13F-HR 1 form13f20111230.txt FORM 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 30, 2011 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Quantitative Investment Management, LLC Address: 401 E. Market Street, Suite 104 Charlottesville, VA 22902 Form 13F File Number: 28- The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Molly McCarty Dunnington Title: Chief Compliance Officer Phone: 434-817-3047 Signature, Place, and Date of Signing: /s/ Molly McCarty Dunnington Charlottesville, VA February 01, 2012 ---------------------------- ------------------- ------------------ [Signature] [City, State] [Date] Report Type (Check only one.): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: NONE Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 490 Form 13F Information Table Value Total: 1,198,675,309 List of Other Included Managers: NONE
Other Sole Name of Issuer/Title of Class Cusip Value Shares Discretion Managers Authority Shared None ----------------------------------------- ---------- ---------- ---------- ---------- -------- --------- ------ ---- Abbott Laboratories 002824100 9401656 167200 SOLE (None) 167200 0 0 ACE Ltd H0023R105 1640808 23400 SOLE (None) 23400 0 0 Activisin Blizrd 00507V109 124432 10100 SOLE (None) 10100 0 0 Actuant Corp 00508X203 544560 24000 SOLE (None) 24000 0 0 Adobe Systems Inc 00724F101 1201475 42500 SOLE (None) 42500 0 0 ADVANCE AUTO PARTS INC 00751Y106 870375 12500 SOLE (None) 12500 0 0 AEROPOSTALE INC 007865108 783850 51400 SOLE (None) 51400 0 0 AES Corp 00130H105 581344 49100 SOLE (None) 49100 0 0 Aetna Inc 00817Y108 4185248 99200 SOLE (None) 99200 0 0 Affiliated Managers Group Inc 008252108 297445 3100 SOLE (None) 3100 0 0 Agnico Eagle Mns Ltd 008474108 4387456 120800 SOLE (None) 120800 0 0 Air Products & Chem 009158106 340760 4000 SOLE (None) 4000 0 0 AK Steel Holding Corp 001547108 766528 92800 SOLE (None) 92800 0 0 Alaska Airlines Inc 011659109 1208949 16100 SOLE (None) 16100 0 0 Alcatel-Lucent Ads 013904305 557856 357600 SOLE (None) 357600 0 0 Alexion Pharmaceuticals 015351109 3782350 52900 SOLE (None) 52900 0 0 Alkermes PLC G01767105 713496 41100 SOLE (None) 41100 0 0 Allergan 018490102 3053352 34800 SOLE (None) 34800 0 0 ALLIANCE DATA SYSTEMS CP 018581108 2004112 19300 SOLE (None) 19300 0 0 Altera Corp 021441100 493430 13300 SOLE (None) 13300 0 0 Altria Group 02209S103 2721870 91800 SOLE (None) 91800 0 0 Amazon.com Inc 023135106 27713310 160100 SOLE (None) 160100 0 0 Amdocs Ltd G02602103 425097 14900 SOLE (None) 14900 0 0 Amer Axle & Manu Holdings Inc 024061103 262085 26500 SOLE (None) 26500 0 0 Amer Express 025816109 3669826 77800 SOLE (None) 77800 0 0 Amer Intl Group 026874784 1985920 85600 SOLE (None) 85600 0 0 Amer Superconductor 030111108 61992 16800 SOLE (None) 16800 0 0 Ameren Corp 023608102 434003 13100 SOLE (None) 13100 0 0 American Cap Ltd 02503Y103 259778 38600 SOLE (None) 38600 0 0 American Electric Power 025537101 5089392 123200 SOLE (None) 123200 0 0 American Tower Corp Cl A 03027X100 3090515 51500 SOLE (None) 51500 0 0 Amgen Co 031162100 5001959 77900 SOLE (None) 77900 0 0 Amkor Technology Inc 031652100 82840 19000 SOLE (None) 19000 0 0 Amylin Pharmaceutical Cp 032346108 345952 30400 SOLE (None) 30400 0 0 Analog Devices Inc 032654105 1449090 40500 SOLE (None) 40500 0 0
Ann Inc 035623107 612066 24700 SOLE (None) 24700 0 0 Annaly Capital Management Inc 035710409 5491836 344100 SOLE (None) 344100 0 0 Ansys Inc 03662Q105 1048224 18300 SOLE (None) 18300 0 0 Aon Corp 037389103 570960 12200 SOLE (None) 12200 0 0 Apollo Group Inc cl A 037604105 382477 7100 SOLE (None) 7100 0 0 Apple Inc 037833100 69943500 172700 SOLE (None) 172700 0 0 ARENA PHARMACEUTICALS INC 040047102 269280 144000 SOLE (None) 144000 0 0 Ariad Pharmaceuticals 04033A100 1166200 95200 SOLE (None) 95200 0 0 Ariba Inc 04033V203 1850472 65900 SOLE (None) 65900 0 0 Arris Group Inc 04269Q100 292140 27000 SOLE (None) 27000 0 0 Ascena Retail Group Inc 04351G101 484436 16300 SOLE (None) 16300 0 0 ASML Holding N07059186 618492 14800 SOLE (None) 14800 0 0 ASSURANT INC 04621X108 402388 9800 SOLE (None) 9800 0 0 ASSURED GUARANTY LTD G0585R106 1660896 126400 SOLE (None) 126400 0 0 AstraZeneca 046353108 661947 14300 SOLE (None) 14300 0 0 AT&T Inc 00206R102 17490816 578400 SOLE (None) 578400 0 0 ATP OIL & GAS CP 00208J108 321632 43700 SOLE (None) 43700 0 0 Autodesk Inc 052769106 245673 8100 SOLE (None) 8100 0 0 Automatic Data Process 053015103 2030776 37600 SOLE (None) 37600 0 0 AutoNation Inc 05329W102 733713 19900 SOLE (None) 19900 0 0 Avalon Bay Communities Inc 053484101 1031740 7900 SOLE (None) 7900 0 0 Avnet Inc 053807103 767923 24700 SOLE (None) 24700 0 0 Avon Products Inc 054303102 1663144 95200 SOLE (None) 95200 0 0 BANCO BRADESCO SA ADS 059460303 1192620 71500 SOLE (None) 71500 0 0 Bank Ny Mellon 064058100 666985 33500 SOLE (None) 33500 0 0 Bank of America Corp 060505104 45679292 8215700 SOLE (None) 8215700 0 0 Barclay Banks 06738E204 349482 31800 SOLE (None) 31800 0 0 Bard (C.R.) Inc 067383109 906300 10600 SOLE (None) 10600 0 0 Barnes & Noble Inc 067774109 586440 40500 SOLE (None) 40500 0 0 BE Aerospace Inc 073302101 236131 6100 SOLE (None) 6100 0 0 Bebe Stores Inc 075571109 144942 17400 SOLE (None) 17400 0 0 Becton Dickinson Co 075887109 1150688 15400 SOLE (None) 15400 0 0 Berkshire Hathaway Inc Cl B 084670702 3181710 41700 SOLE (None) 41700 0 0 Biogen Idec Inc 09062X103 506230 4600 SOLE (None) 4600 0 0 Biomarin Pharma Inc 09061G101 233784 6800 SOLE (None) 6800 0 0 BIOMED REALTY TR INC 09063H107 461040 25500 SOLE (None) 25500 0 0 Block (H & R) 093671105 551954 33800 SOLE (None) 33800 0 0
BLUE NILE INC 09578R103 327040 8000 SOLE (None) 8000 0 0 BMC Software Inc 055921100 1589830 48500 SOLE (None) 48500 0 0 Boston Properties Inc 101121101 1235040 12400 SOLE (None) 12400 0 0 BRE Properties Inc 05564E106 232208 4600 SOLE (None) 4600 0 0 Brightpoint Inc 109473405 208744 19400 SOLE (None) 19400 0 0 Brinker International Inc 109641100 594072 22200 SOLE (None) 22200 0 0 Bristol Myers Squibb Co 110122108 4581200 130000 SOLE (None) 130000 0 0 Brocade Comms 111621306 356553 68700 SOLE (None) 68700 0 0 Buckeye Technologies Corp 118255108 270864 8100 SOLE (None) 8100 0 0 BUFFALO WILD WINGS INC 119848109 1647244 24400 SOLE (None) 24400 0 0 CABELA'S INC 126804301 254200 10000 SOLE (None) 10000 0 0 Cablevision Sys Cp Cl A 12686C109 1788876 125800 SOLE (None) 125800 0 0 Cadence Design Sys Inc 127387108 179920 17300 SOLE (None) 17300 0 0 Camden Property Trust Sbi 133131102 504144 8100 SOLE (None) 8100 0 0 Campbells Soup Co 134429109 1342896 40400 SOLE (None) 40400 0 0 Canadian National Railway 136375102 251392 3200 SOLE (None) 3200 0 0 Canadian Solar Inc 136635109 112784 42400 SOLE (None) 42400 0 0 Capital One Financial 14040H105 2393614 56600 SOLE (None) 56600 0 0 CAPITALSOURCE INC 14055X102 462300 69000 SOLE (None) 69000 0 0 Carbo Ceramics Inc 140781105 801645 6500 SOLE (None) 6500 0 0 Career Education Corp 141665109 333146 41800 SOLE (None) 41800 0 0 CarMax Inc 143130102 1591056 52200 SOLE (None) 52200 0 0 Carnival Corp 143658300 1583040 48500 SOLE (None) 48500 0 0 CARTERS INC 146229109 672789 16900 SOLE (None) 16900 0 0 Caterpillar Inc 149123101 362400 4000 SOLE (None) 4000 0 0 CBS Cl B 124857202 2477882 91300 SOLE (None) 91300 0 0 Celgene 151020104 9234160 136600 SOLE (None) 136600 0 0 Centerpoint Energy 15189T107 1643362 81800 SOLE (None) 81800 0 0 Central European Distribution Corp 153435102 558012 127400 SOLE (None) 127400 0 0 Centurylink Inc 156700106 1584720 42600 SOLE (None) 42600 0 0 Charles Schwab Corp 808513105 1183426 105100 SOLE (None) 105100 0 0 Check Point Software Tech M22465104 394050 7500 SOLE (None) 7500 0 0 CHENIERE ENERGY INC 16411R208 1125355 129500 SOLE (None) 129500 0 0 Chevron 166764100 33973520 319300 SOLE (None) 319300 0 0 Chicago Bridge & Iron Co 167250109 230580 6100 SOLE (None) 6100 0 0 Chicos Fas Inc 168615102 218344 19600 SOLE (None) 19600 0 0 Children's Place Retail Stores Inc 168905107 366528 6900 SOLE (None) 6900 0 0
China Mobile Ltd 16941M109 1217099 25100 SOLE (None) 25100 0 0 CHINA PETROLEUM & CHEM CP ADS 16941R108 220605 2100 SOLE (None) 2100 0 0 CHIPOTLE MEXICAN GRILL INC 169656105 4897230 14500 SOLE (None) 14500 0 0 Chubb Corp (The) 171232101 1502074 21700 SOLE (None) 21700 0 0 Ciena Corp 171779309 1850090 152900 SOLE (None) 152900 0 0 Cigna 125509109 575400 13700 SOLE (None) 13700 0 0 Cisco Systems Inc 17275R102 18002256 995700 SOLE (None) 995700 0 0 Citigroup Inc 172967424 14296854 543400 SOLE (None) 543400 0 0 Citrix Systems 177376100 1827672 30100 SOLE (None) 30100 0 0 Clean Harbors Inc 184496107 318650 5000 SOLE (None) 5000 0 0 Clearwire Corp A 18538Q105 1226468 632200 SOLE (None) 632200 0 0 CMS Energy 125896100 1028928 46600 SOLE (None) 46600 0 0 Coca Cola Co 191216100 17450518 249400 SOLE (None) 249400 0 0 Coca Cola Ent 19122T109 1018310 39500 SOLE (None) 39500 0 0 Coeur D'alene Mines Cp 192108504 272782 11300 SOLE (None) 11300 0 0 Colgate-Palmolive Co 194162103 4480915 48500 SOLE (None) 48500 0 0 Collective brands 19421W100 444033 30900 SOLE (None) 30900 0 0 Comcast Cp Spl Class A 20030N200 341620 14500 SOLE (None) 14500 0 0 Comerica Inc 200340107 1274520 49400 SOLE (None) 49400 0 0 Companhia de Bebidas Das Americas 20441W203 3948246 109400 SOLE (None) 109400 0 0 Companhia Siderurgica Nacional ADR 20440W105 325564 39800 SOLE (None) 39800 0 0 Computer Science Corp 205363104 801060 33800 SOLE (None) 33800 0 0 ConAgra Foods Inc 205887102 2967360 112400 SOLE (None) 112400 0 0 Concho Resources Inc 20605P101 984375 10500 SOLE (None) 10500 0 0 Constellation Brands Inc 21036P108 334854 16200 SOLE (None) 16200 0 0 Consumer Discretionary Select Sector SPD 81369Y407 2360710 60500 SOLE (None) 60500 0 0 Consumer Staples Select Sector SPDR Fund 81369Y308 1760958 54200 SOLE (None) 54200 0 0 Cooper Tire & Rubber 216831107 151308 10800 SOLE (None) 10800 0 0 Core Laboratories NV N22717107 455800 4000 SOLE (None) 4000 0 0 CORINTHIAN COLLEGES INC 218868107 57939 26700 SOLE (None) 26700 0 0 Corning Inc 219350105 937156 72200 SOLE (None) 72200 0 0 Covance Inc 222816100 256032 5600 SOLE (None) 5600 0 0 Coventry Corp 222862104 370514 12200 SOLE (None) 12200 0 0 Crown Castle International Corp 228227104 2629760 58700 SOLE (None) 58700 0 0 Crown Holdings 228368106 755550 22500 SOLE (None) 22500 0 0 Cubist Pharmaceuticals 229678107 729008 18400 SOLE (None) 18400 0 0 CVS Caremark Corp 126650100 7850150 192500 SOLE (None) 192500 0 0
Ddr Corp 23317H102 198371 16300 SOLE (None) 16300 0 0 Decker Outdoor Corp 243537107 5237001 69300 SOLE (None) 69300 0 0 Deere & Co 244199105 1090635 14100 SOLE (None) 14100 0 0 Delta Air Lines Inc 247361702 4236733 523700 SOLE (None) 523700 0 0 DENDREON CO 24823Q107 921880 121300 SOLE (None) 121300 0 0 Diageo Plc ADR 25243Q205 1136460 13000 SOLE (None) 13000 0 0 Digital River Inc 25388B104 761514 50700 SOLE (None) 50700 0 0 Discovery Comm A 25470F104 614550 15000 SOLE (None) 15000 0 0 Discovery Financial Services 254709108 1867200 77800 SOLE (None) 77800 0 0 Dollar Tree Inc 256746108 3075070 37000 SOLE (None) 37000 0 0 Dominion Resources Inc 25746U109 4655116 87700 SOLE (None) 87700 0 0 Domtar Corp 257559203 663668 8300 SOLE (None) 8300 0 0 DRESSER-RAND GROUP INC 261608103 349370 7000 SOLE (None) 7000 0 0 DTE Energy Co 233331107 1072665 19700 SOLE (None) 19700 0 0 Eagle Bulk Shipping Inc Y2187A101 17484 18600 SOLE (None) 18600 0 0 Eastman Kodak Co 277461109 278460 428400 SOLE (None) 428400 0 0 eBay Inc 278642103 436752 14400 SOLE (None) 14400 0 0 Elan Cp Plc 284131208 1558116 113400 SOLE (None) 113400 0 0 EMC Corp 268648102 13124322 609300 SOLE (None) 609300 0 0 Emerson Electric Co 291011104 7039749 151100 SOLE (None) 151100 0 0 Emulex Cp 292475209 87122 12700 SOLE (None) 12700 0 0 ENERGIZER HOLDINGS INC 29266R108 1014988 13100 SOLE (None) 13100 0 0 Energy Conversion 292659109 8380 41900 SOLE (None) 41900 0 0 Entegris Inc 29362U104 178092 20400 SOLE (None) 20400 0 0 Enterprise Products Partners Lp 293792107 2671488 57600 SOLE (None) 57600 0 0 EOG Resourses 26875P101 4561013 46300 SOLE (None) 46300 0 0 EQUINIX INC 29444U502 719940 7100 SOLE (None) 7100 0 0 Equity Residential Common Share 29476L107 1556919 27300 SOLE (None) 27300 0 0 Essex Property Trust 297178105 491785 3500 SOLE (None) 3500 0 0 EXELON CORPORATION 30161N101 3578025 82500 SOLE (None) 82500 0 0 Expedia 30212P303 7786066 268300 SOLE (None) 268300 0 0 F5 Network Inc 315616102 7566356 71300 SOLE (None) 71300 0 0 Federal Realty Inv 313747206 1506450 16600 SOLE (None) 16600 0 0 Fibria Celse ADR 31573A109 361305 46500 SOLE (None) 46500 0 0 FIDELITY NATIONAL FINANCIAL 31620R105 696141 43700 SOLE (None) 43700 0 0 Fidelity Natl In 31620M106 388214 14600 SOLE (None) 14600 0 0 Financial Select Sector SPDR Fund 81369Y605 3300700 253900 SOLE (None) 253900 0 0
FirstEnergy Corp 337932107 2635850 59500 SOLE (None) 59500 0 0 Focus Media Hldg 34415V109 302095 15500 SOLE (None) 15500 0 0 Fomento Economico Mexicano Ads 344419106 1380258 19800 SOLE (None) 19800 0 0 Foot Locker Inc 344849104 522096 21900 SOLE (None) 21900 0 0 Ford Motor Co 345370860 6353780 590500 SOLE (None) 590500 0 0 Forest Lab Inc 345838106 1234608 40800 SOLE (None) 40800 0 0 Foster Wheelr Ag H27178104 1211562 63300 SOLE (None) 63300 0 0 Franklin Res Inc 354613101 403452 4200 SOLE (None) 4200 0 0 Frontier Communications 35906A108 667440 129600 SOLE (None) 129600 0 0 FTI Consulting Inc 302941109 326634 7700 SOLE (None) 7700 0 0 Gafisa SA 362607301 186760 40600 SOLE (None) 40600 0 0 GAMESTOP CP 36467W109 1821815 75500 SOLE (None) 75500 0 0 Gap Inc 364760108 1283660 69200 SOLE (None) 69200 0 0 General Mills 370334104 6562584 162400 SOLE (None) 162400 0 0 Genon Energy 37244E107 89523 34300 SOLE (None) 34300 0 0 Genuine Parts Co 372460105 477360 7800 SOLE (None) 7800 0 0 GENWORTH FINCL INC 37247D106 1290350 197000 SOLE (None) 197000 0 0 Gerdau SA 373737105 574035 73500 SOLE (None) 73500 0 0 Geron Corp 374163103 56388 38100 SOLE (None) 38100 0 0 Gilead Science 375558103 4629183 113100 SOLE (None) 113100 0 0 Glaxo Smith Kline Plc ADR 37733W105 3057210 67000 SOLE (None) 67000 0 0 Global Payments Inc 37940X102 293756 6200 SOLE (None) 6200 0 0 Gmx Resourcs Inc 38011M108 58250 46600 SOLE (None) 46600 0 0 GOL LINHAS AEREAS INTELIGENTES 38045R107 462774 69800 SOLE (None) 69800 0 0 Goldman Sachs Group Inc 38141G104 1989460 22000 SOLE (None) 22000 0 0 Goodyear Tire And Rubber 382550101 909714 64200 SOLE (None) 64200 0 0 GOOGLE INC CL A 38259P508 42500220 65800 SOLE (None) 65800 0 0 Grace (WR) & Co 38388F108 514304 11200 SOLE (None) 11200 0 0 Green Mountain Coffee Inc 393122106 12351690 275400 SOLE (None) 275400 0 0 Grupo Televisa Sa Gdr 40049J206 1010880 48000 SOLE (None) 48000 0 0 Hanwha Solarone 41135V103 44982 45900 SOLE (None) 45900 0 0 Harley Davidson Inc 412822108 1589783 40900 SOLE (None) 40900 0 0 Harris Corp (The) 413875105 1102824 30600 SOLE (None) 30600 0 0 Health Care Select Sector SPDR Fund 81369Y209 378121 10900 SOLE (None) 10900 0 0 Health Management Associates Inc 421933102 85492 11600 SOLE (None) 11600 0 0 Heinz H.J. 423074103 3026240 56000 SOLE (None) 56000 0 0 HERCULES OFFSHORE I 427093109 89688 20200 SOLE (None) 20200 0 0
Hershey Corp 427866108 1173820 19000 SOLE (None) 19000 0 0 Hexcel Corp/De 428291108 535041 22100 SOLE (None) 22100 0 0 Hudson City Bancorp Inc. - Ot 443683107 177500 28400 SOLE (None) 28400 0 0 Human Genome Sciences 444903108 1203831 162900 SOLE (None) 162900 0 0 Humana Inc 444859102 1813527 20700 SOLE (None) 20700 0 0 Huntington Bancshrs Inc 446150104 1610766 293400 SOLE (None) 293400 0 0 Idexx Laboratories 45168D104 477152 6200 SOLE (None) 6200 0 0 ILLUMINA INC 452327109 3060192 100400 SOLE (None) 100400 0 0 Ingram Micro Inc Cl A 457153104 274669 15100 SOLE (None) 15100 0 0 Interdigital Communications Corp 45867G101 1185104 27200 SOLE (None) 27200 0 0 Intermune Inc 45884X103 1375920 109200 SOLE (None) 109200 0 0 Interoil Cp 460951106 347684 6800 SOLE (None) 6800 0 0 Int'l Game Technology 459902102 216720 12600 SOLE (None) 12600 0 0 Intuit Inc 461202103 746778 14200 SOLE (None) 14200 0 0 INTUITIVE SURGICAL INC 46120E602 4491197 9700 SOLE (None) 9700 0 0 INVESCO LTD G491BT108 646898 32200 SOLE (None) 32200 0 0 Investment Technology Grp 46145F105 115667 10700 SOLE (None) 10700 0 0 Iron Mountain Inc 462846106 930160 30200 SOLE (None) 30200 0 0 iShares MSCI Japan Index 464286848 406306 44600 SOLE (None) 44600 0 0 ISHARES SILVER TRUST 46428Q109 19520724 724600 SOLE (None) 724600 0 0 iShares Tr DJ US Real Estate Sect 464287739 306774 5400 SOLE (None) 5400 0 0 Itau Unibnco Adr 465562106 2268032 122200 SOLE (None) 122200 0 0 Itron Inc 465741106 400624 11200 SOLE (None) 11200 0 0 ITT Educational Service 45068B109 204804 3600 SOLE (None) 3600 0 0 IVANHOE ENERGY INC 465790103 26768 23900 SOLE (None) 23900 0 0 IXIA 45071R109 105100 10000 SOLE (None) 10000 0 0 JA Solar Holdings Co Ltd 466090107 32830 24500 SOLE (None) 24500 0 0 Jabil Circuit Inc 466313103 640916 32600 SOLE (None) 32600 0 0 JDS Uniphase Cp 46612J507 539748 51700 SOLE (None) 51700 0 0 JETBLUE AIRWAYS CP 477143101 1839240 353700 SOLE (None) 353700 0 0 Johnson & Johnson 478160104 26022144 396800 SOLE (None) 396800 0 0 JP Morgan Chase & Co 46625H100 23697275 712700 SOLE (None) 712700 0 0 K L A - Tencor Corp 482480100 3116950 64600 SOLE (None) 64600 0 0 Kansas City Sthrn Ind. 485170302 1094961 16100 SOLE (None) 16100 0 0 Kimberly Clark 494368103 4590144 62400 SOLE (None) 62400 0 0 Kimco Realty Corp 49446R109 180264 11100 SOLE (None) 11100 0 0 Kohls Corp 500255104 3627225 73500 SOLE (None) 73500 0 0
Kraft Foods Inc 50075N104 6904128 184800 SOLE (None) 184800 0 0 Kroger Co (The) 501044101 3642688 150400 SOLE (None) 150400 0 0 L-3 Comm Holdings Inc 502424104 820164 12300 SOLE (None) 12300 0 0 Lasalle Hotel Properties 517942108 246942 10200 SOLE (None) 10200 0 0 LDK Solar Co Ltd 50183L107 247210 59000 SOLE (None) 59000 0 0 Leggett & Platt Inc 524660107 688896 29900 SOLE (None) 29900 0 0 Level 3 Communications Inc 52729N308 385673 22700 SOLE (None) 22700 0 0 Liberty Global Inc CL A 530555101 681098 16600 SOLE (None) 16600 0 0 LIBERTY MED INT A 53071M104 2517344 155200 SOLE (None) 155200 0 0 Liberty Property Trus 531172104 268656 8700 SOLE (None) 8700 0 0 Life Tech Corp 53217V109 1116717 28700 SOLE (None) 28700 0 0 Lilly (Eli) & Co 532457108 16553348 398300 SOLE (None) 398300 0 0 Liz Claiborne 539320101 285653 33100 SOLE (None) 33100 0 0 Lockheed Martin Corp 539830109 2960940 36600 SOLE (None) 36600 0 0 Loews Corp 540424108 267315 7100 SOLE (None) 7100 0 0 Lorillard Inc 544147101 2736000 24000 SOLE (None) 24000 0 0 LSI Corp 502161102 1085875 182500 SOLE (None) 182500 0 0 lululemon athletica Inc 550021109 1049850 22500 SOLE (None) 22500 0 0 Macys Inc 55616P104 1451318 45100 SOLE (None) 45100 0 0 Majesco Entertainment 560690208 84180 34500 SOLE (None) 34500 0 0 Manpower Group 56418H100 250250 7000 SOLE (None) 7000 0 0 Marsh & McLennan Co's 571748102 1340688 42400 SOLE (None) 42400 0 0 Marvell Technology Grp Ltd G5876H105 1027670 74200 SOLE (None) 74200 0 0 Masco 574599106 420248 40100 SOLE (None) 40100 0 0 Maxim Integrated Prod Inc 57772K101 830676 31900 SOLE (None) 31900 0 0 MBIA Inc 55262C100 1413980 122000 SOLE (None) 122000 0 0 McDermott Intl Inc 580037109 520252 45200 SOLE (None) 45200 0 0 McGraw-Hill Cos 580645109 2522817 56100 SOLE (None) 56100 0 0 MECHEL OAO 583840103 105400 12400 SOLE (None) 12400 0 0 Mednax Inc 58502B106 576080 8000 SOLE (None) 8000 0 0 MEMC Electronic Materials 552715104 488954 124100 SOLE (None) 124100 0 0 Mens Wearhouse Inc 587118100 936649 28900 SOLE (None) 28900 0 0 MercadoLibre Inc 58733R102 2990704 37600 SOLE (None) 37600 0 0 Merck & Co 58933Y105 671060 17800 SOLE (None) 17800 0 0 Meritor Inc 59001K100 56924 10700 SOLE (None) 10700 0 0 MetroPcs Communications Inc 591708102 571144 65800 SOLE (None) 65800 0 0 Mgm Resorts Int 552953101 152278 14600 SOLE (None) 14600 0 0
Microchip Technology 595017104 340659 9300 SOLE (None) 9300 0 0 Micron Technology 595112103 4804931 763900 SOLE (None) 763900 0 0 Microsoft Corp 594918104 23761188 915300 SOLE (None) 915300 0 0 Mkt Vectr Retail 57060U225 301617 2700 SOLE (None) 2700 0 0 MONSANTO CO 61166W101 427427 6100 SOLE (None) 6100 0 0 Monster Bev Corp 611740101 350132 3800 SOLE (None) 3800 0 0 Monster Worldwide Inc 611742107 535275 67500 SOLE (None) 67500 0 0 Morgan Stanley Dean Witter 617446448 9103721 601700 SOLE (None) 601700 0 0 Mosaic Company 61945C103 4594173 91100 SOLE (None) 91100 0 0 Motorola Solutions Inc 620076307 472158 10200 SOLE (None) 10200 0 0 Nabors Industries Inc G6359F103 1180854 68100 SOLE (None) 68100 0 0 NetApp Inc 64110D104 3101085 85500 SOLE (None) 85500 0 0 New York Community Bancorp 649445103 225134 18200 SOLE (None) 18200 0 0 News Corp Ltd ADR 65248E203 1234422 67900 SOLE (None) 67900 0 0 News Corp Ltd pf 65248E104 5767672 323300 SOLE (None) 323300 0 0 Nexen Inc 65334H102 416842 26200 SOLE (None) 26200 0 0 Nextera Energy 65339F101 2301264 37800 SOLE (None) 37800 0 0 Nike Inc Class B 654106103 8750396 90800 SOLE (None) 90800 0 0 NiSource Inc 65473P105 654775 27500 SOLE (None) 27500 0 0 Nordstrom Inc 655664100 2043081 41100 SOLE (None) 41100 0 0 Northeast Utilities 664397106 1630364 45200 SOLE (None) 45200 0 0 Northern Trust Cp 665859104 1229460 31000 SOLE (None) 31000 0 0 Northrop Grumman Corp 666807102 368424 6300 SOLE (None) 6300 0 0 NOVAGOLD RESOURCES INC 66987E206 1121904 132300 SOLE (None) 132300 0 0 Nuance Communications 67020Y100 1502052 59700 SOLE (None) 59700 0 0 Nutri/System Inc 67069D108 130593 10100 SOLE (None) 10100 0 0 NUVASIVE INC 670704105 477161 37900 SOLE (None) 37900 0 0 Oceaneering Intl Inc 675232102 239876 5200 SOLE (None) 5200 0 0 Oclaro Inc 67555N206 32148 11400 SOLE (None) 11400 0 0 Omnicom Group Inc 681919106 205068 4600 SOLE (None) 4600 0 0 Oracle Corp 68389X105 23700600 924000 SOLE (None) 924000 0 0 Pan American Silver 697900108 383856 17600 SOLE (None) 17600 0 0 Panera Bread Co Cl A 69840W108 367770 2600 SOLE (None) 2600 0 0 Parametric Technology Corp. 699173209 1413324 77400 SOLE (None) 77400 0 0 Parexel Int'l Corp 699462107 232288 11200 SOLE (None) 11200 0 0 Partner Re Holdings Ltd G6852T105 243998 3800 SOLE (None) 3800 0 0 Paychex Inc 704326107 1848754 61400 SOLE (None) 61400 0 0
PDL BioPharma 69329Y104 225680 36400 SOLE (None) 36400 0 0 Peoples Bank Bridgeport Ct 712704105 823685 64100 SOLE (None) 64100 0 0 Pepco Holdgs Inc 713291102 809970 39900 SOLE (None) 39900 0 0 PerkinElmer Inc 714046109 256000 12800 SOLE (None) 12800 0 0 Perrigo Co 714290103 4689860 48200 SOLE (None) 48200 0 0 Pfizer Inc 717081103 20521212 948300 SOLE (None) 948300 0 0 Phototronics Inc 719405102 110656 18200 SOLE (None) 18200 0 0 Pier 1 Imports 720279108 456904 32800 SOLE (None) 32800 0 0 Pinnacle West Capital Corp 723484101 698610 14500 SOLE (None) 14500 0 0 Pitney Bowes Inc 724479100 678564 36600 SOLE (None) 36600 0 0 Plum Creek Timber Co 729251108 519152 14200 SOLE (None) 14200 0 0 Popular Inc 733174106 53654 38600 SOLE (None) 38600 0 0 Potash Cp 73755L107 2423136 58700 SOLE (None) 58700 0 0 Powerwave Tech 739363307 37648 18100 SOLE (None) 18100 0 0 PP&L Cp 69351T106 3271504 111200 SOLE (None) 111200 0 0 Praxair Inc 74005P104 3698740 34600 SOLE (None) 34600 0 0 Precision Castparts Cp 740189105 1680858 10200 SOLE (None) 10200 0 0 PRINCIPAL FINCL GRP INC 74251V102 282900 11500 SOLE (None) 11500 0 0 Procter & Gamble Co 742718109 14689542 220200 SOLE (None) 220200 0 0 Progressive Corp (Ohio) 743315103 409710 21000 SOLE (None) 21000 0 0 Public Storage Inc 74460D109 322704 2400 SOLE (None) 2400 0 0 PVH Corp 693656100 1008007 14300 SOLE (None) 14300 0 0 QLogic Corp 747277101 256500 17100 SOLE (None) 17100 0 0 Qualcomm Inc 747525103 13177230 240900 SOLE (None) 240900 0 0 Quanta Services Inc 74762E102 1214856 56400 SOLE (None) 56400 0 0 Quantum Corp DLT & Storage Systems Group 747906204 70800 29500 SOLE (None) 29500 0 0 Questar Corp Holding Co. 748356102 482598 24300 SOLE (None) 24300 0 0 Rackspace Hosting Inc 750086100 236555 5500 SOLE (None) 5500 0 0 Ralph Lauren Corp 751212101 662784 4800 SOLE (None) 4800 0 0 RANDGOLD RESOURCES LTD ADS 752344309 367560 3600 SOLE (None) 3600 0 0 Rayonier Inc 754907103 370429 8300 SOLE (None) 8300 0 0 Red Hat Inc 756577102 631737 15300 SOLE (None) 15300 0 0 REGAL ENTERTAINMENT GRP 758766109 1545036 129400 SOLE (None) 129400 0 0 Regeneron Pharmaceuticals Cp 75886F107 1158487 20900 SOLE (None) 20900 0 0 Renesola Ltd 75971T103 39168 25600 SOLE (None) 25600 0 0 Republic Service Inc 760759100 1776975 64500 SOLE (None) 64500 0 0 Riverbed Technology Inc 768573107 556950 23700 SOLE (None) 23700 0 0
Robert Half Intl Inc 770323103 313060 11000 SOLE (None) 11000 0 0 Roper Industries Inc 776696106 321419 3700 SOLE (None) 3700 0 0 Rovi Corp 779376102 663660 27000 SOLE (None) 27000 0 0 ROYAL DUTCH SH A 780259206 2485060 34000 SOLE (None) 34000 0 0 Royal Dutch Shell B 780259107 410454 5400 SOLE (None) 5400 0 0 Royal Gold Inc 780287108 1530661 22700 SOLE (None) 22700 0 0 SAIC INC 78390X101 398196 32400 SOLE (None) 32400 0 0 Saks Inc 79377W108 342225 35100 SOLE (None) 35100 0 0 Sandisk Corp 80004C101 3021494 61400 SOLE (None) 61400 0 0 Sandridge Energy Inc 80007P307 3592032 440200 SOLE (None) 440200 0 0 Sanmina-SCI Corp 800907206 95893 10300 SOLE (None) 10300 0 0 Sanofi 80105N105 602910 16500 SOLE (None) 16500 0 0 Sap Ag 803054204 2478060 46800 SOLE (None) 46800 0 0 Savient Pharm 80517Q100 74705 33500 SOLE (None) 33500 0 0 Seagate Tech G7945M107 4021280 245200 SOLE (None) 245200 0 0 Sears Holding 812350106 4906832 154400 SOLE (None) 154400 0 0 Sempra Energy 816851109 1754500 31900 SOLE (None) 31900 0 0 SENIOR HOUSING PROP TR SBI 81721M109 1012044 45100 SOLE (None) 45100 0 0 Service Corp Intl 817565104 135255 12700 SOLE (None) 12700 0 0 Shaw Group 820280105 1869550 69500 SOLE (None) 69500 0 0 Sherwin Williams Co 824348106 1535444 17200 SOLE (None) 17200 0 0 Shire Plc Ads 82481R106 1059780 10200 SOLE (None) 10200 0 0 SHUTTERFLY INC 82568P304 423336 18600 SOLE (None) 18600 0 0 Sigma Aldrich Cp 826552101 593370 9500 SOLE (None) 9500 0 0 Silver Standard Resources Inc 82823L106 948052 68600 SOLE (None) 68600 0 0 Simon Property Group Inc. Paired Ctf 828806109 5054448 39200 SOLE (None) 39200 0 0 Sina Corp G81477104 6531200 125600 SOLE (None) 125600 0 0 Sirius XM Radio 82967N108 192374 105700 SOLE (None) 105700 0 0 SLM Corp 78442P106 466320 34800 SOLE (None) 34800 0 0 Smuckers J M Co 832696405 1055295 13500 SOLE (None) 13500 0 0 Sohu.com Inc 83408W103 355000 7100 SOLE (None) 7100 0 0 Sony Cp ADR 835699307 503316 27900 SOLE (None) 27900 0 0 Southern Copper 84265V105 1146840 38000 SOLE (None) 38000 0 0 Southwest Airlines 844741108 2478976 289600 SOLE (None) 289600 0 0 Southwestern Energy 845467109 2165532 67800 SOLE (None) 67800 0 0 SPDR S&P BNK 78464A797 773370 39000 SOLE (None) 39000 0 0 SPDR S&P HM BLDR 78464A888 235980 13800 SOLE (None) 13800 0 0
SPDR S&P RETAIL 78464A714 7519905 143100 SOLE (None) 143100 0 0 Sprint Corp 852061100 689364 294600 SOLE (None) 294600 0 0 Stanley Blk&Dckr 854502101 1189760 17600 SOLE (None) 17600 0 0 Starbucks Corp 855244109 3800426 82600 SOLE (None) 82600 0 0 Starwood Hotels & Resorts 85590A401 474903 9900 SOLE (None) 9900 0 0 Statoil ASA 85771P102 486590 19000 SOLE (None) 19000 0 0 streetTRACKS Gold Shares ETF 78463V107 17570044 115600 SOLE (None) 115600 0 0 Stryker Corp 863667101 3738192 75200 SOLE (None) 75200 0 0 Sunpower Corp 867652406 208705 33500 SOLE (None) 33500 0 0 Supervalu Inc 868536103 644728 79400 SOLE (None) 79400 0 0 SXC Health Solutions 78505P100 519616 9200 SOLE (None) 9200 0 0 Symantec Cp 871503108 638520 40800 SOLE (None) 40800 0 0 SYNAPTICS INC 87157D109 624105 20700 SOLE (None) 20700 0 0 Synopsys Inc 871607107 301920 11100 SOLE (None) 11100 0 0 Synovus Financial Cp 87161C105 129438 91800 SOLE (None) 91800 0 0 Taiwan Semiconductor Mnf Ltd 874039100 2414170 187000 SOLE (None) 187000 0 0 Take-Two Interactive Software Inc 874054109 219510 16200 SOLE (None) 16200 0 0 Talbots Inc 874161102 226366 85100 SOLE (None) 85100 0 0 TASER INTL INC 87651B104 169472 33100 SOLE (None) 33100 0 0 Taubman Centers Inc 876664103 335340 5400 SOLE (None) 5400 0 0 TCF Financial 872275102 466464 45200 SOLE (None) 45200 0 0 Te Connectivity H84989104 345072 11200 SOLE (None) 11200 0 0 Technology Select Sector SPDR Fund 81369Y803 2527185 99300 SOLE (None) 99300 0 0 Teco Energy 872375100 327294 17100 SOLE (None) 17100 0 0 Telefon Bras Adr 87936R106 1448490 53000 SOLE (None) 53000 0 0 Tellabs Inc 879664100 519948 128700 SOLE (None) 128700 0 0 Tenet Healthcare Corp 88033G100 168777 32900 SOLE (None) 32900 0 0 Teradyne Inc 880770102 1079496 79200 SOLE (None) 79200 0 0 Teva Pharm Ind Inc ADR 881624209 6643256 164600 SOLE (None) 164600 0 0 Texas Instruments 882508104 1510809 51900 SOLE (None) 51900 0 0 Thompson Creek 884768102 342432 49200 SOLE (None) 49200 0 0 TJX Companies Inc 872540109 1174810 18200 SOLE (None) 18200 0 0 Toronto-Dominion Bank 891160509 261835 3500 SOLE (None) 3500 0 0 Tractor Supply Co 892356106 399855 5700 SOLE (None) 5700 0 0 Trina Solar Ltd 89628E104 223112 33400 SOLE (None) 33400 0 0 TS Ameritrade Holding Corp Cl A 87236Y108 187800 12000 SOLE (None) 12000 0 0 Tyco International Ltd H89128104 504468 10800 SOLE (None) 10800 0 0
Tyson Foods Inc Class A 902494103 313728 15200 SOLE (None) 15200 0 0 Unilever Ltd Amer Shr 904767704 660344 19700 SOLE (None) 19700 0 0 Unilever Ltd NV 904784709 2079385 60500 SOLE (None) 60500 0 0 Unisys Corp 909214306 912573 46300 SOLE (None) 46300 0 0 United Cont Hld 910047109 7055493 373900 SOLE (None) 373900 0 0 UnitedHealthcare Gp Incorp 91324P102 4723376 93200 SOLE (None) 93200 0 0 Universal Display Corp 91347P105 399921 10900 SOLE (None) 10900 0 0 URS Cp 903236107 252864 7200 SOLE (None) 7200 0 0 US AIRWAYS GROUP INC 90341W108 2331693 459900 SOLE (None) 459900 0 0 US Bancorp 902973304 470670 17400 SOLE (None) 17400 0 0 US OIL FUND ETF 91232N108 10034363 263300 SOLE (None) 263300 0 0 USEC Inc 90333E108 34314 30100 SOLE (None) 30100 0 0 Utilities Select Sector SPDR Fund 81369Y886 4134102 114900 SOLE (None) 114900 0 0 Valmont Ind Inc 920253101 399476 4400 SOLE (None) 4400 0 0 Valueclick Inc 92046N102 239463 14700 SOLE (None) 14700 0 0 VANGUARD SPEC FDS REIT ETF 922908553 794600 13700 SOLE (None) 13700 0 0 Ventas Inc 92276F100 865541 15700 SOLE (None) 15700 0 0 Verizon Comm 92343V104 12734088 317400 SOLE (None) 317400 0 0 Viacom Inc 92553P201 722019 15900 SOLE (None) 15900 0 0 Virgin Media Inc 92769L101 558018 26100 SOLE (None) 26100 0 0 Viropharma Inc 928241108 490281 17900 SOLE (None) 17900 0 0 VISA Inc 92826C839 3198195 31500 SOLE (None) 31500 0 0 Vistaprint Nv N93540107 220320 7200 SOLE (None) 7200 0 0 Vodafone Gp Plc 92857W209 6160994 219800 SOLE (None) 219800 0 0 Vornado Inc 929042109 407358 5300 SOLE (None) 5300 0 0 Walgreen Co 931422109 14162904 428400 SOLE (None) 428400 0 0 Wal-Mart Stores Inc 931142103 4093560 68500 SOLE (None) 68500 0 0 WEBS Taiwan 464286731 683864 58400 SOLE (None) 58400 0 0 WEIGHT WATCHERS INTL INC 948626106 709629 12900 SOLE (None) 12900 0 0 Weingarten Realty Inc 948741103 375304 17200 SOLE (None) 17200 0 0 WELLCARE HEALTH 94946T106 456750 8700 SOLE (None) 8700 0 0 Wells Fargo & Co 949746101 9874748 358300 SOLE (None) 358300 0 0 Wendy's Co 95058W100 684472 127700 SOLE (None) 127700 0 0 Western Digital Corp 958102105 328070 10600 SOLE (None) 10600 0 0 Weyerhaeuser Co 962166104 423809 22700 SOLE (None) 22700 0 0 Whirlpool 963320106 1741415 36700 SOLE (None) 36700 0 0 Whole Foods Mkt 966837106 2323972 33400 SOLE (None) 33400 0 0
Williams Cos 969457100 759460 23000 SOLE (None) 23000 0 0 WILLIS HOLDINGS LTD G96666105 1105800 28500 SOLE (None) 28500 0 0 Windstream Corp 97381W104 1339534 114100 SOLE (None) 114100 0 0 Wisconsin Electric 976657106 230736 6600 SOLE (None) 6600 0 0 WMS Industries 929297109 941868 45900 SOLE (None) 45900 0 0 World Fuel Services 981475106 306454 7300 SOLE (None) 7300 0 0 Yahoo! Inc 984332106 5732602 355400 SOLE (None) 355400 0 0 Yingli Green Energy Holding Co Ltd 98584B103 223060 58700 SOLE (None) 58700 0 0 YUM! Brands 988498101 3086223 52300 SOLE (None) 52300 0 0 ZIMMER HOLDINGS INC 98956P102 929508 17400 SOLE (None) 17400 0 0 ZUMIEZ INC 989817101 810592 29200 SOLE (None) 29200 0 0