UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number 811-04760
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (201) 593-6408
Paul Schubert
100 Plaza One
Jersey City, NJ 07311
(Name and Address of Agent for Service)
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Date of fiscal year end:
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3/31
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Date of reporting period:
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3/31/2011
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ITEM 1.
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REPORT TO STOCKHOLDERS
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MARCH 31, 2011
Annual Report
to Shareholders
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DWS Lifecycle Long Range Fund
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Contents
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4 Performance Summary
6 Information About Your Fund's Expenses
8 Portfolio Management Review
14 Portfolio Summary
16 Investment Portfolio
63 Statement of Assets and Liabilities
65 Statement of Operations
66 Statement of Changes in Net Assets
67 Financial Highlights
69 Notes to Financial Statements
80 Report of Independent Registered Public Accounting Firm
81 Tax Information
82 Summary of Management Fee Evaluation by Independent Fee Consultant
86 Board Members and Officers
90 Account Management Resources
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This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.
Although allocation among different asset categories generally limits risk, portfolio management may favor an asset category that underperforms other assets or markets as a whole. Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. The fund may use derivatives, including as part of its Global Tactical Asset Allocation (GTAA) strategy. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Because ETFs trade on a securities exchange, their shares may trade at a premium or discount to their net asset value. ETFs also incur fees and expenses so they may not fully match the performance of the indexes they are designed to track. Investing in foreign securities, particularly those of emerging markets, presents certain risks, such as currency fluctuations, political and economic changes, and market risks. Stocks may decline in value. See the prospectus for details.
DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
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Average Annual Total Returns as of 3/31/11
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No Sales Charges
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1-Year
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3-Year
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5-Year
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10-Year
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Class S
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11.18%
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1.03%
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2.43%
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3.52%
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Institutional Class
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11.46%
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1.27%
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2.67%
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3.87%
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Barclays Capital US Aggregate Bond Index+
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5.12%
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5.30%
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6.03%
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5.56%
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Russell 1000® Index+
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16.69%
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2.98%
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2.93%
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3.83%
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Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Performance in the Average Annual Total Returns table above and the Growth of an Assumed $1,000,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit www.dws-investments.com for the Fund's most recent month-end performance. Performance includes reinvestment of all distributions.
The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated August 1, 2010 are 1.07% and 0.96% for Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.
Equity index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. Fixed income index returns, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
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Growth of an Assumed $1,000,000 Investment
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[] DWS Lifecycle Long Range Fund — Institutional Class
[] Barclays Capital US Aggregate Bond Index+
[] Russell 1000 Index+
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 |
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Yearly periods ended March 31
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The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
Performance of other share classes will vary based on the fee structure of those classes.
+ The Barclays Capital US Aggregate Bond Index is an unmanaged, market-value-weighted measure of Treasury issues, corporate bond issues and mortgage securities.
The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
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Net Asset Value and Distribution Information
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Class S
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Institutional Class
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Net Asset Value:
3/31/11
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$ | 9.14 | $ | 9.54 | ||||
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3/31/10
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$ | 8.45 | $ | 8.82 | ||||
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Distribution Information:
Twelve Months as of 3/31/11:
Income Dividends
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$ | 0.23 | $ | 0.26 | ||||
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Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/11
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Period
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Rank
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Number of Fund Classes Tracked
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Percentile Ranking (%)
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Class S
1-Year
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267
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of
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499
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54
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3-Year
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416
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of
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451
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93
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5-Year
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322
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of
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386
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84
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Institutional Class
1-Year
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246
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of
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499
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50
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3-Year
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410
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of
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451
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91
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5-Year
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309
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of
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386
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80
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10-Year
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131
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of
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192
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68
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Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return unadjusted for sales charges with distributions reinvested.
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (October 1, 2010 to March 31, 2011).
The tables illustrate your Fund's expenses in two ways:
•Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses 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 "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class S shares during the period would be higher, and account value during the period would be lower, by this amount.
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Expenses and Value of a $1,000 Investment for the six months ended March 31, 2011
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Actual Fund Return
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Class S
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Institutional Class
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Beginning Account Value 10/1/10
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$ | 1,000.00 | $ | 1,000.00 | ||||
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Ending Account Value 3/31/11
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$ | 1,097.20 | $ | 1,098.20 | ||||
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Expenses Paid per $1,000*
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$ | 4.34 | $ | 2.93 | ||||
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Hypothetical 5% Fund Return
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Class S
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Institutional Class
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Beginning Account Value 10/1/10
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$ | 1,000.00 | $ | 1,000.00 | ||||
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Ending Account Value 3/31/11
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$ | 1,020.79 | $ | 1,022.14 | ||||
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Expenses Paid per $1,000*
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$ | 4.18 | $ | 2.82 | ||||
* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
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Annualized Expense Ratios
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Class S
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Institutional Class
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DWS Lifecycle Long Range Fund
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.83%
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.56%
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For more information, please refer to the Fund's prospectus.
DWS Lifecycle Long Range Fund: A Team Approach to Investing
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for DWS Lifecycle Long Range Fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance.
DWS Investments is the retail brand name in the US for the asset management activities of Deutsche Bank AG and DIMA. As such, DWS is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
QS Investors, LLC ("QS Investors"), New York, New York, is the subadvisor for the fund. QS Investors manages and advises assets on behalf of institutional clients and retail funds, providing global expertise in research, portfolio management and quantitative analysis. On August 1, 2010, members of the Advisor's Quantitative Strategies Group, including members of the fund's portfolio management team, separated from the Advisor and formed QS Investors as a separate investment advisory firm unaffiliated with the Advisor.
Portfolio Management Team
The following portfolio managers allocate the fund's assets among various equity and fixed income categories. Within each asset category, portfolio management uses one or more investment strategies for selecting equity and debt securities. Each investment strategy is managed by a team that specializes in a particular asset class.
Robert Wang
Thomas Picciochi
Inna Okounkova
Portfolio Managers, QS Investors
Market Overview and Fund Performance
The views expressed in the following discussion reflect those of the portfolio management team only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results. Current and future portfolio holdings are subject to risk.
An environment of improving global growth and accommodative central bank policies fueled strong performance across the financial markets during the past 12 months. Investors grew increasingly optimistic as the year progressed, and this was reflected in across-the-board outperformance for higher-risk asset classes.
As earlier concerns about the possibility of a "double-dip" recession faded into the background, stocks rallied across the globe. The US market rose 15.65%, as gauged by the Standard & Poor's 500® (S&P 500) Index.1 In a reflection of investors' hearty risk appetites, small caps outperformed their large-cap peers, as measured by the 25.79% return of the Russell 2000® Index.2
Overseas, emerging-markets stocks gained 18.46% based on the MSCI Emerging Markets Index, as investors were encouraged by the strong growth and robust fiscal health of countries in the asset class.3 The overseas developed markets lagged, however, and the MSCI EAFE finished the year with a gain of 10.42%.4 The relative performance of the asset class was pressured by concerns related to the European debt crisis and later, the impact of the earthquake in Japan.
The story was similar in the bond market, where returns were positive and the strongest gains came from higher-risk investments such as commercial mortgage-backed securities, high-yield and investment-grade corporate debt, and emerging-markets bonds.5 The Barclays Capital US Aggregate Bond Index returned 5.12% on the year.6
In this favorable environment, DWS Lifecycle Long Range Fund (Institutional Class) returned 11.46% in the 12-month period ended March 31, 2011. The fund underperformed the 12.91% return of the blended index but finished slightly ahead of the 11.37% average return for the funds in its Lipper peer group, Mixed-Asset Target Allocation Moderate Funds.7 (Past performance is no guarantee of future results. Please see pages 4 through 5 for the performance of other share classes.)
To review, the fund's investment objective is to seek high total return with reduced risk over the long term. The fund's assets are allocated among various equity and fixed-income asset categories. We generally allocate the largest portion of its assets to equity securities, with smaller allocations to fixed-income securities. Overall, the fund had 15 different allocations as of March 31, 2011 — 11 investment strategies and four exchange-traded funds, or ETFs.
We use one or more strategies within each asset category to select equity and fixed-income securities for the fund's portfolio. Each strategy is managed by a team of portfolio managers that specializes in its respective category, using a variety of quantitative and qualitative techniques.8 In addition to the fund's main investment strategy, we seek to enhance returns by employing a global tactical asset allocation strategy (GTAA).9 This strategy seeks to identify the relative value to be found among the global bond and currency markets, and then to benefit from the disparities through investments in fixed-income futures and forward foreign currency exchange contracts.
Positive Contributors to Fund Performance
Four of the fund's underlying strategies made positive contributions to performance during the annual period.
The largest contribution came from the core fixed-income strategy, which is managed by Aberdeen Asset Management. Returns in this portion of the fund were boosted by strong security selection — and an overweight position — in corporate bonds. Its positions in residential mortgage-backed securities, commercial mortgage-backed securities, asset-backed securities and taxable municipal bonds also added value. The managers at Aberdeen continue to find numerous relative value opportunities in all of these areas, but they remain cognizant of the risks inherent in the market. As a result, they continue to emphasize their enhanced risk management discipline.
The fund's second-best contributor was the quantitative large-cap growth strategy, which soundly outperformed the return of the Russell 1000® Growth Index.10 Strong stock selection in the materials industry contributed to performance, thanks in part to excellent performance from Freeport-McMoRan Copper & Gold, Inc. and Lubrizol Corp.* Good stock selection in the semiconductor industry also aided performance, as the strategy's underweight in Intel Corp. was very helpful at a time of significant underperformance for the stock.
The fund's quantitative international strategy also made a positive contribution to performance by strongly outpacing the return of the MSCI World ex-US Index.11 Its underweight positions in Japan, particularly in the consumer discretionary and financial sectors, were among the largest contributors to performance. Underweight positions in the financial sectors of Italy and Spain also helped the strategy's return.
Our portfolio of global Treasury Inflation-Protected Securities (or TIPS) also slightly outperformed its benchmark, the Barclays Global Inflation-Linked Index.12 This asset class performed well during the past year, as the extremely loose monetary policies of the world's major central banks fueled growing inflation expectations among investors.
The fund has four investments in exchange-traded funds. Two are linked to the bond market: iShares JPMorgan USD Emerging Markets Bond Fund and SPDR Barclays Capital International Treasury Bond. The other two are equity funds: Vanguard Emerging Markets Fund and the iShares Russell 2000 Value Index Fund. All four delivered positive absolute returns in the annual period. However, these investments performed in line with their respective benchmarks and thus had minimal impact on the fund's relative performance.
Negative Contributors to Fund Performance
When considering the fund's detractors, it is important to keep in mind that all of its strategies delivered a positive absolute performance. However, they are considered detractors to the fund's relative performance because the strategies lagged their respective benchmarks.
The GTAA strategy was the largest detractor during the one-year period. The largest negative impact came from its currency strategy, where a long position in the Australian dollar weighed on performance in mid-2010. The overall performance of GTAA improved in the second half of the period, as it generated positive returns in five of the seven months beginning in September 2010. However, this was not enough to make up for the earlier shortfall.
The fundamental international strategy underperformed during the year, detracting from the fund's overall performance. Stock selection, particularly in materials and industrials sectors, was the primary driver of underperformance.
Our quantitative large-cap value strategy also lagged its benchmark. Weak stock selection in the food/beverage/tobacco industry, where Dean Foods Co.* underperformed significantly, was the largest detractor from performance. Stock selection was also weak in technology hardware/ equipment, where the strategy was hurt by overweight positions in Western Digital Corp. and Seagate Technology International.
Stock selection weighed on performance in the global small-cap growth and fundamental large-cap growth strategies as well. In the latter, key detractors were ineffective stocks selection and underweight positions in the health care and information technology sectors.
The high-yield bond market posted strong performance during the past 12 months. While our high-yield strategy therefore performed very well on an absolute basis, it lagged its benchmark due to underperformance in the utility, aerospace/airlines and gaming sectors.
The fundamental large-cap value strategy also was a small detractor from performance. Stock selections in energy and information technology were the primary drivers of underperformance.
Outlook and Fund Positioning
We review strategic asset allocation at least annually, or more frequently if market conditions warrant. The target allocation in place for most of the last year was 42% in large-cap equities, 6% in small-cap equities, 13% in international equities, 28.5% in investment-grade bonds, 4% in Treasury Inflation-Protected Securities, 3% in high-yield bonds and 3.5% in cash equivalents.
During the year, we continued to diversify within the fixed-income portion of the fund by increasing the allocation to emerging-market bonds and international developed market bonds. This was achieved via investments in two ETFs: iShares JPMorgan USD Emerging Markets Bond Fund and SPDR Barclays Capital International Treasury Bond Fund. Additionally, we liquidated the quantitative small-cap core sleeve and added the iShares Russell 2000 Value Index Fund in its place.
We believe that a disciplined asset allocation fund such as DWS Lifecycle Long Range Fund offers investors a wide range of investment opportunities.
1 The S&P 500 Index is an unmanaged, capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
2 The Russell 2000 Index is an unmanaged index that measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.
3 The Morgan Stanley Capital International (MSCI) Emerging Markets Index is an unmanaged, capitalization-weighted index of companies in a universe of 26 emerging markets. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
4 The Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged, free float-adjusted, market-capitalization index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
5 Commercial mortgage-backed securities (CMBS) are secured by loans on a commercial property.
6 The Barclays Capital US Aggregate Bond Index is an unmanaged, market-value- weighted measure of Treasury issues, corporate bond issues and mortgage securities. Index returns, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest into an index.
7 The blended index is comprised of 20% Russell 1000 Growth Index, 20% Russell 1000 Value Index, 6% Russell 2000 Index, 3% MSCI EAFE Small Cap Index, 8% MSCI EAFE Index, 3% MSCI Emerging Markets Free Index, 27% Barclays Capital US Aggregate Index, 3% Credit Suisse High Yield Index, 5% Barclays Capital Global TIPS and 5% Merrill Lynch 3-Month US Treasury Bills Index. Index returns assume reinvestment of all distributions and do not reflect fees or expenses. Equity index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. Fixed-income index returns, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
The Lipper Mixed-Asset Target Allocation Moderate Funds category is a group of mutual funds that, by portfolio practice, maintain a mix of 0% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Category returns assume reinvestment of dividends. It is not possible to invest directly into a Lipper category.
8 Quantitative techniques — analysis dealing with measurable factors such as value of asset, historical and projected sales, and profitability. Qualitative techniques — analysis of factors such as experience, general character and caliber of management, as well as labor and employee sentiment, rather than actual financial data.
9 The global tactical asset allocation overlay strategy may use instruments including, but not limited to, futures, options and currency forwards. Derivatives may be more volatile and less liquid than traditional securities, and the strategy could suffer losses on its derivatives positions.
10 The Russell 1000 Growth Index is an unmanaged index that consists of those stocks in the Russell 1000® Index that have higher price-to-book ratios and higher forecasted growth values.
Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees of expenses. It is not possible to invest directly into an index.
* Not held in the portfolio as of March 31, 2011.
11 The Morgan Stanley Capital International (MSCI) World ex-US Index is an unmanaged, capitalization-weighted measure of global stock markets including Canada, Europe, Australia and the Far East. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
12 The Barclays Capital Global Inflation-Linked Index measures the performance of the major government inflation-linked bond markets.
Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees of expenses. It is not possible to invest directly into an index.
* Not held in the portfolio as of March 31, 2011.
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Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
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3/31/11
|
3/31/10
|
|
Common Stocks
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53%
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56%
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Corporate Bonds
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10%
|
10%
|
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Government & Agency Obligations
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9%
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8%
|
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Exchange-Traded Funds
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8%
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8%
|
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Cash Equivalents
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7%
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6%
|
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Mortgage-Backed Securities Pass-Throughs
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5%
|
5%
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Collateralized Mortgage Obligations
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5%
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5%
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Commercial Mortgage-Backed Securities
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2%
|
1%
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Asset-Backed
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1%
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—
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Municipal Bonds and Notes
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—
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1%
|
|
100%
|
100%
|
|
Sector Diversification (As a % of Equities, Corporate Bonds and Preferred Securities)
|
3/31/11
|
3/31/10
|
|
Financials
|
18%
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19%
|
|
Information Technology
|
15%
|
15%
|
|
Energy
|
12%
|
10%
|
|
Consumer Discretionary
|
11%
|
11%
|
|
Industrials
|
11%
|
11%
|
|
Health Care
|
10%
|
11%
|
|
Consumer Staples
|
7%
|
8%
|
|
Materials
|
6%
|
6%
|
|
Telecommunication Services
|
5%
|
4%
|
|
Utilities
|
5%
|
5%
|
|
100%
|
100%
|
|
Geographical Diversification (As a % of Equity Securities)
|
3/31/11
|
3/31/10
|
|
United States
|
75%
|
80%
|
|
Europe (excluding United Kingdom)
|
11%
|
10%
|
|
Japan
|
4%
|
3%
|
|
United Kingdom
|
3%
|
2%
|
|
Pacific Basin
|
2%
|
1%
|
|
Canada
|
2%
|
1%
|
|
Australia
|
1%
|
1%
|
|
Other
|
2%
|
2%
|
|
100%
|
100%
|
Asset allocation, sector and geographical diversifications are subject to change.
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Ten Largest Equity Holdings at March 31, 2011 (6.1% of Net Assets)
|
|
|
1. Apple, Inc.
Manufacturer of personal computers and communication solutions
|
0.9%
|
|
2. Chevron Corp.
Operator of petroleum exploration, delivery and refining facilities
|
0.9%
|
|
3. ExxonMobil Corp.
Explorer and producer of oil and gas
|
0.7%
|
|
4. ConocoPhillips
Producer of petroleum and other natural gases
|
0.6%
|
|
5. JPMorgan Chase & Co.
Provider of global financial services
|
0.6%
|
|
6. International Business Machines Corp.
Manufacturer of computers and provider of information processing services
|
0.5%
|
|
7. Dover Corp.
Manufactures a variety of specialized industrial products and manufacturing equipment
|
0.5%
|
|
8. Hewlett-Packard Co.
Provider of imaging and printing systems and information technology services
|
0.5%
|
|
9. Microsoft Corp.
Developer of computer software
|
0.5%
|
|
10. National Oilwell Varco, Inc.
Manufactures and sells oil and drilling machine and equipment
|
0.4%
|
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 16. A quarterly Fact Sheet is available upon request. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The Fund's portfolio holdings are also posted on www.dws-investments.com from time to time. Please see the Fund's current prospectus for more information.
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Shares
|
Value ($)
|
|||||||
|
Common Stocks 53.7%
|
||||||||
|
Consumer Discretionary 5.9%
|
||||||||
|
Auto Components 0.5%
|
||||||||
|
Autoliv, Inc.
|
11,543 | 856,837 | ||||||
|
BorgWarner, Inc.* (b)
|
21,623 | 1,723,137 | ||||||
|
Compagnie Generale des Etablissements Michelin "B"
|
157 | 13,261 | ||||||
|
Magna International, Inc. "A"
|
800 | 38,354 | ||||||
|
Minth Group Ltd.
|
161,036 | 269,133 | ||||||
|
Nippon Seiki Co., Ltd.
|
17,012 | 204,316 | ||||||
|
Pirelli & C. SpA
|
2,217 | 19,480 | ||||||
| 3,124,518 | ||||||||
|
Automobiles 0.2%
|
||||||||
|
Bayerische Motoren Werke (BMW) AG
|
311 | 25,894 | ||||||
|
Daimler AG (Registered)*
|
6,051 | 427,487 | ||||||
|
Fiat SpA
|
4,220 | 38,216 | ||||||
|
Ford Motor Co.*
|
27,000 | 402,570 | ||||||
|
Honda Motor Co., Ltd.
|
12,294 | 461,875 | ||||||
|
Nissan Motor Co., Ltd.
|
2,500 | 22,181 | ||||||
|
Toyota Motor Corp.
|
1,400 | 56,384 | ||||||
| 1,434,607 | ||||||||
|
Distributors 0.2%
|
||||||||
|
Genuine Parts Co.
|
24,522 | 1,315,360 | ||||||
|
Jardine Cycle & Carriage Ltd.
|
1,000 | 29,036 | ||||||
|
Li & Fung Ltd.
|
12,000 | 61,400 | ||||||
| 1,405,796 | ||||||||
|
Diversified Consumer Services 0.3%
|
||||||||
|
Apollo Group, Inc. "A"*
|
5,400 | 225,234 | ||||||
|
H&R Block, Inc.
|
73,035 | 1,222,606 | ||||||
|
ITT Educational Services, Inc.*
|
1,000 | 72,150 | ||||||
| 1,519,990 | ||||||||
|
Hotels Restaurants & Leisure 1.2%
|
||||||||
|
Autogrill SpA*
|
1,184 | 16,671 | ||||||
|
Brinker International, Inc.
|
20,400 | 516,120 | ||||||
|
Carnival Corp.
|
26,590 | 1,019,992 | ||||||
|
Compass Group PLC
|
3,990 | 35,876 | ||||||
|
Crown Ltd.
|
4,710 | 39,705 | ||||||
|
Darden Restaurants, Inc.
|
35,670 | 1,752,467 | ||||||
|
Domino's Pizza UK & IRL PLC
|
21,920 | 150,467 | ||||||
|
Genting Singapore PLC*
|
40,000 | 65,054 | ||||||
|
InterContinental Hotels Group PLC
|
6,455 | 132,338 | ||||||
|
International Speedway Corp. "A"
|
5,300 | 157,940 | ||||||
|
Marriott International, Inc. "A"
|
36,058 | 1,282,944 | ||||||
|
McDonald's Corp.
|
15,650 | 1,190,809 | ||||||
|
Paddy Power PLC
|
6,396 | 280,090 | ||||||
|
PartyGaming PLC*
|
30,583 | 98,123 | ||||||
|
REXLot Holdings Ltd.
|
2,177,470 | 240,742 | ||||||
|
Sands China Ltd.*
|
12,400 | 27,674 | ||||||
|
Shangri-La Asia Ltd.
|
8,000 | 20,446 | ||||||
|
TABCORP Holdings Ltd.
|
3,940 | 30,524 | ||||||
|
Tatts Group Ltd.
|
11,254 | 27,239 | ||||||
|
Tim Hortons, Inc.
|
1,000 | 45,353 | ||||||
|
Trump Entertainment Resorts, Inc.*
|
4 | 73 | ||||||
|
Wynn Macau Ltd.
|
8,000 | 22,369 | ||||||
|
Wynn Resorts Ltd.
|
1,200 | 152,700 | ||||||
| 7,305,716 | ||||||||
|
Household Durables 0.2%
|
||||||||
|
Electrolux AB "B"*
|
984 | 25,364 | ||||||
|
Hajime Construction Co., Ltd.
|
6,532 | 152,346 | ||||||
|
Jarden Corp.
|
3,388 | 120,511 | ||||||
|
Panasonic Corp.
|
20,716 | 263,495 | ||||||
|
Sony Corp.
|
600 | 19,216 | ||||||
|
Whirlpool Corp.
|
3,600 | 307,296 | ||||||
| 888,228 | ||||||||
|
Internet & Catalog Retail 0.0%
|
||||||||
|
Liberty Media Corp. — Interactive "A"*
|
9,600 | 153,984 | ||||||
|
Leisure Equipment & Products 0.1%
|
||||||||
|
Universal Entertainment Corp.*
|
11,904 | 349,335 | ||||||
|
Media 1.2%
|
||||||||
|
Aegis Group PLC
|
46,922 | 107,564 | ||||||
|
British Sky Broadcasting Group PLC
|
1,807 | 23,915 | ||||||
|
Charm Communications, Inc. (ADR)*
|
5,745 | 57,967 | ||||||
|
Comcast Corp. "A"
|
60,800 | 1,502,976 | ||||||
|
Dex One Corp.*
|
360 | 1,743 | ||||||
|
Discovery Communications, Inc. "A"*
|
30,300 | 1,208,970 | ||||||
|
Fairfax Media Ltd.
|
9,922 | 13,239 | ||||||
|
Gestevision Telecinco SA*
|
1,471 | 16,840 | ||||||
|
JC Decaux SA*
|
6,895 | 231,391 | ||||||
|
Mediaset SpA
|
4,536 | 28,825 | ||||||
|
Modern Times Group "B"
|
362 | 27,529 | ||||||
|
News Corp. "A"
|
59,356 | 1,042,291 | ||||||
|
Pearson PLC
|
1,966 | 34,724 | ||||||
|
Reed Elsevier NV
|
5,882 | 75,691 | ||||||
|
Reed Elsevier PLC
|
2,143 | 18,564 | ||||||
|
Shaw Communications, Inc. "B"
|
1,100 | 23,191 | ||||||
|
Singapore Press Holdings Ltd.
|
15,000 | 46,886 | ||||||
|
SuperMedia, Inc.*
|
67 | 418 | ||||||
|
Thomson Reuters Corp.
|
1,102 | 43,250 | ||||||
|
Viacom, Inc. "B"
|
6,900 | 320,988 | ||||||
|
Vivendi
|
1,177 | 33,611 | ||||||
|
Walt Disney Co.
|
38,200 | 1,646,038 | ||||||
|
Wolters Kluwer NV
|
2,586 | 60,471 | ||||||
|
WPP PLC
|
29,564 | 364,473 | ||||||
| 6,931,555 | ||||||||
|
Multiline Retail 0.3%
|
||||||||
|
Canadian Tire Corp., Ltd. "A"
|
200 | 13,275 | ||||||
|
Dollar General Corp.*
|
10,340 | 324,159 | ||||||
|
Harvey Norman Holdings Ltd.
|
3,399 | 10,547 | ||||||
|
Macy's, Inc.
|
38,000 | 921,880 | ||||||
|
Marks & Spencer Group PLC
|
4,429 | 23,923 | ||||||
|
Nordstrom, Inc.
|
12,660 | 568,181 | ||||||
| 1,861,965 | ||||||||
|
Specialty Retail 1.2%
|
||||||||
|
Abercrombie & Fitch Co. "A"
|
2,600 | 152,620 | ||||||
|
Advance Auto Parts, Inc.
|
3,001 | 196,926 | ||||||
|
Aeropostale, Inc.*
|
7,838 | 190,620 | ||||||
|
Best Buy Co., Inc.
|
48,397 | 1,389,962 | ||||||
|
Dick's Sporting Goods, Inc.*
|
18,009 | 720,000 | ||||||
|
Esprit Holdings Ltd.
|
6,387 | 29,313 | ||||||
|
Guess?, Inc.
|
4,644 | 182,741 | ||||||
|
Hennes & Mauritz AB "B"
|
5,098 | 169,290 | ||||||
|
hhgregg, Inc.*
|
7,327 | 98,109 | ||||||
|
Home Depot, Inc.
|
26,700 | 989,502 | ||||||
|
Industria de Diseno Textil SA
|
1,588 | 127,424 | ||||||
|
Kingfisher PLC
|
8,275 | 32,643 | ||||||
|
L'Occitane International SA*
|
44,275 | 109,057 | ||||||
|
Limited Brands, Inc.
|
32,990 | 1,084,711 | ||||||
|
Lowe's Companies, Inc.
|
12,800 | 338,304 | ||||||
|
TJX Companies, Inc.
|
21,500 | 1,069,195 | ||||||
|
Urban Outfitters, Inc.*
|
6,097 | 181,873 | ||||||
| 7,062,290 | ||||||||
|
Textiles, Apparel & Luxury Goods 0.5%
|
||||||||
|
Adidas AG
|
4,818 | 303,542 | ||||||
|
Billabong International Ltd.
|
2,077 | 16,220 | ||||||
|
Burberry Group PLC
|
8,956 | 168,671 | ||||||
|
Compagnie Financiere Richemont SA "A"
|
5,706 | 329,563 | ||||||
|
Deckers Outdoor Corp.*
|
4,483 | 386,210 | ||||||
|
Luxottica Group SpA
|
740 | 24,163 | ||||||
|
LVMH Moet Hennessy Louis Vuitton SA
|
1,206 | 190,911 | ||||||
|
NIKE, Inc. "B"
|
13,310 | 1,007,567 | ||||||
|
Swatch Group AG (Bearer)
|
116 | 51,287 | ||||||
|
VF Corp.
|
6,400 | 630,592 | ||||||
|
Yue Yuen Industrial (Holdings) Ltd.
|
5,000 | 15,813 | ||||||
| 3,124,539 | ||||||||
|
Consumer Staples 4.3%
|
||||||||
|
Beverages 0.8%
|
||||||||
|
Anheuser-Busch InBev NV
|
2,765 | 157,506 | ||||||
|
Asahi Breweries Ltd.
|
2,700 | 44,892 | ||||||
|
C&C Group PLC
|
55,780 | 252,174 | ||||||
|
Carlsberg AS "B"
|
3,359 | 361,680 | ||||||
|
Central European Distribution Corp.*
|
4,559 | 51,745 | ||||||
|
Coca-Cola Amatil Ltd.
|
1,082 | 13,139 | ||||||
|
Coca-Cola Co.
|
1,300 | 86,255 | ||||||
|
Coca-Cola Enterprises, Inc.
|
27,400 | 748,020 | ||||||
|
Diageo PLC
|
12,875 | 244,751 | ||||||
|
Dr. Pepper Snapple Group, Inc.
|
21,900 | 813,804 | ||||||
|
Foster's Group Ltd.
|
3,848 | 22,767 | ||||||
|
Heineken Holding NV
|
583 | 28,026 | ||||||
|
Heineken NV
|
1,202 | 65,677 | ||||||
|
Kirin Holdings Co., Ltd.
|
6,000 | 78,841 | ||||||
|
PepsiCo, Inc.
|
28,452 | 1,832,593 | ||||||
|
Pernod Ricard SA
|
704 | 65,749 | ||||||
|
SABMiller PLC
|
640 | 22,664 | ||||||
|
Sapporo Holdings Ltd.
|
3,000 | 11,181 | ||||||
| 4,901,464 | ||||||||
|
Food & Staples Retailing 0.8%
|
||||||||
|
Aeon Co., Ltd.
|
4,000 | 46,357 | ||||||
|
Alimentation Couche-Tard, Inc. "B"
|
700 | 18,404 | ||||||
|
Carrefour SA
|
2,467 | 109,222 | ||||||
|
Casino Guichard-Perrachon SA
|
263 | 24,894 | ||||||
|
Colruyt SA
|
270 | 14,219 | ||||||
|
Costco Wholesale Corp.
|
1,600 | 117,312 | ||||||
|
CVS Caremark Corp.
|
29,124 | 999,536 | ||||||
|
Delhaize Group
|
378 | 30,776 | ||||||
|
FamilyMart Co., Ltd.
|
400 | 15,028 | ||||||
|
George Weston Ltd.
|
300 | 20,442 | ||||||
|
Koninklijke Ahold NV
|
5,711 | 76,630 | ||||||
|
Kroger Co.
|
55,048 | 1,319,501 | ||||||
|
Lawson, Inc.
|
400 | 19,284 | ||||||
|
Loblaw Companies Ltd.
|
500 | 20,036 | ||||||
|
Metro AG
|
1,793 | 122,516 | ||||||
|
Metro, Inc. "A"
|
600 | 28,592 | ||||||
|
Seven & I Holdings Co., Ltd.
|
15,788 | 402,767 | ||||||
|
Shoppers Drug Mart Corp.
|
1,000 | 41,114 | ||||||
|
Tesco PLC
|
4,625 | 28,268 | ||||||
|
UNY Co., Ltd.
|
1,800 | 16,706 | ||||||
|
Wal-Mart Stores, Inc.
|
7,664 | 398,911 | ||||||
|
Walgreen Co.
|
9,000 | 361,260 | ||||||
|
Wesfarmers Ltd.
|
8,358 | 274,741 | ||||||
|
Woolworths Ltd.
|
1,658 | 46,098 | ||||||
| 4,552,614 | ||||||||
|
Food Products 1.2%
|
||||||||
|
Ajinomoto Co., Inc.
|
5,000 | 52,116 | ||||||
|
DANONE SA
|
2,133 | 139,340 | ||||||
|
Diamond Foods, Inc.
|
5,129 | 286,198 | ||||||
|
General Mills, Inc.
|
14,264 | 521,349 | ||||||
|
Green Mountain Coffee Roasters, Inc.* (b)
|
3,751 | 242,352 | ||||||
|
Hormel Foods Corp.
|
18,400 | 512,256 | ||||||
|
Kellogg Co.
|
25,707 | 1,387,664 | ||||||
|
Kikkoman Corp.
|
1,000 | 9,425 | ||||||
|
Mead Johnson Nutrition Co.
|
9,056 | 524,614 | ||||||
|
MEIJI Holdings Co., Ltd.
|
400 | 16,086 | ||||||
|
Nestle SA (Registered)
|
13,642 | 781,983 | ||||||
|
Nippon Meat Packers, Inc.
|
1,000 | 12,611 | ||||||
|
Nisshin Seifun Group, Inc.
|
1,000 | 11,529 | ||||||
|
Nissin Foods Holdings Co., Ltd.
|
400 | 14,100 | ||||||
|
Saputo, Inc.
|
600 | 27,082 | ||||||
|
Suedzucker AG
|
1,156 | 32,241 | ||||||
|
SunOpta, Inc.*
|
34,743 | 257,793 | ||||||
|
The JM Smucker Co.
|
8,200 | 585,398 | ||||||
|
Toyo Suisan Kaisha Ltd.
|
1,000 | 21,712 | ||||||
|
Tyson Foods, Inc. "A"
|
45,700 | 876,983 | ||||||
|
Unilever NV (CVA)
|
14,995 | 470,176 | ||||||
|
Unilever PLC
|
740 | 22,555 | ||||||
|
Viterra, Inc.
|
1,300 | 15,769 | ||||||
|
Yakult Honsha Co., Ltd.
|
600 | 15,335 | ||||||
|
Yamazaki Baking Co., Ltd.
|
1,000 | 11,650 | ||||||
| 6,848,317 | ||||||||
|
Household Products 0.6%
|
||||||||
|
Church & Dwight Co., Inc.
|
7,089 | 562,441 | ||||||
|
Colgate-Palmolive Co.
|
28,000 | 2,261,280 | ||||||
|
Henkel AG & Co. KGaA
|
1,751 | 91,481 | ||||||
|
Procter & Gamble Co.
|
9,700 | 597,520 | ||||||
|
Reckitt Benckiser Group PLC
|
266 | 13,664 | ||||||
|
Unicharm Corp.
|
900 | 32,730 | ||||||
| 3,559,116 | ||||||||
|
Personal Products 0.2%
|
||||||||
|
Beiersdorf AG
|
1,488 | 90,815 | ||||||
|
Estee Lauder Companies, Inc. "A"
|
3,300 | 317,988 | ||||||
|
Kao Corp.
|
15,015 | 374,563 | ||||||
|
L'Oreal SA
|
825 | 96,107 | ||||||
|
Shiseido Co., Ltd.
|
2,000 | 34,624 | ||||||
| 914,097 | ||||||||
|
Tobacco 0.7%
|
||||||||
|
Altria Group, Inc.
|
49,707 | 1,293,873 | ||||||
|
British American Tobacco PLC
|
1,068 | 42,866 | ||||||
|
Imperial Tobacco Group PLC
|
8,888 | 274,754 | ||||||
|
Japan Tobacco, Inc.
|
29 | 104,767 | ||||||
|
Lorillard, Inc.
|
4,800 | 456,048 | ||||||
|
Philip Morris International, Inc.
|
34,919 | 2,291,734 | ||||||
| 4,464,042 | ||||||||
|
Energy 6.7%
|
||||||||
|
Energy Equipment & Services 1.7%
|
||||||||
|
Aker Solutions ASA
|
1,006 | 23,120 | ||||||
|
AMEC PLC
|
12,112 | 231,801 | ||||||
|
Cameron International Corp.*
|
4,163 | 237,707 | ||||||
|
Compagnie Generale de Geophysique-Veritas*
|
5,229 | 188,561 | ||||||
|
Complete Production Services, Inc.*
|
6,149 | 195,600 | ||||||
|
Dresser-Rand Group, Inc.*
|
3,969 | 212,818 | ||||||
|
Helmerich & Payne, Inc.
|
1,000 | 68,690 | ||||||
|
John Wood Group PLC
|
20,085 | 205,405 | ||||||
|
Lamprell PLC
|
33,212 | 187,807 | ||||||
|
Nabors Industries Ltd.*
|
35,000 | 1,063,300 | ||||||
|
National Oilwell Varco, Inc.
|
32,574 | 2,582,141 | ||||||
|
Noble Corp.
|
21,953 | 1,001,496 | ||||||
|
Patterson-UTI Energy, Inc.
|
21,600 | 634,824 | ||||||
|
Prosafe SE
|
15,929 | 120,888 | ||||||
|
Saipem SpA
|
4,894 | 260,161 | ||||||
|
SBM Offshore NV
|
11,524 | 334,475 | ||||||
|
Schlumberger Ltd.
|
14,390 | 1,342,011 | ||||||
|
SEACOR Holdings, Inc.
|
4,100 | 379,086 | ||||||
|
Seadrill Ltd.
|
1,734 | 62,710 | ||||||
|
Technip SA
|
258 | 27,514 | ||||||
|
Tecnicas Reunidas SA
|
2,056 | 123,602 | ||||||
|
Tenaris SA
|
1,727 | 42,415 | ||||||
|
Transocean Ltd.*
|
9,868 | 769,211 | ||||||
|
WorleyParsons Ltd.
|
832 | 26,661 | ||||||
| 10,322,004 | ||||||||
|
Oil, Gas & Consumable Fuels 5.0%
|
||||||||
|
Alpha Natural Resources, Inc.* (b)
|
7,972 | 473,298 | ||||||
|
Anadarko Petroleum Corp.
|
13,750 | 1,126,400 | ||||||
|
BG Group PLC
|
19,737 | 491,079 | ||||||
|
BP PLC
|
10,711 | 78,009 | ||||||
|
Canadian Natural Resources Ltd. (c)
|
12,831 | 634,236 | ||||||
|
Canadian Natural Resources Ltd. (c)
|
800 | 39,558 | ||||||
|
Cenovus Energy, Inc.
|
500 | 19,752 | ||||||
|
Chesapeake Energy Corp.
|
8,500 | 284,920 | ||||||
|
Chevron Corp.
|
47,230 | 5,073,919 | ||||||
|
Cloud Peak Energy, Inc.*
|
6,437 | 138,975 | ||||||
|
ConocoPhillips
|
47,470 | 3,790,954 | ||||||
|
Cosmo Oil Co., Ltd.
|
13,000 | 40,478 | ||||||
|
Enbridge, Inc.
|
200 | 12,258 | ||||||
|
EnCana Corp.
|
500 | 17,292 | ||||||
|
Eni SpA
|
17,860 | 438,643 | ||||||
|
EOG Resources, Inc.
|
10,823 | 1,282,634 | ||||||
|
ExxonMobil Corp.
|
48,279 | 4,061,712 | ||||||
|
Gazprom OAO (ADR)
|
10,651 | 344,453 | ||||||
|
Idemitsu Kosan Co., Ltd.
|
400 | 46,838 | ||||||
|
Imperial Oil Ltd.
|
300 | 15,330 | ||||||
|
INPEX Corp.
|
34 | 257,923 | ||||||
|
Japan Petroleum Exploration Co., Ltd.
|
600 | 30,007 | ||||||
|
JX Holdings, Inc.
|
36,000 | 242,366 | ||||||
|
LUKOIL (ADR)
|
3,927 | 280,348 | ||||||
|
Marathon Oil Corp.
|
36,899 | 1,967,086 | ||||||
|
Nexen, Inc.
|
28,310 | 705,485 | ||||||
|
Northern Oil & Gas, Inc.*
|
5,673 | 151,469 | ||||||
|
Occidental Petroleum Corp.
|
10,430 | 1,089,831 | ||||||
|
Origin Energy Ltd.
|
3,774 | 63,317 | ||||||
|
Paladin Energy Ltd.*
|
4,408 | 16,459 | ||||||
|
Plains Exploration & Production Co.*
|
13,122 | 475,410 | ||||||
|
Repsol YPF SA
|
17,418 | 596,755 | ||||||
|
Royal Dutch Shell PLC "A"
|
1,977 | 71,803 | ||||||
|
Royal Dutch Shell PLC "B"
|
1,205 | 43,687 | ||||||
|
Santos Ltd.
|
3,663 | 58,916 | ||||||
|
Showa Shell Sekiyu KK
|
3,800 | 39,654 | ||||||
|
Southwestern Energy Co.*
|
27,600 | 1,185,972 | ||||||
|
Statoil ASA
|
6,422 | 178,020 | ||||||
|
Suncor Energy, Inc. (c)
|
27,913 | 1,251,619 | ||||||
|
Suncor Energy, Inc. (c)
|
1,284 | 57,585 | ||||||
|
Talisman Energy, Inc.
|
1,200 | 29,669 | ||||||
|
Tesoro Corp.*
|
11,500 | 308,545 | ||||||
|
TonenGeneral Sekiyu KK
|
5,000 | 61,734 | ||||||
|
Total SA
|
12,708 | 773,610 | ||||||
|
TransCanada Corp.
|
900 | 36,492 | ||||||
|
Ultra Petroleum Corp.*
|
4,845 | 238,616 | ||||||
|
Valero Energy Corp.
|
14,431 | 430,332 | ||||||
|
Woodside Petroleum Ltd.
|
8,295 | 401,541 | ||||||
| 29,454,989 | ||||||||
|
Financials 7.4%
|
||||||||
|
Capital Markets 1.2%
|
||||||||
|
Affiliated Managers Group, Inc.*
|
1,548 | 169,305 | ||||||
|
Ameriprise Financial, Inc.
|
6,976 | 426,094 | ||||||
|
Ashmore Group PLC
|
49,478 | 263,041 | ||||||
|
Bank of New York Mellon Corp.
|
2,900 | 86,623 | ||||||
|
BlackRock, Inc.
|
4,800 | 964,848 | ||||||
|
Charles Schwab Corp.
|
27,880 | 502,676 | ||||||
|
Credit Suisse Group AG (Registered)
|
930 | 39,519 | ||||||
|
Daiwa Securities Group, Inc.
|
4,000 | 18,370 | ||||||
|
Franklin Resources, Inc.
|
3,000 | 375,240 | ||||||
|
ICAP PLC
|
14,645 | 124,046 | ||||||
|
Invesco Ltd.
|
37,300 | 953,388 | ||||||
|
Jefferies Group, Inc. (b)
|
8,324 | 207,601 | ||||||
|
Lazard Ltd. "A"
|
2,947 | 122,536 | ||||||
|
Morgan Stanley
|
32,879 | 898,254 | ||||||
|
Nomura Holdings, Inc.
|
6,500 | 33,992 | ||||||
|
Partners Group Holding AG
|
1,303 | 249,109 | ||||||
|
Raymond James Financial, Inc.
|
2,700 | 103,248 | ||||||
|
T. Rowe Price Group, Inc. (b)
|
20,740 | 1,377,551 | ||||||
|
UBS AG (Registered)*
|
2,823 | 50,651 | ||||||
|
UOB-Kay Hian Holdings Ltd.
|
87,981 | 122,845 | ||||||
|
Waddell & Reed Financial, Inc. "A"
|
4,743 | 192,613 | ||||||
| 7,281,550 | ||||||||
|
Commercial Banks 1.6%
|
||||||||
|
Alpha Bank AE*
|
3,379 | 21,789 | ||||||
|
Australia & New Zealand Banking Group Ltd.
|
13,575 | 334,323 | ||||||
|
Banco Bilbao Vizcaya Argentaria SA
|
3,701 | 44,903 | ||||||
|
Banco Santander Brasil SA (Units)
|
13,906 | 168,645 | ||||||
|
Banco Santander SA
|
6,813 | 79,097 | ||||||
|
Bank of Cyprus PCL (c)
|
4,059 | 14,726 | ||||||
|
Bank of Cyprus PCL (c)
|
2,475 | 8,944 | ||||||
|
Bank of Montreal
|
200 | 12,992 | ||||||
|
Bank of Nova Scotia
|
700 | 42,953 | ||||||
|
Barclays PLC
|
3,017 | 13,433 | ||||||
|
BNP Paribas
|
4,102 | 300,027 | ||||||
|
Canadian Imperial Bank of Commerce
|
200 | 17,246 | ||||||
|
Commonwealth Bank of Australia
|
655 | 35,501 | ||||||
|
Credit Agricole SA
|
699 | 11,471 | ||||||
|
Daegu Bank
|
12,289 | 201,652 | ||||||
|
Dah Sing Banking Group Ltd.
|
83,776 | 129,888 | ||||||
|
Danske Bank AS*
|
4,831 | 106,974 | ||||||
|
DBS Group Holdings Ltd.
|
3,000 | 34,843 | ||||||
|
Dexia SA*
|
3,525 | 13,728 | ||||||
|
DnB NOR ASA
|
8,844 | 135,693 | ||||||
|
EFG Eurobank Ergasias*
|
2,303 | 14,361 | ||||||
|
Erste Group Bank AG
|
1,418 | 71,551 | ||||||
|
HSBC Holdings PLC
|
44,133 | 453,816 | ||||||
|
Huntington Bancshares, Inc.
|
17,615 | 116,964 | ||||||
|
Industrial & Commercial Bank of China Ltd. "H"
|
191,712 | 159,215 | ||||||
|
Intesa Sanpaolo
|
77,396 | 229,024 | ||||||
|
KBC Groep NV*
|
857 | 32,228 | ||||||
|
KeyCorp
|
105,400 | 935,952 | ||||||
|
M&T Bank Corp.
|
11,100 | 982,017 | ||||||
|
Mitsubishi UFJ Financial Group, Inc.
|
19,800 | 91,407 | ||||||
|
Mizuho Financial Group, Inc.
|
26,892 | 44,615 | ||||||
|
National Australia Bank Ltd.
|
10,785 | 288,369 | ||||||
|
National Bank of Greece SA*
|
7,340 | 65,326 | ||||||
|
Nordea Bank AB
|
4,983 | 54,552 | ||||||
|
Oversea-Chinese Banking Corp., Ltd.
|
40,858 | 310,527 | ||||||
|
Prosperity Bancshares, Inc.
|
3,775 | 161,457 | ||||||
|
Raiffeisen International Bank-Holding AG
|
585 | 32,466 | ||||||
|
Resona Holdings, Inc.
|
1,600 | 7,617 | ||||||
|
Royal Bank of Canada
|
500 | 30,939 | ||||||
|
Royal Bank of Scotland Group PLC*
|
305,654 | 200,006 | ||||||
|
Sberbank
|
25,387 | 95,404 | ||||||
|
Skandinaviska Enskilda Banken AB "A"
|
2,289 | 20,417 | ||||||
|
Societe Generale
|
4,712 | 306,179 | ||||||
|
Standard Chartered PLC
|
13,505 | 350,318 | ||||||
|
Sumitomo Mitsui Financial Group, Inc.
|
12,071 | 375,278 | ||||||
|
Sumitomo Trust & Banking Co., Ltd.
|
4,000 | 20,726 | ||||||
|
SunTrust Banks, Inc.
|
35,000 | 1,009,400 | ||||||
|
Svenska Handelsbanken AB "A"
|
928 | 30,434 | ||||||
|
Swedbank AB "A"
|
12,787 | 218,792 | ||||||
|
Toronto-Dominion Bank
|
300 | 26,550 | ||||||
|
UBI Banca — Unione di Banche Italiane ScpA
|
1,099 | 9,392 | ||||||
|
UniCredit SpA
|
146,319 | 361,641 | ||||||
|
United Overseas Bank Ltd.
|
3,000 | 44,744 | ||||||
|
Wells Fargo & Co.
|
14,900 | 472,330 | ||||||
|
Westpac Banking Corp.
|
1,148 | 28,890 | ||||||
|
Zions Bancorp.
|
5,205 | 120,027 | ||||||
| 9,501,759 | ||||||||
|
Consumer Finance 0.2%
|
||||||||
|
Capital One Financial Corp.
|
19,400 | 1,008,024 | ||||||
|
Kiatnakin Bank PCL (Foreign Registered)
|
151,356 | 176,403 | ||||||
|
Magma Fincorp Ltd.
|
47,509 | 63,388 | ||||||
| 1,247,815 | ||||||||
|
Diversified Financial Services 1.0%
|
||||||||
|
Bank of America Corp.
|
27,700 | 369,241 | ||||||
|
Citigroup, Inc.*
|
4,400 | 19,448 | ||||||
|
Deutsche Boerse AG
|
224 | 17,000 | ||||||
|
Groupe Bruxelles Lambert SA
|
500 | 46,690 | ||||||
|
Hong Kong Exchanges & Clearing Ltd.
|
12,438 | 269,753 | ||||||
|
ING Groep NV (CVA)*
|
35,546 | 449,906 | ||||||
|
Interactive Brokers Group, Inc. "A"
|
800 | 12,712 | ||||||
|
IntercontinentalExchange, Inc.*
|
7,500 | 926,550 | ||||||
|
Investor AB "B"
|
985 | 23,907 | ||||||
|
JPMorgan Chase & Co.
|
78,160 | 3,603,176 | ||||||
|
ORIX Corp.
|
260 | 24,350 | ||||||
|
Pohjola Bank PLC "A"
|
1,664 | 22,686 | ||||||
|
Singapore Exchange Ltd.
|
2,000 | 12,455 | ||||||
| 5,797,874 | ||||||||
|
Insurance 2.5%
|
||||||||
|
Aegon NV*
|
3,925 | 29,392 | ||||||
|
Ageas
|
13,799 | 39,210 | ||||||
|
AIA Group Ltd.*
|
61,390 | 189,019 | ||||||
|
Allianz SE (Registered)
|
2,352 | 330,092 | ||||||
|
Allied World Assurance Co. Holdings Ltd.
|
500 | 31,345 | ||||||
|
American National Insurance Co.
|
1,000 | 79,170 | ||||||
|
Assicurazioni Generali SpA
|
1,580 | 34,215 | ||||||
|
Assurant, Inc.
|
21,679 | 834,858 | ||||||
|
AXA SA
|
5,756 | 120,281 | ||||||
|
Berkshire Hathaway, Inc. "B"*
|
4,800 | 401,424 | ||||||
|
CNA Financial Corp.
|
3,100 | 91,605 | ||||||
|
Dai-ichi Life Insurance Co., Ltd.
|
12 | 18,105 | ||||||
|
Endurance Specialty Holdings Ltd.
|
5,100 | 248,982 | ||||||
|
Erie Indemnity Co. "A"
|
600 | 42,666 | ||||||
|
Fidelity National Financial, Inc. "A"
|
88,824 | 1,255,083 | ||||||
|
HCC Insurance Holdings, Inc.
|
21,030 | 658,449 | ||||||
|
Legal & General Group PLC
|
143,230 | 264,694 | ||||||
|
Lincoln National Corp.
|
71,458 | 2,146,598 | ||||||
|
Markel Corp.*
|
413 | 171,168 | ||||||
|
Marsh & McLennan Companies, Inc.
|
5,900 | 175,879 | ||||||
|
MetLife, Inc.
|
14,480 | 647,690 | ||||||
|
MS&AD Insurance Group Holdings, Inc.
|
1,100 | 25,047 | ||||||
|
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
|
294 | 46,249 | ||||||
|
NKSJ Holdings, Inc.
|
3,000 | 19,584 | ||||||
|
Old Mutual PLC
|
96,980 | 211,582 | ||||||
|
PartnerRe Ltd.
|
15,091 | 1,195,811 | ||||||
|
Prudential Financial, Inc.
|
16,839 | 1,036,946 | ||||||
|
Prudential PLC
|
13,307 | 150,817 | ||||||
|
Reinsurance Group of America, Inc.
|
15,900 | 998,202 | ||||||
|
Sampo Oyj "A"
|
13,872 | 442,533 | ||||||
|
T&D Holdings, Inc.
|
700 | 17,252 | ||||||
|
The Travelers Companies, Inc. (b)
|
34,300 | 2,040,164 | ||||||
|
Tokio Marine Holdings, Inc.
|
1,100 | 29,411 | ||||||
|
Transatlantic Holdings, Inc.
|
12,031 | 585,549 | ||||||
|
Tryg AS
|
339 | 19,936 | ||||||
|
Vienna Insurance Group AG Wiener Versicherung Gruppe
|
402 | 22,959 | ||||||
|
Zurich Financial Services AG
|
148 | 41,427 | ||||||
| 14,693,394 | ||||||||
|
Real Estate Investment Trusts 0.6%
|
||||||||
|
Apartment Investment & Management Co. "A" (REIT)
|
6,400 | 163,008 | ||||||
|
AvalonBay Communities, Inc. (REIT)
|
8,500 | 1,020,680 | ||||||
|
Corio NV (REIT)
|
442 | 30,919 | ||||||
|
HCP, Inc. (REIT)
|
27,900 | 1,058,526 | ||||||
|
Piedmont Office Realty Trust, Inc. "A" (REIT)
|
9,900 | 192,159 | ||||||
|
Public Storage (REIT)
|
5,600 | 621,096 | ||||||
|
Rayonier, Inc. (REIT)
|
6,700 | 417,477 | ||||||
|
SL Green Realty Corp. (REIT)
|
1,200 | 90,240 | ||||||
|
Unibail-Rodamco SE (REIT)
|
119 | 25,778 | ||||||
|
Westfield Group (REIT) (Units)
|
1,301 | 12,569 | ||||||
| 3,632,452 | ||||||||
|
Real Estate Management & Development 0.1%
|
||||||||
|
CapitaLand Ltd.
|
5,000 | 13,090 | ||||||
|
Cheung Kong (Holdings) Ltd.
|
2,000 | 32,654 | ||||||
|
Hang Lung Properties Ltd.
|
3,000 | 13,094 | ||||||
|
Immofinanz AG*
|
8,098 | 36,564 | ||||||
|
K Wah International Holdings Ltd.
|
532,911 | 213,067 | ||||||
|
Mitsubishi Estate Co., Ltd.
|
2,000 | 33,830 | ||||||
|
Mitsui Fudosan Co., Ltd.
|
1,000 | 16,506 | ||||||
|
Sun Hung Kai Properties Ltd.
|
2,000 | 31,677 | ||||||
|
Swire Pacific Ltd. "A"
|
1,000 | 14,682 | ||||||
| 405,164 | ||||||||
|
Thrifts & Mortgage Finance 0.2%
|
||||||||
|
Capitol Federal Financial, Inc.
|
33,900 | 382,053 | ||||||
|
People's United Financial, Inc.
|
58,100 | 730,898 | ||||||
| 1,112,951 | ||||||||
|
Health Care 5.9%
|
||||||||
|
Biotechnology 1.2%
|
||||||||
|
Amgen, Inc.*
|
7,744 | 413,917 | ||||||
|
Biogen Idec, Inc.*
|
15,000 | 1,100,850 | ||||||
|
Celgene Corp.*
|
39,760 | 2,287,393 | ||||||
|
Cephalon, Inc.* (b)
|
16,300 | 1,235,214 | ||||||
|
CSL Ltd.
|
3,250 | 120,111 | ||||||
|
Gilead Sciences, Inc.*
|
45,792 | 1,943,412 | ||||||
|
Metabolix, Inc.*
|
6,388 | 67,138 | ||||||
|
Onyx Pharmaceuticals, Inc.*
|
3,383 | 119,014 | ||||||
| 7,287,049 | ||||||||
|
Health Care Equipment & Supplies 0.8%
|
||||||||
|
Accuray, Inc.*
|
17,936 | 161,962 | ||||||
|
Baxter International, Inc.
|
20,918 | 1,124,761 | ||||||
|
Becton, Dickinson & Co.
|
9,568 | 761,804 | ||||||
|
Cochlear Ltd.
|
525 | 45,066 | ||||||
|
Coloplast AS "B"
|
69 | 9,993 | ||||||
|
Edwards Lifesciences Corp.*
|
5,379 | 467,973 | ||||||
|
Essilor International SA
|
1,042 | 77,380 | ||||||
|
Hologic, Inc.*
|
19,200 | 426,240 | ||||||
|
Kinetic Concepts, Inc.*
|
3,601 | 195,966 | ||||||
|
NxStage Medical, Inc.*
|
9,989 | 219,558 | ||||||
|
Olympus Corp.
|
1,600 | 44,511 | ||||||
|
Smith & Nephew PLC
|
2,990 | 33,720 | ||||||
|
Stryker Corp.
|
13,900 | 845,120 | ||||||
|
Sysmex Corp.
|
400 | 14,148 | ||||||
|
Terumo Corp.
|
1,100 | 57,989 | ||||||
|
Thoratec Corp.*
|
16,448 | 426,497 | ||||||
| 4,912,688 | ||||||||
|
Health Care Providers & Services 1.8%
|
||||||||
|
Aetna, Inc.
|
27,400 | 1,025,582 | ||||||
|
Alfresa Holdings Corp.
|
200 | 7,682 | ||||||
|
Cardinal Health, Inc.
|
42,200 | 1,735,686 | ||||||
|
Centene Corp.*
|
7,524 | 248,142 | ||||||
|
Community Health Systems, Inc.*
|
10,200 | 407,898 | ||||||
|
Coventry Health Care, Inc.*
|
10,000 | 318,900 | ||||||
|
Express Scripts, Inc.*
|
23,340 | 1,297,937 | ||||||
|
Fleury SA
|
17,901 | 265,886 | ||||||
|
Fresenius Medical Care AG & Co. KGaA
|
10,731 | 720,706 | ||||||
|
Laboratory Corp. of America Holdings*
|
8,900 | 819,957 | ||||||
|
McKesson Corp.
|
28,558 | 2,257,510 | ||||||
|
Medco Health Solutions, Inc.*
|
10,600 | 595,296 | ||||||
|
Sonic Healthcare Ltd.
|
3,257 | 40,359 | ||||||
|
Suzuken Co., Ltd.
|
300 | 7,913 | ||||||
|
UnitedHealth Group, Inc.
|
600 | 27,120 | ||||||
|
WellPoint, Inc.
|
11,129 | 776,693 | ||||||
| 10,553,267 | ||||||||
|
Health Care Technology 0.0%
|
||||||||
|
SXC Health Solutions Corp.*
|
5,275 | 289,070 | ||||||
|
Life Sciences Tools & Services 0.4%
|
||||||||
|
Agilent Technologies, Inc.*
|
500 | 22,390 | ||||||
|
Life Technologies Corp.*
|
9,148 | 479,538 | ||||||
|
Thermo Fisher Scientific, Inc.*
|
29,507 | 1,639,114 | ||||||
| 2,141,042 | ||||||||
|
Pharmaceuticals 1.7%
|
||||||||
|
Abbott Laboratories
|
3,300 | 161,865 | ||||||
|
Astellas Pharma, Inc.
|
2,700 | 99,976 | ||||||
|
AstraZeneca PLC
|
9,163 | 420,840 | ||||||
|
Bayer AG
|
5,055 | 391,438 | ||||||
|
Chugai Pharmaceutical Co., Ltd.
|
1,500 | 25,824 | ||||||
|
Daiichi Sankyo Co., Ltd.
|
4,100 | 79,161 | ||||||
|
Eisai Co., Ltd.
|
1,500 | 53,811 | ||||||
|
Eli Lilly & Co.
|
27,600 | 970,692 | ||||||
|
Endo Pharmaceuticals Holdings, Inc.*
|
12,500 | 477,000 | ||||||
|
Flamel Technologies SA (ADR)*
|
20,411 | 122,670 | ||||||
|
GlaxoSmithKline PLC
|
12,230 | 233,372 | ||||||
|
Hisamitsu Pharmaceutical Co., Inc.
|
500 | 20,167 | ||||||
|
Johnson & Johnson
|
11,484 | 680,427 | ||||||
|
Kyowa Hakko Kirin Co., Ltd.
|
2,000 | 18,755 | ||||||
|
Merck & Co., Inc.
|
31,054 | 1,025,093 | ||||||
|
Mitsubishi Tanabe Pharma Corp.
|
1,000 | 16,230 | ||||||
|
Mylan, Inc.*
|
25,700 | 582,619 | ||||||
|
Novartis AG (Registered)
|
3,700 | 200,690 | ||||||
|
Novo Nordisk AS "B"
|
3,100 | 389,474 | ||||||
|
Ono Pharmaceutical Co., Ltd.
|
400 | 19,668 | ||||||
|
Pacira Pharmaceuticals. Inc.*
|
13,936 | 98,946 | ||||||
|
Pfizer, Inc.
|
25,100 | 509,781 | ||||||
|
Questcor Pharmaceuticals, Inc.* (b)
|
19,740 | 284,453 | ||||||
|
Roche Holding AG (Genusschein)
|
1,299 | 185,551 | ||||||
|
Sanofi-Aventis
|
7,644 | 535,966 | ||||||
|
Santen Pharmaceutical Co., Ltd.
|
400 | 15,941 | ||||||
|
Shionogi & Co., Ltd.
|
2,000 | 34,119 | ||||||
|
Shire PLC
|
1,752 | 50,899 | ||||||
|
Taisho Pharmaceutical Co., Ltd.
|
1,000 | 21,640 | ||||||
|
Takeda Pharmaceutical Co., Ltd.
|
10,136 | 472,802 | ||||||
|
Teva Pharmaceutical Industries Ltd. (ADR)
|
22,118 | 1,109,660 | ||||||
|
Tsumura & Co.
|
400 | 12,551 | ||||||
|
VIVUS, Inc.*
|
13,763 | 85,193 | ||||||
|
Warner Chilcott PLC "A"
|
2,700 | 62,856 | ||||||
|
Watson Pharmaceuticals, Inc.*
|
9,100 | 509,691 | ||||||
| 9,979,821 | ||||||||
|
Industrials 6.6%
|
||||||||
|
Aerospace & Defense 1.5%
|
||||||||
|
BAE Systems PLC
|
8,806 | 45,897 | ||||||
|
BE Aerospace, Inc.*
|
6,290 | 223,484 | ||||||
|
Bombardier, Inc. "B"
|
2,600 | 19,121 | ||||||
|
Finmeccanica SpA
|
5,039 | 63,414 | ||||||
|
General Dynamics Corp.
|
15,000 | 1,148,400 | ||||||
|
Honeywell International, Inc.
|
11,600 | 692,636 | ||||||
|
Huntington Ingalls Industries, Inc.*
|
2,030 | 84,245 | ||||||
|
Lockheed Martin Corp.
|
13,400 | 1,077,360 | ||||||
|
Northrop Grumman Corp.
|
12,290 | 770,706 | ||||||
|
Raytheon Co.
|
28,192 | 1,434,127 | ||||||
|
Rolls-Royce Group PLC*
|
3,799 | 37,724 | ||||||
|
S&T Dynamics Co., Ltd.
|
8,961 | 144,591 | ||||||
|
Singapore Technologies Engineering Ltd.
|
6,000 | 15,518 | ||||||
|
TransDigm Group, Inc.*
|
7,649 | 641,216 | ||||||
|
United Technologies Corp.
|
27,504 | 2,328,214 | ||||||
| 8,726,653 | ||||||||
|
Air Freight & Logistics 0.0%
|
||||||||
|
Deutsche Post AG (Registered)
|
632 | 11,393 | ||||||
|
FedEx Corp.
|
900 | 84,195 | ||||||
|
TNT NV
|
1,419 | 36,399 | ||||||
|
Yamato Holdings Co., Ltd.
|
800 | 12,407 | ||||||
| 144,394 | ||||||||
|
Airlines 0.2%
|
||||||||
|
Cathay Pacific Airways Ltd.
|
8,000 | 19,171 | ||||||
|
Cebu Air, Inc.*
|
38,331 | 70,215 | ||||||
|
Delta Air Lines, Inc.*
|
43,800 | 429,240 | ||||||
|
Deutsche Lufthansa AG (Registered)*
|
6,111 | 129,518 | ||||||
|
International Consolidated Airlines Group SA*
|
2,833 | 10,427 | ||||||
|
Qantas Airways Ltd.*
|
7,928 | 17,877 | ||||||
|
Ryanair Holdings PLC (ADR)
|
6,097 | 169,496 | ||||||
|
Singapore Airlines Ltd.
|
2,793 | 30,312 | ||||||
|
Singapore Airlines Ltd.
|
11,286 | 123,022 | ||||||
| 999,278 | ||||||||
|
Building Products 0.0%
|
||||||||
|
Asahi Glass Co., Ltd.
|
2,000 | 25,151 | ||||||
|
Assa Abloy AB "B"
|
518 | 14,895 | ||||||
|
Compagnie de Saint-Gobain
|
192 | 11,756 | ||||||
|
Daikin Industries Ltd.
|
600 | 17,968 | ||||||
|
Geberit AG (Registered)
|
86 | 18,726 | ||||||
| 88,496 | ||||||||
|
Commercial Services & Supplies 0.3%
|
||||||||
|
Babcock International Group PLC
|
27,050 | 269,474 | ||||||
|
Brambles Ltd.
|
6,450 | 47,235 | ||||||
|
EnerNOC, Inc.*
|
4,107 | 78,485 | ||||||
|
Prosegur Compania de Seguridad SA
|
2,089 | 124,342 | ||||||
|
R.R. Donnelley & Sons Co.
|
20,900 | 395,428 | ||||||
|
Secom Co., Ltd.
|
300 | 13,940 | ||||||
|
Serco Group PLC
|
17,775 | 159,112 | ||||||
|
Stericycle, Inc.*
|
9,623 | 853,271 | ||||||
| 1,941,287 | ||||||||
|
Construction & Engineering 0.1%
|
||||||||
|
ACS, Actividades de Construccion y Servicios SA
|
833 | 39,052 | ||||||
|
Aecom Technology Corp.*
|
6,870 | 190,505 | ||||||
|
Bouygues SA
|
261 | 12,534 | ||||||
|
Chicago Bridge & Iron Co. NV (NY Registered Shares) (d)
|
7,064 | 287,222 | ||||||
|
Ferrovial SA
|
2,776 | 34,817 | ||||||
|
Koninklijke Boskalis Westminster NV
|
256 | 13,538 | ||||||
|
Leighton Holdings Ltd.
|
482 | 14,702 | ||||||
|
Shui On Construction & Materials Ltd.
|
96,777 | 129,890 | ||||||
|
Skanska AB "B"
|
1,094 | 23,035 | ||||||
|
SNC-Lavalin Group, Inc.
|
300 | 17,093 | ||||||
|
Vinci SA
|
385 | 24,059 | ||||||
| 786,447 | ||||||||
|
Electrical Equipment 0.8%
|
||||||||
|
ABB Ltd. (Registered)*
|
4,290 | 103,035 | ||||||
|
AMETEK, Inc.
|
29,051 | 1,274,467 | ||||||
|
Emerson Electric Co.
|
17,200 | 1,004,996 | ||||||
|
Mitsubishi Electric Corp.
|
4,000 | 47,223 | ||||||
|
Nidec Corp.
|
200 | 17,312 | ||||||
|
Prysmian SpA
|
8,815 | 189,138 | ||||||
|
Roper Industries, Inc. (b)
|
15,560 | 1,345,317 | ||||||
|
Schneider Electric SA
|
2,309 | 394,641 | ||||||
|
Sumitomo Electric Industries Ltd.
|
2,100 | 29,059 | ||||||
|
Vestas Wind Systems AS*
|
1,513 | 65,625 | ||||||
| 4,470,813 | ||||||||
|
Industrial Conglomerates 0.6%
|
||||||||
|
3M Co.
|
3,500 | 327,250 | ||||||
|
Fraser & Neave Ltd.
|
4,000 | 19,072 | ||||||
|
General Electric Co.
|
40,500 | 812,025 | ||||||
|
Hankyu Hanshin Holdings, Inc.
|
3,000 | 13,849 | ||||||
|
Hutchison Whampoa Ltd.
|
10,000 | 118,403 | ||||||
|
Keppel Corp., Ltd.
|
35,707 | 348,430 | ||||||
|
Koninklijke (Royal) Philips Electronics NV*
|
3,714 | 118,718 | ||||||
|
Orkla ASA
|
15,024 | 145,615 | ||||||
|
SembCorp Industries Ltd.
|
4,000 | 16,533 | ||||||
|
Siemens AG (Registered)
|
3,653 | 500,670 | ||||||
|
Smiths Group PLC
|
609 | 12,671 | ||||||
|
Tyco International Ltd.
|
26,500 | 1,186,405 | ||||||
| 3,619,641 | ||||||||
|
Machinery 2.2%
|
||||||||
|
AB SKF "B"
|
681 | 19,830 | ||||||
|
Alfa Laval AB
|
700 | 15,205 | ||||||
|
Altra Holdings, Inc.*
|
6,615 | 156,246 | ||||||
|
Amtek Engineering Ltd.*
|
286,501 | 288,660 | ||||||
|
Andritz AG (b)
|
2,119 | 197,570 | ||||||
|
Atlas Copco AB "A"
|
1,696 | 45,088 | ||||||
|
Atlas Copco AB "B"
|
800 | 19,341 | ||||||
|
Austal Ltd.
|
47,030 | 147,882 | ||||||
|
Charter International PLC
|
11,611 | 150,501 | ||||||
|
Deere & Co.
|
4,100 | 397,249 | ||||||
|
Dover Corp.
|
43,647 | 2,869,354 | ||||||
|
Eaton Corp.
|
18,600 | 1,031,184 | ||||||
|
EVA Precision Industrial Holdings Ltd.
|
381,699 | 279,703 | ||||||
|
FANUC Ltd.
|
3,604 | 545,496 | ||||||
|
Joy Global, Inc.
|
3,291 | 325,184 | ||||||
|
Komatsu Ltd.
|
15,500 | 526,419 | ||||||
|
Kone Oyj "B"
|
1,642 | 94,478 | ||||||
|
Kubota Corp.
|
25,682 | 242,062 | ||||||
|
MAN SE
|
1,062 | 132,446 | ||||||
|
Meritor, Inc.*
|
23,043 | 391,040 | ||||||
|
Metso Oyj
|
1,218 | 65,490 | ||||||
|
Mitsubishi Heavy Industries Ltd.
|
6,000 | 27,555 | ||||||
|
Navistar International Corp.*
|
17,204 | 1,192,753 | ||||||
|
Oshkosh Corp.*
|
27,000 | 955,260 | ||||||
|
Parker Hannifin Corp.
|
15,780 | 1,494,050 | ||||||
|
Rational AG
|
866 | 206,185 | ||||||
|
Rotork PLC
|
6,639 | 185,954 | ||||||
|
Sandvik AB
|
1,397 | 26,360 | ||||||
|
Scania AB "B"
|
886 | 20,536 | ||||||
|
SembCorp Marine Ltd.
|
4,000 | 18,532 | ||||||
|
SPX Corp.
|
7,638 | 606,381 | ||||||
|
Vallourec SA
|
242 | 27,149 | ||||||
|
Volvo AB "B"*
|
15,351 | 269,960 | ||||||
|
Wartsila Corp.
|
1,540 | 60,128 | ||||||
|
Zardoya Otis SA
|
1,051 | 17,427 | ||||||
| 13,048,658 | ||||||||
|
Marine 0.1%
|
||||||||
|
A P Moller-Maersk AS "A"
|
4 | 36,760 | ||||||
|
A P Moller-Maersk AS "B"
|
38 | 357,451 | ||||||
|
Kuehne & Nagel International AG (Registered)
|
117 | 16,368 | ||||||
|
Mitsui OSK Lines Ltd.
|
64,871 | 373,566 | ||||||
|
Orient Overseas International Ltd.
|
2,000 | 20,981 | ||||||
| 805,126 | ||||||||
|
Professional Services 0.0%
|
||||||||
|
Brunel International NV
|
3,554 | 167,320 | ||||||
|
Capita Group PLC
|
1,888 | 22,503 | ||||||
|
Experian PLC
|
2,837 | 35,135 | ||||||
|
Randstad Holding NV*
|
592 | 32,972 | ||||||
|
SGS SA (Registered)
|
10 | 17,801 | ||||||
| 275,731 | ||||||||
|
Road & Rail 0.5%
|
||||||||
|
Asciano Ltd.
|
14,929 | 26,869 | ||||||
|
Canadian National Railway Co.
|
1,100 | 82,996 | ||||||
|
Canadian Pacific Railway Ltd.
|
300 | 19,284 | ||||||
|
Central Japan Railway Co.
|
3 | 23,768 | ||||||
|
ComfortDelGro Corp., Ltd.
|
11,000 | 13,614 | ||||||
|
CSX Corp.
|
11,800 | 927,480 | ||||||
|
DSV AS
|
1,941 | 47,923 | ||||||
|
East Japan Railway Co.
|
500 | 27,801 | ||||||
|
MTR Corp., Ltd.
|
11,500 | 42,431 | ||||||
|
Norfolk Southern Corp.
|
20,360 | 1,410,337 | ||||||
|
QR National*
|
10,381 | 35,971 | ||||||
|
Union Pacific Corp.
|
600 | 58,998 | ||||||
| 2,717,472 | ||||||||
|
Trading Companies & Distributors 0.2%
|
||||||||
|
Bunzl PLC
|
1,151 | 13,747 | ||||||
|
Itochu Corp.
|
3,000 | 31,414 | ||||||
|
JFE Shoji Holdings, Inc.
|
8,702 | 37,766 | ||||||
|
Marubeni Corp.
|
4,000 | 28,805 | ||||||
|
MISUMI Group, Inc.
|
10,785 | 267,745 | ||||||
|
Mitsubishi Corp.
|
22,297 | 618,944 | ||||||
|
Mitsui & Co., Ltd.
|
2,400 | 43,020 | ||||||
|
Noble Group Ltd.
|
13,182 | 22,380 | ||||||
|
Sumikin Bussan Corp.
|
49,754 | 117,835 | ||||||
|
Sumitomo Corp.
|
1,800 | 25,730 | ||||||
|
Wolseley PLC*
|
505 | 17,004 | ||||||
| 1,224,390 | ||||||||
|
Transportation Infrastructure 0.1%
|
||||||||
|
Abertis Infraestructuras SA
|
2,461 | 53,467 | ||||||
|
Atlantia SpA
|
2,665 | 61,071 | ||||||
|
Koninklijke Vopak NV
|
5,189 | 249,663 | ||||||
|
Transurban Group (Units)
|
5,178 | 28,761 | ||||||
| 392,962 | ||||||||
|
Information Technology 9.1%
|
||||||||
|
Communications Equipment 0.8%
|
||||||||
|
Alcatel-Lucent*
|
7,993 | 45,888 | ||||||
|
Brocade Communications Systems, Inc.*
|
70,472 | 433,403 | ||||||
|
Cisco Systems, Inc.
|
117,799 | 2,020,253 | ||||||
|
EchoStar Corp. "A"*
|
1,700 | 64,345 | ||||||
|
Harris Corp.
|
3,388 | 168,045 | ||||||
|
Nokia Oyj
|
17,822 | 152,428 | ||||||
|
QUALCOMM, Inc.
|
26,491 | 1,452,502 | ||||||
|
Research In Motion Ltd.*
|
2,700 | 152,698 | ||||||
|
Sycamore Networks, Inc.
|
4,644 | 113,453 | ||||||
|
Telefonaktiebolaget LM Ericsson "B"
|
10,470 | 135,024 | ||||||
| 4,738,039 | ||||||||
|
Computers & Peripherals 2.1%
|
||||||||
|
Apple, Inc.*
|
15,890 | 5,536,870 | ||||||
|
Dell, Inc.*
|
73,200 | 1,062,132 | ||||||
|
EMC Corp.* (b)
|
54,450 | 1,445,648 | ||||||
|
Fujitsu Ltd.
|
4,000 | 22,602 | ||||||
|
Hewlett-Packard Co.
|
67,223 | 2,754,126 | ||||||
|
Lexmark International, Inc. "A"*
|
8,518 | 315,507 | ||||||
|
NEC Corp.*
|
5,000 | 10,880 | ||||||
|
QLogic Corp.*
|
51,400 | 953,470 | ||||||
|
SanDisk Corp.*
|
2,100 | 96,789 | ||||||
|
Toshiba Corp.
|
10,000 | 48,930 | ||||||
|
Western Digital Corp.*
|
7,300 | 272,217 | ||||||
| 12,519,171 | ||||||||
|
Electronic Equipment, Instruments & Components 0.5%
|
||||||||
|
AVX Corp.
|
12,700 | 189,357 | ||||||
|
Cognex Corp.
|
4,551 | 128,566 | ||||||
|
Corning, Inc.
|
47,100 | 971,673 | ||||||
|
E Ink Holdings, Inc.*
|
111,738 | 180,679 | ||||||
|
Fujifilm Holdings Corp.
|
1,000 | 30,969 | ||||||
|
Hitachi Ltd.
|
9,000 | 46,850 | ||||||
|
Hoya Corp.
|
1,100 | 25,100 | ||||||
|
Ingram Micro, Inc. "A"*
|
2,900 | 60,987 | ||||||
|
Itron, Inc.*
|
3,870 | 218,423 | ||||||
|
Keyence Corp.
|
100 | 25,595 | ||||||
|
Kingboard Chemical Holdings Ltd.
|
38,712 | 203,798 | ||||||
|
Kyocera Corp.
|
400 | 40,539 | ||||||
|
Murata Manufacturing Co., Ltd.
|
500 | 36,006 | ||||||
|
Star Micronics Co., Ltd.
|
11,652 | 129,155 | ||||||
|
TDK Corp.
|
400 | 23,636 | ||||||
|
Venture Corp., Ltd.
|
29,416 | 224,266 | ||||||
|
Vishay Intertechnology, Inc.*
|
23,600 | 418,664 | ||||||
| 2,954,263 | ||||||||
|
Internet Software & Services 0.9%
|
||||||||
|
Akamai Technologies, Inc.*
|
25,087 | 953,306 | ||||||
|
eBay, Inc.*
|
7,000 | 217,280 | ||||||
|
Google, Inc. "A"*
|
3,720 | 2,180,701 | ||||||
|
IAC/InterActiveCorp.*
|
41,200 | 1,272,668 | ||||||
|
Internet Initiative Japan, Inc.
|
58 | 174,112 | ||||||
|
Meetic
|
3,064 | 67,088 | ||||||
|
NIC, Inc.
|
12,137 | 151,227 | ||||||
|
Open Text Corp.*
|
500 | 31,067 | ||||||
|
United Internet AG (Registered)
|
11,613 | 209,016 | ||||||
|
Yahoo Japan Corp.
|
29 | 10,376 | ||||||
| 5,266,841 | ||||||||
|
IT Services 1.8%
|
||||||||
|
Accenture PLC "A"
|
16,033 | 881,334 | ||||||
|
Atos Origin SA*
|
266 | 15,597 | ||||||
|
Automatic Data Processing, Inc.
|
36,506 | 1,873,123 | ||||||
|
Cap Gemini SA
|
687 | 39,904 | ||||||
|
Cardtronics, Inc.*
|
10,743 | 218,620 | ||||||
|
CGI Group, Inc. "A"*
|
1,800 | 37,745 | ||||||
|
Digital Garage, Inc.*
|
70 | 309,690 | ||||||
|
Fiserv, Inc.*
|
30,600 | 1,919,232 | ||||||
|
International Business Machines Corp.
|
17,670 | 2,881,447 | ||||||
|
NTT Data Corp.
|
4 | 12,363 | ||||||
|
SAIC, Inc.*
|
17,500 | 296,100 | ||||||
|
Telvent GIT SA (e)
|
4,856 | 141,358 | ||||||
|
VeriFone Systems, Inc.*
|
17,828 | 979,649 | ||||||
|
Visa, Inc. "A"
|
16,500 | 1,214,730 | ||||||
| 10,820,892 | ||||||||
|
Office Electronics 0.1%
|
||||||||
|
Canon, Inc.
|
14,844 | 646,012 | ||||||
|
Konica Minolta Holdings, Inc.
|
2,000 | 16,759 | ||||||
|
Ricoh Co., Ltd.
|
2,000 | 23,467 | ||||||
| 686,238 | ||||||||
|
Semiconductors & Semiconductor Equipment 1.3%
|
||||||||
|
Analog Devices, Inc.
|
21,800 | 858,484 | ||||||
|
Applied Materials, Inc.
|
71,100 | 1,110,582 | ||||||
|
ARM Holdings PLC
|
37,157 | 342,742 | ||||||
|
ASML Holding NV*
|
3,392 | 149,502 | ||||||
|
FSI International, Inc.*
|
28,549 | 125,045 | ||||||
|
Infineon Technologies AG
|
2,624 | 26,905 | ||||||
|
Intel Corp.
|
94,049 | 1,896,968 | ||||||
|
KLA-Tencor Corp.
|
19,500 | 923,715 | ||||||
|
Lam Research Corp.*
|
2,807 | 159,045 | ||||||
|
NVIDIA Corp.*
|
13,400 | 247,364 | ||||||
|
ROHM Co., Ltd.
|
200 | 12,527 | ||||||
|
Skyworks Solutions, Inc.*
|
9,896 | 320,828 | ||||||
|
STMicroelectronics NV
|
2,736 | 33,889 | ||||||
|
SunPower Corp. "A"* (b)
|
64,000 | 1,096,960 | ||||||
|
Taiwan Semiconductor Manufacturing Co., Ltd.
|
100,765 | 241,920 | ||||||
|
Tokyo Electron Ltd.
|
300 | 16,536 | ||||||
| 7,563,012 | ||||||||
|
Software 1.6%
|
||||||||
|
Adobe Systems, Inc.*
|
9,830 | 325,963 | ||||||
|
Autonomy Corp. PLC*
|
1,717 | 43,768 | ||||||
|
CA, Inc.
|
36,200 | 875,316 | ||||||
|
Check Point Software Technologies Ltd.*
|
12,050 | 615,152 | ||||||
|
Concur Technologies, Inc.* (b)
|
9,696 | 537,643 | ||||||
|
Dassault Systemes SA
|
246 | 18,906 | ||||||
|
Intuit, Inc.*
|
6,200 | 329,220 | ||||||
|
Microsoft Corp.
|
107,293 | 2,720,950 | ||||||
|
Nintendo Co., Ltd.
|
200 | 54,027 | ||||||
|
Oracle Corp.
|
60,280 | 2,011,544 | ||||||
|
Rovi Corp.*
|
3,388 | 181,766 | ||||||
|
SAP AG
|
7,639 | 467,683 | ||||||
|
Solera Holdings, Inc.
|
11,266 | 575,693 | ||||||
|
Symantec Corp.*
|
13,900 | 257,706 | ||||||
|
The Sage Group PLC
|
10,040 | 44,791 | ||||||
|
TiVo, Inc.*
|
11,302 | 99,006 | ||||||
|
VanceInfo Technologies, Inc. (ADR)*
|
5,112 | 160,568 | ||||||
| 9,319,702 | ||||||||
|
Materials 3.2%
|
||||||||
|
Chemicals 1.6%
|
||||||||
|
Agrium, Inc.
|
200 | 18,469 | ||||||
|
Air Liquide SA
|
2,219 | 294,853 | ||||||
|
Air Products & Chemicals, Inc.
|
13,077 | 1,179,284 | ||||||
|
Akzo Nobel NV
|
1,242 | 85,333 | ||||||
|
Asahi Kasei Corp.
|
6,000 | 40,466 | ||||||
|
BASF SE
|
5,906 | 510,820 | ||||||
|
CF Industries Holdings, Inc.
|
1,000 | 136,790 | ||||||
|
Dow Chemical Co.
|
8,900 | 335,975 | ||||||
|
E.I. du Pont de Nemours & Co.
|
20,900 | 1,148,873 | ||||||
|
Givaudan SA (Registered)*
|
35 | 35,191 | ||||||
|
Huntsman Corp.
|
68,103 | 1,183,630 | ||||||
|
JSR Corp.
|
1,100 | 22,071 | ||||||
|
Koninklijke DSM NV
|
6,801 | 417,872 | ||||||
|
Kuraray Co., Ltd.
|
2,000 | 25,775 | ||||||
|
Linde AG
|
2,059 | 325,213 | ||||||
|
Mitsubishi Chemical Holdings Corp.
|
6,000 | 37,725 | ||||||
|
Monsanto Co.
|
10,200 | 737,052 | ||||||
|
Nitto Denko Corp.
|
700 | 37,112 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
|
600 | 35,394 | ||||||
|
Praxair, Inc.
|
9,065 | 921,004 | ||||||
|
Shin-Etsu Chemical Co., Ltd.
|
10,582 | 526,047 | ||||||
|
Showa Denko KK
|
7,000 | 14,054 | ||||||
|
Sika AG
|
11 | 26,491 | ||||||
|
Solvay SA
|
600 | 71,078 | ||||||
|
STR Holdings, Inc.*
|
6,555 | 125,725 | ||||||
|
Sumitomo Chemical Co., Ltd.
|
8,000 | 39,913 | ||||||
|
Syngenta AG (Registered)
|
792 | 257,389 | ||||||
|
The Mosaic Co.
|
9,753 | 768,049 | ||||||
|
Toray Industries, Inc.
|
7,000 | 50,914 | ||||||
|
Umicore
|
1,093 | 54,207 | ||||||
|
Yara International ASA
|
5,919 | 299,897 | ||||||
| 9,762,666 | ||||||||
|
Construction Materials 0.1%
|
||||||||
|
CRH PLC
|
9,369 | 215,099 | ||||||
|
Holcim Ltd. (Registered)
|
1,031 | 77,676 | ||||||
|
Lafarge SA
|
682 | 42,542 | ||||||
| 335,317 | ||||||||
|
Containers & Packaging 0.3%
|
||||||||
|
Owens-Illinois, Inc.*
|
17,295 | 522,136 | ||||||
|
Sonoco Products Co.
|
29,187 | 1,057,445 | ||||||
| 1,579,581 | ||||||||
|
Metals & Mining 0.9%
|
||||||||
|
Anglo American PLC
|
1,122 | 57,723 | ||||||
|
ArcelorMittal
|
2,152 | 77,846 | ||||||
|
Barrick Gold Corp.
|
1,000 | 51,975 | ||||||
|
BHP Billiton Ltd.
|
15,638 | 753,116 | ||||||
|
BHP Billiton PLC
|
1,447 | 57,103 | ||||||
|
Boliden AB
|
2,779 | 59,878 | ||||||
|
Cliffs Natural Resources, Inc.
|
2,709 | 266,241 | ||||||
|
Freeport-McMoRan Copper & Gold, Inc.
|
25,123 | 1,395,583 | ||||||
|
Goldcorp, Inc.
|
800 | 39,889 | ||||||
|
IAMGOLD Corp.
|
600 | 13,225 | ||||||
|
JFE Holdings, Inc.
|
1,700 | 49,745 | ||||||
|
Kobe Steel Ltd.
|
15,000 | 38,952 | ||||||
|
Lynas Corp., Ltd.*
|
176,432 | 410,608 | ||||||
|
Mechel (ADR)
|
8,651 | 266,364 | ||||||
|
Mitsubishi Materials Corp.
|
7,000 | 23,732 | ||||||
|
Newcrest Mining Ltd.
|
3,636 | 149,759 | ||||||
|
Newmont Mining Corp.
|
200 | 10,916 | ||||||
|
Nippon Steel Corp.
|
17,000 | 54,364 | ||||||
|
Norsk Hydro ASA
|
13,165 | 107,981 | ||||||
|
Northam Platinum Ltd. (b)
|
15,369 | 99,961 | ||||||
|
Outokumpu Oyj
|
1,648 | 28,540 | ||||||
|
Randgold Resources Ltd. (ADR)*
|
1,887 | 153,866 | ||||||
|
Rautaruukki Oyj
|
915 | 21,941 | ||||||
|
Rio Tinto Ltd.
|
286 | 25,071 | ||||||
|
Rio Tinto PLC
|
6,685 | 469,607 | ||||||
|
SSAB AB "A"*
|
1,534 | 24,291 | ||||||
|
Sumitomo Metal Industries Ltd.
|
13,000 | 29,070 | ||||||
|
Sumitomo Metal Mining Co., Ltd.
|
2,000 | 34,407 | ||||||
|
Teck Resources Ltd. "B"
|
724 | 38,377 | ||||||
|
Thompson Creek Metals Co., Inc.*
|
10,975 | 137,627 | ||||||
|
ThyssenKrupp AG
|
703 | 28,723 | ||||||
|
Xstrata PLC
|
15,964 | 373,129 | ||||||
|
Yamana Gold, Inc.
|
1,500 | 18,535 | ||||||
| 5,368,145 | ||||||||
|
Paper & Forest Products 0.3%
|
||||||||
|
Domtar Corp.
|
2,700 | 247,806 | ||||||
|
Holmen AB "B"
|
1,025 | 35,434 | ||||||
|
International Paper Co.
|
30,400 | 917,472 | ||||||
|
Nippon Paper Group, Inc.
|
400 | 8,521 | ||||||
|
Oji Paper Co., Ltd.
|
6,000 | 28,492 | ||||||
|
Schweitzer-Mauduit International, Inc.
|
3,592 | 181,791 | ||||||
|
Stora Enso Oyj "R"
|
5,712 | 68,039 | ||||||
|
Svenska Cellulosa AB "B"
|
5,441 | 87,582 | ||||||
|
UPM-Kymmene Oyj*
|
5,203 | 110,016 | ||||||
| 1,685,153 | ||||||||
|
Telecommunication Services 2.4%
|
||||||||
|
Diversified Telecommunication Services 1.7%
|
||||||||
|
AT&T, Inc.
|
68,390 | 2,092,734 | ||||||
|
BCE, Inc.
|
1,400 | 50,859 | ||||||
|
BT Group PLC
|
23,665 | 70,460 | ||||||
|
CenturyLink, Inc.
|
36,923 | 1,534,151 | ||||||
|
Deutsche Telekom AG (Registered)
|
32,630 | 502,664 | ||||||
|
France Telecom SA
|
20,148 | 451,435 | ||||||
|
Iliad SA
|
262 | 31,412 | ||||||
|
Inmarsat PLC
|
2,213 | 21,443 | ||||||
|
Koninklijke (Royal) KPN NV
|
40,930 | 697,232 | ||||||
|
Nippon Telegraph & Telephone Corp.
|
4,100 | 184,101 | ||||||
|
Singapore Telecommunications Ltd.
|
82,000 | 196,462 | ||||||
|
Swisscom AG (Registered)
|
1,051 | 468,573 | ||||||
|
Tele2 AB "B"
|
1,647 | 38,044 | ||||||
|
Telecom Italia SpA
|
194,589 | 299,212 | ||||||
|
Telecom Italia SpA (RSP)
|
126,130 | 169,635 | ||||||
|
Telefonica SA
|
28,980 | 725,509 | ||||||
|
Telenor ASA
|
9,984 | 164,286 | ||||||
|
TeliaSonera AB
|
9,905 | 85,603 | ||||||
|
Telstra Corp., Ltd.
|
55,286 | 161,262 | ||||||
|
Telus Corp.
|
700 | 34,007 | ||||||
|
Verizon Communications, Inc.
|
49,600 | 1,911,584 | ||||||
| 9,890,668 | ||||||||
|
Wireless Telecommunication Services 0.7%
|
||||||||
|
America Movil SAB de CV "L"
|
70,405 | 204,743 | ||||||
|
American Tower Corp. "A"*
|
12,650 | 655,523 | ||||||
|
KDDI Corp.
|
24 | 148,594 | ||||||
|
Millicom International Cellular SA (SDR)
|
413 | 39,521 | ||||||
|
NTT DoCoMo, Inc.
|
383 | 673,174 | ||||||
|
Rogers Communications, Inc. "B"
|
1,900 | 69,062 | ||||||
|
Softbank Corp.
|
6,400 | 255,446 | ||||||
|
Telephone & Data Systems, Inc.
|
14,000 | 471,800 | ||||||
|
Vodafone Group PLC
|
314,196 | 889,618 | ||||||
|
Vodafone Group PLC (ADR)
|
34,095 | 980,231 | ||||||
| 4,387,712 | ||||||||
|
Utilities 2.2%
|
||||||||
|
Electric Utilities 1.6%
|
||||||||
|
American Electric Power Co., Inc.
|
21,450 | 753,753 | ||||||
|
Chubu Electric Power Co., Inc.
|
3,500 | 77,843 | ||||||
|
Chugoku Electric Power Co., Inc.
|
1,900 | 35,131 | ||||||
|
CLP Holdings Ltd.
|
8,000 | 64,948 | ||||||
|
Duke Energy Corp.
|
99,195 | 1,800,389 | ||||||
|
E.ON AG
|
2,794 | 85,331 | ||||||
|
EDP — Energias de Portugal SA
|
35,187 | 137,035 | ||||||
|
Electricite de France
|
521 | 21,575 | ||||||
|
Enel SpA
|
17,985 | 113,372 | ||||||
|
Entergy Corp.
|
12,845 | 863,312 | ||||||
|
Exelon Corp.
|
24,905 | 1,027,082 | ||||||
|
FirstEnergy Corp.
|
37,028 | 1,373,369 | ||||||
|
Fortis, Inc.
|
2,100 | 71,740 | ||||||
|
Fortum Oyj*
|
17,782 | 603,807 | ||||||
|
Hokkaido Electric Power Co., Inc.
|
900 | 17,453 | ||||||
|
Hokuriku Electric Power Co.
|
1,200 | 27,180 | ||||||
|
Iberdrola SA
|
11,611 | 100,969 | ||||||
|
Kansai Electric Power Co., Inc.
|
4,000 | 87,088 | ||||||
|
Kyushu Electric Power Co., Inc.
|
2,200 | 42,979 | ||||||
|
Power Assets Holdings Ltd.
|
44,130 | 294,160 | ||||||
|
Red Electrica Corporacion SA
|
545 | 30,972 | ||||||
|
Scottish & Southern Energy PLC
|
1,761 | 35,623 | ||||||
|
Shikoku Electric Power Co., Inc.
|
1,200 | 32,647 | ||||||
|
Southern Co.
|
39,799 | 1,516,740 | ||||||
|
Terna — Rete Elettrica Nationale SpA
|
4,601 | 22,026 | ||||||
|
Tohoku Electric Power Co., Inc.
|
2,500 | 42,228 | ||||||
|
Tokyo Electric Power Co., Inc.
|
8,300 | 46,499 | ||||||
| 9,325,251 | ||||||||
|
Gas Utilities 0.1%
|
||||||||
|
Enagas
|
657 | 14,823 | ||||||
|
Energen Corp.
|
6,300 | 397,656 | ||||||
|
Hong Kong & China Gas Co., Ltd.
|
18,590 | 44,500 | ||||||
|
Osaka Gas Co., Ltd.
|
12,000 | 47,896 | ||||||
|
Questar Corp.
|
6,400 | 111,680 | ||||||
|
Snam Rete Gas SpA
|
3,419 | 19,217 | ||||||
|
Toho Gas Co., Ltd.
|
3,000 | 15,472 | ||||||
|
Tokyo Gas Co., Ltd.
|
14,000 | 63,958 | ||||||
| 715,202 | ||||||||
|
Independent Power Producers & Energy Traders 0.1%
|
||||||||
|
EDP Renovaveis SA*
|
6,031 | 43,317 | ||||||
|
Electric Power Development Co., Ltd.
|
500 | 15,400 | ||||||
|
GenOn Energy, Inc.*
|
195,700 | 745,617 | ||||||
|
International Power PLC
|
3,510 | 17,343 | ||||||
|
TransAlta Corp.
|
3,300 | 69,574 | ||||||
| 891,251 | ||||||||
|
Multi-Utilities 0.3%
|
||||||||
|
Ameren Corp.
|
5,200 | 145,964 | ||||||
|
Canadian Utilities Ltd. "A"
|
1,100 | 60,077 | ||||||
|
Centrica PLC
|
9,355 | 48,819 | ||||||
|
GDF Suez
|
6,421 | 261,620 | ||||||
|
National Grid PLC
|
6,356 | 60,566 | ||||||
|
PG&E Corp.
|
25,153 | 1,111,260 | ||||||
|
RWE AG
|
583 | 37,135 | ||||||
|
Veolia Environnement
|
1,180 | 36,690 | ||||||
| 1,762,131 | ||||||||
|
Water Utilities 0.1%
|
||||||||
|
American Water Works Co., Inc.
|
16,200 | 454,410 | ||||||
|
Total Common Stocks (Cost $279,550,132)
|
318,282,055 | |||||||
|
Preferred Stocks 0.1%
|
||||||||
|
Consumer Discretionary 0.0%
|
||||||||
|
Volkswagen AG
|
772 | 125,217 | ||||||
|
Consumer Staples 0.0%
|
||||||||
|
Henkel AG & Co. KGaA
|
2,376 | 147,183 | ||||||
|
Energy 0.0%
|
||||||||
|
Petroleo Brasileiro SA
|
8,990 | 156,987 | ||||||
|
Financials 0.0%
|
||||||||
|
Ally Financial, Inc., Series G, 144A, 7.0%
|
50 | 46,528 | ||||||
|
Information Technology 0.1%
|
||||||||
|
Samsung Electronics Co., Ltd.
|
277 | 157,824 | ||||||
|
Materials 0.0%
|
||||||||
|
Vale SA "A"
|
5,124 | 148,732 | ||||||
|
Total Preferred Stocks (Cost $679,176)
|
782,471 | |||||||
|
Rights 0.0%
|
||||||||
|
Energy
|
||||||||
|
Origin Energy Ltd., Expiration Date 4/13/2011* (Cost $0)
|
754 | 2,496 | ||||||
|
Warrants 0.0%
|
||||||||
|
Consumer Discretionary 0.0%
|
||||||||
|
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
|
80 | 3 | ||||||
|
Information Technology 0.0%
|
||||||||
|
Kingboard Chemical Holdings Ltd., Expiration Date 10/31/2012*
|
5,800 | 4,660 | ||||||
|
Total Warrants (Cost $0)
|
4,663 | |||||||
|
Principal Amount ($) (a)
|
Value ($)
|
||||||||
|
Corporate Bonds 10.1%
|
|||||||||
|
Consumer Discretionary 1.0%
|
|||||||||
|
AMC Entertainment, Inc., 8.0%, 3/1/2014
|
70,000 | 70,787 | |||||||
|
American Achievement Corp., 144A, 10.875%, 4/15/2016
|
25,000 | 24,563 | |||||||
|
Asbury Automotive Group, Inc.:
|
|||||||||
|
7.625%, 3/15/2017
|
45,000 | 45,900 | |||||||
|
144A, 8.375%, 11/15/2020
|
35,000 | 36,400 | |||||||
|
Avis Budget Car Rental LLC:
|
|||||||||
|
8.25%, 1/15/2019
|
40,000 | 41,900 | |||||||
|
9.625%, 3/15/2018
|
25,000 | 27,625 | |||||||
|
Beazer Homes USA, Inc., 144A, 9.125%, 5/15/2019
|
25,000 | 25,281 | |||||||
|
Bon-Ton Department Stores, Inc., 10.25%, 3/15/2014
|
35,000 | 35,875 | |||||||
|
Bresnan Broadband Holdings LLC, 144A, 8.0%, 12/15/2018
|
45,000 | 47,475 | |||||||
|
Burlington Coat Factory Warehouse Corp., 144A, 10.0%, 2/15/2019
|
40,000 | 38,800 | |||||||
|
Cablevision Systems Corp.:
|
|||||||||
|
7.75%, 4/15/2018
|
135,000 | 145,800 | |||||||
|
8.0%, 4/15/2020
|
10,000 | 10,900 | |||||||
|
CanWest LP, 144A, 9.25%, 8/1/2015**
|
35,000 | 5,950 | |||||||
|
Carrols Corp., 9.0%, 1/15/2013
|
25,000 | 25,062 | |||||||
|
CBS Corp., 8.875%, 5/15/2019
|
395,000 | 496,003 | |||||||
|
CCO Holdings LLC:
|
|||||||||
|
7.0%, 1/15/2019
|
10,000 | 10,250 | |||||||
|
7.875%, 4/30/2018
|
20,000 | 21,250 | |||||||
|
8.125%, 4/30/2020
|
15,000 | 16,313 | |||||||
|
Ceaser's Entertainment Operating Co., Inc.:
|
|||||||||
|
10.0%, 12/15/2018
|
65,000 | 59,312 | |||||||
|
11.25%, 6/1/2017
|
30,000 | 34,087 | |||||||
|
144A, 12.75%, 4/15/2018
|
25,000 | 25,250 | |||||||
|
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
|
130,000 | 135,525 | |||||||
|
Claire's Stores, Inc.:
|
|||||||||
|
144A, 8.875%, 3/15/2019
|
30,000 | 28,650 | |||||||
|
9.625%, 6/1/2015 (PIK)
|
10,000 | 9,656 | |||||||
|
Clear Channel Communications, Inc., 144A, 9.0%, 3/1/2021
|
10,000 | 9,975 | |||||||
|
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||
|
Series A, 9.25%, 12/15/2017
|
10,000 | 10,925 | |||||||
|
Series B, 9.25%, 12/15/2017
|
10,000 | 10,963 | |||||||
|
DineEquity, Inc., 144A, 9.5%, 10/30/2018
|
85,000 | 92,225 | |||||||
|
DIRECTV Holdings LLC, 6.0%, 8/15/2040
|
200,000 | 191,536 | |||||||
|
DISH DBS Corp.:
|
|||||||||
|
6.625%, 10/1/2014
|
65,000 | 68,819 | |||||||
|
7.125%, 2/1/2016
|
50,000 | 53,375 | |||||||
|
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015**
|
40,000 | 200 | |||||||
|
Ford Motor Co., 7.45%, 7/16/2031
|
35,000 | 37,891 | |||||||
|
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016
|
20,000 | 22,400 | |||||||
|
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015
|
40,000 | 40,800 | |||||||
|
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020
|
30,000 | 38,287 | |||||||
|
Hertz Corp.:
|
|||||||||
|
144A, 6.75%, 4/15/2019
|
15,000 | 14,869 | |||||||
|
144A, 7.5%, 10/15/2018
|
210,000 | 217,350 | |||||||
|
Home Depot, Inc., 5.875%, 12/16/2036
|
200,000 | 198,799 | |||||||
|
Kabel BW Erste Beteiligungs GmbH, 144A, 7.5%, 3/15/2019
|
150,000 | 153,750 | |||||||
|
Lear Corp.:
|
|||||||||
|
7.875%, 3/15/2018
|
20,000 | 21,750 | |||||||
|
8.125%, 3/15/2020
|
20,000 | 22,000 | |||||||
|
Limited Brands, Inc., 7.0%, 5/1/2020
|
10,000 | 10,588 | |||||||
|
McDonald's Corp., Series I, 5.35%, 3/1/2018
|
60,000 | 67,208 | |||||||
|
Mediacom Broadband LLC, 8.5%, 10/15/2015
|
50,000 | 51,875 | |||||||
|
MGM Resorts International:
|
|||||||||
|
7.625%, 1/15/2017
|
15,000 | 14,156 | |||||||
|
9.0%, 3/15/2020
|
85,000 | 93,181 | |||||||
|
144A, 10.0%, 11/1/2016
|
35,000 | 36,837 | |||||||
|
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016
|
15,000 | 15,300 | |||||||
|
Needle Merger Sub Corp., 144A, 8.125%, 3/15/2019
|
25,000 | 25,250 | |||||||
|
News America, Inc.:
|
|||||||||
|
6.65%, 11/15/2037
|
40,000 | 41,952 | |||||||
|
7.85%, 3/1/2039
|
415,000 | 490,277 | |||||||
|
Norcraft Holdings LP, 9.75%, 9/1/2012
|
57,000 | 56,430 | |||||||
|
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
|
35,000 | 35,787 | |||||||
|
Penske Automotive Group, Inc., 7.75%, 12/15/2016
|
90,000 | 93,037 | |||||||
|
PETCO Animal Supplies, Inc, 144A, 9.25%, 12/1/2018
|
25,000 | 26,750 | |||||||
|
Phillips-Van Heusen Corp., 7.375%, 5/15/2020
|
15,000 | 15,863 | |||||||
|
Regal Entertainment Group, 9.125%, 8/15/2018
|
15,000 | 16,050 | |||||||
|
Sabre Holdings Corp., 8.35%, 3/15/2016
|
85,000 | 82,025 | |||||||
|
Sears Holdings Corp., 144A, 6.625%, 10/15/2018
|
30,000 | 29,100 | |||||||
|
Seminole Indian Tribe of Florida:
|
|||||||||
|
144A, 7.75%, 10/1/2017
|
15,000 | 15,863 | |||||||
|
144A, 7.804%, 10/1/2020
|
40,000 | 39,549 | |||||||
|
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015
|
30,000 | 33,750 | |||||||
|
Sonic Automotive, Inc., Series B, 9.0%, 3/15/2018
|
50,000 | 53,125 | |||||||
|
Standard Pacific Corp.:
|
|||||||||
|
8.375%, 5/15/2018
|
20,000 | 20,775 | |||||||
|
144A, 8.375%, 5/15/2018
|
25,000 | 25,969 | |||||||
|
10.75%, 9/15/2016
|
40,000 | 46,600 | |||||||
|
Staples, Inc., 9.75%, 1/15/2014
|
80,000 | 96,045 | |||||||
|
TCI Communications, Inc., 8.75%, 8/1/2015
|
543,000 | 658,969 | |||||||
|
Time Warner Cable, Inc., 6.75%, 7/1/2018
|
490,000 | 556,650 | |||||||
|
Travelport LLC, 4.936%***, 9/1/2014
|
35,000 | 31,719 | |||||||
|
Univision Communications, Inc., 144A, 7.875%, 11/1/2020
|
10,000 | 10,575 | |||||||
|
UPC Holding BV:
|
|||||||||
|
144A, 8.375%, 8/15/2020
|
EUR
|
50,000 | 72,631 | ||||||
|
144A, 9.75%, 4/15/2018
|
EUR
|
50,000 | 75,820 | ||||||
|
Valassis Communications, Inc., 144A,
6.625%, 2/1/2021
|
15,000 | 14,569 | |||||||
|
Viacom, Inc., 6.75%, 10/5/2037
|
170,000 | 182,601 | |||||||
|
Videotron Ltd., 9.125%, 4/15/2018
|
15,000 | 16,838 | |||||||
|
Visteon Corp., 144A, 6.75%, 4/15/2019 (f)
|
40,000 | 40,000 | |||||||
|
Wyndham Worldwide Corp., 5.625%, 3/1/2021
|
350,000 | 346,710 | |||||||
| 6,164,952 | |||||||||
|
Consumer Staples 0.4%
|
|||||||||
|
Alliance One International, Inc., 10.0%, 7/15/2016
|
10,000 | 10,138 | |||||||
|
B&G Foods, Inc., 7.625%, 1/15/2018
|
15,000 | 16,162 | |||||||
|
Blue Merger Sub, Inc., 144A, 7.625%, 2/15/2019
|
60,000 | 60,825 | |||||||
|
Bumble Bee Holdco SCA, 144A,
9.625%, 3/15/2018 (PIK)
|
35,000 | 32,637 | |||||||
|
C&S Group Enterprises LLC, 144A, 8.375%, 5/1/2017
|
20,000 | 20,475 | |||||||
|
Central Garden & Pet Co., 8.25%, 3/1/2018
|
20,000 | 20,950 | |||||||
|
Constellation Brands, Inc., 7.25%, 5/15/2017
|
100,000 | 108,500 | |||||||
|
CVS Caremark Corp.:
|
|||||||||
|
5.75%, 6/1/2017
|
40,000 | 44,060 | |||||||
|
6.302%, 6/1/2037
|
351,000 | 344,857 | |||||||
|
Darling International, Inc., 144A, 8.5%, 12/15/2018
|
40,000 | 43,500 | |||||||
|
Delhaize Group, 5.7%, 10/1/2040
|
361,000 | 329,892 | |||||||
|
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016
|
20,000 | 21,225 | |||||||
|
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
45,000 | 45,394 | |||||||
|
Kraft Foods, Inc., 5.375%, 2/10/2020
|
200,000 | 211,149 | |||||||
|
Kroger Co., 7.5%, 1/15/2014
|
40,000 | 45,544 | |||||||
|
PepsiCo, Inc., 4.5%, 1/15/2020
|
80,000 | 83,469 | |||||||
|
Pilgrim's Pride Corp., 144A, 7.875%, 12/15/2018
|
60,000 | 58,200 | |||||||
|
Procter & Gamble Co., 4.95%, 8/15/2014
|
80,000 | 88,719 | |||||||
|
Reynolds American, Inc., 7.25%, 6/15/2037
|
60,000 | 63,502 | |||||||
|
Rite Aid Corp., 7.5%, 3/1/2017
|
30,000 | 30,000 | |||||||
|
Safeway, Inc., 6.25%, 3/15/2014
|
60,000 | 66,341 | |||||||
|
Smithfield Foods, Inc.:
|
|||||||||
|
7.75%, 7/1/2017
|
60,000 | 64,500 | |||||||
|
10.0%, 7/15/2014
|
45,000 | 52,987 | |||||||
|
Stater Bros. Holdings, Inc., 144A, 7.375%, 11/15/2018
|
15,000 | 15,563 | |||||||
|
SUPERVALU, Inc., 8.0%, 5/1/2016 (b)
|
115,000 | 115,000 | |||||||
|
TreeHouse Foods, Inc., 7.75%, 3/1/2018
|
15,000 | 16,163 | |||||||
|
US Foodservice:
|
|||||||||
|
144A, 10.25%, 6/30/2015 (PIK)
|
30,000 | 31,537 | |||||||
|
144A, 10.25%, 6/30/2015
|
15,000 | 15,769 | |||||||
|
Wal-Mart Stores, Inc., 3.25%, 10/25/2020
|
100,000 | 93,409 | |||||||
| 2,150,467 | |||||||||
|
Energy 1.0%
|
|||||||||
|
Allis-Chalmers Energy, Inc., 9.0%, 1/15/2014
|
25,000 | 25,531 | |||||||
|
Belden & Blake Corp., 8.75%, 7/15/2012
|
205,000 | 205,000 | |||||||
|
Berry Petroleum Co., 6.75%, 11/1/2020
|
45,000 | 46,406 | |||||||
|
BreitBurn Energy Partners LP, 8.625%, 10/15/2020
|
25,000 | 26,187 | |||||||
|
Bristow Group, Inc., 7.5%, 9/15/2017
|
35,000 | 36,794 | |||||||
|
Buckeye Partners LP, 4.875%, 2/1/2021
|
460,000 | 456,940 | |||||||
|
Canadian Natural Resources Ltd., 5.7%, 5/15/2017
|
60,000 | 67,130 | |||||||
|
Chaparral Energy, Inc., 144A, 8.25%, 9/1/2021
|
55,000 | 56,650 | |||||||
|
Chesapeake Energy Corp., 7.25%, 12/15/2018
|
45,000 | 50,287 | |||||||
|
Colorado Interstate Gas Co., 6.8%, 11/15/2015
|
20,000 | 22,988 | |||||||
|
Conoco, Inc., 6.95%, 4/15/2029
|
240,000 | 286,549 | |||||||
|
CONSOL Energy, Inc.:
|
|||||||||
|
144A, 6.375%, 3/1/2021
|
10,000 | 10,013 | |||||||
|
8.0%, 4/1/2017
|
55,000 | 60,225 | |||||||
|
8.25%, 4/1/2020
|
35,000 | 38,806 | |||||||
|
Continental Resources, Inc.:
|
|||||||||
|
7.375%, 10/1/2020
|
15,000 | 16,125 | |||||||
|
8.25%, 10/1/2019
|
10,000 | 11,063 | |||||||
|
Crestwood Midstream Partners LP, 144A, 7.75%, 4/1/2019 (f)
|
80,000 | 80,600 | |||||||
|
Crosstex Energy LP, 8.875%, 2/15/2018
|
30,000 | 32,700 | |||||||
|
Dresser-Rand Group, Inc., 144A, 6.5%, 5/1/2021
|
35,000 | 36,094 | |||||||
|
El Paso Corp., 7.25%, 6/1/2018
|
30,000 | 33,720 | |||||||
|
Encana Corp., 6.3%, 11/1/2011
|
60,000 | 61,928 | |||||||
|
Energy Transfer Partners LP, 6.125%, 2/15/2017
|
305,000 | 340,512 | |||||||
|
Ensco PLC, 4.7%, 3/15/2021
|
350,000 | 347,412 | |||||||
|
Enterprise Products Operating LLC, Series G, 5.6%, 10/15/2014
|
60,000 | 66,286 | |||||||
|
Frontier Oil Corp., 6.875%, 11/15/2018
|
25,000 | 26,062 | |||||||
|
Genesis Energy LP, 144A, 7.875%, 12/15/2018
|
30,000 | 30,300 | |||||||
|
Global Geophysical Services, Inc., 10.5%, 5/1/2017
|
65,000 | 69,875 | |||||||
|
Halliburton Co., 7.45%, 9/15/2039
|
100,000 | 126,334 | |||||||
|
Holly Corp., 9.875%, 6/15/2017
|
35,000 | 39,550 | |||||||
|
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018
|
30,000 | 31,950 | |||||||
|
Inergy LP, 144A, 6.875%, 8/1/2021
|
35,000 | 36,487 | |||||||
|
Kinder Morgan Energy Partners LP:
|
|||||||||
|
6.0%, 2/1/2017
|
180,000 | 200,314 | |||||||
|
7.3%, 8/15/2033
|
60,000 | 66,983 | |||||||
|
Linn Energy LLC, 144A, 8.625%, 4/15/2020
|
25,000 | 27,750 | |||||||
|
MEG Energy Corp., 144A, 6.5%, 3/15/2021
|
20,000 | 20,325 | |||||||
|
Newfield Exploration Co., 7.125%, 5/15/2018
|
60,000 | 64,500 | |||||||
|
Niska Gas Storage US LLC, 8.875%, 3/15/2018
|
30,000 | 32,625 | |||||||
|
Noble Energy, Inc., 6.0%, 3/1/2041
|
225,000 | 225,983 | |||||||
|
Noble Holding International Ltd., 3.05%, 3/1/2016
|
270,000 | 267,673 | |||||||
|
Oasis Petroleum, Inc., 144A, 7.25%, 2/1/2019
|
10,000 | 10,125 | |||||||
|
Occidental Petroleum Corp., Series 1, 4.1%, 2/1/2021
|
130,000 | 128,757 | |||||||
|
ONEOK Partners LP, 3.25%, 2/1/2016
|
335,000 | 333,347 | |||||||
|
Petro-Canada, 4.0%, 7/15/2013
|
80,000 | 83,881 | |||||||
|
Petrohawk Energy Corp.:
|
|||||||||
|
144A, 7.25%, 8/15/2018
|
35,000 | 36,050 | |||||||
|
7.875%, 6/1/2015
|
20,000 | 21,200 | |||||||
|
Plains Exploration & Production Co.:
|
|||||||||
|
7.0%, 3/15/2017
|
40,000 | 41,300 | |||||||
|
7.625%, 6/1/2018
|
70,000 | 74,900 | |||||||
|
8.625%, 10/15/2019
|
10,000 | 11,125 | |||||||
|
Pride International, Inc., 6.875%, 8/15/2020
|
110,000 | 124,712 | |||||||
|
Regency Energy Partners LP, 6.875%, 12/1/2018
|
15,000 | 15,975 | |||||||
|
Rowan Companies, Inc., 5.0%, 9/1/2017
|
290,000 | 300,057 | |||||||
|
Sabine Pass LNG LP:
|
|||||||||
|
7.25%, 11/30/2013
|
100,000 | 102,250 | |||||||
|
7.5%, 11/30/2016
|
100,000 | 102,750 | |||||||
|
SandRidge Energy, Inc., 144A, 7.5%, 3/15/2021
|
25,000 | 25,938 | |||||||
|
SM Energy Co., 144A, 6.625%, 2/15/2019
|
15,000 | 15,394 | |||||||
|
Southwestern Energy Co., 7.5%, 2/1/2018
|
25,000 | 28,344 | |||||||
|
Stone Energy Corp.:
|
|||||||||
|
6.75%, 12/15/2014
|
50,000 | 49,750 | |||||||
|
8.625%, 2/1/2017
|
10,000 | 10,425 | |||||||
|
Valero Energy Corp., 9.375%, 3/15/2019
|
40,000 | 51,132 | |||||||
|
Venoco, Inc., 144A, 8.875%, 2/15/2019
|
50,000 | 50,000 | |||||||
|
Williams Partners LP:
|
|||||||||
|
5.25%, 3/15/2020
|
60,000 | 62,590 | |||||||
|
7.25%, 2/1/2017
|
265,000 | 310,354 | |||||||
| 5,673,013 | |||||||||
|
Financials 3.9%
|
|||||||||
|
Abbey National Treasury Services PLC, 144A, 3.875%, 11/10/2014
|
390,000 | 389,521 | |||||||
|
AgriBank FCB, 9.125%, 7/15/2019
|
500,000 | 596,940 | |||||||
|
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
|
70,000 | 64,400 | |||||||
|
Ally Financial, Inc.:
|
|||||||||
|
144A, 6.25%, 12/1/2017
|
45,000 | 45,844 | |||||||
|
7.0%, 2/1/2012
|
95,000 | 97,969 | |||||||
|
8.0%, 3/15/2020
|
50,000 | 54,438 | |||||||
|
8.3%, 2/12/2015
|
20,000 | 21,925 | |||||||
|
American Express Co., 7.0%, 3/19/2018
|
80,000 | 93,498 | |||||||
|
American International Group, Inc.:
|
|||||||||
|
3.65%, 1/15/2014
|
200,000 | 203,428 | |||||||
|
5.05%, 10/1/2015
|
220,000 | 226,842 | |||||||
|
Series MP, 5.45%, 5/18/2017
|
145,000 | 148,848 | |||||||
|
Series G, 5.6%, 10/18/2016
|
65,000 | 67,433 | |||||||
|
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015
|
52,000 | 31,200 | |||||||
|
Asian Development Bank:
|
|||||||||
|
2.625%, 2/9/2015
|
100,000 | 102,633 | |||||||
|
5.82%, 6/16/2028
|
80,000 | 88,303 | |||||||
|
Australia & New Zealand Banking Group Ltd., 144A, 3.25%, 3/1/2016
|
355,000 | 352,438 | |||||||
|
Bank of America Corp.:
|
|||||||||
|
6.0%, 9/1/2017
|
250,000 | 267,949 | |||||||
|
Series L, 7.625%, 6/1/2019
|
515,000 | 596,472 | |||||||
|
Bank of New York Mellon Corp., Series G, 4.5%, 4/1/2013
|
60,000 | 63,951 | |||||||
|
Bear Stearns Companies LLC, 7.25%, 2/1/2018
|
60,000 | 69,908 | |||||||
|
Berkshire Hathaway Finance Corp., 5.75%, 1/15/2040
|
60,000 | 62,829 | |||||||
|
BHP Billiton Finance USA Ltd., 5.25%, 12/15/2015
|
60,000 | 66,755 | |||||||
|
Blackstone Holdings Finance Co., LLC, 144A, 6.625%, 8/15/2019
|
225,000 | 236,380 | |||||||
|
BNP Paribas, 3.6%, 2/23/2016
|
285,000 | 285,483 | |||||||
|
Boston Properties LP, (REIT), 4.125%, 5/15/2021
|
45,000 | 42,800 | |||||||
|
BP Capital Markets PLC:
|
|||||||||
|
3.125%, 10/1/2015
|
285,000 | 286,593 | |||||||
|
3.2%, 3/11/2016
|
400,000 | 398,234 | |||||||
|
4.5%, 10/1/2020
|
120,000 | 119,083 | |||||||
|
Bumble Bee Acquisiton Corp., 144A, 9.0%, 12/15/2017
|
60,000 | 62,400 | |||||||
|
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
|
45,000 | 49,050 | |||||||
|
Capital One Financial Corp., 5.5%, 6/1/2015
|
60,000 | 65,387 | |||||||
|
Case New Holland, Inc., 7.75%, 9/1/2013
|
25,000 | 27,219 | |||||||
|
Caterpillar Financial Services Corp., 7.15%, 2/15/2019
|
60,000 | 73,442 | |||||||
|
Chinos Acquisition Corp., 144A, 8.125%, 3/1/2019
|
35,000 | 34,344 | |||||||
|
CIT Group, Inc.:
|
|||||||||
|
7.0%, 5/1/2015
|
225,000 | 226,969 | |||||||
|
7.0%, 5/1/2017
|
110,000 | 110,138 | |||||||
|
Citigroup, Inc.:
|
|||||||||
|
4.75%, 5/19/2015
|
470,000 | 492,656 | |||||||
|
5.125%, 5/5/2014
|
100,000 | 106,629 | |||||||
|
6.0%, 10/31/2033
|
60,000 | 57,293 | |||||||
|
CNA Financial Corp., 5.75%, 8/15/2021
|
220,000 | 225,240 | |||||||
|
CNOOC Finance 2011 Ltd., 144A, 4.25%, 1/26/2021
|
400,000 | 390,135 | |||||||
|
Commonwealth Bank of Australia:
|
|||||||||
|
144A, 2.125%, 3/17/2014
|
325,000 | 324,204 | |||||||
|
144A, 3.25%, 3/17/2016
|
345,000 | 342,175 | |||||||
|
Council of Europe Development Bank,
2.75%, 2/10/2015
|
80,000 | 82,177 | |||||||
|
CPI International Acquisition, Inc., 144A,
8.0%, 2/15/2018
|
25,000 | 25,125 | |||||||
|
Credit Suisse (USA), Inc., 4.875%, 1/15/2015
|
80,000 | 85,948 | |||||||
|
Deutsche Telekom International Finance BV, 6.75%, 8/20/2018
|
100,000 | 118,010 | |||||||
|
Diageo Capital PLC, 5.75%, 10/23/2017
|
60,000 | 67,256 | |||||||
|
Discover Financial Services, 10.25%, 7/15/2019
|
432,000 | 555,754 | |||||||
|
Duke Realty LP, (REIT), 7.375%, 2/15/2015
|
40,000 | 45,402 | |||||||
|
Dunkin Finance Corp., 144A, 9.625%, 12/1/2018
|
15,000 | 15,281 | |||||||
|
DuPont Fabros Technology LP, (REIT),
8.5%, 12/15/2017
|
35,000 | 38,544 | |||||||
|
E*TRADE Financial Corp.:
|
|||||||||
|
7.375%, 9/15/2013
|
185,000 | 185,694 | |||||||
|
12.5%, 11/30/2017 (PIK)
|
21,000 | 25,043 | |||||||
|
EDP Finance BV, 144A, 4.9%, 10/1/2019
|
195,000 | 170,209 | |||||||
|
Enel Finance International NV, 144A,
5.125%, 10/7/2019
|
200,000 | 201,659 | |||||||
|
Express LLC, 8.75%, 3/1/2018
|
25,000 | 27,125 | |||||||
|
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048
|
760,000 | 729,402 | |||||||
|
FCE Bank PLC, 9.375%, 1/17/2014
|
EUR
|
50,000 | 79,452 | ||||||
|
Ford Motor Credit Co., LLC:
|
|||||||||
|
7.25%, 10/25/2011
|
290,000 | 298,433 | |||||||
|
9.875%, 8/10/2011
|
120,000 | 123,416 | |||||||
|
General Electric Capital Corp.:
|
|||||||||
|
4.375%, 9/16/2020
|
725,000 | 704,555 | |||||||
|
4.8%, 5/1/2013
|
180,000 | 191,252 | |||||||
|
Series A, 5.625%, 5/1/2018
|
180,000 | 194,601 | |||||||
|
Giraffe Acquisition Corp., 144A, 9.125%, 12/1/2018
|
25,000 | 24,250 | |||||||
|
GlaxoSmithKline Capital, Inc, 5.65%, 5/15/2018
|
60,000 | 67,431 | |||||||
|
Harley-Davidson Funding Corp., 144A, 6.8%, 6/15/2018
|
270,000 | 296,407 | |||||||
|
Hartford Financial Services Group, Inc., 5.95%, 10/15/2036
|
120,000 | 112,677 | |||||||
|
HCP, Inc., (REIT), 3.75%, 2/1/2016
|
340,000 | 341,719 | |||||||
|
Hexion US Finance Corp., 8.875%, 2/1/2018
|
380,000 | 401,850 | |||||||
|
HSBC Holdings PLC, 5.1%, 4/5/2021 (f)
|
270,000 | 271,385 | |||||||
|
HSBC USA, Inc., 5.0%, 9/27/2020
|
430,000 | 422,213 | |||||||
|
Inter-American Development Bank:
|
|||||||||
|
3.25%, 11/15/2011
|
60,000 | 61,042 | |||||||
|
3.875%, 9/17/2019
|
60,000 | 62,165 | |||||||
|
International Lease Finance Corp.:
|
|||||||||
|
144A, 6.5%, 9/1/2014
|
195,000 | 208,163 | |||||||
|
144A, 8.625%, 9/15/2015
|
20,000 | 22,000 | |||||||
|
144A, 8.75%, 3/15/2017
|
85,000 | 95,625 | |||||||
|
iPayment, Inc., 9.75%, 5/15/2014
|
40,000 | 39,800 | |||||||
|
John Deere Capital Corp., Series D, 4.5%, 4/3/2013
|
60,000 | 63,799 | |||||||
|
JPMorgan Chase & Co.:
|
|||||||||
|
3.45%, 3/1/2016
|
270,000 | 269,036 | |||||||
|
4.95%, 3/25/2020
|
300,000 | 304,995 | |||||||
|
6.0%, 1/15/2018
|
60,000 | 65,789 | |||||||
|
Merrill Lynch & Co., Inc.:
|
|||||||||
|
6.22%, 9/15/2026
|
100,000 | 99,427 | |||||||
|
6.875%, 11/15/2018
|
60,000 | 67,104 | |||||||
|
MetLife, Inc., 5.7%, 6/15/2035
|
60,000 | 59,867 | |||||||
|
Metropolitan Life Global Funding I, 144A, 2.5%, 9/29/2015
|
585,000 | 569,696 | |||||||
|
Morgan Stanley:
|
|||||||||
|
5.45%, 1/9/2017
|
60,000 | 63,252 | |||||||
|
Series F, 5.625%, 9/23/2019
|
475,000 | 485,134 | |||||||
|
6.0%, 5/13/2014
|
60,000 | 65,271 | |||||||
|
National Money Mart Co., 10.375%, 12/15/2016
|
65,000 | 72,475 | |||||||
|
National Rural Utilities Cooperative Finance Corp., 4.75%, 3/1/2014
|
60,000 | 64,791 | |||||||
|
Nationwide Mutual Insurance Co., 144A, 9.375%, 8/15/2039
|
261,000 | 317,403 | |||||||
|
Navios Maritime Acquisition Corp., 8.625%, 11/1/2017
|
15,000 | 15,525 | |||||||
|
Nielsen Finance LLC, 144A, 7.75%, 10/15/2018
|
10,000 | 10,725 | |||||||
|
NII Capital Corp., 7.625%, 4/1/2021
|
30,000 | 30,675 | |||||||
|
Nordic Investment Bank:
|
|||||||||
|
Series D, 2.375%, 12/15/2011
|
80,000 | 81,113 | |||||||
|
5.0%, 2/1/2017
|
80,000 | 89,342 | |||||||
|
Nuveen Investments, Inc.:
|
|||||||||
|
10.5%, 11/15/2015
|
75,000 | 77,063 | |||||||
|
144A, 10.5%, 11/15/2015
|
45,000 | 46,013 | |||||||
|
OMEGA Healthcare Investors, Inc., (REIT), 144A, 6.75%, 10/15/2022
|
25,000 | 25,531 | |||||||
|
Penn Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034
|
240,000 | 232,572 | |||||||
|
Petrobras International Finance Co., 3.875%, 1/27/2016
|
270,000 | 271,805 | |||||||
|
Pinnacle Foods Finance LLC, 9.25%, 4/1/2015
|
60,000 | 62,625 | |||||||
|
PNC Funding Corp., 6.7%, 6/10/2019
|
60,000 | 69,793 | |||||||
|
Prudential Financial, Inc., Series B, 5.1%, 9/20/2014
|
60,000 | 64,487 | |||||||
|
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014
|
5,000 | 5,188 | |||||||
|
Raymond James Financial, Inc., 8.6%, 8/15/2019
|
220,000 | 263,010 | |||||||
|
Reynolds Group Issuer, Inc.:
|
|||||||||
|
144A, 7.125%, 4/15/2019
|
100,000 | 102,500 | |||||||
|
144A, 8.5%, 5/15/2018
|
100,000 | 101,250 | |||||||
|
144A, 9.0%, 4/15/2019
|
100,000 | 103,500 | |||||||
|
Rio Tinto Finance (USA) Ltd.:
|
|||||||||
|
6.5%, 7/15/2018
|
575,000 | 662,048 | |||||||
|
9.0%, 5/1/2019
|
40,000 | 52,565 | |||||||
|
Royal Bank of Scotland PLC, 4.375%, 3/16/2016
|
270,000 | 271,713 | |||||||
|
Santander US Debt SA Unipersonal, 144A, 3.724%, 1/20/2015
|
200,000 | 193,410 | |||||||
|
Shell International Finance BV:
|
|||||||||
|
3.1%, 6/28/2015
|
285,000 | 292,037 | |||||||
|
4.375%, 3/25/2020
|
60,000 | 61,938 | |||||||
|
Shinhan Bank, 144A, 4.125%, 10/4/2016 (f)
|
295,000 | 296,066 | |||||||
|
SLM Corp., 8.0%, 3/25/2020
|
10,000 | 10,900 | |||||||
|
Susser Holdings LLC, 8.5%, 5/15/2016
|
15,000 | 16,238 | |||||||
|
Telecom Italia Capital SA:
|
|||||||||
|
5.25%, 11/15/2013
|
80,000 | 84,475 | |||||||
|
5.25%, 10/1/2015
|
240,000 | 248,414 | |||||||
|
The Goldman Sachs Group, Inc.:
|
|||||||||
|
5.95%, 1/18/2018
|
455,000 | 488,580 | |||||||
|
6.25%, 2/1/2041
|
235,000 | 234,027 | |||||||
|
6.75%, 10/1/2037
|
150,000 | 151,294 | |||||||
|
Tropicana Entertainment LLC, 9.625%, 12/15/2014**
|
105,000 | 53 | |||||||
|
UBS AG, 3.875%, 1/15/2015
|
500,000 | 512,457 | |||||||
|
Uncle Acquisition 2010 Corp., 144A, 8.625%, 2/15/2019
|
10,000 | 10,500 | |||||||
|
Vale Overseas Ltd., 6.875%, 11/21/2036
|
60,000 | 63,892 | |||||||
|
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016
|
100,000 | 113,750 | |||||||
|
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018
|
195,000 | 213,038 | |||||||
|
WEA Finance LLC, 144A, 6.75%, 9/2/2019
|
260,000 | 298,329 | |||||||
|
Wells Fargo & Co.:
|
|||||||||
|
3.676%, 6/15/2016
|
345,000 | 347,039 | |||||||
|
5.625%, 12/11/2017
|
100,000 | 109,222 | |||||||
|
Willis Group Holdings PLC, 5.75%, 3/15/2021
|
180,000 | 178,596 | |||||||
|
WMG Acquisition Corp., 9.5%, 6/15/2016
|
30,000 | 31,725 | |||||||
| 23,223,505 | |||||||||
|
Health Care 0.4%
|
|||||||||
|
Abbott Laboratories, 5.875%, 5/15/2016
|
60,000 | 68,670 | |||||||
|
Aetna, Inc., 6.5%, 9/15/2018
|
40,000 | 46,023 | |||||||
|
Agilent Technologies, Inc., 6.5%, 11/1/2017
|
235,000 | 262,166 | |||||||
|
Amgen, Inc., Zero Coupon, 3/1/2032
|
315,000 | 245,306 | |||||||
|
AstraZeneca PLC, 5.4%, 9/15/2012
|
60,000 | 63,933 | |||||||
|
Aviv Healthcare Properties LP, 144A, 7.75%, 2/15/2019
|
20,000 | 20,850 | |||||||
|
Boston Scientific Corp., 6.0%, 1/15/2020
|
430,000 | 450,561 | |||||||
|
Community Health Systems, Inc., 8.875%, 7/15/2015
|
40,000 | 42,200 | |||||||
|
HCA Holdings, Inc., 144A, 7.75%, 5/15/2021
|
50,000 | 52,125 | |||||||
|
HCA, Inc.:
|
|||||||||
|
8.5%, 4/15/2019
|
105,000 | 116,550 | |||||||
|
9.125%, 11/15/2014
|
90,000 | 94,388 | |||||||
|
9.25%, 11/15/2016
|
200,000 | 215,250 | |||||||
|
9.625%, 11/15/2016 (PIK)
|
68,000 | 73,270 | |||||||
|
IASIS Healthcare LLC, 8.75%, 6/15/2014
|
70,000 | 71,488 | |||||||
|
Life Technologies Corp., 5.0%, 1/15/2021
|
215,000 | 214,971 | |||||||
|
Merck & Co., Inc., 4.0%, 6/30/2015
|
60,000 | 63,905 | |||||||
|
STHI Holding Corp., 144A, 8.0%, 3/15/2018
|
30,000 | 31,050 | |||||||
|
Vanguard Health Holding Co. II, LLC, 8.0%, 2/1/2018
|
20,000 | 20,475 | |||||||
|
Vanguard Health Systems, Inc., 144A, Zero Coupon, 2/1/2016
|
45,000 | 28,575 | |||||||
|
WellPoint, Inc., 5.25%, 1/15/2016
|
60,000 | 65,937 | |||||||
|
Wyeth, 5.95%, 4/1/2037
|
60,000 | 64,143 | |||||||
| 2,311,836 | |||||||||
|
Industrials 0.3%
|
|||||||||
|
Actuant Corp., 6.875%, 6/15/2017
|
25,000 | 25,750 | |||||||
|
American Airlines, Inc., 144A, 7.5%, 3/15/2016
|
40,000 | 39,550 | |||||||
|
AMGH Merger Sub, Inc., 144A, 9.25%, 11/1/2018
|
15,000 | 16,106 | |||||||
|
ARAMARK Corp., 8.5%, 2/1/2015
|
15,000 | 15,638 | |||||||
|
Armored Autogroup, Inc., 144A, 9.25%, 11/1/2018
|
50,000 | 50,875 | |||||||
|
BE Aerospace, Inc., 8.5%, 7/1/2018
|
70,000 | 77,525 | |||||||
|
Belden, Inc., 7.0%, 3/15/2017
|
30,000 | 30,713 | |||||||
|
Boart Longyear Management Pty, 144A, 7.0%, 4/1/2021
|
15,000 | 15,375 | |||||||
|
Bombardier, Inc., 144A, 7.75%, 3/15/2020
|
30,000 | 32,587 | |||||||
|
Briggs & Stratton Corp., 6.875%, 12/15/2020
|
15,000 | 15,713 | |||||||
|
Burlington Northern Santa Fe LLC, 5.75%, 3/15/2018
|
60,000 | 66,858 | |||||||
|
Casella Waste Systems, Inc., 144A, 7.75%, 2/15/2019
|
35,000 | 35,000 | |||||||
|
Cenveo Corp.:
|
|||||||||
|
8.875%, 2/1/2018
|
50,000 | 50,125 | |||||||
|
144A, 10.5%, 8/15/2016
|
35,000 | 35,175 | |||||||
|
CHC Helicopter SA, 144A, 9.25%, 10/15/2020
|
100,000 | 103,000 | |||||||
|
Clean Harbors, Inc., 7.625%, 8/15/2016
|
18,000 | 19,103 | |||||||
|
Corrections Corp. of America, 7.75%, 6/1/2017
|
10,000 | 10,863 | |||||||
|
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014
|
9,000 | 9,563 | |||||||
|
Deluxe Corp., 144A, 7.0%, 3/15/2019
|
15,000 | 14,925 | |||||||
|
EDP Finance BV, 144A, 6.0%, 2/2/2018
|
165,000 | 156,541 | |||||||
|
Florida East Coast Railway Corp., 144A, 8.125%, 2/1/2017
|
20,000 | 20,875 | |||||||
|
Garda World Security Corp., 144A, 9.75%, 3/15/2017
|
30,000 | 32,325 | |||||||
|
H&E Equipment Services, Inc., 8.375%, 7/15/2016
|
55,000 | 57,819 | |||||||
|
Huntington Ingalls Industries, Inc.:
|
|||||||||
|
144A, 6.875%, 3/15/2018
|
15,000 | 15,656 | |||||||
|
144A, 7.125%, 3/15/2021
|
10,000 | 10,425 | |||||||
|
Interline Brands, Inc., 7.0%, 11/15/2018
|
25,000 | 25,625 | |||||||
|
Kansas City Southern de Mexico SA de CV:
|
|||||||||
|
7.375%, 6/1/2014
|
60,000 | 62,400 | |||||||
|
8.0%, 2/1/2018
|
60,000 | 65,400 | |||||||
|
Kansas City Southern Railway Co., 8.0%, 6/1/2015
|
65,000 | 70,525 | |||||||
|
Lockheed Martin Corp., 4.25%, 11/15/2019
|
120,000 | 121,018 | |||||||
|
Meritor, Inc., 10.625%, 3/15/2018
|
30,000 | 33,750 | |||||||
|
Navios Maritime Holdings, Inc., 144A, 8.125%, 2/15/2019
|
65,000 | 65,487 | |||||||
|
Northrop Grumman Corp., 5.05%, 11/15/2040
|
100,000 | 93,591 | |||||||
|
Oshkosh Corp.:
|
|||||||||
|
8.25%, 3/1/2017
|
10,000 | 11,000 | |||||||
|
8.5%, 3/1/2020
|
10,000 | 11,213 | |||||||
|
Owens Corning, Inc., 9.0%, 6/15/2019
|
40,000 | 47,274 | |||||||
|
Ply Gem Industries, Inc.:
|
|||||||||
|
144A, 8.25%, 2/15/2018
|
25,000 | 25,688 | |||||||
|
13.125%, 7/15/2014
|
40,000 | 44,200 | |||||||
|
RBS Global, Inc. & Rexnord Corp., 8.5%, 5/1/2018
|
60,000 | 64,800 | |||||||
|
Sitel LLC, 144A, 11.5%, 4/1/2018
|
50,000 | 46,562 | |||||||
|
Spirit Aerosystems, Inc.:
|
|||||||||
|
6.75%, 12/15/2020
|
15,000 | 15,338 | |||||||
|
7.5%, 10/1/2017
|
20,000 | 21,500 | |||||||
|
TransDigm, Inc., 144A, 7.75%, 12/15/2018
|
30,000 | 32,212 | |||||||
|
Tutor Perini Corp., 144A, 7.625%, 11/1/2018
|
25,000 | 25,750 | |||||||
|
United Parcel Service, Inc., 4.875%, 11/15/2040
|
100,000 | 94,105 | |||||||
|
USG Corp., 144A, 9.75%, 8/1/2014
|
20,000 | 21,900 | |||||||
| 1,957,423 | |||||||||
|
Information Technology 0.6%
|
|||||||||
|
Affiliated Computer Services, Inc., 5.2%, 6/1/2015
|
800,000 | 862,698 | |||||||
|
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029
|
45,000 | 38,700 | |||||||
|
Allen Systems Group, Inc., 144A, 10.5%, 11/15/2016
|
15,000 | 15,225 | |||||||
|
Amkor Technology, Inc., 7.375%, 5/1/2018
|
20,000 | 20,700 | |||||||
|
Aspect Software, Inc., 144A, 10.625%, 5/15/2017
|
30,000 | 32,100 | |||||||
|
Avaya, Inc., 144A, 7.0%, 4/1/2019
|
70,000 | 68,250 | |||||||
|
Brocade Communications Systems, Inc., 6.625%, 1/15/2018
|
500,000 | 529,375 | |||||||
|
CDW LLC, 11.0%, 10/12/2015
|
155,000 | 168,175 | |||||||
|
CommScope, Inc., 144A, 8.25%, 1/15/2019
|
40,000 | 41,800 | |||||||
|
eAccess Ltd., 144A, 8.25%, 4/1/2018 (f)
|
30,000 | 30,788 | |||||||
|
Equinix, Inc., 8.125%, 3/1/2018
|
75,000 | 81,188 | |||||||
|
First Data Corp.:
|
|||||||||
|
144A, 7.375%, 6/15/2019 (f)
|
15,000 | 15,319 | |||||||
|
144A, 8.25%, 1/15/2021
|
115,000 | 114,712 | |||||||
|
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
|
130,000 | 142,350 | |||||||
|
Hewlett-Packard Co., 5.5%, 3/1/2018
|
60,000 | 66,617 | |||||||
|
International Business Machines Corp.:
|
|||||||||
|
4.75%, 11/29/2012
|
80,000 | 85,018 | |||||||
|
5.7%, 9/14/2017
|
270,000 | 305,598 | |||||||
|
Jabil Circuit, Inc., 7.75%, 7/15/2016
|
10,000 | 11,350 | |||||||
|
Juniper Networks, Inc., 5.95%, 3/15/2041
|
215,000 | 212,315 | |||||||
|
L-3 Communications Corp., Series B, 6.375%, 10/15/2015
|
60,000 | 61,800 | |||||||
|
MasTec, Inc., 7.625%, 2/1/2017
|
50,000 | 51,250 | |||||||
|
MEMC Electronic Materials, Inc., 144A, 7.75%, 4/1/2019
|
20,000 | 20,475 | |||||||
|
Microsoft Corp., 5.3%, 2/8/2041
|
280,000 | 283,349 | |||||||
|
Oracle Corp., 144A, 5.375%, 7/15/2040
|
100,000 | 97,332 | |||||||
|
Seagate Technology International, 144A, 10.0%, 5/1/2014
|
290,000 | 337,850 | |||||||
|
SunGard Data Systems, Inc.:
|
|||||||||
|
144A, 7.375%, 11/15/2018
|
10,000 | 10,225 | |||||||
|
10.25%, 8/15/2015
|
135,000 | 141,750 | |||||||
| 3,846,309 | |||||||||
|
Materials 0.9%
|
|||||||||
|
Airgas, Inc., 7.125%, 10/1/2018
|
415,000 | 448,200 | |||||||
|
Aleris International, Inc., 144A, 7.625%, 2/15/2018
|
20,000 | 20,050 | |||||||
|
Appleton Papers, Inc., 11.25%, 12/15/2015
|
20,000 | 19,400 | |||||||
|
ArcelorMittal, 5.5%, 3/1/2021
|
477,000 | 470,039 | |||||||
|
Ashland, Inc., 9.125%, 6/1/2017
|
60,000 | 68,850 | |||||||
|
Ball Corp.:
|
|||||||||
|
7.125%, 9/1/2016
|
10,000 | 10,938 | |||||||
|
7.375%, 9/1/2019
|
10,000 | 10,825 | |||||||
|
Berry Plastics Corp.:
|
|||||||||
|
9.5%, 5/15/2018
|
30,000 | 29,850 | |||||||
|
144A, 9.75%, 1/15/2021
|
40,000 | 39,600 | |||||||
|
Boise Paper Holdings LLC, 8.0%, 4/1/2020
|
15,000 | 16,200 | |||||||
|
BWAY Parent Co., Inc., 144A, 10.125%, 11/1/2015 (PIK)
|
20,000 | 20,600 | |||||||
|
CF Industries, Inc., 7.125%, 5/1/2020
|
130,000 | 147,550 | |||||||
|
Chevron Phillips Chemical Co., LLC, 144A, 8.25%, 6/15/2019
|
285,000 | 340,265 | |||||||
|
Clearwater Paper Corp., 144A, 7.125%, 11/1/2018
|
30,000 | 31,425 | |||||||
|
Cliffs Natural Resources, Inc., 4.875%, 4/1/2021
|
340,000 | 335,366 | |||||||
|
Clondalkin Acquisition BV, 144A, 2.31%***, 12/15/2013
|
75,000 | 72,000 | |||||||
|
Crown Americas LLC:
|
|||||||||
|
144A, 6.25%, 2/1/2021
|
10,000 | 10,175 | |||||||
|
7.625%, 5/15/2017
|
10,000 | 10,925 | |||||||
|
Domtar Corp., 10.75%, 6/1/2017
|
30,000 | 37,500 | |||||||
|
Dow Chemical Co., 5.7%, 5/15/2018
|
40,000 | 43,104 | |||||||
|
E.I. du Pont de Nemours & Co., 5.25%, 12/15/2016
|
60,000 | 66,858 | |||||||
|
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015
|
120,000 | 120,000 | |||||||
|
Exopack Holding Corp., 11.25%, 2/1/2014
|
130,000 | 133,737 | |||||||
|
FMG Resources (August 2006) Pty Ltd., 144A, 7.0%, 11/1/2015
|
10,000 | 10,375 | |||||||
|
Georgia-Pacific LLC:
|
|||||||||
|
144A, 5.4%, 11/1/2020
|
85,000 | 83,935 | |||||||
|
144A, 7.125%, 1/15/2017
|
35,000 | 37,144 | |||||||
|
Graham Packaging Co., LP, 8.25%, 10/1/2018
|
10,000 | 10,725 | |||||||
|
Graphic Packaging International, Inc., 9.5%, 6/15/2017
|
65,000 | 72,150 | |||||||
|
Huntsman International LLC, 144A, 8.625%, 3/15/2021
|
80,000 | 87,200 | |||||||
|
International Paper Co., 7.95%, 6/15/2018
|
675,000 | 812,076 | |||||||
|
JMC Steel Group, 144A, 8.25%, 3/15/2018
|
30,000 | 30,675 | |||||||
|
Lyondell Chemical Co., 144A, 8.0%, 11/1/2017
|
100,000 | 110,250 | |||||||
|
Millar Western Forest Products Ltd., 7.75%, 11/15/2013
|
15,000 | 15,206 | |||||||
|
Momentive Performance Materials, Inc., 144A, 9.0%, 1/15/2021
|
110,000 | 113,712 | |||||||
|
Nalco Co., 144A, 6.625%, 1/15/2019
|
20,000 | 20,575 | |||||||
|
NewMarket Corp., 7.125%, 12/15/2016
|
80,000 | 82,400 | |||||||
|
Novelis, Inc.:
|
|||||||||
|
144A, 8.375%, 12/15/2017
|
65,000 | 70,363 | |||||||
|
144A, 8.75%, 12/15/2020
|
35,000 | 38,500 | |||||||
|
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
|
85,000 | 93,181 | |||||||
|
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
40,000 | 40,900 | |||||||
|
Phibro Animal Health Corp., 144A, 9.25%, 7/1/2018
|
10,000 | 10,675 | |||||||
|
Polymer Group, Inc., 144A, 7.75%, 2/1/2019
|
25,000 | 25,781 | |||||||
|
PPG Industries, Inc., 1.9%, 1/15/2016
|
100,000 | 94,747 | |||||||
|
Rain CII Carbon LLC, 144A, 8.0%, 12/1/2018
|
25,000 | 26,750 | |||||||
|
Rohm & Haas Co., 6.0%, 9/15/2017
|
520,000 | 574,088 | |||||||
|
Silgan Holdings, Inc., 7.25%, 8/15/2016
|
30,000 | 32,550 | |||||||
|
Solo Cup Co., 10.5%, 11/1/2013
|
70,000 | 73,150 | |||||||
|
United States Steel Corp., 7.375%, 4/1/2020
|
40,000 | 41,900 | |||||||
|
Verso Paper Holdings LLC, 144A, 8.75%, 2/1/2019
|
10,000 | 10,400 | |||||||
|
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
|
80,000 | 86,201 | |||||||
|
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)**
|
70,071 | 25,926 | |||||||
| 5,234,992 | |||||||||
|
Telecommunication Services 0.7%
|
|||||||||
|
AT&T, Inc.:
|
|||||||||
|
4.95%, 1/15/2013
|
60,000 | 63,906 | |||||||
|
5.5%, 2/1/2018
|
60,000 | 65,496 | |||||||
|
Buccaneer Merger Sub, Inc., 144A, 9.125%, 1/15/2019
|
10,000 | 10,600 | |||||||
|
Cincinnati Bell, Inc.:
|
|||||||||
|
8.25%, 10/15/2017
|
25,000 | 25,188 | |||||||
|
8.375%, 10/15/2020
|
85,000 | 83,512 | |||||||
|
8.75%, 3/15/2018
|
95,000 | 89,656 | |||||||
|
Clearwire Communications LLC:
|
|||||||||
|
144A, 12.0%, 12/1/2015
|
10,000 | 10,800 | |||||||
|
144A, 12.0%, 12/1/2017
|
40,000 | 42,750 | |||||||
|
Cricket Communications, Inc.:
|
|||||||||
|
7.75%, 10/15/2020
|
450,000 | 453,375 | |||||||
|
10.0%, 7/15/2015
|
70,000 | 76,825 | |||||||
|
Crown Castle Towers LLC, 144A, 6.113%, 1/15/2020
|
315,000 | 341,414 | |||||||
|
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
|
100,000 | 114,500 | |||||||
|
Digicel Ltd., 144A, 8.25%, 9/1/2017
|
400,000 | 424,000 | |||||||
|
ERC Ireland Preferred Equity Ltd., 144A, 8.093%***, 2/15/2017 (PIK)
|
EUR
|
65,955 | 3,749 | ||||||
|
Frontier Communications Corp.:
|
|||||||||
|
6.25%, 1/15/2013
|
32,000 | 33,760 | |||||||
|
7.875%, 4/15/2015
|
10,000 | 10,775 | |||||||
|
8.25%, 4/15/2017
|
35,000 | 37,800 | |||||||
|
8.5%, 4/15/2020
|
45,000 | 48,769 | |||||||
|
8.75%, 4/15/2022
|
10,000 | 10,825 | |||||||
|
Intelsat Jackson Holdings SA:
|
|||||||||
|
144A, 7.5%, 4/1/2021 (f)
|
75,000 | 75,187 | |||||||
|
11.25%, 6/15/2016
|
30,000 | 31,988 | |||||||
|
Intelsat Luxembourg SA, 11.5%, 2/4/2017 (PIK)
|
144,375 | 158,452 | |||||||
|
iPCS, Inc., 2.429%***, 5/1/2013
|
15,000 | 14,625 | |||||||
|
MetroPCS Wireless, Inc.:
|
|||||||||
|
6.625%, 11/15/2020
|
60,000 | 59,925 | |||||||
|
7.875%, 9/1/2018
|
35,000 | 37,450 | |||||||
|
Qwest Communications International, Inc.:
|
|||||||||
|
7.125%, 4/1/2018
|
30,000 | 32,362 | |||||||
|
8.0%, 10/1/2015
|
370,000 | 408,387 | |||||||
|
Qwest Corp.:
|
|||||||||
|
7.25%, 9/15/2025
|
235,000 | 250,275 | |||||||
|
7.875%, 9/1/2011
|
90,000 | 92,475 | |||||||
|
8.375%, 5/1/2016
|
218,000 | 259,420 | |||||||
|
SBA Tower Trust, 144A, 5.101%, 4/15/2017
|
370,000 | 379,250 | |||||||
|
Telesat Canada, 11.0%, 11/1/2015
|
110,000 | 122,512 | |||||||
|
Verizon Communications, Inc., 7.75%, 12/1/2030
|
40,000 | 48,179 | |||||||
|
Vodafone Group PLC, 6.15%, 2/27/2037
|
60,000 | 63,983 | |||||||
|
West Corp.:
|
|||||||||
|
144A, 7.875%, 1/15/2019
|
25,000 | 25,469 | |||||||
|
144A, 8.625%, 10/1/2018
|
10,000 | 10,525 | |||||||
|
Windstream Corp.:
|
|||||||||
|
7.0%, 3/15/2019
|
40,000 | 40,300 | |||||||
|
144A, 7.5%, 4/1/2023
|
30,000 | 29,550 | |||||||
|
144A, 7.75%, 10/15/2020
|
15,000 | 15,413 | |||||||
|
7.875%, 11/1/2017
|
65,000 | 69,712 | |||||||
| 4,173,139 | |||||||||
|
Utilities 0.9%
|
|||||||||
|
AES Corp., 8.0%, 6/1/2020
|
40,000 | 43,200 | |||||||
|
Ameren Corp., 8.875%, 5/15/2014
|
145,000 | 166,800 | |||||||
|
Appalachian Power Co., Series L, 5.8%, 10/1/2035
|
320,000 | 319,250 | |||||||
|
Calpine Corp., 144A, 7.5%, 2/15/2021
|
40,000 | 41,400 | |||||||
|
Constellation Energy Group, Inc., 5.15%, 12/1/2020
|
235,000 | 233,151 | |||||||
|
Dominion Resources, Inc., Series 06-B, 6.3%, 9/30/2066
|
165,000 | 162,112 | |||||||
|
DTE Energy Co., 7.625%, 5/15/2014
|
270,000 | 310,189 | |||||||
|
Duke Energy Carolinas LLC, 5.3%, 2/15/2040
|
100,000 | 98,281 | |||||||
|
Edison Mission Energy, 7.0%, 5/15/2017
|
140,000 | 112,350 | |||||||
|
Energy Future Holdings Corp., Series P, 5.55%, 11/15/2014
|
30,000 | 19,650 | |||||||
|
Entergy Louisiana LLC, 5.4%, 11/1/2024
|
60,000 | 62,619 | |||||||
|
Ferrellgas LP, 144A, 6.5%, 5/1/2021
|
10,000 | 9,700 | |||||||
|
Florida Gas Transmission Co., 144A, 5.45%, 7/15/2020
|
305,000 | 319,680 | |||||||
|
Iberdrola USA, Inc., 6.75%, 6/15/2012
|
800,000 | 844,061 | |||||||
|
Integrys Energy Group, Inc., 6.11%, 12/1/2066
|
205,000 | 200,131 | |||||||
|
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016
|
35,000 | 37,888 | |||||||
|
Korea Gas Corp., 144A, 4.25%, 11/2/2020
|
100,000 | 94,680 | |||||||
|
NRG Energy, Inc.:
|
|||||||||
|
7.375%, 2/1/2016
|
70,000 | 72,450 | |||||||
|
7.375%, 1/15/2017
|
95,000 | 99,037 | |||||||
|
144A, 7.625%, 1/15/2018
|
45,000 | 46,688 | |||||||
|
Oncor Electric Delivery Co., 144A, 5.25%, 9/30/2040
|
100,000 | 91,642 | |||||||
|
Pacific Gas & Electric Co., 6.05%, 3/1/2034
|
205,000 | 213,617 | |||||||
|
Public Service Co. of Colorado, 3.2%, 11/15/2020
|
30,000 | 27,886 | |||||||
|
Public Service Co. of New Mexico, 7.95%, 5/15/2018
|
325,000 | 365,135 | |||||||
|
San Diego Gas & Electric Co., 6.0%, 6/1/2026
|
100,000 | 113,111 | |||||||
|
Sempra Energy, 2.0%, 3/15/2014
|
270,000 | 268,154 | |||||||
|
Sierra Pacific Power Co., Series M, 6.0%, 5/15/2016
|
355,000 | 400,066 | |||||||
|
Suburban Propane Partners LP, 7.375%, 3/15/2020
|
100,000 | 107,000 | |||||||
|
Western Power Distribution Holdings Ltd., 144A, 7.25%, 12/15/2017
|
170,000 | 187,414 | |||||||
| 5,067,342 | |||||||||
|
Total Corporate Bonds (Cost $58,514,985)
|
59,802,978 | ||||||||
|
Asset-Backed 1.1%
|
|||||||||
|
Automobile Receivables 0.5%
|
|||||||||
|
AESOP Funding II LLC, "A", Series 2010-4A, 144A, 2.09%, 4/20/2015
|
400,000 | 397,400 | |||||||
|
Ally Master Owner Trust:
|
|||||||||
|
"A", Series 2010-4, 1.325%***, 8/15/2017
|
600,000 | 604,690 | |||||||
|
"A", Series 2010-1, 144A, 2.005%***, 1/15/2015
|
300,000 | 305,404 | |||||||
|
"A", Series 2010-3, 144A, 2.88%, 4/15/2015
|
300,000 | 306,941 | |||||||
|
"A", Series 2010-2, 144A, 4.25%, 4/15/2017
|
300,000 | 316,497 | |||||||
|
Carmax Auto Owner Trust, "A4", Series 2009-2, 2.82%, 12/15/2014
|
50,000 | 51,404 | |||||||
|
CPS Auto Trust, "A", Series 2010-A, 144A, 2.89%, 3/15/2016
|
363,774 | 365,930 | |||||||
|
Ford Credit Floorplan Master Owner Trust, "A1", Series 2010-5, 1.5%, 9/15/2015
|
300,000 | 298,107 | |||||||
|
Navistar Financial Corp. Owner Trust, "B", Series 2010-A, 144A, 4.17%, 10/20/2014
|
100,000 | 102,583 | |||||||
|
Prestige Auto Receivables Trust, "A3", Series 2011-1A, 144A, 1.9%, 8/17/2015
|
390,000 | 388,620 | |||||||
| 3,137,576 | |||||||||
|
Credit Card Receivables 0.4%
|
|||||||||
|
Capital One Multi-Asset Execution Trust:
|
|||||||||
|
"A5", Series 2007-A5, 0.295%***, 7/15/2020
|
120,000 | 116,575 | |||||||
|
"A11", Series 2006-A11, 0.345%***, 6/17/2019
|
200,000 | 196,052 | |||||||
|
"B1", Series 2006-B1, 0.535%***, 1/15/2019
|
390,000 | 377,296 | |||||||
|
Citibank Credit Card Issuance Trust, "A5", Series 2005-A5, 4.55%, 6/20/2017
|
110,000 | 118,782 | |||||||
|
Discover Card Master Trust, "A2", Series 2010-A2, 0.835%***, 3/15/2018
|
100,000 | 101,027 | |||||||
|
MBNA Credit Card Master Note Trust, "B1", Series 2004-B1, 4.45%, 8/15/2016
|
250,000 | 266,573 | |||||||
|
World Financial Network Credit Card Master Trust:
|
|||||||||
|
"M", Series 2006-A, 144A, 0.465%***, 2/15/2017
|
150,000 | 144,898 | |||||||
|
"A", Series 2010-A, 3.96%, 4/15/2019
|
260,000 | 269,062 | |||||||
|
"A", Series 2009-D, 4.66%, 5/15/2017
|
166,000 | 176,488 | |||||||
|
"M", Series 2010-A, 5.2%, 4/15/2019
|
260,000 | 272,440 | |||||||
| 2,039,193 | |||||||||
|
Home Equity Loans 0.0%
|
|||||||||
|
Credit-Based Asset Servicing & Securitization LLC, "AF3", Series 2005-CB4, 5.334%, 8/25/2035
|
175,000 | 176,204 | |||||||
|
Miscellaneous 0.2%
|
|||||||||
|
Mid-State Trust, "M", Series 2010-1, 144A, 5.25%, 12/15/2045
|
315,838 | 318,448 | |||||||
|
Morgan Stanley Resecuritization Trust, "B", Series 2010-F, 144A, 0.504%***, 6/17/2013
|
375,000 | 372,961 | |||||||
|
Tax Liens Securitization Trust, "1A2", Series 2010-1A, 144A, 2.0%, 4/15/2018
|
285,236 | 286,319 | |||||||
| 977,728 | |||||||||
|
Total Asset-Backed (Cost $6,260,817)
|
6,330,701 | ||||||||
|
Mortgage-Backed Securities Pass-Throughs 4.7%
|
|||||||||
|
Federal Home Loan Mortgage Corp.:
|
|||||||||
|
3.5%, 5/1/2025 (f)
|
500,000 | 501,524 | |||||||
|
4.0%, with various maturities from 1/1/2040 until 12/1/2040 (f)
|
1,388,270 | 1,363,717 | |||||||
|
4.5%, with various maturities from 11/1/2018 until 2/1/2041 (f)
|
2,117,843 | 2,205,308 | |||||||
|
5.0%, 11/1/2036 (f)
|
2,000,000 | 2,087,812 | |||||||
|
5.5%, 10/1/2023
|
381,565 | 410,421 | |||||||
|
6.0%, with various maturities from 1/1/2038 until 3/1/2038
|
422,086 | 458,923 | |||||||
|
6.5%, with various maturities from 1/1/2035 until 8/1/2038
|
923,364 | 1,047,161 | |||||||
|
Federal National Mortgage Association:
|
|||||||||
|
4.0%, with various maturities from 1/1/2024 until 12/1/2040 (f)
|
2,556,243 | 2,571,854 | |||||||
|
4.5%, with various maturities from 6/1/2029 until 1/1/2041 (f)
|
3,653,717 | 3,734,302 | |||||||
|
5.0%, with various maturities from 7/1/2019 until 6/1/2036 (f)
|
1,388,981 | 1,460,252 | |||||||
|
5.5%, with various maturities from 1/1/2020 until 5/1/2035 (f)
|
4,194,915 | 4,503,102 | |||||||
|
6.0%, with various maturities from 4/1/2024 until 4/1/2039
|
2,721,963 | 2,971,945 | |||||||
|
6.5%, with various maturities from 5/1/2023 until 10/1/2038
|
1,047,076 | 1,171,254 | |||||||
|
7.0%, 3/1/2037
|
335,343 | 381,296 | |||||||
|
Government National Mortgage Association:
|
|||||||||
|
5.0%, 6/1/2038 (f)
|
2,000,000 | 2,121,562 | |||||||
|
5.5%, 12/15/2039
|
546,832 | 594,082 | |||||||
|
Total Mortgage-Backed Securities Pass-Throughs (Cost $27,134,682)
|
27,584,515 | ||||||||
|
Commercial Mortgage-Backed Securities 1.6%
|
|||||||||
|
Americold LLC Trust, "A2FX", Series 2010-ARTA, 144A, 4.954%, 1/14/2029
|
390,000 | 396,556 | |||||||
|
Bear Stearns Commercial Mortgage Securities, Inc.:
|
|||||||||
|
"AM", Series 2006-PW13, 5.582%, 9/11/2041
|
150,000 | 153,169 | |||||||
|
"A4", Series 2007-PW17, 5.694%, 6/11/2050
|
225,000 | 240,595 | |||||||
|
"AM", Series 2007-PW17, 5.915%, 6/11/2050
|
370,000 | 375,593 | |||||||
|
Citigroup Commercial Mortgage Trust:
|
|||||||||
|
"A4", Series 2006-C5, 5.431%, 10/15/2049
|
400,000 | 427,273 | |||||||
|
"AM", Series 2006-C5, 5.462%, 10/15/2049
|
130,000 | 131,941 | |||||||
|
"A4", Series 2007-C6, 5.698%***, 12/10/2049
|
100,000 | 108,198 | |||||||
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, "A4", Series 2007-CD5, 5.886%, 11/15/2044
|
430,000 | 465,215 | |||||||
|
CW Capital Cobalt Ltd., "AAB", Series 2007-C2, 5.416%, 4/15/2047
|
125,000 | 130,527 | |||||||
|
Extended Stay America Trust, "B", Series 2010-ESHA, 144A, 4.221%, 11/5/2027
|
200,000 | 201,546 | |||||||
|
GE Capital Commercial Mortgage Corp., "C", Series 2001-1, 6.971%, 5/15/2033
|
110,000 | 109,871 | |||||||
|
Greenwich Capital Commercial Funding Corp.:
|
|||||||||
|
"AAB", Series 2007-GG9, 5.441%, 3/10/2039
|
300,000 | 315,225 | |||||||
|
"A4", Series 2007-GG11, 5.736%, 12/10/2049
|
500,000 | 528,852 | |||||||
|
JPMorgan Chase Commercial Mortgage Securities Corp.:
|
|||||||||
|
"A2", Series 2010-CNTR, 144A, 4.311%, 8/5/2032
|
340,000 | 326,346 | |||||||
|
"B", Series 2010-C2, 144A, 5.075%, 11/15/2043
|
250,000 | 249,398 | |||||||
|
"ASB", Series 2007-CB20, 5.688%, 2/12/2051
|
350,000 | 369,000 | |||||||
|
"ASB", Series 2007-CB19, 5.721%***, 2/12/2049
|
1,280,000 | 1,360,765 | |||||||
|
"A4", Series 2007-LD11, 5.818%***, 6/15/2049
|
310,000 | 332,015 | |||||||
|
"ASB", Series 2007-LD12, 5.833%, 2/15/2051
|
330,000 | 351,263 | |||||||
|
"AM", Series 2006-LDP7, 5.863%***, 4/15/2045
|
280,000 | 289,332 | |||||||
|
"A4", Series 2007-LD12, 5.882%, 2/15/2051
|
500,000 | 535,306 | |||||||
|
Merrill Lynch Mortgage Trust, "A4", Series 2004-KEY2, 4.864%, 8/12/2039
|
220,000 | 234,662 | |||||||
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, "ASB", Series 2007-7, 5.745%***, 6/12/2050
|
700,000 | 730,113 | |||||||
|
Morgan Stanley Capital I, "C", Series 2003-IQ5, 5.291%***, 4/15/2038
|
200,000 | 205,439 | |||||||
|
Wachovia Bank Commercial Mortgage Trust:
|
|||||||||
|
"A4", Series 2004-C12, 5.308%***, 7/15/2041
|
430,000 | 461,594 | |||||||
|
"AM", Series 2006-C29, 5.339%, 11/15/2048
|
230,000 | 231,052 | |||||||
|
"APB", Series 2007-C32, 5.952%***, 6/15/2049
|
258,000 | 272,819 | |||||||
|
Total Commercial Mortgage-Backed Securities (Cost $8,837,541)
|
9,533,665 | ||||||||
|
Collateralized Mortgage Obligations 5.3%
|
|||||||||
|
Arkle Master Issuer PLC, "1A1", Series 2010-2A, 144A, 1.714%***, 5/17/2060
|
510,000 | 510,124 | |||||||
|
BCAP LLC Trust:
|
|||||||||
|
"3A1", Series 2009-RR4, 144A, 5.27%***, 4/26/2037
|
337,556 | 339,036 | |||||||
|
"A1", Series 2009-RR2, 144A, 5.347%***, 1/21/2038
|
878,280 | 889,612 | |||||||
|
"2A1", Series 2009-RR4, 144A, 5.835%***, 7/26/2036
|
159,847 | 160,626 | |||||||
|
Bear Stearns Adjustable Rate Mortgage Trust:
|
|||||||||
|
"3A1", Series 2007-5, 5.638%***, 8/25/2047
|
868,492 | 737,882 | |||||||
|
"22A1", Series 2007-4, 5.803%***, 6/25/2047
|
710,154 | 597,844 | |||||||
|
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.293%***, 12/25/2035
|
645,203 | 587,089 | |||||||
|
Citigroup Mortgage Loan Trust, Inc.:
|
|||||||||
|
"6A1", Series 2009-6, 144A, 0.5%***, 7/25/2036
|
243,056 | 223,469 | |||||||
|
"7A1", Series 2009-5, 144A, 0.6%***, 7/25/2036
|
363,583 | 335,995 | |||||||
|
"11A1", Series 2009-6, 144A, 0.6%***, 5/25/2037
|
267,074 | 236,788 | |||||||
|
"4A1", Series 2009-6, 144A, 5.166%***, 4/25/2037
|
353,001 | 347,575 | |||||||
|
"1A1", Series 2009-5, 144A, 5.531%***, 6/25/2037
|
195,957 | 202,955 | |||||||
|
Countrywide Alternative Loan Trust, "A6", Series 2004-14T2, 5.5%, 8/25/2034
|
239,541 | 241,750 | |||||||
|
Credit Suisse Mortgage Capital Certificates:
|
|||||||||
|
"25A1", Series 2009-3R, 144A, 4.942%***, 7/27/2036
|
562,770 | 560,890 | |||||||
|
"28A1", Series 2009-3R, 144A, 5.084%***, 8/27/2037
|
180,923 | 181,937 | |||||||
|
"24A1", Series 2009-12R, 144A, 5.224%***, 10/27/2036
|
290,761 | 298,106 | |||||||
|
"30A1", Series 2009-3R, 144A, 5.643%***, 7/27/2037
|
487,374 | 497,328 | |||||||
|
"6A1", Series 2009-12R, 144A, 6.0%, 5/27/2037
|
279,746 | 288,435 | |||||||
|
Federal Home Loan Mortgage Corp.:
|
|||||||||
|
"DW", Series 3722, 4.0%, 9/15/2030
|
490,000 | 460,696 | |||||||
|
"BD", Series 3738, 4.0%, 10/15/2030
|
290,000 | 270,075 | |||||||
|
"DW", Series 3735, 4.0%, 10/15/2030
|
495,000 | 457,116 | |||||||
|
"MU", Series 3755, 4.0%, 11/15/2030
|
290,000 | 266,676 | |||||||
|
"JB", Series 3770, 4.0%, 9/15/2038
|
355,000 | 339,863 | |||||||
|
"MB", Series 3768, 4.0%, 12/15/2039
|
270,000 | 258,282 | |||||||
|
"PD", Series 3789, 4.0%, 11/15/2040
|
560,000 | 535,308 | |||||||
|
"PC", Series 3715, 4.5%, 8/15/2040
|
310,000 | 311,341 | |||||||
|
"NE", Series 2750, 5.0%, 4/15/2032
|
610,000 | 647,443 | |||||||
|
"YG", Series 2772, 5.0%, 7/15/2032
|
520,000 | 550,854 | |||||||
|
"PD", Series 2754, 5.0%, 11/15/2032
|
295,000 | 312,055 | |||||||
|
"EG", Series 2836, 5.0%, 12/15/2032
|
542,000 | 576,782 | |||||||
|
"NE", Series 2802, 5.0%, 2/15/2033
|
880,000 | 934,365 | |||||||
|
"OE", Series 2840, 5.0%, 2/15/2033
|
412,000 | 438,112 | |||||||
|
"JE", Series 2931, 5.0%, 3/15/2033
|
285,000 | 302,337 | |||||||
|
"PE", Series 2898, 5.0%, 5/15/2033
|
300,000 | 318,071 | |||||||
|
"XD", Series 2941, 5.0%, 5/15/2033
|
902,000 | 955,330 | |||||||
|
"PE", Series 2864, 5.0%, 6/15/2033
|
505,000 | 535,050 | |||||||
|
"BG", Series 2869, 5.0%, 7/15/2033
|
315,000 | 333,273 | |||||||
|
"CG", Series 2888, 5.0%, 8/15/2033
|
320,000 | 339,237 | |||||||
|
"KE", Series 2934, 5.0%, 11/15/2033
|
350,000 | 370,061 | |||||||
|
"ND", Series 3036, 5.0%, 5/15/2034
|
695,000 | 743,379 | |||||||
|
"VG", Series 3659, 5.0%, 9/15/2034
|
305,000 | 325,655 | |||||||
|
"ML", Series 3755, 5.5%, 6/15/2029
|
245,478 | 266,438 | |||||||
|
"PH", Series 2532, 5.5%, 12/15/2032
|
420,000 | 455,432 | |||||||
|
"PD", Series 2904, 5.5%, 3/15/2033
|
425,000 | 459,514 | |||||||
|
"XD", Series 2966, 5.5%, 9/15/2033
|
1,305,000 | 1,391,902 | |||||||
|
"GA", Series 3523, 5.5%, 11/15/2035
|
256,424 | 275,700 | |||||||
|
"OD", Series 3162, 6.0%, 6/15/2035
|
285,000 | 308,714 | |||||||
|
Federal National Mortgage Association:
|
|||||||||
|
"PD", Series 2011-2, 4.0%, 12/25/2039
|
410,000 | 391,428 | |||||||
|
"PL", Series 2011-2, 4.0%, 2/25/2041
|
220,000 | 198,288 | |||||||
|
"WD", Series 2003-106, 4.5%, 9/25/2020
|
225,645 | 230,762 | |||||||
|
"LC", Series 2009-85, 4.5%, 10/25/2049
|
210,000 | 218,303 | |||||||
|
"ME", Series 2005-14, 5.0%, 10/25/2033
|
600,000 | 635,858 | |||||||
|
"ND", Series 2005-101, 5.0%, 6/25/2034
|
520,000 | 552,731 | |||||||
|
"PC", Series 2009-86, 5.0%, 3/25/2037
|
910,000 | 958,133 | |||||||
|
"BD", Series 2010-56, 5.0%, 12/25/2038
|
350,000 | 372,947 | |||||||
|
FREMF Mortgage Trust, "B", Series 2011-K10, 144A, 4.598%***, 11/25/2049
|
200,000 | 187,755 | |||||||
|
GMAC Mortgage Corp. Loan Trust, "4A1", Series 2005-AR6, 5.337%***, 11/19/2035
|
694,960 | 661,405 | |||||||
|
GS Mortgage Securities Corp., "2A1", Series 2009-3R, 144A, 3.282%***, 7/25/2035
|
244,256 | 241,353 | |||||||
|
Holmes Master Issuer PLC, "A2", Series 2010-1A, 144A, 1.703%***, 10/15/2054
|
170,000 | 170,284 | |||||||
|
Jefferies & Co., "1A1", Series 2009-R9, 144A, 5.624%***, 8/26/2046
|
352,590 | 357,317 | |||||||
|
JPMorgan Mortgage Trust:
|
|||||||||
|
"6A2", Series 2005-A8, 3.067%***, 11/25/2035
|
259,491 | 246,958 | |||||||
|
"2A1" Series 2006-A5, 5.444%***, 8/25/2036
|
631,431 | 461,974 | |||||||
|
"1A1", Series 2008-R2, 144A, 5.491%***, 7/27/2037
|
464,586 | 398,592 | |||||||
|
JPMorgan Reremic:
|
|||||||||
|
"2A1", Series 2009-5, 144A, 5.119%***, 1/26/2037
|
402,593 | 400,134 | |||||||
|
"A1", Series 2009-8, 144A, 5.257%***, 4/20/2036
|
319,040 | 320,164 | |||||||
|
"3A1", Series 2009-5, 144A, 5.682%***, 5/26/2037
|
263,031 | 266,751 | |||||||
|
"5A1", Series 2009-7, 144A, 6.0%, 2/27/2037
|
339,934 | 347,385 | |||||||
|
Permanent Master Issuer PLC:
|
|||||||||
|
"5A", Series 2006-1, 0.413%***, 7/15/2033
|
220,000 | 216,162 | |||||||
|
"1A", Series 2010-1A, 144A, 1.453%***, 7/15/2042
|
260,000 | 258,845 | |||||||
|
Washington Mutual Mortgage Pass-Through Certificates Trust, "1A1", Series 2006-AR18, 5.119%***, 1/25/2037
|
846,429 | 659,070 | |||||||
|
Wells Fargo Mortgage Backed Securities Trust, "2A5", Series 2006-AR2, 2.772%***, 3/25/2036
|
2,312,096 | 1,988,416 | |||||||
|
Total Collateralized Mortgage Obligations (Cost $31,860,798)
|
31,717,517 | ||||||||
|
Government & Agency Obligations 8.6%
|
|||||||||
|
Other Government Related (g) 0.1%
|
|||||||||
|
Citigroup Funding, Inc., FDIC Guaranteed, 2.0%, 3/30/2012
|
100,000 | 101,414 | |||||||
|
European Investment Bank, 4.25%, 7/15/2013
|
80,000 | 85,512 | |||||||
|
Kreditanstalt fuer Wiederaufbau, 3.5%, 5/16/2013
|
60,000 | 63,084 | |||||||
|
Private Export Funding Corp.:
|
|||||||||
|
2.25%, 12/15/2017
|
55,000 | 52,183 | |||||||
|
4.95%, 11/15/2015
|
200,000 | 222,289 | |||||||
|
Svensk Exportkredit AB, 3.25%, 9/16/2014
|
80,000 | 83,584 | |||||||
| 608,066 | |||||||||
|
Sovereign Bonds 2.6%
|
|||||||||
|
Export Development Canada, 1.25%, 10/27/2015
|
115,000 | 110,618 | |||||||
|
Federal Republic of Germany-Inflation Linked Bond, 2.25%, 4/15/2013
|
EUR
|
354,483 | 530,807 | ||||||
|
Government of Canada-Inflation Linked Bond, 4.0%, 12/1/2031
|
CAD
|
476,923 | 756,174 | ||||||
|
Government of France-Inflation Linked Bond:
|
|||||||||
|
1.0%, 7/25/2017
|
EUR
|
405,870 | 582,331 | ||||||
|
2.25%, 7/25/2020
|
EUR
|
1,146,230 | 1,765,600 | ||||||
|
3.15%, 7/25/2032
|
EUR
|
981,358 | 1,744,177 | ||||||
|
Government of Japan-Inflation Linked Bond, Series 9, 1.1%, 9/10/2016
|
JPY
|
74,175,000 | 904,136 | ||||||
|
Government of Sweden, Series 3105,
3.5%, 12/1/2015
|
SEK
|
4,750,000 | 1,026,098 | ||||||
|
Province of Ontario, Canada:
|
|||||||||
|
3.5%, 7/15/2013
|
60,000 | 63,084 | |||||||
|
5.125%, 7/17/2012
|
60,000 | 63,445 | |||||||
|
Republic of Finland, 144A, 1.25%, 10/19/2015
|
100,000 | 96,165 | |||||||
|
Republic of Italy-Inflation Linked Bond,
2.1%, 9/15/2017
|
EUR
|
272,930 | 389,542 | ||||||
|
Republic of Peru, 6.55%, 3/14/2037
|
60,000 | 64,950 | |||||||
|
Republic of Poland, 6.375%, 7/15/2019
|
80,000 | 89,019 | |||||||
|
United Kingdom Treasury-Inflation Linked Bonds:
|
|||||||||
|
1.125%, 11/22/2037
|
GBP
|
931,905 | 1,626,817 | ||||||
|
1.875%, 11/22/2022
|
GBP
|
979,792 | 1,788,845 | ||||||
|
2.0%, 1/26/2035
|
GBP
|
396,000 | 1,052,631 | ||||||
|
2.5%, 8/16/2013
|
GBP
|
200,000 | 907,271 | ||||||
|
2.5%, 7/26/2016
|
GBP
|
200,000 | 1,021,779 | ||||||
|
2.5%, 4/16/2020
|
GBP
|
158,000 | 818,281 | ||||||
|
United Mexican States, 5.95%, 3/19/2019
|
60,000 | 66,870 | |||||||
| 15,468,640 | |||||||||
|
US Government Sponsored Agencies 0.3%
|
|||||||||
|
Federal Farm Credit Bank, 2.125%, 6/18/2012
|
100,000 | 101,954 | |||||||
|
Federal Home Loan Bank:
|
|||||||||
|
1.125%, 5/18/2012
|
80,000 | 80,615 | |||||||
|
2.25%, 4/13/2012
|
120,000 | 122,299 | |||||||
|
5.0%, 11/17/2017
|
60,000 | 67,294 | |||||||
|
5.375%, 5/18/2016
|
60,000 | 68,289 | |||||||
|
Federal Home Loan Mortgage Corp.:
|
|||||||||
|
0.375%, 11/30/2012
|
100,000 | 99,461 | |||||||
|
1.375%, 2/25/2014
|
360,000 | 360,166 | |||||||
|
4.75%, 1/19/2016
|
100,000 | 110,762 | |||||||
|
4.875%, 6/13/2018
|
100,000 | 111,190 | |||||||
|
5.125%, 7/15/2012
|
60,000 | 63,623 | |||||||
|
5.125%, 11/17/2017
|
100,000 | 112,648 | |||||||
|
5.25%, 4/18/2016
|
120,000 | 135,811 | |||||||
|
5.75%, 1/15/2012
|
100,000 | 104,315 | |||||||
|
6.25%, 7/15/2032
|
60,000 | 73,038 | |||||||
|
Federal National Mortgage Association:
|
|||||||||
|
0.875%, 1/12/2012
|
120,000 | 120,482 | |||||||
|
1.5%, 6/26/2013
|
100,000 | 101,128 | |||||||
|
4.875%, 5/18/2012
|
100,000 | 104,993 | |||||||
|
6.625%, 11/15/2030
|
80,000 | 101,008 | |||||||
|
Tennessee Valley Authority, 5.5%, 6/15/2038
|
60,000 | 65,192 | |||||||
| 2,104,268 | |||||||||
|
US Treasury Obligations 5.6%
|
|||||||||
|
US Treasury Bonds:
|
|||||||||
|
4.25%, 11/15/2040
|
3,651,000 | 3,491,838 | |||||||
|
6.125%, 8/15/2029
|
700,000 | 868,875 | |||||||
|
US Treasury Inflation-Indexed Bonds:
|
|||||||||
|
2.125%, 2/15/2040
|
152,811 | 161,586 | |||||||
|
2.375%, 1/15/2025 (b)
|
1,448,481 | 1,626,033 | |||||||
|
3.625%, 4/15/2028 (b)
|
1,511,132 | 1,948,889 | |||||||
|
3.875%, 4/15/2029
|
401,823 | 537,689 | |||||||
|
US Treasury Inflation-Indexed Notes:
|
|||||||||
|
1.875%, 7/15/2015
|
390,547 | 429,662 | |||||||
|
2.375%, 1/15/2017
|
1,337,529 | 1,507,332 | |||||||
|
2.5%, 7/15/2016
|
872,248 | 990,002 | |||||||
|
3.0%, 7/15/2012
|
991,950 | 1,062,472 | |||||||
|
US Treasury Notes:
|
|||||||||
|
0.625%, 12/31/2012
|
200,000 | 199,828 | |||||||
|
0.625%, 2/28/2013
|
355,000 | 354,126 | |||||||
|
0.75%, 11/30/2011
|
200,000 | 200,695 | |||||||
|
0.875%, 2/29/2012
|
200,000 | 201,046 | |||||||
|
1.0%, 3/31/2012
|
3,320,000 | 3,342,178 | |||||||
|
1.25%, 3/15/2014
|
343,000 | 342,894 | |||||||
|
1.375%, 5/15/2013
|
1,000,000 | 1,010,940 | |||||||
|
2.0%, 1/31/2016
|
90,000 | 89,346 | |||||||
|
2.125%, 5/31/2015
|
2,500,000 | 2,527,350 | |||||||
|
2.125%, 12/31/2015
|
200,000 | 200,047 | |||||||
|
2.125%, 2/29/2016
|
1,180,000 | 1,176,313 | |||||||
|
2.25%, 1/31/2015
|
4,570,000 | 4,664,256 | |||||||
|
2.625%, 11/15/2020
|
1,410,000 | 1,315,706 | |||||||
|
2.75%, 12/31/2017
|
1,612,000 | 1,604,570 | |||||||
|
3.125%, 1/31/2017
|
200,000 | 206,375 | |||||||
|
3.125%, 5/15/2019
|
1,240,000 | 1,239,903 | |||||||
|
3.625%, 2/15/2021
|
1,287,000 | 1,305,300 | |||||||
|
4.875%, 5/31/2011 (h)
|
400,000 | 403,125 | |||||||
| 33,008,376 | |||||||||
|
Total Government & Agency Obligations (Cost $49,622,215)
|
51,189,350 | ||||||||
|
Municipal Bonds and Notes 0.8%
|
|||||||||
|
California, Bay Area Toll Authority, Toll Bridge Revenue, Build America Bonds, Series S1, 7.043%, 4/1/2050 (i)
|
290,000 | 300,005 | |||||||
|
California, State Build America Bonds, 7.55%, 4/1/2039 (i)
|
100,000 | 109,601 | |||||||
|
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Build America Bonds, Series B, 6.2%, 12/1/2040 (i)
|
365,000 | 325,266 | |||||||
|
District of Columbia, Water & Sewer Authority, Public Utility Revenue, Build America Bonds, Series A, 5.522%, 10/1/2044 (i)
|
345,000 | 334,412 | |||||||
|
Georgia, Municipal Electric Authority, Build America Bonds, Plant Vogtle Units 3 & 4 Project, Series J, 6.637%, 4/1/2057 (i)
|
365,000 | 348,549 | |||||||
|
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, ETM, 5.57%, 2/1/2014, INS: NATL (i)
|
610,000 | 620,840 | |||||||
|
Illinois, State General Obligation:
|
|||||||||
|
5.365%, 3/1/2017 (i)
|
140,000 | 139,517 | |||||||
|
5.877%, 3/1/2019 (i)
|
595,000 | 595,970 | |||||||
|
New Jersey, Economic Development Authority, State Pension Funding Revenue, Series A, 7.425%, 2/15/2029, INS: NATL (i)
|
100,000 | 103,775 | |||||||
|
New Jersey, State Turnpike Authority Revenue, Build America Bonds, Series A, 7.102%, 1/1/2041 (i)
|
345,000 | 375,036 | |||||||
|
New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Build America Bonds, Metro Transit Authority, Series A2, 6.089%, 11/15/2040 (i)
|
270,000 | 263,790 | |||||||
|
New York City, NY, Municipal Water Finance Authority, Water & Sewer Revenue, Build America Bonds, 5.44%, 6/15/2043 (i)
|
185,000 | 176,355 | |||||||
|
Ohio, American Municipal Power, Inc., Combined Hydroelectric Projects, Build America Bonds, 7.834%, 2/15/2041 (i)
|
395,000 | 443,170 | |||||||
|
San Diego County, CA, Regional Transportation Commission Sales Tax Revenue, Build America Bonds, 5.911%, 4/1/2048 (i)
|
310,000 | 307,191 | |||||||
|
Southern California, Public Power Authority, Power Project Revenue, Build America Bonds, 5.943%, 7/1/2040 (i)
|
370,000 | 352,643 | |||||||
|
Total Municipal Bonds and Notes (Cost $4,812,270)
|
4,796,120 | ||||||||
|
Preferred Securities 0.0%
|
|||||||||
|
Financials 0.0%
|
|||||||||
|
JPMorgan Chase Capital XX, Series T, 6.55%, 9/29/2036
|
40,000 | 40,656 | |||||||
|
Wachovia Capital Trust III, 5.57%***, 5/6/2011 (j)
|
100,000 | 91,750 | |||||||
| 132,406 | |||||||||
|
Materials 0.0%
|
|||||||||
|
Hercules, Inc., 6.5%, 6/30/2029
|
10,000 | 8,412 | |||||||
|
Total Preferred Securities (Cost $133,583)
|
140,818 | ||||||||
|
Units
|
Value ($)
|
|||||||
|
Other Investments 0.0%
|
||||||||
|
AOT Bedding Super Holdings LLC* (Cost $2,000)
|
2 | 2,000 | ||||||
|
Shares
|
Value ($)
|
|||||||
|
Exchange-Traded Funds 8.1%
|
||||||||
|
iShares JPMorgan USD Emerging Markets Bond Fund
|
82,980 | 8,848,157 | ||||||
|
iShares Russell 2000 Value Index Fund
|
158,084 | 11,916,372 | ||||||
|
SPDR Barclays Capital International Treasury Bond
|
150,077 | 8,979,107 | ||||||
|
Vanguard Emerging Markets Fund
|
368,367 | 18,020,514 | ||||||
|
Total Exchange-Traded Funds (Cost $37,061,879)
|
47,764,150 | |||||||
|
Securities Lending Collateral 2.0%
|
||||||||
|
Daily Assets Fund Institutional, 0.22% (k) (l) (Cost $12,151,866)
|
12,151,866 | 12,151,866 | ||||||
|
Cash Equivalents 7.2%
|
||||||||
|
Central Cash Management Fund, 0.17% (k) (Cost $42,461,539)
|
42,461,539 | 42,461,539 | ||||||
|
% of Net Assets
|
Value ($)
|
|||||||
|
Total Investment Portfolio (Cost $559,083,483)+
|
103.3 | 612,546,904 | ||||||
|
Other Assets and Liabilities, Net (b)
|
(3.3 | ) | (19,684,278 | ) | ||||
|
Net Assets
|
100.0 | 592,862,626 | ||||||
* Non-income producing security.
The following table represents bonds that are in default:
|
Securities
|
Coupon
|
Maturity Date
|
Principal Amount ($)
|
Acquisition Cost ($)
|
Value ($)
|
|||||||||||||
|
CanWest LP**
|
9.25 | % |
8/1/2015
|
35,000 |
USD
|
32,944 | 5,950 | |||||||||||
|
Fontainebleau Las Vegas Holdings LLC**
|
11.0 | % |
6/15/2015
|
40,000 |
USD
|
27,850 | 200 | |||||||||||
|
Tropicana Entertainment LLC**
|
9.625 | % |
12/15/2014
|
105,000 |
USD
|
54,144 | 53 | |||||||||||
|
Wolverine Tube, Inc.**
|
15.0 | % |
3/31/2012
|
70,071 | 70,071 | 25,926 | ||||||||||||
| 185,009 | 32,129 | |||||||||||||||||
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
*** These securities are shown at their current rate as of March 31, 2011. Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
+ The cost for federal income tax purposes was $562,700,307. At March 31, 2011, net unrealized appreciation for all securities based on tax cost was $49,846,597. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $61,118,805 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $11,272,208.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) All or a portion of these securities were on loan amounting to $11,777,979. In addition, included in other assets and liabilities, net are pending sales, amounting to $78,240, that are also on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2011 amounted to $11,856,219, which is 2.0% of net assets.
(c) Securities with the same description are the same corporate entity but trade on different stock exchanges.
(d) Listed on the New York Stock Exchange.
(e) Listed on the NASDAQ Stock Market, Inc.
(f) When-issued or delayed delivery security included.
(g) Government-backed debt issued by financial companies or government sponsored enterprises.
(h) At March 31, 2011, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures.
(i) Taxable issue.
(j) Date shown is call date; not a maturity date for the perpetual preferred securities.
(k) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(l) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
ETM: Bonds bearing the description ETM (escrow to maturity) are collateralized usually by US Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated.
FDIC: Federal Deposit Insurance Corp.
INS: Insured
NATL: National Public Finance Guarantee Corp.
PIK: Denotes that all or a portion of income is paid in kind.
REIT: Real Estate Investment Trust
RSP: Risparmio (Convertible Savings Shares)
SDR: Swedish Depositary Receipt
SPDR: Standard & Poor's Depositary Receipt
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
At March 31, 2011, open futures contracts purchased were as follows:
|
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Appreciation/ (Depreciation) ($)
|
|||||||||
|
10 Year Australian Treasury Bond
|
AUD
|
6/15/2011
|
243 | 26,091,528 | (37,396 | ) | ||||||||
|
10 Year US Treasury Note
|
USD
|
6/21/2011
|
219 | 26,067,844 | (14,966 | ) | ||||||||
|
2 Year US Treasury Note
|
USD
|
6/30/2011
|
94 | 20,503,750 | 5,762 | |||||||||
|
5 Year US Treasury Note
|
USD
|
6/30/2011
|
34 | 3,970,828 | 2,578 | |||||||||
|
DJ Euro Stoxx 50 Index
|
EUR
|
6/17/2011
|
15 | 604,577 | 16,113 | |||||||||
|
FTSE MIB Index
|
GBP
|
6/17/2011
|
1 | 94,399 | 4,203 | |||||||||
|
NIKKEI 225 Index
|
USD
|
6/9/2011
|
5 | 243,375 | (11,975 | ) | ||||||||
|
S&P 500 E-Mini Index
|
USD
|
6/17/2011
|
48 | 3,170,400 | 39,200 | |||||||||
|
Total net unrealized appreciation
|
3,519 | |||||||||||||
At March 31, 2011, open futures contracts sold were as follows:
|
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Appreciation/ (Depreciation) ($)
|
|||||||||
|
10 Year Canadian Government Bond
|
CAD
|
6/21/2011
|
48 | 5,941,207 | 66,820 | |||||||||
|
10 Year US Treasury Note
|
USD
|
6/21/2011
|
29 | 3,451,906 | (5,351 | ) | ||||||||
|
United Kingdom Long Gilt Bond
|
GBP
|
6/28/2011
|
243 | 45,675,256 | 231,990 | |||||||||
|
Total net unrealized appreciation
|
293,459 | |||||||||||||
As of March 31, 2011, the Fund had the following open forward foreign currency exchange contracts:
|
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Appreciation ($)
|
Counterparty
|
|||||||||||
|
CHF
|
21,376,000 |
USD
|
23,348,087 |
4/19/2011
|
72,631 |
UBS AG
|
|||||||||
|
GBP
|
7,233,000 |
USD
|
11,641,152 |
4/19/2011
|
40,407 |
UBS AG
|
|||||||||
|
JPY
|
2,011,292,000 |
USD
|
24,728,745 |
4/19/2011
|
546,172 |
UBS AG
|
|||||||||
|
SEK
|
20,185,000 |
USD
|
3,214,520 |
4/19/2011
|
19,516 |
UBS AG
|
|||||||||
|
USD
|
23,688,693 |
CAD
|
23,389,000 |
4/19/2011
|
426,031 |
UBS AG
|
|||||||||
|
USD
|
21,297,382 |
SEK
|
136,938,000 |
4/19/2011
|
377,994 |
UBS AG
|
|||||||||
|
USD
|
21,533,731 |
NOK
|
121,282,000 |
4/19/2011
|
375,396 |
UBS AG
|
|||||||||
|
USD
|
11,047,814 |
EUR
|
7,856,000 |
4/19/2011
|
81,773 |
UBS AG
|
|||||||||
|
USD
|
1,709,823 |
NZD
|
2,328,000 |
4/19/2011
|
64,272 |
UBS AG
|
|||||||||
|
Total unrealized appreciation
|
2,004,192 | ||||||||||||||
|
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Depreciation ($)
|
Counterparty
|
|||||||||||
|
EUR
|
244,100 |
USD
|
346,019 |
4/18/2011
|
(122 | ) |
JPMorgan Chase Securities, Inc.
|
||||||||
|
AUD
|
3,720,000 |
USD
|
3,735,462 |
4/19/2011
|
(103,308 | ) |
UBS AG
|
||||||||
|
CAD
|
3,441,000 |
USD
|
3,522,745 |
4/19/2011
|
(25,024 | ) |
UBS AG
|
||||||||
|
EUR
|
12,937,000 |
USD
|
18,114,252 |
4/19/2011
|
(213,582 | ) |
UBS AG
|
||||||||
|
NOK
|
19,474,000 |
USD
|
3,462,968 |
4/19/2011
|
(54,935 | ) |
UBS AG
|
||||||||
|
NZD
|
13,454,000 |
USD
|
9,859,569 |
4/19/2011
|
(393,299 | ) |
UBS AG
|
||||||||
|
USD
|
10,921,134 |
GBP
|
6,765,000 |
4/19/2011
|
(70,998 | ) |
UBS AG
|
||||||||
|
USD
|
9,355,243 |
CHF
|
8,448,000 |
4/19/2011
|
(156,560 | ) |
UBS AG
|
||||||||
|
USD
|
17,497,908 |
JPY
|
1,409,670,000 |
4/19/2011
|
(548,879 | ) |
UBS AG
|
||||||||
|
Total unrealized depreciation
|
(1,566,707 | ) | |||||||||||||
|
Currency Abbreviations
|
|
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD United States Dollar
|
For information on the Fund's policy and additional disclosures regarding futures contracts and forward foreign currency exchange contracts, please refer to Note B in the accompanying Notes to Financial Statements.
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the 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.
The following is a summary of the inputs used as of March 31, 2011 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Common Stock and/or Other Equity Investments (m)
|
||||||||||||||||
|
Consumer Discretionary
|
$ | 28,850,623 | $ | 6,437,213 | $ | 76 | $ | 35,287,912 | ||||||||
|
Consumer Staples
|
19,875,870 | 5,510,963 | — | 25,386,833 | ||||||||||||
|
Energy
|
33,826,064 | 6,110,412 | — | 39,936,476 | ||||||||||||
|
Financials
|
33,734,326 | 9,985,161 | — | 43,719,487 | ||||||||||||
|
Health Care
|
30,684,484 | 4,478,453 | — | 35,162,937 | ||||||||||||
|
Industrials
|
28,792,700 | 10,448,648 | — | 39,241,348 | ||||||||||||
|
Information Technology
|
49,508,233 | 4,522,409 | — | 54,030,642 | ||||||||||||
|
Materials
|
12,058,225 | 6,821,369 | — | 18,879,594 | ||||||||||||
|
Telecommunication Services
|
8,004,694 | 6,273,686 | — | 14,278,380 | ||||||||||||
|
Utilities
|
10,502,623 | 2,645,622 | — | 13,148,245 | ||||||||||||
|
Fixed Income Investments (m)
|
||||||||||||||||
|
Corporate Bonds
|
— | 59,796,859 | 5,950 | 59,802,809 | ||||||||||||
|
Asset Backed
|
— | 6,044,382 | 286,319 | 6,330,701 | ||||||||||||
|
Mortgage-Backed Securities Pass-Throughs
|
— | 27,584,515 | — | 27,584,515 | ||||||||||||
|
Commercial Mortgage-Backed Securities
|
— | 9,533,665 | — | 9,533,665 | ||||||||||||
|
Collateralized Mortgage Obligations
|
— | 31,717,517 | — | 31,717,517 | ||||||||||||
|
Government & Agency Obligations
|
— | 51,189,350 | — | 51,189,350 | ||||||||||||
|
Municipal Bonds and Notes
|
— | 4,796,120 | — | 4,796,120 | ||||||||||||
|
Preferred Securities
|
— | 140,818 | — | 140,818 | ||||||||||||
|
Other Investments
|
— | — | 2,000 | 2,000 | ||||||||||||
|
Exchange-Traded Funds
|
47,764,150 | — | — | 47,764,150 | ||||||||||||
|
Short-Term Investments (m)
|
54,613,405 | — | — | 54,613,405 | ||||||||||||
|
Derivatives (n)
|
366,666 | 2,004,192 | — | 2,370,858 | ||||||||||||
|
Total
|
$ | 358,582,063 | $ | 256,041,354 | $ | 294,345 | $ | 614,917,762 | ||||||||
|
Liabilities
|
||||||||||||||||
|
Derivatives (n)
|
$ | (69,688 | ) | $ | (1,566,707 | ) | $ | — | $ | (1,636,395 | ) | |||||
|
Total
|
$ | (69,688 | ) | $ | (1,566,707 | ) | $ | — | $ | (1,636,395 | ) | |||||
There have been no significant transfers between Level 1 and Level 2 fair value measurements during the year ended March 31, 2011.
(m) See Investment Portfolio for additional detailed categorizations.
(n) Derivatives include unrealized appreciation (depreciation) on open futures contracts and forward foreign currency exchange contracts.
Level 3 Reconciliation
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value:
|
Common Stocks and/or Other Equity Investments
|
Corporate Bonds
|
Asset-Backed
|
||||||||||
|
Balance as of March 31, 2010
|
$ | 710,312 | $ | 23,400 | $ | — | ||||||
|
Net realized gain (loss)
|
191,081 | — | 10 | |||||||||
|
Change in unrealized appreciation (depreciation)
|
(19,823 | ) | (5,990 | ) | 1,281 | |||||||
|
Amortization premium/discount
|
— | 346 | — | |||||||||
|
Net purchases (sales)
|
(881,494 | ) | — | 285,028 | ||||||||
|
Transfers into Level 3
|
— | 11,594 | (o) | — | ||||||||
|
Transfers (out) of Level 3
|
— | (23,400 | ) (p) | — | ||||||||
|
Balance as of March 31, 2011
|
$ | 76 | $ | 5,950 | $ | 286,319 | ||||||
|
Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2011
|
$ | (6 | ) | $ | (5,990 | ) | $ | 1,281 | ||||
|
Collateralized Mortgage Obligations
|
Other Investments
|
Total
|
||||||||||
|
Balance as of March 31, 2010
|
$ | 436,967 | $ | — | $ | 1,170,679 | ||||||
|
Net realized gain (loss)
|
— | — | 191,091 | |||||||||
|
Change in unrealized appreciation (depreciation)
|
— | — | (24,532 | ) | ||||||||
|
Amortization premium/discount
|
— | — | 346 | |||||||||
|
Net purchases (sales)
|
— | 2,000 | (594,466 | ) | ||||||||
|
Transfers into Level 3
|
— | — | 11,594 | |||||||||
|
Transfers (out) of Level 3
|
(436,967 | ) (p) | — | (460,367 | ) | |||||||
|
Balance as of March 31, 2011
|
$ | — | $ | 2,000 | $ | 294,345 | ||||||
|
Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2011
|
$ | — | $ | — | $ | (4,715 | ) | |||||
Transfers between price levels are recognized at the beginning of the reporting period.
(o) The investment was transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
(p) The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.
The accompanying notes are an integral part of the financial statements.
|
as of March 31, 2011
|
||||
|
Assets
|
||||
|
Investments:
Investments in non-affiliated securities, at value (cost $504,470,078) — including $11,777,979 of securities loaned
|
$ | 557,933,499 | ||
|
Investment in Daily Assets Fund Institutional (cost $12,151,866)*
|
12,151,866 | |||
|
Investment in Central Cash Management Fund (cost $42,461,539)
|
42,461,539 | |||
|
Total investments, at value (cost $559,083,483)
|
612,546,904 | |||
|
Foreign currency, at value (cost $416,859)
|
421,987 | |||
|
Deposits with brokers for open futures contracts
|
2,533,556 | |||
|
Cash held as collateral for open forward foreign currency exchange contracts
|
2,360,000 | |||
|
Receivable for investments sold
|
4,753,739 | |||
|
Receivable for investments sold — delayed delivery securities
|
466,497 | |||
|
Receivable for Fund shares sold
|
188,075 | |||
|
Receivable for daily variation margin on open futures contracts
|
298,225 | |||
|
Dividends receivable
|
432,757 | |||
|
Interest receivable
|
1,601,972 | |||
|
Unrealized appreciation on open forward foreign currency exchange contracts
|
2,004,192 | |||
|
Due from Advisor
|
63,271 | |||
|
Foreign taxes recoverable
|
49,936 | |||
|
Other assets
|
24,226 | |||
|
Total assets
|
627,745,337 | |||
|
Liabilities
|
||||
|
Cash overdraft
|
201,333 | |||
|
Payable upon return of securities loaned
|
12,151,866 | |||
|
Payable for investments purchased
|
4,848,609 | |||
|
Payable for investments purchased — when-issued and delayed delivery securities
|
15,208,720 | |||
|
Unrealized depreciation on open forward foreign currency exchange contracts
|
1,566,707 | |||
|
Deferred foreign taxes payable
|
5,686 | |||
|
Accrued management fee
|
198,075 | |||
|
Other accrued expenses and payables
|
701,715 | |||
|
Total liabilities
|
34,882,711 | |||
|
Net assets, at value
|
$ | 592,862,626 | ||
* Represents collateral on securities loaned.
The accompanying notes are an integral part of the financial statements.
|
Statement of Assets and Liabilities as of March 31, 2011 (continued)
|
||||
|
Net Assets Consist of
|
||||
|
Distributions in excess of net investment income
|
(367,115 | ) | ||
|
Net unrealized appreciation (depreciation) on:
Investments (net of deferred foreign taxes of $5,686)
|
53,457,735 | |||
|
Futures
|
296,978 | |||
|
Foreign currency
|
445,244 | |||
|
Accumulated net realized gain (loss)
|
(151,766,178 | ) | ||
|
Paid-in capital
|
690,795,962 | |||
|
Net assets, at value
|
$ | 592,862,626 | ||
|
Net Asset Value
|
||||
|
Class S
Net Asset Value offering and redemption price per share ($3,290,152 ÷ 360,076 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
|
$ | 9.14 | ||
|
Institutional Class
Net Asset Value offering and redemption price per share ($589,572,474 ÷ 61,790,335 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
|
$ | 9.54 | ||
The accompanying notes are an integral part of the financial statements.
|
for the year ended March 31, 2011
|
||||
|
Investment Income
|
||||
|
Income:
Dividends (net of foreign taxes withheld of 192,999)
|
$ | 7,052,196 | ||
|
Interest
|
8,065,486 | |||
|
Income distributions — Central Cash Management Fund
|
53,228 | |||
|
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
42,955 | |||
|
Total income
|
15,213,865 | |||
|
Expenses:
Management fee
|
3,234,920 | |||
|
Administration fee
|
551,725 | |||
|
Services to shareholders
|
828,500 | |||
|
Professional fees
|
103,640 | |||
|
Trustees' fees and expenses
|
19,158 | |||
|
Custodian fee
|
290,890 | |||
|
Reports to shareholders
|
73,360 | |||
|
Registration fees
|
35,158 | |||
|
Other
|
172,597 | |||
|
Total expenses before expense reductions
|
5,309,948 | |||
|
Expense reductions
|
(2,238,779 | ) | ||
|
Total expenses after expense reductions
|
3,071,169 | |||
|
Net investment income
|
12,142,696 | |||
|
Realized and Unrealized Gain (Loss)
|
||||
|
Net realized gain (loss) from:
Investments
|
56,917,963 | |||
|
Futures
|
(1,360,958 | ) | ||
|
Foreign currency
|
(1,727,953 | ) | ||
| 53,829,052 | ||||
|
Change in net unrealized appreciation (depreciation) on:
Investments (net of deferred foreign taxes of $5,686)
|
(6,926,752 | ) | ||
|
Futures
|
210,619 | |||
|
Foreign currency
|
(90,156 | ) | ||
| (6,806,289 | ) | |||
|
Net gain (loss)
|
47,022,763 | |||
|
Net increase (decrease) in net assets resulting from operations
|
$ | 59,165,459 | ||
The accompanying notes are an integral part of the financial statements.
|
Years Ended March 31,
|
||||||||
|
2011
|
2010
|
|||||||
|
Operations:
Net investment income
|
$ | 12,142,696 | $ | 13,022,136 | ||||
|
Net realized gain (loss)
|
53,829,052 | 16,925,966 | ||||||
|
Change in net unrealized appreciation (depreciation)
|
(6,806,289 | ) | 128,458,139 | |||||
|
Net increase (decrease) in net assets resulting from operations
|
59,165,459 | 158,406,241 | ||||||
|
Distributions to shareholders from:
Net investment income
Class S
|
(87,351 | ) | (64,952 | ) | ||||
|
Institutional Class
|
(16,114,327 | ) | (12,350,184 | ) | ||||
|
Total distributions
|
(16,201,678 | ) | (12,415,136 | ) | ||||
|
Fund share transactions:
Proceeds from shares sold
|
54,299,193 | 58,552,000 | ||||||
|
Reinvestment of distributions
|
16,201,525 | 12,414,949 | ||||||
|
Payments for shares redeemed
|
(88,690,628 | ) | (53,546,478 | ) | ||||
|
Net increase (decrease) in net assets from Fund share transactions
|
(18,189,910 | ) | 17,420,471 | |||||
|
Increase (decrease) in net assets
|
24,773,871 | 163,411,576 | ||||||
|
Net assets at beginning of period
|
568,088,755 | 404,677,179 | ||||||
|
Net assets at end of period (including distributions in excess of net investment income and undistributed net investment income of $367,115 and $5,268,747, respectively)
|
$ | 592,862,626 | $ | 568,088,755 | ||||
The accompanying notes are an integral part of the financial statements.
|
Class S+
Years Ended March 31,
|
2011
|
2010
|
2009
|
2008
|
2007
|
|||||||||||||||
|
Selected Per Share Data
|
||||||||||||||||||||
|
Net asset value, beginning of period
|
$ | 8.45 | $ | 6.23 | $ | 9.79 | $ | 11.85 | $ | 11.30 | ||||||||||
|
Income (loss) from investment operations:
Net investment incomea
|
.18 | .19 | .26 | .29 | .33 | |||||||||||||||
|
Net realized and unrealized gain (loss)
|
.74 | 2.20 | (3.40 | ) | (.30 | ) | .80 | |||||||||||||
|
Total from investment operations
|
.92 | 2.39 | (3.14 | ) | (.01 | ) | 1.13 | |||||||||||||
|
Less distributions from:
Net investment income
|
(.23 | ) | (.17 | ) | (.20 | ) | (.42 | ) | (.25 | ) | ||||||||||
|
Net realized gains
|
— | — | (.13 | ) | (1.63 | ) | (.33 | ) | ||||||||||||
|
Return of capital
|
— | — | (.09 | ) | — | — | ||||||||||||||
|
Total distributions
|
(.23 | ) | (.17 | ) | (.42 | ) | (2.05 | ) | (.58 | ) | ||||||||||
|
Net asset value, end of period
|
$ | 9.14 | $ | 8.45 | $ | 6.23 | $ | 9.79 | $ | 11.85 | ||||||||||
|
Total Return (%)b
|
11.18 | 38.53 | (33.05 | ) | (.75 | ) | 10.16 | |||||||||||||
|
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||
|
Net assets, end of period ($ millions)
|
3 | 3 | 3 | 5 | 5 | |||||||||||||||
|
Ratio of expenses before expense reductions (%)
|
1.07 | 1.07 | 1.08 | 1.05 | .93 | |||||||||||||||
|
Ratio of expenses after expense reductions (%)
|
.81 | .81 | .82 | .87 | .71 | |||||||||||||||
|
Ratio of net investment income (%)
|
1.94 | 2.31 | 2.99 | 2.50 | 2.67 | |||||||||||||||
|
Portfolio turnover rate (%)
|
259 | 209 | 242 | 264 | 175 | |||||||||||||||
|
+ On October 23, 2006, Investment Class was renamed Class S.
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
|
||||||||||||||||||||
|
Institutional Class
Years Ended March 31,
|
2011
|
2010
|
2009
|
2008
|
2007
|
|||||||||||||||
|
Selected Per Share Data
|
||||||||||||||||||||
|
Net asset value, beginning of period
|
$ | 8.82 | $ | 6.51 | $ | 10.22 | $ | 12.29 | $ | 11.74 | ||||||||||
|
Income (loss) from investment operations:
Net investment incomea
|
.20 | .21 | .28 | .32 | .34 | |||||||||||||||
|
Net realized and unrealized gain (loss)
|
.78 | 2.30 | (3.54 | ) | (.29 | ) | .85 | |||||||||||||
|
Total from investment operations
|
.98 | 2.51 | (3.26 | ) | .03 | 1.19 | ||||||||||||||
|
Less distributions from:
Net investment income
|
(.26 | ) | (.20 | ) | (.23 | ) | (.47 | ) | (.31 | ) | ||||||||||
|
Net realized gains
|
— | — | (.13 | ) | (1.63 | ) | (.33 | ) | ||||||||||||
|
Return of capital
|
— | — | (.09 | ) | — | — | ||||||||||||||
|
Total distributions
|
(.26 | ) | (.20 | ) | (.45 | ) | (2.10 | ) | (.64 | ) | ||||||||||
|
Net asset value, end of period
|
$ | 9.54 | $ | 8.82 | $ | 6.51 | $ | 10.22 | $ | 12.29 | ||||||||||
|
Total Return (%)b
|
11.46 | 38.76 | (32.84 | ) | (.40 | ) | 10.28 | |||||||||||||
|
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||
|
Net assets, end of period ($ millions)
|
590 | 565 | 402 | 738 | 761 | |||||||||||||||
|
Ratio of expenses before expense reductions (%)
|
.96 | .96 | .98 | .89 | .89 | |||||||||||||||
|
Ratio of expenses after expense reductions (%)
|
.56 | .56 | .57 | .55 | .55 | |||||||||||||||
|
Ratio of net investment income (%)
|
2.20 | 2.56 | 3.24 | 2.82 | 2.83 | |||||||||||||||
|
Portfolio turnover rate (%)
|
259 | 209 | 242 | 264 | 175 | |||||||||||||||
|
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
|
||||||||||||||||||||
A. Organization and Significant Accounting Policies
DWS Lifecycle Long Range Fund (the "Fund") is a diversified series of DWS Advisor Funds (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust. On April 29, 2011, the Fund transferred all of its assets and liabilities to the DWS Lifecycle Long Range Fund, a new series of DWS Market Trust. This transaction has no material effect on an investment in the Fund.
The Fund offers two classes of shares: Institutional Class and Class S. Institutional Class shares are offered to a limited group of investors and are not subject to initial or contingent deferred sales charges. Institutional Class shares have lower ongoing expenses than Class S shares. Class S shares are not subject to initial or contingent deferred sales charges and are generally not available to new investors except under certain circumstances.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of both classes of shares except that each class bears certain expenses unique to that class such as services to shareholders and certain other class specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the 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.
Equity securities and exchange-traded funds ("ETFs") are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which they trade and are categorized as Level 1 securities. Securities or ETFs for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation. For certain international equity securities, in order to adjust for events which may occur between the close of the foreign exchanges and the close of the New York Stock Exchange, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2.
Debt securities are valued by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from one or more broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. These securities are generally categorized as Level 2.
Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost, which approximates value, and are categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities; the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
Foreign Currency Translations. The books and records of the Fund are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US dollars at the prevailing exchange rates on the respective dates of the transactions.
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the US dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.
Securities Lending. The Fund lends securities to certain financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also subject to all investment risks associated with the value reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
When-Issued/Delayed Delivery Securities. The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.
Additionally, based on the Fund's understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, the Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
At March 31, 2011, the Fund had a net tax basis capital loss carryforward of approximately $148,217,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until March 31, 2012 ($419,000), March 31, 2013 ($255,000), March 31, 2017 ($51,033,000) and March 31, 2018 ($96,510,000), the respective expiration dates, whichever occurs first.
During the year ended March 31, 2011, the Fund utilized approximately $52,388,000 of prior year capital loss carryforward.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted. Under the Act, net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. As a result of this ordering rule, pre-enactment capital loss carryforwards may expire unused, whereas under the previous rules these losses may have been utilized. This change is effective for fiscal years beginning after the date of enactment.
The Fund has reviewed the tax positions for the open tax years as of March 31, 2011 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Distribution of Income and Gains. Net investment income of the Fund is declared and distributed to shareholders quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in foreign denominated investments, investments in passive foreign investment companies, forward currency contracts, recognition of certain foreign currency gains (losses) as ordinary income (loss), futures contracts and certain securities sold at a loss. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
At March 31, 2011, each Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:
|
Undistributed ordinary income*
|
$ | 392,119 | ||
|
Capital loss carryforward
|
$ | (148,217,000 | ) | |
|
Net unrealized appreciation (depreciation) on investments
|
$ | 49,846,597 |
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
|
Years Ended March 31,
|
||||||||
|
2011
|
2010
|
|||||||
|
Distributions from ordinary income*
|
$ | 16,201,678 | $ | 12,415,136 | ||||
* For tax purposes, short-term capital gains distributions and gains from forward foreign currency exchange contracts are considered ordinary income distributions.
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital for tax reporting purposes.
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as the Fund is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.
B. Derivative Instruments
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). For the year ended March 31, 2011, the Fund used futures contracts to gain exposure to a particular asset class or to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market. In addition, the Fund seeks to enhance returns by employing a global tactical asset allocation overlay strategy by entering into futures contracts on fixed-income securities, including on bond and equity indices. For the year ended March 31, 2011, as part of this strategy, the Fund used futures contracts to attempt to take advantage of inefficiencies within the global equity and bond markets.
Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Fund's ability to close out a futures contract prior to the settlement date and the risk that the futures contract is not well correlated with the security, index or currency to which it relates. Risk of loss may exceed amounts recognized in the Statement of Assets and Liabilities.
A summary of the open futures contracts as of March 31, 2011 is included in a table following the Fund's Investment Portfolio. For the year ended March 31, 2011, the investment in futures contracts purchased had a total notional value generally indicative of a range from approximately $58,052,000 to $103,894,000, and the investment in futures contracts sold had a total notional value generally indicative of a range from approximately $55,068,000 to $78,343,000.
Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. For the year ended March 31, 2011, the Fund entered into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings, to facilitate transactions in foreign currency denominated securities and to enhance the total returns. The Fund also enters into forward currency contracts as part of its global tactical asset allocation overlay strategy.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
A summary of the open forward currency contracts as of March 31, 2011 is included in a table following the Fund's Investment Portfolio. For the year ended March 31, 2011, the investment in forward currency contracts short vs. US dollars had a total contract value generally indicative of a range from approximately $46,548,000 to $101,974,000, and the investment in forward currency contracts long vs. US dollars had a total contract value generally indicative of a range from approximately $26,406,000 to $117,052,000.
The following tables summarize the value of the Fund's derivative instruments held as of March 31, 2011 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
|
Asset Derivatives
|
Forward Contracts
|
Futures Contracts
|
Total
|
|||||||||
|
Foreign Exchange Contracts (a)
|
$ | 2,004,192 | $ | — | $ | 2,004,192 | ||||||
|
Equity Contracts (b)
|
— | 59,516 | 59,516 | |||||||||
|
Interest Rate Contracts (b)
|
— | 307,150 | 307,150 | |||||||||
| $ | 2,004,192 | $ | 366,666 | $ | 2,370,858 | |||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized appreciation on open forward foreign currency exchange contracts
(b) Includes cumulative appreciation of futures contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
|
Liability Derivatives
|
Forward Contracts
|
Futures Contracts
|
Total
|
|||||||||
|
Foreign Exchange Contracts (a)
|
$ | (1,566,707 | ) | $ | — | $ | (1,566,707 | ) | ||||
|
Equity Contracts (b)
|
— | (11,975 | ) | (11,975 | ) | |||||||
|
Interest Rate Contracts (b)
|
— | (57,713 | ) | (57,713 | ) | |||||||
| $ | (1,566,707 | ) | $ | (69,688 | ) | $ | (1,636,395 | ) | ||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized depreciation on open forward foreign currency exchange contracts
(b) Includes cumulative depreciation of futures contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the year ended March 31, 2011 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
|
Realized Gain (Loss)
|
Forward Contracts
|
Futures Contracts
|
Total
|
|||||||||
|
Foreign Exchange Contracts (a)
|
$ | (1,361,419 | ) | $ | — | $ | (1,361,419 | ) | ||||
|
Equity Contracts (b)
|
— | (2,742,481 | ) | (2,742,481 | ) | |||||||
|
Interest Rate Contracts (b)
|
— | 1,381,523 | 1,381,523 | |||||||||
| $ | (1,361,419 | ) | $ | (1,360,958 | ) | $ | (2,722,377 | ) | ||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
(b) Net realized gain (loss) from futures
|
Change in Net Unrealized Appreciation (Depreciation)
|
Forward Contracts
|
Futures Contracts
|
Total
|
|||||||||
|
Foreign Exchange Contracts (a)
|
$ | (105,661 | ) | $ | — | $ | (105,661 | ) | ||||
|
Equity Contracts (b)
|
— | 60,182 | 60,182 | |||||||||
|
Interest Rate Contracts (b)
|
— | 150,437 | 150,437 | |||||||||
| $ | (105,661 | ) | $ | 210,619 | $ | 104,958 | ||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
(b) Change in net unrealized appreciation (depreciation) on futures
C. Purchases and Sales of Securities
During the year ended March 31, 2011, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $1,087,784,882 and $1,118,519,326, respectively. Purchases and sales of US Treasury obligations aggregated $258,289,403 and $249,323,056, respectively.
D. Related Parties
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund or delegates such responsibility to the Fund's subadvisor.
QS Investors, LLC ("QS Investors") acts as an investment subadvisor to the Fund. On August 1, 2010, members of the Advisor's Quantitative Strategies Group, including some members of the Fund's portfolio management team, separated from the Advisor and formed QS Investors as a separate investment advisory firm unaffiliated with the Advisor (the "Separation"). As an investment subadvisor to the Fund, QS Investors renders strategic asset allocation services and also manages a portion of the assets allocated to equities and the portion of assets allocated to the Fund's global tactical asset allocation overlay strategy. QS Investors is paid by the Advisor, not the Fund, for the services QS Investors provides to the Fund.
Pursuant to a written contract, Aberdeen Asset Management Inc. ("AAMI"), a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, also serves as subadvisor to the Fund with respect to a portion of the fixed income portion of the Fund's portfolio. AAMI is paid for its services by the Advisor from its fee as investment advisor to the Fund.
Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
|
First $250 million of the Fund's average daily net assets
|
.600 | % | ||
|
Next $750 million of such net assets
|
.575 | % | ||
|
Over $1 billion of such net assets
|
.550 | % |
For the period from April 1, 2010 through July 31, 2011, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses of Class S shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 1.01%.
In addition, the Advisor has voluntarily agreed to waive its fees and/or reimburse certain operating expenses of Institutional Class shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.55%. This voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
Accordingly, for the year ended March 31, 2011, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $1,422,840 and the amount charged aggregated $1,812,080, which was equivalent to an annual effective rate of 0.33% of the Fund's average daily net assets.
In addition, for the year ended March 31, 2011, the Advisor reimbursed $815,707 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2011, the Administration Fee was $551,725, of which $49,726 is unpaid.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the year ended March 31, 2011, the amounts charged to the Fund by DISC were as follows:
|
Services to Shareholders
|
Total Aggregated
|
Waived
|
Unpaid at March 31, 2011
|
|||||||||
|
Class S
|
$ | 2,360 | $ | — | $ | 579 | ||||||
|
Institutional Class
|
232 | 232 | — | |||||||||
| $ | 2,592 | $ | 232 | $ | 579 | |||||||
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended March 31, 2011, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $36,233, of which $12,020 is unpaid.
Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
Affiliated Cash Management Vehicle. The Fund may invest uninvested cash balances in Central Cash Management Fund, which is managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of Central Cash Management Fund. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
E. Concentration of Ownership
From time to time the Fund may have a concentration of several shareholder accounts holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.
At March 31, 2011, there were two shareholder accounts that held approximately 70% and 28%, respectively, of outstanding shares of the Fund.
F. Line of Credit
The Fund and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Fund may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee, which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.
G. Share Transactions
The following table summarizes share and dollar activity in the Fund:
|
Year Ended March 31, 2011
|
Year Ended March 31, 2010
|
|||||||||||||||
|
Shares
|
Dollars
|
Shares
|
Dollars
|
|||||||||||||
|
Shares sold
|
||||||||||||||||
|
Class S
|
41,343 | $ | 346,777 | 36,496 | $ | 291,553 | ||||||||||
|
Institutional Class
|
5,914,995 | 53,952,416 | 7,264,240 | 58,260,447 | ||||||||||||
| $ | 54,299,193 | $ | 58,552,000 | |||||||||||||
|
Shares issued to shareholders in reinvestment of distributions
|
||||||||||||||||
|
Class S
|
10,453 | $ | 87,198 | 8,377 | $ | 64,932 | ||||||||||
|
Institutional Class
|
1,845,609 | 16,114,327 | 1,513,220 | 12,350,017 | ||||||||||||
| $ | 16,201,525 | $ | 12,414,949 | |||||||||||||
|
Shares redeemed
|
||||||||||||||||
|
Class S
|
(66,671 | ) | $ | (569,714 | ) | (121,703 | ) | $ | (937,601 | ) | ||||||
|
Institutional Class
|
(10,011,669 | ) | (88,120,914 | ) | (6,447,805 | ) | (52,608,877 | ) | ||||||||
| $ | (88,690,628 | ) | $ | (53,546,478 | ) | |||||||||||
|
Net increase (decrease)
|
||||||||||||||||
|
Class S
|
(14,875 | ) | $ | (135,739 | ) | (76,830 | ) | $ | (581,116 | ) | ||||||
|
Institutional Class
|
(2,251,065 | ) | (18,054,171 | ) | 2,329,655 | 18,001,587 | ||||||||||
| $ | (18,189,910 | ) | $ | 17,420,471 | ||||||||||||
To the Trustees of DWS Advisor Funds and Shareholders of DWS Lifecycle Long Range Fund:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Lifecycle Long Range Fund (the "Fund") at March 31, 2011, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
|
Boston, Massachusetts
May 27, 2011
|
PricewaterhouseCoopers LLP
|
For corporate shareholders, 29% of the ordinary dividends (i.e., income dividends plus short-term capital gains) paid during the Fund's fiscal year ended March 31, 2011, qualified for the dividends received deduction.
A total of 3% of the dividends distributed during the fiscal year was derived from interest on US government securities, which is generally exempt from state income tax.
For federal income tax purposes, the Fund designates $8,000,000, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
October 3, 2010
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2010, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007, 2008, and 2009.
Qualifications
For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and have served in various leadership and financial oversight capacities with non-profit organizations.
Evaluation of Fees for each DWS Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 118 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
Thomas H. Mack
The following table presents certain information regarding the Board Members and Officers of the fund as of March 31, 2011. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Paul K. Freeman, Independent Chairman, DWS Funds, PO Box 101833, Denver, CO 80250-1833. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex. The Length of Time Served represents the year in which the Board Member joined the Board of one or more DWS funds now overseen by the Board.
|
Independent Board Members
|
||||
|
Name, Year of Birth, Position with the Fund and Length of Time Served1
|
Business Experience and Directorships During the Past Five Years
|
Number of Funds in DWS Fund Complex Overseen
|
Other Directorships Held by Board Member
|
|
|
Paul K. Freeman (1950)
Chairperson since 2009
Board Member since 1993
|
Consultant, World Bank/Inter-American Development Bank; Executive and Governing Council of the Independent Directors Council (education committees); formerly: Project Leader, International Institute for Applied Systems Analysis (1998-2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986-1998)
|
118
|
—
|
|
|
John W. Ballantine (1946)
Board Member since 1999
|
Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996-1998); Executive Vice President and Head of International Banking (1995-1996). Directorships: Healthways, Inc. (provider of disease and care management services); Portland General Electric (utility company); Stockwell Capital Investments PLC (private equity); former Directorships: First Oak Brook Bancshares, Inc. and Oak Brook Bank; Prisma Energy International
|
118
|
—
|
|
|
Henry P. Becton, Jr. (1943)
Board Member since 1990
|
Vice Chair and former President, WGBH Educational Foundation. Directorships: Association of Public Television Stations; Public Radio International; Public Radio Exchange (PRX); The PBS Foundation; former Directorships: Boston Museum of Science; American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service
|
118
|
Lead Director, Becton Dickinson and Company2 (medical technology company); Lead Director, Belo Corporation2 (media company)
|
|
|
Dawn-Marie Driscoll (1946)
Board Member since 1987
|
President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley University; formerly, Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley University; Trustee, Southwest Florida Community Foundation (charitable organization); former Directorships: Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees)
|
118
|
Trustee, Sun Capital Advisers, Inc. (22 open-end mutual funds advised by Sun Capital Advisers, Inc.) (since 2007)
|
|
|
Keith R. Fox (1954)
Board Member since 1996
|
Managing General Partner, Exeter Capital Partners (a series of private investment funds). Directorships: Progressive International Corporation (kitchen goods importer and distributor); BoxTop Media Inc. (advertising); The Kennel Shop (retailer); former Chairman, National Association of Small Business Investment Companies
|
118
|
—
|
|
|
Kenneth C. Froewiss (1945)
Board Member since 2001
|
Adjunct Professor of Finance, NYU Stern School of Business (September 2009-present; Clinical Professor from 1997-September 2009); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996)
|
118
|
—
|
|
|
Richard J. Herring (1946)
Board Member since 1990
|
Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center (since July 2000); Co-Chair, U.S. Shadow Financial Regulatory Committee; Executive Director, Financial Economists Roundtable; Independent Director of Barclays Bank Delaware (since September 2010); formerly: Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000); Director, Lauder Institute of International Management Studies (July 2000-June 2006)
|
118
|
Director, Japan Equity Fund, Inc. (since September 2007), Thai Capital Fund, Inc. (since September 2007), Singapore Fund, Inc. (since September 2007)
|
|
|
William McClayton (1944)
Board Member since 2004
|
Private equity investor (since October 2009); previously, Managing Director, Diamond Management & Technology Consultants, Inc. (global consulting firm) (2001-2009); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966-2001); Trustee, Ravinia Festival
|
118
|
—
|
|
|
Rebecca W. Rimel (1951)
Board Member since 1995
|
President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to present); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001-2007); formerly: Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983-2004); Board Member, Investor Education (charitable organization) (2004-2005); Trustee, Pro Publica (charitable organization) (2007-2010)
|
118
|
Director, CardioNet, Inc. (health care) (2009- present); Director, Viasys Health Care2 (January 2007- June 2007);
|
|
|
William N. Searcy, Jr. (1946)
Board Member since 1993
|
Private investor since October 2003; formerly: Pension & Savings Trust Officer, Sprint Corporation2 (telecommunications) (November 1989-September 2003)
|
118
|
Trustee, Sun Capital Advisers, Inc. (22 open-end mutual funds advised by Sun Capital Advisers, Inc.) (since 1998)
|
|
|
Jean Gleason Stromberg (1943)
Board Member since 1997
|
Retired. Formerly, Consultant (1997-2001); Director, Financial Markets US Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; former Directorships: Service Source, Inc., Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996)
|
118
|
—
|
|
|
Robert H. Wadsworth
(1940)
Board Member since 1999
|
President, Robert H. Wadsworth & Associates, Inc. (consulting firm) (1983 to present); Director, The Phoenix Boys Choir Association
|
121
|
—
|
|
|
Officers4
|
||
|
Name, Year of Birth, Position with the Fund and Length of Time Served5
|
Principal Occupation(s) During Past 5 Years and Other Directorships Held
|
|
|
Michael G. Clark6 (1965)
President, 2006-present
|
Managing Director3, Deutsche Asset Management (2006-present); President of DWS family of funds; Director, ICI Mutual Insurance Company (since October 2007); formerly, Director of Fund Board Relations (2004-2006) and Director of Product Development (2000-2004), Merrill Lynch Investment Managers; Senior Vice President Operations, Merrill Lynch Asset Management (1999-2000)
|
|
|
John Millette7 (1962)
Vice President and Secretary, 1999-present
|
Director3, Deutsche Asset Management
|
|
|
Paul H. Schubert6 (1963)
Chief Financial Officer, 2004-present
Treasurer, 2005-present
|
Managing Director3, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998)
|
|
|
Caroline Pearson7 (1962)
Chief Legal Officer, April 2010-present
|
Managing Director3, Deutsche Asset Management; formerly, Assistant Secretary for DWS family of funds (1997-2010)
|
|
|
Rita Rubin8 (1970)
Assistant Secretary, 2009-present
|
Vice President and Counsel, Deutsche Asset Management (since October 2007); formerly, Vice President, Morgan Stanley Investment Management (2004-2007)
|
|
|
Paul Antosca7 (1957)
Assistant Treasurer, 2007-present
|
Director3, Deutsche Asset Management (since 2006); Vice President, The Manufacturers Life Insurance Company (U.S.A.) (1990-2006)
|
|
|
Jack Clark7 (1967)
Assistant Treasurer, 2007-present
|
Director3, Deutsche Asset Management (since 2007); formerly, Vice President, State Street Corporation (2002-2007)
|
|
|
Diane Kenneally7 (1966)
Assistant Treasurer, 2007-present
|
Director3, Deutsche Asset Management
|
|
|
John Caruso8 (1965)
Anti-Money Laundering Compliance Officer, 2010-present
|
Managing Director3, Deutsche Asset Management
|
|
|
Robert Kloby8 (1962)
Chief Compliance Officer, 2006-present
|
Managing Director3, Deutsche Asset Management
|
|
1 The length of time served represents the year in which the Board Member joined the board of one or more DWS funds currently overseen by the Board.
2 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
3 Executive title, not a board directorship.
4 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.
5 The length of time served represents the year in which the officer was first elected in such capacity for one or more DWS funds.
6 Address: 100 Plaza One, Jersey City, NJ 07311.
7 Address: One Beacon Street, Boston, MA 02108.
8 Address: 60 Wall Street, New York, New York 10005.
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 621-1048.
|
For More Information
|
The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also have the ability to purchase, exchange or redeem shares using this system.
For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Investments representative by calling the appropriate number below:
For shareholders of Institutional Class:
(800) 621-1048
For shareholders of Class S:
(800) 728-3337
|
|
|
Web Site
|
www.dws-investments.com
View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more.
|
|
|
Written Correspondence
|
DWS Investments
PO Box 219151
Kansas City, MO 64121-9151
|
|
|
Proxy Voting
|
The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048.
|
|
|
Principal Underwriter
|
If you have questions, comments or complaints, contact:
DWS Investments Distributors, Inc.
222 South Riverside Plaza
Chicago, IL 60606-5808
(800) 621-1148
|
|
|
Class S
|
Institutional Class
|
||
|
Nasdaq Symbol
|
BTILX
|
BTAMX
|
|
|
CUSIP Number
|
23336W 809
|
23336W 882
|
|
|
Fund Number
|
812
|
567
|
Notes
Notes
Notes
Notes
|
ITEM 2.
|
CODE OF ETHICS
|
|
As of the end of the period covered by this report, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
|
|
|
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT
|
|
The fund’s audit committee is comprised solely of trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The fund’s Board of Trustees has determined that there are several "audit committee financial experts" (as such term has been defined by the Regulations) serving on the fund’s audit committee including Mr. William McClayton, the chair of the fund’s audit committee. An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an “audit committee financial expert” does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
|
|
|
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES
|
DWS LIFECYCLE LONG RANGE FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
|
Fiscal Year Ended March 31,
|
Audit Fees Billed to Fund
|
Audit-Related
Fees Billed to Fund
|
Tax Fees Billed to Fund
|
All
Other Fees Billed to Fund
|
||||||||||||
|
2011
|
$ | 79,236 | $ | 0 | $ | 0 | $ | 0 | ||||||||
|
2010
|
$ | 77,236 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
|
Fiscal Year Ended March 31,
|
Audit-Related
Fees Billed to Adviser and Affiliated Fund Service Providers
|
Tax Fees Billed to Adviser and Affiliated Fund Service Providers
|
All
Other Fees Billed to Adviser and Affiliated Fund Service Providers
|
|||||||||
|
2011
|
$ | 0 | $ | 0 | $ | 0 | ||||||
|
2010
|
$ | 9,500 | $ | 0 | $ | 0 | ||||||
The “Audit-Related Fees” were billed for services in connection with the agreed-upon procedures.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.
|
Fiscal Year Ended March 31,
|
Total
Non-Audit Fees Billed to Fund
(A)
|
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund)
(B)
|
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements)
(C)
|
Total of (A), (B)
and (C)
|
||||||||||||
|
2011
|
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
|
2010
|
$ | 0 | $ | 0 | $ | 100,000 | $ | 100,000 | ||||||||
All other engagement fees were billed for services in connection with an internal control review of a subadvisor.
Audit Committee Pre-Approval Policies and Procedures. Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000. All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
According to the registrant’s principal Independent Registered Public Accounting Firm, all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.
***
|
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS
|
|
|
Not applicable
|
||
|
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
|
|
Not applicable
|
||
|
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
|
|
Not applicable
|
||
|
ITEM 8.
|
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
|
|
Not applicable
|
||
|
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
|
|
|
Not applicable
|
||
|
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
|
|
|
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833.
|
||
|
ITEM 11.
|
CONTROLS AND PROCEDURES
|
|
|
(a)
|
The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
|
|
|
(b)
|
There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
|
|
|
ITEM 12.
|
EXHIBITS
|
|
|
(a)(1)
|
Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.
|
|
|
(a)(2)
|
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
|
|
|
(b)
|
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.
|
|
Form N-CSR Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
Registrant:
|
DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds
|
|
By:
|
/s/Michael G. Clark
Michael G. Clark
President
|
|
Date:
|
May 31, 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/Michael G. Clark
Michael G. Clark
President
|
|
Date:
|
May 31, 2011
|
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
|
Date:
|
May 31, 2011
|
