N-Q 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-5251

Fidelity Concord Street Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices) (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

February 28

Date of reporting period:

May 31, 2007

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Spartan ® Extended Market
Index Fund

May 31, 2007

1.816014.102

SEI-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 96.7%

Shares

Value

CONSUMER DISCRETIONARY - 14.8%

Auto Components - 0.6%

Aftermarket Technology Corp. (a)

21,842

$ 654,605

American Axle & Manufacturing Holdings, Inc.

35,598

1,025,934

Amerigon, Inc. (a)

23,891

394,918

Amerityre Corp. (a)(d)

29,329

140,779

ArvinMeritor, Inc.

63,280

1,321,286

Bandag, Inc.

9,213

467,560

BorgWarner, Inc.

48,374

4,071,156

Cooper Tire & Rubber Co.

55,555

1,337,209

Dorman Products, Inc. (a)

2,806

40,042

Drew Industries, Inc. (a)

19,046

641,660

Exide Technologies (a)

43,320

340,495

Fuel Systems Solutions, Inc. (a)

12,638

205,999

GenTek, Inc. (a)

5,509

194,247

Gentex Corp.

119,900

2,128,225

Hawk Corp. Class A (a)

3,526

46,543

Hayes Lemmerz International, Inc. (a)

67,971

389,474

Lear Corp. (a)

53,988

1,925,752

Modine Manufacturing Co.

27,539

647,442

Noble International Ltd.

9,445

186,161

Proliance International, Inc. (a)

3,337

9,577

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

11,619

20,798

Sauer-Danfoss, Inc.

10,641

289,222

Shiloh Industries, Inc.

7,998

77,261

Spartan Motors, Inc.

20,482

718,713

Standard Motor Products, Inc.

9,163

142,485

Stoneridge, Inc. (a)

8,249

103,442

Strattec Security Corp. (a)

1,213

57,751

Superior Industries International, Inc.

15,308

345,655

Tenneco, Inc. (a)

41,435

1,351,195

TRW Automotive Holdings Corp. (a)

38,055

1,544,272

Visteon Corp. (a)

115,472

934,168

21,754,026

Automobiles - 0.1%

Coachmen Industries, Inc.

14,942

153,454

Fleetwood Enterprises, Inc. (a)(d)

48,372

450,343

Monaco Coach Corp.

23,075

355,586

National R.V. Holdings, Inc. (a)

1,403

2,231

Thor Industries, Inc.

34,161

1,488,736

Winnebago Industries, Inc.

27,655

857,305

3,307,655

Distributors - 0.1%

Amcon Distributing Co. (a)

1,022

24,681

Aristotle Corp. (a)

3,170

43,175

Audiovox Corp. Class A (a)

17,037

228,807

Building Materials Holding Corp.

25,698

393,693

Core-Mark Holding Co., Inc. (a)

4,539

156,868

Design Within Reach, Inc. (a)

7,015

43,212

DXP Enterprises, Inc. (a)

5,096

241,805

Handleman Co.

16,324

114,921

Shares

Value

Keystone Automotive Industries, Inc. (a)

16,248

$ 671,205

LKQ Corp. (a)

43,476

1,085,596

Source Interlink Companies, Inc. (a)

25,121

136,407

3,140,370

Diversified Consumer Services - 1.0%

Bright Horizons Family Solutions, Inc. (a)

23,196

982,119

Capella Education Co.

4,057

177,534

Career Education Corp. (a)

77,928

2,717,349

Carriage Services, Inc. Class A

9,225

70,387

Coinmach Service Corp. Class A

30,739

338,129

Coinstar, Inc. (a)

24,128

762,204

Collectors Universe, Inc.

1,240

17,224

Corinthian Colleges, Inc. (a)

77,248

1,128,593

CPI Corp.

3,642

288,993

DeVry, Inc.

55,059

1,849,982

Educate, Inc. (a)

13,204

104,840

EVCI Career Colleges, Inc. (a)

1,029

833

Home Solutions America, Inc. (a)(d)

32,603

243,870

INVESTools, Inc. (a)

40,461

494,433

ITT Educational Services, Inc. (a)

35,071

3,969,686

Jackson Hewitt Tax Service, Inc.

27,794

840,769

Laureate Education, Inc. (a)

40,411

2,421,023

Mace Security International, Inc. (a)

8,918

22,384

Matthews International Corp. Class A

28,495

1,259,764

Nobel Learning Communities, Inc. (a)

2,715

43,277

Pre-Paid Legal Services, Inc. (a)

11,474

745,466

Princeton Review, Inc. (a)

7,132

46,572

Regis Corp.

42,201

1,682,554

Service Corp. International

251,846

3,520,807

ServiceMaster Co.

245,083

3,793,885

Sotheby's Class A (ltd. vtg.)

55,145

2,617,733

Steiner Leisure Ltd. (a)

12,702

634,084

Stewart Enterprises, Inc. Class A

88,229

682,892

Strayer Education, Inc.

12,083

1,512,308

Universal Technical Institute, Inc. (a)(d)

19,751

466,321

Vertrue, Inc. (a)

7,068

341,031

Weight Watchers International, Inc. (d)

36,503

1,906,187

35,683,233

Hotels, Restaurants & Leisure - 2.9%

AFC Enterprises, Inc. (a)

34,768

676,933

Ambassadors Group, Inc.

15,867

543,921

Ambassadors International, Inc. (d)

7,395

239,524

American Real Estate Partners LP

4,195

391,603

American Wagering, Inc. (a)

4,600

4,692

Ameristar Casinos, Inc.

20,204

600,059

Applebee's International, Inc.

64,024

1,677,429

ARK Restaurants Corp.

5,734

200,117

Atlantic Coast Entertainment Holdings, Inc. warrants 6/20/07 (a)

5,539

0

Back Yard Burgers, Inc. (a)

4,772

24,337

Bally Technologies, Inc. (a)

40,113

1,089,870

Benihana, Inc. Class A (sub. vtg.) (a)

10,026

324,141

BJ's Restaurants, Inc. (a)(d)

11,962

242,231

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Bluegreen Corp. (a)

15,202

$ 181,512

Bob Evans Farms, Inc.

31,313

1,211,813

Boyd Gaming Corp.

49,295

2,466,722

Brinker International, Inc.

103,009

3,292,168

Buca, Inc. (a)

5,333

20,105

Buffalo Wild Wings, Inc. (a)

5,685

486,693

Burger King Holdings, Inc.

43,596

1,116,058

California Pizza Kitchen, Inc. (a)

18,109

664,057

Carrols Restaurant Group, Inc.

13,945

220,470

CBRL Group, Inc.

21,251

955,020

CEC Entertainment, Inc. (a)

28,600

1,107,392

Cedar Fair LP (depository unit)

45,526

1,327,538

Century Casinos, Inc. (a)(d)

29,959

250,757

Champps Entertainment, Inc. (a)

6,082

29,133

Chipotle Mexican Grill, Inc.
Class A (a)(d)

26,626

2,306,344

Choice Hotels International, Inc. (d)

30,307

1,221,978

Churchill Downs, Inc.

8,542

439,315

CKE Restaurants, Inc.

55,663

1,212,897

Cosi, Inc. (a)(d)

50,022

241,106

Denny's Corp. (a)

61,044

279,582

Domino's Pizza, Inc.

32,517

637,984

Dover Downs Gaming & Entertainment, Inc.

19,410

283,774

Dover Motorsports, Inc.

22,686

129,991

Empire Resorts, Inc. (a)

29,497

217,688

Famous Dave's of America, Inc. (a)

6,737

143,633

Friendly Ice Cream Corp. (a)

6,031

82,022

Frisch's Restaurants, Inc.

2,711

85,261

Gaylord Entertainment Co. (a)

33,740

1,900,574

Great Wolf Resorts, Inc. (a)

38,009

538,588

IHOP Corp.

14,600

848,990

International Speedway Corp. Class A

29,137

1,526,779

Interstate Hotels & Resorts, Inc. (a)

17,282

106,284

Isle of Capri Casinos, Inc. (a)(d)

16,733

413,640

Jack in the Box, Inc. (a)

28,494

2,178,936

Jamba, Inc. (a)(d)

20,639

207,422

Krispy Kreme Doughnuts, Inc. (a)(d)

54,754

467,052

Landry's Seafood Restaurants, Inc.

12,835

375,552

Las Vegas Sands Corp. (a)

89,891

7,013,296

Life Time Fitness, Inc. (a)(d)

26,316

1,346,853

Littlefield Corp.

600

618

Lodgian, Inc. (a)

30,634

465,330

Luby's, Inc. (a)

27,286

263,037

Marcus Corp.

18,741

437,977

Max & Erma's Restaurants, Inc. (a)

2,608

23,394

McCormick & Schmick's Seafood Restaurants (a)

12,159

342,276

MGM Mirage, Inc. (a)

102,336

8,138,782

Monarch Casino & Resort, Inc. (a)

14,183

387,338

Morgans Hotel Group Co. (a)

17,220

423,268

Shares

Value

Morton's Restaurant Group, Inc. (a)

8,711

$ 136,763

MTR Gaming Group, Inc. (a)

23,573

371,510

Multimedia Games, Inc. (a)

34,474

437,820

O'Charleys, Inc.

18,262

412,539

Orient Express Hotels Ltd. Class A

32,968

1,766,096

OSI Restaurant Partners, Inc.

61,538

2,504,597

P.F. Chang's China Bistro, Inc. (a)(d)

23,366

906,367

Panera Bread Co. Class A (a)(d)

26,928

1,517,931

Papa John's International, Inc. (a)

22,475

695,601

Peet's Coffee & Tea, Inc. (a)

10,925

284,815

Penn National Gaming, Inc. (a)(d)

62,646

3,347,176

Pinnacle Entertainment, Inc. (a)

50,512

1,545,667

Premier Exhibitions, Inc. (a)

16,798

234,836

Progressive Gaming International Corp. (a)(d)

36,971

213,323

Rare Hospitality International, Inc. (a)

35,034

1,017,387

Red Lion Hotels Corp. (a)

13,529

173,983

Red Robin Gourmet Burgers, Inc. (a)

12,651

543,107

Riviera Holdings Corp. (a)

9,800

351,624

Royal Caribbean Cruises Ltd. (d)

115,571

5,025,027

Rubio's Restaurants, Inc. (a)

3,930

46,964

Ruby Tuesday, Inc.

49,115

1,354,101

Ruth's Chris Steak House, Inc. (a)

15,729

287,998

Scientific Games Corp. Class A (a)(d)

57,429

2,144,399

Shuffle Master, Inc. (a)(d)

35,674

686,011

Six Flags, Inc. (d)

81,962

507,345

Smith & Wollensky Restaurant Group, Inc. (a)

18,726

204,862

Sonic Corp. (a)

64,240

1,566,171

SPEEDUS Corp. (a)

1,900

1,615

Speedway Motorsports, Inc.

12,671

511,402

Station Casinos, Inc.

35,879

3,151,970

Steak n Shake Co. (a)

17,661

268,447

Texas Roadhouse, Inc. Class A (a)

51,113

707,915

The Cheesecake Factory, Inc. (a)(d)

64,435

1,818,356

Town Sports International Holdings, Inc.

11,158

224,276

Triarc Companies, Inc. Class B

44,215

683,122

Trump Entertainment Resorts, Inc. (a)(d)

22,714

365,468

Vail Resorts, Inc. (a)(d)

26,263

1,574,467

WMS Industries, Inc. (a)

22,642

959,115

Wynn Resorts Ltd. (d)

65,776

6,350,015

Youbet.com, Inc. (a)

30,676

85,279

99,017,323

Household Durables - 1.3%

American Greetings Corp. Class A

49,737

1,303,607

Avatar Holdings, Inc. (a)(d)

6,380

526,541

Bassett Furniture Industries, Inc.

8,703

124,888

Beazer Homes USA, Inc.

36,415

1,302,565

Blyth, Inc.

27,359

750,731

Brookfield Homes Corp. (d)

9,444

301,358

California Coastal Communities, Inc.

7,836

137,365

Cavalier Homes, Inc. (a)

13,027

64,744

Cavco Industries, Inc. (a)

5,868

226,740

Champion Enterprises, Inc. (a)(d)

73,058

830,669

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Cobra Electronics Corp.

1,132

$ 10,980

Comstock Homebuilding Companies, Inc. Class A (a)(d)

3,651

11,501

Craftmade International, Inc.

2,794

49,342

CSS Industries, Inc.

8,769

335,765

Directed Electronics, Inc. (a)(d)

13,160

116,729

Dixie Group, Inc. (a)

6,499

81,562

Dominion Homes, Inc. (a)(d)

2,526

12,453

Emerson Radio Corp. (a)

9,263

30,012

Ethan Allen Interiors, Inc.

23,871

866,756

Flexsteel Industries, Inc.

3,192

45,167

Furniture Brands International, Inc.

32,620

472,990

Garmin Ltd. (d)

98,140

6,313,346

Helen of Troy Ltd. (a)

25,072

684,466

Hooker Furniture Corp.

10,379

256,776

Hovnanian Enterprises, Inc. Class A (d)

43,491

1,098,583

iRobot Corp. (a)(d)

9,004

148,206

Jarden Corp. (a)

53,615

2,285,071

Kimball International, Inc. Class B

25,065

342,137

La-Z-Boy, Inc. (d)

52,536

617,823

Lenox Group, Inc. (a)

11,079

81,652

Levitt Corp. Class A

10,641

99,493

Libbey, Inc.

18,245

409,053

Lifetime Brands, Inc. (d)

5,543

116,736

M.D.C. Holdings, Inc.

28,043

1,523,857

M/I Homes, Inc.

8,680

249,810

Meritage Homes Corp. (a)(d)

18,180

630,664

MITY Enterprises, Inc. (a)

3,184

67,787

Mohawk Industries, Inc. (a)(d)

45,720

4,666,183

National Presto Industries, Inc.

4,941

299,523

NVR, Inc. (a)(d)

4,424

3,525,928

Orleans Homebuilders, Inc. (d)

4,454

36,924

Palm Harbor Homes, Inc. (a)(d)

9,454

151,075

Russ Berrie & Co., Inc. (a)

6,705

113,784

Ryland Group, Inc.

38,725

1,789,095

Salton, Inc. (a)(d)

2,717

4,863

Sealy Corp., Inc.

38,709

640,634

Skyline Corp.

6,866

227,539

Standard Pacific Corp.

55,509

1,183,452

Stanley Furniture Co., Inc.

12,350

283,927

Syntax-Brillian Corp. (a)(d)

37,311

226,105

Tarragon Corp.

8,937

92,498

Tempur-Pedic International, Inc.

52,587

1,333,606

Toll Brothers, Inc. (a)

115,452

3,386,207

TOUSA, Inc. (d)

9,819

40,160

Tupperware Brands Corp.

53,724

1,553,161

Universal Electronics, Inc. (a)

13,861

464,344

Virco Manufacturing Co. (a)

4,818

29,679

WCI Communities, Inc. (a)(d)

23,715

496,592

43,073,204

Shares

Value

Internet & Catalog Retail - 0.8%

1-800 CONTACTS, Inc. (a)

3,181

$ 63,079

1-800-FLOWERS.com, Inc. Class A (a)

19,046

168,938

Audible, Inc. (a)

9,878

98,978

Blue Nile, Inc. (a)(d)

11,439

657,399

Bluefly, Inc. (a)

1,778

1,938

Collegiate Pacific, Inc.

9,387

83,544

dELiA*s, Inc. (a)

18,288

144,658

Drugstore.com, Inc. (a)

71,510

180,920

eDiets.com, Inc. (a)(d)

14,028

51,763

Expedia, Inc. (a)(d)

211,060

5,071,772

FTD Group, Inc.

16,840

298,573

Gaiam, Inc. Class A (a)(d)

15,653

252,326

GSI Commerce, Inc. (a)

18,751

429,023

Hollywood Media Corp. (a)

26,946

119,101

Liberty Media Holding Corp. - Interactive Series A (a)

592,034

14,344,984

Netflix, Inc. (a)(d)

51,730

1,133,922

NutriSystem, Inc. (a)(d)

27,629

1,810,252

Overstock.com, Inc. (a)

13,725

252,815

PC Mall, Inc. (a)

3,555

43,655

PetMed Express, Inc. (a)

20,357

262,809

PhotoWorks, Inc. (a)

1,628

488

Priceline.com, Inc. (a)(d)

27,799

1,719,090

RedEnvelope, Inc. (a)

5,119

35,833

Shutterfly, Inc.

15,049

281,567

Stamps.com, Inc. (a)

24,970

340,841

Systemax, Inc. (d)

10,200

221,850

US Auto Parts Network, Inc.

28,450

225,893

ValueVision Media, Inc. Class A (a)

31,268

349,264

Varsity Group, Inc. (a)

4,794

4,938

28,650,213

Leisure Equipment & Products - 0.3%

Adams Golf, Inc. (a)

9,544

17,943

Aldila, Inc.

9,995

155,022

Arctic Cat, Inc.

8,551

163,666

Callaway Golf Co.

62,625

1,137,896

Cybex International, Inc. (a)

14,718

100,082

Escalade, Inc.

6,336

60,192

Fairchild Corp. Class A (a)

9,497

16,810

Gametech International, Inc. (a)

13,061

127,345

JAKKS Pacific, Inc. (a)

26,514

696,523

Johnson Outdoors, Inc. Class A (a)

1,929

36,670

K2, Inc. (a)

48,676

742,796

Leapfrog Enterprises, Inc. Class A (a)

23,870

265,196

Marine Products Corp. (d)

11,382

92,422

MarineMax, Inc. (a)

11,754

244,248

Meade Instruments Corp. (a)

4,023

8,287

Nautilus, Inc. (d)

27,540

354,715

Oakley, Inc.

21,127

537,048

Polaris Industries, Inc. (d)

29,234

1,610,501

Pool Corp. (d)

42,646

1,746,354

RC2 Corp. (a)

19,370

870,488

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - continued

Smith & Wesson Holding Corp. (a)(d)

25,141

$ 350,214

Steinway Musical Instruments, Inc.

7,201

277,383

Sturm Ruger & Co., Inc. (a)

29,607

410,649

10,022,450

Media - 3.7%

4Kids Entertainment, Inc. (a)

8,621

145,781

ACME Communications, Inc. (a)

6,362

34,991

Alloy, Inc. (a)

9,144

103,876

Arbitron, Inc.

25,809

1,351,359

Ballantyne of Omaha, Inc. (a)

30

188

Beasley Broadcast Group, Inc. Class A

4,117

35,365

Belo Corp. Series A (a)

78,632

1,747,989

Cablevision Systems Corp. - NY Group Class A

189,242

6,848,668

Carmike Cinemas, Inc.

16,956

441,704

Catalina Marketing Corp.

34,293

1,093,947

Charter Communications, Inc. Class A (a)

365,261

1,464,697

Cinemark Holdings, Inc. (a)

23,000

445,050

Citadel Broadcasting Corp.

38,912

322,970

CKX, Inc. (a)(d)

43,732

464,871

Clear Channel Outdoor Holding, Inc. Class A (a)

36,299

1,054,849

Courier Corp.

8,268

332,374

Cox Radio, Inc. Class A (a)

34,485

506,240

Crown Media Holdings, Inc.
Class A (a)(d)

4,844

36,039

Cumulus Media, Inc. Class A (a)(d)

33,745

316,528

DG FastChannel, Inc. (a)

15,369

320,597

Discovery Holding Co. Class A (a)

241,030

5,635,281

DreamWorks Animation SKG, Inc.
Class A (a)

46,544

1,390,735

EchoStar Communications Corp.
Class A (a)

192,034

8,845,086

EMAK Worldwide, Inc. (a)

3,798

12,344

Emmis Communications Corp. Class A

24,658

256,197

Entercom Communications Corp. Class A

29,619

787,865

Entertainment Distribution Co., Inc. (a)

64,254

136,218

Entravision Communication Corp.
Class A (a)

60,708

618,615

Fisher Communications, Inc. (a)

7,167

359,855

Franklin Electronic Publishers, Inc. (a)

2,339

5,754

GateHouse Media, Inc.

18,249

353,118

Gemstar-TV Guide International, Inc. (a)

221,834

1,020,436

Getty Images, Inc. (a)

41,657

2,084,933

Gray Television, Inc.

51,014

523,914

Harris Interactive, Inc. (a)

41,822

233,785

Harte-Hanks, Inc.

44,378

1,165,366

Hearst-Argyle Television, Inc.

22,579

587,054

Idearc, Inc.

121,177

4,271,489

Image Entertainment, Inc. (a)

7,100

30,459

Insignia Systems, Inc. (a)

4,959

19,291

Interactive Data Corp.

31,794

922,980

Shares

Value

ION Media Networks, Inc.

15,438

$ 22,231

John Wiley & Sons, Inc. Class A

45,838

2,101,672

Journal Communications, Inc. Class A

34,744

477,730

Journal Register Co.

48,545

272,337

Knology, Inc. (a)(d)

30,013

558,542

Lakes Entertainment, Inc. (a)(d)

25,879

295,021

Lamar Advertising Co. Class A

63,639

4,168,355

Lee Enterprises, Inc.

35,207

884,400

Liberty Global, Inc. Class A (a)(d)

343,225

13,179,840

Liberty Media Holding Corp. -
Capital Series A (a)

118,470

13,375,263

LIN TV Corp. Class A (a)

30,902

603,516

Live Nation, Inc. (a)

51,126

1,145,222

LodgeNet Entertainment Corp. (a)

13,711

486,466

Martha Stewart Living Omnimedia, Inc. Class A (d)

21,694

389,624

Marvel Entertainment, Inc. (a)(d)

57,023

1,574,405

Media General, Inc. Class A

21,102

769,168

Mediacom Communications Corp.
Class A (a)

39,749

371,256

Morningstar, Inc. (a)

9,196

439,661

National CineMedia, Inc.

36,721

1,048,385

National Lampoon, Inc. (a)

1,200

2,280

Navarre Corp. (a)(d)

29,406

113,213

New Frontier Media, Inc.

31,250

275,938

Nexstar Broadcasting Group, Inc.
Class A (a)

3,834

53,829

NTN Communications, Inc. (a)

16,316

17,948

Outdoor Channel Holdings, Inc. (a)(d)

22,403

224,254

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

17,049

184,982

Point.360 (a)

2,433

13,892

PRIMEDIA, Inc. (a)

156,174

466,960

R.H. Donnelley Corp.

60,429

4,709,836

Radio One, Inc. Class A (a)

82,131

615,983

RCN Corp.

32,607

917,887

Reading International, Inc. Class A (a)

10,681

97,090

Regal Entertainment Group Class A

61,976

1,418,011

Regent Communication, Inc. (a)

13,099

45,454

Rentrak Corp. (a)

6,275

100,212

Saga Communications, Inc. Class A (a)

5,932

55,049

Salem Communications Corp. Class A

6,831

82,655

Scholastic Corp. (a)

27,765

882,094

Sinclair Broadcast Group, Inc. Class A

42,947

657,948

Sirius Satellite Radio, Inc. (a)(d)

1,116,686

3,271,890

Spanish Broadcasting System, Inc.
Class A (a)

67,440

318,991

SPAR Group, Inc. (a)

4,346

3,955

Sun-Times Media Group, Inc. Class A

65,094

358,668

The McClatchy Co. Class A

44,887

1,242,023

Time Warner Cable, Inc. (a)

134,715

5,174,403

TiVo, Inc. (a)(d)

88,430

552,688

Traffix, Inc.

3,088

17,880

Triple Crown Media, Inc. (a)

2,789

26,328

Valassis Communications, Inc. (a)

47,531

851,280

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Value Line, Inc.

523

$ 22,751

Virgin Media, Inc.

230,323

5,969,972

Warner Music Group Corp.

41,805

702,742

Washington Post Co. Class B

4,894

3,763,486

Westwood One, Inc.

76,419

615,937

World Wrestling Entertainment, Inc.
Class A

21,245

372,000

WorldSpace, Inc. Class A (a)(d)

15,523

56,659

WPT Enterprises, Inc. (a)

6,993

31,958

XM Satellite Radio Holdings, Inc.
Class A (d)

261,806

3,031,713

Young Broadcasting, Inc. Class A (a)

4,865

19,217

125,832,008

Multiline Retail - 0.3%

99 Cents Only Stores (a)

45,295

635,942

Dollar Tree Stores, Inc. (a)

85,988

3,638,152

Duckwall-ALCO Stores, Inc. (a)

5,890

233,833

Fred's, Inc. Class A

37,592

540,573

Gottschalks, Inc. (a)

13,746

173,062

Retail Ventures, Inc. (a)

21,851

423,691

Saks, Inc.

103,619

2,076,525

The Bon-Ton Stores, Inc. (d)

10,212

487,112

Tuesday Morning Corp. (d)

23,697

330,336

8,539,226

Specialty Retail - 2.9%

A.C. Moore Arts & Crafts, Inc. (a)

12,456

283,374

Aaron Rents, Inc.

38,834

1,113,759

Advance Auto Parts, Inc.

92,913

3,848,456

Aeropostale, Inc. (a)

44,575

2,063,823

America's Car Mart, Inc. (a)(d)

10,022

136,901

American Eagle Outfitters, Inc.

162,831

4,396,437

AnnTaylor Stores Corp. (a)

63,417

2,478,971

Asbury Automotive Group, Inc.

27,035

737,515

Barnes & Noble, Inc.

48,758

2,085,380

bebe Stores, Inc.

17,437

313,517

Big 5 Sporting Goods Corp.

20,787

525,703

Big Dog Holdings, Inc. (a)

2,572

44,418

Blockbuster, Inc. Class A (d)

154,797

684,203

Books-A-Million, Inc.

7,672

126,358

Borders Group, Inc. (d)

49,515

1,103,689

Brown Shoe Co., Inc.

35,487

1,051,835

Build-A-Bear Workshop, Inc. (a)(d)

15,816

472,898

Cabela's, Inc. Class A (a)(d)

36,939

851,075

Cache, Inc. (a)

10,279

171,351

CarMax, Inc. (a)

182,584

4,382,016

Casual Male Retail Group, Inc. (a)

25,375

297,903

Charlotte Russe Holding, Inc. (a)

19,130

532,771

Charming Shoppes, Inc. (a)(d)

100,759

1,255,457

Chico's FAS, Inc. (a)

153,532

4,182,212

Christopher & Banks Corp.

28,650

541,199

Citi Trends, Inc. (a)

8,345

338,223

Shares

Value

Coldwater Creek, Inc. (a)

51,990

$ 1,291,952

Conn's, Inc. (a)(d)

13,453

408,299

Cost Plus, Inc. (a)(d)

14,259

131,753

CSK Auto Corp. (a)

40,616

739,211

Deb Shops, Inc.

3,517

97,702

Dick's Sporting Goods, Inc. (a)(d)

28,218

1,568,074

Dress Barn, Inc. (a)

40,696

939,671

DSW, Inc. Class A (a)

16,555

632,732

E Com Ventures, Inc. (a)

1,076

26,814

Eddie Bauer Holdings, Inc. (a)

34,117

468,768

Emerging Vision, Inc. (a)

5,700

1,425

Finish Line, Inc. Class A

42,728

546,918

Finlay Enterprises, Inc. (a)

2,122

11,141

Foot Locker, Inc.

133,689

2,933,137

Franklin Covey Co. (a)

19,359

144,999

Gamestop Corp. Class A (a)

112,908

4,175,338

Gander Mountain Co. (a)(d)

2,718

35,252

Genesco, Inc.

16,592

868,591

Group 1 Automotive, Inc.

18,981

800,998

Guess?, Inc.

51,552

2,278,598

Guitar Center, Inc. (a)

25,492

1,367,136

Gymboree Corp. (a)

27,717

1,238,950

Haverty Furniture Companies, Inc.

20,972

255,649

Hibbett Sports, Inc. (a)

27,021

755,777

Hot Topic, Inc. (a)

39,517

437,848

J. Crew Group, Inc.

31,379

1,407,976

Jo-Ann Stores, Inc. (a)

24,709

835,658

Jos. A. Bank Clothiers, Inc. (a)

13,804

581,010

Kirkland's, Inc. (a)

4,549

21,699

Lithia Motors, Inc. Class A (sub. vtg.)

14,522

390,351

Midas, Inc. (a)

16,843

378,462

Monro Muffler Brake, Inc.

16,892

652,876

Mothers Work, Inc. (a)

6,765

252,537

Movie Gallery, Inc. (a)(d)

14,422

34,036

New York & Co., Inc. (a)

16,878

206,418

O'Reilly Automotive, Inc. (a)

99,479

3,779,207

Pacific Sunwear of California, Inc. (a)

59,172

1,176,931

Payless ShoeSource, Inc. (a)

55,731

1,990,711

PETsMART, Inc.

114,211

3,908,300

Pick Ups Plus, Inc. (a)

73

0

Pier 1 Imports, Inc. (d)

85,092

640,743

Pomeroy IT Solutions, Inc. (a)

3,930

38,082

Rent-A-Center, Inc. (a)

57,768

1,565,513

Restoration Hardware, Inc. (a)(d)

42,873

268,385

Rex Stores Corp. (a)

2,776

44,027

Ross Stores, Inc.

127,985

4,203,027

Sally Beauty Holdings, Inc. (a)

77,094

706,952

Select Comfort Corp. (a)(d)

47,386

858,634

Sharper Image Corp. (a)(d)

4,600

52,486

Shoe Carnival, Inc. (a)

10,052

294,323

Sonic Automotive, Inc. Class A (sub. vtg.)

26,246

817,038

Stage Stores, Inc.

34,470

720,423

Stein Mart, Inc.

22,556

282,852

Syms Corp. (a)

6,463

134,947

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Talbots, Inc. (d)

18,650

$ 405,638

The Bombay Company, Inc. (a)

12,084

9,426

The Buckle, Inc.

10,867

444,460

The Cato Corp. Class A (sub. vtg.)

25,770

560,498

The Children's Place Retail Stores, Inc. (a)

20,849

1,177,135

The Men's Wearhouse, Inc.

43,121

2,300,074

The Pep Boys - Manny, Moe & Jack

37,359

795,747

Tractor Supply Co. (a)(d)

30,048

1,598,854

Trans World Entertainment Corp. (a)

16,560

83,297

TravelCenters of America LLC (a)

6,036

265,282

Tween Brands, Inc. (a)

27,587

1,200,862

United Auto Group, Inc.

33,188

737,769

United Retail Group, Inc. (a)

11,550

138,485

Urban Outfitters, Inc. (a)

103,744

2,757,516

West Marine, Inc. (a)

18,151

270,268

Wet Seal, Inc. Class A (a)

80,362

500,655

Williams-Sonoma, Inc.

80,523

2,728,924

Wilsons Leather Experts, Inc. (a)

22,999

31,049

Winmark Corp. (a)

2,614

48,359

Zale Corp. (a)

40,254

1,081,222

Zumiez, Inc. (a)(d)

13,408

517,549

100,072,850

Textiles, Apparel & Luxury Goods - 0.8%

Ashworth, Inc. (a)

4,840

39,688

Carter's, Inc. (a)

43,284

1,173,862

Charles & Colvard Ltd.

5,525

25,968

Cherokee, Inc.

10,151

475,168

Columbia Sportswear Co.

11,813

823,720

Crocs, Inc. (a)(d)

32,066

2,608,890

Culp, Inc. (a)

4,772

41,994

Cutter & Buck, Inc.

14,375

205,994

Deckers Outdoor Corp. (a)

7,253

637,466

Delta Apparel, Inc.

6,654

111,055

Delta Woodside Industries, Inc. (a)

200

1

Everlast Worldwide, Inc. (a)

200

4,630

Forward Industries, Inc. (NY Shares) (a)

5,267

17,539

Fossil, Inc. (a)

41,276

1,288,224

G-III Apparel Group Ltd. (a)

6,864

142,085

Hanesbrands, Inc. (a)

81,036

2,115,040

Hartmarx Corp. (a)

38,879

254,657

Heelys, Inc. (d)

6,073

199,134

Iconix Brand Group, Inc. (a)

48,849

1,086,890

Innovo Group, Inc. (a)

3,410

4,058

K-Swiss, Inc. Class A

24,306

705,117

Kellwood Co.

18,957

546,151

Kenneth Cole Productions, Inc. Class A (sub. vtg.)

15,827

395,675

Maidenform Brands, Inc. (a)

15,537

291,163

Movado Group, Inc.

17,220

573,943

Oxford Industries, Inc.

14,226

647,710

Perry Ellis International, Inc. (a)

13,045

408,830

Shares

Value

Phillips-Van Heusen Corp.

46,917

$ 2,867,567

Quaker Fabric Corp. (a)

5,848

6,608

Quiksilver, Inc. (a)

109,117

1,539,641

R.G. Barry Corp. (a)

9,000

98,010

Rocky Brands, Inc. (a)

2,631

41,754

Samsonite Corp.

230,193

280,835

Skechers U.S.A., Inc. Class A
(sub. vtg.) (a)

23,018

738,878

Steven Madden Ltd.

18,811

612,862

Stride Rite Corp.

28,006

564,321

Superior Uniform Group, Inc.

4,343

55,808

Tandy Brands Accessories, Inc.

1,058

12,569

Tarrant Apparel Group (a)

9,692

13,278

Timberland Co. Class A (a)

46,306

1,266,006

True Religion Apparel, Inc. (a)

10,785

202,434

Under Armour, Inc. Class A
(sub. vtg.) (a)(d)

24,171

1,156,099

Unifi, Inc. (a)

31,529

94,902

Unifirst Corp.

11,389

475,605

Volcom, Inc. (a)

13,237

575,810

Warnaco Group, Inc. (a)

38,778

1,333,575

Weyco Group, Inc.

9,210

238,539

Wolverine World Wide, Inc.

47,070

1,366,442

28,366,195

TOTAL CONSUMER DISCRETIONARY

507,458,753

CONSUMER STAPLES - 2.7%

Beverages - 0.1%

Boston Beer Co., Inc. Class A (a)

12,401

474,958

Coca-Cola Bottling Co. Consolidated

4,034

223,322

Hansen Natural Corp. (a)(d)

61,686

2,455,103

Jones Soda Co. (a)(d)

20,735

390,855

MGP Ingredients, Inc. (d)

12,581

214,632

National Beverage Corp. (d)

13,356

186,583

PepsiAmericas, Inc.

56,457

1,389,971

Vermont Pure Holdings Ltd. (a)

4,384

8,417

5,343,841

Food & Staples Retailing - 0.5%

Andersons, Inc. (d)

15,227

595,376

Arden Group, Inc. Class A

749

97,759

BJ's Wholesale Club, Inc. (a)

54,747

2,070,532

Casey's General Stores, Inc.

43,710

1,180,607

Central European Distribution Corp. (a)(d)

22,485

775,957

Ingles Markets, Inc. Class A

12,038

429,636

Longs Drug Stores Corp.

25,469

1,458,864

Nash-Finch Co.

9,067

426,602

Pathmark Stores, Inc. (a)

33,844

439,972

Performance Food Group Co. (a)

37,458

1,329,759

Pricesmart, Inc.

21,057

431,669

Rite Aid Corp. (d)

435,474

2,752,196

Ruddick Corp.

28,549

893,298

Smart & Final, Inc. (a)

8,436

185,676

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Spartan Stores, Inc.

26,862

$ 709,157

Susser Holdings Corp.

5,293

79,554

The Great Atlantic & Pacific Tea Co. (d)

13,027

449,562

The Pantry, Inc. (a)

19,706

858,393

Topps Co., Inc.

25,992

265,638

United Natural Foods, Inc. (a)

32,351

885,447

Village Super Market, Inc. Class A

2,000

85,900

Weis Markets, Inc.

10,603

454,657

Wild Oats Markets, Inc. (a)(d)

22,813

392,384

Winn-Dixie Stores, Inc. (a)

51,133

1,600,463

18,849,058

Food Products - 1.1%

Alico, Inc.

3,393

203,376

B&G Foods, Inc.

308

4,204

Bridgford Foods Corp. (a)

4,789

35,055

Bunge Ltd.

100,889

7,881,449

Cal-Maine Foods, Inc.

15,000

200,250

Calavo Growers, Inc.

7,029

94,681

Chiquita Brands International, Inc. (d)

41,815

766,887

Corn Products International, Inc.

62,089

2,547,512

Darling International, Inc. (a)

75,439

682,723

Del Monte Foods Co.

166,155

2,002,168

Delta & Pine Land Co.

29,227

1,223,150

Diamond Foods, Inc.

17,088

281,439

Farmer Brothers Co.

6,050

134,613

Flowers Foods, Inc.

48,135

1,660,658

Fresh Del Monte Produce, Inc.

27,260

663,236

Galaxy Nutritional Foods, Inc. (a)

5,579

3,877

Green Mountain Coffee Roasters, Inc. (a)(d)

6,233

421,662

Griffin Land & Nurseries, Inc. (a)

1,112

41,667

Hain Celestial Group, Inc. (a)

35,008

1,001,229

Hines Horticulture, Inc. (a)

5,290

5,766

Hormel Foods Corp.

61,732

2,311,863

Imperial Sugar Co.

5,134

145,908

J&J Snack Foods Corp.

13,008

511,605

John B. Sanfilippo & Son, Inc. (a)

4,719

52,192

Lancaster Colony Corp.

22,977

1,006,622

Lance, Inc.

24,450

580,688

Lifeway Foods, Inc. (a)(d)

9,724

97,434

Maui Land & Pineapple, Inc. (a)

3,029

106,772

Monterey Gourmet Foods, Inc. (a)

4,304

18,507

Omega Protein Corp. (a)

5,131

44,948

Overhill Farms, Inc. (a)

28,537

163,802

Pilgrims Pride Corp. Class B

35,403

1,250,788

Ralcorp Holdings, Inc. (a)

23,029

1,339,367

Reddy Ice Holdings, Inc.

14,055

428,959

Sanderson Farms, Inc. (d)

13,826

594,380

Seaboard Corp.

345

765,210

Smithfield Foods, Inc. (a)

110,674

3,557,062

Tasty Baking Co.

4,304

36,670

Shares

Value

The Inventure Group, Inc. (a)

3,448

$ 10,378

The J.M. Smucker Co.

48,708

2,810,452

Tootsie Roll Industries, Inc.

19,918

559,696

TreeHouse Foods, Inc. (a)

23,604

661,856

Zapata Corp. (a)

6,888

47,114

36,957,875

Household Products - 0.3%

Central Garden & Pet Co. (a)(d)

62,993

903,950

Church & Dwight Co., Inc.

55,043

2,752,700

Energizer Holdings, Inc. (a)

46,976

4,653,443

Oil-Dri Corp. of America

5,650

97,406

Orchids Paper Products Co. (a)(d)

7,624

38,577

Spectrum Brands, Inc. (a)(d)

28,099

236,032

WD-40 Co.

15,894

529,747

9,211,855

Personal Products - 0.4%

Alberto-Culver Co.

84,064

2,088,150

Bare Escentuals, Inc.

30,848

1,294,074

Carrington Laboratories, Inc. (a)

5,146

8,491

Chattem, Inc. (a)(d)

14,678

934,548

Elizabeth Arden, Inc. (a)

27,122

635,197

Herbalife Ltd. (a)

34,476

1,387,659

Integrated Biopharma, Inc. (a)

2,198

13,276

Inter Parfums, Inc.

7,365

195,541

Mannatech, Inc. (d)

11,829

165,843

MediFast, Inc. (a)(d)

7,496

65,440

Natural Health Trends Corp. (a)

8,588

30,316

NBTY, Inc. (a)

52,337

2,749,263

Nu Skin Enterprises, Inc. Class A

41,550

728,787

Parlux Fragrances, Inc. (a)(d)

13,118

58,506

Physicians Formula Holdings, Inc.

15,509

268,306

Playtex Products, Inc. (a)

56,441

840,971

Prestige Brands Holdings, Inc. (a)

32,948

433,266

Reliv International, Inc.

10,690

111,711

Revlon, Inc. Class A (sub. vtg.) (a)(d)

149,994

206,992

Schiff Nutrition International, Inc. (a)

11,731

81,648

USANA Health Sciences, Inc. (a)(d)

10,065

391,327

12,689,312

Tobacco - 0.3%

Alliance One International, Inc. (a)

73,751

708,747

Loews Corp. - Carolina Group

91,239

7,093,832

Star Scientific, Inc. (a)(d)

42,163

43,850

Universal Corp.

21,859

1,389,577

Vector Group Ltd. (d)

32,218

621,485

9,857,491

TOTAL CONSUMER STAPLES

92,909,432

ENERGY - 8.8%

Energy Equipment & Services - 2.9%

Allis-Chalmers Energy, Inc. (a)(d)

28,164

568,913

Atwood Oceanics, Inc. (a)

22,488

1,476,112

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Basic Energy Services, Inc. (a)

28,570

$ 762,819

Bolt Technology Corp. (a)

6,415

283,094

Boots & Coots/International Well
Control, Inc. (a)

49,367

102,190

Bristow Group, Inc. (a)

20,474

1,008,549

Bronco Drilling Co., Inc. (a)

9,444

158,093

Cal Dive International, Inc. (a)(d)

18,160

280,754

Cameron International Corp. (a)

104,409

7,402,598

Carbo Ceramics, Inc. (d)

15,457

686,291

Complete Production Services, Inc. (a)

39,606

1,063,421

Dawson Geophysical Co. (a)

7,711

410,457

Diamond Offshore Drilling, Inc.

54,793

5,170,815

Dresser-Rand Group, Inc. (a)

73,163

2,604,603

Dril-Quip, Inc. (a)

21,108

1,024,160

ENGlobal Corp. (a)

5,236

54,140

FMC Technologies, Inc. (a)

57,110

4,317,516

Global Industries Ltd. (a)

70,330

1,667,524

GlobalSantaFe Corp.

200,584

13,699,887

Grant Prideco, Inc. (a)

108,860

6,182,159

Grey Wolf, Inc. (a)

148,450

1,175,724

Gulf Island Fabrication, Inc.

8,203

271,765

Gulfmark Offshore, Inc. (a)

18,266

917,501

Hanover Compressor Co. (a)

76,155

1,903,875

Helmerich & Payne, Inc.

80,454

2,726,586

Hercules Offshore, Inc. (a)(d)

30,413

1,062,326

Horizon Offshore, Inc. (a)

28,173

476,687

Hornbeck Offshore Services, Inc. (a)

22,809

910,307

Hyperdynamics Corp. (a)(d)

30,744

67,944

Infinity Energy Resources, Inc. (a)

5,988

19,162

Input/Output, Inc. (a)(d)

63,629

1,019,973

Lone Star Technologies, Inc. (a)

27,093

1,825,526

Lufkin Industries, Inc.

12,500

798,875

Matrix Service Co. (a)

16,669

425,893

Metretek Technologies, Inc. (a)

10,994

153,366

Mitcham Industries, Inc. (a)

6,187

103,137

NATCO Group, Inc. Class A (a)

10,044

431,992

Natural Gas Services Group, Inc. (a)

9,872

166,738

Newpark Resources, Inc. (a)

84,907

669,916

Oceaneering International, Inc. (a)

44,919

2,247,747

Oil States International, Inc. (a)

36,367

1,415,767

Omni Energy Services Corp. (a)

11,673

127,586

Parker Drilling Co. (a)

98,922

1,156,398

Particle Drilling Technologies, Inc. (a)

18,049

47,649

Patterson-UTI Energy, Inc.

132,115

3,490,478

PHI, Inc. (non-vtg.) (a)

12,064

343,824

Pioneer Drilling Co. (a)

49,528

763,226

Pride International, Inc. (a)

140,030

5,042,480

Royale Energy, Inc.

5,582

19,649

RPC, Inc.

32,667

554,686

SEACOR Holdings, Inc. (a)

17,921

1,657,513

Sulphco, Inc. (a)(d)

32,734

126,353

Shares

Value

Superior Energy Services, Inc. (a)

77,857

$ 3,126,737

Superior Well Services, Inc. (a)

8,767

227,241

T-3 Energy Services, Inc. (a)

4,721

137,853

TETRA Technologies, Inc. (a)

57,906

1,617,315

TGC Industries, Inc.

12,744

138,272

Tidewater, Inc. (d)

48,435

3,196,710

TODCO (a)

51,572

2,550,751

Trico Marine Services, Inc. (a)

12,275

516,900

Union Drilling, Inc. (a)

10,737

163,739

Unit Corp. (a)

39,155

2,412,340

Universal Compression Holdings, Inc. (a)

26,163

1,944,173

W-H Energy Services, Inc. (a)

25,991

1,658,226

98,735,001

Oil, Gas & Consumable Fuels - 5.9%

Abraxas Petroleum Corp. (a)(d)

25,751

102,746

Adams Resources & Energy, Inc.

12,021

383,710

Alliance Holdings GP, LP

13,326

382,456

Alliance Resource Partners LP

16,595

728,355

Alon USA Energy, Inc.

26,000

1,032,980

Alpha Natural Resources, Inc. (a)

50,090

965,234

American Oil & Gas, Inc. NV (a)

26,960

138,844

APCO Argentina, Inc.

2,706

248,952

Arch Coal, Inc.

123,256

4,977,077

Arena Resources, Inc. (a)(d)

11,401

580,083

Arlington Tankers Ltd.

14,838

398,845

Atlas America, Inc. (a)

21,435

1,063,605

Atlas Pipeline Partners, LP

10,151

511,610

ATP Oil & Gas Corp. (a)(d)

17,813

807,820

Aurora Oil & Gas Corp. (a)

68,197

136,394

Aventine Renewable Energy Holdings, Inc. (d)

24,729

416,189

Barnwell Industries, Inc.

3,174

65,765

Berry Petroleum Co. Class A

34,508

1,257,126

Bill Barrett Corp. (a)

27,114

1,024,638

Boardwalk Pipeline Partners, LP

28,197

997,046

Bois d'Arc Energy LLC (a)

20,456

351,434

BP Prudhoe Bay Royalty Trust (d)

13,613

902,542

Brigham Exploration Co. (a)

34,475

216,848

Buckeye GP Holdings LP

13,298

348,408

Buckeye Partners LP (a)

32,476

1,692,000

Cabot Oil & Gas Corp.

81,257

3,169,023

Callon Petroleum Co. (a)

15,101

215,189

Calumet Specialty Products Partners LP

7,866

403,919

Cano Petroleum, Inc. (a)

10,000

51,000

Carrizo Oil & Gas, Inc. (a)

21,483

873,714

Cheniere Energy, Inc. (a)(d)

42,903

1,633,317

Cimarex Energy Co. (a)

76,001

3,194,322

Clayton Williams Energy, Inc. (a)

4,863

123,083

CNX Gas Corp. (a)

19,710

580,657

Comstock Resources, Inc. (a)

37,338

1,133,582

Contango Oil & Gas Co. (a)(d)

11,192

380,304

Continental Resources, Inc. (a)

4,926

73,397

Copano Energy LLC

29,904

1,308,599

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

CREDO Petroleum Corp. (a)

9,108

$ 130,335

Cross Timbers Royalty Trust (a)

3,715

164,166

Crosstex Energy LP (a)

17,050

600,331

Crosstex Energy, Inc. (d)

36,000

1,078,920

DCP Midstream Partners LP

11,428

498,489

Delek US Holdings, Inc.

23,193

553,153

Delta Petroleum Corp. (a)(d)

49,241

967,093

Denbury Resources, Inc. (a)

98,886

3,585,606

Dorchester Minerals LP (a)

21,735

491,646

Double Eagle Petroleum Co. (a)(d)

8,444

165,165

Double Hull Tankers, Inc.

13,844

220,120

Edge Petroleum Corp. (a)

24,338

351,927

Enbridge Energy Management LLC

7,183

398,513

Enbridge Energy Partners LP

40,047

2,234,623

Encore Acquisition Co. (a)

41,787

1,151,232

Endeavor International Corp. (a)

74,100

152,646

Energy Partners Ltd. (a)

25,989

447,011

Energy Transfer Equity LP

102,610

4,175,201

Energy Transfer Partners LP

62,759

3,840,851

Enterprise GP Holdings LP

6,986

259,530

Enterprise Products Partners LP

234,946

7,358,509

Evergreen Energy, Inc. (a)(d)

63,376

437,928

EXCO Resources, Inc. (a)

74,098

1,338,951

Forest Oil Corp. (a)(d)

45,124

1,831,583

Foundation Coal Holdings, Inc.

40,389

1,785,194

Frontier Oil Corp.

92,000

3,703,920

FX Energy, Inc. (a)

24,929

248,791

Gasco Energy, Inc. (a)(d)

60,806

141,070

General Maritime Corp.

25,371

769,249

Genesis Energy LP

11,331

399,984

Geomet, Inc.

18,693

148,422

Giant Industries, Inc. (a)

17,000

1,309,340

Global Partners LP

5,000

187,300

GMX Resources, Inc. (a)(d)

6,855

265,220

Goodrich Petroleum Corp. (a)(d)

12,161

433,175

Green Plains Renewable Energy, Inc. (a)

3,244

63,712

Gulfport Energy Corp. (a)(d)

28,010

534,991

Harken Energy Corp. (a)

45,664

18,266

Harvest Natural Resources, Inc. (a)

30,944

293,040

Helix Energy Solutions Group, Inc. (a)

72,268

2,879,880

Hiland Partners LP

2,430

131,463

Holly Corp.

43,154

3,024,664

Holly Energy Partners LP

6,668

334,467

Houston American Energy Corp. (a)(d)

20,000

102,000

Houston Exploration Co. (a)

21,869

1,313,015

Hugoton Royalty Trust

36,266

987,161

Inergy Holdings LP

5,264

263,358

Inergy LP

34,677

1,261,896

International Coal Group, Inc. (a)(d)

118,649

755,794

James River Coal Co. (a)(d)

9,436

138,804

K-Sea Transn Partners LP

4,670

206,321

Shares

Value

Kinder Morgan Energy Partners LP

125,605

$ 6,933,396

Kinder Morgan Management LLC

46,404

2,377,277

Linn Energy LLC (d)

24,020

863,759

Magellan Midstream Holdings LP

16,924

498,243

Magellan Midstream Partners LP

52,229

2,421,859

Mariner Energy, Inc. (a)

78,647

1,964,602

Markwest Energy Partners LP

22,132

763,554

Markwest Hydrocarbon, Inc.

13,932

829,093

Martin Midstream Partners LP

4,000

166,200

Massey Energy Co.

70,107

2,031,701

McMoRan Exploration Co. (d)

30,590

463,439

Meridian Resource Corp. (a)

58,885

172,533

National Energy Group, Inc.

5,079

25,903

Natural Resource Partners LP

30,154

1,102,732

Newfield Exploration Co. (a)

108,071

5,191,731

NGAS Resources, Inc. (a)(d)

16,181

130,581

Noble Energy, Inc.

154,870

9,801,722

NuStar Energy LP

30,200

1,995,012

NuStar GP Holdings LLC

26,275

969,285

OMI Corp.

51,773

1,513,843

ONEOK Partners LP

41,451

2,850,171

Overseas Shipholding Group, Inc.

25,557

2,033,059

Pacific Ethanol, Inc. (a)(d)

36,225

487,589

Panhandle Royalty Co. Class A

14,442

367,549

Parallel Petroleum Corp. (a)(d)

33,538

773,386

Penn Virginia Corp.

15,925

1,270,815

Penn Virginia Resource Partners LP

21,949

658,031

Petrohawk Energy Corp. (a)

139,701

2,277,126

Petroleum Development Corp. (a)

11,924

607,766

Petroquest Energy, Inc. (a)

30,204

427,689

Pioneer Natural Resources Co.

108,212

5,585,903

Plains Exploration & Production Co. (a)

62,280

3,295,858

Pogo Producing Co.

46,812

2,531,125

PrimeEnergy Corp. (a)

1,965

113,990

Quest Resource Corp. (a)

16,547

145,117

Quicksilver Resources, Inc. (a)

45,939

2,043,826

Range Resources Corp.

116,579

4,516,270

Regency Energy Partners LP

24,671

641,446

Rentech, Inc. (a)

94,996

232,740

Rio Vista Energy Partners LP

601

5,691

Rosetta Resources, Inc. (a)(d)

46,711

1,139,281

Ship Finance International Ltd.
(NY Shares)

42,149

1,309,569

Southwestern Energy Co. (a)

141,057

6,714,313

St. Mary Land & Exploration Co.

49,046

1,832,359

Stone Energy Corp. (a)

21,141

689,831

Sunoco Logistics Partners LP

12,042

734,562

Swift Energy Co. (a)

24,565

1,057,032

Syntroleum Corp. (a)(d)

20,072

60,015

TC Pipelines LP

15,262

621,927

Teekay LNG Partners LP

13,806

498,535

Teekay Shipping Corp.

35,358

2,151,888

TEPPCO Partners LP

65,298

2,869,847

Tesoro Corp.

114,456

7,082,537

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Toreador Resources Corp. (a)(d)

15,374

$ 239,219

Transmeridian Exploration, Inc. (a)(d)

56,402

129,725

Tri-Valley Corp. (a)(d)

35,638

314,327

TXCO Resources, Inc. (a)(d)

25,348

289,221

Ultra Petroleum Corp. (a)

140,184

8,604,494

Uranerz Energy Corp. (a)(d)

28,590

160,390

Uranium Resources, Inc. (a)

45,900

453,033

US BioEnergy Corp.

10,659

137,288

USEC, Inc. (a)

74,442

1,719,610

Vaalco Energy, Inc. (a)

54,892

262,933

Venoco, Inc.

10,951

217,596

VeraSun Energy Corp. (d)

24,625

374,054

W&T Offshore, Inc.

21,843

642,403

Warren Resources, Inc. (a)(d)

37,453

495,503

Western Refining, Inc. (d)

43,393

2,132,766

Westmoreland Coal Co.

7,132

199,696

Whiting Petroleum Corp. (a)

30,926

1,371,568

Williams Partners LP

14,931

727,438

World Fuel Services Corp.

28,500

1,165,935

204,485,346

TOTAL ENERGY

303,220,347

FINANCIALS - 22.6%

Capital Markets - 1.7%

A.G. Edwards, Inc.

65,316

5,758,259

ACA Capital Holdings, Inc. (d)

12,022

173,237

Affiliated Managers Group, Inc. (a)(d)

25,470

3,316,194

AllianceBernstein Holding LP

22,298

2,038,260

BlackRock, Inc. Class A

16,379

2,514,832

Calamos Asset Management, Inc.
Class A

22,301

556,410

Cohen & Steers, Inc.

10,367

538,980

Cowen Group, Inc.

10,541

187,946

Diamond Hill Investment Group, Inc. (a)

2,300

214,153

Eaton Vance Corp. (non-vtg.)

110,330

4,842,384

Epoch Holding Corp. (a)

5,333

75,142

Evercore Partners, Inc. Class A

4,709

149,322

FCStone Group, Inc.

4,700

198,763

FirstCity Financial Corp. (a)

5,260

49,286

GAMCO Investors, Inc. Class A

5,578

287,713

GFI Group, Inc. (a)

14,892

1,109,454

Greenhill & Co., Inc.

9,578

689,616

HFF, Inc.

11,711

186,790

International Assets Holding Corp. (a)(d)

2,986

72,082

Investment Technology Group, Inc. (a)

39,519

1,606,447

Investors Financial Services Corp.

57,146

3,515,622

Jefferies Group, Inc.

86,916

2,663,106

JMP Group, Inc.

1,543

17,667

KBW, Inc.

27,796

908,651

Knight Capital Group, Inc. Class A (a)

88,635

1,534,272

Shares

Value

LaBranche & Co., Inc. (a)(d)

42,155

$ 348,200

Ladenburg Thalmann Financial Services, Inc. (a)(d)

96,420

221,766

Lazard Ltd. Class A

43,423

2,339,631

MCF Corp. (a)

10,677

50,182

National Holdings Corp. (a)

1,000

2,250

Nuveen Investments, Inc. Class A

65,661

3,602,162

optionsXpress Holdings, Inc.

42,849

1,091,793

Penson Worldwide, Inc.

16,747

481,979

Piper Jaffray Companies (a)(d)

14,962

1,000,958

Raymond James Financial, Inc.

86,073

2,867,092

Sanders Morris Harris Group, Inc.

12,371

169,359

SEI Investments Co.

61,923

3,822,507

Siebert Financial Corp.

7,668

28,755

Stifel Financial Corp. (a)(d)

13,786

830,055

SWS Group, Inc.

22,294

538,177

TD Ameritrade Holding Corp. (a)

214,879

4,411,466

Thomas Weisel Partners Group, Inc. (a)

17,034

298,095

TradeStation Group, Inc. (a)

36,944

440,372

U.S. Global Investments, Inc. Class A (d)

8,588

182,753

W.P. Carey & Co. LLC

25,325

858,518

W.P. Stewart & Co. Ltd. (d)

19,230

195,954

Waddell & Reed Financial, Inc. Class A

88,768

2,302,642

Westwood Holdings Group, Inc.

3,071

82,763

59,372,017

Commercial Banks - 4.0%

1st Source Corp.

7,209

188,876

Abigail Adams National Bancorp, Inc.

3,050

42,639

Abington Community Bancorp, Inc. (d)

10,420

191,728

Alabama National Bancorp, Delaware

19,697

1,236,972

Amcore Financial, Inc.

18,595

553,945

American National Bankshares, Inc.

2,434

55,739

AmericanWest Bancorp

6,795

134,813

Ameris Bancorp

15,734

366,130

AmeriServ Financial, Inc. (a)

8,597

37,483

Ames National Corp. (d)

14,284

309,391

Arrow Financial Corp.

6,125

137,568

Associated Banc-Corp.

101,783

3,359,857

BancFirst Corp.

7,680

331,546

Bancorp, Inc., Delaware (a)

13,627

292,435

BancorpSouth, Inc.

60,585

1,517,048

BancTrust Financial Group, Inc.

9,140

183,166

Bank of Florida Corp. (a)

9,353

168,635

Bank of Granite Corp.

16,693

270,594

Bank of Hawaii Corp.

40,866

2,186,740

Bank of Marin, California

4,442

149,740

Bank of the Ozarks, Inc.

12,728

365,548

BankFinancial Corp.

29,332

482,805

Banner Corp.

12,592

453,564

Bar Harbor Bankshares

2,569

81,437

BOK Financial Corp.

21,857

1,186,398

Boston Private Financial Holdings, Inc.

33,383

945,073

Bryn Mawr Bank Corp.

2,058

47,828

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Cadence Financial Corp.

15,524

$ 304,891

Camden National Corp.

5,896

225,817

Capital Bank Corp.

4,787

82,767

Capital City Bank Group, Inc. (d)

9,046

270,023

Capital Corp. of the West

8,704

214,554

Capitol Bancorp Ltd.

14,433

416,825

Cardinal Financial Corp.

17,899

175,589

Cascade Bancorp (d)

20,935

471,038

Cascade Financial Corp.

13,915

226,675

Cathay General Bancorp

44,497

1,507,558

Centennial Bank Holdings, Inc., Delaware (a)

46,113

403,950

Center Bancorp, Inc. (a)(d)

10,005

154,077

Center Financial Corp., California

17,368

299,077

Central Pacific Financial Corp.

27,843

944,713

Century Bancorp, Inc. Class A (non-vtg.)

2,001

46,023

Chemical Financial Corp.

19,387

521,316

Chittenden Corp.

48,039

1,400,817

Citizens & Northern Corp.

6,694

139,637

Citizens Banking Corp., Michigan

70,265

1,337,846

Citizens Financial Services, Inc.

1,515

33,785

City Holding Co.

16,106

613,800

City National Corp.

37,187

2,879,761

CoBiz, Inc.

19,397

358,651

Colonial Bancgroup, Inc.

131,334

3,314,870

Colony Bankcorp, Inc. (d)

4,000

84,800

Columbia Bancorp, Oregon (d)

11,500

228,390

Columbia Banking Systems, Inc.

14,287

433,468

Commerce Bancshares, Inc.

60,629

2,861,689

Community Bank of Nevada (a)

12,885

382,427

Community Bank System, Inc.

22,072

453,800

Community Banks, Inc.

20,022

635,098

Community Bankshares, Inc., South Carolina (a)

3,531

54,554

Community Capital Corp.

1,900

38,095

Community Trust Bancorp, Inc.

12,277

416,927

Cullen/Frost Bankers, Inc.

56,127

2,984,273

CVB Financial Corp.

78,714

898,914

Dearborn Bancorp, Inc.

11,262

185,598

East West Bancorp, Inc.

53,472

2,167,755

Eastern Virgina Bankshares, Inc.

3,012

67,439

Enterprise Financial Services Corp. (a)(d)

14,184

343,962

EuroBancshares, Inc. (a)

10,674

98,521

Exchange National Bancshares, Inc.

5,406

171,965

Farmers Capital Bank Corp.

5,002

145,558

Fidelity Southern Corp.

4,918

88,180

Financial Institutions, Inc.

5,570

112,848

First Bancorp, North Carolina

14,778

288,171

First Bancorp, Puerto Rico (d)

72,615

912,044

Shares

Value

First Charter Corp.

26,877

$ 590,756

First Citizen Bancshares, Inc.

4,753

920,846

First Commonwealth Financial Corp. (d)

59,953

678,068

First Community Bancorp, California

26,823

1,514,963

First Community Bancshares, Inc.

10,000

312,900

First Financial Bancorp, Ohio

38,308

563,894

First Financial Bankshares, Inc.

12,289

498,196

First Financial Corp., Indiana

6,060

174,104

First Indiana Corp.

10,374

218,061

First M&F Corp.

1,684

31,912

First Mariner Bancorp, Inc. (a)

999

13,337

First Merchants Corp.

17,779

432,919

First Midwest Bancorp, Inc., Delaware

40,922

1,505,520

First of Long Island Corp.

1,872

40,772

First Regional Bancorp (a)

11,196

287,625

First Republic Bank, California

27,610

1,495,082

First Security Group, Inc.

10,700

119,519

First South Bancorp, Inc., Virginia (d)

5,916

162,808

First State Bancorp.

20,559

454,765

First United Corp.

5,930

127,614

Firstbank Corp., Michigan

7,615

144,380

FirstMerit Corp.

69,227

1,490,457

FNB Corp., North Carolina

14,866

240,681

FNB Corp., Pennsylvania

48,149

804,570

FNB Corp., Virginia

3,618

115,812

FNB Financial Services Corp.

4,785

69,095

Frontier Financial Corp., Washington (d)

40,151

933,912

Fulton Financial Corp.

155,361

2,369,255

Gateway Financial Holdings, Inc.

10,000

144,700

GB&T Bancshares, Inc.

15,000

249,450

German American Bancorp, Inc.

17,151

237,027

Glacier Bancorp, Inc.

50,207

1,074,430

Great Lakes Bancorp, Inc. (a)

10,319

145,498

Great Southern Bancorp, Inc.

7,120

196,868

Greater Bay Bancorp

41,082

1,146,599

Greater Community Bancorp

4,420

70,632

Green Bankshares, Inc.

12,985

454,345

Hancock Holding Co.

22,250

879,765

Hanmi Financial Corp.

44,770

782,132

Harleysville National Corp., Pennsylvania

30,004

485,165

Harrington West Financial Group, Inc.

4,000

68,920

Heartland Financial USA, Inc.

14,000

337,260

Heritage Commerce Corp.

8,124

198,063

Heritage Financial Corp., Washington

4,130

95,610

Home Bancshares, Inc.

8,000

178,400

Horizon Financial Corp.

12,153

273,929

IBERIABANK Corp.

7,577

387,412

Independent Bank Corp., Massachusetts

11,103

328,982

Independent Bank Corp., Michigan

20,910

361,534

Integra Bank Corp.

19,801

450,869

International Bancshares Corp.

45,941

1,233,516

Intervest Bancshares Corp. Class A

6,743

167,024

Irwin Financial Corp.

23,780

378,102

Lakeland Bancorp, Inc.

14,700

206,094

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Lakeland Financial Corp.

10,412

$ 229,064

Leesport Financial Corp.

2,051

44,014

LSB Bancshares, Inc.

6,571

90,680

Macatawa Bank Corp.

20,513

321,234

MainSource Financial Group, Inc.

15,369

263,578

MB Financial, Inc.

36,946

1,306,411

MBT Financial Corp. (d)

10,000

137,300

Mercantile Bancorp, Inc., Illinois

3,576

79,387

Mercantile Bank Corp.

8,789

241,610

Merchants Bancshares, Inc.

6,649

149,603

Merrill Merchants Bancshares, Inc.

2,503

77,117

Metrocorp Bancshares, Inc.

4,282

90,821

Midsouth Bancorp, Inc.

3,316

82,900

Midwest Banc Holdings, Inc.

15,647

251,134

MidWestOne Financial Group, Inc.

3,499

60,953

Nara Bancorp, Inc.

25,509

409,675

National Penn Bancshares, Inc.

32,018

584,008

NBT Bancorp, Inc.

33,577

758,840

Nexity Financial Corp. (a)

5,000

57,000

North Valley Bancorp

11,383

282,071

Northern States Financial Corp.

2,836

68,631

Northrim Bancorp, Inc.

982

26,396

Oak Hill Financial, Inc.

7,403

156,796

Ohio Valley Banc Corp.

6,000

151,500

Old National Bancorp, Indiana

54,826

978,644

Old Second Bancorp, Inc. (d)

12,393

362,371

Omega Financial Corp.

10,510

300,271

Oriental Financial Group, Inc.

25,839

312,394

PAB Bankshares, Inc.

7,746

154,300

Pacific Capital Bancorp

40,823

1,050,784

Pacific Mercantile Bancorp (a)

7,285

100,387

Park National Corp. (d)

10,282

897,824

Peapack-Gladstone Financial Corp.

4,448

126,679

Pennsylvania Communication Bancorp, Inc. (a)

3,180

85,637

Peoples Bancorp, Inc.

5,422

149,701

Peoples Banctrust Co., Inc.

1,053

25,851

Peoples Financial Corp., Mississippi

4,312

109,913

Pinnacle Financial Partners, Inc. (a)

14,923

440,975

Placer Sierra Bancshares

18,155

510,519

Popular, Inc.

220,472

3,794,323

Preferred Bank, Los Angeles California

10,547

402,579

Premier Community Bankshares, Inc.

7,661

247,910

PremierWest Bancorp (d)

18,613

259,465

Princeton National Bancorp, Inc.

2,512

72,471

PrivateBancorp, Inc.

16,540

554,752

Prosperity Bancshares, Inc.

36,122

1,251,266

Provident Bankshares Corp.

27,967

935,496

QCR Holdings, Inc.

4,300

75,250

Renasant Corp.

14,520

353,126

Republic Bancorp, Inc., Kentucky Class A

12,102

230,785

Shares

Value

Republic First Bancorp, Inc.

7,220

$ 72,128

Royal Bancshares of Pennsylvania, Inc. Class A

6,704

141,656

S&T Bancorp, Inc.

22,241

728,615

S.Y. Bancorp, Inc.

6,778

169,314

Sandy Spring Bancorp, Inc.

14,316

459,973

Santander Bancorp

4,969

86,262

Savannah Bancorp, Inc.

3,956

99,691

SCBT Financial Corp.

8,400

304,584

Seacoast Banking Corp., Florida

17,060

396,816

Security Bank Corp., Georgia

18,190

373,986

Shore Bancshares, Inc. (d)

5,814

151,397

Sierra Bancorp (d)

6,100

169,763

Signature Bank, New York (a)

26,946

895,955

Simmons First National Corp. Class A

9,580

270,252

Sky Financial Group, Inc.

98,497

2,708,668

Smithtown Bancorp, Inc.

10,655

251,351

South Financial Group, Inc.

74,749

1,779,026

Southside Bancshares, Inc. (d)

14,701

317,689

Southwest Bancorp, Inc., Oklahoma

17,075

419,533

Southwest Georgia Financial Corp.

835

15,865

State Bancorp, Inc., New York

5,592

100,936

Sterling Bancorp, New York

16,378

262,539

Sterling Bancshares, Inc.

61,143

702,533

Sterling Financial Corp., Pennsylvania

21,909

216,461

Sterling Financial Corp., Washington

44,886

1,357,353

Suffolk Bancorp

7,466

228,982

Summit Financial Group, Inc.

1,800

37,116

Sun Bancorp, Inc., New Jersey

20,997

373,537

Superior Bancorp (a)

30,716

312,996

Susquehanna Bancshares, Inc., Pennsylvania

46,997

1,011,845

SVB Financial Group (a)

31,531

1,673,350

Taylor Capital Group, Inc.

10,172

306,686

TCF Financial Corp.

109,806

3,099,823

Temecula Valley Bancorp, Inc. (d)

12,685

242,410

Tennessee Commerce Bancorp, Inc. (a)

4,775

139,621

Texas Capital Bancshares, Inc. (a)

26,602

599,343

TIB Financial Corp.

6,654

90,428

Tompkins Trustco, Inc.

4,489

167,440

Trico Bancshares

12,477

282,604

Trustmark Corp.

54,098

1,456,318

UCBH Holdings, Inc.

86,609

1,611,793

UMB Financial Corp.

31,832

1,229,034

Umpqua Holdings Corp.

51,268

1,279,649

Union Bankshares Corp.

8,934

210,038

UnionBanCal Corp.

47,831

2,935,867

United Bankshares, Inc., West Virginia

34,543

1,165,826

United Community Banks, Inc., Georgia

35,972

1,093,189

United Security Bancshares, California (d)

6,270

141,012

Univest Corp. of Pennsylvania (d)

12,000

282,000

USB Holding Co., Inc.

8,800

177,232

Valley National Bancorp (d)

103,385

2,531,899

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Vineyard National Bancorp

14,652

$ 357,509

Virginia Commerce Bancorp, Inc. (d)

16,530

302,003

Virginia Financial Group, Inc.

14,623

321,852

W Holding Co., Inc.

130,070

714,084

Washington Banking Co., Oak Harbor

4,700

72,991

Washington Trust Bancorp, Inc.

14,161

344,820

WesBanco, Inc.

18,419

577,436

West Bancorp., Inc. (d)

13,500

200,610

West Coast Bancorp, Oregon

15,866

489,783

Westamerica Bancorp.

26,229

1,214,403

Western Alliance Bancorp. (a)

14,932

465,729

Whitney Holding Corp.

53,274

1,653,625

Wilmington Trust Corp., Delaware

59,049

2,521,983

Wilshire Bancorp, Inc.

23,616

300,868

Wintrust Financial Corp.

23,488

1,077,864

Yardville National Bancorp

12,736

458,496

138,431,219

Consumer Finance - 0.4%

Advance America Cash Advance Centers, Inc.

55,072

972,021

Advanta Corp. Class B

19,134

961,675

AmeriCredit Corp. (a)

102,412

2,719,039

Cash America International, Inc.

28,584

1,185,950

Cash Systems, Inc. (a)

14,761

93,142

CompuCredit Corp. (a)(d)

28,435

1,046,977

Consumer Portfolio Services, Inc. (a)

11,918

71,985

Credit Acceptance Corp. (a)

5,307

141,909

Dollar Financial Corp. (a)

15,043

459,714

EZCORP, Inc. Class A (a)

31,119

467,719

First Cash Financial Services, Inc. (a)

24,985

622,876

First Marblehead Corp. (d)

53,188

1,981,785

Nelnet, Inc. Class A

21,679

552,164

QC Holdings, Inc. (d)

10,421

156,315

Rewards Network, Inc. (a)

22,487

87,924

Student Loan Corp.

3,146

645,717

United Panam Financial Corp. (a)

5,347

83,948

World Acceptance Corp. (a)

13,975

592,261

12,843,121

Diversified Financial Services - 1.4%

Ampal-American Israel Corp. Class A (a)

4,585

24,667

Asset Acceptance Capital Corp. (a)

17,141

329,107

Asta Funding, Inc. (d)

11,285

476,340

California First National Bancorp

4,060

62,686

Catskill Litigation Trust (a)

1,036

0

CBOT Holdings, Inc. Class A (a)

31,141

6,122,632

Encore Capital Group, Inc. (a)

10,962

132,311

Financial Federal Corp.

24,580

668,330

First Albany Companies, Inc. (a)

2,377

4,350

Interactive Brokers Group, Inc.

34,000

867,000

IntercontinentalExchange, Inc. (a)

50,295

7,289,757

Shares

Value

International Securities Exchange, Inc. Class A

31,256

$ 2,032,890

Leucadia National Corp. (d)

146,308

5,243,679

MarketAxess Holdings, Inc. (a)

23,992

423,939

Marlin Business Services Corp. (a)

7,748

159,531

Medallion Financial Corp.

18,998

217,147

MicroFinancial, Inc.

5,166

30,221

Navidec Financial Services, Inc. (a)

464

0

NCP Litigation Trust (a)

200

0

NewStar Financial, Inc.

9,643

136,545

Newtek Business Services, Inc. (a)

5,503

10,731

NYMEX Holdings, Inc.

30,727

3,913,083

NYSE Euronext (a)

164,315

13,651,290

PICO Holdings, Inc. (a)

14,096

662,653

Portfolio Recovery Associates, Inc. (d)

15,839

937,669

Primus Guaranty Ltd. (a)

21,499

253,688

Resource America, Inc. Class A

15,458

364,036

The NASDAQ Stock Market, Inc. (a)

85,759

2,854,060

46,868,342

Insurance - 6.9%

21st Century Holding Co.

1,797

20,540

21st Century Insurance Group

23,634

515,221

Affirmative Insurance Holdings, Inc.

11,382

175,852

Alfa Corp.

33,122

562,080

Alleghany Corp.

4,360

1,630,640

Allied World Assurance Co.
Holdings Ltd.

30,660

1,553,236

Amcomp, Inc. (a)

11,074

101,770

American Equity Investment Life
Holding Co.

46,590

558,614

American Financial Group, Inc.

56,896

2,028,342

American Independence Corp. (a)

3,087

33,432

American National Insurance Co.

11,513

1,657,181

American Physicians Capital, Inc. (a)

12,727

520,280

American Safety Insurance Group Ltd. (a)

5,346

113,442

Amerisafe, Inc. (a)

18,790

347,427

Amtrust Financial Services, Inc.

22,034

342,188

Arch Capital Group Ltd.

42,907

3,084,584

Argonaut Group, Inc. (a)

30,129

998,174

Arthur J. Gallagher & Co.

89,404

2,628,478

Aspen Insurance Holdings Ltd.

68,174

1,848,879

Assured Guaranty Ltd.

48,785

1,443,060

Atlantic American Corp. (a)

10,720

52,528

Axis Capital Holdings Ltd.

117,519

4,650,227

Baldwin & Lyons, Inc. Class B

9,944

258,643

Berkshire Hathaway, Inc. Class A (a)

893

97,774,517

Bristol West Holdings, Inc.

31,594

697,280

Brooke Corp. (a)

8,106

109,431

Brown & Brown, Inc. (d)

95,380

2,485,603

CastlePoint Holdings Ltd.

6,400

101,120

Citizens, Inc. Class A (a)(d)

10,666

82,662

CNA Financial Corp.

35,859

1,822,354

CNA Surety Corp. (a)

12,254

250,472

Commerce Group, Inc., Massachusetts

48,867

1,665,876

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Conseco, Inc.

127,356

$ 2,510,187

Crawford & Co. Class B

11,783

80,478

CRM Holdings Ltd. (a)

9,636

75,739

Delphi Financial Group, Inc. Class A

39,220

1,684,107

Donegal Group, Inc. Class A

5,200

79,404

Eastern Insurance Holdings, Inc.

11,883

177,057

eHealth, Inc.

8,167

162,523

EMC Insurance Group

12,011

304,479

Employers Holdings, Inc.

42,055

891,566

Endurance Specialty Holdings Ltd.

51,346

2,045,111

Enstar Group Ltd. (a)(d)

3,751

435,754

Erie Indemnity Co. Class A

42,343

2,357,658

Everest Re Group Ltd.

53,919

5,781,734

FBL Financial Group, Inc. Class A

13,302

511,861

Fidelity National Financial, Inc. Class A

181,232

5,081,745

First Acceptance Corp. (a)

24,679

251,726

First American Corp., California

71,410

3,824,006

First Mercury Financial Corp.

10,000

187,400

FPIC Insurance Group, Inc. (a)

7,567

350,957

Gainsco, Inc. (a)

196

1,196

Great American Financial
Resources, Inc.

4,585

109,994

Hanover Insurance Group, Inc.

43,273

2,111,290

Harleysville Group, Inc.

11,446

346,356

HCC Insurance Holdings, Inc.

92,148

3,032,591

Hilb Rogal & Hobbs Co.

32,287

1,400,933

Horace Mann Educators Corp.

38,802

866,061

Independence Holding Co.

5,623

124,325

Infinity Property & Casualty Corp.

16,293

860,759

Insure.com, Inc. (a)

779

3,116

Investors Title Co.

1,641

80,409

IPC Holdings Ltd.

49,214

1,535,477

James River Group, Inc.

9,136

310,259

Kansas City Life Insurance Co.

3,631

163,141

KMG America Corp. (a)

12,545

68,872

LandAmerica Financial Group, Inc.

17,431

1,615,679

Markel Corp. (a)

9,317

4,593,281

Max Capital Group Ltd.

38,152

1,083,898

Meadowbrook Insurance Group, Inc. (a)

18,686

204,051

Mercer Insurance Group, Inc.

5,069

94,537

Mercury General Corp.

26,466

1,484,478

Montpelier Re Holdings Ltd.

98,862

1,814,118

National Atlantic Holdings Corp.
Class A (a)

8,196

107,695

National Financial Partners Corp.

36,735

1,720,300

National Interstate Corp.

6,658

162,322

National Security Group, Inc.

2,778

51,865

National Western Life Insurance Co. Class A

2,047

515,557

Nationwide Financial Services, Inc.
Class A (sub. vtg.)

47,463

2,938,434

Navigators Group, Inc. (a)

9,552

472,920

Shares

Value

Nymagic, Inc.

2,755

$ 115,462

OdysseyRe Holdings Corp.

21,081

903,953

Ohio Casualty Corp.

60,881

2,621,536

Old Republic International Corp.

179,293

3,883,486

OneBeacon Insurance Group Ltd.

29,770

749,013

PartnerRe Ltd.

45,032

3,458,458

Penn Treaty American Corp. (a)

31,965

194,028

Philadelphia Consolidated Holdings Corp. (a)

51,079

2,104,455

Phoenix Companies, Inc.

98,254

1,546,518

Platinum Underwriters Holdings Ltd.

52,605

1,811,716

PMA Capital Corp. Class A (a)

37,128

395,042

Presidential Life Corp.

14,950

272,987

ProAssurance Corp. (a)

25,074

1,417,182

ProCentury Corp.

9,119

173,626

Protective Life Corp.

58,204

2,911,946

PXRE Group Ltd. (a)

53,714

249,770

Reinsurance Group of America, Inc.

22,918

1,435,125

RenaissanceRe Holdings Ltd.

55,415

3,252,306

RLI Corp.

23,173

1,331,289

RTW, Inc. (a)

655

5,600

Safety Insurance Group, Inc.

9,803

408,197

Scottish Re Group Ltd.

32,667

171,502

SCPIE Holding, Inc. (a)

9,553

204,434

SeaBright Insurance Holdings, Inc. (a)

17,523

313,486

Security Capital Assurance Ltd.

55,974

1,800,684

Selective Insurance Group, Inc.

52,628

1,440,428

Specialty Underwriters' Alliance, Inc. (a)

14,899

119,937

StanCorp Financial Group, Inc.

43,893

2,232,398

State Auto Financial Corp.

13,588

420,413

Stewart Information Services Corp.

15,082

597,549

The Midland Co.

13,229

588,691

Tower Group, Inc.

16,364

518,084

Transatlantic Holdings, Inc.

24,046

1,723,136

Unico American Corp. (a)

2,607

30,684

United America Indemnity Ltd.
Class A (a)

21,961

548,805

United Fire & Casualty Co.

16,601

649,929

Unitrin, Inc.

36,514

1,788,456

Universal American Financial Corp. (a)

37,660

799,522

W.R. Berkley Corp.

152,004

5,007,012

Wesco Financial Corp.

1,262

543,922

White Mountains Insurance Group Ltd.

6,688

4,017,816

Zenith National Insurance Corp.

31,252

1,511,659

239,051,781

Real Estate Investment Trusts - 6.1%

Acadia Realty Trust (SBI)

21,120

600,019

Agree Realty Corp.

7,217

252,595

Alesco Financial, Inc.

40,369

402,075

Alexanders, Inc. (a)

1,702

739,774

Alexandria Real Estate Equities, Inc.

25,213

2,652,408

AMB Property Corp. (SBI)

83,422

4,825,963

America First Apartment Investment, Inc.

10,576

234,258

American Campus Communities, Inc.

24,834

730,616

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Financial Realty Trust (SBI)

136,648

$ 1,541,389

American Home Mortgage Investment Corp. (d)

34,797

759,966

American Land Lease, Inc.

4,333

112,528

American Mortgage Acceptance Co.

4,770

48,129

Annaly Capital Management, Inc.

220,791

3,409,013

Anthracite Capital, Inc.

44,277

541,508

Anworth Mortgage Asset Corp.

40,106

374,189

Arbor Realty Trust, Inc.

14,415

410,683

Ashford Hospitality Trust, Inc.

91,764

1,138,791

Associated Estates Realty Corp.

8,335

129,693

BioMed Realty Trust, Inc.

59,167

1,660,226

Brandywine Realty Trust (SBI)

74,068

2,356,103

BRE Properties, Inc. Class A

44,728

2,827,704

BRT Realty Trust

3,818

112,249

Camden Property Trust (SBI)

47,305

3,531,318

Capital Lease Funding, Inc.

32,807

366,454

Capital Trust, Inc. Class A

15,927

708,433

CapitalSource, Inc. (d)

117,001

3,077,126

Capstead Mortgage Corp.

13,005

131,741

CBL & Associates Properties, Inc.

57,385

2,355,080

CBRE Realty Finance, Inc.

27,390

360,726

Cedar Shopping Centers, Inc.

39,840

635,448

Cogdell Spencer, Inc.

5,912

125,571

Colonial Properties Trust (SBI)

40,272

1,987,423

Corporate Office Properties Trust (SBI)

36,780

1,656,939

Cousins Properties, Inc. (d)

41,230

1,335,027

Crescent Real Estate Equities Co. (d)

83,785

1,873,433

Crystal River Capital, Inc.

24,451

684,873

DCT Industrial Trust, Inc.

151,878

1,678,252

Deerfield Triarc Capital Corp.

37,488

607,306

DiamondRock Hospitality Co.

75,738

1,585,954

Digital Realty Trust, Inc.

44,714

1,815,388

Douglas Emmett, Inc.

88,300

2,328,471

Duke Realty LP

111,040

4,454,925

Eagle Hospitality Properties Trust, Inc.

18,912

252,853

EastGroup Properties, Inc.

22,751

1,112,524

Education Realty Trust, Inc.

25,355

367,648

Entertainment Properties Trust (SBI)

21,597

1,275,303

Equity Inns, Inc.

47,164

942,808

Equity Lifestyle Properties, Inc.

19,044

1,037,136

Equity One, Inc.

35,230

1,032,239

Essex Property Trust, Inc.

19,599

2,493,581

Extra Space Storage, Inc.

63,108

1,130,264

Federal Realty Investment Trust (SBI)

47,281

4,190,042

FelCor Lodging Trust, Inc.

58,847

1,541,203

Feldman Mall Properties, Inc.

12,239

137,077

Fieldstone Investment Corp.

34,652

136,529

First Industrial Realty Trust, Inc.

39,558

1,764,287

First Potomac Realty Trust

22,739

568,475

Franklin Street Properties Corp. (d)

54,824

1,052,621

Shares

Value

Friedman, Billings, Ramsey Group, Inc. Class A

140,622

$ 881,700

General Growth Properties, Inc.

192,355

11,356,639

Getty Realty Corp.

17,746

505,406

Gladstone Commercial Corp.

10,600

212,954

Glimcher Realty Trust

34,000

926,500

GMH Communities Trust

30,596

310,855

Gramercy Capital Corp.

16,296

515,280

Health Care Property Investors, Inc.

171,978

5,618,521

Health Care REIT, Inc.

60,292

2,638,981

Healthcare Realty Trust, Inc.

46,997

1,540,092

Hersha Hospitality Trust

35,172

426,988

Highland Hospitality Corp.

51,191

986,451

Highwoods Properties, Inc. (SBI)

50,114

2,196,998

Home Properties, Inc.

27,321

1,573,690

HomeBanc Mortgage Corp., Georgia

30,699

62,626

Hospitality Properties Trust (SBI)

76,035

3,378,995

HRPT Properties Trust (SBI)

173,083

1,986,993

Impac Mortgage Holdings, Inc. (d)

57,824

357,931

Inland Real Estate Corp.

50,160

902,880

Innkeepers USA Trust (SBI)

45,836

808,089

Investors Real Estate Trust

39,237

422,190

iStar Financial, Inc.

120,220

5,774,167

JER Investments Trust, Inc.

22,756

427,585

Kilroy Realty Corp.

27,000

2,006,640

Kite Realty Group Trust

25,356

539,069

KKR Financial Holdings LLC

69,916

1,872,350

LaSalle Hotel Properties (SBI)

39,161

1,864,064

Lexington Corporate Properties Trust (d)

58,712

1,221,210

Liberty Property Trust (SBI)

75,154

3,526,226

LTC Properties, Inc.

19,272

462,143

Luminent Mortgage Capital, Inc. (d)

39,416

358,686

Mack-Cali Realty Corp.

56,316

2,719,500

Maguire Properties, Inc.

30,935

1,117,682

Medical Properties Trust, Inc.

40,296

573,412

MFA Mortgage Investments, Inc.

87,881

660,865

Mid-America Apartment Communities, Inc.

22,978

1,349,958

Mission West Properties, Inc.

23,945

339,301

Monmouth Real Estate Investment Corp. Class A

9,627

82,985

National Health Investors, Inc.

20,428

724,785

National Health Realty, Inc.

10,570

251,566

National Retail Properties, Inc.

51,074

1,238,545

Nationwide Health Properties, Inc.

76,141

2,365,701

New York Mortgage Trust, Inc.

18,314

36,811

Newcastle Investment Corp.

43,672

1,295,312

NorthStar Realty Finance Corp.

45,512

655,828

Novastar Financial, Inc. (d)

27,905

206,218

Omega Healthcare Investors, Inc.

51,709

889,912

One Liberty Properties, Inc.

4,885

112,746

Opteum, Inc. Class A

36,905

140,239

Origen Financial, Inc.

17,799

127,441

Parkway Properties, Inc.

13,969

724,293

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Pennsylvania (REIT) (SBI)

31,797

$ 1,511,311

PMC Commercial Trust

6,561

91,657

Post Properties, Inc.

37,490

1,987,720

Potlatch Corp.

31,982

1,400,172

PS Business Parks, Inc.

17,896

1,201,716

Quadra Realty Trust, Inc.

14,338

193,420

RAIT Investment Trust (SBI)

59,041

1,739,348

Ramco-Gershenson Properties Trust (SBI)

16,771

620,359

Rayonier, Inc.

65,777

2,957,334

Realty Income Corp.

87,802

2,407,531

Redwood Trust, Inc.

23,125

1,239,269

Regency Centers Corp.

56,530

4,441,562

Republic Property Trust

16,652

204,820

Resource Capital Corp.

20,772

331,729

Saul Centers, Inc.

8,854

435,971

Senior Housing Properties Trust (SBI)

69,294

1,628,409

SL Green Realty Corp.

51,009

7,145,341

Sovran Self Storage, Inc.

17,303

921,904

Spirit Finance Corp.

93,960

1,349,266

Strategic Hotel & Resorts, Inc.

66,060

1,540,519

Sun Communities, Inc.

15,926

492,910

Sunstone Hotel Investors, Inc.

53,565

1,580,703

Supertel Hospitality, Inc., Maryland

13,197

99,637

Tanger Factory Outlet Centers, Inc.

23,973

1,005,667

Taubman Centers, Inc.

45,010

2,476,450

The Macerich Co.

60,984

5,439,773

Thornburg Mortgage, Inc. (SBI) (d)

93,448

2,591,313

Transcontinental Realty Investors, Inc. (a)

1,497

23,503

U-Store-It Trust

41,781

765,846

UDR, Inc.

115,976

3,521,031

UMH Properties, Inc.

4,453

63,678

Universal Health Realty Income Trust (SBI)

9,322

327,668

Urstadt Biddle Properties, Inc.

5,274

93,614

Urstadt Biddle Properties, Inc. Class A

20,626

353,736

Ventas, Inc.

110,403

4,676,671

Vestin Realty Mortgage II, Inc.

35,498

208,018

Washington (REIT) (SBI)

40,600

1,526,154

Weingarten Realty Investors (SBI)

68,917

3,215,667

Winston Hotels, Inc.

23,362

348,327

Winthrop Realty Trust

50,129

337,869

209,967,949

Real Estate Management & Development - 0.5%

Affordable Residential Communties, Inc. (d)

54,151

629,776

American Realty Investments, Inc. (a)

1,965

18,609

Brookfield Properties Corp.

162,084

4,256,326

Consolidated-Tomoka Land Co.

4,603

342,924

Forest City Enterprises, Inc. Class A

59,529

4,172,983

Grubb & Ellis Co. (a)

14,733

186,520

Housevalues, Inc. (a)(d)

9,851

45,216

Jones Lang LaSalle, Inc.

30,612

3,572,420

Shares

Value

Meruelo Maddux Properties, Inc.

25,969

$ 214,244

Move, Inc. (a)

110,620

464,604

Stratus Properties, Inc. (a)

2,986

107,914

Tejon Ranch Co. (a)(d)

11,513

567,246

The St. Joe Co. (d)

65,314

3,418,535

Thomas Properties Group, Inc.

20,837

350,687

United Capital Corp. (a)

2,068

64,418

Wellsford Real Properties, Inc. (a)

2,805

30,855

ZipRealty, Inc. (a)(d)

10,323

77,423

18,520,700

Thrifts & Mortgage Finance - 1.6%

Accredited Home Lenders Holding Co. (a)(d)

22,088

309,011

American Bancorp of New Jersey, Inc.

20,535

221,573

Anchor BanCorp Wisconsin, Inc.

18,340

525,074

Astoria Financial Corp.

76,327

2,034,878

Bank Mutual Corp.

57,255

677,327

BankAtlantic Bancorp, Inc. Class A (non-vtg.)

49,516

469,412

BankUnited Financial Corp. Class A (d)

33,017

756,750

BCSB Bankcorp, Inc.

4,872

65,723

Berkshire Bancorp, Inc.

1,110

17,616

Berkshire Hills Bancorp, Inc.

5,489

180,533

Beverly Hills Bancorp, Inc.

10,000

74,300

Brookline Bancorp, Inc., Delaware

56,246

671,577

Camco Financial Corp.

7,852

97,522

Capitol Federal Financial

22,464

864,639

Centerline Holding Co. (a)

50,006

984,618

CFS Bancorp, Inc. (a)

5,521

81,711

Charter Financial Corp., Georgia

8,305

448,470

Cheviot Financial Corp.

52

715

Citizens First Bancorp, Inc., Delaware

3,754

84,991

Citizens South Banking Corp., Delaware

10,510

134,108

City Bank Lynnwood, Washington

16,408

533,588

Clayton Holdings, Inc. (a)

6,858

98,755

Clifton Savings Bancorp, Inc.

8,458

98,874

Corus Bankshares, Inc. (d)

35,002

636,686

Delta Financial Corp. (d)

16,328

213,897

Dime Community Bancshares, Inc.

22,145

298,958

Doral Financial Corp. (a)(d)

68,986

88,302

Downey Financial Corp. (d)

18,670

1,358,989

ESB Financial Corp.

7,483

83,136

Farmer Mac Class C (non-vtg.)

12,702

373,312

First Busey Corp. (d)

9,363

187,541

First Clover Leaf Financial Corp.

10,566

116,120

First Defiance Financial Corp.

3,003

82,552

First Federal Bancshares
of Arkansas, Inc.

3,747

90,490

First Federal Bankshares, Inc.

2,907

54,942

First Financial Holdings, Inc.

12,293

405,792

First Financial Service Corp.

678

19,445

First Mutual Bancshares, Inc.

1,088

24,099

First Niagara Financial Group, Inc.

97,618

1,339,319

First Place Financial Corp.

18,173

379,997

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

FirstFed Financial Corp., Delaware (a)(d)

16,531

$ 1,065,754

Flagstar Bancorp, Inc.

35,396

455,193

Flushing Financial Corp.

18,913

311,119

FMS Financial Corp.

1,116

34,094

Franklin Bank Corp.

24,731

407,814

Fremont General Corp. (d)

52,275

692,644

HMN Financial, Inc.

2,852

97,367

Home Federal Bancorp

2,558

73,440

Home Federal Bancorp, Inc., Delaware

14,626

248,935

HopFed Bancorp, Inc.

7,731

123,619

IndyMac Bancorp, Inc. (d)

59,180

1,987,264

ITLA Capital Corp.

5,543

304,532

Jefferson Bancshares, Inc., Tennessee

5,738

68,225

Kearny Financial Corp.

13,844

192,432

KNBT Bancorp, Inc.

26,610

403,674

Legacy Bancorp, Inc.

18,619

279,471

Lincoln Bancorp

3,496

67,613

LSB Corp.

3,904

67,305

MAF Bancorp., Inc.

27,861

1,501,151

MASSBANK Corp.

6,468

212,150

MutualFirst Financial, Inc.

2,603

47,895

NASB Financial, Inc.

3,384

121,824

NetBank, Inc. (d)

45,554

13,211

New England Bancshares, Inc.

7,230

92,616

New York Community Bancorp, Inc.

236,176

4,128,356

NewAlliance Bancshares, Inc.

87,677

1,413,353

NexCen Brands, Inc. (a)

29,128

372,256

Northeast Community Bancorp, Inc. (a)

8,762

106,634

Northwest Bancorp, Inc. (d)

19,130

539,083

OceanFirst Financial Corp.

4,849

86,991

Ocwen Financial Corp. (a)

28,396

402,087

Oritani Financial Corp. (a)(d)

11,740

179,857

Pamrapo Bancorp, Inc.

2,874

60,153

Parkvale Financial Corp.

2,919

87,716

Partners Trust Financial Group, Inc.

34,184

371,580

People's United Financial, Inc.

110,539

2,231,782

Peoples Bancorp, Auburn, Indiana

3,388

66,032

Peoples Cmnty Bancorp, Inc.

6,000

92,340

PFF Bancorp, Inc.

20,235

607,252

Provident Financial Holdings, Inc.

3,631

90,158

Provident Financial Services, Inc. (d)

53,788

903,638

Provident New York Bancorp

32,025

439,063

Pulaski Financial Corp.

6,450

102,426

PVF Capital Corp.

5,643

73,133

Radian Group, Inc.

66,665

4,126,564

Rainier Pacific Financial Group, Inc.

3,186

64,994

Riverview Bancorp, Inc.

13,156

183,658

Rockville Financial, Inc. (d)

7,892

120,037

Roma Financial Corp. (d)

10,524

178,171

Rome Bancorp, Inc.

12,337

153,966

Shares

Value

Synergy Financial Group, Inc., New Jersey

9,338

$ 127,557

TF Financial Corp.

1,778

53,767

TFS Financial Corp. (a)

86,000

1,043,180

The PMI Group, Inc.

73,681

3,642,789

TierOne Corp.

17,055

533,651

Timberland Bancorp, Inc.

6,387

223,098

Triad Guaranty, Inc. (a)

10,834

483,088

Trustco Bank Corp., New York (d)

69,461

674,466

United Community Financial Corp., Ohio

23,305

246,567

ViewPoint Financial Group

11,249

206,419

Washington Federal, Inc.

85,704

2,149,456

Wauwatosa Holdings, Inc. (a)

7,726

130,106

Webster Financial Corp.

50,438

2,269,206

Westfield Financial, Inc.

16,393

169,831

Willow Financial Bancorp, Inc.

16,430

200,446

WSFS Financial Corp.

6,076

401,502

53,791,093

TOTAL FINANCIALS

778,846,222

HEALTH CARE - 10.2%

Biotechnology - 2.9%

A.P. Pharma, Inc. (a)

4,452

11,842

Aastrom Biosciences, Inc. (a)(d)

75,401

105,561

Acadia Pharmaceuticals, Inc. (a)

27,201

347,901

Acorda Therapeutics, Inc. (a)

22,263

443,034

ADVENTRX Pharmaceuticals, Inc. (a)(d)

46,743

131,815

Affymax, Inc.

4,535

149,156

Alexion Pharmaceuticals, Inc. (a)

27,863

1,353,306

Alfacell Corp. (a)(d)

65,656

173,332

Alkermes, Inc. (a)

84,791

1,361,743

Allos Therapeutics, Inc. (a)

24,876

143,783

Alnylam Pharmaceuticals, Inc. (a)(d)

25,913

424,973

Altus Pharmaceuticals, Inc. (a)

23,918

323,371

Amylin Pharmaceuticals, Inc. (a)(d)

99,999

4,624,954

Anadys Pharmaceuticals, Inc. (a)

18,763

75,990

Antigenics, Inc. (a)(d)

19,086

53,632

Arena Pharmaceuticals, Inc. (a)(d)

57,215

795,289

ARIAD Pharmaceuticals, Inc. (a)(d)

50,987

276,859

ArQule, Inc. (a)

21,813

195,881

Array Biopharma, Inc. (a)

36,227

450,302

Avalon Pharmaceuticals, Inc. (a)(d)

22,000

116,600

Avant Immunotherapeutics, Inc. (a)

18,683

18,677

AVAX Technologies, Inc. (a)

4,900

1,323

AVI BioPharma, Inc. (a)(d)

25,727

78,467

Avigen, Inc. (a)

22,946

153,968

BioCryst Pharmaceuticals, Inc. (a)(d)

14,318

114,544

Bioenvision, Inc. (a)(d)

47,174

266,533

BioMarin Pharmaceutical, Inc. (a)

73,768

1,316,021

Biosante Pharmaceuticals, Inc. (a)(d)

21,771

148,478

BioSphere Medical, Inc. (a)

4,678

36,301

Boston Life Sciences, Inc. (a)(d)

1,366

3,989

Calypte Biomedical Corp. (a)

656

56

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Cel-Sci Corp. (a)

5,333

$ 4,267

Cell Genesys, Inc. (a)(d)

43,159

186,447

Cell Therapeutics, Inc. (a)(d)

31,073

153,811

Cephalon, Inc. (a)(d)

55,925

4,642,334

Cepheid, Inc. (a)(d)

44,896

525,283

Cleveland Biolabs, Inc. (d)

20,722

190,642

Coley Pharmaceutical Group, Inc. (a)

14,423

119,855

Combinatorx, Inc. (a)(d)

22,451

151,544

Critical Therapeutics, Inc. (a)(d)

7,164

23,140

Cubist Pharmaceuticals, Inc. (a)

45,547

1,045,304

CuraGen Corp. (a)

41,352

112,064

Curis, Inc. (a)

10,011

13,915

CV Therapeutics, Inc. (a)(d)

45,181

476,208

Cytogen Corp. (a)(d)

15,067

31,942

Cytokinetics, Inc. (a)

45,414

302,911

Cytori Therapeutics, Inc. (a)

14,014

86,046

CytRx Corp. (a)(d)

79,740

334,908

Dendreon Corp. (a)(d)

72,352

620,780

Digene Corp. (a)

20,839

927,336

DUSA Pharmaceuticals, Inc. (a)

9,863

34,718

Dyadic International, Inc. (a)

16,428

23,410

Dyax Corp. (a)

58,388

270,920

Dynavax Technologies Corp. (a)

21,508

107,110

Emergent BioSolutions, Inc.

13,717

137,307

Encysive Pharmaceuticals, Inc. (a)(d)

39,210

154,487

EntreMed, Inc. (a)

6,269

11,222

Enzon Pharmaceuticals, Inc. (a)(d)

34,300

290,521

Epicept Corp. (a)(d)

1,640

4,297

Exact Sciences Corp. (a)

5,146

15,387

Genelabs Technologies, Inc. (a)(d)

7,653

14,617

Genentech, Inc. (a)

397,526

31,710,649

Genitope Corp. (a)(d)

16,300

58,191

Genomic Health, Inc. (a)(d)

21,051

364,182

Genta, Inc. (a)

73,275

21,792

GenVec, Inc. (a)(d)

87,639

385,612

Geron Corp. (a)(d)

53,729

495,381

GTC Biotherapeutics, Inc. (a)

4,398

5,234

GTx, Inc. (a)(d)

15,842

316,206

Halozyme Therapeutics, Inc. (a)(d)

51,021

520,924

Hana Biosciences, Inc. (a)(d)

18,262

31,959

Hemispherx Biopharma, Inc. (a)

93,692

148,033

Human Genome Sciences, Inc. (a)(d)

112,673

1,193,207

Idenix Pharmaceuticals, Inc. (a)(d)

13,126

97,264

Idera Pharmaceuticals, Inc. (a)

15,000

127,650

IDM Pharma, Inc. (a)

908

2,987

ImClone Systems, Inc. (a)

52,140

2,154,425

ImmunoGen, Inc. (a)

33,884

190,767

Immunomedics, Inc. (a)

65,181

347,415

Incyte Corp. (a)

73,873

523,760

Indevus Pharmaceuticals, Inc. (a)(d)

59,428

439,767

Infinity Pharmaceuticals, Inc. (a)

1,801

19,451

Shares

Value

Inhibitex, Inc. (a)

8,093

$ 11,249

Insmed, Inc. (a)(d)

127,479

98,095

InterMune, Inc. (a)(d)

23,464

623,908

Introgen Therapeutics, Inc. (a)(d)

44,401

194,476

Isis Pharmaceuticals, Inc. (a)

74,775

752,237

Isolagen, Inc. (a)(d)

33,379

151,874

Keryx Biopharmaceuticals, Inc. (a)

41,474

453,311

Kosan Biosciences, Inc. (a)

28,380

175,956

La Jolla Pharmaceutical Co. (a)(d)

33,235

178,472

Lexicon Pharmaceuticals, Inc. (a)

68,125

222,088

LifeCell Corp. (a)

30,968

871,749

Ligand Pharmaceuticals, Inc. Class B

70,084

463,255

Lipid Sciences, Inc. (a)

6,973

9,274

Manhattan Pharmaceuticals, Inc. (a)(d)

9,897

9,006

MannKind Corp. (a)(d)

53,528

609,149

Martek Biosciences (a)

24,131

505,062

Matritech, Inc. (a)

9,731

3,892

Maxygen, Inc. (a)

20,092

204,336

Medarex, Inc. (a)(d)

113,035

1,807,430

Memory Pharmaceuticals Corp. (a)

67,941

195,670

Metabasis Therapeutics, Inc. (a)

26,087

207,131

Metabolix, Inc.

10,752

247,834

Micromet, Inc. (a)

5,632

15,488

Millennium Pharmaceuticals, Inc. (a)

278,547

3,027,806

Momenta Pharmaceuticals, Inc. (a)(d)

24,545

321,049

Monogram Biosciences, Inc. (a)

94,829

172,589

Myriad Genetics, Inc. (a)

39,078

1,487,699

Nabi Biopharmaceuticals (a)(d)

37,645

193,495

Neopharm, Inc. (a)

8,402

11,679

Neose Technologies, Inc. (a)

9,641

25,549

Neurobiological Tech, Inc. (a)

4,585

9,170

Neurocrine Biosciences, Inc. (a)(d)

40,314

468,449

Neurogen Corp. (a)

14,550

112,472

Northfield Laboratories, Inc. (a)(d)

29,181

45,231

Northwest Biotherapeutics, Inc. (a)

2,800

378

Novavax, Inc. (a)(d)

42,163

122,694

NPS Pharmaceuticals, Inc. (a)

39,572

168,577

Nuvelo, Inc. (a)(d)

36,720

135,130

Omrix Biopharmaceuticals, Inc.

12,337

413,536

ONYX Pharmaceuticals, Inc. (a)

44,682

1,336,885

Orchid Cellmark, Inc. (a)

20,246

103,660

Ortec International, Inc. (a)

2

1

Orthologic Corp. (a)

36,394

52,771

Oscient Pharmaceuticals Corp. (a)(d)

9,344

51,672

OSI Pharmaceuticals, Inc. (a)

50,925

1,922,928

Osiris Therapeutics, Inc. (d)

10,681

121,550

OXiGENE, Inc. (a)

27,796

127,028

Palatin Technologies, Inc. (a)

59,631

115,684

Panacos Pharmaceuticals, Inc. (a)(d)

35,312

147,604

PDL BioPharma, Inc. (a)(d)

102,188

2,811,192

Peregrine Pharmaceuticals, Inc. (a)(d)

144,570

190,832

Pharmacopeia Drug Discovery, Inc. (a)

2,994

18,054

Pharmacyclics, Inc. (a)(d)

41,159

141,999

Pharmion Corp. (a)

24,730

717,417

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Poniard Pharmaceuticals, Inc. (a)(d)

14,768

$ 120,212

Pro-Pharmaceuticals, Inc. (a)

23,828

20,969

Progenics Pharmaceuticals, Inc. (a)

24,524

524,568

Regeneron Pharmaceuticals, Inc. (a)

52,775

1,184,271

Renovis, Inc. (a)

15,599

52,101

Repligen Corp. (a)

7,531

29,296

Rigel Pharmaceuticals, Inc. (a)

20,536

200,021

Sangamo Biosciences, Inc. (a)(d)

24,676

179,888

Savient Pharmaceuticals, Inc. (a)

65,430

930,415

SciClone Pharmaceuticals, Inc. (a)

14,063

38,673

Seattle Genetics, Inc. (a)(d)

38,349

403,431

Senomyx, Inc. (a)

31,175

416,186

SIGA Technologies, Inc. (a)(d)

5,146

19,400

Sonus Pharmaceuticals, Inc. (a)

32,820

188,387

StemCells, Inc. (a)(d)

46,919

114,952

Sunesis Pharmaceuticals, Inc. (a)(d)

3,400

14,586

Tanox, Inc. (a)(d)

18,496

346,985

Tapestry Pharmaceuticals, Inc. (a)

673

1,151

Telik, Inc. (a)(d)

42,903

257,418

Tercica, Inc. (a)(d)

30,000

200,700

Theravance, Inc. (a)

40,968

1,406,841

Threshold Pharmaceuticals, Inc. (a)

15,598

23,709

Titan Pharmaceuticals, Inc. (a)

11,415

24,314

TorreyPines Therapeutics, Inc. (a)

1,899

13,388

Trimeris, Inc. (a)

15,229

107,669

Unigene Laboratories, Inc. (a)(d)

74,735

179,364

United Therapeutics Corp. (a)(d)

20,368

1,344,084

Vanda Pharmaceuticals, Inc. (d)

21,153

423,483

Vertex Pharmaceuticals, Inc. (a)

109,724

3,276,359

ViaCell, Inc. (a)

39,009

238,735

Vical, Inc. (a)

34,045

167,161

Vion Pharmaceuticals, Inc. (a)(d)

41,496

52,700

XOMA Ltd. (a)

77,076

262,058

Zymogenetics, Inc. (a)(d)

42,530

697,067

99,911,534

Health Care Equipment & Supplies - 2.6%

Abaxis, Inc. (a)(d)

16,975

388,558

Abiomed, Inc. (a)(d)

31,613

352,801

Accuray, Inc.

12,289

282,647

Advanced Medical Optics, Inc. (a)

48,612

1,706,281

Align Technology, Inc. (a)

44,223

1,007,842

Alphatec Holdings, Inc.

14,930

55,092

American Medical Systems Holdings, Inc. (a)(d)

58,721

1,101,606

Analogic Corp.

12,972

856,152

Angiodynamics, Inc. (a)

20,296

321,692

Anika Therapeutics, Inc. (a)

9,355

127,228

Arrow International, Inc.

20,033

769,267

ArthroCare Corp. (a)

23,913

1,053,846

Aspect Medical Systems, Inc. (a)(d)

10,493

169,882

ATS Medical, Inc. (a)

6,269

10,156

Shares

Value

Beckman Coulter, Inc.

52,221

$ 3,415,253

BioLase Technology, Inc. (a)(d)

21,417

128,502

Biosite, Inc. (a)

15,458

1,420,899

Bovie Medical Corp. (a)(d)

18,610

133,620

BSD Medical Corp. (a)(d)

13,363

106,236

Cambridge Heart, Inc. (a)

1,200

4,932

Candela Corp. (a)

20,642

232,016

Cantel Medical Corp. (a)

6,163

109,393

Cardiac Science Corp. (a)

17,399

182,863

Cardiodynamics International Corp. (a)

13,842

9,911

Cardiotech International, Inc. (a)

3,688

4,831

Cerus Corp. (a)

40,324

250,815

Cholestech Corp. (a)

15,842

265,354

Clarient, Inc. (a)(d)

8,140

17,338

Clinical Data, Inc. (a)

941

20,890

Conceptus, Inc. (a)(d)

21,558

400,548

CONMED Corp. (a)

26,542

831,030

Cooper Companies, Inc.

37,574

2,071,830

Cutera, Inc. (a)

9,296

243,555

Cyberonics, Inc. (a)(d)

16,400

307,992

Cynosure, Inc. Class A (a)

6,020

192,399

Cytyc Corp. (a)

95,721

4,047,084

Dade Behring Holdings, Inc.

72,271

3,892,516

Datascope Corp.

9,720

358,182

DENTSPLY International, Inc.

120,131

4,341,534

DexCom, Inc. (a)(d)

35,375

232,060

Digirad Corp. (a)

4,978

22,600

DJO, Inc. (a)

20,403

795,921

E-Z-EM, Inc. (a)

3,324

56,774

Edwards Lifesciences Corp. (a)(d)

48,764

2,447,953

Electro-Optical Sciences, Inc. (a)

9,000

51,390

Endologix, Inc. (a)

29,516

132,232

Enpath Medical, Inc. (a)

3,275

46,964

EP Medsystems, Inc. (a)

14,220

25,454

EPIX Pharmaceuticals, Inc. (a)

9,769

57,539

Escalon Medical Corp. (a)

3,512

13,872

ev3, Inc. (a)(d)

28,488

495,121

Exactech, Inc. (a)

6,414

103,843

Fonar Corp. (a)

785

4,396

Foxhollow Technologies, Inc. (a)

21,038

475,459

Gen-Probe, Inc. (a)

46,667

2,524,218

Greatbatch, Inc. (a)

20,807

625,042

Haemonetics Corp. (a)

23,414

1,162,271

Hansen Medical, Inc. (d)

14,073

271,609

HealthTronics, Inc. (a)

18,929

90,859

Hillenbrand Industries, Inc.

49,345

3,266,639

Hologic, Inc. (a)

45,696

2,471,697

Home Diagnostics, Inc.

19,347

215,526

I-Flow Corp. (a)(d)

24,646

386,449

ICU Medical, Inc. (a)

13,059

524,319

IDEXX Laboratories, Inc. (a)

26,540

2,343,217

Immucor, Inc. (a)

56,303

1,778,049

Implant Sciences Corp. (a)

468

913

Insite Vision (a)

62,560

111,982

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Integra LifeSciences Holdings Corp. (a)

17,966

$ 922,015

Intuitive Surgical, Inc. (a)(d)

31,773

4,372,918

Invacare Corp.

28,693

509,301

Inverness Medical Innovations, Inc. (a)

35,923

1,713,168

Iridex Corp. (a)

9,439

52,009

IRIS International, Inc. (a)

21,153

291,488

IVAX Diagnostics, Inc. (a)

7,111

8,107

Kensey Nash Corp. (a)

8,253

192,542

Kinetic Concepts, Inc. (a)

44,355

2,225,734

Kyphon, Inc. (a)

37,276

1,770,237

Lifecore Biomedical, Inc. (a)

13,141

231,807

Medical Action Industries, Inc. (a)

13,708

276,902

Mentor Corp.

36,815

1,488,799

Meridian Bioscience, Inc.

34,462

727,837

Merit Medical Systems, Inc. (a)

18,942

216,886

Microtek Medical Holdings, Inc. (a)

38,801

177,709

Micrus Endovascular Corp. (a)

16,657

356,293

Minrad International, Inc. (a)

24,400

147,620

National Dentex Corp. (a)

2,508

46,323

Natus Medical, Inc. (a)(d)

21,654

339,318

Neogen Corp. (a)

6,838

187,224

NeuroMetrix, Inc. (a)(d)

7,830

70,548

NMT Medical, Inc. (a)

16,102

216,572

North American Scientific, Inc. (a)

3,930

5,502

Northstar Neuroscience, Inc.

18,816

251,194

Nutraceutical International Corp. (a)

13,525

221,134

NuVasive, Inc. (a)

23,821

618,393

NxStage Medical, Inc. (a)(d)

19,789

238,062

OraSure Technologies, Inc. (a)

45,145

345,811

Orthovita, Inc. (a)

20,662

57,854

Osteotech, Inc. (a)

4,011

29,361

Palomar Medical Technologies, Inc. (a)

13,766

535,360

PolyMedica Corp.

20,228

822,470

Possis Medical, Inc. (a)

16,597

195,347

Quidel Corp. (a)

32,548

478,130

Regeneration Technologies, Inc. (a)

39,621

398,191

ResMed, Inc. (a)

65,309

2,944,130

Respironics, Inc. (a)

62,082

2,740,920

Retractable Technologies, Inc. (a)

5,601

15,179

Rochester Medical Corp. (a)

8,589

131,583

Sirona Dental Systems, Inc. (d)

16,590

574,844

Somanetics Corp. (a)

8,762

160,520

Sonic Innovations, Inc. (a)

31,910

321,015

SonoSite, Inc. (a)

17,507

499,125

Staar Surgical Co. (a)

8,437

38,473

Stereotaxis, Inc. (a)

21,349

257,042

Steris Corp. (d)

55,862

1,679,770

Strategic Diagnostics, Inc. (a)

3,743

18,266

SurModics, Inc. (a)(d)

15,757

591,203

Symmetry Medical, Inc. (a)

25,189

386,147

Synovis Life Technologies, Inc. (a)

14,155

197,604

Shares

Value

The Spectranetics Corp. (a)

26,606

$ 255,950

Theragenics Corp. (a)

45,104

198,007

ThermoGenesis Corp. (a)

39,439

106,880

Thoratec Corp. (a)(d)

38,004

752,859

Trimedyne, Inc. (a)

8,608

10,588

Urologix, Inc. (a)

5,053

12,178

Utah Medical Products, Inc.

3,222

102,170

Vascular Solutions, Inc. (a)

21,325

192,138

Viasys Healthcare, Inc. (a)

29,211

1,254,612

Vision Sciences, Inc. (a)

8,293

10,200

Vital Signs, Inc.

6,169

358,974

Volcano Corp.

21,663

438,892

West Pharmaceutical Services, Inc.

31,870

1,620,908

Wright Medical Group, Inc. (a)

36,747

895,157

Young Innovations, Inc.

3,599

89,363

Zoll Medical Corp. (a)

18,824

422,599

89,942,403

Health Care Providers & Services - 2.5%

Access Plans USA, Inc. (a)(d)

3,930

7,428

Advocat, Inc. (a)

14,148

176,850

Air Methods Corp. (a)

7,431

262,463

Alliance Imaging, Inc. (a)

12,948

113,424

Allied Healthcare International, Inc. (a)

21,264

64,005

Allion Healthcare, Inc. (a)

9,407

47,035

Almost Family, Inc. (a)

7,418

175,065

Amedisys, Inc. (a)

19,609

731,416

America Service Group, Inc. (a)

4,584

84,942

American Dental Partners, Inc. (a)

13,941

359,957

AMERIGROUP Corp. (a)

42,735

1,089,743

AMN Healthcare Services, Inc. (a)

30,872

695,237

AmSurg Corp. (a)

30,687

755,207

Animal Health International, Inc.

18,873

234,969

Apria Healthcare Group, Inc. (a)

37,271

1,079,368

Arcadia Resources, Inc. (a)(d)

80,061

118,490

Assisted Living Concepts, Inc. Class A (a)

42,471

484,169

Bio-Reference Laboratories, Inc. (a)

15,824

412,057

BioScrip, Inc. (a)

27,406

114,831

Brookdale Senior Living, Inc. (d)

42,443

2,003,734

Capital Senior Living Corp. (a)

24,577

273,296

Centene Corp. (a)

38,730

890,403

Chemed Corp.

22,259

1,491,353

Chindex International, Inc. (a)(d)

5,445

114,073

Community Health Systems, Inc. (a)

79,860

3,044,263

Comprehensive Care Corp. (a)

300

315

Corvel Corp. (a)

10,620

291,413

Cross Country Healthcare, Inc. (a)

21,491

374,158

Cryolife, Inc.

23,279

339,873

DaVita, Inc. (a)

88,110

4,866,315

Dialysis Corp. of America (a)

7,648

83,440

Emergency Medical Services Corp.
Class A (a)

8,611

300,179

Emeritus Corp. (a)(d)

6,789

242,707

Five Star Quality Care, Inc. (a)(d)

24,607

200,793

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Genesis HealthCare Corp. (a)

17,240

$ 1,177,492

Gentiva Health Services, Inc. (a)

25,101

514,068

Hanger Orthopedic Group, Inc. (a)

15,855

181,381

Health Grades, Inc. (a)

14,002

89,893

Health Management Associates, Inc. Class A

196,800

2,164,800

Health Net, Inc. (a)

99,290

5,667,473

HealthExtras, Inc. (a)

28,188

857,761

HealthSouth Corp. (a)(d)

70,754

1,468,853

Healthspring, Inc. (a)

39,265

958,851

Healthways, Inc. (a)

30,358

1,415,290

HearUSA, Inc. (a)

11,117

18,010

Henry Schein, Inc. (a)

75,171

4,023,904

HMS Holdings Corp. (a)

22,242

456,183

Hooper Holmes, Inc. (a)

50,431

183,065

Horizon Health Corp. (a)

9,996

200,020

Hythiam, Inc. (a)(d)

35,825

285,167

I-trax, Inc. (a)(d)

31,500

141,435

Integramed America, Inc. (a)

12,500

144,750

InVentiv Health, Inc. (a)

24,546

924,402

Kindred Healthcare, Inc. (a)

30,255

968,160

Landauer, Inc.

6,794

337,526

LCA-Vision, Inc.

19,294

873,054

LHC Group, Inc. (a)(d)

16,020

470,347

LifePoint Hospitals, Inc. (a)

46,027

1,868,236

Lincare Holdings, Inc. (a)

78,452

3,145,141

Magellan Health Services, Inc. (a)

30,882

1,383,514

Matria Healthcare, Inc. (a)

20,805

665,760

Medcath Corp. (a)

9,021

297,693

Medical Staffing Network Holdings, Inc. (a)

8,863

52,469

Metropolitan Health Networks, Inc. (a)

36,067

64,921

Molina Healthcare, Inc. (a)

9,397

300,422

MWI Veterinary Supply, Inc. (a)

10,000

385,600

National Healthcare Corp.

5,307

282,598

National Home Health Care Corp.

1,600

20,272

National Medical Health Card Systems, Inc. (a)

2,994

49,341

National Research Corp.

1,185

31,284

Nighthawk Radiology Holdings, Inc. (a)(d)

17,798

323,034

NovaMed Eyecare, Inc. (a)

33,673

225,272

Odyssey Healthcare, Inc. (a)

35,991

466,803

Omnicare, Inc.

104,054

3,893,701

Option Care, Inc.

22,677

341,742

Owens & Minor, Inc.

35,142

1,247,541

PainCare Holdings, Inc. (a)(d)

63,158

19,579

PDI, Inc. (a)

3,836

40,240

Pediatric Services of America, Inc. (a)

16,212

256,960

Pediatrix Medical Group, Inc. (a)

39,933

2,300,939

Providence Service Corp. (a)(d)

11,318

305,246

PSS World Medical, Inc. (a)

58,610

1,098,938

Shares

Value

Psychemedics Corp.

3,872

$ 74,149

Psychiatric Solutions, Inc. (a)

43,787

1,708,569

QMed, Inc. (a)

4,585

15,589

Radiation Therapy Services, Inc. (a)(d)

9,544

263,605

RehabCare Group, Inc. (a)

10,698

168,814

ResCare, Inc. (a)

17,138

354,757

Rotech Healthcare, Inc. (a)

15,900

20,511

Rural/Metro Corp. (a)

20,488

143,211

Sierra Health Services, Inc. (a)

57,201

2,384,138

Skilled Healthcare Group, Inc.

1,539

24,362

SRI/Surgical Express, Inc. (a)

2,620

13,703

Sun Healthcare Group, Inc. (a)

33,342

476,791

Sunrise Senior Living, Inc. (a)(d)

37,848

1,482,128

Symbion, Inc. (a)

24,258

530,765

Triad Hospitals, Inc. (a)

73,640

3,940,476

U.S. Physical Therapy, Inc. (a)

16,352

227,129

Universal Health Services, Inc. Class B

42,905

2,651,100

VCA Antech, Inc. (a)

74,046

2,930,741

Visicu, Inc.

16,759

165,244

VistaCare, Inc. Class A (a)

19,895

188,804

Wellcare Health Plans, Inc. (a)

29,379

2,704,043

84,580,731

Health Care Technology - 0.3%

A.D.A.M., Inc. (a)

2,620

17,030

Allscripts Healthcare Solutions, Inc. (a)(d)

37,686

925,568

AMICAS, Inc. (a)

31,224

98,043

Arrhythmia Research Technology, Inc.

7,380

98,818

Cerner Corp. (a)(d)

53,095

3,016,327

Computer Programs & Systems, Inc.

9,905

332,610

Eclipsys Corp. (a)

44,403

904,933

Emageon, Inc. (a)(d)

18,876

143,080

Health Corp. (a)

139,505

2,105,130

HealthAxis, Inc. (a)

190

353

HealthStream, Inc. (a)

6,041

22,231

iCAD, Inc. (a)

48,360

154,268

Mediware Information Systems, Inc. (a)

1,310

9,144

Merge Technologies, Inc. (a)(d)

15,882

109,903

Omnicell, Inc. (a)

26,838

604,123

Phase Forward, Inc. (a)

24,189

397,667

ProxyMed, Inc. (a)

3,259

8,636

Quadramed Corp. (a)(d)

35,763

116,230

Transcend Services, Inc. (a)

14,000

238,000

TriZetto Group, Inc. (a)

32,955

610,656

Vital Images, Inc. (a)

14,431

398,151

WebMD Health Corp. Class A (a)(d)

9,120

458,371

10,769,272

Life Sciences Tools & Services - 1.0%

Accelrys, Inc. (a)

29,292

187,469

Advanced Magnetics, Inc. (a)

11,305

713,006

Affymetrix, Inc. (a)(d)

63,110

1,639,598

Albany Molecular Research, Inc. (a)

10,983

156,288

Alliance Pharmaceutical Corp. (a)

2,080

208

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

Applera Corp. - Celera Genomics Group (a)

58,482

$ 780,735

Bio-Imaging Technologies, Inc. (a)

2,110

14,665

Bio-Rad Laboratories, Inc. Class A (a)

15,741

1,175,853

Bioanalytical Systems, Inc. (a)

4,772

33,690

Biodelivery Sciences International, Inc. (a)

20,000

106,800

BioVeris Corp. (a)

25,451

544,142

Bruker BioSciences Corp. (a)

40,315

344,290

Caliper Life Sciences, Inc. (a)

28,993

133,368

Cambrex Corp.

25,026

311,073

Charles River Laboratories International, Inc. (a)

65,086

3,460,623

Ciphergen Biosystems, Inc. (a)

8,010

9,372

Covance, Inc. (a)

54,340

3,616,327

Cryo-Cell International, Inc. (a)

6,550

14,279

Dionex Corp. (a)(d)

15,118

1,071,866

Diversa Corp. (a)(d)

30,931

201,361

Encorium Group, Inc. (a)

7,298

23,135

Enzo Biochem, Inc. (a)(d)

38,087

619,295

eResearchTechnology, Inc. (a)

43,611

390,755

Exelixis, Inc. (a)

89,898

996,070

Gene Logic, Inc. (a)

7,441

10,864

Harvard Bioscience, Inc. (a)

8,617

44,550

Illumina, Inc. (a)(d)

53,500

1,745,705

Immunicon Corp. (a)

7,192

14,816

Interleukin Genetics, Inc. (a)

6,973

16,735

Invitrogen Corp. (a)

39,994

2,897,165

Kendle International, Inc. (a)

9,169

316,606

Luminex Corp. (a)

20,616

255,845

Medivation, Inc. (a)(d)

18,044

317,033

Medtox Scientific, Inc. (a)

8,211

201,991

Nanogen, Inc. (a)

35,888

47,731

Nektar Therapeutics (a)(d)

82,026

930,175

PAREXEL International Corp. (a)

24,512

985,873

Pharmaceutical Product Development, Inc.

86,618

3,161,557

PharmaNet Development Group, Inc. (a)

19,840

637,062

PRA International (a)

20,692

477,571

Sequenom, Inc. (a)

25,316

109,871

Stratagene Corp. (a)

1,955

21,231

Techne Corp. (a)

30,814

1,839,288

Third Wave Technologies, Inc. (a)

44,390

258,350

Tripos, Inc. (a)

2,058

1,626

Varian, Inc. (a)

26,948

1,585,890

Ventana Medical Systems, Inc. (a)

31,228

1,606,993

34,028,796

Pharmaceuticals - 0.9%

Abraxis BioScience, Inc. (a)(d)

23,499

578,545

Acusphere, Inc. (a)

1,403

4,097

Adams Respiratory Therapeutics, Inc. (a)

27,666

1,267,103

Shares

Value

Adolor Corp. (a)(d)

74,840

$ 281,398

Advancis Pharmaceutical Corp. (a)(d)

4,491

13,473

Akorn, Inc. (a)(d)

32,825

230,103

Alexza Pharmaceuticals, Inc. (a)

30,076

291,136

Alpharma, Inc. Class A

36,913

896,986

Alteon, Inc. (a)

9,772

537

Anesiva, Inc. (a)

1,142

8,622

Atherogenics, Inc. (a)(d)

26,187

62,587

Auxilium Pharmaceuticals, Inc. (a)

18,555

285,190

AVANIR Pharmaceuticals Class A (a)

14,261

49,343

Barrier Therapeutics, Inc. (a)(d)

6,541

42,713

Bentley Pharmaceuticals, Inc. (a)

12,642

149,934

BioMimetic Therapeutics, Inc.

12,723

232,322

Bradley Pharmaceuticals, Inc. (a)

14,282

315,347

Cadence Pharmaceuticals, Inc.

10,227

148,905

Caraco Pharmaceutical Laboratories Ltd. (a)

20,224

312,663

Collagenex Pharmaceuticals, Inc. (a)

22,008

233,065

Columbia Laboratories, Inc. (a)(d)

36,536

92,436

Corcept Therapeutics, Inc. (a)

7,957

11,060

Cortex Pharmaceuticals, Inc. (a)(d)

7,017

20,840

Cypress Bioscience, Inc. (a)

27,092

410,173

DepoMed, Inc. (a)(d)

14,582

63,723

Discovery Laboratories, Inc. (a)

33,851

114,755

Durect Corp. (a)

36,548

146,192

Emisphere Technologies, Inc. (a)(d)

22,624

89,365

Endo Pharmaceuticals Holdings, Inc. (a)

115,305

4,072,573

Heska Corp. (a)

20,430

45,355

Hi-Tech Pharmacal Co., Inc. (a)

9,053

106,825

Hollis-Eden Pharmaceuticals, Inc. (a)

6,761

17,173

Immtech Pharmaceuticals, Inc. (a)(d)

2,377

17,067

Inspire Pharmaceuticals, Inc. (a)

46,517

275,846

Interpharm Holdings, Inc. (a)

2,260

3,300

Ista Pharmaceuticals, Inc. (a)(d)

7,132

56,913

Javelin Pharmaceuticals, Inc. (a)

36,213

260,371

KV Pharmaceutical Co. Class A (a)

35,773

965,871

Matrixx Initiatives, Inc. (a)(d)

3,745

74,937

Medicines Co. (a)

41,546

810,562

Medicis Pharmaceutical Corp. Class A

47,246

1,559,118

MGI Pharma, Inc. (a)

70,773

1,513,127

Nastech Pharmaceutical Co., Inc. (a)(d)

27,713

333,665

NitroMed, Inc. (a)(d)

19,202

46,085

Noven Pharmaceuticals, Inc. (a)

23,333

547,159

Nutrition 21, Inc. (a)(d)

16,280

29,304

Obagi Medical Products, Inc.

7,000

125,930

Oxis International, Inc. (a)

5,100

1,224

Pain Therapeutics, Inc. (a)(d)

28,510

240,054

Par Pharmaceutical Companies, Inc. (a)

32,153

942,404

Penwest Pharmaceuticals Co. (a)(d)

18,669

242,697

Perrigo Co.

66,464

1,300,036

Pharmos Corp. (a)

12,987

18,052

Pozen, Inc. (a)

22,220

350,854

Questcor Pharmaceuticals, Inc. (a)

47,623

28,574

Repros Therapeutics, Inc. (a)

15,715

208,852

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Salix Pharmaceuticals Ltd. (a)(d)

45,480

$ 604,429

Santarus, Inc. (a)(d)

45,220

265,894

Sciele Pharma, Inc. (a)(d)

30,021

742,119

SCOLR Pharma, Inc. (a)(d)

17,200

38,700

Sepracor, Inc. (a)

93,629

4,559,732

Somaxon Pharmaceuticals, Inc. (a)(d)

7,756

116,340

Spectrum Pharmaceuticals, Inc. (a)

57,989

379,828

SuperGen, Inc. (a)(d)

50,317

325,551

Valeant Pharmaceuticals International

83,751

1,322,428

ViroPharma, Inc. (a)

62,129

900,249

Vivus, Inc. (a)(d)

59,578

324,700

Warner Chilcott Ltd.

70,979

1,288,979

Xenoport, Inc. (a)(d)

19,956

878,064

Zila, Inc. (a)

11,602

19,839

32,313,393

TOTAL HEALTH CARE

351,546,129

INDUSTRIALS - 12.6%

Aerospace & Defense - 0.9%

AAR Corp. (a)

33,085

1,075,263

AeroVironment, Inc.

8,625

179,055

Alliant Techsystems, Inc. (a)

28,674

2,896,074

Applied Signal Technology, Inc.

17,972

291,686

Argon ST, Inc. (a)

10,954

261,253

Armor Holdings, Inc. (a)

28,116

2,416,008

Ascent Solar Technologies, Inc. (a)(d)

22,936

160,781

Astronics Corp. (a)

3,368

94,439

BE Aerospace, Inc. (a)

78,394

3,001,706

Ceradyne, Inc. (a)

22,346

1,509,919

CPI Aerostructures, Inc. (a)

1,677

13,751

Cubic Corp.

19,229

483,225

Curtiss-Wright Corp.

38,610

1,740,153

DRS Technologies, Inc.

34,290

1,760,792

Ducommun, Inc. (a)

6,348

158,510

DynCorp International, Inc. Class A

16,696

289,509

EDO Corp.

17,717

594,760

Esterline Technologies Corp. (a)

22,461

1,021,976

GenCorp, Inc. (non-vtg.) (a)(d)

40,286

540,235

Heico Corp. Class A

19,833

709,823

Herley Industries, Inc. (a)

12,228

192,469

Hexcel Corp. (a)(d)

74,936

1,733,270

Innovative Solutions & Support, Inc. (a)(d)

8,701

228,662

Ionatron, Inc.

50,433

250,148

Irvine Sensors Corp. (a)

390

546

K&F Industries Holdings, Inc. (a)

18,051

477,629

Ladish Co., Inc. (a)

14,096

625,721

LMI Aerospace, Inc. (a)

5,920

123,018

Moog, Inc. Class A (a)

31,653

1,362,978

MTC Technologies, Inc. (a)

6,932

144,671

Orbital Sciences Corp. (a)

53,836

1,109,560

Shares

Value

Pemco Aviation Group, Inc. (a)

664

$ 6,295

Spirit AeroSystems Holdings, Inc. Class A

48,258

1,684,687

Stanley, Inc.

13,971

250,919

Sypris Solutions, Inc.

8,306

68,525

Taser International, Inc. (a)(d)

47,928

505,161

Teledyne Technologies, Inc. (a)

28,846

1,329,224

The Allied Defense Group, Inc. (a)

7,168

65,157

Todd Shipyards Corp.

6,043

124,607

Triumph Group, Inc.

12,884

851,375

TVI Corp. (a)

29,926

20,350

United Industrial Corp.

7,610

455,839

30,809,729

Air Freight & Logistics - 0.5%

ABX Air, Inc. (a)

44,456

280,962

AirNet Systems, Inc. (a)

400

1,428

Atlas Air Worldwide Holdings, Inc. (a)

13,489

790,860

Dynamex, Inc. (a)

9,891

267,057

EGL, Inc. (a)

28,263

1,309,990

Expeditors International of Washington, Inc.

183,771

8,023,442

Forward Air Corp.

27,631

939,730

Hub Group, Inc. Class A

34,085

1,260,463

Pacer International, Inc.

38,096

1,025,544

Park-Ohio Holdings Corp. (a)

8,657

201,881

UTI Worldwide, Inc.

71,355

1,997,226

16,098,583

Airlines - 0.7%

AirTran Holdings, Inc. (a)(d)

81,281

1,007,072

Alaska Air Group, Inc. (a)

33,865

987,503

Allegiant Travel Co.

6,729

213,646

AMR Corp. (a)(d)

192,810

5,466,164

Continental Airlines, Inc. Class B (a)(d)

83,357

3,348,451

Delta Air Lines, Inc. (a)

207,000

3,943,350

ExpressJet Holdings, Inc. Class A (a)

34,207

211,741

Frontier Airlines Holdings, Inc. (a)(d)

24,186

146,809

Hawaiian Holdings, Inc. (a)

24,994

97,477

JetBlue Airways Corp. (a)(d)

137,970

1,487,317

MAIR Holdings, Inc. (a)

10,106

66,902

Mesa Air Group, Inc. (a)

31,372

221,173

Midwest Air Group, Inc. (a)(d)

21,526

323,966

Pinnacle Airlines Corp. (a)

20,690

373,455

Republic Airways Holdings, Inc. (a)

27,249

636,809

SkyWest, Inc.

54,320

1,495,430

UAL Corp. (a)(d)

83,354

3,272,478

US Airways Group, Inc. (a)

53,977

1,924,280

25,224,023

Building Products - 0.5%

Aaon, Inc.

9,753

289,762

Advanced Environmental Recycling Technologies, Inc. Class A (a)

11,364

16,137

American Woodmark Corp.

10,570

393,733

Ameron International Corp.

7,159

561,982

Apogee Enterprises, Inc.

23,597

580,958

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

Armstrong World Industries, Inc. (a)

15,282

$ 856,250

Builders FirstSource, Inc. (a)

13,109

218,527

Goodman Global, Inc.

32,183

705,451

Griffon Corp. (a)

22,241

519,105

Insteel Industries, Inc. (d)

17,667

322,599

Lennox International, Inc.

52,433

1,795,830

NCI Building Systems, Inc. (a)(d)

19,180

986,044

Owens Corning (a)

72,694

2,609,715

PGT, Inc.

8,670

101,179

PW Eagle, Inc.

10,324

330,471

Simpson Manufacturing Co. Ltd. (d)

33,985

1,132,380

Trex Co., Inc. (a)(d)

9,177

183,540

Universal Forest Products, Inc.

14,214

683,409

US Home Systems, Inc. (a)

9,441

135,762

USG Corp. (a)(d)

66,475

3,414,156

15,836,990

Commercial Services & Supplies - 2.8%

A.T. Cross Co. Class A (a)

7,939

82,486

ABM Industries, Inc.

39,362

1,161,573

ACCO Brands Corp. (a)

43,322

1,083,483

Administaff, Inc.

23,121

842,992

Advisory Board Co. (a)

16,083

837,442

American Ecology Corp.

11,952

258,761

American Reprographics Co. (a)

27,365

842,842

Amrep Corp.

2,187

127,502

Angelica Corp.

10,844

272,184

APAC Customer Services, Inc. (a)

13,380

41,746

Arrowhead Research Corp. (a)(d)

22,957

174,473

Barrett Business Services, Inc.

6,200

155,682

Bowne & Co., Inc.

22,482

435,926

Brady Corp. Class A (a)

40,402

1,500,530

Casella Waste Systems, Inc. Class A (a)

29,398

315,147

CBIZ, Inc. (a)

60,148

449,907

CDI Corp.

10,663

356,571

CECO Environmental Corp. (a)

10,861

132,504

Cenveo, Inc. (a)

36,442

889,549

ChoicePoint, Inc. (a)

72,864

3,195,815

Clean Harbors, Inc.

11,343

533,008

Comfort Systems USA, Inc.

42,341

592,774

Competitive Technologies, Inc. (a)

3,836

9,974

Comsys IT Partners, Inc. (a)

9,126

210,081

Consolidated Graphics, Inc. (a)

11,385

826,551

Copart, Inc. (a)

56,572

1,764,481

Cornell Companies, Inc. (a)

9,523

226,933

Corporate Executive Board Co.

34,304

2,281,559

Corrections Corp. of America (a)

54,290

3,517,992

CoStar Group, Inc. (a)(d)

16,629

902,290

Covanta Holding Corp. (a)

91,895

2,278,996

CRA International, Inc. (a)

12,297

650,388

Deluxe Corp.

43,383

1,894,536

Shares

Value

Diamond Management & Technology Consultants, Inc.

25,988

$ 338,104

Document Security Systems, Inc. (a)(d)

9,753

118,401

Dun & Bradstreet Corp.

58,645

5,872,124

Ennis, Inc.

22,496

537,654

Exponent, Inc. (a)

8,808

202,584

First Advantage Corp. Class A (a)

10,252

245,125

First Consulting Group, Inc. (a)

16,842

152,420

Food Technology Service, Inc. (a)

6,071

15,967

FTI Consulting, Inc. (a)(d)

35,669

1,322,607

Fuel Tech, Inc. (a)

11,302

300,633

G&K Services, Inc. Class A

19,453

740,576

GeoEye, Inc. (a)

10,285

212,900

GP Strategies Corp. (a)

14,690

156,595

Healthcare Services Group, Inc.

23,291

649,120

Heidrick & Struggles International, Inc. (a)

16,722

815,030

Herman Miller, Inc.

54,299

1,954,764

Hill International, Inc. (a)(d)

10,000

70,400

HNI Corp.

34,454

1,518,043

Hudson Highland Group, Inc. (a)

28,033

604,952

Humitech International Group, Inc. (a)

75

0

Huron Consulting Group, Inc. (a)

13,021

892,199

ICF International, Inc.

9,874

181,879

ICT Group, Inc. (a)

7,987

150,555

IHS, Inc. Class A (a)

25,810

1,037,304

IKON Office Solutions, Inc.

97,438

1,419,672

InnerWorkings, Inc. (d)

29,905

397,437

Innotrac Corp. (a)

3,181

9,734

Interface, Inc. Class A

47,313

798,643

Intersections, Inc. (a)

3,842

39,880

Kaiser Ventures LLC Class A (a)

100

0

Kelly Services, Inc. Class A (non-vtg.)

15,957

459,881

Kenexa Corp. (a)

20,075

783,126

Kforce, Inc. (a)

31,125

500,179

Knoll, Inc.

40,570

981,794

Korn/Ferry International (a)

39,708

1,032,805

Labor Ready, Inc. (a)

41,139

987,336

Layne Christensen Co. (a)

9,628

433,356

Learning Tree International, Inc. (a)

4,772

65,854

LECG Corp. (a)

17,331

256,499

M&F Worldwide Corp. (a)(d)

13,753

939,192

Mac-Gray Corp. (a)

3,487

52,898

Manpower, Inc.

74,434

6,847,928

McGrath RentCorp.

22,234

692,144

Medialink Worldwide, Inc. (a)(d)

9,153

47,321

Mine Safety Appliances Co. (d)

26,004

1,118,172

Mobile Mini, Inc. (a)

32,900

993,580

Multi-Color Corp.

4,668

191,621

Nashua Corp. (a)

4,665

48,236

Navigant Consulting, Inc. (a)

45,819

954,868

Odyssey Marine Exploration, Inc. (a)

41,200

271,920

On Assignment, Inc. (a)

26,914

293,363

PeopleSupport, Inc. (a)(d)

22,685

274,715

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Perma-Fix Environmental Services, Inc. (a)

8,161

$ 25,299

PHH Corp. (a)

48,705

1,509,855

Pike Electric Corp. (a)(d)

16,493

359,712

PRG-Schultz International, Inc. (a)

12,296

201,040

Protection One, Inc. (d)

2,194

33,546

RCM Technologies, Inc. (a)

5,333

33,598

Republic Services, Inc.

151,573

4,589,630

Resources Connection, Inc. (a)

40,441

1,304,627

Rollins, Inc.

31,671

731,283

RSC Holdings, Inc.

3,546

71,097

SAIC, Inc.

84,122

1,695,058

Schawk, Inc. Class A

8,849

180,431

School Specialty, Inc. (a)

19,272

673,364

Sirva, Inc. (a)

9,936

28,318

Spherion Corp. (a)

59,543

586,499

Spherix, Inc. (a)

5,297

14,673

Standard Parking Corp. (a)

3,872

142,025

Standard Register Co.

11,044

131,534

Steelcase, Inc. Class A

48,252

937,054

Stericycle, Inc. (a)

38,855

3,542,410

Taleo Corp. Class A (a)

10,048

196,941

Team, Inc. (a)

5,770

226,126

TeamStaff, Inc. (a)

6,456

6,327

Teletech Holdings, Inc. (a)

30,363

1,068,170

Tetra Tech, Inc. (a)

51,793

1,142,554

The Brink's Co.

39,844

2,626,915

The Geo Group, Inc. (a)

20,499

1,117,196

TRC Companies, Inc. (a)

3,649

48,313

TRM Corp. (a)

4,518

6,416

U.S. Liquids, Inc. (a)

500

0

United Stationers, Inc. (a)

27,725

1,860,070

UTEK Corp. (d)

10,333

156,545

Viad Corp.

15,820

701,933

Volt Information Sciences, Inc. (a)

9,477

235,314

Waste Connections, Inc. (a)

64,678

1,993,376

Waste Industries USA, Inc.

5,309

165,588

Waterlink, Inc. (a)

13,000

1

Watson Wyatt Worldwide, Inc. Class A

34,424

1,775,246

WCA Waste Corp. (a)

14,127

118,384

Westaff, Inc. (a)

6,445

34,481

98,099,717

Construction & Engineering - 1.0%

AECOM Technology Corp. (a)

34,384

787,394

EMCOR Group, Inc. (a)

26,922

1,765,814

Foster Wheeler Ltd. (a)

57,421

5,945,370

Furmanite Corp. (a)

6,501

47,457

Granite Construction, Inc.

28,303

1,938,472

Infrasource Services, Inc. (a)

34,459

1,247,416

Insituform Technologies, Inc.
Class A (a)(d)

21,224

447,614

Shares

Value

Integrated Electrical Services, Inc. (a)

10,323

$ 273,353

Jacobs Engineering Group, Inc. (a)

101,938

5,907,307

KBR, Inc.

135,822

3,739,180

Michael Baker Corp. (a)

6,664

228,175

Modtech Holdings, Inc. (a)

5,824

16,016

Perini Corp. (a)

17,679

972,345

Quanta Services, Inc. (a)

88,632

2,659,846

Shaw Group, Inc. (a)

64,317

2,602,266

Sterling Construction Co., Inc. (a)

7,183

168,298

URS Corp. (a)

48,558

2,441,496

Washington Group International, Inc. (a)

24,931

2,094,204

33,282,023

Electrical Equipment - 1.2%

A.O. Smith Corp.

16,094

632,333

Active Power, Inc. (a)

42,574

72,376

Acuity Brands, Inc.

36,601

2,222,047

American Superconductor Corp. (a)(d)

25,860

448,412

AMETEK, Inc.

89,032

3,360,068

AML Communications, Inc. (a)

4,959

6,943

AZZ, Inc. (a)

14,388

488,473

Baldor Electric Co.

35,538

1,648,252

Beacon Power Corp. (a)

1,934

1,644

Belden CDT, Inc.

37,243

2,132,534

BTU International, Inc. (a)

5,333

68,636

C&D Technologies, Inc. (a)(d)

41,016

255,530

Capstone Turbine Corp. (a)(d)

73,813

70,860

Chase Corp.

5,431

157,988

Coleman Cable, Inc. (a)

9,142

242,812

Digital Power Corp. (a)

4,959

6,149

Encore Wire Corp. (d)

16,325

474,241

Energy Conversion Devices, Inc. (a)(d)

34,512

1,186,523

Energy Focus, Inc. (a)

9,000

67,500

EnerSys (a)

28,340

513,521

Evergreen Solar, Inc. (a)(d)

52,102

436,615

EXX, Inc. Class A (a)

3,975

9,143

First Solar, Inc.

24,293

1,652,896

Franklin Electric Co., Inc. (d)

16,674

786,012

FuelCell Energy, Inc. (d)

37,064

255,742

General Cable Corp.

42,054

2,865,980

Genlyte Group, Inc. (a)

20,419

1,778,903

GrafTech International Ltd. (a)

93,120

1,441,498

Hoku Scientific, Inc. (a)

35,507

165,995

Hubbell, Inc. Class B

51,302

2,889,842

II-VI, Inc. (a)

24,899

690,947

LaBarge, Inc. (a)

3,526

45,203

Lamson & Sessions Co. (a)

12,003

335,244

LSI Industries, Inc.

22,573

344,464

MagneTek, Inc. (a)

24,905

124,027

Medis Technologies Ltd. (a)(d)

17,535

256,186

Microfield Group, Inc. (a)(d)

20,770

17,447

Microvision, Inc. (a)(d)

55,975

310,102

Millennium Cell, Inc. (a)

10,760

7,425

Plug Power, Inc. (a)(d)

58,171

172,186

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

Powell Industries, Inc. (a)

3,555

$ 99,540

Power-One, Inc. (a)

77,604

284,031

Preformed Line Products Co.

2,387

121,069

Regal-Beloit Corp.

26,789

1,302,213

Roper Industries, Inc.

73,743

4,303,641

Satcon Technology Corp. (a)(d)

5,988

7,006

Superior Essex, Inc. (a)

17,936

633,858

Technology Research Corp.

3,139

16,919

Thomas & Betts Corp. (a)

49,988

2,900,304

Ultralife Batteries, Inc. (a)(d)

14,770

143,121

Universal Security Instruments, Inc. (a)

4,000

125,600

UQM Technologies, Inc. (a)

9,558

38,519

Valence Technology, Inc. (a)(d)

28,181

38,044

Vicor Corp.

14,143

167,877

Woodward Governor Co.

24,562

1,356,805

40,181,246

Industrial Conglomerates - 0.5%

Carlisle Companies, Inc.

54,319

2,398,184

McDermott International, Inc. (a)

93,238

7,272,564

Raven Industries, Inc.

17,290

608,954

Sequa Corp. Class A (a)

6,103

671,330

Standex International Corp.

13,917

397,052

Teleflex, Inc.

29,407

2,361,382

Tredegar Corp.

22,613

522,586

Walter Industries, Inc.

45,307

1,458,432

15,690,484

Machinery - 2.7%

3D Systems Corp. (a)(d)

10,723

216,176

A.S.V., Inc. (a)(d)

19,924

349,268

Accuride Corp. (a)

25,655

403,297

Actuant Corp. Class A

23,927

1,331,059

AGCO Corp. (a)

75,881

3,284,130

Alamo Group, Inc.

3,665

93,054

Albany International Corp. Class A

23,271

910,362

Altra Holdings, Inc.

10,000

169,100

American Railcar Industries, Inc.

6,226

249,725

American Science & Engineering, Inc. (a)(d)

9,514

515,469

Ampco-Pittsburgh Corp.

3,730

141,292

Astec Industries, Inc. (a)

16,319

703,186

Axsys Technologies, Inc. (a)

6,806

141,225

Badger Meter, Inc.

7,904

203,054

Baldwin Technology Co., Inc. Class A (a)

3,555

21,721

Barnes Group, Inc.

36,936

1,089,243

Basin Water, Inc. (d)

5,840

41,464

Blount International, Inc. (a)

30,055

392,518

BNS Holding, Inc. Class A (a)

20

254

Briggs & Stratton Corp.

39,897

1,294,658

Bucyrus International, Inc. Class A

31,393

2,227,333

Cascade Corp.

10,800

735,480

Shares

Value

Catalytica Energy Systems, Inc. (a)

8,234

$ 12,927

Chart Industries, Inc.

10,205

234,817

Circor International, Inc.

13,104

500,442

CLARCOR, Inc.

49,508

1,654,557

Columbus McKinnon Corp. (NY Shares) (a)

13,284

398,520

Commercial Vehicle Group, Inc. (a)

23,576

457,139

Crane Co.

47,614

2,080,256

Donaldson Co., Inc.

66,671

2,435,492

Dynamic Materials Corp. (a)

7,896

286,230

Eastern Co.

7,453

218,075

EnPro Industries, Inc. (a)

16,362

679,677

ESCO Technologies, Inc. (a)(d)

21,495

1,089,152

Federal Signal Corp.

41,599

679,728

Flanders Corp. (a)(d)

10,793

76,738

Flow International Corp. (a)

32,121

412,434

Flowserve Corp.

50,669

3,516,935

Force Protection, Inc. (a)(d)

53,841

1,546,314

FreightCar America, Inc.

9,610

475,022

Gardner Denver, Inc. (a)

43,503

1,791,889

Gehl Co. (a)

7,751

230,282

Gorman-Rupp Co.

14,693

495,154

Graco, Inc.

57,249

2,292,250

Graham Corp.

4,038

69,656

Greenbrier Companies, Inc. (d)

15,064

474,968

Hardinge, Inc.

9,527

296,861

Harsco Corp.

71,218

3,793,071

Hirsch International Corp. Class A (a)

2,100

10,668

Hurco Companies, Inc. (a)

6,978

333,269

IDEX Corp.

71,626

2,700,300

Joy Global, Inc.

97,756

5,535,922

K-Tron International, Inc. (a)

2,734

255,766

Kadant, Inc. (a)

10,799

322,350

Kaydon Corp.

24,116

1,163,597

Kennametal, Inc.

34,518

2,655,125

Key Technology, Inc. (a)

2,697

54,533

L.B. Foster Co. Class A (a)

8,604

229,469

Lincoln Electric Holdings, Inc.

33,697

2,368,562

Lindsay Corp. (d)

9,496

326,188

Lydall, Inc. (a)

19,210

271,053

Manitowoc Co., Inc.

52,624

3,987,847

Met-Pro Corp.

6,581

101,347

Middleby Corp. (a)

5,813

720,986

Milacron, Inc. (a)

1,345

10,370

Miller Industries, Inc. (a)

8,914

218,036

Mueller Industries, Inc.

32,321

1,130,912

Mueller Water Products, Inc.:

Class A (d)

42,960

704,544

Class B

56,545

896,238

NACCO Industries, Inc. Class A

5,002

850,340

Nordson Corp.

25,208

1,310,564

Omega Flex, Inc.

3,426

71,295

Oshkosh Truck Co.

63,939

3,944,397

Paragon Technologies, Inc. (a)

1,565

9,218

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Pentair, Inc.

82,307

$ 3,044,536

Portec Rail Products, Inc.

5,406

65,629

RBC Bearings, Inc. (a)

17,814

687,620

Robbins & Myers, Inc.

12,691

570,080

Spire Corp. (a)

200

1,972

SPX Corp.

56,618

4,975,024

Sun Hydraulics Corp.

10,640

459,435

Tecumseh Products Co. Class A (non-vtg.) (a)(d)

17,767

283,739

Tennant Co.

17,405

566,011

The L.S. Starrett Co. Class A

5,190

88,282

Timken Co.

74,582

2,622,303

Titan International, Inc.

13,144

414,562

Toro Co.

36,128

2,161,538

Trinity Industries, Inc. (d)

66,979

3,092,420

TurboChef Technologies, Inc. (a)

14,658

192,606

Twin Disc, Inc.

3,578

249,387

Valmont Industries, Inc.

15,590

1,098,939

Wabash National Corp.

25,195

368,603

Wabtec Corp.

43,865

1,717,753

Watts Water Technologies, Inc. Class A

25,624

971,150

Xerium Technologies, Inc.

21,467

168,087

94,694,226

Marine - 0.2%

Alexander & Baldwin, Inc.

39,208

2,097,236

American Commercial Lines, Inc. (a)

40,386

1,279,832

Eagle Bulk Shipping, Inc. (d)

30,292

674,906

Excel Maritime Carriers Ltd. (a)

14,221

336,895

Genco Shipping & Trading Ltd.

17,664

672,292

Horizon Lines, Inc. Class A

20,616

710,840

International Shipholding Corp. (a)

4,464

90,396

Kirby Corp. (a)

43,637

1,746,353

7,608,750

Road & Rail - 0.8%

AMERCO (a)(d)

7,255

511,840

Arkansas Best Corp.

21,525

888,767

Avis Budget Group, Inc. (a)

88,625

2,680,906

Celadon Group, Inc. (a)

16,572

273,604

Con-way, Inc.

42,610

2,415,987

Covenant Transport, Inc. Class A (a)

4,491

50,614

Dollar Thrifty Automotive Group, Inc. (a)

20,712

962,694

Florida East Coast Industries, Inc. Class A

22,450

1,879,739

Frozen Food Express Industries, Inc.

4,026

41,669

Genesee & Wyoming, Inc. Class A (a)

32,219

1,048,084

Heartland Express, Inc. (d)

66,575

1,116,463

Hertz Global Holdings, Inc.

78,311

1,658,627

J.B. Hunt Transport Services, Inc.

88,505

2,579,036

Kansas City Southern (d)

65,295

2,680,360

Knight Transportation, Inc.

47,474

889,188

Laidlaw International, Inc.

68,874

2,362,378

Shares

Value

Landstar System, Inc.

48,269

$ 2,348,770

Marten Transport Ltd. (a)

18,360

355,450

Old Dominion Freight Lines, Inc. (a)

30,609

955,919

P.A.M. Transportation Services, Inc. (a)

3,368

61,836

Patriot Transportation Holding, Inc. (a)

534

47,761

Quality Distribution, Inc. (a)

6,526

65,717

Saia, Inc. (a)

10,643

304,283

U.S. Xpress Enterprises, Inc. Class A (a)

6,026

83,701

Universal Truckload Services, Inc. (a)

5,000

107,000

USA Truck, Inc. (a)

4,594

76,950

Werner Enterprises, Inc.

50,060

967,660

YRC Worldwide, Inc. (a)

46,987

1,888,877

29,303,880

Trading Companies & Distributors - 0.7%

Aceto Corp.

13,271

117,050

Aircastle Ltd.

24,508

957,037

Applied Industrial Technologies, Inc.

35,142

1,028,255

Beacon Roofing Supply, Inc. (a)(d)

40,814

730,571

BlueLinx Corp.

14,464

165,034

Electro Rent Corp. (a)

14,337

206,596

Empire Resources, Inc. (d)

3,903

39,928

Fastenal Co. (d)

123,682

5,360,378

GATX Corp.

37,246

1,916,307

H&E Equipment Services, Inc. (a)

13,420

350,530

Houston Wire & Cable Co.

15,402

440,959

Huttig Building Products, Inc. (a)

6,924

56,223

Interline Brands, Inc. (a)

28,956

708,843

Kaman Corp.

23,582

692,839

Lawson Products, Inc.

2,516

92,664

MSC Industrial Direct Co., Inc. Class A

39,738

2,128,367

NuCo2, Inc. (a)(d)

10,939

282,883

Rush Enterprises, Inc. Class A (a)

25,209

617,873

TAL International Group, Inc.

13,278

345,494

TransDigm Group, Inc. (a)

14,260

526,907

UAP Holding Corp.

29,745

876,288

United Rentals, Inc. (a)

60,547

2,031,352

Watsco, Inc.

21,929

1,386,132

WESCO International, Inc. (a)

40,932

2,653,212

Williams Scotsman International, Inc. (a)

24,843

570,395

Willis Lease Finance Corp.

2,246

25,268

24,307,385

Transportation Infrastructure - 0.1%

Interpool, Inc.

13,630

367,874

Macquarie Infrastructure Co. Trust

29,774

1,328,218

Quixote Corp.

10,799

199,458

1,895,550

TOTAL INDUSTRIALS

433,032,586

INFORMATION TECHNOLOGY - 13.6%

Communications Equipment - 1.4%

3Com Corp. (a)

367,515

1,719,970

ACE*COMM Corp. (a)

4,585

3,714

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Acme Packet, Inc.

19,434

$ 230,293

Adtran, Inc.

53,503

1,447,791

Airspan Networks, Inc. (a)

55,386

182,774

Alliance Fiber Optic Products, Inc. (a)

23,499

40,653

AltiGen Communications, Inc. (a)

1,965

3,262

Anaren, Inc. (a)

13,340

232,916

Andrew Corp. (a)

139,794

1,849,475

Arris Group, Inc. (a)

92,971

1,529,373

Avanex Corp. (a)(d)

199,217

336,677

Avici Systems, Inc.

5,006

45,505

Avocent Corp. (a)

39,482

1,106,680

Aware, Inc. (a)

10,854

57,418

Bel Fuse, Inc. Class B (non-vtg.)

8,174

296,880

BigBand Networks, Inc.

10,200

176,256

Black Box Corp.

18,367

669,110

Blue Coat Systems, Inc. (a)(d)

10,558

464,446

Bookham, Inc. (a)

57,200

122,980

C-COR, Inc. (a)

39,930

584,575

Carrier Access Corp. (a)

8,499

33,826

Comarco, Inc. (a)

2,807

16,954

CommScope, Inc. (a)

50,718

2,775,796

Communications Systems, Inc.

2,049

20,244

Comtech Telecommunications Corp. (a)

21,525

963,674

Digi International, Inc. (a)

20,366

286,142

Ditech Networks, Inc. (a)

24,840

198,720

Dycom Industries, Inc. (a)

35,403

1,052,885

EFJ, Inc. (a)

12,549

66,259

EMS Technologies, Inc. (a)

13,418

272,788

Endwave Corp. (a)

18,064

222,368

Entrada Networks, Inc. (a)

292

0

eOn Communications Corp. (a)

3,013

2,742

Extreme Networks, Inc. (a)

110,073

412,774

Ezenia!, Inc. (a)

2,900

3,741

F5 Networks, Inc. (a)

36,104

2,933,811

Finisar Corp. (a)(d)

237,565

862,361

Foundry Networks, Inc. (a)

114,230

1,836,818

Globecomm Systems, Inc. (a)

18,319

249,688

Harmonic, Inc. (a)

58,676

533,952

Harris Corp.

112,885

5,635,219

Harris Stratex Networks, Inc. (a)

25,381

434,015

Hughes Communications, Inc. (a)

2,184

116,953

Inter-Tel, Inc.

18,007

470,883

InterDigital Communication Corp. (a)

46,613

1,517,253

ISCO International, Inc. (a)

19,929

4,584

Ixia (a)

25,559

237,188

KVH Industries, Inc. (a)

19,517

181,313

Lantronix, Inc. (a)

17,964

24,790

Loral Space & Communications Ltd. (a)

12,027

564,066

MasTec, Inc. (a)

31,599

429,430

MRV Communications, Inc. (a)(d)

91,561

301,236

NETGEAR, Inc. (a)

30,136

1,124,374

Shares

Value

Network Engines, Inc. (a)

9,093

$ 17,277

Network Equipment Technologies, Inc. (a)

26,253

274,344

Nextwave Wireless, Inc. (a)(d)

46,937

426,188

NMS Communications Corp. (a)

36,033

64,859

NumereX Corp. Class A (a)

4,959

51,822

Occam Networks, Inc. (a)

8,924

87,544

Oplink Communications, Inc. (a)

13,673

240,371

Opnext, Inc.

21,452

252,919

Optelecom Nkf, Inc. (a)

1,053

6,739

Optical Cable Corp. (a)

1,228

6,496

Optical Cable Corp. warrants 10/24/07 (a)

1,083

855

Optical Communication Products, Inc. (a)

7,672

11,431

Optium Corp.

14,784

200,028

ORBCOMM, Inc. (d)

18,975

301,703

Packeteer, Inc. (a)

33,076

339,360

Parkervision, Inc. (a)(d)

17,166

179,556

PC-Tel, Inc. (a)

22,837

222,889

Pegasus Wireless Corp. warrants 8/11/08 (a)

4,310

7

Performance Technologies, Inc. (a)

4,304

22,123

Plantronics, Inc.

44,599

1,083,756

Polycom, Inc. (a)

74,607

2,366,534

Powerwave Technologies, Inc. (a)(d)

88,261

563,105

Radyne Corp. (a)

20,583

191,010

Riverbed Technology, Inc.

23,416

976,681

SCM Microsystems, Inc. (a)

4,117

16,344

SeaChange International, Inc. (a)

31,672

285,048

Sirenza Microdevices, Inc. (a)

33,336

353,362

Sonus Networks, Inc. (a)

227,117

1,969,104

Stratos International, Inc. (a)

2,179

17,083

Sycamore Networks, Inc. (a)

185,978

691,838

Symmetricom, Inc. (a)

44,266

359,883

Tekelec (a)

62,915

943,725

Telkonet, Inc. (a)(d)

34,540

70,116

Telular Corp. (a)

4,093

16,822

Terabeam, Inc. (a)

2,250

4,815

Tollgrade Communications, Inc. (a)

15,734

173,861

UTStarcom, Inc. (a)(d)

98,847

712,687

Veramark Technologies, Inc. (a)

1,700

1,275

ViaSat, Inc. (a)

25,078

812,276

Vyyo, Inc. (a)(d)

7,423

43,128

Wave Wireless Corp. (a)

40

0

Wegener Corp. (a)

11,602

12,994

Westell Technologies, Inc. Class A (a)

93,476

254,255

WJ Communications, Inc. (a)

17,073

29,878

Zhone Technologies, Inc. (a)

173,196

249,402

49,793,088

Computers & Peripherals - 1.0%

ActivIdentity Corp. (a)

30,377

136,697

Adaptec, Inc. (a)

97,213

395,657

Ampex Corp. Class A (a)

1,884

28,260

Avid Technology, Inc. (a)(d)

34,299

1,169,596

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Brocade Communications Systems, Inc. (a)

347,807

$ 3,192,868

Concurrent Computer Corp. (a)

79,110

141,607

CopyTele, Inc. (a)

16,655

10,326

Cray, Inc. (a)

29,711

240,659

Datalink Corp. (a)

2,058

13,500

Dataram Corp.

3,649

16,238

Diebold, Inc.

58,334

2,892,200

Dot Hill Systems Corp. (a)

30,475

121,595

Electronics for Imaging, Inc. (a)

53,247

1,518,072

Emulex Corp. (a)

74,136

1,645,078

FOCUS Enhancements, Inc. (a)

7,672

10,664

Gateway, Inc. (a)

202,907

363,204

Hauppauge Digital, Inc. (a)

4,117

22,808

HEI, Inc. (a)

3,368

4,345

Hutchinson Technology, Inc. (a)

21,473

392,526

Hypercom Corp. (a)

60,574

366,473

Imation Corp.

31,408

1,190,677

Immersion Corp. (a)

32,589

397,260

InFocus Corp. (a)

16,952

41,702

Innovex, Inc. (a)

4,552

7,101

Intermec, Inc. (a)(d)

45,598

1,121,711

Interphase Corp. (a)

2,203

20,995

Iomega Corp. (a)

46,398

198,119

Komag, Inc. (a)

23,613

572,851

LaserCard Corp. (a)(d)

11,480

138,908

Mobility Electronics, Inc. (a)(d)

18,109

54,870

Neoware, Inc. (a)

14,217

172,452

Novatel Wireless, Inc. (a)

33,008

766,776

Overland Storage, Inc. (a)

6,049

17,905

Palm, Inc. (a)

79,424

1,293,817

Presstek, Inc. (a)(d)

19,299

132,198

Printronix, Inc.

1,310

17,279

Qualstar Corp. (a)

2,735

8,834

Quantum Corp. (a)

171,906

531,190

Rackable Systems, Inc. (a)(d)

20,122

244,080

Rimage Corp. (a)

10,658

298,211

Seagate Technology

477,255

9,826,680

Silicon Graphics, Inc. (a)

8,036

233,044

Socket Communications, Inc. (a)

8,047

7,081

STEC, Inc. (a)

16,223

100,583

Stratasys, Inc. (a)(d)

8,706

419,194

Supermicro Computer, Inc.

10,000

100,600

Synaptics, Inc. (a)

20,063

633,188

Transact Technologies, Inc. (a)

2,830

17,942

ViewCast.com, Inc. (a)

10,386

4,258

Western Digital Corp. (a)

189,994

3,573,787

Zoom Technologies, Inc. (a)

5,240

6,969

34,832,635

Shares

Value

Electronic Equipment & Instruments - 2.2%

Acacia Research Corp. - Acacia Technologies (a)

28,810

$ 390,952

Advanced Photonix, Inc. Class A (a)(d)

11,134

19,819

Aeroflex, Inc. (a)

70,624

998,623

Aetrium, Inc. (a)

100

458

Agilysys, Inc.

23,755

515,959

Allied Motion Technologies, Inc. (a)

3,555

21,437

American Technical Ceramics Corp. (a)

2,713

39,935

American Technology Corp. (a)

2,713

10,228

Amphenol Corp. Class A

154,881

5,541,642

Anixter International, Inc. (a)(d)

28,729

2,121,924

APA Enterprises, Inc. (a)

3,836

4,872

Arrow Electronics, Inc. (a)

101,354

4,160,582

Avnet, Inc. (a)

125,729

5,386,230

AVX Corp.

37,968

683,044

Axcess, Inc. (a)

6,529

9,467

Bell Industries, Inc. (a)(d)

7,298

31,673

Bell Microproducts, Inc. (a)

21,017

135,349

Benchmark Electronics, Inc. (a)

61,994

1,370,687

Brightpoint, Inc. (a)

43,183

567,425

CalAmp Corp. (a)

25,303

113,357

Cash Technologies, Inc. (a)

2,900

2,813

CDW Corp.

52,046

4,431,196

Checkpoint Systems, Inc. (a)

37,743

944,707

Chyron Corp. (a)

7,000

6,090

Cogent, Inc. (a)(d)

32,677

505,840

Cognex Corp.

38,437

904,423

Coherent, Inc. (a)

25,857

802,084

Color Kinetics, Inc. (a)(d)

19,493

571,145

CPI International, Inc.

8,558

175,353

CTS Corp.

33,602

403,896

CyberOptics Corp. (a)

11,204

153,943

Daktronics, Inc.

28,451

681,686

Daystar Technologies, Inc. (a)(d)

55,291

254,339

DDi Corp. (a)

20,393

143,159

Digital Angel Corp. (a)(d)

7,990

14,542

Dolby Laboratories, Inc. Class A (a)

28,320

954,384

DTS, Inc. (a)

18,680

426,278

Echelon Corp. (a)(d)

36,963

644,635

Electro Scientific Industries, Inc. (a)

32,818

677,692

En Pointe Technologies, Inc. (a)

2,994

10,329

Excel Technology, Inc. (a)

13,164

355,691

FARO Technologies, Inc. (a)

11,945

396,455

FLIR Systems, Inc. (a)

58,411

2,415,879

Frequency Electronics, Inc.

1,170

12,332

Gerber Scientific, Inc. (a)

18,124

206,795

Giga-Tronics, Inc. (a)

4,585

7,978

GTSI Corp. (a)

3,743

49,557

I. D. Systems Inc. (a)(d)

11,645

157,673

Ingram Micro, Inc. Class A (a)

128,270

2,657,754

InPlay Technologies, Inc. (a)

4,023

5,391

Insight Enterprises, Inc. (a)

43,665

967,616

Intelli-Check, Inc. (a)

1,429

9,860

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

IPG Photonics Corp.

7,244

$ 162,483

Iteris, Inc. (a)

4,304

10,545

Itron, Inc. (a)

21,539

1,457,113

Jaco Electronics, Inc. (a)

3,836

9,360

Keithley Instruments, Inc.

19,213

254,957

KEMET Corp. (a)

65,753

504,983

L-1 Identity Solutions, Inc. (d)

56,896

1,216,436

LeCroy Corp. (a)

12,897

118,652

LightPath Technologies, Inc. Class A (a)

1,150

6,038

Littelfuse, Inc. (a)

20,342

815,307

LoJack Corp. (a)

17,896

393,354

Lumera Corp. (a)(d)

13,075

62,237

Maxwell Technologies, Inc. (a)(d)

10,739

147,554

MDI, Inc. (a)(d)

7,859

12,496

Measurement Specialties, Inc. (a)

15,913

316,510

Mechanical Technology, Inc. (a)

9,637

12,046

Mercury Computer Systems, Inc. (a)

28,979

377,307

Merix Corp. (a)

15,740

117,735

Mesa Laboratories, Inc.

4,207

103,703

Methode Electronics, Inc. Class A

31,984

482,319

Mettler-Toledo International, Inc. (a)

33,171

3,260,709

Micronetics, Inc. (a)

3,743

30,580

MTS Systems Corp.

14,636

642,667

Multi-Fineline Electronix, Inc. (a)(d)

6,965

118,962

Napco Security Systems, Inc. (a)(d)

17,472

103,609

National Instruments Corp.

45,611

1,437,659

NetList, Inc.

15,000

47,550

Newport Corp. (a)

32,507

485,004

NU Horizons Electronics Corp. (a)

14,521

175,704

OSI Systems, Inc. (a)

13,701

366,776

OYO Geospace Corp. (a)

5,097

385,129

Par Technology Corp. (a)

6,450

59,921

Park Electrochemical Corp.

16,110

448,664

Paxar Corp. (a)

33,222

1,004,966

PC Connection, Inc. (a)

13,930

160,752

Perceptron, Inc. (a)

2,600

23,608

Photon Dynamics, Inc. (a)

24,728

270,772

Planar Systems, Inc. (a)

18,106

131,269

Plexus Corp. (a)

45,355

998,264

RadiSys Corp. (a)

24,357

329,307

RAE Systems, Inc. (a)

46,052

116,512

Research Frontiers, Inc. (a)(d)

22,011

230,015

RF Industries Ltd.

2,339

13,613

RF Monolithics, Inc. (a)

3,462

18,176

Richardson Electronics Ltd.

33,307

318,082

Rofin-Sinar Technologies, Inc. (a)

14,405

972,338

Rogers Corp. (a)

14,684

590,884

ScanSource, Inc. (a)

23,128

670,249

Sigmatron International, Inc. (a)

762

6,866

Smart Modular Tech WWH, Inc. (a)

33,557

480,872

Spatializer Audio Labs, Inc. (a)

12,700

572

Shares

Value

Spectrum Control, Inc. (a)

14,200

$ 205,048

Staktek Holdings, Inc. (a)

7,258

20,032

StockerYale, Inc. (a)

2,400

3,432

Sunpower Corp. Class A (a)(d)

18,212

972,703

Suntron Corp. (a)

13,394

15,269

SYNNEX Corp. (a)

10,287

210,678

Tech Data Corp. (a)

47,077

1,735,258

Technitrol, Inc.

35,695

940,206

Tessco Technologies, Inc. (a)

4,000

100,080

Trimble Navigation Ltd. (a)

100,294

2,927,582

TTM Technologies, Inc. (a)

43,404

480,048

Universal Display Corp. (a)(d)

22,490

351,069

Vicon Industries, Inc. (a)

18,575

169,033

Vishay Intertechnology, Inc. (a)

143,393

2,555,263

X-Rite, Inc.

27,571

412,462

Zones, Inc. (a)

3,275

30,425

Zygo Corp. (a)

17,642

266,747

73,951,699

Internet Software & Services - 1.3%

24/7 Real Media, Inc. (a)(d)

33,049

387,995

Access Integrated Technologies, Inc.
Class A (a)(d)

12,538

89,897

Akamai Technologies, Inc. (a)(d)

139,507

6,167,604

Answers Corp. (a)(d)

6,496

106,599

aQuantive, Inc. (a)

61,418

3,917,854

Ariba, Inc. (a)

60,736

565,452

Art Technology Group, Inc. (a)

80,342

228,171

Autobytel, Inc. (a)

47,104

205,373

Bankrate, Inc. (a)(d)

9,377

407,900

Chordiant Software, Inc. (a)

23,568

333,487

CMGI, Inc. (a)

427,604

1,069,010

CNET Networks, Inc. (a)

122,663

1,112,553

Communication Intelligence Corp. (a)

7,900

1,541

CyberSource Corp. (a)

34,792

457,167

DealerTrack Holdings, Inc. (a)

29,443

1,062,598

deltathree, Inc. (a)

4,398

5,981

Digital River, Inc. (a)

34,828

1,790,856

DivX, Inc.

13,459

215,075

Dynabazaar, Inc. (a)

5,600

1,568

EarthLink, Inc. (a)

111,671

924,636

eCollege.com (a)

20,965

461,859

EDGAR Online, Inc. (a)

3,836

11,508

eGain Communications Corp. (a)

1,156

1,329

Entrust, Inc. (a)

55,731

229,054

Equinix, Inc. (a)(d)

20,694

1,808,242

Firstwave Technologies, Inc. (a)

1,123

2,291

Goldleaf Financial Solutions, Inc. (a)

12,407

73,077

Greenfield Online, Inc. (a)

15,076

238,201

I-Many, Inc. (a)

9,263

19,638

iBasis, Inc. (a)

25,502

263,691

iMergent, Inc. (d)

8,356

199,708

InfoSpace, Inc.

29,787

729,186

Innodata Isogen, Inc. (a)

7,485

28,218

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

InsWeb Corp. (a)

283

$ 1,958

Internap Network Services Corp. (a)

52,295

774,489

Internet America, Inc. (a)

6,082

1,581

Internet Capital Group, Inc. (a)

40,804

476,591

Internet Commerce Corp. Class A (a)

3,400

12,206

Interwoven, Inc. (a)

29,600

443,408

iPass, Inc. (a)(d)

58,644

311,986

j2 Global Communications, Inc. (a)(d)

42,678

1,422,458

Jupiter Media Metrix, Inc. (a)

14,700

0

Jupitermedia Corp. (a)

11,806

85,003

Keynote Systems, Inc. (a)

14,393

227,409

Kintera, Inc. (a)

6,752

11,546

Liquidity Services, Inc. (a)

9,772

195,147

LivePerson, Inc. (a)

43,962

277,400

LookSmart Ltd. (a)

5,164

17,661

LoopNet, Inc.

19,206

393,531

LQ Corp., Inc. (a)

1,092

1,125

Marchex, Inc. Class B

28,914

447,878

MIVA, Inc. (a)

10,274

57,226

NaviSite, Inc. (a)

8,077

54,116

Neomedia Technologies, Inc. (a)

5,500

204

NEON Communications Group, Inc. (a)

62,474

307,372

NetRatings, Inc. (a)

11,507

241,187

NIC, Inc.

30,079

169,946

Omniture, Inc. (d)

22,905

401,067

On2.Com, Inc. (a)(d)

162,348

501,655

Online Resources Corp. (a)

15,282

189,955

Onstream Media Corp. (a)

1,100

3,047

Onvia.com, Inc. (a)

1,133

9,461

Openwave Systems, Inc. (a)(d)

93,277

960,753

Optio Software, Inc. (a)

3,200

4,224

Perficient, Inc. (a)

23,093

484,953

PlanetOut, Inc. (a)

12,610

17,276

RealNetworks, Inc. (a)

101,380

858,689

S1 Corp. (a)

55,793

457,503

Saba Software, Inc. (a)

24,380

146,524

SAVVIS, Inc. (a)

18,614

934,237

Selectica, Inc. (a)

7,017

13,613

SonicWALL, Inc. (a)

65,928

544,565

Supportsoft, Inc. (a)

35,140

200,298

Switch & Data Facilities Co., Inc.

9,194

170,916

Terremark Worldwide, Inc. (a)(d)

39,407

291,218

The Knot, Inc. (a)

20,725

392,946

The Sedona Corp. (a)

8,300

2,075

TheStreet.com, Inc.

12,520

145,733

Think Partnership, Inc. (a)

31,103

93,309

Travelzoo, Inc. (a)

1,369

35,293

Tumbleweed Communications Corp. (a)

69,582

196,221

United Online, Inc.

60,721

1,035,900

US Dataworks, Inc. (a)

4,512

2,121

ValueClick, Inc. (a)

82,607

2,588,077

Shares

Value

VCampus Corp. (a)

380

$ 46

Vignette Corp. (a)

26,195

487,489

VistaPrint Ltd. (a)

35,802

1,434,586

Visual Sciences, Inc. (a)(d)

19,465

316,696

Vocus, Inc. (a)

5,876

141,259

Web.com, Inc. (a)

4,656

23,140

webMethods, Inc. (a)

58,531

538,485

Websense, Inc. (a)

35,854

806,715

Website Pros, Inc. (a)

16,429

152,461

WorldGate Communications, Inc. (a)

10,573

6,132

Zix Corp. (a)(d)

12,791

23,535

43,660,920

IT Services - 2.5%

Accenture Ltd. Class A

503,759

20,623,893

Acxiom Corp.

56,973

1,583,849

Alliance Data Systems Corp. (a)

55,951

4,359,702

Analysts International Corp. (a)

9,684

18,303

Answerthink, Inc. (a)

44,735

158,362

Applied Digital Solutions, Inc. (a)

41,642

57,050

Authorize.Net Holdings, Inc. (a)

25,032

409,524

BearingPoint, Inc. (a)

199,355

1,473,233

Broadridge Financial Solutions, Inc. (a)

115,000

2,327,600

CACI International, Inc. Class A (a)

27,719

1,428,914

Cass Information Systems, Inc.

4,500

149,400

Ceridian Corp. (a)

116,452

4,118,907

CheckFree Corp. (a)

65,128

2,556,274

Ciber, Inc. (a)

44,222

394,018

Computer Task Group, Inc. (a)

11,529

54,302

Covansys Corp. (a)

13,399

452,752

CSG Systems International, Inc. (a)

42,838

1,190,896

CSP, Inc. (a)(d)

3,555

31,995

Direct Insite Corp. (a)

53

85

DST Systems, Inc. (a)(d)

44,937

3,762,575

Edgewater Technology, Inc. (a)

4,972

41,815

eFunds Corp. (a)

40,782

1,378,839

Electronic Clearing House, Inc. (a)

10,439

128,295

eLoyalty Corp.

4,735

119,938

Enherent Corp. (a)

8,200

812

ePresence, Inc. (a)

5,520

0

Euronet Worldwide, Inc. (a)(d)

28,996

779,123

ExlService Holdings, Inc.

4,189

78,711

Forrester Research, Inc. (a)

15,786

428,116

Gartner, Inc. Class A (a)

58,810

1,620,804

Gevity HR, Inc.

18,970

398,370

Global Cash Access Holdings, Inc. (a)

43,141

701,041

Global Payments, Inc.

71,615

2,867,465

Heartland Payment Systems, Inc. (d)

13,322

339,045

Hewitt Associates, Inc. Class A (a)

86,173

2,586,913

iGate Corp. (a)

25,687

184,946

Infocrossing, Inc. (a)(d)

23,910

436,358

Inforte Corp. (a)

1,679

7,018

infoUSA, Inc.

35,867

383,060

Integral Systems, Inc.

10,707

274,099

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Iron Mountain, Inc. (a)

157,944

$ 4,341,881

Isilon Systems, Inc. (d)

8,993

131,927

Keane, Inc. (a)

40,656

576,909

Lionbridge Technologies, Inc. (a)

47,040

282,710

ManTech International Corp. Class A (a)

16,498

527,606

Mastercard, Inc. Class A

52,585

7,864,087

Maximus, Inc.

16,744

723,676

MoneyGram International, Inc.

72,933

2,125,268

MPS Group, Inc. (a)

95,492

1,313,015

MTM Technologies, Inc. (a)

1,200

1,140

NCI, Inc. Class A (a)

6,000

90,660

New Century Equity Holdings Corp.

5,500

1,386

Perot Systems Corp. Class A (a)

75,185

1,284,160

PFSweb, Inc. (a)

13,371

12,970

Rainmaker Systems, Inc. (a)

15,480

124,614

RightNow Technologies, Inc. (a)

14,199

221,220

Safeguard Scientifics, Inc. (a)

102,664

270,006

Sapient Corp. (a)

63,204

474,030

SI International, Inc. (a)

11,360

358,408

SM&A (a)

4,117

28,737

SRA International, Inc. Class A (a)

38,343

973,529

StarTek, Inc.

4,563

47,638

Storage Engine, Inc. (a)

500

5

Sykes Enterprises, Inc. (a)

26,363

513,551

Syntel, Inc.

13,822

478,518

Technology Solutions Co. (a)

479

3,487

TechTeam Global, Inc. (a)

6,114

80,583

The BISYS Group, Inc. (a)

99,947

1,174,377

The Management Network Group, Inc. (a)

14,649

28,566

TNS, Inc.

18,791

223,049

Total System Services, Inc. (d)

31,697

1,052,023

TSR, Inc.

4,079

16,030

Tyler Technologies, Inc. (a)

26,754

324,526

VeriFone Holdings, Inc. (a)

56,497

1,956,491

WidePoint Corp. (a)

5,600

5,656

WPCS International, Inc. (a)

8,000

97,440

Wright Express Corp. (a)

32,011

1,122,626

Zanett, Inc. (a)

5,579

8,369

86,767,276

Office Electronics - 0.1%

Zebra Technologies Corp. Class A (a)

61,764

2,477,354

Semiconductors & Semiconductor Equipment - 2.6%

8X8, Inc. (a)(d)

9,978

14,368

Actel Corp. (a)

31,263

436,744

Advanced Analogic Technologies, Inc. (a)

26,029

230,617

Advanced Energy Industries, Inc. (a)

32,839

805,869

AMIS Holdings, Inc. (a)

62,731

801,702

Amkor Technology, Inc. (a)

91,404

1,299,765

Amtech Systems, Inc. (a)

4,491

35,973

ANADIGICS, Inc. (a)(d)

45,575

573,789

Shares

Value

Applied Micro Circuits Corp. (a)

243,691

$ 684,772

Asyst Technologies, Inc. (a)

35,628

255,809

Atheros Communications, Inc. (a)

45,609

1,327,678

Atmel Corp. (a)

371,674

2,077,658

ATMI, Inc. (a)

31,888

974,178

Axcelis Technologies, Inc. (a)

97,665

627,986

AXT, Inc. (a)

6,269

24,136

Brooks Automation, Inc. (a)

59,449

1,051,653

Cabot Microelectronics Corp. (a)(d)

20,422

683,320

California Micro Devices Corp. (a)

27,193

132,430

Catalyst Semiconductor, Inc. (a)

7,298

27,732

Centillium Communications, Inc. (a)

84,859

186,690

Ceva, Inc. (a)

16,486

121,996

Cirrus Logic, Inc. (a)

75,191

581,978

Cohu, Inc.

26,971

551,287

Conexant Systems, Inc. (a)(d)

419,658

541,359

Credence Systems Corp. (a)

83,523

277,296

Cree, Inc. (a)(d)

70,733

1,591,493

Cymer, Inc. (a)

33,055

1,326,828

Cypress Semiconductor Corp. (a)

120,370

2,584,344

Diodes, Inc. (a)

18,157

671,627

DSP Group, Inc. (a)

40,671

886,221

Eagle Test Systems, Inc. (a)

15,535

244,676

Electroglas, Inc. (a)

6,456

14,010

EMCORE Corp. (a)(d)

28,611

138,763

Entegris, Inc. (a)

116,636

1,341,314

ESS Technology, Inc. (a)

12,644

17,322

Exar Corp. (a)

26,161

355,528

Fairchild Semiconductor International, Inc. (a)

106,176

1,955,762

FEI Co. (a)

30,520

1,132,292

FormFactor, Inc. (a)

36,323

1,444,929

FSI International, Inc. (a)

31,373

136,473

Genesis Microchip, Inc. (a)

29,121

252,770

Hi/fn, Inc. (a)

3,346

19,875

Hittite Microwave Corp. (a)

9,875

401,419

Ibis Technology Corp. (a)

5,001

7,201

Ikanos Communications, Inc. (a)

13,860

98,960

Integrated Device Technology, Inc. (a)

164,455

2,468,470

Integrated Silicon Solution, Inc. (a)

45,730

260,204

International Rectifier Corp. (a)

62,301

2,257,165

Intersil Corp. Class A

123,570

3,719,457

Intevac, Inc. (a)

13,428

259,026

IXYS Corp. (a)

22,486

210,244

Kopin Corp. (a)

52,672

188,566

Kulicke & Soffa Industries, Inc. (a)

55,666

532,724

Lam Research Corp. (a)

121,501

6,519,744

Lattice Semiconductor Corp. (a)

91,737

483,454

Leadis Technology, Inc. (a)

36,160

131,984

Logic Devices, Inc. (a)

8,982

20,569

LogicVision, Inc. (a)

5,047

4,139

LTX Corp. (a)

55,917

327,114

Marvell Technology Group Ltd. (a)

399,705

6,283,363

Mattson Technology, Inc. (a)

40,710

401,401

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Micrel, Inc.

45,500

$ 566,930

Micro Component Technology, Inc. (a)

6,643

1,860

Microchip Technology, Inc.

191,930

7,788,519

Microsemi Corp. (a)(d)

58,893

1,357,484

Microtune, Inc. (a)

62,874

321,286

Mindspeed Technologies, Inc. (a)(d)

73,473

160,171

MIPS Technologies, Inc. (a)

34,478

304,786

MKS Instruments, Inc. (a)

33,415

910,559

Monolithic Power Systems, Inc. (a)

21,668

366,623

MoSys, Inc. (a)(d)

21,647

174,473

Nanometrics, Inc. (a)

3,555

22,005

NeoMagic Corp. (a)

2,507

8,248

Netlogic Microsystems, Inc. (a)(d)

13,596

419,301

Nextest Systems Corp. (a)

6,129

75,693

NVE Corp. (a)(d)

3,977

134,502

Omnivision Technologies, Inc. (a)(d)

50,503

818,149

ON Semiconductor Corp. (a)(d)

251,320

2,699,177

PDF Solutions, Inc. (a)

15,168

149,708

Pericom Semiconductor Corp. (a)

29,067

318,574

Photronics, Inc. (a)

29,739

437,163

Pixelworks, Inc. (a)

25,246

34,587

PLX Technology, Inc. (a)

18,777

204,482

QuickLogic Corp. (a)

5,545

15,914

Rambus, Inc. (a)(d)

85,336

1,611,144

Ramtron International Corp. (a)

4,828

16,463

RF Micro Devices, Inc. (a)(d)

161,891

1,057,148

Rudolph Technologies, Inc. (a)

23,492

376,812

Semitool, Inc. (a)

27,663

274,970

Semtech Corp. (a)

60,264

1,003,396

Sigma Designs, Inc. (a)(d)

21,853

610,354

SigmaTel, Inc. (a)

51,235

169,076

Silicon Image, Inc. (a)

82,230

689,087

Silicon Laboratories, Inc. (a)

42,026

1,454,940

Silicon Storage Technology, Inc. (a)

69,338

273,885

SiRF Technology Holdings, Inc. (a)

41,016

890,047

Skyworks Solutions, Inc. (a)

137,950

978,066

Spansion, Inc. Class A (a)

73,689

801,736

SRS Labs, Inc. (a)

19,110

284,930

Standard Microsystems Corp. (a)

20,796

645,092

Supertex, Inc. (a)

11,908

399,275

Techwell, Inc.

11,794

155,917

Tegal Corp. (a)

888

4,147

Tessera Technologies, Inc. (a)

37,943

1,725,268

Transwitch Corp. (a)(d)

129,236

222,286

Trident Microsystems, Inc. (a)

51,930

1,059,372

TriQuint Semiconductor, Inc. (a)

109,672

579,068

Ultra Clean Holdings, Inc. (a)

19,832

274,078

Ultratech, Inc. (a)

14,773

197,220

Varian Semiconductor Equipment Associates, Inc. (a)

70,284

2,962,471

Veeco Instruments, Inc. (a)

26,553

481,140

Shares

Value

Virage Logic Corp. (a)

6,362

$ 45,679

Volterra Semiconductor Corp. (a)(d)

28,282

444,593

White Electronic Designs Corp. (a)

5,571

32,535

Zilog, Inc. (a)

8,368

50,208

Zoran Corp. (a)

37,552

755,922

90,832,735

Software - 2.5%

Activision, Inc. (a)

234,991

4,650,472

Actuate Corp. (a)

49,006

303,837

Adept Technology, Inc. (a)

1,291

9,876

Advent Software, Inc. (a)

17,829

642,735

Agile Software Corp. (a)

64,006

513,328

American Software, Inc. Class A (a)

22,733

219,601

Ansoft Corp. (a)

13,234

424,017

Ansys, Inc. (a)

29,907

1,679,577

Applix, Inc. (a)

12,674

197,081

ARI Network Services, Inc. (a)

2,620

4,716

Aspen Technology, Inc. (a)

45,691

678,968

Atari, Inc. (a)

4,056

12,574

Authentidate Holding Corp. (a)

8,307

12,710

Avatech Solutions, Inc. (a)

735

897

AXS-One, Inc. (a)

5,614

3,761

BEA Systems, Inc. (a)

334,908

4,303,568

Bitstream, Inc. Class A (a)

3,682

30,671

Blackbaud, Inc.

34,583

819,271

Blackboard, Inc. (a)

24,263

998,422

Borland Software Corp. (a)(d)

89,834

535,411

Bottomline Technologies, Inc. (a)

18,875

239,335

BSQUARE Corp. (a)

2,830

16,471

Cadence Design Systems, Inc. (a)(d)

242,473

5,506,562

Callidus Software, Inc. (a)

15,599

120,580

CAM Commerce Solutions, Inc.

1,965

54,706

Captaris, Inc. (a)

19,666

101,280

Catapult Communications Corp. (a)

20,366

206,308

CommVault Systems, Inc.

18,333

307,261

Concur Technologies, Inc. (a)

30,526

608,078

Convera Corp. Class A (a)(d)

32,212

137,223

DATATRAK International, Inc. (a)

9,664

47,257

Datawatch Corp. (a)

3,120

15,288

Digimarc Corp. (a)

26,885

253,257

Double-Take Software, Inc.

16,543

261,214

Dynamics Research Corp. (a)

2,901

37,974

ebix.com, Inc. (a)

421

15,594

Embarcadero Technologies, Inc. (a)

7,901

56,413

Epicor Software Corp. (a)

46,370

671,438

EPIQ Systems, Inc. (a)(d)

26,659

703,798

ePlus, Inc. (a)

3,612

35,181

eSpeed, Inc. Class A (a)

22,397

203,813

Evans & Sutherland Computer Corp. (a)

4,929

13,111

Evolving Systems, Inc. (a)

3,885

7,848

FactSet Research Systems, Inc.

37,100

2,368,093

Fair Isaac Corp.

53,352

2,019,373

FalconStor Software, Inc. (a)(d)

35,338

383,417

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Glu Mobile, Inc. (d)

12,704

$ 157,911

GraphOn Corp. (a)

7,300

1,241

GSE Systems, Inc. (a)

1,893

12,778

Guardian Technologies International (a)

560

448

i2 Technologies, Inc. (a)

9,321

174,862

Informatica Corp. (a)

75,017

1,144,759

Interactive Intelligence, Inc. (a)

11,678

229,823

Intervoice, Inc. (a)

30,006

236,447

Jack Henry & Associates, Inc.

73,221

1,936,695

JDA Software Group, Inc. (a)

23,714

431,358

Kronos, Inc. (a)

27,920

1,529,737

Lawson Software, Inc. (a)(d)

122,157

1,121,401

Logility, Inc. (a)

7,206

67,232

Macrovision Corp. (a)

45,410

1,269,210

Magma Design Automation, Inc. (a)

30,182

447,297

Majesco Entertainment Co. (a)

18,551

28,754

Manhattan Associates, Inc. (a)

20,433

593,783

McAfee, Inc. (a)

136,245

5,008,366

Mentor Graphics Corp. (a)

70,927

1,011,419

MICROS Systems, Inc. (a)

32,830

1,821,737

MicroStrategy, Inc. Class A (a)

8,650

898,043

Midway Games, Inc. (a)(d)

19,693

124,263

Mobius Management Systems, Inc. (a)

6,867

68,670

Moldflow Corp. (a)

8,930

197,532

MSC.Software Corp. (a)

30,185

400,253

Napster, Inc. (a)

25,066

93,998

NAVTEQ Corp. (a)

79,740

3,415,264

NetManage, Inc. (a)

1,259

6,333

NetScout Systems, Inc. (a)

30,257

244,779

NetSol Technologies, Inc. (a)

880

1,434

Nuance Communications, Inc. (a)(d)

125,040

2,091,919

Omtool Ltd. (a)

200

400

OpenTV Corp. Class A (a)

89,696

207,198

Opnet Technologies, Inc. (a)

18,393

207,289

Opsware, Inc. (a)(d)

67,147

607,680

Parametric Technology Corp. (a)

92,680

1,731,262

PASW, Inc. (a)

3,300

4,290

Peerless Systems Corp. (a)

6,456

16,205

Pegasystems, Inc.

8,702

93,547

Pervasive Software, Inc. (a)

3,743

16,469

Phoenix Technologies Ltd. (a)

29,298

240,830

Plato Learning, Inc. (a)

26,002

120,649

Progress Software Corp. (a)

38,049

1,250,290

QAD, Inc.

13,833

115,091

Quality Systems, Inc. (d)

15,811

647,460

Quest Software, Inc. (a)

41,864

720,898

Quovadx, Inc. (a)

11,829

36,788

Radiant Systems, Inc. (a)

16,141

217,258

Red Hat, Inc. (a)

165,097

4,054,782

Renaissance Learning, Inc.

1,747

20,562

Salesforce.com, Inc. (a)

78,682

3,717,725

Shares

Value

Scientific Learning Corp. (a)

3,264

$ 20,792

SCO Group, Inc. (a)

3,511

4,248

Secure Computing Corp. (a)

54,971

418,879

Simulations Plus, Inc. (a)(d)

12,000

157,320

Smith Micro Software, Inc. (a)(d)

23,714

373,021

Solera Holdings, Inc.

18,247

322,060

Sona Mobile Holdings Corp. (a)

2,400

1,200

Sonic Foundry, Inc. (a)

10,711

25,706

Sonic Solutions, Inc. (a)

19,943

257,265

Sourcefire, Inc.

1,503

20,666

SourceForge, Inc. (a)

41,920

185,706

SPSS, Inc. (a)

15,151

666,796

StorageNetworks, Inc. (a)

29,377

0

SumTotal Systems, Inc. (a)

15,011

118,887

Sybase, Inc. (a)

72,482

1,743,917

Synchronoss Technologies, Inc.

6,875

185,969

Synopsys, Inc. (a)

126,576

3,356,796

Synplicity, Inc. (a)

6,924

44,591

Take-Two Interactive Software, Inc. (a)(d)

63,869

1,315,063

TeleCommunication Systems, Inc.
Class A (a)(d)

34,846

181,548

TenFold Corp. (a)

6,737

2,627

THQ, Inc. (a)

55,963

1,908,338

TIBCO Software, Inc. (a)

179,146

1,615,897

Transaction Systems Architects, Inc.
Class A (a)

31,639

1,077,308

Ultimate Software Group, Inc. (a)

23,707

670,671

Unica Corp. (a)

7,764

137,733

Vasco Data Security International, Inc. (a)

26,503

603,473

Versant Corp. (a)

308

6,376

Vertical Communications, Inc. (a)

1,066

853

Voxware, Inc. (a)

43

273

Wave Systems Corp. Class A (a)(d)

4,905

10,546

Wind River Systems, Inc. (a)

75,126

797,087

85,458,397

TOTAL INFORMATION TECHNOLOGY

467,774,104

MATERIALS - 5.0%

Chemicals - 2.0%

A. Schulman, Inc.

23,241

562,200

ADA-ES, Inc. (a)

6,212

136,416

Airgas, Inc.

57,940

2,470,562

Albemarle Corp.

63,285

2,571,902

Altair Nanotechnologies, Inc. (a)(d)

51,810

163,720

American Pacific Corp. (a)

6,762

111,370

American Vanguard Corp. (d)

24,106

332,422

Arch Chemicals, Inc.

18,575

653,097

Balchem Corp.

14,994

264,494

Cabot Corp.

47,265

2,283,372

Calgon Carbon Corp. (a)(d)

19,943

202,023

Celanese Corp. Class A

116,558

4,241,546

CF Industries Holdings, Inc.

42,746

1,912,029

Chemtura Corp.

216,092

2,353,242

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Cytec Industries, Inc.

32,950

$ 1,958,878

Eden Bioscience Corp. (a)

3,742

3,967

Ferro Corp.

39,890

948,185

Flotek Industries, Inc. (a)(d)

5,811

302,172

FMC Corp.

30,613

2,561,084

Georgia Gulf Corp.

33,843

584,130

H.B. Fuller Co.

52,337

1,426,183

Hawkins, Inc.

5,284

78,203

Huntsman Corp.

87,846

1,756,920

ICO, Inc. (a)

24,602

214,283

Innophos Holdings, Inc.

9,200

141,312

Koppers Holdings, Inc.

17,451

561,399

Kronos Worldwide, Inc.

4,133

129,404

Landec Corp. (a)

24,673

336,293

LSB Industries, Inc. (a)(d)

12,393

255,296

Lubrizol Corp.

57,788

3,797,827

Lyondell Chemical Co.

190,502

7,080,959

Material Sciences Corp. (a)

8,000

84,960

Minerals Technologies, Inc.

17,357

1,104,079

Nalco Holding Co.

81,297

2,148,680

Nanophase Technologies Corp. (a)(d)

5,146

32,626

NewMarket Corp.

15,561

744,594

NL Industries, Inc.

2,181

23,337

Olin Corp.

60,986

1,234,357

OM Group, Inc. (a)

24,597

1,537,558

OMNOVA Solutions, Inc. (a)

52,546

294,783

Penford Corp.

12,815

244,638

Pioneer Companies, Inc. (a)

7,295

251,094

PolyOne Corp. (a)

66,589

474,780

Quaker Chemical Corp.

13,460

322,367

Rockwood Holdings, Inc. (a)

33,382

1,071,228

RPM International, Inc.

106,892

2,428,586

Sensient Technologies Corp.

36,505

950,590

Spartech Corp.

23,694

634,999

Stepan Co.

6,460

197,611

Symyx Technologies, Inc. (a)

25,975

272,478

Terra Industries, Inc. (d)

78,239

1,517,054

Terra Nitrogen Co. LP

7,339

626,604

The Mosaic Co.

125,009

4,391,566

The Scotts Miracle-Gro Co. Class A

38,243

1,760,708

Tronox, Inc. Class A

33,649

473,778

Valhi, Inc. (d)

8,061

123,898

Valspar Corp.

90,145

2,604,289

W.R. Grace & Co. (a)(d)

48,758

1,319,879

Wellman, Inc.

18,990

66,845

Westlake Chemical Corp.

17,796

499,178

Xethanol Corp. (a)(d)

28,810

40,622

Zoltek Companies, Inc. (a)(d)

18,236

686,585

68,559,241

Construction Materials - 0.4%

Eagle Materials, Inc.

42,785

2,146,523

Shares

Value

Florida Rock Industries, Inc.

48,670

$ 3,312,480

Headwaters, Inc. (a)(d)

38,571

760,620

Martin Marietta Materials, Inc.

39,365

6,118,896

Texas Industries, Inc.

19,776

1,720,116

U.S. Concrete, Inc. (a)

45,634

403,405

14,462,040

Containers & Packaging - 0.7%

AEP Industries, Inc. (a)

5,838

260,608

Aptargroup, Inc.

55,624

2,089,237

Caraustar Industries, Inc. (a)

16,241

96,309

Chesapeake Corp.

13,782

184,265

Constar International, Inc. (a)

2,862

19,633

Crown Holdings, Inc. (a)

140,328

3,498,377

Graphic Packaging Corp. (a)

75,894

374,916

Greif Brothers Corp. Class A

27,460

1,528,424

MOD-PAC Corp. (sub. vtg.) (a)

1,684

16,638

Myers Industries, Inc.

23,494

520,862

Owens-Illinois, Inc.

125,974

4,283,116

Packaging Corp. of America

69,217

1,789,952

Rock-Tenn Co. Class A

30,848

1,077,212

Silgan Holdings, Inc.

19,193

1,107,820

Smurfit-Stone Container Corp.

211,010

2,728,359

Sonoco Products Co.

82,508

3,572,596

23,148,324

Metals & Mining - 1.6%

A.M. Castle & Co.

12,246

453,102

AK Steel Holding Corp. (a)(d)

93,460

3,244,931

Allied Nevada Gold Corp. (a)

26,145

112,424

Amcol International Corp.

19,794

492,277

Brush Engineered Materials, Inc. (a)

15,090

809,579

Canyon Resources Corp. (a)

8,249

4,785

Carpenter Technology Corp.

21,489

2,848,797

Century Aluminum Co. (a)

21,355

1,203,141

Chaparral Steel Co.

35,882

2,626,562

Claymont Steel Holdings, Inc.

11,442

267,743

Cleveland-Cliffs, Inc. (d)

34,546

3,050,066

Coeur d'Alene Mines Corp. (a)(d)

244,857

883,934

Commercial Metals Co.

100,430

3,530,115

Compass Minerals International, Inc.

27,111

925,841

Friedman Industries

7,344

70,209

Gibraltar Industries, Inc.

23,536

506,965

Haynes International, Inc. (a)

6,600

585,156

Hecla Mining Co.

100,403

803,224

Idaho General Mines, Inc. (a)(d)

33,324

199,944

Kaiser Aluminum Corp. (a)

14,187

1,081,759

Meridian Gold, Inc. (a)

86,549

2,219,982

Metal Management, Inc.

22,037

1,067,032

Metalline Mining Co. (a)(d)

25,343

100,105

Mines Management, Inc. (a)(d)

11,916

48,617

NN, Inc.

18,519

232,969

Northwest Pipe Co. (a)

8,811

318,077

Olympic Steel, Inc.

5,717

191,805

Quanex Corp.

31,637

1,516,678

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Reliance Steel & Aluminum Co.

54,298

$ 3,332,268

Rock of Ages Corp. Class A (a)

600

2,982

Royal Gold, Inc. (d)

19,635

528,967

RTI International Metals, Inc. (a)

20,595

1,827,806

Ryerson Tull, Inc. (d)

22,399

849,594

Schnitzer Steel Industries, Inc. Class A

19,896

1,078,363

Southern Copper Corp. (d)

64,869

5,752,583

Steel Dynamics, Inc.

78,189

3,667,064

Steel Technologies, Inc.

9,322

279,380

Stillwater Mining Co. (a)

43,478

552,171

Synalloy Corp.

7,000

261,520

Titanium Metals Corp.

112,952

3,908,139

Universal Stainless & Alloy Products, Inc. (a)

5,512

231,339

US Energy Corp. (a)(d)

20,737

121,934

US Gold Corp. (a)(d)

39,012

209,885

Vista Gold Corp. (a)

32,930

174,588

Wheeling Pittsburgh Corp. (a)

10,561

232,342

Worthington Industries, Inc.

54,332

1,146,949

53,553,693

Paper & Forest Products - 0.3%

Bowater, Inc.

55,226

1,148,149

Buckeye Technologies, Inc. (a)

31,272

444,688

Deltic Timber Corp.

10,156

548,018

Domtar Corp. (a)

504,866

5,503,039

Glatfelter

39,313

534,264

Louisiana-Pacific Corp.

83,904

1,720,032

MAXXAM, Inc. (a)

2,331

68,182

Neenah Paper, Inc.

16,227

710,743

Pope & Talbot, Inc. (a)(d)

18,531

77,460

Schweitzer-Mauduit International, Inc.

12,705

381,658

Wausau-Mosinee Paper Corp.

49,919

683,391

11,819,624

TOTAL MATERIALS

171,542,922

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 0.6%

Alaska Communication Systems Group, Inc.

33,687

531,581

Allegiance Telecom, Inc. (a)

15,750

0

Arbinet-thexchange, Inc. (a)

25,856

161,083

Atlantic Tele-Network, Inc.

9,462

268,437

C2 Global Technologies, Inc. (a)

275

165

Cbeyond, Inc. (a)

16,205

573,333

Cincinnati Bell, Inc.

208,674

1,216,569

Cogent Communications Group, Inc. (a)

44,941

1,289,807

Consolidated Communications
Holdings, Inc.

22,499

478,329

Shares

Value

Covad Communications Group, Inc. (a)

309,064

$ 296,671

CT Communications, Inc.

14,682

460,868

D&E Communications, Inc.

5,104

83,246

eLEC Communications Corp. (a)

14,200

4,544

Eschelon Telecom, Inc. (a)

9,506

281,187

FairPoint Communications, Inc.

30,797

554,346

Fibernet Telecom Group, Inc. (a)

17,000

127,840

Fonix Corp. (a)

595

1

General Communications, Inc.
Class A (a)

36,915

489,124

Global Crossing Ltd. (a)

18,477

394,669

Globalstar, Inc. (d)

16,574

181,485

HickoryTech Corp.

10,207

83,085

Hungarian Telephone & Cable Corp. (a)

3,053

61,274

IDT Corp. Class B (d)

57,439

714,541

Iowa Telecommunication Services, Inc.

22,349

502,629

Level 3 Communications, Inc. (a)(d)

934,600

5,439,372

Moscow CableCom Corp. (a)

3,275

41,462

NeuStar, Inc. Class A (a)(d)

64,761

1,881,955

North Pittsburgh Systems, Inc.

13,368

264,553

NTELOS Holding Corp.

16,508

416,332

Paetec Holding Corp. (a)

46,058

536,576

Premiere Global Services, Inc. (a)

70,557

893,957

Shenandoah Telecommunications Co.

7,394

365,264

SureWest Communications

12,202

314,324

Time Warner Telecom, Inc. Class A
(sub. vtg.) (a)

123,640

2,393,670

Vonage Holdings Corp. (d)

38,962

117,276

Warwick Valley Telephone Co.

842

11,569

XETA Technologies, Inc. (a)

3,181

9,543

21,440,667

Wireless Telecommunication Services - 1.5%

American Tower Corp. Class A (a)

365,073

15,763,852

Centennial Communications Corp.
Class A (a)

17,544

178,773

Clearwire Corp. (d)

20,614

401,973

Crown Castle International Corp. (a)

191,715

7,058,946

Dobson Communications Corp.
Class A (a)

136,367

1,449,581

FiberTower Corp. (a)(d)

94,661

393,790

GoAmerica, Inc. (a)

118

620

InPhonic, Inc. (a)(d)

26,942

236,012

IPCS, Inc.

11,068

384,945

LCC International, Inc. (a)

9,142

34,283

Leap Wireless International, Inc. (a)

40,892

3,494,630

Metro One Telecommunications, Inc. (a)

1,637

3,421

MetroPCS Communications, Inc.

43,000

1,533,380

NII Holdings, Inc. (a)

124,219

10,120,122

Rural Cellular Corp. Class A (a)

15,611

514,382

SBA Communications Corp. Class A (a)

78,171

2,511,634

SkyTerra Communications, Inc. (a)

1,881

15,424

SunCom Wireless Holdings, Inc. (a)

2,014

33,835

Syniverse Holdings, Inc. (a)

32,836

420,301

Telephone & Data Systems, Inc.

86,898

5,378,986

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

U.S. Cellular Corp.

12,417

$ 985,537

USA Mobility, Inc.

20,032

460,936

Wireless Facilities, Inc. (a)

21,324

34,971

51,410,334

TOTAL TELECOMMUNICATION SERVICES

72,851,001

UTILITIES - 4.3%

Electric Utilities - 1.2%

Allete, Inc.

26,906

1,291,488

Central Vermont Public Service Corp.

4,526

164,927

Cleco Corp.

55,234

1,490,213

DPL, Inc.

92,745

2,829,650

Duquesne Light Holdings, Inc.

70,439

1,422,868

El Paso Electric Co. (a)

39,370

1,071,258

Empire District Electric Co.

26,330

621,125

Great Plains Energy, Inc.

65,567

2,040,445

Hawaiian Electric Industries, Inc.

79,439

1,946,256

IDACORP, Inc.

40,132

1,332,784

ITC Holdings Corp.

36,172

1,569,865

MGE Energy, Inc.

15,846

537,496

Northeast Utilities

132,797

4,038,357

Otter Tail Corp.

22,165

724,796

Pepco Holdings, Inc.

158,387

4,729,436

Portland General Electric Co.

25,726

754,801

Reliant Energy, Inc. (a)

291,536

7,469,152

Sierra Pacific Resources (a)

191,234

3,625,797

UIL Holdings Corp.

22,166

727,045

Unisource Energy Corp.

33,612

1,227,846

Unitil Corp.

2,839

79,776

Westar Energy, Inc.

72,267

1,915,798

41,611,179

Gas Utilities - 1.2%

AGL Resources, Inc.

79,108

3,374,747

Amerigas Partners LP

26,217

993,886

Atmos Energy Corp.

69,825

2,261,632

Cascade Natural Gas Corp.

8,582

225,964

Chesapeake Utilities Corp. (a)

11,688

406,859

Delta Natural Gas Co., Inc.

2,782

71,080

Energen Corp.

58,121

3,424,489

EnergySouth, Inc.

12,418

606,371

Equitable Resources, Inc.

97,409

5,067,216

Ferrellgas Partners LP

32,639

814,343

Laclede Group, Inc.

16,640

518,502

National Fuel Gas Co.

61,609

2,806,906

New Jersey Resources Corp.

28,854

1,580,622

Northwest Natural Gas Co.

21,710

1,081,809

ONEOK, Inc.

84,523

4,572,694

Piedmont Natural Gas Co., Inc.

56,461

1,498,475

SEMCO Energy, Inc. (a)

45,237

349,230

Shares

Value

South Jersey Industries, Inc.

27,137

$ 1,054,815

Southern Union Co.

91,989

3,201,217

Southwest Gas Corp.

33,823

1,290,686

Star Gas Partners LP (a)

57,420

275,616

Suburban Propane Partners LP

31,501

1,527,799

UGI Corp.

82,889

2,387,203

WGL Holdings, Inc.

41,986

1,480,846

40,873,007

Independent Power Producers & Energy Traders - 0.6%

Black Hills Corp.

30,190

1,237,488

Environmental Power Corp. (a)

10,176

79,373

Mirant Corp. (a)

225,499

10,463,154

NRG Energy, Inc. (d)

102,802

9,035,268

Ormat Technologies, Inc.

11,248

409,427

21,224,710

Multi-Utilities - 1.1%

Alliant Energy Corp.

98,078

4,236,970

Aquila, Inc.

357,989

1,528,613

Avista Corp.

53,083

1,243,204

CH Energy Group, Inc.

16,216

767,990

Energy East Corp.

136,380

3,296,305

Florida Public Utilities Co.

5,845

72,478

MDU Resources Group, Inc.

143,991

4,364,367

NorthWestern Energy Corp.

38,620

1,272,915

NSTAR

91,935

3,202,096

OGE Energy Corp.

91,026

3,360,680

PNM Resources, Inc.

74,765

2,206,315

Puget Energy, Inc. (d)

92,697

2,336,891

SCANA Corp.

93,604

3,967,874

Vectren Corp.

61,737

1,787,904

Wisconsin Energy Corp.

96,994

4,697,419

38,342,021

Water Utilities - 0.2%

American States Water Co.

11,845

426,775

Aqua America, Inc. (d)

110,166

2,518,395

Artesian Resources Corp. Class A

3,763

73,830

Cadiz, Inc. (a)

14,433

323,877

California Water Service Group

15,853

590,207

Connecticut Water Service, Inc.

5,523

132,331

Middlesex Water Co.

9,279

178,157

Pure Cycle Corp. (a)

23,077

177,462

SJW Corp.

11,852

382,464

Southwest Water Co. (d)

18,750

244,125

York Water Co.

12,649

232,236

5,279,859

TOTAL UTILITIES

147,330,776

TOTAL COMMON STOCKS

(Cost $2,614,875,979)

3,326,512,272

U.S. Treasury Obligations - 0.2%

Principal Amount

Value

U.S. Treasury Bills, yield at date of purchase 4.95% to 4.99% 6/21/07
(Cost $5,982,833) (e)

$ 6,000,000

$ 5,983,992

Money Market Funds - 13.2%

Shares

Fidelity Cash Central Fund, 5.33% (b)

78,029,379

78,029,379

Fidelity Securities Lending Cash Central Fund, 5.36% (b)(c)

374,226,931

374,226,931

TOTAL MONEY MARKET FUNDS

(Cost $452,256,310)

452,256,310

Cash Equivalents - 0.0%

Maturity Amount

Investments in repurchase agreements in a joint trading account at 5.08%, dated 5/31/07 due 6/1/07 (Collateralized by U.S. Treasury Obligations) #
(Cost $34,000)

$ 34,005

34,000

TOTAL INVESTMENT PORTFOLIO - 110.1%

(Cost $3,073,149,122)

3,784,786,574

NET OTHER ASSETS - (10.1)%

(345,905,720)

NET ASSETS - 100%

$ 3,438,880,854

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

730 Russell 1000 Mini Index Contracts

June 2007

$ 61,940,500

$ 2,924,189

32 S&P 500 E-Mini Index Contracts

June 2007

2,452,640

107,766

27 S&P 500 Index Contracts

June 2007

10,347,075

580,964

349 S&P MidCap 400 E-Mini Index Contracts

June 2007

32,027,730

1,890,823

TOTAL EQUITY INDEX CONTRACTS

$ 106,767,945

$ 5,503,742

The face value of futures purchased as a percentage of net assets - 3.1%

Swap Agreements

Expiration Date

Notional Amount

Value

Equity Total Return Swaps

Receive monthly a return equal to Plains All American Pipeline LP and pay monthly a floating rate based on 1-month LIBOR plus 25 basis points with JP Morgan Chase, Inc.

Oct. 2007

$ 3,083,208

$ 630,797

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $5,983,992.

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$34,000 due 6/01/07 at 5.08%

BNP Paribas Securities Corp.

$ 6,253

Goldman, Sachs & Co.

8,354

Merrill Lynch Government Securities, Inc.

14,918

Mizuho Securities USA, Inc.

4,475

$ 34,000

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 1,270,845

Fidelity Securities Lending Cash Central Fund

1,171,781

Total

$ 2,442,626

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $3,081,527,273. Net unrealized appreciation aggregated $703,259,301, of which $946,711,082 related to appreciated investment securities and $243,451,781 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Swaps are marked-to-market daily based on dealer-supplied valuations. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. The frequency of when fair value pricing is used is unpredictable. The value of securities used under fair value pricing may differ from published prices for the same securities.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Intermediate
Treasury Bond Index

May 31, 2007

1.832120.101

ITB-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.0%

Principal Amount

Value

U.S. Treasury Obligations - 99.0%

U.S. Treasury Bonds:

7.25% 5/15/16

$ 77,477,000

$ 90,496,777

7.5% 11/15/16

90,572,000

107,992,982

8.75% 5/15/17

3,804,000

4,931,528

8.875% 8/15/17

17,590,000

23,060,771

9.125% 5/15/18

188,000

253,256

9.25% 2/15/16

5,694,000

7,432,002

10.375% 11/15/12

2,139,000

2,188,298

11.25% 2/15/15

1,464,000

2,054,862

U.S. Treasury Notes:

2.625% 3/15/09

327,000

314,201

3.625% 6/30/07

1,298,000

1,296,378

3.625% 5/15/13

2,414,000

2,263,125

3.875% 2/15/13

47,621,000

45,355,288

4% 6/15/09

1,000

983

4% 11/15/12

15,206,000

14,607,264

4% 2/15/14 (b)

90,371,000

85,915,981

4% 2/15/15

49,317,000

46,496,659

4.125% 5/15/15

91,680,000

87,045,851

4.25% 8/15/13 (b)

51,870,000

50,281,481

4.25% 11/15/13

131,000

126,732

4.25% 8/15/14

32,286,000

31,047,541

4.25% 11/15/14

376,000

361,254

4.375% 12/31/07

3,300,000

3,289,945

4.375% 8/15/12

19,546,000

19,148,982

4.5% 11/15/15

918,000

893,329

4.5% 2/15/16

13,459,000

13,094,140

4.625% 11/15/16 (b)

21,818,000

21,359,473

4.75% 5/15/14

1,953,000

1,938,657

4.875% 4/30/08

14,531,000

14,506,021

4.875% 2/15/12

1,000

1,001

6% 8/15/09

13,567,000

13,871,199

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $702,316,287)

691,625,961

Cash Equivalents - 19.1%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.32%, dated 5/31/07 due 6/1/07:

(Collateralized by U.S. Government Obligations) #

$ 11,728,732

$ 11,727,000

(Collateralized by U.S. Government Obligations) # (a)

121,478,949

121,461,000

TOTAL CASH EQUIVALENTS

(Cost $133,188,000)

133,188,000

TOTAL INVESTMENT PORTFOLIO - 118.1%

(Cost $835,504,287)

824,813,961

NET OTHER ASSETS - (18.1)%

(126,246,278)

NET ASSETS - 100%

$ 698,567,683

Legend

(a) Includes investment made with cash collateral received from securities on loan.

(b) Security or a portion of the security is on loan at period end.

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$11,727,000 due 6/01/07 at 5.32%

ABN AMRO Bank N.V., New York Branch

$ 95,026

BNP Paribas Securities Corp.

134,803

Banc of America Securities LLC

3,942,052

Bank of America, NA

539,212

Barclays Capital, Inc.

1,044,136

Repurchase Agreement / Counterparty

Value

Citigroup Global Markets, Inc.

$ 269,606

Countrywide Securities Corp.

1,348,030

Greenwich Capital Markets, Inc.

134,803

Merrill Lynch Government Securities, Inc.

269,606

Societe Generale, New York Branch

1,011,022

UBS Securities LLC

2,696,059

WestLB AG

242,645

$ 11,727,000

$121,461,000 due 6/01/07 at 5.32%

Barclays Capital, Inc.

121,461,000

$ 121,461,000

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $834,942,349. Net unrealized depreciation aggregated $10,128,388, of which $139,122 related to appreciated investment securities and $10,267,510 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® International Index Fund

May 31, 2007

1.816029.102

SPI-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 95.3%

Shares

Value

Australia - 5.8%

ABC Learning Centres Ltd. (d)

149,606

$ 893,290

AGL Energy Ltd.

171,399

2,185,939

Alinta Ltd.

218,993

2,765,726

Alumina Ltd.

474,618

3,046,175

Amcor Ltd.

389,055

2,397,137

AMP Ltd.

766,649

6,418,843

Ansell Ltd.

61,179

621,664

APN News & Media Ltd.

171,472

877,588

Aristocrat Leisure Ltd.

132,391

1,688,450

ASX Ltd.

75,086

3,022,068

Australia & New Zealand Banking Group Ltd.

758,924

18,126,024

AXA Asia Pacific Holdings Ltd.

323,208

2,061,018

Babcock & Brown Ltd.

91,398

2,434,231

BHP Billiton Ltd.

1,437,633

37,838,501

Billabong International Ltd.

62,761

962,067

BlueScope Steel Ltd.

303,354

2,781,034

Boral Ltd.

248,791

1,817,240

Brambles Ltd. (a)

619,243

6,569,302

Caltex Australia Ltd.

50,891

1,078,922

Centro Properties Group unit

316,812

2,492,495

CFS Retail Property Trust

686,533

1,370,211

Challenger Financial Services Group Ltd.

212,675

1,039,148

Coca-Cola Amatil Ltd.

227,764

1,782,485

Cochlear Ltd.

20,801

1,071,823

Coles Group Ltd.

471,935

6,460,469

Commonwealth Bank of Australia

511,239

23,455,395

Commonwealth Property Office Fund

739,384

1,022,576

Computershare Ltd.

193,461

1,800,814

CSL Ltd.

71,574

5,286,056

CSR Ltd.

320,104

954,339

DB RREEF Trust unit (a)

956,110

1,559,851

Downer EDI Ltd.

147,497

912,458

Fortescue Metals Group Ltd. (a)

45,955

1,446,190

Fosters Group Ltd.

858,959

4,524,166

Futuris Corp. Ltd.

253,256

532,724

Goodman Fielder Ltd.

407,461

860,469

Harvey Norman Holdings Ltd.

249,277

1,061,095

Iluka Resources Ltd.

128,249

636,194

ING Industrial Fund

313,251

630,388

Insurance Australia Group Ltd.

659,251

3,259,374

Investa Property Group unit

640,456

1,644,220

John Fairfax Holdings Ltd.

529,208

2,134,344

Leighton Holdings Ltd.

62,411

2,300,012

Lend Lease Corp. Ltd.

164,784

2,715,671

Lion Nathan Ltd.

124,152

939,743

Macquarie Airports unit

296,869

1,022,745

Macquarie Bank Ltd.

105,345

7,642,352

Macquarie Communications Infrastructure Group unit

206,689

1,169,088

Macquarie Goodman Group unit

543,097

3,238,314

Shares

Value

Macquarie Infrastructure Group unit

1,019,718

$ 3,124,574

Macquarie Office Trust

907,203

1,269,697

Mirvac Group unit

371,852

1,770,708

Multiplex Group unit (a)

260,993

1,063,415

National Australia Bank Ltd.

667,225

23,428,939

Newcrest Mining Ltd.

132,476

2,413,620

OneSteel Ltd.

255,269

1,395,247

Orica Ltd.

134,436

3,473,595

Origin Energy Ltd.

395,263

2,874,019

Pacific Brands Ltd.

159,980

458,407

Paladin Resources Ltd. (a)

224,470

1,626,580

PaperlinX Ltd.

185,477

634,379

Perpetual Trustees Australia Ltd. (d)

16,217

1,095,897

Publishing & Broadcasting Ltd.

171,189

3,076,413

Qantas Airways Ltd.

364,341

1,719,855

QBE Insurance Group Ltd.

343,289

8,875,683

Rinker Group Ltd.

380,702

6,056,497

Rio Tinto Ltd. (d)

118,102

9,336,577

Santos Ltd.

270,462

3,001,374

Sonic Healthcare Ltd.

111,239

1,341,305

Stockland Corp. Ltd.:

unit

611,076

4,473,593

unit (a)

9,768

70,701

Suncorp-Metway Ltd. (d)

379,322

6,647,107

Symbion Health Ltd.

201,876

730,592

Tabcorp Holdings Ltd.

227,885

3,349,833

Tattersall's Ltd.

481,807

1,899,280

Telstra Corp. Ltd.

1,325,138

5,333,427

The GPT Group unit

874,391

3,722,012

Toll Holdings Ltd.

229,470

4,389,822

Transurban Group unit

439,500

3,053,724

Wesfarmers Ltd.

163,441

5,135,318

Westfield Group unit

620,668

11,025,433

Westpac Banking Corp.

753,693

16,265,893

Woodside Petroleum Ltd.

196,896

7,011,555

Woolworths Ltd.

502,423

11,446,405

WorleyParsons Ltd.

70,167

1,730,480

Zinifex Ltd.

187,898

2,738,696

TOTAL AUSTRALIA

349,611,080

Austria - 0.6%

Andritz AG

16,528

1,118,634

Boehler-Uddeholm AG

16,220

1,577,062

Erste Bank AG

77,441

6,074,903

Flughafen Wien AG

5,309

517,906

Immoeast AG (a)

189,887

2,856,517

IMMOFINANZ Immobilien Anlagen AG (a)

189,402

3,058,198

Mayr-Melnhof Karton AG

2,610

601,762

Oesterreichische Elektrizitaetswirtschafts AG (Verbund)

30,293

1,630,022

OMV AG

68,286

4,532,550

Raiffeisen International Bank Holding AG

13,630

2,131,090

RHI AG (a)(d)

13,772

765,327

Common Stocks - continued

Shares

Value

Austria - continued

Telekom Austria AG

154,080

$ 4,216,936

voestalpine AG

37,044

2,689,612

Wiener Staedische Versicher AG

16,688

1,251,841

Wienerberger AG

32,577

2,459,086

TOTAL AUSTRIA

35,481,446

Belgium - 1.2%

Agfa-Gevaert NV

36,334

948,940

Barco NV

2,933

263,784

Bekaert SA

3,646

521,004

Belgacom SA

72,186

3,283,961

Cofinimmo SA

3,608

706,705

Colruyt NV

7,628

1,779,958

Compagnie Maritime Belge SA (CMB)

7,810

596,056

D'ieteren SA

798

363,464

Delhaize Group

34,057

3,245,292

Dexia SA

232,171

7,456,933

Euronav NV

12,303

456,899

Fortis

485,749

20,183,155

Fortis (strip VVPR)

1,764

71

Groupe Bruxelles Lambert SA (GBL) (d)

30,010

3,803,792

Groupe Bruxelles Lambert SA (GBL)
(strip VVPR)

818

22

InBev SA

76,176

6,417,438

KBC Groupe SA

75,262

10,385,114

Mobistar SA

13,483

1,174,698

Omega Pharma SA

9,000

725,507

Solvay SA

26,050

4,158,870

UCB SA

44,345

2,592,593

Umicore SA

11,216

2,393,844

TOTAL BELGIUM

71,458,100

Bermuda - 0.1%

Frontline Ltd. (d)

25,300

1,178,832

Noble Group Ltd.

457,000

436,248

SeaDrill Ltd. (a)

98,800

1,904,474

TOTAL BERMUDA

3,519,554

Cayman Islands - 0.1%

Foxconn International Holdings Ltd. (a)

912,000

2,832,280

Hutchison Telecommunications International Ltd.

482,000

1,064,177

Kingboard Chemical Holdings Ltd.

218,500

983,573

Shui On Land Ltd.

963,000

828,753

TOTAL CAYMAN ISLANDS

5,708,783

China - 0.0%

Tencent Holdings Ltd.

310,000

1,337,892

Denmark - 0.8%

A.P. Moller - Maersk AS Series B

444

5,422,215

Bang & Olufsen AS Series B (d)

5,525

696,682

Carlsberg AS Series B

13,538

1,643,504

Codan AS

6,425

702,224

Shares

Value

Coloplast AS Series B (d)

9,860

$ 854,998

Dampskibsselskabet TORM AS

11,000

435,195

Danisco AS (d)

21,175

1,794,086

Danske Bank AS

203,048

8,849,385

DSV de Sammensluttede Vognmaend AS

86,940

1,774,783

East Asiatic Co. Ltd.

4,341

243,500

FLS Industries

20,250

1,646,208

GN Store Nordic AS (a)(d)

68,065

793,105

H. Lundbeck AS

25,135

627,756

Jyske Bank AS (Reg.) (a)

26,900

2,060,465

NKT Holding AS

5,525

557,945

Novo Nordisk AS Series B

101,180

10,656,395

Novozymes AS Series B

19,093

2,048,838

Sydbank AS

24,300

1,319,161

Topdanmark AS (a)

6,865

1,268,713

Trygvesta AS

11,650

1,010,216

Vestas Wind Systems AS (a)

72,828

5,117,938

William Demant Holding AS (a)

12,767

1,303,120

TOTAL DENMARK

50,826,432

Finland - 1.6%

Amer Group PLC (A Shares) (d)

31,652

724,019

Cargotec Corp. (B Shares)

16,005

1,008,509

Elisa Corp. (A Shares)

67,466

1,948,115

Fortum Oyj

185,187

6,089,919

KCI Konecranes Oyj

30,250

1,274,000

Kesko Oyj

30,193

2,086,967

Kone Oyj (B Shares)

31,670

1,895,878

Metso Corp.

49,100

2,731,189

Neste Oil Oyj

55,938

2,113,508

Nokia Corp.

1,683,938

46,106,222

Nokian Tyres Ltd.

46,974

1,637,032

OKO Bank (A Shares)

53,513

1,080,066

Orion Oyj (B Shares)

30,410

752,485

Outokumpu Oyj (A Shares)

39,922

1,431,022

Rautaruukki Oyj (K Shares)

35,962

2,225,879

Sampo Oyj (A Shares)

169,283

5,355,078

Sanoma-WSOY Oyj

24,027

754,571

Stora Enso Oyj (R Shares)

236,054

4,499,189

TietoEnator Oyj (d)

39,333

1,252,723

UPM-Kymmene Corp.

211,458

5,476,762

Uponor Oyj

22,756

940,932

Wartsila Corp. (B Shares)

23,330

1,546,982

YIT-Yhtyma OY

45,387

1,581,725

TOTAL FINLAND

94,512,772

France - 9.4%

Accor SA

79,395

7,383,017

Aeroports de Paris

14,814

1,767,058

Air France KLM (Reg.)

52,140

2,662,457

Alcatel-Lucent SA

937,100

13,050,469

Alstom SA (a)

21

83

Alstom SA

44,216

7,002,542

Atos Origin SA (a)

28,531

1,756,337

Common Stocks - continued

Shares

Value

France - continued

AXA SA

660,671

$ 28,864,716

BIC SA

8,218

609,170

BNP Paribas SA

344,451

41,796,269

Bouygues SA

81,963

7,234,717

Business Objects SA (a)

44,273

1,820,063

Cap Gemini SA

53,270

4,059,811

Carrefour SA

248,710

18,124,738

Casino Guichard Perrachon et Compagnie

18,187

1,924,440

CNP Assurances

16,806

2,251,608

Compagnie de St. Gobain

130,740

14,335,493

Credit Agricole SA

260,761

10,764,598

Dassault Systemes SA

28,376

1,722,741

Essilor International SA

41,542

4,992,147

France Telecom SA (d)

692,331

21,268,408

Gaz de France

84,406

4,238,525

Gecina SA

5,347

968,976

Groupe Danone

93,905

14,711,381

Hermes International SA

24,669

3,433,191

Icade SA

16,297

1,418,331

Imerys

10,278

1,024,771

Klepierre SA

6,533

1,265,829

L'Air Liquide SA

16,530

3,924,591

L'Air Liquide SA (a)

33,971

8,065,473

L'Oreal SA (d)

106,222

12,620,455

Lafarge SA

43,250

7,485,046

Lafarge SA (Bearer)

16,089

2,784,437

Lagardere S.C.A. (Reg.)

52,332

4,369,975

Louis Vuitton Moet Hennessy (LVMH)

99,679

11,765,276

M6 Metropole Television SA

22,899

796,792

Michelin SA (Compagnie Generale des Etablissements) Series B

58,610

7,678,071

Neopost SA

12,053

1,789,647

PagesJaunes Groupe SA

53,258

1,139,415

Pernod Ricard SA

37,885

8,323,897

Peugeot Citroen SA

63,402

5,023,939

Pinault Printemps-Redoute SA

30,033

5,482,143

Publicis Groupe SA

62,966

2,855,195

Renault SA

76,972

11,004,278

Safran SA

77,938

2,006,153

Sanofi-Aventis

418,949

40,302,894

Schneider Electric SA

92,219

13,313,109

SCOR

45,203

1,234,705

Societe Des Autoroutes Paris-Rhin-Rhone

9,693

989,398

Societe Generale Series A

146,245

28,491,770

Sodexho Alliance SA

37,063

2,799,709

Suez SA:

(France)

420,956

24,214,341

(strip VVRP) (a)

15,232

205

Technip SA

40,983

3,179,091

Television Francaise 1 SA (d)

46,712

1,661,842

Thales SA

36,485

2,232,722

Shares

Value

Thomson SA

98,512

$ 1,900,807

Total SA:

(strip VVPR)

3,096

42

Series B

878,264

66,265,019

Unibail (Reg.)

19,618

5,629,424

Valeo SA

32,634

1,858,739

Vallourec SA

17,517

5,606,124

Veolia Environnement

117,328

9,819,557

Vinci SA

164,702

13,030,949

Vivendi Universal SA

465,452

20,279,236

Zodiac SA (d)

16,698

1,300,223

TOTAL FRANCE

561,676,575

Germany - 7.5%

Adidas-Salomon AG

85,682

5,469,330

Allianz AG (Reg.)

186,231

41,287,413

Altana AG

26,722

642,664

BASF AG

200,567

24,810,138

Bayer AG

300,561

21,604,325

Beiersdorf AG

34,038

2,446,169

Bilfinger Berger AG

17,753

1,756,213

Celesio AG

32,354

2,176,261

Commerzbank AG

250,844

12,339,846

Continental AG

51,680

7,309,142

DaimlerChrysler AG (Reg.)

374,631

34,271,244

Deutsche Bank AG

210,635

32,037,584

Deutsche Boerse AG

41,203

9,753,127

Deutsche Lufthansa AG (Reg.)

87,193

2,525,954

Deutsche Post AG

317,828

10,109,728

Deutsche Postbank AG

36,672

3,272,001

Deutsche Telekom AG (Reg.)

1,164,401

21,587,995

Douglas Holding AG

11,423

760,979

E.ON AG

256,375

42,178,815

Fresenius Medical Care AG

24,430

3,585,654

HeidelbergCement AG (strip VVPR) (a)

239

0

Heidelberger Druckmaschinen AG

23,075

1,136,378

Hochtief AG

18,047

2,091,993

Hypo Real Estate Holding AG

57,641

3,977,993

Infineon Technologies AG (a)

324,923

5,059,051

IVG Immobilien AG

33,718

1,458,622

KarstadtQuelle AG (a)(d)

33,159

1,186,815

Linde AG

46,317

5,117,869

MAN AG

50,300

7,298,737

Merck KGaA

25,020

3,292,838

Metro AG

66,933

5,413,609

MLP AG

18,470

422,489

Muenchener Rueckversicherungs-Gesellschaft AG (Reg.)

88,602

16,678,657

Premiere AG (a)(d)

33,771

822,474

Puma AG

5,397

2,406,387

Rheinmetall AG

12,948

1,230,006

RWE AG

177,235

20,079,894

Salzgitter AG

18,221

3,492,485

Common Stocks - continued

Shares

Value

Germany - continued

SAP AG

351,346

$ 16,773,258

Siemens AG (Reg.)

348,367

45,984,444

SolarWorld AG

19,182

1,752,522

Suedzucker AG (Bearer)

31,421

682,798

Thyssenkrupp AG

148,913

8,700,060

TUI AG (d)

95,072

2,584,067

Volkswagen AG (d)

68,181

10,347,461

Wincor Nixdorf AG

15,763

1,567,412

TOTAL GERMANY

449,482,901

Greece - 0.7%

Alpha Bank AE

146,194

4,630,585

Bank of Piraeus

112,689

4,306,255

Coca-Cola Hellenic Bottling Co. SA (Bearer)

50,693

2,346,423

Cosmote Mobile Telecommunications SA

56,820

1,827,254

EFG Eurobank Ergasias SA

102,537

3,645,132

Folli Follie SA

6,944

298,992

Greek Organization of Football Prognostics SA

96,398

3,683,717

Hellenic Exchanges Holding SA

27,077

727,940

Hellenic Petroleum SA

49,850

759,297

Hellenic Technodomiki Tev SA

47,248

629,388

Hellenic Telecommunication Organization SA (OTE) (a)

134,456

4,287,739

Motor Oil (HELLAS) Corinth Refineries SA

19,277

573,234

National Bank of Greece SA

155,717

9,298,720

Public Power Corp. of Greece

45,798

1,244,795

Titan Cement Co. SA (Reg.)

26,554

1,571,394

Viohalco SA

40,274

627,528

TOTAL GREECE

40,458,393

Hong Kong - 1.5%

ASM Pacific Technology Ltd.

56,829

386,451

Bank of East Asia Ltd.

566,492

3,308,173

BOC Hong Kong Holdings Ltd.

1,543,066

3,671,638

Cathay Pacific Airways Ltd.

364,327

970,475

Cheung Kong Holdings Ltd.

603,449

7,813,063

Cheung Kong Infrastructure Holdings Ltd.

206,450

733,681

CLP Holdings Ltd.

560,157

3,949,087

Esprit Holdings Ltd.

441,723

5,439,123

Giordano International Ltd.

892,194

411,331

Hang Lung Properties Ltd.

914,423

2,880,792

Hang Seng Bank Ltd.

329,601

4,588,256

Henderson Land Development Co. Ltd.

390,963

2,701,200

Hong Kong & China Gas Co. Ltd.

1,641,469

3,434,902

Hong Kong Electric Holdings Ltd.

608,676

3,145,280

Hong Kong Exchanges & Clearing Ltd.

460,698

5,141,778

Hopewell Holdings Ltd.

235,000

1,029,256

Hutchison Whampoa Ltd.

879,158

8,483,592

Hysan Development Co. Ltd.

273,932

761,258

Johnson Electric Holdings Ltd.

798,062

460,938

Shares

Value

Kerry Properties Ltd.

205,000

$ 1,258,844

Li & Fung Ltd.

839,623

2,817,184

Link (REIT)

830,000

1,926,043

Melco International Development Ltd.

358,000

559,336

MTR Corp. Ltd.

551,613

1,345,027

New World Development Co. Ltd.

1,000,988

2,440,762

Orient Overseas International Ltd.

93,900

940,377

PCCW Ltd.

1,548,751

975,835

Shangri-La Asia Ltd.

616,842

1,603,613

Shun Tak Holdings Ltd.

310,000

419,233

Sino Land Co.

485,336

1,061,598

Sun Hung Kai Properties Ltd.

552,141

6,413,379

Swire Pacific Ltd. (A Shares)

371,384

4,180,629

Techtronic Industries Co. Ltd.

460,500

648,712

Television Broadcasts Ltd.

101,000

710,106

Tingyi (Cayman Island) Holding Corp.

548,000

636,528

Wharf Holdings Ltd.

484,965

1,959,473

Wing Hang Bank Ltd.

59,500

638,544

Yue Yuen Industrial Holdings Ltd.

233,500

771,500

TOTAL HONG KONG

90,616,997

Ireland - 0.9%

Allied Irish Banks PLC

365,606

11,048,613

Bank of Ireland

411,461

8,966,764

C&C Group PLC

121,892

2,028,826

CRH PLC

220,469

10,709,139

DCC plc (Ireland)

28,899

999,346

DEPFA BANK PLC

143,203

2,639,809

Elan Corp. PLC (a)

176,798

3,430,382

Grafton Group PLC unit

88,169

1,398,716

Greencore Group PLC

57,656

377,810

IAWS Group PLC

38,015

928,392

Independent News & Media PLC (Ireland)

227,394

1,156,567

Irish Life & Permanent PLC

121,671

3,359,420

Kerry Group PLC Class A

46,305

1,355,149

Kingspan Group PLC (Ireland)

41,840

1,246,997

Paddy Power PLC (Ireland)

25,324

755,777

Ryanair Holdings PLC (a)

197,226

1,411,808

TOTAL IRELAND

51,813,515

Italy - 3.5%

Alleanza Assicurazioni Spa

167,247

2,281,897

Arnoldo Mondadori Editore Spa

70,704

729,691

Assicurazioni Generali Spa

424,501

17,701,095

Atlantia Spa

122,589

4,131,988

Autogrill Spa

52,815

1,065,126

Banca Monte dei Paschi di Siena Spa (d)

435,700

2,960,593

Banca Popolare di Milano

177,649

2,664,769

Banco Popolare di Verona e Novara

151,918

4,613,607

Bulgari Spa

60,172

948,903

Capitalia Spa

675,695

6,982,513

Enel Spa

1,790,671

20,371,793

ENI Spa

1,066,426

37,682,163

Fiat Spa

265,775

7,610,016

Common Stocks - continued

Shares

Value

Italy - continued

Finmeccanica Spa

124,132

$ 3,905,063

Fondiaria-Sai Spa

28,718

1,476,492

Intesa Sanpaolo Spa

3,099,610

23,647,757

Italcementi Spa

30,676

995,579

Lottomatica Spa

29,755

1,295,993

Luxottica Group Spa

62,388

2,179,837

Mediaset Spa

340,623

3,652,852

Mediobanca Spa

206,973

4,750,247

Mediolanum Spa

100,728

872,843

Parmalat Spa

637,398

2,847,403

Pirelli & C Spa

1,067,908

1,271,677

Seat Pagine Gialle Spa

1,785,156

1,134,953

Snam Rete Gas Spa (d)

400,032

2,461,477

Telecom Italia Spa

4,365,848

12,660,959

Terna Spa

552,580

2,117,556

Unicredito Italiano Spa

3,191,467

29,961,180

Unione di Banche Italiane Scpa (a)

242,063

6,940,835

TOTAL ITALY

211,916,857

Japan - 20.3%

77 Bank Ltd.

111,223

758,484

Access Co. Ltd. (a)(d)

86

313,729

ACOM Co. Ltd. (d)

30,140

1,173,803

Aderans Co. Ltd.

10,700

221,103

Advantest Corp.

61,990

2,648,492

Aeon Co. Ltd.

261,300

4,884,213

Aeon Credit Service Co. Ltd. (a)

41,400

744,935

Aeon Mall Co. Ltd.

21,000

760,907

Aiful Corp.

37,805

1,183,445

Aisin Seiki Co. Ltd.

81,000

2,735,272

Ajinomoto Co., Inc.

252,866

2,921,121

Alfresa Holdings Corp.

10,400

739,989

All Nippon Airways Co. Ltd.

250,000

963,356

Alps Electric Co. Ltd.

76,477

746,485

Amada Co. Ltd.

153,000

1,929,628

Aoyama Trading Co. Ltd.

20,300

613,787

Asahi Breweries Ltd.

166,303

2,653,524

Asahi Glass Co. Ltd.

407,677

5,429,664

Asahi Kasei Corp.

470,727

3,020,605

Asatsu-DK, Inc.

9,800

322,077

Asics Corp.

65,000

837,934

Astellas Pharma, Inc.

220,200

9,751,689

Autobacs Seven Co. Ltd.

15,000

484,348

Bank of Kyoto Ltd. (d)

104,000

1,215,085

Bank of Yokohama Ltd.

456,084

3,406,297

Benesse Corp.

25,400

742,946

Bridgestone Corp.

260,379

5,091,628

Canon Marketing Japan, Inc. (a)

44,100

889,537

Canon, Inc. (a)

437,644

25,759,727

Casio Computer Co. Ltd.

108,300

1,810,784

Central Glass Co. Ltd.

40,000

232,356

Central Japan Railway Co.

630

6,470,298

Shares

Value

Chiba Bank Ltd.

301,674

$ 2,686,834

Chiyoda Corp.

54,000

1,087,010

Chubu Electric Power Co., Inc.

277,864

7,899,182

Chugai Pharmaceutical Co. Ltd.

106,025

2,164,753

Circle K Sunkus Co. Ltd.

11,900

206,791

Citizen Holdings Co. Ltd.

155,966

1,389,098

Coca-Cola West Japan Co. Ltd. (a)(d)

32,700

690,486

COMSYS Holdings Corp.

62,000

717,246

Credit Saison Co. Ltd.

76,852

2,203,710

CSK Holdings Corp.

32,400

1,165,985

Dai Nippon Printing Co. Ltd.

265,242

3,890,042

Daicel Chemical Industries Ltd.

150,000

969,929

Daido Steel Co. Ltd. (d)

130,000

806,425

Daifuku Co. Ltd.

40,000

519,596

Daiichi Sankyo Co. Ltd.

276,970

7,600,689

Daikin Industries Ltd.

100,994

3,692,575

Dainippon Ink & Chemicals, Inc.

239,995

879,449

Dainippon Screen Manufacturing Co. Ltd.

75,000

561,992

Daito Trust Construction Co.

32,163

1,704,473

Daiwa House Industry Co. Ltd.

226,184

3,391,552

Daiwa Securities Group, Inc.

556,985

6,411,437

Denki Kagaku Kogyo KK

172,358

781,708

Denso Corp.

201,938

7,084,671

Dentsu, Inc.

689

1,896,434

Dowa Holdings Co. Ltd.

107,168

1,032,849

E*TRADE Securities Co. Ltd. (d)

680

776,600

eAccess Ltd. (d)

368

238,863

East Japan Railway Co.

1,411

10,897,544

Ebara Corp. (d)

198,934

905,508

EDION Corp.

33,300

411,770

Eisai Co. Ltd.

108,078

5,026,058

Electric Power Development Co. Ltd.

59,180

2,679,170

Elpida Memory, Inc. (a)(d)

40,700

1,668,663

FamilyMart Co. Ltd.

30,400

774,300

Fanuc Ltd.

72,472

6,919,108

Fast Retailing Co. Ltd.

21,800

1,689,048

Fuji Electric Holdings Co. Ltd.

191,153

903,073

Fuji Soft ABC, Inc.

8,900

207,674

Fuji Television Network, Inc.

186

378,999

Fujifilm Holdings Corp.

201,105

8,327,740

Fujikura Ltd.

152,000

1,047,802

Fujitsu Ltd.

763,075

5,210,051

Fukuoka Financial Group, Inc. (a)

246,300

1,932,598

Furukawa Electric Co. Ltd.

248,790

1,375,694

Glory Ltd.

17,300

353,931

Gunma Bank Ltd.

135,663

935,184

Gunze Ltd.

62,000

359,642

Hachijuni Bank Ltd.

127,000

969,377

Hakuhodo DY Holdings, Inc.

10,980

738,856

Hankyu Department Stores, Inc.

42,000

413,409

Hankyu Hanshin Holdings, Inc.

498,200

2,853,056

Haseko Corp. (a)

394,000

1,223,663

Hikari Tsushin, Inc.

10,200

423,219

Common Stocks - continued

Shares

Value

Japan - continued

Hino Motors Ltd. (d)

129,000

$ 728,149

Hirose Electric Co. Ltd.

10,398

1,349,835

Hiroshima Bank Ltd.

163,000

983,009

Hitachi Cable Ltd.

44,000

261,014

Hitachi Capital Corp.

11,400

191,545

Hitachi Chemical Co. Ltd.

33,200

681,949

Hitachi Construction Machinery Co. Ltd.

36,900

1,233,941

Hitachi High-Technologies Corp.

22,000

571,194

Hitachi Ltd.

1,343,271

9,911,997

Hokkaido Electric Power Co., Inc.

75,400

1,796,566

Hokuhoku Financial Group, Inc.

482,715

1,657,833

Honda Motor Co. Ltd.

644,660

22,775,839

House Foods Corp.

33,800

545,143

Hoya Corp.

170,216

5,510,238

Ibiden Co. Ltd.

56,500

3,049,914

Idemitsu Kosan Co., Ltd.

6,800

781,628

Inpex Holdings, Inc.

329

2,892,367

Isetan Co. Ltd.

86,600

1,255,846

Ishikawajima-Harima Heavy Industries Co. Ltd. (d)

533,185

1,818,025

Ito En Ltd.

29,200

957,259

Itochu Corp.

599,986

6,551,486

ITOCHU Techno-Solutions Corp.

17,200

723,556

JAFCO Co. Ltd.

13,500

591,200

Japan Airlines Corp. (a)

425,420

845,877

Japan Petroleum Exploration Co. Ltd.

4,700

335,576

Japan Prime Realty Investment Corp.

199

887,824

Japan Real Estate Investment Corp.

176

2,429,381

Japan Retail Fund Investment Corp.

132

1,355,682

Japan Steel Works Ltd.

134,000

1,915,701

Japan Tobacco, Inc.

1,853

9,652,469

JFE Holdings, Inc.

223,175

13,569,099

JGC Corp.

75,117

1,422,600

Joyo Bank Ltd.

311,941

2,006,818

Js Group Corp.

118,359

2,484,654

JSR Corp.

62,316

1,405,451

JTEKT Corp.

93,400

1,661,417

Jupiter Telecommunications Co. (a)

591

490,436

Kajima Corp.

356,317

1,452,085

Kamigumi Co. Ltd.

89,663

760,268

Kaneka Corp.

103,559

894,261

Kansai Electric Power Co., Inc.

317,336

7,978,376

Kansai Paint Co. Ltd. Osaka

83,000

683,313

Kao Corp.

207,750

5,752,342

Kawasaki Heavy Industries Ltd.

507,945

1,990,714

Kawasaki Kisen Kaisha Ltd.

208,000

2,520,746

KDDI Corp.

1,010

8,630,351

Keihin Electric Express Railway Co. Ltd. (d)

181,061

1,210,941

Keio Corp.

197,410

1,308,930

Keisei Electric Railway Co.

103,000

633,013

Keyence Corp.

14,600

3,118,889

Kikkoman Corp.

54,849

820,639

Shares

Value

Kinden Corp.

36,000

$ 310,870

Kintetsu Corp.

728,100

2,153,611

Kirin Brewery Co. Ltd.

331,256

5,101,343

KK daVinci Advisors (a)

480

532,413

Kobe Steel Ltd.

1,119,000

3,843,086

Kokuyo Co. Ltd.

18,900

218,489

Komatsu Ltd.

370,445

9,831,052

Komori Corp.

16,000

379,920

Konami Corp.

31,600

736,061

Konica Minolta Holdings, Inc.

179,500

2,440,823

Kose Corp.

8,730

235,985

Kubota Corp.

477,864

4,000,850

Kuraray Co. Ltd.

162,986

1,773,014

Kuraya Sanseido, Inc.

69,800

1,110,285

Kurita Water Industries Ltd.

37,200

1,051,417

Kyocera Corp.

67,802

6,709,008

Kyowa Hakko Kogyo Co. Ltd.

125,000

1,251,951

Kyushu Electric Power Co., Inc.

161,170

4,369,904

Lawson, Inc.

26,116

931,258

Leopalace21 Corp.

50,900

1,714,650

Mabuchi Motor Co. Ltd.

7,321

440,307

Makita Corp.

41,400

1,721,173

Marubeni Corp.

664,244

4,644,414

Marui Co. Ltd.

125,949

1,520,163

Matsui Securities Co. Ltd. (d)

68,900

540,625

Matsumotokiyoshi Co. Ltd.

10,500

244,577

Matsushita Electric Industrial Co. Ltd.

797,073

16,913,890

Matsushita Electric Works Co. Ltd.

132,000

1,652,847

Meiji Dairies Corp.

137,000

910,632

Meiji Seika Kaisha Ltd.

114,888

527,667

Meitec Corp. (d)

12,300

353,710

Millea Holdings, Inc.

307,700

12,236,201

Minebea Co. Ltd.

129,008

744,094

Mitsubishi Chemical Holdings Corp.

455,275

3,983,797

Mitsubishi Corp.

565,102

13,766,556

Mitsubishi Electric Corp.

785,106

7,179,550

Mitsubishi Estate Co. Ltd.

482,723

14,833,490

Mitsubishi Gas Chemical Co., Inc.

138,867

1,159,222

Mitsubishi Heavy Industries Ltd.

1,343,256

8,155,996

Mitsubishi Logistics Corp.

55,000

978,350

Mitsubishi Materials Corp.

434,937

2,290,647

Mitsubishi Rayon Co. Ltd.

211,312

1,350,758

Mitsubishi UFJ Financial Group, Inc.

3,371

38,867,631

Mitsubishi UFJ Lease & Finance Co. Ltd.

11,590

555,170

Mitsubishi UFJ Securities Co. Ltd.

91,000

1,046,751

Mitsui & Co. Ltd.

626,123

12,346,522

Mitsui Chemicals, Inc.

285,683

2,063,227

Mitsui Engineering & Shipbuilding Co.

291,000

1,520,631

Mitsui Fudosan Co. Ltd.

343,677

10,814,912

Mitsui Mining & Smelting Co. Ltd.

240,154

1,118,785

Mitsui O.S.K. Lines Ltd.

449,285

6,157,320

Mitsui Sumitomo Insurance Co. Ltd.

517,475

6,462,592

Mitsui Trust Holdings, Inc.

269,300

2,495,854

Mitsukoshi Ltd. (d)

137,376

687,388

Common Stocks - continued

Shares

Value

Japan - continued

Mitsumi Electric Co. Ltd.

30,600

$ 967,957

Mizuho Financial Group, Inc.

3,913

27,681,317

Murata Manufacturing Co. Ltd.

84,654

5,981,632

Namco Bandai Holdings, Inc.

78,150

1,325,937

NEC Corp.

861,951

4,390,844

Nec Electronics Corp. (a)(d)

10,100

246,048

NGK Insulators Ltd.

107,309

2,508,373

NGK Spark Plug Co. Ltd.

88,000

1,412,801

NHK Spring Co. Ltd.

37,000

345,042

Nichirei Corp.

125,860

670,095

Nidec Corp.

41,142

2,484,543

Nikko Cordial Corp.

217,563

3,003,088

Nikon Corp.

124,838

3,159,157

Nintendo Co. Ltd.

39,696

13,861,844

Nippon Building Fund, Inc.

173

2,800,181

Nippon Electric Glass Co. Ltd.

134,000

2,139,200

Nippon Express Co. Ltd.

298,546

1,783,280

Nippon Kayaku Co. Ltd.

43,000

330,334

Nippon Light Metal Co. Ltd.

257,000

679,928

Nippon Meat Packers, Inc.

90,740

1,098,930

Nippon Mining Holdings, Inc.

352,500

3,098,965

Nippon Oil Corp.

533,129

4,529,253

Nippon Paper Group, Inc.

434

1,504,790

Nippon Sheet Glass Co. Ltd.

233,000

1,095,029

Nippon Shokubai Co. Ltd.

34,000

302,539

Nippon Steel Corp.

2,431,661

17,002,248

Nippon Telegraph & Telephone Corp.

2,130

10,049,340

Nippon Yusen KK

402,578

3,714,527

Nishi-Nippon City Bank Ltd.

214,000

858,040

Nishimatsu Construction Co. Ltd. (d)

71,000

245,592

Nissan Chemical Industries Co. Ltd.

60,000

650,727

Nissan Motor Co. Ltd.

942,748

10,521,068

Nisshin Seifun Group, Inc.

70,090

723,302

Nisshin Steel Co. Ltd.

353,000

1,450,168

Nisshinbo Industries, Inc.

75,000

1,034,632

Nissin Food Products Co. Ltd.

44,323

1,598,702

Nitori Co. Ltd.

15,850

740,995

Nitto Denko Corp.

62,894

3,126,355

NOK Corp.

39,000

781,859

Nomura Holdings, Inc.

730,647

15,014,796

Nomura Real Estate Holdings, Inc.

16,100

587,331

Nomura Real Estate Office Fund, Inc.

95

1,186,427

Nomura Research Institute Ltd.

42,500

1,138,362

NSK Ltd.

204,576

2,096,017

NTN Corp.

143,611

1,187,024

NTT Data Corp.

560

2,673,240

NTT DoCoMo, Inc.

6,951

11,865,357

NTT Urban Development Co.

487

1,176,387

Obayashi Corp.

245,704

1,368,723

Obic Co. Ltd.

2,140

423,569

Odakyu Electric Railway Co. Ltd.

236,000

1,471,728

Oji Paper Co. Ltd.

311,352

1,586,051

Shares

Value

Oki Electric Industry Co. Ltd. (d)

277,000

$ 509,802

Okuma Corp.

52,000

745,115

Okumura Holdings, Inc. (d)

49,000

243,571

Olympus Corp.

102,429

3,879,695

Omron Corp.

84,360

2,162,544

Onward Kashiyama Co. Ltd.

77,000

1,005,283

Oracle Corp. Japan

13,100

583,370

Oriental Land Co. Ltd.

22,156

1,159,590

ORIX Corp.

37,518

10,049,189

Osaka Gas Co. Ltd.

751,525

2,797,148

OSG Corp.

39,100

511,439

Otsuka Corp.

5,700

525,462

Park24 Co. Ltd.

37,700

427,459

Pioneer Corp. (d)

61,638

877,649

Promise Co. Ltd.

32,225

1,119,972

QP Corp.

20,900

195,932

Rakuten, Inc.

2,614

890,233

Resona Holdings, Inc. (d)

2,226

5,541,681

Ricoh Co. Ltd.

266,770

5,808,401

Rinnai Corp.

10,100

323,638

Rohm Co. Ltd.

42,644

3,833,090

Round One Corp. (d)

149

249,741

Ryohin Keikaku Co. Ltd.

9,700

555,493

Sanken Electric Co. Ltd.

24,000

231,304

Sankyo Co. Ltd. (Gunma)

26,500

1,140,909

Santen Pharmaceutical Co. Ltd.

26,600

670,956

Sanwa Shutter Corp.

100,000

584,997

Sanyo Electric Co. Ltd. (a)(d)

683,382

1,128,583

Sapporo Breweries Ltd. (d)

108,578

764,533

Sapporo Hokuyo Holdings, Inc.

104

1,085,203

SBI Holdings, Inc.

3,938

1,263,486

Secom Co. Ltd.

89,867

4,245,627

Sega Sammy Holdings, Inc.

69,700

1,282,787

Seiko Epson Corp.

59,600

1,723,704

Seino Holdings Co. Ltd.

71,000

696,525

Sekisui Chemical Co. Ltd.

181,293

1,358,469

Sekisui House Ltd.

218,467

3,216,604

Seven & I Holdings Co. Ltd.

338,000

9,775,368

Sharp Corp.

420,675

8,053,346

Shimachu Co. Ltd.

11,600

294,503

Shimamura Co. Ltd.

8,600

924,936

SHIMANO, Inc.

35,600

1,202,169

SHIMIZU Corp.

211,416

1,224,618

Shin-Etsu Chemical Co. Ltd.

159,562

10,697,773

Shinko Electric Industries Co.Ltd.

23,900

458,520

Shinko Securities Co. Ltd.

188,000

954,597

Shinsei Bank Ltd.

560,000

2,456,988

Shionogi & Co. Ltd.

131,091

2,251,090

Shiseido Co. Ltd.

142,950

3,071,352

Shizuoka Bank Ltd.

256,274

2,625,698

Showa Denko KK

403,336

1,448,179

Showa Shell Sekiyu KK

68,000

823,531

SMC Corp.

23,671

2,979,539

Softbank Corp. (d)

315,230

6,954,175

Common Stocks - continued

Shares

Value

Japan - continued

Sojitz Corp.

382,000

$ 1,660,324

Sompo Japan Insurance, Inc.

324,712

4,076,575

Sony Corp.

413,285

23,846,545

Stanley Electric Co. Ltd.

48,725

1,064,896

Sumco Corp.

47,900

2,306,253

Sumitomo Bakelite Co. Ltd.

118,000

830,877

Sumitomo Chemical Co. Ltd.

644,334

4,266,972

Sumitomo Corp.

425,042

7,717,877

Sumitomo Electric Industries Ltd.

283,406

4,305,461

Sumitomo Heavy Industries Ltd.

225,822

2,566,033

Sumitomo Metal Industries Ltd.

1,660,966

8,993,317

Sumitomo Metal Mining Co. Ltd.

216,065

4,926,303

Sumitomo Mitsui Financial Group, Inc.

2,719

26,361,187

Sumitomo Osaka Cement Co. Ltd.

101,144

297,507

Sumitomo Realty & Development Co. Ltd.

150,000

5,669,214

Sumitomo Rubber Industries Ltd.

75,000

794,306

Sumitomo Titanium Corp. (d)

7,800

771,605

Sumitomo Trust & Banking Co. Ltd.

543,344

5,522,279

Suzuken Co. Ltd.

26,460

834,824

T&D Holdings, Inc.

88,400

5,977,586

Taiheiyo Cement Corp.

343,684

1,572,853

Taisei Corp.

466,594

1,537,295

Taisho Pharmaceutical Co. Ltd. (d)

54,524

1,052,760

Taiyo Nippon Sanso Corp.

98,000

799,556

Taiyo Yuden Co. Ltd. (d)

45,000

933,572

Takara Holdings, Inc. (d)

71,551

504,990

Takashimaya Co. Ltd.

108,000

1,241,410

Takeda Pharamaceutical Co. Ltd.

355,542

23,866,389

Takefuji Corp.

47,631

1,757,154

Tanabe Seiyaku Co. Ltd.

98,000

1,263,347

TDK Corp.

52,825

4,795,960

Teijin Ltd.

320,341

1,710,802

Terumo Corp.

66,412

2,597,331

The Daimaru, Inc.

102,000

1,136,406

The Goodwill Group, Inc. (d)

390

242,248

The Suruga Bank Ltd.

76,000

1,012,209

THK Co. Ltd.

59,000

1,468,819

TIS, Inc.

13,600

308,964

Tobu Railway Co. Ltd. (d)

351,297

1,581,717

Toda Corp. (d)

56,762

324,128

Toho Co. Ltd.

55,554

1,011,027

Toho Titanium Co. Ltd. (d)

13,400

540,580

Tohoku Electric Power Co., Inc.

174,590

4,045,221

Tokai Rika Co. Ltd.

28,200

732,167

Tokuyama Corp.

88,000

1,132,265

Tokyo Broadcasting System, Inc.

17,300

550,086

Tokyo Electric Power Co.

480,818

15,999,613

Tokyo Electron Ltd.

68,818

4,947,478

Tokyo Gas Co. Ltd.

867,395

4,276,042

Tokyo Seimitsu Co. Ltd.

10,300

375,746

Tokyo Steel Manufacturing Co. Ltd.

44,500

690,297

Tokyo Tatemono Co. Ltd.

119,000

1,715,923

Shares

Value

Tokyu Corp.

415,954

$ 2,863,934

Tokyu Land Corp.

149,000

1,841,229

TonenGeneral Sekiyu KK (d)

141,856

1,440,588

Toppan Printing Co. Ltd.

248,013

2,616,455

Toray Industries, Inc.

561,883

3,794,822

Toshiba Corp.

1,173,880

8,776,853

Tosoh Corp.

176,816

905,072

Toto Ltd. (d)

101,185

909,509

Toyo Seikan Kaisha Ltd.

71,800

1,386,328

Toyo Suisan Kaisha Ltd.

45,000

854,079

Toyobo Co. Ltd.

260,000

698,546

Toyoda Gosei Co. Ltd.

16,900

483,214

Toyota Boshoku Corp.

15,200

380,905

Toyota Industries Corp.

75,286

3,408,314

Toyota Motor Corp.

1,125,151

67,936,619

Toyota Tsusho Corp.

87,100

2,146,907

Trend Micro, Inc.

39,500

1,301,413

Ube Industries Ltd.

426,605

1,300,390

Uni-Charm Corp.

21,860

1,214,145

UNY Co. Ltd.

71,000

792,195

Ushio, Inc.

44,100

914,900

USS Co. Ltd.

9,940

623,955

Wacoal Holdings Corp.

44,000

552,757

West Japan Railway Co.

664

3,087,865

Yahoo! Japan Corp.

5,995

2,053,993

Yakult Honsha Co. Ltd. (d)

37,366

896,465

Yamada Denki Co. Ltd.

34,485

3,247,047

Yamaha Corp.

69,043

1,457,896

Yamaha Motor Co. Ltd.

70,600

1,798,209

Yamato Holdings Co. Ltd.

160,232

2,326,267

Yamazaki Baking Co. Ltd.

29,000

260,431

Yaskawa Electric Corp.

112,000

1,215,611

Yokogawa Electric Corp.

86,800

1,100,422

Zeon Corp.

89,000

888,464

TOTAL JAPAN

1,211,800,924

Luxembourg - 0.1%

Acergy SA (a)

81,000

1,821,690

Oriflame Cosmetics SA unit

18,917

989,739

Stolt-Nielsen SA

12,300

377,313

TOTAL LUXEMBOURG

3,188,742

Netherlands - 3.9%

ABN-AMRO Holding NV

747,373

35,851,483

Aegon NV

586,531

12,027,511

Akzo Nobel NV

114,583

9,316,744

Arcelor Mittal Class A

324,155

19,466,122

ASML Holding NV (a)

193,131

4,976,986

Corio NV

16,941

1,477,342

Corporate Express

44,906

586,106

EADS NV

140,963

4,432,652

Fugro NV (Certificaten Van Aandelen) unit

21,132

1,238,308

Common Stocks - continued

Shares

Value

Netherlands - continued

Hagemeyer NV

222,669

$ 1,075,608

Heineken NV (Bearer)

100,050

5,792,895

ING Groep NV (Certificaten Van Aandelen)

759,419

33,748,580

James Hardie Industries NV unit

160,636

1,234,525

Koninklijke Ahold NV (a)

657,634

8,220,425

Koninklijke KPN NV

805,919

13,674,338

Koninklijke Numico NV

70,570

3,512,403

Koninklijke Philips Electronics NV

478,538

20,299,582

Oce NV

37,860

747,836

QIAGEN NV (a)(d)

58,421

1,019,551

Randstad Holdings NV

18,510

1,507,817

Reed Elsevier NV

298,053

5,935,469

Rodamco Europe NV

23,334

3,478,795

Royal DSM NV (d)

61,819

3,071,026

SBM Offshore NV

54,462

2,013,039

STMicroelectronics NV

268,539

5,177,432

TNT NV

176,153

7,788,565

Unilever NV (Certificaten Van Aandelen)

700,063

20,883,470

Vedior NV (Certificaten Van Aandelen)

63,393

1,881,684

Wereldhave NV

9,290

1,368,392

Wolters Kluwer NV (Certificaten Van Aandelen)

117,290

3,651,945

TOTAL NETHERLANDS

235,456,631

New Zealand - 0.2%

Auckland International Airport Ltd.

339,479

670,616

Contact Energy Ltd. (d)

130,563

851,706

Fisher & Paykel Appliances Holdings Ltd.

57,025

163,509

Fisher & Paykel Healthcare Corp.

128,247

334,639

Fletcher Building Ltd.

219,029

2,095,573

Kiwi Income Property Trust

488,687

576,338

Sky City Entertainment Group Ltd.

242,931

929,344

Sky Network Television Ltd.

55,207

227,881

Telecom Corp. of New Zealand Ltd.

868,771

3,108,028

Vector Ltd.

122,841

261,678

TOTAL NEW ZEALAND

9,219,312

Norway - 0.9%

Aker Kvaerner ASA

61,700

1,514,161

Det Norske Oljeselskap ASA (DNO)
(A Shares) (a)(d)

255,600

507,318

DnB Nor ASA

272,359

3,676,133

Marine Harvest ASA (a)

1,006,000

1,114,293

Norsk Hydro ASA (d)

297,180

10,597,439

Norske Skogindustrier ASA (A Shares)

65,500

982,913

Ocean RIG ASA (a)(d)

92,700

627,909

Orkla ASA (A Shares)

361,345

6,381,117

Petroleum Geo-Services ASA (a)

70,600

1,773,546

ProSafe ASA

81,200

1,261,597

Renewable Energy Corp. AS

73,800

2,337,302

Schibsted ASA (B Shares)

22,050

1,060,307

Statoil ASA

262,278

7,164,937

Shares

Value

Storebrand ASA (A Shares)

82,050

$ 1,292,490

TANDBERG ASA

52,650

1,187,305

Telenor ASA

315,408

6,132,120

TGS Nopec Geophysical Co. ASA (a)

43,700

923,882

Tomra Systems AS (d)

81,500

664,887

Yara International ASA

91,017

2,637,332

TOTAL NORWAY

51,836,988

Portugal - 0.4%

Banco Comercial Portugues SA (Reg.) (a)

783,673

3,975,356

Banco Espirito Santo SA (BES) (Reg.)

94,044

2,154,992

BPI-SGPS SA

153,390

1,337,433

Brisa Auto-Estradas de Portugal SA

128,810

1,714,138

Cimpor-Cimentos de Portugal SGPS SA

90,960

893,456

Energias de Portugal SA

853,385

4,857,191

Jeronimo Martins SGPS SA

115,994

697,659

Portugal Telecom SGPS SA (Reg.)

322,383

4,489,648

PT Multimedia SGPS SA (d)

47,451

775,749

Sonae Industria SGPS SA (a)

12,264

160,563

Sonae SGPS SA

351,130

1,025,245

TOTAL PORTUGAL

22,081,430

Singapore - 1.0%

Allgreen Properties Ltd.

393,000

462,519

Ascendas Real Estate Investment Trust (A-REIT)

379,100

696,506

CapitaCommercial Trust (REIT) (a)

429,000

824,649

CapitaLand Ltd.

558,000

2,955,180

CapitaMall Trust

403,000

1,069,783

Chartered Semiconductor Manufacturing Ltd. (a)

428,800

356,060

City Developments Ltd.

184,000

2,033,149

ComfortDelgro Corp. Ltd.

660,784

950,489

Cosco Corp. Singapore Ltd.

462,000

797,463

DBS Group Holdings Ltd.

471,361

7,365,738

Fraser & Neave Ltd.

338,150

1,260,228

Haw Par Corp. Ltd.

7,000

35,013

Jardine Cycle & Carriage Ltd.

55,390

499,776

Keppel Corp. Ltd.

432,000

3,078,754

Keppel Land Ltd.

191,000

1,142,666

Neptune Orient Lines Ltd.

230,000

679,721

Olam International Ltd.

218,000

470,365

Oversea-Chinese Banking Corp. Ltd.

1,057,968

6,502,272

Parkway Holdings Ltd.

298,202

822,788

SembCorp Industries Ltd.

345,130

1,241,110

SembCorp Marine Ltd.

267,000

789,068

Singapore Airlines Ltd.

227,170

2,732,962

Singapore Exchange Ltd.

338,000

1,646,409

Singapore Land Ltd.

38,000

258,394

Singapore Petroleum Co. Ltd.

25,000

85,815

Singapore Post Ltd.

815,000

634,117

Singapore Press Holdings Ltd.

623,021

1,784,192

Singapore Technologies Engineering Ltd.

662,161

1,506,633

Singapore Telecommunications Ltd.

3,037,827

6,951,776

Common Stocks - continued

Shares

Value

Singapore - continued

SMRT Corp. Ltd.

119,000

$ 148,609

Suntec (REIT)

526,000

687,829

United Overseas Bank Ltd.

457,846

7,184,481

Uol Group Ltd.

283,984

946,954

Venture Corp. Ltd.

107,808

1,064,370

Want Want Holdings Ltd.

132,000

303,600

Wing Tai Holdings Ltd.

274,000

616,274

TOTAL SINGAPORE

60,585,712

Spain - 3.9%

Abertis Infraestructuras SA (d)

93,545

3,103,941

Acerinox SA (Reg.) (d)

77,561

1,975,577

Actividades de Construccion y Servicios SA (ACS)

96,035

6,432,566

Altadis SA (Spain)

99,835

6,743,516

Antena 3 Television SA

45,397

999,944

Azucarera Ebro Agricolas SA (a)

47,426

1,047,189

Banco Bilbao Vizcaya Argentaria SA

1,441,186

36,375,535

Banco Popular Espanol SA (Reg.)

325,443

6,515,949

Banco Santander Central Hispano SA

2,528,034

48,538,253

Cintra Concesiones de Infrastructuras de Transporte SA

85,529

1,488,030

Corporacion Mapfre SA (Reg.)

279,642

1,437,360

Endesa SA

260,010

13,965,137

Fomento Construcciones y Contratas SA (FOCSA)

19,129

1,891,818

Gas Natural SDG SA Series E

66,451

3,918,978

Gestevision Telecinco SA

32,878

968,834

Grupo Acciona SA

10,612

2,841,516

Grupo Corporacion Tecnologica SA

70,188

2,588,641

Grupo Ferrovial SA

22,706

2,412,085

Iberdrola SA (d)

350,742

20,246,264

Iberia Lineas Aereas de Espana SA

226,270

1,190,429

Inditex SA

84,507

5,334,061

Indra Sistemas SA

57,627

1,426,736

Promotora de Informaciones SA (PRISA)

43,982

997,774

Repsol YPF SA

332,084

12,184,162

Sociedad General de Aguas de Barcelona SA

19,298

714,077

Sociedad General de Aguas de Barcelona SA (New) (a)

186

6,732

Sogecable SA (a)

16,433

664,669

Telefonica SA

1,835,414

41,871,911

Union Fenosa SA

47,596

2,806,355

Vallehermoso SA (d)

37,575

2,153,815

Zardoya-Otis SA

45,951

2,176,394

Zeltia SA (a)(d)

76,948

715,443

TOTAL SPAIN

235,733,691

Sweden - 2.5%

AB Volvo (a)

38,740

118,981

Shares

Value

AB Volvo:

(A Shares)

193,700

$ 4,129,348

(B Shares)

447,010

9,367,960

(B Shares, redemption shares) (a)

85,122

261,433

Alfa Laval AB

37,400

2,354,071

Assa Abloy AB (B Shares)

118,643

2,666,443

Atlas Copco AB:

(A Shares)

272,560

4,579,467

(A Shares) (a)

136,280

669,685

(B Shares)

156,310

2,445,538

(B Shares) (a)

78,155

384,057

Axfood AB

10,950

409,896

Billerud AB

11,700

178,401

Boliden AB

116,400

2,414,152

Boliden AB (redemption shares) (a)

116,400

171,598

Castellum AB (a)

71,000

1,038,994

D. Carnegie & Co. AB

39,790

793,620

Electrolux AB (B Shares)

102,269

2,571,894

Elekta AB (B Shares) (d)

22,794

420,864

Eniro AB

63,515

819,303

Fabege AB

65,330

845,076

Getinge AB (B Shares)

64,000

1,489,243

Hennes & Mauritz AB (H&M) (B Shares)

193,721

12,263,392

Hoganas AB (A Shares)

5,600

169,563

Holmen AB (B Shares)

23,300

1,023,739

Husqvarna AB (B Shares)

109,369

1,659,753

Kungsleden AB

53,810

857,435

Lundin Petroleum AB (a)(d)

85,200

895,844

Modern Times Group AB (MTG)
(B Shares)

19,775

1,200,399

Nobia AB

52,950

656,236

Nordea Bank AB

826,273

13,614,078

OMX AB

40,400

1,305,025

Sandvik AB

423,030

7,871,875

Sandvik AB (redemption shares) (a)

423,030

155,909

SAS AB (a)

34,600

770,117

Scania AB (a)

42,804

184,048

Scania AB (B Shares)

171,216

4,206,812

Securitas AB (B Shares)

147,608

2,197,389

Securitas Direct AB (a)(d)

176,508

515,318

Securitas Systems AB

192,008

671,575

Skandinaviska Enskilda Banken AB
(A Shares)

179,375

5,897,978

Skanska AB (B Shares)

160,069

3,736,281

SKF AB:

(B Shares)

157,600

3,382,536

(B Shares, redemption shares) (a)

157,600

193,613

SSAB Swedish Steel AB:

(A Shares)

62,757

2,340,139

(B Shares)

34,807

1,199,816

Svenska Cellulosa AB (SCA) (B Shares)

235,812

4,081,326

Svenska Handelsbanken AB (A Shares)

212,464

6,264,340

Swedish Match Co.

121,750

2,252,365

TELE2 AB (B Shares)

132,259

2,207,837

Common Stocks - continued

Shares

Value

Sweden - continued

Telefonaktiebolaget LM Ericsson
(B Shares)

6,076,573

$ 23,078,824

TeliaSonera AB

843,135

6,245,264

Trelleborg AB (B Shares)

31,000

985,699

Wihlborgs Fastigheter AB

15,506

333,923

TOTAL SWEDEN

150,548,472

Switzerland - 6.5%

ABB Ltd. (Reg.)

853,846

18,266,323

Adecco SA (Reg.)

55,283

4,033,262

Ciba Specialty Chemicals, Inc.

31,453

2,028,894

Clariant AG (Reg.)

92,899

1,585,359

Compagnie Financiere Richemont unit

215,125

13,235,624

Credit Suisse Group (Reg.)

458,933

34,846,783

Geberit AG (Reg.)

17,190

3,003,723

Givaudan AG

2,777

2,641,631

Holcim Ltd. (Reg.)

82,681

9,147,771

Kudelski SA (Bearer)

17,490

680,492

Kuehne & Nagel International AG

24,291

2,231,353

Kuoni Reisen Holding AG Class B (Reg.)

1,306

793,389

Logitech International SA (Reg.) (a)

79,329

2,120,464

Lonza Group AG

21,476

2,123,576

Nestle SA (Reg.)

164,512

64,126,778

Nobel Biocare Holding AG (Switzerland)

10,046

3,445,187

Novartis AG (Reg.)

956,486

53,735,383

Oc Oerlikon Corp. AG (Reg.) (a)(d)

2,670

1,438,883

Phonak Holding AG

22,105

2,111,770

PSP Swiss Property AG

21,523

1,279,394

Rieter Holding AG (Reg.)

1,918

1,059,465

Roche Holding AG (participation certificate)

288,645

53,024,087

Schindler Holding AG (participation certificate)

21,795

1,429,924

Societe Generale de Surveillance Holding SA (SGS) (Reg.)

2,142

2,789,655

Straumann Holding AG

3,714

1,081,115

Sulzer AG (Reg.)

1,590

2,042,190

Swiss Life Holding

13,955

3,757,378

Swiss Reinsurance Co. (Reg.)

146,537

13,951,347

Swisscom AG (Reg.)

10,087

3,551,906

Syngenta AG (Switzerland)

42,924

8,093,320

The Swatch Group AG:

(Bearer)

13,205

3,784,564

(Reg.)

24,043

1,393,854

UBS AG (Reg.)

821,691

53,607,121

Zurich Financial Services AG (Reg.)

59,531

18,216,087

TOTAL SWITZERLAND

390,658,052

United Kingdom - 21.9%

3i Group plc

189,791

4,562,044

Aegis Group PLC

395,776

1,153,905

Aggreko PLC

103,051

1,154,362

Alliance Boots PLC

325,992

7,284,063

Shares

Value

AMEC PLC

121,662

$ 1,433,300

Anglo American PLC (United Kingdom)

606,446

36,491,190

ARM Holdings PLC

510,105

1,421,586

Arriva PLC

72,986

1,049,159

AstraZeneca PLC (United Kingdom)

625,662

33,272,705

Aviva PLC

1,078,440

17,039,783

BAE Systems PLC

1,318,471

11,675,786

Balfour Beatty PLC

176,367

1,606,351

Barclays PLC

2,679,601

38,338,391

Barratt Developments PLC

114,002

2,462,648

BBA Aviation plc

149,376

842,189

Bellway PLC

54,270

1,543,048

Berkeley Group Holdings PLC unit

44,096

1,651,907

BG Group PLC

1,399,843

21,397,440

BHP Billiton PLC

975,258

23,751,433

Biffa PLC

141,286

918,267

Bovis Homes Group PLC

57,384

1,203,239

BP PLC

7,840,000

87,559,734

British Airways PLC (a)

223,330

2,078,309

British American Tobacco PLC

627,003

21,343,182

British Land Co. PLC

204,120

5,848,160

British Sky Broadcasting Group PLC (BSkyB)

487,501

6,370,663

Brixton PLC

104,690

989,792

BT Group PLC

3,402,854

22,237,651

Bunzl PLC

154,773

2,258,540

Burberry Group PLC

170,861

2,312,313

Cable & Wireless PLC

981,064

3,828,681

Cadbury Schweppes PLC

876,611

12,332,076

Capita Group PLC

272,636

4,000,061

Carnival PLC

75,620

3,929,215

Carphone Warehouse Group PLC (d)

161,800

962,694

Cattles PLC

171,925

1,406,751

Centrica PLC

1,498,457

11,370,816

Charter PLC (a)

75,783

1,550,020

Close Brothers Group PLC

44,941

840,891

Cobham PLC

377,744

1,637,974

Compass Group PLC

870,959

6,501,361

Cookson Group PLC

97,695

1,385,002

CSR PLC (a)

51,632

794,338

Daily Mail & General Trust PLC Class A

135,278

2,256,640

Davis Service Group PLC

72,669

937,408

De La Rue PLC

67,960

1,013,243

Diageo PLC

1,092,431

23,320,671

DSG International PLC

817,767

2,725,078

Electrocomponents PLC

156,889

960,655

EMAP PLC

89,658

1,555,100

EMI Group PLC

304,122

1,655,944

Enterprise Inns PLC

229,373

3,351,690

Experian Group Ltd.

410,897

5,113,326

First Choice Holidays PLC

202,863

1,433,957

FirstGroup PLC

197,041

2,703,678

FKI PLC

239,508

654,432

Friends Provident PLC

736,112

2,885,853

Common Stocks - continued

Shares

Value

United Kingdom - continued

Galiform PLC (a)

237,595

$ 722,122

George Wimpey PLC

177,614

2,208,523

GKN PLC

294,924

2,286,162

GlaxoSmithKline PLC

2,362,050

61,625,885

Great Portland Estates PLC

70,470

998,341

Group 4 Securicor PLC (United Kingdom)

487,455

2,120,941

Hammerson PLC

113,512

3,578,080

Hanson PLC

296,285

6,309,359

Hays PLC

523,079

1,802,112

HBOS plc

1,550,392

33,368,467

Home Retail Group

363,319

3,393,636

HSBC Holdings PLC (United Kingdom) (Reg.)

4,734,680

88,102,926

Icap PLC

183,391

1,941,753

IMI PLC

115,581

1,381,112

Imperial Chemical Industries PLC

501,724

5,380,990

Imperial Tobacco Group PLC

268,254

11,600,161

Inchcape PLC

187,424

2,059,602

InterContinental Hotel Group PLC

135,908

3,665,113

International Power PLC

619,075

5,561,925

Intertek Group PLC

54,496

985,686

Invensys PLC (a)

317,249

2,449,797

Invesco PLC

295,493

3,501,681

Investec PLC

124,144

1,699,742

ITV PLC

1,543,732

3,585,379

J Sainsbury PLC

578,509

6,391,599

Johnson Matthey PLC

82,139

2,644,449

Kelda Group PLC

139,336

2,819,548

Kesa Electricals PLC (a)

251,985

1,751,245

Kingfisher PLC

952,129

4,680,047

Land Securities Group PLC

197,241

7,599,853

Legal & General Group PLC

2,720,700

8,279,797

Liberty International PLC

103,228

2,479,268

Lloyds TSB Group PLC

2,326,402

26,486,087

LogicaCMG PLC

575,570

1,891,783

London Stock Exchange Group PLC

56,745

1,605,554

Man Group plc

715,568

8,338,013

Marks & Spencer Group PLC

661,919

9,161,091

Meggitt PLC

290,321

1,839,474

Meinl European Land Ltd. (a)

129,293

3,691,648

Michael Page International PLC

120,892

1,365,584

Misys PLC

171,736

855,194

Mitchells & Butlers PLC

166,271

2,920,151

National Express Group PLC Class L

60,703

1,459,130

National Grid PLC

1,129,936

17,517,850

Next PLC

87,901

3,844,631

Old Mutual plc

2,073,482

7,110,716

Pearson PLC

327,777

5,828,006

Persimmon PLC

126,075

3,409,925

Premier Farnell PLC

123,229

524,586

Provident Financial PLC

104,247

1,632,696

Prudential PLC

1,007,465

15,090,516

Shares

Value

Punch Taverns Ltd.

101,401

$ 2,698,402

Rank Group PLC

158,895

634,730

Reckitt Benckiser PLC

251,460

13,672,081

Reed Elsevier PLC

498,447

6,735,763

Rentokil Initial PLC

803,537

2,732,548

Resolution PLC

290,303

3,632,736

Reuters Group PLC

524,245

6,479,668

Rexam PLC

219,383

2,332,612

Rio Tinto PLC (Reg.)

417,364

30,566,696

Rolls-Royce Group PLC

707,263

6,973,896

Royal & Sun Alliance Insurance Group PLC

1,332,206

4,175,587

Royal Bank of Scotland Group PLC

3,896,648

48,413,903

Royal Dutch Shell PLC:

Class A (United Kingdom)

1,475,209

54,971,598

Class B

1,135,196

42,967,169

SABMiller PLC

371,131

8,832,769

Sage Group PLC

539,795

2,685,345

Schroders PLC

55,623

1,524,248

Scottish & Newcastle PLC

305,202

3,921,907

Scottish & Southern Energy PLC

335,717

10,123,680

Segro PLC

188,573

2,673,362

Serco Group PLC

225,139

2,120,776

Severn Trent PLC

88,804

2,762,319

Signet Group PLC

617,750

1,394,385

Smith & Nephew PLC

382,191

4,687,955

Smiths Group PLC

230,166

5,181,635

SSL International PLC

94,900

795,295

Stagecoach Group PLC

230,198

842,076

Stagecoach Group PLC (a)

358,085

446,675

Standard Life PLC

838,655

5,708,096

Tate & Lyle PLC

181,784

2,161,394

Taylor Woodrow PLC

224,020

2,029,285

Tesco PLC

3,253,656

29,825,180

Tomkins PLC

328,665

1,752,162

Travis Perkins PLC

38,279

1,569,661

Trinity Mirror PLC

109,981

1,251,045

Tullett Prebon PLC

85,395

836,956

Unilever PLC

492,066

15,150,712

United Business Media PLC

108,725

1,821,231

United Utilities PLC

326,206

4,983,025

Vodafone Group PLC

21,573,901

67,806,773

Whitbread PLC

84,204

3,157,751

William Hill PLC

156,477

1,958,091

Wolseley PLC

279,575

7,251,616

WPP Group plc

476,978

7,044,011

Xstrata PLC

253,478

14,564,744

Yell Group PLC

319,945

3,202,297

TOTAL UNITED KINGDOM

1,310,960,477

Common Stocks - continued

Shares

Value

United States of America - 0.0%

Synthes, Inc.

21,051

$ 2,624,714

TOTAL COMMON STOCKS

(Cost $4,508,242,898)

5,703,116,442

Nonconvertible Preferred Stocks - 0.5%

Germany - 0.3%

Henkel KGaA

26,154

4,069,547

Porsche AG

3,343

5,939,119

ProSiebenSat.1 Media AG

29,881

1,109,696

RWE AG (non-vtg.)

16,810

1,797,734

Volkswagen AG

45,524

4,482,628

TOTAL GERMANY

17,398,724

Italy - 0.2%

Intesa Sanpaolo Spa

406,172

2,929,373

Telecom Italia Spa (Risp)

2,521,090

5,878,774

UNIPOL Assicurazioni Spa

307,293

1,063,879

TOTAL ITALY

9,872,026

United Kingdom - 0.0%

Rolls-Royce Group PLC Series B (a)

39,292,105

77,798

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $20,194,789)

27,348,548

Government Obligations - 0.2%

Principal Amount

United States of America - 0.2%

U.S. Treasury Bills, yield at date of purchase 4.66% to 4.97% 6/21/07 (e)
(Cost $12,963,037)

$ 13,000,000

12,965,316

Money Market Funds - 6.6%

Shares

Fidelity Cash Central Fund, 5.33% (b)

251,200,195

251,200,195

Fidelity Securities Lending Cash Central Fund, 5.36% (b)(c)

146,719,475

146,719,475

TOTAL MONEY MARKET FUNDS

(Cost $397,919,670)

397,919,670

TOTAL INVESTMENT PORTFOLIO - 102.6%

(Cost $4,939,320,394)

6,141,349,976

NET OTHER ASSETS - (2.6)%

(157,149,713)

NET ASSETS - 100%

$ 5,984,200,263

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

218 CAC 40 Index Contracts (France)

June 2007

$ 17,863,791

$ 353,547

58 DAX 100 Index Contracts (Germany)

June 2007

15,393,765

1,425,791

649 Dow Jones EURO STOXX 50 Index Contracts (Germany)

June 2007

39,401,579

2,924,648

556 FTSE 100 Index Contracts (United Kingdom)

June 2007

72,757,158

2,659,508

31 Hang Seng 100 Index Contracts
(Hong Kong)

June 2007

4,107,568

30,869

36 IBEX 35 Index Contracts (Spain)

June 2007

7,427,517

238,931

20 MIB 30 Index Contracts (Italy)

June 2007

5,807,259

199,404

52 MSCI Index Contracts (Singapore)

June 2007

2,940,247

(2,657)

47 Nikkei 225 Index Contracts (Japan)

June 2007

4,220,600

309,440

414 OMX Index Contracts (Sweden)

June 2007

7,658,966

84,217

140 Share Price Index 200 Contracts (Australia)

June 2007

18,353,460

626,418

411 TOPIX 150 Index Contracts (Japan)

June 2007

59,365,543

1,526,604

TOTAL EQUITY INDEX CONTRACTS

$ 255,297,453

$ 10,376,720

The face value of futures purchased as a percentage of net assets - 4.3%

Forward Foreign Currency Contracts

Settlement Dates

Value

Contracts to Buy

22,082,500 AUD

July 2007

$ 18,263,409

86,567

62,943,000 EUR

July 2007

84,843,906

(445,007)

36,729,000 GBP

July 2007

72,691,512

(143,795)

7,631,000,000 JPY

July 2007

63,114,933

(707,525)

52,288,000 SEK

July 2007

7,577,186

(123,283)

$ 246,490,946

$ (1,333,042)

(Payable Amount $247,823,989)

The value of contracts to buy as a percentage of net assets - 4.1%

Currency Abbreviations

AUD

-

Australian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

SEK

-

Swedish krona

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $12,965,316.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 1,810,976

Fidelity Securities Lending Cash Central Fund

607,388

Total

$ 2,418,364

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $4,978,539,482. Net unrealized appreciation aggregated $1,162,810,494, of which $1,275,048,292 related to appreciated investment securities and $112,237,798 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Forward foreign currency contracts are valued using spot rates and forward points as reported by an independent pricing service. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. The frequency of when fair value pricing is used is unpredictable. The value of securities used under fair value pricing may differ from published prices for the same securities.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Long-Term
Treasury Bond Index Fund

May 31, 2007

1.832125.101

LBX-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 98.7%

Principal Amount

Value

U.S. Treasury Obligations - 98.7%

U.S. Treasury Bonds:

4.5% 2/15/36

$ 1,615,000

$ 1,486,683

4.75% 2/15/37

542,000

519,939

5.25% 2/15/29

438,000

447,444

5.375% 2/15/31

10,000

10,429

6% 2/15/26

1,082,000

1,197,639

6.125% 11/15/27

1,951,000

2,204,934

6.125% 8/15/29

2,280,000

2,594,747

6.25% 8/15/23

1,208,000

1,358,717

6.25% 5/15/30

827,000

958,674

6.375% 8/15/27

168,000

194,749

6.625% 2/15/27

252,000

299,191

6.75% 8/15/26

699,000

838,363

7.125% 2/15/23

2,374,000

2,886,823

7.25% 5/15/16

1,000

1,168

7.5% 11/15/16

37,000

44,117

7.875% 2/15/21

734,000

934,933

8% 11/15/21

712,000

922,151

8.125% 5/15/21

1,353,000

1,761,013

8.5% 2/15/20

648,000

856,372

8.75% 5/15/17

250,000

324,101

8.75% 8/15/20

537,000

726,041

8.875% 8/15/17

92,000

120,613

8.875% 2/15/19

2,026,000

2,712,466

9% 11/15/18

223,000

300,179

U.S. Treasury Notes 5.125% 5/15/16

4,000

4,062

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $24,031,671)

23,705,548

Cash Equivalents - 0.9%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.32%, dated 5/31/07 due 6/1/07 (Collateralized by U.S. Government Obligations) #
(Cost $210,000)

$ 210,031

$ 210,000

TOTAL INVESTMENT PORTFOLIO - 99.6%

(Cost $24,241,671)

23,915,548

NET OTHER ASSETS - 0.4%

98,269

NET ASSETS - 100%

$ 24,013,817

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$210,000 due 6/01/07 at 5.32%

ABN AMRO Bank N.V.,
New York Branch

$ 1,702

BNP Paribas Securities Corp.

2,414

Banc of America Securities LLC

70,591

Bank of America, NA

9,656

Barclays Capital, Inc.

18,698

Citigroup Global Markets, Inc.

4,828

Countrywide Securities Corp.

24,140

Greenwich Capital Markets, Inc.

2,414

Merrill Lynch Government Securities, Inc.

4,828

Societe Generale, New York Branch

18,105

UBS Securities LLC

48,279

WestLB AG

4,345

$ 210,000

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $24,282,319. Net unrealized depreciation aggregated $366,771, of which $74,119 related to appreciated investment securities and $440,890 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Short-Term Treasury
Bond Index Fund

May 31, 2007

1.832122.101

STD-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.0%

Principal Amount

Value

U.S. Treasury Obligations - 99.0%

U.S. Treasury Notes:

3% 11/15/07

$ 1,000

$ 992

3% 2/15/09

19,574,000

18,951,606

3.25% 8/15/08

3,577,000

3,502,387

3.5% 2/15/10

6,115,000

5,903,366

3.625% 7/15/09

2,944,000

2,867,871

3.875% 5/15/09

9,106,000

8,929,571

3.875% 5/15/10

34,000

33,092

4% 3/15/10

129,000

126,098

4.125% 8/15/10

237,000

231,945

4.25% 10/15/10

5,003,000

4,911,540

4.25% 1/15/11

8,869,000

8,695,088

4.5% 2/15/09

2,015,000

1,999,573

4.5% 2/28/11

1,606,000

1,586,803

4.5% 3/31/12

2,608,000

2,567,453

4.625% 8/31/11

1,243,000

1,232,318

4.625% 10/31/11

3,700,000

3,666,471

4.625% 12/31/11

1,699,000

1,682,540

4.625% 2/29/12

6,647,000

6,582,604

4.75% 11/15/08

1,000

996

4.75% 3/31/11

6,487,000

6,464,192

4.75% 1/31/12

6,870,000

6,837,793

4.875% 4/30/08

622,000

620,931

4.875% 10/31/08

23,200,000

23,156,500

4.875% 5/15/09

8,751,000

8,744,848

4.875% 4/30/11

3,049,000

3,051,381

4.875% 5/31/11

4,295,000

4,299,029

4.875% 7/31/11

289,000

289,203

5% 7/31/08

8,787,000

8,784,258

5% 2/15/11

1,000

1,006

5.125% 6/30/11

1,129,000

1,140,026

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

6% 8/15/09

$ 6,122,000

$ 6,259,267

6.5% 2/15/10

26,791,000

27,873,116

TOTAL INVESTMENT PORTFOLIO - 99.0%

(Cost $171,452,652)

170,993,864

NET OTHER ASSETS - 1.0%

1,644,369

NET ASSETS - 100%

$ 172,638,233

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $170,986,832. Net unrealized appreciation aggregated $7,032, of which $519,142 related to appreciated investment securities and $512,110 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® Total Market Index Fund

May 31, 2007

1.816022.102

STI-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.0%

Shares

Value

CONSUMER DISCRETIONARY - 10.9%

Auto Components - 0.3%

Aftermarket Technology Corp. (a)

13,201

$ 395,634

American Axle & Manufacturing Holdings, Inc.

20,860

601,185

Amerigon, Inc. (a)

19,084

315,459

ArvinMeritor, Inc.

34,609

722,636

Bandag, Inc.

4,924

249,893

BorgWarner, Inc.

23,098

1,943,928

Cooper Tire & Rubber Co.

21,555

518,829

Drew Industries, Inc. (a)

9,018

303,816

Exide Technologies (a)

54,619

429,305

Fuel Systems Solutions, Inc. (a)

1,791

29,193

GenTek, Inc. (a)

4,202

148,163

Gentex Corp.

78,892

1,400,333

Hayes Lemmerz International, Inc. (a)

19,187

109,942

Johnson Controls, Inc.

83,520

9,162,144

Lear Corp. (a)

29,957

1,068,566

Modine Manufacturing Co.

18,795

441,870

Noble International Ltd.

15,109

297,798

Proliance International, Inc. (a)

1,414

4,058

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

18,321

32,795

Sauer-Danfoss, Inc.

8,867

241,005

Spartan Motors, Inc.

5,731

201,101

Standard Motor Products, Inc.

5,058

78,652

Stoneridge, Inc. (a)

3,821

47,915

Strattec Security Corp. (a)

781

37,183

Superior Industries International, Inc.

4,538

102,468

Tenneco, Inc. (a)

20,705

675,190

The Goodyear Tire & Rubber Co. (a)(d)

70,202

2,490,065

TRW Automotive Holdings Corp. (a)

17,886

725,814

Visteon Corp. (a)

75,964

614,549

23,389,489

Automobiles - 0.3%

Coachmen Industries, Inc.

3,894

39,991

Fleetwood Enterprises, Inc. (a)

39,400

366,814

Ford Motor Co. (d)

813,506

6,784,640

General Motors Corp.

210,421

6,310,526

Harley-Davidson, Inc.

112,462

6,870,304

Monaco Coach Corp.

5,658

87,190

National R.V. Holdings, Inc. (a)

300

477

Thor Industries, Inc.

13,911

606,241

Winnebago Industries, Inc.

10,340

320,540

21,386,723

Distributors - 0.1%

Audiovox Corp. Class A (a)

4,180

56,137

Building Materials Holding Corp.

17,924

274,596

Core-Mark Holding Co., Inc. (a)

4,000

138,240

Genuine Parts Co.

71,510

3,669,893

Handleman Co.

10,146

71,428

Keystone Automotive Industries, Inc. (a)

13,445

555,413

Shares

Value

LKQ Corp. (a)

29,775

$ 743,482

Source Interlink Companies, Inc. (a)

5,135

27,883

5,537,072

Diversified Consumer Services - 0.3%

Apollo Group, Inc. Class A (non-vtg.) (a)

58,083

2,786,242

Bright Horizons Family Solutions, Inc. (a)

13,407

567,652

Career Education Corp. (a)

42,107

1,468,271

Coinstar, Inc. (a)

25,148

794,425

Corinthian Colleges, Inc. (a)

57,826

844,838

CPI Corp.

2,388

189,488

DeVry, Inc.

33,317

1,119,451

Educate, Inc. (a)(d)

5,603

44,488

EVCI Career Colleges, Inc. (a)

2,100

1,701

H&R Block, Inc.

126,438

2,995,316

INVESTools, Inc. (a)

23,100

282,282

ITT Educational Services, Inc. (a)

17,021

1,926,607

Jackson Hewitt Tax Service, Inc.

14,841

448,940

Laureate Education, Inc. (a)

21,079

1,262,843

Mace Security International, Inc. (a)

1,100

2,761

Matthews International Corp. Class A

10,351

457,618

Nobel Learning Communities, Inc. (a)

1,000

15,940

Pre-Paid Legal Services, Inc. (a)

3,486

226,485

Princeton Review, Inc. (a)

17,342

113,243

Regis Corp.

14,023

559,097

Service Corp. International

120,089

1,678,844

ServiceMaster Co.

123,911

1,918,142

Sotheby's Class A (ltd. vtg.)

24,404

1,158,458

Steiner Leisure Ltd. (a)

8,837

441,143

Stewart Enterprises, Inc. Class A

64,820

501,707

Strayer Education, Inc.

6,744

844,079

Universal Technical Institute, Inc. (a)(d)

4,802

113,375

Vertrue, Inc. (a)

2,866

138,285

Weight Watchers International, Inc. (d)

17,022

888,889

23,790,610

Hotels, Restaurants & Leisure - 1.8%

AFC Enterprises, Inc. (a)

14,058

273,709

Ambassadors Group, Inc.

12,856

440,704

American Real Estate Partners LP

3,572

333,446

Ameristar Casinos, Inc.

11,703

347,579

Applebee's International, Inc.

30,870

808,794

Bally Technologies, Inc. (a)

27,072

735,546

BJ's Restaurants, Inc. (a)

2,508

50,787

Bluegreen Corp. (a)

13,016

155,411

Bob Evans Farms, Inc.

23,966

927,484

Boyd Gaming Corp.

19,624

981,985

Brinker International, Inc.

47,837

1,528,871

Buca, Inc. (a)

4,631

17,459

Buffalo Wild Wings, Inc. (a)

5,621

481,214

Burger King Holdings, Inc.

21,364

546,918

California Pizza Kitchen, Inc. (a)

4,446

163,035

Carnival Corp. unit

181,164

9,137,912

CBRL Group, Inc.

9,381

421,582

CEC Entertainment, Inc. (a)

10,771

417,053

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Cedar Fair LP (depository unit)

19,151

$ 558,443

Champps Entertainment, Inc. (a)

1,600

7,664

Chipotle Mexican Grill, Inc.
Class A (a)(d)

9,747

844,285

Choice Hotels International, Inc. (d)

13,552

546,417

Churchill Downs, Inc.

2,627

135,107

CKE Restaurants, Inc.

29,348

639,493

Darden Restaurants, Inc.

57,855

2,636,452

Denny's Corp. (a)

50,513

231,350

Domino's Pizza, Inc.

20,289

398,070

Dover Downs Gaming & Entertainment, Inc.

1,755

25,658

Dover Motorsports, Inc.

11,625

66,611

Empire Resorts, Inc. (a)(d)

15,456

114,065

Gaylord Entertainment Co. (a)

24,853

1,399,969

Great Wolf Resorts, Inc. (a)

13,290

188,319

Harrah's Entertainment, Inc.

79,299

6,776,100

Hilton Hotels Corp.

151,190

5,374,805

IHOP Corp.

14,923

867,772

International Game Technology

141,500

5,686,885

International Speedway Corp. Class A

19,173

1,004,665

Interstate Hotels & Resorts, Inc. (a)

156

959

Isle of Capri Casinos, Inc. (a)(d)

7,404

183,027

Jack in the Box, Inc. (a)

14,209

1,086,562

Krispy Kreme Doughnuts, Inc. (a)(d)

11,971

102,113

Landry's Seafood Restaurants, Inc.

4,778

139,804

Las Vegas Sands Corp. (a)

45,929

3,583,381

Life Time Fitness, Inc. (a)(d)

11,586

592,971

Littlefield Corp.

2,520

2,596

Lodgian, Inc. (a)

4,642

70,512

Lodgian, Inc.:

Class A warrants 11/25/07 (a)

2

0

Class B warrants 11/25/09 (a)

8

0

Luby's, Inc. (a)

17,000

163,880

Marcus Corp.

23,391

546,648

Marriott International, Inc. Class A

147,160

6,776,718

McCormick & Schmick's Seafood Restaurants (a)

16,005

450,541

McDonald's Corp.

518,110

26,190,461

MGM Mirage, Inc. (a)

50,942

4,051,417

Monarch Casino & Resort, Inc. (a)

5,587

152,581

Morgans Hotel Group Co. (a)

24,428

600,440

MTR Gaming Group, Inc. (a)

6,687

105,387

Multimedia Games, Inc. (a)

5,149

65,392

O'Charleys, Inc.

4,598

103,869

Orient Express Hotels Ltd. Class A

21,356

1,144,041

OSI Restaurant Partners, Inc.

27,752

1,129,506

P.F. Chang's China Bistro, Inc. (a)

10,054

389,995

Panera Bread Co. Class A (a)(d)

10,658

600,791

Papa John's International, Inc. (a)

8,359

258,711

Peet's Coffee & Tea, Inc. (a)

19,913

519,132

Shares

Value

Penn National Gaming, Inc. (a)(d)

27,630

$ 1,476,271

Pinnacle Entertainment, Inc. (a)

30,968

947,621

Progressive Gaming International Corp. (a)(d)

38,803

223,893

Rare Hospitality International, Inc. (a)

24,553

713,019

Red Robin Gourmet Burgers, Inc. (a)

11,155

478,884

Riviera Holdings Corp. (a)

6,000

215,280

Royal Caribbean Cruises Ltd. (d)

51,176

2,225,132

Rubio's Restaurants, Inc. (a)

5,755

68,772

Ruby Tuesday, Inc.

26,983

743,921

Ruth's Chris Steak House, Inc. (a)

25,925

474,687

Scientific Games Corp. Class A (a)(d)

28,781

1,074,683

Shuffle Master, Inc. (a)(d)

8,895

171,051

Six Flags, Inc. (d)

68,118

421,650

Sonic Corp. (a)

23,999

585,096

SPEEDUS Corp. (a)

6,200

5,270

Speedway Motorsports, Inc.

7,046

284,377

Starbucks Corp. (a)

322,868

9,301,827

Starwood Hotels & Resorts Worldwide, Inc.

91,477

6,592,747

Station Casinos, Inc.

18,096

1,589,734

Steak n Shake Co. (a)

14,127

214,730

Texas Roadhouse, Inc. Class A (a)

35,698

494,417

The Cheesecake Factory, Inc. (a)(d)

33,419

943,084

Town Sports International Holdings, Inc.

15,248

306,485

Triarc Companies, Inc. Class B

38,611

596,540

Trump Entertainment Resorts, Inc. (a)(d)

19,908

320,320

Vail Resorts, Inc. (a)(d)

15,116

906,204

Wendy's International, Inc.

36,338

1,458,244

WMS Industries, Inc. (a)

9,845

417,034

Wyndham Worldwide Corp. (a)

87,360

3,249,792

Wynn Resorts Ltd. (d)

32,843

3,170,663

Yum! Brands, Inc.

113,424

7,681,073

141,635,555

Household Durables - 0.7%

American Biltrite, Inc. (a)

400

3,680

American Greetings Corp. Class A

16,830

441,114

Avatar Holdings, Inc. (a)(d)

1,964

162,089

Bassett Furniture Industries, Inc.

2,149

30,838

Beazer Homes USA, Inc.

16,439

588,023

Black & Decker Corp.

27,033

2,552,726

Blyth, Inc.

10,848

297,669

Brookfield Homes Corp. (d)

6,161

196,598

California Coastal Communities, Inc.

6,643

116,452

Cavco Industries, Inc. (a)

896

34,621

Centex Corp.

51,369

2,484,205

Champion Enterprises, Inc. (a)(d)

29,908

340,054

Cobra Electronics Corp.

1,200

11,640

Craftmade International, Inc.

2,030

35,850

CSS Industries, Inc.

7,858

300,883

D.R. Horton, Inc.

119,138

2,784,255

Dixie Group, Inc. (a)

3,463

43,461

Dominion Homes, Inc. (a)(d)

300

1,479

Ethan Allen Interiors, Inc.

8,572

311,249

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Flexsteel Industries, Inc.

2,030

$ 28,725

Fortune Brands, Inc.

62,432

5,043,257

Furniture Brands International, Inc.

23,101

334,965

Garmin Ltd. (d)

48,871

3,143,871

Harman International Industries, Inc.

28,666

3,401,221

Helen of Troy Ltd. (a)

5,242

143,107

Hooker Furniture Corp.

15,000

371,100

Hovnanian Enterprises, Inc. Class A (d)

21,663

547,207

iRobot Corp. (a)(d)

17,599

289,680

Jarden Corp. (a)

22,219

946,974

KB Home (d)

31,940

1,465,727

Kimball International, Inc. Class B

4,777

65,206

Koss Corp.

1,552

29,876

La-Z-Boy, Inc. (d)

24,674

290,166

Leggett & Platt, Inc.

69,087

1,690,559

Lennar Corp. Class A

54,967

2,509,244

Lenox Group, Inc. (a)

2,200

16,214

Levitt Corp. Class A

2,687

25,123

Libbey, Inc.

2,019

45,266

Lifetime Brands, Inc.

300

6,318

M.D.C. Holdings, Inc.

12,004

652,297

M/I Homes, Inc.

2,766

79,605

Meritage Homes Corp. (a)(d)

7,048

244,495

MITY Enterprises, Inc. (a)

2,747

58,484

Mohawk Industries, Inc. (a)(d)

24,174

2,467,198

National Presto Industries, Inc.

1,194

72,380

Newell Rubbermaid, Inc.

115,032

3,653,416

NVR, Inc. (a)(d)

2,158

1,719,926

Orleans Homebuilders, Inc. (d)

3,981

33,002

Palm Harbor Homes, Inc. (a)(d)

5,872

93,835

Pulte Homes, Inc.

92,974

2,537,260

Rockford Corp. (a)(d)

2,500

6,275

Russ Berrie & Co., Inc. (a)

3,505

59,480

Ryland Group, Inc.

19,044

879,833

Salton, Inc. (a)(d)

1,800

3,222

Sealy Corp., Inc.

8,986

148,718

Skyline Corp.

1,539

51,002

Snap-On, Inc.

18,570

1,004,080

Standard Pacific Corp. (d)

21,077

449,362

Stanley Furniture Co., Inc.

5,015

115,295

Syntax-Brillian Corp. (a)(d)

35,013

212,179

Tarragon Corp.

4,607

47,682

Tempur-Pedic International, Inc.

32,304

819,229

The Stanley Works

32,139

2,032,149

Toll Brothers, Inc. (a)

58,927

1,728,329

TOUSA, Inc. (d)

6,176

25,260

Tupperware Brands Corp.

17,293

499,941

Universal Electronics, Inc. (a)

4,060

136,010

Virco Manufacturing Co. (a)

3,120

19,219

Shares

Value

WCI Communities, Inc. (a)(d)

14,085

$ 294,940

Whirlpool Corp.

31,991

3,571,795

54,846,590

Internet & Catalog Retail - 0.3%

1-800 CONTACTS, Inc. (a)

2,542

50,408

1-800-FLOWERS.com, Inc. Class A (a)

28,158

249,761

Amazon.com, Inc. (a)(d)

128,149

8,860,222

Audible, Inc. (a)

1,300

13,026

Blue Nile, Inc. (a)(d)

13,187

757,857

Bluefly, Inc. (a)

2,800

3,052

dELiA*s, Inc. (a)

3,463

27,392

Drugstore.com, Inc. (a)

8,721

22,064

Expedia, Inc. (a)(d)

107,993

2,595,072

FTD Group, Inc.

5,971

105,866

GSI Commerce, Inc. (a)

6,423

146,958

Hollywood Media Corp. (a)

1,200

5,304

IAC/InterActiveCorp (a)

96,865

3,351,529

Liberty Media Holding Corp. - Interactive Series A (a)

282,435

6,843,400

Netflix, Inc. (a)(d)

18,742

410,825

NutriSystem, Inc. (a)(d)

13,874

909,024

Overstock.com, Inc. (a)

2,976

54,818

PC Mall, Inc. (a)

500

6,140

PetMed Express, Inc. (a)

7,165

92,500

Priceline.com, Inc. (a)(d)

16,759

1,036,377

Stamps.com, Inc. (a)

4,851

66,216

Systemax, Inc. (d)

7,631

165,974

ValueVision Media, Inc. Class A (a)

6,687

74,694

25,848,479

Leisure Equipment & Products - 0.2%

Adams Golf, Inc. (a)

400

752

Arctic Cat, Inc.

5,971

114,285

Brunswick Corp. (d)

45,316

1,560,230

Callaway Golf Co.

38,089

692,077

Eastman Kodak Co.

129,085

3,273,596

Fairchild Corp. Class A (a)

9,076

16,065

Hasbro, Inc.

65,062

2,091,743

JAKKS Pacific, Inc. (a)

19,673

516,810

Johnson Outdoors, Inc. Class A (a)

2,747

52,220

K2, Inc. (a)

20,523

313,181

Leapfrog Enterprises, Inc. Class A (a)

5,168

57,416

Marine Products Corp. (d)

13,658

110,903

MarineMax, Inc. (a)

3,071

63,815

Mattel, Inc.

156,134

4,373,313

Meade Instruments Corp. (a)

2,600

5,356

Nautilus, Inc.

6,001

77,293

Oakley, Inc.

21,558

548,004

Polaris Industries, Inc. (d)

12,951

713,471

Pool Corp. (d)

17,700

724,815

RC2 Corp. (a)

10,486

471,241

Smith & Wesson Holding Corp. (a)(d)

23,199

323,162

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - continued

Steinway Musical Instruments, Inc.

5,374

$ 207,006

Sturm Ruger & Co., Inc. (a)

42,290

586,562

16,893,316

Media - 3.4%

4Kids Entertainment, Inc. (a)

12,821

216,803

ACME Communications, Inc. (a)

6,009

33,050

Alloy, Inc. (a)

1,732

19,676

Arbitron, Inc.

8,696

455,323

Ballantyne of Omaha, Inc. (a)

100

625

Belo Corp. Series A (a)

43,507

967,161

Cablevision Systems Corp. - NY Group Class A

93,157

3,371,352

Carmike Cinemas, Inc.

16,306

424,771

Catalina Marketing Corp.

16,828

536,813

CBS Corp. Class B

295,810

9,838,641

Charter Communications, Inc. Class A (a)

192,995

773,910

Cinemark Holdings, Inc. (a)

11,000

212,850

Citadel Broadcasting Corp.

17,473

145,026

CKX, Inc. (a)(d)

11,594

123,244

Clear Channel Communications, Inc.

193,903

7,445,875

Clear Channel Outdoor Holding, Inc. Class A (a)

9,793

284,585

Comcast Corp. Class A

1,285,075

35,223,906

Courier Corp.

2,999

120,560

Cox Radio, Inc. Class A (a)

27,951

410,321

Crown Media Holdings, Inc.
Class A (a)(d)

9,666

71,915

Cumulus Media, Inc. Class A (a)(d)

14,350

134,603

Discovery Holding Co. Class A (a)

119,872

2,802,607

Dow Jones & Co., Inc.

22,633

1,206,565

DreamWorks Animation SKG, Inc.
Class A (a)

21,470

641,524

E.W. Scripps Co. Class A

31,093

1,418,463

EchoStar Communications Corp.
Class A (a)(d)

89,622

4,127,989

EMAK Worldwide, Inc. (a)

2,676

8,697

Emmis Communications Corp. Class A

9,275

96,367

Entercom Communications Corp. Class A

17,572

467,415

Entertainment Distribution Co., Inc. (a)

8,598

18,228

Entravision Communication Corp.
Class A (a)

10,509

107,087

Fisher Communications, Inc. (a)

3,105

155,902

Gannett Co., Inc.

101,707

5,982,406

GateHouse Media, Inc.

4,884

94,505

Gemstar-TV Guide International, Inc. (a)

158,623

729,666

Getty Images, Inc. (a)

22,238

1,113,012

Gray Television, Inc.

8,695

89,298

Harris Interactive, Inc. (a)

6,269

35,044

Harte-Hanks, Inc.

18,646

489,644

Hearst-Argyle Television, Inc.

8,723

226,798

Idearc, Inc.

60,677

2,138,864

Image Entertainment, Inc. (a)

700

3,003

Shares

Value

Insignia Systems, Inc. (a)

2,664

$ 10,363

Interactive Data Corp.

21,445

622,548

Interpublic Group of Companies, Inc.

194,653

2,287,173

ION Media Networks, Inc.

8,600

12,384

John Wiley & Sons, Inc. Class A

24,265

1,112,550

Journal Communications, Inc. Class A

22,879

314,586

Journal Register Co.

7,046

39,528

Knology, Inc. (a)(d)

33,900

630,879

Lamar Advertising Co. Class A

28,370

1,858,235

Lee Enterprises, Inc.

27,681

695,347

Liberty Global, Inc. Class A (a)

167,586

6,435,302

Liberty Media Holding Corp. - Capital Series A (a)

60,141

6,789,919

LIN TV Corp. Class A (a)

41,885

818,014

Live Nation, Inc. (a)

17,811

398,966

LodgeNet Entertainment Corp. (a)

3,536

125,457

Martha Stewart Living Omnimedia, Inc. Class A (d)

20,190

362,612

Marvel Entertainment, Inc. (a)

21,061

581,494

McGraw-Hill Companies, Inc.

153,210

10,772,195

Media General, Inc. Class A

10,393

378,825

Mediacom Communications Corp.
Class A (a)

16,061

150,010

Meredith Corp.

13,869

862,790

Morningstar, Inc. (a)

7,506

358,862

National CineMedia, Inc.

15,000

428,250

Navarre Corp. (a)(d)

6,926

26,665

New Frontier Media, Inc.

5,971

52,724

News Corp. Class A

1,016,893

22,463,166

Omnicom Group, Inc.

71,869

7,567,806

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

4,445

48,228

PRIMEDIA, Inc. (a)

37,992

113,596

R.H. Donnelley Corp.

31,133

2,426,506

Radio One, Inc. Class A (a)

27,442

205,815

RCN Corp.

19,644

552,979

Regal Entertainment Group Class A

33,163

758,769

Regent Communication, Inc. (a)

7,397

25,668

Rentrak Corp. (a)

600

9,582

Saga Communications, Inc. Class A (a)

932

8,649

Salem Communications Corp. Class A

2,015

24,382

Scholastic Corp. (a)

19,342

614,495

Sinclair Broadcast Group, Inc. Class A

28,926

443,146

Sirius Satellite Radio, Inc. (a)(d)

602,100

1,764,153

Spanish Broadcasting System, Inc.
Class A

8,120

38,408

Sun-Times Media Group, Inc. Class A

20,659

113,831

The DIRECTV Group, Inc. (a)

347,049

8,107,065

The McClatchy Co. Class A

22,841

632,010

The New York Times Co. Class A

64,276

1,613,970

The Walt Disney Co.

838,631

29,721,083

Time Warner Cable, Inc. (a)

69,126

2,655,130

Time Warner, Inc.

1,723,214

36,825,083

TiVo, Inc. (a)

56,834

355,213

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Tribune Co.

60,863

$ 2,023,014

Triple Crown Media, Inc. (a)

728

6,872

Valassis Communications, Inc. (a)

32,378

579,890

Viacom, Inc. Class B (non-vtg.) (a)

266,815

11,985,330

Virgin Media, Inc.

117,923

3,056,564

Warner Music Group Corp.

28,685

482,195

Washington Post Co. Class B

2,562

1,970,178

Westwood One, Inc.

61,958

499,381

World Wrestling Entertainment, Inc.
Class A

7,730

135,352

XM Satellite Radio Holdings, Inc.
Class A (d)

139,725

1,618,016

Young Broadcasting, Inc. Class A (a)

3,209

12,676

258,347,973

Multiline Retail - 0.9%

99 Cents Only Stores (a)

14,698

206,360

Big Lots, Inc. (a)

49,702

1,565,613

Dillard's, Inc. Class A

23,597

856,571

Dollar General Corp.

127,266

2,754,036

Dollar Tree Stores, Inc. (a)

45,896

1,941,860

Family Dollar Stores, Inc.

60,021

2,019,707

Federated Department Stores, Inc.

223,930

8,941,525

Fred's, Inc. Class A

15,389

221,294

JCPenney Co., Inc.

82,343

6,626,965

Kohl's Corp. (a)

127,415

9,596,898

Nordstrom, Inc.

94,713

4,918,446

Retail Ventures, Inc. (a)(d)

12,266

237,838

Saks, Inc.

49,976

1,001,519

Sears Holdings Corp. (a)

40,412

7,274,968

Target Corp.

333,765

20,836,949

The Bon-Ton Stores, Inc. (d)

8,752

417,470

Tuesday Morning Corp. (d)

10,850

151,249

69,569,268

Specialty Retail - 2.1%

A.C. Moore Arts & Crafts, Inc. (a)

3,702

84,221

Aaron Rents, Inc.

19,496

559,145

Abercrombie & Fitch Co. Class A

37,535

3,102,268

Advance Auto Parts, Inc.

41,776

1,730,362

Aeropostale, Inc. (a)

23,519

1,088,930

America's Car Mart, Inc. (a)(d)

3,150

43,029

American Eagle Outfitters, Inc.

83,477

2,253,879

AnnTaylor Stores Corp. (a)

31,235

1,220,976

Asbury Automotive Group, Inc.

15,449

421,449

AutoNation, Inc. (a)

69,170

1,530,040

AutoZone, Inc. (a)

20,052

2,579,289

Barnes & Noble, Inc.

21,341

912,755

bebe Stores, Inc.

8,695

156,336

Bed Bath & Beyond, Inc. (a)

118,594

4,822,032

Best Buy Co., Inc.

171,683

8,290,572

Big 5 Sporting Goods Corp.

8,888

224,778

Blockbuster, Inc. Class A (d)

111,889

494,549

Shares

Value

Books-A-Million, Inc.

5,135

$ 84,573

Borders Group, Inc. (d)

40,322

898,777

Brown Shoe Co., Inc.

19,077

565,442

Build-A-Bear Workshop, Inc. (a)(d)

4,710

140,829

Cabela's, Inc. Class A (a)(d)

22,572

520,059

Cache, Inc. (a)

3,350

55,845

CarMax, Inc. (a)

95,503

2,292,072

Casual Male Retail Group, Inc. (a)

8,101

95,106

Charlotte Russe Holding, Inc. (a)

4,919

136,994

Charming Shoppes, Inc. (a)(d)

65,546

816,703

Chico's FAS, Inc. (a)

71,893

1,958,365

Christopher & Banks Corp.

21,140

399,335

Circuit City Stores, Inc.

75,396

1,211,614

Coldwater Creek, Inc. (a)

20,231

502,740

Conn's, Inc. (a)(d)

7,047

213,876

Cost Plus, Inc. (a)(d)

4,090

37,792

CSK Auto Corp. (a)

27,526

500,973

Deb Shops, Inc.

2,378

66,061

Dick's Sporting Goods, Inc. (a)(d)

13,068

726,189

Dress Barn, Inc. (a)

15,692

362,328

DSW, Inc. Class A (a)(d)

18,311

699,846

E Com Ventures, Inc. (a)

325

8,099

Eddie Bauer Holdings, Inc. (a)

33,562

461,142

Emerging Vision, Inc. (a)

3,800

950

Finish Line, Inc. Class A

30,445

389,696

Finlay Enterprises, Inc. (a)

2,985

15,671

Foot Locker, Inc.

65,237

1,431,300

Gamestop Corp. Class A (a)

54,828

2,027,539

Gap, Inc.

260,307

4,820,886

Genesco, Inc.

12,717

665,735

Group 1 Automotive, Inc.

9,792

413,222

Guess?, Inc.

29,261

1,293,336

Guitar Center, Inc. (a)

16,259

871,970

Gymboree Corp. (a)

15,021

671,439

Haverty Furniture Companies, Inc.

4,389

53,502

Hibbett Sports, Inc. (a)

11,507

321,851

Home Depot, Inc.

890,274

34,604,950

Hot Topic, Inc. (a)

8,301

91,975

J. Crew Group, Inc.

15,529

696,786

Jo-Ann Stores, Inc. (a)

16,826

569,055

Jos. A. Bank Clothiers, Inc. (a)

3,370

141,843

Kirkland's, Inc. (a)

2,250

10,733

Limited Brands, Inc.

144,967

3,805,384

Lithia Motors, Inc. Class A (sub. vtg.)

2,182

58,652

Lowe's Companies, Inc.

663,233

21,767,307

Midas, Inc. (a)

17,549

394,326

Monro Muffler Brake, Inc.

1,970

76,141

Mothers Work, Inc. (a)

1,194

44,572

Movie Gallery, Inc. (a)(d)

5,200

12,272

New York & Co., Inc. (a)

22,599

276,386

O'Reilly Automotive, Inc. (a)

52,791

2,005,530

Office Depot, Inc. (a)

115,595

4,207,658

OfficeMax, Inc.

29,630

1,330,387

Pacific Sunwear of California, Inc. (a)

22,610

449,713

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Payless ShoeSource, Inc. (a)

24,320

$ 868,710

PETsMART, Inc.

63,367

2,168,419

Pier 1 Imports, Inc. (d)

64,537

485,964

Pomeroy IT Solutions, Inc. (a)

3,416

33,101

RadioShack Corp.

58,551

1,998,931

Rent-A-Center, Inc. (a)

35,909

973,134

Restoration Hardware, Inc. (a)(d)

5,982

37,447

Rex Stores Corp. (a)

3,513

55,716

Ross Stores, Inc.

56,284

1,848,367

Sally Beauty Holdings, Inc. (a)

26,732

245,132

Select Comfort Corp. (a)(d)

29,583

536,044

Sharper Image Corp. (a)(d)

2,369

27,030

Sherwin-Williams Co.

45,881

3,103,391

Shoe Carnival, Inc. (a)

3,092

90,534

Sonic Automotive, Inc. Class A (sub. vtg.)

14,398

448,210

Sport Chalet:

Class A (a)

175

1,785

Class B (a)

25

261

Stage Stores, Inc.

23,109

482,978

Staples, Inc.

314,795

7,888,763

Stein Mart, Inc.

10,292

129,062

Talbots, Inc. (d)

11,749

255,541

The Bombay Company, Inc. (a)

3,834

2,991

The Buckle, Inc.

3,504

143,314

The Cato Corp. Class A (sub. vtg.)

6,531

142,049

The Children's Place Retail Stores, Inc. (a)

8,631

487,306

The Men's Wearhouse, Inc.

21,798

1,162,705

The Pep Boys - Manny, Moe & Jack

13,830

294,579

Tiffany & Co., Inc.

56,306

2,960,006

TJX Companies, Inc.

198,831

5,561,303

Tractor Supply Co. (a)(d)

17,278

919,362

Trans World Entertainment Corp. (a)

3,463

17,419

TravelCenters of America LLC (a)

2,983

131,103

Tween Brands, Inc. (a)

17,713

771,047

United Auto Group, Inc.

11,641

258,779

Urban Outfitters, Inc. (a)

48,297

1,283,734

West Marine, Inc. (a)

3,821

56,895

Wet Seal, Inc. Class A (a)

63,290

394,297

Williams-Sonoma, Inc.

33,184

1,124,606

Wilsons Leather Experts, Inc. (a)

3,977

5,369

Zale Corp. (a)

25,205

677,006

Zumiez, Inc. (a)(d)

15,094

582,628

164,445,155

Textiles, Apparel & Luxury Goods - 0.5%

Ashworth, Inc. (a)

400

3,280

Carter's, Inc. (a)

18,779

509,286

Cherokee, Inc.

2,207

103,310

Coach, Inc. (a)

158,774

8,154,633

Columbia Sportswear Co.

8,418

586,987

Crocs, Inc. (a)(d)

15,850

1,289,556

Deckers Outdoor Corp. (a)

6,699

588,775

Shares

Value

Everlast Worldwide, Inc. (a)

1,194

$ 27,641

Fossil, Inc. (a)

24,493

764,427

Hanesbrands, Inc. (a)

44,784

1,168,862

Iconix Brand Group, Inc. (a)

23,379

520,183

Jones Apparel Group, Inc.

41,640

1,240,039

K-Swiss, Inc. Class A

15,228

441,764

Kellwood Co.

9,900

285,219

Kenneth Cole Productions, Inc. Class A (sub. vtg.)

4,067

101,675

Liz Claiborne, Inc.

43,306

1,502,285

Maidenform Brands, Inc. (a)

15,782

295,755

Movado Group, Inc.

10,191

339,666

NIKE, Inc. Class B

140,730

7,986,428

Oxford Industries, Inc.

10,105

460,081

Perry Ellis International, Inc. (a)

2,923

91,607

Phillips-Van Heusen Corp.

19,739

1,206,448

Polo Ralph Lauren Corp. Class A

25,986

2,534,415

Polymer Group, Inc.:

Class A warrants 3/4/10 (a)

6

0

Class B warrants 3/4/10 (a)

6

0

Quaker Fabric Corp. (a)

3,800

4,294

Quiksilver, Inc. (a)

56,019

790,428

Samsonite Corp.

1,446

1,764

Skechers U.S.A., Inc. Class A
(sub. vtg.) (a)

13,559

435,244

Steven Madden Ltd.

4,894

159,447

Stride Rite Corp.

28,963

583,604

Superior Uniform Group, Inc.

1,000

12,850

Tarrant Apparel Group (a)

2,700

3,699

Timberland Co. Class A (a)

25,130

687,054

Under Armour, Inc. Class A
(sub. vtg.) (a)(d)

13,990

669,142

Unifi, Inc. (a)

7,247

21,813

Unifirst Corp.

6,314

263,673

VF Corp.

37,539

3,520,407

Volcom, Inc. (a)

13,377

581,900

Warnaco Group, Inc. (a)

15,983

549,655

Wolverine World Wide, Inc.

20,227

587,190

39,074,486

TOTAL CONSUMER DISCRETIONARY

844,764,716

CONSUMER STAPLES - 7.8%

Beverages - 1.7%

Anheuser-Busch Companies, Inc.

313,837

16,740,066

Boston Beer Co., Inc. Class A (a)

10,271

393,379

Brown-Forman Corp. Class B (non-vtg.)

28,646

1,955,376

Coca-Cola Bottling Co. Consolidated

1,100

60,896

Coca-Cola Enterprises, Inc.

125,459

2,929,468

Constellation Brands, Inc. Class A
(sub. vtg.)

83,048

2,018,066

Hansen Natural Corp. (a)(d)

32,985

1,312,803

Jones Soda Co. (a)(d)

17,449

328,914

Molson Coors Brewing Co. Class B

29,813

2,729,976

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

National Beverage Corp. (d)

8,950

$ 125,032

Pepsi Bottling Group, Inc.

60,586

2,119,904

PepsiAmericas, Inc.

21,668

533,466

PepsiCo, Inc.

721,855

49,324,352

The Coca-Cola Co.

924,916

49,011,299

129,582,997

Food & Staples Retailing - 1.9%

Andersons, Inc. (d)

16,319

638,073

Arden Group, Inc. Class A

100

13,052

BJ's Wholesale Club, Inc. (a)

23,262

879,769

Casey's General Stores, Inc.

17,554

474,134

Central European Distribution Corp. (a)

8,298

286,364

Costco Wholesale Corp.

199,465

11,263,789

CVS Caremark Corp.

658,482

25,377,896

Ingles Markets, Inc. Class A

17,056

608,729

Kroger Co.

285,764

8,664,364

Longs Drug Stores Corp.

13,376

766,177

Nash-Finch Co.

2,706

127,317

Pathmark Stores, Inc. (a)

8,137

105,781

Performance Food Group Co. (a)

12,773

453,442

Pricesmart, Inc.

400

8,200

Rite Aid Corp. (d)

207,001

1,308,246

Ruddick Corp.

23,792

744,452

Safeway, Inc.

191,619

6,607,023

Smart & Final, Inc. (a)

2,557

56,280

Spartan Stores, Inc.

19,591

517,202

SUPERVALU, Inc.

84,067

4,004,952

Sysco Corp.

265,926

8,807,469

The Great Atlantic & Pacific Tea Co. (d)

5,473

188,873

The Pantry, Inc. (a)

9,194

400,491

Topps Co., Inc.

11,607

118,624

United Natural Foods, Inc. (a)

18,561

508,015

Wal-Mart Stores, Inc.

1,124,429

53,522,820

Walgreen Co.

440,615

19,884,955

Weis Markets, Inc.

5,971

256,036

Whole Foods Market, Inc. (d)

64,352

2,644,867

Wild Oats Markets, Inc. (a)

14,419

248,007

Winn-Dixie Stores, Inc. (a)(d)

22,750

712,075

150,197,474

Food Products - 1.4%

Alico, Inc.

200

11,988

Archer-Daniels-Midland Co.

257,949

9,038,533

B&G Foods, Inc.

692

9,446

Bridgford Foods Corp. (a)

400

2,928

Bunge Ltd.

49,242

3,846,785

Campbell Soup Co.

100,363

3,984,411

Chiquita Brands International, Inc. (d)

26,914

493,603

ConAgra Foods, Inc.

220,596

5,625,198

Corn Products International, Inc.

27,466

1,126,930

Darling International, Inc. (a)

19,484

176,330

Shares

Value

Dean Foods Co.

50,426

$ 1,651,956

Del Monte Foods Co.

73,948

891,073

Delta & Pine Land Co.

15,692

656,710

Diamond Foods, Inc.

8,240

135,713

Farmer Brothers Co.

3,606

80,234

Flowers Foods, Inc.

28,306

976,557

Fresh Del Monte Produce, Inc.

7,652

186,173

General Mills, Inc.

146,335

8,961,555

Green Mountain Coffee Roasters, Inc. (a)(d)

2,269

153,498

H.J. Heinz Co.

137,336

6,534,447

Hain Celestial Group, Inc. (a)

26,171

748,491

Hershey Co.

69,018

3,637,939

Hines Horticulture, Inc. (a)

800

872

Hormel Foods Corp.

25,711

962,877

J&J Snack Foods Corp.

8,901

350,076

John B. Sanfilippo & Son, Inc. (a)

2,965

32,793

Kellogg Co.

106,564

5,752,325

Kraft Foods, Inc. Class A

713,677

24,150,830

Lancaster Colony Corp.

10,046

440,115

Lance, Inc.

22,781

541,049

Maui Land & Pineapple, Inc. (a)

300

10,575

McCormick & Co., Inc. (non-vtg.)

44,419

1,656,385

Omega Protein Corp. (a)

7,368

64,544

Pilgrims Pride Corp. Class B

21,585

762,598

Ralcorp Holdings, Inc. (a)

10,622

617,776

Reddy Ice Holdings, Inc.

28,255

862,343

Sanderson Farms, Inc. (d)

4,078

175,313

Sara Lee Corp.

318,181

5,695,440

Seaboard Corp.

119

263,942

Seneca Foods Group Class A (a)

2,582

73,122

Smithfield Foods, Inc. (a)

62,644

2,013,378

Tasty Baking Co.

200

1,704

The J.M. Smucker Co.

24,247

1,399,052

Tootsie Roll Industries, Inc.

20,981

589,566

TreeHouse Foods, Inc. (a)

7,645

214,366

Tyson Foods, Inc. Class A

122,209

2,724,039

Wm. Wrigley Jr. Co.

96,105

5,631,753

Zapata Corp. (a)

880

6,019

103,923,350

Household Products - 1.6%

Central Garden & Pet Co. (a)(d)

38,581

553,637

Church & Dwight Co., Inc.

25,388

1,269,654

Clorox Co.

64,902

4,357,520

Colgate-Palmolive Co.

225,916

15,127,335

Energizer Holdings, Inc. (a)

23,698

2,347,524

Kimberly-Clark Corp.

194,816

13,824,143

Oil-Dri Corp. of America

750

12,930

Procter & Gamble Co.

1,380,391

87,723,848

Spectrum Brands, Inc. (a)(d)

7,046

59,186

WD-40 Co.

17,261

575,309

125,851,086

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - 0.2%

Alberto-Culver Co.

26,732

$ 664,023

Avon Products, Inc.

191,990

7,370,496

Bare Escentuals, Inc.

15,747

660,587

Chattem, Inc. (a)

3,821

243,283

Elizabeth Arden, Inc. (a)

20,607

482,616

Estee Lauder Companies, Inc. Class A

51,758

2,448,153

Herbalife Ltd. (a)

12,914

519,789

Inter Parfums, Inc.

5,138

136,414

Mannatech, Inc. (d)

6,969

97,705

NBTY, Inc. (a)

24,812

1,303,374

Nu Skin Enterprises, Inc. Class A

17,056

299,162

Playtex Products, Inc. (a)

45,581

679,157

Prestige Brands Holdings, Inc. (a)

29,135

383,125

Revlon, Inc. Class A (sub. vtg.) (a)(d)

120,573

166,391

USANA Health Sciences, Inc. (a)(d)

2,496

97,044

15,551,319

Tobacco - 1.0%

Alliance One International, Inc. (a)

60,372

580,175

Altria Group, Inc.

908,910

64,623,501

Loews Corp. - Carolina Group

45,113

3,507,536

Reynolds American, Inc.

69,794

4,539,402

Star Scientific, Inc. (a)(d)

17,410

18,106

Universal Corp.

12,506

795,006

UST, Inc.

69,408

3,705,693

Vector Group Ltd. (d)

10,468

201,928

77,971,347

TOTAL CONSUMER STAPLES

603,077,573

ENERGY - 9.9%

Energy Equipment & Services - 2.1%

Allis-Chalmers Energy, Inc. (a)(d)

20,825

420,665

Atwood Oceanics, Inc. (a)

12,437

816,365

Baker Hughes, Inc.

139,244

11,484,845

Basic Energy Services, Inc. (a)

6,865

183,296

BJ Services Co.

126,704

3,716,228

Bristow Group, Inc. (a)

5,015

247,039

Cal Dive International, Inc. (a)(d)

3,439

53,167

Cameron International Corp. (a)

46,535

3,299,332

Carbo Ceramics, Inc. (d)

11,939

530,092

Complete Production Services, Inc. (a)

25,671

689,266

Dawson Geophysical Co. (a)

3,936

209,513

Diamond Offshore Drilling, Inc.

27,176

2,564,599

Dresser-Rand Group, Inc. (a)

34,172

1,216,523

Dril-Quip, Inc. (a)

7,709

374,041

ENSCO International, Inc.

64,942

3,933,537

FMC Technologies, Inc. (a)

27,082

2,047,399

Global Industries Ltd. (a)

39,042

925,686

GlobalSantaFe Corp.

97,082

6,630,701

Grant Prideco, Inc. (a)

55,830

3,170,586

Grey Wolf, Inc. (a)

77,719

615,534

Shares

Value

Gulf Island Fabrication, Inc.

12,498

$ 414,059

Gulfmark Offshore, Inc. (a)

4,538

227,944

Halliburton Co.

429,395

15,436,750

Hanover Compressor Co. (a)

50,018

1,250,450

Helmerich & Payne, Inc.

42,823

1,451,271

Hercules Offshore, Inc. (a)(d)

14,339

500,861

Horizon Offshore, Inc. (a)

8,185

138,490

Hornbeck Offshore Services, Inc. (a)

5,719

228,245

Input/Output, Inc. (a)(d)

40,726

652,838

Lone Star Technologies, Inc. (a)

15,306

1,031,318

Lufkin Industries, Inc.

8,237

526,427

Matrix Service Co. (a)

7,713

197,067

Metretek Technologies, Inc. (a)

3,463

48,309

Mitcham Industries, Inc. (a)

1,791

29,856

Nabors Industries Ltd. (a)

120,887

4,223,792

NATCO Group, Inc. Class A (a)

17,884

769,191

National Oilwell Varco, Inc. (a)

75,247

7,107,079

Natural Gas Services Group, Inc. (a)

22,504

380,093

Newpark Resources, Inc. (a)

28,559

225,331

Noble Corp.

56,543

5,224,008

Oceaneering International, Inc. (a)

22,321

1,116,943

Oil States International, Inc. (a)

28,576

1,112,464

Parker Drilling Co. (a)

58,520

684,099

Patterson-UTI Energy, Inc.

69,949

1,848,053

PHI, Inc. (non-vtg.) (a)

17,859

508,982

Pioneer Drilling Co. (a)

14,330

220,825

Pride International, Inc. (a)

62,674

2,256,891

Rowan Companies, Inc.

41,671

1,645,171

RPC, Inc.

19,909

338,055

Schlumberger Ltd. (NY Shares)

507,739

39,537,636

SEACOR Holdings, Inc. (a)

8,153

754,071

Smith International, Inc.

84,421

4,686,210

Superior Energy Services, Inc. (a)

37,463

1,504,514

Superior Well Services, Inc. (a)

13,630

353,290

T-3 Energy Services, Inc. (a)

10

292

TETRA Technologies, Inc. (a)

38,187

1,066,563

Tidewater, Inc.

25,168

1,661,088

TODCO (a)

27,687

1,369,399

Transocean, Inc. (a)

127,314

12,507,327

Trico Marine Services, Inc. (a)

3,463

145,827

Union Drilling, Inc. (a)

1,488

22,692

Unit Corp. (a)

20,822

1,282,843

Universal Compression Holdings, Inc. (a)

13,818

1,026,816

W-H Energy Services, Inc. (a)

11,825

754,435

Weatherford International Ltd. (a)

147,137

7,995,425

167,591,704

Oil, Gas & Consumable Fuels - 7.8%

Alliance Resource Partners LP

12,763

560,168

Alon USA Energy, Inc.

5,971

237,228

Alpha Natural Resources, Inc. (a)

34,417

663,216

Anadarko Petroleum Corp.

197,278

9,794,853

Apache Corp.

141,049

11,389,707

Arch Coal, Inc.

61,040

2,464,795

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Arena Resources, Inc. (a)(d)

6,105

$ 310,622

Arlington Tankers Ltd.

16,838

452,605

Atlas America, Inc. (a)

19,743

979,648

Atlas Pipeline Partners, LP

5,971

300,938

ATP Oil & Gas Corp. (a)(d)

6,016

272,826

Aventine Renewable Energy Holdings, Inc. (d)

13,661

229,915

Berry Petroleum Co. Class A

18,408

670,603

Bill Barrett Corp. (a)(d)

17,460

659,813

Boardwalk Pipeline Partners, LP

9,553

337,794

Bois d'Arc Energy LLC (a)

32,235

553,797

BP Prudhoe Bay Royalty Trust (d)

5,544

367,567

Brigham Exploration Co. (a)

22,535

141,745

Buckeye Partners LP (a)

11,934

621,761

Cabot Oil & Gas Corp.

35,668

1,391,052

Callon Petroleum Co. (a)

25,119

357,946

Calumet Specialty Products Partners LP

7,489

384,560

Carrizo Oil & Gas, Inc. (a)(d)

19,490

792,658

Cheniere Energy, Inc. (a)(d)

23,057

877,780

Chesapeake Energy Corp.

183,541

6,398,239

Chevron Corp.

953,455

77,697,048

Cimarex Energy Co. (a)

35,739

1,502,110

Clayton Williams Energy, Inc. (a)

2,603

65,882

CNX Gas Corp. (a)(d)

20,396

600,866

Comstock Resources, Inc. (a)

16,311

495,202

ConocoPhillips

661,089

51,188,121

CONSOL Energy, Inc.

77,533

3,767,328

Continental Resources, Inc. (a)

11,074

165,003

Copano Energy LLC

16,780

734,293

Cross Timbers Royalty Trust (a)

3,187

140,834

Crosstex Energy LP (a)

5,971

210,239

Crosstex Energy, Inc. (d)

16,779

502,867

DCP Midstream Partners LP

4,000

174,480

Delek US Holdings, Inc.

37,077

884,286

Delta Petroleum Corp. (a)(d)

17,251

338,810

Denbury Resources, Inc. (a)

43,668

1,583,402

Devon Energy Corp.

177,565

13,633,441

Dorchester Minerals LP (a)

5,580

126,220

Edge Petroleum Corp. (a)(d)

12,945

187,185

El Paso Corp.

301,536

5,138,173

Enbridge Energy Management LLC

2,599

144,193

Enbridge Energy Partners LP

22,796

1,272,017

Encore Acquisition Co. (a)

23,459

646,295

Energy Partners Ltd. (a)

16,402

282,114

Energy Transfer Equity LP

47,800

1,944,982

Energy Transfer Partners LP

29,898

1,829,758

Enterprise Products Partners LP

119,766

3,751,071

EOG Resources, Inc.

101,563

7,810,195

Evergreen Energy, Inc. (a)(d)

25,886

178,872

EXCO Resources, Inc. (a)

46,496

840,183

Exxon Mobil Corp.

2,464,485

204,971,157

Shares

Value

Forest Oil Corp. (a)(d)

17,739

$ 720,026

Foundation Coal Holdings, Inc.

23,947

1,058,457

Frontier Oil Corp.

50,346

2,026,930

FX Energy, Inc. (a)

15,412

153,812

Gasco Energy, Inc. (a)(d)

11,942

27,705

General Maritime Corp.

12,896

391,007

Genesis Energy LP

8,535

301,286

Giant Industries, Inc. (a)

11,850

912,687

GMX Resources, Inc. (a)(d)

8,349

323,023

Goodrich Petroleum Corp. (a)(d)

16,672

593,857

Harken Energy Corp. (a)

1,536

614

Harvest Natural Resources, Inc. (a)

18,697

177,061

Helix Energy Solutions Group, Inc. (a)

36,359

1,448,906

Hess Corp.

120,566

7,139,919

Holly Corp.

23,945

1,678,305

Houston Exploration Co. (a)

13,613

817,325

Hugoton Royalty Trust

13,923

378,984

Inergy LP

11,710

426,127

International Coal Group, Inc. (a)(d)

93,832

597,710

James River Coal Co. (a)(d)

7,854

115,532

Kinder Morgan Energy Partners LP

69,177

3,818,570

Kinder Morgan Management LLC

30,460

1,560,466

Linn Energy LLC (d)

10,126

364,131

Magellan Midstream Holdings LP

7,165

210,938

Magellan Midstream Partners LP

29,102

1,349,460

Marathon Oil Corp.

151,121

18,710,291

Mariner Energy, Inc. (a)

35,558

888,239

Markwest Energy Partners LP

11,942

411,999

Markwest Hydrocarbon, Inc.

5,282

314,332

Massey Energy Co.

39,879

1,155,693

McMoRan Exploration Co. (d)

3,930

59,540

Meridian Resource Corp. (a)

10,597

31,049

Murphy Oil Corp.

73,064

4,310,776

National Energy Group, Inc.

71

362

Natural Resource Partners LP

11,942

436,719

Newfield Exploration Co. (a)

54,536

2,619,909

Noble Energy, Inc.

72,094

4,562,829

NuStar Energy LP

13,379

883,817

NuStar GP Holdings LLC

13,003

479,681

Occidental Petroleum Corp.

369,896

20,333,183

OMI Corp.

21,539

629,800

ONEOK Partners LP

15,397

1,058,698

Overseas Shipholding Group, Inc.

12,480

992,784

Pacific Ethanol, Inc. (a)(d)

13,826

186,098

Parallel Petroleum Corp. (a)(d)

33,729

777,791

Peabody Energy Corp.

111,336

6,016,597

Penn Virginia Corp.

11,845

945,231

Penn Virginia Resource Partners LP

7,674

230,067

Petrohawk Energy Corp. (a)

92,728

1,511,466

Petroleum Development Corp. (a)

3,640

185,531

Petroquest Energy, Inc. (a)

31,286

443,010

Pioneer Natural Resources Co.

51,323

2,649,293

Plains Exploration & Production Co. (a)

26,822

1,419,420

Pogo Producing Co.

22,580

1,220,901

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Quicksilver Resources, Inc. (a)(d)

24,097

$ 1,072,076

Range Resources Corp.

58,859

2,280,198

Rentech, Inc. (a)

48,574

119,006

Rosetta Resources, Inc. (a)(d)

18,803

458,605

Ship Finance International Ltd. (NY Shares)

34,139

1,060,699

Southwestern Energy Co. (a)

68,264

3,249,366

Spectra Energy Corp.

273,056

7,271,481

St. Mary Land & Exploration Co.

21,873

817,175

Stone Energy Corp. (a)

19,454

634,784

Sunoco Logistics Partners LP

7,551

460,611

Sunoco, Inc.

50,872

4,055,007

Swift Energy Co. (a)

11,472

493,640

Syntroleum Corp. (a)(d)

28,735

85,918

TC Pipelines LP

3,861

157,336

Teekay LNG Partners LP

13,391

483,549

Teekay Shipping Corp.

16,983

1,033,585

TEPPCO Partners LP

31,946

1,404,027

Tesoro Corp.

55,920

3,460,330

Toreador Resources Corp. (a)(d)

11,881

184,868

Transmeridian Exploration, Inc. (a)(d)

45,772

105,276

TXCO Resources, Inc. (a)(d)

40,650

463,817

Ultra Petroleum Corp. (a)

64,314

3,947,593

Uranium Resources, Inc. (a)

35,013

345,578

USEC, Inc. (a)

51,272

1,184,383

Vaalco Energy, Inc. (a)

31,178

149,343

Valero Energy Corp.

260,806

19,461,344

Venoco, Inc.

3,243

64,438

VeraSun Energy Corp. (d)

29,521

448,424

W&T Offshore, Inc.

8,259

242,897

Warren Resources, Inc. (a)(d)

39,635

524,371

Western Refining, Inc. (d)

33,616

1,652,226

Westmoreland Coal Co.

6,000

168,000

Whiting Petroleum Corp. (a)

15,117

670,439

Williams Companies, Inc.

257,426

8,175,850

Williams Partners LP

7,371

359,115

World Fuel Services Corp.

16,778

686,388

XTO Energy, Inc.

153,280

8,891,773

600,399,923

TOTAL ENERGY

767,991,627

FINANCIALS - 20.8%

Capital Markets - 3.1%

A.G. Edwards, Inc.

31,920

2,814,067

Affiliated Managers Group, Inc. (a)(d)

12,336

1,606,147

AllianceBernstein Holding LP

9,889

903,953

Ameriprise Financial, Inc.

91,382

5,743,359

Bank of New York Co., Inc.

322,242

13,070,136

Bear Stearns Companies, Inc.

50,712

7,604,772

BlackRock, Inc. Class A

9,017

1,384,470

Shares

Value

Calamos Asset Management, Inc.
Class A

10,806

$ 269,610

Charles Schwab Corp.

444,694

9,992,274

Cohen & Steers, Inc.

20,212

1,050,822

E*TRADE Financial Corp.

181,330

4,342,854

Eaton Vance Corp. (non-vtg.)

49,746

2,183,352

FCStone Group, Inc.

7,682

324,872

Federated Investors, Inc. Class B (non-vtg.)

39,078

1,521,697

Franklin Resources, Inc.

74,787

10,151,587

GAMCO Investors, Inc. Class A

7,076

364,980

GFI Group, Inc. (a)

7,498

558,601

Goldman Sachs Group, Inc.

160,706

37,094,159

Greenhill & Co., Inc.

5,719

411,768

HFF, Inc.

4,989

79,575

Investment Technology Group, Inc. (a)

19,782

804,138

Investors Financial Services Corp.

28,356

1,744,461

Janus Capital Group, Inc.

83,953

2,323,819

Jefferies Group, Inc.

48,254

1,478,503

JMP Group, Inc.

3,457

39,583

KBW, Inc.

13,800

451,122

Knight Capital Group, Inc. Class A (a)

37,903

656,101

LaBranche & Co., Inc. (a)(d)

10,716

88,514

Ladenburg Thalmann Financial Services, Inc. (a)(d)

1,908

4,388

Lazard Ltd. Class A

17,506

943,223

Legg Mason, Inc.

56,338

5,691,828

Lehman Brothers Holdings, Inc.

231,494

16,987,030

Mellon Financial Corp.

175,113

7,587,646

Merrill Lynch & Co., Inc.

359,553

33,341,350

Morgan Stanley

416,815

35,445,948

National Holdings Corp. (a)

1,200

2,700

Northern Trust Corp.

80,654

5,248,962

Nuveen Investments, Inc. Class A

32,108

1,761,445

optionsXpress Holdings, Inc.

21,028

535,793

Paulson Capital Corp. (a)

3,105

16,860

Penson Worldwide, Inc.

12,876

370,571

Piper Jaffray Companies (a)(d)

12,762

853,778

Raymond James Financial, Inc.

42,762

1,424,402

Sanders Morris Harris Group, Inc.

28,032

383,758

SEI Investments Co.

32,129

1,983,323

Siebert Financial Corp.

2,700

10,125

State Street Corp.

144,701

9,878,737

Stifel Financial Corp. (a)(d)

1,592

95,854

SWS Group, Inc.

20,138

486,131

T. Rowe Price Group, Inc.

115,802

5,946,433

TD Ameritrade Holding Corp. (a)

105,126

2,158,237

Thomas Weisel Partners Group, Inc. (a)(d)

30,673

536,778

TradeStation Group, Inc. (a)

4,466

53,235

W.P. Carey & Co. LLC

7,742

262,454

W.P. Stewart & Co. Ltd. (d)

20,900

212,971

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Waddell & Reed Financial, Inc. Class A

37,695

$ 977,808

Westwood Holdings Group, Inc.

601

16,197

242,277,261

Commercial Banks - 3.7%

1st Source Corp.

5,265

137,943

Abigail Adams National Bancorp, Inc.

302

4,222

Alabama National Bancorp, Delaware

12,178

764,778

Amcore Financial, Inc.

14,538

433,087

AmericanWest Bancorp

9,499

188,460

Ameris Bancorp

7,595

176,736

Arrow Financial Corp.

1,807

40,585

Associated Banc-Corp.

45,455

1,500,470

BancFirst Corp.

1,958

84,527

BancorpSouth, Inc.

37,015

926,856

BancTrust Financial Group, Inc.

4,882

97,835

Bank of Granite Corp.

15,998

259,328

Bank of Hawaii Corp.

21,167

1,132,646

Bank of the Ozarks, Inc. (d)

12,537

360,063

BankFinancial Corp.

8,709

143,350

Banner Corp.

11,743

422,983

Bar Harbor Bankshares

3,125

99,063

BB&T Corp.

229,086

9,646,811

BOK Financial Corp.

12,475

677,143

Boston Private Financial Holdings, Inc.

21,815

617,583

Bryn Mawr Bank Corp.

2,149

49,943

Capital City Bank Group, Inc. (d)

6,535

195,070

Capital Corp. of the West

2,237

55,142

Capitol Bancorp Ltd.

7,732

223,300

Cascade Bancorp (d)

17,960

404,100

Cathay General Bancorp

23,711

803,329

Centennial Bank Holdings, Inc., Delaware (a)

13,327

116,745

Center Bancorp, Inc. (a)(d)

5,074

78,140

Central Pacific Financial Corp.

17,253

585,394

Chemical Financial Corp.

10,223

274,896

Chittenden Corp.

29,239

852,609

Citizens & Northern Corp. (d)

10,109

210,874

Citizens Banking Corp., Michigan (d)

58,813

1,119,800

City Holding Co.

12,165

463,608

City National Corp.

16,441

1,273,191

CoBiz, Inc.

13,382

247,433

Colonial Bancgroup, Inc.

59,137

1,492,618

Columbia Banking Systems, Inc.

14,593

442,752

Comerica, Inc.

64,211

4,034,377

Commerce Bancorp, Inc.

79,055

2,728,979

Commerce Bancshares, Inc.

31,396

1,481,891

Community Bank of Nevada (a)

13,777

408,901

Community Bank System, Inc.

9,618

197,746

Community Banks, Inc.

14,876

471,867

Community Capital Corp.

420

8,421

Community Trust Bancorp, Inc.

9,412

319,632

Shares

Value

Compass Bancshares, Inc.

49,455

$ 3,461,850

Cullen/Frost Bankers, Inc.

20,024

1,064,676

CVB Financial Corp.

18,813

214,844

East West Bancorp, Inc. (d)

26,351

1,068,270

Eastern Virgina Bankshares, Inc.

955

21,382

Enterprise Financial Services Corp. (a)(d)

4,000

97,000

Exchange National Bancshares, Inc.

1,433

45,584

Farmers Capital Bank Corp.

1,363

39,663

Fidelity Southern Corp.

3,463

62,092

Fifth Third Bancorp

205,757

8,715,867

Financial Institutions, Inc.

2,005

40,621

First Bancorp, North Carolina

10,694

208,533

First Bancorp, Puerto Rico (d)

55,810

700,974

First Charter Corp.

23,118

508,134

First Citizen Bancshares, Inc.

1,945

376,824

First Commonwealth Financial Corp. (d)

24,801

280,499

First Community Bancorp, California

9,021

509,506

First Community Bancshares, Inc.

8,000

250,320

First Financial Bancorp, Ohio

31,451

462,959

First Financial Bankshares, Inc.

5,300

214,862

First Financial Corp., Indiana

1,925

55,305

First Horizon National Corp.

47,188

1,901,205

First Indiana Corp.

2,940

61,799

First M&F Corp.

2,524

47,830

First Merchants Corp.

12,116

295,025

First Midwest Bancorp, Inc., Delaware

14,866

546,920

First Regional Bancorp (a)

6,000

154,140

First Republic Bank, California

15,030

813,875

First State Bancorp.

9,534

210,892

First United Corp.

3,511

75,557

FirstMerit Corp.

38,708

833,383

FNB Corp., North Carolina

2,866

46,401

FNB Corp., Pennsylvania

17,300

289,083

FNB Corp., Virginia (d)

6,256

200,255

FNB Financial Services Corp.

5,273

76,142

Frontier Financial Corp., Washington (d)

26,384

613,692

Fulton Financial Corp.

62,156

947,879

Glacier Bancorp, Inc.

31,842

681,419

Great Lakes Bancorp, Inc. (a)

461

6,500

Great Southern Bancorp, Inc.

7,927

219,182

Greater Bay Bancorp

17,731

494,872

Greater Community Bancorp

3,556

56,825

Green Bankshares, Inc.

5,000

174,950

Hancock Holding Co.

11,583

457,992

Hanmi Financial Corp.

31,850

556,420

Harleysville National Corp., Pennsylvania

11,970

193,555

Heartland Financial USA, Inc.

8,001

192,744

Heritage Commerce Corp.

7,114

173,439

Heritage Financial Corp., Washington

1,630

37,735

HF Financial Corp.

3,182

54,858

Horizon Financial Corp.

11,055

249,180

Huntington Bancshares, Inc.

80,485

1,807,693

IBERIABANK Corp.

2,985

152,623

Independent Bank Corp., Massachusetts

6,511

192,921

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Independent Bank Corp., Michigan

13,306

$ 230,061

Integra Bank Corp.

11,329

257,961

International Bancshares Corp.

32,525

873,296

Intervest Bancshares Corp. Class A

7,165

177,477

Irwin Financial Corp.

6,090

96,831

KeyCorp

167,234

5,955,203

Leesport Financial Corp.

1,594

34,207

LSB Bancshares, Inc.

2,747

37,909

M&T Bank Corp.

32,569

3,596,595

Macatawa Bank Corp.

13,284

208,027

MainSource Financial Group, Inc.

8,776

150,508

Marshall & Ilsley Corp.

101,732

4,882,119

MB Financial, Inc.

11,221

396,775

Merchants Bancshares, Inc.

4,149

93,353

Midsouth Bancorp, Inc.

3,819

95,475

Midwest Banc Holdings, Inc.

4,350

69,818

Nara Bancorp, Inc.

20,658

331,767

National City Corp.

255,515

8,838,264

National Penn Bancshares, Inc.

19,532

356,264

NBT Bancorp, Inc.

12,155

274,703

North Valley Bancorp

4,941

122,438

Northern States Financial Corp.

1,314

31,799

Northrim Bancorp, Inc.

3,252

87,414

Northway Financial, Inc.

478

17,002

Old National Bancorp, Indiana

37,675

672,499

Old Second Bancorp, Inc. (d)

4,309

125,995

Omega Financial Corp.

6,519

186,248

Oriental Financial Group, Inc.

20,277

245,149

Pacific Capital Bancorp

28,849

742,573

Pacific Premier Bancorp, Inc. (a)

40

407

Park National Corp. (d)

3,704

323,433

Peoples Bancorp, Inc.

1,660

45,833

Peoples Financial Corp., Mississippi

3,102

79,070

Pinnacle Financial Partners, Inc. (a)

3,325

98,254

Placer Sierra Bancshares

25,751

724,118

PNC Financial Services Group, Inc.

149,432

11,028,082

Popular, Inc.

106,882

1,839,439

Preferred Bank, Los Angeles California

6,582

251,235

Princeton National Bancorp, Inc.

2,956

85,281

PrivateBancorp, Inc.

13,207

442,963

Prosperity Bancshares, Inc.

16,201

561,203

Provident Bankshares Corp.

23,525

786,911

Regions Financial Corp.

312,511

11,147,267

Renasant Corp.

9,028

219,561

Republic Bancorp, Inc., Kentucky Class A

4,663

88,923

Royal Bancshares of Pennsylvania, Inc. Class A

3,140

66,348

S&T Bancorp, Inc.

10,636

348,435

S.Y. Bancorp, Inc.

7,621

190,373

Sandy Spring Bancorp, Inc.

9,869

317,091

Seacoast Banking Corp., Florida

5,254

122,208

Shares

Value

Security Bank Corp., Georgia

10,509

$ 216,065

Shore Bancshares, Inc. (d)

3,440

89,578

Signature Bank, New York (a)

16,774

557,736

Simmons First National Corp. Class A

1,974

55,687

Sky Financial Group, Inc.

50,670

1,393,425

South Financial Group, Inc.

36,095

859,061

Southside Bancshares, Inc. (d)

3,150

68,072

Southwest Bancorp, Inc., Oklahoma

11,359

279,091

State Bancorp, Inc., New York

4,423

79,835

Sterling Bancorp, New York

3,289

52,723

Sterling Bancshares, Inc.

46,876

538,605

Sterling Financial Corp., Pennsylvania

11,903

117,602

Sterling Financial Corp., Washington

18,223

551,064

Suffolk Bancorp

5,724

175,555

Sun Bancorp, Inc., New Jersey

3,616

64,329

SunTrust Banks, Inc.

150,525

13,440,377

Superior Bancorp (a)

14,284

145,554

Susquehanna Bancshares, Inc., Pennsylvania

37,138

799,581

SVB Financial Group (a)

18,316

972,030

Synovus Financial Corp.

102,119

3,376,054

Taylor Capital Group, Inc.

7,332

221,060

TCF Financial Corp.

45,957

1,297,366

Temecula Valley Bancorp, Inc. (d)

10,000

191,100

Texas Capital Bancshares, Inc. (a)

13,293

299,491

TIB Financial Corp.

2,149

29,205

Tompkins Trustco, Inc.

1,441

53,749

Trico Bancshares

14,031

317,802

Trustmark Corp.

29,635

797,774

U.S. Bancorp, Delaware

761,935

26,347,712

UCBH Holdings, Inc.

44,700

831,867

UMB Financial Corp.

13,102

505,868

Umpqua Holdings Corp.

26,982

673,471

Union Bankshares Corp.

2,261

53,156

UnionBanCal Corp.

25,627

1,572,985

United Bankshares, Inc., West Virginia

11,587

391,061

United Community Banks, Inc., Georgia

23,300

708,087

USB Holding Co., Inc.

3,514

70,772

Valley National Bancorp (d)

44,612

1,092,548

Vineyard National Bancorp

13,744

335,354

Virginia Commerce Bancorp, Inc. (d)

25,643

468,498

W Holding Co., Inc.

33,508

183,959

Wachovia Corp.

831,652

45,067,222

Washington Banking Co., Oak Harbor

6,532

101,442

Washington Trust Bancorp, Inc.

6,654

162,025

Wells Fargo & Co.

1,369,337

49,419,372

WesBanco, Inc.

16,326

511,820

West Coast Bancorp, Oregon

10,191

314,596

Westamerica Bancorp.

9,737

450,823

Western Alliance Bancorp. (a)

15,894

495,734

Whitney Holding Corp.

30,091

934,025

Wilmington Trust Corp., Delaware

24,615

1,051,307

Wilshire Bancorp, Inc.

14,330

182,564

Wintrust Financial Corp. (d)

14,993

688,029

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Yardville National Bancorp

2,350

$ 84,600

Zions Bancorp

47,078

3,787,896

288,952,507

Consumer Finance - 0.8%

Advance America Cash Advance Centers, Inc.

28,794

508,214

Advanta Corp. Class B

12,840

645,338

American Express Co.

459,564

29,862,469

AmeriCredit Corp. (a)

51,836

1,376,246

Capital One Financial Corp.

177,567

14,166,295

Cash America International, Inc.

13,211

548,124

CompuCredit Corp. (a)(d)

12,844

472,916

Consumer Portfolio Services, Inc. (a)

2,866

17,311

Dollar Financial Corp. (a)

10,747

328,428

EZCORP, Inc. Class A (a)

30,891

464,292

First Cash Financial Services, Inc. (a)

11,672

290,983

First Marblehead Corp. (d)

25,195

938,766

Nelnet, Inc. Class A

4,839

123,249

Rewards Network, Inc. (a)

2,818

11,018

SLM Corp.

176,334

9,911,734

Student Loan Corp.

1,260

258,615

United Panam Financial Corp. (a)

2,785

43,725

World Acceptance Corp. (a)

3,874

164,180

60,131,903

Diversified Financial Services - 4.4%

Asset Acceptance Capital Corp. (a)

7,523

144,442

Asta Funding, Inc. (d)

5,197

219,365

Bank of America Corp.

1,952,758

99,024,358

CBOT Holdings, Inc. Class A (a)

15,935

3,132,980

Chicago Mercantile Exchange Holdings, Inc. Class A

13,448

7,140,888

CIT Group, Inc.

86,026

5,155,538

Citigroup, Inc.

2,156,707

117,518,964

Encore Capital Group, Inc. (a)

11,268

136,005

Financial Federal Corp.

5,911

160,720

First Albany Companies, Inc. (a)

1,530

2,800

Imperial Credit Industries, Inc. warrants 1/31/08 (a)

89

0

Interactive Brokers Group, Inc.

16,000

408,000

IntercontinentalExchange, Inc. (a)

25,880

3,751,047

International Securities Exchange, Inc. Class A

16,178

1,052,217

JPMorgan Chase & Co.

1,501,801

77,838,346

Leucadia National Corp. (d)

71,427

2,559,944

MarketAxess Holdings, Inc. (a)

26,498

468,220

Marlin Business Services Corp. (a)

13,466

277,265

Medallion Financial Corp.

100

1,143

MicroFinancial, Inc.

100

585

Moody's Corp.

103,098

7,180,776

Navidec Financial Services, Inc. (a)

346

0

NYMEX Holdings, Inc.

15,302

1,948,710

Shares

Value

NYSE Euronext (a)

83,087

$ 6,902,868

PICO Holdings, Inc. (a)

4,299

202,096

Portfolio Recovery Associates, Inc. (d)

12,533

741,954

Resource America, Inc. Class A

2,747

64,692

The NASDAQ Stock Market, Inc. (a)

40,784

1,357,292

337,391,215

Insurance - 5.0%

21st Century Holding Co.

1,486

16,985

21st Century Insurance Group

14,916

325,169

ACE Ltd.

139,982

8,618,692

AFLAC, Inc.

219,714

11,614,082

Alfa Corp.

16,241

275,610

Alleghany Corp.

1,959

732,666

Allied World Assurance Co.
Holdings Ltd.

13,205

668,965

Allstate Corp.

271,767

16,713,671

AMBAC Financial Group, Inc.

48,059

4,306,567

American Equity Investment Life
Holding Co.

55,540

665,925

American Financial Group, Inc.

25,290

901,589

American Independence Corp. (a)

587

6,357

American International Group, Inc.

991,684

71,738,421

American National Insurance Co.

5,554

799,443

American Physicians Capital, Inc. (a)

5,587

228,397

Amerisafe, Inc. (a)

19,586

362,145

Amtrust Financial Services, Inc.

20,904

324,639

Aon Corp. (d)

115,628

4,962,754

Arch Capital Group Ltd.

14,781

1,062,606

Argonaut Group, Inc. (a)

11,831

391,961

Arthur J. Gallagher & Co.

43,039

1,265,347

Aspen Insurance Holdings Ltd.

21,238

575,975

Assurant, Inc.

44,664

2,655,275

Assured Guaranty Ltd.

22,074

652,949

Atlantic American Corp. (a)

100

490

Axis Capital Holdings Ltd.

55,183

2,183,591

Baldwin & Lyons, Inc. Class B

4,120

107,161

Berkshire Hathaway, Inc. Class A (a)

448

49,051,520

Bristol West Holdings, Inc.

13,359

294,833

Brown & Brown, Inc. (d)

60,547

1,577,855

CastlePoint Holdings Ltd.

10,000

158,000

Cincinnati Financial Corp.

60,982

2,769,802

Citizens Financial Corp., Kentucky (a)

200

1,222

Citizens, Inc. Class A (a)(d)

10,251

79,445

CNA Financial Corp.

15,858

805,904

CNA Surety Corp. (a)

10,202

208,529

Commerce Group, Inc., Massachusetts

22,491

766,718

Conseco, Inc.

63,391

1,249,437

Crawford & Co. Class B

12,173

83,142

Delphi Financial Group, Inc. Class A

16,706

717,356

EMC Insurance Group

5,875

148,931

Employers Holdings, Inc.

21,245

450,394

Endurance Specialty Holdings Ltd.

24,164

962,452

Enstar Group Ltd. (a)(d)

2,012

233,734

Erie Indemnity Co. Class A

20,910

1,164,269

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Everest Re Group Ltd.

24,450

$ 2,621,774

FBL Financial Group, Inc. Class A

5,026

193,400

Fidelity National Financial, Inc. Class A

85,516

2,397,869

First Acceptance Corp. (a)

4,717

48,113

First American Corp., California

37,195

1,991,792

First Mercury Financial Corp.

10,000

187,400

FPIC Insurance Group, Inc. (a)

8,482

393,395

Gainsco, Inc. (a)

123

750

Genworth Financial, Inc. Class A (non-vtg.)

195,164

7,045,420

Great American Financial Resources,
Inc.

3,973

95,312

Hanover Insurance Group, Inc.

19,329

943,062

Harleysville Group, Inc.

9,568

289,528

Hartford Financial Services Group, Inc.

138,324

14,270,887

HCC Insurance Holdings, Inc.

51,099

1,681,668

Hilb Rogal & Hobbs Co.

19,099

828,706

Horace Mann Educators Corp.

26,496

591,391

Independence Holding Co.

2,923

64,628

Infinity Property & Casualty Corp.

16,435

868,261

Investors Title Co.

1,263

61,887

IPC Holdings Ltd.

20,277

632,642

Kansas City Life Insurance Co.

1,314

59,038

LandAmerica Financial Group, Inc.

9,818

910,030

Lincoln National Corp.

120,821

8,759,523

Loews Corp.

194,943

9,947,941

Markel Corp. (a)

4,126

2,034,118

Marsh & McLennan Companies, Inc.

237,291

7,790,264

Max Capital Group Ltd.

24,105

684,823

MBIA, Inc.

54,627

3,635,427

Meadowbrook Insurance Group, Inc. (a)

5,600

61,152

Mercury General Corp.

9,369

525,507

MetLife, Inc.

199,868

13,591,024

Montpelier Re Holdings Ltd.

48,192

884,323

National Financial Partners Corp.

18,933

886,632

National Security Group, Inc.

1,845

34,446

National Western Life Insurance Co. Class A

783

197,206

Nationwide Financial Services, Inc.
Class A (sub. vtg.)

21,395

1,324,564

Navigators Group, Inc. (a)

2,565

126,993

Nymagic, Inc.

5,552

232,684

OdysseyRe Holdings Corp.

6,234

267,314

Ohio Casualty Corp.

28,244

1,216,187

Old Republic International Corp.

89,212

1,932,332

OneBeacon Insurance Group Ltd.

14,601

367,361

PartnerRe Ltd.

24,769

1,902,259

Penn Treaty American Corp. (a)

11,942

72,488

Philadelphia Consolidated Holdings Corp. (a)

26,999

1,112,359

Phoenix Companies, Inc.

40,906

643,860

Platinum Underwriters Holdings Ltd.

24,130

831,037

Shares

Value

PMA Capital Corp. Class A

23,448

$ 249,487

Presidential Life Corp.

6,351

115,969

Principal Financial Group, Inc.

115,638

7,030,790

ProAssurance Corp. (a)

11,050

624,546

ProCentury Corp.

22,796

434,036

Progressive Corp.

300,715

6,931,481

Protective Life Corp.

29,018

1,451,771

Prudential Financial, Inc.

207,576

21,176,904

PXRE Group Ltd. (a)

73,056

339,710

Reinsurance Group of America, Inc.

13,090

819,696

RenaissanceRe Holdings Ltd.

22,111

1,297,695

RLI Corp.

12,147

697,845

RTW, Inc. (a)

1,732

14,809

SAFECO Corp.

49,806

3,125,327

Safety Insurance Group, Inc.

7,319

304,763

Scottish Re Group Ltd.

24,430

128,258

SCPIE Holding, Inc. (a)

2,442

52,259

SeaBright Insurance Holdings, Inc. (a)

11,665

208,687

Security Capital Assurance Ltd.

25,165

809,558

Selective Insurance Group, Inc.

21,036

575,755

StanCorp Financial Group, Inc.

19,687

1,001,281

State Auto Financial Corp.

7,238

223,944

Stewart Information Services Corp.

6,986

276,785

The Chubb Corp.

180,330

9,894,707

The Midland Co.

4,620

205,590

The Travelers Companies, Inc.

291,932

15,813,956

Torchmark Corp.

39,438

2,764,998

Tower Group, Inc.

23,335

738,786

Transatlantic Holdings, Inc.

11,668

836,129

Unico American Corp. (a)

4,102

48,281

United America Indemnity Ltd.
Class A (a)

10,775

269,267

United Fire & Casualty Co.

13,483

527,859

Unitrin, Inc.

21,667

1,061,250

Universal American Financial Corp. (a)

13,972

296,626

UnumProvident Corp.

149,446

3,966,297

UTG, Inc. (a)

300

2,445

W.R. Berkley Corp.

79,502

2,618,796

Wesco Financial Corp.

578

249,118

White Mountains Insurance Group Ltd.

3,069

1,843,702

XL Capital Ltd. Class A

75,352

6,145,709

Zenith National Insurance Corp.

17,245

834,141

384,128,765

Real Estate Investment Trusts - 2.3%

Acadia Realty Trust (SBI)

10,891

309,413

Agree Realty Corp.

8,779

307,265

Alesco Financial, Inc.

80,057

797,368

Alexanders, Inc. (a)

647

281,219

Alexandria Real Estate Equities, Inc.

11,249

1,183,395

AMB Property Corp. (SBI)

38,924

2,251,753

American Campus Communities, Inc.

18,599

547,183

American Financial Realty Trust (SBI)

81,744

922,072

American Home Mortgage Investment Corp. (d)

18,430

402,511

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Land Lease, Inc.

3,584

$ 93,076

American Mortgage Acceptance Co.

1,896

19,131

Annaly Capital Management, Inc.

99,258

1,532,544

Anthracite Capital, Inc.

24,616

301,054

Anworth Mortgage Asset Corp.

15,285

142,609

Apartment Investment & Management Co. Class A

43,351

2,378,669

Arbor Realty Trust, Inc.

16,496

469,971

Archstone-Smith Trust

94,562

5,834,475

Ashford Hospitality Trust, Inc.

45,460

564,159

Associated Estates Realty Corp.

9,366

145,735

AvalonBay Communities, Inc.

33,399

4,354,896

BioMed Realty Trust, Inc.

31,587

886,331

Boston Properties, Inc.

48,617

5,624,015

Brandywine Realty Trust (SBI)

39,678

1,262,157

BRE Properties, Inc. Class A

18,709

1,182,783

BRT Realty Trust

5,453

160,318

Camden Property Trust (SBI)

25,072

1,871,625

Capital Lease Funding, Inc.

16,578

185,176

Capital Trust, Inc. Class A

10,158

451,828

CapitalSource, Inc. (d)

55,637

1,463,253

Capstead Mortgage Corp.

3,145

31,859

CBL & Associates Properties, Inc.

22,024

903,865

Cedar Shopping Centers, Inc.

12,514

199,598

Colonial Properties Trust (SBI)

20,358

1,004,667

Corporate Office Properties Trust (SBI)

14,841

668,587

Cousins Properties, Inc. (d)

20,981

679,365

Crescent Real Estate Equities Co. (d)

37,856

846,460

Crystal River Capital, Inc.

13,087

366,567

DCT Industrial Trust, Inc.

62,800

693,940

Deerfield Triarc Capital Corp.

41,246

668,185

Developers Diversified Realty Corp.

43,730

2,695,955

DiamondRock Hospitality Co.

43,495

910,785

Digital Realty Trust, Inc.

18,734

760,600

Douglas Emmett, Inc.

43,700

1,152,369

Duke Realty LP

56,346

2,260,602

Eagle Hospitality Properties Trust, Inc.

14,000

187,180

EastGroup Properties, Inc.

14,313

699,906

Education Realty Trust, Inc.

8,412

121,974

Entertainment Properties Trust (SBI)

9,023

532,808

Equity Inns, Inc.

13,055

260,969

Equity Lifestyle Properties, Inc.

12,301

669,912

Equity One, Inc.

14,649

429,216

Equity Residential (SBI)

127,065

6,438,384

Essex Property Trust, Inc.

9,938

1,264,412

Extra Space Storage, Inc.

24,319

435,553

Federal Realty Investment Trust (SBI)

23,556

2,087,533

FelCor Lodging Trust, Inc.

37,624

985,373

Fieldstone Investment Corp.

10,150

39,991

First Industrial Realty Trust, Inc.

17,711

789,911

First Potomac Realty Trust

14,473

361,825

Shares

Value

Franklin Street Properties Corp. (d)

30,646

$ 588,403

Friedman, Billings, Ramsey Group, Inc. Class A

51,215

321,118

General Growth Properties, Inc.

98,135

5,793,890

Getty Realty Corp.

8,960

255,181

Gladstone Commercial Corp.

1,075

21,597

Glimcher Realty Trust

19,141

521,592

GMH Communities Trust

22,464

228,234

Gramercy Capital Corp.

4,772

150,891

Health Care Property Investors, Inc.

83,056

2,713,440

Health Care REIT, Inc.

31,562

1,381,469

Healthcare Realty Trust, Inc.

16,672

546,341

Hersha Hospitality Trust

41,950

509,273

Highland Hospitality Corp.

22,464

432,881

Highwoods Properties, Inc. (SBI)

24,854

1,089,599

Home Properties, Inc.

12,897

742,867

HomeBanc Mortgage Corp., Georgia

29,865

60,925

Hospitality Properties Trust (SBI)

37,106

1,648,991

Host Hotels & Resorts, Inc.

229,255

5,850,588

HRPT Properties Trust (SBI)

100,826

1,157,482

Impac Mortgage Holdings, Inc. (d)

17,290

107,025

Inland Real Estate Corp.

49,435

889,830

Innkeepers USA Trust (SBI)

28,022

494,028

Investors Real Estate Trust

12,777

137,481

iStar Financial, Inc.

48,065

2,308,562

JER Investments Trust, Inc.

14,053

264,056

Kilroy Realty Corp.

11,822

878,611

Kimco Realty Corp.

93,966

4,349,686

Kite Realty Group Trust

17,912

380,809

KKR Financial Holdings LLC

36,431

975,622

LaSalle Hotel Properties (SBI)

17,294

823,194

Lexington Corporate Properties Trust (d)

39,916

830,253

Liberty Property Trust (SBI)

31,873

1,495,481

LTC Properties, Inc.

6,991

167,644

Luminent Mortgage Capital, Inc. (d)

18,507

168,414

Mack-Cali Realty Corp.

25,427

1,227,870

Maguire Properties, Inc.

23,156

836,626

Medical Properties Trust, Inc.

60,649

863,035

MFA Mortgage Investments, Inc.

27,377

205,875

Mid-America Apartment Communities, Inc.

12,611

740,896

Mission West Properties, Inc.

21,235

300,900

Monmouth Real Estate Investment Corp. Class A

6,448

55,582

National Health Investors, Inc.

10,137

359,661

National Health Realty, Inc.

6,070

144,466

National Retail Properties, Inc.

30,504

739,722

Nationwide Health Properties, Inc.

29,049

902,552

Newcastle Investment Corp.

16,669

494,403

NorthStar Realty Finance Corp.

28,660

412,991

Novastar Financial, Inc. (d)

11,336

83,773

Omega Healthcare Investors, Inc.

14,304

246,172

One Liberty Properties, Inc.

3,695

85,281

Opteum, Inc. Class A

9,741

37,016

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Parkway Properties, Inc.

2,747

$ 142,432

Pennsylvania (REIT) (SBI)

14,704

698,881

Plum Creek Timber Co., Inc.

73,512

3,072,802

Post Properties, Inc.

21,046

1,115,859

Potlatch Corp.

14,515

635,467

ProLogis Trust

104,933

6,784,968

PS Business Parks, Inc.

6,774

454,874

Public Storage, Inc.

54,224

4,853,048

Quadra Realty Trust, Inc.

5,162

69,635

RAIT Investment Trust (SBI)

27,276

803,551

Ramco-Gershenson Properties Trust (SBI)

6,210

229,708

Rayonier, Inc.

33,177

1,491,638

Realty Income Corp.

40,693

1,115,802

Redwood Trust, Inc.

15,917

852,992

Regency Centers Corp.

29,744

2,336,986

Resource Capital Corp.

19,474

311,000

Saul Centers, Inc.

8,021

394,954

Senior Housing Properties Trust (SBI)

34,862

819,257

Simon Property Group, Inc.

95,540

10,316,409

SL Green Realty Corp.

24,147

3,382,512

Sovran Self Storage, Inc.

11,580

616,982

Spirit Finance Corp.

45,185

648,857

Strategic Hotel & Resorts, Inc.

35,287

822,893

Sun Communities, Inc.

14,385

445,216

Sunstone Hotel Investors, Inc.

27,687

817,043

Tanger Factory Outlet Centers, Inc.

15,447

648,002

Taubman Centers, Inc.

24,114

1,326,752

The Macerich Co.

28,483

2,540,684

Thornburg Mortgage, Inc. (SBI) (d)

41,436

1,149,020

Transcontinental Realty Investors, Inc. (a)

600

9,420

U-Store-It Trust

29,040

532,303

UDR, Inc.

60,833

1,846,890

UMH Properties, Inc.

5,458

78,049

Universal Health Realty Income Trust (SBI)

6,111

214,802

Urstadt Biddle Properties, Inc.

365

6,479

Urstadt Biddle Properties, Inc. Class A

8,855

151,863

Ventas, Inc.

54,982

2,329,038

Vornado Realty Trust

61,494

7,441,389

Washington (REIT) (SBI)

22,360

840,512

Weingarten Realty Investors (SBI)

30,184

1,408,385

Winston Hotels, Inc.

8,453

126,034

Winthrop Realty Trust

25,983

175,125

175,155,127

Real Estate Management & Development - 0.1%

Affordable Residential Communties, Inc. (d)

16,341

190,046

Brookfield Properties Corp.

75,639

1,986,280

CB Richard Ellis Group, Inc. Class A (a)

84,133

3,131,430

Consolidated-Tomoka Land Co.

2,829

210,761

Forest City Enterprises, Inc. Class A

26,013

1,823,511

Jones Lang LaSalle, Inc.

14,551

1,698,102

Shares

Value

Meruelo Maddux Properties, Inc.

13,300

$ 109,725

Move, Inc. (a)

41,866

175,837

Tejon Ranch Co. (a)(d)

2,676

131,847

The St. Joe Co. (d)

30,747

1,609,298

Thomas Properties Group, Inc.

17,236

290,082

United Capital Corp. (a)

2,262

70,461

11,427,380

Thrifts & Mortgage Finance - 1.4%

Accredited Home Lenders
Holding Co. (a)(d)

8,212

114,886

Anchor BanCorp Wisconsin, Inc.

9,322

266,889

Astoria Financial Corp.

35,738

952,775

Bank Mutual Corp.

18,027

213,259

BankAtlantic Bancorp, Inc. Class A (non-vtg.)

10,747

101,882

BankUnited Financial Corp. Class A (d)

24,961

572,106

BCSB Bankcorp, Inc.

3,596

48,510

Berkshire Hills Bancorp, Inc.

1,481

48,710

Brookline Bancorp, Inc., Delaware

37,359

446,066

Camco Financial Corp.

404

5,018

Capitol Federal Financial (d)

19,206

739,239

Centerline Holding Co. (a)

15,417

303,561

CFS Bancorp, Inc. (a)

800

11,840

Charter Financial Corp., Georgia

976

52,704

Citizens South Banking Corp., Delaware

4,457

56,871

City Bank Lynnwood, Washington

15,020

488,450

Clifton Savings Bancorp, Inc.

17,436

203,827

Corus Bankshares, Inc. (d)

27,734

504,481

Countrywide Financial Corp.

252,927

9,848,977

Dime Community Bancshares, Inc.

26,225

354,038

Doral Financial Corp. (a)(d)

21,495

27,514

Downey Financial Corp. (d)

10,368

754,687

ESB Financial Corp.

6,022

66,904

Fannie Mae

419,721

26,828,566

Farmer Mac Class C (non-vtg.)

7,000

205,730

First Busey Corp. (d)

7,930

158,838

First Defiance Financial Corp.

3,662

100,668

First Financial Holdings, Inc.

7,180

237,012

First Financial Service Corp.

2,667

76,490

First Niagara Financial Group, Inc.

40,371

553,890

First Place Financial Corp.

7,637

159,690

FirstFed Financial Corp., Delaware (a)(d)

10,625

684,994

Flagstar Bancorp, Inc.

25,355

326,065

Flushing Financial Corp.

3,744

61,589

Franklin Bank Corp.

18,082

298,172

Freddie Mac

299,856

20,027,382

Fremont General Corp. (d)

19,720

261,290

Guaranty Federal Bancshares, Inc.

1,075

32,347

Hingham Institution for Savings

1,751

57,415

Home Federal Bancorp

2,634

75,622

Hudson City Bancorp, Inc.

199,237

2,627,936

IndyMac Bancorp, Inc. (d)

32,480

1,090,678

ITLA Capital Corp.

3,075

168,941

KNBT Bancorp, Inc.

13,555

205,629

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

MAF Bancorp., Inc.

21,029

$ 1,133,043

MASSBANK Corp.

886

29,061

MGIC Investment Corp.

35,966

2,337,790

NASB Financial, Inc.

1,400

50,400

NetBank, Inc.

9,306

2,699

New York Community Bancorp, Inc.

118,129

2,064,895

NewAlliance Bancshares, Inc.

36,177

583,173

NexCen Brands, Inc. (a)

8,613

110,074

Northwest Bancorp, Inc. (d)

7,404

208,645

OceanFirst Financial Corp.

6,806

122,100

Ocwen Financial Corp. (a)

16,398

232,196

Oritani Financial Corp. (a)

4,300

65,876

Pamrapo Bancorp, Inc.

3,273

68,504

Parkvale Financial Corp.

597

17,940

Partners Trust Financial Group, Inc.

18,520

201,312

People's United Financial, Inc.

51,447

1,038,715

Peoples Bancorp, Auburn, Indiana

300

5,847

PFF Bancorp, Inc.

12,718

381,667

Provident Financial Holdings, Inc.

1,612

40,026

Provident Financial Services, Inc. (d)

44,816

752,909

Provident New York Bancorp

26,838

367,949

PVF Capital Corp.

4,876

63,193

Radian Group, Inc.

31,947

1,977,519

Riverview Bancorp, Inc.

7,997

111,638

Sovereign Bancorp, Inc.

136,556

3,173,561

TF Financial Corp.

1,890

57,154

TFS Financial Corp. (a)

41,000

497,330

The PMI Group, Inc.

33,100

1,636,464

TierOne Corp.

11,942

373,665

Timberland Bancorp, Inc.

2,928

102,275

Triad Guaranty, Inc. (a)

5,075

226,294

Trustco Bank Corp., New York (d)

67,794

658,280

United Community Financial Corp., Ohio

12,574

133,033

Washington Federal, Inc.

25,984

651,679

Washington Mutual, Inc.

382,834

16,737,502

Webster Financial Corp.

23,875

1,074,136

Westfield Financial, Inc.

8,879

91,986

Willow Financial Bancorp, Inc.

5,198

63,416

WSFS Financial Corp.

2,835

187,337

108,053,421

TOTAL FINANCIALS

1,607,517,579

HEALTH CARE - 11.4%

Biotechnology - 1.6%

Aastrom Biosciences, Inc. (a)

1,900

2,660

Acadia Pharmaceuticals, Inc. (a)

22,950

293,531

Acorda Therapeutics, Inc. (a)

19,833

394,677

Alexion Pharmaceuticals, Inc. (a)(d)

19,236

934,293

Alkermes, Inc. (a)

37,941

609,332

Shares

Value

Alnylam Pharmaceuticals, Inc. (a)(d)

18,382

$ 301,465

Amgen, Inc. (a)

504,506

28,418,823

Amylin Pharmaceuticals, Inc. (a)(d)

51,643

2,388,489

Antigenics, Inc. (a)(d)

5,388

15,140

Arena Pharmaceuticals, Inc. (a)(d)

25,188

350,113

ARIAD Pharmaceuticals, Inc. (a)(d)

84,946

461,257

ArQule, Inc. (a)

4,060

36,459

Array Biopharma, Inc. (a)

25,095

311,931

Avant Immunotherapeutics, Inc. (a)

2,169

2,168

AVI BioPharma, Inc. (a)(d)

2,700

8,235

Avigen, Inc. (a)

1,600

10,736

BioCryst Pharmaceuticals, Inc. (a)(d)

12,030

96,240

Biogen Idec, Inc. (a)

147,284

7,691,170

BioMarin Pharmaceutical, Inc. (a)

52,480

936,243

BioSphere Medical, Inc. (a)

800

6,208

Boston Life Sciences, Inc. (a)(d)

1,080

3,154

Celgene Corp. (a)

158,493

9,706,111

Cell Genesys, Inc. (a)(d)

6,687

28,888

Cell Therapeutics, Inc. (a)(d)

41,080

203,346

Cephalon, Inc. (a)(d)

25,824

2,143,650

Cepheid, Inc. (a)(d)

43,127

504,586

Coley Pharmaceutical Group, Inc. (a)

8,285

68,848

Cubist Pharmaceuticals, Inc. (a)

19,544

448,535

CuraGen Corp. (a)

5,707

15,466

CV Therapeutics, Inc. (a)(d)

35,100

369,954

Cytogen Corp. (a)(d)

370

784

Cytokinetics, Inc. (a)

14,366

95,821

Dendreon Corp. (a)(d)

44,342

380,454

Digene Corp. (a)

12,665

563,593

Dyax Corp. (a)

11,447

53,114

Dynavax Technologies Corp. (a)

35,880

178,682

Encysive Pharmaceuticals, Inc. (a)(d)

17,196

67,752

EntreMed, Inc. (a)

3,700

6,623

Enzon Pharmaceuticals, Inc. (a)(d)

46,219

391,475

Epicept Corp. (a)

305

799

Exact Sciences Corp. (a)

3,245

9,703

Genelabs Technologies, Inc. (a)(d)

1,960

3,744

Genentech, Inc. (a)

201,181

16,048,208

Genitope Corp. (a)(d)

14,102

50,344

Genta, Inc. (a)

27,794

8,266

GenVec, Inc. (a)(d)

20,350

89,540

Genzyme Corp. (a)

114,207

7,368,636

Geron Corp. (a)(d)

39,828

367,214

Gilead Sciences, Inc. (a)

197,368

16,336,149

GTC Biotherapeutics, Inc. (a)

4,100

4,879

Halozyme Therapeutics, Inc. (a)(d)

42,200

430,862

Hemispherx Biopharma, Inc. (a)

800

1,264

Human Genome Sciences, Inc. (a)(d)

62,626

663,209

Idenix Pharmaceuticals, Inc. (a)(d)

4,502

33,360

IDM Pharma, Inc. (a)

442

1,454

ImClone Systems, Inc. (a)

24,434

1,009,613

ImmunoGen, Inc. (a)

2,572

14,480

Immunomedics, Inc. (a)

5,227

27,860

Incyte Corp. (a)

29,873

211,800

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Indevus Pharmaceuticals, Inc. (a)(d)

49,609

$ 367,107

Infinity Pharmaceuticals, Inc. (a)

53

572

InterMune, Inc. (a)(d)

14,390

382,630

Introgen Therapeutics, Inc. (a)(d)

6,886

30,161

Isis Pharmaceuticals, Inc. (a)

44,948

452,177

Keryx Biopharmaceuticals, Inc. (a)

23,883

261,041

Kosan Biosciences, Inc. (a)

1,712

10,614

La Jolla Pharmaceutical Co. (a)

2,083

11,186

Lexicon Pharmaceuticals, Inc. (a)

6,506

21,210

LifeCell Corp. (a)

18,834

530,177

Ligand Pharmaceuticals, Inc. Class B

44,933

297,007

MannKind Corp. (a)(d)

36,288

412,957

Martek Biosciences (a)(d)

10,073

210,828

Maxygen, Inc. (a)

6,687

68,007

Medarex, Inc. (a)(d)

62,112

993,171

MedImmune, Inc. (a)(d)

102,161

5,913,079

Millennium Pharmaceuticals, Inc. (a)

136,454

1,483,255

Momenta Pharmaceuticals, Inc. (a)(d)

11,130

145,580

Monogram Biosciences, Inc. (a)

20,122

36,622

Myriad Genetics, Inc. (a)(d)

20,936

797,034

Nabi Biopharmaceuticals (a)(d)

12,447

63,978

Neopharm, Inc. (a)

3,904

5,427

Neose Technologies, Inc. (a)

1,356

3,593

Neurocrine Biosciences, Inc. (a)

15,860

184,293

Neurogen Corp. (a)

500

3,865

Northfield Laboratories, Inc. (a)(d)

11,290

17,500

Novavax, Inc. (a)(d)

6,883

20,030

NPS Pharmaceuticals, Inc. (a)

6,507

27,720

Nuvelo, Inc. (a)

19,505

71,778

Omrix Biopharmaceuticals, Inc.

9,333

312,842

ONYX Pharmaceuticals, Inc. (a)

27,635

826,839

Orchid Cellmark, Inc. (a)

3,164

16,200

Orthologic Corp. (a)

7,445

10,795

Oscient Pharmaceuticals Corp. (a)(d)

693

3,832

OSI Pharmaceuticals, Inc. (a)

24,694

932,445

Palatin Technologies, Inc. (a)

13,627

26,436

Panacos Pharmaceuticals, Inc. (a)(d)

50,213

209,890

PDL BioPharma, Inc. (a)(d)

52,396

1,441,414

Peregrine Pharmaceuticals, Inc. (a)(d)

8,337

11,005

Pharmacopeia Drug Discovery, Inc. (a)

2,082

12,554

Pharmacyclics, Inc. (a)(d)

4,815

16,612

Pharmion Corp. (a)

10,783

312,815

Progenics Pharmaceuticals, Inc. (a)

15,270

326,625

Regeneron Pharmaceuticals, Inc. (a)

33,166

744,245

Renovis, Inc. (a)

10,098

33,727

Repligen Corp. (a)

6,096

23,713

Rigel Pharmaceuticals, Inc. (a)

8,617

83,930

Sangamo Biosciences, Inc. (a)(d)

1,300

9,477

Savient Pharmaceuticals, Inc. (a)

30,093

427,922

SciClone Pharmaceuticals, Inc. (a)

7,834

21,544

Seattle Genetics, Inc. (a)(d)

8,162

85,864

Shares

Value

Senomyx, Inc. (a)

19,558

$ 261,099

Sonus Pharmaceuticals, Inc. (a)

200

1,148

StemCells, Inc. (a)(d)

7,323

17,941

Tanox, Inc. (a)(d)

6,042

113,348

Tapestry Pharmaceuticals, Inc. (a)

630

1,077

Telik, Inc. (a)(d)

13,264

79,584

Theravance, Inc. (a)

27,633

948,917

Titan Pharmaceuticals, Inc. (a)

1,300

2,769

TorreyPines Therapeutics, Inc. (a)

3,331

23,484

Trimeris, Inc. (a)

16,866

119,243

United Therapeutics Corp. (a)(d)

11,994

791,484

Vanda Pharmaceuticals, Inc. (d)

9,603

192,252

Vertex Pharmaceuticals, Inc. (a)(d)

50,968

1,521,904

Vical, Inc. (a)

1,900

9,329

Vion Pharmaceuticals, Inc. (a)(d)

4,500

5,715

XOMA Ltd. (a)

13,136

44,662

Zymogenetics, Inc. (a)(d)

16,580

271,746

124,300,417

Health Care Equipment & Supplies - 1.9%

Abaxis, Inc. (a)(d)

11,989

274,428

Abiomed, Inc. (a)

5,492

61,291

Accuray, Inc.

6,200

142,600

Advanced Medical Optics, Inc. (a)(d)

26,399

926,605

Align Technology, Inc. (a)

27,534

627,500

American Medical Systems Holdings, Inc. (a)(d)

27,974

524,792

Analogic Corp.

8,043

530,838

Angiodynamics, Inc. (a)

5,971

94,640

Arrow International, Inc.

7,723

296,563

ArthroCare Corp. (a)

11,130

490,499

Aspect Medical Systems, Inc. (a)(d)

6,586

106,627

Atrion Corp.

239

21,768

Bausch & Lomb, Inc.

22,290

1,513,491

Baxter International, Inc.

280,584

15,948,395

Beckman Coulter, Inc.

24,537

1,604,720

Becton, Dickinson & Co.

97,203

7,411,729

BioLase Technology, Inc. (a)(d)

4,009

24,054

Biomet, Inc.

99,034

4,319,863

Biosite, Inc. (a)

6,094

560,160

Boston Scientific Corp. (a)

584,012

9,151,468

C.R. Bard, Inc.

48,177

4,066,621

Candela Corp. (a)

10,141

113,985

Cantel Medical Corp. (a)

10,922

193,866

Cardiac Science Corp. (a)

1,171

12,307

Cardiodynamics International Corp. (a)

8,210

5,878

Cerus Corp. (a)

7,762

48,280

Cholestech Corp. (a)

3,529

59,111

Clarient, Inc. (a)(d)

3,500

7,455

Conceptus, Inc. (a)(d)

4,009

74,487

CONMED Corp. (a)

22,708

710,987

Cooper Companies, Inc.

21,474

1,184,076

Cutera, Inc. (a)

5,971

156,440

Cyberonics, Inc. (a)

4,454

83,646

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Cytyc Corp. (a)

49,597

$ 2,096,961

Dade Behring Holdings, Inc.

36,036

1,940,899

Datascope Corp.

3,463

127,612

DENTSPLY International, Inc.

62,842

2,271,110

DexCom, Inc. (a)(d)

17,534

115,023

DiaSys Corp. (a)

2,600

260

DJO, Inc. (a)

8,262

322,301

Edwards Lifesciences Corp. (a)(d)

21,469

1,077,744

EPIX Pharmaceuticals, Inc. (a)

2,304

13,571

ev3, Inc. (a)(d)

20,569

357,489

Exactech, Inc. (a)

2,735

44,280

Fonar Corp. (a)

837

4,687

Foxhollow Technologies, Inc. (a)

3,172

71,687

Gen-Probe, Inc. (a)

25,228

1,364,583

Greatbatch, Inc. (a)

13,845

415,904

Haemonetics Corp. (a)

9,510

472,076

HealthTronics, Inc. (a)

8,119

38,971

Hillenbrand Industries, Inc.

22,502

1,489,632

Hologic, Inc. (a)

25,713

1,390,816

Hospira, Inc. (a)

62,683

2,497,291

I-Flow Corp. (a)

11,248

176,369

ICU Medical, Inc. (a)

5,433

218,135

IDEXX Laboratories, Inc. (a)

14,937

1,318,788

Immucor, Inc. (a)

32,948

1,040,498

Implant Sciences Corp. (a)

200

390

Integra LifeSciences Holdings Corp. (a)

12,435

638,164

Intuitive Surgical, Inc. (a)(d)

15,142

2,083,993

Invacare Corp.

17,763

315,293

Inverness Medical Innovations, Inc. (a)

22,945

1,094,247

IRIS International, Inc. (a)

8,470

116,717

IVAX Diagnostics, Inc. (a)

3,600

4,104

Kensey Nash Corp. (a)

1,684

39,288

Kewaunee Scientific Corp.

1,601

17,915

Kinetic Concepts, Inc. (a)

19,216

964,259

Kyphon, Inc. (a)

18,589

882,792

Lifecore Biomedical, Inc. (a)

11,000

194,040

Medical Action Industries, Inc. (a)

5,016

101,323

Medtronic, Inc.

500,310

26,601,483

Mentor Corp.

18,763

758,776

Meridian Bioscience, Inc.

30,499

644,139

Merit Medical Systems, Inc. (a)

27,493

314,795

Microtek Medical Holdings, Inc. (a)

11,278

51,653

Natus Medical, Inc. (a)(d)

19,219

301,162

Neogen Corp. (a)

1,941

53,145

Neoprobe Corp. (a)

100

21

North American Scientific, Inc. (a)

2,705

3,787

NuVasive, Inc. (a)

32,642

847,386

NxStage Medical, Inc. (a)(d)

36,056

433,754

OraSure Technologies, Inc. (a)

23,767

182,055

Osteotech, Inc. (a)

3,427

25,086

Palomar Medical Technologies, Inc. (a)

10,806

420,245

Shares

Value

PLC Systems, Inc. (a)

400

$ 268

PolyMedica Corp.

5,662

230,217

Possis Medical, Inc. (a)

3,702

43,573

Quidel Corp. (a)

7,506

110,263

Regeneration Technologies, Inc. (a)

23,005

231,200

ResMed, Inc. (a)

30,669

1,382,559

Respironics, Inc. (a)

30,626

1,352,138

Retractable Technologies, Inc. (a)

6,105

16,545

Sirona Dental Systems, Inc.

3,582

124,116

Somanetics Corp. (a)

5,971

109,389

Sonic Innovations, Inc. (a)

3,941

39,646

SonoSite, Inc. (a)

9,861

281,137

St. Jude Medical, Inc. (a)

148,577

6,342,752

Staar Surgical Co. (a)

3,978

18,140

Stereotaxis, Inc. (a)(d)

28,535

343,561

Steris Corp. (d)

31,280

940,590

Strategic Diagnostics, Inc. (a)

3,100

15,128

Stryker Corp.

121,775

8,196,675

SurModics, Inc. (a)(d)

11,705

439,172

Symmetry Medical, Inc. (a)

14,077

215,800

Synovis Life Technologies, Inc. (a)

1,000

13,960

The Spectranetics Corp. (a)

20,955

201,587

Theragenics Corp. (a)

1,300

5,707

ThermoGenesis Corp. (a)

73,719

199,778

Thoratec Corp. (a)(d)

31,669

627,363

Urologix, Inc. (a)

3,800

9,158

Varian Medical Systems, Inc. (a)

57,847

2,331,234

Viasys Healthcare, Inc. (a)

26,571

1,141,224

Vital Signs, Inc.

1,598

92,988

Volcano Corp.

19,293

390,876

West Pharmaceutical Services, Inc.

14,675

746,371

Wright Medical Group, Inc. (a)

27,921

680,156

Young Innovations, Inc.

2,508

62,274

Zimmer Holdings, Inc. (a)

101,862

8,969,968

Zoll Medical Corp. (a)

3,804

85,400

143,296,782

Health Care Providers & Services - 2.3%

Aetna, Inc.

221,598

11,729,182

Air Methods Corp. (a)

13,436

474,560

Alliance Imaging, Inc. (a)

5,330

46,691

Amedisys, Inc. (a)

9,316

347,487

America Service Group, Inc. (a)

11,000

203,830

American Dental Partners, Inc. (a)

4,710

121,612

AMERIGROUP Corp. (a)

23,431

597,491

AmerisourceBergen Corp.

83,723

4,288,292

AMN Healthcare Services, Inc. (a)

23,002

518,005

AmSurg Corp. (a)

12,681

312,079

Animal Health International, Inc.

5,300

65,985

Apria Healthcare Group, Inc. (a)

13,320

385,747

Assisted Living Concepts, Inc. Class A (a)

49,001

558,611

Bio-Reference Laboratories, Inc. (a)

13,966

363,675

BioScrip, Inc. (a)

8,518

35,690

Brookdale Senior Living, Inc. (d)

18,026

851,007

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Capital Senior Living Corp. (a)

30,965

$ 344,331

Cardinal Health, Inc.

173,472

12,569,781

Centene Corp. (a)

15,579

358,161

Chemed Corp.

11,292

756,564

CIGNA Corp.

44,530

7,464,564

Community Health Systems, Inc. (a)

34,685

1,322,192

Corvel Corp. (a)

2,959

81,195

Coventry Health Care, Inc. (a)

67,091

4,003,320

Cross Country Healthcare, Inc. (a)

7,031

122,410

Cryolife, Inc.

4,384

64,006

DaVita, Inc. (a)

46,247

2,554,222

Dialysis Corp. of America (a)

3,005

32,785

Express Scripts, Inc. (a)

47,904

4,890,998

Five Star Quality Care, Inc. (a)(d)

28,197

230,088

Genesis HealthCare Corp. (a)

10,566

721,658

Gentiva Health Services, Inc. (a)

8,630

176,742

Hanger Orthopedic Group, Inc. (a)

3,419

39,113

Health Management Associates, Inc. Class A

91,888

1,010,768

Health Net, Inc. (a)

49,000

2,796,920

HealthExtras, Inc. (a)

18,378

559,243

HealthSouth Corp. (a)(d)

27,400

568,824

Healthspring, Inc. (a)

18,277

446,324

Healthways, Inc. (a)

18,141

845,733

Henry Schein, Inc. (a)

32,962

1,764,456

HMS Holdings Corp. (a)

18,275

374,820

Hooper Holmes, Inc. (a)

7,290

26,463

Horizon Health Corp. (a)

16,558

331,326

Humana, Inc. (a)

70,833

4,395,188

InVentiv Health, Inc. (a)

17,853

672,344

Kindred Healthcare, Inc. (a)

17,467

558,944

Laboratory Corp. of America Holdings (a)

51,841

4,081,960

Landauer, Inc.

7,764

385,716

LCA-Vision, Inc.

7,643

345,846

LHC Group, Inc. (a)(d)

14,902

437,523

LifePoint Hospitals, Inc. (a)

24,276

985,363

Lincare Holdings, Inc. (a)

38,445

1,541,260

Magellan Health Services, Inc. (a)

16,053

719,174

Manor Care, Inc.

31,588

2,147,984

Matria Healthcare, Inc. (a)

15,369

491,808

McKesson Corp.

127,737

8,064,037

Medcath Corp. (a)

8,479

279,807

Medco Health Solutions, Inc. (a)

126,488

9,835,707

Medical Staffing Network Holdings, Inc. (a)

4,777

28,280

Molina Healthcare, Inc. (a)

5,873

187,760

MWI Veterinary Supply, Inc. (a)

10,005

385,793

National Healthcare Corp.

2,394

127,481

Nighthawk Radiology Holdings, Inc. (a)(d)

15,857

287,805

Odyssey Healthcare, Inc. (a)

14,808

192,060

Shares

Value

Omnicare, Inc.

55,706

$ 2,084,519

Option Care, Inc.

7,510

113,176

Owens & Minor, Inc.

13,189

468,210

Patterson Companies, Inc. (a)

51,726

1,940,760

PDI, Inc. (a)

1,588

16,658

Pediatrix Medical Group, Inc. (a)

17,497

1,008,177

Providence Service Corp. (a)(d)

15,408

415,554

PSS World Medical, Inc. (a)

35,751

670,331

Psychiatric Solutions, Inc. (a)

24,431

953,298

Quest Diagnostics, Inc.

66,437

3,256,742

Radiation Therapy Services, Inc. (a)(d)

9,129

252,143

RehabCare Group, Inc. (a)

15,055

237,568

ResCare, Inc. (a)

18,619

385,413

Rural/Metro Corp. (a)

7,404

51,754

Sierra Health Services, Inc. (a)

24,657

1,027,704

Skilled Healthcare Group, Inc.

3,461

54,788

SRI/Surgical Express, Inc. (a)

900

4,707

Sun Healthcare Group, Inc. (a)

24,223

346,389

Sunrise Senior Living, Inc. (a)(d)

16,767

656,596

Symbion, Inc. (a)

12,792

279,889

Tenet Healthcare Corp. (a)

228,588

1,588,687

Triad Hospitals, Inc. (a)(d)

34,860

1,865,359

U.S. Physical Therapy, Inc. (a)

3,075

42,712

UnitedHealth Group, Inc.

581,694

31,859,380

Universal Health Services, Inc. Class B

20,026

1,237,407

VCA Antech, Inc. (a)

37,728

1,493,274

VistaCare, Inc. Class A (a)

3,424

32,494

Wellcare Health Plans, Inc. (a)

15,442

1,421,282

WellPoint, Inc. (a)

267,345

21,764,556

177,038,318

Health Care Technology - 0.1%

A.D.A.M., Inc. (a)

1,800

11,700

Allscripts Healthcare Solutions, Inc. (a)(d)

21,614

530,840

AMICAS, Inc. (a)

9,737

30,574

Cerner Corp. (a)(d)

27,410

1,557,162

Computer Programs & Systems, Inc.

2,546

85,495

Eclipsys Corp. (a)

19,157

390,420

Emageon, Inc. (a)(d)

20,901

158,430

Health Corp. (a)

73,707

1,112,239

IMS Health, Inc.

82,527

2,698,633

Merge Technologies, Inc. (a)(d)

11,344

78,500

Omnicell, Inc. (a)

29,246

658,327

Phase Forward, Inc. (a)

23,819

391,584

ProxyMed, Inc. (a)

63

167

TriZetto Group, Inc. (a)

17,011

315,214

Vital Images, Inc. (a)

11,918

328,818

WebMD Health Corp. Class A (a)(d)

8,782

441,383

8,789,486

Life Sciences Tools & Services - 0.4%

Accelrys, Inc. (a)

4,972

31,821

Advanced Magnetics, Inc. (a)

8,266

521,337

Affymetrix, Inc. (a)

28,601

743,054

Albany Molecular Research, Inc. (a)

27,799

395,580

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

Alliance Pharmaceutical Corp. (a)

300

$ 30

Applera Corp.:

- Applied Biosystems Group

83,406

2,367,896

- Celera Genomics Group (a)

21,539

287,546

Bio-Rad Laboratories, Inc. Class A (a)

9,056

676,483

BioVeris Corp. (a)

6,768

144,700

Bruker BioSciences Corp. (a)

14,837

126,708

Caliper Life Sciences, Inc. (a)

5,632

25,907

Cambrex Corp.

21,547

267,829

Charles River Laboratories International, Inc. (a)

28,543

1,517,631

Ciphergen Biosystems, Inc. (a)

2,209

2,585

Covance, Inc. (a)

24,810

1,651,106

Cryo-Cell International, Inc. (a)

9,581

20,887

Dionex Corp. (a)(d)

12,755

904,330

Diversa Corp. (a)(d)

7,284

47,419

Enzo Biochem, Inc. (a)

17,097

277,997

eResearchTechnology, Inc. (a)

8,484

76,017

Exelixis, Inc. (a)

45,977

509,425

Gene Logic, Inc. (a)

4,200

6,132

Harvard Bioscience, Inc. (a)

786

4,064

Illumina, Inc. (a)(d)

22,715

741,190

Invitrogen Corp. (a)

19,940

1,444,454

Kendle International, Inc. (a)

3,463

119,577

Luminex Corp. (a)

12,155

150,844

Medivation, Inc. (a)(d)

20,015

351,664

Millipore Corp. (a)

23,832

1,781,919

Nanogen, Inc. (a)

1,100

1,463

Nektar Therapeutics (a)(d)

48,707

552,337

New Brunswick Scientific, Inc. (a)

3,873

30,635

PAREXEL International Corp. (a)

16,104

647,703

PerkinElmer, Inc.

49,185

1,303,894

Pharmaceutical Product Development, Inc.

41,120

1,500,880

PharmaNet Development Group, Inc. (a)

5,555

178,371

PRA International (a)

6,087

140,488

Sequenom, Inc. (a)

2,480

10,763

Techne Corp. (a)

17,057

1,018,132

Thermo Fisher Scientific, Inc. (a)

173,417

9,468,568

Third Wave Technologies, Inc. (a)

8,600

50,052

Tripos, Inc. (a)

2,100

1,659

Varian, Inc. (a)

15,040

885,104

Ventana Medical Systems, Inc. (a)

11,828

608,669

Waters Corp. (a)

44,583

2,688,355

34,283,205

Pharmaceuticals - 5.1%

Abbott Laboratories

665,808

37,518,281

Abraxis BioScience, Inc. (a)(d)

8,880

218,626

Acusphere, Inc. (a)

2,800

8,176

Adams Respiratory Therapeutics, Inc. (a)

13,979

640,238

Adolor Corp. (a)(d)

25,094

94,353

Shares

Value

Advancis Pharmaceutical Corp. (a)(d)

2,800

$ 8,400

Akorn, Inc. (a)(d)

30,000

210,300

Alexza Pharmaceuticals, Inc. (a)

13,000

125,840

Allergan, Inc.

65,688

8,180,127

Alpharma, Inc. Class A

16,165

392,810

Atherogenics, Inc. (a)(d)

6,856

16,386

AVANIR Pharmaceuticals Class A (a)(d)

21,996

76,106

Barr Pharmaceuticals, Inc. (a)

47,463

2,530,727

Bentley Pharmaceuticals, Inc. (a)

2,936

34,821

Bradley Pharmaceuticals, Inc. (a)

2,005

44,270

Bristol-Myers Squibb Co.

874,077

26,493,274

Collagenex Pharmaceuticals, Inc. (a)

2,627

27,820

Columbia Laboratories, Inc. (a)(d)

7,190

18,191

Cypress Bioscience, Inc. (a)

3,268

49,478

DepoMed, Inc. (a)(d)

8,176

35,729

Discovery Laboratories, Inc. (a)

3,800

12,882

Durect Corp. (a)

9,673

38,692

Eli Lilly & Co.

420,951

24,676,148

Emisphere Technologies, Inc. (a)(d)

3,941

15,567

Endo Pharmaceuticals Holdings, Inc. (a)

55,286

1,952,702

Forest Laboratories, Inc. (a)

137,372

6,966,134

Hi-Tech Pharmacal Co., Inc. (a)

2,015

23,777

Hollis-Eden Pharmaceuticals, Inc. (a)

1,300

3,302

Immtech Pharmaceuticals, Inc. (a)(d)

1,200

8,616

Inspire Pharmaceuticals, Inc. (a)

17,519

103,888

Johnson & Johnson

1,263,240

79,925,195

King Pharmaceuticals, Inc. (a)

110,765

2,352,649

KV Pharmaceutical Co. Class A (a)

25,710

694,170

Matrixx Initiatives, Inc. (a)(d)

3,709

74,217

Medicines Co. (a)

23,730

462,972

Medicis Pharmaceutical Corp. Class A

23,715

782,595

Merck & Co., Inc.

939,687

49,286,583

MGI Pharma, Inc. (a)

41,405

885,239

Mylan Laboratories, Inc.

108,642

2,147,852

Nastech Pharmaceutical Co., Inc. (a)(d)

25,476

306,731

NitroMed, Inc. (a)(d)

7,065

16,956

Noven Pharmaceuticals, Inc. (a)

16,093

377,381

Pain Therapeutics, Inc. (a)(d)

35,234

296,670

Par Pharmaceutical Companies, Inc. (a)

22,867

670,232

Penwest Pharmaceuticals Co. (a)(d)

3,340

43,420

Perrigo Co.

28,076

549,167

Pfizer, Inc.

3,075,584

84,547,804

Pharmos Corp. (a)

2,500

3,475

Pozen, Inc. (a)

20,149

318,153

Salix Pharmaceuticals Ltd. (a)(d)

14,324

190,366

Santarus, Inc. (a)(d)

14,630

86,024

Schering-Plough Corp.

633,308

20,734,504

Sciele Pharma, Inc. (a)(d)

14,633

361,728

Sepracor, Inc. (a)

48,585

2,366,090

Spectrum Pharmaceuticals, Inc. (a)

192

1,258

SuperGen, Inc. (a)

6,806

44,035

Valeant Pharmaceuticals International

38,701

611,089

ViroPharma, Inc. (a)

40,812

591,366

Vivus, Inc. (a)(d)

9,023

49,175

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Warner Chilcott Ltd.

26,338

$ 478,298

Watson Pharmaceuticals, Inc. (a)

45,396

1,400,921

Wyeth

577,683

33,413,185

Xenoport, Inc. (a)(d)

15,634

687,896

Zila, Inc. (a)

4,200

7,182

395,290,239

TOTAL HEALTH CARE

882,998,447

INDUSTRIALS - 11.0%

Aerospace & Defense - 2.1%

AAR Corp. (a)

25,963

843,798

AeroCentury Corp. (a)

800

12,960

AeroVironment, Inc.

3,200

66,432

Alliant Techsystems, Inc. (a)

13,367

1,350,067

Applied Signal Technology, Inc.

15,269

247,816

Argon ST, Inc. (a)

14,975

357,154

Armor Holdings, Inc. (a)

14,411

1,238,337

Astronics Corp. (a)

2,747

77,026

BE Aerospace, Inc. (a)

35,876

1,373,692

Ceradyne, Inc. (a)

12,988

877,599

Cubic Corp.

5,635

141,608

Curtiss-Wright Corp.

14,583

657,256

DRS Technologies, Inc.

12,970

666,010

Ducommun, Inc. (a)

3,105

77,532

DynCorp International, Inc. Class A

8,722

151,239

EDO Corp.

3,941

132,299

Esterline Technologies Corp. (a)

9,560

434,980

GenCorp, Inc. (non-vtg.) (a)(d)

32,091

430,340

General Dynamics Corp.

144,018

11,556,004

Goodrich Corp.

53,754

3,197,825

Heico Corp. Class A

5,890

210,803

Herley Industries, Inc. (a)

3,619

56,963

Hexcel Corp. (a)(d)

36,077

834,461

Honeywell International, Inc.

312,180

18,078,344

Innovative Solutions & Support, Inc. (a)(d)

23,580

619,682

Irvine Sensors Corp. (a)

430

602

K&F Industries Holdings, Inc. (a)

18,764

496,495

L-3 Communications Holdings, Inc.

52,365

4,988,290

Ladish Co., Inc. (a)

5,776

256,397

Lockheed Martin Corp.

143,118

14,039,876

Moog, Inc. Class A (a)

18,911

814,308

MTC Technologies, Inc. (a)

2,985

62,297

Northrop Grumman Corp.

136,501

10,320,841

Orbital Sciences Corp. (a)

33,015

680,439

Precision Castparts Corp.

58,091

6,945,360

Raytheon Co.

188,339

10,471,648

Rockwell Collins, Inc.

70,818

5,004,708

Spirit AeroSystems Holdings, Inc. Class A

25,869

903,087

Stanley, Inc.

649

11,656

Sypris Solutions, Inc.

3,224

26,598

Shares

Value

Taser International, Inc. (a)(d)

14,214

$ 149,816

Teledyne Technologies, Inc. (a)

9,982

459,971

The Boeing Co.

306,889

30,869,965

Triumph Group, Inc.

6,096

402,824

United Industrial Corp.

3,821

228,878

United Technologies Corp.

398,720

28,129,696

158,953,979

Air Freight & Logistics - 0.6%

ABX Air, Inc. (a)

17,036

107,668

Atlas Air Worldwide Holdings, Inc. (a)

5,919

347,031

C.H. Robinson Worldwide, Inc.

76,909

4,166,930

Dynamex, Inc. (a)

4,777

128,979

EGL, Inc. (a)

12,029

557,544

Expeditors International of Washington, Inc.

90,015

3,930,055

FedEx Corp.

123,141

13,744,998

Forward Air Corp.

10,568

359,418

Hub Group, Inc. Class A

17,492

646,854

Pacer International, Inc.

12,582

338,707

United Parcel Service, Inc. Class B

270,022

19,433,483

UTI Worldwide, Inc.

33,736

944,271

44,705,938

Airlines - 0.2%

AirTran Holdings, Inc. (a)(d)

59,829

741,281

Alaska Air Group, Inc. (a)

13,794

402,233

AMR Corp. (a)(d)

91,079

2,582,090

Continental Airlines, Inc. Class B (a)(d)

41,846

1,680,954

Delta Air Lines, Inc. (a)

104,000

1,981,200

ExpressJet Holdings, Inc. Class A (a)

42,661

264,072

Frontier Airlines Holdings, Inc. (a)(d)

54,601

331,428

Great Lakes Aviation Ltd. (a)

200

550

JetBlue Airways Corp. (a)(d)

57,484

619,678

MAIR Holdings, Inc. (a)

6,324

41,865

Mesa Air Group, Inc. (a)

12,128

85,502

Midwest Air Group, Inc. (a)

400

6,020

Pinnacle Airlines Corp. (a)

11,846

213,820

Republic Airways Holdings, Inc. (a)

14,499

338,842

SkyWest, Inc.

24,270

668,153

Southwest Airlines Co.

330,356

4,727,394

UAL Corp. (a)(d)

40,037

1,571,853

US Airways Group, Inc. (a)

26,575

947,399

17,204,334

Building Products - 0.2%

Aaon, Inc.

2,681

79,653

American Standard Companies, Inc.

72,785

4,351,087

American Woodmark Corp.

8,120

302,470

Ameron International Corp.

7,610

597,385

Apogee Enterprises, Inc.

7,704

189,672

Armstrong World Industries, Inc. (a)

10,073

564,390

Builders FirstSource, Inc. (a)

7,165

119,441

Goodman Global, Inc.

6,730

147,522

Griffon Corp. (a)

6,305

147,159

Insteel Industries, Inc. (d)

19,514

356,326

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - continued

International Smart Sourcing, Inc. (a)

2,500

$ 650

Lennox International, Inc.

31,284

1,071,477

Masco Corp.

169,546

5,121,985

NCI Building Systems, Inc. (a)(d)

8,960

460,634

Owens Corning (a)(d)

39,459

1,416,578

Patrick Industries, Inc. (a)

600

8,112

PW Eagle, Inc.

836

26,760

Simpson Manufacturing Co. Ltd. (d)

12,202

406,571

Trex Co., Inc. (a)(d)

1,672

33,440

Universal Forest Products, Inc.

10,472

503,494

USG Corp. (a)(d)

31,765

1,631,450

17,536,256

Commercial Services & Supplies - 1.0%

Ablest, Inc. (a)

1,000

10,880

ABM Industries, Inc.

37,140

1,096,001

ACCO Brands Corp. (a)

27,832

696,078

Administaff, Inc.

13,010

474,345

Advisory Board Co. (a)

12,085

629,266

Allied Waste Industries, Inc.

116,091

1,562,585

American Ecology Corp.

4,777

103,422

American Reprographics Co. (a)

18,051

555,971

Angelica Corp.

2,508

62,951

APAC Customer Services, Inc. (a)

4,300

13,416

Avery Dennison Corp.

38,645

2,522,359

Barrett Business Services, Inc.

2,508

62,976

Bowne & Co., Inc.

6,217

120,548

Brady Corp. Class A (a)

24,363

904,842

Casella Waste Systems, Inc. Class A (a)

27,789

297,898

CBIZ, Inc. (a)

9,995

74,763

CDI Corp.

7,155

239,263

Cenveo, Inc. (a)

19,834

484,148

ChoicePoint, Inc. (a)

36,754

1,612,030

Cintas Corp.

55,001

2,109,838

Clean Harbors, Inc.

7,762

364,736

Comfort Systems USA, Inc.

22,487

314,818

Comsys IT Partners, Inc. (a)

36

829

Consolidated Graphics, Inc. (a)

3,224

234,062

Copart, Inc. (a)

29,352

915,489

Cornell Companies, Inc. (a)

1,672

39,844

Corporate Executive Board Co.

16,125

1,072,474

Corrections Corp. of America (a)

24,498

1,587,470

CoStar Group, Inc. (a)

12,805

694,799

Covanta Holding Corp. (a)

48,574

1,204,635

CRA International, Inc. (a)

9,397

497,007

Deluxe Corp.

23,638

1,032,271

Diamond Management & Technology Consultants, Inc.

6,807

88,559

Dun & Bradstreet Corp.

25,319

2,535,191

Ennis, Inc.

4,422

105,686

Equifax, Inc.

55,258

2,322,494

Exponent, Inc. (a)

10,000

230,000

Shares

Value

First Consulting Group, Inc. (a)

5,881

$ 53,223

FTI Consulting, Inc. (a)(d)

17,622

653,424

Fuel Tech, Inc. (a)(d)

12,102

321,913

G&K Services, Inc. Class A

4,538

172,762

GeoEye, Inc. (a)

16,127

333,829

GP Strategies Corp. (a)

1,600

17,056

Healthcare Services Group, Inc.

4,568

127,310

Heidrick & Struggles International, Inc. (a)

9,033

440,268

Herman Miller, Inc.

26,976

971,136

HNI Corp.

13,525

595,912

Hudson Highland Group, Inc. (a)

6,919

149,312

Huron Consulting Group, Inc. (a)

19,198

1,315,447

ICT Group, Inc. (a)

4,570

86,145

IHS, Inc. Class A (a)

11,384

457,523

IKON Office Solutions, Inc.

57,292

834,744

InnerWorkings, Inc. (d)

33,190

441,095

Innotrac Corp. (a)

1,400

4,284

Interface, Inc. Class A

32,273

544,768

Intersections, Inc. (a)

8,825

91,604

Kelly Services, Inc. Class A (non-vtg.)

6,364

183,410

Kenexa Corp. (a)

14,889

580,820

Kforce, Inc. (a)

30,240

485,957

Knoll, Inc.

22,702

549,388

Korn/Ferry International (a)

16,218

421,830

Labor Ready, Inc. (a)

15,670

376,080

Layne Christensen Co. (a)

17,263

777,008

Learning Tree International, Inc. (a)

3,821

52,730

LECG Corp. (a)

11,382

168,454

M&F Worldwide Corp. (a)

6,380

435,690

Manpower, Inc.

36,094

3,320,648

McGrath RentCorp.

5,971

185,877

Mine Safety Appliances Co.

15,639

672,477

Mobile Mini, Inc. (a)

17,086

515,997

Monster Worldwide, Inc. (a)

51,088

2,411,864

Navigant Consulting, Inc. (a)

28,834

600,901

On Assignment, Inc. (a)

5,613

61,182

PeopleSupport, Inc. (a)(d)

8,359

101,227

PHH Corp. (a)

23,803

737,893

Pike Electric Corp. (a)

13,966

304,598

Pitney Bowes, Inc.

89,590

4,277,923

Protection One, Inc. (d)

1,019

15,581

R.R. Donnelley & Sons Co.

87,968

3,766,790

RCM Technologies, Inc. (a)

1,400

8,820

Republic Services, Inc.

78,685

2,382,582

Resources Connection, Inc. (a)

18,025

581,487

Robert Half International, Inc.

67,000

2,354,380

Rollins, Inc.

20,133

464,871

RSC Holdings, Inc.

7,954

159,478

SAIC, Inc.

42,860

863,629

Schawk, Inc. Class A

4,896

99,829

School Specialty, Inc. (a)

6,351

221,904

Sirva, Inc. (a)

5,080

14,478

Spherion Corp. (a)

12,430

122,436

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Spherix, Inc. (a)

2,713

$ 7,515

Standard Register Co.

7,404

88,182

Steelcase, Inc. Class A

18,779

364,688

Stericycle, Inc. (a)

17,896

1,631,578

TeamStaff, Inc. (a)

1,300

1,274

Teletech Holdings, Inc. (a)

10,211

359,223

Tetra Tech, Inc. (a)

27,267

601,510

The Brink's Co.

19,972

1,316,754

The Geo Group, Inc. (a)

7,165

390,493

TRC Companies, Inc. (a)

3,582

47,426

TRM Corp. (a)

1,400

1,988

United Stationers, Inc. (a)

13,432

901,153

Viad Corp.

5,252

233,031

Volt Information Sciences, Inc. (a)

2,508

62,274

Waste Connections, Inc. (a)

27,138

836,393

Waste Industries USA, Inc.

5,000

155,950

Waste Management, Inc.

228,406

8,832,460

Watson Wyatt Worldwide, Inc. Class A

20,550

1,059,764

79,655,574

Construction & Engineering - 0.3%

AECOM Technology Corp. (a)

15,816

362,186

EMCOR Group, Inc. (a)

11,643

763,664

Fluor Corp.

37,297

3,882,618

Foster Wheeler Ltd. (a)

28,616

2,962,901

Granite Construction, Inc.

13,217

905,232

Infrasource Services, Inc. (a)

18,537

671,039

Insituform Technologies, Inc.
Class A (a)(d)

21,456

452,507

Integrated Electrical Services, Inc. (a)

13,972

369,979

Jacobs Engineering Group, Inc. (a)

51,510

2,985,005

KBR, Inc.

65,182

1,794,460

Michael Baker Corp. (a)

5,000

171,200

Perini Corp. (a)

13,944

766,920

Quanta Services, Inc. (a)

44,730

1,342,347

Shaw Group, Inc. (a)

31,030

1,255,474

URS Corp. (a)

26,493

1,332,068

Washington Group International, Inc. (a)

14,800

1,243,200

21,260,800

Electrical Equipment - 0.6%

A.O. Smith Corp.

4,993

196,175

Active Power, Inc. (a)

10,509

17,865

Acuity Brands, Inc.

16,374

994,066

American Superconductor Corp. (a)(d)

45,910

796,079

AMETEK, Inc.

41,532

1,567,418

AZZ, Inc. (a)

2,866

97,301

Baldor Electric Co.

11,896

551,736

Beacon Power Corp. (a)

362

308

Belden CDT, Inc.

19,397

1,110,672

C&D Technologies, Inc. (a)

5,300

33,019

Capstone Turbine Corp. (a)(d)

15,524

14,903

Shares

Value

Chase Corp.

500

$ 14,545

Cooper Industries Ltd. Class A

80,218

4,298,080

Emerson Electric Co.

348,123

16,866,559

Encore Wire Corp. (d)

8,240

239,372

Energy Conversion Devices, Inc. (a)(d)

21,986

755,879

Energy Focus, Inc. (a)

3,941

29,558

EnerSys (a)

19,892

360,443

Espey Manufacturing & Electronics Corp.

1,488

34,373

Evergreen Solar, Inc. (a)(d)

43,826

367,262

First Solar, Inc.

12,106

823,692

Franklin Electric Co., Inc. (d)

6,926

326,492

FuelCell Energy, Inc. (d)

19,175

132,308

General Cable Corp.

19,154

1,305,345

Genlyte Group, Inc. (a)

12,658

1,102,765

GrafTech International Ltd. (a)

63,785

987,392

Hubbell, Inc. Class B

23,791

1,340,147

II-VI, Inc. (a)

14,172

393,273

Lamson & Sessions Co. (a)

2,747

76,724

LSI Industries, Inc.

12,688

193,619

MagneTek, Inc. (a)

3,582

17,838

Medis Technologies Ltd. (a)(d)

4,420

64,576

Merrimac Industries, Inc. (a)

500

4,950

Microvision, Inc. (a)(d)

3,976

22,027

Millennium Cell, Inc. (a)

300

207

Misonix, Inc. (a)

3,000

16,770

Nortech Systems, Inc. (a)

1,634

13,154

Plug Power, Inc. (a)(d)

25,662

75,960

Powell Industries, Inc. (a)

3,702

103,656

Power-One, Inc. (a)

23,022

84,261

Regal-Beloit Corp.

18,753

911,583

Rockwell Automation, Inc.

64,040

4,357,922

Roper Industries, Inc.

33,320

1,944,555

Satcon Technology Corp. (a)

1,200

1,404

SL Industries, Inc. (a)

2,508

41,884

Superior Essex, Inc. (a)

22,525

796,034

Tech/Ops Sevcon, Inc.

2,508

23,074

Thomas & Betts Corp. (a)

26,714

1,549,946

Ultralife Batteries, Inc. (a)

600

5,814

UQM Technologies, Inc. (a)

3,800

15,314

Valence Technology, Inc. (a)(d)

12,072

16,297

Valpey Fisher Corp. (a)

2,100

11,760

Vicor Corp.

5,067

60,145

Woodward Governor Co.

18,223

1,006,639

46,173,140

Industrial Conglomerates - 3.0%

3M Co.

294,225

25,880,031

Carlisle Companies, Inc.

27,638

1,220,218

General Electric Co.

4,447,371

167,132,202

McDermott International, Inc. (a)

47,929

3,738,462

Raven Industries, Inc. (d)

5,617

197,831

Sequa Corp. Class A (a)

4,149

456,390

Standex International Corp.

6,568

187,385

Teleflex, Inc.

16,053

1,289,056

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Industrial Conglomerates - continued

Textron, Inc.

46,391

$ 4,977,754

Tredegar Corp.

5,288

122,206

Tyco International Ltd.

849,074

28,325,109

Walter Industries, Inc.

17,984

578,905

234,105,549

Machinery - 1.9%

3D Systems Corp. (a)(d)

2,508

50,561

A.S.V., Inc. (a)(d)

7,950

139,364

Actuant Corp. Class A

13,509

751,506

AGCO Corp. (a)

37,908

1,640,658

Alamo Group, Inc.

200

5,078

Albany International Corp. Class A

17,700

692,424

American Railcar Industries, Inc.

9,774

392,035

American Science & Engineering, Inc. (a)(d)

4,657

252,316

Astec Industries, Inc. (a)

6,807

293,314

Axsys Technologies, Inc. (a)

1,433

29,735

Badger Meter, Inc.

7,471

191,930

Barnes Group, Inc.

30,587

902,011

Blount International, Inc. (a)

10,035

131,057

Briggs & Stratton Corp.

24,714

801,969

Bucyrus International, Inc. Class A

15,598

1,106,678

Cascade Corp.

6,065

413,027

Catalytica Energy Systems, Inc. (a)

7,900

12,403

Caterpillar, Inc.

277,561

21,810,743

Chart Industries, Inc.

625

14,381

Circor International, Inc.

5,868

224,099

CLARCOR, Inc.

25,118

839,444

Columbus McKinnon Corp.
(NY Shares) (a)

8,038

241,140

Commercial Vehicle Group, Inc. (a)

19,815

384,213

Crane Co.

25,260

1,103,609

Cummins, Inc.

39,524

3,724,347

Danaher Corp.

100,290

7,371,315

Deere & Co.

96,959

11,680,651

Donaldson Co., Inc.

29,664

1,083,626

Dover Corp.

84,074

4,207,904

Dynamic Materials Corp. (a)

10,162

368,373

Eaton Corp.

62,306

5,840,564

EnPro Industries, Inc. (a)

12,676

526,561

ESCO Technologies, Inc. (a)(d)

14,886

754,274

Federal Signal Corp.

15,349

250,803

Flanders Corp. (a)(d)

9,957

70,794

Flow International Corp. (a)

28,106

360,881

Flowserve Corp.

22,960

1,593,654

Force Protection, Inc. (a)(d)

27,300

784,056

FreightCar America, Inc.

8,359

413,185

Gardner Denver, Inc. (a)

22,940

944,899

Gehl Co. (a)

10,898

323,780

Gorman-Rupp Co.

8,199

276,306

Shares

Value

Graco, Inc.

24,037

$ 962,441

Greenbrier Companies, Inc. (d)

4,470

140,939

Harsco Corp.

34,602

1,842,903

Hirsch International Corp. Class A (a)

900

4,572

IDEX Corp.

35,190

1,326,663

Illinois Tool Works, Inc.

209,660

11,053,275

Ingersoll-Rand Co. Ltd. Class A

134,125

6,884,636

ITT Corp.

77,473

5,213,933

Joy Global, Inc.

45,116

2,554,919

Kadant, Inc. (a)

4,460

133,131

Kaydon Corp.

19,607

946,038

Kennametal, Inc.

14,126

1,086,572

Lincoln Electric Holdings, Inc.

16,998

1,194,789

Lindsay Corp.

2,491

85,566

Manitowoc Co., Inc.

24,294

1,840,999

Middleby Corp. (a)

4,471

554,538

Milacron, Inc. (a)

275

2,120

Miller Industries, Inc. (a)

360

8,806

Mueller Industries, Inc.

22,488

786,855

Mueller Water Products, Inc.:

Class A (d)

35,035

574,574

Class B

26,617

421,879

NACCO Industries, Inc. Class A

2,834

481,780

Nordson Corp.

11,937

620,605

Omega Flex, Inc.

300

6,243

Oshkosh Truck Co.

30,183

1,861,989

PACCAR, Inc.

106,841

9,319,740

Pall Corp.

51,547

2,306,728

Parker Hannifin Corp.

48,334

4,899,134

Pentair, Inc.

40,336

1,492,029

RBC Bearings, Inc. (a)

25,395

980,247

Robbins & Myers, Inc.

3,154

141,678

SPX Corp.

25,658

2,254,568

Sun Hydraulics Corp.

10,000

431,800

Tecumseh Products Co. Class A (non-vtg.) (a)(d)

21,767

347,619

Tennant Co.

7,549

245,493

Terex Corp. (a)

41,639

3,529,738

Timken Co.

32,405

1,139,360

Titan International, Inc.

15,739

496,408

Toro Co.

17,685

1,058,094

Trinity Industries, Inc. (d)

33,163

1,531,136

Twin Disc, Inc.

4,174

290,928

Valmont Industries, Inc.

9,529

671,699

Wabash National Corp.

10,432

152,620

Wabtec Corp.

24,838

972,656

Watts Water Technologies, Inc. Class A

14,756

559,252

146,411,360

Marine - 0.1%

Alexander & Baldwin, Inc.

16,551

885,313

American Commercial Lines, Inc. (a)

16,002

507,103

Eagle Bulk Shipping, Inc. (d)

38,563

859,184

Genco Shipping & Trading Ltd.

11,470

436,548

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Marine - continued

Horizon Lines, Inc. Class A

12,977

$ 447,447

Kirby Corp. (a)

17,712

708,834

3,844,429

Road & Rail - 0.8%

AMERCO (a)(d)

5,493

387,531

Arkansas Best Corp.

14,333

591,810

Avis Budget Group, Inc. (a)

44,638

1,350,300

Burlington Northern Santa Fe Corp.

155,482

14,480,039

Celadon Group, Inc. (a)

4,374

72,215

Con-way, Inc.

18,026

1,022,074

Covenant Transport, Inc. Class A (a)

2,866

32,300

CSX Corp.

184,535

8,385,270

Dollar Thrifty Automotive Group, Inc. (a)

11,579

538,192

Florida East Coast Industries, Inc. Class A

7,969

667,244

Genesee & Wyoming, Inc. Class A (a)

14,177

461,178

Heartland Express, Inc. (d)

37,647

631,340

Hertz Global Holdings, Inc.

47,954

1,015,666

J.B. Hunt Transport Services, Inc.

45,257

1,318,789

Kansas City Southern (d)

33,820

1,388,311

Knight Transportation, Inc.

16,053

300,673

Laidlaw International, Inc.

26,632

913,478

Landstar System, Inc.

26,102

1,270,123

Marten Transport Ltd. (a)

5,037

97,516

Norfolk Southern Corp.

171,252

9,912,066

Old Dominion Freight Lines, Inc. (a)

16,944

529,161

Quality Distribution, Inc. (a)

633

6,374

Ryder System, Inc.

25,403

1,369,730

Saia, Inc. (a)

3,559

101,752

U.S. Xpress Enterprises, Inc. Class A (a)

600

8,334

Union Pacific Corp.

114,593

13,829,083

Werner Enterprises, Inc.

20,088

388,301

YRC Worldwide, Inc. (a)

19,256

774,091

61,842,941

Trading Companies & Distributors - 0.2%

Aceto Corp.

5,986

52,797

Aircastle Ltd.

9,900

386,595

Applied Industrial Technologies, Inc.

16,649

487,150

Beacon Roofing Supply, Inc. (a)(d)

32,220

576,738

BlueLinx Corp.

10,747

122,623

Electro Rent Corp. (a)

2,627

37,855

Fastenal Co. (d)

62,710

2,717,851

GATX Corp.

15,194

781,731

H&E Equipment Services, Inc. (a)

6,730

175,788

Houston Wire & Cable Co.

12,212

349,630

Huttig Building Products, Inc. (a)

1,077

8,745

Interline Brands, Inc. (a)

22,560

552,269

Kaman Corp.

4,541

133,415

Lawson Products, Inc.

2,164

79,700

MSC Industrial Direct Co., Inc. Class A

16,354

875,920

NuCo2, Inc. (a)(d)

16,938

438,017

Shares

Value

Rush Enterprises, Inc. Class A (a)

8,240

$ 201,962

TAL International Group, Inc.

19,431

505,595

TransDigm Group, Inc. (a)

10,887

402,275

UAP Holding Corp.

16,705

492,129

United Rentals, Inc. (a)

31,929

1,071,218

W.W. Grainger, Inc.

32,365

2,849,738

Watsco, Inc.

7,213

455,934

WESCO International, Inc. (a)

22,077

1,431,031

Williams Scotsman International, Inc. (a)

20,363

467,534

Willis Lease Finance Corp.

1,200

13,500

15,667,740

Transportation Infrastructure - 0.0%

Macquarie Infrastructure Co. Trust

13,941

621,908

Quixote Corp.

700

12,929

634,837

TOTAL INDUSTRIALS

847,996,877

INFORMATION TECHNOLOGY - 14.7%

Communications Equipment - 2.3%

3Com Corp. (a)

209,846

982,079

ACE*COMM Corp. (a)

3,806

3,083

ADC Telecommunications, Inc. (a)

45,128

755,894

Adtran, Inc.

21,888

592,289

Alliance Fiber Optic Products, Inc. (a)

2,400

4,152

AltiGen Communications, Inc. (a)

3,200

5,312

Anaren, Inc. (a)

13,791

240,791

Andrew Corp. (a)

78,336

1,036,385

Arris Group, Inc. (a)

51,378

845,168

Avanex Corp. (a)(d)

34,921

59,016

Avaya, Inc. (a)

196,939

3,151,024

Avici Systems, Inc.

2,866

26,052

Avocent Corp. (a)

18,745

525,422

Aware, Inc. (a)

7,998

42,309

Bel Fuse, Inc. Class B (non-vtg.)

8,180

297,098

BigBand Networks, Inc.

20,235

349,661

Black Box Corp.

7,979

290,675

Blonder Tongue Laboratories, Inc. (a)

3,900

6,825

Blue Coat Systems, Inc. (a)(d)

3,560

156,604

Bookham, Inc. (a)

59,145

127,162

C-COR, Inc. (a)

12,758

186,777

Carrier Access Corp. (a)

3,702

14,734

Channell Commercial Corp. (a)

800

3,784

Ciena Corp. (a)(d)

36,348

1,247,463

Cisco Systems, Inc. (a)

2,630,541

70,814,164

Comarco, Inc. (a)

450

2,718

CommScope, Inc. (a)

26,424

1,446,186

Communications Systems, Inc.

2,718

26,854

Comtech Telecommunications Corp. (a)

6,020

269,515

Corning, Inc. (a)

680,773

17,019,325

Digi International, Inc. (a)

5,248

73,734

Ditech Networks, Inc. (a)

8,447

67,576

Dycom Industries, Inc. (a)

23,493

698,682

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

EFJ, Inc. (a)

99

$ 523

EMS Technologies, Inc. (a)

2,221

45,153

Entrada Networks, Inc. (a)

150

0

eOn Communications Corp. (a)

620

564

Extreme Networks, Inc. (a)

18,151

68,066

Ezenia!, Inc. (a)

200

258

F5 Networks, Inc. (a)

17,214

1,398,810

Finisar Corp. (a)(d)

146,618

532,223

Foundry Networks, Inc. (a)

59,479

956,422

Globecomm Systems, Inc. (a)

3,582

48,823

Harmonic, Inc. (a)

19,419

176,713

Harris Corp.

56,823

2,836,604

Harris Stratex Networks, Inc. (a)

18,880

322,848

Inter-Tel, Inc.

4,060

106,169

InterDigital Communication Corp. (a)

20,298

660,700

ISCO International, Inc. (a)

1,800

414

Ixia (a)

18,466

171,364

JDS Uniphase Corp. (a)(d)

90,042

1,179,550

Juniper Networks, Inc. (a)

243,097

5,933,998

KVH Industries, Inc. (a)

1,838

17,075

Lantronix, Inc. (a)

500

690

Loral Space & Communications Ltd. (a)

7,589

355,924

MasTec, Inc. (a)

15,448

209,938

Motorola, Inc.

1,046,639

19,038,363

MRV Communications, Inc. (a)(d)

107,785

354,613

NETGEAR, Inc. (a)

22,719

847,646

Network Engines, Inc. (a)

2,300

4,370

Network Equipment Technologies, Inc. (a)

4,299

44,925

Nextwave Wireless, Inc. (a)(d)

16,900

153,452

NMS Communications Corp. (a)

2,800

5,040

NumereX Corp. Class A (a)

3,105

32,447

Occam Networks, Inc. (a)

85

834

Oplink Communications, Inc. (a)

2,767

48,644

Opnext, Inc.

11,814

139,287

Optelecom Nkf, Inc. (a)

529

3,386

Optical Cable Corp. (a)

656

3,470

Optical Cable Corp. warrants 10/24/07 (a)

761

601

Optical Communication Products, Inc. (a)

6,920

10,311

Packeteer, Inc. (a)

5,266

54,029

Parkervision, Inc. (a)(d)

900

9,414

PC-Tel, Inc. (a)

2,627

25,640

Pegasus Wireless Corp. warrants 8/11/08 (a)

1,700

3

Performance Technologies, Inc. (a)

3,463

17,800

Plantronics, Inc.

29,154

708,442

Polycom, Inc. (a)

37,725

1,196,637

Powerwave Technologies, Inc. (a)(d)

39,478

251,870

QUALCOMM, Inc.

710,927

30,534,315

Riverbed Technology, Inc.

12,160

507,194

SCM Microsystems, Inc. (a)

600

2,382

Shares

Value

SeaChange International, Inc. (a)

5,553

$ 49,977

Sirenza Microdevices, Inc. (a)

5,417

57,420

Sonus Networks, Inc. (a)

123,339

1,069,349

Stratos International, Inc. (a)

1,058

8,295

Sycamore Networks, Inc. (a)

48,461

180,275

Symmetricom, Inc. (a)

9,258

75,268

Tekelec (a)

37,811

567,165

Tellabs, Inc. (a)

182,691

2,000,466

Telular Corp. (a)

2,100

8,631

Terabeam, Inc. (a)

610

1,305

ThinkEngine Networks, Inc. (a)

2,400

5,448

Tollgrade Communications, Inc. (a)

2,548

28,155

UTStarcom, Inc. (a)(d)

75,765

546,266

Veramark Technologies, Inc. (a)

2,300

1,725

ViaSat, Inc. (a)

15,135

490,223

Vyyo, Inc. (a)(d)

1,133

6,583

Wave Wireless Corp. (a)

36

0

Wegener Corp. (a)

3,500

3,920

Westell Technologies, Inc. Class A (a)

4,212

11,457

WJ Communications, Inc. (a)

3,700

6,475

Zhone Technologies, Inc. (a)

34,590

49,810

175,554,670

Computers & Peripherals - 3.2%

ActivIdentity Corp. (a)

55,312

248,904

Adaptec, Inc. (a)

86,311

351,286

Apple, Inc. (a)

370,688

45,060,833

Astro-Med, Inc.

5,359

61,629

Avid Technology, Inc. (a)(d)

17,053

581,507

Brocade Communications Systems, Inc. (a)

184,581

1,694,454

Concurrent Computer Corp. (a)

11,487

20,562

Cray, Inc. (a)

2,805

22,721

Datalink Corp. (a)

2,627

17,233

Dataram Corp.

3,881

17,270

Dell, Inc. (a)

868,717

23,342,426

Diebold, Inc.

28,270

1,401,627

Dot Hill Systems Corp. (a)

5,816

23,206

Electronics for Imaging, Inc. (a)

26,182

746,449

EMC Corp. (a)

946,242

15,982,027

Emulex Corp. (a)

30,000

665,700

FOCUS Enhancements, Inc. (a)

5,500

7,645

Gateway, Inc. (a)

77,821

139,300

Hauppauge Digital, Inc. (a)

500

2,770

Hewlett-Packard Co.

1,165,922

53,294,295

Hutchinson Technology, Inc. (a)

11,789

215,503

Hypercom Corp. (a)

9,287

56,186

Imation Corp.

16,714

633,628

Immersion Corp. (a)

36,085

439,876

InFocus Corp. (a)

6,448

15,862

Innovex, Inc. (a)

1,500

2,340

Intermec, Inc. (a)(d)

17,037

419,110

International Business Machines Corp.

652,579

69,564,921

Interphase Corp. (a)

2,276

21,690

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Iomega Corp. (a)

8,216

$ 35,082

Komag, Inc. (a)

11,671

283,138

LaserCard Corp. (a)(d)

2,369

28,665

Lexmark International, Inc. Class A (a)

41,126

2,135,673

MidgardXXI, Inc. (a)

10

0

Mobility Electronics, Inc. (a)

6,906

20,925

NCR Corp. (a)

75,823

4,069,420

Neoware, Inc. (a)

2,315

28,081

Network Appliance, Inc. (a)

163,833

5,273,784

Novatel Wireless, Inc. (a)

7,031

163,330

Overland Storage, Inc. (a)

2,079

6,154

Palm, Inc. (a)(d)

46,540

758,137

Presstek, Inc. (a)(d)

8,481

58,095

QLogic Corp. (a)

64,738

1,104,430

Quantum Corp. (a)

145,293

448,955

Rackable Systems, Inc. (a)(d)

10,523

127,644

Rimage Corp. (a)

7,000

195,860

SanDisk Corp. (a)

98,967

4,310,013

Scan-Optics, Inc. (a)

300

0

Seagate Technology

238,163

4,903,776

Socket Communications, Inc. (a)

3,300

2,904

STEC, Inc. (a)

9,195

57,009

Stratasys, Inc. (a)(d)

1,800

86,670

Sun Microsystems, Inc. (a)

1,586,055

8,088,881

Synaptics, Inc. (a)

15,141

477,850

Video Display Corp. (a)

3,439

27,134

ViewCast.com, Inc. (a)

13,700

5,617

Western Digital Corp. (a)

90,995

1,711,616

249,459,803

Electronic Equipment & Instruments - 0.7%

Acacia Research Corp. - Acacia Technologies (a)

35,320

479,292

Advanced Photonix, Inc. Class A (a)(d)

5,286

9,409

Aeroflex, Inc. (a)

42,525

601,304

Aetrium, Inc. (a)

2,400

10,992

Agilent Technologies, Inc. (a)

179,820

6,863,729

Agilysys, Inc.

6,807

147,848

Allied Motion Technologies, Inc. (a)

4,896

29,523

American Technical Ceramics Corp. (a)

2,269

33,400

American Technology Corp. (a)

900

3,393

Amphenol Corp. Class A

75,940

2,717,133

Anixter International, Inc. (a)(d)

15,110

1,116,025

APA Enterprises, Inc. (a)

2,800

3,556

Arrow Electronics, Inc. (a)

51,198

2,101,678

Avnet, Inc. (a)

64,749

2,773,847

AVX Corp.

28,540

513,435

Axcess, Inc. (a)

1,600

2,320

Bell Industries, Inc. (a)(d)

8,598

37,315

Bell Microproducts, Inc. (a)

4,156

26,765

Benchmark Electronics, Inc. (a)

28,779

636,304

Brightpoint, Inc. (a)

32,902

432,332

Shares

Value

Broadcast International, Inc. (a)

270

$ 246

CalAmp Corp. (a)

3,621

16,222

Cash Technologies, Inc. (a)

3,400

3,298

CDW Corp.

23,802

2,026,502

Checkpoint Systems, Inc. (a)

15,045

376,576

Chyron Corp. (a)

1,500

1,305

Cogent, Inc. (a)(d)

35,833

554,695

Cognex Corp.

28,237

664,417

Coherent, Inc. (a)

15,649

485,432

Color Kinetics, Inc. (a)(d)

14,745

432,029

CTS Corp.

21,333

256,423

CyberOptics Corp. (a)

850

11,679

Daktronics, Inc. (d)

18,380

440,385

Dolby Laboratories, Inc. Class A (a)

18,157

611,891

DTS, Inc. (a)

18,993

433,420

Echelon Corp. (a)(d)

5,229

91,194

Electro Scientific Industries, Inc. (a)

25,174

519,843

En Pointe Technologies, Inc. (a)

1,400

4,830

Excel Technology, Inc. (a)

12,952

349,963

FARO Technologies, Inc. (a)

4,416

146,567

FLIR Systems, Inc. (a)

29,078

1,202,666

Frequency Electronics, Inc.

500

5,270

Gerber Scientific, Inc. (a)

4,538

51,779

Giga-Tronics, Inc. (a)

3,000

5,220

GTSI Corp. (a)

2,376

31,458

IEC Electronics Corp. (a)

100

182

Ingram Micro, Inc. Class A (a)

61,627

1,276,911

InPlay Technologies, Inc. (a)

1,500

2,010

Insight Enterprises, Inc. (a)

30,442

674,595

Iteris, Inc. (a)

1,200

2,940

Itron, Inc. (a)

11,691

790,896

Jabil Circuit, Inc.

79,544

1,829,512

Jaco Electronics, Inc. (a)

1,950

4,758

Keithley Instruments, Inc.

11,433

151,716

KEMET Corp. (a)

62,217

477,827

L-1 Identity Solutions, Inc. (d)

38,528

823,729

LeCroy Corp. (a)

2,030

18,676

LightPath Technologies, Inc. Class A (a)

437

2,294

Littelfuse, Inc. (a)

19,009

761,881

LoJack Corp. (a)

4,299

94,492

Maxwell Technologies, Inc. (a)(d)

1,314

18,054

MDI, Inc. (a)(d)

3,700

5,883

Measurement Specialties, Inc. (a)

3,947

78,506

Mechanical Technology, Inc. (a)

4,800

6,000

Mercury Computer Systems, Inc. (a)

3,844

50,049

Merix Corp. (a)

1,450

10,846

Mesa Laboratories, Inc.

2,540

62,611

Methode Electronics, Inc. Class A

32,238

486,149

Mettler-Toledo International, Inc. (a)

17,105

1,681,422

Micronetics, Inc. (a)

1,137

9,289

MOCON, Inc.

2,570

30,069

Molex, Inc.

53,490

1,590,793

MTS Systems Corp.

10,980

482,132

Multi-Fineline Electronix, Inc. (a)(d)

2,695

46,031

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

National Instruments Corp.

25,922

$ 817,061

Newport Corp. (a)

27,067

403,840

Nexxus Lighting, Inc. (a)

2,100

11,424

NU Horizons Electronics Corp. (a)

4,122

49,876

OSI Systems, Inc. (a)

2,566

68,692

OYO Geospace Corp. (a)

1,552

117,269

Park Electrochemical Corp.

3,439

95,776

Paxar Corp. (a)

19,996

604,879

PC Connection, Inc. (a)

2,687

31,008

Photon Dynamics, Inc. (a)

2,665

29,182

Planar Systems, Inc. (a)

2,649

19,205

Plexus Corp. (a)

15,464

340,363

RadiSys Corp. (a)

4,060

54,891

Research Frontiers, Inc. (a)(d)

2,000

20,900

Richardson Electronics Ltd.

2,923

27,915

Rofin-Sinar Technologies, Inc. (a)

9,989

674,258

Rogers Corp. (a)

6,618

266,308

Sanmina-SCI Corp. (a)

234,908

838,622

ScanSource, Inc. (a)

12,961

375,610

Smart Modular Tech WWH, Inc. (a)

9,803

140,477

Solectron Corp. (a)

375,880

1,277,992

Spectrum Control, Inc. (a)

1,791

25,862

Staktek Holdings, Inc. (a)

558

1,540

StockerYale, Inc. (a)

1,200

1,716

Sunpower Corp. Class A (a)(d)

17,443

931,631

SYNNEX Corp. (a)

6,678

136,765

Tech Data Corp. (a)

23,430

863,630

Technitrol, Inc.

21,812

574,528

Tektronix, Inc.

35,693

1,080,427

Trimble Navigation Ltd. (a)

39,036

1,139,461

TTM Technologies, Inc. (a)

8,779

97,096

Universal Display Corp. (a)(d)

21,705

338,815

Vishay Intertechnology, Inc. (a)

57,778

1,029,604

X-Rite, Inc.

29,750

445,060

Zones, Inc. (a)

4,777

44,378

Zygo Corp. (a)

11,433

172,867

51,882,091

Internet Software & Services - 1.4%

24/7 Real Media, Inc. (a)(d)

33,567

394,077

Akamai Technologies, Inc. (a)(d)

70,336

3,109,555

aQuantive, Inc. (a)

26,398

1,683,928

Ariba, Inc. (a)

18,248

169,889

Art Technology Group, Inc. (a)

14,909

42,342

Autobytel, Inc. (a)

6,680

29,125

Bankrate, Inc. (a)(d)

3,680

160,080

Chordiant Software, Inc. (a)

6,787

96,036

CMGI, Inc. (a)

271,944

679,860

CNET Networks, Inc. (a)

69,923

634,202

Communication Intelligence Corp. (a)

3,800

741

CyberSource Corp. (a)

3,344

43,940

DealerTrack Holdings, Inc. (a)

17,942

647,527

Shares

Value

deltathree, Inc. (a)

500

$ 680

Digital River, Inc. (a)

15,878

816,447

DivX, Inc.

15,267

243,967

EarthLink, Inc. (a)

39,703

328,741

eBay, Inc. (a)

455,282

14,823,982

eCollege.com (a)

12,580

277,137

eGain Communications Corp. (a)

500

575

Entrust, Inc. (a)

9,434

38,774

Equinix, Inc. (a)(d)

10,569

923,519

Google, Inc. Class A (sub. vtg.) (a)

97,614

48,587,369

Greenfield Online, Inc. (a)

3,702

58,492

I-Many, Inc. (a)

5,700

12,084

iBasis, Inc. (a)

13,800

142,692

InfoSpace, Inc.

22,445

549,454

Innodata Isogen, Inc. (a)

10,986

41,417

Internap Network Services Corp. (a)

31,452

465,804

Internet America, Inc. (a)

4,200

1,092

Internet Capital Group, Inc. (a)

38,165

445,767

Internet Commerce Corp. Class A (a)

600

2,154

Interwoven, Inc. (a)

7,104

106,418

iPass, Inc. (a)(d)

26,101

138,857

j2 Global Communications, Inc. (a)(d)

25,850

861,581

Jupiter Media Metrix, Inc. (a)

4,711

0

Jupitermedia Corp. (a)

1,200

8,640

Keynote Systems, Inc. (a)

20,911

330,394

LookSmart Ltd. (a)

2,241

7,664

LoopNet, Inc.

612

12,540

LQ Corp., Inc. (a)

574

591

Marchex, Inc. Class B

7,407

114,734

MIVA, Inc. (a)

3,079

17,150

NaviSite, Inc. (a)

344

2,305

NetRatings, Inc. (a)

3,911

81,975

NIC, Inc.

5,017

28,346

Omniture, Inc. (d)

22,045

386,008

On2.Com, Inc. (a)(d)

22,666

70,038

Online Resources Corp. (a)

30,570

379,985

Onstream Media Corp. (a)

206

571

Openwave Systems, Inc. (a)(d)

28,230

290,769

Optio Software, Inc. (a)

3,000

3,960

Perficient, Inc. (a)

16,992

356,832

RealNetworks, Inc. (a)

49,719

421,120

S1 Corp. (a)

47,291

387,786

Saba Software, Inc. (a)

3,088

18,559

SAVVIS, Inc. (a)

8,287

415,925

Selectica, Inc. (a)

6,434

12,482

SonicWALL, Inc. (a)

15,630

129,104

Supportsoft, Inc. (a)

12,011

68,463

Switch & Data Facilities Co., Inc.

3,400

63,206

Terremark Worldwide, Inc. (a)(d)

7,893

58,329

The Knot, Inc. (a)

15,066

285,651

The Sedona Corp. (a)

6,100

1,525

TheStreet.com, Inc.

4,299

50,040

Tumbleweed Communications Corp. (a)

1,858

5,240

United Online, Inc.

21,373

364,623

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

ValueClick, Inc. (a)

51,354

$ 1,608,921

VeriSign, Inc. (a)

100,851

3,008,385

Vignette Corp. (a)

23,657

440,257

VistaPrint Ltd. (a)

12,385

496,267

Visual Sciences, Inc. (a)(d)

23,973

390,041

Web.com, Inc. (a)

1,108

5,507

webMethods, Inc. (a)

51,138

470,470

Websense, Inc. (a)

27,212

612,270

WorldGate Communications, Inc. (a)

1,300

754

Yahoo!, Inc. (a)

550,945

15,812,122

Zix Corp. (a)(d)

10,905

20,065

103,797,919

IT Services - 1.4%

Accenture Ltd. Class A

251,082

10,279,297

Acxiom Corp.

35,587

989,319

Affiliated Computer Services, Inc.
Class A (a)

41,380

2,414,523

Alliance Data Systems Corp. (a)

26,541

2,068,075

Answerthink, Inc. (a)

2,704

9,572

Applied Digital Solutions, Inc. (a)

2,397

3,284

Authorize.Net Holdings, Inc. (a)

4,958

81,113

Automatic Data Processing, Inc.

239,235

11,889,980

BearingPoint, Inc. (a)

87,831

649,071

Broadridge Financial Solutions, Inc. (a)

58,266

1,179,304

CACI International, Inc. Class A (a)

15,702

809,438

Ceridian Corp. (a)

61,863

2,188,094

CheckFree Corp. (a)

30,738

1,206,467

Ciber, Inc. (a)

8,945

79,700

Cognizant Technology Solutions Corp. Class A (a)

60,561

4,757,672

Computer Sciences Corp. (a)

74,698

4,138,269

Convergys Corp. (a)

56,164

1,445,661

Covansys Corp. (a)

10,298

347,969

CSG Systems International, Inc. (a)

20,682

574,960

CSP, Inc. (a)(d)

4,299

38,691

Direct Insite Corp. (a)

40

64

DST Systems, Inc. (a)(d)

22,371

1,873,124

Edgewater Technology, Inc. (a)

3,344

28,123

eFunds Corp. (a)

23,633

799,032

Electronic Data Systems Corp.

221,788

6,389,712

eLoyalty Corp.

5,011

126,929

ePresence, Inc. (a)

600

0

Euronet Worldwide, Inc. (a)(d)

13,770

370,000

Fidelity National Information Services, Inc.

122,251

6,591,774

First Data Corp.

324,614

10,614,878

Fiserv, Inc. (a)

76,584

4,537,602

Forrester Research, Inc. (a)

9,538

258,671

Gartner, Inc. Class A (a)

26,398

727,529

Gevity HR, Inc.

5,103

107,163

Global Cash Access Holdings, Inc. (a)

20,102

326,658

Shares

Value

Global Payments, Inc.

31,439

$ 1,258,818

Heartland Payment Systems, Inc. (d)

15,286

389,029

Hewitt Associates, Inc. Class A (a)

48,424

1,453,688

iGate Corp. (a)

5,233

37,678

Infocrossing, Inc. (a)(d)

15,112

275,794

Inforte Corp. (a)

640

2,675

infoUSA, Inc.

16,201

173,027

Integral Systems, Inc.

4,431

113,434

Iron Mountain, Inc. (a)

70,412

1,935,626

Keane, Inc. (a)

35,538

504,284

Lionbridge Technologies, Inc. (a)

21,896

131,595

ManTech International Corp. Class A (a)

8,762

280,209

Mastercard, Inc. Class A

26,748

4,000,163

Maximus, Inc.

17,751

767,198

MoneyGram International, Inc.

38,044

1,108,602

MPS Group, Inc. (a)

54,337

747,134

New Century Equity Holdings Corp.

1,200

302

Paychex, Inc.

148,895

6,015,358

Perot Systems Corp. Class A (a)

26,837

458,376

PFSweb, Inc. (a)

9,924

9,626

RightNow Technologies, Inc. (a)

665

10,361

Safeguard Scientifics, Inc. (a)

143,814

378,231

Sapient Corp. (a)

39,014

292,605

SI International, Inc. (a)

2,710

85,501

SM&A (a)

4,601

32,115

SRA International, Inc. Class A (a)

17,782

451,485

StarTek, Inc.

2,269

23,688

Storage Engine, Inc. (a)

434

4

Sykes Enterprises, Inc. (a)

7,284

141,892

Syntel, Inc.

6,687

231,504

Technology Solutions Co. (a)

455

3,312

The BISYS Group, Inc. (a)

51,744

607,992

The Management Network Group, Inc. (a)

1,200

2,340

The Western Union Co.

332,558

7,465,927

TNS, Inc.

21,195

251,585

Total System Services, Inc. (d)

22,550

748,435

TSR, Inc.

100

393

Tyler Technologies, Inc. (a)

7,594

92,115

Unisys Corp. (a)

131,891

1,097,333

VeriFone Holdings, Inc. (a)

28,844

998,868

Wright Express Corp. (a)

23,382

820,007

111,300,027

Office Electronics - 0.1%

Xerox Corp. (a)

408,880

7,715,566

Zebra Technologies Corp. Class A (a)

31,763

1,274,014

8,989,580

Semiconductors & Semiconductor Equipment - 2.5%

8X8, Inc. (a)(d)

1,000

1,440

Actel Corp. (a)

4,572

63,871

Advanced Analogic Technologies, Inc. (a)

28,971

256,683

Advanced Energy Industries, Inc. (a)

21,532

528,395

Advanced Micro Devices, Inc. (a)(d)

237,615

3,390,766

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

AEHR Test Systems (a)

3,637

$ 22,004

Altera Corp.

155,889

3,555,828

AMIS Holdings, Inc. (a)

47,864

611,702

Amkor Technology, Inc. (a)

33,706

479,299

Amtech Systems, Inc. (a)

4,180

33,482

ANADIGICS, Inc. (a)(d)

46,131

580,789

Analog Devices, Inc.

156,064

5,651,077

Applied Materials, Inc.

600,683

11,473,045

Applied Micro Circuits Corp. (a)

178,361

501,194

Asyst Technologies, Inc. (a)

6,605

47,424

Atheros Communications, Inc. (a)

20,760

604,324

Atmel Corp. (a)

212,180

1,186,086

ATMI, Inc. (a)

20,924

639,228

Axcelis Technologies, Inc. (a)

26,723

171,829

AXT, Inc. (a)

6,090

23,447

Broadcom Corp. Class A (a)

192,822

5,892,640

Brooks Automation, Inc. (a)

54,086

956,781

Cabot Microelectronics Corp. (a)(d)

8,009

267,981

California Micro Devices Corp. (a)

1,400

6,818

Centillium Communications, Inc. (a)

3,503

7,707

Ceva, Inc. (a)

3,705

27,417

Cirrus Logic, Inc. (a)

72,913

564,347

Cohu, Inc.

4,269

87,258

Conexant Systems, Inc. (a)(d)

158,040

203,872

Credence Systems Corp. (a)

36,936

122,628

Cree, Inc. (a)(d)

26,760

602,100

Cymer, Inc. (a)

12,474

500,706

Cypress Semiconductor Corp. (a)

64,504

1,384,901

Diodes, Inc. (a)

5,180

191,608

DSP Group, Inc. (a)

29,152

635,222

Electroglas, Inc. (a)

5,581

12,111

EMCORE Corp. (a)(d)

3,401

16,495

Entegris, Inc. (a)

50,797

584,166

ESS Technology, Inc. (a)

6,403

8,772

Exar Corp. (a)

31,629

429,838

Fairchild Semiconductor International, Inc. (a)

50,510

930,394

FEI Co. (a)

16,764

621,944

FormFactor, Inc. (a)

20,616

820,104

FSI International, Inc. (a)

5,015

21,815

Genesis Microchip, Inc. (a)

9,025

78,337

Hi/fn, Inc. (a)

1,922

11,417

Hittite Microwave Corp. (a)

10,757

437,272

Ibis Technology Corp. (a)

2,229

3,210

Ikanos Communications, Inc. (a)

40,760

291,026

Integrated Device Technology, Inc. (a)

90,139

1,352,986

Integrated Silicon Solution, Inc. (a)

5,041

28,683

Intel Corp.

2,509,664

55,639,251

International Rectifier Corp. (a)

33,427

1,211,060

Intersil Corp. Class A

52,088

1,567,849

Intest Corp. (a)

2,530

11,562

Shares

Value

Intevac, Inc. (a)

15,683

$ 302,525

IXYS Corp. (a)

4,418

41,308

KLA-Tencor Corp.

85,027

4,674,784

Kopin Corp. (a)

11,225

40,186

Kulicke & Soffa Industries, Inc. (a)

9,508

90,992

Lam Research Corp. (a)

60,735

3,259,040

Lattice Semiconductor Corp. (a)

25,736

135,629

Leadis Technology, Inc. (a)

8,517

31,087

Linear Technology Corp.

127,495

4,575,796

LSI Logic Corp. (a)

316,140

2,744,095

LTX Corp. (a)

9,783

57,231

Marvell Technology Group Ltd. (a)

198,358

3,118,188

Mattson Technology, Inc. (a)

8,822

86,985

Maxim Integrated Products, Inc.

140,067

4,307,060

MEMC Electronic Materials, Inc. (a)

71,815

4,364,916

Micrel, Inc.

15,707

195,709

Micro Component Technology, Inc. (a)

4,500

1,260

Microchip Technology, Inc.

91,090

3,696,432

Micron Technology, Inc. (a)

337,369

4,109,154

Microsemi Corp. (a)(d)

27,037

623,203

Microtune, Inc. (a)

70,701

361,282

Mindspeed Technologies, Inc. (a)

30,106

65,631

MIPS Technologies, Inc. (a)

7,762

68,616

MKS Instruments, Inc. (a)

15,509

422,620

MoSys, Inc. (a)(d)

5,107

41,162

Nanometrics, Inc. (a)

800

4,952

National Semiconductor Corp.

139,497

3,755,259

NeoMagic Corp. (a)

200

658

Netlogic Microsystems, Inc. (a)(d)

7,321

225,780

Novellus Systems, Inc. (a)

54,768

1,680,830

NVIDIA Corp. (a)

147,306

5,107,099

Omnivision Technologies, Inc. (a)(d)

17,309

280,406

ON Semiconductor Corp. (a)(d)

125,026

1,342,779

PDF Solutions, Inc. (a)

5,015

49,498

Pericom Semiconductor Corp. (a)

5,374

58,899

Photronics, Inc. (a)

15,942

234,347

Pixelworks, Inc. (a)

6,687

9,161

PLX Technology, Inc. (a)

4,640

50,530

PMC-Sierra, Inc. (a)(d)

93,108

717,863

QuickLogic Corp. (a)

5,724

16,428

Rambus, Inc. (a)

45,568

860,324

Ramtron International Corp. (a)

5,613

19,140

RF Micro Devices, Inc. (a)

71,665

467,972

Rudolph Technologies, Inc. (a)

4,324

69,357

Semitool, Inc. (a)

5,613

55,793

Semtech Corp. (a)

44,783

745,637

Sigma Designs, Inc. (a)(d)

14,725

411,269

SigmaTel, Inc. (a)

4,765

15,725

Silicon Image, Inc. (a)

21,715

181,972

Silicon Laboratories, Inc. (a)

26,967

933,598

Silicon Storage Technology, Inc. (a)

22,297

88,073

SiRF Technology Holdings, Inc. (a)

18,743

406,723

Skyworks Solutions, Inc. (a)

76,048

539,180

Spansion, Inc. Class A (a)

29,375

319,600

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

SRS Labs, Inc. (a)

3,224

$ 48,070

Standard Microsystems Corp. (a)

15,940

494,459

Supertex, Inc. (a)

2,545

85,334

Tegal Corp. (a)

508

2,372

Teradyne, Inc. (a)

72,864

1,240,145

Tessera Technologies, Inc. (a)

22,178

1,008,434

Texas Instruments, Inc.

636,745

22,515,303

Transwitch Corp. (a)(d)

17,260

29,687

Trident Microsystems, Inc. (a)

25,747

525,239

Trio-Tech International (d)

4,299

82,455

TriQuint Semiconductor, Inc. (a)

118,241

624,312

Ultratech, Inc. (a)

4,385

58,540

Varian Semiconductor Equipment Associates, Inc. (a)

37,650

1,586,948

Veeco Instruments, Inc. (a)

5,015

90,872

Virage Logic Corp. (a)

3,759

26,990

Volterra Semiconductor Corp. (a)(d)

6,029

94,776

White Electronic Designs Corp. (a)

3,800

22,192

Xilinx, Inc.

137,630

3,919,702

Zoran Corp. (a)

21,434

431,466

194,303,230

Software - 3.1%

Activision, Inc. (a)

127,164

2,516,576

Actuate Corp. (a)

53,146

329,505

Adept Technology, Inc. (a)

680

5,202

Adobe Systems, Inc. (a)

251,200

11,072,896

Advent Software, Inc. (a)

4,896

176,501

Agile Software Corp. (a)

27,269

218,697

American Software, Inc. Class A (a)

4,418

42,678

Ansoft Corp. (a)

1,194

38,256

Ansys, Inc. (a)

11,482

644,829

Applix, Inc. (a)

3,105

48,283

ARI Network Services, Inc. (a)

2,800

5,040

Aspen Technology, Inc. (a)

34,011

505,403

Atari, Inc. (a)

3,436

10,652

Authentidate Holding Corp. (a)

1,900

2,907

Autodesk, Inc. (a)

96,355

4,379,335

BEA Systems, Inc. (a)

169,917

2,183,433

Bitstream, Inc. Class A (a)

6,051

50,405

Blackbaud, Inc.

30,457

721,526

Blackboard, Inc. (a)

20,402

839,542

BMC Software, Inc. (a)

84,425

2,797,845

Borland Software Corp. (a)(d)

26,015

155,049

Bottomline Technologies, Inc. (a)

26,416

334,955

BSQUARE Corp. (a)

300

1,746

CA, Inc.

184,275

4,888,816

Cadence Design Systems, Inc. (a)(d)

120,452

2,735,465

CAM Commerce Solutions, Inc.

2,747

76,476

Captaris, Inc. (a)

8,598

44,280

Catapult Communications Corp. (a)

1,791

18,143

Citrix Systems, Inc. (a)

80,646

2,710,512

Shares

Value

CommVault Systems, Inc.

18,589

$ 311,552

Compuware Corp. (a)

149,829

1,702,057

Concur Technologies, Inc. (a)

23,704

472,184

Convera Corp. Class A (a)(d)

2,323

9,896

Datawatch Corp. (a)

2,268

11,113

Digimarc Corp. (a)

1,730

16,297

Dynamics Research Corp. (a)

2,841

37,189

Electronic Arts, Inc. (a)

130,971

6,400,553

Embarcadero Technologies, Inc. (a)

2,866

20,463

Epicor Software Corp. (a)

10,026

145,176

EPIQ Systems, Inc. (a)(d)

3,759

99,238

ePlus, Inc. (a)

1,200

11,688

eSpeed, Inc. Class A (a)

5,678

51,670

FactSet Research Systems, Inc.

18,006

1,149,323

Fair Isaac Corp.

24,213

916,462

FalconStor Software, Inc. (a)

3,941

42,760

GraphOn Corp. (a)

4,200

714

GSE Systems, Inc. (a)

452

3,051

i2 Technologies, Inc. (a)(d)

13,978

262,227

Informatica Corp. (a)

51,545

786,577

Interactive Intelligence, Inc. (a)

2,508

49,357

Intervoice, Inc. (a)

13,560

106,853

Intuit, Inc. (a)

132,280

4,034,540

Jack Henry & Associates, Inc.

32,852

868,935

JDA Software Group, Inc. (a)

26,690

485,491

Kronos, Inc. (a)

19,286

1,056,680

Lawson Software, Inc. (a)(d)

77,423

710,743

Macrovision Corp. (a)

27,780

776,451

Magma Design Automation, Inc. (a)

5,493

81,406

Manhattan Associates, Inc. (a)

9,371

272,321

McAfee, Inc. (a)

70,474

2,590,624

Mentor Graphics Corp. (a)

24,936

355,587

MICROS Systems, Inc. (a)

16,242

901,269

Microsoft Corp.

3,787,869

116,173,942

MicroStrategy, Inc. Class A (a)

4,892

507,887

Midway Games, Inc. (a)(d)

8,708

54,947

Mobius Management Systems, Inc. (a)

6,846

68,460

Moldflow Corp. (a)

3,162

69,943

MSC.Software Corp. (a)

20,093

266,433

Napster, Inc. (a)

4,053

15,199

NAVTEQ Corp. (a)

38,381

1,643,858

NetManage, Inc. (a)

1,157

5,820

NetScout Systems, Inc. (a)

9,157

74,080

NetSol Technologies, Inc. (a)

20

33

Novell, Inc. (a)

129,505

1,012,729

Nuance Communications, Inc. (a)(d)

61,035

1,021,116

Opnet Technologies, Inc. (a)

5,444

61,354

Opsware, Inc. (a)(d)

29,811

269,790

Oracle Corp. (a)

1,713,118

33,200,227

Parametric Technology Corp. (a)

48,969

914,741

Peerless Systems Corp. (a)

200

502

Pegasystems, Inc.

4,263

45,827

Pervasive Software, Inc. (a)

4,889

21,512

Phoenix Technologies Ltd. (a)

3,582

29,444

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Plato Learning, Inc. (a)

2,149

$ 9,971

Progress Software Corp. (a)

14,011

460,401

QAD, Inc.

4,871

40,527

Quality Systems, Inc. (d)

4,313

176,617

Quest Software, Inc. (a)

17,355

298,853

Quovadx, Inc. (a)

9,015

28,037

Radiant Systems, Inc. (a)

3,224

43,395

Red Hat, Inc. (a)

77,044

1,892,201

Renaissance Learning, Inc.

5,254

61,840

Salesforce.com, Inc. (a)

35,410

1,673,123

SCO Group, Inc. (a)

3,132

3,790

Secure Computing Corp. (a)

45,298

345,171

Smith Micro Software, Inc. (a)

4,403

69,259

Solera Holdings, Inc.

11,753

207,440

Sonic Foundry, Inc. (a)

1,800

4,320

Sonic Solutions, Inc. (a)

21,391

275,944

Sourcefire, Inc.

3,343

45,966

SourceForge, Inc. (a)

13,735

60,846

SPSS, Inc. (a)

15,192

668,600

StorageNetworks, Inc. (a)

13,600

0

SumTotal Systems, Inc. (a)

682

5,401

Sybase, Inc. (a)

33,410

803,845

Symantec Corp. (a)

398,806

7,972,132

Synopsys, Inc. (a)

60,758

1,611,302

Synplicity, Inc. (a)

300

1,932

Take-Two Interactive Software, Inc. (a)(d)

40,097

825,597

TenFold Corp. (a)

2,690

1,049

THQ, Inc. (a)

26,897

917,188

TIBCO Software, Inc. (a)

102,805

927,301

Transaction Systems Architects, Inc.
Class A (a)

14,442

491,750

Ultimate Software Group, Inc. (a)

6,598

186,657

Vasco Data Security International, Inc. (a)

22,415

510,390

Versant Corp. (a)

320

6,624

Vertical Communications, Inc. (a)

533

426

Voxware, Inc. (a)

63

399

Wave Systems Corp. Class A (a)

700

1,505

Wayside Technology Group, Inc.

1,433

22,699

Wind River Systems, Inc. (a)

35,161

373,058

238,778,800

TOTAL INFORMATION TECHNOLOGY

1,134,066,120

MATERIALS - 3.4%

Chemicals - 1.6%

A. Schulman, Inc.

16,718

404,408

Air Products & Chemicals, Inc.

85,046

6,632,738

Airgas, Inc.

28,629

1,220,741

Albemarle Corp.

26,964

1,095,817

American Pacific Corp. (a)

800

13,176

Shares

Value

American Vanguard Corp. (d)

9,611

$ 132,536

Arch Chemicals, Inc.

11,254

395,691

Ashland, Inc.

24,129

1,455,461

Atlantis Plastics, Inc. Class A (a)

600

2,568

Balchem Corp.

13,014

229,567

Cabot Corp.

29,397

1,420,169

Calgon Carbon Corp. (a)(d)

36,144

366,139

Celanese Corp. Class A

59,436

2,162,876

CF Industries Holdings, Inc.

26,664

1,192,681

Chemtura Corp.

109,513

1,192,597

Cytec Industries, Inc.

12,647

751,864

Dow Chemical Co.

417,598

18,950,597

E.I. du Pont de Nemours & Co.

401,351

20,998,684

Eastman Chemical Co.

35,613

2,356,156

Ecolab, Inc.

74,519

3,215,495

Eden Bioscience Corp. (a)

2,790

2,957

Ferro Corp.

18,316

435,371

FMC Corp.

13,624

1,139,784

Georgia Gulf Corp. (d)

20,139

347,599

H.B. Fuller Co.

28,660

780,985

Hawkins, Inc.

6,199

91,745

Hercules, Inc. (a)

39,866

750,677

Huntsman Corp.

41,802

836,040

International Flavors & Fragrances, Inc.

34,855

1,789,107

Koppers Holdings, Inc.

8,700

279,879

Kronos Worldwide, Inc.

87

2,724

Landec Corp. (a)

21,495

292,977

Lubrizol Corp.

28,420

1,867,762

Lyondell Chemical Co.

98,438

3,658,940

Material Sciences Corp. (a)

1,552

16,482

Minerals Technologies, Inc.

8,660

550,863

Monsanto Co.

231,716

14,273,706

Nalco Holding Co.

49,849

1,317,509

Nanophase Technologies Corp. (a)(d)

4,415

27,991

NewMarket Corp.

8,586

410,840

NL Industries, Inc.

6,360

68,052

Olin Corp.

40,214

813,931

OM Group, Inc. (a)

16,631

1,039,604

OMNOVA Solutions, Inc. (a)

3,702

20,768

Penford Corp.

600

11,454

Pioneer Companies, Inc. (a)

5,971

205,522

PolyOne Corp. (a)

34,189

243,768

PPG Industries, Inc.

71,507

5,448,118

Praxair, Inc.

138,966

9,462,195

Quaker Chemical Corp.

836

20,022

Rockwood Holdings, Inc. (a)

19,618

629,542

Rohm & Haas Co.

58,233

3,086,931

RPM International, Inc.

44,332

1,007,223

Sensient Technologies Corp.

13,223

344,327

Sigma Aldrich Corp.

51,131

2,212,950

Spartech Corp.

13,865

371,582

Stepan Co.

836

25,573

Symyx Technologies, Inc. (a)

19,320

202,667

Terra Industries, Inc. (d)

47,555

922,091

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Terra Nitrogen Co. LP

3,770

$ 321,883

The Mosaic Co.

61,464

2,159,230

The Scotts Miracle-Gro Co. Class A

16,958

780,746

Tronox, Inc. Class A

31,374

441,746

Valspar Corp.

39,915

1,153,144

W.R. Grace & Co. (a)(d)

29,582

800,785

Wellman, Inc.

2,274

8,004

Westlake Chemical Corp.

10,398

291,664

Zoltek Companies, Inc. (a)(d)

13,761

518,102

125,675,523

Construction Materials - 0.2%

Eagle Materials, Inc.

21,380

1,072,635

Florida Rock Industries, Inc.

21,199

1,442,804

Headwaters, Inc. (a)(d)

13,170

259,712

Martin Marietta Materials, Inc.

18,966

2,948,075

Texas Industries, Inc.

10,089

877,541

U.S. Concrete, Inc. (a)

30,514

269,744

Vulcan Materials Co.

36,551

4,374,789

11,245,300

Containers & Packaging - 0.3%

AEP Industries, Inc. (a)

4,716

210,522

Aptargroup, Inc.

30,848

1,158,651

Ball Corp.

40,637

2,249,664

Bemis Co., Inc.

35,746

1,202,138

Caraustar Industries, Inc. (a)

6,248

37,051

Chesapeake Corp.

13,027

174,171

Crown Holdings, Inc. (a)

66,968

1,669,512

Graphic Packaging Corp. (a)

22,196

109,648

Greif Brothers Corp. Class A

16,522

919,615

MOD-PAC Corp. (sub. vtg.) (a)

1,150

11,362

Myers Industries, Inc.

14,920

330,776

Owens-Illinois, Inc.

62,709

2,132,106

Packaging Corp. of America

29,091

752,293

Pactiv Corp. (a)

53,596

1,820,656

Rock-Tenn Co. Class A

21,495

750,605

Sealed Air Corp.

72,507

2,341,976

Silgan Holdings, Inc.

7,643

441,154

Smurfit-Stone Container Corp.

115,579

1,494,436

Sonoco Products Co.

39,588

1,714,160

Temple-Inland, Inc.

45,713

2,879,919

22,400,415

Metals & Mining - 1.0%

A.M. Castle & Co.

9,744

360,528

AK Steel Holding Corp. (a)(d)

49,292

1,711,418

Alcoa, Inc.

376,844

15,556,120

Allegheny Technologies, Inc.

41,466

4,793,055

Amcol International Corp.

4,569

113,631

Brush Engineered Materials, Inc. (a)

5,620

301,513

Carpenter Technology Corp.

10,169

1,348,104

Century Aluminum Co. (a)

7,523

423,846

Shares

Value

Chaparral Steel Co.

15,402

$ 1,127,426

Cleveland-Cliffs, Inc. (d)

13,984

1,234,647

Coeur d'Alene Mines Corp. (a)(d)

91,517

330,376

Commercial Metals Co.

47,831

1,681,260

Compass Minerals International, Inc.

13,248

452,419

Freeport-McMoRan Copper & Gold, Inc. Class B

160,387

12,622,457

Gibraltar Industries, Inc.

13,833

297,963

Haynes International, Inc. (a)

4,447

394,271

Hecla Mining Co.

61,413

491,304

Kaiser Aluminum Corp. (a)

5,374

409,768

Meridian Gold, Inc. (a)

45,975

1,179,259

Metal Management, Inc.

11,942

578,232

Newmont Mining Corp.

187,878

7,642,877

NN, Inc.

14,100

177,378

Northwest Pipe Co. (a)

12,239

441,828

Nucor Corp.

117,177

7,914,135

Quanex Corp.

13,123

629,117

Reliance Steel & Aluminum Co.

27,169

1,667,362

Royal Gold, Inc. (d)

8,028

216,274

RTI International Metals, Inc. (a)

9,156

812,595

Ryerson Tull, Inc. (d)

18,740

710,808

Schnitzer Steel Industries, Inc. Class A

7,674

415,931

Southern Copper Corp. (d)

29,889

2,650,557

Steel Dynamics, Inc.

39,573

1,855,974

Steel Technologies, Inc.

3,105

93,057

Stillwater Mining Co. (a)

19,745

250,762

Synalloy Corp.

700

26,152

Titanium Metals Corp. (d)

56,098

1,940,991

United States Steel Corp.

50,238

5,684,932

Universal Stainless & Alloy Products, Inc. (a)

3,224

135,311

Wheeling Pittsburgh Corp. (a)

2,763

60,786

Worthington Industries, Inc.

27,749

585,781

79,320,205

Paper & Forest Products - 0.3%

Bowater, Inc.

21,552

448,066

Buckeye Technologies, Inc. (a)

7,804

110,973

Deltic Timber Corp.

8,578

462,869

Domtar Corp. (a)

234,992

2,561,413

Glatfelter

16,157

219,574

International Paper Co.

196,261

7,687,543

Louisiana-Pacific Corp.

46,304

949,232

MeadWestvaco Corp.

76,983

2,694,405

Neenah Paper, Inc.

13,013

569,969

Pope & Talbot, Inc. (a)(d)

1,500

6,270

Schweitzer-Mauduit International, Inc.

6,659

200,036

Wausau-Mosinee Paper Corp.

43,208

591,518

Weyerhaeuser Co.

90,583

7,424,183

23,926,051

TOTAL MATERIALS

262,567,494

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - 3.4%

Diversified Telecommunication Services - 2.5%

Alaska Communication Systems Group, Inc.

42,393

$ 668,962

Allegiance Telecom, Inc. (a)

7,100

0

AT&T, Inc.

2,709,284

112,001,801

C2 Global Technologies, Inc. (a)

450

270

Cbeyond, Inc. (a)

10,719

379,238

CenturyTel, Inc.

43,474

2,148,485

Cincinnati Bell, Inc.

143,413

836,098

Citizens Communications Co.

143,530

2,274,951

Cogent Communications Group, Inc. (a)

22,164

636,107

Consolidated Communications Holdings, Inc.

18,291

388,867

Covad Communications Group, Inc. (a)

40,529

38,904

CT Communications, Inc.

15,557

488,334

D&E Communications, Inc.

3,344

54,541

Embarq Corp.

63,100

4,054,806

FairPoint Communications, Inc.

4,350

78,300

Fonix Corp. (a)

465

0

General Communications, Inc.
Class A (a)

26,997

357,710

Global Crossing Ltd. (a)

5,019

107,206

HickoryTech Corp.

540

4,396

Hungarian Telephone & Cable Corp. (a)

4,924

98,825

IDT Corp. Class B

39,891

496,244

Iowa Telecommunication Services, Inc.

13,345

300,129

Level 3 Communications, Inc. (a)(d)

474,401

2,761,014

Moscow CableCom Corp. (a)

2,030

25,700

NeuStar, Inc. Class A (a)(d)

31,107

903,969

North Pittsburgh Systems, Inc.

2,555

50,563

NTELOS Holding Corp.

12,351

311,492

Paetec Holding Corp. (a)

22,544

262,638

Premiere Global Services, Inc. (a)

22,726

287,938

Qwest Communications International, Inc. (a)

654,473

6,734,527

Shenandoah Telecommunications Co.

2,149

106,161

SureWest Communications

9,983

257,162

Time Warner Telecom, Inc. Class A
(sub. vtg.) (a)

55,642

1,077,229

Verizon Communications, Inc.

1,255,544

54,653,830

Vonage Holdings Corp. (d)

6,797

20,459

Windstream Corp.

196,520

2,951,730

XETA Technologies, Inc. (a)

2,000

6,000

195,824,586

Wireless Telecommunication Services - 0.9%

ALLTEL Corp.

159,415

10,923,116

American Tower Corp. Class A (a)

183,815

7,937,132

Centennial Communications Corp.
Class A (a)

23,517

239,638

Clearwire Corp. (d)

16,762

326,859

Crown Castle International Corp. (a)

92,401

3,402,205

Dobson Communications Corp.
Class A (a)

77,017

818,691

Shares

Value

FiberTower Corp. (a)

27,468

$ 114,267

GoAmerica, Inc. (a)

30

158

InPhonic, Inc. (a)(d)

30,403

266,330

IPCS, Inc.

3,344

116,304

LCC International, Inc. (a)

2,300

8,625

Leap Wireless International, Inc. (a)

23,883

2,041,041

Metro One Telecommunications, Inc. (a)

1,450

3,031

MetroPCS Communications, Inc.

22,000

784,520

NII Holdings, Inc. (a)

63,026

5,134,728

Rural Cellular Corp. Class A (a)

5,613

184,948

SBA Communications Corp. Class A (a)

37,682

1,210,723

Sprint Nextel Corp.

1,246,188

28,475,396

SunCom Wireless Holdings, Inc. (a)

640

10,752

Syniverse Holdings, Inc. (a)

4,514

57,779

Telephone & Data Systems, Inc.

43,107

2,668,323

U.S. Cellular Corp.

4,026

319,544

USA Mobility, Inc.

19,338

444,967

Wireless Facilities, Inc. (a)

9,297

15,247

65,504,324

TOTAL TELECOMMUNICATION SERVICES

261,328,910

UTILITIES - 3.7%

Electric Utilities - 1.7%

Allegheny Energy, Inc. (a)

70,058

3,740,397

Allete, Inc.

12,552

602,496

American Electric Power Co., Inc.

169,432

8,070,046

Central Vermont Public Service Corp.

2,866

104,437

Cleco Corp.

37,059

999,852

DPL, Inc.

48,523

1,480,437

Duke Energy Corp.

542,938

10,609,009

Duquesne Light Holdings, Inc.

38,015

767,903

Edison International

125,163

7,293,248

El Paso Electric Co. (a)

36,448

991,750

Empire District Electric Co.

6,807

160,577

Entergy Corp.

89,024

10,050,810

Exelon Corp.

289,971

22,617,738

FirstEnergy Corp.

134,904

9,339,404

FPL Group, Inc.

158,411

10,127,215

Great Plains Energy, Inc.

36,952

1,149,946

Hawaiian Electric Industries, Inc.

30,892

756,854

IDACORP, Inc.

24,625

817,796

ITC Holdings Corp.

22,621

981,751

MGE Energy, Inc.

11,941

405,039

Northeast Utilities

63,170

1,921,000

Otter Tail Corp.

9,692

316,928

Pepco Holdings, Inc.

79,879

2,385,187

Pinnacle West Capital Corp.

42,522

1,974,296

Portland General Electric Co.

17,532

514,389

PPL Corp.

159,965

7,351,991

Progress Energy, Inc.

110,386

5,529,235

Reliant Energy, Inc. (a)

149,526

3,830,856

Sierra Pacific Resources (a)

101,400

1,922,544

Southern Co.

326,098

11,742,789

Common Stocks - continued

Shares

Value

UTILITIES - continued

Electric Utilities - continued

UIL Holdings Corp.

5,771

$ 189,289

Unisource Energy Corp.

26,415

964,940

Unitil Corp.

2,363

66,400

Westar Energy, Inc.

47,666

1,263,626

131,040,175

Gas Utilities - 0.3%

AGL Resources, Inc.

32,903

1,403,642

Amerigas Partners LP

10,374

393,278

Atmos Energy Corp.

36,856

1,193,766

Cascade Natural Gas Corp.

11,363

299,188

Chesapeake Utilities Corp. (a)

3,771

131,269

Delta Natural Gas Co., Inc.

1,791

45,760

Energen Corp.

25,780

1,518,958

EnergySouth, Inc.

2,326

113,579

Equitable Resources, Inc.

47,319

2,461,534

Ferrellgas Partners LP

9,553

238,347

Laclede Group, Inc.

15,031

468,366

National Fuel Gas Co.

25,861

1,178,227

New Jersey Resources Corp.

9,922

543,527

Nicor, Inc.

15,258

716,363

Northwest Natural Gas Co.

12,927

644,152

ONEOK, Inc.

39,104

2,115,526

Piedmont Natural Gas Co., Inc. (d)

33,355

885,242

Questar Corp.

35,946

3,882,527

SEMCO Energy, Inc. (a)

20,000

154,400

South Jersey Industries, Inc.

14,199

551,915

Southern Union Co.

44,517

1,549,192

Southwest Gas Corp.

26,857

1,024,863

Suburban Propane Partners LP

15,806

766,591

UGI Corp.

45,192

1,301,530

WGL Holdings, Inc.

32,132

1,133,296

24,715,038

Independent Power Producers & Energy Traders - 0.5%

AES Corp. (a)

290,235

6,887,277

AMEN Properties, Inc. (a)

75

459

Black Hills Corp.

14,151

580,049

Constellation Energy Group, Inc.

76,652

7,034,354

Dynegy, Inc. (a)

184,539

1,786,338

Mirant Corp. (a)

107,983

5,010,411

NRG Energy, Inc. (d)

50,945

4,477,556

Ormat Technologies, Inc.

9,068

330,075

TXU Corp.

197,833

13,343,836

39,450,355

Shares

Value

Multi-Utilities - 1.1%

Alliant Energy Corp.

45,805

$ 1,978,776

Ameren Corp.

89,483

4,748,863

Aquila, Inc.

171,854

733,817

Avista Corp.

19,049

446,128

CenterPoint Energy, Inc.

108,094

2,046,219

CH Energy Group, Inc.

7,715

365,382

CMS Energy Corp.

99,418

1,814,379

Consolidated Edison, Inc.

106,303

5,189,712

Dominion Resources, Inc.

155,502

13,775,922

DTE Energy Co.

71,928

3,803,553

Energy East Corp.

62,124

1,501,537

Integrys Energy Group, Inc.

34,251

1,914,631

KeySpan Corp.

68,641

2,860,270

MDU Resources Group, Inc.

71,053

2,153,616

NiSource, Inc.

114,539

2,543,911

NorthWestern Energy Corp.

18,612

613,452

NSTAR (d)

39,576

1,378,432

OGE Energy Corp.

42,193

1,557,766

PG&E Corp.

152,294

7,502,002

PNM Resources, Inc.

22,732

670,821

Public Service Enterprise Group, Inc.

109,290

9,720,253

Puget Energy, Inc. (d)

49,195

1,240,206

SCANA Corp.

41,226

1,747,570

Sempra Energy

96,735

5,931,790

TECO Energy, Inc.

93,259

1,637,628

Vectren Corp.

34,149

988,955

Wisconsin Energy Corp.

48,739

2,360,430

Xcel Energy, Inc.

174,030

3,993,989

85,220,010

Water Utilities - 0.1%

American States Water Co.

4,060

146,282

Aqua America, Inc. (d)

54,054

1,235,674

Artesian Resources Corp. Class A

3,752

73,614

California Water Service Group

3,941

146,723

Middlesex Water Co.

3,274

62,861

SJW Corp.

7,881

254,320

Southwest Water Co. (d)

7,527

98,002

2,017,476

TOTAL UTILITIES

282,443,054

TOTAL COMMON STOCKS

(Cost $5,954,562,113)

7,494,752,397

U.S. Treasury Obligations - 0.1%

Principal Amount

U.S. Treasury Bills, yield at date of purchase 4.87% to 4.97% 6/21/07 (e)
(Cost $11,965,776)

$ 12,000,000

11,967,984

Money Market Funds - 5.7%

Shares

Value

Fidelity Cash Central Fund, 5.33% (b)

205,858,255

$ 205,858,255

Fidelity Securities Lending Cash Central Fund, 5.36% (b)(c)

231,117,315

231,117,315

TOTAL MONEY MARKET FUNDS

(Cost $436,975,570)

436,975,570

TOTAL INVESTMENT PORTFOLIO - 102.8%

(Cost $6,403,503,459)

7,943,695,951

NET OTHER ASSETS - (2.8)%

(218,577,922)

NET ASSETS - 100%

$ 7,725,118,029

Futures Contracts

Expiration Date

Underlying
Face Amount
at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

327 Russell 1000 Mini Index Contracts

June 2007

$ 27,745,950

$ 1,371,002

44 S&P 500 E-Mini Index Contracts

June 2007

3,372,380

129,617

485 S&P 500 Index Contracts

June 2007

185,864,125

9,937,638

151 S&P MidCap 400 E-Mini Index Contracts

June 2007

13,857,270

831,222

TOTAL EQUITY INDEX CONTRACTS

$ 230,839,725

$ 12,269,479

The face value of futures purchased as a percentage of net assets - 3.0%

Swap Agreements

Expiration Date

Notional Amount

Value

Equity Total Return Swaps

Receive monthly a return equal to Plains All American Pipeline LP and pay monthly a floating rate based on 1-month LIBOR plus 40 basis points with JP Morgan Chase, Inc.

Oct. 2007

$ 1,772,842

$ 312,401

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $11,967,984.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 2,853,109

Fidelity Securities Lending Cash Central Fund

605,301

Total

$ 3,458,410

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $6,440,871,982. Net unrealized appreciation aggregated $1,502,823,969, of which $1,814,941,579 related to appreciated investment securities and $312,117,610 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Swaps are marked-to-market daily based on dealer-supplied valuations. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. The frequency of when fair value pricing is used is unpredictable. The value of securities used under fair value pricing may differ from published prices for the same securities

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan ® U.S. Equity Index Fund

May 31, 2007

1.816023.102

UEI-QTLY-0707

Investments May 31, 2007 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.7%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 10.0%

Auto Components - 0.2%

Johnson Controls, Inc.

416,250

$ 45,663

The Goodyear Tire & Rubber Co. (a)(d)

429,994

15,252

60,915

Automobiles - 0.4%

Ford Motor Co. (d)

4,009,098

33,436

General Motors Corp. (d)

1,198,174

35,933

Harley-Davidson, Inc.

545,593

33,330

102,699

Distributors - 0.1%

Genuine Parts Co.

361,163

18,535

Diversified Consumer Services - 0.1%

Apollo Group, Inc. Class A (non-vtg.) (a)

296,456

14,221

H&R Block, Inc.

682,760

16,175

30,396

Hotels, Restaurants & Leisure - 1.5%

Carnival Corp. unit (d)

937,180

47,271

Darden Restaurants, Inc.

307,564

14,016

Harrah's Entertainment, Inc.

394,866

33,741

Hilton Hotels Corp.

823,948

29,291

International Game Technology

716,587

28,800

Marriott International, Inc. Class A

698,553

32,168

McDonald's Corp.

2,549,417

128,873

Starbucks Corp. (a)

1,590,803

45,831

Starwood Hotels & Resorts Worldwide, Inc.

455,132

32,801

Wendy's International, Inc.

183,707

7,372

Wyndham Worldwide Corp. (a)

400,150

14,886

Yum! Brands, Inc.

558,458

37,819

452,869

Household Durables - 0.6%

Black & Decker Corp.

138,965

13,122

Centex Corp.

253,023

12,236

D.R. Horton, Inc.

578,370

13,517

Fortune Brands, Inc.

322,965

26,089

Harman International Industries, Inc.

138,759

16,464

KB Home (d)

162,822

7,472

Leggett & Platt, Inc.

375,777

9,195

Lennar Corp. Class A (d)

292,182

13,338

Newell Rubbermaid, Inc.

588,060

18,677

Pulte Homes, Inc.

450,138

12,284

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Snap-On, Inc.

124,772

$ 6,746

The Stanley Works

175,430

11,092

Whirlpool Corp.

166,711

18,613

178,845

Internet & Catalog Retail - 0.2%

Amazon.com, Inc. (a)(d)

658,833

45,552

IAC/InterActiveCorp (a)

460,011

15,916

61,468

Leisure Equipment & Products - 0.2%

Brunswick Corp. (d)

192,195

6,617

Eastman Kodak Co.

609,062

15,446

Hasbro, Inc.

340,757

10,955

Mattel, Inc.

832,884

23,329

56,347

Media - 3.3%

CBS Corp. Class B

1,563,455

52,001

Clear Channel Communications, Inc.

1,051,123

40,363

Comcast Corp. Class A

6,588,311

180,586

Dow Jones & Co., Inc.

138,404

7,378

E.W. Scripps Co. Class A

176,820

8,067

Gannett Co., Inc.

497,446

29,260

Interpublic Group of Companies, Inc. (d)

992,904

11,667

McGraw-Hill Companies, Inc.

751,886

52,865

Meredith Corp.

82,460

5,130

News Corp. Class A (d)

4,970,171

109,791

Omnicom Group, Inc.

353,979

37,274

The DIRECTV Group, Inc. (a)

1,640,984

38,333

The New York Times Co. Class A

304,887

7,656

The Walt Disney Co.

4,339,329

153,786

Time Warner, Inc.

8,082,798

172,729

Tribune Co.

376,532

12,515

Viacom, Inc. Class B (non-vtg.) (a)

1,466,248

65,864

985,265

Multiline Retail - 1.1%

Big Lots, Inc. (a)

231,947

7,306

Dillard's, Inc. Class A

128,961

4,681

Dollar General Corp.

661,002

14,304

Family Dollar Stores, Inc.

321,217

10,809

Federated Department Stores, Inc.

973,677

38,879

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

JCPenney Co., Inc.

476,594

$ 38,356

Kohl's Corp. (a)

692,753

52,178

Nordstrom, Inc.

484,610

25,166

Sears Holdings Corp. (a)

176,052

31,693

Target Corp.

1,819,441

113,588

336,960

Specialty Retail - 1.9%

Abercrombie & Fitch Co. Class A

186,937

15,450

AutoNation, Inc. (a)

318,887

7,054

AutoZone, Inc. (a)(d)

105,232

13,536

Bed Bath & Beyond, Inc. (a)

600,300

24,408

Best Buy Co., Inc.

857,556

41,411

Circuit City Stores, Inc.

301,518

4,845

Gap, Inc.

1,116,181

20,672

Home Depot, Inc.

4,323,322

168,048

Limited Brands, Inc.

724,546

19,019

Lowe's Companies, Inc.

3,225,826

105,872

Office Depot, Inc. (a)(d)

585,702

21,320

OfficeMax, Inc.

158,836

7,132

RadioShack Corp.

288,523

9,850

Sherwin-Williams Co.

236,402

15,990

Staples, Inc.

1,518,868

38,063

Tiffany & Co., Inc.

286,714

15,073

TJX Companies, Inc.

964,068

26,965

554,708

Textiles, Apparel & Luxury Goods - 0.4%

Coach, Inc. (a)

784,164

40,275

Jones Apparel Group, Inc.

229,822

6,844

Liz Claiborne, Inc.

219,146

7,602

NIKE, Inc. Class B

800,731

45,441

Polo Ralph Lauren Corp. Class A

129,810

12,660

VF Corp.

190,751

17,889

130,711

TOTAL CONSUMER DISCRETIONARY

2,969,718

CONSUMER STAPLES - 9.1%

Beverages - 2.0%

Anheuser-Busch Companies, Inc.

1,616,076

86,201

Brown-Forman Corp. Class B (non-vtg.)

166,941

11,395

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Enterprises, Inc.

589,581

$ 13,767

Constellation Brands, Inc. Class A (sub. vtg.) (d)

407,992

9,914

Molson Coors Brewing Co. Class B

99,430

9,105

Pepsi Bottling Group, Inc.

278,493

9,744

PepsiCo, Inc.

3,469,395

237,064

The Coca-Cola Co.

4,267,038

226,110

603,300

Food & Staples Retailing - 2.3%

Costco Wholesale Corp.

958,169

54,108

CVS Caremark Corp.

3,262,845

125,750

Kroger Co.

1,499,726

45,472

Safeway, Inc.

933,143

32,175

SUPERVALU, Inc.

440,219

20,972

Sysco Corp.

1,307,008

43,288

Wal-Mart Stores, Inc.

5,209,360

247,966

Walgreen Co.

2,120,125

95,681

Whole Foods Market, Inc. (d)

297,800

12,240

677,652

Food Products - 1.4%

Archer-Daniels-Midland Co.

1,382,722

48,451

Campbell Soup Co.

462,651

18,367

ConAgra Foods, Inc.

1,070,130

27,288

Dean Foods Co.

273,162

8,949

General Mills, Inc.

731,156

44,776

H.J. Heinz Co.

688,150

32,742

Hershey Co.

366,624

19,325

Kellogg Co.

531,119

28,670

Kraft Foods, Inc. Class A

3,473,839

117,555

McCormick & Co., Inc. (non-vtg.)

275,785

10,284

Sara Lee Corp.

1,553,766

27,812

Tyson Foods, Inc. Class A

534,392

11,912

Wm. Wrigley Jr. Co. (d)

462,121

27,080

423,211

Household Products - 2.0%

Clorox Co.

320,414

21,513

Colgate-Palmolive Co.

1,087,601

72,826

Kimberly-Clark Corp.

966,930

68,613

Procter & Gamble Co.

6,684,274

424,786

587,738

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Personal Products - 0.2%

Avon Products, Inc.

934,373

$ 35,871

Estee Lauder Companies, Inc. Class A

246,320

11,651

47,522

Tobacco - 1.2%

Altria Group, Inc.

4,445,596

316,082

Reynolds American, Inc.

363,223

23,624

UST, Inc.

340,259

18,166

357,872

TOTAL CONSUMER STAPLES

2,697,295

ENERGY - 10.2%

Energy Equipment & Services - 2.0%

Baker Hughes, Inc.

678,390

55,954

BJ Services Co.

621,180

18,219

ENSCO International, Inc.

319,630

19,360

Halliburton Co.

1,936,016

69,600

Nabors Industries Ltd. (a)(d)

589,932

20,612

National Oilwell Varco, Inc. (a)

372,418

35,175

Noble Corp.

284,925

26,324

Rowan Companies, Inc. (d)

234,080

9,241

Schlumberger Ltd. (NY Shares)

2,496,593

194,410

Smith International, Inc.

422,367

23,446

Transocean, Inc. (a)

620,615

60,969

Weatherford International Ltd. (a)

716,346

38,926

572,236

Oil, Gas & Consumable Fuels - 8.2%

Anadarko Petroleum Corp.

981,013

48,707

Apache Corp.

701,092

56,613

Chesapeake Energy Corp. (d)

867,389

30,237

Chevron Corp.

4,570,981

372,489

ConocoPhillips

3,482,814

269,674

CONSOL Energy, Inc.

386,647

18,787

Devon Energy Corp.

941,534

72,291

El Paso Corp.

1,479,331

25,208

EOG Resources, Inc.

516,878

39,748

Exxon Mobil Corp.

12,060,732

1,003,098

Hess Corp.

572,338

33,894

Marathon Oil Corp.

732,666

90,711

Murphy Oil Corp.

397,484

23,452

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Occidental Petroleum Corp.

1,775,407

$ 97,594

Peabody Energy Corp. (d)

560,703

30,300

Spectra Energy Corp.

1,330,047

35,419

Sunoco, Inc.

257,041

20,489

Valero Energy Corp.

1,163,019

86,784

Williams Companies, Inc.

1,266,494

40,224

XTO Energy, Inc.

779,470

45,217

2,440,936

TOTAL ENERGY

3,013,172

FINANCIALS - 20.8%

Capital Markets - 3.7%

Ameriprise Financial, Inc.

506,728

31,848

Bank of New York Co., Inc.

1,601,411

64,953

Bear Stearns Companies, Inc. (d)

253,720

38,048

Charles Schwab Corp.

2,175,718

48,888

E*TRADE Financial Corp.

904,894

21,672

Federated Investors, Inc. Class B (non-vtg.)

188,668

7,347

Franklin Resources, Inc.

354,644

48,139

Goldman Sachs Group, Inc.

871,412

201,139

Janus Capital Group, Inc.

401,923

11,125

Legg Mason, Inc.

278,585

28,145

Lehman Brothers Holdings, Inc.

1,114,449

81,778

Mellon Financial Corp.

881,183

38,182

Merrill Lynch & Co., Inc.

1,873,352

173,716

Morgan Stanley

2,255,148

191,778

Northern Trust Corp.

399,486

25,999

State Street Corp.

707,208

48,281

T. Rowe Price Group, Inc.

562,017

28,860

1,089,898

Commercial Banks - 3.8%

BB&T Corp.

1,148,128

48,348

Comerica, Inc.

333,970

20,983

Commerce Bancorp, Inc. (d)

397,273

13,714

Compass Bancshares, Inc.

276,100

19,327

Fifth Third Bancorp (d)

1,178,351

49,915

First Horizon National Corp.

265,495

10,697

Huntington Bancshares, Inc.

498,888

11,205

KeyCorp

838,653

29,864

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

M&T Bank Corp.

162,741

$ 17,971

Marshall & Ilsley Corp.

541,710

25,997

National City Corp.

1,255,097

43,414

PNC Financial Services Group, Inc.

733,305

54,118

Regions Financial Corp.

1,550,101

55,292

SunTrust Banks, Inc.

752,583

67,198

Synovus Financial Corp. (d)

691,875

22,873

U.S. Bancorp, Delaware

3,752,086

129,747

Wachovia Corp.

4,037,069

218,769

Wells Fargo & Co.

7,157,169

258,302

Zions Bancorp

233,014

18,748

1,116,482

Consumer Finance - 0.9%

American Express Co.

2,525,818

164,128

Capital One Financial Corp.

869,791

69,392

SLM Corp.

869,545

48,877

282,397

Diversified Financial Services - 5.1%

Bank of America Corp.

9,474,022

480,428

Chicago Mercantile Exchange Holdings, Inc. Class A

73,823

39,200

CIT Group, Inc.

409,900

24,565

Citigroup, Inc.

10,385,320

565,896

JPMorgan Chase & Co.

7,357,844

381,357

Moody's Corp.

495,571

34,517

1,525,963

Insurance - 4.7%

ACE Ltd.

692,127

42,614

AFLAC, Inc. (d)

1,041,976

55,079

Allstate Corp.

1,310,716

80,609

AMBAC Financial Group, Inc.

216,835

19,431

American International Group, Inc.

5,511,120

398,674

Aon Corp. (d)

632,071

27,128

Assurant, Inc.

212,532

12,635

Cincinnati Financial Corp.

366,130

16,630

Genworth Financial, Inc. Class A (non-vtg.)

933,750

33,708

Hartford Financial Services Group, Inc.

678,341

69,984

Lincoln National Corp.

586,385

42,513

Loews Corp.

955,540

48,761

Marsh & McLennan Companies, Inc.

1,170,985

38,443

MBIA, Inc. (d)

285,430

18,995

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

MetLife, Inc. (d)

1,594,433

$ 108,421

Principal Financial Group, Inc.

567,465

34,502

Progressive Corp.

1,577,081

36,352

Prudential Financial, Inc.

993,517

101,359

SAFECO Corp.

223,632

14,033

The Chubb Corp.

865,543

47,492

The Travelers Companies, Inc.

1,431,166

77,526

Torchmark Corp.

207,571

14,553

UnumProvident Corp.

725,875

19,265

XL Capital Ltd. Class A

383,533

31,281

1,389,988

Real Estate Investment Trusts - 1.2%

Apartment Investment & Management Co. Class A

206,704

11,342

Archstone-Smith Trust

466,846

28,804

AvalonBay Communities, Inc.

168,082

21,916

Boston Properties, Inc. (d)

251,967

29,148

Developers Diversified Realty Corp.

268,568

16,557

Equity Residential (SBI) (d)

622,835

31,559

Host Hotels & Resorts, Inc.

1,103,231

28,154

Kimco Realty Corp.

478,850

22,166

Plum Creek Timber Co., Inc.

375,600

15,700

ProLogis Trust

542,806

35,098

Public Storage, Inc.

259,881

23,259

Simon Property Group, Inc.

469,406

50,686

Vornado Realty Trust

276,187

33,421

347,810

Real Estate Management & Development - 0.0%

CB Richard Ellis Group, Inc. Class A (a)

395,695

14,728

Thrifts & Mortgage Finance - 1.4%

Countrywide Financial Corp.

1,249,453

48,654

Fannie Mae

2,050,379

131,060

Freddie Mac

1,468,031

98,050

Hudson City Bancorp, Inc.

1,048,412

13,829

MGIC Investment Corp.

175,904

11,434

Sovereign Bancorp, Inc. (d)

764,961

17,778

Washington Mutual, Inc.

1,883,306

82,338

403,143

TOTAL FINANCIALS

6,170,409

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - 11.7%

Biotechnology - 1.3%

Amgen, Inc. (a)

2,473,112

$ 139,310

Biogen Idec, Inc. (a)

725,409

37,881

Celgene Corp. (a)

799,798

48,980

Genzyme Corp. (a)

558,091

36,008

Gilead Sciences, Inc. (a)

984,330

81,473

MedImmune, Inc. (a)(d)

503,637

29,151

372,803

Health Care Equipment & Supplies - 1.6%

Bausch & Lomb, Inc.

115,108

7,816

Baxter International, Inc.

1,376,545

78,243

Becton, Dickinson & Co.

518,135

39,508

Biomet, Inc.

518,829

22,631

Boston Scientific Corp. (a)

2,508,728

39,312

C.R. Bard, Inc.

218,764

18,466

Hospira, Inc. (a)

330,369

13,162

Medtronic, Inc.

2,439,441

129,705

St. Jude Medical, Inc. (a)

729,228

31,131

Stryker Corp.

631,633

42,515

Varian Medical Systems, Inc. (a)

272,098

10,966

Zimmer Holdings, Inc. (a)

502,399

44,241

477,696

Health Care Providers & Services - 2.2%

Aetna, Inc.

1,093,927

57,902

AmerisourceBergen Corp.

401,356

20,557

Cardinal Health, Inc.

847,974

61,444

CIGNA Corp.

206,482

34,613

Coventry Health Care, Inc. (a)

337,827

20,158

Express Scripts, Inc. (a)

287,327

29,336

Humana, Inc. (a)

353,176

21,915

Laboratory Corp. of America Holdings (a)(d)

259,288

20,416

Manor Care, Inc.

154,379

10,498

McKesson Corp.

625,760

39,504

Medco Health Solutions, Inc. (a)

610,202

47,449

Patterson Companies, Inc. (a)

294,741

11,059

Quest Diagnostics, Inc. (d)

336,334

16,487

Tenet Healthcare Corp. (a)

999,034

6,943

UnitedHealth Group, Inc.

2,868,952

157,133

WellPoint, Inc. (a)

1,297,349

105,617

661,031

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Technology - 0.0%

IMS Health, Inc.

413,389

$ 13,518

Life Sciences Tools & Services - 0.3%

Applera Corp. - Applied Biosystems Group

388,831

11,039

Millipore Corp. (a)(d)

114,246

8,542

PerkinElmer, Inc.

258,081

6,842

Thermo Fisher Scientific, Inc. (a)(d)

889,781

48,582

Waters Corp. (a)

215,082

12,969

87,974

Pharmaceuticals - 6.3%

Abbott Laboratories

3,268,803

184,197

Allergan, Inc.

325,712

40,561

Barr Pharmaceuticals, Inc. (a)

225,921

12,046

Bristol-Myers Squibb Co. (d)

4,278,010

129,666

Eli Lilly & Co.

2,090,005

122,516

Forest Laboratories, Inc. (a)

673,343

34,145

Johnson & Johnson

6,130,742

387,892

King Pharmaceuticals, Inc. (a)

515,189

10,943

Merck & Co., Inc.

4,589,415

240,715

Mylan Laboratories, Inc.

518,493

10,251

Pfizer, Inc.

15,012,718

412,700

Schering-Plough Corp.

3,151,594

103,183

Watson Pharmaceuticals, Inc. (a)

217,133

6,701

Wyeth

2,851,687

164,942

1,860,458

TOTAL HEALTH CARE

3,473,480

INDUSTRIALS - 10.9%

Aerospace & Defense - 2.6%

General Dynamics Corp.

859,483

68,965

Goodrich Corp.

265,591

15,800

Honeywell International, Inc.

1,694,544

98,131

L-3 Communications Holdings, Inc.

263,776

25,127

Lockheed Martin Corp.

751,777

73,749

Northrop Grumman Corp.

741,985

56,101

Precision Castparts Corp.

290,468

34,728

Raytheon Co.

945,202

52,553

Rockwell Collins, Inc.

356,376

25,185

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

1,671,956

$ 168,182

United Technologies Corp.

2,109,444

148,821

767,342

Air Freight & Logistics - 0.8%

C.H. Robinson Worldwide, Inc.

366,682

19,867

FedEx Corp.

650,590

72,619

United Parcel Service, Inc. Class B

2,259,152

162,591

255,077

Airlines - 0.1%

Southwest Airlines Co.

1,670,192

23,900

Building Products - 0.2%

American Standard Companies, Inc.

370,089

22,124

Masco Corp. (d)

829,554

25,061

47,185

Commercial Services & Supplies - 0.5%

Allied Waste Industries, Inc. (d)

540,176

7,271

Avery Dennison Corp.

194,111

12,670

Cintas Corp.

287,573

11,031

Equifax, Inc.

307,587

12,928

Monster Worldwide, Inc. (a)

272,179

12,850

Pitney Bowes, Inc.

466,669

22,283

R.R. Donnelley & Sons Co.

462,650

19,811

Robert Half International, Inc. (d)

355,827

12,504

Waste Management, Inc.

1,129,255

43,668

155,016

Construction & Engineering - 0.1%

Fluor Corp.

186,281

19,392

Electrical Equipment - 0.4%

Cooper Industries Ltd. Class A

386,578

20,713

Emerson Electric Co.

1,690,233

81,892

Rockwell Automation, Inc.

350,947

23,882

126,487

Industrial Conglomerates - 3.8%

3M Co.

1,554,642

136,746

General Electric Co.

21,783,485

818,623

Textron, Inc.

265,395

28,477

Tyco International Ltd.

4,188,502

139,728

1,123,574

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - 1.6%

Caterpillar, Inc.

1,368,061

$ 107,502

Cummins, Inc.

220,735

20,800

Danaher Corp.

504,187

37,058

Deere & Co.

480,562

57,893

Dover Corp.

433,638

21,704

Eaton Corp.

309,706

29,032

Illinois Tool Works, Inc.

876,007

46,183

Ingersoll-Rand Co. Ltd. Class A

652,036

33,469

ITT Corp.

385,108

25,918

PACCAR, Inc.

525,913

45,875

Pall Corp.

260,565

11,660

Parker Hannifin Corp.

245,246

24,858

Terex Corp. (a)

217,345

18,424

480,376

Road & Rail - 0.8%

Burlington Northern Santa Fe Corp.

760,408

70,817

CSX Corp.

925,291

42,045

Norfolk Southern Corp.

840,964

48,675

Ryder System, Inc.

128,625

6,935

Union Pacific Corp.

573,554

69,216

237,688

Trading Companies & Distributors - 0.0%

W.W. Grainger, Inc.

151,700

13,357

TOTAL INDUSTRIALS

3,249,394

INFORMATION TECHNOLOGY - 14.8%

Communications Equipment - 2.5%

ADC Telecommunications, Inc. (a)

248,422

4,161

Avaya, Inc. (a)

960,337

15,365

Ciena Corp. (a)(d)

180,308

6,188

Cisco Systems, Inc. (a)

12,795,033

344,442

Corning, Inc. (a)

3,325,201

83,130

JDS Uniphase Corp. (a)(d)

447,377

5,861

Juniper Networks, Inc. (a)(d)

1,205,849

29,435

Motorola, Inc.

5,063,769

92,110

QUALCOMM, Inc.

3,509,119

150,717

Tellabs, Inc. (a)

926,408

10,144

741,553

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - 3.9%

Apple, Inc. (a)

1,825,771

$ 221,941

Dell, Inc. (a)

4,812,121

129,302

EMC Corp. (a)

4,465,782

75,427

Hewlett-Packard Co.

5,669,709

259,162

International Business Machines Corp. (d)

3,189,270

339,976

Lexmark International, Inc. Class A (a)(d)

203,381

10,562

NCR Corp. (a)

379,187

20,351

Network Appliance, Inc. (a)

786,041

25,303

QLogic Corp. (a)

336,937

5,748

SanDisk Corp. (a)

481,638

20,975

Sun Microsystems, Inc. (a)

7,627,731

38,901

1,147,648

Electronic Equipment & Instruments - 0.2%

Agilent Technologies, Inc. (a)

855,089

32,639

Jabil Circuit, Inc.

391,243

8,999

Molex, Inc.

300,335

8,932

Sanmina-SCI Corp. (a)

1,122,859

4,009

Solectron Corp. (a)

1,915,095

6,511

Tektronix, Inc.

173,107

5,240

66,330

Internet Software & Services - 1.3%

eBay, Inc. (a)

2,406,995

78,372

Google, Inc. Class A (sub. vtg.) (a)(d)

461,106

229,516

VeriSign, Inc. (a)

519,295

15,491

Yahoo!, Inc. (a)

2,586,289

74,226

397,605

IT Services - 1.1%

Affiliated Computer Services, Inc. Class A (a)

209,536

12,226

Automatic Data Processing, Inc.

1,165,715

57,936

Cognizant Technology Solutions Corp. Class A (a)

302,260

23,746

Computer Sciences Corp. (a)

366,936

20,328

Convergys Corp. (a)

289,492

7,452

Electronic Data Systems Corp.

1,089,766

31,396

Fidelity National Information Services, Inc.

344,834

18,593

First Data Corp.

1,595,116

52,160

Fiserv, Inc. (a)

361,370

21,411

Paychex, Inc.

718,518

29,028

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

The Western Union Co.

1,635,304

$ 36,713

Unisys Corp. (a)

731,376

6,085

317,074

Office Electronics - 0.1%

Xerox Corp. (a)

2,010,277

37,934

Semiconductors & Semiconductor Equipment - 2.5%

Advanced Micro Devices, Inc. (a)(d)

1,175,546

16,775

Altera Corp. (d)

755,280

17,228

Analog Devices, Inc.

706,943

25,598

Applied Materials, Inc.

2,959,097

56,519

Broadcom Corp. Class A (a)

998,892

30,526

Intel Corp.

12,216,646

270,843

KLA-Tencor Corp.

423,094

23,262

Linear Technology Corp. (d)

537,749

19,300

LSI Logic Corp. (a)(d)

1,631,341

14,160

Maxim Integrated Products, Inc.

679,340

20,890

MEMC Electronic Materials, Inc. (a)

475,329

28,890

Micron Technology, Inc. (a)(d)

1,598,938

19,475

National Semiconductor Corp.

600,816

16,174

Novellus Systems, Inc. (a)(d)

266,386

8,175

NVIDIA Corp. (a)

753,175

26,113

PMC-Sierra, Inc. (a)(d)

449,922

3,469

Teradyne, Inc. (a)

401,988

6,842

Texas Instruments, Inc.

3,057,715

108,121

Xilinx, Inc. (d)

703,012

20,022

732,382

Software - 3.2%

Adobe Systems, Inc. (a)

1,246,568

54,949

Autodesk, Inc. (a)

490,827

22,308

BMC Software, Inc. (a)

432,074

14,319

CA, Inc.

871,371

23,117

Citrix Systems, Inc. (a)

382,547

12,857

Compuware Corp. (a)

686,865

7,803

Electronic Arts, Inc. (a)

656,786

32,097

Intuit, Inc. (a)

725,686

22,133

Microsoft Corp.

18,254,503

559,866

Novell, Inc. (a)

718,151

5,616

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

Oracle Corp. (a)

8,452,908

$ 163,817

Symantec Corp. (a)

1,958,596

39,152

958,034

TOTAL INFORMATION TECHNOLOGY

4,398,560

MATERIALS - 3.0%

Chemicals - 1.5%

Air Products & Chemicals, Inc.

458,517

35,760

Ashland, Inc.

118,093

7,123

Dow Chemical Co.

2,031,875

92,206

E.I. du Pont de Nemours & Co.

1,957,640

102,424

Eastman Chemical Co.

177,177

11,722

Ecolab, Inc.

376,965

16,266

Hercules, Inc. (a)

246,616

4,644

International Flavors & Fragrances, Inc.

165,449

8,492

Monsanto Co.

1,151,350

70,923

PPG Industries, Inc.

347,364

26,466

Praxair, Inc.

678,663

46,210

Rohm & Haas Co.

301,510

15,983

Sigma Aldrich Corp.

279,765

12,108

450,327

Construction Materials - 0.1%

Vulcan Materials Co.

201,268

24,090

Containers & Packaging - 0.2%

Ball Corp.

218,379

12,089

Bemis Co., Inc.

221,562

7,451

Pactiv Corp. (a)

281,494

9,562

Sealed Air Corp.

341,792

11,040

Temple-Inland, Inc.

222,751

14,033

54,175

Metals & Mining - 0.9%

Alcoa, Inc.

1,842,002

76,038

Allegheny Technologies, Inc.

216,040

24,972

Freeport-McMoRan Copper & Gold, Inc. Class B (d)

794,032

62,490

Newmont Mining Corp.

955,284

38,861

Nucor Corp.

637,907

43,084

United States Steel Corp.

251,002

28,403

273,848

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Paper & Forest Products - 0.3%

International Paper Co.

958,750

$ 37,554

MeadWestvaco Corp.

386,527

13,528

Weyerhaeuser Co.

447,420

36,671

87,753

TOTAL MATERIALS

890,193

TELECOMMUNICATION SERVICES - 3.7%

Diversified Telecommunication Services - 3.1%

AT&T, Inc.

13,227,410

546,821

CenturyTel, Inc.

235,931

11,660

Citizens Communications Co.

717,587

11,374

Embarq Corp.

318,887

20,492

Qwest Communications International, Inc. (a)(d)

3,322,743

34,191

Verizon Communications, Inc.

6,164,235

268,329

Windstream Corp.

1,009,905

15,169

908,036

Wireless Telecommunication Services - 0.6%

ALLTEL Corp.

763,117

52,289

Sprint Nextel Corp.

6,148,610

140,496

192,785

TOTAL TELECOMMUNICATION SERVICES

1,100,821

UTILITIES - 3.5%

Electric Utilities - 1.8%

Allegheny Energy, Inc. (a)

348,356

18,599

American Electric Power Co., Inc.

840,305

40,024

Duke Energy Corp. (d)

2,663,038

52,036

Edison International

690,189

40,217

Entergy Corp.

420,095

47,429

Exelon Corp.

1,419,641

110,732

FirstEnergy Corp.

676,197

46,813

FPL Group, Inc.

859,190

54,928

Pinnacle West Capital Corp.

211,863

9,837

PPL Corp.

815,772

37,493

Progress Energy, Inc.

544,652

27,282

Southern Co. (d)

1,585,800

57,105

542,495

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Gas Utilities - 0.1%

Nicor, Inc.

95,141

$ 4,467

Questar Corp.

182,066

19,665

24,132

Independent Power Producers & Energy Traders - 0.5%

AES Corp. (a)

1,406,997

33,388

Constellation Energy Group, Inc.

382,747

35,125

Dynegy, Inc. (a)

852,191

8,249

TXU Corp.

972,842

65,618

142,380

Multi-Utilities - 1.1%

Ameren Corp.

437,655

23,226

CenterPoint Energy, Inc.

678,045

12,835

CMS Energy Corp.

472,939

8,631

Consolidated Edison, Inc.

545,792

26,646

Dominion Resources, Inc.

739,251

65,490

DTE Energy Co.

375,215

19,841

Integrys Energy Group, Inc.

159,214

8,900

KeySpan Corp.

371,960

15,500

NiSource, Inc.

580,120

12,884

PG&E Corp.

743,160

36,608

Public Service Enterprise Group, Inc.

535,464

47,624

Sempra Energy

556,960

34,153

TECO Energy, Inc.

443,986

7,796

Xcel Energy, Inc.

863,770

19,824

339,958

TOTAL UTILITIES

1,048,965

TOTAL COMMON STOCKS

(Cost $18,000,601)

29,012,007

U.S. Treasury Obligations - 0.1%

Principal Amount (000s)

U.S. Treasury Bills, yield at date of purchase 4.93% to 4.97% 6/21/07 (e)
(Cost $31,909)

$ 32,000

31,915

Money Market Funds - 5.9%

Shares

Value (000s)

Fidelity Cash Central Fund, 5.33% (b)

685,730,227

$ 685,730

Fidelity Securities Lending Cash Central Fund, 5.36% (b)(c)

1,063,350,131

1,063,350

TOTAL MONEY MARKET FUNDS

(Cost $1,749,080)

1,749,080

TOTAL INVESTMENT PORTFOLIO - 103.7%

(Cost $19,781,590)

30,793,002

NET OTHER ASSETS - (3.7)%

(1,091,678)

NET ASSETS - 100%

$ 29,701,324

Futures Contracts

Expiration Date

Underlying
Face Amount
at Value
(000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

1,926 S&P 500 Index Contracts

June 2007

$ 738,091

$ 55,445

The face value of futures purchased as a percentage of net assets - 2.5%

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $29,411,000.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 8,644

Fidelity Securities Lending Cash Central Fund

592

Total

$ 9,236

Income Tax Information

At May 31, 2007, the aggregate cost of investment securities for income tax purposes was $19,915,334,000. Net unrealized appreciation aggregated $10,877,668,000, of which $12,189,123,000 related to appreciated investment securities and $1,311,455,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. The frequency of when fair value pricing is used is unpredictable. The value of securities used under fair value pricing may differ from published prices for the same securities.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Concord Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

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.

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.

Fidelity Concord Street Trust

By:

/s/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

July 24, 2007

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/ Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

July 24, 2007

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

July 24, 2007