0000009015-13-000002.txt : 20130131
0000009015-13-000002.hdr.sgml : 20130131
20130131171855
ACCESSION NUMBER: 0000009015-13-000002
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20121231
FILED AS OF DATE: 20130131
DATE AS OF CHANGE: 20130131
EFFECTIVENESS DATE: 20130131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BABSON CAPITAL MANAGEMENT LLC
CENTRAL INDEX KEY: 0000009015
IRS NUMBER: 041054788
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-00060
FILM NUMBER: 13563663
BUSINESS ADDRESS:
STREET 1: 470 ATLANTIC AVENUE
STREET 2: 10TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-761-6662
MAIL ADDRESS:
STREET 1: 470 ATLANTIC AVENUE
STREET 2: 10TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: BABSON DAVID L & CO INC
DATE OF NAME CHANGE: 19920929
13F-HR
1
babson13fdec2012.txt
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: 12/31/2012
Check here if Amendment: [ ] ; Amendment Number: _______
This Amendment(Check only one): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Babson Capital Management LLC
Address: 470 Atlantic Avenue
Boston, MA 02210
Form 13F File Number: 28-00060
The institutional manager filing this report and the person by whom it is
signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Melissa LaGrant
Title: Managing Director
Phone: (617) 761-3731
Signature, Place, and Date of Signing:
/s/ Melissa LaGrant, Boston, MA January 31, 2013
--------------------------------------------------------------------------
Dear Sir or Madam,
Pursuant to Section 13(f) of the Securities Exchange Act of 1934,
I am filing electronically on behalf of Babson Capital Management LLC
(Babson) for this quarter.
Babson Capital Management LLC (Babson Capital) is an indirect wholly-owned
subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual).
Wherever Babson Capital has indicated that it exercises investment discretion
with respect to the positions reported on this Form 13F, such positions shall
be deemed reported on behalf of MassMutual to the extent that MassMutual is
deemed to share investment discretion over the positions as a result of
MassMutual's indirect ownership interest in Babson Capital.
--------------------------------------------------------------------------
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s))
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported by other reporting manager(s))
FORM 13F COVER PAGE
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 901
Form 13F Information Table Value Total: $2,062,397
List of Other Included Managers:
Form 13F File Number Name
28-00548 Massachusetts Mutual Life Insurance Company
Central Index Key (CIK) Number : 0000225602
FORM 13F INFORMATION TABLE
VOTING AUTHORITY
TITLE OF VALUE SHARES/ SH/ PUT/ INVEST. OTHER
NAME OF ISSUER CLASS CUSIP (X$1000) PRN AMT PRN CALL DISCRET. MGRS SOLE SHARED NONE
-------------------------------- -------- --------- ---------- ------- --- ---- -------- ----- ---- ------ ----
ACCO BRANDS CORP. COM 00081T108 5945 810000 SH SOLE 810000 0 0
ADT CORPORATION (THE) COM 00101J106 810 17400 SH SOLE 17400 0 0
AFLAC INC. COM 001055102 2391 45017 SH SOLE 45017 0 0
AGCO CORP. COM 001084102 207 4198 SH SOLE 4198 0 0
AGL RESOURCES INC. COM 001204106 200 5024 SH SOLE 5024 0 0
AES CORP., THE COM 00130H105 490 45764 SH SOLE 45764 0 0
AK STEEL CORP. CONV 001546AP5 7701 7000000 PRN SOLE 7000000 0 0
AK STEEL HOLDING CORP. COM 001547108 146 31700 SH SOLE 31700 0 0
AMC NETWORKS INC. COM 00164V103 594 12000 SH SOLE 12000 0 0
AOL INC COM 00184X105 847 28600 SH SOLE 28600 0 0
AT&T INC. COM 00206R102 15937 472769 SH SOLE 472769 0 0
AARON'S, INC. COM 002535300 570 20150 SH SOLE 20150 0 0
ABBOTT LABORATORIES COM 002824100 9611 146746 SH SOLE 146746 0 0
ABRAXAS PETROLEUM CORP COM 003830106 22 10130 SH SOLE 10130 0 0
ACCURIDE CORP. COM 00439T206 5681 1770000 SH SOLE 1770000 0 0
ACTIVISION BLIZZARD, INC. COM 00507V109 264 24800 SH SOLE 24800 0 0
ADELPHIA RECOVERY TRUST COM 00685R409 0 1783299 SH SOLE 1783299 0 0
ADOBE SYSTEMS INC. COM 00724F101 821 21795 SH SOLE 21795 0 0
ADVANCE AUTO PARTS INC. COM 00751Y106 285 3940 SH SOLE 3940 0 0
AECOM TECHNOLOGY CORP. COM 00766T100 645 27100 SH SOLE 27100 0 0
ADVANCED MICRO DEVICES INC. COM 007903107 558 232247 SH SOLE 232247 0 0
ADVANCED MICRO DEVICES INC. CONV 007903AL1 25575 27500000 PRN SOLE 27500000 0 0
AETNA INC. COM 00817Y108 1839 39732 SH SOLE 39732 0 0
AGILENT TECHNOLOGIES INC. COM 00846U101 468 11456 SH SOLE 11456 0 0
AGNICO-EAGLE MINES LIMITED COM 008474108 525 10000 SH SOLE 10000 0 0
AGRIUM, INC. COM 008916108 1529 15300 SH SOLE 15300 0 0
AIR PRODUCTS AND CHEMICALS INC COM 009158106 354 4205 SH SOLE 4205 0 0
AIR TRANSPORT SVCS GROUP, INC. COM 00922R105 282 70000 SH SOLE 70000 0 0
AIRGAS INC. COM 009363102 3046 33365 SH SOLE 33365 0 0
AKAMAI TECHNOLOGIES, INC. COM 00971T101 451 11036 SH SOLE 11036 0 0
ALABAMA AIRCRAFT IND, INC. COM 01023E100 9 903448 SH SOLE 903448 0 0
ALASKA AIR GROUP, INC. COM 011659109 241 5600 SH SOLE 5600 0 0
ALCOA INC. COM 013817101 1181 135972 SH SOLE 135972 0 0
ALERIS INTERNATIONAL INC. COM 014477103 818 15178 SH SOLE 15178 0 0
ALERE INC. COM 01449J105 8867 479200 SH SOLE 479200 0 0
ALEXANDRIA REAL ESTATE EQUITIE REIT 015271109 1612 23260 SH SOLE 23260 0 0
ALEXION PHARMACEUTICALS, INC. COM 015351109 314 3350 SH SOLE 3350 0 0
ALLEGHANY CORP. COM 017175100 217 647 SH SOLE 647 0 0
ALLERGAN INC. COM 018490102 721 7866 SH SOLE 7866 0 0
ALLIANCE DATA SYSTEMS CORPORAT COM 018581108 530 3660 SH SOLE 3660 0 0
ALLIANT ENERGY CORP. COM 018802108 316 7200 SH SOLE 7200 0 0
ALLIANT TECHSYSTEMS INC. COM 018804104 378 6100 SH SOLE 6100 0 0
ALLIED NEVADA GOLD CORP COM 019344100 386 12800 SH SOLE 12800 0 0
ALLSTATE CORP. COM 020002101 2172 54060 SH SOLE 54060 0 0
ALPHA NATURAL RESOURCES LLC COM 02076X102 614 62967 SH SOLE 62967 0 0
ALTERA CORP. COM 021441100 202 5883 SH SOLE 5883 0 0
ALTRIA GROUP INC. COM 02209S103 2557 81370 SH SOLE 81370 0 0
AMAZON.COM INC. COM 023135106 1983 7897 SH SOLE 7897 0 0
AMEREN CORP. COM 023608102 479 15580 SH SOLE 15580 0 0
AMERICAN CAMPUS COMMUNITIES IN REIT 024835100 1065 23060 SH SOLE 23060 0 0
AMERICAN CAPITAL AGENCY CORP REIT 02503X105 1636 56520 SH SOLE 56520 0 0
AMERICAN CAPITAL LTD. COM 02503Y103 576 48000 SH SOLE 48000 0 0
AMERICAN ELECTRIC POWER CO. IN COM 025537101 2115 49558 SH SOLE 49558 0 0
AMERICAN EAGLE OUTFITTERS INC COM 02553E106 1470 71700 SH SOLE 71700 0 0
AMERICAN EXPRESS COMPANY COM 025816109 3727 64837 SH SOLE 64837 0 0
AMERICAN FINANCIAL GROUP, INC. COM 025932104 288 7282 SH SOLE 7282 0 0
AMERICAN INTERNATIONAL GROUP I COM 026874784 4032 114214 SH SOLE 114214 0 0
AMERICAN MEDIA INC. COM 02744L209 0 15870 SH SOLE 15870 0 0
AMERICAN TOWER CORP. REIT 03027X100 5001 64722 SH SOLE 64722 0 0
AMERICAN WATER WORKS CO. INC. COM 030420103 397 10700 SH SOLE 10700 0 0
AMERICA'S CAR-MART, INC. COM 03062T105 450 11100 SH SOLE 11100 0 0
AMERISOURCEBERGEN CORP. COM 03073E105 1195 27667 SH SOLE 27667 0 0
AMERIPRISE FINANCIAL INC. COM 03076C106 1535 24518 SH SOLE 24518 0 0
AMETEK INC. COM 031100100 236 6275 SH SOLE 6275 0 0
AMGEN INC. COM 031162100 8592 99536 SH SOLE 99536 0 0
AMGEN INC. CONV 031162AE0 38175 47942857 PRN SOLE 47942857 0 0
AMPHENOL CORP. COM 032095101 658 10168 SH SOLE 10168 0 0
ANALOG DEVICES INC. COM 032654105 635 15093 SH SOLE 15093 0 0
ANNALY CAPITAL MANAGEMENT, INC REIT 035710409 2346 167050 SH SOLE 167050 0 0
ANTHRACITE CAPITAL, INC. REIT 037023108 0 10000 SH SOLE 10000 0 0
APACHE CORP. COM 037411105 837 10667 SH SOLE 10667 0 0
APARTMENT INVESTMENT AND MANAG REIT 03748R101 654 24179 SH SOLE 24179 0 0
APOLLO GROUP INC. COM 037604105 1343 64224 SH SOLE 64224 0 0
APPLE, INC. COM 037833100 37685 70698 SH SOLE 70698 0 0
APPLIED MATERIALS INC. COM 038222105 1352 118206 SH SOLE 118206 0 0
APPROACH RESOURCES, INC. COM 03834A103 989 39546 SH SOLE 39546 0 0
ARCH COAL, INC. COM 039380100 616 84100 SH SOLE 84100 0 0
ARCELORMITTAL ADR 03938L104 379 21700 SH SOLE 21700 0 0
ARCHER DANIELS MIDLAND CO. COM 039483102 3246 118518 SH SOLE 118518 0 0
ARCHSTONE-SMITH TRUST CONV 039584AC1 28650 30000000 PRN SOLE 30000000 0 0
ARK RESTAURANTS CORP. COM 040712101 1531 90825 SH SOLE 90825 0 0
ARROW ELECTRONICS INC. COM 042735100 411 10800 SH SOLE 10800 0 0
ASHLAND INC. COM 044209104 273 3400 SH SOLE 3400 0 0
ASSOCIATED BANC-CORP COM 045487105 337 25731 SH SOLE 25731 0 0
ASSURANT INC. COM 04621X108 1448 41748 SH SOLE 41748 0 0
ASTEX PHARMACEUTICALS, INC. COM 04624B103 36 12500 SH SOLE 12500 0 0
AUTODESK, INC. COM 052769106 404 11434 SH SOLE 11434 0 0
AUTOMATIC DATA PROCESSING INC. COM 053015103 885 15510 SH SOLE 15510 0 0
AUTOZONE INC. COM 053332102 683 1928 SH SOLE 1928 0 0
AUXILIUM PHARMACEUTICALS, INC. COM 05334D107 430 23198 SH SOLE 23198 0 0
AVALONBAY COMMUNITIES, INC. REIT 053484101 4627 34124 SH SOLE 34124 0 0
AVERY DENNISON CORP. COM 053611109 2857 81797 SH SOLE 81797 0 0
AVNET INC. COM 053807103 364 11900 SH SOLE 11900 0 0
AVON PRODUCTS INC. COM 054303102 901 62801 SH SOLE 62801 0 0
BB&T CORP. COM 054937107 1722 59161 SH SOLE 59161 0 0
BRE PROPERTIES INC REIT 05564E106 1372 27000 SH SOLE 27000 0 0
BMC SOFTWARE INC. COM 055921100 1557 39264 SH SOLE 39264 0 0
B T U INTERNATIONAL, INC. COM 056032105 537 269856 SH SOLE 269856 0 0
BABSON CAP PARTN INVS TRUST COM 05616B100 723 51936 SH SOLE 51936 0 0
BALCHEM CORP. COM 057665200 207 5700 SH SOLE 5700 0 0
BALL CORPORATION COM 058498106 1642 36722 SH SOLE 36722 0 0
BALLY TECHNOLOGIES INC. COM 05874B107 528 11800 SH SOLE 11800 0 0
BANK OF AMERICA CORP. COM 060505104 14956 1289279 SH SOLE 1289279 0 0
BANK OF NEW YORK MELLON CORP. COM 064058100 2867 111552 SH SOLE 111552 0 0
BARD (C.R.) INC. COM 067383109 475 4866 SH SOLE 4866 0 0
IPATH GOLDMAN SACHS CRUDE OIL COM 06738C786 292 13400 SH SOLE 13400 0 0
BARRETT BUSINESS SERV, INC. COM 068463108 309 8100 SH SOLE 8100 0 0
BILL BARRETT CORP. COM 06846N104 336 18900 SH SOLE 18900 0 0
BASIC ENERGY SERVICES INC. COM 06985P100 4588 402000 SH SOLE 402000 0 0
BAXTER INTERNATIONAL INC. COM 071813109 1967 29503 SH SOLE 29503 0 0
BECKMAN COULTER INC. CONV 075811AD1 9565 8000000 PRN SOLE 8000000 0 0
BECTON DICKINSON & CO. COM 075887109 1312 16778 SH SOLE 16778 0 0
BED BATH & BEYOND INC. COM 075896100 886 15837 SH SOLE 15837 0 0
BEMIS CO. INC. COM 081437105 1890 56497 SH SOLE 56497 0 0
BERKSHIRE HATHAWAY INC. COM 084670702 11000 122629 SH SOLE 122629 0 0
BEST BUY CO. INC. COM 086516101 456 38600 SH SOLE 38600 0 0
B H P BILLITON LTD ADR 088606108 3663 46700 SH SOLE 46700 0 0
BIMINI CAPITAL MGMT, INC. REIT 090319401 27 211628 SH SOLE 211628 0 0
BIOGEN IDEC INC. COM 09062X103 2204 15026 SH SOLE 15026 0 0
BIOMED REALTY TRUST, INC. REIT 09063H107 429 22210 SH SOLE 22210 0 0
BLACKROCK, INC. COM 09247X101 2046 9900 SH SOLE 9900 0 0
H&R BLOCK INC. COM 093671105 1409 75905 SH SOLE 75905 0 0
BLUGREEN CORPORATION COM 096231105 102 10900 SH SOLE 10900 0 0
BOEING CO. COM 097023105 4813 63868 SH SOLE 63868 0 0
BOISE INC COM 09746Y105 142 17800 SH SOLE 17800 0 0
BOOZ ALLEN HAMILTON HOLDING CO COM 099502106 560 40200 SH SOLE 40200 0 0
BORGWARNER INC. COM 099724106 232 3240 SH SOLE 3240 0 0
BOSTON PROPERTIES INC. REIT 101121101 5987 56580 SH SOLE 56580 0 0
BOSTON SCIENTIFIC CORP. COM 101137107 462 80725 SH SOLE 80725 0 0
BRANDYWINE REALTY TRUST INC REIT 105368203 292 23970 SH SOLE 23970 0 0
BRISTOL-MYERS SQUIBB CO. COM 110122108 3874 118879 SH SOLE 118879 0 0
BROADCOM CORPORATION COM 111320107 1102 33188 SH SOLE 33188 0 0
BROADRIDGE FINANCIAL SOLUTIONS COM 11133T103 1240 54196 SH SOLE 54196 0 0
BROCADE COMMUNICATIONS SYSTEMS COM 111621306 723 135600 SH SOLE 135600 0 0
BROOKFIELD PROPERTIES CORP. REIT 112900105 520 30570 SH SOLE 30570 0 0
BUCKEYE TECHNOLOGIES, INC. COM 118255108 368 12800 SH SOLE 12800 0 0
BUCKLE, INC. COM 118440106 295 6600 SH SOLE 6600 0 0
C&J ENERGY SERVICES INC COM 12467B304 8008 373500 SH SOLE 373500 0 0
CBIZ, INC. COM 124805102 98 16600 SH SOLE 16600 0 0
CBL & ASSOCIATES PROPERTIES, I REIT 124830100 603 28420 SH SOLE 28420 0 0
CBS CORP. COM 124857202 2380 62527 SH SOLE 62527 0 0
CCS MEDICAL HOLDINGS INC COM 12503E106 107 21354 SH SOLE 21354 0 0
CBOE HOLDINGS INC COM 12503M108 351 11900 SH SOLE 11900 0 0
CBRE GROUP INC. COM 12504L109 793 39795 SH SOLE 39795 0 0
CF INDUSTRIES HOLDINGS, INC. COM 125269100 7416 36504 SH SOLE 36504 0 0
CIGNA CORP. COM 125509109 1832 34251 SH SOLE 34251 0 0
CIT GROUP, INC. COM 125581801 2705 69987 SH SOLE 69987 0 0
CME GROUP INC. COM 12572Q105 700 13815 SH SOLE 13815 0 0
CMS ENERGY CORP. COM 125896100 378 15513 SH SOLE 15513 0 0
C S S INDUSTRIES, INC. COM 125906107 252 11500 SH SOLE 11500 0 0
CNA FINANCIAL CORP. COM 126117100 369 13200 SH SOLE 13200 0 0
CSX CORP. COM 126408103 1128 57080 SH SOLE 57080 0 0
CVS CAREMARK CORP. COM 126650100 4941 102177 SH SOLE 102177 0 0
CYS INVESTMENTS INC REIT 12673A108 513 43500 SH SOLE 43500 0 0
CA, INC. COM 12673P105 1999 90948 SH SOLE 90948 0 0
CABLEVISION SYSTEMS CORP. COM 12686C109 1853 124000 SH SOLE 124000 0 0
CABOT OIL & GAS CORPORATION COM 127097103 322 6470 SH SOLE 6470 0 0
CADENCE DESIGN SYSTEMS, INC. COM 127387108 469 34700 SH SOLE 34700 0 0
CALPINE CORP. COM 131347304 203 11200 SH SOLE 11200 0 0
CAMBREX CORP. COM 132011107 145 12700 SH SOLE 12700 0 0
CAMDEN PROPERTY TRUST REIT 133131102 1824 26750 SH SOLE 26750 0 0
CAMPBELL SOUP COMPANY COM 134429109 429 12289 SH SOLE 12289 0 0
CANADIAN NATURAL RESOURCES LTD COM 136385101 947 32800 SH SOLE 32800 0 0
CAPITAL ONE FINANCIAL CORP. COM 14040H105 3787 65367 SH SOLE 65367 0 0
CAPITAL SENIOR LIVING CORP. COM 140475104 187 10000 SH SOLE 10000 0 0
CAPITALSOURCE INC. REIT 14055X102 392 51700 SH SOLE 51700 0 0
CARDINAL HEALTH INC. COM 14149Y108 1205 29233 SH SOLE 29233 0 0
CARDTRONICS INC. COM 14161H108 2374 100000 SH SOLE 100000 0 0
CAREFUSION CORP. COM 14170T101 584 20438 SH SOLE 20438 0 0
CARLISLE COS. INC. COM 142339100 253 4300 SH SOLE 4300 0 0
CARNIVAL CORP. COM 143658300 807 21937 SH SOLE 21937 0 0
CARTER'S INC. COM 146229109 684 12300 SH SOLE 12300 0 0
CASEY'S GENERAL STORES INC COM 147528103 808 15200 SH SOLE 15200 0 0
CASH AMERICA INTL, INC. COM 14754D100 230 5800 SH SOLE 5800 0 0
CATAMARAN CORP COM 148887102 323 6860 SH SOLE 6860 0 0
CATERPILLAR INC. COM 149123101 1141 12735 SH SOLE 12735 0 0
CELANESE CORPORATION COM 150870103 1318 29590 SH SOLE 29590 0 0
CELGENE CORP. COM 151020104 2621 33297 SH SOLE 33297 0 0
CENTERPOINT ENERGY INC. COM 15189T107 879 45666 SH SOLE 45666 0 0
CENTURYLINK, INC. COM 156700106 1595 40758 SH SOLE 40758 0 0
CERNER CORPORATION COM 156782104 474 6100 SH SOLE 6100 0 0
CHARLES RIVER LABORATORIES INT COM 159864107 974 26000 SH SOLE 26000 0 0
CHASE PACKAGING CORP. COM 161635107 0 19082 SH SOLE 19082 0 0
CHESAPEAKE ENERGY CORP. COM 165167107 2083 125288 SH SOLE 125288 0 0
CHESAPEAKE ENERGY CORP. CONV 165167BZ9 17901 19885000 PRN SOLE 19885000 0 0
CHESAPEAKE ENERGY CORP. CONV 165167CA3 65900 74517174 PRN SOLE 74517174 0 0
CHESAPEAKE ENERGY CORP. CONV 165167CB1 1613 2000000 PRN SOLE 2000000 0 0
CHESAPEAKE LODGING TRUST REIT 165240102 480 23000 SH SOLE 23000 0 0
CHEVRON CORPORATION COM 166764100 16763 155014 SH SOLE 155014 0 0
CHICAGO BRIDGE & IRON COMPANY COM 167250109 1015 21900 SH SOLE 21900 0 0
CHICO'S FAS, INC. COM 168615102 1693 91700 SH SOLE 91700 0 0
CHIMERA INVESTMENT CORP REIT 16934Q109 548 209930 SH SOLE 209930 0 0
CHINA MOBILE LTD ADR 16941M109 241 4100 SH SOLE 4100 0 0
CHUBB CORP., THE COM 171232101 1553 20624 SH SOLE 20624 0 0
CHURCH & DWIGHT CO. INC. COM 171340102 523 9760 SH SOLE 9760 0 0
CIMAREX ENERGY CO. COM 171798101 260 4500 SH SOLE 4500 0 0
CINCINNATI FINANCIAL CORP. COM 172062101 1270 32420 SH SOLE 32420 0 0
CINEMARK HOLDINGS INC. COM 17243V102 4928 189700 SH SOLE 189700 0 0
CISCO SYSTEMS INC. COM 17275R102 12017 611566 SH SOLE 611566 0 0
CINTAS CORP. COM 172908105 759 18527 SH SOLE 18527 0 0
CITIGROUP INC. COM 172967424 14140 357432 SH SOLE 357432 0 0
CITRIX SYSTEMS, INC. COM 177376100 554 8422 SH SOLE 8422 0 0
CLEAN ENERGY FUELS CORP. COM 184499101 2489 200000 SH SOLE 200000 0 0
CLIFFS NATURAL RESOURCES INC. COM 18683K101 1994 51706 SH SOLE 51706 0 0
CLOROX CO. COM 189054109 811 11070 SH SOLE 11070 0 0
CLOUD PEAK ENERGY INC COM 18911Q102 812 42000 SH SOLE 42000 0 0
COACH, INC. COM 189754104 1372 24713 SH SOLE 24713 0 0
COCA-COLA CO., THE COM 191216100 10291 283914 SH SOLE 283914 0 0
COCA-COLA ENTERPRISES INC. COM 19122T109 1045 32914 SH SOLE 32914 0 0
COCA-COLA FEMSA SA DE CV ADR 191241108 328 2200 SH SOLE 2200 0 0
COGNIZANT TECHNOLOGY SOLUTIONS COM 192446102 1032 13937 SH SOLE 13937 0 0
COLGATE-PALMOLIVE CO. COM 194162103 1892 18091 SH SOLE 18091 0 0
COLONIAL PROPERTIES TRUST REIT 195872106 269 12560 SH SOLE 12560 0 0
COLONY FINANCIAL INC REIT 19624R106 195 10000 SH SOLE 10000 0 0
COMCAST CORP. COM 20030N101 11439 305993 SH SOLE 305993 0 0
COMERICA INC. COM 200340107 647 21307 SH SOLE 21307 0 0
COMMERCIAL METALS CO. COM 201723103 193 13000 SH SOLE 13000 0 0
COMMONWEALTH REIT REIT 203233101 213 13397 SH SOLE 13397 0 0
COMMUNITY HEALTH SYSTEMS INC. COM 203668108 505 16400 SH SOLE 16400 0 0
CIA DE MINAS BUENAVENTURA SA ADR 204448104 791 22000 SH SOLE 22000 0 0
COMPASS MINERALS INTERNATIONAL COM 20451N101 1957 26200 SH SOLE 26200 0 0
COMPUTER SCIENCES CORP. COM 205363104 2103 52516 SH SOLE 52516 0 0
COMTECH TELECOMMUNICATIONS COM 205826209 223 8800 SH SOLE 8800 0 0
CONAGRA FOODS INC. COM 205887102 516 17458 SH SOLE 17458 0 0
CON-WAY INC. COM 205944101 775 27900 SH SOLE 27900 0 0
CONCHO RESOURCES, INC. COM 20605P101 902 11200 SH SOLE 11200 0 0
CONOCOPHILLIPS COM 20825C104 8013 138187 SH SOLE 138187 0 0
CONSOLIDATED EDISON INC. COM 209115104 1946 35051 SH SOLE 35051 0 0
CONSTELLATION BRANDS INC. COM 21036P108 1764 49864 SH SOLE 49864 0 0
COPART INCORPORATED COM 217204106 328 11100 SH SOLE 11100 0 0
CORELOGIC INC. COM 21871D103 391 14500 SH SOLE 14500 0 0
CORNING INC. COM 219350105 1256 99541 SH SOLE 99541 0 0
CORPORATE OFFICE PROPERTIES TR REIT 22002T108 615 24650 SH SOLE 24650 0 0
COSTCO WHOLESALE CORP. COM 22160K105 2089 21154 SH SOLE 21154 0 0
COTT CORP. COM 22163N106 18352 2285300 SH SOLE 2285300 0 0
COVENTRY HEALTH CARE INC. COM 222862104 526 11753 SH SOLE 11753 0 0
CREE, INC. COM 225447101 214 6300 SH SOLE 6300 0 0
CROWN CASTLE INTERNATIONAL COR COM 228227104 506 7000 SH SOLE 7000 0 0
CROWN HOLDINGS INC. COM 228368106 2577 70000 SH SOLE 70000 0 0
CUMMINS INC. COM 231021106 925 8538 SH SOLE 8538 0 0
CYTEC INDUSTRIES INC. COM 232820100 221 3200 SH SOLE 3200 0 0
DCT INDUSTRIAL TRUST, INC. REIT 233153105 203 31320 SH SOLE 31320 0 0
DDR CORP. REIT 23317H102 581 37050 SH SOLE 37050 0 0
D.R. HORTON INC. COM 23331A109 531 26806 SH SOLE 26806 0 0
DST SYSTEMS, INC. COM 233326107 1055 17420 SH SOLE 17420 0 0
DTE ENERGY CO. COM 233331107 2140 35637 SH SOLE 35637 0 0
DSW, INC. COM 23334L102 276 4200 SH SOLE 4200 0 0
DAISY SYS CORPORATION COM 234050102 0 15203 SH SOLE 15203 0 0
DANAHER CORP. COM 235851102 2015 36048 SH SOLE 36048 0 0
DARDEN RESTAURANTS INC. COM 237194105 394 8727 SH SOLE 8727 0 0
DARLING INTERNATIONAL INC. COM 237266101 6496 405000 SH SOLE 405000 0 0
DAVITA HEALTHCARE PARTNERS INC COM 23918K108 615 5568 SH SOLE 5568 0 0
DEAN FOODS COMPANY COM 242370104 4662 282409 SH SOLE 282409 0 0
DEERE & COMPANY COM 244199105 1887 21831 SH SOLE 21831 0 0
DELL INC. COM 24702R101 1044 103125 SH SOLE 103125 0 0
DELTA AIR LINES INC. COM 247361702 3039 255991 SH SOLE 255991 0 0
DENBURY RESOURCES INC. COM 247916208 200 12297 SH SOLE 12297 0 0
DEVON ENERGY CORP. COM 25179M103 1198 23014 SH SOLE 23014 0 0
DIAL GLOBAL INC. COM 25247X107 99 407635 SH SOLE 407635 0 0
DIAMOND OFFSHORE DRILLING INC. COM 25271C102 1974 29063 SH SOLE 29063 0 0
DIAMONDROCK HOSPITALITY CO. REIT 252784301 194 21530 SH SOLE 21530 0 0
DIEBOLD, INC. COM 253651103 3331 108800 SH SOLE 108800 0 0
DIGITAL REALTY TRUST INC. REIT 253868103 2671 39350 SH SOLE 39350 0 0
DIGITALGLOBE, INC. COM 25389M877 4888 200000 SH SOLE 200000 0 0
DILLARD'S INC. COM 254067101 1115 13300 SH SOLE 13300 0 0
WALT DISNEY COMPANY, THE COM 254687106 5284 106141 SH SOLE 106141 0 0
DISCOVER FINANCIAL SERVICES IN COM 254709108 2463 63878 SH SOLE 63878 0 0
DISCOVERY COMMUNICATIONS INC. COM 25470F104 1225 19300 SH SOLE 19300 0 0
DISH NETWORK CORP. COM 25470M109 601 16500 SH SOLE 16500 0 0
DIRECTV COM 25490A309 2369 47214 SH SOLE 47214 0 0
DOLBY LABORATORIES, INC. COM 25659T107 420 14330 SH SOLE 14330 0 0
DOLLAR TREE, INC. COM 256746108 371 9120 SH SOLE 9120 0 0
DOMINION RESOURCES INC. COM 25746U109 692 13358 SH SOLE 13358 0 0
DOMTAR CORP. COM 257559203 743 8900 SH SOLE 8900 0 0
R.R. DONNELLEY & SONS COMPANY COM 257867101 2828 314257 SH SOLE 314257 0 0
DOUGLAS EMMETT, INC. REIT 25960P109 1125 48270 SH SOLE 48270 0 0
DOVER CORP. COM 260003108 970 14776 SH SOLE 14776 0 0
DOW CHEMICAL CO., THE COM 260543103 2953 91376 SH SOLE 91376 0 0
DR PEPPER SNAPPLE GROUP INC. COM 26138E109 862 19514 SH SOLE 19514 0 0
DREW INDUSTRIES, INC. COM 26168L205 261 8100 SH SOLE 8100 0 0
DRIL-QUIP, INC. COM 262037104 380 5200 SH SOLE 5200 0 0
DU PONT (E.I.) DE NEMOURS & CO COM 263534109 1090 24231 SH SOLE 24231 0 0
DUKE REALTY CORPORATION REIT 264411505 1285 92660 SH SOLE 92660 0 0
DUKE ENERGY CORP. COM 26441C204 2812 44081 SH SOLE 44081 0 0
DUN & BRADSTREET CORP., THE COM 26483E100 1633 20765 SH SOLE 20765 0 0
E C C CAPITAL CORP. REIT 26826M108 114 1200000 SH SOLE 1200000 0 0
EMC CORP. COM 268648102 5358 211757 SH SOLE 211757 0 0
EOG RESOURCES INC. COM 26875P101 803 6645 SH SOLE 6645 0 0
ENTERTAINMENT PROPERTIES REIT 26884U109 308 6680 SH SOLE 6680 0 0
EARTHLINK, INC. COM 270321102 98 15200 SH SOLE 15200 0 0
EASTMAN CHEMICAL CO. COM 277432100 4967 72980 SH SOLE 72980 0 0
EBAY INC. COM 278642103 2625 51472 SH SOLE 51472 0 0
ECHOSTAR CORPORATION COM 278768106 1010 29500 SH SOLE 29500 0 0
EDISON INTERNATIONAL COM 281020107 539 11954 SH SOLE 11954 0 0
EL PASO ELECTRIC COMPANY COM 283677854 246 7700 SH SOLE 7700 0 0
ELECTRONIC ARTS INC. COM 285512109 586 40323 SH SOLE 40323 0 0
EMCOR GROUP, INC. COM 29084Q100 380 11000 SH SOLE 11000 0 0
EMERSON ELECTRIC CO. COM 291011104 1055 19922 SH SOLE 19922 0 0
ENDO PHARMACEUTICALS HOLDINGS COM 29264F205 499 19000 SH SOLE 19000 0 0
ENERGIZER HOLDINGS INC. COM 29266R108 440 5500 SH SOLE 5500 0 0
ENERSYS COM 29275Y102 3010 80000 SH SOLE 80000 0 0
ENGILITY HOLDINGS, INC COM 29285W104 475 24700 SH SOLE 24700 0 0
ENTERGY CORP COM 29364G103 1480 23209 SH SOLE 23209 0 0
EQUIFAX INC. COM 294429105 702 12978 SH SOLE 12978 0 0
EQUINIX INC. COM 29444U502 245 1190 SH SOLE 1190 0 0
EQUITY LIFESTYLE PROPERTIES REIT 29472R108 329 4890 SH SOLE 4890 0 0
EQUITY RESIDENTIAL REIT 29476L107 6300 111177 SH SOLE 111177 0 0
ESSEX PROPERTY TRUST INC. REIT 297178105 1799 12270 SH SOLE 12270 0 0
ESSEX RENTAL CORPORATION COM 297187106 493 144191 SH SOLE 144191 0 0
EXELON CORP. COM 30161N101 2556 85952 SH SOLE 85952 0 0
EXELIS INC. COM 30162A108 508 45100 SH SOLE 45100 0 0
EXPEDIA INC. COM 30212P303 2337 38040 SH SOLE 38040 0 0
EXPRESS SCRIPTS HOLDING COMPAN COM 30219G108 3970 73526 SH SOLE 73526 0 0
EXTRA SPACE STORAGE, INC. REIT 30225T102 890 24430 SH SOLE 24430 0 0
EZCORP INC COM 302301106 729 36700 SH SOLE 36700 0 0
EXXON CORP. COM 30231G102 35733 412866 SH SOLE 412866 0 0
FACEBOOK INC COM 30303M102 261 9800 SH SOLE 9800 0 0
FEDERAL REALTY INVESTMENT TRUS REIT 313747206 2332 22420 SH SOLE 22420 0 0
FEDERATED INVESTORS, INC. COM 314211103 2037 100701 SH SOLE 100701 0 0
FEDEX CORP. COM 31428X106 1061 11566 SH SOLE 11566 0 0
F5 NETWORKS, INC. COM 315616102 220 2260 SH SOLE 2260 0 0
FIDELITY NATIONAL INFORMATION COM 31620M106 427 12260 SH SOLE 12260 0 0
FIDELITY NATIONAL FINANCIAL IN COM 31620R105 575 24400 SH SOLE 24400 0 0
FIFTH THIRD BANCORP COM 316773100 1678 110493 SH SOLE 110493 0 0
FIRST INTERSTATE BANCSYSTEM IN COM 32055Y201 171 11100 SH SOLE 11100 0 0
FIRST NIAGARA FINANCIAL GROUP, COM 33582V108 234 29500 SH SOLE 29500 0 0
FIRST SOLAR INC. COM 336433107 865 28000 SH SOLE 28000 0 0
FISERV INC. COM 337738108 825 10435 SH SOLE 10435 0 0
FIRSTENERGY CORP. COM 337932107 1109 26550 SH SOLE 26550 0 0
FLEETCOR TECHNOLOGIES, INC COM 339041105 236 4400 SH SOLE 4400 0 0
FLUOR CORP. COM 343412102 2559 43556 SH SOLE 43556 0 0
FLOWSERVE CORP. COM 34354P105 511 3477 SH SOLE 3477 0 0
FOOT LOCKER INC. COM 344849104 1651 51400 SH SOLE 51400 0 0
FORBES ENERGY SERVICES LTD. COM 345143101 506 200000 SH SOLE 200000 0 0
FORD MOTOR CO. COM 345370860 3984 307575 SH SOLE 307575 0 0
FOREST CITY ENTERPRISES, INC. REIT 345550107 267 16550 SH SOLE 16550 0 0
FOREST LABORATORIES, INC. COM 345838106 408 11550 SH SOLE 11550 0 0
LB FOSTER CO COM 350060109 235 5400 SH SOLE 5400 0 0
FRANKLIN RESOURCES INC. COM 354613101 1033 8225 SH SOLE 8225 0 0
FREEPORT-MCMORAN COPPER & GOLD COM 35671D857 4412 129012 SH SOLE 129012 0 0
FRONTIER COMMUNICATIONS CORP. COM 35906A108 283 66245 SH SOLE 66245 0 0
GT ADVANCED TECHNOLOGOES, INC. COM 36191U106 60 20000 SH SOLE 20000 0 0
GSE SYSTEMS INC COM 36227K106 1019 472100 SH SOLE 472100 0 0
GAMESTOP CORP. COM 36467W109 1406 56012 SH SOLE 56012 0 0
GANNETT CO., INC. COM 364730101 2094 116283 SH SOLE 116283 0 0
GAP INC., THE COM 364760108 2231 71895 SH SOLE 71895 0 0
GENERAL CABLE CORP. COM 369300108 623 20500 SH SOLE 20500 0 0
GENERAL DYNAMICS CORP. COM 369550108 2027 29251 SH SOLE 29251 0 0
GENERAL ELECTRIC CO. COM 369604103 23890 1138101 SH SOLE 1138101 0 0
GENERAL GROWTH PROPERTIES, INC REIT 370023103 3615 182096 SH SOLE 182096 0 0
GENERAL MILLS INC. COM 370334104 2777 68722 SH SOLE 68722 0 0
GENERAL MOTORS CO COM 37045V100 2963 102721 SH SOLE 102721 0 0
GENERAL MOTORS CO WAR 37045V118 951 48744 SH SOLE 48744 0 0
GENERAL MOTORS CO WAR 37045V126 608 48744 SH SOLE 48744 0 0
GENTEK, INC. COM 37245X104 0 138450 SH SOLE 138450 0 0
GENUINE PARTS CO COM 372460105 475 7470 SH SOLE 7470 0 0
GEO SPECIALTY CHEMICALS, INC. COM 37246R106 0 80750 SH SOLE 80750 0 0
GENWORTH FINANCIAL INC. COM 37247D106 963 128253 SH SOLE 128253 0 0
GEOMET, INC. COM 37250U201 12 85857 SH SOLE 85857 0 0
GILEAD SCIENCES, INC. COM 375558103 4235 57661 SH SOLE 57661 0 0
GLOBAL PAYMENTS, INC. COM 37940X102 555 12250 SH SOLE 12250 0 0
GOLD FIELDS LTD ADR 38059T106 814 65200 SH SOLE 65200 0 0
GOLD RESOURCE CORP COM 38068T105 652 42300 SH SOLE 42300 0 0
GOLDCORP INC. COM 380956409 367 10000 SH SOLE 10000 0 0
GOLDMAN SACHS GROUP INC., THE COM 38141G104 6859 53768 SH SOLE 53768 0 0
GOODYEAR TIRE & RUBBER CO., TH COM 382550101 1133 82012 SH SOLE 82012 0 0
GOOGLE INC. COM 38259P508 9096 12823 SH SOLE 12823 0 0
WR GRACE & COMPANY COM 38388F108 1008 15000 SH SOLE 15000 0 0
GRAPHIC PACKAGING HOLDING CO. COM 388689101 20990 3249300 SH SOLE 3249300 0 0
GREAT LAKES DREDGE & DOCK CORP COM 390607109 12766 1429400 SH SOLE 1429400 0 0
GREIF INC. COM 397624107 2506 56300 SH SOLE 56300 0 0
GUESS?, INC. COM 401617105 236 9600 SH SOLE 9600 0 0
HCA HOLDINGS, INC. COM 40412C101 903 29900 SH SOLE 29900 0 0
HCC INSURANCE HOLDINGS INC. COM 404132102 208 5566 SH SOLE 5566 0 0
HCP INC. REIT 40414L109 6914 153031 SH SOLE 153031 0 0
HALCON RESOURCES CORPORATION COM 40537Q209 1730 250000 SH SOLE 250000 0 0
HALLADOR ENERGY CO COM 40609P105 218 26404 SH SOLE 26404 0 0
HALLIBURTON CO. COM 406216101 269 7738 SH SOLE 7738 0 0
HANESBRANDS INC. COM 410345102 1014 28300 SH SOLE 28300 0 0
HANOVER INSURANCE GROUP INC., COM 410867105 275 7100 SH SOLE 7100 0 0
HARLEY-DAVIDSON INC. COM 412822108 293 6010 SH SOLE 6010 0 0
HARMAN INTERNATIONAL INDUSTRIE COM 413086109 734 16443 SH SOLE 16443 0 0
HARRIS CORP. COM 413875105 2321 47394 SH SOLE 47394 0 0
HARTFORD FINANCIAL SERVICES GR COM 416515104 1489 66370 SH SOLE 66370 0 0
HASBRO INC. COM 418056107 821 22878 SH SOLE 22878 0 0
HATTERAS FINANCIAL CORP REIT 41902R103 500 20140 SH SOLE 20140 0 0
HAWAIIAN ELECTRONIC INDUSTRIES COM 419870100 234 9300 SH SOLE 9300 0 0
HAWAIIAN HOLDINGS INC COM 419879101 95 14400 SH SOLE 14400 0 0
HEALTH MANAGEMENT ASSOCIATES I COM 421933102 255 27400 SH SOLE 27400 0 0
HEALTHCARE REALTY TRUST, INC. REIT 421946104 223 9280 SH SOLE 9280 0 0
HEALTH CARE REIT INC. REIT 42217K106 4536 73996 SH SOLE 73996 0 0
HEINEKEN NV ADR 423012301 292 8700 SH SOLE 8700 0 0
HEINZ (H.J.) CO. COM 423074103 1402 24316 SH SOLE 24316 0 0
HELIX ENERGY SOLUTIONS GROUP COM 42330P107 910 44100 SH SOLE 44100 0 0
HELMERICH & PAYNE, INC. COM 423452101 1016 18140 SH SOLE 18140 0 0
JACK HENRY & ASSOCIATES INC COM 426281101 294 7500 SH SOLE 7500 0 0
HERSHEY COMPANY, THE COM 427866108 229 3166 SH SOLE 3166 0 0
HERTZ GLOBAL HOLDINGS INC. COM 42805T105 301 18500 SH SOLE 18500 0 0
HESS CORP COM 42809H107 778 14679 SH SOLE 14679 0 0
HEWLETT-PACKARD CO. COM 428236103 1535 107737 SH SOLE 107737 0 0
HIGHWOODS PROPERTIES, INC. REIT 431284108 753 22520 SH SOLE 22520 0 0
HILLENBRAND, INC. COM 431571108 6535 288981 SH SOLE 288981 0 0
HILLSHIRE BRANDS CO. (THE) COM 432589109 897 31880 SH SOLE 31880 0 0
HOLLYFRONTIER CORP. COM 436106108 4145 89020 SH SOLE 89020 0 0
HOME DEPOT INC. COM 437076102 8252 133417 SH SOLE 133417 0 0
HOME PROPERTIES, INC. COM 437306103 284 4640 SH SOLE 4640 0 0
HONEYWELL INTERNATIONAL INC. COM 438516106 3530 55617 SH SOLE 55617 0 0
HORMEL FOODS CORP. COM 440452100 236 7528 SH SOLE 7528 0 0
HORNBECK OFFSHORE SERVICES INC COM 440543106 2919 85000 SH SOLE 85000 0 0
HOSPIRA INC. COM 441060100 860 27541 SH SOLE 27541 0 0
HOSPITALITY PROPERTIES TRUST REIT 44106M102 473 20212 SH SOLE 20212 0 0
HOST HOTELS & RESORTS INC. REIT 44107P104 3712 236908 SH SOLE 236908 0 0
HOWARD HUGHES CORP/THE COM 44267D107 285 3910 SH SOLE 3910 0 0
HUBBELL INC. COM 443510201 220 2600 SH SOLE 2600 0 0
HUDSON CITY BANCORP, INC. COM 443683107 690 84715 SH SOLE 84715 0 0
HUMANA INC. COM 444859102 1211 17649 SH SOLE 17649 0 0
HUNTINGTON BANCSHARES INC. COM 446150104 1308 204872 SH SOLE 204872 0 0
HUNTINGTON INGALLS INDUSTRIES COM 446413106 510 11777 SH SOLE 11777 0 0
HUNTSMAN CORP. COM 447011107 1798 113100 SH SOLE 113100 0 0
ITT CORP. COM 450911201 383 16350 SH SOLE 16350 0 0
IDEX CORP. COM 45167R104 463 9950 SH SOLE 9950 0 0
ILLINOIS TOOL WORKS INC. COM 452308109 2810 46215 SH SOLE 46215 0 0
ILLUMINA, INC. COM 452327109 222 4000 SH SOLE 4000 0 0
INDEPENDENCE HOLDING COMPANY COM 453440307 2022 212409 SH SOLE 212409 0 0
INGREDION INCORPORATED COM 457187102 2974 46156 SH SOLE 46156 0 0
INNOPHOS HOLDINGS INC. COM 45774N108 15810 340000 SH SOLE 340000 0 0
INTEL CORP. COM 458140100 9986 484034 SH SOLE 484034 0 0
INTEL CORP. CONV 458140AD2 23834 22983000 PRN SOLE 22983000 0 0
INTEGRYS ENERGY GROUP INC. COM 45822P105 974 18651 SH SOLE 18651 0 0
INTERCONTINENTALEXCHANGE, INC. COM 45865V100 354 2860 SH SOLE 2860 0 0
IBM CORPORATION COM 459200101 12826 66960 SH SOLE 66960 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 5063 357301 SH SOLE 357301 0 0
INTERNATIONAL PAPER COMPANY COM 460146103 5215 130894 SH SOLE 130894 0 0
INTERPUBLIC GROUP OF COMPANIES COM 460690100 437 39686 SH SOLE 39686 0 0
INTUIT INC. COM 461202103 517 8699 SH SOLE 8699 0 0
INTUITIVE SURGICAL, INC. COM 46120E602 616 1256 SH SOLE 1256 0 0
INVESCO MORTGAGE CAPITAL INC REIT 46131B100 402 20380 SH SOLE 20380 0 0
IRON MOUNTAIN INC. COM 462846106 289 9313 SH SOLE 9313 0 0
ISHARES MSCI SPAIN INDEX FUND ETF 464286764 212 7000 SH SOLE 7000 0 0
ISHARES MSCI ETF 464286848 432 44300 SH SOLE 44300 0 0
ISHARES MSCI ITALY INDEX FUND ETF 464286855 217 16100 SH SOLE 16100 0 0
ISHARES TRUST ETF 464287184 1384 34200 SH SOLE 34200 0 0
ISHARES TRUST ETF 464287465 2439 42930 SH SOLE 42930 0 0
ISHARES TRUST ETF 464287689 51874 612589 SH SOLE 612589 0 0
ITC HOLDINGS CORP. COM 465685105 300 3900 SH SOLE 3900 0 0
ITRON INC. COM 465741106 4457 100000 SH SOLE 100000 0 0
JPMORGAN CHASE & CO. COM 46625H100 15867 360843 SH SOLE 360843 0 0
JABIL CIRCUIT INC. COM 466313103 269 13949 SH SOLE 13949 0 0
JACOBS ENGINEERING GROUP, INC. COM 469814107 1167 27444 SH SOLE 27444 0 0
JANUS CAPITAL GROUP INC. COM 47102X105 291 34200 SH SOLE 34200 0 0
JARDEN CORP. COM 471109108 807 15600 SH SOLE 15600 0 0
JETBLUE AIRWAYS CORPORATION COM 477143101 4538 794749 SH SOLE 794749 0 0
JOHNSON & JOHNSON COM 478160104 17210 245500 SH SOLE 245500 0 0
JOHNSON CONTROLS INC. COM 478366107 322 10477 SH SOLE 10477 0 0
JONES LANG LASALLE INC. REIT 48020Q107 598 7120 SH SOLE 7120 0 0
JUNIPER NETWORKS INC. COM 48203R104 369 18737 SH SOLE 18737 0 0
KAR AUCTION SERVICES INC. COM 48238T109 15376 759700 SH SOLE 759700 0 0
KBR, INC. COM 48242W106 407 13600 SH SOLE 13600 0 0
KLA-TENCOR CORP. COM 482480100 1360 28487 SH SOLE 28487 0 0
KANSAS CITY SOUTHERN COM 485170302 309 3700 SH SOLE 3700 0 0
KELLOGG CO. COM 487836108 582 10403 SH SOLE 10403 0 0
KEYCORP COM 493267108 1139 135136 SH SOLE 135136 0 0
KILROY REALTY CORP. REIT 49427F108 553 11680 SH SOLE 11680 0 0
KIMBERLY-CLARK CORP. COM 494368103 2565 30394 SH SOLE 30394 0 0
KIMCO REALTY CORP. REIT 49446R109 3147 162937 SH SOLE 162937 0 0
KOHL'S CORP. COM 500255104 1560 36291 SH SOLE 36291 0 0
KRAFT FOODS GROUP INC. COM 50076Q106 2078 45713 SH SOLE 45713 0 0
KROGER CO. COM 501044101 1323 50823 SH SOLE 50823 0 0
KRONOS WORLDWIDE INC. COM 50105F105 423 21700 SH SOLE 21700 0 0
KULICKE & SOFFA INDUSTRIES COM 501242101 181 15100 SH SOLE 15100 0 0
LKQ CORPORATION COM 501889208 1133 53700 SH SOLE 53700 0 0
LSI CORPORATION COM 502161102 288 40554 SH SOLE 40554 0 0
L-3 COMMUNICATIONS HOLDINGS IN COM 502424104 1440 18798 SH SOLE 18798 0 0
LABORATORY CORPORATION OF AMER COM 50540R409 556 6413 SH SOLE 6413 0 0
LAM RESEARCH CORP. COM 512807108 467 12922 SH SOLE 12922 0 0
LAMAR ADVERTISING CO. COM 512815101 264 6800 SH SOLE 6800 0 0
LASALLE HOTEL PROPERTIES REIT 517942108 318 12510 SH SOLE 12510 0 0
ESTEE LAUDER COMPANIES INC., T COM 518439104 435 7266 SH SOLE 7266 0 0
LEAR CORP. COM 521865204 1770 37790 SH SOLE 37790 0 0
LEGGETT & PLATT INC. COM 524660107 227 8341 SH SOLE 8341 0 0
LEGG MASON INC. COM 524901105 506 19673 SH SOLE 19673 0 0
LENDER PROCESSING SERVICES INC COM 52602E102 485 19700 SH SOLE 19700 0 0
LENNAR CORP. COM 526057104 289 7500 SH SOLE 7500 0 0
LEUCADIA NATIONAL CORP. COM 527288104 258 10889 SH SOLE 10889 0 0
LEVEL 3 COMMUNICATIONS, INC. CONV 52729NBM1 2700 2500000 PRN SOLE 2500000 0 0
LEVEL 3 COMMUNICATIONS, INC. CONV 52729NBR0 1485 1050000 PRN SOLE 1050000 0 0
LEXINGTON REALTY TRUST COM 529043101 205 19630 SH SOLE 19630 0 0
LEXMARK INTERNATIONAL INC. COM 529771107 278 11974 SH SOLE 11974 0 0
LIBERTY MEDIA CORP COM 530322106 1357 11705 SH SOLE 11705 0 0
LIBERTY GLOBAL INC. COM 530555101 806 12800 SH SOLE 12800 0 0
LIBERTY INTERACTIVE CORPORATIO COM 53071M104 942 47900 SH SOLE 47900 0 0
LIBERTY INTERACTIVE CORPORATIO COM 53071M880 603 8900 SH SOLE 8900 0 0
LIBERTY PROPERTY L.P. REIT 531172104 1586 44338 SH SOLE 44338 0 0
LIFE TECHNOLOGIES CORPORATION COM 53217V109 1741 35487 SH SOLE 35487 0 0
ELI LILLY & CO. COM 532457108 4011 81352 SH SOLE 81352 0 0
LIMITED BRANDS INC. COM 532716107 589 12510 SH SOLE 12510 0 0
LINCOLN EDUCATIONAL SERVICES COM 533535100 111 19900 SH SOLE 19900 0 0
LINCOLN ELECTRIC HOLDINGS, INC COM 533900106 643 13200 SH SOLE 13200 0 0
LINCOLN NATIONAL CORP. COM 534187109 1865 72002 SH SOLE 72002 0 0
LINEAR TECHNOLOGY CORPORATION COM 535678106 298 8706 SH SOLE 8706 0 0
LOCKHEED MARTIN CORP. COM 539830109 13820 149746 SH SOLE 149746 0 0
LOEWS CORP. COM 540424108 650 15946 SH SOLE 15946 0 0
LORAL SPACE & COMMUNICATIONS, COM 543881106 328 5998 SH SOLE 5998 0 0
LORILLARD INC. COM 544147101 627 5367 SH SOLE 5367 0 0
LOWE'S COS. INC. COM 548661107 3492 98324 SH SOLE 98324 0 0
M&T BANK CORP. COM 55261F104 1506 15294 SH SOLE 15294 0 0
MBIA INC. COM 55262C100 215 27300 SH SOLE 27300 0 0
M F R I, INC. COM 552721102 2216 390940 SH SOLE 390940 0 0
MFA FINANCIAL, INC. REIT 55272X102 1604 197790 SH SOLE 197790 0 0
MGM RESORTS INTERNATIONAL COM 552953101 478 41100 SH SOLE 41100 0 0
M K S INSTRUMENTS, INC. COM 55306N104 356 13800 SH SOLE 13800 0 0
M W I VETERINARY SUPPLY, INC. COM 55402X105 253 2300 SH SOLE 2300 0 0
MACERICH COMPANY, THE REIT 554382101 2994 51365 SH SOLE 51365 0 0
MACK-CALI REALTY CORP. REIT 554489104 406 15554 SH SOLE 15554 0 0
MACY'S INC. COM 55616P104 3894 99813 SH SOLE 99813 0 0
MANITOWOC COMPANY INC. COM 563571108 203 12900 SH SOLE 12900 0 0
MANOR CARE, INC. CONV 564055AP6 28069 20833333 PRN SOLE 20833333 0 0
MANPOWER INC. COM 56418H100 212 5000 SH SOLE 5000 0 0
MAP PHARMACEUTICALS, INC. COM 56509R108 1594 101459 SH SOLE 101459 0 0
MARATHON OIL CORPORATION COM 565849106 1502 48952 SH SOLE 48952 0 0
MARATHON PETROLEUM CORPORATION COM 56585A102 4420 70155 SH SOLE 70155 0 0
MARKET VECTORS EGYPT INDEX ETF ETF 57060U548 262 20000 SH SOLE 20000 0 0
MARKET VECTORS JUNIOR GOLD MIN ETF 57060U589 297 15000 SH SOLE 15000 0 0
MARKET VECTORS CHINA ETF ETF 57060U597 3650 100000 SH SOLE 100000 0 0
MARKET VECTORS VIETNAM ETF ETF 57060U761 1081 60000 SH SOLE 60000 0 0
MARSH & MCLENNAN COMPANIES INC COM 571748102 1369 39743 SH SOLE 39743 0 0
MARRIOTT INTERNATIONAL INC. COM 571903202 871 23349 SH SOLE 23349 0 0
MASCO CORP. COM 574599106 1083 65019 SH SOLE 65019 0 0
MASSEY ENERGY CO. CONV 576203AJ2 8903 9250000 PRN SOLE 9250000 0 0
MASTERCARD INCORPORATED COM 57636Q104 2762 5621 SH SOLE 5621 0 0
MATTEL INC. COM 577081102 537 14651 SH SOLE 14651 0 0
MCCORMICK & CO. INC. COM 579780206 605 9534 SH SOLE 9534 0 0
MCDERMOTT INTERNATIONAL INC. COM 580037109 137 12400 SH SOLE 12400 0 0
MCDONALD'S CORP. COM 580135101 2365 26815 SH SOLE 26815 0 0
MCGRAW-HILL COMPANIES, THE COM 580645109 1379 25227 SH SOLE 25227 0 0
MCKESSON CORP. COM 58155Q103 4399 45376 SH SOLE 45376 0 0
MEAD JOHNSON NUTRITION COMPANY COM 582839106 292 4436 SH SOLE 4436 0 0
MEDIFAST INC COM 58470H101 208 7900 SH SOLE 7900 0 0
MEDTRONIC INC. COM 585055106 3970 96807 SH SOLE 96807 0 0
MEDTRONIC INC. CONV 585055AB2 8020 8000000 PRN SOLE 8000000 0 0
MERCK & CO. INC. COM 58933Y105 12052 294383 SH SOLE 294383 0 0
MET-PRO CORP. COM 590876306 623 64349 SH SOLE 64349 0 0
METLIFE INC. COM 59156R108 2985 90625 SH SOLE 90625 0 0
METROPCS COMMUNICATIONS INC. COM 591708102 1101 110739 SH SOLE 110739 0 0
MICROS SYSTEMS INC COM 594901100 844 19900 SH SOLE 19900 0 0
MICROSOFT CORP. COM 594918104 22028 824096 SH SOLE 824096 0 0
MICRON TECHNOLOGY INC. COM 595112103 115 18150 SH SOLE 18150 0 0
MID-AMERICA APARTMENT COMMUNIT REIT 59522J103 369 5710 SH SOLE 5710 0 0
MOLEX, INCORPORATED COM 608554101 594 21703 SH SOLE 21703 0 0
MOLSON COORS BREWING COMPANY COM 60871R209 857 20025 SH SOLE 20025 0 0
MONDELEZ INTERNATIONAL, INC. COM 609207105 2266 88946 SH SOLE 88946 0 0
MONSANTO CO. COM 61166W101 7416 78353 SH SOLE 78353 0 0
MOODY'S CORPORATION COM 615369105 597 11865 SH SOLE 11865 0 0
MORGAN STANLEY COM 617446448 996 52093 SH SOLE 52093 0 0
MOSAIC CO., THE COM 61945C103 872 15400 SH SOLE 15400 0 0
MOTOROLA SOLUTIONS INC. COM 620076307 1106 19871 SH SOLE 19871 0 0
MOTORS LIQUIDATION CO GUC TRUS COM 62010U101 227 10729 SH SOLE 10729 0 0
MULTI-COLOR CORP. COM 625383104 2150 89616 SH SOLE 89616 0 0
MURPHY OIL CORP. COM 626717102 1139 19133 SH SOLE 19133 0 0
MYLAN INC. COM 628530107 684 24906 SH SOLE 24906 0 0
MYRIAD GENETICS, INC. COM 62855J104 439 16100 SH SOLE 16100 0 0
NRG ENERGY INC. COM 629377508 342 14920 SH SOLE 14920 0 0
NYSE EURONEXT COM 629491101 595 18868 SH SOLE 18868 0 0
NABORS INDUSTRIES INC. CONV 629568AF3 8307 8307373 PRN SOLE 8307373 0 0
NASDAQ OMX GROUP, INC., THE COM 631103108 245 9767 SH SOLE 9767 0 0
NATIONAL OILWELL VARCO INC. COM 637071101 2611 38203 SH SOLE 38203 0 0
NATIONAL RETAIL PROPERTIES INC REIT 637417106 600 19250 SH SOLE 19250 0 0
NAVISTAR INTERNATIONAL CORP. COM 63934E108 268 12300 SH SOLE 12300 0 0
NEEBO INC. COM 63983W108 0 235261 SH SOLE 235261 0 0
NEENAH ENTERPRISES, INC. COM 64007R109 1343 154333 SH SOLE 154333 0 0
NETAPP INC. COM 64110D104 1039 30967 SH SOLE 30967 0 0
NETFLIX INC COM 64110L106 232 2496 SH SOLE 2496 0 0
NETWORK COMPUTING DEVICES, INC COM 64120N100 0 62636 SH SOLE 62636 0 0
NEW YORK COMMUNITY BANCORP, IN COM 649445103 633 48340 SH SOLE 48340 0 0
NEWELL RUBBERMAID INC. COM 651229106 918 41221 SH SOLE 41221 0 0
NEWMARKET CORP. COM 651587107 343 1310 SH SOLE 1310 0 0
NEWMONT MINING CORP. COM 651639106 1795 38654 SH SOLE 38654 0 0
NEWS CORPORATION COM 65248E104 5092 199388 SH SOLE 199388 0 0
NEXTERA ENERGY INC. COM 65339F101 1569 22668 SH SOLE 22668 0 0
NIKE INC. COM 654106103 891 17264 SH SOLE 17264 0 0
NORDSTROM INC. COM 655664100 674 12619 SH SOLE 12619 0 0
NORFOLK SOUTHERN CORP. COM 655844108 396 6386 SH SOLE 6386 0 0
NORTHEAST UTILITIES COM 664397106 1039 26564 SH SOLE 26564 0 0
NORTHERN OIL AND GAS INC COM 665531109 563 33500 SH SOLE 33500 0 0
NORTHERN TRUST CORP. COM 665859104 543 10820 SH SOLE 10820 0 0
NORTHROP GRUMMAN CORP. COM 666807102 2624 38810 SH SOLE 38810 0 0
NOVATION CO INC REIT 66989V107 11941 19258775 SH SOLE 19258775 0 0
NOVO NORDISK A/S ADR 670100205 1208 7400 SH SOLE 7400 0 0
NU SKIN ENTERPRISES, INC. COM 67018T105 997 26900 SH SOLE 26900 0 0
NUCOR CORP. COM 670346105 4851 112317 SH SOLE 112317 0 0
NVIDIA CORP. COM 67066G104 528 42911 SH SOLE 42911 0 0
NV ENERGY INC. COM 67073Y106 943 52000 SH SOLE 52000 0 0
OGE ENERGY CORP. COM 670837103 238 4224 SH SOLE 4224 0 0
O'REILLY AUTOMOTIVE, INC. COM 67103H107 1211 13547 SH SOLE 13547 0 0
OCCIDENTAL PETROLEUM CORP. COM 674599105 2755 35965 SH SOLE 35965 0 0
OIL STATES INTERNATIONAL INC. COM 678026105 1116 15600 SH SOLE 15600 0 0
OMNICARE INC. COM 681904108 473 13100 SH SOLE 13100 0 0
OMNICOM GROUP INC. COM 681919106 687 13745 SH SOLE 13745 0 0
OMEGA HEALTHCARE INVESTORS COM 681936100 310 12980 SH SOLE 12980 0 0
ONEOK INC. COM 682680103 561 13100 SH SOLE 13100 0 0
ORACLE CORP. COM 68389X105 8775 263345 SH SOLE 263345 0 0
OSHKOSH TRUCK CORPORATION COM 688239201 801 27000 SH SOLE 27000 0 0
OWENS-ILLINOIS INC. COM 690768403 557 26138 SH SOLE 26138 0 0
PG&E CORP. COM 69331C108 1946 48435 SH SOLE 48435 0 0
PNC FINANCIAL SERVICES GROUP COM 693475105 2482 42558 SH SOLE 42558 0 0
PPG INDUSTRIES INC. COM 693506107 1847 13643 SH SOLE 13643 0 0
PPL CORP. COM 69351T106 1418 49502 SH SOLE 49502 0 0
PVH CORP. COM 693656100 389 3500 SH SOLE 3500 0 0
PACKAGING CORP. OF AMERICA COM 695156109 346 9000 SH SOLE 9000 0 0
PALL CORP. COM 696429307 501 8322 SH SOLE 8322 0 0
PAR TECHNOLOGY CORP. COM 698884103 136 27775 SH SOLE 27775 0 0
PARKER-HANNIFIN CORP. COM 701094104 750 8808 SH SOLE 8808 0 0
PATTERSON COMPANIES, INC. COM 703395103 750 21947 SH SOLE 21947 0 0
PATTERSON - UTI ENERGY, INC. COM 703481101 397 21300 SH SOLE 21300 0 0
PAYCHEX INC COM 704326107 404 12977 SH SOLE 12977 0 0
PEABODY ENERGY CORP. COM 704549104 2439 91635 SH SOLE 91635 0 0
PENSKE AUTO GROUP INC COM 70959W103 379 12600 SH SOLE 12600 0 0
PEOPLE'S UNITED FINANCIAL INC COM 712704105 289 23910 SH SOLE 23910 0 0
PEPCO HOLDINGS INC. COM 713291102 291 14799 SH SOLE 14799 0 0
PEPSICO INC. COM 713448108 7854 114775 SH SOLE 114775 0 0
PERKINELMER INC. COM 714046109 861 27140 SH SOLE 27140 0 0
PERRIGO COMPANY COM 714290103 300 2880 SH SOLE 2880 0 0
PETROBRAS ARGENTINA SA ADR 71646J109 238 50000 SH SOLE 50000 0 0
PETSMART INC. COM 716768106 2679 39200 SH SOLE 39200 0 0
PFIZER INC. COM 717081103 14875 593100 SH SOLE 593100 0 0
PHILIP MORRIS INTERNATIONAL IN COM 718172109 9109 108902 SH SOLE 108902 0 0
PHILLIPS 66 COM 718546104 5887 110874 SH SOLE 110874 0 0
PIEDMONT OFFICE REALTY TRUST I REIT 720190206 540 29920 SH SOLE 29920 0 0
PIER 1 IMPORTS COM 720279108 292 14600 SH SOLE 14600 0 0
PINNACLE WEST CAPITAL CORP. COM 723484101 331 6482 SH SOLE 6482 0 0
PITNEY BOWES INC. COM 724479100 2509 235788 SH SOLE 235788 0 0
PLAINS EXPLORATION & PRODUCTIO COM 726505100 244 5200 SH SOLE 5200 0 0
PLUM CREEK TIMBER CO. INC. REIT 729251108 1022 23016 SH SOLE 23016 0 0
POOL CORPORATION COM 73278L105 474 11200 SH SOLE 11200 0 0
POST PROPERTIES INC. REIT 737464107 750 15000 SH SOLE 15000 0 0
POWER-ONE, INC. COM 73930R102 49 11900 SH SOLE 11900 0 0
T ROWE PRICE GROUP, INC. COM 74144T108 1191 18292 SH SOLE 18292 0 0
PRICELINE.COM INC. COM 741503403 1429 2300 SH SOLE 2300 0 0
PRIME SUCCESSION ACQ CO. COM 741572101 0 228575 SH SOLE 228575 0 0
PRIME SUCCESSION ACQ CO. CONV 741572AA9 0 202643 PRN SOLE 202643 0 0
PRINCIPAL FINANCIAL GROUP, INC COM 74251V102 589 20664 SH SOLE 20664 0 0
PROASSURANCE CORP. COM 74267C106 480 11400 SH SOLE 11400 0 0
PROCTER & GAMBLE CO. COM 742718109 15762 232160 SH SOLE 232160 0 0
PROGRESSIVE CORP., THE COM 743315103 562 26648 SH SOLE 26648 0 0
PROGRESSIVE WASTE SOLUTIONS LT COM 74339G101 2700 125000 SH SOLE 125000 0 0
PROLOGIS INC COM 74340W103 6128 167965 SH SOLE 167965 0 0
PROTECTIVE LIFE CORP. COM 743674103 548 19166 SH SOLE 19166 0 0
PRUDENTIAL FINANCIAL, INC. COM 744320102 2072 38862 SH SOLE 38862 0 0
PUBLIC SERVICE ENTERPRISE GROU COM 744573106 2002 65433 SH SOLE 65433 0 0
PUBLIC STORAGE REIT 74460D109 7251 50030 SH SOLE 50030 0 0
PULTEGROUP, INC. COM 745867101 1709 94039 SH SOLE 94039 0 0
QEP RESOURCES INC. COM 74733V100 887 29287 SH SOLE 29287 0 0
QUALCOM, INC. COM 747525103 6814 109878 SH SOLE 109878 0 0
QUALITY DISTRIBUTION INC. COM 74756M102 7290 1215000 SH SOLE 1215000 0 0
QUANTA SERVICES, INC. COM 74762E102 440 16137 SH SOLE 16137 0 0
QUEST DIAGNOSTICS INC. COM 74834L100 842 14444 SH SOLE 14444 0 0
RPC, INC. COM 749660106 2344 191550 SH SOLE 191550 0 0
RALPH LAUREN CORPORATION COM 751212101 409 2730 SH SOLE 2730 0 0
RANDGOLD RESOURCES LTD ADR 752344309 1069 10770 SH SOLE 10770 0 0
RAYMOND JAMES FINANCIAL, INC. COM 754730109 215 5600 SH SOLE 5600 0 0
RAYONIER INC. REIT 754907103 1098 21170 SH SOLE 21170 0 0
RAYTHEON CO. COM 755111507 2476 43013 SH SOLE 43013 0 0
REALTY INCOME CORP. COM 756109104 886 22050 SH SOLE 22050 0 0
REDWOOD TRUST INC REIT 758075402 176 10450 SH SOLE 10450 0 0
REGENCY CENTERS CORP. REIT 758849103 1657 35170 SH SOLE 35170 0 0
REGIONS FINANCIAL CORP. COM 7591EP100 1731 243068 SH SOLE 243068 0 0
RELIANCE STEEL & ALUMINUM CO. COM 759509102 838 13500 SH SOLE 13500 0 0
RENT-A-CENTER, INC. COM 76009N100 391 11400 SH SOLE 11400 0 0
REPUBLIC SERVICES INC. COM 760759100 2527 86189 SH SOLE 86189 0 0
RESMED INC. COM 761152107 486 11700 SH SOLE 11700 0 0
RESOLUTE FOREST PRODUCTS, INC. COM 76117W109 1199 90574 SH SOLE 90574 0 0
RESOURCE CAPITAL CORPORATION COM 76120W302 196 35000 SH SOLE 35000 0 0
REYNOLDS AMERICAN INC. COM 761713106 714 17242 SH SOLE 17242 0 0
RIO TINTO PLC ADR 767204100 2823 48600 SH SOLE 48600 0 0
ROCK-TENN CO. COM 772739207 18451 263900 SH SOLE 263900 0 0
ROCKWELL AUTOMATION INC. COM 773903109 955 11369 SH SOLE 11369 0 0
ROCKWELL COLLINS INC. COM 774341101 380 6525 SH SOLE 6525 0 0
ROCKWOOD HOLDINGS, INC. COM 774415103 549 11100 SH SOLE 11100 0 0
ROGERS COMMUNICATIONS, INC. COM 775109200 560 12292 SH SOLE 12292 0 0
ROPER INDUSTRIES INC. COM 776696106 1142 10247 SH SOLE 10247 0 0
ROSS STORES INC. COM 778296103 1720 31768 SH SOLE 31768 0 0
ROUSE PROPERTIES INC REIT 779287101 184 10881 SH SOLE 10881 0 0
ROVI CORPORATION COM 779376102 958 62100 SH SOLE 62100 0 0
ROYAL GOLD, INC. COM 780287108 1553 19100 SH SOLE 19100 0 0
RYDER SYSTEM INC. COM 783549108 264 5286 SH SOLE 5286 0 0
SBA COMMUNICATIONS CORP. COM 78388J106 481 6770 SH SOLE 6770 0 0
SAIC INC. COM 78390X101 1348 119064 SH SOLE 119064 0 0
SL GREEN REALTY CORP. REIT 78440X101 2945 38420 SH SOLE 38420 0 0
SLM CORPORATION COM 78442P106 1450 84709 SH SOLE 84709 0 0
SPDR GOLD TRUST ETF 78463V107 243 1500 SH SOLE 1500 0 0
SAFEWAY INC. COM 786514208 1918 106021 SH SOLE 106021 0 0
ST. JOE COMPANY, THE COM 790148100 488 21160 SH SOLE 21160 0 0
ST. JUDE MEDICAL INC. COM 790849103 1345 37229 SH SOLE 37229 0 0
SALESFORCE.COM, INC. COM 79466L302 1062 6316 SH SOLE 6316 0 0
SCANA CORP. COM 80589M102 503 11020 SH SOLE 11020 0 0
SCHLUMBERGER LTD. COM 806857108 4619 66659 SH SOLE 66659 0 0
CHARLES SCHWAB CORP. COM 808513105 1182 82234 SH SOLE 82234 0 0
SCICLONE PHARMACEUTICALS INC COM 80862K104 76 17700 SH SOLE 17700 0 0
SCRIPPS NETWORKS INTERACTIVE I COM 811065101 1807 31196 SH SOLE 31196 0 0
SEARS HOMETOWN AND OUTLET STOR COM 812362101 899 27600 SH SOLE 27600 0 0
SELECT SPDR CONSUMER ETF 81369Y100 1967 52400 SH SOLE 52400 0 0
SELECT SPDR CONSUMER ETF 81369Y209 1175 29400 SH SOLE 29400 0 0
SELECT SPDR CONSUMER COM 81369Y308 686 19700 SH SOLE 19700 0 0
SELECT SPDR CONSUMER ETF 81369Y407 944 19900 SH SOLE 19900 0 0
SELECT SPDR ENERGY SECTOR ETF 81369Y506 2143 30000 SH SOLE 30000 0 0
SELECT SPDR FINANCIAL SECTOR ETF 81369Y605 2850 173781 SH SOLE 173781 0 0
SELECT SPDR INDUSTRIAL SECTOR ETF 81369Y704 1459 38500 SH SOLE 38500 0 0
SELECT SPDR TECHNOLOGY SECTOR ETF 81369Y803 469 16200 SH SOLE 16200 0 0
SELECT SPDR UTILITIES SECTOR ETF 81369Y886 234 6700 SH SOLE 6700 0 0
SEMPRA ENERGY COM 816851109 1220 17204 SH SOLE 17204 0 0
SENIOR HOUSING PROPERTIES TRUS REIT 81721M109 777 32900 SH SOLE 32900 0 0
SERVICE CORP. INTERNATIONAL COM 817565104 263 19000 SH SOLE 19000 0 0
SHAW GROUP INC., THE COM 820280105 722 15500 SH SOLE 15500 0 0
SHERWIN-WILLIAMS CO. COM 824348106 1564 10170 SH SOLE 10170 0 0
SILVER WHEATON CORPORATION COM 828336107 382 10600 SH SOLE 10600 0 0
SIMON PROPERTY GROUP, INC REIT 828806109 12006 75938 SH SOLE 75938 0 0
SIRIUS XM RADIO INC. COM 82967N108 304 105300 SH SOLE 105300 0 0
J.M. SMUCKER CO. (THE) COM 832696405 830 9612 SH SOLE 9612 0 0
SNAP-ON INC. COM 833034101 202 2555 SH SOLE 2555 0 0
SOCIEDAD QUIMICA Y MINERA DE C ADR 833635105 1014 17600 SH SOLE 17600 0 0
SOLARWINDS INC COM 83416B109 241 4600 SH SOLE 4600 0 0
SOLECTRON CORPORATION CONV 834182AL1 5440 8000000 PRN SOLE 8000000 0 0
SONOCO PRODUCTS CO. COM 835495102 2666 89667 SH SOLE 89667 0 0
SOUTHERN CO. COM 842587107 1640 38307 SH SOLE 38307 0 0
SOUTHERN COPPER CORP. COM 84265V105 6243 164886 SH SOLE 164886 0 0
SOUTHWEST AIRLINES CO. COM 844741108 2844 277649 SH SOLE 277649 0 0
SPECTRA ENERGY CORP COM 847560109 304 11135 SH SOLE 11135 0 0
SPECTRASCIENCE, INC. COM 84760E301 8 157715 SH SOLE 157715 0 0
SPRINT NEXTEL CORP. COM 852061100 2143 377860 SH SOLE 377860 0 0
STANCORP FINANCIAL GROUP INC. COM 852891100 229 6258 SH SOLE 6258 0 0
STANLEY BLACK & DECKER INC. COM 854502101 575 7781 SH SOLE 7781 0 0
STAPLES INC. COM 855030102 866 75848 SH SOLE 75848 0 0
STARWOOD PROPERTY TRUST INC REIT 85571B105 562 24470 SH SOLE 24470 0 0
STARWOOD HOTELS & RESORTS WORL REIT 85590A401 859 14975 SH SOLE 14975 0 0
STATE STREET CORP. COM 857477103 1855 39461 SH SOLE 39461 0 0
STEEL DYNAMICS INC. COM 858119100 619 45000 SH SOLE 45000 0 0
STERICYCLE, INC. COM 858912108 318 3414 SH SOLE 3414 0 0
STRATEGIC HOTELS & RESORTS INC REIT 86272T106 64 10000 SH SOLE 10000 0 0
STRYKER CORP. COM 863667101 1366 24909 SH SOLE 24909 0 0
SUNSTONE HOTELS INVEST, INC. REIT 867892101 160 14930 SH SOLE 14930 0 0
SUNTRUST BANKS INC. COM 867914103 1995 70400 SH SOLE 70400 0 0
SUPERIOR ENERGY SERVICES INC. COM 868157108 1330 64200 SH SOLE 64200 0 0
SUPREME INDUSTRIES, INC. COM 868607102 1032 302580 SH SOLE 302580 0 0
SYKES ENTERPRISES, INC. COM 871237103 158 10400 SH SOLE 10400 0 0
SYMANTEC CORP. COM 871503108 2730 145134 SH SOLE 145134 0 0
SYNOPSIS, INC. COM 871607107 1050 33000 SH SOLE 33000 0 0
SYNOVUS FINANCIAL CORP. COM 87161C105 541 220700 SH SOLE 220700 0 0
SYNNEX CORP. COM 87162W100 251 7300 SH SOLE 7300 0 0
TECO ENERGY INC. COM 872375100 176 10523 SH SOLE 10523 0 0
TCP CAPITAL CORP COM 87238Q103 23634 1603372 SH SOLE 1603372 0 0
TJX COMPANIES INC. COM 872540109 4456 104966 SH SOLE 104966 0 0
TRW AUTOMOTIVE HOLDINGS CORP. COM 87264S106 465 8690 SH SOLE 8690 0 0
TANGER FACTORY OUTLET CTRS REIT 875465106 372 10880 SH SOLE 10880 0 0
TARGET CORP. COM 87612E106 3264 55153 SH SOLE 55153 0 0
TAUBMAN CENTERS, INC. REIT 876664103 713 9060 SH SOLE 9060 0 0
TECH DATA CORP. COM 878237106 602 13200 SH SOLE 13200 0 0
TELECOM ARGENTINA SA ADR 879273209 282 24800 SH SOLE 24800 0 0
TERADATA CORPORATION COM 88076W103 562 9084 SH SOLE 9084 0 0
TERADYNE INC COM 880770102 747 44230 SH SOLE 44230 0 0
TEREX CORP. COM 880779103 846 30100 SH SOLE 30100 0 0
TESORO CORPORATION COM 881609101 3880 88073 SH SOLE 88073 0 0
TEVA PHARMACEUTICAL IND LTD COM 881624209 284 7600 SH SOLE 7600 0 0
TEXAS INSTRUMENTS INC. COM 882508104 1575 50869 SH SOLE 50869 0 0
TEXTRON INC. COM 883203101 3073 123957 SH SOLE 123957 0 0
THERMO FISHER SCIENTIFIC INC. COM 883556102 2127 33354 SH SOLE 33354 0 0
THOMSON REUTERS CORP. COM 884903105 221 7600 SH SOLE 7600 0 0
THOR INDUSTRIES, INC. COM 885160101 880 23500 SH SOLE 23500 0 0
THORATEC CORPORATION COM 885175307 451 12000 SH SOLE 12000 0 0
3M CO. COM 88579Y101 3633 39127 SH SOLE 39127 0 0
TIME WARNER INC. COM 887317303 2975 62200 SH SOLE 62200 0 0
TIME WARNER CABLE INC. COM 88732J207 3431 35294 SH SOLE 35294 0 0
TIMKEN COMPANY, THE COM 887389104 794 16600 SH SOLE 16600 0 0
TORCHMARK CORP. COM 891027104 519 10053 SH SOLE 10053 0 0
TORO CO., THE COM 891092108 300 6980 SH SOLE 6980 0 0
TOTAL FINA ELF SA COM 89151E109 3048 58600 SH SOLE 58600 0 0
TOTAL SYSTEM SERVICES INC. COM 891906109 2291 106928 SH SOLE 106928 0 0
TRANSDIGM GROUP INCORPORATED COM 893641100 221 1620 SH SOLE 1620 0 0
TRAVELERS COMPANIES, INC., THE COM 89417E109 3219 44825 SH SOLE 44825 0 0
TULTEX CORPORATION WAR 899900112 0 556159 SH SOLE 556159 0 0
TWO HARBORS INVESTMENT CORP REIT 90187B101 327 29500 SH SOLE 29500 0 0
TYSON FOODS INC. COM 902494103 744 38321 SH SOLE 38321 0 0
UDR INC. REIT 902653104 1801 75690 SH SOLE 75690 0 0
UGI CORPORATION COM 902681105 205 6288 SH SOLE 6288 0 0
U.S. BANCORP COM 902973304 4982 155999 SH SOLE 155999 0 0
URS CORPORATION COM 903236107 1005 25600 SH SOLE 25600 0 0
USANA HEALTH SCIENCES COM 90328M107 369 11200 SH SOLE 11200 0 0
USA MOBILITY, INC. COM 90341G103 131 11200 SH SOLE 11200 0 0
U S AIRWAYS GROUP, INC. COM 90341W108 196 14500 SH SOLE 14500 0 0
ULTRAPAR PARTICIPACOES SA ADR 90400P101 1415 63500 SH SOLE 63500 0 0
UNION PACIFIC CORP. COM 907818108 7144 56826 SH SOLE 56826 0 0
UNITED CONTINENTAL HOLDINGS IN COM 910047109 548 23455 SH SOLE 23455 0 0
UNITED PARCEL SERVICE INC. COM 911312106 2856 38745 SH SOLE 38745 0 0
UNITED RENTALS INC. COM 911363109 514 11300 SH SOLE 11300 0 0
UNITED STATES STEEL CORP. COM 912909108 901 37771 SH SOLE 37771 0 0
UNITED TECHNOLOGIES CORP. COM 913017109 3547 43252 SH SOLE 43252 0 0
UNITED THERAPEUTICS CORP COM 91307C102 646 12100 SH SOLE 12100 0 0
UNITEDHEALTH GROUP INCORPORATE COM 91324P102 6538 120545 SH SOLE 120545 0 0
UNUM GROUP COM 91529Y106 1184 56906 SH SOLE 56906 0 0
URBAN OUTFITTERS, INC. COM 917047102 345 8760 SH SOLE 8760 0 0
VF CORP. COM 918204108 294 1950 SH SOLE 1950 0 0
VOXX INTERNATIONAL CORP COM 91829F104 102 15100 SH SOLE 15100 0 0
VALE SA ADR 91912E105 2304 109900 SH SOLE 109900 0 0
VALERO ENERGY CORP. COM 91913Y100 2583 75721 SH SOLE 75721 0 0
VALLEY NATIONAL BANCORP COM 919794107 144 15546 SH SOLE 15546 0 0
VALMONT INDUSTRIES INC. COM 920253101 254 1860 SH SOLE 1860 0 0
VALSPAR CORP. COM 920355104 218 3500 SH SOLE 3500 0 0
VANGUARD MSCI EAFE ETF ETF 921943858 2637 74840 SH SOLE 74840 0 0
VANGUARD MSCI EMERGING MARKETS ETF 922042858 1372 30800 SH SOLE 30800 0 0
VARIAN MEDICAL SYSTEMS, INC. COM 92220P105 251 3571 SH SOLE 3571 0 0
VENTAS INC. REIT 92276F100 7160 110651 SH SOLE 110651 0 0
VERISIGN, INC. COM 92343E102 2280 58720 SH SOLE 58720 0 0
VERIZON COMMUNICATIONS INC. COM 92343V104 9311 215187 SH SOLE 215187 0 0
VERTEX PHARMACEUTICALS INCORPO COM 92532F100 361 8600 SH SOLE 8600 0 0
VERTIS HOLDINGS INC. COM 92535B205 0 70450 SH SOLE 70450 0 0
VIACOM INC. COM 92553P201 2563 48600 SH SOLE 48600 0 0
VIRGIN MEDIA INC. COM 92769L101 423 11500 SH SOLE 11500 0 0
VISA INC. COM 92826C839 5109 33708 SH SOLE 33708 0 0
VISHAY INTERTECHNOLOGY INC. COM 928298108 177 16700 SH SOLE 16700 0 0
VISTEON CORP. COM 92839U206 344 6400 SH SOLE 6400 0 0
VMWARE, INC. COM 928563402 243 2580 SH SOLE 2580 0 0
VORNADO REALTY TRUST REIT 929042109 5940 74185 SH SOLE 74185 0 0
VORNADO REALTY LP CONV 929043AC1 1001 1000000 PRN SOLE 1000000 0 0
VULCAN MATERIALS CO. COM 929160109 1289 24763 SH SOLE 24763 0 0
W T OFFSHORE INC COM 92922P106 826 51500 SH SOLE 51500 0 0
WABCO HOLDINGS INC COM 92927K102 338 5200 SH SOLE 5200 0 0
WABTEC CORPORATION COM 929740108 333 3800 SH SOLE 3800 0 0
WAL-MART STORES INC. COM 931142103 7794 114215 SH SOLE 114215 0 0
WALGREEN CO. COM 931422109 2475 66863 SH SOLE 66863 0 0
WALTER ENERGY INC COM 93317Q105 560 15600 SH SOLE 15600 0 0
WASHINGTON FEDERAL, INC. COM 938824109 380 22495 SH SOLE 22495 0 0
WASHINGTON REAL ESTATE INV REIT 939653101 219 8390 SH SOLE 8390 0 0
WASTE MANAGEMENT INC. COM 94106L109 1277 37839 SH SOLE 37839 0 0
WATERS CORPORATION COM 941848103 365 4200 SH SOLE 4200 0 0
WATSON PHARMACEUTICALS INC. COM 942683103 509 5917 SH SOLE 5917 0 0
WEINGARTEN REALTY INVESTORS REIT 948741103 1276 47650 SH SOLE 47650 0 0
WELLPOINT INC. COM 94973V107 2121 34814 SH SOLE 34814 0 0
WELLS FARGO & CO. COM 949746101 15086 441380 SH SOLE 441380 0 0
WENDY'S COMPANY COM 95058W100 57 12200 SH SOLE 12200 0 0
WESTERN DIGITAL CORPORATION COM 958102105 3084 72583 SH SOLE 72583 0 0
WESTERN REFINING, INC. COM 959319104 448 15900 SH SOLE 15900 0 0
WESTERN UNION COMPANY, THE COM 959802109 1325 97315 SH SOLE 97315 0 0
WESTLAKE CHEMICAL CORP. COM 960413102 2085 26300 SH SOLE 26300 0 0
WEYERHAEUSER CO. COM 962166104 3051 109634 SH SOLE 109634 0 0
WHIRLPOOL CORP. COM 963320106 1430 14047 SH SOLE 14047 0 0
WHOLE FOODS MARKET INC. COM 966837106 700 7661 SH SOLE 7661 0 0
JOHN WILEY & SONS, INC. COM 968223206 202 5200 SH SOLE 5200 0 0
WILLIAMS COMPANIES INC., THE COM 969457100 743 22681 SH SOLE 22681 0 0
WISCONSIN ENERGY CORP. COM 976657106 942 25582 SH SOLE 25582 0 0
WORLD FUEL SERVICES CORP. COM 981475106 362 8800 SH SOLE 8800 0 0
WORTHINGTON INDUSTRIES, INC. COM 981811102 2913 112100 SH SOLE 112100 0 0
WYNDHAM WORLDWIDE CORP. COM 98310W108 1736 32631 SH SOLE 32631 0 0
WYNN LAS VEGAS LLC REIT 983134107 672 5967 SH SOLE 5967 0 0
XCEL ENERGY INC. COM 98389B100 1588 59429 SH SOLE 59429 0 0
XILINX INC. COM 983919101 665 18527 SH SOLE 18527 0 0
XEROX CORP. COM 984121103 1542 226082 SH SOLE 226082 0 0
XYLEM INC. COM 98419M100 251 9256 SH SOLE 9256 0 0
YAHOO! INC. COM 984332106 1978 99363 SH SOLE 99363 0 0
YUM! BRANDS INC. COM 988498101 1223 18411 SH SOLE 18411 0 0
ZIMMER HOLDINGS INC. COM 98956P102 1749 26239 SH SOLE 26239 0 0
ZIONS BANCORPORATION COM 989701107 1045 48826 SH SOLE 48826 0 0
XSTRATA CAPITAL CORPORATION A. CONV EG3053709 17733 17733000 PRN SOLE 17733000 0 0
MELCO CROWN SPV LTD CONV EG6839385 17562 17142857 PRN SOLE 17142857 0 0
AON PLC COM G0408V102 1315 23652 SH SOLE 23652 0 0
ARCH CAPITAL GROUP LTD. COM G0450A105 254 5800 SH SOLE 5800 0 0
ASPEN INSURANCE HOLDINGS LTD. COM G05384105 446 13900 SH SOLE 13900 0 0
ASSURED GUARANTY, LTD. COM G0585R106 362 25500 SH SOLE 25500 0 0
AXIS CAPITAL HOLDINGS LTD. COM G0692U109 253 7300 SH SOLE 7300 0 0
ACCENTURE PLC COM G1151C101 4994 75100 SH SOLE 75100 0 0
BUNGE LIMITED COM G16962105 2130 29300 SH SOLE 29300 0 0
COVIDIEN PLC COM G2554F113 1992 34500 SH SOLE 34500 0 0
DELPHI AUTOMOTIVE PLC COM G27823106 945 24700 SH SOLE 24700 0 0
ENDURANCE SPECIALTY HOLDINGS L COM G30397106 453 11400 SH SOLE 11400 0 0
ENSCO PLC COM G3157S106 1547 26100 SH SOLE 26100 0 0
EVEREST RE GROUP LTD. COM G3223R108 312 2840 SH SOLE 2840 0 0
FREESCALE SEMICONDUCTOR HOLDIN COM G3727Q101 300 27300 SH SOLE 27300 0 0
GENPACT LIMITED COM G3922B107 238 15300 SH SOLE 15300 0 0
HERBALIFE LTD. COM G4412G101 395 11980 SH SOLE 11980 0 0
INGERSOLL-RAND PLC COM G47791101 1641 34200 SH SOLE 34200 0 0
INVESCO LTD. COM G491BT108 609 23335 SH SOLE 23335 0 0
MARVELL TECHNOLOGY GROUP, LTD COM G5876H105 890 122600 SH SOLE 122600 0 0
NABORS INDUSTRIES LTD COM G6359F103 1403 97064 SH SOLE 97064 0 0
PARTNERRE LTD. COM G6852T105 708 8800 SH SOLE 8800 0 0
SEAGATE TECHNOLOGY COM G7945M107 2201 72200 SH SOLE 72200 0 0
VALIDUS HOLDINGS LTD. COM G9319H102 1417 40957 SH SOLE 40957 0 0
VANTAGE DRILLING COMPANY COM G93205113 15098 8250000 SH SOLE 8250000 0 0
WARNER CHILCOTT PLC COM G94368100 737 61200 SH SOLE 61200 0 0
WHITE MOUNTAINS INSURANCE GROU COM G9618E107 230 447 SH SOLE 447 0 0
XYRATEX LTD COM G98268108 101 12000 SH SOLE 12000 0 0
XLIT LTD. COM G98290102 941 37535 SH SOLE 37535 0 0
ACE LTD. COM H0023R105 1892 23700 SH SOLE 23700 0 0
ALLIED WORLD ASSURANCE COMPANY COM H01531104 1497 19000 SH SOLE 19000 0 0
WEATHERFORD INTERNATIONAL LTD COM H27013103 117 10500 SH SOLE 10500 0 0
GARMIN LTD COM H2906T109 993 24340 SH SOLE 24340 0 0
TRANSOCEAN INC. COM H8817H100 960 21500 SH SOLE 21500 0 0
TYCO INTERNATIONAL LTD. COM H89128104 639 21800 SH SOLE 21800 0 0
TE CONNECTIVITY LTD. COM H8912P106 412 11100 SH SOLE 11100 0 0
CNH GLOBAL N.V. COM N20935206 209 5200 SH SOLE 5200 0 0
LYONDELLBASELL INDUSTRIES N.V. COM N53745100 6228 109101 SH SOLE 109101 0 0
COPA HOLDINGS SA COM P31076105 1581 15900 SH SOLE 15900 0 0
ROYAL CARIBBEAN CRUISES LTD. COM V7780T103 398 11700 SH SOLE 11700 0 0
AVAGO TECHNOLOGIES LTD COM Y0486S104 241 7600 SH SOLE 7600 0 0