limoneira Co.

 

5,082

 

388

 

Medifast, Inc.*

 

9,452

 

50

 

MGP Ingredients, Inc.

 

455

 

319

 

National Beverage Corp.

 

4,176

 

218

 

Nature’s Sunshine Products, Inc.*

 

1,886

 

1,414

 

Nu Skin Enterprises, Inc., Class A

 

44,696

 

26

 

Oil-Dri Corp. of America

 

583

 

49

 

Pantry, Inc. (The)*

 

1,006

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

613

 

Pilgrim’s Pride Corp.*

 

$

4,070

 

454

 

Pricesmart, Inc.

 

15,241

 

150

 

Revlon, Inc., Class A*

 

1,488

 

1,217

 

Rite Aid Corp.*

 

1,144

 

659

 

Ruddick Corp.

 

24,225

 

582

 

Sanderson Farms, Inc.

 

25,759

 

91

 

Schiff Nutrition International, Inc.

 

749

 

828

 

Smart Balance, Inc.*

 

3,030

 

2,771

 

Star Scientific, Inc.*

 

5,154

 

34

 

Susser Holdings Corp.*

 

457

 

548

 

Synutra International, Inc.*

 

6,998

 

624

 

Tootsie Roll Industries, Inc.

 

16,623

 

1,378

 

United Natural Foods, Inc.*

 

51,592

 

173

 

USANA Health Sciences, Inc.*

 

7,287

 

860

 

Vector Group Ltd.

 

15,729

 

86

 

Village Super Market, Inc., Class A

 

2,711

 

452

 

WD-40 Co.

 

17,669

 

 

 

 

 

481,957

 

 

 

Energy - 3.1%

 

 

 

 

 

 

 

 

 

699

 

Abraxas Petroleum Corp.*

 

2,978

 

1,443

 

American Oil & Gas, Inc.*

 

13,882

 

262

 

Apco Oil and Gas International, Inc.

 

9,890

 

663

 

BPZ Resources, Inc.*

 

2,612

 

3,344

 

Brigham Exploration Co.*

 

84,102

 

826

 

Callon Petroleum Co.*

 

4,890

 

1,369

 

CAMAC Energy, Inc.*

 

3,737

 

548

 

CARBO Ceramics, Inc.

 

53,238

 

894

 

Carrizo Oil & Gas, Inc.*

 

25,944

 

596

 

Cheniere Energy, Inc.*

 

3,320

 

152

 

Clayton Williams Energy, Inc.*

 

11,424

 

1,151

 

Clean Energy Fuels Corp.*

 

15,400

 

183

 

Cloud Peak Energy, Inc.*

 

3,837

 

222

 

Contango Oil & Gas Co.*

 

12,379

 

976

 

Dril-Quip, Inc.*

 

75,581

 

579

 

Endeavour International Corp.*

 

5,972

 

1,455

 

Energy XXI Bermuda Ltd.*

 

35,866

 

424

 

Evolution Petroleum Corp.*

 

2,557

 

1,243

 

FX Energy, Inc.*

 

7,346

 

65

 

Golar LNG Ltd.

 

904

 

777

 

Gulfport Energy Corp.*

 

14,483

 

99

 

Hallador Energy Co.

 

1,138

 

518

 

Houston American Energy Corp.

 

8,915

 

3,649

 

ION Geophysical Corp.*

 

26,236

 

33

 

Isramco, Inc.*

 

1,892

 

644

 

James River Coal Co.*

 

12,816

 

209

 

Key Energy Services, Inc.*

 

2,153

 

4,249

 

Kodiak Oil & Gas Corp.*

 

21,245

 

505

 

L&L Energy, Inc.*

 

5,338

 

860

 

Lufkin Industries, Inc.

 

43,542

 

1,512

 

Magnum Hunter Resources Corp.*

 

9,284

 

118

 

Matrix Service Co.*

 

1,172

 

2,388

 

McMoRan Exploration Co.*

 

35,653

 

176

 

Newpark Resources, Inc.*

 

1,007

 

1,268

 

Northern Oil and Gas, Inc.*

 

28,974

 

687

 

Oasis Petroleum, Inc.*

 

17,436

 

109

 

OYO Geospace Corp.*

 

8,269

 

206

 

Panhandle Oil and Gas, Inc., Class A

 

5,280

 

365

 

Petroquest Energy, Inc.*

 

2,529

 

1,461

 

RAM Energy Resources, Inc.*

 

2,542

 

6,195

 

Rentech, Inc.*

 

7,682

 

96

 

Resolute Energy Corp.*

 

1,235

 

153

 

Rex Energy Corp.*

 

1,813

 

928

 

Rosetta Resources, Inc.*

 

33,241

 

829

 

RPC, Inc.

 

24,290

 

301

 

Scorpio Tankers, Inc.*

 

2,995

 

88

 

Stone Energy Corp.*

 

1,818

 

1,991

 

Syntroleum Corp.*

 

3,683

 

237

 

Tetra Technologies, Inc.*

 

2,607

 

4,230

 

TransAtlantic Petroleum Ltd.*

 

13,663

 

1,740

 

Uranium Energy Corp.*

 

12,180

 

171

 

Vaalco Energy, Inc.*

 

1,264

 

130

 

Venoco, Inc.*

 

2,263

 

61

 

W&T Offshore, Inc.

 

1,022

 

323

 

Warren Resources, Inc.*

 

1,431

 

1,084

 

World Fuel Services Corp.

 

32,628

 

 

 

 

 

769,578

 

 

 

Financials - 3.1%

 

 

 

 

 

 

 

 

 

234

 

Acadia Realty Trust (REIT)

 

4,273

 

190

 

Advance America Cash Advance Centers, Inc.

 

904

 

38

 

Alexander’s, Inc. (REIT)

 

14,648

 

15

 

Arrow Financial Corp.

 

419

 

721

 

Artio Global Investors, Inc.

 

9,423

 

655

 

Associated Estates Realty Corp. (REIT)

 

9,792

 

51

 

Bank of the Ozarks, Inc.

 

1,932

 

1,638

 

BGC Partners, Inc., Class A

 

12,531

 

60

 

Bridge Bancorp, Inc.

 

1,462

 

774

 

Cardtronics, Inc.*

 

13,081

 

278

 

Cash America International, Inc.

 

10,064

 

523

 

CNO Financial Group, Inc.*

 

3,060

 

404

 

Cohen & Steers, Inc.

 

10,181

 

98

 

Compass Diversified Holdings

 

1,627

 

39

 

CompuCredit Holdings Corp.

 

234

 

686

 

Crawford & Co., Class B*

 

2,024

 

161

 

Credit Acceptance Corp.*

 

9,993

 

64

 

Diamond Hill Investment Group, Inc.

 

4,431

 

699

 

Dollar Financial Corp.*

 

18,300

 

783

 

Duff & Phelps Corp., Class A

 

10,469

 

437

 

DuPont Fabros Technology, Inc. (REIT)

 

9,872

 

345

 

EastGroup Properties, Inc. (REIT)

 

13,755

 

676

 

eHealth, Inc.*

 

10,174

 

277

 

Encore Capital Group, Inc.*

 

5,149

 

349

 

Epoch Holding Corp.

 

5,594

 

496

 

Equity Lifestyle Properties, Inc. (REIT)

 

26,725

 

144

 

Equity One, Inc. (REIT)

 

2,493

 

425

 

Evercore Partners, Inc., Class A

 

12,827

 

1,229

 

EZCORP, Inc., Class A*

 

30,922

 

1,355

 

FelCor Lodging Trust, Inc. (REIT)*

 

8,035

 

371

 

Financial Engines, Inc.*

 

6,277

 

179

 

First American Financial Corp.

 

2,536

 

865

 

First Cash Financial Services, Inc.*

 

24,903

 

263

 

First Financial Bankshares, Inc.

 

12,721

 

121

 

GAMCO Investors, Inc., Class A

 

5,330

 

271

 

Getty Realty Corp. (REIT)

 

8,079

 

1,112

 

GFI Group, Inc.

 

5,160

 

1,102

 

Gleacher & Co., Inc.*

 

2,766

 

10

 

Heritage Financial Group, Inc.

 

103

 

325

 

HFF, Inc., Class A*

 

3,010

 

353

 

Home Properties, Inc. (REIT)

 

18,917

 

40

 

Hudson Pacific Properties, Inc. (REIT)

 

610

 

189

 

Investors Bancorp, Inc.*

 

2,315

 

35

 

JMP Group, Inc.

 

245

 

691

 

KBW, Inc.

 

16,045

 

560

 

Kennedy-Wilson Holdings, Inc.*

 

5,482

 

2,620

 

Ladenburg Thalmann Financial Services, Inc.*

 

3,196

 

187

 

Life Partners Holdings, Inc.

 

4,000

 

131

 

LTC Properties, Inc. (REIT)

 

3,536

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

794

 

MarketAxess Holdings, Inc.

 

$

14,443

 

580

 

Mid-America Apartment Communities, Inc. (REIT)

 

35,595

 

43

 

MVC Capital, Inc.

 

586

 

301

 

National Health Investors, Inc. (REIT)

 

13,244

 

66

 

Nelnet, Inc., Class A

 

1,409

 

58

 

NewStar Financial, Inc.*

 

490

 

518

 

Omega Healthcare Investors, Inc. (REIT)

 

10,935

 

1,214

 

optionsXpress Holdings, Inc.*

 

20,990

 

490

 

Oritani Financial Corp.

 

5,503

 

487

 

Portfolio Recovery Associates, Inc.*

 

30,861

 

598

 

Potlatch Corp. (REIT)

 

18,945

 

103

 

PS Business Parks, Inc. (REIT)

 

5,337

 

220

 

Pzena Investment Management, Inc., Class A

 

1,564

 

411

 

Rodman & Renshaw Capital Group, Inc.*

 

978

 

50

 

S. Y. Bancorp, Inc.

 

1,196

 

58

 

Safeguard Scientifics, Inc.*

 

854

 

121

 

Saul Centers, Inc. (REIT)

 

5,151

 

1,175

 

Signature Bank/NY*

 

51,641

 

888

 

Stifel Financial Corp.*

 

46,025

 

1,001

 

Strategic Hotels & Resorts, Inc. (REIT)*

 

4,675

 

80

 

Suffolk Bancorp

 

2,054

 

667

 

Tanger Factory Outlet Centers (REIT)

 

32,003

 

127

 

Tejon Ranch Co.*

 

3,072

 

525

 

Tower Group, Inc.

 

13,503

 

300

 

TradeStation Group, Inc.*

 

1,908

 

115

 

TrustCo Bank Corp NY

 

645

 

166

 

Universal Health Realty Income Trust (REIT)

 

5,822

 

85

 

Urstadt Biddle Properties, Inc., Class A (REIT)

 

1,564

 

149

 

ViewPoint Financial Group

 

1,563

 

134

 

Virtus Investment Partners, Inc.*

 

6,003

 

436

 

Washington Real Estate Investment Trust (REIT)

 

13,376

 

373

 

Westamerica Bancorp.

 

18,232

 

154

 

Westwood Holdings Group, Inc.

 

5,527

 

234

 

World Acceptance Corp.*

 

10,310

 

 

 

 

 

775,629

 

 

 

Health Care - 11.8%

 

 

 

 

 

 

 

 

 

634

 

Abaxis, Inc.*

 

17,118

 

898

 

Abiomed, Inc.*

 

10,309

 

839

 

Accelrys, Inc.*

 

7,064

 

334

 

Accretive Health, Inc.*

 

4,572

 

1,468

 

Accuray, Inc.*

 

8,779

 

1,112

 

Acorda Therapeutics, Inc.*

 

29,301

 

264

 

Acura Pharmaceuticals, Inc.*

 

697

 

591

 

Affymax, Inc.*

 

3,995

 

210

 

Affymetrix, Inc.*

 

874

 

321

 

Air Methods Corp.*

 

15,803

 

1,586

 

Akorn, Inc.*

 

8,422

 

1,255

 

Alexza Pharmaceuticals, Inc.*

 

1,134

 

1,702

 

Align Technology, Inc.*

 

29,768

 

188

 

Alimera Sciences, Inc.*

 

2,151

 

758

 

Alkermes, Inc.*

 

7,944

 

790

 

Alliance HealthCare Services, Inc.*

 

2,963

 

89

 

Allied Healthcare International, Inc.*

 

258

 

2,258

 

Allos Therapeutics, Inc.*

 

9,168

 

235

 

Almost Family, Inc.*

 

8,328

 

1,046

 

Alnylam Pharmaceuticals, Inc.*

 

9,571

 

1,134

 

Alphatec Holdings, Inc.*

 

2,552

 

604

 

AMAG Pharmaceuticals, Inc.*

 

9,477

 

820

 

Amedisys, Inc.*

 

23,272

 

258

 

America Service Group, Inc.

 

3,787

 

27

 

American Dental Partners, Inc.*

 

333

 

2,165

 

American Medical Systems Holdings, Inc.*

 

38,818

 

193

 

AMERIGROUP Corp.*

 

8,305

 

498

 

AMN Healthcare Services, Inc.*

 

2,789

 

265

 

Analogic Corp.

 

12,315

 

2,024

 

Antares Pharma, Inc.*

 

2,894

 

165

 

Anthera Pharmaceuticals, Inc.*

 

903

 

694

 

Aoxing Pharmaceutical Co., Inc.*

 

1,700

 

382

 

Ardea Biosciences, Inc.*

 

8,492

 

3,224

 

Arena Pharmaceuticals, Inc.*

 

4,675

 

3,180

 

Ariad Pharmaceuticals, Inc.*

 

12,815

 

1,193

 

Arqule, Inc.*

 

6,478

 

1,526

 

Array Biopharma, Inc.*

 

4,898

 

774

 

ArthroCare Corp.*

 

23,437

 

1,026

 

AspenBio Pharma, Inc.*

 

626

 

951

 

athenahealth, Inc.*

 

39,001

 

45

 

Atrion Corp.

 

7,386

 

1,198

 

Auxilium Pharmaceuticals, Inc.*

 

22,678

 

2,071

 

AVANIR Pharmaceuticals, Inc., Class A*

 

8,864

 

266

 

AVEO Pharmaceuticals, Inc.*

 

3,932

 

3,171

 

AVI BioPharma, Inc.*

 

5,835

 

829

 

BioCryst Pharmaceuticals, Inc.*

 

4,095

 

531

 

Biodel, Inc.*

 

903

 

517

 

BioMimetic Therapeutics, Inc.*

 

5,770

 

688

 

Bio-Reference Labs, Inc.*

 

14,427

 

2,022

 

BioSante Pharmaceuticals, Inc.*

 

2,972

 

824

 

BioScrip, Inc.*

 

3,312

 

114

 

BioSpecifics Technologies Corp.*

 

2,586

 

611

 

BioTime, Inc.*

 

4,888

 

147

 

BMP Sunstone Corp.*

 

1,452

 

2,086

 

Bruker Corp.*

 

32,166

 

714

 

Cadence Pharmaceuticals, Inc.*

 

5,119

 

1,288

 

Caliper Life Sciences, Inc.*

 

7,561

 

21

 

Caraco Pharmaceutical Laboratories Ltd.*

 

100

 

173

 

CardioNet, Inc.*

 

699

 

1,091

 

Catalyst Health Solutions, Inc.*

 

46,826

 

188

 

Celera Corp.*

 

1,066

 

913

 

Celldex Therapeutics, Inc.*

 

3,789

 

1,707

 

Cepheid, Inc.*

 

33,611

 

1,118

 

Cerus Corp.*

 

2,694

 

1,105

 

Chelsea Therapeutics International Ltd.*

 

6,000

 

656

 

Chemed Corp.

 

39,977

 

166

 

Chindex International, Inc.*

 

2,528

 

1,580

 

Clarient, Inc.*

 

7,900

 

337

 

Clinical Data, Inc.*

 

6,160

 

175

 

Codexis, Inc.*

 

1,649

 

281

 

Computer Programs & Systems, Inc.

 

13,120

 

892

 

Conceptus, Inc.*

 

11,730

 

628

 

Continucare Corp.*

 

2,964

 

780

 

Corcept Therapeutics, Inc.*

 

3,042

 

200

 

Corvel Corp.*

 

9,138

 

79

 

CryoLife, Inc.*

 

446

 

1,678

 

Cubist Pharmaceuticals, Inc.*

 

36,429

 

355

 

Cumberland Pharmaceuticals, Inc.*

 

2,435

 

2,172

 

Curis, Inc.*

 

3,649

 

24

 

Cutera, Inc.*

 

168

 

798

 

Cyberonics, Inc.*

 

21,442

 

134

 

Cypress Bioscience, Inc.*

 

533

 

1,228

 

Cytokinetics, Inc.*

 

2,714

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,320

 

Cytori Therapeutics, Inc.*

 

$

5,927

 

3,135

 

CytRx Corp.*

 

3,260

 

1,254

 

Delcath Systems, Inc.*

 

12,615

 

1,505

 

Depomed, Inc.*

 

8,217

 

1,650

 

DexCom, Inc.*

 

18,604

 

506

 

Dionex Corp.*

 

46,132

 

2,493

 

Durect Corp.*

 

7,429

 

2,806

 

Dyax Corp.*

 

6,342

 

2,057

 

Dynavax Technologies Corp.*

 

4,114

 

32

 

DynaVox, Inc., Class A*

 

126

 

545

 

Emergent Biosolutions, Inc.*

 

9,984

 

573

 

Emeritus Corp.*

 

10,331

 

1,398

 

Endologix, Inc.*

 

7,941

 

390

 

Ensign Group, Inc. (The)

 

8,389

 

856

 

Enzo Biochem, Inc.*

 

3,766

 

882

 

Enzon Pharmaceuticals, Inc.*

 

9,808

 

1,402

 

eResearchTechnology, Inc.*

 

7,865

 

525

 

Eurand N.V.*

 

5,759

 

1,021

 

Exact Sciences Corp.*

 

6,065

 

164

 

Exactech, Inc.*

 

2,922

 

1,672

 

Exelixis, Inc.*

 

9,681

 

222

 

Furiex Pharmaceuticals, Inc.*

 

2,735

 

402

 

Genomic Health, Inc.*

 

7,417

 

503

 

Genoptix, Inc.*

 

8,586

 

280

 

Gentiva Health Services, Inc.*

 

6,434

 

2,821

 

Geron Corp.*

 

16,164

 

722

 

Haemonetics Corp.*

 

42,446

 

2,062

 

Halozyme Therapeutics, Inc.*

 

14,269

 

380

 

Hanger Orthopedic Group, Inc.*

 

7,288

 

1,221

 

Hansen Medical, Inc.*

 

1,758

 

2,535

 

HealthSouth Corp.*

 

45,630

 

269

 

HeartWare International, Inc.*

 

24,737

 

259

 

Hi-Tech Pharmacal Co., Inc.*

 

6,159

 

780

 

HMS Holdings Corp.*

 

49,148

 

80

 

ICU Medical, Inc.*

 

2,932

 

1,026

 

Idenix Pharmaceuticals, Inc.*

 

3,909

 

2,008

 

Immucor, Inc.*

 

36,887

 

1,947

 

Immunogen, Inc.*

 

16,199

 

1,886

 

Immunomedics, Inc.*

 

5,941

 

1,608

 

Impax Laboratories, Inc.*

 

28,783

 

2,526

 

Incyte Corp.*

 

36,652

 

295

 

Infinity Pharmaceuticals, Inc.*

 

1,856

 

1,413

 

Inhibitex, Inc.*

 

4,140

 

1,380

 

Inovio Pharmaceuticals, Inc.*

 

1,628

 

1,709

 

Inspire Pharmaceuticals, Inc.*

 

11,929

 

1,153

 

Insulet Corp.*

 

15,646

 

604

 

Integra LifeSciences Holdings Corp.*

 

26,196

 

1,306

 

InterMune, Inc.*

 

16,403

 

49

 

Invacare Corp.

 

1,323

 

466

 

IPC The Hospitalist Co., Inc.*

 

15,108

 

466

 

IRIS International, Inc.*

 

4,376

 

555

 

Ironwood Pharmaceuticals, Inc.*

 

5,933

 

2,704

 

Isis Pharmaceuticals, Inc.*

 

25,512

 

405

 

Jazz Pharmaceuticals, Inc.*

 

6,743

 

25

 

Kendle International, Inc.*

 

225

 

210

 

Kensey Nash Corp.*

 

5,699

 

1,466

 

Keryx Biopharmaceuticals, Inc.*

 

8,004

 

270

 

Landauer, Inc.

 

17,715

 

90

 

Lannett Co., Inc.*

 

498

 

536

 

LCA-Vision, Inc.*

 

2,777

 

1,920

 

Lexicon Pharmaceuticals, Inc.*

 

2,611

 

449

 

LHC Group, Inc.*

 

11,876

 

563

 

Ligand Pharmaceuticals, Inc., Class B*

 

4,752

 

1,077

 

Luminex Corp.*

 

18,180

 

733

 

MAKO Surgical Corp.*

 

8,408

 

1,914

 

MannKind Corp.*

 

12,020

 

452

 

MAP Pharmaceuticals, Inc.*

 

6,495

 

1,491

 

Masimo Corp.

 

46,012

 

84

 

Maxygen, Inc.*

 

544

 

1,236

 

MedAssets, Inc.*

 

22,922

 

843

 

Medicines Co. (The)*

 

11,111

 

540

 

Medidata Solutions, Inc.*

 

10,746

 

977

 

Medivation, Inc.*

 

11,069

 

325

 

MedQuist, Inc.

 

2,899

 

725

 

MELA Sciences, Inc.*

 

2,581

 

1,484

 

Merge Healthcare, Inc.*

 

5,728

 

1,167

 

Meridian Bioscience, Inc.

 

25,931

 

734

 

Merit Medical Systems, Inc.*

 

11,186

 

768

 

Metabolix, Inc.*

 

7,864

 

1,147

 

Metropolitan Health Networks, Inc.*

 

4,944

 

2,322

 

Micromet, Inc.*

 

16,858

 

260

 

Molina Healthcare, Inc.*

 

6,601

 

1,155

 

Momenta Pharmaceuticals, Inc.*

 

17,614

 

353

 

MWI Veterinary Supply, Inc.*

 

21,568

 

1,286

 

Nabi Biopharmaceuticals*

 

6,687

 

489

 

Nanosphere, Inc.*

 

2,557

 

51

 

National Research Corp.

 

1,444

 

818

 

Natus Medical, Inc.*

 

10,519

 

2,702

 

Nektar Therapeutics*

 

34,234

 

648

 

Neogen Corp.*

 

24,073

 

779

 

NeoStem, Inc.*

 

1,013

 

1,322

 

Neuralstem, Inc.*

 

2,657

 

1,408

 

Neurocrine Biosciences, Inc.*

 

10,250

 

317

 

NeurogesX, Inc.*

 

1,699

 

2,597

 

Novavax, Inc.*

 

5,791

 

1,922

 

NPS Pharmaceuticals, Inc.*

 

11,936

 

83

 

NuPathe, Inc.*

 

496

 

1,125

 

NuVasive, Inc.*

 

26,280

 

661

 

NxStage Medical, Inc.*

 

14,304

 

468

 

Nymox Pharmaceutical Corp.*

 

1,914

 

492

 

Obagi Medical Products, Inc.*

 

5,373

 

538

 

Omeros Corp.*

 

4,363

 

934

 

Omnicell, Inc.*

 

12,516

 

1,799

 

Onyx Pharmaceuticals, Inc.*

 

52,981

 

2,544

 

Opko Health, Inc.*

 

7,683

 

958

 

Optimer Pharmaceuticals, Inc.*

 

9,072

 

1,327

 

OraSure Technologies, Inc.*

 

6,967

 

872

 

Orexigen Therapeutics, Inc.*

 

4,543

 

506

 

Orthofix International N.V.*

 

13,758

 

1,915

 

Orthovita, Inc.*

 

3,811

 

483

 

Osiris Therapeutics, Inc.*

 

3,168

 

1,430

 

Owens & Minor, Inc.

 

40,398

 

1,020

 

Pain Therapeutics, Inc.*

 

8,129

 

308

 

Palomar Medical Technologies, Inc.*

 

3,835

 

1,677

 

Parexel International Corp.*

 

29,448

 

206

 

PDI, Inc.*

 

1,949

 

4,013

 

PDL BioPharma, Inc.

 

23,195

 

1,582

 

Peregrine Pharmaceuticals, Inc.*

 

2,436

 

1,246

 

Pharmacyclics, Inc.*

 

6,753

 

842

 

Pharmasset, Inc.*

 

36,475

 

338

 

PharMerica Corp.*

 

3,671

 

763

 

Pozen, Inc.*

 

4,883

 

580

 

Progenics Pharmaceuticals, Inc.*

 

2,755

 

129

 

Prospect Medical Holdings, Inc.*

 

1,089

 

371

 

Providence Service Corp. (The)*

 

6,237

 

1,642

 

PSS World Medical, Inc.*

 

33,825

 

1,001

 

Pure Bioscience*

 

2,152

 

542

 

Quality Systems, Inc.

 

34,954

 

1,581

 

Questcor Pharmaceuticals, Inc.*

 

22,513

 

621

 

Quidel Corp.*

 

8,203

 

128

 

RehabCare Group, Inc.*

 

2,589

 

1,493

 

Rigel Pharmaceuticals, Inc.*

 

11,914

 

268

 

Rochester Medical Corp.*

 

2,964

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

90

 

RTI Biologics, Inc.*

 

$

244

 

548

 

Rural/Metro Corp.*

 

6,209

 

1,637

 

Salix Pharmaceuticals Ltd.*

 

73,092

 

1,296

 

Sangamo Biosciences, Inc.*

 

6,039

 

1,505

 

Santarus, Inc.*

 

4,154

 

1,939

 

Savient Pharmaceuticals, Inc.*

 

22,900

 

1,070

 

Sciclone Pharmaceuticals, Inc.*

 

4,002

 

2,401

 

Seattle Genetics, Inc.*

 

36,255

 

2,156

 

Sequenom, Inc.*

 

14,812

 

899

 

SIGA Technologies, Inc.*

 

11,327

 

962

 

Sirona Dental Systems, Inc.*

 

36,354

 

503

 

Solta Medical, Inc.*

 

1,021

 

814

 

Somaxon Pharmaceuticals, Inc.*

 

2,190

 

419

 

SonoSite, Inc.*

 

12,729

 

950

 

Spectranetics Corp. (The)*

 

4,646

 

1,422

 

Spectrum Pharmaceuticals, Inc.*

 

6,328

 

127

 

St. Jude Medical, Inc.*

 

4,930

 

1,002

 

Staar Surgical Co.*

 

5,361

 

3,438

 

StemCells, Inc.*

 

3,644

 

820

 

Stereotaxis, Inc.*

 

2,829

 

1,616

 

STERIS Corp.

 

55,607

 

17

 

Sucampo Pharmaceuticals, Inc., Class A*

 

59

 

1,605

 

Sunrise Senior Living, Inc.*

 

5,906

 

112

 

SuperGen, Inc.*

 

297

 

289

 

SurModics, Inc.*

 

2,673

 

245

 

Syneron Medical Ltd.*

 

2,364

 

325

 

Synovis Life Technologies, Inc.*

 

5,249

 

641

 

Synta Pharmaceuticals Corp.*

 

2,750

 

685

 

Targacept, Inc.*

 

14,522

 

440

 

Team Health Holdings, Inc.*

 

6,072

 

1,795

 

Theravance, Inc.*

 

44,839

 

466

 

TomoTherapy, Inc.*

 

1,631

 

262

 

Transcend Services, Inc.*

 

4,192

 

115

 

Transcept Pharmaceuticals, Inc.*

 

741

 

274

 

U.S. Physical Therapy, Inc.*

 

5,258

 

1,390

 

Unilife Corp.*

 

7,548

 

801

 

Vanda Pharmaceuticals, Inc.*

 

6,456

 

481

 

Vascular Solutions, Inc.*

 

5,089

 

2,047

 

Vical, Inc.*

 

4,012

 

301

 

Vital Images, Inc.*

 

4,039

 

2,323

 

Vivus, Inc.*

 

15,100

 

1,444

 

Volcano Corp.*

 

38,338

 

955

 

West Pharmaceutical Services, Inc.

 

36,214

 

703

 

Wright Medical Group, Inc.*

 

9,273

 

788

 

XenoPort, Inc.*

 

6,107

 

56

 

Young Innovations, Inc.

 

1,692

 

1,889

 

Zalicus, Inc.*

 

2,229

 

1,403

 

ZIOPHARM Oncology, Inc.*

 

5,766

 

616

 

Zoll Medical Corp.*

 

20,587

 

 

 

 

 

2,946,255

 

 

 

Industrials - 11.1%

 

 

 

 

 

 

 

 

 

523

 

3D Systems Corp.*

 

14,717

 

972

 

A. O. Smith Corp.

 

38,307

 

2,086

 

A123 Systems, Inc.*

 

16,041

 

355

 

AAON, Inc.

 

9,106

 

404

 

ABM Industries, Inc.

 

9,304

 

970

 

Acacia Research - Acacia Technologies*

 

26,433

 

1,951

 

Actuant Corp., Class A

 

46,102

 

1,250

 

Acuity Brands, Inc.

 

67,325

 

625

 

Administaff, Inc.

 

17,681

 

1,108

 

Advanced Battery Technologies, Inc.*

 

4,188

 

444

 

Advisory Board Co. (The)*

 

21,072

 

475

 

Aerovironment, Inc.*

 

11,733

 

12

 

Alamo Group, Inc.

 

307

 

58

 

Alaska Air Group, Inc.*

 

3,190

 

148

 

Albany International Corp., Class A

 

3,123

 

437

 

Allegiant Travel Co.

 

21,819

 

770

 

Altra Holdings, Inc.*

 

12,921

 

128

 

Ameresco, Inc., Class A*

 

1,658

 

150

 

American Reprographics Co.*

 

1,054

 

259

 

American Science & Engineering, Inc.

 

20,881

 

1,289

 

American Superconductor Corp.*

 

42,898

 

19

 

American Woodmark Corp.

 

395

 

23

 

Ampco-Pittsburgh Corp.

 

606

 

914

 

APAC Customer Services, Inc.*

 

5,411

 

2,227

 

Applied Energetics, Inc.*

 

1,782

 

1,216

 

Applied Industrial Technologies, Inc.

 

36,334

 

180

 

Applied Signal Technology, Inc.

 

5,915

 

39

 

Argan, Inc.*

 

332

 

2,703

 

ArvinMeritor, Inc.*

 

48,249

 

250

 

Astronics Corp.*

 

5,142

 

2,949

 

Avis Budget Group, Inc.*

 

39,192

 

335

 

AZZ, Inc.

 

12,485

 

430

 

Badger Meter, Inc.

 

18,241

 

1,266

 

Baldor Electric Co.

 

80,150

 

1,230

 

Barnes Group, Inc.

 

23,481

 

153

 

Barrett Business Services, Inc.

 

2,269

 

1,309

 

Beacon Roofing Supply, Inc.*

 

22,502

 

1,343

 

Belden, Inc.

 

44,695

 

1,374

 

Blount International, Inc.*

 

21,242

 

314

 

BlueLinx Holdings, Inc.*

 

1,178

 

895

 

Briggs & Stratton Corp.

 

15,582

 

1,160

 

Brink’s Co. (The)

 

28,466

 

675

 

Broadwind Energy, Inc.*

 

1,289

 

207

 

Builders FirstSource, Inc.*

 

327

 

106

 

CAI International, Inc.*

 

2,168

 

6,908

 

Capstone Turbine Corp.*

 

5,402

 

717

 

Casella Waste Systems, Inc., Class A*

 

3,270

 

691

 

CBIZ, Inc.*

 

4,160

 

49

 

CDI Corp.

 

840

 

348

 

Celadon Group, Inc.*

 

4,688

 

1,581

 

Cenveo, Inc.*

 

8,095

 

28

 

CIRCOR International, Inc.

 

1,106

 

1,356

 

CLARCOR, Inc.

 

55,203

 

663

 

Clean Harbors, Inc.*

 

49,095

 

215

 

Coleman Cable, Inc.*

 

1,236

 

691

 

Colfax Corp.*

 

11,664

 

26

 

Compx International, Inc.

 

308

 

268

 

Consolidated Graphics, Inc.*

 

12,746

 

984

 

Corporate Executive Board Co. (The)

 

34,135

 

594

 

CoStar Group, Inc.*

 

31,328

 

55

 

CRA International, Inc.*

 

1,215

 

194

 

Cubic Corp.

 

8,852

 

1,383

 

Deluxe Corp.

 

29,306

 

792

 

DigitalGlobe, Inc.*

 

23,388

 

378

 

Dolan Co. (The)*

 

5,179

 

823

 

Dollar Thrifty Automotive Group, Inc.*

 

37,792

 

237

 

DXP Enterprises, Inc.*

 

5,100

 

128

 

Dynamex, Inc.*

 

3,091

 

153

 

Dynamic Materials Corp.

 

2,462

 

1,751

 

Ener1, Inc.*

 

7,617

 

1,048

 

Energy Recovery, Inc.*

 

3,490

 

566

 

EnerNOC, Inc.*

 

13,884

 

397

 

EnerSys*

 

11,985

 

154

 

Ennis, Inc.

 

2,629

 

247

 

EnPro Industries, Inc.*

 

9,053

 

375

 

Exponent, Inc.*

 

13,095

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

1,156

 

Flow International Corp.*

 

$

3,826

 

833

 

Forward Air Corp.

 

22,924

 

377

 

Franklin Covey Co.*

 

3,027

 

614

 

Franklin Electric Co., Inc.

 

23,891

 

2,738

 

FuelCell Energy, Inc.*

 

3,094

 

939

 

Furmanite Corp.*

 

6,226

 

108

 

GenCorp, Inc.*

 

530

 

200

 

Generac Holdings, Inc.*

 

2,972

 

1,114

 

Genesee & Wyoming, Inc., Class A*

 

52,904

 

968

 

Geo Group, Inc. (The)*

 

23,329

 

634

 

GeoEye, Inc.*

 

25,271

 

52

 

Global Defense Technology & Systems, Inc.*

 

709

 

350

 

Gorman-Rupp Co. (The)

 

10,405

 

120

 

GP Strategies Corp.*

 

1,106

 

3,459

 

GrafTech International Ltd.*

 

67,796

 

283

 

Graham Corp.

 

4,630

 

590

 

Great Lakes Dredge & Dock Corp.

 

4,531

 

354

 

Hawaiian Holdings, Inc.*

 

2,797

 

142

 

Hawk Corp., Class A*

 

7,096

 

1,887

 

Healthcare Services Group, Inc.

 

30,060

 

1,449

 

Heartland Express, Inc.

 

22,387

 

843

 

HEICO Corp.

 

44,342

 

42

 

Heidrick & Struggles International, Inc.

 

872

 

1,636

 

Herman Miller, Inc.

 

35,239

 

2,291

 

Hexcel Corp.*

 

39,291

 

204

 

Higher One Holdings, Inc.*

 

4,133

 

176

 

Hill International, Inc.*

 

912

 

1,299

 

HNI Corp.

 

34,605

 

45

 

Hoku Corp.*

 

114

 

509

 

Houston Wire & Cable Co.

 

5,421

 

1,073

 

HUB Group, Inc., Class A*

 

35,012

 

924

 

Hudson Highland Group, Inc.*

 

3,770

 

199

 

Huron Consulting Group, Inc.*

 

4,519

 

169

 

ICF International, Inc.*

 

4,046

 

721

 

II-VI, Inc.*

 

29,438

 

682

 

InnerWorkings, Inc.*

 

4,208

 

969

 

Insituform Technologies, Inc., Class A*

 

21,454

 

27

 

Insteel Industries, Inc.

 

280

 

1,450

 

Interface, Inc., Class A

 

20,938

 

84

 

Interline Brands, Inc.*

 

1,730

 

809

 

John Bean Technologies Corp.

 

14,926

 

95

 

Kadant, Inc.*

 

1,823

 

398

 

Kaman Corp.

 

11,212

 

961

 

Kaydon Corp.

 

33,616

 

81

 

Kelly Services, Inc., Class A*

 

1,448

 

883

 

Kforce, Inc.*

 

13,342

 

1,708

 

Knight Transportation, Inc.

 

32,930

 

1,350

 

Knoll, Inc.

 

20,722

 

75

 

Korn/Ferry International*

 

1,299

 

298

 

LaBarge, Inc.*

 

4,223

 

96

 

LECG Corp.*

 

90

 

359

 

Lindsay Corp.

 

21,195

 

16

 

M&F Worldwide Corp.*

 

377

 

68

 

Marten Transport Ltd.

 

1,462

 

282

 

McGrath RentCorp

 

7,873

 

28

 

Met-Pro Corp.

 

309

 

28

 

Michael Baker Corp.*

 

899

 

477

 

Middleby Corp.*

 

38,384

 

560

 

Mine Safety Appliances Co.

 

16,139

 

414

 

Mistras Group, Inc.*

 

4,927

 

146

 

Mueller Industries, Inc.

 

4,452

 

4,145

 

Mueller Water Products, Inc., Class A

 

14,590

 

18

 

Multi-Color Corp.

 

352

 

83

 

MYR Group, Inc.*

 

1,309

 

153

 

NACCO Industries, Inc., Class A

 

14,169

 

336

 

Navigant Consulting, Inc.*

 

2,796

 

562

 

NCI Building Systems, Inc.*

 

5,850

 

980

 

Nordson Corp.

 

77,841

 

1,084

 

Old Dominion Freight Line, Inc.*

 

31,306

 

79

 

Omega Flex, Inc.

 

1,341

 

111

 

On Assignment, Inc.*

 

763

 

679

 

Orbital Sciences Corp.*

 

11,068

 

772

 

Orion Marine Group, Inc.*

 

10,376

 

1,004

 

Pacer International, Inc.*

 

5,612

 

225

 

Park-Ohio Holdings Corp.*

 

4,354

 

3

 

Patriot Transportation Holding, Inc.*

 

223

 

171

 

PGT, Inc.*

 

376

 

423

 

PMFG, Inc.*

 

6,303

 

625

 

Polypore International, Inc.*

 

19,862

 

524

 

PowerSecure International, Inc.*

 

4,517

 

6

 

Preformed Line Products Co.

 

279

 

73

 

Primoris Services Corp.

 

645

 

79

 

Quality Distribution, Inc.*

 

548

 

226

 

Quanex Building Products Corp.

 

3,738

 

466

 

Raven Industries, Inc.

 

20,690

 

624

 

RBC Bearings, Inc.*

 

23,019

 

1,331

 

Resources Connection, Inc.

 

22,268

 

185

 

Roadrunner Transportation Systems, Inc.*

 

2,346

 

1,233

 

Rollins, Inc.

 

33,316

 

3,319

 

Satcon Technology Corp.*

 

11,716

 

332

 

Sauer-Danfoss, Inc.*

 

10,089

 

275

 

Schawk, Inc.

 

4,933

 

193

 

School Specialty, Inc.*

 

2,438

 

200

 

SFN Group, Inc.*

 

1,714

 

1,061

 

Simpson Manufacturing Co., Inc.

 

27,448

 

446

 

Standard Parking Corp.*

 

7,921

 

514

 

Standard Register Co. (The)

 

1,527

 

66

 

Standex International Corp.

 

1,973

 

255

 

Steelcase, Inc., Class A

 

2,443

 

359

 

Sun Hydraulics Corp.

 

11,186

 

135

 

SYKES Enterprises, Inc.*

 

2,484

 

110

 

TAL International Group, Inc.

 

3,116

 

1,798

 

Taser International, Inc.*

 

7,246

 

40

 

Team, Inc.*

 

814

 

285

 

Teledyne Technologies, Inc.*

 

11,463

 

542

 

Tennant Co.

 

18,504

 

1,773

 

Tetra Tech, Inc.*

 

40,974

 

273

 

Textainer Group Holdings Ltd.

 

7,595

 

17

 

Thermadyne Holdings Corp.*

 

254

 

158

 

Titan International, Inc.

 

2,525

 

117

 

Titan Machinery, Inc.*

 

2,453

 

53

 

Tredegar Corp.

 

987

 

444

 

Trex Co., Inc.*

 

8,192

 

431

 

Trimas Corp.*

 

8,598

 

802

 

TrueBlue, Inc.*

 

13,217

 

32

 

Twin Disc, Inc.

 

781

 

438

 

United Stationers, Inc.*

 

27,800

 

1,036

 

UQM Technologies, Inc.*

 

2,062

 

490

 

US Ecology, Inc.

 

7,698

 

78

 

Viad Corp.

 

1,853

 

560

 

Vicor Corp.

 

9,397

 

400

 

Volt Information Sciences, Inc.*

 

2,672

 

61

 

VSE Corp.

 

1,853

 

800

 

Watsco, Inc.

 

48,216

 

80

 

Watts Water Technologies, Inc., Class A

 

2,604

 

179

 

Werner Enterprises, Inc.

 

3,863

 

1,751

 

Woodward Governor Co.

 

59,096

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

176

 

Xerium Technologies, Inc.*

 

$

2,292

 

 

 

 

 

2,752,044

 

 

 

Information Technology - 18.0%

 

 

 

 

 

 

 

 

 

977

 

ACI Worldwide, Inc.*

 

24,806

 

1,258

 

Acme Packet, Inc.*

 

61,617

 

1,303

 

Actuate Corp.*

 

7,349

 

1,964

 

Acxiom Corp.*

 

33,408

 

2,382

 

ADC Telecommunications, Inc.*

 

30,299

 

1,786

 

ADTRAN, Inc.

 

55,616

 

253

 

Advanced Analogic Technologies, Inc.*

 

926

 

659

 

Advanced Energy Industries, Inc.*

 

7,697

 

453

 

Advent Software, Inc.*

 

23,366

 

27

 

Agilysys, Inc.*

 

139

 

14

 

Alpha & Omega Semiconductor Ltd.*

 

165

 

634

 

American Software, Inc., Class A

 

4,254

 

3,014

 

Amkor Technology, Inc.*

 

20,977

 

1,377

 

ANADIGICS, Inc.*

 

8,840

 

47

 

Anaren, Inc.*

 

856

 

543

 

Ancestry.com, Inc.*

 

15,519

 

403

 

Anixter International, Inc.

 

22,516

 

1,881

 

Applied Micro Circuits Corp.*

 

17,456

 

337

 

Archipelago Learning, Inc.*

 

2,908

 

2,582

 

Ariba, Inc.*

 

52,247

 

699

 

Arris Group, Inc.*

 

6,997

 

4,511

 

Art Technology Group, Inc.*

 

26,931

 

2,216

 

Aruba Networks, Inc.*

 

46,979

 

1,787

 

Aspen Technology, Inc.*

 

22,338

 

52

 

ATMI, Inc.*

 

933

 

260

 

Axcelis Technologies, Inc.*

 

645

 

368

 

AXT, Inc.*

 

3,036

 

16

 

Bel Fuse, Inc., Class B

 

359

 

159

 

Benchmark Electronics, Inc.*

 

2,555

 

665

 

BigBand Networks, Inc.*

 

1,982

 

1,287

 

Blackbaud, Inc.

 

32,574

 

981

 

Blackboard, Inc.*

 

40,761

 

1,195

 

Blue Coat Systems, Inc.*

 

31,787

 

905

 

Bottomline Technologies, Inc.*

 

17,132

 

2,024

 

Brightpoint, Inc.*

 

16,597

 

164

 

BroadSoft, Inc.*

 

3,728

 

1,096

 

Brooks Automation, Inc.*

 

7,946

 

153

 

Cabot Microelectronics Corp.*

 

6,039

 

63

 

CACI International, Inc., Class A*

 

3,171

 

187

 

Calix, Inc.*

 

2,388

 

242

 

Cass Information Systems, Inc.

 

8,557

 

1,274

 

Cavium Networks, Inc.*

 

46,877

 

563

 

CEVA, Inc.*

 

13,062

 

448

 

Checkpoint Systems, Inc.*

 

8,037

 

1,986

 

Cirrus Logic, Inc.*

 

30,326

 

382

 

Cogent, Inc.*

 

4,007

 

903

 

Cognex Corp.

 

25,248

 

500

 

Coherent, Inc.*

 

20,655

 

129

 

Cohu, Inc.

 

1,868

 

1,240

 

CommVault Systems, Inc.*

 

36,121

 

669

 

Compellent Technologies, Inc.*

 

17,394

 

287

 

Computer Task Group, Inc.*

 

2,827

 

651

 

comScore, Inc.*

 

14,322

 

300

 

Comtech Telecommunications Corp.

 

8,898

 

722

 

Comverge, Inc.*

 

4,816

 

1,156

 

Concur Technologies, Inc.*

 

59,199

 

2,332

 

Conexant Systems, Inc.*

 

3,172

 

819

 

Constant Contact, Inc.*

 

20,958

 

170

 

Convio, Inc.*

 

1,243

 

17

 

CPI International, Inc.*

 

329

 

437

 

Cray, Inc.*

 

3,120

 

457

 

CSG Systems International, Inc.*

 

8,601

 

284

 

CTS Corp.

 

2,922

 

210

 

Cymer, Inc.*

 

7,995

 

189

 

Daktronics, Inc.

 

2,548

 

380

 

DDi Corp.

 

3,986

 

973

 

DealerTrack Holdings, Inc.*

 

18,584

 

531

 

Deltek, Inc.*

 

3,791

 

549

 

DemandTec, Inc.*

 

5,682

 

720

 

DG FastChannel, Inc.*

 

18,166

 

456

 

Dice Holdings, Inc.*

 

5,153

 

117

 

Digi International, Inc.*

 

1,123

 

194

 

Digimarc Corp.*

 

5,451

 

142

 

Digital River, Inc.*

 

5,228

 

974

 

Diodes, Inc.*

 

24,058

 

500

 

DTS, Inc.*

 

23,470

 

772

 

Ebix, Inc.*

 

16,019

 

948

 

Echelon Corp.*

 

9,034

 

306

 

Echo Global Logistics, Inc.*

 

3,504

 

73

 

Electro Scientific Industries, Inc.*

 

1,091

 

23

 

EMS Technologies, Inc.*

 

428

 

301

 

Energy Conversion Devices, Inc.*

 

1,351

 

1,196

 

Entegris, Inc.*

 

7,774

 

1,868

 

Entropic Communications, Inc.*

 

16,700

 

169

 

Envestnet, Inc.*

 

2,466

 

864

 

Epicor Software Corp.*

 

8,087

 

66

 

EPIQ Systems, Inc.

 

841

 

6

 

ePlus, Inc.*

 

139

 

115

 

Exar Corp.*

 

771

 

436

 

ExlService Holdings, Inc.*

 

9,012

 

711

 

Extreme Networks*

 

2,083

 

196

 

Fabrinet*

 

3,379

 

380

 

FalconStor Software, Inc.*

 

1,011

 

464

 

FARO Technologies, Inc.*

 

12,050

 

296

 

FEI Co.*

 

7,045

 

2,164

 

Finisar Corp.*

 

41,376

 

419

 

Forrester Research, Inc.*

 

14,518

 

1,203

 

Fortinet, Inc.*

 

38,340

 

1,105

 

FSI International, Inc.*

 

3,901

 

1,285

 

Global Cash Access Holdings, Inc.*

 

2,930

 

35

 

Globecomm Systems, Inc.*

 

296

 

1,906

 

GSI Commerce, Inc.*

 

45,458

 

394

 

GSI Technology, Inc.*

 

2,916

 

1,793

 

GT Solar International, Inc.*

 

11,995

 

382

 

Guidance Software, Inc.*

 

2,342

 

513

 

Hackett Group, Inc. (The)*

 

1,806

 

576

 

Harmonic, Inc.*

 

3,894

 

1,087

 

Heartland Payment Systems, Inc.

 

17,164

 

785

 

Hittite Microwave Corp.*

 

44,933

 

159

 

Hughes Communications, Inc.*

 

6,296

 

1,324

 

Hypercom Corp.*

 

9,798

 

680

 

iGate Corp.

 

13,600

 

110

 

Ikanos Communications, Inc.*

 

121

 

807

 

Immersion Corp.*

 

4,527

 

2,334

 

Infinera Corp.*

 

19,045

 

132

 

Infospace, Inc.*

 

1,019

 

312

 

Insight Enterprises, Inc.*

 

3,934

 

31

 

Integral Systems, Inc.*

 

283

 

2,874

 

Integrated Device Technology, Inc.*

 

18,480

 

667

 

Integrated Silicon Solution, Inc.*

 

5,329

 

375

 

Interactive Intelligence, Inc.*

 

10,140

 

1,263

 

InterDigital, Inc.*

 

41,767

 

835

 

Intermec, Inc.*

 

9,444

 

194

 

Internet Brands, Inc., Class A*

 

2,586

 

75

 

Internet Capital Group, Inc.*

 

929

 

247

 

Intevac, Inc.*

 

3,285

 

241

 

IntraLinks Holdings, Inc.*

 

4,955

 

746

 

IPG Photonics Corp.*

 

21,380

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

767

 

Isilon Systems, Inc.*

 

$

25,886

 

939

 

Ixia*

 

14,893

 

436

 

IXYS Corp.*

 

4,879

 

899

 

j2 Global Communications, Inc.*

 

24,075

 

2,451

 

Jack Henry & Associates, Inc.

 

67,010

 

219

 

JDA Software Group, Inc.*

 

5,783

 

323

 

Keithley Instruments, Inc.

 

6,967

 

649

 

Kenexa Corp.*

 

11,883

 

44

 

Keynote Systems, Inc.

 

539

 

569

 

KIT Digital, Inc.*

 

7,835

 

464

 

Knot, Inc. (The)*

 

4,338

 

719

 

Kopin Corp.*

 

2,890

 

2,015

 

Kulicke & Soffa Industries, Inc.*

 

13,359

 

413

 

KVH Industries, Inc.*

 

5,472

 

3,331

 

Lattice Semiconductor Corp.*

 

14,823

 

3,986

 

Lawson Software, Inc.*

 

34,240

 

1,082

 

Limelight Networks, Inc.*

 

7,682

 

1,712

 

Lionbridge Technologies, Inc.*

 

5,581

 

407

 

Liquidity Services, Inc.*

 

6,296

 

540

 

Littelfuse, Inc.

 

24,986

 

1,279

 

LivePerson, Inc.*

 

12,355

 

459

 

Local.com Corp.*

 

1,749

 

433

 

LogMeIn, Inc.*

 

18,961

 

521

 

LoopNet, Inc.*

 

5,554

 

310

 

Loral Space & Communications, Inc.*

 

22,655

 

1,406

 

LTX-Credence Corp.*

 

11,079

 

1,710

 

Magma Design Automation, Inc.*

 

7,079

 

652

 

Manhattan Associates, Inc.*

 

20,271

 

584

 

Mantech International Corp., Class A*

 

23,313

 

1,437

 

Mattson Technology, Inc.*

 

3,980

 

502

 

MAXIMUS, Inc.

 

30,471

 

214

 

MaxLinear, Inc., Class A*

 

2,298

 

759

 

Maxwell Technologies, Inc.*

 

12,273

 

119

 

MediaMind Technologies, Inc.*

 

1,561

 

1,324

 

Mentor Graphics Corp.*

 

14,888

 

78

 

Mercury Computer Systems, Inc.*

 

1,389

 

155

 

Meru Networks, Inc.*

 

2,150

 

619

 

Methode Electronics, Inc.

 

6,320

 

1,461

 

Micrel, Inc.

 

18,087

 

906

 

Microsemi Corp.*

 

20,059

 

259

 

MicroStrategy, Inc., Class A*

 

22,416

 

211

 

Microtune, Inc.*

 

616

 

2,549

 

Microvision, Inc.*

 

3,594

 

917

 

Mindspeed Technologies, Inc.*

 

5,713

 

1,320

 

MIPS Technologies, Inc.*

 

17,939

 

600

 

MKS Instruments, Inc.*

 

12,222

 

74

 

ModusLink Global Solutions, Inc.*

 

496

 

2,137

 

MoneyGram International, Inc.*

 

5,236

 

929

 

Monolithic Power Systems, Inc.*

 

14,985

 

640

 

Monotype Imaging Holdings, Inc.*

 

7,168

 

779

 

MoSys, Inc.*

 

3,178

 

116

 

Motricity, Inc.*

 

3,450

 

4,480

 

Move, Inc.*

 

11,334

 

470

 

MTS Systems Corp.

 

18,010

 

263

 

Multi-Fineline Electronix, Inc.*

 

6,128

 

512

 

Nanometrics, Inc.*

 

6,067

 

190

 

NCI, Inc., Class A*

 

4,174

 

1,011

 

Netgear, Inc.*

 

32,130

 

1,799

 

Netlogic Microsystems, Inc.*

 

56,129

 

878

 

Netscout Systems, Inc.*

 

19,395

 

526

 

NetSuite, Inc.*

 

13,055

 

1,035

 

Network Engines, Inc.*

 

1,594

 

863

 

Network Equipment Technologies, Inc.*

 

3,504

 

322

 

Newport Corp.*

 

4,679

 

1,604

 

NIC, Inc.

 

13,393

 

91

 

Novatel Wireless, Inc.*

 

893

 

135

 

NVE Corp.*

 

6,884

 

361

 

Occam Networks, Inc.*

 

2,686

 

1,419

 

Oclaro, Inc.*

 

13,764

 

1,143

 

Omnivision Technologies, Inc.*

 

32,335

 

262

 

Online Resources Corp.*

 

1,134

 

454

 

OpenTable, Inc.*

 

32,933

 

2,409

 

Openwave Systems, Inc.*

 

5,758

 

215

 

Oplink Communications, Inc.*

 

3,717

 

382

 

Opnet Technologies, Inc.

 

9,290

 

346

 

OSI Systems, Inc.*

 

12,065

 

3,335

 

Parametric Technology Corp.*

 

71,436

 

366

 

Park Electrochemical Corp.

 

10,028

 

649

 

PDF Solutions, Inc.*

 

2,590

 

465

 

Pegasystems, Inc.

 

14,392

 

454

 

Perficient, Inc.*

 

5,121

 

84

 

Pericom Semiconductor Corp.*

 

839

 

1,386

 

Plantronics, Inc.

 

49,577

 

1,159

 

Plexus Corp.*

 

31,449

 

1,064

 

PLX Technology, Inc.*

 

3,575

 

708

 

Power Integrations, Inc.

 

28,525

 

2,006

 

Power-One, Inc.*

 

18,957

 

788

 

Presstek, Inc.*

 

1,458

 

1,212

 

Progress Software Corp.*

 

46,747

 

556

 

PROS Holdings, Inc.*

 

5,310

 

1,185

 

Pulse Electronics Corp.

 

4,859

 

368

 

QAD, Inc.*

 

1,733

 

294

 

QLIK Technologies, Inc.*

 

6,930

 

5,609

 

Quantum Corp.*

 

20,361

 

1,562

 

Quest Software, Inc.*

 

39,519

 

289

 

QuinStreet, Inc.*

 

5,780

 

2,785

 

Rackspace Hosting, Inc.*

 

81,238

 

949

 

Radiant Systems, Inc.*

 

17,129

 

504

 

Radisys Corp.*

 

4,551

 

193

 

RealD, Inc.*

 

5,497

 

311

 

RealPage, Inc.*

 

8,521

 

378

 

Renaissance Learning, Inc.

 

4,449

 

7,711

 

RF Micro Devices, Inc.*

 

54,054

 

118

 

Richardson Electronics Ltd.

 

1,264

 

622

 

RightNow Technologies, Inc.*

 

15,755

 

3,624

 

Riverbed Technology, Inc.*

 

122,890

 

371

 

Rofin-Sinar Technologies, Inc.*

 

10,651

 

150

 

Rogers Corp.*

 

4,949

 

301

 

Rosetta Stone, Inc.*

 

6,318

 

455

 

Rubicon Technology, Inc.*

 

9,983

 

841

 

Rudolph Technologies, Inc.*

 

6,274

 

804

 

Saba Software, Inc.*

 

4,848

 

2,284

 

Sanmina-SCI Corp.*

 

23,868

 

2,961

 

Sapient Corp.

 

35,325

 

1,077

 

SAVVIS, Inc.*

 

27,065

 

379

 

Seachange International, Inc.*

 

3,047

 

1,784

 

Semtech Corp.*

 

41,728

 

1,293

 

ShoreTel, Inc.*

 

9,180

 

134

 

Sigma Designs, Inc.*

 

1,608

 

59

 

Silicon Graphics International Corp.*

 

454

 

1,680

 

Silicon Image, Inc.*

 

12,886

 

898

 

SMART Modular Technologies (WWH), Inc.*

 

5,029

 

769

 

Smith Micro Software, Inc.*

 

11,489

 

1,004

 

SolarWinds, Inc.*

 

17,931

 

940

 

Sonic Solutions, Inc.*

 

9,381

 

4,928

 

Sonus Networks, Inc.*

 

13,207

 

789

 

Sourcefire, Inc.*

 

21,406

 

373

 

Spansion, Inc., Class A*

 

7,374

 

138

 

Spectrum Control, Inc.*

 

2,107

 

135

 

SPS Commerce, Inc.*

 

1,601

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

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Common Stocks (a) (continued)

 

 

 

100

 

SRA International, Inc., Class A*

 

$

1,962

 

338

 

SRS Labs, Inc.*

 

2,880

 

359

 

SS&C Technologies Holdings, Inc.*

 

6,968

 

303

 

Stamps.com, Inc.

 

3,987

 

199

 

Standard Microsystems Corp.*

 

5,423

 

1,170

 

STEC, Inc.*

 

19,884

 

589

 

Stratasys, Inc.*

 

19,920

 

96

 

Stream Global Services, Inc.*

 

369

 

1,808

 

SuccessFactors, Inc.*

 

54,547

 

702

 

Super Micro Computer, Inc.*

 

7,231

 

282

 

Supertex, Inc.*

 

7,053

 

1,341

 

Support.com, Inc.*

 

8,676

 

973

 

Synaptics, Inc.*

 

27,731

 

584

 

Synchronoss Technologies, Inc.*

 

15,178

 

378

 

Syntel, Inc.

 

18,046

 

186

 

Take-Two Interactive Software, Inc.*

 

2,058

 

1,142

 

Taleo Corp., Class A*

 

35,059

 

297

 

TechTarget, Inc.*

 

1,767

 

259

 

Tekelec*

 

3,199

 

534

 

TeleCommunication Systems, Inc., Class A*

 

2,488

 

231

 

TeleNav, Inc.*

 

1,506

 

821

 

TeleTech Holdings, Inc.*

 

15,566

 

1,673

 

Terremark Worldwide, Inc.*

 

20,017

 

84

 

Tessco Technologies, Inc.

 

1,278

 

834

 

Tessera Technologies, Inc.*

 

16,605

 

722

 

THQ, Inc.*

 

3,682

 

4,773

 

TIBCO Software, Inc.*

 

93,742

 

190

 

Tier Technologies, Inc.*

 

931

 

3,317

 

TiVo, Inc.*

 

27,266

 

749

 

TNS, Inc.*

 

14,396

 

159

 

Travelzoo, Inc.*

 

6,835

 

175

 

Trident Microsystems, Inc.*

 

324

 

4,459

 

TriQuint Semiconductor, Inc.*

 

53,107

 

536

 

TTM Technologies, Inc.*

 

7,105

 

889

 

Tyler Technologies, Inc.*

 

18,144

 

716

 

Ultimate Software Group, Inc.*

 

31,411

 

622

 

Ultra Clean Holdings*

 

4,876

 

555

 

Ultratech, Inc.*

 

10,195

 

495

 

Unisys Corp.*

 

11,192

 

538

 

United Online, Inc.

 

3,424

 

865

 

Universal Display Corp.*

 

21,417

 

1,820

 

ValueClick, Inc.*

 

28,283

 

625

 

VASCO Data Security International, Inc.*

 

5,400

 

1,165

 

Veeco Instruments, Inc.*

 

51,237

 

2,455

 

VeriFone Systems, Inc.*

 

85,311

 

347

 

Viasat, Inc.*

 

14,352

 

90

 

Viasystems Group, Inc.*

 

1,562

 

1,013

 

VirnetX Holding Corp.

 

14,060

 

211

 

Virtusa Corp.*

 

2,878

 

481

 

Vocus, Inc.*

 

11,775

 

712

 

Volterra Semiconductor Corp.*

 

16,034

 

2,301

 

Wave Systems Corp., Class A*

 

6,075

 

1,241

 

Websense, Inc.*

 

25,726

 

1,114

 

Wright Express Corp.*

 

47,980

 

866

 

Xyratex Ltd.*

 

13,232

 

1,603

 

Zix Corp.*

 

6,156

 

146

 

Zoran Corp.*

 

1,004

 

77

 

Zygo Corp.*

 

882

 

 

 

 

 

4,490,813

 

 

 

Materials - 3.2%

 

 

 

 

 

 

 

 

 

47

 

A. Schulman, Inc.

 

952

 

53

 

AEP Industries, Inc.*

 

1,275

 

2,151

 

Allied Nevada Gold Corp.*

 

57,518

 

685

 

AMCOL International Corp.

 

19,132

 

393

 

Arch Chemicals, Inc.

 

13,645

 

810

 

Balchem Corp.

 

25,078

 

45

 

Brush Engineered Materials, Inc.*

 

1,584

 

1,614

 

Calgon Carbon Corp.*

 

22,548

 

1,759

 

Capital Gold Corp.*

 

8,109

 

244

 

Clearwater Paper Corp.*

 

19,642

 

164

 

Coeur d’Alene Mines Corp.*

 

3,993

 

308

 

Deltic Timber Corp.

 

16,019

 

1,084

 

Ferro Corp.*

 

15,469

 

1,847

 

General Moly, Inc.*

 

10,195

 

1,762

 

Globe Specialty Metals, Inc.

 

28,562

 

7,407

 

Golden Star Resources Ltd.*

 

31,998

 

37

 

Graham Packaging Co., Inc.*

 

466

 

97

 

H.B. Fuller Co.

 

2,034

 

207

 

Hawkins, Inc.

 

9,011

 

45

 

Haynes International, Inc.

 

1,740

 

63

 

Horsehead Holding Corp.*

 

733

 

156

 

Innophos Holdings, Inc.

 

5,313

 

2,415

 

Jaguar Mining, Inc.*

 

15,987

 

150

 

KMG Chemicals, Inc.

 

2,145

 

590

 

Koppers Holdings, Inc.

 

16,874

 

274

 

Kraton Performance Polymers, Inc.*

 

7,804

 

125

 

Landec Corp.*

 

783

 

492

 

LSB Industries, Inc.*

 

11,346

 

173

 

Metals USA Holdings Corp.*

 

2,358

 

43

 

Minerals Technologies, Inc.

 

2,616

 

325

 

Molycorp, Inc.*

 

9,431

 

208

 

Neenah Paper, Inc.

 

3,831

 

297

 

NewMarket Corp.

 

37,363

 

61

 

NL Industries, Inc.

 

717

 

330

 

Noranda Aluminum Holding Corp.*

 

3,924

 

1,319

 

Olin Corp.

 

24,098

 

1,282

 

Omnova Solutions, Inc.*

 

11,256

 

1,863

 

PolyOne Corp.*

 

23,213

 

234

 

Quaker Chemical Corp.

 

8,887

 

383

 

Rock-Tenn Co., Class A

 

20,716

 

1,112

 

Rockwood Holdings, Inc.*

 

42,445

 

114

 

RTI International Metals, Inc.*

 

3,234

 

528

 

Schweitzer-Mauduit International, Inc.

 

33,164

 

1,109

 

Senomyx, Inc.*

 

6,255

 

764

 

Silgan Holdings, Inc.

 

26,159

 

3,486

 

Solutia, Inc.*

 

74,531

 

412

 

Spartech Corp.*

 

3,918

 

224

 

Stepan Co.

 

15,803

 

1,277

 

Stillwater Mining Co.*

 

24,161

 

815

 

STR Holdings, Inc.*

 

14,629

 

426

 

Thompson Creek Metals Co., Inc.*

 

5,176

 

2,561

 

U.S. Gold Corp.*

 

16,800

 

75

 

United States Lime & Minerals, Inc.*

 

3,075

 

422

 

Verso Paper Corp.*

 

1,481

 

189

 

Wausau Paper Corp.

 

1,457

 

976

 

Worthington Industries, Inc.

 

15,636

 

330

 

WR Grace & Co.*

 

11,045

 

623

 

Zep, Inc.

 

11,307

 

 

 

 

 

808,641

 

 

 

Telecommunication Services - 0.9%

 

 

 

 

 

 

 

 

 

647

 

AboveNet, Inc.*

 

37,979

 

1,280

 

Alaska Communications Systems Group, Inc.

 

13,491

 

253

 

Atlantic Tele-Network, Inc.

 

8,675

 

770

 

Cbeyond, Inc.*

 

10,149

 

1,635

 

Cincinnati Bell, Inc.*

 

3,989

 

1,289

 

Cogent Communications Group, Inc.*

 

15,571

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

553

 

Consolidated Communications Holdings, Inc.

 

$

10,186

 

526

 

Global Crossing Ltd.*

 

7,033

 

1,656

 

ICO Global Communications Holdings Ltd.*

 

2,501

 

949

 

Neutral Tandem, Inc.*

 

13,637

 

845

 

NTELOS Holdings Corp.

 

14,348

 

2,470

 

PAETEC Holding Corp.*

 

9,139

 

644

 

Shenandoah Telecommunications Co.

 

11,264

 

2,003

 

Syniverse Holdings, Inc.*

 

61,212

 

365

 

USA Mobility, Inc.

 

6,212

 

1,252

 

Vonage Holdings Corp.*

 

3,030

 

 

 

 

 

228,416

 

 

 

Utilities - 0.1%

 

 

 

 

 

 

 

 

 

408

 

American DG Energy, Inc.*

 

1,163

 

349

 

Cadiz, Inc.*

 

3,937

 

58

 

Otter Tail Corp.

 

1,192

 

151

 

South Jersey Industries, Inc.

 

7,730

 

 

 

 

 

14,022

 

 

 

Total Common Stocks
(Cost $12,913,424)

 

16,149,686

 

 

 

 

 

 

 

No. of

 

 

 

 

 

Warrants

 

 

 

 

 

 

 

Warrants - 0.0%

 

 

 

18

 

GreenHunter Energy, Inc., expiring 08/27/11 at $27.50*

 

—

 

 

 

Total Warrants
(Cost $—)

 

—

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 9.4%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

794,810

 

0.07%, due 12/01/10

 

794,810

 

1,531,299

 

0.09%, due 12/06/10

 

1,531,299

 

 

 

Total U.S. Government & Agency Securities (Cost $2,326,109)

 

2,326,109

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 21.5%

 

 

 

5,360,148

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $5,360,220

 

5,360,148

 

 

 

Total Repurchase Agreements
(Cost $5,360,148)

 

5,360,148

 

 

 

Total Investment Securities
(Cost $20,599,681) — 95.7%

 

23,835,943

 

 

 

Other assets less liabilities — 4.3%

 

1,071,416

 

 

 

Net Assets — 100.0%

 

$

 24,907,359

 

 

*

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. At 11/30/10, the aggregate amount held in a segregated account was $4,365,075.

(b)

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                     Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

3,482,619

 

Aggregate gross unrealized depreciation

 

(1,211,743

)

Net unrealized appreciation

 

$

2,270,876

 

Federal income tax cost of investments

 

$

21,565,067

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Credit Suisse Securities (Europe) Limited, based on the Russell 2000® Growth Index

 

$

244,546

 

$

(487

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Russell 2000® Growth Index

 

10,905,999

 

(73,417

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Russell 2000® Growth Index

 

16,318,711

 

596,166

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Russell 2000® Growth Index

 

6,191,763

 

525,714

 

 

 

 

 

 

 

 

 

 

 

$

1,047,976

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Consumer Services

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 31.4%

 

 

 

 

 

Airlines - 0.8%

 

 

 

 

 

 

 

 

 

75

 

Alaska Air Group, Inc.*

 

$

4,125

 

688

 

AMR Corp.*

 

5,889

 

1,627

 

Delta Air Lines, Inc.*

 

22,258

 

507

 

JetBlue Airways Corp.*

 

3,443

 

116

 

Skywest, Inc.

 

1,878

 

1,535

 

Southwest Airlines Co.

 

20,446

 

650

 

United Continental Holdings, Inc.*

 

17,992

 

333

 

US Airways Group, Inc.*

 

3,716

 

 

 

 

 

79,747

 

 

 

Commercial Services & Supplies - 0.1%

 

 

 

 

 

 

 

 

 

154

 

Copart, Inc.*

 

5,464

 

106

 

Rollins, Inc.

 

2,864

 

 

 

 

 

8,328

 

 

 

Diversified Consumer Services - 0.5%

 

 

 

 

 

 

 

 

 

273

 

Apollo Group, Inc., Class A*

 

9,282

 

135

 

Career Education Corp.*

 

2,402

 

182

 

Corinthian Colleges, Inc.*

 

752

 

128

 

DeVry, Inc.

 

5,496

 

649

 

H&R Block, Inc.

 

8,171

 

127

 

Hillenbrand, Inc.

 

2,452

 

73

 

ITT Educational Services, Inc.*

 

4,270

 

62

 

Matthews International Corp., Class A

 

2,014

 

119

 

Regis Corp.

 

2,120

 

511

 

Service Corp. International

 

4,119

 

140

 

Sotheby’s

 

5,615

 

28

 

Strayer Education, Inc.

 

3,804

 

71

 

Weight Watchers International, Inc.

 

2,431

 

 

 

 

 

52,928

 

 

 

Electronic Equipment, Instruments & Components - 0.1%

 

 

 

 

 

 

 

 

 

112

 

Dolby Laboratories, Inc., Class A*

 

7,088

 

 

 

 

 

 

 

 

 

Food & Staples Retailing - 5.5%

 

 

 

 

 

 

 

 

 

112

 

BJ’s Wholesale Club, Inc.*

 

5,131

 

76

 

Casey’s General Stores, Inc.

 

3,021

 

911

 

Costco Wholesale Corp.

 

61,593

 

2,818

 

CVS Caremark Corp.

 

87,358

 

1,243

 

Kroger Co. (The)

 

29,273

 

1,252

 

Rite Aid Corp.*

 

1,176

 

87

 

Ruddick Corp.

 

3,198

 

788

 

Safeway, Inc.

 

18,116

 

439

 

SUPERVALU, Inc.

 

3,969

 

1,220

 

Sysco Corp.

 

35,404

 

84

 

United Natural Foods, Inc.*

 

3,145

 

2,025

 

Walgreen Co.

 

70,571

 

4,355

 

Wal-Mart Stores, Inc.

 

235,562

 

278

 

Whole Foods Market, Inc.*

 

13,127

 

 

 

 

 

570,644

 

 

 

Health Care Providers & Services - 0.9%

 

 

 

 

 

 

 

 

 

577

 

AmerisourceBergen Corp.

 

17,800

 

746

 

Cardinal Health, Inc.

 

26,543

 

46

 

Chemed Corp.

 

2,803

 

537

 

McKesson Corp.

 

34,314

 

246

 

Omnicare, Inc.

 

5,673

 

177

 

VCA Antech, Inc.*

 

3,867

 

 

 

 

 

91,000

 

 

 

Hotels, Restaurants & Leisure - 5.4%

 

 

 

 

 

 

 

 

 

112

 

Bally Technologies, Inc.*

 

4,387

 

64

 

Bob Evans Farms, Inc.

 

1,993

 

116

 

Boyd Gaming Corp.*

 

1,037

 

210

 

Brinker International, Inc.

 

4,292

 

852

 

Carnival Corp.

 

35,196

 

44

 

CEC Entertainment, Inc.*

 

1,651

 

118

 

Cheesecake Factory, Inc. (The)*

 

3,761

 

65

 

Chipotle Mexican Grill, Inc.*

 

16,802

 

67

 

Choice Hotels International, Inc.

 

2,496

 

49

 

Cracker Barrel Old Country Store, Inc.

 

2,580

 

287

 

Darden Restaurants, Inc.

 

14,049

 

71

 

Gaylord Entertainment Co.*

 

2,437

 

75

 

Hyatt Hotels Corp., Class A*

 

3,140

 

615

 

International Game Technology

 

9,520

 

59

 

International Speedway Corp., Class A

 

1,398

 

83

 

Interval Leisure Group, Inc.*

 

1,375

 

113

 

Jack in the Box, Inc.*

 

2,273

 

894

 

Las Vegas Sands Corp.*

 

44,772

 

87

 

Life Time Fitness, Inc.*

 

3,431

 

651

 

Marriott International, Inc., Class A

 

25,526

 

2,205

 

McDonald’s Corp.

 

172,652

 

658

 

MGM Resorts International*

 

8,047

 

171

 

Orient-Express Hotels Ltd., Class A*

 

1,979

 

45

 

P.F. Chang’s China Bistro, Inc.

 

2,274

 

62

 

Panera Bread Co., Class A*

 

6,215

 

42

 

Papa John’s International, Inc.*

 

1,076

 

138

 

Penn National Gaming, Inc.*

 

4,845

 

123

 

Pinnacle Entertainment, Inc.*

 

1,638

 

277

 

Royal Caribbean Cruises Ltd.*

 

11,149

 

140

 

Scientific Games Corp., Class A*

 

1,127

 

126

 

Sonic Corp.*

 

1,179

 

1,538

 

Starbucks Corp.

 

47,063

 

362

 

Starwood Hotels & Resorts Worldwide, Inc.

 

20,576

 

75

 

Vail Resorts, Inc.*

 

3,396

 

679

 

Wendy’s/Arby’s Group, Inc., Class A

 

3,239

 

121

 

WMS Industries, Inc.*

 

5,366

 

369

 

Wyndham Worldwide Corp.

 

10,609

 

180

 

Wynn Resorts Ltd.

 

18,198

 

966

 

Yum! Brands, Inc.

 

48,377

 

 

 

 

 

551,121

 

 

 

Internet & Catalog Retail - 2.1%

 

 

 

 

 

 

 

 

 

718

 

Amazon.com, Inc.*

 

125,937

 

432

 

Expedia, Inc.

 

11,374

 

82

 

HSN, Inc.*

 

2,325

 

1,169

 

Liberty Media Corp. - Interactive, Class A*

 

18,073

 

93

 

NetFlix, Inc.*

 

19,149

 

100

 

priceline.com, Inc.*

 

39,405

 

 

 

 

 

216,263

 

 

 

Internet Software & Services - 0.8%

 

 

 

 

 

 

 

 

 

2,322

 

eBay, Inc.*

 

67,640

 

124

 

GSI Commerce, Inc.*

 

2,957

 

169

 

ValueClick, Inc.*

 

2,626

 

99

 

WebMD Health Corp.*

 

5,083

 

 

 

 

 

78,306

 

 

 

IT Services - 0.0%

 

 

 

 

 

 

 

 

 

166

 

Acxiom Corp.*

 

2,824

 

 

 

 

 

 

 

 

 

Media - 7.4%

 

 

 

 

 

 

 

 

 

55

 

Arbitron, Inc.

 

1,607

 

519

 

Cablevision Systems Corp., Class A

 

16,437

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

1,293

 

CBS Corp., Class B

 

$

21,774

 

4,261

 

Comcast Corp., Class A

 

85,220

 

1,507

 

Comcast Corp., Special, Class A

 

28,588

 

110

 

CTC Media, Inc.

 

2,476

 

1,796

 

DIRECTV, Class A*

 

74,588

 

282

 

Discovery Communications, Inc., Class A*

 

11,500

 

295

 

Discovery Communications, Inc., Class C*

 

10,475

 

431

 

DISH Network Corp., Class A*

 

7,926

 

130

 

DreamWorks Animation SKG, Inc., Class A*

 

4,029

 

490

 

Gannett Co., Inc.

 

6,424

 

1,006

 

Interpublic Group of Cos., Inc. (The)*

 

10,714

 

106

 

John Wiley & Sons, Inc., Class A

 

4,399

 

120

 

Lamar Advertising Co., Class A*

 

4,410

 

233

 

Liberty Global, Inc., Class A*

 

8,216

 

238

 

Liberty Global, Inc., Class C*

 

8,006

 

171

 

Liberty Media Corp. - Capital, Class A*

 

9,846

 

101

 

Liberty Media Corp. - Starz, Class A*

 

6,347

 

304

 

Live Nation Entertainment, Inc.*

 

3,271

 

129

 

Madison Square Garden, Inc., Class A*

 

2,830

 

641

 

McGraw-Hill Cos., Inc. (The)

 

22,108

 

74

 

Meredith Corp.

 

2,488

 

45

 

Morningstar, Inc.*

 

2,268

 

201

 

New York Times Co. (The), Class A*

 

1,807

 

3,755

 

News Corp., Class A

 

51,218

 

900

 

News Corp., Class B

 

13,707

 

624

 

Omnicom Group, Inc.

 

28,355

 

164

 

Regal Entertainment Group, Class A

 

2,214

 

57

 

Scholastic Corp.

 

1,602

 

185

 

Scripps Networks Interactive, Inc., Class A

 

9,426

 

730

 

Time Warner Cable, Inc.

 

44,924

 

2,326

 

Time Warner, Inc.

 

68,594

 

104

 

Valassis Communications, Inc.*

 

3,385

 

1,150

 

Viacom, Inc., Class B

 

43,505

 

3,677

 

Walt Disney Co. (The)

 

134,247

 

13

 

Washington Post Co. (The), Class B

 

4,901

 

 

 

 

 

763,832

 

 

 

Multiline Retail - 2.0%

 

 

 

 

 

 

 

 

 

94

 

99 Cents Only Stores*

 

1,477

 

170

 

Big Lots, Inc.*

 

5,210

 

98

 

Dillard’s, Inc., Class A

 

3,056

 

262

 

Dollar Tree, Inc.*

 

14,397

 

264

 

Family Dollar Stores, Inc.

 

13,253

 

430

 

J.C. Penney Co., Inc.

 

14,306

 

593

 

Kohl’s Corp.*

 

33,457

 

868

 

Macy’s, Inc.

 

22,290

 

352

 

Nordstrom, Inc.

 

15,066

 

246

 

Saks, Inc.*

 

2,740

 

98

 

Sears Holdings Corp.*

 

6,419

 

1,387

 

Target Corp.

 

78,976

 

 

 

 

 

210,647

 

 

 

Professional Services - 0.1%

 

 

 

 

 

 

 

 

 

105

 

Dun & Bradstreet Corp.

 

7,910

 

96

 

IHS, Inc., Class A*

 

6,943

 

 

 

 

 

14,853

 

 

 

Road & Rail - 0.1%

 

 

 

 

 

 

 

 

 

210

 

Avis Budget Group, Inc.*

 

2,791

 

383

 

Hertz Global Holdings, Inc.*

 

4,695

 

 

 

 

 

7,486

 

 

 

Software - 0.1%

 

 

 

 

 

 

 

 

 

88

 

Factset Research Systems, Inc.

 

7,803

 

 

 

 

 

 

 

 

 

Specialty Retail - 5.5%

 

 

 

 

 

 

 

 

 

144

 

Aaron’s, Inc.

 

2,874

 

181

 

Abercrombie & Fitch Co., Class A

 

9,095

 

181

 

Advance Auto Parts, Inc.

 

11,944

 

196

 

Aeropostale, Inc.*

 

5,298

 

425

 

American Eagle Outfitters, Inc.

 

7,012

 

122

 

AnnTaylor Stores Corp.*

 

3,283

 

147

 

AutoNation, Inc.*

 

3,841

 

60

 

AutoZone, Inc.*

 

15,565

 

84

 

Barnes & Noble, Inc.

 

1,178

 

542

 

Bed Bath & Beyond, Inc.*

 

23,707

 

703

 

Best Buy Co., Inc.

 

30,032

 

56

 

Buckle, Inc. (The)

 

2,136

 

461

 

CarMax, Inc.*

 

15,167

 

57

 

Cato Corp. (The), Class A

 

1,627

 

370

 

Chico’s FAS, Inc.

 

4,459

 

58

 

Children’s Place Retail Stores, Inc. (The)*

 

3,011

 

132

 

Collective Brands, Inc.*

 

2,229

 

188

 

Dick’s Sporting Goods, Inc.*

 

6,431

 

144

 

Dress Barn, Inc. (The)*

 

3,557

 

322

 

Foot Locker, Inc.

 

6,076

 

317

 

GameStop Corp., Class A*

 

6,315

 

769

 

Gap, Inc. (The)

 

16,426

 

47

 

Genesco, Inc.*

 

1,808

 

52

 

Group 1 Automotive, Inc.

 

2,014

 

134

 

Guess?, Inc.

 

6,331

 

3,516

 

Home Depot, Inc.

 

106,218

 

125

 

J. Crew Group, Inc.*

 

5,465

 

569

 

Limited Brands, Inc.

 

19,158

 

2,987

 

Lowe’s Cos., Inc.

 

67,805

 

109

 

Men’s Wearhouse, Inc. (The)

 

3,109

 

565

 

Office Depot, Inc.*

 

2,458

 

177

 

OfficeMax, Inc.*

 

3,025

 

282

 

O’Reilly Automotive, Inc.*

 

16,971

 

244

 

PetSmart, Inc.

 

9,238

 

259

 

RadioShack Corp.

 

4,779

 

138

 

Rent-A-Center, Inc.

 

3,842

 

254

 

Ross Stores, Inc.

 

16,480

 

197

 

Sally Beauty Holdings, Inc.*

 

2,709

 

178

 

Signet Jewelers Ltd.*

 

7,090

 

1,512

 

Staples, Inc.

 

33,279

 

260

 

Tiffany & Co.

 

16,146

 

844

 

TJX Cos., Inc.

 

38,495

 

150

 

Tractor Supply Co.

 

6,370

 

275

 

Urban Outfitters, Inc.*

 

10,392

 

200

 

Williams-Sonoma, Inc.

 

6,654

 

 

 

 

 

571,099

 

 

 

Total Common Stocks

 

 

 

 

 

(Cost $3,105,508)

 

3,233,969

 

 

See accompanying notes to the financial statements.

 


 

Principal
Amount

 

 

 

Value

 

 

 

U.S. Government & Agency Securities (a) - 20.0%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

1,329,049

 

0.07%, due 12/01/10

 

$

1,329,049

 

738,468

 

0.09%, due 12/06/10

 

738,468

 

 

 

Total U.S. Government & Agency Securities (Cost $2,067,517)

 

2,067,517

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 45.2%

 

 

 

4,661,189

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $4,661,236

 

4,661,189

 

 

 

Total Repurchase Agreements

 

 

 

 

 

(Cost $4,661,189)

 

4,661,189

 

 

 

Total Investment Securities

 

 

 

 

 

(Cost $9,834,214) — 96.6%

 

9,962,675

 

 

 

Other assets less liabilities — 3.4%

 

345,792

 

 

 

Net Assets — 100.0%

 

$

10,308,467

 

 

*

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. At 11/30/10, the aggregate amount held in a segregated account was $3,323,233.

(b)

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

As of November 30, 2010, 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

 

(557,240

)

Net unrealized depreciation

 

$

(557,240

)

Federal income tax cost of investments

 

$

10,519,915

 

 

Swap Agreements

Ultra Consumer Services had the following open swap agreements as of November 30, 2010:

 

 

 

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 ServicesSM Index

 

$

1,910,916

 

$

41,082

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. Consumer ServicesSM Index

 

2,588,454

 

(17,868

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones U.S. Consumer ServicesSM Index

 

8,668,628

 

(65,995

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. Consumer ServicesSM Index

 

1,948,127

 

438,667

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. Consumer ServicesSM Index

 

2,296,028

 

(31,659

)

 

 

 

 

 

 

 

 

 

 

$

364,227

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Financials

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 71.6%

 

 

 

 

 

Capital Markets - 10.7%

 

 

 

 

 

 

 

 

 

21,519

 

Affiliated Managers Group, Inc.*

 

$

1,880,976

 

105,746

 

Ameriprise Financial, Inc.

 

5,481,873

 

508,966

 

Bank of New York Mellon Corp. (The)

 

13,736,992

 

38,140

 

BlackRock, Inc.

 

6,216,820

 

407,543

 

Charles Schwab Corp. (The)

 

6,125,371

 

84,498

 

E*Trade Financial Corp.*

 

1,246,346

 

49,722

 

Eaton Vance Corp.

 

1,477,738

 

43,325

 

Federated Investors, Inc., Class B

 

1,027,236

 

65,602

 

Franklin Resources, Inc.

 

7,484,532

 

181,542

 

Goldman Sachs Group, Inc. (The)

 

28,345,968

 

12,406

 

Greenhill & Co., Inc.

 

929,706

 

197,172

 

Invesco Ltd.

 

4,286,519

 

18,307

 

Investment Technology Group, Inc.*

 

269,113

 

77,358

 

Janus Capital Group, Inc.

 

807,618

 

47,210

 

Jefferies Group, Inc.

 

1,140,121

 

14,949

 

KBW, Inc.

 

347,116

 

39,803

 

Knight Capital Group, Inc., Class A*

 

523,011

 

60,573

 

Legg Mason, Inc.

 

1,975,891

 

62,249

 

MF Global Holdings Ltd.*

 

488,655

 

537,321

 

Morgan Stanley

 

13,142,872

 

101,674

 

Northern Trust Corp.

 

5,114,202

 

18,961

 

optionsXpress Holdings, Inc.*

 

327,836

 

8,337

 

Piper Jaffray Cos.*

 

249,860

 

41,663

 

Raymond James Financial, Inc.

 

1,194,895

 

65,649

 

SEI Investments Co.

 

1,482,354

 

208,272

 

State Street Corp.

 

8,997,350

 

14,962

 

Stifel Financial Corp.*

 

775,480

 

109,086

 

T. Rowe Price Group, Inc.

 

6,362,986

 

97,658

 

TD Ameritrade Holding Corp.

 

1,634,795

 

36,249

 

Waddell & Reed Financial, Inc., Class A

 

1,116,469

 

 

 

 

 

124,190,701

 

 

 

Commercial Banks - 12.7%

 

 

 

 

 

 

 

 

 

72,837

 

Associated Banc-Corp

 

931,949

 

32,847

 

BancorpSouth, Inc.

 

422,084

 

20,096

 

Bank of Hawaii Corp.

 

870,157

 

291,249

 

BB&T Corp.

 

6,756,977

 

11,248

 

BOK Financial Corp.

 

525,282

 

125,011

 

CapitalSource, Inc.

 

807,571

 

33,065

 

Cathay General Bancorp

 

446,708

 

74,669

 

CIT Group, Inc.*

 

2,946,439

 

20,112

 

City National Corp./CA

 

1,080,417

 

74,265

 

Comerica, Inc.

 

2,709,930

 

31,143

 

Commerce Bancshares, Inc./MO

 

1,169,420

 

23,915

 

Cullen/Frost Bankers, Inc.

 

1,280,409

 

62,314

 

East West Bancorp, Inc.

 

1,080,525

 

334,974

 

Fifth Third Bancorp

 

4,002,939

 

8,711

 

First Financial Bankshares, Inc.

 

421,351

 

97,207

 

First Horizon National Corp.*

 

930,271

 

31,194

 

First Midwest Bancorp, Inc./IL

 

292,288

 

45,383

 

FirstMerit Corp.

 

790,799

 

47,997

 

FNB Corp./PA

 

420,934

 

83,071

 

Fulton Financial Corp.

 

718,564

 

29,668

 

Glacier Bancorp, Inc.

 

395,474

 

13,314

 

Hancock Holding Co.

 

419,391

 

301,171

 

Huntington Bancshares, Inc./OH

 

1,757,333

 

11,269

 

Iberiabank Corp.

 

568,070

 

24,544

 

International Bancshares Corp.

 

422,157

 

370,025

 

KeyCorp

 

2,786,288

 

46,970

 

M&T Bank Corp.

 

3,614,811

 

220,999

 

Marshall & Ilsley Corp.

 

1,058,585

 

22,115

 

MB Financial, Inc.

 

314,696

 

52,946

 

National Penn Bancshares, Inc.

 

355,268

 

36,718

 

Old National Bancorp/IN

 

378,563

 

13,177

 

PacWest Bancorp

 

224,009

 

5,211

 

Park National Corp.

 

352,055

 

221,566

 

PNC Financial Services Group, Inc.

 

11,931,329

 

430,742

 

Popular, Inc.*

 

1,240,537

 

25,860

 

PrivateBancorp, Inc.

 

314,458

 

19,398

 

Prosperity Bancshares, Inc.

 

631,211

 

528,977

 

Regions Financial Corp.

 

2,845,896

 

43,120

 

Sterling Bancshares, Inc./TX

 

255,917

 

210,092

 

SunTrust Banks, Inc.

 

4,907,749

 

54,601

 

Susquehanna Bancshares, Inc.

 

439,538

 

17,427

 

SVB Financial Group*

 

782,995

 

277,921

 

Synovus Financial Corp.

 

564,180

 

56,453

 

TCF Financial Corp.

 

768,325

 

23,712

 

Trustmark Corp.

 

506,014

 

805,292

 

U.S. Bancorp

 

19,149,844

 

13,748

 

UMB Financial Corp.

 

512,800

 

47,723

 

Umpqua Holdings Corp.

 

505,387

 

18,155

 

United Bankshares, Inc.

 

475,843

 

68,283

 

Valley National Bancorp

 

867,194

 

27,741

 

Webster Financial Corp.

 

457,727

 

2,063,940

 

Wells Fargo & Co.

 

56,159,807

 

12,224

 

Westamerica Bancorp.

 

597,509

 

40,620

 

Whitney Holding Corp./LA

 

381,422

 

38,410

 

Wilmington Trust Corp.

 

150,567

 

13,093

 

Wintrust Financial Corp.

 

375,114

 

73,012

 

Zions Bancorp.

 

1,420,083

 

 

 

 

 

147,493,160

 

 

 

Consumer Finance - 2.9%

 

 

 

 

 

 

 

 

 

448,422

 

American Express Co.

 

19,380,799

 

192,213

 

Capital One Financial Corp.

 

7,156,090

 

229,039

 

Discover Financial Services

 

4,186,833

 

204,599

 

SLM Corp.*

 

2,363,118

 

 

 

 

 

33,086,840

 

 

 

Diversified Financial Services - 14.6%

 

 

 

 

 

 

 

 

 

4,185,554

 

Bank of America Corp.

 

45,831,816

 

10,008,816

 

Citigroup, Inc.*

 

42,037,027

 

28,311

 

CME Group, Inc.

 

8,155,267

 

31,009

 

IntercontinentalExchange, Inc.*

 

3,494,714

 

1,673,369

 

JPMorgan Chase & Co.

 

62,550,533

 

85,931

 

Moody’s Corp.

 

2,305,529

 

49,487

 

MSCI, Inc., Class A*

 

1,685,527

 

67,125

 

NASDAQ OMX Group, Inc. (The)*

 

1,440,503

 

109,086

 

NYSE Euronext

 

2,980,230

 

 

 

 

 

170,481,146

 

 

 

Insurance - 15.5%

 

 

 

 

 

 

 

 

 

142,640

 

ACE Ltd.

 

8,347,293

 

196,322

 

Aflac, Inc.

 

10,110,583

 

3,043

 

Alleghany Corp.*

 

916,704

 

17,182

 

Allied World Assurance Co. Holdings Ltd.

 

1,009,271

 

212,379

 

Allstate Corp. (The)

 

6,182,353

 

33,054

 

American Financial Group, Inc./OH

 

1,017,072

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

49,751

 

American International Group, Inc.*

 

$

2,054,219

 

6,039

 

American National Insurance Co.

 

480,221

 

124,209

 

AON Corp.

 

4,983,265

 

20,920

 

Arch Capital Group Ltd.*

 

1,889,076

 

13,077

 

Argo Group International Holdings Ltd.

 

482,280

 

44,312

 

Arthur J. Gallagher & Co.

 

1,244,281

 

30,604

 

Aspen Insurance Holdings Ltd.

 

884,456

 

44,879

 

Assurant, Inc.

 

1,582,882

 

70,986

 

Assured Guaranty Ltd.

 

1,207,472

 

50,532

 

Axis Capital Holdings Ltd.

 

1,785,801

 

354,242

 

Berkshire Hathaway, Inc., Class B*

 

28,226,003

 

48,445

 

Brown & Brown, Inc.

 

1,107,937

 

132,491

 

Chubb Corp.

 

7,553,312

 

63,973

 

Cincinnati Financial Corp.

 

1,928,466

 

95,125

 

CNO Financial Group, Inc.*

 

556,481

 

20,382

 

Delphi Financial Group, Inc., Class A

 

523,410

 

19,585

 

Endurance Specialty Holdings Ltd.

 

863,894

 

12,066

 

Erie Indemnity Co., Class A

 

759,675

 

22,316

 

Everest Re Group Ltd.

 

1,863,163

 

97,144

 

Fidelity National Financial, Inc., Class A

 

1,311,444

 

50,855

 

First American Financial Corp.

 

720,615

 

205,773

 

Genworth Financial, Inc., Class A*

 

2,399,313

 

18,887

 

Hanover Insurance Group, Inc. (The)

 

855,203

 

187,048

 

Hartford Financial Services Group, Inc.

 

4,163,688

 

48,427

 

HCC Insurance Holdings, Inc.

 

1,359,830

 

16,449

 

Horace Mann Educators Corp.

 

268,612

 

132,585

 

Lincoln National Corp.

 

3,166,130

 

143,193

 

Loews Corp.

 

5,356,850

 

4,124

 

Markel Corp.*

 

1,457,793

 

227,787

 

Marsh & McLennan Cos., Inc.

 

5,712,898

 

65,664

 

MBIA, Inc.*

 

655,983

 

11,083

 

Mercury General Corp.

 

475,904

 

244,009

 

MetLife, Inc.

 

9,308,943

 

29,493

 

Montpelier Re Holdings Ltd.

 

580,422

 

101,323

 

Old Republic International Corp.

 

1,282,749

 

29,925

 

PartnerRe Ltd.

 

2,319,188

 

19,162

 

Platinum Underwriters Holdings Ltd.

 

828,373

 

126,464

 

Principal Financial Group, Inc.

 

3,444,879

 

13,396

 

ProAssurance Corp.*

 

793,445

 

262,909

 

Progressive Corp. (The)

 

5,347,569

 

36,058

 

Protective Life Corp.

 

848,084

 

194,170

 

Prudential Financial, Inc.

 

9,840,536

 

30,641

 

Reinsurance Group of America, Inc.

 

1,529,905

 

23,111

 

RenaissanceRe Holdings Ltd.

 

1,393,131

 

7,387

 

RLI Corp.

 

428,298

 

22,226

 

Selective Insurance Group, Inc.

 

366,729

 

19,946

 

StanCorp Financial Group, Inc.

 

829,754

 

34,044

 

Torchmark Corp.

 

1,956,509

 

16,398

 

Tower Group, Inc.

 

421,757

 

27,087

 

Transatlantic Holdings, Inc.

 

1,370,602

 

197,953

 

Travelers Cos., Inc. (The)

 

10,687,482

 

19,233

 

Unitrin, Inc.

 

455,053

 

137,636

 

Unum Group

 

2,957,798

 

37,577

 

Validus Holdings Ltd.

 

1,097,624

 

54,634

 

W. R. Berkley Corp.

 

1,458,181

 

2,914

 

White Mountains Insurance Group Ltd.

 

925,195

 

70,900

 

Willis Group Holdings plc

 

2,256,747

 

144,113

 

XL Group plc

 

2,833,262

 

 

 

 

 

181,026,048

 

 

 

IT Services - 2.6%

 

 

 

 

 

 

 

 

 

43,897

 

Mastercard, Inc., Class A

 

10,404,906

 

208,477

 

Visa, Inc., Class A

 

15,396,026

 

278,036

 

Western Union Co. (The)

 

4,904,555

 

 

 

 

 

30,705,487

 

 

 

Professional Services - 0.2%

 

 

 

 

 

 

 

 

 

53,194

 

Equifax, Inc.

 

1,841,044

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts - 10.7%

 

 

 

 

 

 

 

 

 

21,054

 

Alexandria Real Estate Equities, Inc.

 

1,405,354

 

70,828

 

AMB Property Corp.

 

2,066,761

 

27,249

 

American Campus Communities, Inc.

 

856,709

 

261,004

 

Annaly Capital Management, Inc.

 

4,747,663

 

49,214

 

Apartment Investment & Management Co., Class A

 

1,187,042

 

35,867

 

AvalonBay Communities, Inc.

 

3,957,206

 

47,279

 

BioMed Realty Trust, Inc.

 

833,529

 

58,361

 

Boston Properties, Inc.

 

4,890,652

 

55,333

 

Brandywine Realty Trust

 

611,983

 

26,863

 

BRE Properties, Inc.

 

1,156,989

 

28,220

 

Camden Property Trust

 

1,441,195

 

58,067

 

CBL & Associates Properties, Inc.

 

958,105

 

424,260

 

Chimera Investment Corp.

 

1,697,040

 

30,008

 

Colonial Properties Trust

 

540,144

 

26,942

 

CommonWealth REIT

 

674,358

 

24,793

 

Corporate Office Properties Trust

 

840,731

 

88,933

 

DCT Industrial Trust, Inc.

 

439,329

 

79,584

 

Developers Diversified Realty Corp.

 

1,021,063

 

65,109

 

DiamondRock Hospitality Co.*

 

685,598

 

36,672

 

Digital Realty Trust, Inc.

 

1,926,013

 

51,147

 

Douglas Emmett, Inc.

 

854,155

 

103,964

 

Duke Realty Corp.

 

1,157,119

 

24,949

 

DuPont Fabros Technology, Inc.

 

563,598

 

11,347

 

EastGroup Properties, Inc.

 

452,405

 

19,583

 

Entertainment Properties Trust

 

906,693

 

12,790

 

Equity Lifestyle Properties, Inc.

 

689,125

 

119,165

 

Equity Residential

 

5,955,867

 

12,678

 

Essex Property Trust, Inc.

 

1,405,229

 

25,652

 

Federal Realty Investment Trust

 

1,985,208

 

30,330

 

Franklin Street Properties Corp.

 

389,134

 

15,551

 

Hatteras Financial Corp.

 

481,770

 

129,721

 

HCP, Inc.

 

4,271,712

 

51,807

 

Health Care REIT, Inc.

 

2,397,628

 

26,811

 

Healthcare Realty Trust, Inc.

 

553,379

 

30,154

 

Highwoods Properties, Inc.

 

919,999

 

15,789

 

Home Properties, Inc.

 

846,132

 

51,956

 

Hospitality Properties Trust

 

1,149,267

 

277,229

 

Host Hotels & Resorts, Inc.

 

4,568,734

 

22,026

 

Kilroy Realty Corp.

 

751,527

 

169,206

 

Kimco Realty Corp.

 

2,818,972

 

29,407

 

LaSalle Hotel Properties

 

699,887

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

45,868

 

Lexington Realty Trust

 

$

360,064

 

47,705

 

Liberty Property Trust

 

1,495,075

 

54,645

 

Macerich Co. (The)

 

2,532,249

 

33,355

 

Mack-Cali Realty Corp.

 

1,059,021

 

118,090

 

MFA Financial, Inc.

 

962,433

 

13,814

 

Mid-America Apartment Communities, Inc.

 

847,765

 

35,090

 

National Retail Properties, Inc.

 

912,691

 

52,136

 

Nationwide Health Properties, Inc.

 

1,879,503

 

39,165

 

Omega Healthcare Investors, Inc.

 

826,773

 

68,572

 

Plum Creek Timber Co., Inc.

 

2,471,335

 

20,408

 

Post Properties, Inc.

 

695,301

 

16,830

 

Potlatch Corp.

 

533,174

 

232,918

 

ProLogis

 

3,030,263

 

59,391

 

Public Storage

 

5,737,171

 

33,466

 

Rayonier, Inc.

 

1,705,427

 

43,919

 

Realty Income Corp.

 

1,495,442

 

29,365

 

Redwood Trust, Inc.

 

406,118

 

34,454

 

Regency Centers Corp.

 

1,402,967

 

53,480

 

Senior Housing Properties Trust

 

1,194,208

 

123,334

 

Simon Property Group, Inc.

 

12,148,399

 

32,838

 

SL Green Realty Corp.

 

2,147,605

 

41,280

 

Sunstone Hotel Investors, Inc.*

 

392,986

 

16,967

 

Tanger Factory Outlet Centers

 

814,077

 

22,996

 

Taubman Centers, Inc.

 

1,115,996

 

68,302

 

UDR, Inc.

 

1,523,135

 

65,919

 

Ventas, Inc.

 

3,379,667

 

75,872

 

Vornado Realty Trust

 

6,189,638

 

26,317

 

Washington Real Estate Investment Trust

 

807,406

 

50,370

 

Weingarten Realty Investors

 

1,193,769

 

 

 

 

 

125,014,662

 

 

 

Real Estate Management & Development - 0.6%

 

 

 

 

 

 

 

 

 

109,106

 

Brookfield Properties Corp.

 

1,764,244

 

123,848

 

CB Richard Ellis Group, Inc., Class A*

 

2,376,643

 

50,889

 

Forest City Enterprises, Inc., Class A*

 

781,146

 

15,039

 

Forestar Group, Inc.*

 

271,003

 

17,708

 

Jones Lang LaSalle, Inc.

 

1,413,453

 

38,630

 

St. Joe Co. (The)*

 

679,888

 

 

 

 

 

7,286,377

 

 

 

Thrifts & Mortgage Finance - 1.1%

 

 

 

 

 

 

 

 

 

37,165

 

Astoria Financial Corp.

 

447,467

 

8,946

 

Capitol Federal Financial

 

208,889

 

87,792

 

First Niagara Financial Group, Inc.

 

1,087,304

 

205,466

 

Hudson City Bancorp, Inc.

 

2,332,039

 

84,430

 

MGIC Investment Corp.*

 

719,344

 

183,394

 

New York Community Bancorp, Inc.

 

3,081,019

 

41,265

 

NewAlliance Bancshares, Inc.

 

550,475

 

157,588

 

People’s United Financial, Inc.

 

1,952,515

 

23,842

 

Provident Financial Services, Inc.

 

328,543

 

56,009

 

Radian Group, Inc.

 

397,104

 

39,152

 

TFS Financial Corp.

 

320,263

 

32,382

 

TrustCo Bank Corp NY

 

181,663

 

47,292

 

Washington Federal, Inc.

 

698,030

 

 

 

 

 

12,304,655

 

 

 

Total Common Stocks

 

 

 

 

 

(Cost $828,722,632)

 

833,430,120

 

 

 

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 9.6%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

37,030,551

 

0.07%, due 12/01/10

 

37,030,551

 

74,786,411

 

0.09%, due 12/06/10

 

74,786,411

 

 

 

Total U.S. Government & Agency Securities (Cost $111,816,962)

 

111,816,962

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 22.1%

 

 

 

257,859,107

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $257,862,612

 

257,859,107

 

 

 

Total Repurchase Agreements

 

 

 

 

 

(Cost $257,859,107)

 

257,859,107

 

 

 

Total Investment Securities

 

 

 

 

 

(Cost $1,198,398,701) —  103.3%

 

1,203,106,189

 

 

 

Liabilities in excess of other assets — (3.3%)

 

(38,140,746

)

 

 

Net Assets — 100.0%

 

$

1,164,965,443

 

 

*

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. At 11/30/10, the aggregate amount held in a segregated account was $595,929,586.

(b)

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

As of November 30, 2010, 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

 

$

170,664,358

 

Aggregate gross unrealized depreciation

 

(189,741,047

)

Net unrealized depreciation

 

$

(19,076,689

)

Federal income tax cost of investments

 

$

1,222,182,878

 

 

See accompanying notes to the financial statements.

 


 

Swap Agreements

Ultra Financials had the following open swap agreements as of November 30, 2010:

 

 

 

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

 

$

63,630,533

 

$

(6,000,126

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. FinancialsSM Index

 

22,115,672

 

(7,997,721

)

 

 

 

 

 

 

Equity Index Swap Agreement with Goldman Sachs International, based on the Dow Jones U.S. FinancialsSM Index

 

115,324,059

 

(7,829,342

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones U.S. FinancialsSM Index

 

126,060,730

 

(2,425,300

)

 

 

 

 

 

 

Equity Index Swap Agreement with Morgan Stanley & Co. International plc, based on the Dow Jones U.S. FinancialsSM Index

 

264,264,157

 

(3,216,965

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on the Dow Jones U.S. FinancialsSM Index

 

124,275,669

 

3,108,056

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. FinancialsSM Index

 

785,192,062

 

(13,761,754

)

 

 

 

 

 

 

 

 

 

 

$

(38,123,152

)

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Ultra Industrials

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a)  -  37.1%

 

 

 

 

 

Aerospace & Defense - 6.7%

 

 

 

 

 

 

 

 

 

244

 

AAR Corp.*

 

$

5,993

 

188

 

Alliant Techsystems, Inc.*

 

13,895

 

589

 

BE Aerospace, Inc.*

 

20,910

 

4,012

 

Boeing Co. (The)

 

255,845

 

153

 

Ceradyne, Inc.*

 

4,042

 

284

 

Curtiss-Wright Corp.

 

8,824

 

181

 

Esterline Technologies Corp.*

 

10,657

 

1,950

 

General Dynamics Corp.

 

128,875

 

765

 

Goodrich Corp.

 

65,614

 

589

 

Hexcel Corp.*

 

10,101

 

4,281

 

Honeywell International, Inc.

 

212,809

 

1,121

 

ITT Corp.

 

51,566

 

701

 

L-3 Communications Holdings, Inc.

 

49,301

 

1,773

 

Lockheed Martin Corp.

 

120,635

 

253

 

Moog, Inc., Class A*

 

9,326

 

1,679

 

Northrop Grumman Corp.

 

103,561

 

349

 

Orbital Sciences Corp.*

 

5,689

 

870

 

Precision Castparts Corp.

 

120,121

 

2,296

 

Raytheon Co.

 

106,190

 

969

 

Rockwell Collins, Inc.

 

54,322

 

654

 

Spirit Aerosystems Holdings, Inc., Class A*

 

12,733

 

217

 

Teledyne Technologies, Inc.*

 

8,728

 

221

 

TransDigm Group, Inc.*

 

15,139

 

5,309

 

United Technologies Corp.

 

399,608

 

 

 

 

 

1,794,484

 

 

 

Air Freight & Logistics - 2.4%

 

 

 

 

 

 

 

 

 

1,018

 

C.H. Robinson Worldwide, Inc.

 

75,037

 

1,311

 

Expeditors International of Washington, Inc.

 

69,352

 

1,783

 

FedEx Corp.

 

162,467

 

177

 

Forward Air Corp.

 

4,871

 

225

 

HUB Group, Inc., Class A*

 

7,342

 

4,385

 

United Parcel Service, Inc., Class B

 

307,520

 

625

 

UTi Worldwide, Inc.

 

12,031

 

 

 

 

 

638,620

 

 

 

Building Products - 0.3%

 

 

 

 

 

 

 

 

 

230

 

A. O. Smith Corp.

 

9,045

 

317

 

Lennox International, Inc.

 

13,945

 

2,207

 

Masco Corp.

 

24,078

 

689

 

Owens Corning*

 

18,127

 

230

 

Quanex Building Products Corp.

 

3,804

 

236

 

Simpson Manufacturing Co., Inc.

 

6,105

 

411

 

USG Corp.*

 

5,216

 

 

 

 

 

80,320

 

 

 

Chemicals - 0.3%

 

 

 

 

 

 

 

 

 

795

 

Nalco Holding Co.

 

23,389

 

570

 

Sherwin-Williams Co. (The)

 

42,277

 

568

 

Valspar Corp.

 

18,766

 

 

 

 

 

84,432

 

 

 

Commercial Services & Supplies - 1.3%

 

 

 

 

 

 

 

 

 

262

 

ABM Industries, Inc.

 

6,034

 

289

 

Brink’s Co. (The)

 

7,092

 

812

 

Cintas Corp.

 

21,717

 

144

 

Clean Harbors, Inc.*

 

10,663

 

679

 

Corrections Corp. of America*

 

16,398

 

316

 

Deluxe Corp.

 

6,696

 

115

 

G&K Services, Inc., Class A

 

3,190

 

1,138

 

Iron Mountain, Inc.

 

25,275

 

194

 

Mine Safety Appliances Co.

 

5,591

 

1,258

 

R.R. Donnelley & Sons Co.

 

19,826

 

1,920

 

Republic Services, Inc.

 

54,029

 

522

 

Stericycle, Inc.*

 

38,576

 

371

 

Tetra Tech, Inc.*

 

8,574

 

147

 

United Stationers, Inc.*

 

9,330

 

720

 

Waste Connections, Inc.

 

18,720

 

2,738

 

Waste Management, Inc.

 

93,776

 

 

 

 

 

345,487

 

 

 

Communications Equipment - 0.1%

 

 

 

 

 

 

 

 

 

104

 

Black Box Corp.

 

3,726

 

576

 

CommScope, Inc.*

 

18,208

 

 

 

 

 

21,934

 

 

 

Construction & Engineering - 0.9%

 

 

 

 

 

 

 

 

 

624

 

Aecom Technology Corp.*

 

16,074

 

407

 

EMCOR Group, Inc.*

 

10,908

 

1,097

 

Fluor Corp.

 

63,439

 

734

 

Foster Wheeler AG*

 

20,552

 

208

 

Granite Construction, Inc.

 

5,277

 

233

 

Insituform Technologies, Inc., Class A*

 

5,159

 

761

 

Jacobs Engineering Group, Inc.*

 

29,298

 

957

 

KBR, Inc.

 

25,916

 

1,282

 

Quanta Services, Inc.*

 

22,576

 

509

 

Shaw Group, Inc. (The)*

 

16,313

 

516

 

URS Corp.*

 

20,403

 

 

 

 

 

235,915

 

 

 

Construction Materials - 0.2%

 

 

 

 

 

 

 

 

 

273

 

Eagle Materials, Inc.

 

6,787

 

277

 

Martin Marietta Materials, Inc.

 

23,418

 

144

 

Texas Industries, Inc.

 

5,426

 

711

 

Vulcan Materials Co.

 

28,525

 

 

 

 

 

64,156

 

 

 

Containers & Packaging - 0.9%

 

 

 

 

 

 

 

 

 

384

 

Aptargroup, Inc.

 

17,538

 

568

 

Ball Corp.

 

37,420

 

659

 

Bemis Co., Inc.

 

20,706

 

996

 

Crown Holdings, Inc.*

 

30,906

 

155

 

Greif, Inc., Class A

 

9,058

 

1,015

 

Owens-Illinois, Inc.*

 

27,283

 

628

 

Packaging Corp. of America

 

16,108

 

234

 

Rock-Tenn Co., Class A

 

12,657

 

969

 

Sealed Air Corp.

 

22,529

 

312

 

Silgan Holdings, Inc.

 

10,683

 

609

 

Sonoco Products Co.

 

19,951

 

662

 

Temple-Inland, Inc.

 

13,882

 

 

 

 

 

238,721

 

 

 

Diversified Consumer Services - 0.0%

 

 

 

 

 

 

 

 

 

187

 

Coinstar, Inc.*

 

12,050

 

 

 

 

 

 

 

 

 

Diversified Financial Services - 0.0%

 

 

 

 

 

 

 

 

 

338

 

PHH Corp.*

 

7,176

 

 

 

 

 

 

 

 

 

Electrical Equipment - 2.3%

 

 

 

 

 

 

 

 

 

260

 

Acuity Brands, Inc.

 

14,004

 

248

 

American Superconductor Corp.*

 

8,253

 

653

 

AMETEK, Inc.

 

38,638

 

705

 

Babcock & Wilcox Co.*

 

17,125

 

263

 

Baldor Electric Co.

 

16,651

 

283

 

Belden, Inc.

 

9,418

 

300

 

Brady Corp., Class A

 

9,279

 

1,021

 

Cooper Industries plc

 

55,645

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

4,632

 

Emerson Electric Co.

 

$

255,084

 

281

 

EnerSys*

 

8,483

 

323

 

General Cable Corp.*

 

10,591

 

742

 

GrafTech International Ltd.*

 

14,543

 

322

 

Hubbell, Inc., Class B

 

18,212

 

230

 

Regal-Beloit Corp.

 

14,030

 

866

 

Rockwell Automation, Inc.

 

57,260

 

578

 

Roper Industries, Inc.

 

41,853

 

323

 

Thomas & Betts Corp.*

 

14,357

 

353

 

Woodward Governor Co.

 

11,914

 

 

 

 

 

615,340

 

 

 

Electronic Equipment, Instruments & Components - 1.8%

 

 

 

 

 

 

 

 

 

2,144

 

Agilent Technologies, Inc.*

 

75,083

 

1,066

 

Amphenol Corp., Class A

 

53,332

 

183

 

Anixter International, Inc.

 

10,224

 

725

 

Arrow Electronics, Inc.*

 

22,482

 

930

 

Avnet, Inc.*

 

28,505

 

317

 

AVX Corp.

 

4,536

 

387

 

Benchmark Electronics, Inc.*

 

6,219

 

244

 

Checkpoint Systems, Inc.*

 

4,377

 

221

 

Cognex Corp.

 

6,179

 

4,820

 

Flextronics International Ltd.*

 

34,945

 

969

 

FLIR Systems, Inc.*

 

25,974

 

242

 

Itron, Inc.*

 

13,738

 

1,230

 

Jabil Circuit, Inc.

 

18,585

 

132

 

Littelfuse, Inc.

 

6,108

 

393

 

Molex, Inc.

 

8,175

 

428

 

Molex, Inc., Class A

 

7,456

 

374

 

National Instruments Corp.

 

12,761

 

241

 

Plexus Corp.*

 

6,540

 

737

 

Trimble Navigation Ltd.*

 

27,446

 

2,746

 

Tyco Electronics Ltd.

 

83,533

 

1,058

 

Vishay Intertechnology, Inc.*

 

15,087

 

 

 

 

 

471,285

 

 

 

Energy Equipment & Services - 0.1%

 

 

 

 

 

 

 

 

 

1,417

 

McDermott International, Inc.*

 

25,974

 

 

 

 

 

 

 

 

 

Household Durables - 0.2%

 

 

 

 

 

 

 

 

 

932

 

Fortune Brands, Inc.

 

55,072

 

 

 

 

 

 

 

 

 

Industrial Conglomerates - 5.8%

 

 

 

 

 

 

 

 

 

4,005

 

3M Co.

 

336,340

 

377

 

Carlisle Cos., Inc.

 

13,806

 

65,490

 

General Electric Co.

 

1,036,706

 

1,661

 

Textron, Inc.

 

37,140

 

3,055

 

Tyco International Ltd.

 

115,754

 

 

 

 

 

1,539,746

 

 

 

Internet Software & Services - 0.1%

 

 

 

 

 

 

 

 

 

797

 

Monster Worldwide, Inc.*

 

17,996

 

244

 

Vistaprint N.V.*

 

9,838

 

 

 

 

 

27,834

 

 

 

IT Services - 2.3%

 

 

 

 

 

 

 

 

 

3,885

 

Accenture plc, Class A

 

168,298

 

323

 

Alliance Data Systems Corp.*

 

20,375

 

3,074

 

Automatic Data Processing, Inc.

 

137,008

 

725

 

Broadridge Financial Solutions, Inc.

 

14,928

 

661

 

Convergys Corp.*

 

8,520

 

605

 

CoreLogic, Inc.

 

11,017

 

289

 

Euronet Worldwide, Inc.*

 

4,728

 

1,529

 

Fidelity National Information Services, Inc.

 

41,130

 

918

 

Fiserv, Inc.*

 

50,765

 

642

 

Genpact Ltd.*

 

8,937

 

489

 

Global Payments, Inc.

 

20,323

 

569

 

Lender Processing Services, Inc.

 

17,508

 

143

 

Mantech International Corp., Class A*

 

5,709

 

457

 

NeuStar, Inc., Class A*

 

11,809

 

1,988

 

Paychex, Inc.

 

56,737

 

187

 

TeleTech Holdings, Inc.*

 

3,546

 

1,212

 

Total System Services, Inc.

 

18,289

 

237

 

Wright Express Corp.*

 

10,208

 

 

 

 

 

609,835

 

 

 

Life Sciences Tools & Services - 0.2%

 

 

 

 

 

 

 

 

 

108

 

Dionex Corp.*

 

9,847

 

207

 

Mettler-Toledo International, Inc.*

 

30,052

 

717

 

PerkinElmer, Inc.

 

16,706

 

 

 

 

 

56,605

 

 

 

Machinery - 6.9%

 

 

 

 

 

 

 

 

 

415

 

Actuant Corp., Class A

 

9,806

 

570

 

AGCO Corp.*

 

25,730

 

115

 

Astec Industries, Inc.*

 

3,444

 

460

 

Bucyrus International, Inc.

 

41,014

 

3,493

 

Caterpillar, Inc.

 

295,508

 

310

 

CLARCOR, Inc.

 

12,620

 

310

 

Crane Co.

 

11,619

 

1,106

 

Cummins, Inc.

 

107,415

 

3,098

 

Danaher Corp.

 

133,988

 

2,585

 

Deere & Co.

 

193,099

 

442

 

Donaldson Co., Inc.

 

23,996

 

1,143

 

Dover Corp.

 

62,648

 

1,032

 

Eaton Corp.

 

99,485

 

159

 

ESCO Technologies, Inc.

 

5,578

 

343

 

Flowserve Corp.

 

36,173

 

319

 

Gardner Denver, Inc.

 

20,879

 

367

 

Graco, Inc.

 

13,197

 

495

 

Harsco Corp.

 

11,910

 

498

 

IDEX Corp.

 

18,660

 

2,634

 

Illinois Tool Works, Inc.

 

125,457

 

1,950

 

Ingersoll-Rand plc

 

79,950

 

626

 

Joy Global, Inc.

 

47,776

 

204

 

Kaydon Corp.

 

7,136

 

494

 

Kennametal, Inc.

 

16,707

 

266

 

Lincoln Electric Holdings, Inc.

 

16,402

 

806

 

Manitowoc Co., Inc. (The)*

 

8,850

 

232

 

Mueller Industries, Inc.

 

7,074

 

946

 

Mueller Water Products, Inc., Class A

 

3,330

 

327

 

Navistar International Corp.*

 

16,736

 

190

 

Nordson Corp.

 

15,092

 

552

 

Oshkosh Corp.*

 

15,842

 

2,229

 

PACCAR, Inc.

 

120,054

 

715

 

Pall Corp.

 

32,368

 

988

 

Parker Hannifin Corp.

 

79,267

 

603

 

Pentair, Inc.

 

19,839

 

305

 

SPX Corp.

 

20,032

 

660

 

Terex Corp.*

 

16,025

 

474

 

Timken Co.

 

20,647

 

197

 

Toro Co. (The)

 

11,467

 

486

 

Trinity Industries, Inc.

 

11,129

 

130

 

Valmont Industries, Inc.

 

10,512

 

295

 

Westinghouse Air Brake Technologies Corp.

 

13,638

 

 

 

 

 

1,842,099

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

 

 

Marine - 0.1%

 

 

 

 

 

 

 

 

 

256

 

Alexander & Baldwin, Inc.

 

$

8,983

 

189

 

Genco Shipping & Trading Ltd.*

 

2,775

 

327

 

Kirby Corp.*

 

14,607

 

 

 

 

 

26,365

 

 

 

Metals & Mining - 0.0%

 

 

 

139

 

Schnitzer Steel Industries, Inc., Class A

 

7,935

 

 

 

 

 

 

 

 

 

Multi-Utilities - 0.1%

 

 

 

1,069

 

MDU Resources Group, Inc.

 

21,850

 

 

 

 

 

 

 

 

 

Office Electronics - 0.1%

 

 

 

357

 

Zebra Technologies Corp., Class A*

 

13,009

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels - 0.1%

 

 

 

164

 

Overseas Shipholding Group, Inc.

 

5,735

 

259

 

Teekay Corp.

 

8,259

 

326

 

World Fuel Services Corp.

 

9,813

 

 

 

 

 

23,807

 

 

 

Paper & Forest Products - 0.3%

 

 

 

 

 

 

 

 

 

778

 

Louisiana-Pacific Corp.*

 

6,379

 

1,052

 

MeadWestvaco Corp.

 

26,132

 

3,272

 

Weyerhaeuser Co.

 

54,610

 

 

 

 

 

87,121

 

 

 

Professional Services - 0.4%

 

 

 

 

 

 

 

 

 

206

 

Corporate Executive Board Co. (The)

 

7,146

 

287

 

FTI Consulting, Inc.*

 

10,229

 

504

 

Manpower, Inc.

 

28,385

 

306

 

Navigant Consulting, Inc.*

 

2,546

 

283

 

Resources Connection, Inc.

 

4,735

 

903

 

Robert Half International, Inc.

 

25,031

 

237

 

Towers Watson & Co., Class A

 

11,897

 

273

 

TrueBlue, Inc.*

 

4,499

 

742

 

Verisk Analytics, Inc., Class A*

 

22,460

 

 

 

 

 

116,928

 

 

 

Road & Rail - 2.5%

 

 

 

 

 

 

 

 

 

156

 

Arkansas Best Corp.

 

3,843

 

333

 

Con-way, Inc.

 

11,255

 

2,329

 

CSX Corp.

 

141,627

 

239

 

Genesee & Wyoming, Inc., Class A*

 

11,350

 

338

 

Heartland Express, Inc.

 

5,222

 

569

 

J.B. Hunt Transport Services, Inc.

 

20,769

 

627

 

Kansas City Southern*

 

29,682

 

359

 

Knight Transportation, Inc.

 

6,922

 

312

 

Landstar System, Inc.

 

11,216

 

2,251

 

Norfolk Southern Corp.

 

135,443

 

280

 

Old Dominion Freight Line, Inc.*

 

8,086

 

321

 

Ryder System, Inc.

 

13,838

 

3,053

 

Union Pacific Corp.

 

275,106

 

318

 

Werner Enterprises, Inc.

 

6,862

 

 

 

 

 

681,221

 

 

 

Semiconductors & Semiconductor Equipment - 0.0%

 

 

 

 

 

 

 

 

 

247

 

Veeco Instruments, Inc.*

 

10,863

 

 

 

 

 

 

 

 

 

Software - 0.1%

 

 

 

 

 

 

 

 

 

511

 

Jack Henry & Associates, Inc.

 

13,971

 

 

 

 

 

 

 

 

 

Trading Companies & Distributors - 0.6%

 

 

 

 

 

 

 

 

 

837

 

Fastenal Co.

 

44,796

 

247

 

GATX Corp.

 

8,193

 

154

 

Kaman Corp.

 

4,338

 

272

 

MSC Industrial Direct Co., Class A

 

16,358

 

369

 

United Rentals, Inc.*

 

7,240

 

365

 

W.W. Grainger, Inc.

 

45,600

 

153

 

Watsco, Inc.

 

9,221

 

258

 

WESCO International, Inc.*

 

12,312

 

 

 

 

 

148,058

 

 

 

Total Common Stocks
(Cost $8,881,297)

 

9,918,213

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 18.1%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

1,857,465

 

0.07%, due 12/01/10

 

1,857,465

 

2,991,659

 

0.09%, due 12/06/10

 

2,991,659

 

 

 

Total U.S. Government & Agency Securities (Cost $4,849,124)

 

4,849,124

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 41.6%

 

 

 

11,140,830

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $11,140,976

 

11,140,830

 

 

 

Total Repurchase Agreements
(Cost $11,140,830)

 

11,140,830

 

 

 

Total Investment Securities
(Cost $24,871,251) —  96.8%

 

25,908,167

 

 

 

Other assets less liabilities — 3.2%

 

857,477

 

 

 

Net Assets — 100.0%

 

$

 26,765,644

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $10,290,004.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

See accompanying notes to the financial statements.

 


 

As of November 30, 2010, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation

 

$

1,772,474

 

Aggregate gross unrealized depreciation

 

(787,435

)

Net unrealized appreciation

 

$

985,039

 

Federal income tax cost of investments

 

$

24,923,128

 

 

Swap Agreements

Ultra Industrials had the following open swap agreements as of November 30, 2010:

 

 

 

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

 

$

1,926,216

 

$

1,165,376

 

 

 

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on the Dow Jones U.S. IndustrialsSM Index

 

33,603,359

 

(606,854

)

 

 

 

 

 

 

Equity Index Swap Agreement with Merrill Lynch International, based on the Dow Jones U.S. IndustrialsSM Index

 

4,975,032

 

81,033

 

 

 

 

 

 

 

Equity Index Swap Agreement with UBS AG, based on the Dow Jones U.S. IndustrialsSM Index

 

3,164,167

 

238,851

 

 

 

 

 

 

 

 

 

 

 

$

878,406

 

 

See accompanying notes to the financial statements.

 


 

Schedule of Portfolio Investments November 30, 2010 (Unaudited)

Credit Suisse 130/30

 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) - 98.3%

 

 

 

 

 

Consumer Discretionary - 9.8%

 

 

 

 

 

 

 

 

 

655

 

Amazon.com, Inc.*

 

$

114,887

 

6,333

 

Big Lots, Inc.*

 

194,106

 

6,297

 

CarMax, Inc.*

 

207,171

 

6,014

 

Carnival Corp.

 

248,438

 

11,540

 

CBS Corp., Class B

 

194,334

 

16,058

 

Comcast Corp., Class A

 

321,160

 

4,262

 

Darden Restaurants, Inc.

 

208,625

 

5,685

 

Discovery Communications, Inc., Class A*

 

231,834

 

3,881

 

Expedia, Inc.

 

102,187

 

24,799

 

Ford Motor Co.*

 

395,296

 

8,192

 

GameStop Corp., Class A*

 

163,185

 

9,055

 

Gannett Co., Inc.

 

118,711

 

4,222

 

Gap, Inc. (The)

 

90,182

 

4,495

 

Genuine Parts Co.

 

216,389

 

18,736

 

Goodyear Tire & Rubber Co. (The)*

 

179,116

 

14,008

 

H&R Block, Inc.

 

176,361

 

1,512

 

Home Depot, Inc.

 

45,678

 

3,407

 

Interpublic Group of Cos., Inc. (The)*

 

36,285

 

7,669

 

Johnson Controls, Inc.

 

279,458

 

7,182

 

Leggett & Platt, Inc.

 

148,667

 

1,533

 

Limited Brands, Inc.

 

51,616

 

2,225

 

McDonald’s Corp.

 

174,218

 

21,820

 

News Corp., Class A

 

297,625

 

3,322

 

Ross Stores, Inc.

 

215,531

 

1,593

 

Starbucks Corp.

 

48,746

 

6,120

 

Target Corp.

 

348,473

 

5,689

 

TJX Cos., Inc.

 

259,475

 

3,445

 

Walt Disney Co. (The)

 

125,777

 

490

 

Washington Post Co. (The), Class B

 

184,740

 

2,583

 

Whirlpool Corp.

 

188,559

 

1,901

 

Wynn Resorts Ltd.

 

192,191

 

 

 

 

 

5,759,021

 

 

 

Consumer Staples - 10.5%

 

 

 

 

 

 

 

 

 

1,624

 

Altria Group, Inc.

 

38,976

 

8,035

 

Archer-Daniels-Midland Co.

 

232,935

 

2,447

 

Avon Products, Inc.

 

69,886

 

2,351

 

Campbell Soup Co.

 

79,699

 

3,453

 

Clorox Co.

 

213,430

 

12,057

 

Coca-Cola Co. (The)

 

761,641

 

6,580

 

Coca-Cola Enterprises, Inc.

 

158,907

 

5,072

 

CVS Caremark Corp.

 

157,232

 

16,357

 

Dean Foods Co.*

 

118,915

 

6,057

 

Dr. Pepper Snapple Group, Inc.

 

221,868

 

4,290

 

Hershey Co. (The)

 

200,772

 

4,346

 

Kimberly-Clark Corp.

 

268,974

 

1,820

 

Kraft Foods, Inc., Class A

 

55,055

 

1,312

 

Kroger Co. (The)

 

30,897

 

1,974

 

Lorillard, Inc.

 

157,091

 

2,570

 

McCormick & Co., Inc. (Non-Voting)

 

113,106

 

4,267

 

Molson Coors Brewing Co., Class B

 

203,322

 

9,374

 

PepsiCo, Inc.

 

605,842

 

9,470

 

Philip Morris International, Inc.

 

538,748

 

8,946

 

Procter & Gamble Co. (The)

 

546,332

 

5,389

 

Reynolds American, Inc.

 

166,736

 

14,218

 

Sara Lee Corp.

 

213,270

 

18,577

 

SUPERVALU, Inc.

 

167,936

 

11,923

 

Tyson Foods, Inc., Class A

 

188,741

 

7,664

 

Wal-Mart Stores, Inc.

 

414,546

 

4,446

 

Whole Foods Market, Inc.*

 

209,940

 

 

 

 

 

6,134,797

 

 

 

Energy - 10.0%

 

 

 

 

 

 

 

 

 

3,120

 

Apache Corp.

 

335,837

 

10,453

 

Chesapeake Energy Corp.

 

220,767

 

10,282

 

Chevron Corp.

 

832,533

 

3,088

 

ConocoPhillips

 

185,805

 

4,600

 

Denbury Resources, Inc.*

 

83,628

 

3,330

 

Devon Energy Corp.

 

234,998

 

645

 

EOG Resources, Inc.

 

57,373

 

17,871

 

Exxon Mobil Corp.

 

1,243,107

 

1,689

 

Halliburton Co.

 

63,912

 

3,711

 

Hess Corp.

 

259,956

 

8,251

 

Marathon Oil Corp.

 

276,161

 

3,450

 

Murphy Oil Corp.

 

232,944

 

9,306

 

Nabors Industries Ltd.*

 

205,570

 

1,166

 

Occidental Petroleum Corp.

 

102,806

 

2,808

 

Pioneer Natural Resources Co.

 

224,949

 

1,484

 

QEP Resources, Inc.

 

52,133

 

3,230

 

Schlumberger Ltd.

 

249,808

 

6,087

 

Southwestern Energy Co.*

 

220,349

 

5,184

 

Sunoco, Inc.

 

208,086

 

12,907

 

Tesoro Corp.*

 

210,642

 

11,386

 

Valero Energy Corp.

 

221,799

 

7,672

 

Williams Cos., Inc. (The)

 

174,998

 

 

 

 

 

5,898,161

 

 

 

Financials - 16.6%

 

 

 

 

 

 

 

 

 

4,470

 

ACE Ltd.

 

261,584

 

1,682

 

Aflac, Inc.

 

86,623

 

7,588

 

Allstate Corp. (The)

 

220,887

 

160

 

American Express Co.

 

6,915

 

4,894

 

American International Group, Inc.*

 

202,073

 

4,459

 

Ameriprise Financial, Inc.

 

231,155

 

6,161

 

Apartment Investment & Management Co., Class A (REIT)

 

148,603

 

1,759

 

Assurant, Inc.

 

62,040

 

29,173

 

Bank of America Corp.

 

319,444

 

11,685

 

Bank of New York Mellon Corp. (The)

 

315,378

 

5,979

 

Capital One Financial Corp.

 

222,598

 

10,235

 

CB Richard Ellis Group, Inc., Class A*

 

196,410

 

4,422

 

Chubb Corp.

 

252,098

 

6,557

 

Cincinnati Financial Corp.

 

197,661

 

66,038

 

Citigroup, Inc.*

 

277,360

 

11,786

 

Discover Financial Services

 

215,448

 

12,734

 

E*Trade Financial Corp.*

 

187,827

 

2,708

 

Federated Investors, Inc., Class B

 

64,207

 

12,610

 

Fifth Third Bancorp

 

150,690

 

18,383

 

First Horizon National Corp.*

 

175,925

 

2,141

 

Franklin Resources, Inc.

 

244,267

 

1,073

 

Goldman Sachs Group, Inc. (The)

 

167,538

 

4,161

 

Health Care REIT, Inc. (REIT)

 

192,571

 

16,369

 

Hudson City Bancorp, Inc.

 

185,788

 

29,094

 

Huntington Bancshares, Inc./OH

 

169,764

 

200

 

IntercontinentalExchange, Inc.*

 

22,540

 

12,110

 

JPMorgan Chase & Co.

 

452,672

 

25,769

 

KeyCorp

 

194,041

 

6,053

 

Legg Mason, Inc.

 

197,449

 

7,559

 

Leucadia National Corp.*

 

196,232

 

5,886

 

Loews Corp.

 

220,195

 

1,563

 

M&T Bank Corp.

 

120,288

 

8,463

 

MetLife, Inc.

 

322,863

 

7,327

 

Moody’s Corp.

 

196,583

 

12,900

 

Morgan Stanley

 

315,534

 

8,848

 

NASDAQ OMX Group, Inc. (The)*

 

189,878

 

7,369

 

NYSE Euronext

 

201,321

 

11,034

 

Progressive Corp. (The)

 

224,432

 

5,263

 

Prudential Financial, Inc.

 

266,729

 

2,369

 

Public Storage (REIT)

 

228,845

 

5,207

 

Travelers Cos., Inc. (The)

 

281,126

 

15,426

 

U.S. Bancorp

 

366,830

 

5,737

 

Unum Group

 

123,288

 

3,885

 

Ventas, Inc. (REIT)

 

199,184

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

19,109

 

Wells Fargo & Co.

 

$

519,956

 

7,785

 

Zions Bancorp.

 

151,418

 

 

 

 

 

9,746,258

 

 

 

Health Care - 10.1%

 

 

 

 

 

 

 

 

 

3,821

 

Abbott Laboratories

 

177,715

 

7,203

 

Aetna, Inc.

 

213,353

 

6,925

 

AmerisourceBergen Corp.

 

213,636

 

880

 

Amgen, Inc.*

 

46,367

 

3,170

 

Becton, Dickinson and Co.

 

247,038

 

3,076

 

Bristol-Myers Squibb Co.

 

77,638

 

2,384

 

C.R. Bard, Inc.

 

202,282

 

6,597

 

Cardinal Health, Inc.

 

234,721

 

4,903

 

Celgene Corp.*

 

291,140

 

3,066

 

Cephalon, Inc.*

 

194,660

 

9,492

 

Eli Lilly & Co.

 

319,501

 

5,662

 

Express Scripts, Inc.*

 

294,934

 

8,132

 

Gilead Sciences, Inc.*

 

296,818

 

3,738

 

Humana, Inc.*

 

209,478

 

834

 

Intuitive Surgical, Inc.*

 

217,082

 

10,097

 

Johnson & Johnson

 

621,470

 

4,792

 

Medco Health Solutions, Inc.*

 

293,845

 

5,622

 

Medtronic, Inc.

 

188,506

 

10,780

 

Merck & Co., Inc.

 

371,587

 

23,363

 

Pfizer, Inc.

 

380,583

 

4,677

 

Stryker Corp.

 

234,271

 

4,822

 

Thermo Fisher Scientific, Inc.*

 

245,247

 

3,682

 

UnitedHealth Group, Inc.

 

134,467

 

3,299

 

Varian Medical Systems, Inc.*

 

217,173

 

 

 

 

 

5,923,512

 

 

 

Industrials - 8.4%

 

 

 

 

 

 

 

 

 

1,021

 

3M Co.

 

85,744

 

5,164

 

Avery Dennison Corp.

 

193,857

 

488

 

Boeing Co. (The)

 

31,120

 

2,874

 

C.H. Robinson Worldwide, Inc.

 

211,842

 

417

 

Caterpillar, Inc.

 

35,278

 

4,576

 

CSX Corp.

 

278,267

 

2,189

 

Cummins, Inc.

 

212,596

 

3,900

 

Dover Corp.

 

213,759

 

3,259

 

FedEx Corp.

 

296,960

 

1,071

 

General Dynamics Corp.

 

70,782

 

33,799

 

General Electric Co.

 

535,038

 

4,103

 

ITT Corp.

 

188,738

 

2,984

 

L-3 Communications Holdings, Inc.

 

209,865

 

3,826

 

Lockheed Martin Corp.

 

260,321

 

4,472

 

Norfolk Southern Corp.

 

269,080

 

4,043

 

Northrop Grumman Corp.

 

249,372

 

9,673

 

R.R. Donnelley & Sons Co.

 

152,446

 

4,329

 

Ryder System, Inc.

 

186,623

 

9,520

 

Textron, Inc.

 

212,867

 

6,809

 

Tyco International Ltd.

 

257,993

 

43

 

Union Pacific Corp.

 

3,875

 

6,768

 

United Parcel Service, Inc., Class B

 

474,640

 

1,465

 

United Technologies Corp.

 

110,271

 

1,676

 

W.W. Grainger, Inc.

 

209,383

 

 

 

 

 

4,950,717

 

 

 

Information Technology - 20.1%

 

 

 

 

 

 

 

 

 

2,388

 

Akamai Technologies, Inc.*

 

124,630

 

6,828

 

Altera Corp.

 

239,595

 

6,641

 

Analog Devices, Inc.

 

236,154

 

4,341

 

Apple, Inc.*

 

1,350,702

 

20,127

 

Applied Materials, Inc.

 

250,179

 

6,305

 

Broadcom Corp., Class A

 

280,510

 

9,301

 

CA, Inc.

 

212,900

 

22,158

 

Cisco Systems, Inc.*

 

424,547

 

1,163

 

Citrix Systems, Inc.*

 

77,247

 

4,093

 

Cognizant Technology Solutions Corp., Class A*

 

265,963

 

4,521

 

Computer Sciences Corp.

 

201,772

 

16,196

 

Corning, Inc.

 

286,021

 

20,351

 

Dell, Inc.*

 

269,040

 

221

 

EMC Corp.*

 

4,749

 

1,514

 

First Solar, Inc.*

 

185,995

 

739

 

Google, Inc., Class A*

 

410,670

 

4,471

 

Harris Corp.

 

197,797

 

5,223

 

Hewlett-Packard Co.

 

219,000

 

31,537

 

Intel Corp.

 

666,061

 

3,982

 

International Business Machines Corp.

 

563,294

 

4,873

 

Intuit, Inc.*

 

218,749

 

13,562

 

Jabil Circuit, Inc.

 

204,922

 

5,116

 

Lexmark International, Inc., Class A*

 

185,404

 

4,483

 

McAfee, Inc.*

 

210,029

 

27,151

 

Micron Technology, Inc.*

 

197,116

 

38,326

 

Microsoft Corp.

 

966,199

 

32,270

 

Motorola, Inc.*

 

247,188

 

1,358

 

NetApp, Inc.*

 

69,163

 

6,470

 

Novellus Systems, Inc.*

 

195,071

 

13,321

 

Oracle Corp.

 

360,200

 

2,845

 

QUALCOMM, Inc.

 

132,975

 

12,037

 

SAIC, Inc.*

 

184,407

 

2,031

 

Salesforce.com, Inc.*

 

282,756

 

5,500

 

SanDisk Corp.*

 

245,300

 

12,574

 

Symantec Corp.*

 

211,243

 

28,627

 

Tellabs, Inc.

 

180,636

 

16,233

 

Teradyne, Inc.*

 

192,523

 

5,944

 

Texas Instruments, Inc.

 

189,019

 

12,080

 

Total System Services, Inc.

 

182,287

 

3,024

 

Visa, Inc., Class A

 

223,322

 

7,999

 

Xilinx, Inc.

 

216,933

 

16,242

 

Yahoo!, Inc.*

 

256,136

 

 

 

 

 

11,818,404

 

 

 

Materials - 4.6%

 

 

 

 

 

 

 

 

 

15,709

 

Alcoa, Inc.

 

206,102

 

3,157

 

Ball Corp.

 

207,983

 

3,174

 

Cliffs Natural Resources, Inc.

 

216,911

 

7,699

 

Dow Chemical Co. (The)

 

240,055

 

217

 

E.I. du Pont de Nemours & Co.

 

10,197

 

2,552

 

Eastman Chemical Co.

 

198,571

 

3,569

 

Freeport-McMoRan Copper & Gold, Inc.

 

361,611

 

4,879

 

Newmont Mining Corp.

 

287,032

 

5,786

 

Nucor Corp.

 

218,364

 

3,032

 

PPG Industries, Inc.

 

236,375

 

8,586

 

Sealed Air Corp.

 

199,624

 

6,071

 

Titanium Metals Corp.*

 

104,846

 

12,465

 

Weyerhaeuser Co.

 

208,041

 

 

 

 

 

2,695,712

 

 

 

Telecommunication Services - 2.5%

 

 

 

 

 

 

 

 

 

30,271

 

AT&T, Inc.

 

841,231

 

1,635

 

CenturyLink, Inc.

 

70,289

 

16,037

 

MetroPCS Communications, Inc.*

 

194,849

 

10,576

 

Verizon Communications, Inc.

 

338,538

 

 

 

 

 

1,444,907

 

 

 

Utilities - 5.7%

 

 

 

 

 

 

 

 

 

8,550

 

Allegheny Energy, Inc.

 

195,111

 

12,594

 

CenterPoint Energy, Inc.

 

196,844

 

11,148

 

CMS Energy Corp.

 

200,330

 

4,650

 

Consolidated Edison, Inc.

 

224,920

 

6,534

 

Constellation Energy Group, Inc.

 

185,304

 

6,149

 

Edison International

 

227,144

 

3,278

 

Entergy Corp.

 

233,525

 

6,378

 

FirstEnergy Corp.

 

223,932

 

3,861

 

Integrys Energy Group, Inc.

 

188,031

 

3,925

 

Nicor, Inc.

 

169,756

 

 

See accompanying notes to the financial statements.

 


 

Shares

 

 

 

Value

 

 

 

Common Stocks (a) (continued)

 

 

 

11,665

 

NiSource, Inc.

 

$

195,155

 

2,940

 

Northeast Utilities

 

91,434

 

3,975

 

Oneok, Inc.

 

203,162

 

10,595

 

Pepco Holdings, Inc.

 

194,418

 

4,674

 

Pinnacle West Capital Corp.

 

188,923

 

5,072

 

Progress Energy, Inc.

 

221,596

 

10,897

 

TECO Energy, Inc.

 

182,525

 

 

 

 

 

3,322,110

 

 

 

Total Common Stocks
(Cost $53,774,493)

 

57,693,599

 

 

Principal
Amount

 

 

 

 

 

 

 

U.S. Government & Agency Securities (a) - 0.9%

 

 

 

 

 

Federal Home Loan Bank

 

 

 

$

209,931

 

0.07%, due 12/01/10

 

209,931

 

339,427

 

0.09%, due 12/06/10

 

339,427

 

 

 

Total U.S. Government & Agency Securities (Cost $549,358)

 

549,358

 

 

 

 

 

 

 

 

 

Repurchase Agreements (a)(b) - 2.2%

 

 

 

1,262,231

 

Repurchase Agreements with various counterparties, rates 0.22% - 0.25%, dated 11/29/10 - 11/30/10, due 12/01/10 - 12/06/10, total to be received $1,262,248

 

1,262,231

 

 

 

Total Repurchase Agreements
(Cost $1,262,231)

 

1,262,231

 

 

 

Total Investment Securities
(Cost $55,586,082) — 101.4%

 

59,505,188

 

 

 

Liabilities in excess of other assets — (1.4%)

 

(801,069

)

 

 

Net Assets — 100.0%

 

$

58,704,119

 

 

*

 

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. At 11/30/10, the aggregate amount held in a segregated account was $9,020,846.

(b)

 

The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See “Repurchase Agreements” under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.

 

REIT                                             Real Estate Investment Trust

 

As of November 30, 2010, 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

 

$

4,513,788

 

Aggregate gross unrealized depreciation

 

(734,923

)

Net unrealized appreciation

 

$

3,778,865

 

Federal income tax cost of investments

 

$

55,726,323

 

 

Swap Agreements

Credit Suisse 130/30 had the following open swap agreements as of November 30, 2010:

 

 

 

Notional Amount
at Value

 

Unrealized
Appreciation/
(Depreciation)

 

Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the Credit Suisse 130/30 Large Cap Index

 

$

(15,213,261

)

$

(253,353

)

 

 

 

 

 

 

Equity Index Swap Agreement with Deutsche Bank AG, based on positions within the Credit Suisse 130/30 Large Cap Index

 

15,518,697

 

(546,563

)

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on positions within the Credit Suisse 130/30 Large Cap Index

 

(2,642,015

)

52,572

 

 

 

 

 

 

 

Equity Index Swap Agreement with Societe Generale, based on positions within the Credit Suisse 130/30 Large Cap Index

 

3,328,728

 

(117,145

)

 

 

 

 

 

 

 

 

 

 

$

(864,489

)

 

See accompanying notes to the financial statements.

 


 

(b)                                 Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940.

Not applicable.

 


 

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 second 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 26, 2011

 

 

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 26, 2011

 

 

 

 

By:

/s/ Charles Todd

 

 

Charles Todd

 

 

Treasurer

 

 

January 26, 2011