SEI Institutional Investments Trust

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 91.2%

Consumer Discretionary — 10.5%
Amazon.com* (A)	0.9	%	60	$	8,199
Comcast, Cl A	0.5		349		5,118
Lowe’s	0.6		239		5,206
NIKE, Cl B (A)	0.5		75		4,848
Staples (A)	0.5		218		5,088
Time Warner (A)	0.6		185		5,698
Other Securities	6.9				65,691

					99,848


Consumer Staples — 7.1%
PepsiCo	0.9		136		8,433
Procter & Gamble	1.5		220		13,705
Walgreen	0.6		138		5,357
Other Securities	4.1				40,674

					68,169


Energy — 10.3%
Chevron	1.5		177		13,781
ConocoPhillips	0.9		160		8,278
Exxon Mobil	2.5		313		23,531
Occidental Petroleum	0.5		61		4,931
Other Securities	4.9				48,034

					98,555


Financials — 14.2%
Aflac	0.7		136		6,248
American Express	0.7		167		6,993
Bank of America	1.1		641		10,156
CME Group, Cl A	0.5		15		5,020
Goldman Sachs Group	0.9		49		8,278
JPMorgan Chase	1.5		349		14,826
Wells Fargo (A)	1.2		419		11,737
Other Securities	7.6				72,603

					135,861


Health Care — 11.3%
Allergan	0.8		138		8,021
Amgen*	0.5		83		4,702


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Gilead Sciences*	0.6	%	130	$	5,987
Johnson & Johnson	1.1		169		10,648
Medco Health Solutions*	0.5		77		4,835
Merck	0.5		136		4,915
Pfizer	0.9		462		8,387
UnitedHealth Group	0.8		264		7,572
Other Securities	5.6				52,537

					107,604


Industrials — 8.0%
General Electric	1.2		701		11,223
United Parcel Service, Cl B	0.5		91		5,256
United Technologies	0.6		88		5,913
Other Securities	5.7				54,027

					76,419


Information Technology — 19.7%
Adobe Systems* (A)	0.6		159		5,560
Apple*	1.8		83		16,553
Cisco Systems*	1.2		470		10,992
eBay*	0.6		233		5,711
EMC*	0.7		375		6,305
Google, Cl A*	1.5		25		14,737
Hewlett-Packard	1.0		182		8,918
Intel	0.8		368		7,056
International Business Machines	1.0		76		9,569
Microsoft	1.6		504		14,815
Qualcomm	0.9		185		8,322
Visa, Cl A (A)	0.8		94		7,589
Yahoo!*	0.6		357		5,340
Other Securities	6.6				66,526

					187,993


Materials — 3.3%
Praxair	0.5		57		4,694
Other Securities	2.8				26,961

					31,655


Telecommunication Services — 3.2%
AT&T	1.4		503		13,546
Crown Castle International*	0.5		136		4,974
Verizon Communications	0.8		235		7,405
Other Securities	0.5				4,288

					30,213


Utilities — 3.6%
AES*	0.6		482		6,143
Other Securities	3.0				28,695

					34,838

Total Common Stock (Cost $748,783) ($ Thousands)					871,155


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 10.2%
SEI Liquidity Fund, L.P. 0.320% (B)**†	10.2	%		98,067,520	$	97,301

Total Affiliated Partnership (Cost $98,068) ($ Thousands)						97,301


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	2.4			22,595,219		22,595

Total Cash Equivalent (Cost $22,595) ($ Thousands)						22,595


U.S. TREASURY OBLIGATION (C) (D) — 0.5%
U.S. Treasury Bill 0.130%, 12/03/09	0.5		$	5,200		5,200

Total U.S. Treasury Obligation (Cost $5,200) ($ Thousands)						5,200

Total Investments — 104.3% (Cost $874,646) ($ Thousands)					$	996,251

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	263	Dec-2009	$	1,122
S&P Mid 400 E-Mini	139	Dec-2009		70

			$	1,192

For the year ended November 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on a Net Assets of $954,913 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $96,118 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $97,301 ($ Thousands).

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(D)

The rate reported is the effective yield at time of purchase.

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	871,155	$	—	$	—	$	871,155
Affiliated Partnership		—		97,301		—		97,301
Cash Equivalent		22,595		—		—		22,595
U.S. Treasury Obligation		—		5,200		—		5,200

Total Investments in Securities	$	893,750	$	102,501	$	—	$	996,251


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,192	$	—	$	—	$	1,192

Total Other Financial Instruments	$	1,192	$	—	$	—	$	1,192

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 80.9%

Consumer Discretionary — 8.5%
Amazon.com*	0.4	%	10,750	$	1,461
Comcast, Cl A	0.7		177,307		2,601
Other Securities	7.4				26,010

					30,072


Consumer Staples — 7.8%
PepsiCo	0.5		26,250		1,633
Philip Morris International	0.8		58,895		2,832
Procter & Gamble	1.1		61,700		3,847
Sara Lee	0.5		131,955		1,602
Sysco	0.7		90,448		2,446
Walgreen	0.5		45,247		1,760
Wal-Mart Stores	0.4		29,100		1,587
Other Securities	3.3				11,978

					27,685


Energy — 8.3%
Chevron	1.7		78,186		6,102
ConocoPhillips	0.6		43,029		2,228
Exxon Mobil	3.0		139,348		10,461
Occidental Petroleum	0.5		21,751		1,757
Other Securities	2.5				8,798

					29,346


Financials — 11.7%
Aflac	0.6		45,825		2,109
American Express	0.9		73,348		3,068
Bank of America	0.4		99,129		1,571
Goldman Sachs Group	0.6		11,235		1,906
JPMorgan Chase	0.5		43,900		1,865
T. Rowe Price Group	0.7		53,106		2,598
US Bancorp	0.4		61,897		1,494
Wells Fargo	0.7		81,987		2,299
Other Securities	6.9				24,812

					41,722


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 10.6%
Allergan	0.5	%	32,700	$	1,901
AmerisourceBergen	0.5		69,493		1,716
Amgen*	0.9		53,063		2,990
Biogen Idec*	0.5		36,116		1,695
Cardinal Health	0.5		55,720		1,796
Gilead Sciences*	0.4		30,900		1,423
Johnson & Johnson	1.2		68,717		4,318
Medco Health Solutions*	0.5		25,500		1,611
Pfizer	0.9		177,265		3,221
UnitedHealth Group	0.7		84,827		2,432
Other Securities	4.0				14,536

					37,639


Industrials — 7.1%
General Dynamics	0.6		29,896		1,970
General Electric	0.5		112,000		1,794
Lockheed Martin	0.4		18,620		1,438
Other Securities	5.6				20,102

					25,304


Information Technology — 18.6%
Apple*	1.0		16,675		3,334
Cisco Systems*	0.9		131,100		3,068
Corning	0.6		121,564		2,028
Google, Cl A*	1.3		8,125		4,737
Hewlett-Packard	0.6		45,400		2,227
Intel	0.9		164,895		3,166
International Business Machines	1.2		34,334		4,338
Microsoft	2.2		264,436		7,777
Qualcomm	0.6		46,125		2,076
Symantec*	0.5		107,000		1,899
Texas Instruments	1.0		136,088		3,442
Visa, Cl A	0.7		30,261		2,451
Other Securities	7.1				25,575

					66,118


Materials — 2.7%
Other Securities	2.7				9,729


Telecommunication Services — 2.7%
AT&T	1.5		197,443		5,319
Other Securities	1.2				4,331

					9,650


Utilities — 2.9%
AES*	0.6		163,026		2,077
Other Securities	2.3				8,378

					10,455


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Total Common Stock (Cost $255,251) ($ Thousands)					$	287,720


AFFILIATED PARTNERSHIP — 12.2%
SEI LIBOR Plus Portfolio†	12.2	%		6,723,909		43,302

Total Affiliated Partnership (Cost $58,111) ($ Thousands)						43,302


CASH EQUIVALENT — 4.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	4.5			16,000,101		16,000

Total Cash Equivalent (Cost $16,000) ($ Thousands)						16,000


U.S. TREASURY OBLIGATIONS (A) (B) — 2.1%
U.S. Treasury Bills 0.193%, 09/23/10	0.1		$	300		299
0.130%, 12/03/09	1.3			4,848		4,848
0.079%, 01/07/10	0.7			2,500		2,500

Total U.S. Treasury Obligations (Cost $7,647) ($ Thousands)						7,647

Total Investments — 99.7% (Cost $337,009)($ Thousands)					$	354,669

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	240	Dec-2009	$	4,839
S&P 500 E-Mini	20	Dec-2009		58

			$	4,897

Percentages are based on a Net Assets of $355,676 ($ Thousands).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

Cl — Class

LIBOR — London Interbank Offered Rate

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities section. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	287,720	$	—	$	—	$	287,720
Cash Equivalent		16,000		—		—		16,000
U.S. Treasury Obligations		—		7,647		—		7,647
Affiliated Partnership		—		43,302		—		43,302

Total Investments in Securities	$	303,720	$	50,949	$	—	$	354,669


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	4,897	$	—	$	—	$	4,897

Total Other Financial Instruments	$	4,897	$	—	$	—	$	4,897

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 83.7%

Consumer Discretionary — 8.0%
Comcast, Cl A	0.9	%	4,455,886	$	65,368
Home Depot (A)	0.5		1,178,468		32,243
Other Securities	6.6				482,972

					580,583


Consumer Staples — 10.0%
Altria Group	0.5		1,634,244		30,740
Archer-Daniels-Midland	0.5		1,085,978		33,459
Coca-Cola (A)	0.6		772,604		44,193
PepsiCo (A)	0.8		901,097		56,066
Philip Morris International	1.1		1,683,491		80,959
Procter & Gamble	1.4		1,596,411		99,536
Walgreen (A)	0.5		899,492		34,981
Wal-Mart Stores	1.4		1,929,689		105,265
Other Securities	3.2				236,360

					721,559


Energy — 10.1%
Chevron	2.1		1,903,443		148,545
ConocoPhillips	0.8		1,047,143		54,211
Exxon Mobil	3.5		3,400,086		255,244
Marathon Oil (A)	0.5		1,075,640		35,087
Other Securities	3.2				233,884

					726,971


Financials — 11.9%
American Express	1.0		1,751,778		73,277
Bank of America	0.8		3,408,159		54,019
Goldman Sachs Group (A)	0.8		350,923		59,538
JPMorgan Chase	1.7		2,822,544		119,930
PNC Financial Services Group (A)	0.4		520,311		29,663
T. Rowe Price Group (A)	0.4		619,900		30,332
Travelers	0.5		625,385		32,764
US Bancorp (A)	0.4		1,279,664		30,878


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Wells Fargo (A)	0.9	%	2,229,655	$	62,519
Other Securities	5.0				366,244

					859,164


Health Care — 11.0%
Amgen*	0.7		919,852		51,834
Johnson & Johnson	1.9		2,179,694		136,972
McKesson	0.5		606,259		37,600
Medtronic	0.5		795,269		33,751
Merck	0.6		1,227,315		44,441
Pfizer	1.4		5,553,948		100,915
WellPoint*	0.5		614,166		33,183
Other Securities	4.9				353,115

					791,811


Industrials — 8.4%
3M	0.5		492,216		38,117
General Dynamics	0.6		643,129		42,382
General Electric (A)	0.9		4,056,486		64,985
Illinois Tool Works	0.4		642,724		31,262
Lockheed Martin	0.8		745,887		57,605
United Parcel Service, Cl B (A)	0.5		648,657		37,278
Other Securities	4.7				336,555

					608,184


Information Technology — 15.9%
Apple*	1.3		462,850		92,528
Cisco Systems*	0.9		2,824,408		66,091
Corning	0.6		2,406,450		40,140
Dell* (A)	0.4		2,200,163		31,066
Google, Cl A*	1.0		118,577		69,130
Hewlett-Packard	0.8		1,218,544		59,782
Intel	1.4		5,290,370		101,575
International Business Machines	1.7		973,190		122,963
Microsoft	1.9		4,553,575		133,921
Oracle	0.6		2,035,316		44,940
Texas Instruments (A)	0.6		1,613,888		40,815
Other Securities	4.7				345,149

					1,148,100


Materials — 2.5%
Other Securities	2.5				183,252


Telecommunication Services — 3.1%
AT&T	2.0		5,262,332		141,767
Verizon Communications	0.6		1,323,598		41,641
Other Securities	0.5				41,701

					225,109


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


Utilities — 2.8%
Other Securities	2.8	%			$	202,057

Total Common Stock (Cost $5,109,101) ($ Thousands)						6,046,790


AFFILIATED PARTNERSHIPS — 22.8%
SEI Liquidity Fund, L.P. 0.320%**† (B)	11.7			856,147,343		846,148
SEI LIBOR Plus Portfolio†	11.1			124,403,038		801,156

Total Affiliated Partnerships (Cost $1,916,506) ($ Thousands)						1,647,304


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	3.8			274,430,379		274,430

Total Cash Equivalent (Cost $274,430) ($ Thousands)						274,430


U.S. TREASURY OBLIGATIONS (C) (D) — 1.9%
U.S. Treasury Bills 0.212%, 12/03/09	1.8		$	128,500		128,499
0.290%, 12/17/09	0.0			700		700
0.071%, 01/07/10	0.0			2,700		2,700
0.249%, 09/23/10	0.1			5,145		5,137

Total U.S. Treasury Obligations (Cost $137,029) ($ Thousands)						137,036

Total Investments — 112.2% (Cost $7,437,066) ($ Thousands)					$	8,105,560

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	4,163	Dec-2009	$	84,237
S&P 500 Composite Index	13	Dec-2009		242
S&P 500 E-Mini	740	Dec-2009		1,818

			$	86,297

Percentages are based on a Net Assets of $7,221,501 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $838,520 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2009 was $846,148 ($ Thousands).

(C)

The rate reported is the effective yield at time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

— Class

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	6,046,790	$	—	$	—	$	6,046,790
Affiliated Partnerships		—		1,647,304		—		1,647,304
Cash Equivalent		274,430		—		—		274,430
U.S. Treasury Obligations		—		137,036		—		137,036

Total Investments in Securities	$	6,321,220	$	1,784,340	$	—	$	8,105,560


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	86,297	$	—	$	—	$	86,297

Total Other Financial Instruments	$	86,297	$	—	$	—	$	86,297

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 98.6%

Consumer Discretionary — 9.9%
Amazon.com* (A)	0.4	%	15,189	$	2,064
Comcast, Cl A	0.4		130,925		1,921
Home Depot (A)	0.4		77,315		2,115
McDonald’s	0.6		50,380		3,187
Walt Disney	0.5		85,584		2,586
Other Securities	7.6				37,531

					49,404


Consumer Staples — 10.8%
Coca-Cola (A)	1.2		105,820		6,053
Colgate-Palmolive (A)	0.4		22,775		1,917
CVS Caremark	0.4		66,352		2,058
Kraft Foods, Cl A	0.4		67,015		1,781
PepsiCo	0.9		71,137		4,426
Philip Morris International	0.9		89,568		4,308
Procter & Gamble	1.7		133,274		8,310
Wal-Mart Stores	1.1		100,979		5,508
Other Securities	3.8				19,506

					53,867


Energy — 11.5%
Chevron	1.4		91,602		7,149
ConocoPhillips	0.7		67,576		3,498
Exxon Mobil	3.4		223,212		16,757
Occidental Petroleum	0.6		36,954		2,985
Schlumberger	0.7		54,600		3,488
Other Securities	4.7				23,922

					57,799


Financials — 14.6%
American Express	0.4		46,234		1,934
Bank of America	1.3		395,318		6,266
Citigroup	0.6		692,745		2,847
Goldman Sachs Group	0.8		22,975		3,898
JPMorgan Chase	1.5		171,834		7,301
Morgan Stanley	0.4		62,778		1,983
SEI (C)	0.0		5,642		99
US Bancorp	0.4		87,643		2,115


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Wells Fargo (A)	1.2	%	217,366	$	6,095
Other Securities	8.0				40,543

					73,081


Health Care — 12.4%
Abbott Laboratories	0.8		70,576		3,846
Amgen*	0.5		46,667		2,630
Bristol-Myers Squibb	0.5		90,313		2,286
Gilead Sciences*	0.4		41,850		1,927
Johnson & Johnson	1.6		126,009		7,918
Medtronic	0.4		50,985		2,164
Merck	1.0		139,343		5,046
Pfizer	1.3		368,480		6,695
Other Securities	5.9				29,652

					62,164


Industrials — 10.2%
3M	0.5		31,646		2,451
General Electric	1.6		484,023		7,754
United Parcel Service, Cl B	0.4		31,941		1,835
United Technologies	0.5		38,566		2,593
Other Securities	7.2				36,421

					51,054


Information Technology — 18.4%
Apple*	1.6		40,823		8,161
Cisco Systems*	1.2		263,527		6,166
Google, Cl A*	1.3		10,944		6,380
Hewlett-Packard	1.1		109,301		5,362
Intel	1.0		255,158		4,899
International Business Machines	1.5		60,398		7,631
Microsoft	2.1		352,400		10,364
Oracle	0.8		174,467		3,852
Qualcomm	0.7		75,550		3,400
Other Securities	7.1				36,015

					92,230


Materials — 4.0%
Monsanto	0.4		24,850		2,007
Other Securities	3.6				17,802

					19,809


Telecommunication Services — 3.0%
AT&T	1.5		269,633		7,264
Verizon Communications	0.8		129,715		4,081
Other Securities	0.7				3,623

					14,968


Utilities — 3.8%
Other Securities	3.8				19,076

Total Common Stock (Cost $407,047) ($ Thousands)					493,452


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 12.6%
SEI Liquidity Fund, L.P. 0.320% (B)**†	12.6	%	63,613,253	$	62,795

Total Affiliated Partnership (Cost $63,613) ($ Thousands)					62,795


CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	1.2		6,208,971		6,209

Total Cash Equivalent (Cost $6,209) ($ Thousands)					6,209


U.S. TREASURY OBLIGATION — 0.2%
Other Securities	0.2				828

Total U.S. Treasury Obligation (Cost $828) ($ Thousands)					828

Total Investments — 112.6% (Cost $477,697) ($ Thousands)				$	563,284

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 E-Mini	146	Dec-2009	$	386
S&P Mid 400 E-Mini	4	Dec-2009		6

			$	392

Percentages are based on a Net Assets of $500,256 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $62,407 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2009 was $62,795 ($ Thousands).

(C)

The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index.

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009

†

Investment in Affiliated Security (see Note 5).

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	493,452	$	—	$	—	$	493,452
Affiliated Partnership		—		62,795		—		62,795
Cash Equivalent		6,209		—		—		6,209
U.S. Treasury Obligation		—		828		—		828

Total Investments in Securities	$	499,661	$	63,623	$	—	$	563,284


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	392	$	—	$	—	$	392

Total Other Financial Instruments	$	392	$	—	$	—	$	392

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 96.4%

Consumer Discretionary — 13.3%
Capella Education* (A)	0.3	%	41,467	$	2,956
Cato, Cl A (A)	0.3		164,537		3,148
J Crew Group*	0.3		71,625		3,065
Jarden	0.3		125,766		3,452
Life Time Fitness* (A)	0.3		161,144		3,642
MDC Partners, Cl A*	0.3		445,400		3,666
Pinnacle Entertainment*	0.2		273,945		2,896
Other Securities	11.3				137,391

					160,216


Consumer Staples — 3.5%
Del Monte Foods	0.3		283,800		2,977
Other Securities	3.2				39,290

					42,267


Energy — 5.7%
Cal Dive International*	0.3		470,737		3,418
PetroHawk Energy*	0.3		145,232		3,245
World Fuel Services	0.4		90,568		4,816
Other Securities	4.7				57,212

					68,691


Financials — 18.1%
Boston Properties‡ (A)	0.4		62,050		4,156
HCP‡	0.3		108,100		3,384
MFA Mortgage Investments‡	0.3		425,143		3,218
Nelnet, Cl A	0.3		178,675		3,104
Platinum Underwriters Holdings	0.4		136,696		4,824
Public Storage‡	0.3		45,024		3,583
Simon Property Group‡	0.3		45,764		3,325
Other Securities	15.8				192,399

					217,993


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 11.7%
AMAG Pharmaceuticals* (A)	0.3	%	85,780	$	3,207
BioMarin Pharmaceutical*	0.3		188,242		3,108
Conmed*	0.3		166,047		3,452
LHC Group* (A)	0.3		129,465		3,984
Mednax*	0.3		58,433		3,284
Phase Forward*	0.3		222,175		3,390
Other Securities	9.9				120,943

					141,368


Industrials — 16.5%
Aegean Marine Petroleum Network	0.3		175,830		4,726
Airtran Holdings*	0.3		735,361		3,030
CoStar Group* (A)	0.4		112,929		4,487
EMCOR Group*	0.4		234,218		5,574
Gardner Denver	0.2		76,177		2,851
GeoEye* (A)	0.3		98,071		3,057
TransDigm Group	0.3		78,777		3,415
Watson Wyatt Worldwide, Cl A (A)	0.2		68,984		2,852
WESCO International* (A)	0.3		136,074		3,552
Other Securities	13.8				166,119

					199,663


Information Technology — 18.3%
Arris Group* (A)	0.3		304,360		3,040
Benchmark Electronics*	0.3		199,600		3,599
Blackboard*	0.3		76,545		3,194
DTS*	0.4		169,751		5,116
Imation (A)	0.3		363,206		3,185
Manhattan Associates*	0.3		128,700		3,032
MAXIMUS	0.3		78,500		3,650
Teradyne*	0.3		352,213		3,121
VistaPrint*	0.5		104,055		5,934
Other Securities	15.3				187,445

					221,316


Materials — 4.2%
NewMarket	0.3		31,375		3,286
Other Securities	3.9				47,438

					50,724


Telecommunication Services — 1.4%
Neutral Tandem* (A)	0.3		169,966		3,921
SBA Communications, Cl A*	0.4		135,441		4,340
Other Securities	0.7				8,958

					17,219


Utilities — 3.7%
El Paso Electric*	0.4		229,900		4,552
NorthWestern	0.5		226,981		5,854


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Portland General Electric (A)	0.5	%	307,075	$	6,022
Unisource Energy	0.3		119,458		3,562
Other Securities	2.0				24,551

					44,541

Total Common Stock (Cost $1,085,739) ($ Thousands)					1,163,998


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Other Securities	0.1				1,307


Financials — 0.1%
Other Securities	0.1				660

Total Preferred Stock (Cost $1,755) ($ Thousands)					1,967


CONVERTIBLE BONDS — 0.3%

Consumer Discretionary — 0.0%
Other Securities	0.0				315


Energy — 0.2%
Other Securities	0.2				2,481


Financials — 0.1%
Other Securities	0.1				424

Total Convertible Bonds (Cost $3,869) ($ Thousands)					3,220


AFFILIATED PARTNERSHIP — 16.2%
SEI Liquidity Fund, L.P. 0.320%**† (B)	16.2		201,493,152		195,330

Total Affiliated Partnership (Cost $201,493) ($ Thousands)					195,330


WARRANTS — 0.0%
Other Securities	0.0				118

Total Warrants (Cost $53) ($ Thousands)					118


EXCHANGE TRADED FUNDS — 0.0%
Other Securities	0.0				711

Total Exchange Traded Funds (Cost $758) ($ Thousands)					711


RIGHT — 0.0%

United States — 0.0%
Other Securities	0.0				—

Total Right (Cost $0) ($ Thousands)					—


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	3.3	%		39,871,487	$	39,871

Total Cash Equivalent (Cost $39,871) ($ Thousands)						39,871


U.S. TREASURY OBLIGATIONS (C) (D) — 0.4%
U.S. Treasury Bills 0.142%, 12/03/09	0.3		$	3,070		3,070
0.068%, 01/07/10	0.1			1,800		1,800

Total U.S. Treasury Obligations (Cost $4,870) ($ Thousands)						4,870

Total Investments — 116.8% (Cost $1,338,408) ($ Thousands)					$	1,410,085

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	461	Dec-2009	$	369

Percentages are based on a Net Assets of $1,206,896 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $150,257 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $195,330 ($ Thousands).

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(D)

The rate reported is the effective yield at time of purchase.

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

Cl — Class

L.P. — Limited Partnership

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 97.6%

Consumer Discretionary — 14.8%
American Eagle Outfitters	0.3	%	426,930	$	6,566
Dick’s Sporting Goods* (A)	0.3		304,324		6,318
Hanesbrands*	0.3		255,900		6,144
Jones Apparel Group	0.3		300,677		5,096
Life Time Fitness* (A)	0.2		214,910		4,857
National CineMedia	0.3		375,560		5,487
PetSmart	0.4		325,507		8,379
Scientific Games, Cl A*	0.3		406,137		5,747
Other Securities	12.4				263,295

					311,889


Consumer Staples — 3.3%
Dean Foods*	0.3		346,302		5,506
Herbalife	0.3		133,520		5,600
Other Securities	2.7				55,026

					66,132


Energy — 5.2%
World Fuel Services	0.2		124,249		6,608
Other Securities	5.0				100,960

					107,568


Financials — 17.9%
American Financial Group	0.3		215,335		5,224
Boston Properties‡ (A)	0.5		144,995		9,712
HCP‡	0.3		196,850		6,161
Public Storage‡ (A)	0.3		82,004		6,526
Reinsurance Group of America, Cl A	0.3		110,034		5,117
Riskmetrics Group* (A)	0.2		339,329		5,066
Signature Bank NY*	0.2		155,492		4,817
Simon Property Group‡	0.3		83,314		6,054
Other Securities	15.5				324,300

					372,977


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Health Care — 12.4%
King Pharmaceuticals* (A)	0.3	%	566,174	$	6,698
LHC Group* (A)	0.2		159,697		4,914
Mednax*	0.3		92,375		5,192
Other Securities	11.6				240,318

					257,122


Industrials — 14.3%
BE Aerospace*	0.3		344,225		6,633
Corrections of America* (A)	0.3		227,567		5,687
CoStar Group* (A)	0.3		175,008		6,953
Gardner Denver	0.5		280,453		10,497
IHS, Cl A*	0.3		122,210		6,145
JB Hunt Transport Services (A)	0.3		166,201		5,295
Resources Connection*	0.3		334,303		6,442
SYKES Enterprises*	0.4		359,093		8,816
WESCO International*	0.3		201,267		5,253
Other Securities	11.3				237,210

					298,931


Information Technology — 17.8%
Equinix* (A)	0.5		118,286		11,378
Gartner*	0.3		375,684		7,108
GSI Commerce* (A)	0.6		574,579		12,836
Jabil Circuit	0.3		488,360		6,500
SkillSoft ADR*	0.3		595,073		5,843
Solera Holdings	0.3		183,302		6,408
Trimble Navigation* (A)	0.3		253,488		5,660
VistaPrint*	0.7		238,619		13,608
Vocus* (A)	0.3		350,804		5,732
Other Securities	14.2				301,043

					376,116


Materials — 6.3%
Celanese, Cl A	0.2		162,071		4,823
Nalco Holding	0.3		217,077		5,310
Rockwood Holdings* (A)	0.2		218,580		4,920
Silgan Holdings	0.3		96,606		5,175
Other Securities	5.3				108,145

					128,373


Telecommunication Services — 1.9%
NII Holdings*	0.3		224,795		6,699
SBA Communications, Cl A* (A)	0.7		444,441		14,240
Other Securities	0.9				20,439

					41,378


Utilities — 3.7%
AGL Resources	0.3		168,227		5,812
Great Plains Energy	0.3		303,648		5,405
Portland General Electric	0.4		373,658		7,327


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Other Securities	2.7	%			$	58,696

						77,240

Total Common Stock (Cost $1,837,412) ($ Thousands)						2,037,726


U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bill (C) 0.130%, 12/03/09	0.5	%	$	8,970	$	8,970
0.065%, 01/07/10	0.0			400		400

Total U.S. Treasury Obligations (Cost $9,370) ($ Thousands)						9,370


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Other Securities	0.1					1,649


Financials — 0.1%
Other Securities	0.1					1,440

Total Preferred Stock (Cost $2,830) ($ Thousands)						3,089


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Other Securities	0.0					315


Energy — 0.1%
Other Securities	0.1					1,870


Financials — 0.0%
Other Securities	0.0					409

Total Convertible Bonds (Cost $3,654) ($ Thousands)						2,594


WARRANTS — 0.0%
Other Securities	0.0					176

Total Warrants (Cost $196) ($ Thousands)						176


EXCHANGE TRADED FUND — 0.0%
Other Securities	0.0					947

Total Exchange Traded Fund (Cost $974) ($ Thousands)						947


AFFILIATED PARTNERSHIP — 14.3%
SEI Liquidity Fund, L.P., 0.320%**† (B)	14.3			306,891,896		299,398

Total Affiliated Partnership (Cost $306,892) ($ Thousands)						299,398


Description	Percentage of Net Assets (%)	Shares	Market Value ($ Thousands)


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	2.3	48,116,451		48,116

Total Cash Equivalent (Cost $48,116) ($ Thousands)				48,116

Total Investments — 115.0% (Cost $2,209,444) ($ Thousands)			$	2,401,416

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-Mini	200	Dec-2009	$	208
S&P Mid 400 Index E-Mini	128	Dec-2009		264

			$	472

Percentages are based on a Net Assets of $2,087,757 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5)

‡

Real Estate Investment Trust

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $239,050 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $299,398 ($ Thousands).

(C)

Rate reported is effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	2,036,933	$	479	$	314	$	2,037,726
U.S. Treasury Obligations		—		9,370		—		9,370
Preferred Stock		—		1,649		1,440		3,089
Convertible Bonds		—		2,146		448		2,594
Exchange Traded Fund		947		—		—		947
Warrants		22		154		—		176
Affiliated Partnership		—		299,398		—		299,398
Cash Equivalent		48,116		—		—		48,116

Total Investments in Securities	$	2,086,018	$	313,196	$	2,202	$	2,401,416


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	472	$	—	$	—	$	472

Total Other Financial Instruments	$	472	$	—	$	—	$	472

Futures contracts are valued at the unrealized appreciation on the instrument.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 95.9%

Consumer Discretionary — 6.9%
priceline.com*	0.5	%	7,078	$	1,515
Strayer Education	0.5		8,304		1,640
Other Securities	5.9				16,955

					20,110


Consumer Staples — 15.5%
Altria Group	1.1		171,941		3,234
Brown-Forman, Cl B	0.9		50,788		2,599
Campbell Soup	0.7		55,513		1,941
Hormel Foods	1.6		122,726		4,605
Lorillard	1.2		44,766		3,488
Philip Morris International	1.2		71,620		3,444
Reynolds American	1.3		72,368		3,616
Sysco	1.2		131,280		3,550
Tyson Foods, Cl A	0.7		172,715		2,076
Other Securities	5.6				16,384

					44,937


Energy — 4.5%
Chevron	0.8		27,607		2,154
Exxon Mobil	0.6		24,335		1,827
Other Securities	3.1				9,155

					13,136


Financials — 13.2%
Bank of Hawaii	0.9		58,591		2,678
Commerce Bancshares	1.3		97,077		3,902
Cullen/Frost Bankers	1.0		59,594		2,862
People’s United Financial	1.0		180,791		2,945
TFS Financial	0.8		213,898		2,391
Other Securities	8.2				23,589

					38,367


Health Care — 21.8%
Abbott Laboratories	1.6		83,042		4,525
AmerisourceBergen	1.7		203,890		5,034
Amgen*	1.3		65,222		3,675
Baxter International	0.7		39,470		2,153


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Becton Dickinson	1.1	%	41,209	$	3,082
Biogen Idec*	1.3		78,347		3,678
C.R. Bard	0.9		30,751		2,528
Cardinal Health	0.7		60,456		1,948
Edwards Lifesciences*	0.7		24,812		2,042
Forest Laboratories*	0.9		89,323		2,739
Genzyme*	1.2		70,659		3,582
Gilead Sciences*	1.1		67,560		3,111
Johnson & Johnson	1.2		55,053		3,459
McKesson	1.6		76,878		4,768
Techne	1.3		56,762		3,853
Other Securities	4.5				12,916

					63,093


Industrials — 4.1%
Other Securities	4.1				11,834


Information Technology — 12.0%
Analog Devices	0.9		81,601		2,447
Google, Cl A*	1.3		6,291		3,668
Intel	1.1		164,594		3,160
International Business Machines	0.7		16,729		2,114
Tech Data*	1.0		67,553		2,845
Texas Instruments	1.2		142,338		3,600
Visa, Cl A	0.9		32,022		2,594
Other Securities	4.9				14,432

					34,860


Materials — 3.6%
Newmont Mining	1.2		64,067		3,436
Other Securities	2.4				6,922

					10,358


Telecommunication Services — 2.6%
AT&T	0.6		59,600		1,606
Verizon Communications	0.5		50,894		1,601
Other Securities	1.5				4,146

					7,353


Utilities — 11.7%
AGL Resources	0.7		57,898		2,001
Atmos Energy	0.8		82,948		2,272
Nicor	0.9		70,258		2,751
NSTAR	0.7		58,287		1,931
Sempra Energy	0.6		30,350		1,613
Vectren	0.7		82,749		1,944
Wisconsin Energy	1.0		66,796		3,012
Other Securities	6.3				18,414

					33,938

Total Common Stock (Cost $238,672) ($ Thousands)					277,986

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 89.7%

Argentina — 0.1%
Other Securities	0.1	%		$	781


Australia — 5.6%
Australia & New Zealand Banking Group	0.4		138,654		2,811
BHP Billiton	1.1		224,891		8,502
Rio Tinto	0.4		39,411		2,585
Other Securities	3.7				28,257

					42,155


Austria — 0.2%
Other Securities	0.2				1,876


Belgium — 1.3%
InBev	0.4		51,591		2,575
Other Securities	0.9				7,479

					10,054


Brazil — 0.4%
Other Securities	0.4				3,272


Canada — 1.7%
Other Securities	1.7				12,673


Chile — 0.3%
Banco Santander Chile ADR	0.1		8,109		493
Other Securities	0.2				1,929

					2,422


China — 0.5%
Other Securities	0.5				4,117


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Cyprus — 0.0%
Other Securities	0.0	%		$	206


Denmark — 0.6%
Other Securities	0.6				4,847


Finland — 0.9%
Other Securities	0.9				6,852


France — 7.2%
BNP Paribas	0.9		80,932		6,683
Sanofi-Aventis	1.2		121,621		9,188
Total (A)	0.6		74,550		4,612
Other Securities	4.5				33,891

					54,374


Germany — 6.6%
BASF	0.5		67,085		4,045
Deutsche Bank (A)	0.5		53,410		3,853
Deutsche Post	0.5		179,195		3,355
E.ON	0.7		126,993		5,022
Siemens	0.8		62,742		6,147
Other Securities	3.6				27,034

					49,456


Greece — 0.8%
Other Securities	0.8				5,812


Guernsey — 0.1%
Other Securities	0.1				846


Hong Kong — 3.0%
BOC Hong Kong Holdings	0.4		1,206,819		2,769
Hang Seng Bank	0.1		34,645		507
Sun Hung Kai Properties	0.5		248,891		3,690
Other Securities	2.0				15,477

					22,443


India — 0.7%
Other Securities	0.7				5,106


Indonesia — 0.1%
Other Securities	0.1				403


Ireland — 0.1%
Other Securities	0.1				895


Israel — 0.2%
Other Securities	0.2				1,753


Italy — 2.6%
Banca Intesa	0.4		644,144		2,790
Enel (A)	0.5		667,376		3,993


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	1.7	%		$	12,541

					19,324


Japan — 17.2%
Canon	0.5		98,500		3,808
East Japan Railway	0.4		44,700		3,165
Honda Motor	0.7		156,400		4,902
Mitsubishi	0.7		219,400		4,966
Nippon Telegraph & Telephone	0.4		76,500		3,330
Nissan Motor	0.6		561,000		4,077
Sumitomo Mitsui Financial Group	0.4		77,600		2,567
Toyota Motor	0.4		82,200		3,283
Other Securities	13.1				98,875

					128,973


Jersey — 0.0%
Other Securities	0.0				174


Mauritius — 0.1%
Other Securities	0.1				447


Netherlands — 4.7%
Royal Dutch Shell, Cl A	0.7		168,571		5,009
Royal Dutch Shell, Cl B	0.5		134,793		3,842
Royal Dutch Shell, Cl A (GBP)	0.3		76,989		2,275
Unilever (A)	0.6		144,258		4,419
Other Securities	2.6				19,494

					35,039


New Zealand — 0.1%
Other Securities	0.1				1,149


Norway — 0.9%
Other Securities	0.9				6,576


Papua New Guinea — 0.0%
Other Securities	0.0				211


Portugal — 0.4%
Other Securities	0.4				2,865


Russia — 0.3%
Other Securities	0.3				2,034


Singapore — 1.7%
DBS Group Holdings	0.5		341,000		3,525
Other Securities	1.2				8,895

					12,420


South Africa — 0.1%
Other Securities	0.1				537


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


South Korea — 0.2%
Other Securities	0.2	%		$	1,375


Spain — 3.8%
Banco Bilbao Vizcaya Argentaria (A)	0.6		249,832		4,705
Banco Santander Central Hispano	1.2		515,305		8,827
Telefonica	1.1		280,160		8,042
Other Securities	0.9				7,129

					28,703


Sweden — 1.8%
Electrolux, Cl B	0.4		110,289		2,692
Other Securities	1.4				10,468

					13,160


Switzerland — 8.1%
Credit Suisse Group	1.0		136,879		7,088
Nestle	1.4		219,078		10,358
Novartis	1.1		154,627		8,584
Roche Holding	0.8		36,129		5,911
Xstrata	0.6		264,593		4,642
Zurich Financial Services	0.5		17,434		3,757
Other Securities	2.7				20,417

					60,757


Taiwan — 0.6%
Other Securities	0.6				4,232


Turkey — 0.2%
Other Securities	0.2				1,434


United Kingdom — 16.0%
AstraZeneca	1.2		192,291		8,574
Barclays	0.6		896,865		4,303
BG Group	0.4		185,035		3,349
BHP Billiton	0.7		170,692		5,203
BP	1.8		1,432,719		13,510
British American Tobacco	0.7		162,923		4,939
GlaxoSmithKline	0.7		269,954		5,569
HSBC Holdings	1.3		875,347		10,156
Imperial Tobacco Group	0.4		100,478		2,915
Rio Tinto	0.5		64,660		3,277
Standard Chartered	0.5		150,361		3,662
Vodafone Group	0.5		1,599,902		3,600
Other Securities	6.7				51,098

					120,155


United States — 0.5%
Other Securities	0.5				3,191

Total Common Stock (Cost $583,153) ($ Thousands)					673,099


Description	Percentage of Net Assets (%)		Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 1.9%

Agency Mortgage-Backed Obligations — 0.3%
Other Securities	0.3					2,208


Non-Agency Mortgage-Backed Obligations — 1.6%
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl A2
4.512%, 07/15/37	0.1		$	565		565
Credit Suisse First Boston Mortgage Securities, Ser 2005-C4, Cl A2
5.017%, 08/15/38	0.0			190		191
Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34	0.0			202		208
Credit Suisse First Boston Mortgage Securities, Ser 2003-C3, Cl A3
3.382%, 05/15/38	0.0			132		133
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A2
4.609%, 02/15/38	0.0			127		127
Other Securities	1.5					10,766

						11,990

Total Mortgage-Backed Securities (Cost $15,276) ($ Thousands)						14,198


ASSET-BACKED SECURITIES — 1.4%

Automotive — 0.4%
Other Securities	0.4	%			$	3,264


Credit Cards — 0.6%
Other Securities	0.7					5,070


Mortgage Related Securities — 0.4%
Other Securities	0.4					2,351

Total Asset-Backed Securities (Cost $11,759) ($ Thousands)						10,685


PREFERRED STOCK — 0.8%

Brazil — 0.4%
Other Securities	0.4					2,920


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Germany — 0.4%
Other Securities	0.4	%		$	2,827

Total Preferred Stock (Cost $5,006) ($ Thousands)					5,747


RIGHTS — 0.1%

Australia — 0.0%
Other Securities	0.0				—


Belgium — 0.0%
Other Securities	0.0				—


Germany — 0.0%
Other Securities	0.0				34


Italy — 0.0%
Other Securities	0.0				1


Netherlands — 0.1%
Other Securities	0.1				266


Norway — 0.0%
Other Securities	0.0				126


Spain — 0.0%
Other Securities	0.0				7


United Kingdom — 0.0%
Other Securities	0.0				27

Total Rights (Cost $272) ($ Thousands)					461


WARRANTS — 0.0%
Other Securities	0.0				16

Total Warrants (Cost $0) ($ Thousands)					16


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Other Securities	0.0				284

Total Corporate Obligation (Cost $490) ($ Thousands)					284


AFFILIATED PARTNERSHIP — 4.5%
SEI Liquidity Fund, L.P. 0.320%*† (B)	4.5		34,392,748		33,521

Total Affiliated Partnership (Cost $34,393) ($ Thousands)					33,521

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2009, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Depreciation ($ Thousands)
1/25/10	AUD	2,864	USD	2,567	$	(40	)
1/25/10	USD	2,631	AUD	2,864		(25	)

					$	(65	)

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	244	Dec-2009	$	159
E-Mini MSCI EAFE	4	Dec-2009		2
FTSE 100 Index	73	Dec-2009		216
Hang Seng Index	2	Dec-2009		1
Nikkei 225 Index	13	Dec-2009		(47	)
SPI 200 Index	11	Dec-2009		28
Topix Index	24	Dec-2009		(90	)

			$	269

A summary of outstanding swap agreements held by the Fund at November 30, 2009, is as follows:

Percentages are based on a Net Assets of $750,119 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2009 (see Note 11). The total value of securities on loan at November 30, 2009 was $31,767 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2009 was $33,521 ($Thousands).

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

Cl — Class

GBP — British Pound Sterling

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

Ser — Series

DJ — Dow Jones

SPI — Share Price Index

FTSE — Financial Times and the London Stock Exchange

USD — U.S. Dollar

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	671,665	$	1,434	$	—	$	673,099
Mortgage-Backed Securities		—		14,198		—		14,198
Asset-Backed Securities		—		10,685		—		10,685
Preferred Stock		5,747		—		—		5,747
Rights		461		—		—		461
Corporate Obligation		—		284		—		284
Warrants		16		—		—		16
Affiliated Partnership		—		33,521		—		33,521
Cash Equivalent		18,775		—		—		18,775
U.S. Treasury Obligations		—		2,820		—		2,820

Total Investments in Securities	$	696,664	$	62,942	$	—	$	759,606


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts*	$	269	$	—		$	—	$	269
Forwards		—		(65	)		—		(65	)
Total Return Swap		—		(197	)		—		(197	)

Total Other Financial Instruments	$	269	$	(262	)	$	—	$	7

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 91.6%

Argentina — 0.2%
Other Securities	0.2	%		$	5,265


Australia — 4.2%
BHP Billiton	0.8		662,008		25,026
Other Securities	3.4				118,123

					143,149


Austria — 0.2%
Other Securities	0.2				7,816


Belgium — 1.1%
Other Securities	1.1				36,978


Brazil — 2.0%
Other Securities	2.0				70,357


Canada — 4.7%
Royal Bank of Canada (A)	0.4		248,801		13,407
Other Securities	4.3				146,075

					159,482


Chile — 0.3%
Other Securities	0.3				9,361


China — 2.5%
Bank of China	0.5		28,105,000		15,847
Industrial & Commercial Bank of China	0.4		16,176,000		13,671
Other Securities	1.6				56,187

					85,705


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Colombia — 0.0%
Other Securities	0.0	%		$	383


Cyprus — 0.0%
Other Securities	0.0				930


Czech Republic — 0.1%
Other Securities	0.1				2,557


Denmark — 0.5%
Other Securities	0.5				16,326


Egypt — 0.1%
Other Securities	0.1				3,967


Finland — 0.7%
Other Securities	0.7				24,045


France — 5.3%
BNP Paribas	0.6		259,027		21,389
Sanofi-Aventis	1.0		429,619		32,457
Total (A)	0.4		220,764		13,659
Other Securities	3.3				112,315

					179,820


Germany — 5.3%
BASF	0.4		243,709		14,694
Deutsche Bank (A)	0.4		185,250		13,365
Deutsche Post	0.4		617,377		11,558
E.ON	0.5		430,751		17,034
Siemens	0.7		222,746		21,824
Other Securities	2.9				100,471

					178,946


Greece — 0.6%
Other Securities	0.6				21,839


Guernsey — 0.1%
Other Securities	0.1				3,435


Hong Kong — 3.5%
Hang Seng Bank	0.1		97,800		1,431
Sun Hung Kai Properties	0.4		872,000		12,928
Other Securities	3.0				105,432

					119,791


Hungary — 0.1%
Other Securities	0.1				3,994


India — 1.9%
Other Securities	1.9				63,232


Indonesia — 0.4%
Other Securities	0.4				14,149


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Ireland — 0.1%
Other Securities	0.1	%		$	3,801


Israel — 0.7%
Other Securities	0.7				22,459


Italy — 2.0%
Enel (A)	0.4		2,188,224		13,092
Other Securities	1.6				54,943

					68,035


Japan — 13.4%
Canon	0.4		338,300		13,077
East Japan Railway	0.4		162,600		11,514
Honda Motor	0.5		555,900		17,423
Mitsubishi	0.5		793,200		17,955
Nissan Motor	0.4		2,024,300		14,710
Toyota Motor	0.4		289,000		11,541
Other Securities	10.8				368,750

					454,970


Jersey — 0.0%
Other Securities	0.0				603


Kazakhstan — 0.1%
Other Securities	0.1				1,856


Malaysia — 0.5%
Other Securities	0.5				16,352


Mauritius — 0.0%
Other Securities	0.0				1,422


Mexico — 1.3%
America Movil, Ser L	0.5		6,485,309		15,690
Other Securities	0.8				30,031

					45,721


Netherlands — 3.8%
Royal Dutch Shell, Cl A	0.5		552,025		16,402
Royal Dutch Shell, Cl A (GBP)	0.2		304,836		9,007
Royal Dutch Shell, Cl B	0.4		449,814		12,822
Unilever (A)	0.6		671,454		20,570
Other Securities	2.1				71,079

					129,880


New Zealand — 0.1%
Other Securities	0.1				3,987


Norway — 0.8%
Other Securities	0.8				28,310


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Pakistan — 0.1%
Other Securities	0.1	%		$	2,121


Panama — 0.1%
Other Securities	0.1				2,078


Papua New Guinea — 0.0%
Other Securities	0.0				644


Philippines — 0.1%
Other Securities	0.1				2,478


Poland — 0.2%
Other Securities	0.2				6,668


Portugal — 0.3%
Other Securities	0.3				10,192


Russia — 1.5%
Gazprom OAO ADR	0.5		654,025		14,859
Other Securities	1.0				34,862

					49,721


Singapore — 1.1%
Other Securities	1.1				37,849


South Africa — 1.3%
Other Securities	1.3				43,198


South Korea — 3.0%
Samsung Electronics	0.7		39,024		24,164
Other Securities	2.3				77,049

					101,213


Spain — 2.9%
Banco Bilbao Vizcaya Argentaria (A)	0.5		814,896		15,348
Banco Santander Central Hispano	0.9		1,830,682		31,360
Telefonica	0.8		896,220		25,727
Other Securities	0.7				26,990

					99,425


Sweden — 1.4%
Other Securities	1.4				46,144


Switzerland — 6.1%
Credit Suisse Group	0.7		421,713		21,836
Nestle	1.0		689,804		32,613
Novartis	1.0		591,497		32,836
Roche Holding	0.6		130,669		21,378
Xstrata	0.5		906,614		15,905
Zurich Financial Services	0.4		60,490		13,034


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)

Other Securities	1.9	%		$	69,625

					207,227


Taiwan — 2.6%
HON HAI Precision Industry	0.3		2,736,708		11,566
Other Securities	2.3				75,832

					87,398


Thailand — 0.7%
Other Securities	0.7				24,862


Turkey — 0.9%
Other Securities	0.9				32,075


United Kingdom — 12.2%
Anglo American	0.3		264,324		11,291
AstraZeneca	0.9		661,895		29,513
Barclays	0.4		2,719,804		13,049
BG Group	0.3		632,356		11,447
BHP Billiton	0.5		610,525		18,611
BP	1.3		4,856,780		45,798
British American Tobacco	0.5		559,766		16,967
GlaxoSmithKline	0.5		905,580		18,681
HSBC Holdings	1.0		2,893,887		33,577
Rio Tinto	0.4		237,535		12,038
Standard Chartered	0.4		558,233		13,595
Vodafone Group	0.4		5,997,391		13,494
Other Securities	5.3				176,910

					414,971


United States — 0.5%
Other Securities	0.5				17,508

Total Common Stock (Cost $2,673,991) ($ Thousands)					3,114,695




PREFERRED STOCK — 1.9%

Brazil — 1.7%
Petroleo Brasileiro	0.5		838,500		18,625
Other Securities	1.2				38,347

					56,972


France — 0.0%
Other Securities	0.0				560


Germany — 0.2%
Other Securities	0.2				5,907

Total Preferred Stock (Cost $42,433) ($ Thousands)					63,439


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


ASSET-BACKED SECURITIES — 0.8%

Automotive — 0.1%
Other Securities	0.1			$	6,431


Credit Cards — 0.4%
Other Securities	0.4				11,005


Mortgage Related Securities — 0.3%
Other Securities	0.3				8,767

Total Asset-Backed Securities (Cost $29,828) ($ Thousands)					26,203


MORTGAGE-BACKED SECURITIES — 0.9%

Agency Mortgage-Backed Obligations — 0.2%
Other Securities	0.2				5,498


Non-Agency Mortgage-Backed Obligations — 0.7%
Other Securities	0.7	%			24,389

Total Mortgage-Backed Securities (Cost $33,226) ($ Thousands)					29,887


RIGHTS — 0.0%

Australia — 0.0%
Other Securities	0.0				—


Belgium — 0.0%
Other Securities	0.0				—


Germany — 0.0%
Other Securities	0.0				138


Italy — 0.0%
Other Securities	0.0				2


Netherlands — 0.0%
Other Securities	0.0				914


Norway — 0.0%
Other Securities	0.0				388


Spain — 0.0%
Other Securities	0.0				17


United Kingdom — 0.0%
Other Securities	0.0				493

Total Rights (Cost $1,580) ($ Thousands)					1,952


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


WARRANTS — 0.0%
Other Securities	0.0	%			$	50

Total Warrants (Cost $0) ($ Thousands)						50


U.S. TREASURY OBLIGATIONS — 0.8%
U.S. Treasury Bill (C)(D)
0.161%, 12/03/09	0.5		$	18,000		18,000
0.285%, 12/17/09	0.0			1,315		1,315
0.291%, 01/07/10	0.1			3,100		3,100
0.010%, 02/25/10	0.2			5,000		4,999

Total U.S. Treasury Obligations (Cost $27,414) ($ Thousands)						27,414


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Other Securities	0.0					316

Total Corporate Obligation (Cost $545) ($ Thousands)						316


AFFILIATED PARTNERSHIP — 4.8%
SEI Liquidity Fund, L.P. 0.320%*† (B)	4.8			164,829,238		162,670

Total Affiliated Partnership (Cost $164,829) ($ Thousands)						162,670


Description	Percentage of Net Assets (%)	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%*†	2.0	68,710,600		68,711

Total Cash Equivalent (Cost $68,711) ($ Thousands)				68,711

Total Investments — 102.8% (Cost $3,042,557) ($ Thousands)			$	3,495,337

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	784	Dec-2009	$	432
E-Mini MSCI EAFE	28	Dec-2009		45
E-Mini MSCI Emerging Markets	351	Dec-2009		1,309
FTSE 100 Index	227	Dec-2009		678
Hang Seng Index	15	Dec-2009		(2	)
Nikkei 225 Index	53	Dec-2009		(279	)
S&P/TSE 60 Index	111	Dec-2009		416
SPI 200 Index	89	Dec-2009		237
Topix Index	234	Dec-2009		(890	)

			$	1,946

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2009, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Depreciation ($ Thousands)
12/3/09	USD	5,607	CAD	5,910	$	(1	)
1/25/10	AUD	11,589	USD	10,386		(161	)
1/25/10	USD	10,646	AUD	11,589		(100	)

					$	(262	)

A summary of outstanding swap agreements held by the Fund at November 30, 2009, is as follows:

Percentages are based on a Net Assets of $3,401,044 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2009 (see Note 11). The total value of securities on loan at November 30, 2009 was $154,501 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $162,170 ($ Thousands).

(C)

The rate reported is the effective yield at time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open future contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


COMMON STOCK — 93.3%

Argentina — 0.0%
Other Securities	0.0	%		$	27


Australia — 4.4%
Australia & New Zealand Banking Group	0.4		13,948		283
Commonwealth Bank of Australia	0.4		6,169		298
Rio Tinto	0.4		5,035		330
Woolworths	0.4		12,774		328
Other Securities	2.8				2,030

					3,269


Austria — 0.2%
Other Securities	0.2				157


Belgium — 1.0%
InBev	0.5		7,418		370
Other Securities	0.5				368

					738


Brazil — 1.2%
Other Securities	1.2				912


Canada — 7.2%
EnCana	0.4		6,169		331
Royal Bank of Canada	0.5		7,200		388
Other Securities	6.3				4,662

					5,381


Chile — 0.3%
Other Securities	0.3				250


China — 3.2%
Industrial & Commercial Bank of China	0.7		571,000		483
Other Securities	2.5				1,868

					2,351


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Colombia — 0.1%
Other Securities	0.1	%		$	72


Czech Republic — 0.1%
Other Securities	0.1				120


Denmark — 0.5%
Other Securities	0.5				404


Egypt — 0.2%
Other Securities	0.2				158


Finland — 0.6%
Other Securities	0.6				422


France — 4.8%
France Telecom	0.4		12,024		313
Sanofi-Aventis	0.9		8,882		671
Other Securities	3.5				2,622

					3,606


Germany — 4.1%
Allianz	0.4		2,197		270
BASF	0.6		7,129		430
Bayerische Motoren Werke	0.4		5,891		278
Deutsche Bank	0.4		4,385		316
E.ON	0.6		11,243		445
Other Securities	1.7				1,318

					3,057


Greece — 0.6%
Other Securities	0.6				469


Hong Kong — 3.3%
Other Securities	3.3				2,371


Hungary — 0.2%
Other Securities	0.2				144


India — 2.2%
HDFC Bank ADR	0.6		3,471		467
Infosys Technologies ADR	0.9		13,222		674
Other Securities	0.7				517

					1,658


Indonesia — 0.6%
Other Securities	0.6				417


Ireland — 0.1%
Other Securities	0.1				72


Israel — 1.0%
Other Securities	1.0				767


Italy — 2.0%
Enel	0.4		48,532		290
Other Securities	1.6				1,166

					1,456


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


Japan — 13.3%
Asahi Glass	0.4	%	31,000	$	272
Canon	0.5		9,000		348
Honda Motor	0.6		14,235		446
JFE Holdings	0.5		10,200		336
Mitsubishi	0.6		20,800		471
Toyota Motor	0.6		10,333		413
Other Securities	10.1				7,630

					9,916


Malaysia — 0.5%
Other Securities	0.5				368


Mauritius — 0.1%
Other Securities	0.1				51


Mexico — 1.1%
America Movil, Ser L	0.4		116,200		281
Other Securities	0.7				522

					803


Netherlands — 2.2%
Akzo Nobel	0.4		4,706		298
Koninklijke Philips Electronics	0.4		10,390		284
Other Securities	1.4				1,032

					1,614


New Zealand — 0.0%
Other Securities	0.0				5


Norway — 0.8%
Other Securities	0.8				615


Papua New Guinea — 0.0%
Other Securities	0.0				26


Peru — 0.0%
Other Securities	0.0				12


Philippines — 0.1%
Other Securities	0.1				45


Poland — 0.4%
Other Securities	0.4				302


Portugal — 0.7%
Other Securities	0.7				497


Russia — 0.8%
Other Securities	0.8				591


Singapore — 1.3%
Other Securities	1.3				978


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


South Africa — 1.6%
Other Securities	1.6	%		$	1,207


South Korea — 2.3%
Samsung Electronics	0.4		520		322
Other Securities	1.9				1,411

					1,733


Spain — 3.7%
Banco Bilbao Vizcaya Argentaria	0.7		27,711		522
Banco Santander Central Hispano	1.3		56,283		964
Telefonica	1.2		32,423		931
Other Securities	0.5				345

					2,762


Sweden — 2.1%
Svenska Cellulosa, Cl B	0.4		20,793		286
Other Securities	1.7				1,239

					1,525


Switzerland — 7.4%
Credit Suisse Group	1.1		15,610		808
Nestle	1.1		16,750		792
Novartis	1.5		19,768		1,097
Roche Holding	0.8		3,452		565
Xstrata	0.9		36,841		646
Other Securities	2.0				1,561

					5,469


Taiwan — 2.7%
Taiwan Semiconductor Manufacturing	0.4		156,769		298
Other Securities	2.3				1,721

					2,019


Thailand — 0.3%
Other Securities	0.3				211


Turkey — 0.6%
Other Securities	0.6				477


United Kingdom — 13.3%
Anglo American	0.6		9,536		407
AstraZeneca	1.0		16,606		740
Barclays	0.7		107,310		515
BG Group	0.5		18,551		336
BHP Billiton	0.6		13,930		425
BP	1.3		101,507		957
British American Tobacco	0.6		15,275		463
GlaxoSmithKline	0.8		29,938		618
Rio Tinto	0.7		10,791		547
Vodafone Group	0.5		169,129		380
Other Securities	6.0				4,488

					9,876


Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)


United States — 0.1%
Other Securities	0.1	%		$	67

Total Common Stock (Cost $63,307) ($ Thousands)					69,447


PREFERRED STOCK — 2.7%

Brazil — 2.5%
Cia Vale do Rio Doce, Cl A	0.7		21,900		531
Telecomunicacoes de Sao Paulo	0.1		2,300		57
Other Securities	1.7				1,277

					1,865


France — 0.0%
Other Securities	0.0				14


Germany — 0.2%
Other Securities	0.2				124

Total Preferred Stock (Cost $1,784) ($ Thousands)					2,003


WARRANTS — 0.0%
Other Securities	0.0				1

Total Warrants (Cost $0) ($ Thousands)					1


RIGHTS — 0.0%

Belgium — 0.0%
Other Securities	0.0				—


Italy — 0.0%
Other Securities	0.0				1


Norway — 0.0%
Other Securities	0.0				12


Spain — 0.0%
Other Securities	0.0				—


United Kingdom — 0.0%
Other Securities	0.0				19

Total Rights (Cost $19) ($ Thousands)					32


Description	Percentage of Net Assets (%)		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%*†	1.5	%		1,098,507	$	1,099

Total Cash Equivalent (Cost $1,099) ($ Thousands)	1,099


U.S. TREASURY OBLIGATION (A) (B) — 1.2%
U.S. Treasury Bills 0.130%, 12/03/09	1.2		$	925		925

Total U.S. Treasury Obligation (Cost $925) ($ Thousands)						925

Total Investments — 98.7% (Cost $67,134) ($ Thousands)					$	73,507

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	19	Dec-2009	$	20
FTSE 100 Index	6	Dec-2009		18
Hang Seng Index	1	Dec-2009		—
S&P/TSE 60 Index	1	Dec-2009		7
SPI 200 Index	1	Dec-2009		2
Topix Index	5	Dec-2009		(23	)

			$	24

Percentages are based on a Net Assets of $74,441 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

ADR

— American Depositary Receipt

Cl — Class

DJ — Dow Jones

FTSE — Financial Times and the London Stock Exchange

S&P — Standard & Poor’s

SPI — Share Price Index

Ser

— Series

TSE — Toronto Stock Exchange

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS — 28.7%
Aeroflex, Ser B-1
3.750%, 08/15/14	$	134	$	121
3.738%, 08/15/14		456		415
3.500%, 08/15/14		5		5
Affinion, Ser B
2.743%, 10/17/12		440		417
Allison Transmission, Ser B
3.000%, 08/07/14		696		610
Aramark
2.157%, 01/26/14		418		376
0.120%, 01/26/14		27		25
Ashland, Ser B
7.650%, 05/13/14		284		288
Asurion, Ser B
3.251%, 07/03/14		525		492
BBN Acquisitions
7.250%, 09/14/15		459		459
Biomet
3.282%, 03/25/15		438		412
Boozal, Ser B-15
7.500%, 07/02/15		112		112
Burlington Coat Factory Warehouse, Ser C
2.500%, 05/28/13		594		527
Busch Enertain
0.000%, 05/13/16 (G)		500		500
Calpine, 1st Lien
3.165%, 03/29/14		773		706
Cebridge, 2nd Lien
6.257%, 05/05/14		216		214
Cedar Fair
4.246%, 08/30/14		175		166
2.246%, 08/30/14		351		333
2.246%, 08/30/12		145		135
Celanese Holding, Ser B
2.037%, 04/02/14		459		425
Charter
6.250%, 03/15/14		597		556


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Cinemark USA
2.130%, 10/05/13	$	82	$	77
2.040%, 10/05/13		251		235
2.030%, 10/05/13		53		49
1.990%, 10/05/13		74		69
Clear Channel
3.894%, 01/29/16		224		168
Clear Channel, Ser B
0.000%, 01/29/16 (G)		870		654
Community Health Systems
2.613%, 07/25/14		856		782
Community Health Systems (Delayed Draw)
2.493%, 07/25/14		44		40
Da Vita, Ser B-1
1.790%, 10/05/12		110		102
1.750%, 10/05/12		340		319
Dana Holding
7.250%, 01/31/15		326		290
Dana, Ser B
0.000%, 01/31/15 (G)		116		103
Dealer Computer Services
2.234%, 10/26/12		224		209
Dealer Computer Services, 1st Lien
2.246%, 10/26/12		449		418
DIRECTV, Ser C
5.250%, 04/13/13		438		435
Discovery Communications
5.250%, 05/14/14		522		523
DJO Finance, Ser B
3.265%, 05/20/14		182		171
Dollar General, Ser B-2
3.011%, 07/07/14		998		928
Dynegy Holdings
4.000%, 04/02/13		685		645
Enterprise GP Holdings
2.534%, 11/10/14		208		197
2.492%, 11/10/14		142		134
Federal Mogul
2.188%, 12/28/15		32		24
2.188%, 12/29/14		380		286
2.177%, 12/28/15		204		154
2.177%, 12/29/14		81		61
Flextronics International, Ser A-2
2.484%, 10/01/14		264		248
Flextronics International, Ser A-3
2.484%, 10/01/14		308		289
Georgia Pacific, Ser B1
2.316%, 12/20/12		378		358
0.000%, 12/20/12 (G)		500		474
Graphic Packaging International
3.030%, 05/16/14		440		414
Green Valley Ranch Gaming, 1st Lien
0.000%, 02/16/14 (G)		450		327


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hanesbrands, Ser B
5.254%, 09/05/13	$	368	$	367
Harrah’s Operating
3.504%, 01/28/15		475		369
Harrah’s Operating, Ser B-2
3.282%, 01/28/15		193		150
HCA, Ser B
2.532%, 11/18/13		1,012		940
Hertz
0.292%, 12/21/12		70		64
Hertz, Ser B
2.040%, 12/21/12		40		37
2.030%, 12/21/12		253		231
2.020%, 12/21/12		1		1
2.000%, 12/21/12		85		78
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		736		623
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		160		135
HMH Publishing, Ser B
5.246%, 06/10/14		603		513
Hub International
6.750%, 06/13/14		350		345
2.761%, 06/13/14		411		354
Hub International (Delayed Draw)
2.761%, 06/13/14		92		79
Iasis Healthcare
0.000%, 03/14/14 (G)		347		320
Iasis Healthcare (Delayed Draw)
2.246%, 03/15/14		110		102
Iasis Healthcare (Synthetic)
0.145%, 03/15/14		30		28
0.000%, 03/14/14 (G)		153		141
Iasis Healthcare, Ser B
2.246%, 03/15/14		319		294
Ineos Group, Ser B
0.000%, 12/16/13 (G)		225		194
Ineos Group, Ser C
0.000%, 12/16/14 (G)		225		195
Infor Enterprise Solution, 2nd Lien
0.000%, 03/02/14 (G)		141		96
Infor Enterprise Solutions Holdings
4.000%, 07/28/12		548		482
Infor Global Enterprise Solutions
6.484%, 03/02/14		305		207
Infor Global Solutions Intermediate Holdings
6.484%, 03/02/14		165		112
Infor Global Solutions, Ser B
0.000%, 07/30/12 (G)		100		88
Integra Telecom
10.500%, 08/31/13		571		568
Intelsat
2.246%, 02/01/14		1,050		926


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Inverness Medical, 2nd Lien
0.000%, 06/26/15 (G)	$	440	$	424
Jetro Holdings
2.492%, 07/02/14		414		393
Knology
2.500%, 06/30/12		963		921
Lake at Las Vegas Joint Venture
16.100%, 06/20/12 (D)		1,085		12
15.460%, 06/20/12 (D)		1,276		13
7.746%, 06/20/12		588		293
Lake at Las Vegas Joint Venture (Synthetic)
16.100%, 06/20/12 (D)		120		2
Lamar Media
5.500%, 09/30/12		345		345
Language Line, Ser B-1
3.496%, 05/14/11		7		7
Life Technologies
5.250%, 11/21/15		1,087		1,085
MEG Energy (Delayed Draw)
2.290%, 03/30/13		74		67
MEG Energy, Ser C
2.290%, 03/30/13		364		330
Metroflag, 2nd Lien
11.250%, 01/06/09 (D) (F)		1,500		—
Mylan Laboratories, Ser B
3.520%, 10/02/14		1,140		1,093
Nalco, Ser B
6.500%, 05/06/16		438		440
Nielson Finance, Ser A
3.992%, 12/31/17		626		572
Niska
1.995%, 05/12/13		430		397
Niska (Delayed Draw)
1.996%, 05/12/13		29		27
Niska Gas Storage US
1.996%, 05/12/13		5		5
1.995%, 05/12/13		8		7
Niska Gas Storage, Canada
1.995%, 05/12/13		77		71
NRG Holdings
0.182%, 02/01/13		153		140
NRG Holdings, Ser B
2.022%, 02/01/13		285		261
Oshkosh, Ser B
6.330%, 12/06/13		432		430
Pilot Travel Centers
0.000%, 11/12/15 (G)		250		250
Reable Therapeutics, Ser B
3.265%, 05/20/14		256		241
Regal Cinemas
4.033%, 10/27/13		353		346
ReMax International
3.790%, 12/17/12		64		62
3.750%, 12/17/12		50		49


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ReMax International, Ser B-2
8.010%, 12/17/12	$	79	$	79
7.750%, 12/17/12		62		62
Reynolds Group
0.000%, 11/05/15 (G)		840		838
Sensata Technology
2.031%, 04/27/13		439		386
2.004%, 04/27/13		1		1
Sirva Worldwide
9.500%, 05/12/12		8		3
Sirva Worldwide (Unfunded)
0.500%, 05/12/12		274		164
Sorenson Communication
15.000%, 06/30/14		485		385
Sorenson Communication, 2nd Lien
7.234%, 02/16/14		225		209
Sungard Data Systems
3.900%, 02/28/16		423		396
3.879%, 02/28/16		36		33
Supervalu
1.156%, 06/02/11		243		232
1.129%, 06/02/11		17		17
Supervalu, Ser A
0.000%, 06/02/11 (G)		240		230
Texas Competitive Electric, Ser B-2
3.712%, 10/10/14		1,970		1,469
Thomson Learning, Ser B
2.730%, 07/05/14		597		508
Travelport
2.783%, 08/23/13		45		40
Travelport , Ser B
2.781%, 08/23/13		145		129
Travelport, Ser B
2.781%, 08/23/13		248		219
Travelport, Ser C-1
7.783%, 08/23/13		160		160
United Surgical Partners (Delayed Draw)
2.250%, 04/19/14		83		76
United Surgical Partners, Ser B
2.314%, 04/19/14		365		331
Univision Communications
2.532%, 09/29/14		624		512
Varietal
2.743%, 06/29/14		340		297
Verint Systems
3.490%, 05/27/14		1,064		961
VWR International , Ser B
2.743%, 06/29/14		135		118
Warner Chilcott PLC, Ser A
5.500%, 10/30/14		169		169
Warner Chilcott PLC, Ser B
5.750%, 04/30/15		85		84
Warner Chilcott PLC, Ser B2
5.750%, 04/30/15		186		186


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Warner Chilcott PLC, Ser DD
0.000%, 04/30/15 (G)	$	59	$	—
Wide Open West Finance, 1st Lien
2.719%, 06/30/14		547		500
WM Bolthouse Farms, 1st Lien
2.563%, 12/16/12		363		352
Wm. Wrigley Jr., Ser B
6.500%, 10/06/14		1,316		1,319

Total Loan Participations (Cost $46,915) ($ Thousands)				43,264


CORPORATE OBLIGATIONS — 11.1%

Consumer Discretionary — 0.2%
Macy’s Retail Holdings
5.350%, 03/15/12		225		225
Sirius XM Radio
9.750%, 09/01/15 (A)		90		93

				318


Consumer Staples — 0.3%
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		450		413


Energy — 0.1%
Canadian Natural Resources
5.700%, 05/15/17		150		162


Financials — 7.4%
Ameriprise Financial
5.350%, 11/15/10		300		311
Banco Santander Chile
0.659%, 12/09/09 (A) (B)		450		450
Bank of America
0.581%, 04/30/12 (B)		200		201
0.489%, 06/22/12 (B)		500		503
Capital One Financial MTN
5.700%, 09/15/11		300		317
Citibank
0.284%, 07/12/11 (B)		785		785
Citigroup
0.579%, 06/09/16 (B)		300		248
Citigroup Funding
0.611%, 04/30/12 (B)		125		126
0.284%, 06/03/11 (B)		135		135
Everest Reinsurance Holdings
8.750%, 03/15/10		295		300
General Electric Capital
0.371%, 04/28/11 (B)		275		273
0.292%, 12/21/12 (B)		1,600		1,601
Genworth Global Funding Trusts MTN
5.200%, 10/08/10		400		410
GMAC
0.292%, 12/19/12 (B)		350		350


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hartford Financial Services Group
7.900%, 06/15/10	$	250	$	258
JPMorgan Chase
0.529%, 06/15/12 (B)		500		503
JPMorgan Chase Capital XXI, Ser U
1.231%, 02/02/37 (B)		550		374
Liberty Property L.P.
7.250%, 03/15/11 ‡		300		310
MBIA Insurance
14.000%, 01/15/33 (A) (B)		200		78
Monumental Global Funding
0.484%, 01/15/14 (A) (B)		450		402
Morgan Stanley
0.554%, 02/10/12 (B)		350		352
0.500%, 03/13/12 (B)		200		201
Morgan Stanley, Ser G
0.584%, 01/09/14 (B)		400		378
Prudential Financial MTN
5.100%, 12/14/11		300		316
Reinsurance Group of America
5.625%, 03/15/17		300		300
State Street
0.381%, 04/30/12 (B)		285		281
State Street Bank and Trust
0.499%, 09/15/11 (B)		295		296
Unitrin
6.000%, 05/15/17		260		217
4.875%, 11/01/10		300		298
VTB 24 Capital PLC, Ser E MTN
1.134%, 12/07/09 (B)		200		200
Wachovia
0.419%, 03/15/11 (B)		425		423

				11,197


Health Care — 0.2%
UnitedHealth Group
1.575%, 02/07/11 (B)		250		251


Industrials — 0.8%
Berry Plastics
5.034%, 02/15/15 (B)		460		415
Continental Airlines, Ser 061G
0.698%, 06/02/13 (B)		300		234
Language Line
11.125%, 06/15/12		500		514

				1,163


Materials — 0.7%
NewPage
11.375%, 12/31/14 (A)		380		374
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)		675		736

				1,110


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Telecommunication Services — 0.6%
Corning
6.050%, 06/15/15	$	300	$	304
Telecom Italia Capital
0.894%, 07/18/11 (B)		300		297
Vodafone Group PLC
0.536%, 02/27/12 (B)		300		299

				900


Utilities — 0.8%
Ferrellgas Partners
9.125%, 10/01/17 (A)		450		468
KeySpan
7.625%, 11/15/10		300		318
Ohio Power
0.464%, 04/05/10 (B)		270		270
Southern, Ser A
5.300%, 01/15/12		175		189

				1,245

Total Corporate Obligations (Cost $17,029) ($ Thousands)				16,759


MORTGAGE-BACKED SECURITIES — 5.7%

Agency Mortgage-Backed Obligations — 0.7%
FNMA
4.750%, 04/19/10		1,000		1,017


Non-Agency Mortgage-Backed Obligations — 5.0%
American Tower Trust, Ser 2007-1A, Cl D
5.957%, 04/15/37 (A)		250		250
Banc of America Funding, Ser 2005-F, Cl 4A1
5.322%, 09/20/35 (B)		440		314
Banc of America Funding, Ser 2006-D, Cl 3A1
5.528%, 05/20/36 (B)		366		253
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.749%, 08/15/29 (A) (B)		193		170
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
4.446%, 02/25/35 (B)		213		164
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
4.625%, 02/25/36 (B)		383		320
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		500		517
Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J
1.189%, 04/15/22 (A) (B)		155		17


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
4.900%, 10/25/35 (B)	$	409	$	320
Credit Suisse First Boston Mortgage Securities, Ser 2000-C1, Cl A2
7.545%, 04/15/62		139		141
Crown Castle Towers LLC, Ser 2006-1A, Cl E
6.065%, 11/15/36 (A)		380		388
Crusade Global Trust, Ser 2007-1, Cl A1
0.344%, 04/19/38 (B)		189		173
First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1
5.367%, 05/25/35 (B)		225		180
First Horizon Mortgage Pass-Through Certificate, Ser 2005-AR4, Cl 2A1
5.334%, 10/25/35 (B)		200		148
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
5.534%, 04/19/36 (B)		399		284
GS Mortgage Securities, Ser 2007-EOP, Cl K
1.292%, 03/06/20 (A) (B)		75		60
Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A
5.317%, 12/19/35 (B)		238		180
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
5.382%, 06/25/37 (B)		361		226
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
5.010%, 07/25/35 (B)		396		291
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (B)		408		281
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1
3.532%, 12/25/34 (B)		347		321
Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E
5.151%, 12/25/35 (B)		335		264
MLCC Mortgage Investors, Ser 2006-1, Cl 2A1
5.291%, 02/25/36 (B)		188		159
Morgan Stanley Capital I, Ser 2007-XLFA, Cl C
0.398%, 10/15/20 (A) (B)		240		81
MortgageIT Trust, Ser 2005-4, Cl A1
0.516%, 10/25/35 (B)		381		240
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
5.315%, 11/25/35 (B)		149		111
Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1
5.669%, 02/25/36 (B)		131		92


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2
5.651%, 04/25/37 (B)	$	273	$	190
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
5.045%, 12/25/35 (B)		390		292
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR3, Cl A2
4.634%, 03/25/35 (B)		328		285
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
4.444%, 12/25/34 (B)		350		327
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
5.000%, 10/25/35 (B)		137		121
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
4.113%, 10/25/35 (B)		92		76
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3
5.100%, 03/25/36 (B)		144		118
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1
5.240%, 04/25/36 (B)		249		202

				7,556

Total Mortgage-Backed Securities (Cost $10,628) ($ Thousands)				8,573


ASSET-BACKED SECURITIES — 5.3%

Automotive — 2.4%
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14		500		520
Americredit Prime Automobile Receivable, Ser 2007-2M, Cl A3
5.220%, 06/08/12		299		304
Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B
5.150%, 09/17/12		230		237
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A
5.020%, 09/15/11		91		92
Capital One Auto Finance Trust, Ser 2005-C, Cl A4A
4.710%, 06/15/12		53		54
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A
5.130%, 04/16/12		269		275
CarMax Auto Owner Trust, Ser 2007-1, Cl C
5.530%, 07/15/13		50		50


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CarMax Auto Owner Trust, Ser 2008-1, Cl A4B
1.539%, 02/15/13 (B)	$	485	$	486
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A3A
5.000%, 02/08/12		275		280
Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A
5.150%, 11/15/11		179		183
GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C
0.667%, 04/20/13 (B)		120		93
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C
5.540%, 04/15/15		105		105
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B
0.639%, 01/17/12 (B)		65		65
Merrill Auto Trust Securitization, Ser 2007-1, Cl C
5.960%, 12/15/13		181		184
Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A3
5.030%, 05/16/11		69		70
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B
0.539%, 01/15/12 (B)		25		25
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C
0.839%, 01/15/12 (B)		45		45
Swift Master Auto Receivables Trust, Ser 2007-2, Cl A
0.889%, 10/15/12 (B)		430		423
USAA Auto Owner Trust, Ser 2007-2, Cl A3
4.900%, 02/15/12		98		100

				3,591


Credit Cards — 1.4%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.419%, 09/15/16 (B)		145		132
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2
0.539%, 11/15/14 (B)		400		367
Chase Issuance Trust, Ser 2005-C2, Cl C2
0.679%, 01/15/15 (B)		400		379
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.862%, 11/07/14 (B)		500		475
Discover Card Master Trust, Ser 2008-A1, Cl A1
0.789%, 07/16/12 (B)		210		210


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C
0.539%, 06/15/13 (B)	$	500	$	487

				2,050


Mortgage Related Securities — 0.8%
First Franklin Mortgage Loan Asset, Ser 2006-FF18, Cl A2B
0.346%, 12/25/37 (B)		275		155
First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2
0.496%, 01/25/38 (B)		285		1
Morgan Stanley Capital I, Ser 2007-HE2, Cl M2
0.504%, 01/25/37 (B)		150		1
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.694%, 08/25/35 (B)		350		269
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.654%, 09/25/35 (B)		370		101
Option One Mortgage Loan Trust, Ser 2005-3, Cl M1
0.706%, 08/25/35 (B)		330		184
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.634%, 12/25/35 (B)		470		157
Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37 (C)		137		132
Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1
0.356%, 02/25/38 (B)		113		100
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.684%, 01/25/36 (B)		375		133
Securitized Asset-Backed Receivables LLC, Ser 2007-NC2, Cl M2
0.504%, 01/25/37 (B)		145		1

				1,234


Other Asset-Backed Securities — 0.7%
ACAS Business Loan Trust , Ser 2006-1A, Cl A
0.486%, 11/27/19 (A) (B)		359		289
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.123%, 08/16/19 (A) (B)		425		115
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		400		343
Lambda Finance, Ser 2005-1A, Cl A3
0.502%, 11/15/29 (A) (B)		197		186


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

Sierra Receivables Funding, Ser 2007-2A, Cl A2
1.237%, 09/20/19 (A) (B)	$	196	$	165

				1,098

Total Asset-Backed Securities (Cost $10,310) ($ Thousands)				7,973


U.S. TREASURY OBLIGATION — 2.9%
U.S. Treasury Inflation Protection Securities
0.875%, 04/15/10		3,810		4,356

Total U.S. Treasury Obligation (Cost $4,347) ($ Thousands)				4,356


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2%
FHLB
1.020%, 02/26/10		800		801
1.375%, 05/16/11		1,500		1,519
FNMA
3.000%, 07/12/10		1,000		1,016

Total U.S. Government Agency Obligations (Cost $3,313) ($ Thousands)				3,336


AFFILIATED PARTNERSHIP — 41.8%
SEI LIBOR Plus Portfolio†		9,799,008		63,106

Total Affiliated Partnership (Cost $94,924) ($ Thousands)				63,106


CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%*†		4,833,572		4,834

Total Cash Equivalent (Cost $4,834) ($ Thousands)				4,834


REPURCHASE AGREEMENT (E) — 2.7%
Bank of America 0.170%, dated 11/30/09, to be repurchased on 12/01/09, repurchase price $4,000,019 (collateralized by U.S. Government obligations, ranging in par value $1,528,107-$4,039,358, 5.000%-5.500%, 12/01/35- 10/01/39; with total market value $4,080,001)		4,000		4,000

Total Repurchase Agreement (Cost $4,000) ($ Thousands)				4,000

Total Investments — 103.6% (Cost $196,300)($ Thousands)			$	156,201

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts (Short)		Expiration Date	Unrealized Depreciation ($ Thousands)
U.S. 10-Year Treasury Note	(4	)	Mar-2010	$	(1	)
U.S. 2-Year Treasury Note	(39	)	Apr-2010		(15	)
U.S. 5-Year Treasury Note	(16	)	Apr-2010		(7	)
U.S. Long Treasury Bond	(3	)	Mar-2010		(2	)

				$	(25	)

Percentages are based on a Net Assets of $150,787 ($ Thousands)

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (See Note 5).

‡

Real Estate Investment Trust

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees.

(B)

Variable Rate Security — The rate reported is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(C)

Step Bonds — The rate reported is the effective yield as of November 30, 2009. The coupon on a step bond changes on a specific date.

(D)

Security in default on interest payments.

(E)

Tri-Party Repurchase Agreement.

(F)

Securities considered illiquid and restricted. The total value of such securities as of November 30, 2009 was $0 ($ Thousands) and represented 0.0% of net assets.

(G)

Unsettled Loan Participation. Interest rate not available.

Cl — Class

FHLB — Federal Home Loan Bank

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

LIBOR — London Interbank Offered Rate

MTN — Medium Term Note

PLC — Public Limited Company

Ser — Series

Amounts designated as “—” are $O or have been rounded to $O.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	43,264	$	—	$	43,264
Corporate Obligations		—		16,759		—		16,759
Mortgage-Backed Securities		—		8,573		—		8,573
Asset-Backed Securities		—		7,973		—		7,973
U.S. Treasury Obligation		—		4,356		—		4,356
U.S. Government Agency Obligations		—		3,336		—		3,336
Cash Equivalent		4,834		—		—		4,834
Repurchase Agreement		—		4,000		—		4,000
Affiliated Partnership		—		63,106		—		63,106

Total Investments in Securities	$	4,834	$	151,367	$	—	$	156,201


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(25	)	$	—	$	—	$	(25	)

Total Other Financial Instruments	$	(25	)	$	—	$	—	$	(25	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 51.2%

Agency Mortgage-Backed Obligations — 35.3%
FHLMC
11.000%, 02/17/21	$	2,532	$	2,806
10.000%, 03/17/26 to 10/01/30		4,340		5,012
7.500%, 08/01/30 to 09/01/38		2,853		3,202
7.000%, 11/01/15 to 09/01/25		192		214
6.500%, 06/01/17 to 09/01/38		39,827		43,178
6.000%, 10/01/19 to 08/01/38		41,832		45,060
5.500%, 12/01/13 to 01/01/38		197,059		210,695
5.000%, 04/18/17 to 06/01/36		44,820		47,890
4.000%, 10/01/33		1,767		1,777
FHLMC ARM (A)
6.713%, 08/01/36		3,564		3,787
6.696%, 07/01/36		1,870		1,987
6.679%, 08/01/36		1,693		1,810
6.599%, 11/01/37		1,169		1,245
6.572%, 12/01/36		2,199		2,343
6.515%, 10/01/36		799		854
6.488%, 02/01/37		1,700		1,809
6.424%, 09/01/36		14,081		15,006
6.357%, 12/01/36		3,222		3,429
6.303%, 10/01/36		4,360		4,631
6.262%, 02/01/37		3,655		3,888
6.250%, 09/01/36		1,314		1,394
6.238%, 03/01/37		1,487		1,575
6.202%, 05/01/37		2,336		2,492
6.173%, 12/01/36		1,887		2,008
6.165%, 12/01/36		1,178		1,246
6.137%, 09/01/36		654		695
6.133%, 01/01/37		6,178		6,578
6.129%, 04/01/37		455		487
6.078%, 09/01/36		2,016		2,136


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.054%, 10/01/37	$	3,251	$	3,442
6.047%, 11/01/36		1,263		1,339
6.039%, 12/01/36		3,295		3,496
6.024%, 04/01/37		663		705
5.998%, 01/01/37		2,447		2,612
5.994%, 04/01/37		4,881		5,192
5.990%, 02/01/37		1,220		1,297
5.985%, 03/01/37		3,153		3,351
5.978%, 10/01/36		1,818		1,906
5.977%, 05/01/37 to 11/01/37		904		965
5.973%, 05/01/37		809		863
5.965%, 01/01/37		473		504
5.956%, 11/01/36 to 03/01/38		8,017		8,531
5.949%, 06/01/37		1,507		1,607
5.918%, 07/01/37		996		1,061
5.910%, 03/01/37		497		529
5.885%, 05/01/37		605		643
5.872%, 05/01/37		9,681		10,334
5.869%, 05/01/36		1,572		1,659
5.863%, 09/01/38		3,080		3,299
5.847%, 05/01/37		3,946		4,194
5.824%, 04/01/37		3,168		3,379
5.813%, 05/01/37		1,373		1,453
5.812%, 06/01/37		1,685		1,793
5.808%, 11/01/38		3,131		3,335
5.749%, 04/01/38		829		878
5.730%, 02/01/37		1,384		1,471
5.727%, 04/01/37		1,219		1,294
5.700%, 03/01/36		1,103		1,170
5.692%, 03/01/36		2,128		2,255
5.653%, 10/01/38		965		1,022
5.628%, 05/01/37		1,058		1,121
5.617%, 07/01/38		4,711		5,001
5.566%, 05/01/36		1,104		1,164
5.543%, 05/01/36		2,544		2,680
5.539%, 08/01/37		4,522		4,786
5.421%, 05/01/38		1,879		1,986
5.107%, 01/01/36		4,740		4,984
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19		28		31
FHLMC CMO, Ser 1142, Cl IA
7.000%, 10/15/21		416		449
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23		11,718		12,641
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23		1,321		1,425
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28		1,788		1,903
FHLMC CMO, Ser 2075, Cl D
6.500%, 08/15/28		1,972		2,130
FHLMC CMO, Ser 2138, Cl KS, IO
7.461%, 02/15/29 (A)		2,367		230
FHLMC CMO, Ser 2293, Cl ZA
6.000%, 03/15/31		2,212		2,396


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2312, Cl Z
6.500%, 05/15/31	$	1,336	$	1,441
FHLMC CMO, Ser 2357, Cl ZJ
6.500%, 09/15/31		368		403
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16		180		180
FHLMC CMO, Ser 2434, Cl ZA
6.500%, 04/15/32		3,556		3,891
FHLMC CMO, Ser 2456, Cl CJ
6.500%, 06/15/32		1,128		1,237
FHLMC CMO, Ser 2458, Cl ZM
6.500%, 06/15/32		1,880		2,071
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17		1,000		1,070
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18		4,137		4,457
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18		1,346		1,450
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17		1,000		1,049
FHLMC CMO, Ser 2631, Cl SA
14.412%, 06/15/33 (A)		1,032		1,166
FHLMC CMO, Ser 2631, Cl MC
5.000%, 02/15/32		484		511
FHLMC CMO, Ser 2671, Cl S
14.321%, 09/15/33 (A)		941		1,057
FHLMC CMO, Ser 2676, Cl CY
4.000%, 09/15/18		2,291		2,389
FHLMC CMO, Ser 2684, Cl SN
27.056%, 10/15/33 (A)		200		235
FHLMC CMO, Ser 2690, Cl SJ
8.792%, 10/15/33 (A)		714		675
FHLMC CMO, Ser 2690, Cl TV
4.500%, 11/15/25		1,800		1,878
FHLMC CMO, Ser 2698, Cl SV
8.642%, 11/15/33 (A)		410		386
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29		558		570
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34		6,302		6,604
FHLMC CMO, Ser 2765, Cl CT
4.000%, 03/15/19		1,557		1,606
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32		1,974		2,102
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24		2,779		2,837
FHLMC CMO, Ser 2827, Cl CS
15.843%, 04/15/32 (A)		150		154
FHLMC CMO, Ser 2833, Cl KO, PO
0.000%, 08/15/34		381		328
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19		1,740		1,871
FHLMC CMO, Ser 2864, Cl NB
5.500%, 07/15/33		2,000		2,169


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2865, Cl GO, PO
0.000%, 10/15/33	$	567	$	478
FHLMC CMO, Ser 2875, Cl HB
4.000%, 10/15/19		954		977
FHLMC CMO, Ser 2934, Cl CI
5.000%, 01/15/34		9,978		10,628
FHLMC CMO, Ser 2945, Cl SA
11.864%, 03/15/20 (A)		3,676		4,139
FHLMC CMO, Ser 2950, Cl JO, PO
0.000%, 03/15/20		579		546
FHLMC CMO, Ser 2968, Cl FC
1.235%, 12/15/34 (A)		418		415
FHLMC CMO, Ser 2981, Cl FA
0.639%, 05/15/35 (A)		1,061		1,030
FHLMC CMO, Ser 2985, Cl JR
4.500%, 06/15/25		4,161		4,337
FHLMC CMO, Ser 2990, Cl LK
0.609%, 10/15/34 (A)		955		947
FHLMC CMO, Ser 3001, Cl HP
21.045%, 05/15/35 (A)		153		175
FHLMC CMO, Ser 3006, Cl QS
19.504%, 07/15/35 (A)		965		1,089
FHLMC CMO, Ser 3012, Cl GK
23.676%, 06/15/35 (A)		148		172
FHLMC CMO, Ser 3028, Cl PG
5.500%, 09/15/35		270		293
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35		1,095		1,191
FHLMC CMO, Ser 3047, Cl YT
0.000%, 09/15/34 (A)		294		288
FHLMC CMO, Ser 3049, Cl XF
0.589%, 05/15/33 (A)		1,179		1,151
FHLMC CMO, Ser 3052, Cl MH
5.250%, 10/15/34		3,275		3,478
FHLMC CMO, Ser 3076, Cl MP
0.094%, 10/15/30 (E)		157		157
FHLMC CMO, Ser 3167, Cl QA
6.000%, 10/15/26		311		313
FHLMC CMO, Ser 3195, Cl PD
6.500%, 07/15/36		2,500		2,790
FHLMC CMO, Ser 3202, Cl HI, IO
6.411%, 08/15/36 (A)		1,450		155
FHLMC CMO, Ser 3217, Cl CX, IO
6.351%, 09/15/36 (A)		1,368		128
FHLMC CMO, Ser 3234, Cl MC
4.500%, 10/15/36		166		165
FHLMC CMO, Ser 3263, Cl WE
0.457%, 08/15/35 (A)		183		176
FHLMC CMO, Ser 3273, Cl TH
7.500%, 08/15/35 (A)		215		215
FHLMC CMO, Ser 3289, Cl PC
5.000%, 12/15/32		3,362		3,537
FHLMC CMO, Ser 3312, Cl BP
5.500%, 01/15/31		300		314


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22	$	2,533	$	2,670
FHLMC CMO, Ser 3383, Cl SA, IO
6.211%, 11/15/37 (A)		1,769		156
FHLMC CMO, Ser 3387, Cl SA, IO
6.181%, 11/15/37 (A)		1,431		144
FHLMC CMO, Ser 3437, Cl AI, IO
1.335%, 09/15/11		4,544		49
FHLMC CMO, Ser 3455, Cl SE, IO
5.961%, 06/15/38 (A)		5,678		574
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17		5,263		5,496
FHLMC CMO, Ser 3546, Cl A
6.116%, 02/15/39 (A)		1,079		1,137
FHLMC CMO, Ser T-41, Cl 2A
6.976%, 07/25/32 (A)		917		1,017
FHLMC CMO, Ser T-42, Cl A5
7.500%, 02/25/42		1,261		1,420
FHLMC CMO, Ser T-54, Cl 3A
7.000%, 02/25/43		847		940
FHLMC CMO, Ser T-57, Cl 1A1
6.500%, 07/25/43		803		878
FHLMC CMO, Ser T-58, Cl 4A
7.500%, 09/25/43		1,036		1,174
FHLMC CMO, Ser T-60, Cl 1A2
7.000%, 03/25/44		766		851
FHLMC-GNMA CMO, Cl L
6.250%, 10/25/23		1,021		1,112
FNMA TBA
6.500%, 01/01/38		13,500		14,544
6.000%, 01/01/38		5,000		5,347
5.000%, 12/01/22 to 12/01/37		5,800		6,147
4.500%, 12/01/18 to 12/25/39		99,760		102,440
FNMA
8.000%, 04/01/15 to 11/01/37		3,970		4,371
7.500%, 06/01/30 to 11/01/38		5,777		6,430
7.000%, 12/01/15 to 06/01/35		10,842		11,999
6.500%, 05/01/17 to 12/01/37		63,646		69,016
6.000%, 03/01/19 to 11/01/38		169,382		182,369
5.500%, 04/01/14 to 08/01/37		219,157		235,430
5.000%, 02/01/20 to 11/01/36		132,875		140,154
4.500%, 07/01/20 to 04/01/38		38,621		40,207
4.000%, 04/01/19 to 11/01/20		3,949		4,074
FNMA ARM (A)
6.657%, 01/01/37		2,227		2,367
6.594%, 09/01/36		1,078		1,142
6.346%, 09/01/36		1,024		1,090
6.286%, 09/01/37		1,338		1,422
6.277%, 09/01/37		5,604		5,968
6.272%, 10/01/36		961		1,025
6.261%, 07/01/37		1,014		1,084
6.233%, 10/01/36		2,006		2,128
6.231%, 02/01/37		1,531		1,629
6.217%, 09/01/37		76		81


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.212%, 06/01/36	$	2,575	$	2,736
6.203%, 11/01/37		2,812		2,984
6.200%, 08/01/36		853		910
6.166%, 09/01/36		2,485		2,635
6.123%, 09/01/37		1,868		1,994
6.109%, 11/01/37		724		774
6.106%, 12/01/36		1,288		1,378
6.085%, 08/01/36		1,285		1,364
6.040%, 05/01/36		1,047		1,109
6.020%, 09/01/37		1,910		2,034
6.019%, 10/01/37		1,930		2,060
6.015%, 07/01/37		2,277		2,417
6.013%, 01/01/37		1,538		1,641
5.981%, 04/01/37		1,571		1,674
5.963%, 01/01/37		2,125		2,267
5.937%, 07/01/36		2,325		2,471
5.925%, 03/01/37		1,041		1,109
5.924%, 01/01/37		1,911		2,038
5.918%, 06/01/36 to 10/01/36		2,003		2,118
5.900%, 11/01/36 to 12/01/36		6,005		6,371
5.884%, 02/01/37		1,380		1,471
5.874%, 10/01/36		4,087		4,328
5.855%, 04/01/37		2,643		2,812
5.837%, 08/01/37		2,744		2,919
5.761%, 03/01/37		12,524		13,321
5.754%, 02/01/37		2,042		2,170
5.745%, 05/01/37		117		125
5.686%, 01/01/23		1,174		1,254
5.675%, 05/01/37		5,138		5,448
5.668%, 05/01/37		803		853
5.663%, 11/01/36		1,361		1,437
5.628%, 02/01/36		8,662		9,188
5.607%, 11/01/37		1,106		1,164
5.604%, 02/01/38		2,062		2,193
5.586%, 06/01/36 to 05/01/37		4,240		4,484
5.521%, 10/01/36		3,477		3,671
5.499%, 07/01/37		955		1,011
2.782%, 11/01/35		1,898		1,913
2.767%, 11/01/35		1,750		1,764
2.763%, 11/01/35		1,828		1,843
2.753%, 11/01/35		1,889		1,904
2.749%, 11/01/35		1,897		1,912
FNMA CMO, Cl A3
4.001%, 01/25/19		4,134		4,188
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		376		414
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22		982		1,091
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		853		947
FNMA CMO, Ser 1992-96, Cl B, PO
0.000%, 05/25/22		1		1
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/23 (A)		384		436


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23	$	1,601	$	1,729
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		2,099		2,305
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24		1,373		1,500
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		1,238		1,382
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		927		1,004
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		2,480		2,652
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		1,060		1,170
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		1,877		2,030
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		746		823
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		15,874		17,306
FNMA CMO, Ser 2002-10, Cl SB
18.634%, 03/25/17 (A)		217		263
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		909		993
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		2,379		2,530
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18		230		239
FNMA CMO, Ser 2003-125, Cl AY
4.000%, 12/25/18		660		684
FNMA CMO, Ser 2003-131, Cl SK
15.728%, 01/25/34 (A)		1,090		1,252
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14		1,366		1,471
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18		1,000		1,072
FNMA CMO, Ser 2003-30, Cl HS, IO
7.414%, 07/25/17 (A)		1,954		128
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		761		627
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		1,356		1,472
FNMA CMO, Ser 2003-50, Cl QJ
5.000%, 08/25/28		379		384
FNMA CMO, Ser 2003-91, Cl XT
4.500%, 12/25/17		1,533		1,567
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,686
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		461		445
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		1,475		1,575


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31	$	536	$	524
FNMA CMO, Ser 2005-106, Cl US
23.702%, 11/25/35 (A)		1,453		2,039
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		2,118		2,217
FNMA CMO, Ser 2005-16, Cl PE
5.000%, 03/25/34		5,423		5,772
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		874		951
FNMA CMO, Ser 2005-72, Cl SB
16.285%, 08/25/35 (A)		954		1,108
FNMA CMO, Ser 2005-74, Cl CS
19.371%, 05/25/35 (A)		751		889
FNMA CMO, Ser 2005-88, Cl QO, PO
0.000%, 11/25/33		544		489
FNMA CMO, Ser 2005-96, Cl BP
5.900%, 02/25/15		927		951
FNMA CMO, Ser 2006-118, Cl A2
0.296%, 12/25/36 (A)		2,305		2,204
FNMA CMO, Ser 2006-23, Cl FK
0.486%, 04/25/36 (A)		673		658
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/36		1,016		918
FNMA CMO, Ser 2006-33, Cl LS
29.088%, 05/25/36 (A)		599		806
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/33		496		426
FNMA CMO, Ser 2006-44, Cl FP
0.636%, 06/25/36 (A)		1,058		1,052
FNMA CMO, Ser 2006-46, Cl SW
23.334%, 06/25/36 (A)		674		893
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/36		1,424		1,298
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		1,518		1,634
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22		3,664		3,854
FNMA CMO, Ser 2007-116, Cl HI
6.599%, 01/25/38 (A)		7,460		611
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37		1,342		1,406
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37		194		203
FNMA CMO, Ser 2007-43, Cl FL
0.536%, 05/25/37 (A)		733		721
FNMA CMO, Ser 2007-53, Cl SH, IO
5.864%, 06/25/37 (A)		3,293		324
FNMA CMO, Ser 2007-54, Cl FA
0.636%, 06/25/37 (A)		2,964		2,925


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2007-60, Cl AX, IO
6.914%, 07/25/37 (A)	$	3,752	$	506
FNMA CMO, Ser 2007-79, Cl SB
23.152%, 08/25/37 (A)		283		365
FNMA CMO, Ser 2007-92, Cl YS, IO
5.544%, 06/25/37 (A)		3,099		277
FNMA CMO, Ser 2008-1, Cl BI, IO
5.674%, 02/25/38 (A)		3,887		363
FNMA CMO, Ser 2008-22, Cl SI
6.194%, 03/25/37 (A)		23,000		2,514
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,612
FNMA CMO, Ser 2008-32, Cl SA, IO
6.614%, 04/25/38 (A)		1,992		188
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (A)		5,600		75
FNMA CMO, Ser 2008-4, Cl SD, IO
5.764%, 02/25/38 (A)		5,750		546
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,750
FNMA CMO, Ser 2008-66, Cl B
5.000%, 08/25/23		669		716
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		6,238		6,433
FNMA CMO, Ser 2009-99, Cl SC, IO
5.935%, 12/25/39 (A)		6,000		534
FNMA CMO, Ser G92-41, Cl MA
8.000%, 08/25/22		1,216		1,338
FNMA Grantor Trust CMO, Ser 2000-86, Cl A1
7.500%, 06/25/30		1,236		1,396
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		2,820		3,185
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		838		923
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B
5.763%, 12/25/11		727		784
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		1,036		1,153
FNMA Interest STRIP CMO, IO
7.000%, 01/01/32		1,181		196
6.500%, 02/01/33		1,937		288
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.500%, 12/25/42		1,120		1,256
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,897		2,019
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42		942		1,033


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33	$	1,177	$	1,310
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		1,442		1,590
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		1,074		1,172
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.456%, 03/25/45 (A)		2,132		2,023
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		487		548
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.456%, 02/25/36 (A)		1,125		1,083
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.496%, 11/25/46 (A)		1,703		1,634
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
37.764%, 07/25/37 (A)		162		287
GNMA
9.500%, 12/15/20		12		13
7.500%, 10/15/37 to 09/20/38		4,501		4,909
7.000%, 04/15/26 to 06/15/35		5,163		5,715
6.500%, 01/15/24 to 02/15/39		18,803		20,352
6.000%, 11/15/23 to 02/15/35		37,630		40,662
5.000%, 05/15/33 to 11/15/35		32,705		34,616
GNMA TBA
4.500%, 12/15/39 to 01/15/40		58,265		59,734
GNMA CMO, Ser 2001-18, Cl WH
31.563%, 04/20/31 (A)		151		225
GNMA CMO, Ser 2001-22, Cl PS
20.391%, 03/17/31 (A)		1,145		1,465
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,810		2,077
GNMA CMO, Ser 2002-23, Cl SD
20.309%, 04/16/32 (A)		1,769		2,144
GNMA CMO, Ser 2002-51, Cl SG
31.475%, 04/20/31 (A)		145		215
GNMA CMO, Ser 2002-57, Cl SB
108.919%, 08/16/32		108		445
GNMA CMO, Ser 2002-69, Cl SC
15.980%, 02/20/32 (A)		482		529
GNMA CMO, Ser 2003-60, Cl GS
12.019%, 05/16/33 (A)		238		256
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33		11,785		12,199
GNMA CMO, Ser 2003-97, Cl SA, IO
6.311%, 11/16/33 (A)		856		99


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2004-28, Cl SV
8.763%, 04/20/34 (A)	$	1,849	$	1,814
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		322		302
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (A)		568		545
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34		1,269		8
GNMA CMO, Ser 2004-87, Cl SB
7.399%, 03/17/33 (A)		465		432
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28		894		8
GNMA CMO, Ser 2005-3, Cl SB, IO
5.863%, 01/20/35 (A)		2,467		237
GNMA CMO, Ser 2005-7, Cl JM
16.198%, 05/18/34 (A)		481		566
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		1,000		1,094
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		1,723		1,828
GNMA CMO, Ser 2006-38, Cl SW, IO
6.263%, 06/20/36 (A)		2,706		255
GNMA CMO, Ser 2007-17, Cl AF
0.439%, 04/16/37 (A)		1,153		1,127
GNMA CMO, Ser 2007-27, Cl SD, IO
5.963%, 05/20/37 (A)		1,843		157
GNMA CMO, Ser 2007-42, Cl SB, IO
6.513%, 07/20/37 (A)		2,732		258
GNMA CMO, Ser 2007-45, Cl QA, IO
6.403%, 07/20/37 (A)		1,802		170
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.313%, 11/20/37 (A)		2,152		185
GNMA CMO, Ser 2007-81, Cl SP, IO
6.413%, 12/20/37 (A)		2,698		282
GNMA CMO, Ser 2007-82, Cl SA, IO
6.293%, 12/20/37 (A)		1,764		135
GNMA CMO, Ser 2007-9, Cl CI, IO
5.963%, 03/20/37 (A)		2,188		191
GNMA CMO, Ser 2008-10, Cl S, IO
5.593%, 02/20/38 (A)		3,413		228
GNMA CMO, Ser 2008-2, Cl MS, IO
6.921%, 01/16/38 (A)		2,430		269
GNMA CMO, Ser 2008-33, Cl XS, IO
7.461%, 04/16/38 (A)		1,548		160
GNMA CMO, Ser 2008-55, Cl SA, IO
5.963%, 06/20/38 (A)		3,082		262
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		1,760		217
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		84		10


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37	$	1,868	$	267
GNMA CMO, Ser 2009-22, Cl SA, IO
6.033%, 04/20/39 (A)		4,575		413
GNMA CMO, Ser 2009-24, Cl DS, IO
6.063%, 03/20/39 (A)		2,429		242
GNMA CMO, Ser 2009-25, Cl SE, IO
7.363%, 09/20/38 (A)		1,894		222
GNMA CMO, Ser 2009-31, Cl TS, IO
6.063%, 03/20/39 (A)		4,585		397
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		769		113
GNMA CMO, Ser 2009-42, Cl SC, IO
5.843%, 06/20/39 (A)		1,637		160
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (A)		3,567		60
GNMA CMO, Ser 2009-43, Cl SA, IO
5.713%, 06/20/39 (A)		4,248		319
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,458		1,610
GNMA CMO, Ser 2009-6, Cl SH, IO
5.803%, 02/20/39 (A)		3,474		291
GNMA CMO, Ser 2009-61, Cl ES, IO
6.513%, 03/20/39 (A)		5,810		706
GNMA CMO, Ser 2009-65, Cl TS, IO
6.163%, 12/20/38 (A)		5,954		603
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		1,985		259
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,455

				1,925,010


Non-Agency Mortgage-Backed Obligations — 15.9%
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.552%, 11/25/46 (A)		1,716		819
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.361%, 03/25/47 (A)		14,412		7,006
American Tower Trust, Ser 2007-1A, Cl AFX
5.420%, 04/15/37 (B)		3,409		3,443
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.807%, 05/24/36 (A) (B)		1,238		1,238
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.594%, 03/26/37 (A) (B)		2,509		2,471
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (B)		1,887		1,868
Asset Securitization, Ser 1996-D3, Cl A2
7.775%, 10/13/26 (A)		2,159		2,295


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34	$	427	$	415
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		871		846
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		639		647
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		1,039		1,053
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		737		716
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		640		640
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.251%, 11/25/21 (A)		321		282
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.457%, 04/25/37 (A)		499		314
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35		1,075		1,102
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4
6.186%, 06/11/35		5,100		5,385
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1
3.878%, 09/11/36		3,395		3,437
Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5
4.580%, 11/10/38		564		564
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43		8,860		8,561
Banc of America Commercial Mortgage, Ser 2004-2, Cl A4
4.153%, 11/10/38		—		—
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		500		431
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (A)		500		486


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Commercial Mortgage, Ser 2006-6, Cl A2
5.309%, 10/10/45	$	1,902	$	1,925
Banc of America Commercial Mortgage, Ser 2007-2, Cl A2
5.634%, 04/10/49 (A)		2,383		2,365
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		728		671
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		1,411		1,399
Banc of America Funding, Ser 2005-B, Cl 2A1
5.080%, 04/20/35 (A)		4,976		3,307
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.786%, 05/25/18 (A)		591		561
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23
4.500%, 04/25/34		1,201		1,201
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		503		507
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		314		311
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/37 (B)		2,430		2,405
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (A) (B)		1,000		1,000
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (B)		1,522		1,476
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.269%, 05/25/34 (A)		3,491		3,323
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4
4.180%, 04/25/35 (A)		278		183
Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36		2,408		1,672
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		1,709		1,779
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP6, Cl A2
6.460%, 10/15/36		3,645		3,855


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38	$	3,071	$	3,160
Bear Stearns Commercial Mortgage Securities, Ser 2003-T-12, Cl A3
4.240%, 08/13/39 (A)		881		886
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3
5.468%, 06/11/41 (A)		751		780
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A2
5.286%, 06/11/41 (A)		1,541		1,588
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41		637		638
Bear Stearns Commercial Mortgage Securities, Ser 2004-T16, Cl A6
4.750%, 02/13/46 (A)		1,718		1,695
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl AAB
4.804%, 09/11/42		1,280		1,314
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.298%, 10/12/42 (A)		6,500		6,576
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/41		300		298
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/40 (A)		10,186		10,231
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3
5.736%, 06/11/50		2,640		2,448
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW18, Cl AM
6.084%, 06/11/50 (A)		885		612
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.686%, 01/25/34 (A)		1,054		1,045
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		387		314
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
5.238%, 12/25/35 (A)		13,166		9,705
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
4.129%, 02/25/37 (A)		539		506
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
4.053%, 07/25/37 (A)		807		734
Citicorp Mortgage Securities, Ser 2004-3, Cl A8
5.250%, 05/25/34		656		655


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4
5.320%, 12/11/49	$	6,855	$	5,778
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.073%, 08/25/34 (A)		904		885
Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3
4.900%, 12/25/35 (A)		6,801		5,040
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (B)		1,517		1,395
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		6,991		7,496
Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2
7.546%, 11/17/32 (A)		59		59
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.220%, 12/10/49 (A)		9,920		8,460
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl AJ
6.220%, 12/10/49 (A)		1,210		549
Commercial Mortgage Pass Through Certificates, Ser 2004-LB2A, Cl A4
4.715%, 03/10/39		3,361		3,354
Commercial Mortgage Pass Through Certificates, Ser 2004-LB3A, Cl A5
5.476%, 07/10/37 (A)		1,876		1,898
Commercial Mortgage Pass Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/43 (A)		600		603
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (B)		5,564		5,790
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		2,836		2,789
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34		2,456		2,067
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO
4.864%, 02/25/35 (A)		46,713		4,055
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		481		477
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		405		264
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31		1,555		1,447


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
2.107%, 08/25/35 (A)	$	4,287	$	2,023
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.857%, 08/25/35 (A)		1,111		501
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1
0.546%, 11/25/35 (A)		8,127		4,050
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.567%, 11/20/35 (A)		9,809		4,868
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1
0.506%, 01/25/36 (A)		3,108		1,590
Countrywide Alternative Loan Trust, Ser 2006-0A9, Cl 2A1A
0.447%, 07/20/46 (A)		648		268
Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl A4
0.426%, 09/25/46 (A)		10,324		4,386
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-49, Cl A3
3.697%, 12/19/33 (A)		—		1
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-56, Cl 6A1
5.201%, 12/25/33 (A)		679		558
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J1, Cl A6
5.250%, 09/25/33		1,000		1,010
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J7, Cl 4A3
9.468%, 08/25/18 (A)		273		213
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-20, Cl 2A1
3.348%, 09/25/34 (A)		98		66
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		2,045		2,039
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 10/25/35		818		675
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.636%, 09/25/35 (A) (B)		7,916		5,930


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34	$	1,797	$	1,850
Credit Suisse First Boston Mortgage Securities, Ser 2001-CK1, Cl A3
6.380%, 12/18/35		1,158		1,187
Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34		3,307		3,424
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36		74		76
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36		6,381		6,654
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		987		1,015
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18		728		711
Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36		1,215		1,245
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2
4.597%, 03/15/35		851		865
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
3.633%, 06/25/34 (A)		955		905
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		374		376
Credit Suisse First Boston Mortgage Securities, Ser 2005-C5, Cl A4
5.100%, 08/15/38 (A)		1,333		1,310
Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4
5.230%, 12/15/40 (A)		22,220		21,771
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		12,930		10,744
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		10,517		8,662
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (B)		1,165		1,161
CS First Boston Mortgage Securities, Ser 2005-4, Cl 3A24
18.167%, 06/25/35 (A)		369		364
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		7,040		6,013


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33	$	1,301	$	1,332
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.637%, 11/19/44 (A)		2,285		529
DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A
1.552%, 03/19/46 (A)		438		171
FHLMC Multifamily Structured Pass Through Certificates, Ser K003, Cl AAB
4.768%, 05/25/18		2,824		2,986
FHLMC Multifamily Structured Pass Through Certificates, Ser K004, Cl A2
4.186%, 08/25/19		4,549		4,650
First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10
6.000%, 11/25/36		994		796
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		1,754		1,767
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2
7.202%, 10/15/32		1,387		1,420
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl B
7.281%, 10/15/32 (A)		500		517
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		926		948
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3
6.030%, 08/11/33		524		531
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1
5.560%, 06/10/38		49		50
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		1,562		1,663
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.513%, 11/10/45 (A)		4,128		4,117
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		2,500		2,002
GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 (A)		95		96


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39	$	3,009	$	3,117
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.670%, 05/10/40 (A)		1,259		1,324
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		5,138		5,266
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (A)		700		672
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
4.133%, 10/19/33 (A)		2,663		2,503
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		812		778
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		1,084		983
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		379		375
GMAC Mortgage Loan Trust, Ser 2005-AR5 , Cl 3A1
5.048%, 09/19/35 (A)		249		195
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
5.224%, 11/19/35 (A)		1,118		877
Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A
0.316%, 02/25/47 (A)		13,892		10,460
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		1,156		1,129
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl A4
4.799%, 08/10/42 (A)		1,311		1,261
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		2,491		2,324
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AAB
5.190%, 04/10/37 (A)		335		342
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.116%, 07/10/38 (A)		15,178		13,781
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (A) (B)		5,378		5,630
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		6,191		6,372


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (A)	$	1,000	$	902
GS Mortgage Securities II, Ser 2006-GG6, Cl A2
5.506%, 04/10/38 (A)		460		466
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (A) (B)		5		5
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.586%, 09/25/35 (A) (B)		3,116		2,000
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.636%, 04/25/36 (A) (B)		2,271		1,779
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		125		99
Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO
2.692%, 03/19/35		11,400		381
Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO
2.437%, 10/19/35 (A)		22,676		737
Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C
7.183%, 05/15/31 (A)		110		110
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		1,006		1,020
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.586%, 08/25/36 (A)		1,664		1,302
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
6.155%, 11/25/37 (A)		2,145		1,548
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (A)		11,300		4,315
JPMorgan Chase Commercial Mortgage Securities, Ser 2000-C10, Cl A2
7.371%, 08/15/32 (A)		829		830
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIBC, Cl A3
6.260%, 03/15/33		1,253		1,286
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3
6.465%, 11/15/35		5,615		5,888
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl A3
6.162%, 05/12/34		5,517		5,828


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A2S
5.305%, 01/15/49	$	7,733	$	7,481
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37		1,137		1,184
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4
5.326%, 08/12/40 (A)		1,911		1,981
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C3, Cl A2
4.223%, 01/15/42		11,070		11,059
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4
5.557%, 06/12/41 (A)		2,579		2,619
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A2
6.051%, 04/15/45 (A)		2,400		2,459
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/45		500		464
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (A)		2,477		2,465
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A4
5.481%, 12/12/44 (A)		2,089		2,001
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A2
5.815%, 02/12/49 (A)		774		784
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (A)		7,877		6,774
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AM
6.260%, 02/15/51 (A)		995		687
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49		7,442		6,215
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
4.577%, 06/25/34 (A)		4,675		4,460


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.816%, 12/25/34 (A)	$	3,341	$	3,276
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
4.826%, 12/25/34 (A)		11,500		11,033
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2
4.495%, 06/25/35 (A)		13,065		9,649
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.320%, 04/25/35 (A)		360		267
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
4.056%, 08/25/34 (A)		2,795		2,485
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
3.999%, 08/25/34 (A)		1,226		1,051
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.757%, 04/25/36 (A)		13,400		8,997
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.730%, 05/25/36 (A)		14,500		11,540
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26		1,699		1,729
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26		2,928		3,020
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2
6.653%, 11/15/27		702		733
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		13,224		13,982
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		1,017		1,048
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		2,169		2,261
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4
4.166%, 05/15/32		576		580
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (A)		17,485		18,060
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		853		843
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		342


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40	$	413	$	405
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		1,841		1,800
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl AM
5.493%, 02/15/40 (A)		1,050		684
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
3.096%, 11/21/34 (A)		1,200		1,174
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
3.096%, 11/21/34 (A)		1,585		1,288
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
3.096%, 11/21/34 (A)		11,650		10,154
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.436%, 05/25/47 (A)		18,676		8,624
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34		2,494		2,502
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (B)		3,785		3,490
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.586%, 05/25/35 (A) (B)		732		582
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.596%, 07/25/35 (A) (B)		1,674		1,392
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		668		656
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		802		585
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1
0.636%, 11/25/34 (A)		184		173
Merit Securities, Ser 2003-13, Cl A4
7.963%, 12/28/33 (A)		3,483		3,487
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
3.841%, 02/25/34 (A)		262		251
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.261%, 02/25/34 (A)		5,082		4,933
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
4.475%, 02/25/35 (A)		256		221
Merrill Lynch Mortgage Trust, Ser 2003-KEY1, Cl A4
5.236%, 11/12/35 (A)		3,365		3,483


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)	$	1,254	$	1,244
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
3.941%, 02/25/36 (A)		550		401
Merrill Lynch, Ser 2006-1, Cl A2
5.439%, 02/12/39 (A)		2,381		2,402
Merrill Lynch, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		16,900		14,279
Merrill Lynch, Ser 2007-7, Cl A4
5.810%, 06/12/50 (A)		6,740		5,485
Merrill Lynch, Ser 2007-9, Cl AM
5.856%, 09/12/49 (A)		2,130		1,385
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (A)		6,740		5,412
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.889%, 04/25/29 (A)		443		360
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.537%, 05/25/29 (A)		636		591
MLCC Mortgage Investors, Ser 2005-1, Cl 2A2
4.804%, 04/25/35 (A)		336		284
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
4.804%, 04/25/35 (A)		108		91
Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4
5.010%, 04/15/38		3,640		3,764
Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/41		2,202		2,271
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		2,256		2,243
Morgan Stanley Capital I, Ser 2004-HQ4, Cl A7
4.970%, 04/14/40		6,653		6,648
Morgan Stanley Capital I, Ser 2004-IQ7, Cl A4
5.537%, 06/15/38 (A)		4,367		4,402
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4
5.168%, 01/14/42		680		689
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		3,939		4,066
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		9,252		9,072


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.355%, 11/14/42 (A)	$	2,829	$	2,956
Morgan Stanley Capital I, Ser 2005-T17, Cl A5
4.780%, 12/13/41		692		697
Morgan Stanley Capital I, Ser 2005-T17, Cl A4
4.520%, 12/13/41		211		213
Morgan Stanley Capital I, Ser 2006-HQ10, Cl AM
5.360%, 11/12/41		2,130		1,611
Morgan Stanley Capital I, Ser 2006-HQ8, Cl A2
5.374%, 03/12/44		2,130		2,147
Morgan Stanley Capital I, Ser 2006-HQ8, Cl A4
5.558%, 03/12/44 (A)		2,789		2,662
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (A)		7,900		7,755
Morgan Stanley Capital I, Ser 2007-HQ11, Cl A31
5.439%, 02/12/44		831		807
Morgan Stanley Dean Witter Capital I, Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 (A)		529		529
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4
6.390%, 10/15/35		6,886		7,257
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl A3
6.510%, 04/15/34		647		688
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4
5.740%, 12/15/35		551		581
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		7,164		7,340
Morgan Stanley Dean Witter Capital I, Ser 2003-TOP9, Cl A2
4.740%, 11/13/36		1,328		1,365
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.346%, 02/25/47 (A)		679		516
New York Mortgage Trust, Ser 2006-1, Cl 2A2
5.645%, 05/25/36 (A)		788		656
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		4,921		5,278
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/34		177		134


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/35 (B)	$	3,078	$	2,483
RBSGC Mortgage Pass Through Certificates, Ser 2007-B, Cl 1A4
0.686%, 01/25/37 (A)		6,546		3,227
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		680		674
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		632		607
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,346		955
Residential Accredit Loans, Ser 2005-Q02, Cl A1
1.992%, 09/25/45 (A)		1,239		615
Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A
0.326%, 10/25/46 (A)		7,278		6,646
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		1,166		1,131
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31		2,156		2,044
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		686		655
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.362%, 12/25/34 (A)		2,026		1,607
Salomon Brothers Mortgage Securities VII, Ser 2000-C3, Cl A2
6.592%, 12/18/33		3,140		3,202
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		1,790		1,845
Station Place Securitization Trust Ser 2009-1, Cl A
1.740%, 11/30/39		1,000		1,000
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1
5.624%, 09/25/35 (A)		4,918		3,522
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.556%, 10/25/35 (A)		6,124		3,569
Structured Asset Mortgage Investments, Ser 2004-AR8, Cl A1
0.577%, 05/19/35 (A)		247		174
Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3
0.426%, 07/25/46 (A)		222		107


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.436%, 10/25/36 (A)	$	6,929	$	3,263
Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B
0.416%, 09/25/47 (A)		19,753		9,858
Structured Asset Securities, Ser 2003-16, Cl A3
0.736%, 06/25/33 (A)		1,409		1,273
Structured Asset Securities, Ser 2003-31A, Cl 2A7
3.165%, 10/25/33 (A)		11,911		9,495
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		1,271		1,227
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		1,000		956
Structured Asset Securities, Ser 2005-6 , Cl 5A8
13.428%, 05/25/35 (A)		263		229
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.556%, 09/25/43 (A)		257		220
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1
6.209%, 09/25/37 (A)		6,914		5,495
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
6.196%, 09/25/37 (A)		6,853		5,489
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
6.073%, 08/15/39 (A)		2,500		2,657
US Bank National Mortgage Association, Ser 2007-1, Cl A
5.920%, 05/25/12		6,530		6,955
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		3,200		3,544
Virginia Housing Development Authority, Ser 2006-2, Cl CTFS
6.000%, 06/25/34		706		702
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		2,587		2,751
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 (A)		1,341		1,337


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (B)	$	439	$	443
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		1,021		1,021
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/42		1,945		1,928
WaMu Mortgage Pass Through Certificates, Ser 2003-AR10, Cl A7
2.825%, 10/25/33 (A)		745		659
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 2A
2.882%, 09/25/33 (A)		464		451
WaMu Mortgage Pass Through Certificates, Ser 2003-S11, Cl 2A5
16.401%, 11/25/33 (A)		1,057		1,043
WaMu Mortgage Pass Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		804		818
WaMu Mortgage Pass Through Certificates, Ser 2003-S4, Cl 2A10
16.814%, 06/25/33 (A)		192		174
WaMu Mortgage Pass Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,063		1,873
WaMu Mortgage Pass Through Certificates, Ser 2004-AR11, Cl A
2.900%, 10/25/34 (A)		56		53
WaMu Mortgage Pass Through Certificates, Ser 2004-AR14, Cl A1
4.190%, 01/25/35 (A)		1,940		1,797
WaMu Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A1
3.136%, 06/25/34 (A)		380		353
WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		854		855
WaMu Mortgage Pass Through Certificates, Ser 2006-AR13, Cl 2A
2.912%, 10/25/46 (A)		1,656		956
WaMu Mortgage Pass Through Certificates, Ser 2007-HY3, Cl 4A1
5.318%, 03/25/37 (A)		483		357


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
4.189%, 01/25/33 (A)	$	399	$	368
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		645		659
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A
0.556%, 08/25/45 (A)		174		118
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.526%, 10/25/45 (A)		4,396		3,060
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.516%, 11/25/45 (A)		6,864		3,907
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
5.091%, 12/25/35 (A)		13,585		9,056
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.526%, 12/25/45 (A)		6,618		3,678
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.702%, 01/25/46 (A)		3,478		831
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
5.606%, 11/25/36 (A)		540		410
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
2.132%, 11/25/46 (A)		2,200		645
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
1.472%, 11/25/46 (A)		3,360		1,690
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
1.472%, 11/25/46 (A)		1,938		533
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
1.442%, 12/25/46 (A)		663		204
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.912%, 12/25/46 (A)		759		399


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.602%, 06/25/46 (A)	$	1,447	$	522
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B
1.552%, 09/25/46 (A)		1,124		225
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1
5.386%, 02/25/37 (A)		9,596		6,015
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
5.672%, 02/25/37 (A)		7,218		4,879
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1
5.574%, 03/25/37 (A)		8,250		5,312
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A
1.382%, 06/25/47 (A)		13,634		6,874
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B
1.472%, 05/25/47 (A)		17,036		3,535
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.442%, 07/25/47 (A)		13,671		6,885
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		912		123
Washington Mutual Mortgage Pass Through Certificates, Ser 2003-AR6, Cl A1
3.052%, 06/25/33 (A)		713		664
Washington Mutual Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2
3.136%, 06/25/34 (A)		498		462
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS8, Cl 1P, PO
1.656%, 05/25/33		451		334
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS9, Cl 2P, PO
1.655%, 04/25/33		894		551
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		2,854		2,918


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6
4.836%, 02/25/33 (A)	$	953	$	927
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5
4.437%, 10/25/33 (A)		436		423
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1
4.473%, 11/25/33 (A)		1,870		1,836
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-B, Cl A1
4.885%, 02/25/34 (A)		1,259		1,196
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (A)		320		307
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8
4.855%, 05/25/34 (A)		1,000		976
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1
3.995%, 12/25/34 (A)		412		409
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A2
3.995%, 12/25/34 (A)		618		606
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1
3.122%, 12/25/34 (A)		1,164		1,110
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1
3.689%, 07/25/34 (A)		1,075		1,088
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1
3.066%, 09/25/34 (A)		742		678
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1
3.301%, 10/25/34 (A)		1,023		1,007
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2
3.301%, 10/25/34 (A)		818		809
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1
3.530%, 06/25/35 (A)		1,381		1,254


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
3.122%, 12/25/34 (A)	$	776	$	744
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A6
4.762%, 07/25/34 (A)		895		875
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A5
4.762%, 07/25/34 (A)		881		881
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.866%, 08/25/34 (A)		800		799
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1
5.386%, 08/25/35 (A)		1,038		901
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36		12,068		10,401
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1
5.918%, 11/25/36 (A)		1,253		1,020

				864,614

Total Mortgage-Backed Securities (Cost $2,817,516) ($ Thousands)				2,789,624


CORPORATE OBLIGATIONS — 26.9%

Consumer Discretionary — 1.4%
British Sky Broadcasting Group
9.500%, 11/15/18 (B)		3,475		4,577
Comcast
6.500%, 01/15/17		2,455		2,730
6.500%, 01/15/15		3,635		4,086
5.700%, 05/15/18 (C)		2,320		2,464
Comcast Cable Communications
8.375%, 03/15/13		3,412		3,994
6.750%, 01/30/11 (C)		1,840		1,951
CVS
5.789%, 01/10/26 (B)		1,981		1,882
CVS Lease Pass-Through (B)
6.036%, 12/10/28		10,117		10,271
5.880%, 01/10/28		178		177
DaimlerChrysler
7.300%, 01/15/12		2,515		2,766
6.500%, 11/15/13		460		508
Eastman Kodak
7.250%, 11/15/13		2,445		1,944


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Grupo Televisa
6.625%, 01/15/40 (B)	$	2,900	$	2,849
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.648%, 08/15/16 (A)		5,823		4,251
Kohl’s
6.250%, 12/15/17		255		287
McDonald’s MTN
5.350%, 03/01/18 (C)		3,770		4,181
Rogers Cable
5.500%, 03/15/14		1,165		1,264
Staples
9.750%, 01/15/14		305		369
Target
4.000%, 06/15/13		355		377
Thomson Reuters
5.950%, 07/15/13		1,655		1,859
4.700%, 10/15/19		250		257
Time Warner
7.700%, 05/01/32		1,385		1,624
6.875%, 05/01/12		130		144
Time Warner Cable
8.750%, 02/14/19		5,170		6,439
8.250%, 04/01/19		3,235		3,938
7.300%, 07/01/38		400		451
6.750%, 07/01/18		120		134
5.850%, 05/01/17		1,230		1,311
Time Warner Entertainment
8.375%, 07/15/33		1,180		1,416
Viacom
6.250%, 04/30/16		300		331
Wal-Mart Stores
6.200%, 04/15/38		1,550		1,751
5.800%, 02/15/18 (C)		3,360		3,825

				74,408


Consumer Staples — 0.9%
Altria Group
9.700%, 11/10/18		4,705		5,831
Anheuser-Busch InBev Worldwide (B)
7.750%, 01/15/19		5,565		6,674
7.200%, 01/15/14		100		115
5.375%, 01/15/20		3,150		3,306
Bunge Finance
8.500%, 06/15/19		350		408
5.900%, 04/01/17		107		108
Cargill
7.350%, 03/06/19 (B)		400		475
CVS Caremark
6.600%, 03/15/19		280		314
Diageo Capital
7.375%, 01/15/14		8,580		10,090
Diageo Finance BV
5.500%, 04/01/13		300		329


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GlaxoSmithKline Capital
4.375%, 04/15/14	$	200	$	215
Kraft Foods
6.750%, 02/19/14		200		225
6.125%, 08/23/18		700		754
PepsiCo
7.900%, 11/01/18 (C)		4,000		5,090
Roche Holdings
6.000%, 03/01/19 (B) (C)		2,310		2,607
SABMiller
5.500%, 08/15/13 (B)		320		347
Safeway
6.350%, 08/15/17		5,196		5,820
Wyeth
5.950%, 04/01/37 (C)		3,610		3,963

				46,671


Energy — 3.5%
Anadarko Finance, Ser B
7.500%, 05/01/31		3,293		3,733
Anadarko Petroleum
8.700%, 03/15/19		4,600		5,761
6.950%, 06/15/19		90		103
6.450%, 09/15/36		955		1,003
5.950%, 09/15/16		5,010		5,467
Apache
6.000%, 09/15/13		3,300		3,747
5.625%, 01/15/17		390		432
Baker Hughes
7.500%, 11/15/18		5,380		6,652
Cenovus Energy
5.700%, 10/15/19 (B)		2,730		2,894
Conoco Funding
7.250%, 10/15/31		885		1,049
6.950%, 04/15/29		3,685		4,278
6.350%, 10/15/11		430		473
ConocoPhillips
6.000%, 01/15/20		460		517
5.900%, 10/15/32		10		10
5.900%, 05/15/38		700		738
Duke Capital LLC
8.000%, 10/01/19		702		833
El Paso
6.950%, 06/01/28		2,250		1,946
EnCana
6.500%, 05/15/19		565		639
Energy Transfer Partners
9.000%, 04/15/19		3,025		3,687
8.500%, 04/15/14		2,095		2,450
6.700%, 07/01/18		4,900		5,403
Enterprise Products Operating LLC
9.750%, 01/31/14		7,250		8,829
Gaz Capital for Gazprom
6.212%, 11/22/16 (B)		427		414


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Halliburton
6.150%, 09/15/19	$	300	$	342
Hess
8.125%, 02/15/19		4,200		5,168
7.875%, 10/01/29		1,130		1,351
7.300%, 08/15/31		4,335		5,002
Husky Energy
7.250%, 12/15/19		2,765		3,232
5.900%, 06/15/14		1,590		1,748
Kerr-McGee
6.950%, 07/01/24		2,325		2,528
Kinder Morgan Energy Partners
7.125%, 03/15/12		1,760		1,942
6.950%, 01/15/38		455		492
6.000%, 02/01/17		3,140		3,386
5.950%, 02/15/18 (C)		350		376
5.000%, 12/15/13		1,190		1,265
Knight
6.500%, 09/01/12		7,315		7,516
Marathon Oil
7.500%, 02/15/19		300		354
Occidental Petroleum
7.000%, 11/01/13		7,060		8,279
Pemex Project Funding Master Trust
6.625%, 06/15/35		5,602		5,633
0.855%, 12/03/12 (A) (B)		201		193
Petrobras International Finance
7.875%, 03/15/19 (C)		4,280		5,000
6.875%, 01/20/40		2,245		2,312
6.125%, 10/06/16 (C)		1,890		2,022
5.750%, 01/20/20		537		547
Petro-Canada
6.800%, 05/15/38		250		275
6.050%, 05/15/18		260		283
Ras Laffan Liquefied Natural Gas III
5.500%, 09/30/14 (B) (C)		3,400		3,570
4.500%, 09/30/12 (B)		3,160		3,270
Shell International Finance BV
6.375%, 12/15/38		2,790		3,248
4.300%, 09/22/19		1,000		1,025
4.000%, 03/21/14		5,030		5,355
Sonat
7.625%, 07/15/11		2,880		2,926
Southern Union
8.250%, 11/15/29		5,018		5,716
Statoil
2.900%, 10/15/14		3,545		3,622
Suncor Energy
6.500%, 06/15/38 (C)		3,250		3,452
Talisman Energy
7.750%, 06/01/19		390		467
Total Capital
3.125%, 10/02/15		6,320		6,445
TransCanada PipeLines
6.500%, 08/15/18		425		490


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Union Pacific Resources Group
7.150%, 05/15/28	$	150	$	152
Valero Energy
9.375%, 03/15/19		7,000		8,452
6.625%, 06/15/37		1,500		1,449
Williams
8.750%, 01/15/20		3,765		4,400
8.750%, 03/15/32		2,170		2,540
7.875%, 09/01/21		3,865		4,313
7.750%, 06/15/31		740		801
Williams, Ser A
7.500%, 01/15/31		20		21
XTO Energy
7.500%, 04/15/12		1,320		1,477
6.750%, 08/01/37		390		433
6.250%, 08/01/17		380		421
5.650%, 04/01/16		390		416
5.500%, 06/15/18		5,622		5,955
4.625%, 06/15/13		100		105

				190,825


Financials — 13.6%
Achmea Hypotheekbank
3.200%, 11/03/14 (B)		7,220		7,400
Aegon, Ser CMS
3.570%, 07/29/49 (A)		2,180		1,040
Aiful
5.000%, 08/10/10 (B) (C)		2,620		1,598
Allied World Assurance Holdings
7.500%, 08/01/16		2,000		2,149
Allstate
5.000%, 08/15/14		300		321
American Express
8.150%, 03/19/38		2,110		2,663
7.250%, 05/20/14 (C)		2,470		2,822
6.800%, 09/01/66 (A)		2,545		2,138
5.875%, 05/02/13		2,100		2,277
American Express Credit MTN
7.300%, 08/20/13		500		568
5.125%, 08/25/14		5,900		6,282
American General Finance MTN
6.900%, 12/15/17		1,500		1,053
American International Group
8.250%, 08/15/18		980		847
6.250%, 03/15/37		5,000		2,425
5.850%, 01/16/18		2,670		2,027
ASIF Global Financing XIX
4.900%, 01/17/13 (B)		450		416
Associates Corp of North America
6.950%, 11/01/18		200		206
Australia & New Zealand Banking Group
0.720%, 10/29/49 (A)		1,400		835
BA Covered Bond Issuer
5.500%, 06/14/12 (B)		1,500		1,620


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BAC Capital Trust XIV
5.630%, 03/15/12 (A)	$	180	$	119
BAC Capital Trust XV
1.161%, 06/01/56 (A)		9,235		5,730
Bank of America
7.625%, 06/01/19		200		229
7.375%, 05/15/14		7,705		8,649
6.500%, 08/01/16		500		531
6.000%, 09/01/17		2,125		2,199
5.750%, 12/01/17		4,545		4,635
5.420%, 03/15/17		2,500		2,436
Bank of Ireland
0.563%, 12/29/49 (A)		1,030		283
Bank of New York Mellon MTN
4.600%, 01/15/20		160		164
Bank of Scotland
1.500%, 11/29/49 (A)		330		168
Bank One
7.875%, 08/01/10		4,440		4,654
Barclays Bank
6.050%, 12/04/17 (B)		2,490		2,592
5.200%, 07/10/14		1,430		1,534
5.000%, 09/22/16		7,735		8,023
2.500%, 01/23/13		500		502
0.875%, 08/07/49 (A)		380		201
Barnett Capital III
0.906%, 02/01/27 (A)		600		413
Barrick International Bank
6.350%, 10/15/36 (B)		5,200		5,552
BB&T
6.850%, 04/30/19		350		398
4.900%, 06/30/17		400		396
3.850%, 07/27/12		150		156
3.375%, 09/25/13		620		631
Bear Stearns
7.250%, 02/01/18		4,280		4,949
6.950%, 08/10/12		1,665		1,871
6.400%, 10/02/17 (C)		11,750		12,956
4.650%, 07/02/18		3,000		2,985
BNP Paribas
0.738%, 03/23/87 (A)		510		383
Boeing Capital
4.700%, 10/27/19		920		931
BP Capital Markets
5.250%, 11/07/13		7,600		8,455
3.875%, 03/10/15		9,990		10,527
3.625%, 05/08/14		100		105
Capital One Bank USA
8.800%, 07/15/19		2,480		2,937
Capital One Financial
7.375%, 05/23/14		450		516
6.750%, 09/15/17		590		651
Caterpillar Financial Services MTN
7.150%, 02/15/19		250		301


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.200%, 09/30/13 (C)	$	5,640	$	6,307
5.850%, 09/01/17		580		635
Cedar Brakes II LLC
9.875%, 09/01/13 (B)		3,592		3,675
Chase Capital VI
0.906%, 08/01/28 (A)		2,000		1,424
Citigroup
8.500%, 05/22/19		600		678
8.125%, 07/15/39		3,450		3,793
6.875%, 03/05/38 (C)		9,660		9,361
6.500%, 08/19/13		2,920		3,116
6.375%, 08/12/14		2,650		2,787
6.125%, 08/25/36		2,000		1,698
5.500%, 02/15/17		10,000		9,518
5.500%, 04/11/13		3,699		3,823
5.500%, 10/15/14		1,000		1,019
5.000%, 09/15/14		2,890		2,809
0.812%, 08/25/36 (A)		2,839		1,594
Citigroup Capital III
7.625%, 12/01/36		2,000		1,330
Citigroup Capital XXI
8.300%, 12/21/57 (A) (C)		1,703		1,516
Citigroup Funding MTN
1.875%, 10/22/12		6,280		6,367
0.611%, 04/30/12 (A)		4,900		4,943
Comerica Capital Trust II
6.576%, 02/20/37 (A)		220		163
Commonwealth Bank of Australia
5.000%, 10/15/19 (B) (C)		3,805		3,909
3.750%, 10/15/14 (B)		5,025		5,147
Corestates Capital I
8.000%, 12/15/26 (B)		629		623
Countrywide Financial MTN
5.800%, 06/07/12		5,283		5,648
4.000%, 03/22/11		5,750		5,874
Credit Agricole
8.375%, 12/31/49 (A) (B) (C)		4,740		4,977
Credit Suisse NY
6.000%, 02/15/18		9,445		10,103
5.500%, 05/01/14		1,775		1,947
5.300%, 08/13/19		600		629
5.000%, 05/15/13		8,500		9,179
3.450%, 07/02/12		300		312
Credit Suisse USA
5.125%, 08/15/15		310		334
5.125%, 01/15/14		335		360
Depfa ACS Bank
5.125%, 03/16/37 (B)		4,200		3,263
Deutsche Bank MTN
3.875%, 08/18/14		295		305
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		4,789		3,520
Discover Financial Services
0.830%, 06/11/10 (A)		3,547		3,510


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Dresdner Funding Trust I
8.151%, 06/30/31 (B)	$	365	$	272
ERP Operating
5.750%, 06/15/17‡		500		512
5.125%, 03/15/16‡		1,000		995
Export-Import Bank of Korea
5.875%, 01/14/15		3,560		3,865
5.500%, 10/17/12		2,320		2,484
Farmers Exchange Capital
7.200%, 07/15/48 (B)		2,519		2,017
7.050%, 07/15/28 (B)		1,063		914
Farmers Insurance Exchange
8.625%, 05/01/24 (B)		4,118		4,053
First Industrial MTN
7.500%, 12/01/17		1,765		1,404
Fleet Capital Trust II
7.920%, 12/11/26		1,600		1,496
FMR LLC
6.450%, 11/15/39 (B)		250		252
General Electric Capital
6.875%, 01/10/39		6,761		7,090
6.375%, 11/15/67 (A)		8,925		7,341
6.000%, 08/07/19		550		579
5.900%, 05/13/14		5,010		5,495
5.625%, 09/15/17		800		836
5.625%, 05/01/18		8,225		8,495
5.450%, 01/15/13		180		194
5.400%, 02/15/17		1,800		1,857
0.658%, 05/05/26 (A)		4,345		3,462
0.559%, 09/15/14 (A)		6,550		6,080
0.404%, 04/10/12 (A)		500		486
0.399%, 03/20/14 (A)		2,000		1,847
Glitnir Banki (B) (D)
7.451%, 09/14/16		500		—
6.693%, 06/15/16		4,480		—
6.375%, 09/25/12		3,100		667
6.330%, 07/28/11		2,440		525
GMAC
1.750%, 10/30/12		3,960		4,001
GMAC LLC
8.000%, 12/31/18 (B) (C)		305		253
7.750%, 01/19/10 (B)		1,545		1,543
7.500%, 12/31/13 (B)		2,110		1,941
7.250%, 03/02/11 (B) (C)		1,744		1,705
2.455%, 12/01/14 (A) (B)		4,579		3,549
Goldman Sachs Capital II
5.793%, 12/29/49 (A)		23,795		17,489
Goldman Sachs Group
7.500%, 02/15/19 (C)		6,675		7,883
6.750%, 10/01/37		4,405		4,534
6.600%, 01/15/12		2,630		2,877
6.250%, 09/01/17		1,400		1,528
6.150%, 04/01/18		7,800		8,419
5.950%, 01/18/18		500		535


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.450%, 11/01/12	$	6,770	$	7,364
5.150%, 01/15/14		470		500
5.125%, 01/15/15		2,095		2,224
4.500%, 06/15/10		450		459
3.625%, 08/01/12		300		312
0.784%, 01/12/15 (A)		3,000		2,912
0.683%, 07/22/15 (A)		1,000		926
HBOS
6.750%, 05/21/18 (B) (C)		5,100		4,742
HBOS Capital Funding
6.071%, 06/30/49 (A) (B)		1,920		1,210
HCP
6.700%, 01/30/18‡		1,120		1,134
6.300%, 09/15/16‡		975		982
6.000%, 01/30/17‡		6,610		6,511
5.650%, 12/15/13‡		3,305		3,364
Highwoods Properties
7.500%, 04/15/18‡		1,339		1,336
Hongkong & Shanghai Banking
0.438%, 07/22/49 (A)		195		119
HRPT Properties Trust
6.650%, 01/15/18‡		150		142
6.250%, 08/15/16‡		300		292
HSBC Bank
1.288%, 06/29/49 (A)		1,160		708
HSBC Finance
8.000%, 07/15/10		2,330		2,424
7.000%, 05/15/12		1,975		2,168
6.375%, 11/27/12		365		399
5.500%, 01/19/16		600		638
4.750%, 07/15/13		166		174
0.534%, 01/15/14 (A)		500		463
HSBC Holdings
6.800%, 06/01/38		1,975		2,178
Hutchison Whampoa International
5.750%, 09/11/19 (B)		2,330		2,402
4.625%, 09/11/15 (B)		6,890		7,022
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (B) (C)		1,200		552
International Lease Finance MTN
5.250%, 01/10/13		400		322
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (B)		610		629
Jefferies Group
6.450%, 06/08/27		590		502
6.250%, 01/15/36		400		324
John Deere Capital MTN
5.750%, 09/10/18		300		336
JPMorgan Chase
7.900%, 04/29/49 (A) (C)		5,732		5,605
6.400%, 05/15/38 (C)		2,800		3,100
6.300%, 04/23/19		2,200		2,452
5.750%, 01/02/13		3,670		3,979


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.375%, 10/01/12	$	3,605	$	3,953
5.150%, 10/01/15		240		253
5.125%, 09/15/14		756		802
4.650%, 06/01/14		2,820		3,012
JPMorgan Chase Bank
6.000%, 10/01/17		5,150		5,518
0.630%, 06/13/16 (A)		4,250		3,845
JPMorgan Chase Capital XIII
1.232%, 09/30/34 (A)		1,440		998
JPMorgan Chase Capital XXII
6.450%, 02/02/37		500		450
JPMorgan Chase Capital XXV
6.800%, 10/01/37		3,135		3,102
Kaupthing Bank (B) (D)
7.625%, 02/28/15		8,130		1,890
7.125%, 05/19/16		12,000		1
5.750%, 10/04/11		1,120		260
KeyBank
5.800%, 07/01/14		600		598
Landsbanki Islands
6.100%, 08/25/11 (B) (D)		6,520		342
Lazard Group
7.125%, 05/15/15		4,520		4,719
6.850%, 06/15/17		4,515		4,631
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (D)		10,370		1
6.500%, 07/19/17 (D)		4,040		—
6.200%, 09/26/14 (D)		1,560		304
5.250%, 02/06/12 (D)		965		188
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (D)		20,630		2
Liberty Mutual Group
7.500%, 08/15/36 (B)		2,028		1,825
Lloyds Banking Group
5.920%, 09/29/49 (A) (B)		8,400		4,452
M&T Bank
5.375%, 05/24/12		325		338
Mack-Cali Realty
7.750%, 08/15/19‡		980		1,045
MassMutual Global Funding II
3.625%, 07/16/12 (B)		150		156
MBNA Capital, Ser A
8.278%, 12/01/26		2,465		2,354
Merna Reinsurance
2.032%, 07/07/10 (A) (B)		4,950		4,864
Merrill Lynch
7.430%, 09/01/22		4		4
6.875%, 04/25/18		980		1,053
6.400%, 08/28/17		900		946
6.150%, 04/25/13		210		226
5.700%, 05/02/17		600		595
MetLife
7.717%, 02/15/19 (C)		3,500		4,197
6.400%, 12/15/36		10,020		8,342


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

MetLife Capital Trust X
9.250%, 04/08/38 (A) (B)	$	2,700	$	2,808
Metropolitan Life Global Funding I
5.125%, 04/10/13 (B)		200		215
5.125%, 06/10/14 (B)		1,275		1,369
2.875%, 09/17/12 (B)		600		607
Monumental Global Funding
5.500%, 04/22/13 (B)		235		247
Morgan Stanley MTN
7.250%, 04/01/32		1,990		2,283
6.625%, 04/01/18		6,650		7,215
6.250%, 08/28/17		550		589
6.000%, 05/13/14		9,796		10,675
5.950%, 12/28/17 (C)		4,045		4,252
5.625%, 09/23/19		3,660		3,707
5.550%, 04/27/17		514		523
5.300%, 03/01/13		400		427
5.250%, 11/02/12		2,090		2,242
4.750%, 04/01/14		2,270		2,310
4.200%, 11/20/14		1,836		1,844
0.734%, 10/18/16 (A) (C)		7,725		6,957
0.642%, 06/20/12 (A)		7,510		7,581
0.584%, 01/09/14 (A)		1,475		1,394
0.564%, 01/15/10 (A) (C)		2,250		2,251
0.534%, 01/18/11 (A)		525		522
MUFG Capital Finance 1
6.346%, 07/25/49 (A)		1,840		1,660
6.346%, 07/25/49 (A)		378		329
National Australia Bank
5.350%, 06/12/13 (B)		5,495		5,984
National Capital Trust II
5.486%, 12/29/49 (A) (B)		3,207		2,598
National City
4.900%, 01/15/15		400		420
National City Bank
5.800%, 06/07/17		250		259
0.625%, 06/07/17 (A)		6,000		5,043
National Rural Utilities Cooperative Finance
2.625%, 09/16/12		95		97
Nationwide Mutual Insurance
6.600%, 04/15/34 (B)		2,483		1,928
5.810%, 12/15/24 (A) (B)		3,900		3,077
NB Capital Trust IV
8.250%, 04/15/27		2,305		2,207
New York Life Global Funding
4.650%, 05/09/13 (B)		300		321
NIBC Bank MTN
2.800%, 12/02/14 (B)		4,985		4,992
Nordea Bank
3.700%, 11/13/14 (B)		6,270		6,379
2.500%, 11/13/12 (B)		2,850		2,876
Northern Trust
5.500%, 08/15/13		85		95


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Power Receivables Finance
6.290%, 01/01/12 (B)	$	571	$	579
6.290%, 01/01/12		1,807		1,834
Pricoa Global Funding I
5.450%, 06/11/14 (B)		3,300		3,515
Prime Property Fund
5.600%, 06/15/11‡ (B)		3,380		3,224
5.500%, 01/15/14‡ (B)		5,000		4,334
Principal Life Global Funding I
6.250%, 02/15/12 (B)		600		637
5.050%, 03/15/15 (B)		750		745
Private Export Funding
3.050%, 10/15/14		1,235		1,260
Prudential Holdings LLC
8.695%, 12/18/23 (B)		2,500		2,794
1.167%, 12/18/17 (A) (B)		3,725		3,054
Rabobank Nederland
11.000%, 12/31/49 (A) (B)		2,448		3,027
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (A) (B)		3,240		2,730
Royal Bank of Canada
0.500%, 06/29/85 (A)		860		531
Royal Bank of Scotland Group MTN
9.118%, 03/31/49		569		529
7.640%, 09/29/17 (A)		1,300		608
6.400%, 10/21/19		3,630		3,680
RSHB Capital
6.299%, 05/15/17 (B)		1,190		1,185
Security Benefit Life Insurance
8.750%, 05/15/16 (B)		5,200		1,144
Shinsei Finance Cayman
6.418%, 01/29/49 (A) (B)		5,605		3,251
Simon Property Group
10.350%, 04/01/19‡		520		671
6.750%, 05/15/14‡		165		181
SLM MTN
8.450%, 06/15/18		550		497
SMFG Preferred Capital
6.078%, 01/25/17 (A) (B)		6,810		5,638
Societe Generale
0.551%, 11/29/49 (A)		180		101
0.551%, 11/29/49 (A)		680		383
State Street
4.300%, 05/30/14		60		64
Stingray Pass-Through Trust MTN
5.902%, 01/12/15 (B)		1,800		450
SunTrust Capital VIII
6.100%, 12/15/36 (A)		5,570		3,929
SunTrust Preferred Capital I
5.853%, 12/15/11 (A)		2,643		1,725
TNK-BP Finance
7.500%, 07/18/16 (B)		1,800		1,800
6.625%, 03/20/17 (B)		1,070		1,014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Toll Road Investors Partnership II
5.547%, 02/15/45 (B) (E)	$	7,217	$	436
Travelers
6.250%, 03/15/37 (A)		6,250		5,663
5.900%, 06/02/19		145		162
Travelers Property Casualty
7.750%, 04/15/26		300		357
UBS
5.875%, 12/20/17		520		540
UDR MTN
5.000%, 01/15/12‡		2,000		2,043
US Bancorp MTN
2.875%, 11/20/14		415		416
Wachovia
5.750%, 06/15/17		305		321
5.500%, 05/01/13		600		650
5.250%, 08/01/14		650		684
Wachovia Bank
6.000%, 11/15/17		6,800		7,252
0.629%, 03/15/16 (A)		1,200		1,073
Wachovia Capital Trust III
5.800%, 03/15/11 (A)		3,752		2,570
WEA Finance LLC
7.500%, 06/02/14 (B)		3,040		3,381
7.125%, 04/15/18 (B)		9,635		10,371
6.750%, 09/02/19 (B)		3,186		3,348
Wells Fargo
7.980%, 03/15/18 (A)		395		366
5.625%, 12/11/17		350		366
5.000%, 11/15/14		1,145		1,199
3.750%, 10/01/14		1,830		1,845
Wells Fargo Capital X
5.950%, 12/15/36		1,630		1,377
Wells Fargo Capital XV
9.750%, 12/31/49 (A) (C)		7,770		8,236
Westfield Capital
4.375%, 11/15/10 (B)		4,600		4,666
Westfield Group
5.400%, 10/01/12 (B)		2,578		2,701
Westpac Banking
4.875%, 11/19/19		2,754		2,796
2.250%, 11/19/12		5,170		5,210
Woodbourne Capital Trust I
1.346%, 04/08/49 (A) (B)		625		131
Woodbourne Capital Trust II
1.346%, 04/08/49 (A) (B)		625		131
Woodbourne Capital Trust III
1.346%, 04/08/49 (A) (B)		625		131
Woodbourne Capital Trust IV
1.346%, 04/08/49 (A) (B)		625		131
ZFS Finance USA Trust I
6.150%, 12/15/65 (A) (B) (C)		2,549		2,256
ZFS Finance USA Trust III
1.449%, 12/15/65 (A) (B)		620		502

				743,000


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Health Care — 0.7%
Abbott Laboratories
5.600%, 11/30/17	$	470	$	526
Amgen
6.400%, 02/01/39 (C)		2,855		3,286
5.700%, 02/01/19		100		111
CareFusion
6.375%, 08/01/19 (B)		2,210		2,449
5.125%, 08/01/14 (B)		3,475		3,714
4.125%, 08/01/12 (B)		1,870		1,950
Coventry Health Care
5.950%, 03/15/17		3,140		2,916
GlaxoSmithKline Capital
5.650%, 05/15/18		4,350		4,847
HCA
5.750%, 03/15/14		5,548		5,132
Hospira
6.400%, 05/15/15		20		23
5.550%, 03/30/12		200		216
Humana
7.200%, 06/15/18		1,270		1,327
Pfizer
5.350%, 03/15/15		5,024		5,621
Schering-Plough
6.550%, 09/15/37 (C)		1,435		1,700
Tenet Healthcare
7.375%, 02/01/13		168		165
UnitedHealth Group
6.875%, 02/15/38		3,320		3,552
WellPoint
5.875%, 06/15/17		350		375

				37,910


Industrials — 1.1%
Air 2 US
8.027%, 10/01/19 (B)		2,521		2,218
Allied Waste North America
6.875%, 06/01/17		115		122
Boeing
4.875%, 02/15/20		2,760		2,871
Burlington Northern Santa Fe
7.290%, 06/01/36		200		237
4.700%, 10/01/19		375		384
Cedar Brakes I LLC
8.500%, 02/15/14 (B)		1,135		1,132
Continental Airlines
7.461%, 04/01/15 (C)		1,385		1,274
7.256%, 03/15/20 (C)		1,250		1,162
6.545%, 02/02/19 (C)		182		176
6.236%, 03/15/20		2,026		1,808
5.983%, 04/19/22 (C)		3,329		3,163
CSX
9.780%, 02/14/11		100		107
7.375%, 02/01/19		210		249
6.300%, 03/15/12		110		121


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Delta Air Lines
7.379%, 05/18/10	$	464	$	463
6.821%, 08/10/22		2,276		2,134
6.619%, 03/18/11		256		253
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11		14,850		14,701
General Electric
5.250%, 12/06/17		250		260
Lockheed Martin
8.500%, 12/01/29		300		403
Northrop Grumman Systems
7.750%, 03/01/16		200		245
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11		4,500		4,410
Systems 2001 Asset Trust LLC
6.664%, 09/15/13 (B)		192		198
Tyco International Group
6.750%, 02/15/11		1,170		1,240
6.375%, 10/15/11		5,490		5,947
6.000%, 11/15/13		1,945		2,149
Union Pacific
7.000%, 02/01/16		500		573
Union Pacific Railroad 2003 Pass Through Trust
4.698%, 01/02/24		179		179
United Parcel Service
4.500%, 01/15/13 (C)		6,720		7,277
United Technologies
5.400%, 05/01/35		670		686
Waste Management
7.125%, 12/15/17		1,720		1,929
7.100%, 08/01/26		1,375		1,520

				59,591


Information Technology — 0.3%
Arrow Electronics
6.875%, 06/01/18		270		288
Cisco Systems
5.900%, 02/15/39		1,080		1,131
5.500%, 01/15/40		3,990		3,967
4.450%, 01/15/20		5,235		5,325
Dell
5.875%, 06/15/19 (C)		1,220		1,339
5.650%, 04/15/18		415		447
Hewlett-Packard
4.750%, 06/02/14		4,412		4,810
2.950%, 08/15/12		80		83
International Business Machines
7.625%, 10/15/18		365		461
Intuit
5.750%, 03/15/17		255		272
Oracle
5.000%, 07/08/19		450		479


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Xerox
8.250%, 05/15/14	$	320	$	372

				18,974


Materials — 0.9%
Alcoa
6.000%, 07/15/13 (C)		4,180		4,446
Barrick Gold
6.950%, 04/01/19		2,185		2,538
Codelco
4.750%, 10/15/14 (B)		900		970
Dow Chemical
8.550%, 05/15/19		5,530		6,536
4.850%, 08/15/12		3,855		4,075
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		7,725		8,334
PPG Industries
6.650%, 03/15/18		615		686
5.750%, 03/15/13		615		666
Rio Tinto Finance USA
9.000%, 05/01/19		2,310		2,944
6.500%, 07/15/18		5,080		5,630
5.875%, 07/15/13		2,745		3,013
Stauffer Chemical (E) (G) (H)
5.944%, 04/15/18		860		181
5.809%, 04/15/17		350		83
5.275%, 04/15/10		300		167
Vale Overseas
6.875%, 11/10/39		2,910		3,008
6.875%, 11/21/36		3,368		3,437

				46,714


Sovereign — 0.8%
Brazilian Government International Bond
5.625%, 01/07/41		2,505		2,417
Province of Ontario Canada
4.100%, 06/16/14		9,495		10,153
4.000%, 10/07/19		2,125		2,138
Qatar Govt International Bond
4.000%, 01/20/15 (B)		1,205		1,206
Republic of Korea
7.125%, 04/16/19		7,330		8,688
Russian Federation
7.500%, 03/31/30		1,012		1,142
Societe Financement de l’Economie Francaise
2.875%, 09/22/14 (B)		6,620		6,760
State of Qatar
6.400%, 01/20/40 (B)		1,205		1,229
5.250%, 01/20/20 (B)		1,965		1,980
Svensk Exportkredit
3.250%, 09/16/14		6,950		7,140


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

United Mexican States MTN
7.500%, 04/08/33	$	218	$	262
6.375%, 01/16/13		350		387
5.625%, 01/15/17		84		90
United Mexican States, Ser A MTN
6.750%, 09/27/34		798		886

				44,478


Telecommunication Services — 2.0%
America Movil
5.625%, 11/15/17 (C)		1,450		1,552
5.000%, 10/16/19 (B)		4,600		4,642
AT&T
8.000%, 11/15/31		1,250		1,535
6.700%, 11/15/13		500		573
6.550%, 02/15/39 (C)		6,860		7,406
5.600%, 05/15/18		400		426
5.100%, 09/15/14 (C)		2,410		2,624
BellSouth
4.750%, 11/15/12 (C)		190		205
BellSouth Telecommunications
6.300%, 12/15/15		280		304
British Telecommunications
9.625%, 12/15/30		2,825		3,616
9.125%, 12/15/10		1,460		1,567
5.950%, 01/15/18 (C)		1,711		1,766
Cellco Partnership
8.500%, 11/15/18		3,015		3,852
7.375%, 11/15/13		7,330		8,538
5.550%, 02/01/14		1,120		1,234
3.750%, 05/20/11		4,500		4,662
COX Communications
5.450%, 12/15/14		235		256
Deutsche Telekom International Finance
6.000%, 07/08/19		600		657
5.750%, 03/23/16		2,175		2,354
France Telecom
7.750%, 03/01/11		1,895		2,046
GTE
8.750%, 11/01/21		600		739
Historic TW
9.150%, 02/01/23		500		630
New Cingular Wireless Services
8.125%, 05/01/12		1,255		1,440
News America
7.300%, 04/30/28		350		365
6.900%, 08/15/39 (B)		1,435		1,564
6.650%, 11/15/37		260		274
6.200%, 12/15/34		315		315
News America Holdings
8.875%, 04/26/23		200		240
Qwest
7.875%, 09/01/11		1,560		1,620
7.500%, 10/01/14		4,065		4,156


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Reed Elsevier Capital
8.625%, 01/15/19 (C)	$	2,460	$	3,086
Rogers Communications
6.375%, 03/01/14		6,305		7,079
Royal
8.000%, 10/01/10		5,100		5,386
Sprint Capital
8.750%, 03/15/32		390		334
8.375%, 03/15/12		5,300		5,446
6.900%, 05/01/19		120		105
TCI Communications
8.750%, 08/01/15		701		856
7.125%, 02/15/28		400		425
Telecom Italia Capital
6.999%, 06/04/18 (C)		4,480		4,995
5.250%, 10/01/15		370		389
5.250%, 11/15/13		580		619
4.950%, 09/30/14		1,320		1,394
Telefonica Emisiones
5.984%, 06/20/11		2,300		2,452
5.877%, 07/15/19		115		126
Verizon Communications
8.950%, 03/01/39		5,410		7,411
8.750%, 11/01/18		194		246
6.400%, 02/15/38		660		710
6.100%, 04/15/18		1,580		1,741
5.500%, 02/15/18		2,810		2,987
Verizon Global Funding
7.750%, 12/01/30		200		238
7.375%, 09/01/12		1,730		1,978
6.875%, 06/15/12		465		521
Verizon Maryland
7.150%, 05/01/23		600		631
Vodafone Group
5.450%, 06/10/19		226		240

				110,553


Utilities — 1.7%
Appalachian Power
5.950%, 05/15/33		200		200
Arizona Public Services
8.000%, 12/30/15		608		660
Carolina Power & Light
5.300%, 01/15/19		400		434
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		150		174
Cleveland Electric Illuminating
7.880%, 11/01/17		310		376
Consumers Energy
6.700%, 09/15/19		400		467
Dominion Resources
8.875%, 01/15/19		6,430		8,235
6.400%, 06/15/18		300		339


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.700%, 09/17/12	$	3,560	$	3,905
4.750%, 12/15/10		740		767
Dominion Resources, Ser D
5.125%, 12/15/09		850		850
DPL
6.875%, 09/01/11		3,620		3,910
Duke Energy
6.300%, 02/01/14		2,830		3,157
5.625%, 11/30/12		425		473
Enel Finance International
6.000%, 10/07/39 (B)		2,175		2,230
5.125%, 10/07/19 (B)		2,610		2,696
Exelon
5.625%, 06/15/35		2,605		2,494
Exelon Generation LLC
6.250%, 10/01/39		1,720		1,796
5.200%, 10/01/19		845		874
FirstEnergy Solutions
6.800%, 08/15/39 (B)		1,310		1,361
6.050%, 08/15/21 (B)		3,175		3,324
4.800%, 02/15/15 (B)		1,035		1,076
FirstEnergy, Ser B
6.450%, 11/15/11		18		19
FirstEnergy, Ser C
7.375%, 11/15/31		4,935		5,517
Hydro Quebec, Ser JL
6.300%, 05/11/11 (C)		1,050		1,133
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,360		3,907
8.270%, 11/15/21		2,894		3,079
Massachusetts Electric
5.900%, 11/15/39 (B)		210		216
Nevada Power
8.250%, 06/01/11		5,910		6,427
7.125%, 03/15/19		400		459
Niagara Mohawk Power
4.881%, 08/15/19 (B)		180		185
Nisource Finance
10.750%, 03/15/16		500		605
6.800%, 01/15/19		3,547		3,823
Northern States Power
5.350%, 11/01/39		56		57
Oncor Electric Delivery
6.800%, 09/01/18 (C)		4,135		4,710
Pacific Gas & Electric
8.250%, 10/15/18		1,130		1,428
6.050%, 03/01/34		3,275		3,533
5.800%, 03/01/37		840		880
5.400%, 01/15/40		156		155
PacifiCorp
5.650%, 07/15/18		100		110
5.500%, 01/15/19		400		437
Power Contract Financing
6.256%, 02/01/10 (B)		653		656


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Progress Energy
6.850%, 04/15/12	$	1,715	$	1,885
6.000%, 12/01/39		200		203
PSEG Power LLC
5.500%, 12/01/15		445		484
5.320%, 09/15/16 (B)		126		133
Public Service Electric & Gas MTN
5.375%, 11/01/39		97		98
Public Service of New Mexico
7.950%, 05/15/18		3,000		3,140
Public Service of Oklahoma
5.150%, 12/01/19		170		175
Sempra Energy
8.900%, 11/15/13		400		477
6.500%, 06/01/16		135		151
Southern
4.150%, 05/15/14		85		90
Southern California Edison
4.650%, 04/01/15		200		217
Tennessee Valley Authority
5.250%, 09/15/39		1,828		1,871
Texas-New Mexico Power
9.500%, 04/01/19 (B)		875		1,084
TXU
6.500%, 11/15/24		410		188
TXU, Ser P
5.550%, 11/15/14		370		255
TXU, Ser R
6.550%, 11/15/34		4,385		1,954
Virginia Electric and Power
5.400%, 04/30/18		300		324

				89,863

Total Corporate Obligations (Cost $1,474,755) ($ Thousands)				1,462,987


U.S. TREASURY OBLIGATIONS — 14.8%
U.S. Treasury Bills (E)
0.130%, 12/03/09 (C)		53,055		53,055
0.138%, 12/10/09 (C)		10,770		10,770
0.107%, 12/17/09 (C)		6,820		6,820
0.046%, 02/18/10		1,615		1,615
U.S. Treasury Bonds
7.500%, 11/15/16		20,700		26,996
8.750%, 05/15/17		21,675		30,311
8.875%, 08/15/17		21,800		30,810
8.875%, 02/15/19		7,358		10,714
8.500%, 02/15/20		100		145
8.750%, 08/15/20		3,950		5,850
7.125%, 02/15/23 (C)		3,742		5,077
6.250%, 08/15/23 (C)		9,565		12,118
6.750%, 08/15/26		250		337
6.500%, 11/15/26		100		132
6.375%, 08/15/27		200		261


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.125%, 11/15/27	$	150	$	191
5.375%, 02/15/31 (C)		21,419		25,218
4.500%, 05/15/38		2,082		2,187
3.500%, 02/15/39 (C)		27,405		24,155
4.250%, 05/15/39 (C)		25,169		25,362
4.500%, 08/15/39 (C)		54,308		57,057
4.375%, 11/15/39 (C)		35,618		36,703
U.S. Treasury Inflation-Protected Securities
2.000%, 01/15/16		11,126		13,035
2.375%, 01/15/25		160		201
2.000%, 01/15/26 (C)		2,310		2,630
2.375%, 01/15/27		11,879		13,983
1.750%, 01/15/28 (C)		25,404		26,273
3.625%, 04/15/28 (C)		20,180		34,672
3.875%, 04/15/29		570		1,004
U.S. Treasury Notes
1.000%, 09/30/11		15,030		15,144
4.500%, 11/30/11		1,000		1,076
1.875%, 06/15/12		2,007		2,057
1.750%, 08/15/12 (C)		5,250		5,360
1.375%, 10/15/12		1,397		1,410
1.375%, 11/15/12 (C)		6,725		6,778
3.875%, 02/15/13		300		325
1.875%, 02/28/14		1,000		1,008
2.625%, 06/30/14 (C)		37,150		38,471
2.375%, 09/30/14 (C)		15,470		15,789
2.375%, 10/31/14		398		405
2.125%, 11/30/14		19,377		19,486
2.375%, 03/31/16 (C)		6,020		5,985
3.000%, 08/31/16		1,857		1,904
4.625%, 02/15/17		30,500		34,334
4.500%, 05/15/17		1,600		1,786
4.750%, 08/15/17		6,000		6,796
3.750%, 11/15/18 (C)		27,320		28,660
2.750%, 02/15/19 (C)		6,701		6,479
3.125%, 05/15/19 (C)		23,178		23,064
3.625%, 08/15/19 (C)		30,006		31,047
3.375%, 11/15/19 (C)		40,546		41,142
U.S. Treasury STRIPS (E)
2.156%, 02/15/13		1,000		959
2.834%, 02/15/14		8,550		7,926
2.740%, 05/15/14		2,150		1,978
2.660%, 02/15/15		200		179
3.132%, 08/15/16		5,100		4,212
4.209%, 02/15/17		17,420		13,997
3.712%, 08/15/17		4,000		3,132
3.619%, 11/15/17		6,150		4,755
3.405%, 02/15/18		1,050		802
3.489%, 05/15/18 (C)		4,360		3,327
4.213%, 05/15/20		2,900		1,971
4.415%, 08/15/20		4,550		3,051
4.296%, 11/15/20		1,000		661
5.294%, 02/15/21		200		131


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

4.830%, 11/15/21	$	13,050	$	8,214
4.048%, 02/15/22		300		186
4.453%, 02/15/24		75		42
6.321%, 05/15/24		800		438
4.408%, 08/15/24		200		108
4.506%, 05/15/29		100		42
3.936%, 05/15/30		9,150		3,734
4.292%, 02/15/32		200		74
4.560%, 05/15/36		300		92

Total U.S. Treasury Obligations (Cost $780,296) ($ Thousands)				806,199


AFFILIATED PARTNERSHIP — 11.9%
SEI Liquidity Fund, L.P. 0.320%**† (F)		657,743,190		646,774

Total Affiliated Partnership (Cost $657,743) ($ Thousands)				646,774


ASSET-BACKED SECURITIES — 4.5%

Automotive — 0.5%
Ally Auto Receivables Trust, Ser 2009-1, Cl A3
2.330%, 06/17/13 (B)		500		504
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (B)		200		208
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (B)		650		660
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (B)		1,656		1,702
Bank of America Auto Trust, Ser 2009-3A, Cl A4
2.670%, 12/15/16 (B)		2,565		2,565
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (B)		350		350
Bank of America Auto Trust, Ser 2009-14, Cl A3
2.670%, 07/15/13 (B)		600		613
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3
2.820%, 01/15/16		250		256
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (B)		695		702
Daimler Chrysler Auto Trust, Ser 2008-B, Cl A2B
1.172%, 07/08/11 (A)		172		173
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		350		358


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.500%, 07/15/14	$	300	$	319
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		1,148		1,188
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		3,458		3,646
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		791		813
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4
2.540%, 04/15/17		1,413		1,427
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		592		592
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (B)		3,110		3,184
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		258
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13		200		204
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A4
3.150%, 03/15/16		1,098		1,131
Nissan Auto Receivables Owner Trust, Ser 2009-A, Cl A4
4.740%, 08/17/15		1,896		2,042
Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3
5.410%, 08/12/11		575		577
5.260%, 11/14/11		282		284
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		470		470
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		365		369
World Omni Auto Receivables Trust, Ser 2009-A, Cl A4
5.120%, 05/15/14		1,970		2,125

				26,720


Credit Cards — 1.0%
BA Credit Card Trust, Ser 2006-A11, Cl A11
0.269%, 04/15/16 (A)		8,316		7,890
BA Credit Card Trust, Ser 2006-A12, Cl A12
0.259%, 03/15/14 (A)		8,000		7,839


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BA Credit Card Trust, Ser 2006-A9, Cl A9
0.249%, 02/15/13 (A)	$	2,823	$	2,803
BA Credit Card Trust, Ser 2007-A4, Cl A4
0.279%, 11/15/19 (A)		4,130		3,681
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3
5.050%, 02/15/16		6,888		7,335
Chase Issuance Trust, Ser 2005-A6, Cl A6
0.309%, 07/15/14 (A)		787		775
Discover Card Master Trust I, Ser 2005-4, Cl A2
0.329%, 06/16/15 (A)		3,319		3,223
Discover Card Master Trust I, Ser 2006-3, Cl A1
0.269%, 03/15/14 (A)		2,879		2,833
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.539%, 12/15/14 (A)		2,066		2,071
MBNA Master Credit Card Trust, Ser 1997-B, Cl A
0.399%, 08/15/14 (A)		6,141		5,980
Nordstrom Private Label Credit Card Master Note Trust, Ser 2007-2A, Cl A
0.299%, 05/15/15 (A) (B)		2,382		2,237
Target Credit Card Master Trust, Ser 2005-1, Cl A
0.296%, 10/27/14 (A)		6,258		6,149

				52,816


Mortgage Related Securities — 0.7%
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A
4.763%, 09/15/33		9		8
ABS Home Equity, Ser 2001-HE3, Cl A1
0.779%, 11/15/31 (A)		255		188
ACE Securities, Ser 2006-SL3, Cl A1
0.336%, 06/25/36 (A)		6,813		776
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.476%, 03/25/30 (A)		2,572		848
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.276%, 12/25/36 (A)		722		609
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.190%, 11/15/32 (A)		5,262		4,976
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		10		9


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.059%, 09/15/29 (A)	$	310	$	167
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.706%, 05/25/39 (A) (B)		982		740
GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6
6.249%, 12/25/37		964		498
GSAA Trust, Ser 2005-6, Cl A3
0.606%, 06/25/35 (A)		4,100		2,176
HFC Home Equity Loan Asset Backed Certificates, Ser 2005-2, Cl M2
0.727%, 01/20/35 (A)		608		501
HFC Home Equity Loan Asset Backed Certificates, Ser 2005-2, Cl A1
0.507%, 01/20/35 (A)		290		266
HFC Home Equity Loan Asset Backed Certificates, Ser 2006-1, Cl A1
0.397%, 01/20/36 (A)		679		592
HFC Home Equity Loan Asset Backed Certificates, Ser 2006-2, Cl A1
0.387%, 03/20/36 (A)		463		406
HFC Home Equity Loan Asset Backed Certificates, Ser 2007-1, Cl A2F
5.600%, 03/20/36		750		767
HFC Home Equity Loan Asset Backed Certificates, Ser 2007-3, Cl APT
1.437%, 11/20/36 (A)		1,038		882
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.346%, 07/25/37 (A)		3,392		3,233
Indymac Home Equity Loan Asset-Backed Trust, Ser 2001-A, Cl AV
0.496%, 03/25/31 (A)		42		22
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.986%, 01/25/35 (A)		342		326
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.276%, 01/25/37 (A)		389		366
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.286%, 12/25/36 (A)		355		344
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47		31		17


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

MSDWCC Heloc Trust, Ser 2003-1, Cl A
0.776%, 11/25/15 (A)	$	88	$	56
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.406%, 09/25/36 (A)		6,400		3,764
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.836%, 01/25/32 (A)		255		201
Option One Mortgage Loan Trust, Ser 2007-14, Cl 2A3
0.376%, 01/25/37 (A)		17,000		6,079
Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A4
0.536%, 05/25/37 (A)		10,000		3,358
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/35		1,557		1,525
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		1,017		846
Residential Funding Mortgage Securities II, Ser 2007-HSA3, Cl AI2
5.890%, 06/25/37 (A)		272		257
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.450%, 04/25/32 (B)		412		341
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.586%, 04/25/37 (A) (B) (G) (H)		1,050		481
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1
0.316%, 06/25/37 (A)		6,104		5,275
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (A) (B)		633		585
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30		36		30

				41,515


Other Asset-Backed Securities — 2.3%
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.916%, 01/25/32 (A)		456		358
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/20		1,774		1,893
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2
0.736%, 03/25/32 (A)		1,020		604


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34	$	1,157	$	1,005
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,689
Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A
0.636%, 11/25/46 (A) (B)		1,271		585
CNH Equipment Trust, Ser 2009-B, Cl A3
2.970%, 03/15/13		215		219
CNH Equipment Trust, Ser 2009-C, Cl A3
1.850%, 12/16/13		130		130
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (A)		2,105		1,948
Conseco Finance Securitizations, Ser 2000-4, Cl A6
8.310%, 05/01/32 (A)		780		626
Countrywide Asset-Backed Certificates, Cl A
0.896%, 04/25/32 (A)		70		34
Countrywide Asset-Backed Certificates, Cl A1
0.566%, 07/25/36 (A) (B)		479		213
Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A
0.716%, 12/25/31 (A)		52		25
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.836%, 06/25/33 (A)		115		81
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3
5.711%, 05/25/36 (A)		10,000		4,586
Countrywide Asset-Backed Certificates, Ser 2005-6, Cl M1
0.726%, 12/25/35 (A)		320		285
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (A)		208		125
Countrywide Asset-Backed Certificates, Ser 2007-7, Cl 2A2
0.396%, 10/25/47 (A)		7,500		4,649
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.436%, 02/25/37 (A) (B)		1,358		896
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.686%, 03/25/47 (A) (B)		977		380


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.539%, 02/15/34 (A)	$	955	$	435
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.479%, 12/15/35 (A)		2,172		752
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		516		484
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
5.704%, 12/25/36		1,657		1,109
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
5.501%, 12/25/36		924		664
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-CB4, Cl A1A
0.326%, 04/25/37 (A)		4,821		4,118
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.546%, 05/25/46 (A) (B)		13,898		7,697
Diamond Investment Grade CDO, Ser 1X, Cl A1
0.997%, 10/11/14 (G)		3,262		3,034
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (B)		3,452		2,962
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1
0.719%, 08/15/25 (A) (B)		4,046		1,517
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (A)		622		540
Fieldstone Mortgage Investment, Ser 2007-A, Cl 2A2
0.506%, 04/25/47 (A)		2,000		699
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A
0.456%, 02/25/34 (A)		1,196		625
First Horizon Asset Back Trust, Ser 2006-HE2, Cl A
0.366%, 10/25/26 (A)		670		298
GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN
0.496%, 02/25/36 (A)		6,863		1,667
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		520		529
GSAMP Trust, Ser 2003-SEA, Cl A1
0.636%, 02/25/33 (A)		2,010		1,124


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GSAMP Trust, Ser 2006-SD2, Cl A1
0.346%, 05/25/46 (A) (B) (G)	$	3,307	$	3,075
John Deere Owner Trust, Ser 2009-A, Cl A3
2.590%, 10/15/13		300		306
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		535		538
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6
5.501%, 10/25/36		9,605		6,999
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.536%, 11/25/35 (A)		4,756		2,489
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.536%, 12/25/35 (A)		3,589		918
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.566%, 05/25/46 (A)		8,114		693
Lone Star CDO Funding, Ser IX, Cl A
1.664%, 12/15/12 (G)		4,169		3,940
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D
5.890%, 03/25/37		5,593		2,239
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		2,816		2,599
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (B)		6,768		6,978
MSCC Heloc Trust, Ser 2005-1, Cl A
0.426%, 07/25/17 (A)		528		245
Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.762%, 04/25/24 (A)		4,540		4,740
Oakwood Mortgage Investors, Ser 2002-C, Cl AIO, IO
6.000%, 08/15/10		4,786		180
Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2
4.030%, 02/15/12		334		336
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.479%, 05/15/32 (A)		39		35
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.546%, 06/25/47 (A)		10,380		3,794
RAAC Series, Ser 2007-RP4, Cl A
0.586%, 11/25/46 (A) (B)		15,744		7,541
RAAC Series, Ser 2007-SP3, Cl A1
1.436%, 09/25/47 (A)		436		280
SLC Student Loan Trust, Ser 2008-1, Cl A4A
1.899%, 12/15/32 (A)		9,247		9,687


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

SLM Student Loan Trust, Ser 2002-5, Cl A4L
0.449%, 09/17/18 (A)	$	747	$	741
SLM Student Loan Trust, Ser 2003-3, Cl A4
0.519%, 12/15/17 (A)		650		647
SLM Student Loan Trust, Ser 2003-6, Cl A4
0.499%, 12/17/18 (A)		457		455
SLM Student Loan Trust, Ser 2008-5, Cl A4
1.982%, 07/25/23 (A)		1,855		1,953
SLM Student Loan Trust, Ser 2008-6, Cl A4
1.382%, 07/25/23 (A)		3,706		3,732
SLM Student Loan Trust, Ser 2008-8, Cl A4
1.932%, 07/25/22 (A)		2,093		2,180
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A
0.339%, 06/15/12 (A)		1,249		1,233
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.326%, 04/25/37 (A)		2,816		2,753

				123,891

Total Asset-Backed Securities (Cost $295,853) ($ Thousands)				244,942


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.1%
FHLB
5.500%, 08/13/14 (C)		8,500		9,788
5.000%, 11/17/17		5,000		5,558
0.500%, 05/10/10		8,950		8,961
FHLMC
5.500%, 07/18/16		4,000		4,614
5.625%, 11/23/35		1,620		1,666
FICO STRIPS, PO
0.000%, 02/08/18 to 09/26/19 (E)		22,290		15,803
FNMA
6.250%, 02/01/11		7,210		7,617
5.250%, 08/01/12		2,800		3,016
5.000%, 02/13/17		5,000		5,612

Total U.S. Government Agency Obligations (Cost $60,568) ($ Thousands)				62,635


MUNICIPAL BONDS — 0.2%
North Texas, Tollway Authority, RB
6.718%, 01/01/49		2,205		2,419
State of California, Build America Project, GO
7.550%, 04/01/39		1,760		1,806
7.300%, 10/01/39		9,310		9,278


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

State of Illinois, GO
5.100%, 06/01/33	$	270	$	244

Total Municipal Bonds (Cost $13,658) ($ Thousands)				13,747


PREFERRED STOCK — 0.0%
GMAC, 7.000% (B)		1		388
Zurich RegCaPS Funding Trust, 0.000% (A) (B)		—		224

Total Preferred Stock (Cost $309) ($ Thousands)				612


COMMERCIAL PAPER — 0.9%
BNP Paribas Finance
0.140%, 12/23/09		20,970		20,968
National Rural Utilities Cooperative Finance
0.170%, 12/04/09		6,210		6,210
Rabobank USA Financial
0.171%, 12/03/09		20,760		20,760

Total Commercial Paper (Cost $47,938) ($ Thousands)				47,938


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.130%**†		107,466,394		107,466

Total Cash Equivalent (Cost $107,466) ($ Thousands)				107,466

Total Investments — 113.5%
(Cost $6,256,102) ($ Thousands)			$	6,182,924


Description	Contracts/ Notional Amount ($ Thousands)			Market Value ($ Thousands)


WRITTEN OPTIONS — 0.0%
March 2010 90Day EURO$ Future Call, Expires 03/20/10, Strike Price $99.50*	$	(136	)	$	(61	)
March 2010 90Day EURO$ Future Call, Expires 03/20/10, Strike Price $99.00*		(167	)		(265	)
March 2010 90Day EURO$ Future Put, Expires 03/20/10, Strike Price $99.13*		(219	)		(14	)

Total Written Options (Premiums Received $233) ($ Thousands)					(340	)


WRITTEN SWAPTIONS — 0.0%
U.S. Swaption Call, Credit Suisse*		(23,700	)		(181	)
U.S. Swaption Put, Credit Suisse*		(23,700	)		(861	)

Total Written Swaptions (Premiums Received $984) ($ Thousands)					(1,042	)

A summary of outstanding swap agreements held by the Fund at November 30, 2009, is as follows:

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$	290		Mar-2010	$	770
90-Day Euro$	(26	)	Sep-2010		(247	)
90-Day Euro$	(26	)	Dec-2010		(233	)
90-Day Euro$	(26	)	Mar-2011		(215	)
90-Day Euro$	(26	)	Jun-2011		(197	)
Euro Bond	193		Mar-2010		(283	)
U.S. 10-Year Note	(1,709	)	Mar-2010		(2,708	)
U.S. 10-Year Note	406		Mar-2010		519
U.S. 2-Year Note	177		Apr-2010		113
U.S. 5-Year Note	2,312		Apr-2010		2,485
U.S. 5-Year Note	638		Apr-2010		492
U.S. Long Treasury Bond	(426	)	Mar-2010		(1,029	)

				$	(533	)

Percentages are based on a Net Assets of $5,446,462 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

‡

Real Estate Investment Trust

†

Investment in Affiliated Security (See Note 4).

(A)

Variable Rate Security — The rate reported is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(B)

(C)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $495,935 ($ Thousands).

(D)

Security in default on interest payments.

(E)

The rate reported is the effective yield at time of purchase.

(F)

This security was purchased with cash collateral held from securities on loan. The total value of this security as of November 30, 2009 was $646,774 ($ Thousands).

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2009 was $10,961 ($ Thousands) and represented 0.20% of net assets.

(H)

Securities considered illiquid. The total value of such securities as of November 30, 2009 was $912 ($ Thousands) and represented 0.02% of net assets.

ABS — Asset-Backed Security

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CMO — Collateralized Mortgage Obligation

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only — face amount represents notional amount

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

Amounts designated as “—” are $O or have been rounded to $O.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	2,779,475	$	10,149	$	2,789,624
Corporate Obligations		—		1,462,552		435		1,462,987
U.S. Treasury Obligations		—		806,199		—		806,199
Affiliated Partnership		—		646,774		—		646,774
Asset-Backed Securities		—		240,522		4,420		244,942
U.S. Government Agency Obligations		—		62,635		—		62,635
Municipal Bonds		—		13,747		—		13,747
Preferred Stock		—		612		—		612
Cash Equivalent		107,466		—		—		107,466
Commercial Paper		—		47,938		—		47,938

Total Investments in Securities	$	107,466	$	6,060,454	$	15,004	$	6,182,924


Liabilities	Level 1			Level 2		Level 3			Total
Written Options	$	(340	)	$	—	$	—		$	(340	)
Written Swaptions		—			—		(1,042	)		(1,042	)

Total Liabilities	$	(340	)	$	—	$	(1,042	)	$	(1,382	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(533	)	$	—		$	—	$	(533	)
Credit Default Swaps		—			(16,925	)		—		(16,925	)
Interest Rate Swaps		—			(2,701	)		—		(2,701	)

Total Other Financial Instruments	$	(533	)	$	(19,626	)	$	—	$	(20,159	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Investments in Corporate Obligations			Investments in Mortgage-Backed Securities
Beginning balance as of June 1, 2009	$	442		$	6,159
Accrued discounts/premiums		29			59
Realized gain/(loss)		—			207
Change in unrealized appreciation/(depreciation)		(36	)		1,719
Net purchases/sales		—			2,005
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2009	$	435		$	10,149

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	(36	)	$	1,725


	Investments in Asset-Backed Securities			Investments in Written Swaptions
Beginning balance as of June 1, 2009	$	6,789		$	—
Accrued discounts/premiums		5			—
Realized gain/(loss)		18			—
Change in unrealized appreciation/(depreciation)		686			(58	)
Net purchases/sales		(3,078	)		(984	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2009		4,420		$	(1,042	)

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	331		$	—

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 84.0%

Consumer Discretionary — 18.7%
Adelphia Communications (escrow security)
10.250%, 06/15/11 (B)	$	125	$	4
7.875%, 01/15/09 (B)		250		9
7.750%, 05/01/09 (B)		75		1
Adelphia Communications, Ser B (escrow security)
9.500%, 02/15/04		25		1
America West Airlines LLC
8.057%, 07/02/20		2,110		1,899
American Airlines
13.000%, 08/01/16 (A)		2,040		2,224
Ameristar Casinos
9.250%, 06/01/14 (A)		2,100		2,142
Amscan Holdings
8.750%, 05/01/14		2,205		2,089
ARAMARK
8.500%, 02/01/15		1,110		1,113
ArvinMeritor
8.125%, 09/15/15		1,620		1,474
Ashtead Capital
9.000%, 08/15/16 (A)		2,989		2,929
Avis Budget Car Rental LLC
7.750%, 05/15/16		780		698
Beazer Homes USA
12.000%, 10/15/17 (A)		1,290		1,393
8.625%, 05/15/11		1,250		1,213
8.375%, 04/15/12		40		37
6.500%, 11/15/13		1,475		1,180
Belo
8.000%, 11/15/16		1,250		1,259
Blockbuster
11.750%, 10/01/14 (A)		3,035		2,838


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

9.000%, 09/01/12	$	2,530	$	1,265
Bon-Ton Department Stores
10.250%, 03/15/14		635		571
Boyd Gaming
7.125%, 02/01/16		1,570		1,279
Broder Brothers
15.000%, 10/15/13 (A)		573		419
Brunswick
11.750%, 08/15/13		1,500		1,706
11.250%, 11/01/16 (A)		3,465		3,872
Burlington Coat Factory Investment Holdings
14.500%, 10/15/14		4,105		4,115
Burlington Coat Factory Warehouse
11.125%, 04/15/14		3,920		4,057
Cablevision Systems
8.625%, 09/15/17 (A)		1,305		1,338
Caesars Entertainment
8.125%, 05/15/11		265		265
7.875%, 03/15/10		1,282		1,276
Carrols
9.000%, 01/15/13		325		327
CCH II LLC
10.250%, 09/15/10 (B)		1,225		1,525
CCH II LLC, Ser B
10.250%, 09/15/10 (B)		860		1,066
CCO Holdings LLC
0.000%, 11/15/13 (B)		3,285		3,618
Charter Communications Operating LLC
10.875%, 09/15/14 (A) (B)		4,075		4,539
Charter Communications Operating LLC
8.000%, 04/30/12 (A) (B)		4,320		4,396
Dana (escrow security) (B)
7.000%, 03/15/28		200		5
7.000%, 03/01/09		175		4
6.500%, 03/01/29		1,100		27
6.500%, 03/15/08		100		2
Dave & Buster’s
11.250%, 03/15/14		2,081		2,133
Delta Air Lines
7.920%, 11/18/10		575		575
7.711%, 09/18/11		1,900		1,843
Denny’s Holdings
10.000%, 10/01/12 (B)		380		388
Dex Media
9.000%, 11/15/13 (B) (D)		1,020		250
9.000%, 11/15/13 (D)		1,625		398
Dex Media West, Ser B
9.875%, 08/15/13 (B)		2,710		854
8.500%, 08/15/10 (B)		1,500		1,552
DirecTV Holdings LLC
6.375%, 06/15/15		1,650		1,695
DISH DBS
7.125%, 02/01/16		2,770		2,742


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

DR Horton
6.000%, 04/15/11	$	730	$	737
Duane Reade
11.750%, 08/01/15 (A)		1,690		1,821
9.750%, 08/01/11		250		254
Eastman Kodak
7.250%, 11/15/13		995		791
Easton-Bell Sports
9.750%, 12/01/16 (A)		1,525		1,554
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,102		925
El Pollo Loco
11.750%, 12/01/12 (A)		2,250		2,323
Eye Care Centers of America
10.750%, 02/15/15		600		617
Fontainebleau Las Vegas
10.250%, 06/15/15 (A) (B)		3,500		35
Ford Motor
7.450%, 07/16/31		1,710		1,456
Galaxy Entertainment Finance
9.875%, 12/15/12 (A)		1,565		1,573
Gaylord Entertainment
6.750%, 11/15/14		415		376
General Motors
7.700%, 04/15/16 (B)		1,601		336
Goodyear Tire & Rubber
10.500%, 05/15/16		325		350
9.000%, 07/01/15		51		52
8.625%, 12/01/11		831		851
Group 1 Automotive
8.250%, 08/15/13		100		99
Hanesbrands, Ser B
4.592%, 12/15/14 (C)		1,685		1,521
Harrah’s Operating
11.250%, 06/01/17 (A)		575		588
10.000%, 12/15/18 (A)		6,551		4,979
5.750%, 10/01/17		1,000		500
5.500%, 07/01/10		248		247
Harrahs Operating Escrow LLC
11.250%, 06/01/17 (A)		7,430		7,579
Hertz
10.500%, 01/01/16		955		993
8.875%, 01/01/14		1,580		1,588
HSN
11.250%, 08/01/16		1,700		1,874
Inergy
8.750%, 03/01/15 (A)		550		561
8.250%, 03/01/16		345		348
6.875%, 12/15/14		275		266
Interpublic Group
2.273%, 11/15/10 (C)		346		337
Interpublic Group of Cos.
10.000%, 07/15/17 (A)		450		493


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Invista
9.250%, 05/01/12 (A)	$	608	$	617
Isle of Capri Casinos
7.000%, 03/01/14		1,240		1,079
Jarden
8.000%, 05/01/16		500		515
7.500%, 05/01/17		1,910		1,891
JC Penney
7.950%, 04/01/17		515		548
7.400%, 04/01/37		1,860		1,767
K Hovnanian Enterprises
10.625%, 10/15/16 (A)		655		668
7.500%, 05/15/16		685		493
6.250%, 01/15/15		375		270
KAR Holdings
10.000%, 05/01/15		1,125		1,164
8.750%, 05/01/14		1,050		1,066
4.281%, 05/01/14 (C)		800		744
Lamar Media
7.250%, 01/01/13		900		884
6.625%, 08/15/15		1,700		1,615
Landry’s Restaurants
14.000%, 08/15/11		3,000		3,015
11.625%, 12/01/15 (A)		2,514		2,552
Levi Strauss
9.750%, 01/15/15		800		838
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,265		3,175
M/I Homes
6.875%, 04/01/12		640		595
Macy’s Retail Holdings
8.875%, 07/15/15		2,430		2,582
7.875%, 08/15/36		450		394
6.700%, 07/15/34		165		139
6.375%, 03/15/37		1,015		858
5.900%, 12/01/16		1,155		1,091
MDC Partners
11.000%, 11/01/16 (A)		3,300		3,300
Meritage Homes
7.000%, 05/01/14		995		945
6.250%, 03/15/15		205		187
MGM Mirage
13.000%, 11/15/13 (A)		75		85
11.375%, 03/01/18 (A)		410		354
11.125%, 11/15/17 (A)		1,045		1,144
10.375%, 05/15/14 (A)		775		827
8.500%, 09/15/10		150		149
7.625%, 01/15/17		1,935		1,471
7.500%, 06/01/16		4,640		3,515
6.875%, 04/01/16		250		186
6.750%, 09/01/12		1,070		912
6.750%, 04/01/13		2,210		1,815
6.625%, 07/15/15		380		283
5.875%, 02/27/14		3,085		2,391


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Michaels Stores
11.375%, 11/01/16 (A)	$	21	$	21
Mohegan Tribal Gaming Authority
7.125%, 08/15/14		905		570
MTR Gaming Group
12.625%, 07/15/14 (A)		1,055		978
NCL
11.750%, 11/15/16 (A)		310		306
Nebraska Book
10.000%, 12/01/11 (A)		1,650		1,658
Neiman-Marcus Group
10.375%, 10/15/15		1,500		1,354
Neiman-Marcus Group PIK
9.000%, 10/15/15		1,918		1,731
Newell Rubbermaid
10.600%, 04/15/19		1,055		1,342
Norcraft Holdings
9.750%, 09/01/12		1,475		1,401
OSI Restaurant Partners
10.000%, 06/15/15		2,873		2,485
Peninsula Gaming LLC
10.750%, 08/15/17 (A)		1,250		1,244
8.375%, 08/15/15 (A)		1,250		1,231
Penn National Gaming
6.750%, 03/01/15		3,490		3,333
Penske Auto Group
7.750%, 12/15/16		1,700		1,645
Pinnacle Entertainment
7.500%, 06/15/15		2,095		1,865
Quiksilver
6.875%, 04/15/15		1,455		1,113
QVC
7.500%, 10/01/19 (A)		3,575		3,575
River Rock Entertainment Authority
9.750%, 11/01/11		2,685		2,470
RJ Tower
12.000%, 06/01/13 (B)		210		1
Royal Caribbean Cruises
11.875%, 07/15/15		900		1,008
7.250%, 06/15/16		1,105		1,019
7.000%, 06/15/13		925		879
6.875%, 12/01/13		1,939		1,823
RSC Equipment Rental
9.500%, 12/01/14		5,510		5,393
Salem Communications
9.625%, 12/15/16 (A)		1,152		1,175
Sally Holdings LLC
10.500%, 11/15/16		3,045		3,258
9.250%, 11/15/14		1,615		1,672
San Pasqual Casino
8.000%, 09/15/13 (A)		1,530		1,400
Sbarro
10.375%, 02/01/15		1,866		1,474


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Sealy Mattress
10.875%, 04/15/16 (A)	$	35	$	39
8.250%, 06/15/14		3,805		3,748
Seminole Hard Rock Entertainment
2.799%, 03/15/14 (A) (C)		600		486
Service International
7.375%, 10/01/14		1,035		1,032
6.750%, 04/01/15		1,545		1,491
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		1,945		1,410
Simmons
10.000%, 12/15/14 (B) (D)		6,595		561
Simmons Bedding
7.875%, 01/15/14 (B)		4,195		3,817
Sinclair Broadcast Group
8.000%, 03/15/12		2,025		1,946
Sirius XM Radio
9.750%, 09/01/15 (A)		1,380		1,423
Speedway Motorsports
8.750%, 06/01/16 (A)		1,750		1,846
Stanadyne Holdings
12.000%, 02/15/15 (D)		1,500		975
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		475		418
Standard Pacific Escrow LLC
10.750%, 09/15/16 (A)		2,275		2,252
Starwood Hotels & Resorts Worldwide
6.750%, 05/15/18		2,535		2,440
Station Casinos
6.875%, 03/01/16 (B)		960		10
6.625%, 03/15/18 (B)		2,090		21
Steinway Musical Instruments
7.000%, 03/01/14 (A)		5,070		4,487
Sun Media
7.625%, 02/15/13		835		747
Tenneco
8.625%, 11/15/14		1,435		1,406
Toys R Us Property I LLC
10.750%, 07/15/17 (A)		640		683
Travelport LLC
11.875%, 09/01/16		6,045		6,045
9.875%, 09/01/14		690		690
4.881%, 09/01/14 (C)		2,044		1,717
TRW Automotive
7.250%, 03/15/17 (A)		1,095		1,013
7.000%, 03/15/14 (A)		2,040		1,930
Turning Stone Resort Casino Enterprise
9.125%, 09/15/14 (A)		1,970		1,916
UAL 1995 Pass Through Trust A
9.020%, 04/19/12		546		137
UAL Pass Through Trust, Ser 2000-2
7.811%, 04/01/11 (B)		1,875		2,476
7.186%, 04/01/11		94		94
7.032%, 10/01/10		12		12


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

United Air Lines
10.400%, 11/01/16	$	2,605	$	2,683
9.750%, 01/15/17		3,570		3,632
United Components
9.375%, 06/15/13		1,460		1,387
Univision Communications
9.750%, 03/15/15 (A)		3,658		2,917
Vail Resorts
6.750%, 02/15/14		1,970		1,940
Videotron
6.875%, 01/15/14		2,339		2,281
Wendy’s
10.000%, 07/15/16 (A)		1,840		1,987
WMG Acquisition
9.500%, 06/15/16 (A)		2,355		2,532
Wynn Las Vegas LLC
7.875%, 11/01/17 (A)		520		517
XM Satellite Radio Holdings
13.000%, 08/01/13 (A)		2,860		2,967

				270,288


Consumer Staples — 7.6%
Accellent
10.500%, 12/01/13		915		881
Alliance One International
10.000%, 07/15/16 (A)		220		231
10.000%, 07/15/16 (A)		1,090		1,145
Apria Healthcare Group
12.375%, 11/01/14 (A)		5,120		5,594
Avis Budget Car Rental LLC
7.625%, 05/15/14		1,870		1,720
Bausch & Lomb
9.875%, 11/01/15		1,630		1,675
Biomet
11.625%, 10/15/17		3,440		3,741
Catalent Pharma Solutions
9.500%, 04/15/15		5,055		4,473
Central Garden and Pet
9.125%, 02/01/13		1,445		1,459
Chiquita Brands International
8.875%, 12/01/15		1,495		1,517
Constellation Brands
8.375%, 12/15/14		1,600		1,696
7.250%, 05/15/17		1,250		1,263
7.250%, 09/01/16		1,870		1,893
Cott Beverages
8.375%, 11/15/17 (A)		2,325		2,325
Del Monte
7.500%, 10/15/19 (A)		245		247
DI Finance
9.500%, 02/15/13		1,015		1,025
DJO Finance LLC
10.875%, 11/15/14		4,980		5,241


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Dole Food
13.875%, 03/15/14 (A)	$	1,101	$	1,294
8.000%, 10/01/16 (A)		700		707
Fleming
10.125%, 04/01/08 (B) (F)		943		—
HCA
9.875%, 02/15/17 (A)		170		184
9.625%, 11/15/16		9,111		9,714
9.250%, 11/15/16		1,200		1,272
8.500%, 04/15/19 (A)		2,640		2,785
7.875%, 02/15/20 (A)		2,895		2,967
6.375%, 01/15/15		1,000		925
Ingles Markets
8.875%, 05/15/17		680		701
JBS USA LLC
11.625%, 05/01/14 (A)		1,050		1,167
Johnsondiversey Holdings
10.500%, 05/15/20 (A)		2,595		2,491
Language Line
14.125%, 06/15/13		500		540
Laureate Education
11.750%, 08/15/17 (A)		400		403
10.000%, 08/15/15 (A)		525		526
M-Foods Holdings
9.750%, 10/01/13 (A)		405		421
Pantry
7.750%, 02/15/14		3,785		3,624
3.000%, 11/15/12		1,000		836
Rite Aid
10.375%, 07/15/16		2,130		2,178
10.250%, 10/15/19 (A)		250		254
9.750%, 06/12/16		2,910		3,143
9.500%, 06/15/17		2,875		2,365
9.375%, 12/15/15		1,925		1,612
8.625%, 03/01/15		1,645		1,361
7.700%, 02/15/27		150		87
7.500%, 03/01/17		685		620
6.875%, 12/15/28 (A)		350		199
RSC Equipment Rental
10.000%, 07/15/17 (A)		2,000		2,155
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		1,000		918
5.798%, 10/01/13 (A)		2,195		2,132
ServiceMaster
10.750%, 07/15/15 (A)		4,750		4,798
7.450%, 08/15/27		735		508
7.250%, 03/01/38		1,145		756
7.100%, 03/01/18		645		493
Smithfield Foods
10.000%, 07/15/14 (A)		1,553		1,627
7.750%, 05/15/13		1,540		1,428
Southern States Cooperative
11.000%, 11/01/11 (A)		2,250		2,253


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Spectrum Brands
12.000%, 08/28/19	$	1,302	$	1,237
SuperValu
8.000%, 05/01/16		3,300		3,366
Tops Markets LLC
10.125%, 10/15/15 (A)		1,330		1,363
Trico Shipping
11.875%, 11/01/14 (A)		1,535		1,556
United Rentals North America
10.875%, 06/15/16 (A)		3,000		3,187
9.250%, 12/15/19		1,040		1,022
Universal Hospital Services
8.500%, 06/01/15		960		946
US Oncology
9.125%, 08/15/17 (A)		825		860
US Oncology Holdings
6.428%, 03/15/12 (C)		1,781		1,603

				110,710


Energy — 8.2%
Allis-Chalmers Energy
9.000%, 01/15/14		1,011		890
8.500%, 03/01/17		3,905		2,821
Anadarko Petroleum
6.450%, 09/15/36		1,435		1,507
Antero Resources Finance
9.375%, 12/01/17 (A)		990		992
Arch Coal
8.750%, 08/01/16 (A)		2,665		2,745
Atlas Energy Operating LLC
12.125%, 08/01/17		1,870		2,090
Atlas Energy Resources LLC
10.750%, 02/01/18 (A)		2,215		2,409
Aventine Renewable Energy
10.000%, 04/01/17 (B)		2,600		1,859
Basic Energy Services
11.625%, 08/01/14 (A)		1,300		1,378
Bill Barrett
9.875%, 07/15/16		1,000		1,055
Calfrac Holdings
7.750%, 02/15/15 (A)		3,000		2,925
Chesapeake Energy
9.500%, 02/15/15		1,650		1,728
7.500%, 06/15/14		219		220
7.250%, 12/15/18		185		178
7.000%, 08/15/14		255		254
6.875%, 01/15/16		1,020		979
6.500%, 08/15/17		1,050		974
Cie Generale de Geophysique-Veritas
9.500%, 05/15/16 (A)		2,095		2,210
Cloud Peak Energy Resources LLC
8.500%, 12/15/19 (A)		405		401
8.250%, 12/15/17 (A)		605		596


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Complete Production Services
8.000%, 12/15/16	$	760	$	745
Compton Petroleum Finance
7.625%, 12/01/13		350		261
Copano Energy LLC
7.750%, 06/01/18		2,930		2,915
Denbury Resources
9.750%, 03/01/16		595		629
7.500%, 12/15/15		1,175		1,166
7.500%, 04/01/13		1,110		1,110
Drummond
9.000%, 10/15/14 (A)		1,220		1,244
Dynegy Holdings
8.375%, 05/01/16		1,950		1,789
7.750%, 06/01/19		1,995		1,631
7.625%, 10/15/26		875		569
7.500%, 06/01/15		2,200		2,024
El Paso
8.250%, 02/15/16		215		222
8.050%, 10/15/30		150		141
7.800%, 08/01/31		275		256
7.420%, 02/15/37		1,300		1,152
7.250%, 06/01/18		2,785		2,785
Enterprise Products Operating LLC
8.375%, 08/01/66 (C)		290		282
Forbes Energy Services LLC
11.000%, 02/15/15		916		801
Forest Oil
8.500%, 02/15/14 (A)		50		51
8.000%, 12/15/11		800		822
7.750%, 05/01/14		1,005		997
7.250%, 06/15/19		2,760		2,615
General Maritime
12.000%, 11/15/17 (A)		710		737
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		2,140		2,167
Hercules Offshore
10.500%, 10/15/17 (A)		1,355		1,369
Hillcorp Energy
9.000%, 06/01/16 (A)		255		256
7.750%, 11/01/15 (A)		3,545		3,412
Holly
9.875%, 06/15/17 (A)		3,135		3,253
International Coal Group
10.250%, 07/15/14		1,360		1,319
Key Energy Services
8.375%, 12/01/14		1,405		1,372
Linn Energy LLC
11.750%, 05/15/17 (A)		260		289
Mariner Energy
8.000%, 05/15/17		1,670		1,578
MarkWest Energy Partners
8.750%, 04/15/18		2,940		2,962


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

MarkWest Energy Partners, Ser B
8.500%, 07/15/16	$	250	$	252
6.875%, 11/01/14		1,125		1,058
McMoRan Exploration
11.875%, 11/15/14		3,420		3,454
Murray Energy
10.250%, 10/15/15 (A)		2,090		2,048
Newfield Exploration
7.125%, 05/15/18		525		526
6.625%, 04/15/16		135		133
OPTI Canada
9.000%, 12/15/12 (A)		460		459
8.250%, 12/15/14		1,925		1,540
7.875%, 12/15/14		1,260		1,002
Parker Drilling
9.625%, 10/01/13		639		652
Penn Virginia
10.375%, 06/15/16		400		431
PetroHawk Energy
10.500%, 08/01/14 (A)		2,100		2,273
9.125%, 07/15/13		1,847		1,916
7.875%, 06/01/15		1,975		1,970
Petroleum Development
12.000%, 02/15/18		2,190		2,212
Plains Exploration & Production
10.000%, 03/01/16		650		697
8.625%, 10/15/19		355		356
7.750%, 06/15/15		75		74
7.625%, 06/01/18		350		341
7.000%, 03/15/17		600		570
Pride International
8.500%, 06/15/19		535		592
Quicksilver Resources
11.750%, 01/01/16		2,200		2,445
8.250%, 08/01/15		770		766
7.125%, 04/01/16		2,185		1,972
Range Resources
7.500%, 05/15/16		350		352
Regency Energy Partners
8.375%, 12/15/13		530		545
Sabine Pass LNG LP
7.500%, 11/30/16 (A)		620		515
7.500%, 11/30/16		595		494
SandRidge Energy
9.875%, 05/15/16 (A)		1,185		1,215
8.625%, 04/01/15		750		719
Southwestern Energy
7.500%, 02/01/18 (A)		1,125		1,162
Stone Energy
8.250%, 12/15/11		2,600		2,574
Swift Energy
7.125%, 06/01/17		700		642
Targa Resources Partners
11.250%, 07/15/17 (A)		4,435		4,745


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Tesoro
9.750%, 06/01/19	$	2,800	$	2,842
6.625%, 11/01/15		970		890
Valero Energy
10.500%, 03/15/39		960		1,264
Venoco
8.750%, 12/15/11		565		579
Williams
8.750%, 01/15/20		150		175
8.125%, 03/15/12		150		165
7.875%, 09/01/21		275		307
7.750%, 06/15/31		350		379

				118,435


Financials — 11.8%
ACE Cash Express
10.250%, 10/01/14 (A)		675		510
Algoma Acquisition
9.875%, 06/15/15 (A)		1,095		931
ALH Finance LLC
8.500%, 01/15/13		2,445		2,396
Alliant Holdings
11.000%, 05/01/15 (A)		2,500		2,463
Allied Capital
6.625%, 07/15/11		3,525		3,251
6.000%, 04/01/12		1,300		1,103
American General Finance MTN
5.375%, 10/01/12		260		214
4.875%, 07/15/12		1,430		1,192
0.088%, 12/15/11 (C)		2,130		1,707
BAC Capital Trust XIV
5.630%, 03/15/12 (C)		2,135		1,409
Bank of America
8.125%, 05/15/18 (C)		155		135
8.000%, 12/29/49 (C)		1,260		1,097
C5 Capital SPV
6.196%, 12/31/11 (A) (C)		535		372
Capital One Capital V
10.250%, 08/15/39		1,265		1,391
Cardtronics
9.250%, 08/15/13		1,100		1,119
9.250%, 08/15/13		2,040		2,076
CEVA Group
11.625%, 10/01/16 (A)		2,305		2,354
Chukchansi Economic Development Authority
4.024%, 11/15/12 (A) (C)		1,985		1,332
CIT Group
5.800%, 07/28/11 (B)		1,295		907
5.650%, 02/13/17 (B)		3,295		2,316
5.600%, 04/27/11 (B)		1,235		865
5.000%, 02/13/14 (B)		2,400		1,680
0.781%, 07/28/11 (B) (C)		1,250		876


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CIT Group Funding of Canada
4.650%, 07/01/10 (B)	$	135	$	133
Citigroup Capital XXI
8.300%, 12/21/57 (C)		620		552
City National Bank
9.000%, 08/12/19		4,062		4,062
Comerica Bank
5.200%, 08/22/17		1,000		918
Corporate Office Properties
3.500%, 09/15/26‡ (A)		260		245
Developers Diversified Realty
9.625%, 03/15/16‡		360		375
E*Trade Financial PIK
12.500%, 11/30/17		1,169		1,315
Felcor Lodging
10.000%, 10/01/14‡ (A)		1,320		1,287
FireKeepers Development Authority
13.875%, 05/01/15 (A)		2,050		2,296
Ford Motor Credit LLC
12.000%, 05/15/15		1,670		1,925
9.875%, 08/10/11		1,115		1,157
8.700%, 10/01/14		410		421
8.000%, 06/01/14		3,000		3,018
8.000%, 12/15/16		2,100		2,091
7.800%, 06/01/12		4,130		4,127
7.500%, 08/01/12		1,185		1,174
7.250%, 10/25/11		90		90
7.000%, 10/01/13		4,332		4,229
5.549%, 06/15/11 (C)		1,000		980
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		876
Genworth Financial
6.150%, 11/15/66 (C)		2,765		1,770
Genworth Global Funding Trusts
0.459%, 12/15/10 (C)		970		952
0.412%, 05/15/12 (C)		1,380		1,288
GMAC LLC
8.000%, 11/01/31 (A)		3,883		3,330
6.875%, 09/15/11 (A)		2,622		2,524
6.875%, 08/28/12 (A)		5,327		5,047
6.750%, 12/01/14		2,506		2,243
6.625%, 05/15/12 (A)		1,291		1,222
6.000%, 12/15/11 (A)		810		762
HBOS MTN
5.375%, 11/29/49 (A) (C)		1,005		814
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		1,890		1,191
Hellas II
6.881%, 01/15/15 (A) (B) (C)		2,100		21
Host Hotels & Resorts L.P.
6.875%, 11/01/14‡		545		526
Host Marriott L.P., Ser O
6.375%, 03/15/15‡		385		363


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Host Marriott LP, Ser Q
6.750%, 06/01/16‡	$	2,300	$	2,179
HUB International Holdings
10.250%, 06/15/15 (A)		410		373
9.000%, 12/15/14 (A)		3,270		3,147
Icahn Enterprises
7.125%, 02/15/13		4,725		4,630
ING Capital Funding Trust III
8.439%, 12/29/49 (C)		2,130		1,805
International Lease Finance MTN
6.625%, 11/15/13		630		509
6.375%, 03/25/13		335		270
5.625%, 09/20/13		1,055		830
5.550%, 09/05/12		430		346
5.350%, 03/01/12		125		107
5.250%, 01/10/13		815		657
Jefferies Group
8.500%, 07/15/19		2,150		2,365
JPMorgan Chase Capital XXV
6.800%, 10/01/37		90		89
LaBranche
11.000%, 05/15/12		1,665		1,598
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (B)		3,500		744
5.625%, 01/24/13 (B)		1,000		215
Lincoln National
7.000%, 05/17/66 (C)		595		458
6.050%, 04/20/67 (C)		390		279
Lloyds Banking Group
5.920%, 09/29/49 (A) (C)		435		231
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,000		2
MetLife
10.750%, 08/01/39		1,845		2,214
MetLife Capital Trust X
9.250%, 04/08/38 (A) (C)		2,550		2,652
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,115
Nuveen Investments
10.500%, 11/15/15 (A)		8,125		7,150
5.500%, 09/15/15		765		524
Ohio Casualty
7.300%, 06/15/14		1,050		1,066
Omnicare
3.250%, 12/15/35		920		738
PHH
7.125%, 03/01/13		1,385		1,292
Pinnacle Foods Finance LLC
10.625%, 04/01/17		1,675		1,750
9.250%, 04/01/15		500		516
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (C)		1,040		683
Popular North America Capital Trust I
6.564%, 09/15/34		615		451


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Protective Life
8.450%, 10/15/39	$	3,140	$	3,080
Rabobank Nederland
11.000%, 12/31/49 (A) (C)		1,235		1,527
Radian Group
7.750%, 06/01/11		1,705		1,449
Realogy
12.375%, 04/15/15		905		570
11.000%, 04/15/14		627		476
10.500%, 04/15/14		2,175		1,751
Reynolds Group DL Escrow
7.750%, 10/15/16 (A)		7,310		7,383
Royal Bank of Scotland Group
7.640%, 09/29/17 (C)		1,720		804
Senior Housing Properties Trust
7.875%, 04/15/15‡		645		619
Smurfit Kappa Funding
7.750%, 04/01/15		2,140		2,044
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		1,275		663
4.680%, 02/01/14 (A) (C)		275		140
Susser Holdings LLC
10.625%, 12/15/13		225		234
Torchmark
9.250%, 06/15/19		2,625		3,030
UCI Holdco
9.250%, 12/15/13 (C)		1,199		816
Unitrin
6.000%, 05/15/17		1,140		950
Universal City Development Partners
8.875%, 11/15/15 (A)		1,435		1,396
USB Capital IX
6.189%, 04/15/49 (C)		1,015		792
USI Holdings
9.750%, 05/15/15 (A)		2,637		2,347
Ventas Realty L.P.
7.125%, 06/01/15‡		1,026		1,011
6.750%, 04/01/17‡		775		736
VWR Funding
10.250%, 07/15/15		5,748		5,590
Yankee Acquisition, Ser B
9.750%, 02/15/17		2,665		2,545
8.500%, 02/15/15		2,705		2,637
Zions Bancorporation
7.750%, 09/23/14		620		552
6.000%, 09/15/15		1,305		908
5.650%, 05/15/14		160		122
5.500%, 11/16/15		500		347

				170,524


Health Care — 3.1%
Biomet
10.375%, 10/15/17		8,040		8,623
10.000%, 10/15/17		2,660		2,813


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Bio-Rad Laboratories
8.000%, 09/15/16 (A)	$	870	$	907
Community Health Systems
8.875%, 07/15/15		1,885		1,923
Cooper
7.125%, 02/15/15		1,590		1,552
Health Management Associates
6.125%, 04/15/16		2,120		1,945
Inverness Medical Innovations
9.000%, 05/15/16		6,320		6,415
Psychiatric Solutions
7.750%, 07/15/15 (A)		315		296
7.750%, 07/15/15		3,300		3,185
ReAble Therapeutics Finance LLC
11.750%, 11/15/14		1,882		1,900
Select Medical
7.625%, 02/01/15		2,505		2,398
Spheris
11.000%, 12/15/12		750		405
Surgical Care Affiliates
8.875%, 07/15/15 (A)		1,656		1,441
Talecris Biotherapeutics Holdings
7.750%, 11/15/16 (A)		1,990		2,000
Tenet Healthcare
10.000%, 05/01/18 (A)		45		50
9.250%, 02/01/15		2,820		2,961
8.875%, 07/01/19 (A)		495		530
7.375%, 02/01/13		650		640
United Surgical Partners International
8.875%, 05/01/17		355		362
United Surgical Partners International PIK
9.250%, 05/01/17		4,190		4,232
Vanguard Health Holding I
11.250%, 10/01/15 (D)		600		630
Vanguard Health Holding II
9.000%, 10/01/14		325		335

				45,543


Industrials — 7.2%
ACCO Brands
10.625%, 03/15/15 (A)		3,605		3,889
7.625%, 08/15/15		1,435		1,302
Actuant
6.875%, 06/15/17		2,575		2,462
Aleris International
10.000%, 12/15/16 (B)		1,675		6
Aleris International PIK
9.000%, 12/15/14 (B)		950		4
Alliant Techsystems
6.750%, 04/01/16		195		193
Allison Transmission
11.000%, 11/01/15 (A)		1,795		1,858


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

America West Airlines, Ser 99-1
7.930%, 01/02/19	$	167	$	151
Ames True Temper
10.000%, 07/15/12 (E)		650		559
4.284%, 01/15/12 (C)		1,480		1,306
Anixter
10.000%, 03/15/14		1,310		1,431
Associated Materials
11.250%, 03/01/14 (D)		535		502
Associated Materials LLC
9.875%, 11/15/16 (A)		630		658
Atrium
15.000%, 12/15/12 (A) (E)		1,482		22
Baker & Taylor
11.500%, 07/01/13 (A)		925		472
Baldor Electric
8.625%, 02/15/17		1,215		1,239
BE Aerospace
8.500%, 07/01/18		650		673
Belden
9.250%, 06/15/19 (A)		305		325
Bombardier
8.000%, 11/15/14 (A)		610		619
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		379
Building Materials Corp of America
7.750%, 08/01/14		820		812
BWAY
10.000%, 04/15/14 (A)		4,585		4,803
C8 Capital SPV
6.640%, 12/31/14 (A) (C)		1,295		913
Case New Holland
7.750%, 09/01/13 (A)		1,090		1,087
Casella Waste Systems
11.000%, 07/15/14 (A)		30		32
9.750%, 02/01/13		1,335		1,302
Chart Industries
9.125%, 10/15/15		2,000		1,980
Clean Harbors
7.625%, 08/15/16 (A)		2,375		2,390
Coleman Cable
9.875%, 10/01/12		2,785		2,774
Continental Airlines
9.000%, 07/08/16		910		965
7.339%, 04/19/14		1,490		1,334
7.250%, 11/10/19		1,525		1,544
Cornell
10.750%, 07/01/12		370		377
Corrections Corp of America
7.750%, 06/01/17		520		541
CPM Holdings
10.625%, 09/01/14 (A)		995		1,040
Crown Americas LLC
7.625%, 05/15/17 (A)		590		602


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Delta Air Lines
12.250%, 03/15/15 (A)	$	3,035	$	2,807
9.500%, 09/15/14 (A)		620		629
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12		427		414
DigitalGlobe
10.500%, 05/01/14 (A)		545		583
Douglas Dynamics LLC
7.750%, 01/15/12 (A)		2,475		2,252
Dycom Investments
8.125%, 10/15/15		2,035		1,872
ESCO
4.174%, 12/15/13 (A) (C)		280		256
ESCO
8.625%, 12/15/13 (A)		105		104
General Cable
7.125%, 04/01/17		1,120		1,084
Geo Group
7.750%, 10/15/17 (A)		60		61
GeoEye
9.625%, 10/01/15 (A)		2,775		2,879
Global Aviation Holdings
14.000%, 08/15/13 (A)		1,850		1,832
Graphic Packaging International
9.500%, 06/15/17 (A)		2,420		2,553
Harland Clarke Holdings
9.500%, 05/15/15		1,000		939
6.000%, 05/15/15 (C)		370		304
Interface
11.375%, 11/01/13 (A)		475		520
9.500%, 02/01/14		180		178
Interline Brands
8.125%, 06/15/14		810		800
Iron Mountain
8.750%, 07/15/18		1,265		1,311
8.375%, 08/15/21		715		731
Kansas City Southern de Mexico
12.500%, 04/01/16 (A)		345		393
9.375%, 05/01/12		940		961
Koppers
7.875%, 12/01/19 (A)		1,445		1,445
L-3 Communications, Ser B
6.375%, 10/15/15		1,360		1,338
Language Line
11.125%, 06/15/12		3,300		3,392
Mobile Mini
6.875%, 05/01/15		1,340		1,253
Mobile Services Group
9.750%, 08/01/14		260		269
Navistar International
8.250%, 11/01/21		3,390		3,331
NXP BV
10.000%, 07/15/13 (A)		598		605


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Plastipak Holdings
10.625%, 08/15/19 (A)	$	665	$	732
8.500%, 12/15/15 (A)		660		659
Pregis
12.375%, 10/15/13		1,898		1,803
Quality Distribution LLC
11.750%, 11/01/13 (A)		800		760
Quebecore
0.000%, 11/15/13 (B) (F)		1,800		—
0.000%, 03/15/16 (I)		2,175		—
RailAmerica
9.250%, 07/01/17 (A)		1,138		1,189
RBS Global
9.500%, 08/01/14 (A)		2,627		2,614
RBS Global & Rexnord
11.750%, 08/01/16		1,395		1,367
9.500%, 08/01/14		40		40
Sequa
11.750%, 12/01/15 (A)		1,050		935
Solo Cup
10.500%, 11/01/13 (A)		990		1,042
Spirit Aerosystems
7.500%, 10/01/17 (A)		295		289
SPX
7.625%, 12/15/14		1,330		1,357
Terex
10.875%, 06/01/16		1,000		1,062
8.000%, 11/15/17		8,715		7,974
Thermadyne Holdings
10.500%, 02/01/14		1,040		905
Titan International
8.000%, 01/15/12		1,995		1,950
Triumph Group
8.000%, 11/15/17 (A)		135		135
United Air Lines
9.125%, 01/15/12 (B) (F)		625		—
United Air Lines, Ser A
10.670%, 05/01/04 (B) (F)		325		—
USG
9.750%, 08/01/14 (A)		1,955		2,048
6.300%, 11/15/16		1,315		1,141
Vought Aircraft Industries
8.000%, 07/15/11		500		494

				104,138


Information Technology — 4.1%
Activant Solutions
9.500%, 05/01/16		1,900		1,753
Advanced Micro Devices
8.125%, 12/15/17 (A)		260		245
Amkor Technology
9.250%, 06/01/16		2,840		2,925
7.750%, 05/15/13		1,335		1,328


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Avago Technologies Finance
10.125%, 12/01/13	$	670	$	704
Compagnie Generale de Geophysique
7.750%, 05/15/17		300		297
7.500%, 05/15/15		850		841
Compucom Systems
12.500%, 10/01/15 (A)		2,145		2,177
First Data
9.875%, 09/24/15		8,978		7,991
Flextronics International
6.250%, 11/15/14		1,780		1,727
Freescale Semiconductor
10.125%, 12/15/16		1,475		1,036
8.875%, 12/15/14		1,605		1,364
Freescale Semiconductor PIK
9.125%, 12/15/14		2,230		1,806
NXP Funding LLC
7.875%, 10/15/14		3,620		3,077
Open Solutions
9.750%, 02/01/15 (A)		2,000		1,480
Sanmina-SCI
8.125%, 03/01/16		1,475		1,434
3.049%, 06/15/14 (A) (C)		1,250		1,119
Sensata Technologies
8.000%, 05/01/14		790		766
Smart Modular
5.790%, 04/01/12 (C)		760		714
Spansion
3.792%, 06/01/13 (A) (B) (C)		585		609
Stream Global Services
11.250%, 10/01/14 (A)		3,156		3,132
Sungard Data Systems
10.625%, 05/15/15		2,170		2,300
10.250%, 08/15/15		6,015		6,166
9.125%, 08/15/13		1,665		1,690
Terremark Worldwide
12.000%, 06/15/17 (A)		2,605		2,843
Unisys
14.250%, 09/15/15 (A)		1,580		1,778
12.750%, 10/15/14 (A)		6,485		7,231
Viasat
8.875%, 09/15/16 (A)		665		671

				59,204


Materials — 8.1%
AK Steel
7.750%, 06/15/12		2,400		2,412
Arch Western Finance LLC
6.750%, 07/01/13		3,305		3,288
Ashland
9.125%, 06/01/17 (A)		2,920		3,139
Boise Paper Holdings LLC
9.000%, 11/01/17 (A)		3,115		3,177


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

California Steel Industries
6.125%, 03/15/14	$	275	$	256
Catalyst Paper
7.375%, 03/01/14		338		203
Catalyst Paper, Ser D
8.625%, 06/15/11		1,055		783
Century Aluminum
7.500%, 08/15/14		1,060		975
Clearwater Paper
10.625%, 06/15/16 (A)		820		902
Cognis GmbH
2.299%, 09/15/13 (A) (C)		620		567
Crown Americas
7.750%, 11/15/15		400		408
Domtar
10.750%, 06/01/17		3,500		4,060
9.500%, 08/01/16		250		265
Dow Chemical
8.550%, 05/15/19		2,405		2,842
Evraz Group
9.500%, 04/24/18 (A)		700		702
8.875%, 04/24/13 (A)		525		525
FMG Finance
10.625%, 09/01/16 (A)		2,830		3,085
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		4,475		4,827
8.250%, 04/01/15		230		247
Georgia-Pacific
7.125%, 01/15/17 (A)		5,480		5,549
7.000%, 01/15/15 (A)		2,060		2,086
Georgia-Pacific LLC
8.250%, 05/01/16 (A)		2,750		2,915
Graham Packaging
9.875%, 10/15/14		4,295		4,359
Greif
7.750%, 08/01/19 (A)		190		192
Headwaters
11.375%, 11/01/14 (A)		2,565		2,623
Hexion US Fin/Nova Scotia
9.750%, 11/15/14		5,119		4,914
4.773%, 11/15/14 (C)		750		593
Huntsman International LLC
7.875%, 11/15/14		2,140		2,028
7.375%, 01/01/15		505		470
5.500%, 06/30/16 (A)		385		334
INEOS Group Holdings PLC
8.500%, 02/15/16 (A)		135		89
Innophos Holdings
9.500%, 04/15/12 (A)		700		700
International Paper
7.950%, 06/15/18		2,138		2,475
Intertape Polymer
8.500%, 08/01/14		835		651


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Johnsondiversey
8.250%, 11/15/19 (A)	$	770	$	769
MacDermid
9.500%, 04/15/17 (A)		1,765		1,747
Millennium America
7.625%, 11/15/26 (B)		200		42
Momentive Performance Materials
12.500%, 06/15/14 (A)		310		339
Nalco
8.250%, 05/15/17 (A)		1,040		1,084
Neenah
9.500%, 01/01/17		500		255
NewPage
11.375%, 12/31/14 (A)		3,830		3,773
10.000%, 05/01/12		1,500		968
Noranda Aluminium Acquisition
5.274%, 05/15/15 (C)		2,899		2,102
Novelis
11.500%, 02/15/15 (A)		675		702
7.250%, 02/15/15 (A)		1,745		1,575
P.H. Glatfelter
7.125%, 05/01/16		1,155		1,145
Packaging Dynamics Finance
10.000%, 05/01/16 (A)		1,165		862
PE Paper Escrow GmbH
12.000%, 08/01/14 (A)		200		220
PolyOne
8.875%, 05/01/12		2,900		2,973
Reichhold Industries
9.000%, 08/15/14 (A)		2,716		2,200
Rio Tinto Finance USA
9.000%, 05/01/19		400		510
8.950%, 05/01/14		800		962
Ryerson
12.000%, 11/01/15		1,250		1,278
Sappi Papier Holding
6.750%, 06/15/12 (A)		910		846
Sealed Air
7.875%, 06/15/17 (A)		1,320		1,407
Solo Cup
8.500%, 02/15/14		1,320		1,271
Solutia
8.750%, 11/01/17		2,095		2,184
0.000%, 12/31/99 (B)		455		1
Steel Capital for OAO Severstal
9.750%, 07/29/13 (A)		380		382
Steel Dynamics
8.250%, 04/15/16 (A)		2,460		2,485
7.375%, 11/01/12		1,375		1,371
6.750%, 04/01/15		250		242
Stone Container
8.375%, 07/01/12 (B)		1,770		1,394
Teck Resources
10.750%, 05/15/19		2,540		2,965


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

10.250%, 05/15/16	$	2,715	$	3,068
Terra Capital
7.750%, 11/01/19 (A)		3,015		3,196
U.S. Steel
6.650%, 06/01/37		970		777
6.050%, 06/01/17		1,040		969
Vedanta Resources
9.500%, 07/18/18 (A)		2,835		2,814
Verso Paper Holdings LLC
11.500%, 07/01/14 (A)		1,460		1,591
9.125%, 08/01/14		3,520		3,238
Verso Paper Holdings LLC, Ser B
11.375%, 08/01/16		190		144
Vitro
9.125%, 02/01/17 (B)		2,735		1,176

				117,668


Telecommunication Services — 11.8%
Aeroflex
11.750%, 02/15/15		1,115		1,090
Affinion Group
11.500%, 10/15/15		640		666
10.125%, 10/15/13		1,500		1,530
10.125%, 10/15/13 (A)		2,525		2,575
Avaya
10.125%, 11/01/15 (A)		615		560
9.750%, 11/01/15 (A)		470		455
CC Holdings GS V LLC
7.750%, 05/01/17 (A)		1,250		1,322
CCH II LLC
10.250%, 10/01/13 (A) (B)		2,811		3,261
Cengage Learning Acquisitions
10.500%, 01/15/15 (A)		1,570		1,456
Cequel Communications
8.625%, 11/15/17 (A)		1,070		1,054
Charter Communications Operating LLC
8.375%, 04/30/14 (A) (B)		845		860
Cincinnati Bell
8.250%, 10/15/17		445		442
Clearwire Communications LLC
12.000%, 12/01/15 (A)		4,260		4,201
12.000%, 12/01/15 (A)		2,470		2,421
Cleveland Unlimited
12.000%, 12/15/10 (A) (C)		4,260		4,217
Columbus International
11.500%, 11/20/14 (A)		1,155		1,182
Cricket Communications
10.000%, 07/15/15		825		800
Cricket Communications I
9.375%, 11/01/14		5,777		5,560
Crown Castle International
9.000%, 01/15/15		3,075		3,252
CSC Holdings
8.625%, 02/15/19 (A)		2,650		2,809


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Digicel Group
12.000%, 04/01/14 (A)	$	1,720	$	1,922
9.250%, 09/01/12 (A)		900		938
8.875%, 01/15/15 (A)		3,280		3,182
8.250%, 09/01/17 (A)		2,305		2,253
DISH DBS
7.875%, 09/01/19 (A)		1,200		1,209
7.750%, 05/31/15		4,980		5,055
Frontier Communications
6.625%, 03/15/15		1,100		1,056
GCI
8.625%, 11/15/19 (A)		2,570		2,570
Global Crossing
12.000%, 09/15/15 (A)		1,325		1,411
Hughes Network Systems LLC
9.500%, 04/15/14		1,315		1,328
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,474
Intelsat
9.250%, 06/15/16		275		278
Intelsat Bermuda
11.500%, 02/04/17 (A)		645		621
11.250%, 06/15/16		3,300		3,523
11.250%, 02/04/17 (A)		3,625		3,589
Intelsat Jackson Holdings
9.500%, 06/15/16		1,300		1,360
8.500%, 11/01/19 (A)		1,830		1,830
Intelsat Subsidiary Holding
8.875%, 01/15/15 (A)		2,250		2,272
8.875%, 01/15/15		3,175		3,223
iPCS PIK
3.531%, 05/01/14 (C)		2,840		2,286
Level 3 Financing
12.250%, 03/15/13		650		678
9.250%, 11/01/14		670		591
8.750%, 02/15/17		1,225		1,026
4.601%, 02/15/15 (C)		100		72
Liberty Media LLC
8.250%, 02/01/30		2,240		1,980
Lucent Technologies
6.450%, 03/15/29		1,155		889
Mediacom LLC
9.125%, 08/15/19 (A)		875		888
MetroPCS Wireless
9.250%, 11/01/14		4,250		4,261
9.250%, 11/01/14		1,150		1,153
Nextel Communications
6.875%, 10/31/13		1,991		1,891
Nielsen Finance LLC
12.500%, 08/01/11 (E)		625		547
11.625%, 02/01/14		280		301
11.500%, 05/01/16		275		296
10.000%, 08/01/14		940		971


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

NII Capital
10.000%, 08/15/16 (A)	$	3,150	$	3,339
Nordic Telephone Holdings
8.875%, 05/01/16 (A)		3,075		3,229
Orascom Telecom Finance
7.875%, 02/08/14 (A)		2,000		1,680
PAETEC Holding
9.500%, 07/15/15		2,176		2,026
8.875%, 06/30/17 (A)		1,960		1,945
Quebecor Media
7.750%, 03/15/16		4,795		4,627
Qwest
7.500%, 10/01/14		855		874
7.250%, 09/15/25		725		638
7.250%, 10/15/35		1,200		1,014
6.875%, 09/15/33		275		234
Qwest Capital Funding
7.750%, 02/15/31		710		575
7.250%, 02/15/11		300		301
Qwest Communications International
7.250%, 02/15/11 (D)		2,065		2,065
Qwest Communications International, Ser B
7.500%, 02/15/14		1,125		1,114
RH Donnelley
11.750%, 05/15/15 (A) (B)		1,235		1,044
SBA Telecommunications
8.250%, 08/15/19 (A)		1,680		1,747
8.000%, 08/15/16 (A)		435		448
Sinclair Television Group
9.250%, 11/01/17 (A)		1,005		1,019
Sprint Capital
8.750%, 03/15/32		3,845		3,292
6.900%, 05/01/19		5,110		4,458
Telcordia Technologies
10.000%, 03/15/13 (A)		465		386
4.034%, 07/15/12 (A) (C)		4,000		3,480
Telesat Canada
12.500%, 11/01/17		810		871
11.000%, 11/01/15		795		841
Univision Communications
12.000%, 07/01/14 (A)		1,231		1,339
UPC Holding BV
9.875%, 04/15/18 (A)		3,085		3,208
Videotron Ltee
9.125%, 04/15/18		1,245		1,332
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)		655		688
Virgin Media Finance
9.500%, 08/15/16		3,680		3,864
8.375%, 10/15/19		2,050		2,050
Visant Holding
10.250%, 12/01/13 (D)		4,505		4,646


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Vitamin Shoppe Industries
7.773%, 11/15/12 (C)	$	1,052	$	1,049
West
11.000%, 10/15/16		1,905		1,919
9.500%, 10/15/14		1,539		1,501
Wind Acquisition Finance
12.000%, 12/01/15 (A)		3,015		3,226
11.750%, 07/15/17 (A)		2,188		2,428
Windstream
8.625%, 08/01/16		2,050		2,076
8.125%, 08/01/13		10		10
XM Satellite Radio
11.250%, 06/15/13 (A)		1,185		1,250
XM Satellite Radio Holdings
10.000%, 06/01/11		1,735		1,657

				171,127


Utilities — 3.4%
AES
9.750%, 04/15/16 (A)		2,125		2,290
8.000%, 10/15/17		1,045		1,048
Calpine Construction Finance and CCFC Finance
8.000%, 06/01/16 (A)		965		970
Calpine Generating LLC
14.320%, 04/01/11 (B) (C)		1,500		202
Edison Mission Energy
7.500%, 06/15/13		2,525		2,298
7.200%, 05/15/19		3,850		2,791
7.000%, 05/15/17		1,715		1,252
Elwood Energy LLC
8.159%, 07/05/26		1,018		913
Energy Future Holdings
10.875%, 11/01/17		4,745		3,333
Ferrellgas Partners
9.125%, 10/01/17 (A)		2,500		2,600
6.750%, 05/01/14		1,500		1,440
KCP&L Greater Missouri Operations
11.875%, 07/01/12		450		523
Mirant Americas Generation LLC
8.500%, 10/01/21		3,333		3,016
Mirant Mid Atlantic Pass Through Trust A
8.625%, 06/30/12		443		450
Mirant North America LLC
7.375%, 12/31/13		2,660		2,620
North American Energy Alliance LLC
10.875%, 06/01/16 (A)		1,300		1,355
NRG Energy
8.500%, 06/15/19		1,220		1,232
7.375%, 01/15/17		3,515		3,489
7.375%, 02/01/16		2,690		2,676
7.250%, 02/01/14		3,060		3,087


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Orion Power Holdings
12.000%, 05/01/10	$	930	$	956
Public Service of New Mexico
7.950%, 05/15/18		2,800		2,931
Puget Sound Energy
6.974%, 06/01/67 (C)		1,035		912
Tenaska Alabama Partners
7.000%, 06/30/21 (A)		275		259
Texas Competitive Electric Holdings LLC
10.250%, 11/01/15		950		675
10.250%, 11/01/15		5,820		4,132
TXU
6.500%, 11/15/24		1,010		464
TXU, Ser P
5.550%, 11/15/14		985		680
TXU, Ser R
6.550%, 11/15/34		1,430		637

				49,231

Total Corporate Obligations (Cost $1,161,404) ($ Thousands)				1,216,868


LOAN PARTICIPATIONS — 9.5%
Affinion Group Holdings
8.273%, 03/01/12 (C)		4,924		4,358
Alion Science & Technology Commitment
9.500%, 02/06/13		13		12
9.500%, 02/06/13		2,474		2,246
Alliant Insurance Service
3.283%, 08/21/14		1,225		1,109
8.000%, 08/21/14		798		794
Allison Transmission
3.040%, 08/07/14 (C)		141		124
3.030%, 08/07/14 (C)		101		88
3.000%, 08/07/14 (C)		304		266
2.990%, 08/07/14 (C)		50		44
American General Finance
4.100%, 07/14/10		1,080		980
0.000%, 07/14/10 (H)		335		293
Aspect Software Ser A-1
3.313%, 07/11/11		1,239		1,152
Asurion
6.739%, 07/03/15 (C)		3,450		3,262
ATP Oil and Gas
9.000%, 12/26/13		130		126
8.500%, 12/26/13		837		814
Boston Generating 1st Lien
7.234%, 12/20/16		167		2
Boston Generating 2nd Lien
4.484%, 06/20/14		650		134
CDW Term Loan B
0.000%, 10/12/14 (H)		1,000		836


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Central Parking
2.563%, 05/22/14 (C)	$	1,723	$	1,344
0.163%, 05/22/14 (C)		616		465
Chester Downs
12.375%, 12/31/49		675		673
Claire’s Stores
3.032%, 05/27/14		2,580		2,013
0.000%, 05/29/14 (H)		1,675		1,307
Clearwire
9.250%, 07/03/12		1,492		1,481
9.230%, 07/03/12		499		495
0.000%, 07/03/12 (H)		2,871		2,850
DAE Aviation Holdings Ser B
4.040%, 07/31/14		277		252
4.030%, 09/27/14 (C)		270		246
4.000%, 09/27/14		1		1
Dana
0.000%, 01/31/15 (H)		755		671
Dealer Computer Services
7.734%, 04/26/14		4,550		3,504
2.234%, 10/26/12		1,970		1,834
Dex Media West LLC
6.750%, 06/30/11		1,502		1,346
Dex Media West LLC, Ser B
7.000%, 10/24/14 (C)		1,977		1,781
Dresser Rand 2nd Lien
6.021%, 05/04/15		293		263
5.987%, 05/04/15		587		526
Federal Mogul
2.177%, 12/29/14		2,569		1,938
2.177%, 12/28/15		1,311		989
First Data, Ser B-1
3.036%, 09/24/14		267		221
3.032%, 09/24/14		158		132
2.986%, 09/24/14		2,588		2,153
Flextronics International
2.540%, 10/01/12		1,489		1,397
Flextronics International, Ser A
2.484%, 10/01/14		1,194		1,120
Ford Motor Company
2.500%, 12/14/11		1,392		1,213
0.000%, 12/14/11 (H)		108		14
Freescale Semiconductor Incremental
12.500%, 12/15/14		4,489		4,604
Gambro Aktiebolag
0.000%, 11/24/16 (H)		965		685
Georgia Pacific
2.283%, 12/20/12		200		189
2.242%, 12/20/12		63		60
Greektown Casino
0.000%, 12/03/12 (B) (H)		725		734
Green Valley Ranch Gaming, 2nd Lien
3.549%, 08/06/14		2,000		420
0.000%, 02/16/14 (H)		1,100		799


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Guitar Center
3.740%, 10/09/13	$	2,153	$	1,804
Harrah’s Operating
9.500%, 01/28/15		3,000		2,908
3.283%, 01/28/15		32		24
3.282%, 01/28/15		1,575		1,221
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13 (C)		2,872		2,431
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13 (C)		517		438
Iasis Healthcare
6.290%, 06/13/14		610		540
5.531%, 06/13/14		3,055		2,706
Ineos Holdings, Ser B
4.789%, 12/16/13 (C)		1,538		1,326
0.000%, 12/16/13		250		215
Ineos Holdings, Ser C
5.289%, 12/16/14 (C)		1,538		1,331
0.000%, 12/16/14 (C) (H)		250		216
Ineos US Finance LLC
10.001%, 12/16/14		1,985		1,718
9.501%, 12/16/13		1,985		1,711
Infor Enterprise Solution
0.000%, 03/02/14 (H)		2,188		1,488
Infor Global Enterprise Solutions
6.484%, 03/02/14		1,524		1,037
Infor Global Solutions
0.000%, 08/29/14 (H)		1,400		507
0.000%, 07/28/12 (H)		1,203		1,060
6.484%, 03/02/14		882		600
Infor Global Solutions, Ser B
0.000%, 07/30/12 (H)		8		7
Intelsat Bermuda
2.739%, 02/01/14 (C)		2,400		2,167
Jacuzzi Brands
2.531%, 02/14/14		589		381
2.523%, 02/15/14 (C)		460		298
2.504%, 02/14/14		1		1
0.182%, 02/07/14		14		9
Landry’s Ser B
9.500%, 05/13/11		822		824
Language Line, Ser B
0.270%, 05/14/11 (C)		—		—
Las Vegas Sands LLC
2.040%, 05/17/14		1,851		1,538
0.262%, 05/23/14 (C)		1,300		1,080
Lyondell Bank
13.000%, 12/15/09		2,509		1,704
3.736%, 04/30/14		339		246
3.736%, 12/20/13		644		468
Lyondell Chemical
3.736%, 12/20/13		93		67
Lyondell Dutch
3.736%, 12/20/13 (C)		207		151


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Lyondell German
3.986%, 12/22/14	$	779	$	567
Lyondell Rollup
5.799%, 12/15/09		17		17
5.795%, 12/15/09		1,688		1,629
Lyondell US
7.000%, 12/22/13		1,127		818
7.000%, 12/20/14		1,127		818
7.000%, 12/22/14		1,127		818
Marsico Parent LLC
0.000%, 12/14/13 (H)		155		98
0.000%, 12/15/14 (H)		755		480
Metroflag, 2nd Lien
11.080%, 01/06/09 (B) (F)		325		—
Neiman Marcus Group
2.322%, 04/26/13		605		515
2.242%, 04/26/13		378		322
Nuveen Investments
12.500%, 11/09/14		550		565
12.500%, 07/31/15		725		744
3.282%, 11/09/14 (C)		991		823
3.281%, 11/09/14 (C)		979		813
Open Link Financial Term Loan B
0.000%, 11/06/14 (H)		2,750		2,695
Orbitz Worldwide
2.782%, 07/01/14 (C)		189		168
OSI Restaurant Partners
2.545%, 06/14/14 (C)		1,865		1,502
0.000%, 06/14/14 (H)		73		59
Outback Term Loan
0.000%, 06/14/14 (H)		847		682
Penhall
9.631%, 04/01/12		798		32
PQ
0.281%, 07/30/15 (C)		410		355
0.000%, 06/14/14 (H)		1,015		897
Proquest. 2nd Lien
6.039%, 02/09/15		1,200		1,104
Realogy
3.287%, 10/13/13		638		543
3.284%, 10/13/13		594		505
Rexnord
7.361%, 03/01/13		1,998		1,149
Reynold
6.250%, 10/24/12		1,450		1,446
Rite Aid
9.500%, 06/01/15		2,040		2,097
0.000%, 06/04/14 (H)		1,065		1,095
Sabre
2.493%, 09/30/14		800		680
2.489%, 09/30/14		540		459
Sensata Technology
2.031%, 04/27/13		2,120		1,865


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Servicemaster
2.840%, 10/17/14	$	168	$	146
2.750%, 10/17/14		704		612
Simmons Holdco
10.500%, 12/19/11		1,155		1,141
7.351%, 02/15/12		1,303		20
7.313%, 02/15/12		1,199		18
Simmons Holdco, Unsecured
7.351%, 02/15/12		436		6
Sorenson Communication
15.000%, 06/30/14		4,160		3,303
Sorenson Communication, 2nd Lien
7.234%, 02/16/14 (C)		4,450		4,141
Stallion Oilfield Service
2.530%, 06/12/13		1,075		953
Targa Resources
0.000%, 02/09/16 (H)		1,500		1,050
Texas Competitive Electric
3.782%, 10/10/14 (C)		54		41
3.775%, 10/10/14 (C)		2,954		2,202
3.753%, 10/10/14 (C)		101		75
3.742%, 10/10/14 (C)		9,034		6,733
Verint Systems, Ser T-1
3.490%, 05/25/14 (C)		2,510		2,267
Western Refining
8.250%, 05/30/14		1		1
Zuffa
7.500%, 06/18/15		1,800		1,755

Total Loan Participations (Cost $135,959) ($ Thousands)				137,406


COLLATERALIZED DEBT OBLIGATION — 3.1%

Other Asset-Backed Securities — 3.1%
ACAS CLO, Ser 2007-1A, Cl A1J
0.594%, 04/20/21 (A) (C)		3,800		2,774
Ares IIIR CLO, Ser 2007-3RA, Cl SUB
0.000%, 04/16/21 (A)		5,000		1,250
Ares VR CLO, Ser 2006-5RA, Cl SUB
0.000%, 02/24/18 (A)		3,500		175
Ares XI CLO, Ser 2007-11A, Cl SUB
0.000%, 10/11/21 (A)		3		676
Babson CLO, Ser 2004-II, Cl SUB
0.000%, 11/15/16 (A)		18		342
Babson CLO, Ser 2007-2A, Cl INC
0.000%, 04/15/21 (A) (C)		2,700		108
Babson CLO, Ser 2007-2A, Cl D
1.984%, 04/15/21 (A) (B) (C)		1,050		399
Battalion CLO, Ser 2007-1, Cl 1A
0.000%, 07/14/22 (A)		18		490
Battalion CLO, Ser 2007-1A, Cl E
4.534%, 07/14/22 (A) (B) (C)		2,550		1,199
Capitalsource Advisors CLO, Ser 2006-1A, Cl SUB
0.000%, 08/27/20 (A)		2,900		493


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CIFC Funding , Ser 2007-IV
0.000%, 12/19/07	$	3,900	$	975
CIFC Funding, Ser 2006-1BA, Cl A3L
1.119%, 12/22/20 (A) (C)		3,525		2,219
CIFC Funding, Ser 2006-I
0.000%, 10/20/20 (A) (C)		2,000		260
CIFC Funding, Ser 2006-II
0.000%, 03/01/21 (A) (C)		3,000		420
CIFC Funding, Ser 2007-2A, Cl SUB
0.000%, 04/15/21 (A)		2,500		275
CIFC Funding, Ser 2007-3A, Cl B
1.532%, 07/26/21 (A) (C)		2,700		1,589
CIT CLO, Ser 2007-1A, Cl E
5.606%, 06/20/21 (B) (C)		2,200		704
CIT CLO, Ser 2007-1A, Cl D
2.292%, 06/20/21 (A) (C)		3,000		1,260
Connecticut Valley Structured Credit CDO, Ser 2006-3A
0.000%, 03/23/23 (A)		1,200		3
Copper River CLO, Ser 2006-1A, Cl INC
0.000%, 01/20/21 (A) (C)		3,000		1,200
De Meer Middle Market CLO, Ser 2006-1A, Cl INC
0.000%, 10/20/18 (A)		3,167		1,267
De Meer Middle Market CLO, Ser 2006-1A, Cl B
0.684%, 10/20/18 (A) (C)		1,200		888
Denali Capital CLO VII, Ser 2007-1A, Cl INC
0.000%, 01/22/22 (A)		4,500		1,710
Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21 (A)		3,500		245
Emporia Preferred Funding, Cl C
1.183%, 04/23/21 (A) (C)		3,224		1,773
Gale Force CLO, Ser 2007-4A, Cl INC
0.269%, 08/20/21 (C)		60		2,250
Gale Force CLO, Ser 2007-4A, Cl E
6.669%, 08/20/21 (B) (C)		4,200		2,016
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (C)		6		180
Greenbriar CLO, Ser 2007-1A, Cl D
3.031%, 11/01/21 (A) (B) (C)		4,728		1,513
Harch CLO, Ser 2007-1A, Cl C
1.031%, 04/17/20 (A) (C)		917		642
Hudson Straits CLO, Cl B
1.034%, 10/15/16 (A) (C)		2,450		2,059
ING Investment Management I CLO
0.000%, 12/01/17 (A) (C)		2		300
ING Investment Management II CLO
0.000%, 08/01/20 (A) (C)		5		720
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (A)		2,000		140
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (A)		1,500		75


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Marlborough Street CLO, Ser 2007-1A, Cl INC
0.000%, 04/18/19 (A)	$	2,300	$	184
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A) (B)		10,161		3,556
Peritus I CDO
0.000%, 12/19/07		3,000		150
Rockwall Investors CDO
0.000%, 08/01/21 (A) (C)		3,000		30
Stanfield Daytona CLO
0.000%, 04/27/21		36		1,188
Stanfield Veyron CLO, Ser 2006-1A, Cl SUB
0.000%, 07/15/18		2,000		200
Telos CLO, Cl A2
0.684%, 10/11/21 (A) (C)		2,464		1,725
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (A)		2,500		150
Venture CDO, Cl A1B
0.614%, 01/20/22 (A) (C)		2,381		1,933
Waterfront CLO, Ser 2007-1A, Cl A2
0.684%, 08/02/20 (A) (C)		2,888		2,166
Whitehorse CLO II
0.000%, 06/15/17 (A) (C)		35		875

Total Collateralized Debt Obligation (Cost $89,816) ($ Thousands)				44,746


CONVERTIBLE BONDS — 0.8%
ADC Telecommunications
3.500%, 07/15/15		870		622
Advanced Micro Devices
6.000%, 05/01/15		605		531
Beazer Homes USA
4.625%, 06/15/24		509		465
Bill Barrett
5.000%, 03/15/28		600		572
Century Aluminum
1.750%, 08/01/24		190		175
Developers Diversified Realty
3.000%, 03/15/12‡		585		535
Hologic
2.000%, 12/15/37		765		620
Horizon Lines
4.250%, 08/15/12		570		450
L-1 Identity Solutions
3.750%, 05/15/27		630		574
Leap Wireless International
4.500%, 07/15/14		800		628
Level 3 Communications
5.250%, 12/15/11		385		349
Liberty Media LLC
4.000%, 11/15/29		375		191
3.750%, 02/15/30		565		283
Lions Gate Entertainment
2.938%, 10/15/24		1,555		1,423


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

Mirant CV to 131.9888
0.000%, 07/15/49 (B) (F)	$	750	$	—
Mirant CV to 14.7167
0.000%, 06/15/21 (B)		1,950		4
Morgans Hotel Group
2.375%, 10/15/14 (A)		1,210		791
NII Holdings CV to 8.4517
3.125%, 06/15/12		3,500		3,163

Total Convertible Bonds (Cost $10,544) ($ Thousands)				11,376


ASSET-BACKED SECURITIES — 0.5%

Other Asset-Backed Securities — 0.5%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
0.673%, 11/18/19 (A) (C)		1,484		1,217
Applebee’s Enterprises LLC
6.427%, 12/20/37 (A)		3,358		2,989
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,403		1,203
Sands Point Funding, Ser 2006-1A, Cl C
1.084%, 07/18/20 (A) (C)		2,580		1,419

Total Asset-Backed Securities (Cost $6,311) ($ Thousands)				6,828


REGISTERED INVESTMENT COMPANIES — 0.3%
BlackRock Insured Municipal Income Trust		14,500		1,232
BlackRock MuniVest Fund II		9,250		786
BlackRock MuniYield Fund		11,750		999
BlackRock MuniYield New Jersey Fund		14,500		1,233

Total Registered Investment Companies (Cost $4,150) ($ Thousands)				4,250


COMMON STOCK — 0.1%
Broder Bros. (I)*		53,969		33
Dana Holdings*		67,821		494
Delta Air Lines*		250		2
Federal Mogul, Cl A*		32,619		440
Spectrum Brands*		34,321		755
VSS AHC, Cl A* (I)		29,628		353
World Color Press*		25,483		243

Total Common Stock (Cost $5,474) ($ Thousands)				2,320


PREFERRED STOCK — 0.2%
Axis Capital Holdings (C)		13		967
Crown Castle International		18		1,067
Dana, Ser B		575		363
GMAC Preferred Blocker*		1		558

Total Preferred Stock (Cost $2,052) ($ Thousands)				2,955

A summary of outstanding swap agreements help by the Fund at November 30, 2009, is as follows:

Percentages are based on a Net Assets of $1,448,609 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

(B)

Security in default on interest payments.

(C)

Variable Rate Security — The rate reported is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(D)

Step Bonds — The rate reflected is the effective yield on November 30, 2009. The coupon on a step bond changes on a specified date.

(E)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $5 ($ Thousands).

(F)

Securities considered illiquid. The total value of such securities as of November 30, 2009 was $0 ($ Thousands) and represented 0.00% of Net Assets.

(G)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2009 was $4 ($Thousands).

(H)

Unsettled Loan Participation. Interest rate not available.

(I)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 31, 2009 was $386 ($ Thousands) and represents 0.03% of net assets.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

Ser — Series

Amounts designated as “—” are $O or have been rounded to $O.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,212,552	$	4,316	$	1,216,868
Collateralized Debt Obligation		—		5,256		39,490		44,746
Convertible Bonds		—		11,372		4		11,376
Asset-Backed Securities		—		5,612		1,216		6,828
Registered Investment Companies		—		4,250		—		4,250
Preferred Stock		—		2,955		—		2,955
Common Stock		1,592		353		375		2,320
Global Bond		—		1,517		—		1,517
Warrants		—		76		—		76
Affiliated Partnership		—		4		—		4
Loan Participations		—		128,437		8,969		137,406
Cash Equivalent		15,771		—		—		15,771

Total Investments in Securities	$	17,363	$	1,372,384	$	54,370	$	1,444,117


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps	$	—	$	(137	)	$	—	$	(137	)

Total Other Financial Instruments	$	—	$	(137	)	$	—	$	(137	)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 63.4%

Consumer Discretionary — 4.0%
Comcast
6.550%, 07/01/39	$	5,825	$	6,190
Comcast Cable Communications Holdings
9.455%, 11/15/22		3,750		4,892
COX Communications
8.375%, 03/01/39 (A)		5,975		7,313
Historic TW
6.625%, 05/15/29		8,585		8,964
McDonald’s MTN
6.300%, 03/01/38		3,415		3,912
News America
7.850%, 03/01/39		7,950		9,349
6.900%, 08/15/39 (A)		2,775		3,024
Target
7.000%, 01/15/38		3,560		4,290
Time Warner Cable
8.750%, 02/14/19		9,070		11,296
8.250%, 04/01/19		3,075		3,743
6.750%, 06/15/39		1,650		1,754
Time Warner Entertainment
8.375%, 07/15/33		5,700		6,839
Wal-Mart Stores
6.200%, 04/15/38		8,250		9,320
Yum! Brands
6.875%, 11/15/37		5,620		6,184

				87,070


Consumer Staples — 4.0%
Altria Group
10.200%, 02/06/39		10,950		14,397
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39 (A)		5,210		6,708
6.875%, 11/15/19 (A)		8,400		9,587
6.375%, 01/15/40 (A)		6,295		6,721


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CVS Caremark
6.125%, 09/15/39	$	7,255	$	7,200
Diageo Capital
5.875%, 09/30/36		4,508		4,984
Dr Pepper Snapple Group
6.820%, 05/01/18		2,000		2,316
General Mills
5.650%, 02/15/19		2,750		3,007
HJ Heinz Finance
7.125%, 08/01/39 (A)		4,390		5,077
Kraft Foods
6.875%, 02/01/38		11,385		12,305
Philip Morris International
6.375%, 05/16/38		3,500		3,963
Procter & Gamble
5.550%, 03/05/37		4,000		4,306
Ralcorp Holdings
6.625%, 08/15/39 (A)		5,000		5,162

				85,733


Energy — 6.5%
Canadian Natural Resources
6.750%, 02/01/39		3,600		4,072
Cenovus Energy
6.750%, 11/15/39 (A)		4,515		4,963
CenterPoint Energy Resources
6.625%, 11/01/37		7,665		8,255
6.000%, 05/15/18		3,500		3,738
ConocoPhillips
6.500%, 02/01/39		18,975		21,563
Devon Energy Financing
7.875%, 09/30/31		3,125		3,944
EnCana
6.500%, 02/01/38		3,625		3,969
EQT
8.125%, 06/01/19		9,365		10,937
Husky Energy
7.250%, 12/15/19		11,200		13,091
Marathon Oil
7.500%, 02/15/19		7,275		8,573
6.600%, 10/01/37		3,700		3,985
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,900		3,457
7.000%, 06/15/18		700		788
Petro-Canada
6.800%, 05/15/38		3,725		4,102
Suncor Energy
6.850%, 06/01/39		3,675		4,094
Talisman Energy
7.750%, 06/01/19		3,075		3,682
TransCanada Pipelines
7.250%, 08/15/38		3,100		3,780
Valero Energy
6.625%, 06/15/37		7,205		6,962


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Williams
8.750%, 01/15/20	$	14,810	$	17,309
7.875%, 09/01/21		2,150		2,399
XTO Energy
6.100%, 04/01/36		8,315		8,592

				142,255


Financials — 24.7%
Allstate
5.950%, 04/01/36		6,540		6,997
American Express
8.125%, 05/20/19		8,860		10,646
BAC Capital Trust VI
5.625%, 03/08/35		2,700		1,909
BAC Capital Trust XV
1.161%, 06/01/56 (B)		8,000		4,964
Bank of America
7.625%, 06/01/19		5,000		5,726
6.500%, 09/15/37		2,700		2,710
5.750%, 12/01/17		5,750		5,864
5.650%, 05/01/18		19,650		19,804
Bank of America, Ser A
8.070%, 12/31/26 (A)		5,095		4,764
Bear Stearns
7.250%, 02/01/18		8,768		10,140
6.400%, 10/02/17		9,175		10,116
Berkshire Hathaway Finance
5.400%, 05/15/18		4,346		4,658
BRE Properties
5.500%, 03/15/17‡		750		710
Capital One Capital VI
8.875%, 05/15/40		4,000		3,975
CDP Financial
5.600%, 11/25/39 (A)		9,760		10,093
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		1,204		1,232
Chase Capital II
0.781%, 02/01/27 (B)		4,984		3,547
Chubb
6.500%, 05/15/38		7,300		8,537
Citigroup
8.500%, 05/22/19		7,600		8,583
8.125%, 07/15/39		7,910		8,696
6.875%, 03/05/38		13,090		12,685
5.875%, 05/29/37		4,761		4,155
Citigroup Capital XXI
8.300%, 12/21/57 (B)		2,515		2,238
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,366
Credit Suisse
6.000%, 02/15/18		7,600		8,129
5.300%, 08/13/19		6,250		6,549
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,348


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Discover Bank
8.700%, 11/18/19	$	5,200	$	5,480
ERP Operating
5.750%, 06/15/17‡		6,250		6,405
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,350		14,922
First Union Institutional Capital I
8.040%, 12/01/26		1,250		1,213
FleetBoston Financial
6.875%, 01/15/28		3,250		3,233
General Electric Capital MTN
6.875%, 01/10/39		28,745		30,143
5.875%, 01/14/38		14,450		13,412
Goldman Sachs Group
7.500%, 02/15/19		8,290		9,790
6.750%, 10/01/37		16,150		16,622
6.150%, 04/01/18		1,400		1,511
0.458%, 02/06/12 (B)		5,000		4,945
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		10,135		10,298
HBOS
6.750%, 05/21/18 (A)		3,700		3,441
HCP MTN
6.700%, 01/30/18‡		1,500		1,518
6.300%, 09/15/16‡		2,255		2,270
Health Care
5.875%, 05/15/15‡		7,725		7,793
HSBC Holdings
6.500%, 09/15/37		8,275		8,807
Iberdrola Finance Ireland
5.000%, 09/11/19 (A)		3,700		3,809
JPMorgan Chase
6.300%, 04/23/19		9,555		10,647
6.000%, 01/15/18		4,000		4,336
Lincoln National
8.750%, 07/01/19		4,825		5,629
6.300%, 10/09/37		175		165
Lloyds Banking Group
5.920%, 09/29/49 (A) (B)		2,800		1,484
Macquarie Group
7.625%, 08/13/19 (A)		6,380		7,034
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)		16,445		20,150
MBNA Capital, Ser B
1.081%, 02/01/27 (B)		2,151		1,422
Merrill Lynch MTN
8.950%, 05/18/17 (B)		1,340		1,380
8.680%, 05/02/17 (B)		1,305		1,031
MetLife
7.717%, 02/15/19		8,100		9,713
Metropolitan Life Insurance
7.800%, 11/01/25 (A)		4,700		5,152


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Morgan Stanley
7.300%, 05/13/19	$	6,445	$	7,265
6.625%, 04/01/18		10,760		11,674
5.625%, 09/23/19		15,625		15,825
Nationwide Mutual Insurance
7.875%, 04/01/33 (A)		1,643		1,486
6.600%, 04/15/34 (A)		12,040		9,348
New York Life Insurance
6.750%, 11/15/39 (A)		16,800		16,974
Pacific Life Insurance
9.250%, 06/15/39 (A)		8,245		9,415
PNC Funding
6.700%, 06/10/19		3,235		3,664
Power Receivables Finance
6.290%, 01/01/12 (A)		810		822
Prudential Holdings LLC
8.695%, 12/18/23 (A)		7,700		8,606
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,500		5,979
Raymond James Financial
8.600%, 08/15/19		1,655		1,837
Security Benefit Life
7.450%, 10/01/33 (A)		4,000		880
Sempra Energy ESOP & Trust
5.781%, 11/01/14 (A)		2,000		2,000
Simon Property Group
10.350%, 04/01/19‡		1,995		2,575
6.125%, 05/30/18‡		1,965		2,074
5.750%, 05/01/12‡		1,670		1,782
Wachovia
6.605%, 10/01/25		3,100		3,066
0.621%, 10/28/15 (B)		10,950		9,952
Wachovia Bank
6.600%, 01/15/38		9,400		10,024
WEA Finance LLC
7.125%, 04/15/18 (A)		4,513		4,858
6.750%, 09/02/19 (A)		2,780		2,921
Weingarten Realty Investors MTN
8.250%, 01/22/10‡		4,075		4,083
Wells Fargo
7.980%, 03/15/18 (B)		465		431
Westpac Banking
4.875%, 11/19/19		5,035		5,112
ZFS Finance USA Trust I
6.150%, 12/15/65 (A) (B)		8,606		7,616

				538,165


Health Care — 6.1%
Abbott Laboratories
6.000%, 04/01/39		8,950		9,919
Aetna
6.750%, 12/15/37		3,400		3,554
Amgen
6.400%, 02/01/39		2,500		2,877


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

AstraZeneca
6.450%, 09/15/37	$	6,625	$	7,737
Bristol-Myers Squibb
6.125%, 05/01/38		6,775		7,558
CIGNA
8.500%, 05/01/19		5,825		6,671
Eli Lilly
5.950%, 11/15/37		3,000		3,320
Johnson & Johnson
5.850%, 07/15/38		7,150		8,069
Merck
5.850%, 06/30/39		7,370		8,113
Novartis Securities Investment
5.125%, 02/10/19		4,000		4,326
Pfizer
7.200%, 03/15/39		20,050		25,504
Roche Holdings
7.000%, 03/01/39 (A)		13,150		16,546
UnitedHealth Group
6.875%, 02/15/38		3,260		3,487
6.625%, 11/15/37		8,855		9,195
6.500%, 06/15/37		4,100		4,179
5.800%, 03/15/36		5,000		4,668
WellPoint
7.000%, 02/15/19		6,506		7,482

				133,205


Industrials — 3.3%
American Airlines Pass-Through Trust, Ser 2003-01
3.857%, 07/09/10		4,950		4,791
American Airlines Pass-Through Trust, Ser 2009-1A
10.375%, 07/02/19		580		641
Boeing
6.875%, 03/15/39		5,400		6,456
Burlington Northern Santa Fe
5.650%, 05/01/17		2,830		3,100
Canadian National Railway
5.550%, 03/01/19		3,900		4,325
Continental Airlines
9.000%, 07/08/16		6,525		6,917
5.983%, 04/19/22		7,175		6,816
Delta Air Lines
7.750%, 12/17/19		5,200		5,258
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11		6,700		6,633
Lockheed Martin
5.500%, 11/15/39		5,850		5,893
Meccanica Holdings USA
7.375%, 07/15/39 (A)		3,570		4,114
6.250%, 01/15/40 (A)		2,040		2,059


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Norfolk Southern
5.900%, 06/15/19	$	4,395	$	4,922
5.750%, 01/15/16		1,500		1,648
Union Pacific
6.625%, 02/01/29		1,941		2,181
6.125%, 02/15/20		2,000		2,259
Waste Management
6.125%, 11/30/39		4,240		4,373

				72,386


Information Technology — 1.4%
Cisco Systems
5.900%, 02/15/39		2,450		2,566
5.500%, 01/15/40		12,920		12,845
Microsoft
5.200%, 06/01/39		2,505		2,574
Oracle
6.125%, 07/08/39		11,710		12,809

				30,794


Materials — 0.9%
Barrick Gold Finance
5.800%, 11/15/34		2,160		2,119
Barrick North America Finance LLC
7.500%, 09/15/38		6,435		7,711
Dow Chemical
9.400%, 05/15/39		3,680		4,719
8.550%, 05/15/19		3,580		4,231

				18,780


Telecommunication Services — 3.3%
AT&T
6.550%, 02/15/39		5,000		5,398
6.300%, 01/15/38		15,000		15,586
British Telecommunications
9.625%, 12/15/30		3,170		4,058
Telecom Italia Capital
7.721%, 06/04/38		5,500		6,390
7.175%, 06/18/19		5,375		6,091
Telefonica Emisiones
7.045%, 06/20/36		3,330		3,903
5.877%, 07/15/19		2,850		3,130
Verizon Communications
8.950%, 03/01/39		2,650		3,630
7.350%, 04/01/39		12,135		14,439
6.400%, 02/15/38		4,750		5,112
6.350%, 04/01/19		828		930
Vodafone Group
6.150%, 02/27/37		3,675		3,918

				72,585


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Utilities — 9.2%
Alabama Power
6.000%, 03/01/39	$	1,850	$	2,041
Appalachian Power
7.950%, 01/15/20		4,160		5,124
Arizona Public Service
8.750%, 03/01/19		5,025		6,053
Consolidated Edison of New York
6.750%, 04/01/38		5,500		6,571
6.650%, 04/01/19		2,310		2,704
6.200%, 06/15/36		2,225		2,474
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		5,537
EDF
6.950%, 01/26/39 (A)		7,190		8,731
Enel Finance International
6.000%, 10/07/39 (A)		8,035		8,238
Entergy Gulf States
0.761%, 12/01/09 (B)		1,085		1,085
Entergy Texas
7.125%, 02/01/19		11,750		13,422
Exelon Generation LLC
6.250%, 10/01/39		4,480		4,679
Florida Gas Transmission LLC
7.900%, 05/15/19 (A)		6,000		7,247
Florida Power & Light
5.960%, 04/01/39		3,225		3,555
FPL Group Capital
6.000%, 03/01/19		4,000		4,459
Georgia Power
5.950%, 02/01/39		3,850		4,219
Kansas City Power & Light
7.150%, 04/01/19		8,250		9,830
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		5,426
Metropolitan Edison
7.700%, 01/15/19		2,500		2,979
Midamerican Energy Holdings
6.500%, 09/15/37		15,600		17,565
Nisource Finance
10.750%, 03/15/16		5,575		6,744
Northern States Power
5.350%, 11/01/39		4,625		4,694
Oncor Electric Delivery
7.500%, 09/01/38		3,200		3,930
6.800%, 09/01/18		6,680		7,609
Pacific Gas & Electric
6.250%, 03/01/39		4,500		5,023
Power Contract Financing
6.256%, 02/01/10 (A)		365		367
Progress Energy
7.050%, 03/15/19		4,500		5,232
Southern California Edison
6.050%, 03/15/39		7,050		7,865


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Southern Union
8.250%, 11/15/29	$	6,375	$	7,262
Southwestern Electric Power
6.450%, 01/15/19		6,000		6,607
Texas-New Mexico Power
9.500%, 04/01/19 (A)		8,560		10,605
Union Electric
8.450%, 03/15/39		3,000		4,060
Virginia Electric and Power
8.875%, 11/15/38		5,500		7,859

				199,796

Total Corporate Obligations (Cost $1,245,924) ($ Thousands)				1,380,769


U.S. TREASURY OBLIGATIONS — 23.0%
U.S. Treasury Bills
0.130%, 12/03/09 (C)		3,145		3,145
0.046%, 02/18/10 (C)		9,715		9,715
U.S. Treasury Bonds
6.250%, 08/15/23		104,485		132,370
7.625%, 02/15/25		20,420		29,312
4.250%, 05/15/39		144,639		145,746
4.500%, 08/15/39		47,300		49,695
U.S. Treasury Notes
2.375%, 08/31/14		520		531
U.S. Treasury STRIPS (C)
4.202%, 11/15/21		200,965		126,491
1.428%, 11/15/22		2,635		1,573
4.218%, 02/15/23		5,135		3,023

Total U.S. Treasury Obligations (Cost $482,799) ($ Thousands)				501,601


U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.6%
FHLB
0.020%, 12/01/09 (C) (D)		6,510		6,510
0.060%, 02/19/10 (C)		43,825		43,820
FICO STRIPS, PO
0.000%, 08/03/18 to 12/06/18 (C)		25,100		17,774
4.812%, 09/26/19 (C)		12,145		8,036
FNMA
0.130%, 12/16/09 (C)		7,430		7,430
FNMA STRIPS, PO
0.000%, 07/15/26 to 01/15/27 (C)		25,418		11,022
Resolution Funding STRIPS
3.851%, 10/15/17 (C)		6,675		5,029

Total U.S. Government Agency Obligations (Cost $97,899) ($ Thousands)				99,621


MUNICIPAL BONDS — 1.3%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		5,000		5,011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Los Angeles, Department of Water & Power, RB
6.008%, 07/01/39	$	5,000	$	5,042
State of California, Build America Project, GO
7.550%, 04/01/39		8,000		8,211
7.300%, 10/01/39		1,500		1,495
State of Illinois, GO
5.100%, 06/01/33		8,925		8,059

Total Municipal Bonds (Cost $26,828) ($ Thousands)				27,818


MORTGAGE-BACKED SECURITIES — 1.0%

Agency Mortgage-Backed Obligations — 0.1%
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24		517		552
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		677		752
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34		399		379
GNMA ARM
4.375%, 06/20/32 (B)		199		205

				1,888


Non-Agency Mortgage-Backed Obligations — 0.9%
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1
0.466%, 03/25/47 (B)		1,851		797
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.476%, 07/25/37 (A) (B)		2,249		1,347
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B
6.220%, 12/10/49 (B)		1,775		1,514
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.516%, 06/25/35 (B)		465		129
Countrywide Home Loans, Ser 2006-2, Cl 1A1
0.556%, 03/25/35 (B)		224		98
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		6,560		5,403
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.447%, 03/19/45 (B)		336		176
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AM
5.277%, 04/10/37 (B)		1,960		1,693
GS Mortgage Securities II, Ser 2006-GG8, Cl A4
5.560%, 11/10/39		9,115		7,864


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.637%, 11/19/34 (B)	$	414	$	258
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.547%, 08/19/45 (B)		586		297
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.626%, 12/25/34 (B)		206		124
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
0.636%, 08/25/34 (B)		128		72
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
0.666%, 09/25/34 (B)		51		32
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.546%, 10/25/36 (B)		25		13
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
6.065%, 04/15/45 (B)		535		509
Washington Mutual Mortgage Pass Through Certificates, Ser 2000-1, Cl M2
1.536%, 01/25/40 (B)		155		150
Washington Mutual Mortgage Pass Through Certificates, Ser 2005-AR2, Cl 2A21
0.566%, 01/25/45 (B)		326		182
Washington Mutual Mortgage Pass Through Certificates, Ser 2007-OA3, Cl 4A1
1.402%, 04/25/47 (B)		256		115

				20,773

Total Mortgage-Backed Securities (Cost $23,777) ($ Thousands)				22,661


ASSET-BACKED SECURITIES — 0.8%

Mortgage Related Securities — 0.8%
Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1
1.234%, 05/28/39 (A) (B)		4,821		2,351
Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1
1.234%, 02/28/40 (A) (B)		5,701		3,876
Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1
0.734%, 12/28/40 (A) (B)		5,600		2,580
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.396%, 09/25/36 (B)		10,231		4,684


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

Home Equity Asset Trust, Ser 2007-3, Cl 2A2
0.416%, 08/25/37 (B)	$	2,300	$	1,090
Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1
1.361%, 05/25/33 (B)		502		236
JPMorgan Mortgage Acquisition, Ser 2007-HE1, Cl AV1
0.296%, 03/25/47 (B)		516		371
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3
0.406%, 09/25/36 (B)		2,565		1,508

Total Asset-Backed Securities (Cost $23,993) ($ Thousands)				16,696


COMMERCIAL PAPER (C) — 1.6%
BNP Paribas Finance
0.140%, 12/23/09		18,335		18,333
Rabobank USA Financial
0.230%, 12/03/09		16,230		16,230

Total Commercial Paper (Cost $34,563) ($ Thousands)				34,563


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%*†		73,764,047		73,764

Total Cash Equivalent (Cost $73,764) ($ Thousands)				73,764

Total Investments — 99.1% (Cost $2,009,547) ($ Thousands)			$	2,157,493

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note	(14	)	Mar-2010	$	(25	)
U.S. Long Treasury Bond	2,873		Mar-2010		5,910

				$	5,885

A summary of outstanding swap agreements held by the Fund at November 30, 2009, is as follows:

Percentages are based on a Net Assets of $2,177,673 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 4).

‡

Real Estate Investment Trust

(A)

(B)

Variable Rate Security — The rate reported is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(C)

The rate reported is the effective yield at time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financial Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NY — New York

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

Amounts designated as ”—” are either $0 or have been rounded to $0.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,373,852	$	6,917	$	1,380,769
U.S. Treasury Obligations		—		501,601		—		501,601
U.S. Government Agency Obligations		—		99,621		—		99,621
Municipal Bonds		—		27,818		—		27,818
Mortgage-Backed Securities		—		22,661		—		22,661
Asset-Backed Securities		—		16,696		—		16,696
Commercial Paper		—		34,563		—		34,563
Cash Equivalent		73,764		—		—		73,764

Total Investments in Securities	$	73,764	$	2,076,812	$	6,917	$	2,157,493


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts *	$	5,885	$	—		$	—	$	5,885
Credit Default Swaps		—		(640	)		—		(640	)

Total Other Financial Instruments	$	5,885	$	(640	)	$	—	$	5,245

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Investments in Corporate Obligations
Beginning balance as of June 1, 2009	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		6,917

Ending balance as of November 30, 2009	$	6,917

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

LOGO


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)


GLOBAL BONDS — 93.8%

Argentina — 5.3%
Alto Parana
6.375%, 06/09/17 (A)		370	$	384
Province Del Neuquen
8.656%, 10/18/14 (A)		170		173
Province of Buenos Aires
9.625%, 04/18/28		1,335		868
9.625%, 04/18/28 (A)		1,460		949
9.375%, 09/14/18		1,440		989
3.000%, 05/15/35 (B)		1,100		377
Province of Mendoza
5.500%, 09/04/18		321		228
Republic of Argentina
15.500%, 12/19/49 (C)		9,900		4,227
10.500%, 11/14/02 (C)		400		116
10.250%, 02/06/03 (C)		1,400		435
10.250%, 01/26/07 (C)	EUR	850		518
9.000%, 11/19/08 (C)		1,000		289
9.000%, 05/26/09 (C)	EUR	1,595		873
8.500%, 07/01/04 (C)	EUR	4,500		2,618
8.500%, 02/23/05 (C)		245		75
8.375%, 12/20/03		1,000		430
8.280%, 12/31/33		7,669		5,292
8.125%, 04/21/08 (C)	EUR	2,818		1,544
7.875%, 07/29/05 (C)		275		81
7.000%, 09/12/13		790		654
7.000%, 03/18/04 (C)		555		167
7.000%, 10/03/15		16,425		12,521
6.000%, 03/31/23 (C)		172		109
3.169%, 12/15/35 (C)		2,905		240
2.500%, 03/31/19 (D)		11,320		3,821
2.280%, 12/15/35 (C)		11,725		967
0.000%, 03/31/23 (C)		1,680		924
0.000%, 08/03/12 (C)		22,565		6,781
Republic of Argentina, Ser E MTN
10.000%, 01/07/05 (C)	EUR	1,650		1,009
9.250%, 07/20/04 (C)	EUR	2,100		1,222
7.000%, 03/18/04 (C)	EUR	2,554		1,396
Transportadora Gas Norte
7.500%, 12/31/12 (A) (C)		210		88
7.500%, 12/31/12 (C)		450		189
6.500%, 12/31/12 (A) (C)		30		13
6.500%, 12/31/12 (C)		120		50

				50,617


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)


Barbados — 0.2%
Columbus International
11.500%, 11/20/14 (A)		1,900	$	1,945


Belize — 0.0%
Government of Belize
4.250%, 02/20/29 (B)		330		181


Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
10.039%, 12/11/17 (E)	EUR	2,000		1,075


Brazil — 9.2%
Banco Bradesco
6.750%, 09/29/19 (A)		181		187
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/19 (A)		3,055		3,269
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/17	BRL	38,775		19,982
Federal Republic of Brazil
12.250%, 03/06/30		195		344
11.000%, 08/17/40 (F)		13,805		18,795
10.125%, 05/15/27		4,060		6,049
8.875%, 04/15/24		3,860		5,095
8.750%, 02/04/25		4,838		6,350
8.250%, 01/20/34		6,595		8,630
8.000%, 01/15/18		1,983		2,315
7.875%, 03/07/15		900		1,069
7.125%, 01/20/37		5,225		6,184
6.000%, 01/17/17		4,340		4,757
5.875%, 01/15/19		1,550		1,699
Fibria Overseas Finance
9.250%, 10/30/19 (A)		1,040		1,139
Petrobras International Finance
7.875%, 03/15/19		740		864
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600		591

				87,319


Chile — 0.2%
Empresa Nacional del Petroleo
6.250%, 07/08/19 (A)		1,300		1,386
Nacional del Cobre de Chile - CODELCO
7.500%, 01/15/19		450		548

				1,934


Colombia — 4.5%
Bogota District Capital
9.750%, 07/26/28 (A)	COP	12,895,000		6,787


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

Ecopetrol
7.625%, 07/23/19 (A)		750	$	847
Republic of Colombia
11.750%, 02/25/20		2,758		4,027
10.375%, 01/28/33		450		675
9.850%, 06/28/27	COP	1,573,000		938
8.375%, 02/15/27		3,100		3,503
8.125%, 05/21/24		3,180		3,856
7.375%, 09/18/37		8,395		9,591
7.375%, 01/27/17		5,185		6,035
7.375%, 03/18/19		4,540		5,294
6.125%, 01/18/41		1,175		1,145

				42,698


Croatia — 0.3%
Republic of Croatia
6.750%, 11/05/19 (A)		1,035		1,116
Zagrebacki Holding D.O.O.
5.500%, 07/10/17		1,500		1,791

				2,907


Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)		600		833


Dominican Republic — 0.0%
Republic of Dominican Republic
9.040%, 01/23/18		27		30


Ecuador — 0.2%
Republic of Ecuador
9.375%, 12/15/15		1,550		1,465


El Salvador — 1.0%
Republic of El Salvador
8.250%, 04/10/32		3,710		3,858
7.650%, 06/15/35		5,139		5,113
7.375%, 12/01/19 (A)		500		514

				9,485


Gabon — 0.2%
Gabonese Republic
8.200%, 12/12/17 (A)		2,100		2,137


Georgia — 0.6%
BG Finance for JSC Bank of Georgia
9.000%, 02/08/12		2,500		2,406
Republic of Georgia
7.500%, 04/15/13		3,350		3,384

				5,790


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)


Ghana — 0.2%
Republic of Ghana
8.500%, 10/04/17 (A)		600	$	594
8.500%, 10/04/17		1,250		1,255

				1,849


India — 0.2%
Vedanta Resources
9.500%, 07/18/18 (A)		2,295		2,278


Indonesia — 7.7%
Adaro Indonesia
7.625%, 10/22/19		1,455		1,422
Majapahit Holding
8.000%, 08/07/19 (A)		1,415		1,450
7.875%, 06/29/37 (A)		415		392
7.750%, 10/17/16		200		210
7.750%, 10/17/16 (A)		1,200		1,239
7.750%, 01/20/20 (A)		1,845		1,861
7.250%, 10/17/11 (A)		885		916
Republic of Indonesia
12.800%, 06/17/21 (C)	IDR	46,100,000		5,676
11.625%, 03/04/19 (A)		7,710		10,852
11.625%, 03/04/19		900		1,263
11.000%, 11/15/20	IDR	17,100,000		1,895
10.375%, 05/04/14 (A)		300		363
10.375%, 05/04/14		400		483
8.500%, 10/12/35		4,812		5,654
7.750%, 01/17/38		20,945		22,568
7.500%, 01/15/16		2,940		3,277
7.250%, 04/20/15		3,340		3,659
6.875%, 01/17/18		4,130		4,399
6.750%, 03/10/14 (A)		500		538
6.750%, 03/10/14		1,900		2,044
6.625%, 02/17/37 (A)		225		217
6.625%, 02/17/37		2,600		2,510

				72,888


Iraq — 1.0%
Republic of Iraq
5.800%, 01/15/28		13,165		9,742


Ivory Coast — 0.1%
Republic of Ivory Coast
4.000%, 03/30/18 (C)		7,000		593


Jamaica — 0.0%
Digicel Group
8.875%, 01/15/15 (A)		450		436


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)


Kazakhstan — 3.3%
CenterCredit International
8.625%, 01/30/14	2,250	$	2,027
Citigroup Global Markets for JSC Kazkommertsbank
7.375%, 04/07/14 (C)	2,000		1,520
Halyk Savings Bank of Kazakhstan
9.250%, 10/16/13	875		860
7.750%, 05/13/13	100		95
HSBK Europe
9.250%, 10/16/13 (A)	800		788
7.250%, 05/03/17	650		566
Kazkommerts International
8.500%, 04/16/13	850		748
8.000%, 11/03/15	2,400		1,944
7.875%, 04/07/14	500		426
7.500%, 11/29/16	3,050		2,409
6.875%, 02/13/17	600		676
KazMunaiGaz Finance MTN
11.750%, 01/23/15 (A)	3,210		3,812
9.125%, 07/02/18	4,400		4,818
9.125%, 07/02/18 (A)	4,425		4,845
8.375%, 07/02/13	5,085		5,365
Tengizchevroil Finance
6.124%, 11/15/14	457		454

			31,353


Lebanon — 0.1%
Lebanese Republic MTN
8.250%, 04/12/21	460		500


Lithuania — 0.2%
Republic of Lithuania
6.750%, 01/15/15 (A)	1,405		1,411


Malaysia — 2.9%
Malaysia Government
4.378%, 11/29/19	12,720		3,782
Petroliam Nasional
7.750%, 08/15/15	1,460		1,740
7.625%, 10/15/26	430		529
Petronas Capital
7.875%, 05/22/22	4,930		6,139
7.875%, 05/22/22 (A)	650		815
7.000%, 05/22/12	3,055		3,374
5.250%, 08/12/19 (A)	10,865		11,137

			27,516


Mexico — 8.4%
C10 - EUR Capital
6.277%, 05/09/49 (C)	1,800		1,784
Grupo Senda
10.500%, 10/03/15	4,590		3,741


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

Mexican Bonos
8.500%, 05/31/29	44,160	$	3,458
7.500%, 06/03/27	50,230		3,606
NII Capital
10.000%, 08/15/16	4,900		5,004
Oceanografia
11.250%, 07/15/15	1,286		693
Pemex Project Funding Master Trust
6.625%, 06/15/35	400		402
5.750%, 03/01/18	1,670		1,699
Petroleos Mexicanos
8.000%, 05/03/19 (A)	465		546
United Mexican States
11.375%, 09/15/16 (F)	540		756
8.300%, 08/15/31	13,160		16,976
8.125%, 12/30/19 (F)	1,595		1,994
7.500%, 04/08/33	1,430		1,716
6.625%, 03/03/15	3,650		4,106
6.050%, 01/11/40	8,942		9,143
5.950%, 03/19/19 (F)	8,832		9,574
5.875%, 02/17/14	1,000		1,088
5.625%, 01/15/17	4,950		5,287
United Mexican States, Ser A MTN
6.750%, 09/27/34	7,793		8,650

			80,223


Nigeria — 0.2%
GTB Finance
8.500%, 01/29/12	1,000		977
UBS
0.000%, 09/04/17 (A) (C)	800		746

			1,723


Oman — 0.1%
Blue City Investments
13.750%, 11/07/13	2,750		550
4.074%, 11/07/13 (C)	500		125

			675


Pakistan — 0.6%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)	330		281
Republic of Pakistan
7.125%, 03/31/16	3,650		3,396
6.875%, 06/01/17	2,850		2,394

			6,071


Panama — 2.3%
Republic of Panama
9.375%, 01/16/23	595		789
9.375%, 04/01/29	7,690		10,843
8.875%, 09/30/27	3,000		3,945
8.125%, 04/28/34	940		1,194


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

7.250%, 03/15/15	2,940	$	3,363
6.700%, 01/26/36	1,750		1,916

			22,050


Peru — 3.0%
Interoceanica IV Finance
3.959%, 11/30/25 (A) (E)	762		360
3.952%, 11/30/18 (A) (E)	370		276
3.280%, 11/30/18	700		522
Peru Enhanced Pass-Through Finance
7.062%, 06/02/25 (A) (E)	500		215
4.359%, 05/31/18 (A) (E)	1,367		1,070
4.090%, 05/31/18 (E)	856		669
Republic of Peru
8.750%, 11/21/33	1,680		2,268
8.375%, 05/03/16	2,425		2,971
7.350%, 07/21/25	13,120		15,514
6.550%, 03/14/37 (F)	4,585		4,917

			28,782


Philippines — 5.4%
National Power
9.625%, 05/15/28	1,100		1,326
Power Sector
7.390%, 12/02/24	1,465		1,466
7.250%, 05/27/19	760		796
Republic of Philippines
10.625%, 03/16/25	4,661		6,537
9.500%, 10/21/24	200		258
9.500%, 02/02/30	3,530		4,677
9.375%, 01/18/17	10,040		12,450
8.875%, 03/17/15	500		597
8.375%, 06/17/19	650		785
8.250%, 01/15/14	2,575		2,948
8.000%, 01/15/16	5,300		6,135
7.750%, 01/14/31	3,624		4,068
7.500%, 09/25/24	8,164		9,082
6.375%, 10/23/34	610		592

			51,717


Poland — 1.8%
Republic of Poland
6.375%, 07/15/19	14,405		16,023
TVN Finance
10.750%, 11/15/17 (A)	1,000		1,503

			17,526


Qatar — 1.3%
Qtel International Finance
7.875%, 06/10/19	3,050		3,417
6.500%, 06/10/14 (A)	750		811
State of Qatar
9.750%, 06/15/30	535		773


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

6.400%, 01/20/40 (A)	705	$	719
5.250%, 01/20/20 (A)	6,740		6,791

			12,511


Russia — 10.6%
ABN Amro Bank
9.625%, 03/01/13	700		774
Alfa Dividend Payment Rights Finance MTN
2.199%, 12/15/11 (A) (C)	212		182
Alfa Invest MTN
9.250%, 06/24/13 (A)	1,200		1,206
Gaz Capital MTN
8.625%, 04/28/34	1,200		1,323
6.510%, 03/07/22	220		201
6.212%, 11/22/16	600		576
Kuznetski (Bank of Moscow)
7.500%, 11/25/15 (C)	1,300		1,258
RSHB Capital for Russian Agricultural Bank MTN
9.000%, 06/11/14 (A)	1,300		1,455
7.750%, 05/29/18	1,250		1,353
6.299%, 05/15/17	400		395
Russian Federation
12.750%, 06/24/28	5,670		9,696
7.500%, 03/31/30 (B)	57,956		65,351
Teorema Holding
11.000%, 10/27/09 (G)	2,000		100
TransCapital (Transneft)
8.700%, 08/07/18 (A)	1,065		1,205
7.700%, 08/07/13 (A)	150		160
UBS (Vimpelcom)
8.250%, 05/23/16	190		192
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)	1,160		1,218
9.125%, 04/30/18	1,200		1,266
8.375%, 04/30/13 (A)	1,265		1,312
VTB Capital
6.875%, 05/29/18	7,800		7,790
6.609%, 10/31/12 (A)	3,500		3,570

			100,583


Singapore — 0.6%
Sea Production
4.700%, 02/14/12	8,800		6,160


South Africa — 1.5%
Edcon Proprietary
4.527%, 06/15/14 (C)	2,350		2,205
PE Paper Escrow
12.000%, 08/01/14	900		985
Republic of South Africa
8.500%, 06/23/17	815		994


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)

6.875%, 05/27/19	2,995	$	3,336
6.500%, 06/02/14	3,755		4,112
5.875%, 05/30/22	2,845		2,881

			14,513


South Korea — 0.7%
Export-Import Bank of Korea
8.125%, 01/21/14	2,105		2,459
5.875%, 01/14/15	1,125		1,221
Korea Development Bank
8.000%, 01/23/14	1,200		1,396
Korea Hydro & Nuclear Power
6.250%, 06/17/14	1,100		1,199

			6,275


Sri Lanka — 0.1%
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)	500		512


Supra-National — 0.1%
Andina de Fomento
8.125%, 06/04/19	565		667
Central American Bank for Economic Integration
5.375%, 09/24/14 (A)	350		360
Eurasian Development Bank MTN
7.375%, 09/29/14 (A)	350		363

			1,390


Thailand — 0.2%
True Move
10.750%, 12/16/13 (A)	850		812
10.375%, 08/01/14 (A)	850		773

			1,585


Trinidad & Tobago — 0.5%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)	653		736
6.000%, 05/08/22	3,225		3,008
6.000%, 05/08/22 (A)	900		839

			4,583


Tunisia — 0.2%
Banque Centrale de Tunisie
7.375%, 04/25/12	1,810		1,982


Turkey — 5.6%
GLOBUS CAPITAL FINANCE
8.500%, 03/05/12	700		588
Republic of Turkey
11.875%, 01/15/30	625		1,006
9.500%, 01/15/14	700		834


Description		Face Amount (Thousands) (1)	Market Value ($ Thousands)

8.000%, 02/14/34		2,250	$	2,599
7.500%, 11/07/19		2,585		2,940
7.500%, 07/14/17		4,870		5,540
7.375%, 02/05/25		7,025		7,855
7.250%, 03/15/15		4,375		4,894
7.250%, 03/05/38 (F)		5,345		5,666
7.000%, 06/05/20		250		272
7.000%, 03/11/19		2,050		2,255
7.000%, 09/26/16		3,185		3,535
6.875%, 03/17/36 (F)		7,805		7,942
6.750%, 04/03/18		6,530		7,085

				53,011


Ukraine — 2.6%
Credit Suisse First Boston for City of Kiev
8.000%, 11/06/15		750		471
Credit Suisse First Boston International (Export/Import - Ukraine)
7.650%, 09/07/11		500		420
6.800%, 10/04/12		550		429
Credit Suisse First Boston International (Ukrsotsbank)
8.000%, 02/22/10		2,200		2,167
Government of Ukraine
7.650%, 06/11/13		3,340		2,748
6.875%, 03/04/11		500		443
6.875%, 03/04/11 (A)		960		847
6.750%, 11/14/17		800		586
6.580%, 11/21/16		4,460		3,279
6.385%, 06/26/12		680		559
3.200%, 12/19/10		660,000		6,397
MHP
10.250%, 11/30/11		1,850		1,703
NAK Naftogaz Ukraine
9.500%, 09/30/14		3,600		2,791
Springvale Holdings
9.181%, 09/07/09 (C) (H)		1,000		150
UK Private Bank
8.000%, 02/06/12		3,000		2,250

				25,240


United Arab Emirates — 1.9%
Dolphin Energy
5.888%, 06/15/19 (A)		450		441
5.888%, 06/15/19		1,400		1,372
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14		1,850		1,639
Emirate of Abu Dhabi
6.750%, 04/08/19 (A)		1,420		1,563
Jafz Sukuk
4.169%, 11/27/12 (C)	AED	33,500		5,471


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)
MDC-GMTN
7.625%, 05/06/19	800	$	885
Nakheel Development
3.173%, 12/14/09 (C)	11,150		6,355
Nakheel Development 2
2.750%, 01/16/11	1,350		783

			18,509


Uruguay — 3.1%
Republic of Uruguay
9.250%, 05/17/17	5,820		7,275
8.000%, 11/18/22	12,147		14,151
7.625%, 03/21/36	2,086		2,305
6.875%, 09/28/25	761		820
Republic of Uruguay PIK
7.875%, 01/15/33	4,220		4,768

			29,319


Venezuela — 5.1%
Government of Venezuela
13.625%, 08/15/18	305		282
10.750%, 09/19/13	300		276
9.375%, 01/13/34	2,370		1,606
9.250%, 09/15/27	2,425		1,786
9.250%, 05/07/28	5,850		3,963
9.000%, 05/07/23	5,245		3,514
8.500%, 10/08/14	5,275		4,154
7.650%, 04/21/25	4,150		2,324
7.000%, 03/31/38	200		107
6.000%, 12/09/20	2,400		1,248
5.750%, 02/26/16	4,850		3,007
1.283%, 04/20/11 (C)	25,825		22,468
Petroleos de Venezuela
5.375%, 04/12/27	3,105		1,304
5.250%, 04/12/17	4,265		2,218

			48,257


Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16	2,035		2,082


Yemen — 0.1%
Pemberley SPV Finance 2008 Yemen MTN
11.500%, 02/19/14 (H)	1,100		638
0.000%, 02/25/20 (C) (G)	1,100		—

			638

Total Global Bonds (Cost $815,644) ($ Thousands)			892,899


LOAN PARTICIPATIONS (G) (H) — 2.0%

Angola — 0.2%
Republic of Angola
3.472%, 04/30/16	1,300		1,574


Description	Face Amount (Thousands) (1)/ Shares		Market Value ($ Thousands)


Cambodia — 0.3%
CAMGSM PIK
12.756%, 05/25/11		2,550	$	2,550


Georgia — 0.0%
Ashmore Cayman
0.000%, 04/16/14 (E)		221		119


Indonesia — 0.4%
Star Energy
19.000%, 01/13/10		4,200		4,200


Nigeria — 0.3%
Oando
13.900%, 02/23/10	NGN	229,710		1,482
13.900%, 03/02/10	NGN	229,710		1,482

				2,964


Russia — 0.2%
Snegri Overseas
10.500%, 04/21/10		2,560		2,022


Singapore — 0.3%
Morton Bay Senior
6.243%, 12/30/09		3,054		3,054


Turkey — 0.3%
Cukurova, Ser B
8.493%, 05/01/12		3,361		2,772

Total Loan Participations (Cost $21,601) ($ Thousands)				19,255


AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P.
0.320%**† (I)		15,626,807		15,340

Total Affiliated Partnership (Cost $15,627) ($ Thousands)				15,340


DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (J) — 0.3%

United States — 0.3%
Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding		800		800
Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding	NGN	285,300		1,924

Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $3,217) ($ Thousands)				2,724


Description	Face Amount (Thousands) (1)	Market Value ($ Thousands)


CONVERTIBLE BONDS — 0.5%

India — 0.5%
FirstSource Solutions
6.030%, 12/04/12 (E)	2,300	$	2,097
Reliance Communications
0.000%, 03/01/12 (E)	200		200
Suzlon Energy
2.438%, 07/25/14	500		455
1.271%, 06/12/12	2,484		2,373

Total Convertible Bonds (Cost $4,973) ($ Thousands)			5,125


WARRANTS — 0.0%

Russia — 0.0%
Teorema Holding A, Expires 10/27/11* (H)	136		—
Teorema Holding B, Expires 10/27/11* (H)	272		—

Total Warrants (Cost $47) ($ Thousands)			—

Total Investments — 98.2% (Cost $861,109) ($ Thousands)		$	935,343

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long	Expiration Date	Unrealized Appreciation ($ Thousands)
U.S. Long Treasury Bond	10	Mar-2010	$	22

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2009, is as follows:


Maturity Date	Currency Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
12/2/09	BRL	17,340	USD	9,843	$	(84	)
12/2/09	USD	9,895	BRL	17,340		32
12/8/09-12/18/09	USD	6,806	KRW	8,013,170		92
12/10/09-12/14/09	USD	4,390	RUB	126,654		(65	)
12/18/09	JPY	563,141	USD	6,288		(250	)
12/18/09	USD	4,400	INR	202,708		(46	)
12/18/09-12/21/09	EUR	16,862	USD	25,156		(156	)
12/21/09	USD	1,075	EUR	715		(2	)
1/11/10	TRY	5,093	USD	3,398		91
1/11/10	USD	3,414	TRY	5,093		(108	)
1/19/10	USD	2,217	PLN	6,097		(21	)
1/29/10	USD	2,203	HUF	395,664		(53	)

					$	(570	)

A summary of outstanding swap agreements help by the Fund at November 30, 2009, is as follows:

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 98.2%
U.S. Treasury Inflation-Protected Securities
3.500%, 01/15/11	$	5,875	$	7,617
3.375%, 01/15/12		11,683		15,299
2.000%, 04/15/12		24,796		27,776
3.000%, 07/15/12		27,088		35,269
0.625%, 04/15/13		19,995		20,900
1.875%, 07/15/13		36,745		45,942
2.000%, 01/15/14		41,649		52,077
1.250%, 04/15/14		21,225		22,665
2.000%, 07/15/14		29,611		36,495

Total U.S. Treasury Obligations (Cost $250,946) ($ Thousands)				264,040

Total Investments — 98.2% (Cost $250,946) ($ Thousands)			$	264,040

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contract Long (Short)		Expiration Date	Unrealized Depreciation ($ Thousands)
U.S. 5-Year Treasury Note	(161	)	Apr-2010	$	(68	)

Percentages

are based on a Net Assets of $268,902 ($ Thousands)

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	264,040	$	—	$	264,040

Total Investments in Securities	$	—	$	264,040	$	—	$	264,040


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(68	)	$	—	$	—	$	(68	)

Total Other Financial Instruments	$	(68	)	$	—	$	—	$	(68	)

Futures contracts are valued at the unrealized appreciation on the instrument.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

For the period ended November 30, 2009 (Unaudited) and the year ended May 31, 2009

For the period ended November 30, 2009 (Unaudited) and the Year ended May 31, 2009

For the period ended November 30, 2009 (Unaudited) and the year ended May 31, 2009

For the period ended November 30, 2009 (Unaudited) and the years or periods ended May 31,

1. ORGANIZATION

SEI Institutional Investments Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996.

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company currently offering 16 Funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Emerging Markets Debt and Real Return Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objectives, policies, and strategies.

On May 13, 2009, the Board of Trustees approved the name and strategy change of the Real Return Plus Fund to the Real Return Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

Financial Accounting Standards Board (“FASB”) has issued FASB ASC105 (formerly FASB Statement No. 168), The “FASB Accounting Standards Codification^™” and the Hierarchy of Generally Accepted Accounting Principles (“ASC 105”). ASC 105 established the FASB Accounting Standards Codification^™ (“Codification” or “ASC”) as the single source of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal securities laws were also sources of authoritative GAAP for SEC registrants. The Codification superseded all existing non-SEC accounting and reporting standards. All other non-grandfathered, non-SEC accounting literature not included in the Codification have become non-authoritative.

Following the Codification, the FASB will not issue new standards in the form of Statements, FASB Staff Positions or Emerging Issues Task Force Abstracts. Instead, it will issue Accounting Standards Updates, which will serve to update the Codification, provide background information about the guidance and provide the basis for conclusions on the changes to the Codification.

GAAP was not intended to be changed as a result of the FASB’s Codification project, but it has changed the way the guidance is organized and presented. As a result, these changes have had an impact on how companies reference GAAP in their financial statements and in their accounting policies for financial statements issued for interim and annual periods ending after September 15, 2009. The Trust implemented the Codification as of November 30, 2009.

The following is a summary of the significant accounting policies followed by the Funds.

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net

asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided.

The International Equity, World Equity Ex-US and Screened World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these funds that hold international securities will value the non-U.S. securities within that fund that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.

In accordance with U.S. generally accepted accounting principles, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable

and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 —

quoted prices in active markets for identical investments

Level 2 —

other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 —

significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the Funds to measure fair value during the six month period ended November 30, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the six month period ended November 30, 2009, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

Repurchase Agreements — A Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in

repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.

Reverse Repurchase Agreements — The Large Cap Diversified Alpha, Large Cap Disciplined Equity, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Enhanced LIBOR Opportunities and Real Return Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, those Funds use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no outstanding reverse repurchase agreements as of November 30, 2009.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.

Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Forward Foreign Currency Contracts — The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Large Cap Disciplined Equity, International Equity, World Equity Ex-US, Enhanced LIBOR Opportunities, Core Fixed Income and Emerging Markets Debt Funds realized gains and losses at the time forward contracts were extinguished. Unrealized

gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. These funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or the Statement of Assets and Liabilities.

Futures Contracts — Each of the Funds, with the exception of the High Yield Bond Fund, utilized futures contracts during the six month period ended November 30, 2009. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Funds may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or the Statement of Assets and Liabilities.

Options/Swaptions Written/Purchased — A Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance its returns. When the Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/ swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the

purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The Core Fixed Income had options contracts and swaptions contracts as of November 30, 2009, as disclosed in the Fund’s Schedule of Investments.

The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or the Statement of Assets and Liabilities.

Securities Sold Short — As consistent with each Fund’s investment objectives, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. That Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.

Until a Fund closes its short position or replaces the borrowed security, that Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover a Fund’s short positions. At November 30, 2009, none of the Funds held any short positions.

Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an

agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details.

Forward Treasury Commitments — A Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.

Delayed Delivery Transactions — The Large Cap Disciplined Equity, Large Cap Diversified Alpha, Core Fixed Income, International Equity and World Equity Ex-US Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.

Collateralized Debt Obligations — A Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. A CLO is a trust, typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is

the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by a Fund as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) a Fund may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, Enhanced LIBOR Opportunities and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration and High Yield Bond Funds; and declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — At November 30, 2009, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, these Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at November 30, 2009, were as follows:

Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

3. CREDIT DERIVATIVES

A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset-backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of November 30, 2009, the Core Fixed, Long Duration and the Emerging Markets Debt Funds are the buyers (“receiving protection”) on a total notional amount of $82.3 million, $0.0 million and $0.0 million, respectively) and are the sellers (“providing protection”) on a total notional amount of $79.5 million, $1.2 million and $0.9 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amount does approximate the maximum potential amount of future payments that the Funds could be required to make if the Funds were the sellers of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Funds are providing protection at balance sheet date are summarized as follows:

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

The fair value of derivative instruments as of November 30, 2009 was as follows:

The effect of derivative instruments on the Statements of Operations for the six month period ended November 30, 2009.

Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands):

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):

Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the six-month period ended November 30, 2009, and until further notice, the Administrator has voluntarily agreed to waive all of its fee.

Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee that is calculated daily and paid monthly based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. The advisory fee and voluntary expense limitations for Class A of each Fund for the six-month period ended November 30, 2009:


	Advisory Fees		Voluntary Expense Limitations
Large Cap Fund	0.400	%	0.260	%
Large Cap Diversified Alpha Fund	0.400		0.350
Large Cap Disciplined Equity Fund	0.400		0.220
Large Cap Index Fund	0.170		0.060
Small Cap Fund	0.650		0.540
Small/Mid Cap Equity Fund	0.650		0.500
U.S. Managed Volatility Fund	0.650		0.350
International Equity Fund	0.505		0.390
World Equity Ex-US Fund	0.550		0.450
Screened World Equity Ex-US Fund	0.650		0.800
Enhanced LIBOR Opportunities Fund	0.450		0.440
Core Fixed Income Fund	0.300		0.140
High Yield Bond Fund	0.4875		0.350
Long Duration Fund	0.300		0.200
Emerging Markets Debt Fund	0.850		0.550
Real Return Fund	0.700		0.360

As of November 30, 2009, SIMC has entered into investment sub-advisory agreements with the following parties and pays the sub-advisers out of the fee that it receives from the Funds:

Investment Sub-Adviser

Large Cap Fund

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Goldman Sachs Asset Management, L.P.

Legg Mason Capital Management, Inc.

LSV Asset Management

Quantitative Management Associates, LLC

Large Cap Diversified Alpha Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Investment Sub-Adviser

Legg Mason Capital Management, Inc.

Quantitative Management Associates, LLC

Large Cap Disciplined Equity Fund

Analytic Investors, Inc.

INTECH Investment Management, LLC

Legg Mason Capital Management, Inc.

Massachusetts Financial Services Company

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

AQR Capital Management, LLC

Artisan Partners Limited Partnership

Janus Capital Management, Inc.

Lee Munder Investments, Ltd.

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Oppenheimer Capital, LLC

Robeco Investment Management, Inc.

Security Capital Research and Management, Inc.

Wellington Management Company, LLP

Small/Mid Cap Equity Fund

Integrity Asset Management, LLC

Janus Capital Management, Inc.

Lee Munder Investments, Ltd.

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

PanAgora Asset Management, Inc.

Security Capital Research and Management Incorporated

Wellington Management Company, LLP

Wells Capital Management, Inc.

U.S. Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

International Equity Fund

Acadian Asset Management, Inc.

AXA Rosenberg Investment Management, LLC

Declaration Management & Research, LLC

INTECH Investment Management, LLC

McKinley Capital Management, LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

UBS Global Asset Management (Americas), Inc.*

Wellington Management Company, LLC

World Equity Ex-US Fund

Acadian Asset Management, Inc.

Artisan Partners Limited Partnership

AXA Rosenberg Investment Management, LLC

Declaration Management & Research, LLC

INTECH Investment Management, LLC

McKinley Capital Management, LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Rexiter Capital Management Limited

Investment Sub-Adviser

UBS Global Asset Management (Americas), Inc.*

Wellington Management Company, LLC

Screened World Equity Ex-US Fund

AXA Rosenberg Investment Management, LLC

McKinley Capital Management, LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Enhanced LIBOR Opportunities Fund

Ares Management, LLC

Declaration Management & Research, LLC*

UBS Global Asset Management (Americas), Inc.*

Wellington Management Company, LLP

Core Fixed Income Fund

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management, LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management, LLC

Brigade Capital Management, LLC

Delaware Management Company

Guggenheim Partners, LLC

J.P. Morgan Investment Management, Inc.

Long Duration Fund

Jennison Associates LLC

Metropolitan West Asset Management, LLC

Emerging Markets Debt Fund

Ashmore Investment Management Limited

ING Investment Management Advisors, B.V.

Stone Harbor Investment Partners, L.P.

Real Return Fund

Wellington Management Company, LLP

* Not funded. As of November 30, 2009, this manager has not been allocated assets to manage.

Other —The Distribution Agreement between SEI Investments Distribution Co. (the “Distributor”) and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.

Such commissions for the six-month period ended November 30, 2009 were as follows ($ Thousands):


Large Cap Fund	$	16
Large Cap Diversified Alpha Fund		1
Small Cap Fund		375
Small/Mid Cap Equity Fund		341
International Equity Fund		14
World Equity Ex-US Fund		47

Certain officers and/or trustees of the Trust are also officers of the Distributor or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six-month period ended November 30, 2009 were as follows ($ Thousands):


Large Cap Fund	$	74
Small Cap Fund		162
Small/Mid Cap Equity Fund		381

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund’s expense ratio, as a percentage of the Fund’s average daily net assets for the six-month period ended November 30, 2009, can be found on the Financial Highlights.

Investment in Affiliated Security — The Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund L.P.

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six month period ended November 30, 2009, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	516,377	$	516,377
Sales		—		262,183		262,183
Large Cap Diversified Alpha Fund
Purchases		—		167,924		167,924
Sales		—		177,141		177,141
Large Cap Disciplined Equity Fund*
Purchases		—		3,458,037		3,458,037
Sales		—		3,208,233		3,208,233
Large Cap Index Fund
Purchases		—		99,817		99,817
Sales		—		30,888		30,888
Small Cap Fund
Purchases		—		724,238		724,238
Sales		—		680,356		680,356
Small/Mid Cap Fund
Purchases		—		1,103,599		1,103,599
Sales		—		1,035,229		1,035,229
U.S. Managed Volatility Fund
Purchases		—		101,767		101,767
Sales		—		86,663		86,663


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
International Equity Fund
Purchases	$	36,545	$	417,859	$	454,404
Sales		38,540		459,456		497,996
World Equity Ex-US Fund
Purchases		121,192		1,799,932		1,921,124
Sales		130,890		1,642,722		1,773,612
Screened World Equity Ex-US Fund
Purchases		—		47,160		47,160
Sales		—		33,856		33,856
Enhanced LIBOR Opportunities Fund
Purchases		1,024		10,416		11,440
Sales		1,714		10,093		11,807
Core Fixed Income Fund
Purchases		3,863,384		1,073,593		4,936,977
Sales		3,689,856		1,024,054		4,713,910
High Yield Bond Fund
Purchases		353		678,415		678,768
Sales		—		646,069		646,069
Long Duration Bond Fund
Purchases		892,471		761,992		1,654,463
Sales		774,197		276,238		1,050,435
Emerging Markets Debt Fund
Purchases		—		306,015		306,015
Sales		—		400,371		400,371
Real Return Fund
Purchases		313,624		10		313,634
Sales		316,217		10		316,227

Includes In-Kind transactions (See Note 10).

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.

The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2009 were as follows:

As of May 31, 2009, the components of Distributable Earnings/(Accumulated Losses) were as follows:

Post-October losses represent losses realized on investment transactions from November 1, 2008 through May 31, 2009 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:

For Federal income tax purposes, the cost of securities owned at November 30, 2009, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in partnerships and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at November 30, 2009, was as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	874,646	$	134,012	$	(12,407	)	$	121,605
Large Cap Diversified Alpha Fund		337,009		39,033		(21,373	)		17,660
Large Cap Disciplined Equity Fund		7,437,066		976,159		(307,665	)		668,494
Large Cap Index Fund		477,697		113,612		(28,025	)		85,587
Small Cap Fund		1,338,408		164,110		(92,433	)		71,677
Small/Mid Cap Equity Fund		2,209,444		323,421		(131,449	)		191,972
U.S. Managed Volatility Fund		250,590		43,654		(4,340	)		39,314
International Equity Fund		671,944		103,593		(15,931	)		87,662
World Equity Ex-US Fund		3,042,557		521,292		(68,512	)		452,780
Screened World Equity Ex-US Fund		67,134		8,662		(2,289	)		6,373
Enhanced LIBOR Opportunities Fund		196,300		1,417		(41,516	)		(40,099	)
Core Fixed Income Fund		6,254,886		265,340		(338,683	)		(73,343	)
High Yield Bond Fund		1,433,271		118,800		(107,954	)		10,846
Long Duration Fund		2,009,547		162,557		(14,611	)		147,946
Emerging Markets Debt Fund		861,109		104,264		(30,030	)		74,234
Real Return Fund		250,946		13,094		—			13,094

Management has analyzed the Fund’s tax position taken on federal income tax returns for all open tax years and has concluded that as of November 30, 2009, no provision for income tax would be required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

9. CONCENTRATION/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.

The market values of the Core Fixed Income, Long Duration and High Yield Bond Funds’ investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.

The International Equity, World Equity Ex-US, Screened World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.

10. IN-KIND TRANSFERS OF SECURITIES

During the six-month period ended November 30, 2009, the Large Cap Disciplined Equity Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.


	Shares Issued	Value ($ Thousands)
Large Cap Disciplined Equity Fund
08/31/09	7,632,084	$	62,736

During the year ended May 31, 2009, the Large Cap Disciplined Equity Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.


	Shares Issued	Value ($ Thousands)
Large Cap Disciplined Equity Fund
09/30/08	7,801,537	$	76,845

11. SECURITIES LENDING

Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior

day’s market fluctuations and the current day’s lending activity.

Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

12. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through January 29, 2010, the date the financial statements were issued. Effective January 1, 2010, the Advisory Fee and Voluntary Expense Limitation for the Real Return Fund were reduced to 0.220% and 0.200%, respectively.

13. OTHER MATTERS

Due to volatility in the fixed income and equity markets, the market value of a Fund’s holdings may be materially different than shown in the Schedule of Investments (“SOI”). The values shown in the SOIs were the market values as of November 30, 2009 and do not reflect any market events after November 30, 2009.

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

• Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.


	Beginning Account Value 6/1/2009		Ending Account Value 11/30/2009		Annualized Expense Ratios		Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,195.10	0.25	%	$	1.38
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.82	0.25	%	$	1.27
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,209.50	0.31	%	$	1.72
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.51	0.31	%	$	1.57
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,209.10	0.19	%	$	1.05
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.12	0.19	%	$	0.96
Large Cap Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,205.40	0.06	%	$	0.33
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.77	0.06	%	$	0.30
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,192.90	0.53	%	$	2.91
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.66	0.53	%	$	2.69
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,204.20	0.49	%	$	2.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.61	0.49	%	$	2.48
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,157.60	0.35	%	$	1.89
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.31	0.35	%	$	1.78
International Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,164.50	0.39	%	$	2.12
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.11	0.39	%	$	1.98
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,178.80	0.45	%	$	2.46
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.81	0.45	%	$	2.28
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,186.90	0.80	%	$	4.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.06	0.80	%	$	4.05
Enhanced LIBOR Opportunities Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,084.10	0.41	%	$	2.14
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.01	0.41	%	$	2.08
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,106.00	0.14	%	$	0.74
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.37	0.14	%	$	0.71


	Beginning Account Value 6/1/2009		Ending Account Value 11/30/2009		Annualized Expense Ratios		Expense Paid During Period*
HighYield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,272.30	0.35	%	$	1.99
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.31	0.35	%	$	1.78
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,140.20	0.20	%	$	1.07
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.07	0.20	%	$	1.01
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,185.90	0.55	%	$	3.01
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.31	0.55	%	$	2.79
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,048.50	0.36	%	$	1.85
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.26	0.36	%	$	1.83

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown).

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission (“SEC”) takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

At the June 24-25, 2009 and September 17-18, 2009 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:

Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.

Robert A. Nesher, Chairman

Trustees

William M. Doran

James M. Storey

George J. Sullivan, Jr.

Rosemarie B. Greco

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Stephen F. Panner

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

James Ndiaye

Vice President, Assistant Secretary

Michael T. Pang

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

John J. McCue

Vice President

Andrew S. Decker

Anti-Money Laundering Compliance Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small/Mid Cap Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund and Screened World Equity Ex-US Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Bond Fund, Emerging Markets Debt Fund and Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 91.2%

Consumer Discretionary — 10.5%
99 Cents Only Stores*	5,800	$	70
Abercrombie & Fitch, Cl A	1,300		52
Advance Auto Parts	7,100		279
Aeropostale*	5,400		170
Amazon.com* (A)	60,330		8,199
American Axle & Manufacturing Holdings	16,400		103
American Eagle Outfitters	8,000		123
American Greetings, Cl A	7,000		145
Apollo Group, Cl A*	9,600		548
Asbury Automotive Group*	7,500		80
Autoliv (A)	15,000		609
AutoNation* (A)	1,000		18
AutoZone* (A)	1,787		264
Barnes & Noble (A)	4,300		100
Bed Bath & Beyond*	2,500		93
Best Buy (A)	47,195		2,021
Big Lots*	14,500		334
Bob Evans Farms	2,300		58
BorgWarner	4,200		127
Brinker International	3,000		41
Brink’s Home Security Holdings*	2,600		85
Cablevision Systems, Cl A	5,126		128
Carmax* (A)	11,100		221
Carnival	1,300		42
CBS, Cl B	69,300		888
Chico’s FAS*	37,100		522
Chipotle Mexican Grill, Cl A* (A)	1,900		159
Coach	41,800		1,453
Comcast, Cl A	348,847		5,118
Cooper Tire & Rubber	1,700		30
Core-Mark Holding*	1,700		51
Darden Restaurants	20,500		644
Dick’s Sporting Goods*	5,200		108
DIRECTV, Cl A* (A)	131,446		4,158
Discovery Communications, Cl C*	4,700		132
DISH Network, Cl A (A)	27,300		565
Dollar Tree* (A)	6,000		294
DR Horton	1,400		14
Eastman Kodak (A)	289,300		1,172
Expedia* (A)	7,800		199
Family Dollar Stores (A)	13,500		412
Foot Locker	33,700		320
Ford Motor* (A)	238,800		2,123
Gannett	38,000		376
Gap	57,500		1,232
Garmin (A)	16,000		478
Gentex	1,800		30
Genuine Parts	1,158		41
Goodyear Tire & Rubber*	8,600		118
H&R Block	1,300		26
Hanesbrands* (A)	7,100		170
Harley-Davidson (A)	8,800		256
Harman International Industries	900		34
Hasbro	21,900		649
Helen of Troy*	4,700		97
Home Depot (A)	49,300		1,349
International Game Technology	12,300		232
Interpublic Group*	4,000		25


Description	Shares	Market Value ($ Thousands)
J.C. Penney (A)	99,560	$	2,861
Jarden	12,900		354
Johnson Controls	49,751		1,346
KB Home (A)	5,100		69
Kohl’s*	4,694		250
Lamar Advertising, Cl A*	900		25
Las Vegas Sands* (A)	2,300		35
Leggett & Platt	11,800		230
Lennar, Cl A	6,100		77
Liberty Global, Cl A* (A)	23,200		447
Liberty Media - Capital, Ser A*	3,800		84
Liberty Media - Interactive, Cl A*	3,900		42
Liberty Media - Starz*	800		38
Limited Brands (A)	3,500		58
Lithia Motors, Cl A	2,200		16
LKQ*	500		9
Lowe’s	238,700		5,206
Macy’s	87,900		1,434
Magna International, Cl A	1,800		87
Marriott International, Cl A (A)	20,238		521
McDonald’s	30,825		1,950
McGraw-Hill	27,200		815
MDC Holdings (A)	1,300		39
MGM Mirage* (A)	10,000		106
Newell Rubbermaid	800		12
News, Cl A (A)	95,100		1,090
NIKE, Cl B (A)	74,710		4,848
Nordstrom (A)	2,300		77
NVR*	100		67
Office Depot*	13,300		82
Omnicom Group	23,200		852
O’Reilly Automotive*	7,900		306
Oxford Industries	2,000		43
Penn National Gaming* (A)	4,600		123
PetSmart	23,700		610
Phillips-Van Heusen	700		28
Polo Ralph Lauren, Cl A	400		31
priceline.com* (A)	12,200		2,612
Pulte Homes (A)	1,892		17
RadioShack	29,500		556
Regal Entertainment Group, Cl A (A)	2,800		38
Ross Stores	23,000		1,012
Royal Caribbean Cruises*	2,500		61
Sally Beauty Holdings* (A)	15,200		106
Scholastic (A)	1,400		35
Scientific Games, Cl A*	600		8
Scripps Networks Interactive, Cl A	1,100		43
Sears Holdings* (A)	43,400		3,079
Service International	2,900		22
Sherwin-Williams	3,325		202
Signet Jewelers*	1,100		29
Skechers U.S.A., Cl A*	1,500		33
Smith & Wesson Holding* (A)	20,000		99
Sonic Automotive, Cl A (A)	8,500		75
Stanley Works (A)	4,400		214
Staples (A)	218,175		5,088
Starbucks*	11,800		258
Starwood Hotels & Resorts Worldwide	11,140		357
Steven Madden*	1,600		57
Strayer Education (A)	2,200		435
Target	68,969		3,211
Tempur-Pedic International*	7,800		168


Description	Shares	Market Value ($ Thousands)
Thor Industries	800	$	23
Time Warner (A)	185,489		5,698
Time Warner Cable, Cl A (A)	52,293		2,191
TJX	23,500		902
Toll Brothers*	700		14
True Religion Apparel* (A)	—		—
TRW Automotive Holdings*	60,500		1,316
Universal Technical Institute*	3,400		64
Urban Outfitters*	1,900		60
VF	1,559		113
Viacom, Cl B*	61,428		1,821
Virgin Media (A)	8,800		145
WABCO Holdings	2,000		47
Walt Disney	80,342		2,428
Weight Watchers International (A)	32,000		886
Wendy’s, Cl A	20,200		83
Whirlpool (A)	10,700		793
Williams-Sonoma (A)	4,200		85
WMS Industries*	2,800		109
Wyndham Worldwide	21,100		392
Wynn Resorts* (A)	17,100		1,104
Yum! Brands (A)	59,700		2,106

			99,848


Consumer Staples — 7.1%
Altria Group	31,138		586
Archer-Daniels-Midland	58,900		1,815
Avon Products	43,130		1,477
BJ’s Wholesale Club* (A)	26,400		916
Brown-Forman, Cl B	175		9
Bunge	12,700		786
Campbell Soup	19,400		678
Central European Distribution*	1,700		47
Chiquita Brands International* (A)	1,200		20
Clorox	4,700		283
Coca-Cola	58,181		3,328
Coca-Cola Enterprises (A)	71,500		1,405
Colgate-Palmolive	7,539		635
ConAgra Foods	96,500		2,141
Corn Products International	14,000		393
Costco Wholesale	32,230		1,931
CVS Caremark	71,767		2,226
Del Monte Foods	50,700		532
Dr Pepper Snapple Group	9,500		249
Energizer Holdings*	500		28
General Mills	17,646		1,200
Green Mountain Coffee Roasters* (A)	1,300		82
Hansen Natural*	500		18
Herbalife	14,800		621
Hershey	9,400		333
HJ Heinz	2,507		106
Hormel Foods	3,800		143
JM Smucker	1,800		106
Kellogg	10,282		541
Kimberly-Clark	18,154		1,198
Kraft Foods, Cl A	77,834		2,069
Kroger	34,722		790
Lorillard	1,759		137
Molson Coors Brewing, Cl B	600		27
NBTY*	2,500		100
Pepsi Bottling Group	15,600		592
PepsiAmericas	1,300		38


Description	Shares	Market Value ($ Thousands)
PepsiCo	135,529	$	8,433
Philip Morris International	70,163		3,374
Prestige Brands Holdings*	9,800		68
Procter & Gamble	219,807		13,705
Ralcorp Holdings*	11,400		660
Revlon, Cl A* (A)	3,300		60
Reynolds American	34,884		1,743
Safeway	63,800		1,436
Sanderson Farms (A)	6,200		249
Sara Lee	39,500		480
Smithfield Foods* (A)	5,500		85
Supervalu (A)	34,300		474
Sysco	6,924		187
Tyson Foods, Cl A	11,000		132
Walgreen	137,760		5,357
Wal-Mart Stores	73,222		3,994
Whole Foods Market* (A)	5,700		146

			68,169


Energy — 10.3%
Alpha Natural Resources* (A)	2,467		91
Anadarko Petroleum	10,700		637
Apache	19,200		1,829
Arch Coal	1,700		35
Atwood Oceanics*	1,000		38
Baker Hughes	301		12
BJ Services	48,800		916
Cabot Oil & Gas	4,100		157
Cal Dive International*	9,800		71
Cameron International*	1,258		48
Canadian Natural Resources	31,255		2,098
Chesapeake Energy	76,500		1,830
Chevron	176,584		13,781
Cimarex Energy (A)	3,800		178
Concho Resources*	2,100		86
ConocoPhillips	159,897		8,278
Consol Energy	1,000		46
Denbury Resources* (A)	2,100		28
Devon Energy	29,000		1,953
Diamond Offshore Drilling (A)	6,200		617
Dresser-Rand Group*	9,100		256
El Paso	43,000		411
Encore Acquisition*	1,700		77
ENSCO International	600		26
EOG Resources (A)	44,390		3,839
Exxon Mobil	313,455		23,531
FMC Technologies*	5,200		283
Frontier Oil	4,500		52
Halliburton	84,470		2,480
Helix Energy Solutions Group*	59,900		704
Helmerich & Payne	500		19
Hess	1,053		61
Holly	14,100		359
Marathon Oil	101,264		3,303
Massey Energy (A)	1,900		72
Murphy Oil	43,600		2,459
Nabors Industries*	1,800		37
National Oilwell Varco	78,134		3,361
Newfield Exploration*	2,300		97
Noble	16,300		673
Noble Energy	3,300		215
Occidental Petroleum	61,030		4,931
Oceaneering International*	2,100		115


Description	Shares	Market Value ($ Thousands)
Oil States International*	19,400	$	696
Overseas Shipholding Group (A)	6,300		241
Patterson-UTI Energy	44,400		683
Peabody Energy	2,100		93
PetroHawk Energy*	4,200		94
Petroleo Brasileiro ADR	26,430		1,355
Pioneer Natural Resources	1,100		46
Plains Exploration & Production*	1,800		49
Pride International*	1,000		32
Quicksilver Resources* (A)	6,600		88
Range Resources	23,030		1,085
Rowan	800		20
SandRidge Energy* (A)	3,800		36
Schlumberger	40,066		2,560
SEACOR Holdings*	6,300		483
Southern Union	59,500		1,233
Southwestern Energy*	2,400		106
Spectra Energy	19,500		379
St. Mary Land & Exploration	600		19
Stone Energy*	10,100		191
Suncor Energy	18,624		674
Sunoco	17,900		451
Tesoro (A)	2,100		27
Tidewater	11,300		508
Transocean*	24,000		2,049
Unit*	1,400		53
Valero Energy	48,900		777
Walter Industries	4,900		336
Western Refining* (A)	9,700		45
Whiting Petroleum*	300		19
Williams	88,100		1,752
XTO Energy	53,837		2,285

			98,555


Financials — 14.2%
ACE	4,200		205
Affiliated Managers Group*	1,500		98
Aflac	135,740		6,248
Allied World Assurance Holdings	8,300		397
Allstate	110,120		3,129
AMB Property‡	1,000		24
American Equity Investment Life Holding	7,700		56
American Express	167,177		6,993
American Financial Group	11,500		279
American International Group* (A)	3,000		85
AmeriCredit* (A)	6,800		125
Ameriprise Financial	53,200		2,028
Annaly Capital Management‡	55,400		1,020
Anworth Mortgage Asset‡	3,200		23
Arch Capital Group*	300		21
Argo Group International Holdings*	3,500		102
Aspen Insurance Holdings	2,400		62
Associated Banc (A)	7,800		88
Assurant	22,507		688
AvalonBay Communities‡ (A)	203		15
Axis Capital Holdings	17,100		479
Bancorpsouth (A)	2,400		56
Bank of America	640,758		10,156
Bank of Hawaii	200		9
Bank of New York Mellon	149,286		3,977
BB&T (A)	19,401		483


Description	Shares	Market Value ($ Thousands)
BlackRock, Cl A	2,500	$	568
BOK Financial (A)	12,300		572
Boston Properties‡	400		27
Brandywine Realty Trust‡	24,900		245
Brookfield Asset Management, Cl A	32,100		681
Brown & Brown	1,200		21
Camden Property Trust‡	500		19
Capital One Financial	86,400		3,314
Cardinal Financial	3,500		30
CB Richard Ellis Group, Cl A* (A)	8,800		101
CBL & Associates Properties‡ (A)	17,300		160
Charles Schwab (A)	43,985		806
Chimera Investment‡	86,200		348
Chubb	41,160		2,064
Cincinnati Financial	15,400		393
Citigroup	609,330		2,505
City National	700		28
CME Group, Cl A	15,295		5,020
Comerica	14,300		407
Commerce Bancshares	872		35
Credicorp	2,700		193
Cullen/Frost Bankers	2,200		106
Dime Community Bancshares (A)	2,600		29
Discover Financial Services	19,700		305
Duke Realty‡ (A)	900		10
Eagle Bancorp*	900		9
Eaton Vance (A)	5,500		166
Endurance Specialty Holdings (A)	24,200		905
Equity Residential‡	700		23
Erie Indemnity, Cl A	400		15
Everest Re Group	14,900		1,268
Federal Realty Investment Trust‡	300		19
Federated Investors, Cl B (A)	10,700		276
Fidelity National Financial, Cl A	2,100		29
Fifth Third Bancorp	14,300		144
First American (A)	1,400		44
First Community Bancshares (A)	2,700		30
First Financial Holdings	3,500		47
First Horizon National* (A)	5,893		80
Flagstone Reinsurance Holdings	2,100		23
FNB (Pennsylvania)	17,500		114
Forest City Enterprises, Cl A (A)	5,100		55
Franklin Resources	11,871		1,282
Genworth Financial, Cl A* (A)	6,300		68
Goldman Sachs Group	48,789		8,278
Greenhill	900		73
Hartford Financial Services Group	20,223		495
HCC Insurance Holdings	6,500		170
HCP‡ (A)	11,400		357
Health Care REIT‡ (A)	500		22
Hospitality Properties Trust‡	18,300		355
Host Hotels & Resorts‡ (A)	10,200		107
HRPT Properties Trust‡	124,000		761
Hudson City Bancorp	55,500		738
Huntington Bancshares	109,700		419
IntercontinentalExchange* (A)	32,700		3,492
International Bancshares	3,600		60
Invesco	15,600		347
Jefferies Group (A)	5,600		131
Jones Lang LaSalle	2,400		122
JPMorgan Chase	348,930		14,826
Keycorp	33,800		198


Description	Shares	Market Value ($ Thousands)
Lazard, Cl A	3,100	$	120
Legg Mason	1,400		40
Liberty Property Trust‡	1,800		53
Lincoln National	16,500		378
Loews	8,447		299
M&T Bank (A)	900		59
Macerich‡ (A)	407		12
Mack-Cali Realty‡	400		12
Marshall & Ilsley	23,500		135
MBIA* (A)	2,700		9
MetLife	40,590		1,388
MFA Mortgage Investments‡	33,200		251
Montpelier Re Holdings (A)	15,700		263
Moody’s (A)	37,800		878
Morgan Stanley	78,817		2,489
MSCI, Cl A*	600		18
NASDAQ OMX Group*	2,500		47
Nationwide Health Properties‡	300		10
Nelnet, Cl A	3,100		54
New York Community Bancorp (A)	14,700		172
Northern Trust	15,105		748
NYSE Euronext	93,600		2,366
OceanFirst Financial	1,800		18
Old Republic International	4,500		48
OneBeacon Insurance Group, Cl A	5,400		76
optionsXpress Holdings	1,500		23
Parkway Properties‡	2,200		41
PartnerRe	6,300		485
People’s United Financial	29,960		488
Phoenix	10,700		27
Platinum Underwriters Holdings	15,700		554
PNC Financial Services Group	46,229		2,635
Principal Financial Group	12,200		310
Progressive	17,600		295
Protective Life	5,700		94
Provident Financial Services	10,400		110
Prudential Financial	57,300		2,856
Public Storage‡	2,100		167
Ramco-Gershenson Properties‡	3,300		30
Raymond James Financial (A)	2,100		51
Rayonier‡	1,000		40
Regions Financial	45,755		268
RenaissanceRe Holdings	4,300		229
Senior Housing Properties Trust‡	4,200		87
Simon Property Group‡	9,321		677
SL Green Realty‡ (A)	1,500		67
SLM*	8,300		91
St. Joe* (A)	1,500		37
State Street	55,200		2,280
SunTrust Banks (A)	14,900		352
T. Rowe Price Group	26,132		1,279
Taubman Centers‡ (A)	18,300		629
TCF Financial (A)	8,100		106
TD Ameritrade Holding*	1,600		31
Torchmark (A)	21,345		928
Transatlantic Holdings	500		27
Travelers	73,718		3,862
Trustco Bank (A)	13,400		82
Unum Group	84,400		1,607
US Bancorp	60,755		1,466
Validus Holdings	1,600		42
Ventas‡	600		26
Waddell & Reed Financial, Cl A	4,400		128


Description	Shares	Market Value ($ Thousands)
Webster Financial (A)	12,600	$	160
Wells Fargo (A)	418,569		11,737
WR Berkley (A)	8,500		210
XL Capital, Cl A	42,200		773
Zions Bancorporation (A)	11,400		150

			135,861


Health Care — 11.3%
Abbott Laboratories	78,183		4,260
Aetna (A)	116,000		3,377
Allergan	137,980		8,021
Allscripts-Misys Healthcare Solutions* (A)	1,800		35
American Medical Systems Holdings*	6,700		118
AmerisourceBergen	31,700		783
Amgen*	83,445		4,702
Amylin Pharmaceuticals* (A)	3,100		44
Atrion	100		14
Baxter International	52,169		2,846
Beckman Coulter	300		20
Becton Dickinson	13,961		1,044
Biogen Idec*	22,770		1,069
BioMarin Pharmaceutical*	300		5
Boston Scientific*	33,500		280
Bristol-Myers Squibb	168,313		4,260
Bruker*	3,500		40
C.R. Bard	6,150		506
Cantel Medical*	1,800		32
Cardinal Health	5,000		161
CareFusion*	7,700		199
Celgene*	776		43
Cephalon*	500		27
Cerner* (A)	1,700		128
Charles River Laboratories International*	1,600		51
CIGNA	23,714		761
Community Health Systems*	1,300		40
Cooper	700		24
Coventry Health Care*	17,800		401
DaVita*	300		18
Dendreon* (A)	5,000		137
Edwards Lifesciences*	2,600		214
Eli Lilly	74,804		2,748
Endo Pharmaceuticals Holdings*	16,800		370
Enzon Pharmaceuticals* (A)	3,300		32
Express Scripts*	13,200		1,132
Forest Laboratories*	40,200		1,232
Gen-Probe*	300		13
Genzyme*	27,350		1,387
Gilead Sciences*	130,023		5,987
Health Management Associates, Cl A*	5,200		32
Health Net*	6,300		134
Hologic*	5,800		84
Hospira*	8,400		394
Humana*	9,200		382
IMS Health	1,700		36
Intuitive Surgical* (A)	2,300		645
Invacare	1,900		47
Inverness Medical Innovations* (A)	2,000		84
Johnson & Johnson	169,444		10,648


Description	Shares	Market Value ($ Thousands)
Kinetic Concepts*	14,200	$	479
King Pharmaceuticals* (A)	39,300		465
Laboratory Corp of America Holdings*	2,152		157
Life Technologies*	1,400		70
LifePoint Hospitals*	1,600		46
Lincare Holdings* (A)	8,800		312
McKesson	14,200		881
Medco Health Solutions*	76,546		4,835
Mednax*	1,500		84
Medtronic	74,871		3,178
Merck	135,743		4,915
Meridian Bioscience	4,500		93
Mettler Toledo International* (A)	2,800		278
Millipore*	300		20
Mylan Laboratories* (A)	14,000		250
Novo Nordisk ADR (A)	42,700		2,849
Par Pharmaceutical*	2,800		66
Perrigo (A)	1,400		56
Pfizer	461,589		8,387
Quest Diagnostics	15,200		881
Quidel*	5,600		70
ResMed*	1,300		65
Sirona Dental Systems*	700		20
St. Jude Medical*	73,710		2,706
Stryker	28,500		1,436
Tenet Healthcare*	4,300		19
Teva Pharmaceutical Industries ADR	33,125		1,749
Thermo Fisher Scientific*	25,594		1,209
UnitedHealth Group	264,100		7,572
Universal Health Services, Cl B	7,800		436
Valeant Pharmaceuticals International* (A)	7,700		252
Vertex Pharmaceuticals* (A)	200		8
Watson Pharmaceuticals* (A)	28,200		1,046
WellPoint*	59,000		3,188
Zimmer Holdings*	8,100		479

			107,604


Industrials — 8.0%
3M	16,598		1,285
ABB ADR	8,890		163
Aecom Technology*	7,200		183
AGCO*	15,900		482
Aircastle	3,400		30
Alliant Techsystems* (A)	6,600		566
American Science & Engineering	300		21
AO Smith	900		38
Avis Budget Group* (A)	2,400		23
BE Aerospace*	3,200		62
Boeing (A)	35,730		1,873
Brink’s	3,100		70
Bucyrus International, Cl A	400		21
Burlington Northern Santa Fe	16,000		1,573
C.H. Robinson Worldwide (A)	12,787		713
Carlisle	100		3
Caterpillar (A)	28,950		1,690
Cintas	2,400		67
Con-way	1,900		58
Cooper Industries, Cl A	6,400		273
Copa Holdings, Cl A	1,000		50
Corrections of America*	1,200		30


Description	Shares	Market Value ($ Thousands)
Crane	6,900	$	193
CSX	6,890		327
Cummins	35,545		1,596
Danaher	23,620		1,675
Deere	13,800		738
Dollar Thrifty Automotive Group*	800		15
Dover	14,800		605
Dun & Bradstreet	807		63
DynCorp International, Cl A*	7,400		103
Eaton	900		58
Emerson Electric	31,420		1,301
Ennis	1,000		15
Equifax	600		17
Expeditors International Washington (A)	109,000		3,480
Fastenal (A)	700		26
Federal Signal	2,000		12
FedEx	20,300		1,714
First Solar* (A)	500		60
Flowserve	800		80
Fluor (A)	3,800		161
Foster Wheeler*	17,100		510
Gardner Denver	18,700		700
General Cable* (A)	1,800		53
General Dynamics	35,486		2,339
General Electric	700,543		11,223
Goodrich	25,900		1,537
Harsco	26,600		825
Hertz Global Holdings* (A)	7,900		77
Honeywell International	43,427		1,671
Hubbell, Cl B	4,300		195
IDEX	200		6
Illinois Tool Works	35,300		1,717
Iron Mountain*	6,000		144
ITT	1,360		70
Jacobs Engineering Group*	1,100		39
JB Hunt Transport Services	300		9
Joy Global	25,550		1,368
KBR	43,900		818
Kirby*	1,400		47
L-3 Communications Holdings, Cl 3	19,500		1,528
Lennox International	800		30
Lockheed Martin	11,185		864
Manpower	5,400		266
Masco	1,200		16
McDermott International*	18,200		381
Monster Worldwide*	6,700		98
Multi-Color	1,900		21
Navistar International*	600		20
Norfolk Southern	9,800		504
Northrop Grumman	56,059		3,072
Oshkosh Truck	7,200		286
Owens Corning*	2,600		61
Paccar	1,000		37
Parker Hannifin	25,865		1,396
Pitney Bowes	700		16
Precision Castparts	1,325		137
Quanta Services*	61,900		1,161
Raytheon	62,900		3,241
Robert Half International	700		16
Rockwell Automation	4,700		204
Rockwell Collins	3,600		192


Description	Shares	Market Value ($ Thousands)
Roper Industries	200	$	11
RR Donnelley & Sons	53,800		1,107
Ryder System	1,100		45
Schawk, Cl A	1,100		12
Shaw Group*	1,100		31
Spirit Aerosystems Holdings, Cl A*	4,600		84
SPX	400		21
Terex* (A)	2,400		45
Textron (A)	2,400		48
Thomas & Betts*	2,200		80
Toro	5,400		215
TransDigm Group	1,300		56
Tyco International	27,400		983
Union Pacific	41,192		2,606
United Parcel Service, Cl B	91,455		5,256
United Technologies	87,944		5,913
URS*	6,200		258
UTi Worldwide	600		8
Waste Management (A)	13,300		437
Watson Wyatt Worldwide, Cl A	3,100		128
Werner Enterprises	4,800		89
WESCO International*	800		21
WW Grainger (A)	5,700		557

			76,419


Information Technology — 19.7%
Accenture, Cl A	33,050		1,356
Acme Packet*	8,800		90
Adobe Systems* (A)	158,505		5,560
Advanced Micro Devices*	8,500		60
Affiliated Computer Services, Cl A*	3,100		171
Akamai Technologies*	1,000		24
Alliance Data Systems* (A)	1,100		67
Altera	4,700		99
Amdocs*	44,500		1,176
Amphenol, Cl A	700		29
Analog Devices	44,380		1,331
Apple*	82,802		16,553
Applied Materials	1,700		21
Arris Group*	3,700		37
Arrow Electronics*	3,600		94
Autodesk*	52,800		1,238
Automatic Data Processing	7,246		315
Avnet*	17,900		488
BMC Software*	15,800		612
Brightpoint*	5,100		37
Broadcom, Cl A* (A)	71,610		2,091
Broadridge Financial Solutions	10,900		240
Brocade Communications Systems*	3,100		22
CA	107,700		2,380
Cadence Design Systems*	11,800		71
Ciena* (A)	2,100		26
Cirrus Logic*	3,800		21
Cisco Systems*	469,730		10,992
Citrix Systems*	38,860		1,484
Cognizant Technology Solutions, Cl A*	4,900		215
CommScope*	800		20
Computer Sciences*	22,200		1,228
Compuware*	8,600		60


Description	Shares	Market Value ($ Thousands)
Corning	35,100	$	585
Cree* (A)	1,400		67
Cypress Semiconductor* (A)	6,200		59
DealerTrack Holdings*	5,400		92
Dell*	51,900		733
Dolby Laboratories, Cl A*	1,700		76
DST Systems*	5,500		234
eBay*	233,400		5,711
EchoStar, Cl A*	900		17
Electronic Arts*	51,050		862
EMC*	374,625		6,305
Equinix* (A)	800		77
F5 Networks*	2,200		103
Factset Research Systems (A)	1,400		101
Fairchild Semiconductor International, Cl A*	8,600		70
Fidelity National Information Services	14,051		318
Fiserv*	11,400		527
Flextronics International*	110,600		782
Google, Cl A*	25,277		14,737
Harris	26,300		1,155
Harris Stratex Networks, Cl A*	2,335		15
Hewitt Associates, Cl A*	6,000		241
Hewlett-Packard	181,785		8,918
IAC*	13,700		266
infoGROUP	2,200		18
Ingram Micro, Cl A*	47,300		804
Intel	367,511		7,056
Interactive Intelligence*	1,400		24
International Business Machines	75,731		9,569
Intersil, Cl A	5,900		76
Intuit* (A)	124,200		3,628
j2 Global Communications*	3,900		78
Jabil Circuit	3,700		49
JDS Uniphase*	10,300		76
Juniper Networks*	6,200		162
Kla-Tencor (A)	4,500		141
Lam Research* (A)	2,000		68
Lender Processing Services	900		38
Linear Technology (A)	5,700		154
Loral Space & Communications*	600		20
LSI*	12,500		66
Marvell Technology Group*	40,400		623
Mastercard, Cl A (A)	16,200		3,902
Maxim Integrated Products	1,700		30
McAfee*	7,300		279
MEMC Electronic Materials*	2,200		26
Microchip Technology (A)	3,000		79
Micron Technology* (A)	102,300		769
Micros Systems*	5,900		166
Microsoft	503,729		14,815
Molex (A)	2,400		45
Motorola	15,500		124
National Semiconductor (A)	800		12
NCR*	28,000		264
NetApp*	6,600		203
NeuStar, Cl A*	8,500		199
Nokia ADR (A)	127,100		1,685
Nortel Networks*	5		—
Novatel Wireless*	10,900		91
Novellus Systems*	6,700		139
Nuance Communications*	1,900		29


Description	Shares	Market Value ($ Thousands)
NVE*	200	$	7
Nvidia*	26,100		341
ON Semiconductor* (A)	1,900		15
Oracle	185,361		4,093
Paychex (A)	58,100		1,821
Pegasystems	1,800		52
Qualcomm	184,935		8,322
Rackspace Hosting* (A)	77,800		1,440
Rambus* (A)	2,200		39
Red Hat*	38,400		1,025
Rovi* (A)	4,708		140
SAIC*	31,900		568
Salesforce.com*	1,100		69
SanDisk*	1,400		28
Seagate Technology	83,100		1,257
Semtech*	6,000		96
Silicon Laboratories*	2,600		110
Sun Microsystems*	6,800		58
Sybase* (A)	4,000		161
Symantec*	202,840		3,600
Symyx Technologies*	1,500		6
Synopsys* (A)	21,400		481
Tech Data*	17,600		741
Tellabs*	13,500		76
Teradata*	105,100		3,079
Teradyne* (A)	9,300		82
Texas Instruments	143,132		3,620
Total System Services	11,600		200
Trimble Navigation*	600		13
Tyco Electronics	28,700		666
Varian Semiconductor Equipment Associates*	700		20
VeriSign* (A)	127,900		2,870
Visa, Cl A (A)	93,690		7,589
Vishay Intertechnology* (A)	47,400		344
VMware, Cl A*	1,600		67
WebMD Health, Cl A* (A)	1,510		55
Western Digital*	32,400		1,194
Western Union	69,842		1,289
Xerox (A)	81,900		631
Xilinx	5,900		133
Yahoo!*	356,740		5,340
Zebra Technologies, Cl A*	18,400		489

			187,993


Materials — 3.3%
AEP Industries*	1,600		60
Air Products & Chemicals	2,800		232
Albemarle	4,700		159
Alcoa	12,500		156
Allegheny Technologies	2,000		68
Ashland	15,900		571
Ball	17,800		880
Bemis	9,800		287
Celanese, Cl A	7,000		208
Cliffs Natural Resources (A)	700		31
Commercial Metals (A)	2,700		43
Crown Holdings*	9,100		229
E.I. Du Pont de Nemours	27,700		958
Eagle Materials (A)	1,800		49
Eastman Chemical	26,200		1,575
Ecolab	9,200		413
FMC	1,000		56


Description	Shares	Market Value ($ Thousands)
Freeport-McMoRan Copper & Gold, Cl B	40,725	$	3,372
Greif, Cl A	1,900		106
Huntsman	11,400		109
International Flavors & Fragrances	600		24
International Paper	41,800		1,064
Intrepid Potash*	200		6
Lubrizol	22,200		1,610
MeadWestvaco	4,300		118
Monsanto	14,517		1,172
Mosaic	300		16
Nalco Holding (A)	50,200		1,228
NewMarket	2,400		251
Newmont Mining	2,100		113
Nucor	43,000		1,824
Omnova Solutions*	6,900		46
Owens-Illinois*	16,000		500
Packaging of America	1,200		24
Pactiv*	11,500		280
Potash Corp of Saskatchewan	14,810		1,665
PPG Industries	1,500		89
Praxair	57,221		4,694
Reliance Steel & Aluminum (A)	2,400		98
Rock-Tenn, Cl A	12,550		567
RPM International	2,800		55
Schnitzer Steel Industries, Cl A	1,000		45
Scotts Miracle-Gro, Cl A	6,200		248
Sealed Air	38,200		852
Sigma-Aldrich (A)	500		27
Solutia*	13,400		144
Sonoco Products	26,100		736
Southern Copper (A)	43,700		1,522
Spartech	5,400		59
Steel Dynamics	800		13
Stepan	1,200		75
Syngenta ADR (A)	51,000		2,729
Temple-Inland	4,900		88
Valspar (A)	3,200		84
Weyerhaeuser	700		27

			31,655


Telecommunication Services — 3.2%
American Tower, Cl A*	27,054		1,107
AT&T	502,834		13,546
CenturyTel	29,591		1,053
Crown Castle International*	135,573		4,974
MetroPCS Communications*	7,100		45
NII Holdings*	30,700		915
Qwest Communications International (A)	27,300		100
SBA Communications, Cl A*	2,600		83
Sprint Nextel*	193,600		718
Telephone & Data Systems	7,700		235
tw telecom , Cl A*	1,600		23
Verizon Communications	235,362		7,405
Windstream	900		9

			30,213


Utilities — 3.6%
AES*	482,187		6,143
AGL Resources	12,000		414
Allegheny Energy	200		4
Alliant Energy	17,200		473


Description	Shares	Market Value ($ Thousands)
Ameren	18,200	$	473
American Electric Power	51,037		1,643
Aqua America (A)	8,100		132
Atmos Energy	16,400		449
Calpine*	11,100		124
Centerpoint Energy	400		5
CMS Energy (A)	42,200		601
Consolidated Edison (A)	5,900		253
Constellation Energy Group	20,400		649
Dominion Resources	41,904		1,524
DPL	6,600		177
DTE Energy (A)	37,100		1,488
Duke Energy	11,600		194
Edison International	65,000		2,213
Energen	22,200		966
Entergy	2,200		173
Equities	10,100		416
Exelon	50,454		2,431
FirstEnergy	23,903		1,030
FPL Group	23,900		1,242
ITC Holdings	800		36
Mirant* (A)	97,300		1,386
National Fuel Gas	12,000		562
NiSource	46,500		663
Northeast Utilities	5,400		130
NRG Energy* (A)	8,200		196
NSTAR	4,600		152
NV Energy	57,200		666
OGE Energy	1,900		66
Oneok	100		4
Pepco Holdings	13,800		225
PG&E	22,919		970
Pinnacle West Capital	23,000		807
PPL	4,865		148
Progress Energy	2,800		109
Public Service Enterprise Group	58,340		1,830
Questar	2,200		87
SCANA	2,400		85
Sempra Energy	49,567		2,634
Southern	1,739		56
TECO Energy (A)	2,300		34
UGI	14,000		329
Westar Energy	1,200		25
Wisconsin Energy	3,100		140
Xcel Energy	13,845		281

			34,838

Total Common Stock (Cost $748,783) ($ Thousands)			871,155


AFFILIATED PARTNERSHIP — 10.2%
SEI Liquidity Fund, L.P. 0.320% (B)** †	98,067,520		97,301

Total Affiliated Partnership (Cost $98,068) ($ Thousands)			97,301


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)

CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.130%**†	22,595,219	$	22,595

Total Cash Equivalent (Cost $22,595) ($ Thousands)			22,595


U.S. TREASURY OBLIGATION (C) (D) — 0.5%
U.S. Treasury Bill
0.130%, 12/03/09	$5,200		5,200

Total U.S. Treasury Obligation (Cost $5,200) ($ Thousands)			5,200

Total Investments — 104.3% (Cost $874,646) ($ Thousands)		$	996,251

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	263	Dec-2009	$	1,122
S&P Mid 400 E-Mini	139	Dec-2009		70

			$	1,192

Percentages are based on a Net Assets of $954,913 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $96,118 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $97,301 ($ Thousands).

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(D)

The rate reported is the effective yield at time of purchase

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

Ser — Series

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 80.9%

Consumer Discretionary — 8.5%
99 Cents Only Stores*	5,000	$	60
Abercrombie & Fitch, Cl A	900		36
Advance Auto Parts	3,900		153
Aeropostale*	400		13
Amazon.com*	10,750		1,461
American Axle & Manufacturing Holdings	7,800		49
American Eagle Outfitters	4,100		63
American Greetings, Cl A	5,000		104
Apollo Group, Cl A*	2,000		114
Asbury Automotive Group*	5,000		53
Autoliv	11,073		450
AutoNation*	600		11
AutoZone*	900		133
Bed Bath & Beyond*	1,500		56
Best Buy	8,800		377
Black & Decker	321		20
Bob Evans Farms	1,400		35
BorgWarner	2,500		75
Brinker International	8,022		111
Brink’s Home Security Holdings*	1,500		49
Cablevision Systems, Cl A	2,900		72
Career Education*	2,500		65
Carmax*	5,200		103
Carmike Cinemas*	600		4
Carnival	1,000		32
CBS, Cl B	1,300		16
Chico’s FAS*	21,100		297
Chipotle Mexican Grill, Cl A*	3,200		267
Coach	32,900		1,143
Comcast, Cl A	177,307		2,601
Cooper Tire & Rubber	2,400		43
Core-Mark Holding*	400		12
Darden Restaurants	3,900		123
Dick’s Sporting Goods*	2,700		56
DIRECTV, Cl A*	40,273		1,274
Discovery Communications, Cl C*	2,700		76
DISH Network, Cl A	27,307		565
Dollar Tree*	3,100		152
DR Horton	1,400		14
Eastman Kodak	79,700		323
Expedia*	4,300		110
Family Dollar Stores	7,400		226
Ford Motor*	137,078		1,219
Fossil*	9,400		290
Gannett	900		9
Gap	36,500		782
Garmin	15,900		475
Gentex	600		10
Genuine Parts	600		22
Goodyear Tire & Rubber*	4,800		66
H&R Block	700		14
Hanesbrands*	4,000		96
Harley-Davidson	200		6
Harman International Industries	700		26
Hasbro	4,400		130
Helen of Troy*	3,200		66
Home Depot	17,600		482
International Game Technology	7,000		132


Description	Shares	Market Value ($ Thousands)
Interpublic Group*	2,000	$	13
J.C. Penney	15,000		431
Jarden	800		22
Johnson Controls	1,000		27
KB Home	2,700		37
Kenneth Cole Productions, Cl A	1,700		16
Kohl’s*	2,400		128
Lamar Advertising, Cl A*	500		14
Las Vegas Sands*	1,200		18
Leggett & Platt	7,800		152
Lennar, Cl A	3,400		43
Liberty Media - Capital, Ser A*	1,900		42
Liberty Media - Interactive, Cl A*	2,400		25
Liberty Media - Starz*	410		19
Limited Brands	15,900		264
Lithia Motors, Cl A	1,600		12
Lowe’s	28,800		628
Macy’s	1,900		31
Marriott International, Cl A	3,516		90
Marvel Entertainment*	263		14
McDonald’s	10,400		658
McGraw-Hill	6,400		192
MDC Holdings	700		21
MGM Mirage*	5,900		62
NetFlix*	4,400		258
Newell Rubbermaid	500		7
News, Cl A	8,700		100
NIKE, Cl B	18,600		1,207
Nordstrom	1,000		33
Office Depot*	6,800		42
Omnicom Group	1,500		55
O’Reilly Automotive*	3,500		136
Oxford Industries	2,000		43
Penn National Gaming*	2,200		59
PetSmart	1,900		49
Phillips-Van Heusen	300		12
Polo Ralph Lauren, Cl A	200		15
priceline.com*	3,700		792
Pulte Homes	1,645		15
RadioShack	700		13
Regal Entertainment Group, Cl A	1,900		26
Rent-A-Center, Cl A*	500		9
Ross Stores	19,200		844
Royal Caribbean Cruises*	1,300		32
Sally Beauty Holdings*	9,200		64
Scientific Games, Cl A*	700		10
Scripps Networks Interactive, Cl A	700		28
Sears Holdings*	10,400		738
Service International	1,500		12
Shaw Communications, Cl B	13,000		251
Sherwin-Williams	200		12
Signet Jewelers*	600		15
Smith & Wesson Holding*	13,400		66
Sonic Automotive, Cl A	10,900		96
Stanley Works	400		19
Staples	40,200		937
Starbucks*	6,800		149
Starwood Hotels & Resorts Worldwide	1,400		45
Steven Madden*	800		29
Strayer Education	900		178
Target	18,200		847
Tempur-Pedic International*	5,700		123
Thor Industries	1,900		54


Description	Shares	Market Value ($ Thousands)
Time Warner	44,066	$	1,354
Time Warner Cable, Cl A	8,233		345
TJX	27,100		1,040
Toll Brothers*	400		8
TRW Automotive Holdings*	8,500		185
Universal Technical Institute*	1,600		30
Urban Outfitters*	1,000		32
VF	900		65
Viacom, Cl B*	9,700		287
Virgin Media	4,300		71
WABCO Holdings	600		14
Walt Disney	11,190		338
Weight Watchers International	9,400		260
Wendy’s, Cl A	11,900		49
Whirlpool	100		7
Williams-Sonoma	2,300		47
WMS Industries*	1,400		55
Wyndham Worldwide	1,100		20
Wynn Resorts*	600		39
Yum! Brands	17,725		625

			30,072


Consumer Staples — 7.8%
Altria Group	20,100		378
Andersons	300		8
Archer-Daniels-Midland	8,800		271
Avon Products	8,600		295
BJ’s Wholesale Club*	7,700		267
Brown-Forman, Cl B	200		10
Bunge	3,700		229
Campbell Soup	500		18
Central European Distribution*	700		20
Clorox	3,600		217
Coca-Cola	19,300		1,104
Coca-Cola Enterprises	36,100		709
Colgate-Palmolive	3,200		269
ConAgra Foods	30,200		670
Costco Wholesale	16,609		995
CVS Caremark	13,979		434
Dean Foods*	1,300		21
Del Monte Foods	7,700		81
Dr Pepper Snapple Group	5,700		149
Energizer Holdings*	200		11
Estee Lauder, Cl A	1,344		63
Flowers Foods	400		9
General Mills	3,100		211
Green Mountain Coffee Roasters*	600		38
Hansen Natural*	300		11
Herbalife	12,400		520
Hershey	4,900		173
HJ Heinz	1,300		55
Hormel Foods	1,900		71
JM Smucker	1,000		59
Kellogg	4,000		210
Kimberly-Clark	17,200		1,135
Kraft Foods, Cl A	14,960		398
Kroger	27,100		616
Lorillard	1,000		78
NBTY*	1,500		60
Pepsi Bottling Group	3,289		125
PepsiAmericas	1,305		39
PepsiCo	26,250		1,633
Philip Morris International	58,895		2,832


Description	Shares	Market Value ($ Thousands)
Prestige Brands Holdings*	4,200	$	29
Procter & Gamble	61,700		3,847
Reynolds American	11,700		585
Safeway	1,125		25
Sanderson Farms	2,600		104
Sara Lee	131,955		1,602
Smithfield Foods*	3,400		53
Supervalu	900		12
Sysco	90,448		2,446
Tyson Foods, Cl A	86,880		1,044
Walgreen	45,247		1,760
Wal-Mart Stores	29,100		1,587
Weis Markets	400		14
Whole Foods Market*	3,300		85

			27,685


Energy — 8.3%
Alpha Natural Resources*	1,233		46
Anadarko Petroleum	3,900		232
Apache	700		67
Arch Coal	900		19
Atwood Oceanics*	700		26
Baker Hughes	200		8
BJ Services	4,186		79
Cabot Oil & Gas	2,300		88
Cameron International*	600		23
Chesapeake Energy	13,100		313
Chevron	78,186		6,102
Concho Resources*	900		37
ConocoPhillips	43,029		2,228
Consol Energy	500		23
Denbury Resources*	1,200		16
Devon Energy	5,900		397
Diamond Offshore Drilling	200		20
Dresser-Rand Group*	7,000		196
El Paso	6,100		58
Encore Acquisition*	1,097		49
ENSCO International	300		13
EOG Resources	11,800		1,021
Exxon Mobil	139,348		10,461
FMC Technologies*	1,800		98
Frontier Oil	2,400		28
Halliburton	11,300		332
Helix Energy Solutions Group*	9,900		116
Hess	823		48
Marathon Oil	31,400		1,024
Massey Energy	1,000		38
Murphy Oil	10,200		575
Nabors Industries*	900		19
National Oilwell Varco	1,389		60
Newfield Exploration*	1,100		46
Noble Energy	1,500		98
Occidental Petroleum	21,751		1,757
Oceaneering International*	1,100		60
Patterson-UTI Energy	24,500		377
Peabody Energy	1,300		58
PetroHawk Energy*	2,100		47
Pioneer Natural Resources	600		25
Plains Exploration & Production*	900		24
Pride International*	400		13
Quicksilver Resources*	3,400		45
Range Resources	1,400		66
Rowan	400		10


Description	Shares	Market Value ($ Thousands)
SandRidge Energy*	2,600	$	24
Schlumberger	8,900		569
SEACOR Holdings*	3,900		299
Southern Union	1,600		33
Southwestern Energy*	1,400		62
Spectra Energy	10,600		206
St. Mary Land & Exploration	200		6
Stone Energy*	6,500		123
Tesoro	500		6
Tidewater	1,300		58
Transocean*	3,600		307
Unit*	700		26
Valero Energy	800		13
Walter Industries	5,300		364
Western Refining*	3,900		18
Whiting Petroleum*	200		12
Williams	8,400		167
XTO Energy	13,350		567

			29,346


Financials — 11.7%
Affiliated Managers Group*	900		59
Aflac	45,825		2,109
Allied World Assurance Holdings	3,900		186
Allstate	31,000		881
AMB Property‡	600		14
American Equity Investment Life Holding	3,200		23
American Express	73,348		3,068
American Financial Group	12,100		294
American International Group*	1,700		48
AmeriCredit*	3,000		55
Ameriprise Financial	6,200		236
Annaly Capital Management‡	21,700		399
Anworth Mortgage Asset‡	7,700		55
Arch Capital Group*	100		7
Argo Group International Holdings*	3,000		88
Aspen Insurance Holdings	1,400		36
Associated Banc	3,500		40
Assurant	1,300		40
AvalonBay Communities‡	103		7
Axis Capital Holdings	10,500		294
Bancorpsouth	1,300		30
Bank of America	99,129		1,571
Bank of Hawaii	100		5
Bank of New York Mellon	40,550		1,080
BB&T	3,000		75
BlackRock, Cl A	1,200		273
Boston Properties‡	200		13
Brandywine Realty Trust‡	12,900		127
Brown & Brown	300		5
Camden Property Trust‡	100		4
Capital One Financial	27,100		1,040
CB Richard Ellis Group, Cl A*	4,900		56
CBL & Associates Properties‡	15,000		139
Charles Schwab	3,700		68
Chimera Investment‡	106,305		428
Chubb	16,900		847
Cincinnati Financial	2,600		66
Citigroup	131,200		539
City National	500		20
CME Group, Cl A	3,440		1,129


Description	Shares	Market Value ($ Thousands)
Comerica	2,700	$	77
Commerce Bancshares	499		20
Compass Diversified Holdings	700		8
Credicorp	8,300		593
Cullen/Frost Bankers	1,000		48
Dime Community Bancshares	2,100		24
Discover Financial Services	77,603		1,200
Duke Realty‡	500		6
Eaton Vance	2,900		87
Endurance Specialty Holdings	12,400		464
Equity Residential‡	100		3
Erie Indemnity, Cl A	300		11
Everest Re Group	4,200		357
Fairfax Financial Holdings	600		212
Federal Realty Investment Trust‡	200		13
Federated Investors, Cl B	4,000		103
Fidelity National Financial, Cl A	1,200		17
Fifth Third Bancorp	7,100		72
First American	400		13
First Cash Financial Services*	700		13
First Commonwealth Financial	8,000		34
First Community Bancshares	800		9
First Horizon National*	3,203		43
Flagstone Reinsurance Holdings	1,900		21
FNB (Pennsylvania)	7,200		47
Forest City Enterprises, Cl A	3,500		38
Franklin Resources	7,600		821
Genworth Financial, Cl A*	4,000		43
Goldman Sachs Group	11,235		1,906
Greenhill	500		41
Hartford Financial Services Group	2,900		71
HCC Insurance Holdings	3,300		86
HCP‡	1,700		53
Health Care REIT‡	100		4
Hospitality Properties Trust‡	1,000		19
Host Hotels & Resorts‡	6,000		63
HRPT Properties Trust‡	8,100		50
Hudson City Bancorp	82,097		1,091
Huntington Bancshares	19,700		75
IntercontinentalExchange*	9,400		1,004
International Bancshares	500		8
Invesco	5,800		129
Invesco Mortgage Capital‡	500		11
Jefferies Group	2,800		66
Jones Lang LaSalle	1,300		66
JPMorgan Chase	43,900		1,865
Keycorp	11,100		65
Lazard, Cl A	1,400		54
Legg Mason	500		14
Liberty Property Trust‡	1,100		33
Lincoln National	2,900		66
Loews	5,200		184
M&T Bank	400		26
Macerich‡	300		9
Mack-Cali Realty‡	100		3
Marshall & Ilsley	13,800		79
MetLife	3,100		106
MFA Mortgage Investments‡	18,400		139
Moody’s	40,297		936
Morgan Stanley	8,200		259
MSCI, Cl A*	500		15
NASDAQ OMX Group*	800		15
Nationwide Health Properties‡	400		14


Description	Shares	Market Value ($ Thousands)
New York Community Bancorp	41,500	$	485
Northern Trust	8,075		400
NYSE Euronext	40,500		1,024
OceanFirst Financial	900		9
Old Republic International	2,300		25
OneBeacon Insurance Group, Cl A	1,100		15
PartnerRe	2,100		162
People’s United Financial	2,100		34
Phoenix	7,300		18
Platinum Underwriters Holdings	12,400		438
PNC Financial Services Group	6,143		350
Principal Financial Group	3,600		91
Progressive	5,500		92
Protective Life	3,300		55
Provident Financial Services	4,800		51
Prudential Financial	9,200		459
Public Storage‡	1,000		80
Ramco-Gershenson Properties‡	2,000		18
Raymond James Financial	900		22
Rayonier‡	600		24
Regions Financial	9,150		54
Reinsurance Group of America, Cl A	2,200		102
RenaissanceRe Holdings	2,000		107
Senior Housing Properties Trust‡	2,200		46
Simon Property Group ‡	216		16
SL Green Realty‡	800		36
SLM*	4,900		54
St. Joe*	400		10
State Street	17,850		737
SunTrust Banks	1,200		28
Susquehanna Bancshares	2,400		14
T. Rowe Price Group	53,106		2,598
TCF Financial	4,200		55
TD Ameritrade Holding*	900		18
Torchmark	3,706		161
Transatlantic Holdings	300		16
Travelers	19,100		1,001
Trustco Bank	6,800		42
United America Indemnity, Cl A*	1,100		8
Unum Group	6,300		120
US Bancorp	61,897		1,494
Validus Holdings	600		16
Ventas‡	400		17
Waddell & Reed Financial, Cl A	2,500		73
Webster Financial	2,900		37
Wells Fargo	81,987		2,299
WesBanco	700		9
World Acceptance*	1,200		35
WR Berkley	1,500		37
XL Capital, Cl A	4,500		82
Zions Bancorporation	5,500		72

			41,722


Health Care — 10.6%
Abbott Laboratories	10,000		545
Aetna	40,000		1,164
Allergan	32,700		1,901
Allscripts-Misys Healthcare Solutions*	700		13
American Medical Systems Holdings*	3,700		65
AmerisourceBergen	69,493		1,716


Description	Shares	Market Value ($ Thousands)
Amgen*	53,063	$	2,990
Amylin Pharmaceuticals*	1,300		19
Baxter International	3,200		175
Beckman Coulter	200		13
Becton Dickinson	100		8
Biogen Idec*	36,116		1,695
Boston Scientific*	13,900		116
Bristol-Myers Squibb	35,900		909
Bruker*	600		7
C.R. Bard	1,200		99
Cardinal Health	55,720		1,796
CareFusion*	6,200		160
Celgene*	400		22
Cephalon*	100		6
Cerner*	800		60
Charles River Laboratories International*	800		26
CIGNA	2,700		87
Community Health Systems*	700		21
Cooper	400		13
Coventry Health Care*	3,200		72
DaVita*	200		12
Dendreon*	2,900		79
Edwards Lifesciences*	1,400		115
Eli Lilly	12,800		470
Endo Pharmaceuticals Holdings*	2,000		44
Enzon Pharmaceuticals*	2,800		27
Express Scripts*	500		43
Forest Laboratories*	5,700		175
Gen-Probe*	200		8
Genzyme*	6,425		326
Gilead Sciences*	30,900		1,423
Health Management Associates, Cl A*	2,600		16
Health Net*	18,900		401
Hologic*	2,700		39
Hospira*	3,900		183
Humana*	1,000		42
IMS Health	1,673		36
Intuitive Surgical*	1,200		337
Inverness Medical Innovations*	1,000		42
Johnson & Johnson	68,717		4,318
Kinetic Concepts*	800		27
King Pharmaceuticals*	3,200		38
Laboratory Corp of America Holdings*	1,900		139
Life Technologies*	800		40
LifePoint Hospitals*	700		20
Lincare Holdings*	12,700		451
McKesson	22,547		1,398
Medco Health Solutions*	25,500		1,611
Mednax*	800		45
Medtronic	26,925		1,143
Merck	25,113		909
Meridian Bioscience	2,000		41
Mettler Toledo International*	1,500		149
Millipore*	400		27
Mylan Laboratories*	7,400		132
Novo Nordisk ADR	12,000		801
Par Pharmaceutical*	1,400		33
Perrigo	600		24
Pfizer	177,265		3,221
Quest Diagnostics	7,700		446


Description	Shares	Market Value ($ Thousands)
Quidel*	2,600	$	33
ResMed*	600		30
St. Jude Medical*	500		18
Stryker	13,715		691
Tenet Healthcare*	2,500		11
Thermo Fisher Scientific*	7,800		368
UnitedHealth Group	84,827		2,432
Universal Health Services, Cl B	700		39
Valeant Pharmaceuticals International*	6,100		199
Vertex Pharmaceuticals*	100		4
Watson Pharmaceuticals*	800		30
WellPoint*	23,000		1,243
Zimmer Holdings*	200		12

			37,639


Industrials — 7.1%
3M	12,500		968
Aecom Technology*	3,600		91
AGCO*	500		15
Aircastle	2,400		21
Alliant Techsystems*	3,200		274
American Science & Engineering	300		21
AO Smith	500		21
AZZ*	300		10
BE Aerospace*	1,700		33
Boeing	3,850		202
Brink’s	1,300		29
Bucyrus International, Cl A	300		16
Burlington Northern Santa Fe	2,904		286
C.H. Robinson Worldwide	7,000		390
Carlisle	700		22
Caterpillar	500		29
Cintas	1,200		34
Con-way	900		27
Copa Holdings, Cl A	600		30
Corrections of America*	600		15
Crane	5,651		158
CSX	2,700		128
Cummins	100		4
Danaher	100		7
Deere	5,050		270
Donaldson	17,551		746
Dover	8,600		352
Dun & Bradstreet	400		31
DynCorp International, Cl A*	3,000		42
Eaton	400		26
Emerson Electric	800		33
Ennis	1,200		17
Expeditors International Washington	29,000		926
Fastenal	100		4
FedEx	2,300		194
First Solar*	200		24
Flowserve	400		40
Fluor	25,512		1,084
Foster Wheeler*	8,100		242
Gardner Denver	7,600		284
General Cable*	1,000		29
General Dynamics	29,896		1,970
General Electric	112,000		1,794
Goodrich	8,500		504
Harsco	1,900		59


Description	Shares	Market Value ($ Thousands)
Hertz Global Holdings*	3,500	$	34
Honeywell International	3,000		116
Hubbell, Cl B	3,808		173
IDEX	100		3
Illinois Tool Works	19,969		971
Iron Mountain*	3,200		77
ITT	3,500		181
Jacobs Engineering Group*	700		25
JB Hunt Transport Services	400		13
Joy Global	6,300		337
KBR	44,174		823
Kirby*	700		23
L-3 Communications Holdings, Cl 3	3,200		251
Lennox International	400		15
Lockheed Martin	18,620		1,438
Manpower	2,900		143
Masco	700		9
McDermott International*	8,200		172
Monster Worldwide*	3,400		50
Multi-Color	400		4
Navistar International*	400		13
Norfolk Southern	200		10
Northrop Grumman	20,300		1,113
Oshkosh Truck	11,200		445
Owens Corning*	11,500		272
Paccar	500		19
Parker Hannifin	500		27
Pitney Bowes	200		5
Precision Castparts	600		62
Quanta Services*	15,000		281
Raytheon	20,000		1,031
Robert Half International	300		7
Rockwell Automation	2,200		96
Rockwell Collins	1,800		96
Roper Industries	100		5
RR Donnelley & Sons	13,000		268
Ryder System	700		28
Schawk, Cl A	1,000		11
Shaw Group*	600		17
Southwest Airlines	78,707		724
Spirit Aerosystems Holdings, Cl A*	1,800		33
SPX	200		11
Tennant	600		16
Terex*	1,600		30
Textron	1,300		26
Thomas & Betts*	900		33
Toro	2,200		88
TransDigm Group	700		30
Tyco International	17,300		621
Union Pacific	14,400		911
United Parcel Service, Cl B	20,850		1,199
United Technologies	9,300		625
URS*	3,300		137
UTi Worldwide	700		9
Waste Management	4,700		154
Watson Wyatt Worldwide, Cl A	2,500		103
Werner Enterprises	3,300		62
WESCO International*	500		13
WW Grainger	3,200		313

			25,304


Description	Shares	Market Value ($ Thousands)

Information Technology — 18.6%
Acme Packet*	2,900	$	30
Adobe Systems*	24,300		852
Advanced Micro Devices*	5,000		35
Affiliated Computer Services, Cl A*	1,886		104
Akamai Technologies*	600		14
Alliance Data Systems*	700		43
Altera	2,300		48
Amphenol, Cl A	300		12
Analog Devices	2,200		66
Apple*	16,675		3,334
Applied Materials	1,100		14
Arris Group*	1,800		18
Arrow Electronics*	1,900		50
Autodesk*	11,900		279
Automatic Data Processing	4,000		174
Avnet*	15,800		431
BMC Software*	8,700		337
Brightpoint*	3,800		27
Broadcom, Cl A*	8,400		245
Broadridge Financial Solutions	4,800		105
Brocade Communications Systems*	1,800		13
CA	31,800		703
Cadence Design Systems*	6,800		41
Celestica*	29,600		242
Ciena*	900		11
Cirrus Logic*	3,000		16
Cisco Systems*	131,100		3,068
Citrix Systems*	800		31
Cognizant Technology Solutions, Cl A*	2,900		127
CommScope*	600		15
Computer Sciences*	22,759		1,259
Convergys*	1,400		16
Corning	121,564		2,028
Cree*	800		38
Cypress Semiconductor*	3,400		33
DealerTrack Holdings*	2,500		43
Dell*	34,506		487
Dolby Laboratories, Cl A*	700		31
DST Systems*	2,000		85
eBay*	45,040		1,102
Electronic Arts*	14,300		241
EMC*	68,900		1,160
Equinix*	400		38
F5 Networks*	1,000		47
Factset Research Systems	800		58
Fidelity National Information Services	7,859		178
Fiserv*	5,600		259
Flextronics International*	67,700		479
Google, Cl A*	8,125		4,737
Harris	13,100		575
Hewitt Associates, Cl A*	9,600		386
Hewlett-Packard	45,400		2,227
IAC*	5,900		115
infoGROUP	1,000		8
Ingram Micro, Cl A*	56,459		959
Intel	164,895		3,166
International Business Machines	34,334		4,338


Description	Shares	Market Value ($ Thousands)
Intersil, Cl A	2,600	$	34
Intuit*	36,100		1,054
j2 Global Communications*	600		12
Jabil Circuit	18,300		244
JDS Uniphase*	5,800		43
Juniper Networks*	1,000		26
Kla-Tencor	1,700		53
Lam Research*	1,100		37
Lender Processing Services	600		25
Linear Technology	2,800		76
Loral Space & Communications*	400		13
Marvell Technology Group*	21,800		336
Mastercard, Cl A	5,900		1,421
Maxim Integrated Products	700		12
McAfee*	3,400		130
MEMC Electronic Materials*	1,700		20
Microchip Technology	1,300		34
Micron Technology*	3,900		29
Micros Systems*	3,100		87
Microsoft	264,436		7,777
Molex	1,400		26
Motorola	13,917		111
National Semiconductor	500		7
NetApp*	3,700		114
NeuStar, Cl A*	17,600		412
Nokia ADR	28,600		379
Novatel Wireless*	7,800		65
Novellus Systems*	3,400		70
Nuance Communications*	900		14
NVE*	200		8
Nvidia*	16,600		217
ON Semiconductor*	1,100		9
Oplink Communications*	400		7
Oracle	51,400		1,135
Paychex	13,500		423
Pegasystems	1,100		32
Qualcomm	46,125		2,076
Rackspace Hosting*	17,500		324
Rambus*	1,000		18
Red Hat*	9,300		248
Rovi*	1,900		57
SAIC*	300		5
Salesforce.com*	600		38
SanDisk*	300		6
Seagate Technology	61,300		927
Semtech*	3,300		53
Silicon Laboratories*	1,600		68
Sun Microsystems*	8,595		73
Sybase*	2,200		88
Symantec*	107,000		1,899
Synopsys*	4,900		110
Tech Data*	23,303		981
Technitrol	2,900		15
Tellabs*	7,000		39
Teradata*	31,900		935
Teradyne*	5,500		49
Texas Instruments	136,088		3,442
Total System Services	5,900		102
Trimble Navigation*	400		9
Varian Semiconductor Equipment Associates*	400		12
VeriSign*	35,600		799
Visa, Cl A	30,261		2,451


Description	Shares	Market Value ($ Thousands)
Vishay Intertechnology*	3,800	$	28
VMware, Cl A*	1,000		42
WebMD Health, Cl A*	888		32
Western Digital*	18,600		685
Western Union	19,100		352
Xerox	7,121		55
Xilinx	3,600		81
Yahoo!*	61,650		923
Zebra Technologies, Cl A*	1,000		26

			66,118


Materials — 2.7%
Air Products & Chemicals	1,400		116
Albemarle	1,900		64
Alcoa	1,400		18
Allegheny Technologies	1,100		38
Ashland	1,000		36
Ball	3,100		153
Bemis	15,100		443
Celanese, Cl A	3,500		104
CF Industries Holdings	271		23
Cliffs Natural Resources	20,836		918
Commercial Metals	1,200		19
Crown Holdings*	4,300		108
E.I. Du Pont de Nemours	3,600		125
Eagle Materials	1,400		38
Eastman Chemical	1,000		60
Ecolab	4,600		207
FMC	400		22
Freeport-McMoRan Copper & Gold, Cl B	6,400		530
Greif, Cl A	900		50
Huntsman	53,820		512
International Flavors & Fragrances	200		8
International Paper	1,100		28
Intrepid Potash*	100		3
Koppers Holdings	1,300		37
Lubrizol	8,800		638
MeadWestvaco	2,200		60
Monsanto	3,900		315
Mosaic	100		6
Nalco Holding	31,700		775
NewMarket	1,300		136
Newmont Mining	800		43
Nucor	10,500		445
Owens-Illinois*	2,500		78
Packaging of America	200		4
Pactiv*	6,500		158
PPG Industries	900		54
Praxair	11,000		902
Reliance Steel & Aluminum	200		8
RPM International	1,600		31
Schnitzer Steel Industries, Cl A	500		22
Scotts Miracle-Gro, Cl A	3,800		152
Sealed Air	2,800		63
Sigma-Aldrich	100		5
Solutia*	9,200		99
Sonoco Products	800		23
Southern Copper	30,400		1,059
Spartech	2,700		29
Steel Dynamics	1,000		17
Stepan	800		50
Syngenta ADR	14,400		771


Description	Shares	Market Value ($ Thousands)
Temple-Inland	2,800	$	50
Terra Industries	533		21
Valspar	1,500		39
Weyerhaeuser	400		16

			9,729


Telecommunication Services — 2.7%
AT&T	197,443		5,319
BCE	9,700		257
CenturyTel	8,473		302
Crown Castle International*	32,800		1,203
MetroPCS Communications*	3,900		25
NII Holdings*	13,600		405
Qwest Communications International	14,300		52
Rogers Communications, Cl B	7,900		239
SBA Communications, Cl A*	1,200		39
Sprint Nextel*	178,284		661
tw telecom , Cl A*	900		13
USA Mobility	700		7
Verizon Communications	35,800		1,126
Windstream	150		2

			9,650


Utilities — 2.9%
AES*	163,026		2,077
AGL Resources	2,000		69
Allegheny Energy	100		2
American Electric Power	5,100		164
American Water Works	1,600		36
Aqua America	5,400		88
Atmos Energy	2,400		66
Calpine*	5,900		66
Centerpoint Energy	200		3
CMS Energy	9,200		131
Consolidated Edison	3,200		137
Constellation Energy Group	9,800		312
Dominion Resources	2,800		102
DPL	3,500		94
DTE Energy	2,440		98
Duke Energy	1,400		23
Edison International	14,800		504
Energen	6,110		266
Entergy	300		24
Equities	4,800		198
Exelon	500		24
FirstEnergy	28,185		1,214
FPL Group	11,800		613
ITC Holdings	300		13
Mirant*	47,500		676
National Fuel Gas	500		23
Northeast Utilities	3,000		72
NRG Energy*	500		12
NSTAR	2,400		79
NV Energy	44,400		517
OGE Energy	1,000		35
Oneok	100		4
PG&E	3,200		135
Pinnacle West Capital	5,400		190
PPL	10,554		322
Progress Energy	1,600		63
Public Service Enterprise Group	21,300		668
Questar	1,300		52


Description	Shares/Face Amount ($ Thousands)	Market Value ($ Thousands)
SCANA	1,200	$	42
Sempra Energy	14,300		760
Southern	700		23
TECO Energy	1,400		21
UGI	7,900		185
Westar Energy	700		14
Wisconsin Energy	1,900		86
Xcel Energy	7,500		152

			10,455

Total Common Stock (Cost $255,251) ($ Thousands)			287,720


AFFILIATED PARTNERSHIP — 12.2%
SEI LIBOR Plus Portfolio†	6,723,909		43,302


Total Affiliated Partnership (Cost $58,111) ($ Thousands)			43,302


CASH EQUIVALENT — 4.5%
SEI Daily Income Trust, Prime Obligation Fund, ClA, 0.130%**†	16,000,101		16,000

Total Cash Equivalent (Cost $16,000) ($ Thousands)			16,000


U.S. TREASURY OBLIGATIONS (A) (B) — 2.1%
U.S. Treasury Bills
0.079%, 01/07/10	$2,500		2,500
0.130%, 12/03/09	4,848		4,848
0.193%, 09/23/10	299		299

Total U.S. Treasury Obligations (Cost $7,647) ($ Thousands)			7,647

Total Investments — 99.7% (Cost $337,009) ($ Thousands)		$	354,669

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	240	Dec-2009	$	4,839
S&P 500 E-Mini	20	Dec-2009		58

			$	4,897

Percentages are based on a Net Assets of $355,676 ($ Thousands).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

ADR — American Depositary Receipt

Cl — Class

LIBOR — London Interbank Offered Rate

REIT — Real Estate Investment Trust

Ser — Series

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 83.7%

Consumer Discretionary — 8.0%
99 Cents Only Stores*	22,900	$	275
Abercrombie & Fitch, Cl A (A)	20,300		811
Amazon.com* (A)	102,905		13,986
American Greetings, Cl A	22,500		466
Apollo Group, Cl A* (A)	198,402		11,323
Autoliv (A)	41,907		1,702
AutoNation* (A)	77,300		1,364
AutoZone* (A)	24,900		3,682
Bed Bath & Beyond* (A)	33,100		1,237
Best Buy (A)	220,500		9,444
Black & Decker	10,319		626
Carnival	52,800		1,691
CBS, Cl B	64,000		820
Chico’s FAS* (A)	368,700		5,188
Coach (A)	417,600		14,512
Comcast, Cl A	4,455,886		65,368
Cooper Tire & Rubber	24,900		446
Darden Restaurants (A)	562,170		17,669
DIRECTV, Cl A* (A)	188,238		5,954
DISH Network, Cl A	266,347		5,516
Dollar Tree* (A)	40,000		1,959
DR Horton (A)	50,500		519
Expedia* (A)	105,300		2,683
Family Dollar Stores (A)	211,900		6,465
Ford Motor* (A)	2,235,005		19,869
GameStop, Cl A* (A)	13,000		317
Gannett	79,500		786
Gap	94,700		2,028
Genuine Parts (A)	27,600		989
Goodyear Tire & Rubber* (A)	111,700		1,531
H&R Block	26,100		530
Hanesbrands*	29,500		708
Harley-Davidson (A)	28,700		836
Harman International Industries (A)	37,400		1,406
Hasbro (A)	603,430		17,892
Helen of Troy*	7,000		144
Home Depot (A)	1,178,468		32,243
International Game Technology (A)	137,900		2,605
Interpublic Group*	44,200		280
J Crew Group* (A)	206,090		8,819
J.C. Penney	56,700		1,629
Johnson Controls	740,656		20,035
KB Home (A)	87,000		1,179
Kohl’s* (A)	38,800		2,062
Las Vegas Sands* (A)	239,338		3,667
Leggett & Platt	381,900		7,432
Lennar, Cl A (A)	137,100		1,737
Limited Brands	64,200		1,065
Lowe’s	255,900		5,581
Macy’s	1,214,038		19,801
Maidenform Brands*	9,100		132
Marriott International, Cl A (A)	225,141		5,791
Mattel (A)	12,600		245
McDonald’s	387,532		24,511
McGraw-Hill	145,400		4,356
Meredith (A)	45,500		1,199
New York Times, Cl A (A)	228,933		1,932
Newell Rubbermaid (A)	137,200		1,991
News, Cl A (A)	348,100		3,989


Description	Shares	Market Value ($ Thousands)
NIKE, Cl B (A)	34,400	$	2,232
Nordstrom (A)	256,616		8,584
NVR* (A)	19,045		12,820
Office Depot*	226,200		1,389
Omnicom Group	87,800		3,224
O’Reilly Automotive* (A)	77,500		3,005
Oxford Industries	8,000		172
PetMed Express (A)	29,300		481
Polo Ralph Lauren, Cl A (A)	20,900		1,606
priceline.com* (A)	75,430		16,151
Pulte Homes (A)	15,865		145
RadioShack	35,100		662
Ross Stores (A)	104,400		4,592
Royal Caribbean Cruises*	479,330		11,777
Sally Beauty Holdings* (A)	92,300		644
Scripps Networks Interactive, Cl A	16,800		664
Sears Holdings* (A)	4,900		348
Sherwin-Williams (A)	38,200		2,324
Smith & Wesson Holding* (A)	184,500		911
Sonic Automotive, Cl A (A)	125,200		1,108
Stanley Works (A)	17,700		860
Staples	23,300		543
Starbucks*	935,134		20,479
Starwood Hotels & Resorts Worldwide (A)	37,900		1,214
Steven Madden*	9,900		353
Strayer Education (A)	9,900		1,955
Target (A)	423,662		19,726
Tempur-Pedic International*	125,800		2,711
Thor Industries	20,700		589
Tiffany (A)	26,700		1,140
Time Warner	581,335		17,859
Time Warner Cable, Cl A (A)	366,812		15,366
TJX	164,000		6,294
TRW Automotive Holdings*	91,800		1,998
Universal Technical Institute*	9,700		183
VF (A)	18,400		1,338
Viacom, Cl B* (A)	288,300		8,545
Walt Disney (A)	806,083		24,360
Wyndham Worldwide	75,000		1,393
Wynn Resorts* (A)	23,100		1,491
Yum! Brands	179,300		6,324

			580,583


Consumer Staples — 10.0%
Altria Group	1,634,244		30,740
American Italian Pasta, Cl A* (A)	13,400		427
Andersons	5,400		141
Archer-Daniels-Midland	1,085,978		33,459
Avon Products	24,500		839
Brown-Forman, Cl B	20,921		1,070
Clorox	10,000		603
Coca-Cola (A)	772,604		44,193
Coca-Cola Enterprises (A)	951,617		18,699
Colgate-Palmolive	72,900		6,138
Costco Wholesale (A)	334,017		20,011
CVS Caremark	540,678		16,766
Dean Foods*	69,200		1,100
Dr Pepper Snapple Group	16,100		422
Estee Lauder, Cl A (A)	158,463		7,421
General Mills	299,960		20,397
Hershey (A)	75,700		2,678


Description	Shares	Market Value ($ Thousands)
Hormel Foods (A)	39,100	$	1,467
JM Smucker	9,000		532
Kellogg	73,600		3,870
Kimberly-Clark	315,741		20,829
Kraft Foods, Cl A	544,183		14,465
Kroger	821,717		18,686
Lorillard	13,800		1,076
Medifast*	15,100		407
Pepsi Bottling Group	64,551		2,450
PepsiCo (A)	901,097		56,066
Philip Morris International	1,683,491		80,959
Procter & Gamble	1,596,411		99,536
Reynolds American (A)	146,300		7,309
Safeway	9,200		207
Sanderson Farms (A)	43,200		1,735
Sara Lee	1,462,215		17,751
Supervalu (A)	40,100		555
Sysco (A)	1,021,351		27,617
Tyson Foods, Cl A (A)	1,486,928		17,873
Walgreen (A)	899,492		34,981
Wal-Mart Stores	1,929,689		105,265
Whole Foods Market* (A)	109,900		2,819

			721,559


Energy — 10.1%
Anadarko Petroleum (A)	81,500		4,852
Apache (A)	267,560		25,493
Baker Hughes (A)	23,867		972
BJ Services (A)	111,030		2,085
Cabot Oil & Gas (A)	48,100		1,842
Cal Dive International*	165,000		1,198
Cameron International*	28,600		1,081
Chesapeake Energy (A)	350,200		8,377
Chevron	1,903,443		148,545
ConocoPhillips	1,047,143		54,211
Consol Energy	24,100		1,107
Denbury Resources* (A)	63,200		839
Devon Energy	197,700		13,315
Diamond Offshore Drilling (A)	9,800		976
Dresser-Rand Group*	61,000		1,713
El Paso	456,200		4,361
ENSCO International	32,300		1,421
EOG Resources	15,200		1,315
Exxon Mobil	3,400,086		255,244
FMC Technologies* (A)	85,200		4,641
Halliburton	434,770		12,765
Helix Energy Solutions Group* (A)	211,000		2,481
Hess	507,715		29,427
Marathon Oil (A)	1,075,640		35,087
Massey Energy (A)	45,300		1,706
Murphy Oil	283,285		15,974
Nabors Industries* (A)	46,900		969
National Oilwell Varco	119,365		5,135
Noble Energy	39,400		2,571
Occidental Petroleum	252,906		20,432
Patterson-UTI Energy	193,259		2,974
Peabody Energy	59,900		2,663
Pioneer Natural Resources (A)	56,100		2,320
Range Resources	35,500		1,673
Rowan (A)	18,000		444
Schlumberger (A)	398,946		25,489


Description	Shares	Market Value ($ Thousands)
Smith International (A)	304,860	$	8,286
Southwestern Energy*	31,800		1,398
Spectra Energy	302,300		5,868
Sunoco	12,700		320
Tesoro (A)	62,500		799
Valero Energy	69,800		1,109
Walter Industries	34,500		2,367
Western Refining* (A)	170,600		793
Williams	179,300		3,566
World Fuel Services (A)	7,600		404
XTO Energy	149,925		6,363

			726,971


Financials — 11.9%
Aflac	160,177		7,373
Allied World Assurance Holdings	29,800		1,424
Allstate	105,947		3,010
American Express	1,751,778		73,277
American International Group* (A)	59,700		1,695
Ameriprise Financial	115,436		4,400
Annaly Capital Management‡	430,989		7,934
Anworth Mortgage Asset‡	175,500		1,264
Argo Group International Holdings*	5,100		149
Assurant	50,200		1,535
Bank of America	3,408,159		54,019
Bank of New York Mellon	821,438		21,883
BB&T (A)	34,900		869
BlackRock, Cl A (A)	95,121		21,600
Boston Private Financial Holdings	24,600		115
Boston Properties‡ (A)	26,200		1,755
Brandywine Realty Trust‡	106,300		1,044
Capital One Financial (A)	297,700		11,420
CB Richard Ellis Group, Cl A* (A)	152,800		1,746
Charles Schwab (A)	62,800		1,151
Chimera Investment‡	1,325,450		5,342
Chubb	96,400		4,833
Cincinnati Financial	88,800		2,266
Citigroup	4,303,470		17,687
CME Group, Cl A	30,530		10,021
Colonial Properties Trust‡	22,600		244
Comerica	98,300		2,799
Community Bank System (A)	22,700		421
Cullen/Frost Bankers	68,996		3,313
Discover Financial Services	1,568,565		24,250
Endurance Specialty Holdings (A)	42,700		1,597
Equity Residential‡ (A)	222,100		7,154
Federated Investors, Cl B (A)	104,900		2,704
Fifth Third Bancorp	238,400		2,403
First Horizon National* (A)	99,362		1,346
FNB (Pennsylvania)	25,200		164
Forest City Enterprises, Cl A (A)	32,500		349
Franklin Resources	36,709		3,966
Genworth Financial, Cl A* (A)	140,200		1,510
Goldman Sachs Group (A)	350,923		59,538
Hartford Financial Services Group (A)	95,364		2,333
HCP‡ (A)	68,000		2,128
Host Hotels & Resorts‡ (A)	178,000		1,873
Hudson City Bancorp	1,150,323		15,288
Huntington Bancshares (A)	1,304,800		4,984
IntercontinentalExchange* (A)	18,200		1,944


Description	Shares	Market Value ($ Thousands)
International Bancshares (A)	31,300	$	525
Invesco	214,300		4,768
JPMorgan Chase	2,822,544		119,930
Keycorp (A)	390,400		2,288
Legg Mason (A)	29,000		820
Leucadia National (A)	14,300		308
Lincoln National	208,600		4,779
Loews	92,100		3,262
M&T Bank (A)	47,519		3,116
Marsh & McLennan	31,800		717
Marshall & Ilsley	450,100		2,588
MBIA* (A)	160,600		556
MetLife	825,493		28,224
MFA Mortgage Investments‡	545,200		4,127
Moody’s (A)	888,148		20,632
Morgan Stanley	244,216		7,712
NASDAQ OMX Group*	56,900		1,063
Northern Trust	135,424		6,704
NYSE Euronext (A)	171,700		4,340
PartnerRe (A)	9,669		745
People’s United Financial	19,500		318
Platinum Underwriters Holdings	31,800		1,122
PNC Financial Services Group (A)	520,311		29,663
Principal Financial Group	116,000		2,945
Progressive (A)	173,616		2,911
Prudential Financial	460,680		22,965
Public Storage‡ (A)	21,600		1,719
Regions Financial	780,000		4,571
Simon Property Group‡ (A)	19,469		1,415
SLM* (A)	159,600		1,751
State Street	134,500		5,555
SunTrust Banks (A)	83,400		1,971
Susquehanna Bancshares (A)	37,400		215
T. Rowe Price Group (A)	619,900		30,332
Torchmark (A)	22,500		978
Travelers	625,385		32,764
Unum Group	82,600		1,573
US Bancorp (A)	1,279,664		30,878
Ventas‡ (A)	25,000		1,073
Vornado Realty Trust‡ (A)	2,114		138
Webster Financial (A)	65,800		838
Wells Fargo (A)	2,229,655		62,519
Wintrust Financial (A)	13,200		343
World Acceptance* (A)	11,700		343
XL Capital, Cl A (A)	130,100		2,382
Zions Bancorporation (A)	194,500		2,558

			859,164


Health Care — 11.0%
Abbott Laboratories	531,846		28,980
Aetna	36,400		1,060
Allergan	126,100		7,330
American Medical Systems Holdings*	54,000		949
AmerisourceBergen	878,307		21,685
Amgen*	919,852		51,834
Baxter International	238,900		13,032
Biogen Idec*	530,613		24,907
Boston Scientific*	123,900		1,037
Bristol-Myers Squibb	1,152,247		29,163
Cardinal Health	847,328		27,309
CareFusion*	168,900		4,363


Description	Shares	Market Value ($ Thousands)
Celgene*	88,400	$	4,902
Cephalon* (A)	27,800		1,527
CIGNA	100,700		3,231
Coventry Health Care*	236,452		5,332
DaVita*	7,900		468
Eli Lilly (A)	606,752		22,286
Express Scripts*	16,700		1,433
Forest Laboratories*	56,500		1,732
Gilead Sciences* (A)	456,171		21,007
Hospira*	93,000		4,366
Humana* (A)	287,067		11,916
IMS Health	35,609		761
Intuitive Surgical* (A)	31,900		8,949
Invacare (A)	22,200		553
Johnson & Johnson	2,179,694		136,972
King Pharmaceuticals* (A)	139,000		1,644
Laboratory Corp of America Holdings* (A)	11,700		854
Life Technologies*	26,600		1,324
McKesson	606,259		37,600
Medco Health Solutions*	222,648		14,062
Medtronic	795,269		33,751
Merck	1,227,315		44,441
Meridian Bioscience	12,300		255
Mettler Toledo International* (A)	18,000		1,791
Millipore*	38,000		2,588
Mylan Laboratories* (A)	192,300		3,437
Par Pharmaceutical*	14,000		332
Pfizer	5,553,948		100,915
Quest Diagnostics (A)	119,800		6,941
Quidel*	13,600		171
St. Jude Medical*	11,700		430
Stryker (A)	195,048		9,830
Tenet Healthcare*	298,400		1,358
Thermo Fisher Scientific* (A)	356,180		16,822
UnitedHealth Group	672,380		19,277
Valeant Pharmaceuticals International* (A)	25,500		834
Waters*	176,440		10,371
Watson Pharmaceuticals* (A)	89,200		3,309
WellPoint*	614,166		33,183
Zimmer Holdings*	155,610		9,207

			791,811


Industrials — 8.4%
3M	492,216		38,117
AGCO* (A)	457,041		13,853
Alaska Air Group*	11,000		329
Alliant Techsystems* (A)	53,800		4,612
Avery Dennison (A)	161,432		6,063
Boeing (A)	191,218		10,022
Burlington Northern Santa Fe	132,834		13,057
C.H. Robinson Worldwide (A)	101,800		5,674
Caterpillar (A)	139,188		8,127
Cintas (A)	29,300		823
CSX	69,600		3,305
Cummins	14,040		630
Danaher (A)	38,900		2,759
Deere	62,900		3,366
Dollar Thrifty Automotive Group* (A)	13,100		242
Dover	135,000		5,519


Description	Shares	Market Value ($ Thousands)
Dun & Bradstreet (A)	24,700	$	1,941
DynCorp International, Cl A*	10,800		151
Eaton (A)	244,610		15,631
Emerson Electric	179,930		7,451
Equifax	127,800		3,662
Expeditors International Washington (A)	11,200		358
FedEx	111,106		9,383
First Solar* (A)	7,700		917
Flowserve	9,400		935
Fluor (A)	378,377		16,073
General Dynamics	643,129		42,382
General Electric (A)	4,056,486		64,985
Goodrich (A)	76,400		4,534
Harsco	104,949		3,257
Honeywell International	161,553		6,215
Hubbell, Cl B	54,198		2,461
Illinois Tool Works	642,724		31,262
Iron Mountain* (A)	78,300		1,879
ITT	62,700		3,243
Jacobs Engineering Group* (A)	31,900		1,116
Joy Global	31,968		1,711
KBR	405,178		7,549
L-3 Communications Holdings, Cl 3	58,700		4,600
Lockheed Martin	745,887		57,605
Masco (A)	55,200		750
McDermott International*	13,600		285
Monster Worldwide* (A)	113,500		1,658
Norfolk Southern	9,100		468
Northrop Grumman	527,846		28,926
Oshkosh Truck	101,400		4,029
Owens Corning*	17,200		406
Paccar (A)	72,369		2,683
Parker Hannifin	17,300		933
Precision Castparts	122,580		12,709
Quanta Services*	11,200		210
Raytheon	383,004		19,736
Robert Half International (A)	34,800		777
Rockwell Automation (A)	54,700		2,379
Rockwell Collins	34,200		1,828
RR Donnelley & Sons	104,300		2,147
Ryder System	26,300		1,066
Southwest Airlines	1,299,529		11,955
Stericycle* (A)	21,000		1,149
Textron (A)	61,900		1,241
Thomas & Betts*	14,945		546
Toro (A)	32,200		1,283
Union Pacific (A)	343,250		21,714
United Parcel Service, Cl B (A)	648,657		37,278
United Technologies	402,203		27,044
Waste Management (A)	75,400		2,476
Watson Wyatt Worldwide, Cl A	7,200		298
WESCO International* (A)	206,419		5,388
WW Grainger (A)	112,827		11,023

			608,184


Information Technology — 15.9%
Activision Blizzard*	1,122,540		12,786
Adobe Systems* (A)	655,850		23,007
Advanced Micro Devices* (A)	131,000		918


Description	Shares	Market Value ($ Thousands)
Affiliated Computer Services, Cl A* (A)	55,157	$	3,045
Akamai Technologies* (A)	31,300		751
Altera (A)	99,200		2,086
Amphenol, Cl A	19,000		783
Analog Devices (A)	101,900		3,056
Apple*	462,850		92,528
Applied Materials	33,800		416
Arris Group* (A)	56,200		561
Aruba Networks*	33,600		269
Autodesk*	21,300		499
Automatic Data Processing	139,753		6,072
BMC Software* (A)	157,800		6,111
Broadcom, Cl A* (A)	279,000		8,147
CA	85,700		1,894
Ciena* (A)	42,300		514
Cirrus Logic*	26,800		146
Cisco Systems*	2,824,408		66,091
Citrix Systems*	7,300		279
Cognizant Technology Solutions, Cl A*	545,960		23,984
Computer Sciences*	136,356		7,542
Convergys*	118,300		1,323
Corning	2,406,450		40,140
DealerTrack Holdings*	12,100		206
Dell* (A)	2,200,163		31,066
Diodes*	10,100		177
DST Systems*	14,700		624
eBay* (A)	967,623		23,678
EchoStar, Cl A*	16,400		319
Electronic Arts*	21,700		366
EMC* (A)	830,400		13,976
Fidelity National Information Services	161,600		3,652
Fiserv*	123,500		5,711
Google, Cl A*	118,577		69,130
Harris	215,962		9,481
Hewlett-Packard	1,218,544		59,782
IAC*	47,800		930
Ingram Micro, Cl A*	284,908		4,841
Intel	5,290,370		101,575
International Business Machines	973,190		122,963
Intuit* (A)	11,100		324
j2 Global Communications* (A)	28,700		571
Jabil Circuit	428,439		5,703
JDS Uniphase*	150,500		1,112
Juniper Networks* (A)	186,400		4,871
Kla-Tencor (A)	82,900		2,590
Lexmark International, Cl A*	81,642		2,055
Linear Technology (A)	82,300		2,220
LSI*	193,200		1,022
Marvell Technology Group* (A)	698,700		10,774
Mastercard, Cl A (A)	35,400		8,526
McAfee* (A)	109,400		4,174
MEMC Electronic Materials*	70,400		848
Mentor Graphics*	26,700		197
Microchip Technology (A)	49,100		1,289
Micron Technology* (A)	167,600		1,260
Microsoft	4,553,575		133,921
Molex (A)	364,140		6,769
Motorola	264,972		2,122
National Semiconductor (A)	16,200		236


Description	Shares	Market Value ($ Thousands)
NetApp* (A)	72,300	$	2,228
Novellus Systems* (A)	98,200		2,032
Nvidia* (A)	166,450		2,174
Oracle	2,035,316		44,940
Paychex (A)	83,600		2,621
Qualcomm	264,800		11,916
Red Hat* (A)	27,500		734
Salesforce.com*	11,500		721
SanDisk*	43,300		854
Seagate Technology (A)	897,596		13,581
Semtech*	19,100		306
Sun Microsystems*	291,220		2,478
Symantec*	400,000		7,100
Tech Data*	88,318		3,719
Tellabs*	141,400		793
Teradata*	59,500		1,743
Teradyne* (A)	159,500		1,413
Texas Instruments (A)	1,613,888		40,815
Total System Services	182,000		3,145
Tyco Electronics	382,780		8,884
Visa, Cl A (A)	323,897		26,236
Western Digital*	226,100		8,330
Western Union	460,400		8,494
Xerox (A)	573,299		4,414
Xilinx (A)	153,200		3,468
Yahoo!* (A)	197,200		2,952

			1,148,100


Materials — 2.5%
Air Products & Chemicals	43,200		3,583
Airgas	11,000		509
AK Steel Holding	7,200		144
Alcoa	23,100		289
Allegheny Technologies (A)	31,200		1,062
Ball	94,500		4,669
Bemis	44,000		1,289
Cabot	37,737		865
Celanese, Cl A	604,570		17,992
CF Industries Holdings (A)	13,621		1,163
Cliffs Natural Resources (A)	275,037		12,118
Dow Chemical (A)	488,502		13,571
E.I. Du Pont de Nemours	328,666		11,365
Eastman Chemical	36,200		2,176
Ecolab	59,000		2,650
FMC	5,400		302
Freeport-McMoRan Copper & Gold, Cl B (A)	198,733		16,455
Huntsman	513,863		4,892
International Flavors & Fragrances	11,400		464
International Paper	28,400		723
MeadWestvaco	52,800		1,445
Monsanto	81,620		6,591
NewMarket (A)	26,900		2,817
Newmont Mining	132,700		7,118
Nucor (A)	106,200		4,504
Owens-Illinois*	492,260		15,393
Pactiv*	338,100		8,233
PPG Industries	286,550		17,030
Praxair	117,900		9,671
Rock-Tenn, Cl A (A)	4,900		221
Scotts Miracle-Gro, Cl A	50,000		1,996
Sealed Air	272,934		6,084


Description	Shares	Market Value ($ Thousands)
Sigma-Aldrich (A)	6,200	$	331
Solutia*	50,400		543
Southern Copper (A)	49,600		1,728
United States Steel (A)	28,600		1,277
Vulcan Materials (A)	4,200		204
Weyerhaeuser	25,700		1,001
WR Grace*	34,300		784

			183,252


Telecommunication Services — 3.1%
AT&T	5,262,332		141,767
CenturyTel (A)	678,234		24,138
MetroPCS Communications*	5,800		36
NII Holdings* (A)	92,221		2,748
Qwest Communications International (A)	354,300		1,293
Sprint Nextel* (A)	3,454,940		12,818
Verizon Communications	1,323,598		41,641
Windstream (A)	67,313		668

			225,109


Utilities — 2.8%
AES*	229,200		2,920
American Electric Power	96,800		3,116
Centerpoint Energy	4,800		64
CMS Energy (A)	281,500		4,009
Consolidated Edison (A)	43,400		1,862
Constellation Energy Group	569,340		18,117
Dominion Resources	86,400		3,143
DPL	186,870		5,019
DTE Energy (A)	115,849		4,647
Duke Energy	52,500		876
Edison International	114,800		3,909
Energen	145,388		6,324
Entergy	2,000		157
Equities (A)	147,400		6,066
Exelon (A)	289,772		13,961
FirstEnergy	472,040		20,336
FPL Group	348,400		18,106
Mirant*	25,800		367
NiSource	634,840		9,047
Northeast Utilities	89,200		2,151
PG&E (A)	434,224		18,385
Pinnacle West Capital	70,900		2,488
PPL	884,448		26,993
Progress Energy	29,200		1,141
Public Service Enterprise Group	410,006		12,858
Questar	38,600		1,531
SCANA	2,200		77
Sempra Energy	85,800		4,559
Southern	116,100		3,726
TECO Energy (A)	80,700		1,190
UGI	29,800		700
Wisconsin Energy	15,800		713
Xcel Energy (A)	172,200		3,499

			202,057

Total Common Stock (Cost $5,109,101) ($ Thousands)			6,046,790


Description	Shares	Market Value ($ Thousands)

AFFILIATED PARTNERSHIPS — 22.8%
SEI Liquidity Fund, L.P. 0.320%†** (B)	856,147,343	$	846,148
SEI LIBOR Plus Portfolio†	124,403,038		801,156

Total Affiliated Partnerships Cost $1,916,506) ($ Thousands)			1,647,304


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.130 **†	274,430,379		274,430

Total Cash Equivalent (Cost $274,430) ($ Thousands)			274,430


U.S. TREASURY OBLIGATIONS (C) (D) — 1.9%
U.S. Treasury Bills
0.212%, 12/03/09	128,500		128,499
0.290%, 12/17/09	700		700
0.071%, 01/07/10	2,700		2,700
0.249%, 09/23/10	5,145		5,137

Total U.S. Treasury Obligations (Cost $137,029) ($ Thousands)			137,036

Total Investments - 112.2% (Cost $7,437,066)($ Thousands)		$	8,105,560

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Composite Index	4,163	Dec-2009	$	84,237
S&P 500 Composite Index	13	Dec-2009		242
S&P 500 E-Mini	740	Dec-2009		1,818

			$	86,297

Percentages are based on a Net Assets of $7,221,501 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $838,520 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2009 was $846,148 ($ Thousands).

(C)

The rate reported is the effective yield at time of purchase.

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust

Cl — Class

REIT — Real Estate Investment Trust

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 98.6%

Consumer Discretionary — 9.9%
Aaron’s (A)	1,800	$	45
Abercrombie & Fitch, Cl A (A)	4,302		172
Advance Auto Parts	4,408		173
Aeropostale*	3,200		101
Amazon.com* (A)	15,189		2,064
American Eagle Outfitters	7,171		110
Apollo Group, Cl A* (A)	6,264		357
Autoliv (A)	3,918		159
AutoNation* (A)	2,832		50
AutoZone* (A)	1,407		208
Barnes & Noble (A)	1,238		29
Bed Bath & Beyond*	12,415		464
Best Buy (A)	15,147		649
Big Lots*	3,500		81
Black & Decker (A)	2,968		180
BorgWarner (A)	5,382		163
Boyd Gaming*	1,651		14
Brinker International	4,483		62
Brink’s Home Security Holdings*	2,200		72
Burger King Holdings	5,000		85
Cablevision Systems, Cl A	10,442		261
Career Education* (A)	3,259		85
Carmax* (A)	10,360		206
Carnival	19,900		637
CBS, Cl B	27,169		348
Central European Media Enterprises, Cl A* (A)	1,800		45
Chico’s FAS*	8,600		121
Chipotle Mexican Grill, Cl A* (A)	1,500		125
Choice Hotels International (A)	1,484		47
Clear Channel Outdoor Holdings, Cl A*	700		7
Coach (A)	15,067		524
Comcast, Cl A	130,925		1,921
CTC Media*	1,100		15
Darden Restaurants	6,322		199
DeVry	2,900		158
Dick’s Sporting Goods*	4,258		88
DIRECTV, Cl A*	44,429		1,405
Discovery Communications, Cl C*	12,421		348
DISH Network, Cl A (A)	9,862		204
Dollar Tree* (A)	4,153		203
DR Horton	12,868		132
DreamWorks Animation SKG, Cl A*	3,434		115
Expedia* (A)	8,134		207
Family Dollar Stores (A)	6,462		197
Foot Locker	6,869		65
Ford Motor* (A)	141,884		1,261
Fortune Brands	6,620		254
GameStop, Cl A* (A)	7,700		188
Gannett	9,359		93
Gap	22,859		490
Garmin (A)	5,300		158
Gentex	6,132		102
Genuine Parts	7,071		253
Goodyear Tire & Rubber*	11,052		151
Guess? (A)	2,900		107
H&R Block (A)	15,025		305
Hanesbrands*	4,143		99


Description	Shares	Market Value ($ Thousands)
Harley-Davidson (A)	10,803	$	315
Harman International Industries (A)	2,768		104
Hasbro	5,867		174
Hillenbrand	2,824		52
Home Depot (A)	77,315		2,115
Interactive Data	1,900		49
International Game Technology	13,643		258
International Speedway, Cl A	1,512		41
Interpublic Group*	22,775		144
ITT Educational Services*	1,921		175
J.C. Penney	9,851		283
Jarden	4,300		118
John Wiley & Sons, Cl A	1,842		69
Johnson Controls	26,845		726
KB Home (A)	3,380		46
Kohl’s*	13,719		729
Lamar Advertising, Cl A* (A)	2,540		70
Las Vegas Sands* (A)	13,793		211
Leggett & Platt	7,819		152
Lennar, Cl A	7,230		92
Liberty Global, Cl A* (A)	11,871		229
Liberty Media - Capital, Ser A*	3,492		77
Liberty Media - Interactive, Cl A*	27,147		289
Liberty Media - Starz* (A)	2,436		117
Limited Brands (A)	12,057		200
LKQ*	5,800		101
Lowe’s	67,010		1,462
Macy’s	19,330		315
Marriott International, Cl A (A)	14,288		367
Marvel Entertainment*	2,400		125
Mattel (A)	15,842		308
McDonald’s	50,380		3,187
McGraw-Hill	15,039		451
MDC Holdings (A)	1,516		45
Meredith (A)	1,358		36
MGM Mirage* (A)	8,439		89
Mohawk Industries* (A)	2,266		93
Morningstar*	900		42
NetFlix* (A)	2,100		123
New York Times, Cl A (A)	4,824		41
Newell Rubbermaid (A)	13,065		190
News, Cl A (A)	105,785		1,212
NIKE, Cl B (A)	16,348		1,061
Nordstrom (A)	7,412		248
NVR* (A)	224		151
Office Depot*	14,189		87
Omnicom Group (A)	14,144		519
O'Reilly Automotive* (A)	6,240		242
Panera Bread, Cl A* (A)	1,162		73
Penn National Gaming* (A)	2,989		80
Penske Auto Group (A)	1,200		18
PetSmart	5,273		136
Phillips-Van Heusen	2,300		92
Polo Ralph Lauren, Cl A (A)	2,680		206
priceline.com* (A)	1,900		407
Pulte Homes (A)	15,545		142
RadioShack	5,571		105
Regal Entertainment Group, Cl A (A)	4,188		58
Ross Stores	5,771		254
Royal Caribbean Cruises*	5,900		145
Scientific Games, Cl A* (A)	2,366		33


Description	Shares	Market Value ($ Thousands)
Scripps Networks Interactive, Cl A (A)	4,072	$	161
Sears Holdings* (A)	2,328		165
Service International	11,194		86
Sherwin-Williams	4,437		270
Signet Jewelers*	3,800		98
Snap-On (A)	2,391		87
Stanley Works (A)	3,709		180
Staples (A)	32,364		755
Starbucks*	33,406		732
Starwood Hotels & Resorts Worldwide	8,684		278
Strayer Education (A)	600		118
Target	34,785		1,620
Thor Industries	1,900		54
Tiffany (A)	6,025		257
Time Warner	55,379		1,701
Time Warner Cable, Cl A (A)	15,984		670
TJX	18,654		716
Toll Brothers* (A)	6,051		118
TRW Automotive Holdings*	2,793		61
Urban Outfitters* (A)	5,920		187
VF	3,917		285
Viacom, Cl B*	24,469		725
Virgin Media (A)	13,620		224
WABCO Holdings	3,424		81
Walt Disney	85,584		2,586
Warner Music Group*	662		3
Washington Post, Cl B	257		106
Weight Watchers International	1,662		46
Wendy’s, Cl A	14,000		57
Whirlpool (A)	3,287		244
Williams-Sonoma (A)	4,662		95
WMS Industries*	2,600		101
Wyndham Worldwide	8,668		161
Wynn Resorts* (A)	3,096		200
Yum! Brands (A)	20,848		735

			49,404


Consumer Staples — 10.8%
Alberto-Culver, Cl B	3,687		104
Altria Group	94,168		1,771
Archer-Daniels-Midland	29,979		924
Avon Products	19,306		661
BJ’s Wholesale Club* (A)	2,672		93
Brown-Forman, Cl B	4,418		226
Bunge (A)	6,100		378
Campbell Soup	8,678		303
Central European Distribution*	2,300		64
Church & Dwight	3,132		185
Clorox	6,603		398
Coca-Cola (A)	105,820		6,053
Coca-Cola Enterprises (A)	14,215		279
Colgate-Palmolive (A)	22,775		1,917
ConAgra Foods	21,186		470
Constellation Brands, Cl A*	9,131		156
Corn Products International	3,000		84
Costco Wholesale (A)	20,181		1,209
CVS Caremark	66,352		2,058
Dean Foods*	8,087		128
Del Monte Foods	8,458		89
Dr Pepper Snapple Group	11,300		296
Energizer Holdings*	3,341		188


Description	Shares	Market Value ($ Thousands)
Estee Lauder, Cl A	4,954	$	232
Flowers Foods	3,000		69
General Mills	14,896		1,013
Green Mountain Coffee Roasters* (A)	1,700		107
Hansen Natural*	2,900		102
Herbalife	3,000		126
Hershey	6,798		240
HJ Heinz	14,837		630
Hormel Foods (A)	3,339		125
JM Smucker	5,211		308
Kellogg	11,603		610
Kimberly-Clark	19,218		1,268
Kraft Foods, Cl A	67,015		1,781
Kroger	29,473		670
Lorillard	7,550		588
McCormick	5,793		207
Mead Johnson Nutrition, Cl A (A)	1,800		79
Molson Coors Brewing, Cl B	5,662		256
NBTY*	2,600		104
Pepsi Bottling Group	6,282		238
PepsiAmericas	2,594		77
PepsiCo	71,137		4,426
Philip Morris International	89,568		4,308
Procter & Gamble	133,274		8,310
Ralcorp Holdings*	2,600		151
Reynolds American	8,010		400
Rite Aid* (A)	19,101		24
Safeway	20,320		457
Sara Lee	33,251		404
Smithfield Foods* (A)	5,975		92
Supervalu	10,789		149
Sysco	26,648		721
Tyson Foods, Cl A	13,965		168
Walgreen	45,125		1,755
Wal-Mart Stores	100,979		5,508
Whole Foods Market* (A)	5,052		130

			53,867


Energy — 11.5%
Alpha Natural Resources* (A)	5,168		191
Anadarko Petroleum	23,140		1,378
Apache	15,259		1,454
Arch Coal	7,712		161
Atwood Oceanics*	2,800		106
Baker Hughes (A)	14,501		591
BJ Services	13,588		255
Cabot Oil & Gas	5,100		195
Cameron International*	11,444		433
Chesapeake Energy	29,466		705
Chevron	91,602		7,149
Cimarex Energy (A)	4,000		187
CNX Gas*	800		22
Comstock Resources*	1,800		67
Concho Resources*	3,700		151
ConocoPhillips	67,576		3,498
Consol Energy	8,244		379
Continental Resources*	1,600		60
Denbury Resources* (A)	11,648		155
Devon Energy (A)	20,513		1,382
Diamond Offshore Drilling (A)	3,309		329
Dresser-Rand Group*	3,934		110
El Paso	33,503		320


Description	Shares	Market Value ($ Thousands)
Encore Acquisition*	2,300	$	104
ENSCO International	6,523		287
EOG Resources	11,645		1,007
EXCO Resources	6,800		115
Exterran Holdings* (A)	2,900		61
Exxon Mobil	223,212		16,757
FMC Technologies*	5,660		308
Forest Oil* (A)	4,914		90
Frontier Oil	4,600		53
Frontline (A)	2,200		60
Halliburton	41,597		1,221
Helix Energy Solutions Group*	5,300		62
Helmerich & Payne	5,150		193
Hess	13,612		789
Holly	2,000		51
Marathon Oil	32,976		1,076
Mariner Energy*	5,200		65
Massey Energy (A)	3,761		142
Murphy Oil	9,054		511
Nabors Industries* (A)	13,100		271
National Oilwell Varco	18,980		817
Newfield Exploration*	6,099		258
Noble Energy	7,862		513
Occidental Petroleum	36,954		2,985
Oceaneering International*	2,600		142
Oil States International*	2,600		93
Overseas Shipholding Group	727		28
Patterson-UTI Energy	6,332		97
Peabody Energy	12,674		563
PetroHawk Energy* (A)	13,800		308
Pioneer Natural Resources	5,544		229
Plains Exploration & Production*	6,491		177
Pride International *	8,029		254
Quicksilver Resources * (A)	5,102		68
Range Resources	7,439		351
Rowan (A)	5,386		133
SandRidge Energy * (A)	6,400		60
Schlumberger	54,600		3,488
SEACOR Holdings *	900		69
Seahawk Drilling *	535		12
Smith International	9,731		265
Southern Union	5,368		111
Southwestern Energy *	15,476		680
Spectra Energy	30,509		592
St. Mary Land & Exploration	2,700		87
Sunoco	5,556		140
Superior Energy Services *	3,500		74
Teekay	2,100		50
Tesoro (A)	6,846		87
Tidewater	2,170		98
Unit *	1,527		57
Valero Energy	25,636		407
Walter Industries	2,400		165
Whiting Petroleum *	2,400		149
Williams	27,446		546
XTO Energy	26,988		1,145

			57,799


Financials — 14.6%
Affiliated Managers Group *	1,733		113
Aflac	21,156		974
Alexandria Real Estate Equities ‡ (A)	2,000		113


Description	Shares	Market Value ($ Thousands)
Alleghany*	238	$	64
Allied World Assurance Holdings	2,000		96
Allstate	25,225		717
AMB Property‡ (A)	6,644		156
American Express	46,234		1,934
American Financial Group	4,214		102
American International Group* (A)	6,023		171
American National Insurance	722		78
AmeriCredit* (A)	3,372		62
Ameriprise Financial	12,200		465
Annaly Capital Management‡	25,811		475
AON	13,150		509
Apartment Investment & Management, Cl A‡ (A)	4,399		59
Arch Capital Group*	2,400		168
Arthur J Gallagher	4,804		108
Aspen Insurance Holdings	3,700		96
Associated Banc (A)	5,184		59
Assurant	5,193		159
AvalonBay Communities‡ (A)	3,541		256
Axis Capital Holdings	6,400		179
Bancorpsouth (A)	3,600		83
Bank of America	395,318		6,266
Bank of Hawaii (A)	1,982		90
Bank of New York Mellon	54,309		1,447
BB&T	32,206		802
BlackRock, Cl A	885		201
BOK Financial (A)	775		36
Boston Properties‡ (A)	6,284		421
Brandywine Realty Trust‡	6,600		65
BRE Properties‡	2,020		63
Brown & Brown (A)	4,724		84
Camden Property Trust‡	3,247		126
Capital One Financial	20,425		784
CapitalSource	11,382		42
Capitol Federal Financial (A)	1,027		30
CB Richard Ellis Group, Cl A* (A)	10,217		117
Charles Schwab (A)	42,885		786
Chimera Investment‡	32,100		129
Chubb (A)	15,918		798
Cincinnati Financial	6,786		173
Citigroup	692,745		2,847
City National (A)	1,738		69
CME Group, Cl A	3,074		1,009
CNA Financial* (A)	700		16
Comerica	7,053		201
Commerce Bancshares	2,619		105
Corporate Office Properties Trust‡	2,800		96
Cullen/Frost Bankers	2,368		114
Digital Realty Trust‡ (A)	3,600		175
Discover Financial Services	24,489		379
Douglas Emmett‡ (A)	5,400		74
Duke Realty‡ (A)	10,909		122
Eaton Vance (A)	5,310		160
Endurance Specialty Holdings (A)	2,200		82
Equity Residential‡	13,087		421
Erie Indemnity, Cl A	1,119		41
Essex Property Trust‡	1,069		85
Everest Re Group	2,700		230
Federal Realty Investment Trust ‡ (A)	2,796		180
Federated Investors, Cl B (A)	3,658		94
Fidelity National Financial, Cl A	10,604		147


Description	Shares	Market Value ($ Thousands)
Fifth Third Bancorp	37,982	$	383
First American (A)	4,584		145
First Citizens BancShares, Cl A	200		31
First Horizon National*	10,855		147
First Niagara Financial Group	9,400		124
Forest City Enterprises, Cl A (A)	5,142		55
Franklin Resources	6,803		735
Fulton Financial (A)	8,095		70
Genworth Financial, Cl A* (A)	23,292		251
GLG Partners (A)	10,000		29
Goldman Sachs Group	22,975		3,898
Greenhill	800		65
Hanover Insurance Group	2,193		91
Hartford Financial Services Group	14,510		355
HCC Insurance Holdings (A)	4,641		121
HCP ‡ (A)	13,374		419
Health Care REIT‡ (A)	5,783		258
Hospitality Properties Trust‡	5,966		116
Host Hotels & Resorts‡ (A)	26,800		282
HRPT Properties Trust‡	11,302		69
Hudson City Bancorp	21,328		283
Huntington Bancshares	34,934		133
Interactive Brokers Group, Cl A*	2,200		37
IntercontinentalExchange* (A)	3,500		374
Invesco	19,800		441
Investment Technology Group*	1,500		27
Janus Capital Group	7,265		95
Jefferies Group (A)	5,414		127
Jones Lang LaSalle	2,100		107
JPMorgan Chase	171,834		7,301
Keycorp (A)	40,695		238
Kimco Realty‡	16,944		209
Lazard, Cl A (A)	3,800		147
Legg Mason (A)	7,681		217
Leucadia National (A)	8,420		181
Liberty Property Trust‡	5,006		148
Lincoln National	13,788		316
Loews	15,536		550
M&T Bank (A)	3,583		235
Macerich‡ (A)	4,742		141
Mack-Cali Realty‡	3,798		117
Markel*	450		153
Marsh & McLennan	24,665		556
Marshall & Ilsley	25,860		149
MBIA* (A)	4,859		17
Mercury General	1,196		44
MetLife	26,109		893
Moody’s (A)	8,627		201
Morgan Stanley	62,778		1,983
MSCI, Cl A*	4,700		143
NASDAQ OMX Group*	6,700		125
Nationwide Health Properties‡	4,900		167
New York Community Bancorp (A)	16,072		188
Northern Trust (A)	11,405		565
NYSE Euronext	11,800		299
Old Republic International (A)	11,490		122
OneBeacon Insurance Group, Cl A	1,100		15
PartnerRe	2,500		193
People’s United Financial	15,334		250
Plum Creek Timber‡ (A)	7,221		249
PNC Financial Services Group	20,922		1,193
Popular (A)	29,530		70
Principal Financial Group	14,818		376


Description	Shares	Market Value ($ Thousands)
Progressive (A)	32,280	$	541
ProLogis‡	19,888		260
Protective Life	3,309		55
Prudential Financial	21,463		1,070
Public Storage‡ (A)	6,368		507
Raymond James Financial (A)	4,221		103
Rayonier‡ (A)	3,503		139
Realty Income‡ (A)	4,600		116
Regency Centers‡	3,808		127
Regions Financial (A)	51,487		302
Reinsurance Group of America, Cl A	3,199		149
RenaissanceRe Holdings	2,900		154
SEI (C)	5,642		99
Senior Housing Properties Trust‡	5,400		112
Simon Property Group‡ (A)	10,792		784
SL Green Realty‡ (A)	3,668		163
SLM* (A)	20,814		228
St. Joe* (A)	3,761		93
StanCorp Financial Group	2,042		76
State Street	22,394		925
Student Loan	102		5
SunTrust Banks (A)	23,646		559
Synovus Financial	19,972		39
T. Rowe Price Group (A)	12,080		591
Taubman Centers‡ (A)	2,200		76
TCF Financial (A)	6,301		83
TD Ameritrade Holding*	11,645		229
TFS Financial	3,700		41
Torchmark	3,750		163
Transatlantic Holdings	1,355		73
Travelers	24,844		1,302
UDR‡	7,393		111
Unitrin	1,260		28
Unum Group	14,705		280
US Bancorp	87,643		2,115
Validus Holdings	4,600		122
Valley National Bancorp (A)	5,730		76
Ventas‡	6,944		298
Vornado Realty Trust‡ (A)	7,268		476
Waddell & Reed Financial, Cl A	4,100		119
Washington Federal (A)	4,563		87
Weingarten Realty Investors ‡ (A)	4,467		87
Wells Fargo (A)	217,366		6,095
Wesco Financial	41		14
White Mountains Insurance Group	347		113
Whitney Holding (A)	5,557		45
Wilmington Trust (A)	2,292		28
WR Berkley (A)	5,614		139
XL Capital, Cl A	15,400		282
Zions Bancorporation (A)	6,102		80

			73,081


Health Care — 12.4%
Abbott Laboratories	70,576		3,846
Abraxis Bioscience*	340		11
Aetna	20,134		586
Alexion Pharmaceuticals *	3,800		172
Allergan	13,796		802
Allscripts-Misys Healthcare
Solutions* (A)	2,400		46
AmerisourceBergen	13,424		331
Amgen*	46,667		2,630


Description	Shares	Market Value ($ Thousands)
Amylin Pharmaceuticals* (A)	5,800	$	83
Baxter International	27,975		1,526
Beckman Coulter	3,212		209
Becton Dickinson	10,844		811
Biogen Idec*	13,600		638
BioMarin Pharmaceutical* (A)	4,100		68
Bio-Rad Laboratories, Cl A*	1,000		97
Boston Scientific*	70,939		594
Bristol-Myers Squibb	90,313		2,286
Brookdale Senior Living (A)	2,500		39
C.R. Bard	4,385		361
Cardinal Health	16,129		520
CareFusion*	7,864		203
Celgene*	20,892		1,159
Cephalon* (A)	3,348		184
Cerner* (A)	3,074		232
Charles River Laboratories International*	2,843		91
CIGNA	12,455		400
Community Health Systems*	4,062		124
Cooper (A)	1,604		54
Covance*	3,036		161
Coventry Health Care*	6,262		141
DaVita*	4,708		279
Dendreon* (A)	5,500		150
Dentsply International (A)	6,898		230
Edwards Lifesciences*	2,607		215
Eli Lilly (A)	46,161		1,695
Emdeon, Cl A*	1,900		29
Endo Pharmaceuticals Holdings*	4,797		106
Express Scripts*	12,422		1,066
Forest Laboratories*	14,373		441
Gen-Probe*	2,227		93
Genzyme*	12,153		616
Gilead Sciences*	41,850		1,927
Health Management Associates, Cl A* (A)	12,422		76
Health Net*	4,702		100
Henry Schein*	4,184		208
Hill-Rom Holdings	2,724		60
Hologic*	12,000		174
Hospira* (A)	7,081		332
Humana*	7,475		310
Idexx Laboratories* (A)	2,552		128
Illumina*	5,700		165
IMS Health	8,861		189
Intuitive Surgical* (A)	1,700		477
Inverness Medical Innovations* (A)	3,600		151
Johnson & Johnson	126,009		7,918
Kinetic Concepts* (A)	2,413		81
King Pharmaceuticals* (A)	10,126		120
Laboratory Corp of America Holdings*	5,211		380
Life Technologies*	8,370		417
LifePoint Hospitals*	2,376		69
Lincare Holdings*	3,027		108
McKesson	12,266		761
Medco Health Solutions*	21,920		1,385
Mednax*	2,000		112
Medtronic	50,985		2,164
Merck	139,343		5,046
Mettler Toledo International*	1,536		153


Description	Shares	Market Value ($ Thousands)
Millipore*	2,586	$	176
Mylan Laboratories* (A)	14,119		252
Myriad Genetics*	4,500		104
Omnicare	5,431		126
OSI Pharmaceuticals*	2,600		87
Patterson*	4,783		123
PerkinElmer	4,834		91
Perrigo (A)	3,800		153
Pfizer	368,480		6,695
Pharmaceutical Product Development	4,284		92
Quest Diagnostics	7,444		431
ResMed*	3,555		179
St. Jude Medical*	16,346		600
Stryker	15,304		771
Techne	1,541		104
Teleflex	1,640		85
Tenet Healthcare*	23,094		105
Thermo Fisher Scientific*	18,925		894
United Therapeutics*	2,200		100
UnitedHealth Group	54,129		1,552
Universal Health Services, Cl B	2,188		122
Valeant Pharmaceuticals International* (A)	3,400		111
Varian Medical Systems*	5,630		263
VCA Antech* (A)	3,539		80
Vertex Pharmaceuticals* (A)	7,600		295
Waters*	4,472		263
Watson Pharmaceuticals* (A)	4,918		182
WellPoint*	22,531		1,217
Zimmer Holdings*	9,725		575

			62,164


Industrials — 10.2%
3M	31,646		2,451
Aecom Technology*	3,900		99
AGCO*	3,800		115
Alexander & Baldwin (A)	1,782		54
Alliant Techsystems* (A)	1,336		115
Ametek	5,047		185
AMR* (A)	17,086		103
Armstrong World Industries*	700		29
Avery Dennison	5,310		199
BE Aerospace*	3,600		69
Boeing	33,091		1,734
Brink’s	1,800		40
Bucyrus International, Cl A (A)	3,600		186
Burlington Northern Santa Fe	11,898		1,170
C.H. Robinson Worldwide (A)	8,086		451
Carlisle	2,666		86
Caterpillar (A)	27,388		1,599
Cintas	6,157		173
Continental Airlines, Cl B* (A)	6,800		97
Con-way	2,223		67
Copa Holdings, Cl A (A)	1,100		55
Copart*	3,213		104
Corrections of America*	5,600		140
Covanta Holding* (A)	6,200		106
Crane	2,400		67
CSX	17,732		842
Cummins	9,612		432
Danaher	11,651		826
Deere	19,118		1,023


Description	Shares	Market Value ($ Thousands)
Delta Air Lines*	35,500	$	291
Donaldson	3,772		160
Dover	8,257		338
Dun & Bradstreet	2,456		193
Eaton	7,826		500
Emerson Electric	34,120		1,413
Equifax	6,156		176
Expeditors International Washington (A)	10,148		324
Fastenal (A)	5,862		217
FedEx	14,144		1,194
First Solar* (A)	2,300		274
Flowserve	2,600		259
Fluor (A)	8,508		361
FTI Consulting* (A)	2,400		111
Gardner Denver	2,300		86
GATX (A)	2,100		61
General Cable* (A)	2,500		73
General Dynamics	15,672		1,033
General Electric	484,023		7,754
Goodrich	5,492		326
Graco (A)	2,624		74
Harsco	3,470		108
Hertz Global Holdings* (A)	7,200		71
Honeywell International	33,790		1,300
Hubbell, Cl B	2,292		104
IDEX	3,593		107
IHS, Cl A*	2,200		111
Illinois Tool Works	20,380		991
Iron Mountain* (A)	7,963		191
ITT	8,602		445
Jacobs Engineering Group*	5,502		193
JB Hunt Transport Services (A)	3,972		126
Joy Global	4,633		248
Kansas City Southern*	3,700		106
KBR	7,284		136
Kennametal	3,300		74
Kirby*	2,300		77
L-3 Communications Holdings, Cl 3	5,577		437
Landstar System	2,165		81
Lennox International	2,300		85
Lincoln Electric Holdings (A)	1,700		87
Lockheed Martin	14,429		1,114
Manitowoc (A)	5,700		56
Manpower	3,684		182
Masco	16,009		218
McDermott International*	10,200		213
Monster Worldwide*	5,218		76
MSC Industrial Direct, Cl A (A)	2,120		97
Navistar International*	3,000		99
Norfolk Southern	16,633		855
Northrop Grumman	14,578		799
Oshkosh Truck (A)	4,259		169
Owens Corning* (A)	4,200		99
Paccar (A)	16,470		611
Pall	5,545		177
Parker Hannifin (A)	7,604		410
Pentair	4,061		122
Pitney Bowes	9,185		212
Precision Castparts	6,346		658
Quanta Services*	9,200		172
Raytheon (A)	17,868		921


Description	Shares	Market Value ($ Thousands)
Republic Services, Cl A	15,342	$	433
Robert Half International	6,876		154
Rockwell Automation	6,504		283
Rockwell Collins	7,562		404
Roper Industries	4,200		219
RR Donnelley & Sons	9,677		199
Ryder System	2,306		93
Shaw Group*	3,500		100
Southwest Airlines	32,920		303
Spirit Aerosystems Holdings, Cl A* (A)	4,700		86
SPX	2,211		118
Stericycle*	3,826		209
SunPower, Cl A* (A)	4,400		91
Terex*	4,248		80
Textron (A)	13,222		265
Thomas & Betts*	2,067		75
Timken	4,260		105
Toro (A)	1,560		62
TransDigm Group	1,500		65
Trinity Industries (A)	3,500		66
Union Pacific	22,916		1,450
United Parcel Service, Cl B	31,941		1,835
United Technologies	38,566		2,593
URS*	3,500		145
USG* (A)	2,298		32
UTi Worldwide	5,100		67
Valmont Industries	1,000		77
Wabtec (A)	2,400		92
Waste Connections*	3,900		127
Waste Management	22,194		729
WESCO International*	2,000		52
WW Grainger (A)	2,781		272

			51,054


Information Technology — 18.4%
Activision Blizzard*	26,756		305
Adobe Systems* (A)	23,702		831
Advanced Micro Devices* (A)	23,634		166
Affiliated Computer Services, Cl A*	4,447		246
Agilent Technologies*	16,264		470
Akamai Technologies* (A)	8,118		195
Alliance Data Systems* (A)	2,612		159
Altera (A)	13,073		275
Amdocs*	8,900		235
Amphenol, Cl A	7,892		325
Analog Devices	13,912		417
Ansys*	4,100		160
Apple*	40,823		8,161
Applied Materials	60,055		739
Arrow Electronics*	5,089		134
Atmel*	18,900		75
Autodesk*	10,137		238
Automatic Data Processing (A)	23,392		1,016
Avnet*	6,410		175
AVX	1,424		17
BMC Software*	8,189		317
Broadcom, Cl A* (A)	22,168		647
Broadridge Financial Solutions	5,873		129
Brocade Communications Systems*	17,600		125
CA (A)	18,738		414


Description	Shares	Market Value ($ Thousands)
Cadence Design Systems* (A)	13,063	$	78
Ciena* (A)	4,114		50
Cisco Systems*	263,527		6,166
Citrix Systems*	7,987		305
Cognizant Technology Solutions, Cl A*	13,788		606
CommScope*	3,900		98
Computer Sciences*	7,264		402
Compuware*	11,951		83
Convergys*	3,469		39
Corning	70,558		1,177
Cree* (A)	5,022		240
Cypress Semiconductor* (A)	7,200		69
Dell*	79,643		1,124
Diebold	2,729		69
Dolby Laboratories, Cl A* (A)	2,143		96
DST Systems*	1,695		72
eBay*	52,011		1,273
EchoStar, Cl A*	2,132		41
Electronic Arts*	14,265		241
EMC* (A)	91,564		1,541
Equinix* (A)	1,700		163
F5 Networks*	3,738		176
Factset Research Systems (A)	1,800		130
Fairchild Semiconductor International, Cl A*	6,600		53
Fidelity National Information Services	15,690		355
Fiserv*	7,469		345
FLIR Systems*	6,800		195
Genpact*	3,100		40
Global Payments	3,734		191
Google, Cl A*	10,944		6,380
Harris	6,189		272
Hewitt Associates, Cl A*	3,863		155
Hewlett-Packard	109,301		5,362
IAC*	5,132		100
Ingram Micro, Cl A*	7,023		119
Integrated Device Technology*	5,600		32
Intel	255,158		4,899
International Business Machines	60,398		7,631
International Rectifier*	3,355		63
Intersil, Cl A	5,361		69
Intuit* (A)	15,386		449
Itron*	1,900		116
Jabil Circuit	9,174		122
JDS Uniphase*	10,640		79
Juniper Networks* (A)	23,525		615
Kla-Tencor (A)	7,809		244
Lam Research* (A)	5,891		200
Lender Processing Services	4,014		168
Lexmark International, Cl A*	3,986		100
Linear Technology (A)	9,857		266
LSI*	31,948		169
Marvell Technology Group*	24,500		378
Mastercard, Cl A (A)	3,900		939
Maxim Integrated Products (A)	13,600		239
McAfee* (A)	6,873		262
MEMC Electronic Materials*	10,338		125
Microchip Technology (A)	8,422		221
Micron Technology* (A)	37,816		284
Micros Systems*	3,600		101
Microsoft	352,400		10,364


Description	Shares	Market Value ($ Thousands)
Molex (A)	6,370	$	119
Motorola	103,734		831
National Instruments	2,536		72
National Semiconductor (A)	9,656		141
NCR*	6,689		63
NetApp* (A)	15,855		489
NeuStar, Cl A*	2,700		63
Novell*	15,326		60
Novellus Systems*	4,377		91
Nuance Communications*	10,000		152
Nvidia*	26,056		340
ON Semiconductor* (A)	19,200		149
Oracle	174,467		3,852
Paychex (A)	15,307		480
PMC - Sierra*	8,700		69
QLogic* (A)	5,980		107
Qualcomm	75,550		3,400
Rambus* (A)	4,500		80
Red Hat* (A)	8,527		228
Rovi* (A)	4,800		143
SAIC*	9,700		173
Salesforce.com*	4,838		303
SanDisk*	10,543		208
Seagate Technology	22,600		342
Silicon Laboratories* (A)	2,200		93
Sohu.com*	1,400		78
Sun Microsystems*	32,969		281
Sybase* (A)	3,900		157
Symantec*	37,048		658
Synopsys*	6,882		155
Tech Data*	2,250		95
Tellabs*	16,789		94
Teradata*	7,989		234
Teradyne* (A)	8,863		79
Texas Instruments	57,908		1,465
Total System Services	6,691		116
Trimble Navigation*	4,914		110
Varian Semiconductor Equipment Associates*	3,200		93
VeriSign* (A)	8,985		202
Visa, Cl A (A)	20,800		1,685
Vishay Intertechnology* (A)	9,550		69
VMware, Cl A*	2,500		105
WebMD Health, Cl A* (A)	2,422		88
Western Digital*	10,630		392
Western Union	33,128		611
Xerox (A)	41,251		318
Xilinx (A)	12,157		275
Yahoo!*	55,481		830
Zebra Technologies, Cl A*	3,025		80

			92,230


Materials — 4.0%
Air Products & Chemicals	9,494		787
Airgas	4,015		186
AK Steel Holding	5,300		106
Albemarle	3,744		126
Alcoa	44,202		553
Allegheny Technologies	4,097		139
Aptargroup	2,800		101
Ashland	3,476		125
Ball	4,575		226
Bemis	4,774		140


Description	Shares	Market Value ($ Thousands)
Cabot	3,373	$	77
Carpenter Technology	2,300		53
Celanese, Cl A	6,483		193
CF Industries Holdings (A)	1,900		162
Cliffs Natural Resources (A)	6,400		282
Commercial Metals	4,900		78
Compass Minerals International	1,600		104
Crown Holdings*	7,451		187
Cytec Industries	2,381		81
Dow Chemical (A)	50,570		1,405
E.I. Du Pont de Nemours (A)	41,792		1,445
Eagle Materials (A)	2,000		54
Eastman Chemical	3,142		189
Ecolab	10,791		485
FMC	3,460		194
Freeport-McMoRan Copper & Gold, Cl B (A)	18,712		1,549
Greif, Cl A	1,500		84
Huntsman	8,329		79
International Flavors & Fragrances	3,291		134
International Paper	20,555		523
Intrepid Potash* (A)	1,500		46
Lubrizol	3,234		234
Martin Marietta Materials (A)	1,963		167
MeadWestvaco	8,258		226
Monsanto	24,850		2,007
Mosaic	7,578		413
Nalco Holding	5,917		145
Newmont Mining	21,733		1,166
Nucor	14,790		627
Owens-Illinois*	7,791		244
Packaging of America	4,599		92
Pactiv*	6,183		151
PPG Industries	7,823		465
Praxair	13,925		1,142
Reliance Steel & Aluminum	2,900		119
Royal Gold (A)	1,400		75
RPM International	6,269		123
Schnitzer Steel Industries, Cl A	1,000		45
Scotts Miracle-Gro, Cl A	1,806		72
Sealed Air	7,768		173
Sigma-Aldrich (A)	5,348		285
Sonoco Products	4,046		114
Southern Copper (A)	7,848		274
Steel Dynamics	10,100		171
Temple-Inland (A)	4,075		73
Terra Industries	4,900		189
Titanium Metals	3,358		33
United States Steel (A)	6,583		294
Valspar (A)	4,764		125
Vulcan Materials	5,757		279
Weyerhaeuser (A)	10,078		393

			19,809


Telecommunication Services — 3.0%
American Tower, Cl A*	17,922		734
AT&T	269,633		7,264
CenturyTel	13,275		472
Clearwire, Cl A* (A)	2,500		14
Crown Castle International*	13,796		506
Frontier Communications (A)	12,955		102
Leap Wireless International* (A)	2,900		42


Description	Shares	Market Value ($ Thousands)
Level 3 Communications* (A)	67,400	$	84
MetroPCS Communications* (A)	11,800		74
NII Holdings*	7,720		230
Qwest Communications International (A)	65,096		238
SBA Communications, Cl A* (A)	5,300		170
Sprint Nextel*	132,344		491
Telephone & Data Systems	4,102		125
tw telecom , Cl A*	7,400		108
US Cellular*	831		31
Verizon Communications	129,715		4,081
Windstream	20,347		202

			14,968


Utilities — 3.8%
AES*	31,624		403
AGL Resources	3,247		112
Allegheny Energy	7,566		166
Alliant Energy	5,176		142
Ameren (A)	11,290		293
American Electric Power	21,550		694
American Water Works	2,900		65
Aqua America (A)	5,477		89
Atmos Energy	3,691		101
Calpine*	14,900		166
Centerpoint Energy	18,715		248
CMS Energy (A)	9,542		136
Consolidated Edison (A)	13,016		558
Constellation Energy Group	8,358		266
Dominion Resources	27,512		1,001
DPL	5,446		146
DTE Energy	7,264		291
Duke Energy	58,319		973
Dynegy, Cl A*	22,518		41
Edison International	15,479		527
Energen	2,937		128
Entergy	9,198		723
Equities (A)	5,866		242
Exelon (A)	29,929		1,442
FirstEnergy	14,381		620
FPL Group	19,173		996
Great Plains Energy	6,471		115
Hawaiian Electric Industries (A)	3,746		74
Integrys Energy Group (A)	3,102		120
ITC Holdings	2,400		107
MDU Resources Group	8,621		195
Mirant* (A)	6,461		92
National Fuel Gas	3,289		154
NiSource	12,821		183
Northeast Utilities	7,907		191
NRG Energy* (A)	12,700		304
NSTAR	5,028		167
NV Energy	10,800		126
OGE Energy (A)	4,568		158
Oneok	4,929		197
Ormat Technologies	1,000		41
Pepco Holdings	10,044		164
PG&E	17,318		733
Pinnacle West Capital	4,792		168
PPL	17,126		523
Progress Energy	13,261		518
Public Service Enterprise Group	22,852		717
Questar	7,746		307


Description	Shares	Market Value ($ Thousands)
RRI Energy*	14,659	$	72
SCANA	5,420		191
Sempra Energy	11,523		612
Southern	35,503		1,139
TECO Energy	10,600		156
UGI	4,850		114
Vectren	3,491		82
Westar Energy	5,300		109
Wisconsin Energy	5,249		237
Xcel Energy	21,681		441

			19,076

Total Common Stock (Cost $407,047) ($ Thousands)			493,452


AFFILIATED PARTNERSHIP — 12.6%
SEI Liquidity Fund, L.P. 0.320% (B)** †	63,613,253		62,795

Total Affiliated Partnership (Cost $63,613) ($ Thousands)			62,795


CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.130%** †	6,208,971		6,209

Total Cash Equivalent (Cost $6,209) ($ Thousands)			6,209


U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill 0.125%, 12/10/09 (D) (E)	828		828

Total U.S. Treasury Obligation (Cost $828) ($ Thousands)			828

Total Investments — 112.6% (Cost $477,697)($ Thousands)		$	563,284

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 E-Mini	146	Dec-2009	$	386
S&P Mid 400 E-Mini	4	Dec-2009		6

			$	392

Percentages are based on a Net Assets of $500,256 ($ Thousands).

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $62,407 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities on November 30, 2009 was $62,795 ($ Thousands).

(C)

The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index.

(D)

Rate shown is the effective yield at time of purchase.

(E)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

Ser — Series

S&P — Standard & Poor’s


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 96.4%

Consumer Discretionary — 13.3%
Aaron’s	18,700	$	469
Abercrombie & Fitch, Cl A (A)	8,160		326
American Axle & Manufacturing Holdings	31,500		197
American Eagle Outfitters	135,690		2,087
American Greetings, Cl A (A)	98,800		2,045
American Public Education*	84,802		2,716
America’s Car-Mart*	21,200		513
Amerigon* (A)	113,254		751
Ameristar Casinos	45,900		798
AnnTaylor Stores*	36,400		509
Arctic Cat	54,500		368
ArvinMeritor	30,400		247
Ascent Media, Cl A*	2,100		48
Bally Technologies*	4,900		203
Barnes & Noble	107,700		2,514
Beazer Homes USA*	56,000		241
Bebe Stores	21,823		118
Belo, Cl A	76,318		359
Big Lots*	38,000		876
BJ’s Restaurants* (A)	105,429		1,800
Bluegreen*	15,899		37
Blyth	11,031		359
Bob Evans Farms (A)	19,500		493
Boyd Gaming*	27,200		222
Brinker International	20,200		279
Brink’s Home Security Holdings*	39,050		1,278
Brown Shoe	56,700		582
Brunswick	3,000		30
Buckle	9,400		257
Buffalo Wild Wings*	19,298		771
Cabela’s* (A)	74,100		894
California Pizza Kitchen*	52,000		653
Callaway Golf (A)	98,720		708
Capella Education* (A)	41,467		2,956
Career Education*	7,600		198
Carter’s*	104,400		2,271
Casual Male Retail Group*	248,400		648
Cato, Cl A (A)	164,537		3,148
Century Casinos*	236,817		597
Cheesecake Factory*	19,100		360
Childrens Place Retail Stores*	5,600		179
Christopher & Banks	64,229		367
Citi Trends*	6,700		183
CKE Restaurants	34,600		292
CKX*	6,300		34
Coldwater Creek* (A)	55,880		237
Cooper Tire & Rubber	80,066		1,435
Corinthian Colleges*	48,000		711
Cracker Barrel Old Country Store (A)	25,100		943
CSS Industries	17,600		327
Dana Holdings*	30,501		222
Dick’s Sporting Goods* (A)	51,802		1,075
Dillard’s, Cl A	33,900		576
DineEquity	49,800		1,061
Domino’s Pizza*	31,200		245
Dress Barn*	52,334		1,124
DSW, Cl A* (A)	84,600		1,975
Eastman Kodak	257,500		1,043


Description	Shares	Market Value ($ Thousands)
Ethan Allen Interiors (A)	32,497	$	377
Exide Technologies*	100,200		751
Federal Mogul, Cl A*	69,083		933
Finish Line, Cl A	161,310		1,428
Foot Locker	165,800		1,573
Fossil*	11,200		345
Fred’s, Cl A	47,700		466
Fuel Systems Solutions* (A)	18,561		895
Furniture Brands International*	41,008		172
Gaylord Entertainment*	9,100		160
Grand Canyon Education*	74,455		1,427
Group 1 Automotive	6,500		164
Gymboree*	9,500		379
Harte-Hanks	42,400		407
hhgregg*	23,216		449
Hibbett Sports* (A)	83,345		1,576
Hillenbrand	32,761		600
HOT Topic*	325,000		1,865
HSN*	38,300		686
Hyatt Hotels, Cl A* (A)	4,650		134
Iconix Brand Group*	248,360		2,796
Interactive Data	52,159		1,332
International Speedway, Cl A	58,400		1,575
Interval Leisure Group*	1,600		18
J Crew Group*	71,625		3,065
Jack in the Box* (A)	97,500		1,820
Jackson Hewitt Tax Service	81,900		339
Jakks Pacific* (A)	24,500		295
Jarden	125,766		3,452
Jo-Ann Stores*	27,004		901
Jones Apparel Group	102,990		1,746
Jos. A. Bank Clothiers*	11,800		482
Journal Communications, Cl A	152,400		532
K12* (A)	34,379		616
Kirkland’s*	69,400		1,057
Lakeland Industries*	112,000		753
Landry’s Restaurants* (A)	12,100		257
Life Time Fitness* (A)	161,144		3,642
Lifetime Brands	71,800		445
Lincoln Educational Services*	88,200		1,951
Lions Gate Entertainment*	144,500		721
Live Nation*	59,585		427
Liz Claiborne	59,700		249
LodgeNet Interactive*	65,500		294
Lululemon Athletica* (A)	77,469		2,027
Marvel Entertainment*	20,300		1,057
Matthews International, Cl A	40,200		1,393
MDC Holdings	12,400		368
MDC Partners, Cl A*	445,400		3,666
Men’s Wearhouse	20,811		424
Meredith (A)	53,200		1,402
Meritage Homes*	77,500		1,382
Morningstar* (A)	44,269		2,052
National CineMedia	81,629		1,193
New Frontier Media*	245,100		451
Nordstrom	45,355		1,517
NutriSystem	40,300		996
NVR*	1,960		1,319
O’Charleys*	27,900		179
Office Depot*	167,185		1,026
OfficeMax	146,600		1,551
Orient-Express Hotels, Cl A	178,149		1,489
Oxford Industries	17,200		369


Description	Shares	Market Value ($ Thousands)
Pacific Sunwear of California*	11,500	$	38
Papa John’s International*	2,400		53
Peet’s Coffee & Tea* (A)	24,485		797
Penske Auto Group	21,200		313
PetSmart (A)	87,627		2,255
PF Chang’s China Bistro* (A)	27,638		901
Phillips-Van Heusen	15,200		608
Pinnacle Entertainment*	273,945		2,896
Polaris Industries (A)	22,200		969
Pre-Paid Legal Services*	11,500		438
Princeton Review*	400,000		1,552
Pulte Homes	117,325		1,072
RadioShack (A)	78,200		1,475
Red Robin Gourmet Burgers*	64,900		1,013
Regis (A)	160,751		2,517
Rent-A-Center, Cl A*	114,700		2,029
Retail Ventures*	153,767		1,198
Ruby Tuesday* (A)	73,100		463
Rue21*	61,500		1,520
Ryland Group	24,800		454
Saks*	217,790		1,331
Scholastic (A)	48,300		1,218
Scientific Games, Cl A* (A)	29,059		411
Sealy*	80,000		214
Shutterfly* (A)	62,300		893
Signet Jewelers*	15,400		398
Sinclair Broadcast Group, Cl A	39,677		146
Smith & Wesson Holding*	37,600		186
Sonic Automotive, Cl A	47,400		419
Sotheby’s	28,093		533
Spartan Motors	45,200		234
Spectrum Group International*	9,759		24
Stage Stores	149,500		1,807
Stamps.com*	14,025		125
Standard Pacific*	152,215		486
Steiner Leisure*	30,100		1,190
Stewart Enterprises, Cl A	92,104		431
Stoneridge*	26,800		187
Sturm Ruger (A)	92,300		993
Superior Industries International	15,100		216
Systemax	13,500		208
Tempur-Pedic International*	94,900		2,045
Tenneco*	50,793		732
Texas Roadhouse, Cl A*	101,550		1,044
Thunderbird Resorts* (B)	288,591		231
Tickeaster Entertainment*	3,600		38
Timberland, Cl A*	85,400		1,426
Tractor Supply* (A)	13,059		610
TRW Automotive Holdings*	6,000		131
Tupperware Brands	14,000		652
Ulta Salon Cosmetics & Fragrance*	53,168		874
Under Armour, Cl A*	39,050		1,000
Universal Electronics*	17,113		368
Urban Outfitters*	39,990		1,265
Valassis Communications*	35,100		520
Volcom*	13,100		206
Warnaco Group*	4,000		163
Wet Seal, Cl A*	51,300		149
Williams-Sonoma	22,900		465
World Wrestling Entertainment, Cl A	32,900		529


Description	Shares	Market Value ($ Thousands)
Zale*	40,200	$	189

			160,216


Consumer Staples — 3.5%
Alliance One International*	328,100		1,565
American Italian Pasta, Cl A*	12,000		383
American Oriental Bioengineering* (A)	104,300		418
Andersons	41,600		1,087
Cal-Maine Foods (A)	36,600		1,004
Casey’s General Stores	50,360		1,541
Central Garden and Pet* (A)	35,415		309
Central Garden and Pet, Cl A*	31,766		262
Chattem* (A)	14,300		941
Chiquita Brands International*	165,036		2,804
Corn Products International	26,792		751
Cosan Industria e Comercio (Brazil)*	98,700		1,164
Darling International*	44,100		314
Dean Foods*	53,944		858
Del Monte Foods	283,800		2,977
Diedrich Coffee*	3,300		109
Dole Food*	38,148		438
Flowers Foods (A)	77,300		1,769
Fresh Del Monte Produce*	76,600		1,665
Great Atlantic & Pacific Tea*	14,400		160
Herbalife	56,217		2,358
Ingles Markets, Cl A	25,700		401
Kulim Malaysia	426,000		923
Lancaster Colony	18,900		902
Lance (A)	56,814		1,383
Nash Finch (A)	16,900		554
NBTY*	33,500		1,345
Nu Skin Enterprises, Cl A	42,100		1,127
Pantry*	157,729		2,331
Prestige Brands Holdings*	56,700		395
Pricesmart	7,400		139
Rite Aid*	90,300		116
Ruddick	52,600		1,400
Sanderson Farms (A)	35,781		1,437
Saskatchewan Wheat Pool, Cl Common Subscription Recei*	129,800		1,311
Smart Balance*	327,008		1,763
Smithfield Foods* (A)	23,407		362
TreeHouse Foods*	300		11
United Natural Foods*	6,700		169
Universal	59,300		2,545
USANA Health Sciences*	6,000		193
Village Super Market, Cl A	3,000		91
Winn-Dixie Stores*	45,600		492

			42,267


Energy — 5.7%
Allis-Chalmers Energy* (A)	106,888		346
Alon USA Energy (A)	26,200		188
Approach Resources*	145,200		1,016
Arena Resources* (A)	41,801		1,709
Atlas Energy	20,300		522
ATP Oil & Gas*	5,300		85
Basic Energy Services*	78,100		537
Berry Petroleum, Cl A	33,110		905
Boots & Coots International Control*	108,110		155


Description	Shares	Market Value ($ Thousands)
BPZ Energy PIPE*	46,900	$	341
BPZ Resources* (A)	132,600		965
Bristow Group*	8,000		275
Cal Dive International*	470,737		3,418
Cameron International*	3,910		148
CARBO Ceramics	20,700		1,228
Clayton Williams Energy*	7,828		221
Complete Production Services*	1,700		18
Comstock Resources*	74,393		2,762
Contango Oil & Gas*	6,900		306
CVR Energy*	10,300		76
Delek US Holdings	18,134		125
Denbury Resources*	16,000		212
DHT Maritime	17,800		72
Dresser-Rand Group*	74,355		2,088
Exterran Holdings*	25,457		533
Forest Oil* (A)	80,000		1,466
Frontier Oil	36,500		421
GeoMet*	279,191		316
Global Industries*	90,000		528
GMX Resources*	102,403		1,196
Goodrich Petroleum* (A)	67,510		1,494
Gran Tierra Energy*	75,900		433
Gulfmark Offshore*	11,600		316
Gulfport Energy*	37,900		360
Hercules Offshore*	35,100		179
Holly	98,300		2,502
Hornbeck Offshore Services*	20,300		463
Infinity Bio-Energy*	635,045		—
Key Energy Services*	209,118		1,593
Kinder Morgan Management LLC*	39,131		1,967
Knightsbridge Tankers	47,300		618
Matrix Service*	7,100		61
McMoRan Exploration*	29,664		215
Newpark Resources*	58,400		156
Northern Oil And Gas* (A)	134,000		1,226
Oil States International* (A)	12,300		441
Oilsands Quest* (A)	1,055,600		1,277
Overseas Shipholding Group (A)	40,000		1,532
Parker Drilling* (A)	177,700		888
Patterson-UTI Energy	85,300		1,313
PetroHawk Energy*	145,232		3,245
Petroleum Development*	33,400		600
Petroquest Energy*	171,763		967
Quicksilver Resources*	140,759		1,874
Rentech* (A)	380,700		583
Rex Energy*	14,687		133
Rosetta Resources*	94,000		1,481
RPC (A)	98,200		949
SandRidge Energy*	175,891		1,650
SEACOR Holdings* (A)	9,400		720
Seahawk Drilling* (A)	39,700		855
Ship Finance International	14,900		194
St. Mary Land & Exploration	4,500		146
StealthGas	125,400		756
Stone Energy*	24,200		458
Superior Energy Services* (A)	68,620		1,451
Swift Energy* (A)	103,742		2,227
Teekay Tankers, Cl A	31,200		749
Tesoro (A)	49,600		634
Tidewater	7,116		320
USEC* (A)	238,600		873


Description	Shares	Market Value ($ Thousands)
Vaalco Energy	176,400	$	739
W&T Offshore (A)	123,900		1,282
Western Refining*	41,500		193
Willbros Group* (A)	100,544		1,584
World Fuel Services	90,568		4,816

			68,691


Financials — 18.1%
Acadia Realty Trust‡	2,100		34
Advance America Cash Advance Centers	106,625		667
Affiliated Managers Group* (A)	39,614		2,583
Agree Realty‡	4,800		118
Alexander’s‡*	100		28
Allied Capital	158,700		562
Allied World Assurance Holdings	44,600		2,131
AMB Property‡	104,050		2,450
American Campus Communities‡	25,500		687
American Capital Agency‡	10,600		281
American Equity Investment Life Holding	67,431		494
American Physicians Capital	33,999		928
Amerisafe*	18,523		313
Amtrust Financial Services	64,700		773
Annaly Capital Management‡	14,300		263
Anthracite Capital‡ (A)	85,700		33
Anworth Mortgage Asset‡	366,059		2,636
Apartment Investment & Management, Cl A‡ (A)	114,064		1,541
Apollo Investments*	73,838		710
Ares Capital	37,600		437
Argo Group International Holdings*	15,200		443
Artio Global Investors, Cl A*	57,400		1,314
Ashford Hospitality Trust‡	84,539		353
Aspen Insurance Holdings	64,600		1,674
Associated Estates Realty‡	11,600		115
Assured Guaranty (A)	50,400		1,143
Astoria Financial (A)	40,718		423
AvalonBay Communities‡ (A)	24,433		1,765
Banco Latinoamericano de Comercio Exterior, Cl E	56,900		794
Bancorp Rhode Island	15,177		383
Bancorpsouth (A)	22,390		519
Bank Mutual	35,700		250
Bank of Hawaii	30,900		1,412
Bank of the Ozarks	6,200		165
Berkshire Hills Bancorp	34,900		658
BioMed Realty Trust‡	46,300		634
Boston Private Financial Holdings (A)	15,170		71
Boston Properties‡ (A)	62,050		4,156
Brasil Brokers Participacoes	390,700		1,293
Calamos Asset Management, Cl A	25,522		268
CapitalSource	373,435		1,371
CapLease‡	13,400		58
Capstead Mortgage‡	151,600		2,165
Cardinal Financial	43,759		371
Cardtronics*	233,548		2,581
Cathay General Bancorp (A)	10,600		83


Description	Shares	Market Value ($ Thousands)
CBL & Associates Properties‡ (A)	143,179	$	1,326
Cedar Shopping Centers‡	7,700		47
Centerstate Banks	42,690		352
Central Pacific Financial (A)	29,400		24
Chemical Financial	17,948		422
Chimera Investment‡	373,032		1,503
Citizens Republic Bancorp* (A)	36,000		20
City Holding	1,300		42
CNA Surety*	26,160		352
Cogdell Spencer‡	262,500		1,326
Cohen & Steers	13,600		260
Colonial Properties Trust ‡	11,100		120
Community Bank System	51,188		950
Conseco* (A)	248,500		1,190
Corporate Office Properties Trust‡ (A)	29,950		1,024
Cousins Properties‡	3,134		23
Crawford, Cl B*	17,124		66
CreXus Investment‡*	40,400		537
CVB Financial	58,900		457
Cypress Sharpridge Investments‡	1,200		16
DCT Industrial Trust‡	24,100		114
Delphi Financial Group, Cl A	84,900		1,856
Developers Diversified Realty‡	29,500		299
DiamondRock Hospitality‡	13,000		105
Dime Community Bancshares	33,400		375
Dollar Financial* (A)	67,100		1,638
Douglas Emmett‡ (A)	128,050		1,757
Duff & Phelps, Cl A	74,134		1,258
DuPont Fabros Technology‡	15,300		245
Dynex Capital‡	8,600		69
ETrade Financial	401,900		659
EastGroup Properties‡	3,200		121
Education Realty Trust‡	74,576		369
EMC Insurance Group	4,871		101
Employers Holdings	81,628		1,250
Encore Bancshares*	73,100		611
Encore Capital Group*	30,600		521
Endurance Specialty Holdings (A)	42,053		1,572
Entertainment Properties Trust‡ (A)	24,200		764
Equity Lifestyle Properties‡	3,400		163
Equity One‡ (A)	79,786		1,289
Equity Residential‡	67,500		2,174
ESSA Bancorp	33,800		428
Essex Property Trust‡ (A)	31,500		2,512
Extra Space Storage‡	114,100		1,254
FBL Financial Group, Cl A (A)	32,400		571
FBR Capital Markets*	282,500		1,771
Federal Realty Investment Trust‡ (A)	26,400		1,698
Federated Investors, Cl B (A)	25,770		664
FelCor Lodging Trust‡	13,600		46
Financial Federal	17,400		472
First Bancorp	205,347		318
First Busey (A)	126,178		414
First Commonwealth Financial	39,204		167
First Financial Bancorp (A)	166,631		2,215
First Financial Bankshares	700		36
First Financial Holdings	67,400		903
First Horizon National* (A)	48,806		661
First Industrial Realty Trust‡	57,000		254
First Merchants	9,500		57


Description	Shares	Market Value ($ Thousands)
First Midwest Bancorp	4,400	$	46
First Potomac Realty Trust‡	9,000		106
FirstMerit	22,496		471
Flushing Financial	162,000		1,768
FNB (Pennsylvania)	46,942		306
FPIC Insurance Group* (A)	11,600		407
Franklin Street Properties‡	8,600		97
GAMCO Investors, Cl A	2,400		110
General Shopping Brasil (Brazil)*	246,600		1,143
Getty Realty‡	3,100		70
GFI Group	98,500		479
Gladstone Capital	19,782		155
Gladstone Commercial‡	3,600		48
Glimcher Realty Trust‡	5,200		15
Gluskin Sheff + Associates	52,900		1,020
Great American Group*	236,900		865
Great Southern Bancorp (A)	900		20
Greenhill	15,254		1,246
Grubb & Ellis* (A)	888,460		1,306
Hancock Holding (A)	34,883		1,444
Harleysville Group	8,100		255
Hatteras Financial‡	42,600		1,304
HCP‡	108,100		3,384
Healthcare Realty Trust‡	9,700		214
Hercules Technology Growth Capital	102,265		1,007
Hersha Hospitality Trust‡	101,200		266
Highwoods Properties‡	37,700		1,154
Home Bancshares	37,700		863
Home Federal Bancorp	34,800		424
Home Properties‡	5,900		265
Horace Mann Educators	98,778		1,187
Horizon Financial (A)	400		—
Hospitality Properties Trust‡	19,100		371
Host Hotels & Resorts‡ (A)	162,150		1,706
HRPT Properties Trust‡	172,600		1,060
Hudson Valley Holding	51,100		1,337
Iberiabank (A)	6,656		378
Infinity Property & Casualty	47,949		1,916
Inland Real Estate‡	63,500		498
International Assets Holding*	16,454		272
International Bancshares (A)	123,700		2,075
Investors Real Estate Trust‡ (A)	176,100		1,551
iStar Financial‡	130,800		318
Janus Capital Group	50,563		662
Jones Lang LaSalle	33,155		1,687
Kansas City Life Insurance	14,600		393
KBW*	13,000		320
Kennedy-Wilson Holdings*	41,200		375
Kilroy Realty‡	4,600		139
Kite Realty Group Trust‡	11,200		36
Knight Capital Group, Cl A*	34,700		508
LaBranche*	1,400		4
LaSalle Hotel Properties‡	5,200		97
Lexington Realty Trust‡	14,172		69
Life Partners Holdings	9,600		179
LTC Properties‡	62,693		1,612
Macerich‡ (A)	54,767		1,630
Mack-Cali Realty‡	26,300		807
MainSource Financial Group	22,500		119
MarketAxess Holdings	228,326		2,843
Max Capital Group	119,000		2,593
MB Financial	80,800		1,507


Description	Shares	Market Value ($ Thousands)
Meadowbrook Insurance Group	366,568	$	2,511
Medical Properties Trust‡	111,500		1,079
MF Global*	83,300		524
MFA Mortgage Investments‡	425,143		3,218
MGIC Investment*	488,575		1,954
Mid-America Apartment Communities‡ (A)	17,934		834
Montpelier Re Holdings (A)	60,813		1,018
MSCI, Cl A*	39,902		1,216
National Health Investors‡	4,200		139
National Penn Bancshares (A)	55,095		304
National Retail Properties‡	14,600		293
Nationwide Health Properties‡	7,613		259
Nelnet, Cl A	178,675		3,104
NewAlliance Bancshares (A)	34,957		412
NorthStar Realty Finance‡ (A)	38,144		129
NYSE Euronext	6,900		174
OceanFirst Financial	13,950		141
Old National Bancorp	199,600		2,323
Omega Healthcare Investors‡	12,400		224
Oriental Financial Group	113,000		1,096
Pacific Capital Bancorp	118,300		111
PacWest Bancorp (A)	46,717		860
Parkway Properties‡	32,800		612
Pennsylvania Real Estate Investment Trust‡	44,000		325
Pennymac Mortgage Investment Trust‡ *	1,200		21
PHH*	61,433		849
Phoenix	201,800		500
Pico Holdings*	40,558		1,214
Piper Jaffray*	4,500		195
Platinum Underwriters Holdings	136,696		4,824
PMA Capital, Cl A*	101,179		645
Post Properties‡ (A)	69,050		1,273
Potlatch‡	5,200		153
Presidential Life	18,168		185
ProAssurance* (A)	15,841		844
Prospect Capital (A)	133,100		1,448
Prosperity Bancshares	21,600		860
Provident Financial Services	29,700		314
PS Business Parks‡	1,800		86
Public Storage‡	45,024		3,583
RAIT Financial Trust‡ (A)	238,800		370
Ramco-Gershenson Properties‡	7,300		66
Raymond James Financial (A)	12,700		309
Redwood Trust‡	19,500		280
Reinsurance Group of America, Cl A	19,727		917
Renasant	43,900		625
Republic Bancorp, Cl A	42,800		807
Resource Capital‡	28,100		145
Riskmetrics Group*	140,340		2,095
S&T Bancorp	17,300		276
Safeguard Scientifics*	26,200		242
Safety Insurance Group	41,700		1,485
Sandy Spring Bancorp (A)	8,500		79
Saul Centers‡	19,850		613
SCBT Financial	28,900		751
SeaBright Insurance Holdings*	57,100		628
Selective Insurance Group	40,800		636
Senior Housing Properties Trust‡	76,550		1,590
Signature Bank NY* (A)	35,310		1,094


Description	Shares	Market Value ($ Thousands)
Simon Property Group‡	45,764	$	3,325
SL Green Realty‡	10,000		444
South Financial Group (A)	185,100		113
Sovran Self Storage‡	17,503		566
Starwood Property Trust‡	51,100		991
Stewart Information Services (A)	90,160		935
Strategic Hotels & Resorts‡ *	114,200		194
Student Loan	18,200		904
Sun Communities‡	10,300		196
Sunstone Hotel Investors‡	46,450		376
Susquehanna Bancshares	34,735		199
SVB Financial Group*	34,320		1,299
SWS Group	70,369		875
Synovus Financial	208,769		407
Tanger Factory Outlet Centers‡	6,000		235
TCF Financial (A)	34,600		455
TD Ameritrade Holding*	26,331		517
Texas Capital Bancshares*	47,000		682
Thomas Weisel Partners Group*	92,700		417
Titanium Asset Management* (J)	132,700		382
Tower Group	24,088		595
TradeStation Group*	43,400		319
Trustco Bank	170,967		1,053
Trustmark (A)	27,500		527
UMH Properties‡	2,100		16
Union Bankshares	30,000		354
United Bankshares	29,600		506
United Community Banks*	46,939		182
United Financial Bancorp	28,100		361
Universal Health Realty Income Trust‡	5,600		172
Uranium Participation*	192,500		1,202
Urstadt Biddle Properties, Cl A‡	9,200		126
U-Store-It Trust‡	9,500		62
Validus Holdings	71,247		1,888
Value Creation* (H) (I) (J)	119,600		13
Ventas‡ (A)	49,450		2,123
ViewPoint Financial Group	39,200		513
Vornado Realty Trust‡ (A)	23,054		1,509
Walter Investment Management‡	4,500		55
Washington Real Estate Investment Trust‡	21,200		553
Webster Financial (A)	16,000		204
Weingarten Realty Investors‡	30,550		593
WesBanco	24,100		311
Westamerica Bancorporation	15,000		798
Whitney Holding (A)	17,334		140
Willis Group Holdings (A)	22,962		623
Wilshire Bancorp	20,200		142
Winthrop Realty Trust‡	3,100		28
Wintrust Financial	8,400		218
World Acceptance* (A)	43,300		1,270
WSFS Financial	28,500		760
Zenith National Insurance	51,300		1,467
Zions Bancorporation (A)	37,280		490

			217,993


Health Care — 11.7%
Abaxis* (A)	76,183		1,712
Acadia Pharmaceuticals* (A)	249,100		306
Achillion Pharmaceuticals*	180,092		378
Acorda Therapeutics*	60,974		1,468
Affymetrix*	83,600		396


Description	Shares	Market Value ($ Thousands)
Air Methods*	18,600	$	641
Albany Molecular Research*	50,519		424
Alexion Pharmaceuticals*	47,802		2,168
Align Technology* (A)	61,963		1,014
Alkermes* (A)	72,034		647
Alnylam Pharmaceuticals* (A)	26,170		440
AMAG Pharmaceuticals* (A)	85,780		3,207
Amedisys*	45,951		1,702
American Medical Systems Holdings*	22,700		399
AMERIGROUP*	23,801		564
AMN Healthcare Services*	208,900		1,669
Amsurg, Cl A*	128,403		2,659
Analogic	7,556		306
Angiodynamics*	21,314		331
Arena Pharmaceuticals* (A)	321,302		1,166
Array Biopharma*	105,073		181
Assisted Living Concepts, Cl A*	31,500		737
athenahealth*	49,036		2,055
BioMarin Pharmaceutical*	188,242		3,108
Cantel Medical*	26,000		465
Cardiome Pharma*	352,856		1,418
Catalyst Health Solutions*	73,355		2,495
Centene*	78,800		1,483
Cephalon*	3,600		198
Cepheid* (A)	41,727		517
Chemed	37,095		1,676
Conceptus* (A)	38,389		650
Conmed*	166,047		3,452
Cooper (A)	19,763		662
Covance*	11,400		606
Cross Country Healthcare*	133,800		1,139
CryoLife*	12,100		69
Cubist Pharmaceuticals*	14,300		239
Cyberonics*	15,700		283
Cypress Bioscience* (A)	88,077		467
Durect*	447,774		1,007
Emergency Medical Services, Cl A*	21,700		1,047
Enzo Biochem*	26,656		138
eResearch Technology*	51,503		304
Exactech*	52,542		830
Exelixis* (A)	91,526		626
Genoptix*	49,840		1,807
Gen-Probe*	30,296		1,263
Gentiva Health Services*	19,600		463
Haemonetics*	8,100		432
Halozyme Therapeutics* (A)	71,403		390
Hanger Orthopedic Group*	9,500		127
Healthsouth*	33,900		595
Healthspring*	59,200		980
HealthTronics*	244,622		533
Healthways*	8,000		137
Hill-Rom Holdings	36,000		798
Human Genome Sciences* (A)	39,498		1,099
ICU Medical*	73,400		2,422
Idexx Laboratories*	11,300		566
Illumina*	5,000		145
Immucor*	27,700		511
Incyte* (A)	277,125		2,308
Inspire Pharmaceuticals*	161,100		938
Integra LifeSciences Holdings* (A)	14,129		463


Description	Shares	Market Value ($ Thousands)
InterMune* (A)	35,820	$	385
Invacare	21,200		528
inVentiv Health*	1,300		21
Inverness Medical Innovations*	8,900		374
IPC The Hospitalist*	29,395		925
Isis Pharmaceuticals* (A)	60,862		652
Kendle International*	64,017		958
Kensey Nash*	28,667		668
Kindred Healthcare*	109,250		1,623
Kinetic Concepts* (A)	21,300		718
King Pharmaceuticals* (A)	132,900		1,572
LCA-Vision*	10,700		59
LHC Group* (A)	129,465		3,984
Lincare Holdings* (A)	32,000		1,137
Magellan Health Services*	27,900		1,026
Martek Biosciences* (A)	90,378		1,573
Masimo*	72,900		1,922
Maxygen*	13,428		73
MedAssets*	51,290		1,197
Medical Staffing Network Holdings*	92,100		55
Medicines*	223,300		1,751
Medicis Pharmaceutical, Cl A	66,500		1,569
Medivation* (A)	20,463		628
Mednax*	58,433		3,284
Meridian Bioscience	38,800		804
Merit Medical Systems*	21,038		347
Molina Healthcare*	16,000		334
MWI Veterinary Supply*	42,528		1,577
Myriad Genetics*	58,640		1,356
National Dentex*	13,300		108
Neogen*	25,200		820
Nighthawk Radiology Holdings*	54,281		283
NovaMed*	98,000		372
NPS Pharmaceuticals*	18,400		58
NuVasive*	53,532		1,737
Odyssey HealthCare* (A)	87,800		1,276
Omnicell*	136,349		1,391
OncoGenex Pharmaceutical*	1,800		57
Onyx Pharmaceuticals* (A)	28,357		811
Orthofix International*	7,600		230
OSI Pharmaceuticals*	21,652		721
Par Pharmaceutical*	95,770		2,272
Parexel International*	33,000		396
Patterson* (A)	15,459		397
PDL BioPharma (A)	436,094		2,835
PerkinElmer	20,500		387
Pharmaceutical Product Development	22,993		493
PharMerica*	13,400		202
Phase Forward*	222,175		3,390
Pozen*	191,613		1,353
Providence Service*	19,200		268
PSS World Medical* (A)	45,566		882
Psychiatric Solutions*	39,300		871
Quality Systems	17,205		1,023
Questcor Pharmaceuticals*	153,300		659
Quidel* (A)	122,923		1,545
RehabCare Group*	7,954		224
Res-Care*	111,500		1,431
Rigel Pharmaceuticals* (A)	236,100		1,787
Savient Pharmaceuticals*	5,400		72
Seattle Genetics*	54,506		506


Description	Shares	Market Value ($ Thousands)
Sirona Dental Systems*	12,100	$	352
Skilled Healthcare Group, Cl A*	50,800		345
Somanetics*	27,136		389
SonoSite*	18,700		422
STERIS	45,300		1,464
Sun Healthcare Group*	60,000		508
Symmetry Medical*	8,000		64
Techne	26,580		1,804
Teleflex	25,966		1,353
Theravance*	43,405		571
Thoratec*	77,326		2,303
United Therapeutics*	54,168		2,469
Universal American Financial*	65,700		681
Universal Health Services, Cl B	13,600		760
Valeant Pharmaceuticals International*	11,600		379
Varian*	33,300		1,705
Viropharma*	56,242		425
Volcano*	30,770		453
WellCare Health Plans*	22,400		739
Wright Medical Group*	26,873		484
Zoll Medical*	12,800		315

			141,368


Industrials — 16.5%
AAR*	11,100		207
ACCO Brands*	119,700		782
Acuity Brands (A)	50,200		1,621
Administaff	36,400		811
Advisory Board* (A)	43,185		1,131
Aegean Marine Petroleum Network	175,830		4,726
AerCap Holdings*	257,411		2,111
Aerovironment*	40,183		1,155
Airtran Holdings*	735,361		3,030
Alamo Group	18,900		281
Alaska Air Group*	28,500		852
Allen-Vanguard*	1,478,300		—
Alliant Techsystems*	16,675		1,429
American Ecology	15,681		254
Ameron International	20,800		1,185
Ampco-Pittsburgh	19,200		561
AO Smith	23,800		998
APAC Customer Services*	102,000		533
Apogee Enterprises	107,700		1,475
Applied Industrial Technologies	85,800		1,781
Arkansas Best (A)	67,800		1,669
Armstrong World Industries*	16,900		700
Astec Industries* (A)	56,200		1,403
ATC Technology*	55,192		1,216
Atlas Air Worldwide Holdings*	60,454		1,771
Avis Budget Group*	128,900		1,257
Barnes Group	130,970		2,031
BE Aerospace*	67,310		1,297
Beacon Roofing Supply*	50,700		779
Belden	43,365		959
Bowne	2,540		15
Brady, Cl A	23,954		711
Briggs & Stratton	69,415		1,309
Brink’s	12,600		283
CAE	11,100		252
Carlisle	33,500		1,076
Celadon Group*	160,939		1,540


Description	Shares	Market Value ($ Thousands)
Cenveo*	78,711	$	604
Ceradyne*	27,100		458
Chart Industries*	48,300		802
Chicago Bridge & Iron	27,595		485
CIRCOR International	3,200		77
Clean Harbors*	7,542		404
Columbus McKinnon*	72,966		1,146
Comfort Systems USA (A)	193,700		2,206
Continental Airlines, Cl B*	95,100		1,356
Con-way	14,569		442
Copa Holdings, Cl A	18,672		930
Copart* (A)	79,912		2,591
Cornell*	57,630		1,266
CoStar Group* (A)	112,929		4,487
Courier	15,245		199
CRA International*	105,224		2,617
Crane	40,300		1,126
Cubic	58,300		2,030
Deluxe	60,100		775
Diamond Management & Technology Consultants, Cl A	77,300		503
DryShips	166,200		1,017
Dycom Industries*	81,292		633
Dynamic Materials	1,900		36
DynCorp International, Cl A*	57,000		797
EMCOR Group*	234,218		5,574
Encore Wire	36,100		718
EnerNOC*	32,375		857
EnerSys*	49,500		1,127
Ennis	28,321		410
EnPro Industries* (A)	44,200		1,014
Esterline Technologies*	25,500		1,030
Fastenal	15,000		556
Federal Signal	2,700		16
Force Protection*	194,300		1,003
Forward Air	53,455		1,211
FTI Consulting*	48,950		2,264
G&K Services, Cl A	46,715		1,032
Gardner Denver	76,177		2,851
GATX (A)	14,100		407
Genco Shipping & Trading (A)	11,200		263
General Cable* (A)	16,705		491
Genesee & Wyoming, Cl A*	33,675		1,048
Geo Group*	121,445		2,414
GeoEye* (A)	98,071		3,057
Gibraltar Industries	48,527		727
GrafTech International*	8,100		119
Graham	60,372		1,119
Granite Construction (A)	78,400		2,350
Great Lakes Dredge & Dock	211,400		1,245
Griffon*	42,500		442
GT Solar International*	24,500		116
H&E Equipment Services* (A)	111,700		1,034
Hawaiian Holdings*	53,700		336
Healthcare Services Group	72,874		1,435
Heico, Cl A	16,287		521
Hexcel*	49,600		523
Hill International*	5,500		34
HNI	21,600		546
Horizon Lines, Cl A	243,923		1,305
Hubbell, Cl B	4,400		200
Hudson Highland Group*	116,000		466
ICF International*	55,019		1,486


Description	Shares	Market Value ($ Thousands)
IDEX (A)	58,707	$	1,740
IHS, Cl A*	35,570		1,789
II-VI*	24,067		685
Innerworkings* (A)	304,716		1,566
Insteel Industries	8,700		99
Interface, Cl A	47,382		364
John Bean Technologies	19,400		333
Kadant*	28,440		410
Kaman	13,767		312
Kansas City Southern* (A)	16,569		474
Kaydon (A)	65,278		2,321
Kelly Services, Cl A (A)	42,376		445
Kforce*	57,900		750
Kirby*	62,300		2,078
Knight Transportation (A)	54,384		925
Knoll	49,500		481
Korn/Ferry International*	38,600		626
Ladish*	3,300		46
Landstar System	55,000		2,053
LB Foster, Cl A*	13,200		362
LECG*	249,100		760
Lincoln Electric Holdings	9,800		504
LS Starrett, Cl A	1,700		16
Lydall*	26,660		151
Marten Transport*	16,800		283
McDermott International*	26,000		544
Mcgrath Rentcorp	11,279		233
Michael Baker*	41,200		1,568
Mine Safety Appliances	32,928		815
Mistras Group*	17,090		208
Monster Worldwide* (A)	149,975		2,191
MPS Group*	149,500		2,041
Mueller Industries	107,000		2,516
MYR Group* (A)	67,186		1,050
NACCO Industries, Cl A	12,100		611
Navistar International*	24,500		809
NCI Building Systems*	116,200		216
Northwest Pipe*	600		15
Old Dominion Freight Line*	63,259		1,675
Orbital Sciences*	58,100		728
Pacer International (A)	144,595		411
Powell Industries*	12,200		428
Quanex Building Products	110,875		1,797
Quanta Services*	29,016		544
Rand Logistics*	34,000		107
Raven Industries	20,700		559
Regal-Beloit	7,700		365
Resources Connection*	84,222		1,623
Ritchie Bros Auctioneers	60,020		1,430
RSC Holdings* (A)	161,000		1,024
Rush Enterprises, Cl A*	91,393		984
Ryder System (A)	37,700		1,528
Sauer-Danfoss	18,200		157
School Specialty* (A)	82,523		1,882
Silvercorp Metals*	135,700		1,008
Silvercorp Metals PIPE*	59,400		441
Skywest	54,264		798
Spherion*	44,400		232
Spirit Aerosystems Holdings, Cl A* (A)	76,200		1,389
Standard Parking*	99,429		1,601
Standard Register	32,494		147
Stanley*	30,275		808


Description	Shares	Market Value ($ Thousands)
Steelcase, Cl A (A)	41,300	$	225
SYKES Enterprises* (A)	40,400		992
TAL International Group (A)	91,600		1,251
TBS International, Cl A*	44,400		344
Teledyne Technologies*	51,599		1,729
Terex* (A)	141,177		2,658
Tetra Tech*	48,952		1,289
Textainer Group Holdings	81,500		1,300
Titan International	132,295		1,095
Titan Machinery*	85,644		962
TransDigm Group	78,777		3,415
Tredegar	37,805		545
Trex*	6,700		120
Triumph Group (A)	14,233		683
TrueBlue*	115,100		1,400
Tutor Perini*	20,506		341
UAL*	177,400		1,377
United Rentals*	20,200		186
Universal Forest Products	21,100		758
US Airways Group*	130,600		482
Viad	4,600		85
Vitran, Cl A*	72,810		647
Wabtec	62,000		2,387
Watson Wyatt Worldwide, Cl A (A)	68,984		2,852
Watts Water Technologies, Cl A (A)	29,883		916
Werner Enterprises	43,800		817
WESCO International* (A)	136,074		3,552
Woodward Governor (A)	68,800		1,600
YRC Worldwide* (A)	65,300		74

			199,663


Information Technology — 18.3%
3Com*	135,900		1,002
ACI Worldwide*	5,000		82
Actel*	103,500		1,207
Actuate*	51,900		209
Acxiom*	39,700		458
ADC Telecommunications*	35,400		217
Advanced Energy Industries*	193,779		2,118
Advent Software* (A)	24,206		918
Akamai Technologies* (A)	63,600		1,526
Amkor Technology*	97,900		543
Ancestry.com* (A)	90,478		1,190
Anixter International* (A)	19,017		822
Ansys*	15,896		619
Applied Micro Circuits*	30,100		224
Archipelago Learning*	39,649		733
Ariba*	207,630		2,251
Arris Group* (A)	304,360		3,040
Arrow Electronics*	58,400		1,535
Art Technology Group*	468,708		1,894
AsiaInfo Holdings*	35,900		883
Atheros Communications*	69,903		1,990
Atmel*	407,330		1,617
ATMI*	100,400		1,561
Avocent*	15,407		385
Benchmark Electronics*	199,600		3,599
Black Box	38,864		1,096
Blackboard*	76,545		3,194
Blue Coat Systems*	11,300		299
Brightpoint*	149,400		1,073


Description	Shares	Market Value ($ Thousands)
Brocade Communications Systems*	114,700	$	813
CACI International, Cl A*	37,912		1,760
CDC Software ADR*	173,700		1,668
Checkpoint Systems*	36,486		517
Ciber*	416,234		1,319
Cirrus Logic*	95,466		518
Cogent*	4,800		41
Cognex	38,992		642
Cogo Group*	52,200		297
Coherent*	69,227		1,760
CommScope*	60,435		1,519
Compuware*	110,700		768
comScore*	1,243		20
Comtech Telecommunications* (A)	35,492		1,020
Comverse Technology*	169,600		1,492
Concur Technologies* (A)	5,146		191
Convergys*	17,600		197
CPI International*	9,766		94
CSG Systems International*	86,793		1,680
CTS	105,957		982
Cypress Semiconductor*	20,900		200
Daktronics	25,500		216
DealerTrack Holdings* (A)	166,387		2,839
Diebold	24,484		616
Digi International*	144,100		1,137
Digital River*	66,115		1,668
Dolby Laboratories, Cl A*	13,900		622
Double-Take Software*	60,500		532
DragonWave*	86,686		867
DSP Group*	120,141		756
DTS*	169,751		5,116
Earthlink (A)	296,300		2,439
EF Johnson Technologies*	93,700		103
Electro Rent	12,171		123
Electronic Arts*	19,967		337
Electronics for Imaging*	23,457		282
Emulex*	173,737		1,692
Epicor Software*	3,600		27
EPIQ Systems* (A)	52,056		674
Equinix*	20,835		2,004
Euronet Worldwide*	88,615		1,882
Fair Isaac (A)	88,500		1,615
FLIR Systems*	36,250		1,040
Formfactor*	85,523		1,450
Forrester Research*	14,300		358
Gartner*	82,345		1,558
GSI Commerce* (A)	100,937		2,255
Heartland Payment Systems	154,952		1,656
Hittite Microwave*	12,100		456
Hutchinson Technology*	24,489		174
i2 Technologies*	36,100		664
IAC*	12,700		247
Imation (A)	363,206		3,185
Insight Enterprises*	89,000		903
Integral Systems*	152,527		1,356
Integrated Device Technology*	11,500		65
Intermec*	130,351		1,602
IXYS	22,800		147
j2 Global Communications*	15,500		308
Jabil Circuit	16,600		221
Jack Henry & Associates	51,800		1,184


Description	Shares	Market Value ($ Thousands)
JDA Software Group*	68,500	$	1,608
JDS Uniphase*	3,800		28
Knot* (A)	214,010		2,042
Lam Research*	25,700		874
Lawson Software* (A)	402,805		2,638
LeCroy*	71,700		294
Lexmark International, Cl A*	68,900		1,734
Linear Technology	23,900		645
Littelfuse* (A)	27,521		720
LivePerson*	18,300		116
LTX-Credence*	194,200		262
Manhattan Associates*	128,700		3,032
Mantech International, Cl A*	60,132		2,603
Marvell Technology Group*	30,800		475
MAXIMUS	78,500		3,650
Methode Electronics (A)	176,292		1,403
Micrel	34,000		243
Microsemi* (A)	120,035		1,828
MicroStrategy, Cl A*	28,641		2,508
MKS Instruments*	59,835		906
ModusLink Global Solutions*	24,817		200
MoneyGram International*	76,000		189
Monotype Imaging Holdings*	173,473		1,343
Move*	140,503		216
MTS Systems	17,599		454
Multi-Fineline Electronix*	20,550		512
NCR*	45,200		425
Ness Technologies*	37,900		192
Net 1 UEPS Technologies*	88,411		1,652
Netgear*	123,200		2,445
Netlogic Microsystems* (A)	48,653		1,985
NetSuite*	79,758		1,114
Novatel Wireless* (A)	158,800		1,331
Novell*	323,200		1,264
Nuance Communications* (A)	57,708		877
Omnivision Technologies*	95,000		1,326
Openwave Systems*	89,000		210
Orbotech*	134,900		1,319
OSI Systems*	71,200		1,455
Palm*	19,500		213
Parametric Technology*	73,226		1,103
Park Electrochemical	68,400		1,618
Parkervision* (A)	311,000		566
Plantronics	25,600		593
Power Integrations	42,811		1,438
Progress Software*	57,900		1,395
QLogic*	8,800		158
Quantum*	671,424		1,638
Quest Software*	80,523		1,355
Radisys* (A)	82,900		773
RADWARE*	33,500		438
RealNetworks*	34,200		112
RF Micro Devices*	96,900		419
Richardson Electronics	25,765		153
RightNow Technologies*	23,541		333
Riverbed Technology*	7,300		149
Rogers*	12,636		356
Rosetta Stone*	71,448		1,260
Rubicon Technology* (A)	49,226		857
Rudolph Technologies* (A)	119,400		776
Sapient*	315,760		2,324
SAVVIS*	84,342		1,056
Scansource*	31,200		726


Description	Shares	Market Value ($ Thousands)
Seachange International*	167,400	$	934
Semtech*	34,300		549
Sigma Designs*	5,100		60
Silicon Image*	94,000		206
Skyworks Solutions*	19,600		241
Smith Micro Software*	71,440		452
Solera Holdings	66,628		2,329
Sourcefire*	26,908		528
SRA International, Cl A* (A)	153,227		2,766
Standard Microsystems*	56,771		1,092
Starent Networks*	2,500		86
STEC*	19,800		245
Stratasys* (A)	34,914		519
SuccessFactors*	49,950		752
Sybase* (A)	29,685		1,195
Synaptics*	14,300		385
Synchronoss Technologies*	101,275		1,365
SYNNEX* (A)	35,700		1,011
Synopsys*	13,266		298
Take-Two Interactive Software*	32,600		367
Taleo, Cl A*	101,806		2,103
Tech Data*	47,200		1,988
Technitrol	53,500		271
Techwell*	48,300		563
Tekelec*	28,614		407
TeleTech Holdings*	31,000		598
Teradyne*	352,213		3,121
Tessera Technologies*	44,373		1,050
THQ*	51,711		253
TIBCO Software*	195,100		1,678
TiVo*	17,200		170
Trimble Navigation* (A)	124,350		2,777
TriQuint Semiconductor*	40,300		219
TTM Technologies* (A)	141,300		1,465
Tyler Technologies* (A)	11,000		220
Ultra Clean Holdings*	68,900		410
Ultratech*	100,900		1,330
Unisys*	43,780		1,405
United Online	121,700		828
Valueclick*	62,500		589
Varian Semiconductor Equipment Associates* (A)	32,600		950
Vasco Data Security International*	15,300		101
Veeco Instruments* (A)	93,987		2,567
VeriFone Holdings*	700		9
Verigy*	151,897		1,580
Vishay Intertechnology*	31,700		230
VistaPrint*	104,055		5,934
Vocus*	107,028		1,749
Volterra Semiconductor*	13,800		228
Web.com Group*	51,800		308
Websense*	134,150		2,110
Wright Express*	27,300		796
Xyratex*	46,200		521
Zebra Technologies, Cl A*	65,032		1,730
Zoran*	174,186		1,592

			221,316


Materials — 4.2%
A. Schulman	55,782		910
AEP Industries*	9,800		370
AK Steel Holding	33,275		665
Allied Nevada Gold* (A)	136,300		1,772


Description	Shares	Market Value ($ Thousands)
AM Castle	30,669	$	402
AMCOL International (A)	27,400		747
Aptargroup	48,631		1,757
Arch Chemicals	25,818		692
Brush Engineered Materials*	6,200		110
Buckeye Technologies*	52,300		506
Cabot	16,578		380
Carpenter Technology (A)	81,300		1,885
Century Aluminum*	28,500		278
Coeur d’Alene Mines*	17,600		401
Commercial Metals	68,415		1,088
Crown Holdings*	57,420		1,445
Cytec Industries	12,173		414
Domtar*	8,900		502
Eagle Materials (A)	18,500		499
Ferro	26,506		171
Gammon Gold*	50,800		587
General Steel Holdings*	72,657		291
Glatfelter	51,510		573
H.B. Fuller	126,358		2,573
Haynes International	29,000		777
Headwaters*	78,875		372
Hecla Mining*	43,500		288
Innophos Holdings	22,600		560
Intrepid Potash*	24,946		759
Jaguar Mining* (A)	122,100		1,426
Kaiser Aluminum	24,300		939
Koppers Holdings	62,522		1,766
LSB Industries*	6,000		73
Myers Industries	68,193		564
Nalco Holding	73,695		1,803
Neenah Paper	23,994		334
New Gold* (A)	425,500		1,523
NewMarket	31,375		3,286
Olin (A)	103,827		1,741
Olympic Steel	7,400		205
OM Group* (A)	90,064		2,759
PolyOne*	104,700		752
Quaker Chemical	28,200		550
Rock-Tenn, Cl A	12,200		551
Rockwood Holdings*	15,600		351
RTI International Metals*	77,333		1,532
Schweitzer-Mauduit International	6,800		419
Sensient Technologies (A)	73,500		1,862
Silgan Holdings	13,378		717
Solutia*	23,500		253
Spartech	36,390		396
Stepan	700		44
Stillwater Mining*	30,800		293
Universal Stainless & Alloy*	71,000		1,152
US Gold*	70,900		201
Wausau Paper	14,400		146
Westlake Chemical	2,400		63
Worthington Industries	93,900		1,100
WR Grace*	93,871		2,146
Zep	200		3

			50,724


Telecommunication Services — 1.4%
Alaska Communications Systems Group	51,464		376
Atlantic Telegraph-Network	12,100		567


Description	Shares	Market Value ($ Thousands)
Cbeyond* (A)	47,506	$	613
Cincinnati Bell*	259,400		773
Cogent Communications Group*	28,800		245
Consolidated Communications Holdings	25,186		383
Global Crossing*	27,900		315
Iowa Telecommunications Services	37,979		604
Leap Wireless International* (A)	101,800		1,469
Neutral Tandem* (A)	169,966		3,921
SBA Communications, Cl A*	135,441		4,340
Sprint Nextel*	110,437		410
Syniverse Holdings*	27,000		428
tw telecom , Cl A*	133,320		1,940
USA Mobility	83,700		835

			17,219


Utilities — 3.7%
AGL Resources	23,975		828
Allete (A)	66,340		2,218
Avista (A)	37,000		770
Black Hills	29,100		686
Central Vermont Public Service	16,000		311
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	75,400		1,299
Cleco	75,000		1,914
El Paso Electric*	229,900		4,552
Empire District Electric	96,492		1,750
Great Plains Energy	108,981		1,940
Hawaiian Electric Industries	21,900		435
IDACORP	55,356		1,637
ITC Holdings	24,651		1,096
Laclede Group	4,000		125
Mirant*	32,000		456
New Jersey Resources	2,400		85
Nicor	26,000		1,018
Northwest Natural Gas (A)	15,400		661
NorthWestern	226,981		5,854
Portland General Electric (A)	307,075		6,022
RRI Energy*	51,000		251
South Jersey Industries	12,954		467
UGI	42,700		1,003
UIL Holdings	49,100		1,324
Unisource Energy	119,458		3,562
Vectren	89,800		2,109
Westar Energy	92,626		1,907
WGL Holdings (A)	8,300		261

			44,541

Total Common Stock (Cost $1,085,739) ($ Thousands)			1,163,998


PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Callaway Golf (B)	11,100		1,307


Financials — 0.1%
Grubb & Ellis*	6,600		660

Total Preferred Stock (Cost $1,755) ($ Thousands)			1,967


Description	Shares	Market Value ($ Thousands)

CONVERTIBLE BONDS — 0.3%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (C)	3,147	$	315


Energy — 0.2%
Nova Biosource Fuels
10.000%, 09/30/12 (B) (C)	3,332		333
Rentech
4.000%, 04/15/13	1,795		1,367
Scorpio Mining (H) (I) (J)
7.000%, 05/05/11	887		781

			2,481


Financials — 0.1%
World Acceptance
3.000%, 10/01/11	475		424

Total Convertible Bonds (Cost $3,869) ($ Thousands)			3,220


AFFILIATED PARTNERSHIP — 16.2%
SEI Liquidity Fund, L.P.
0.320%** † (G)	201,493,152		195,330

Total Affiliated Partnership (Cost $201,493) ($ Thousands)			195,330


WARRANTS — 0.0%
Oilsands Quest, Expires 05/12/11*	247,050		111
Oilsands Quest, Expires 12/08/09*	17,500		—
Rentech, Expires 04/25/12* (H) (I) (J)	16,100		6
Titanium Asset Management, Expires 06/21/11* (J)	122,200		—
Washington Mutual (D)	17,435		1
Total Warrants (Cost $53) ($ Thousands)			118


EXCHANGE TRADED FUNDS — 0.0%
iShares Russell 2000 Index Fund (A)	3,408		198
Midcap SPDR Trust Series 1	4,115		513

Total Exchange Traded Funds (Cost $758) ($ Thousands)			711

	Number Of Rights

RIGHT — 0.0%

United States — 0.0%
Ligand Pharma, Expires 01/05/12	64,529		—

Total Right (Cost $0) ($ Thousands)			—


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.130%** †		39,871	$	39,871

Total Cash Equivalent (Cost $39,871) ($ Thousands)				39,871


U.S. TREASURY OBLIGATIONS (E) (F) — 0.4%
U.S. Treasury Bills
0.142%, 12/03/09	$	3,070		3,070
0.068%, 01/07/10		1,800		1,800

Total U.S. Treasury Obligations (Cost $4,870) ($ Thousands)				4,870

Total Investments — 116.8% (Cost $1,338,408)($ Thousands)			$	1,410,085

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E- Mini	461	Dec-2009	$	369

Percentages are based on a Net Assets of $1,206,896 ($ Thousands)

(A)

This security or a partial position of this security is on loan at November 30, 2009. The total value of securities on loan at November 30, 2009 was $150,257 ($ Thousands).

(B)

(C)

Security in default on interest payments. Security is non-income producing.

(D)

This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date.

(E)

Rate shown is the effective yield at time of purchase.

(F)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(G)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2009 was $195,330 ($ Thousands).

(H)

Securities considered illiquid. The total value of such securities as of November 30, 2009 was $800 ($ Thousands) and represents 0.1% of net assets.

(I)

Securities considered restricted. The total value of such securities as of November 30, 2009 was $800 ($ Thousands) and represents 0.1% of net assets.

(J)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2009 was $1,182 ($ Thousands) and represents 0.1% of net assets.

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust

ADR — American Depositary Receipt

Cl — Class

CV — Convertible Security

LLC — Limited Liability Company

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Restricted Securities — At November 30, 2009, the Fund owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there form. In addition, the Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, along with their cost and values at November 30, 2009, were as follows:


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 97.6%

Consumer Discretionary — 14.8%
Aaron’s	43,268	$	1,085
Abercrombie & Fitch, Cl A	24,077		961
Advance Auto Parts	90,817		3,569
American Eagle Outfitters	426,930		6,566
American Greetings, Cl A (A)	33,400		691
AnnTaylor Stores*	53,500		748
Apollo Group, Cl A*	48,100		2,745
Arctic Cat	68,000		459
ArvinMeritor	83,100		674
Autoliv (A)	36,100		1,466
AutoNation*	30,858		545
Bally Technologies*	65,430		2,717
Barnes & Noble	23,071		538
Beazer Homes USA* (A)	141,200		607
Bebe Stores	45,936		248
Bed Bath & Beyond*	50,300		1,879
Belo, Cl A	163,911		772
Big 5 Sporting Goods	44,882		733
Big Lots* (A)	138,650		3,197
BJ’s Restaurants* (A)	65,035		1,110
Black & Decker (A)	25,900		1,572
Blyth	9,087		296
Bob Evans Farms (A)	61,900		1,564
Books-A-Million, Cl A	10,529		74
BorgWarner	60,552		1,829
Brinker International	92,600		1,278
Brink’s Home Security Holdings*	141,550		4,632
Brown Shoe	114,396		1,174
Buckle	11,900		325
Buffalo Wild Wings*	23,010		919
Cabela’s* (A)	74,000		892
Callaway Golf (A)	272,702		1,955
Capella Education*	58,770		4,189
Career Education* (A)	82,923		2,158
Carmax* (A)	73,131		1,454
Carter’s*	202,551		4,406
Cato, Cl A	189,974		3,634
CEC Entertainment* (A)	71,408		2,082
Century Casinos*	360,269		908
Cheesecake Factory*	108,648		2,046
Chipotle Mexican Grill, Cl A*	2,900		242
Christopher & Banks	78,897		450
Citi Trends*	48,520		1,324
CKE Restaurants	18,006		152
Coinstar*	38,600		1,034
Coldwater Creek*	117,623		499
Cooper Tire & Rubber	178,094		3,191
Corinthian Colleges*	169,260		2,508
Cracker Barrel Old Country Store (A)	83,908		3,152
Dana Holdings*	40,202		293
Darden Restaurants	64,059		2,013
DeVry	24,364		1,323
Dick’s Sporting Goods* (A)	304,324		6,318
Dillard’s, Cl A (A)	116,300		1,976
DineEquity	62,741		1,337
Discovery Communications, Cl C*	17,419		488
Dollar Tree*	2,900		142
Domino’s Pizza*	44,698		352
DR Horton (A)	127,850		1,314


Description	Shares	Market Value ($ Thousands)
DreamWorks Animation SKG, Cl A*	129,300	$	4,328
DSW, Cl A* (A)	89,400		2,087
Eastman Kodak	402,119		1,629
Entercom Communications, Cl A*	110,824		685
Ethan Allen Interiors	68,412		794
Family Dollar Stores (A)	66,600		2,032
Federal Mogul, Cl A*	37,084		501
FGX International Holdings*	59,300		979
Focus Media Holding ADR*	214,460		2,694
Foot Locker	253,101		2,402
Fossil*	13,900		429
GameStop, Cl A* (A)	189,365		4,622
Gannett (A)	216,504		2,141
Garmin (A)	28,384		848
Genesco*	94,210		2,463
Goodyear Tire & Rubber*	42,021		576
Grand Canyon Education*	119,331		2,288
H&R Block	159,539		3,239
Hanesbrands*	255,900		6,144
Harley-Davidson (A)	113,807		3,316
Hasbro	63,700		1,889
hhgregg*	48,873		946
Hibbett Sports* (A)	132,454		2,505
Hillenbrand	11,900		218
Hooker Furniture (A)	11,300		138
HOT Topic*	263,000		1,510
HSN*	14,332		257
Hyatt Hotels, Cl A* (A)	43,100		1,239
Iconix Brand Group*	32,000		360
Interactive Data	78,979		2,017
Interpublic Group*	308,624		1,954
Interval Leisure Group*	29,623		339
J Crew Group*	108,535		4,644
Jackson Hewitt Tax Service	26,500		110
Jarden	173,425		4,761
Jo-Ann Stores*	27,500		917
Jones Apparel Group	300,677		5,096
Journal Communications, Cl A	45,133		158
Landry’s Restaurants* (A)	11,100		236
La-Z-Boy, Cl Z	57,744		552
Liberty Global*	31,046		602
Liberty Media - Interactive, Cl A*	24,327		259
Life Time Fitness* (A)	214,910		4,857
Lincoln Educational Services*	91,600		2,026
Live Nation*	563,196		4,032
Liz Claiborne	96,385		402
LKQ*	89,500		1,560
Lumber Liquidators*	42,100		994
Maidenform Brands*	13,628		197
Mattel	98,926		1,925
MDC Holdings	15,833		470
Men’s Wearhouse	21,242		433
Meritage Homes*	103,360		1,843
MGM Mirage* (A)	147,137		1,555
Morningstar* (A)	60,995		2,828
National CineMedia	375,560		5,487
National Presto Industries	1,635		152
Navitas	161,443		556
NetFlix*	23,600		1,384
New York Times, Cl A	7,695		65
Newell Rubbermaid (A)	56,800		824
Nordstrom	126,601		4,235
NutriSystem	69,500		1,716


Description	Shares	Market Value ($ Thousands)
NVR*	4,136	$	2,784
O’Charleys*	37,572		241
Office Depot*	79,544		488
OfficeMax (A)	209,321		2,215
Oxford Industries	49,747		1,067
Penn National Gaming* (A)	85,285		2,285
Penske Auto Group	62,900		930
Perry Ellis International*	34,092		477
PetSmart	325,507		8,379
PF Chang’s China Bistro* (A)	47,683		1,555
Phillips-Van Heusen	94,674		3,787
Pinnacle Entertainment*	19,200		203
Polaris Industries	67,625		2,950
Pre-Paid Legal Services* (A)	9,200		350
priceline.com*	8,300		1,777
Pulte Homes	333,352		3,047
RadioShack (A)	116,200		2,192
RC2*	157,271		2,155
Red Robin Gourmet Burgers* (A)	44,000		687
Regal Entertainment Group, Cl A	107,097		1,467
Regis (A)	161,740		2,533
Rent-A-Center, Cl A*	84,962		1,503
Retail Ventures*	183,106		1,426
Ross Stores	20,144		886
Rossi Residencial	308,980		2,600
Ruby Tuesday* (A)	79,800		505
Rue21*	93,210		2,303
Ryland Group (A)	61,782		1,131
Saks*	330,100		2,017
Scholastic (A)	80,740		2,035
Scientific Games, Cl A*	406,137		5,747
Sherwin-Williams	9,442		574
Shutterfly* (A)	144,480		2,072
Signet Jewelers*	16,702		432
Sinclair Broadcast Group, Cl A	93,100		342
Skechers U.S.A., Cl A*	14,093		311
Sonic Automotive, Cl A	87,698		776
Spartan Motors	79,309		411
Spectrum Group International*	3,929		10
Stage Stores	95,604		1,156
Stamps.com*	8,756		78
Standard Pacific* (A)	368,681		1,176
Starwood Hotels & Resorts Worldwide (A)	99,502		3,186
Stein Mart*	21,173		217
Strayer Education (A)	13,211		2,609
Systemax	14,542		224
Tempur-Pedic International*	65,145		1,404
Tenneco* (A)	150,437		2,169
Thunderbird Resorts* (B)	146,710		117
Tractor Supply* (A)	20,808		972
TRW Automotive Holdings*	83,312		1,813
Tupperware Brands	45,610		2,123
Universal Electronics*	7,100		153
Urban Outfitters*	60,610		1,918
Valassis Communications*	17,723		263
WABCO Holdings	44,412		1,050
Warnaco Group*	85,950		3,499
Weight Watchers International	99,000		2,740
Westport Innovations*	137,554		1,679
Whirlpool (A)	21,994		1,631
Williams-Sonoma	42,700		868
WMS Industries*	103,836		4,037
Wyndham Worldwide	13,800		256


Description	Shares	Market Value ($ Thousands)
Zumiez* (A)	59,435	$	651

			311,889


Consumer Staples — 3.3%
Alliance One International*	98,800		471
American Italian Pasta, Cl A*	22,204		708
Andersons	34,221		894
Avon Products	38,469		1,317
Bare Escentuals*	24,213		310
Brown-Forman, Cl B	37,784		1,934
Cal-Maine Foods (A)	31,900		875
Casey’s General Stores	66,330		2,029
Central European Distribution*	36,810		1,026
Central Garden and Pet*	73,524		641
Central Garden and Pet, Cl A*	66,227		547
Chiquita Brands International*	118,410		2,012
Constellation Brands, Cl A*	40,698		696
Corn Products International	56,397		1,581
Cosan Industria e Comercio (Brazil)*	147,400		1,738
Cullen Agricultural Holding* (A)(I)	38,000		257
Dean Foods*	346,302		5,506
Del Monte Foods	226,521		2,376
Dole Food*	80,303		923
Flowers Foods	93,100		2,131
Green Mountain Coffee Roasters*	35,320		2,224
Hansen Natural*	16,300		570
Herbalife	133,520		5,600
J&J Snack Foods	9,404		340
JM Smucker	40,962		2,420
Kulim Malaysia	515,000		1,116
Lance (A)	66,900		1,629
McCormick	59,746		2,132
Medifast*	57,150		1,542
Molson Coors Brewing, Cl B	38,347		1,734
Nash Finch	10,552		346
NBTY*	38,300		1,537
Nu Skin Enterprises, Cl A	10,480		281
Pantry*	116,551		1,723
Pepsi Bottling Group	40,800		1,548
PepsiAmericas	28,200		835
Prestige Brands Holdings*	35,444		247
Rite Aid*	664,894		851
Sanderson Farms	61,799		2,483
Sara Lee	217,300		2,638
Saskatchewan Wheat Pool, Cl Common Subscription Recei*	165,700		1,674
Smithfield Foods*	67,575		1,046
Supervalu (A)	80,500		1,113
Tyson Foods, Cl A	123,803		1,488
Weis Markets	14,789		515
Whole Foods Market*	20,597		528

			66,132


Energy — 5.2%
Alpha Natural Resources*	34,998		1,295
Arena Resources* (A)	61,616		2,520
Berry Petroleum, Cl A	122,570		3,350
BPZ Energy PIPE*	52,200		380
BPZ Resources* (A)	147,700		1,075
Cal Dive International*	216,700		1,573
Cameron International*	36,692		1,387


Description	Shares	Market Value ($ Thousands)
Carrizo Oil & Gas* (A)	51,824	$	1,091
Clayton Williams Energy*	8,617		244
Complete Production Services*	91,000		945
Comstock Resources*	22,093		820
Concho Resources* (A)	90,118		3,684
Contango Oil & Gas*	6,862		305
Continental Resources*	58,900		2,218
Denbury Resources*	49,200		653
Dresser-Rand Group*	142,175		3,992
Encore Acquisition* (A)	44,966		2,024
ENSCO International	17,773		782
Exterran Holdings*	102,186		2,141
Frontier Oil	68,857		794
Global Industries*	53,801		316
Goodrich Petroleum*	95,756		2,119
Gran Tierra Energy*	32,448		185
Gulfmark Offshore*	11,653		318
Gulfport Energy*	135,261		1,286
Helix Energy Solutions Group*	88,165		1,037
Hornbeck Offshore Services*	48,454		1,105
Infinity Bio-Energy* (G) (H)	792,118		—
James River Coal*	11,539		212
Karoon Gas Australia*	98,416		693
Key Energy Services*	498,334		3,797
Kinder Morgan Escrow* (G) (H)	24,428		—
Kinder Morgan Management LLC*	59,514		2,992
Massey Energy	69,070		2,601
McMoRan Exploration*	59,803		434
Murphy Oil	51,390		2,898
Nabors Industries*	87,568		1,808
Newfield Exploration*	45,558		1,926
Nordic American Tanker Shipping	36,900		1,180
Northern Oil And Gas* (A)	162,000		1,482
Oceaneering International*	15,125		826
Oil States International*	4,763		171
Oilsands Quest* (A)	1,387,000		1,678
Overseas Shipholding Group (A)	81,510		3,123
PetroHawk Energy*	98,564		2,202
Pioneer Natural Resources	46,748		1,933
Pride International*	5,577		176
Range Resources	83,032		3,913
Rentech* (A)	465,300		712
Rosetta Resources*	91,200		1,436
SEACOR Holdings*	17,300		1,325
Ship Finance International	13,100		171
Southwestern Energy*	39,913		1,755
Spectra Energy	98,424		1,910
St. Mary Land & Exploration	58,310		1,888
Sunoco	36,200		912
Swift Energy* (A)	155,281		3,334
T-3 Energy Services, Cl 3* (A)	48,582		1,213
Teekay	6,100		146
Tesoro (A)	120,979		1,546
TGC Industries*	7,658		31
Tidewater	62,024		2,788
Unit*	8,186		308
USEC* (A)	61,099		224
W&T Offshore (A)	158,444		1,640
Western Refining* (A)	88,000		409
Whiting Petroleum*	68,617		4,271
Willbros Group* (A)	180,374		2,841
Williams	20,925		416


Description	Shares	Market Value ($ Thousands)
World Fuel Services	124,249	$	6,608

			107,568


Financials — 17.9%
1st Source	800		11
Advance America Cash Advance Centers	104,300		653
Affiliated Managers Group* (A)	66,602		4,343
Alexander’s‡ *	635		177
Alexandria Real Estate Equities‡	10,197		575
Allied Capital	26,700		94
Allied World Assurance Holdings	78,700		3,761
AMB Property‡ (A)	189,500		4,463
Amcore Financial* (A)	44,386		20
American Capital Agency‡	18,267		484
American Equity Investment Life Holding	62,389		457
American Financial Group	215,335		5,224
AmeriCredit*	20,664		381
Ameriprise Financial	85,057		3,242
AMERISAFE*	29,500		498
Annaly Capital Management‡	152,000		2,798
Anthracite Capital‡ (A)	70,500		27
Anworth Mortgage Asset‡	262,500		1,890
Apartment Investment & Management, Cl A‡ (A)	207,758		2,807
Arch Capital Group* (A)	42,166		2,945
Artio Global Investors, Cl A*	66,900		1,532
Aspen Insurance Holdings (A)	77,300		2,003
Associated Banc (A)	36,400		413
Assured Guaranty (A)	51,640		1,171
AvalonBay Communities‡ (A)	44,463		3,212
Banco Latinoamericano de Comercio Exterior, Cl E	80,200		1,120
Bancorpsouth	47,408		1,100
Bank Mutual	30,600		214
Bank of Hawaii	14,334		655
BGC Partners, Cl A	248,644		1,052
BioMed Realty Trust‡	65,700		899
BlackRock, Cl A	1,859		422
Boston Private Financial Holdings	31,618		148
Boston Properties‡ (A)	144,995		9,712
Brandywine Realty Trust‡	10,159		100
Brasil Brokers Participacoes	450,100		1,490
Calamos Asset Management, Cl A	33,949		357
CapitalSource	565,960		2,077
Capstead Mortgage‡	158,400		2,262
Cardinal Financial	258,988		2,194
Cardtronics*	355,224		3,925
CB Richard Ellis Group, Cl A*	142,128		1,625
CBL & Associates Properties‡	100,253		928
Central Pacific Financial (A)	45,600		37
Chemical Financial	20,942		493
Cincinnati Financial	31,800		811
CNA Surety*	13,424		181
Cogdell Spencer‡	283,000		1,429
Colonial Properties Trust‡	105,150		1,137
Comerica	127,747		3,637
Commerce Bancshares	1		—
Community Bank System	25,725		477
Conseco*	15,854		76
Corporate Office Properties Trust‡ (A)	54,550		1,865


Description	Shares	Market Value ($ Thousands)
CreXus Investment‡ *	52,700	$	701
Cullen/Frost Bankers	13,384		643
CVB Financial	53,000		411
Delphi Financial Group, Cl A	38,448		840
Developers Diversified Realty‡ (A)	106,620		1,079
DiamondRock Hospitality‡	50,030		402
Digital Realty Trust‡ (A)	29,150		1,418
Dime Community Bancshares	34,685		390
Dollar Financial* (A)	61,200		1,495
Douglas Emmett‡ (A)	233,200		3,199
Duff & Phelps, Cl A	91,055		1,545
DuPont Fabros Technology‡	31,764		509
Eaton Vance	41,747		1,258
Education Realty Trust‡	393,756		1,949
E-House China Holdings ADR* (A)	49,628		965
EMC Insurance Group	16,067		334
Employers Holdings	180,856		2,769
Endurance Specialty Holdings	105,241		3,935
Entertainment Properties Trust‡ (A)	39,000		1,232
Equity Lifestyle Properties‡	28,959		1,390
Equity One‡	108,824		1,758
Equity Residential‡	122,900		3,959
Essex Property Trust‡ (A)	57,350		4,574
Everest Re Group	26,000		2,213
Extra Space Storage‡	189,750		2,085
Federal Realty Investment Trust‡ (A)	64,290		4,135
Federated Investors, Cl B	22,192		572
Fidelity National Financial, Cl A	76,334		1,060
Fifth Third Bancorp	179,499		1,809
Financial Federal	49,700		1,347
First Bancorp	152,148		236
First Busey (A)	160,636		527
First Cash Financial Services*	10,014		191
First Commonwealth Financial	15,500		66
First Community Bancshares	15,522		171
First Financial Bancorp	275,521		3,662
First Financial Holdings	62,400		836
First Horizon National*	209,705		2,842
First Mercury Financial	19,606		254
First Midwest Bancorp (A)	48,500		506
First Niagara Financial Group	24,200		319
FirstMerit (A)	118,359		2,480
Flushing Financial	234,700		2,561
General Shopping Brasil (Brazil)*	159,200		738
General Shopping Brazil (Brazil)*	148,600		689
Getty Realty‡	21,160		481
GFI Group	413,285		2,009
Glimcher Realty Trust‡	89,019		262
Gluskin Sheff + Associates	57,900		1,116
Great Southern Bancorp	9,783		220
Greenlight Capital Re, Cl A*	14,497		351
Grubb & Ellis*	663,560		975
Hancock Holding (A)	95,259		3,944
Hanover Insurance Group	104,908		4,367
HCP‡	196,850		6,161
Health Care REIT‡ (A)	77,196		3,439
Hercules Technology Growth Capital	94,618		932
Highwoods Properties‡ (A)	38,900		1,191


Description	Shares	Market Value ($ Thousands)
Horace Mann Educators	135,085	$	1,624
Hospitality Properties Trust‡	79,800		1,549
Host Hotels & Resorts‡ (A)	295,650		3,110
HRPT Properties Trust‡	466,731		2,866
Hudson City Bancorp	44,884		596
Hudson Valley Holding	61,600		1,611
Huntington Bancshares (A)	245,800		939
Iberiabank (A)	28,406		1,611
Independent Bank	18,554		379
Infinity Property & Casualty	53,189		2,125
Inland Real Estate‡	179,351		1,408
International Assets Holding*	12,599		208
International Bancshares	46,817		785
Investment Technology Group* (A)	53,835		982
Investors Bancorp*	56,825		626
Investors Real Estate Trust‡ (A)	195,500		1,722
Jones Lang LaSalle	66,302		3,373
Kansas City Life Insurance	19,100		514
KBW* (A)	29,146		717
Keycorp	266,450		1,561
Kilroy Realty‡	17,400		524
Knight Capital Group, Cl A*	108,380		1,587
Lazard, Cl A	41,000		1,589
Liberty Property Trust‡	74,163		2,198
LTC Properties‡	22,000		566
Macerich‡ (A)	107,724		3,206
Mack-Cali Realty‡	85,562		2,626
MarketAxess Holdings	347,354		4,325
MB Financial	55,100		1,028
Meadowbrook Insurance Group	184,100		1,261
Medical Properties Trust‡ (A)	134,300		1,300
MFA Mortgage Investments‡	577,287		4,370
MGIC Investment* (A)	213,466		854
Mid-America Apartment Communities‡	28,281		1,315
Montpelier Re Holdings (A)	75,900		1,270
MSCI, Cl A*	76,977		2,345
National Health Investors‡	21,225		700
National Penn Bancshares (A)	367,056		2,026
National Retail Properties‡ (A)	69,093		1,385
Nationwide Health Properties‡	90,209		3,068
Navigators Group*	9,963		464
New York Community Bancorp	45,190		528
NewAlliance Bancshares	180,171		2,122
NorthStar Realty Finance‡	81,624		277
NYSE Euronext	9,425		238
Old National Bancorp	176,800		2,058
Old Republic International	17,564		187
Omega Healthcare Investors‡	29,519		534
optionsXpress Holdings	28,113		430
Oriental Financial Group	50,000		485
PacWest Bancorp (A)	121,885		2,243
PartnerRe (A)	35,673		2,748
Penson Worldwide* (A)	54,630		490
People’s United Financial	139,819		2,278
PHH*	119,035		1,645
Piper Jaffray*	9,911		430
Platinum Underwriters Holdings (A)	97,535		3,442
Plum Creek Timber‡	7,900		272
Post Properties‡ (A)	164,308		3,028
Presidential Life	14,200		145
ProAssurance*	33,332		1,775
Prospect Capital (A)	159,800		1,739


Description	Shares	Market Value ($ Thousands)
Prosperity Bancshares	28,252	$	1,125
Protective Life	45,279		749
PS Business Parks‡	23,426		1,114
Public Storage‡ (A)	82,004		6,527
Radian Group (A)	191,692		857
RAIT Financial Trust‡ (A)	69,000		107
Raymond James Financial	69,100		1,678
Rayonier‡	26,140		1,039
Redwood Trust‡	84,456		1,214
Regions Financial	217,200		1,273
Reinsurance Group of America, Cl A	110,034		5,117
Riskmetrics Group* (A)	339,329		5,067
RLI	8,700		439
S&T Bancorp	23,500		375
Saul Centers‡	36,150		1,116
Selective Insurance Group	41,000		640
Senior Housing Properties Trust‡	174,333		3,621
Signature Bank NY*	155,492		4,817
Simmons First National, Cl A	6,600		167
Simon Property Group‡	83,314		6,054
SL Green Realty‡	33,800		1,501
South Financial Group (A)	162,244		99
Sovran Self Storage‡ (A)	51,700		1,671
StanCorp Financial Group	59,214		2,197
Stifel Financial*	29,511		1,585
Strategic Hotels & Resorts‡*	299,380		509
Sunstone Hotel Investors‡ (A)	337,073		2,730
Susquehanna Bancshares (A)	96,950		556
SVB Financial Group*	45,725		1,731
SWS Group	41,300		514
Synovus Financial	953,371		1,859
Tanger Factory Outlet Centers‡	5,713		224
TCF Financial (A)	61,600		809
TD Ameritrade Holding*	54,324		1,067
Titanium Asset Management*	42,000		104
Titanium Asset Management* (G) (H) (I)	105,000		306
Tower Group	23,200		573
Transatlantic Holdings	30,446		1,645
Trustco Bank	112,300		692
Trustmark (A)	84,003		1,610
Unitrin	73,100		1,631
Unum Group	219,535		4,180
Uranium Participation*	250,100		1,561
U-Store-It Trust‡	186,632		1,215
Validus Holdings	62,341		1,652
Value Creation* (G) (H) (I)	85,600		9
Ventas‡ (A)	111,443		4,784
Vornado Realty Trust‡ (A)	41,989		2,749
Waddell & Reed Financial, Cl A	83,551		2,434
Washington Federal (A)	128,610		2,450
Washington Real Estate Investment Trust‡ (A)	16,340		426
Weingarten Realty Investors‡ (A)	55,600		1,079
Westamerica Bancorporation	8,200		436
Western Alliance Bancorp* (A)	229,918		913
White Mountains Insurance Group	3,510		1,144
Whitney Holding (A)	219,790		1,769
Willis Group Holdings	74,997		2,036
World Acceptance* (A)	115,177		3,378
WR Berkley (A)	48,300		1,193


Description	Shares	Market Value ($ Thousands)
Zions Bancorporation (A)	330,551	$	4,347

			372,977


Health Care — 12.4%
Abaxis*	14,286		321
Acadia Pharmaceuticals*	351,200		432
Achillion Pharmaceuticals*	273,967		575
Acorda Therapeutics*	110,540		2,662
Affymax*	41,700		850
Affymetrix*	38,165		181
AGA Medical Holdings* (A)	56,250		702
Albany Molecular Research*	26,300		221
Alexion Pharmaceuticals*	98,226		4,455
Align Technology* (A)	45,868		751
Alkermes*	132,600		1,191
Allscripts-Misys Healthcare Solutions*	97,160		1,866
Almost Family*	43,100		1,557
AMAG Pharmaceuticals* (A)	39,551		1,479
Amedisys*	10,400		385
American Medical Systems Holdings*	35,697		627
AMERIGROUP* (A)	79,537		1,886
AmerisourceBergen	183,758		4,537
AMN Healthcare Services*	116,938		934
Amsurg, Cl A* (A)	206,177		4,270
Amylin Pharmaceuticals*	110,307		1,573
Analogic	5,005		203
Angiodynamics*	39,346		612
Arena Pharmaceuticals* (A)	374,145		1,358
Arqule*	56,163		202
Array Biopharma*	159,850		275
athenahealth*	46,640		1,954
Auxilium Pharmaceuticals*	58,900		2,054
Beckman Coulter	17,493		1,136
Biogen Idec*	18,800		882
BioMarin Pharmaceutical* (A)	102,856		1,698
BioScrip*	27,091		204
Boston Scientific*	265,700		2,224
Bruker*	18,900		214
Cadence Pharmaceuticals* (A)	95,574		821
Catalyst Health Solutions*	111,595		3,795
Centene*	100,700		1,895
Cephalon*	35,005		1,923
Cepheid* (A)	56,783		703
Charles River Laboratories International*	68,033		2,187
Chemed	21,077		952
Community Health Systems*	11,964		365
Conceptus* (A)	128,725		2,179
Conmed*	153,973		3,201
Cooper	97,346		3,260
Corvel*	3,162		95
Covance*	32,225		1,711
Coventry Health Care*	115,354		2,601
Cubist Pharmaceuticals*	84,193		1,404
Dendreon* (A)	112,962		3,088
Dentsply International	50,000		1,666
Dyax*	74,994		280
Electro-Optical Sciences* (A)	87,515		919
Emergency Medical Services, Cl A*	17,750		856
Endo Pharmaceuticals Holdings*	99,273		2,187
Enzo Biochem*	16,877		87


Description	Shares	Market Value ($ Thousands)
eResearch Technology*	67,393	$	398
ev3*	304,300		3,865
Exelixis*	47,419		324
Forest Laboratories*	141,600		4,341
Genoptix*	62,380		2,261
Gen-Probe*	45,150		1,882
Genzyme*	7,348		373
Greatbatch*	79,319		1,459
Health Grades*	23,959		105
Health Management Associates, Cl A*	56,900		349
Health Net*	171,445		3,638
Healthsouth*	131,400		2,305
Henry Schein*	30,201		1,500
Hill-Rom Holdings	144,928		3,215
Hologic*	85,603		1,239
Human Genome Sciences* (A)	36,052		1,003
Humana*	32,600		1,353
ICON ADR*	132,100		2,999
ICU Medical*	60,482		1,996
Idexx Laboratories* (A)	51,183		2,562
Illumina*	47,500		1,374
Impax Laboratories*	40,374		457
Incyte* (A)	471,780		3,930
Inspire Pharmaceuticals*	226,398		1,318
Intuitive Surgical*	2,585		725
inVentiv Health*	37,487		594
Inverness Medical Innovations*	104,113		4,378
Kendle International*	32,551		487
Kensey Nash*	37,329		869
Kindred Healthcare*	42,127		626
Kinetic Concepts* (A)	141,338		4,765
King Pharmaceuticals* (A)	566,174		6,698
Laboratory Corp of America Holdings*	21,200		1,547
LHC Group* (A)	159,697		4,914
Life Technologies*	5,200		259
LifePoint Hospitals*	94,406		2,741
Ligand Pharmaceuticals, Cl B*	163,147		323
Lincare Holdings*	28,580		1,015
Martek Biosciences*	40,238		700
Maxygen*	40,179		219
MedAssets*	78,035		1,821
Medicines*	269,800		2,115
Medicis Pharmaceutical, Cl A	19,669		464
Mednax*	92,375		5,192
Meridian Bioscience	35,400		733
Millipore*	5,350		364
MWI Veterinary Supply* (A)	83,022		3,079
Mylan Laboratories*	226,029		4,039
Myriad Genetics*	98,570		2,279
Neogen* (A)	37,255		1,212
Nighthawk Radiology Holdings*	44,105		230
NPS Pharmaceuticals*	67,323		212
NuVasive*	108,700		3,527
Odyssey HealthCare*	106,200		1,543
Omnicell*	177,444		1,810
Onyx Pharmaceuticals*	130,850		3,744
OSI Pharmaceuticals*	125,824		4,191
Osiris Therapeutics*	24,770		167
Owens & Minor	66,090		2,564
Par Pharmaceutical*	76,062		1,804
Parexel International*	179,400		2,155
Patterson*	88,512		2,276
PDL BioPharma (A)	344,195		2,237


Description	Shares	Market Value ($ Thousands)
PerkinElmer	199,491	$	3,764
Perrigo	47,800		1,919
Pharmaceutical Product Development	65,793		1,411
Phase Forward*	187,605		2,863
Providence Service*	18,708		262
Psychiatric Solutions*	71,330		1,581
Quality Systems (A)	23,192		1,380
Questcor Pharmaceuticals*	87,844		378
Quidel* (A)	186,169		2,340
Regeneron Pharmaceuticals*	82,600		1,516
Res-Care*	141,800		1,819
ResMed*	19,725		992
Rigel Pharmaceuticals* (A)	289,700		2,193
Sciclone Pharmaceuticals*	59,477		127
Seattle Genetics*	109,340		1,015
Sirona Dental Systems*	63,521		1,849
SonoSite*	12,259		277
STERIS	56,517		1,826
SXC Health Solutions*	71,790		3,639
Symmetry Medical*	61,133		490
Techne	49,670		3,372
Teleflex	48,186		2,510
Theravance*	66,035		869
Thoratec* (A)	53,084		1,581
United Therapeutics* (A)	74,855		3,412
Universal Health Services, Cl B	38,327		2,142
US Physical Therapy*	466		7
Valeant Pharmaceuticals International*	11,500		376
Vertex Pharmaceuticals*	38,000		1,475
Vical*	56,107		160
Viropharma*	70,200		531
Virtual Radiologic*	11,023		144
Volcano*	89,900		1,324
Waters*	8,025		472
Watson Pharmaceuticals* (A)	55,390		2,054
Zimmer Holdings*	24,461		1,447
Zoll Medical*	3,905		95

			257,122


Industrials — 14.3%
Actuant, Cl A (A)	80,962		1,322
Acuity Brands	48,304		1,559
Administaff	21,911		488
Aecom Technology*	74,371		1,889
Aegean Marine Petroleum Network	94,633		2,544
Air Transport Services Group*	68,559		154
Aircastle	56,400		500
Alaska Air Group*	39,200		1,172
Alexander & Baldwin	14,037		429
Allegiant Travel, Cl A*	18,707		771
Allen-Vanguard* (G)(H)	1,184,500		—
Alliant Techsystems*	26,668		2,286
Ameron International	27,100		1,544
Ametek	51,366		1,878
AO Smith	55,460		2,325
Apogee Enterprises	49,100		672
Applied Industrial Technologies	90,400		1,876
Arkansas Best	11,900		293
ATC Technology*	56,266		1,239
Avery Dennison	54,937		2,063
Avis Budget Group*	95,900		935
Baldor Electric (A)	51,130		1,317


Description	Shares	Market Value ($ Thousands)
Barnes Group	198,730	$	3,082
BE Aerospace*	344,225		6,633
Beacon Roofing Supply*	81,400		1,251
Belden	64,344		1,423
Bowne	25,347		154
Brady, Cl A	50,426		1,497
Briggs & Stratton	97,215		1,833
Brink’s	30,396		683
Bucyrus International, Cl A (A)	59,920		3,103
C.H. Robinson Worldwide	7,416		413
Carlisle	72,845		2,339
Chart Industries*	56,000		930
Chicago Bridge & Iron	44,487		783
Cintas	59,538		1,672
Clean Harbors*	15,244		816
Columbus McKinnon*	21,815		343
Consolidated Graphics*	77,690		2,292
Continental Airlines, Cl B* (A)	285,889		4,077
Con-way	30,802		933
Copa Holdings, Cl A	36,214		1,804
Copart* (A)	132,511		4,296
Corporate Executive Board	53,903		1,130
Corrections of America* (A)	227,567		5,687
CoStar Group* (A)	175,008		6,953
Courier	32,335		422
CRA International*	85,400		2,124
Crane (A)	80,400		2,247
Cubic	41,114		1,432
Delta Air Lines*	92,634		759
Deluxe	122,629		1,582
Dollar Thrifty Automotive Group*	24,040		444
Dover	56,985		2,330
Dycom Industries*	330,379		2,574
EMCOR Group* (A)	164,969		3,926
Ennis	17,942		260
EnPro Industries* (A)	43,700		1,003
Equifax	50,414		1,444
Esterline Technologies*	66,266		2,676
Fastenal	31,527		1,169
Force Protection*	239,300		1,235
Forward Air	81,320		1,843
FTI Consulting*	88,989		4,117
G&K Services, Cl A	59,874		1,323
Gardner Denver	280,453		10,497
GATX	10,600		306
GenCorp*	39,825		311
General Cable* (A)	53,288		1,564
Geo Group*	28,362		564
GeoEye* (A)	127,214		3,965
Goodrich (A)	27,800		1,650
Graham	71,008		1,317
Granite Construction (A)	33,629		1,008
Great Lakes Dredge & Dock	495,668		2,919
H&E Equipment Services*	139,038		1,288
Hansen Transmissions International*	644,524		1,116
Heidrick & Struggles International (A)	29,403		831
Hexcel*	177,345		1,871
Horizon Lines, Cl A	332,849		1,781
Houston Wire & Cable (A)	71,300		792
Hubbell, Cl B	58,884		2,674
ICF International* (A)	88,208		2,382
ICT Group*	10,264		164
IDEX	33,912		1,005


Description	Shares	Market Value ($ Thousands)
IHS, Cl A*	122,210	$	6,145
Interface, Cl A	99,741		766
Interline Brands*	22,596		380
ITT	76,863		3,975
Jacobs Engineering Group*	9,944		348
JB Hunt Transport Services (A)	166,201		5,295
Joy Global	8,315		445
Kadant*	59,863		863
Kaman	17,304		392
Kansas City Southern*	34,285		982
Kaydon	47,677		1,695
Kirby* (A)	70,211		2,341
Knoll	102,620		998
Landstar System	83,455		3,115
Lennox International	45,700		1,696
Lincoln Electric Holdings	12,959		666
Localiza Rent a Car	189,900		2,131
Lydall*	24,242		137
Manitowoc (A)	89,534		879
Manpower	52,804		2,601
Michael Baker*	38,500		1,465
Mine Safety Appliances	28,000		693
Mueller Industries	60,853		1,431
Mueller Water Products, Cl A	287,812		1,451
MYR Group* (A)	107,478		1,679
Navistar International*	33,203		1,096
NCI Building Systems*	149,200		278
NN*	85,100		325
Old Dominion Freight Line*	135,363		3,584
Oshkosh Truck	42,606		1,693
Paccar	50,367		1,868
Pacer International	54,798		156
Pitney Bowes	78,401		1,806
Quanta Services*	95,574		1,792
RailAmerica*	83,650		1,071
Regal-Beloit	76,500		3,631
Resources Connection*	334,303		6,442
Ritchie Bros Auctioneers	90,975		2,167
Robbins & Myers (A)	48,450		1,114
Rockwell Collins	33,377		1,784
RR Donnelley & Sons	130,802		2,692
RSC Holdings* (A)	187,000		1,189
Rush Enterprises, Cl A*	225,542		2,429
Ryder System	17,100		693
Saia*	26,033		375
School Specialty*	44,751		1,020
Seaboard	420		611
Shaw Group*	37,433		1,068
Silvercorp Metals*	109,600		814
Skywest	49,700		731
SMA Solar Technology	15,935		2,123
Spherion*	79,420		415
Spirit Aerosystems Holdings, Cl A*	107,167		1,954
Standard Parking*	150,695		2,426
Standard Register	28,668		130
Steelcase, Cl A (A)	87,200		476
Stericycle* (A)	22,734		1,244
SYKES Enterprises*	359,093		8,816
TAL International Group (A)	120,500		1,646
Tam ADR*	144,440		2,532
Teledyne Technologies*	46,631		1,563
Terex*	149,011		2,806
Tetra Tech* (A)	58,673		1,545
Textainer Group Holdings (A)	96,900		1,546


Description	Shares	Market Value ($ Thousands)
Thomas & Betts*	48,083	$	1,755
Timken	67,788		1,672
Titan Machinery*	13,200		148
Toro	3,724		148
TransDigm Group	89,710		3,888
Trex*	100,280		1,798
Triumph Group (A)	50,697		2,433
Tutor Perini*	17,100		284
Twin Disc	15,315		145
UAL*	281,400		2,184
United Rentals*	77,894		718
United Stationers*	30,557		1,557
URS*	39,703		1,650
US Airways Group*	323,030		1,192
UTi Worldwide	85,100		1,112
Wabtec	93,970		3,618
Silvercorp Metals PIPE*	135,000		1,002
Waste Connections*	8,696		282
Watson Wyatt Worldwide, Cl A	52,590		2,174
Watts Water Technologies, Cl A	33,572		1,029
WESCO International*	201,267		5,253
WW Grainger	3,802		371

			298,931


Information Technology — 17.8%
3Com*	326,758		2,408
ADC Telecommunications* (A)	157,079		963
Advanced Analogic Technologies*	507,139		1,623
Advanced Energy Industries*	104,310		1,140
Advanced Micro Devices*	66,700		468
Akamai Technologies* (A)	112,901		2,710
Alliance Data Systems*	60,700		3,702
Amkor Technology*	75,300		418
Analog Devices	74,891		2,246
Ancestry.com* (A)	138,468		1,821
Ansys*	40,400		1,573
Ariba*	115,981		1,257
Arris Group* (A)	366,831		3,665
Arrow Electronics*	127,309		3,346
Art Technology Group*	666,348		2,692
Aruba Networks*	5,427		43
AsiaInfo Holdings*	44,100		1,084
Atheros Communications* (A)	123,794		3,524
Atmel*	846,617		3,361
ATMI* (A)	102,847		1,599
Avnet*	80,554		2,195
Baidu.com ADR*	2,240		972
Benchmark Electronics* (A)	185,320		3,341
Black Box	69,585		1,962
Blackboard*	82,510		3,443
Bottomline Technologies*	30,177		486
Brightpoint*	314,352		2,257
Broadridge Financial Solutions	40,608		893
Brocade Communications Systems*	148,500		1,053
CACI International, Cl A*	25,288		1,174
Cavium Networks*	41,960		846
Ceragon Networks*	101,555		988
Checkpoint Systems*	30,234		429
Ciber*	113,005		358
Cirrus Logic*	15,326		83
Cognex	21,800		359
Cogo Group*	43,200		246
Coherent*	73,311		1,864


Description	Shares	Market Value ($ Thousands)
CommScope*	135,700	$	3,410
Computer Sciences*	50,835		2,812
Comtech Telecommunications* (A)	38,500		1,106
Comverse Technology*	204,900		1,803
Concur Technologies* (A)	8,255		306
Constant Contact*	72,150		1,289
Convergys*	118,100		1,320
Cree*	9,664		462
CSG Systems International*	41,685		807
CTS	127,190		1,179
Cymer*	7,515		251
Cypress Semiconductor* (A)	365,507		3,498
Daktronics	22,500		191
DealerTrack Holdings* (A)	255,276		4,355
Diebold	185,695		4,668
Digital River*	50,578		1,276
Diodes*	104,739		1,837
Dolby Laboratories, Cl A*	90,978		4,069
DSP Group*	151,400		952
DST Systems*	14,600		620
DTS*	127,930		3,856
EchoStar, Cl A*	16,166		314
EF Johnson Technologies*	100,500		111
Electronics for Imaging*	27,753		333
Emulex*	255,496		2,488
Entegris*	386,381		1,611
Equinix* (A)	118,286		11,378
Euronet Worldwide*	123,080		2,614
Factset Research Systems (A)	21,130		1,529
Fairchild Semiconductor International, Cl A*	162,424		1,316
Fidelity National Information Services	20,393		461
FLIR Systems*	37,280		1,070
Gartner*	375,684		7,108
Gerber Scientific*	112,900		564
Global Payments	10,446		536
GSI Commerce* (A)	574,579		12,836
Harris	53,300		2,340
Harris Stratex Networks, Cl A*	128,626		808
Heartland Payment Systems	149,122		1,594
Hewitt Associates, Cl A*	19,280		775
IAC*	45,537		886
Imation (A)	255,100		2,237
Ingram Micro, Cl A*	80,745		1,372
Insight Enterprises*	142,138		1,443
Integral Systems*	191,118		1,699
Integrated Device Technology*	335,816		1,901
Intermec*	14,853		183
Internet Brands, Cl A* (A)	202,676		1,400
Jabil Circuit	488,360		6,500
Jack Henry & Associates	42,799		978
JDA Software Group*	126,260		2,965
JDS Uniphase*	119,099		880
Keynote Systems (A)	227,008		2,422
Knot* (A)	278,915		2,661
Kulicke & Soffa Industries* (A)	31,400		143
Lam Research*	39,919		1,357
Lawson Software*	621,878		4,073
Lexmark International, Cl A*	82,634		2,080
Linear Technology	31,100		839
Littelfuse*	57,941		1,517
LSI*	84,100		445
Mantech International, Cl A*	28,424		1,230


Description	Shares	Market Value ($ Thousands)
MAXIMUS	32,100	$	1,492
Methode Electronics	181,251		1,443
Micrel	21,600		154
Microsemi*	250,063		3,809
Microtune*	31,650		55
MKS Instruments*	164,867		2,498
Molex	101,926		1,895
Monolithic Power Systems*	25,686		552
Monotype Imaging Holdings*	276,267		2,138
Move*	222,716		343
MTS Systems	10,255		264
National Semiconductor	15,900		232
NCR*	66,725		628
Net 1 UEPS Technologies*	122,914		2,296
Netezza*	33,400		339
Netgear*	134,255		2,665
Netlogic Microsystems* (A)	19,812		808
Netscout Systems*	13,150		166
NeuStar, Cl A*	194,304		4,547
Novatel Wireless* (A)	215,118		1,803
Nuance Communications* (A)	91,279		1,386
ON Semiconductor*	339,140		2,632
OSI Systems*	96,400		1,969
Parametric Technology*	237,120		3,571
Park Electrochemical	56,000		1,324
Parkervision* (A)	378,200		689
Pericom Semiconductor*	171,793		1,771
Plexus* (A)	154,682		4,201
PMC - Sierra*	411,000		3,259
Power Integrations	62,916		2,113
Progress Software*	36,784		886
QLogic*	124,320		2,230
Quest Software*	33,376		562
Rackspace Hosting*	117,700		2,179
Red Hat*	96,600		2,579
RF Micro Devices*	553,170		2,390
Richardson Electronics	57,494		341
Riverbed Technology*	167,373		3,408
Rubicon Technology* (A)	78,616		1,370
SAIC*	162,831		2,902
Sapient*	489,280		3,601
SAVVIS*	128,348		1,607
Scansource*	46,733		1,087
Seachange International* (A)	194,500		1,085
Seagate Technology	287,700		4,353
Sigma Designs*	60,385		705
Silicon Laboratories*	16,597		701
SkillSoft ADR*	595,073		5,843
Skyworks Solutions*	267,588		3,294
Sohu.com*	9,532		531
Solera Holdings	183,302		6,408
SRA International, Cl A*	67,700		1,222
SuccessFactors*	4,098		62
Sun Microsystems*	45,500		387
Sybase*	109,616		4,411
Symyx Technologies*	43,413		184
Synaptics*	13,800		372
Synchronoss Technologies*	124,143		1,673
SYNNEX*	33,732		955
Synopsys*	184,144		4,138
Take-Two Interactive Software*	201,750		2,270
Taleo, Cl A*	132,285		2,733
Tech Data*	71,686		3,019
Technitrol	116,576		590
TeleTech Holdings*	119,899		2,313


Description	Shares	Market Value ($ Thousands)
Tellabs*	65,720	$	369
Teradata*	64,610		1,893
TIBCO Software*	64,617		556
TiVo*	415,900		4,117
Total System Services	186,600		3,224
Trimble Navigation* (A)	253,488		5,660
TriQuint Semiconductor*	337,330		1,835
TTM Technologies* (A)	143,600		1,489
Unisys*	57,350		1,840
United Online	265,160		1,803
Valueclick*	137,138		1,293
Varian Semiconductor Equipment Associates*	23,625		688
Veeco Instruments* (A)	138,025		3,770
VeriFone Holdings*	102,809		1,363
Vishay Intertechnology*	249,988		1,812
VistaPrint*	238,619		13,608
Vocus* (A)	350,804		5,732
WebMD Health, Cl A* (A)	26,113		948
Western Digital*	66,500		2,450
Wright Express*	64,692		1,887
Xyratex*	97,255		1,096
Zebra Technologies, Cl A*	98,708		2,628
Zoran*	105,659		966

			376,116


Materials — 6.3%
A. Schulman	40,799		666
Airgas	73,241		3,387
AK Steel Holding	111,419		2,228
Albemarle (A)	51,276		1,731
Allegheny Technologies	97,707		3,325
Allied Nevada Gold* (A)	154,000		2,002
AM Castle	44,957		589
AMCOL International (A)	40,100		1,093
Aptargroup	119,036		4,300
Ashland	111,033		3,990
Bemis	8,331		244
Buckeye Technologies*	71,300		690
Cabot	58,664		1,345
Carpenter Technology (A)	70,900		1,643
Celanese, Cl A	162,071		4,823
Century Aluminum*	81,000		790
CF Industries Holdings (A)	14,230		1,215
Cliffs Natural Resources	41,010		1,807
Commercial Metals (A)	84,377		1,342
Crown Holdings*	106,856		2,689
Cytec Industries	103,573		3,519
Domtar*	57,303		3,233
Eagle Materials	38,770		1,045
Eastman Chemical	33,100		1,990
FMC	5,609		314
Gammon Gold*	61,500		711
General Steel Holdings*	91,227		366
H.B. Fuller	50,700		1,032
Hawkins	10,492		229
Headwaters*	111,421		525
Innophos Holdings	125,640		3,112
Innospec	17,342		154
Intrepid Potash* (A)	148,664		4,525
Jaguar Mining* (A)	157,400		1,838
Kaiser Aluminum	16,300		630
KapStone Paper and Packaging*	40,323		286
Koppers Holdings	31,211		882


Description	Shares	Market Value ($ Thousands)
LSB Industries*	21,302	$	260
Lubrizol	37,900		2,749
Minerals Technologies	9,961		526
Myers Industries	88,402		731
Nalco Holding	217,077		5,310
Neenah Paper	89,768		1,250
New Gold*	514,600		1,842
NewMarket	33,836		3,543
Nucor	39,985		1,696
Olin	40,278		676
OM Group*	36,137		1,107
Owens-Illinois*	107,688		3,367
Packaging of America	97,278		1,938
Pactiv*	18,389		448
PolyOne*	389,309		2,795
Quaker Chemical	2,625		51
Reliance Steel & Aluminum (A)	51,537		2,107
Rockwood Holdings* (A)	218,580		4,920
RPM International	15,203		298
RTI International Metals*	40,284		798
Schnitzer Steel Industries, Cl A (A)	31,866		1,422
Schweitzer-Mauduit International	30,922		1,904
Scotts Miracle-Gro, Cl A	73,800		2,947
Sensient Technologies	24,400		618
Silgan Holdings	96,606		5,175
Solutia*	177,470		1,911
Sonoco Products	57,700		1,626
Spartech (A)	124,918		1,358
Steel Dynamics (A)	112,460		1,903
Stepan	9,957		625
Stillwater Mining*	37,400		356
Temple-Inland	91,089		1,639
Terra Industries	21,209		818
Titanium Metals	33,300		325
United States Steel (A)	4,300		192
Universal Stainless & Alloy*	78,700		1,277
Walter Industries	14,550		998
Westlake Chemical	11,130		291
Worthington Industries	44,300		519
WR Grace*	77,282		1,767

			128,373


Telecommunication Services — 1.9%
AboveNet* (A)	17,292		887
Alaska Communications Systems Group	104,525		764
Cbeyond* (A)	54,401		702
CenturyTel	111,110		3,954
Cincinnati Bell*	880,443		2,624
Iowa Telecommunications Services	23,850		379
Leap Wireless International* (A)	122,700		1,771
MetroPCS Communications*	221,600		1,396
Neutral Tandem*	98,010		2,261
NII Holdings*	224,795		6,699
PAETEC Holding*	90,890		334
SBA Communications, Cl A* (A)	444,441		14,240
Syniverse Holdings*	33,608		533
Telephone & Data Systems	9,716		296
tw telecom , Cl A*	208,157		3,029
US Cellular*	11,983		446
USA Mobility	75,203		751


Description	Shares	Market Value ($ Thousands)
Windstream	31,404	$	312

			41,378


Utilities — 3.7%
AGL Resources	168,227		5,812
Alliant Energy	43,300		1,190
Ameren	42,000		1,091
American Water Works	43,800		974
Atmos Energy	31,497		863
Avista	16,800		350
Black Hills	13,417		316
Centerpoint Energy	66,000		876
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	93,400		1,610
Cleco (A)	57,922		1,478
CMS Energy (A)	156,600		2,230
Consolidated Edison	31,009		1,330
Edison International	50,675		1,725
El Paso Electric*	24,228		480
Empire District Electric	40,548		736
Energen	24,545		1,068
Equities	2,926		120
Great Plains Energy	303,648		5,405
Hawaiian Electric Industries	70,100		1,392
IDACORP	17,450		516
ITC Holdings	39,649		1,763
Laclede Group	9,825		308
MDU Resources Group	116,443		2,632
Mirant* (A)	50,600		720
Northeast Utilities (A)	100,734		2,429
NorthWestern	134,625		3,472
NV Energy	60,365		703
OGE Energy (A)	63,951		2,213
Pepco Holdings	32,000		522
Piedmont Natural Gas	23,600		559
Pinnacle West Capital	88,349		3,100
PNM Resources (A)	128,180		1,428
Portland General Electric	373,658		7,327
RRI Energy*	599,785		2,951
SCANA	87,897		3,094
South Jersey Industries	27,262		983
UGI	169,251		3,974
Unisource Energy	47,800		1,425
Vectren	56,984		1,338
Westar Energy	109,209		2,249
Wisconsin Energy	56,562		2,551
Xcel Energy	95,329		1,937

			77,240

Total Common Stock (Cost $1,837,412) ($ Thousands)			2,037,726


AFFILIATED PARTNERSHIP — 14.3%
SEI Liquidity Fund, L.P., 0.320%**† (E)	306,891,896		299,398

Total Affiliated Partnership (Cost $306,892) ($ Thousands)			299,398


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

PREFERRED STOCK — 0.2%

Consumer Discretionary — 0.1%
Callaway Golf		14,000	$	1,649


Financials — 0.1%
Grubb & Ellis*		14,400		1,440

Total Preferred Stock (Cost $2,830) ($ Thousands)				3,089


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (C)	$	3,146		315


Energy — 0.1%
Nova Biosource Fuels
10.000%, 09/30/12 (C)		1,679		168
Rentech
4.000%, 04/15/13		1,647		1,254
Scorpio Mining
7.000%, 05/05/11 (G)(H)(I)		509		448

				1,870


Financials — 0.0%
World Acceptance
3.000%, 10/01/11		458		409

Total Convertible Bonds (Cost $3,654) ($ Thousands)				2,594


EXCHANGE TRADED FUND — 0.0%
Midcap SPDR Trust Series 1		7,595		947

Total Exchange Traded Fund (Cost $974) ($ Thousands)				947

	Number of Warrants

WARRANTS — 0.0%
Cullen Agricultural Holding, Expires 2013		222,701		22
Oilsands Quest, Expires 05/12/11*		330,350		149
Oilsands Quest, Expires 2009*		20,000		—
Rentech, Expires 04/25/12*(G)(H)(I)		13,800		5
Titanium Asset Management, Expires 06/21/11*(G)(H)(I)		105,000		—

Total Warrants (Cost $196) ($ Thousands)				176


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bills (D)(F)
0.130%, 12/03/09	$	8,970	$	8,970
0.065%, 01/07/10		400		400

Total U.S. Treasury Obligations (Cost $9,370) ($ Thousands)				9,370


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†		48,116,451		48,116

Total Cash Equivalent (Cost $48,116) ($ Thousands)				48,116

Total Investments — 115.0% (Cost $2,209,444)($ Thousands)			$	2,401,416

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation ($ Thousands)
Russell Index E-Mini	200	Dec-2009	$	208
S&P Mid 400 Index E-Mini	128	Dec-2009		264

			$	472

Percentages are based on a Net Assets of $2,087,757($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

This security or a partial position of this security is on loan at November 30, 2009 (See Note 11). The total value of securities on loan atNovember 30, 2009 was $239,050 ($ Thousands).

(B)

(C)

Security in default on interest payments.

(D)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(E)

This security was purchased with cash collateral held from securities on loan (See Note 11). The total value of such securities as of November 30, 2009 was $299,398 ($ Thousands).

(F)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(G)

Securities considered illiquid. The total value of such securities as of November 30, 2009 was $768 ($ Thousands) and represented 0.04% of net assets.

(H)

Securities considered restricted. The total value of such securities as of November 30, 2009 was $768 ($ Thousands) and represented 0.04% of net assets.

(I)

Security was fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2009 was $1,025 ($ Thousands) and represented 0.05% of net assets.


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 95.9%

Consumer Discretionary — 6.9%
Aaron’s	29,300	$	735
Amazon.com*	7,092		964
Autoliv	11,600		471
Buckle	15,000		410
Burger King Holdings	51,000		867
Career Education*	41,800		1,088
Carter’s*	29,900		650
Choice Hotels International	30,000		941
Corinthian Colleges*	56,400		836
DIRECTV, Cl A*	42,100		1,332
Discovery Communications, Cl A*	40,800		1,303
DreamWorks Animation SKG, Cl A*	34,300		1,148
Eastman Kodak	62,200		252
GameStop, Cl A*	20,800		508
Genuine Parts	23,200		831
Gildan Activewear, Cl A*	26,200		506
H&R Block	27,600		560
ITT Educational Services*	10,500		956
Jarden	18,800		516
John Wiley & Sons, Cl A	30,900		1,157
priceline.com*	7,078		1,515
Strayer Education	8,304		1,640
Tractor Supply*	19,800		924

			20,110


Consumer Staples — 15.5%
Alberto-Culver, Cl B	28,708		808
Altria Group	171,941		3,234
Brown-Forman, Cl B	50,788		2,599
Campbell Soup	55,513		1,941
Church & Dwight	16,900		998
Coca-Cola	25,068		1,434
Dean Foods*	35,600		566
Del Monte Foods	42,600		447
Flowers Foods	33,300		762
General Mills	20,600		1,401
Hansen Natural*	11,600		405
Hershey	35,000		1,238
Hormel Foods	122,726		4,605
Kellogg	25,900		1,362
Kimberly-Clark	20,800		1,372
Kroger	63,897		1,453
Lorillard	44,766		3,488
McCormick	27,485		981
Molson Coors Brewing, Cl B	9,393		425
PepsiCo	16,357		1,018
Philip Morris International	71,620		3,444
Reynolds American	72,368		3,616
Ruddick	23,500		625
Safeway	6,616		149
Sara Lee	50,858		617
Sysco	131,280		3,550
Tyson Foods, Cl A	172,715		2,076
Wal-Mart Stores	5,926		323

			44,937


Description	Shares	Market Value ($ Thousands)

Energy — 4.5%
Chevron	27,607	$	2,154
CNX Gas*	35,100		958
Dresser-Rand Group*	34,900		980
Enbridge	32,300		1,381
Exxon Mobil	24,335		1,827
FMC Technologies*	11,900		648
Murphy Oil	14,888		840
PetroHawk Energy*	31,300		699
Range Resources	19,200		905
SEACOR Holdings*	10,200		781
Teekay	21,700		521
TransCanada	44,700		1,442

			13,136


Financials — 13.2%
Alexandria Real Estate Equities‡	20,200		1,139
Arthur J Gallagher	27,079		607
Associated Banc	54,200		615
Bancorpsouth	40,700		944
Bank of Hawaii	58,591		2,678
BOK Financial	20,596		957
Capitol Federal Financial	48,335		1,411
Commerce Bancshares	97,077		3,902
Corporate Office Properties Trust‡	28,600		978
Cullen/Frost Bankers	59,594		2,862
Endurance Specialty Holdings	32,800		1,226
Erie Indemnity, Cl A	24,900		921
Essex Property Trust‡	14,800		1,180
Federated Investors, Cl B	37,600		969
First Citizens BancShares, Cl A	1,708		269
First Niagara Financial Group	37,898		500
Health Care REIT‡	29,800		1,328
Hudson City Bancorp	75,700		1,006
MFA Mortgage Investments‡	68,200		516
National Retail Properties‡	38,700		775
Nationwide Health Properties‡	12,900		439
PartnerRe	9,859		759
People’s United Financial	180,791		2,945
Platinum Underwriters Holdings	21,800		769
ProAssurance*	20,700		1,102
Prosperity Bancshares	29,300		1,167
Realty Income‡	42,900		1,085
RenaissanceRe Holdings	5,700		304
TFS Financial	213,898		2,391
UMB Financial	26,000		1,022
Valley National Bancorp	34,100		451
Washington Real Estate
Investment Trust‡	38,200		997
Wesco Financial	449		153

			38,367


Health Care — 21.8%
Abbott Laboratories	83,042		4,525
Allscripts-Misys Healthcare
Solutions*	5,648		108
AmerisourceBergen	203,890		5,034
Amgen*	65,222		3,675
Baxter International	39,470		2,153


Description	Shares	Market Value ($ Thousands)
Becton Dickinson	41,209	$	3,082
Biogen Idec *	78,347		3,678
Bristol-Myers Squibb	17,928		454
C.R. Bard	30,751		2,528
Cardinal Health	60,456		1,948
CareFusion *	10,132		262
Celgene *	12,500		693
Edwards Lifesciences *	24,812		2,042
Eli Lilly	30,072		1,104
Endo Pharmaceuticals Holdings *	57,851		1,274
Forest Laboratories *	89,323		2,739
Genzyme *	70,659		3,582
Gilead Sciences *	67,560		3,111
Haemonetics *	12,600		673
Henry Schein *	16,462		818
Hill-Rom Holdings	7,226		160
Johnson & Johnson	55,053		3,459
Kinetic Concepts *	30,800		1,038
LifePoint Hospitals *	14,500		421
McKesson	76,878		4,768
Medco Health Solutions *	251		16
Millipore *	2,816		192
Onyx Pharmaceuticals *	16,100		461
Owens & Minor	24,100		935
Patterson *	43,600		1,121
Perrigo	33,500		1,345
STERIS	26,500		856
Techne	56,762		3,853
United Therapeutics *	21,600		985

			63,093


Industrials — 4.1%
Alliant Techsystems *	13,500		1,157
C.H. Robinson Worldwide	23,036		1,284
Copa Holdings, Cl A	19,308		962
FTI Consulting *	21,800		1,008
Gardner Denver	27,800		1,041
KBR	60,800		1,133
Landstar System	24,800		926
Lennox International	29,100		1,080
Nordson	12,800		686
Rollins	47,200		839
Simpson Manufacturing	6,800		169
TransDigm Group	25,300		1,097
Valmont Industries	5,900		452

			11,834


Information Technology — 12.0%
Adtran	35,900		758
Analog Devices	81,601		2,447
Atmel *	12,932		51
AVX	38,600		465
Broadcom, Cl A *	22,948		670
Cree *	12,231		585
Diebold	24,600		619
FLIR Systems *	19,100		548
Global Payments	10,300		528
Google, Cl A *	6,291		3,668
Harris	28,400		1,247
Hewitt Associates, Cl A *	32,900		1,322
Hewlett-Packard	2,861		140


Description	Shares	Market Value ($ Thousands)
IAC *	64,754	$	1,259
Ingram Micro, Cl A *	76,912		1,307
Intel	164,594		3,160
International Business Machines	16,729		2,114
Mantech International, Cl A *	22,300		965
Micros Systems *	13,600		382
NeuStar, Cl A *	16,300		381
SAIC *	1,135		20
Silicon Laboratories *	6,557		277
Sybase *	27,500		1,107
Synopsys *	22,589		507
Tech Data *	67,553		2,845
Texas Instruments	142,338		3,600
Visa, Cl A	32,022		2,594
WebMD Health, Cl A *	2,829		103
Xerox	39,600		305
Xilinx	2,244		51
Zebra Technologies, Cl A *	31,383		835

			34,860


Materials — 3.6%
Aptargroup	27,600		997
Bemis	17,300		507
Compass Minerals International	18,000		1,172
Greif, Cl A	18,700		1,045
Newmont Mining	64,067		3,436
Reliance Steel & Aluminum	9,900		405
Royal Gold	24,029		1,293
Sensient Technologies	23,800		603
Silgan Holdings	16,800		900

			10,358


Telecommunication Services — 2.6%
AT&T	59,600		1,606
BCE	29,600		784
MetroPCS Communications*	184,900		1,165
Rogers Communications, Cl B	44,500		1,347
SBA Communications, Cl A*	15,800		506
Telephone & Data Systems	11,300		344
Verizon Communications	50,894		1,601

			7,353


Utilities — 11.7%
AGL Resources	57,898		2,001
Alliant Energy	49,091		1,349
Aqua America	49,379		806
Atmos Energy	82,948		2,272
Consolidated Edison	28,700		1,232
DPL	42,300		1,136
DTE Energy	32,600		1,308
Edison International	34,300		1,168
Energen	11,800		513
Hawaiian Electric Industries	20,421		405
IDACORP	25,500		754
Nicor	70,258		2,751
NSTAR	58,287		1,931
OGE Energy	35,300		1,221
Pepco Holdings	56,000		913
PG&E	20,300		859
Piedmont Natural Gas	37,600		891
PPL	34,926		1,066


Description	Shares	Market Value ($ Thousands)
SCANA	16,310	$	574
Sempra Energy	30,350		1,613
TECO Energy	81,300		1,199
UGI	62,796		1,475
Vectren	82,749		1,944
Westar Energy	30,200		622
WGL Holdings	26,600		837
Wisconsin Energy	66,796		3,012
Xcel Energy	4,232		86

			33,938

Total Common Stock (Cost $238,672) ($ Thousands)			277,986


U.S. TREASURY OBLIGATION — 0.4%
U.S. Treasury Bills 0.255%, 12/03/09 (A)(B)	1,200		1,200

Total U.S. Treasury Obligation (Cost $1,200) ($ Thousands)			1,200


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.130%**†	10,718		10,718

Total Cash Equivalent (Cost $10,718) ($ Thousands)			10,718

Total Investments — 100.0% (Cost $250,590)($ Thousands)		$	289,904

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 E-Mini	45	Dec-2009	$	127


Description	Shares	Market Value ($ Thousands)

COMMON STOCK — 89.7%

Argentina — 0.1%
Banco Macro ADR	10,000	$	273
BBVA Banco Frances ADR	9,399		58
Grupo Financiero Galicia ADR*	9,800		52
Petrobras Energia ADR	1,974		33
Telecom Argentina ADR*	8,200		133
Tenaris	11,779		232

			781


Australia — 5.6%
AGL Energy	8,938		113
Amcor	27,516		149
AMP	206,557		1,168
Aristocrat Leisure	10,197		38
Arrow Energy*	45,393		162
Asciano Group	83,062		126
ASX	5,053		153
Australia & New Zealand Banking Group	138,654		2,811
Australian Infrastructure Fund	24,593		39
AWB(A)	46,838		51
Beach Petroleum	5,836		5
Bendigo Bank	7,901		64
BGP Holdings*	39,545		—
BHP Billiton	224,891		8,502
Billabong International	11,878		114
BlueScope Steel	229,263		569
Boral	99,982		513
Brambles	7,884		48
Caltex Australia	8,484		75
CFS Retail Property Trust‡	58,410		105
Coca-Cola Amatil	91,258		885
Cochlear	2,978		173
Commonwealth Bank of Australia	52,953		2,559
Computershare	77,785		761
Crown	17,350		124
CSL	494		14
CSR	23,600		37
David Jones (A)	–		—
Dexus Property Group‡	45,614		34
Downer EDI	13,200		103
Energy Resources of Australia	3,618		79
Fairfax Media (A)	227,393		340
Fortescue Metals Group*	27,007		104
Foster’s Group	190,415		980
Goodman Fielder	229,614		322
GPT Group‡	70,403		38
GrainCorp	24,079		134
Harvey Norman Holdings	192,662		758
Incitec Pivot	52,228		136
Insurance Australia Group	36,255		130
JB Hi-Fi	16,680		354
Kingsgate Consolidated	3,100		27
Leighton Holdings (A)	16,623		543
Lend Lease	70,458		586
Macquarie Airports	10,592		25
Macquarie Group (A)	5,202		229
Macquarie Infrastructure Group	438,565		522
Metcash	70,432		302
National Australia Bank	65,427		1,714


Description	Shares	Market Value ($ Thousands)
Newcrest Mining	10,116	$	341
OneSteel	27,245		75
Orica	32,388		741
Origin Energy	9,336		133
OZ Minerals	218,272		244
Pacific Brands	177,578		212
Paladin Energy*	16,201		61
Perpetual	611		18
Primary Health Care	7,900		42
Programmed Maintenance Services	8,232		29
Qantas Airways	189,726		452
QBE Insurance Group	7,641		156
Rio Tinto	39,411		2,585
Santos	152,185		2,051
Sims Group	4,501		87
Sonic Healthcare	11,209		146
SP AusNet, Cl Miscellaneous	18,992		15
Stockland‡	9,650		36
Straits Resources	64,525		97
Suncorp-Metway	67,750		545
TABCORP Holdings	48,062		316
Tatts Group	135,215		298
Telstra	123,100		384
Toll Holdings	21,557		160
Transurban Group	5,174		26
Wesfarmers	79,594		2,171
Westfield Group‡	48,962		547
Westpac Banking	82,151		1,816
Woodside Petroleum	4,650		208
Woolworths	44,706		1,148
WorleyParsons	8,114		197

			42,155


Austria — 0.2%
Erste Group Bank (A)	10,932		444
EVN	895		17
OMV	26,031		1,101
Raiffeisen International Bank Holding	1,058		63
Strabag	2,354		74
Vienna Insurance Group	2,807		148
Voestalpine	803		29

			1,876


Belgium — 1.3%
Banque Nationale de Belgique	3		15
Delhaize Group	32,266		2,442
Dexia(A)	89,612		676
D'ieteren	170		73
Fortis	40,891		172
Groupe Bruxelles Lambert	4,734		431
InBev	51,591		2,575
KBC Groep	19,365		862
Solvay	6,767		714
Telenet Group Holding	11,817		322
UCB (A)	31,865		1,418


Description	Shares	Market Value ($ Thousands)
Umicore	10,397	$	354
			10,054

Brazil — 0.4%
BRF—Brasil Foods*	31,400		737
Cia de Saneamento Basico do Estado de Sao Paulo ADR	16,670		610
Cia Energetica de Minas Gerais ADR (A)	55,050		990
Cyrela Brazil Realty	38,400		543
Redecard	25,600		392

			3,272


Canada — 1.7%
Agrium	24,400		1,363
Barrick Gold	31,700		1,353
Bombardier, Cl B	136,100		578
Canadian National Railway	20,800		1,091
CGI Group, Cl A*	2,200		27
Domtar*	6,400		362
EnCana	29,430		1,584
Gildan Activewear*	11,800		228
Goldcorp	43,390		1,822
Husky Energy	8,900		234
IAMGOLD	25,685		485
Nexen	15,800		372
Open Text*	21,900		834
Pacific Rubiales Energy* (A)	23,000		336
Royal Bank of Canada	4,500		242
Sino-Forest, Cl A*	56,900		997
Teck Cominco, Cl B*	12,100		419
TELUS, Cl A	0		—
Yamana Gold	26,100		346

			12,673


Chile — 0.3%
Banco Santander Chile ADR	8,109		493
Enersis ADR	99,400		1,908
Madeco ADR	3,200		21

			2,422


China — 0.5%
Bank of China	1,608,000		907
Baoye Group, Cl H	44,000		34
China Life Insurance, Cl H	139,650		699
China Railway Group*	711,000		561
Industrial & Commercial Bank of China	1,838,000		1,553
Perfect World ADR*	6,300		278
Qingling Motors, Cl H	298,000		85

			4,117


Cyprus — 0.0%
Bank of Cyprus Public	28,878		206


Denmark — 0.6%
AP Moller—Maersk	94		668
Carlsberg, Cl B	17,888		1,282
Danisco	4,500		278


Description	Shares	Market Value ($ Thousands)
Danske Bank	41,336	$	890
DSV	3,187		57
FLSmidth	1,570		102
Novo-Nordisk, Cl B	15,307		1,027
PER Aarsleff, Cl B	416		50
Sydbank	4,963		119
Topdanmark*	1,209		173
William Demant Holding*	2,784		201

			4,847

Finland — 0.9%
Citycon	18,697		79
Elisa, Cl A	886		19
Fortum	1,844		47
Huhtamaki	6,904		93
Kesko, Cl B	4,294		146
Kone, Cl B	48,424		1,960
Metso	15,554		500
Nokia	42,623		561
Nokian Renkaat	5,167		131
Outokumpu	4,901		84
Sampo, Cl A	47,251		1,121
Sanoma	6,419		134
Stora Enso, Cl R	130,310		996
UPM-Kymmene	45,915		584
Wartsila, Cl B (A)	10,645		397

			6,852

France — 7.2%
Accor	17,122		916
Aeroports de Paris	806		65
Air France-KLM	15,515		246
Air Liquide	773		90
Alcatel-Lucent	153,849		517
Alstom	12,302		861
Arkema	2,929		110
Assystem*	1,449		20
Atos Origin	13,328		582
AXA	36,532		871
BioMerieux	519		60
BNP Paribas	80,932		6,683
Bouygues	15,633		778
Capital Gemini	18,116		838
Carrefour	1,782		87
Casino Guichard Perrachon	2,693		231
Cegid Group	1,081		27
Christian Dior(A)	12,357		1,252
Cie de Saint-Gobain	358		20
Cie Generale d’Optique Essilor International	2,877		167
Ciments Francais	336		35
CNP Assurances	15,382		1,646
Compagnie Generale des Etablissements Michelin, Cl B	4,581		347
Credit Agricole	88,702		1,835
Danone	534		32
Dassault Systemes	1,113		64
Eiffage	1,402		76
Electricite de France (A)	15,315		883
Eurazeo	1,082		76
Eutelsat Communications	19,294		631
Fonciere Des Regions‡	2,876		296


Description	Shares	Market Value ($ Thousands)
France Telecom	95,058	$	2,473
Gaz de France	4,891		204
Gecina ‡	2,803		308
Havas	86,480		323
Hermes International	92		13
Iliad (A)	699		84
Ipsen	1,742		95
JC Decaux	743		17
Klepierre ‡	3,999		160
Lafarge	8,931		734
Lagardere S.C.A.	1,326		57
Legrand	12,120		333
L’Oreal	585		64
LVMH Moet Hennessy Louis Vuitton (A)	2,640		275
M6-Metropole Television	15,917		410
Natixis	81,521		435
Neopost	1,052		92
NetGem	7,913		37
Nexity	3,052		105
PagesJaunes Groupe	6,175		73
Peugeot	21,613		764
PPR	18,301		2,215
Publicis Groupe	30,508		1,175
Rallye	462		16
Renault	9,517		460
Safran	21,877		366
Sanofi-Aventis	121,621		9,188
Schneider Electric	5,023		550
SCOR	20,462		499
SES Global	2,973		63
Societe BIC	409		29
Societe Des Autoroutes Paris-Rhin-Rhone	1,370		114
Societe Generale	24,609		1,732
Societe Television Francaise 1	29,262		521
Suez Environnement	1,484		33
Technip	27,974		1,908
Total (A)	74,550		4,612
Unibail-Rodamco ‡	5,346		1,204
Valeo	10,749		308
Vallourec	140		23
Veolia Environnement	2,856		97
Vinci	19,785		1,094
Vivendi	24,860		716
Zodiac Aerospace	1,569		53

			54,374


Germany — 6.6%
Adidas	586		33
Aixtron	23,060		830
Allianz	19,760		2,427
BASF	67,085		4,045
Bayer	31,554		2,415
Bayerische Motoren Werke	49,986		2,358
Bilfinger Berger	1,964		145
Commerzbank	37,741		353
DaimlerChrysler	47,516		2,406
Deutsche Bank (A)	53,410		3,853
Deutsche Boerse	12,025		1,002
Deutsche Lufthansa	112,011		1,788
Deutsche Post	179,195		3,355


Description	Shares	Market Value ($ Thousands)
Deutsche Postbank (A)	4,616	$	162
Deutsche Telekom	10,677		157
E.ON	126,993		5,022
GAGFAH	17,053		154
Hannover Rueckversicherung	30,201		1,439
HeidelbergCement	27,030		1,794
Henkel	1,957		84
Hochtief	21,374		1,678
Infineon Technologies *	180,954		867
K+S	10,223		616
Linde	4,111		505
MAN	1,277		105
Merck KGaA	270		26
Metro	5,354		336
MTU Aero Engines Holding	3,365		173
Muenchener Rueckversicherungs	6,688		1,049
Puma Rudolf Dassler Sport	290		100
RWE	21,624		1,985
SAP	5,298		253
Siemens	62,742		6,147
Suedzucker	28,307		618
TUI (A)	65,467		518
United Internet	35,548		480
Volkswagen (A)	1,221		150
Wacker Chemie	169		28

			49,456


Greece — 0.8%
Alpha Bank	75,582		1,038
Coca Cola Hellenic Bottling	12,045		267
EFG Eurobank Ergasias *	7,977		106
Ellaktor	1,970		16
National Bank of Greece	42,301		1,245
OPAP	14,508		348
Piraeus Bank *	19,710		287
Public Power	117,425		2,369
Titan Cement	4,676		136

			5,812


Guernsey — 0.1%
Resolution *	610,021		846


Hong Kong — 3.0%
ASM Pacific Technology	24,900		204
Bank of East Asia	37,400		162
BOC Hong Kong Holdings	1,206,819		2,769
Cathay Pacific Airways	49,028		84
Champion Technology Holdings	564,000		19
Cheung Kong Holdings	51,009		641
China Overseas Land & Investment (A)	486,000		1,045
Chinese Estates Holdings	85,000		143
Esprit Holdings	161,200		1,084
Fairwood	19,500		18
First Pacific (A)	133,000		77
Genting Singapore * (A)	947,400		732
Guoco Group	11,000		128
Hang Lung Group	40,000		196
Hang Lung Properties	194,189		709
Hang Seng Bank	34,645		507
Henderson Land Development	51,900		366


Description	Shares	Market Value ($ Thousands)
Hengan International Group	58,000	$	416
Hong Kong & China Gas	58,000		138
Hong Kong Exchanges and Clearing	41,153		734
Hongkong & Shanghai Hotels	51,000		76
Hongkong Land Holdings	89,000		440
Hopewell Holdings	77,500		244
Huabao International Holdings	435,000		460
Hutchison Telecommunications Hong Kong Holdings	228,000		38
Hutchison Whampoa	189,803		1,283
Hysan Development	104,635		300
Jardine Matheson Holdings	10,600		313
Jardine Strategic Holdings	7,000		122
Kerry Properties	52,500		267
Lai Sun Development *	1,739,000		29
Li & Fung	72,000		290
Lifestyle International Holdings	11,500		20
Link REIT ‡	25,000		63
MTR	49,000		167
New World Development	283,809		584
Noble Group	384,000		859
Orient Overseas International	10,500		48
Pacific Andes Holdings (SGD) *	28,000		5
Pacific Basin Shipping	333,000		252
Pacific Century Premium Developments	145,000		40
Pico Far East Holdings	202,000		39
RCG Holdings *	31,166		44
Sino Land	70,000		133
Sun Hung Kai Properties	248,891		3,690
Swire Pacific, Cl A	39,444		453
Television Broadcasts	18,000		82
Vedan International Holdings	220,000		24
VTech Holdings	12,754		124
Wharf Holdings	235,654		1,271
Wheelock	44,383		143
Wing Hang Bank	4,500		46
Wing On International	4,000		5
Yue Yuen Industrial Holdings	112,384		317

			22,443


India — 0.7%
HDFC Bank	32,440		1,232
ICICI Bank ADR	4,100		153
Infosys Technologies	14,620		748
Larsen & Toubro	20,410		708
Reliance Industries GDR (B)	28,608		1,307
State Bank of India GDR	2,927		283
Sterlite Industries India	36,600		675

			5,106


Indonesia — 0.1%
Astra International	117,700		403


Ireland — 0.1%
CRH	1,959		49
DCC	504		14
Experian	60,358		568
Irish Life & Permanent	27,681		135


Description	Shares	Market Value ($ Thousands)
Kerry Group, Cl A	4,360	$	129

			895


Israel — 0.2%
Check Point Software Technologies * (A)	14,700		464
Teva Pharmaceutical Industries ADR	24,410		1,289

			1,753


Italy — 2.6%
ACEA (A)	22,852		263
Assicurazioni Generali	2,273		59
Atlantia	31,991		826
Autogrill	8,725		108
Banca Intesa	644,144		2,790
Banca Intesa RNC	81,035		265
Banca Monte dei Paschi di Siena	12,209		23
Banca Popolare di Milano	37,710		293
Banco Popolare Scarl	23,888		196
Benetton Group	10,814		99
CIR-Compagnie Industriali Riunite	3,882		10
Danieli	1,782		46
Edison	35,904		55
Enel (A)	667,376		3,993
ENI	102,562		2,541
Exor	989		19
Fiat	41,615		614
Finmeccanica	34,989		579
Iride (A)	19,313		37
Luxottica Group	4,409		110
Mediaset	31,412		238
Mediobanca *	47,011		561
Mediolanum (A)	20,081		131
Milano Assicurazioni	32,607		93
Parmalat	209,988		611
Piccolo Credito Valtellinese	3,239		27
Pirelli	66,589		42
Saipem	1,972		63
Saras	228,054		697
Servizi Italia	2,512		21
Snam Rete Gas	63,199		317
Telecom Italia	937,490		1,488
Terna Rete Elettrica Nazionale (A)	70,810		294
UniCredito Italiano	500,314		1,709
Unipol Gruppo Finanziario	78,000		106

			19,324


Japan — 17.2%
77 Bank	77,000		474
Able	1,500		12
Advantest	4,500		100
Aeon	33,800		273
Aeon Fantasy	200		2
Aichi Bank	200		16
Aisin Seiki	34,900		847
Ajinomoto	35,000		329
Alfresa Holdings	2,100		92
Alpen	1,500		25
Alpine Electronics	10,300		104
Alps Electric	37,700		217
Amada	22,000		128


Description	Shares	Market Value ($ Thousands)
AOKI Holdings	1,900	$	19
Aoyama Trading	3,200		42
Arakawa Chemical Industries	1,700		21
Asahi Breweries	11,400		203
Asahi Glass	241,000		2,112
Asahi Kasei	49,000		239
Asset Managers Holdings	176		15
Astellas Pharma	66,300		2,455
Bando Chemical Industries	16,000		43
Bank of Kyoto	99,000		909
Bank of Nagoya	9,000		35
Bank of Yokohama	108,000		526
Belluna	2,150		8
Benesse	400		18
Best Denki	2,500		9
BML	800		26
Brother Industries	8,500		93
Canon	98,500		3,808
Canon Marketing Japan	41,800		615
Casio Computer	300		2
Catena	4,669		10
Cawachi	5,000		97
Central Japan Railway	60		435
Century Tokyo Leasing	5,300		55
Chiba Bank	75,000		495
Chiba Kogyo Bank *	1,900		15
Chuetsu Pulp & Paper	8,000		14
Chugai Pharmaceutical	26,500		505
Circle K Sunkus	4,300		57
Citizen Holdings	3,200		18
Cleanup	100		1
COMSYS Holdings	2,600		25
Corona	200		3
Dai Nippon Printing	79,000		979
Daicel Chemical Industries	130,000		776
Daihatsu Motor	7,000		66
Daiichi Jitsugyo	5,000		13
Daiichi Sankyo	66,700		1,311
Daiichikosho	6,000		71
Daikin Industries	700		25
Daikoku Denki	2,800		55
Daimei Telecom Engineering	800		6
Dainippon Screen Manufacturing (A)	76,000		272
Dainippon Sumitomo Pharma	50,000		514
Daishi Bank	12,000		45
Daiwa House Industry	27,000		272
Daiwa Securities Group	201,000		1,085
DCM Japan Holdings	4,000		25
Denki Kagaku Kogyo	83,000		350
Denso	54,500		1,528
Dentsu (A)	20,900		451
Dowa Holdings	10,000		53
eAccess	33		23
East Japan Railway	44,700		3,165
Eisai	600		22
Eizo Nanao	100		2
Elpida Memory *	24,300		301
Fast Retailing	4,700		856
Fuji Heavy Industries	39,000		155
Fuji Media Holdings (A)	796		1,194
Fuji Soft ABC	1,200		21


Description	Shares	Market Value ($ Thousands)
Fujicco	1,000	$	12
FUJIFILM Holdings	87,700		2,398
Fujikura	4,000		19
Fujishoji	19		24
Fujitec	1,000		6
Fujitsu	395,000		2,357
Fukuda Denshi	900		24
Fukuoka Financial Group	170,000		620
Funai Electric	200		11
Furuno Electric	1,300		5
Gree	800		43
GS Yuasa (A)	21,000		148
Gunma Bank	10,000		59
Hachijuni Bank	8,000		51
Hakuhodo DY Holdings	2,050		100
Hankyu Hanshin Holdings	8,000		37
Heiwa	7,300		76
Heiwado	2,400		29
Higashi-Nippon Bank	7,000		14
Hikari Tsushin	2,300		40
HI-LEX	1,500		13
Hino Motors	258,000		773
Hitachi (A)	125,000		340
Hitachi Chemical	9,200		181
Hitachi Construction Machinery (A)	6,200		145
Hitachi Metals	5,000		44
Hokuhoku Financial Group	52,000		122
Honda Motor	156,400		4,902
Hosiden	2,600		28
Hoya	20,600		527
Ibiden	13,100		444
Idemitsu Kosan	4,500		277
IHI	92,000		148
Iida Home Max	3,600		57
Inabata	31,800		105
Inpex	53		415
Isetan Mitsukoshi Holdings	31,100		268
Isuzu Motors	25,000		43
IT Holdings	2,900		34
Ito En	5,300		86
Itochu	146,000		1,005
Itochu Enex	12,100		55
Itochu Techno-Solutions	400		11
Itochu-Shokuhin	500		17
Itoki	9,000		17
J Front Retailing	28,000		118
Japan Digital Laboratory	300		4
Japan Retail Fund Investment, Cl A ‡	8		35
Japan Tobacco	390		1,158
JBCC Holdings	3,700		25
JFE Holdings	71,400		2,354
JFE Shoji Holdings	8,000		27
JGC	2,000		38
JS Group	17,600		289
JSP	6,900		67
JSR	21,300		410
JTEKT	4,000		39
Jupiter Telecommunications	52		49
Kamigumi	35,000		277
Kaneka	68,000		452


Description	Shares	Market Value ($ Thousands)
Kansai Electric Power	12,600	$	314
Kansai Paint	18,000		156
Kanto Natural Gas Development	3,000		16
Kasumi	2,300		12
Kato Sangyo	600		12
Kawasaki Heavy Industries	40,000		97
Kawasumi Laboratories	3,000		20
KDDI	136		737
Keio	33,000		210
Keisei Electric Railway	23,000		130
Kikkoman	2,000		23
Kintetsu World Express	2,500		66
Kirin Holdings	86,000		1,410
Kobe Steel	38,000		65
Kohnan Shoji	1,300		16
Komatsu	1,500		30
Konica Minolta Holdings	23,500		217
Konishi	2,300		22
Kose	1,300		28
K’s Holdings	2,000		67
Kubota	46,000		406
Kuraray	27,500		332
Kyocera	12,300		982
Kyoei Steel (A)	1,500		28
Kyorin	12,000		188
Kyowa Hakko Kirin	13,000		140
Kyudenko	5,000		30
Mabuchi Motor	2,300		113
Maeda	7,000		18
Maeda Road Construction	4,000		32
Maezawa Kasei Industries	800		8
Makino Milling Machine	5,000		18
Makita	16,200		549
Marubeni	440,000		2,329
Marudai Food	2,000		7
Marui Group	22,700		128
Maruichi Steel Tube	6,300		120
Maruzen Showa Unyu	5,000		18
Matsumotokiyoshi Holdings	3,400		88
Maxvalu Nishinihon	200		3
Mazda Motor	68,000		145
Mediceo Paltac Holdings	32,100		445
MEIJI Holdings	1,100		44
Mie Bank	4,000		11
Mikuni Coca-Cola Bottling	2,100		17
Millea Holdings	25,600		739
Minebea	14,000		70
Ministop	800		10
Miraca Holdings	3,400		109
Mitsubishi	219,400		4,966
Mitsubishi Chemical Holdings	61,000		222
Mitsubishi Electric	32,000		227
Mitsubishi Gas Chemical	33,000		151
Mitsubishi Heavy Industries	109,000		357
Mitsubishi Materials	8,000		19
Mitsubishi Motors * (A)	68,000		92
Mitsubishi Rayon	21,000		90
Mitsubishi UFJ Financial Group	278,200		1,557
Mitsubishi UFJ Lease & Finance	1,740		52
Mitsui	122,700		1,630
Mitsui Chemicals	40,000		101
Mitsui Engineering & Shipbuilding	202,000		499


Description	Shares	Market Value ($ Thousands)
Mitsui Home	1,000	$	5
Mitsui Mining & Smelting	27,000		67
Mitsui Sumitomo Insurance Group Holdings	19,200		506
Mitsumi Electric	1,800		28
Mizuho Securities	148,000		484
Morinaga Milk Industry	11,000		51
Murata Manufacturing	22,300		1,064
Nafco	1,000		18
Nakanishi	200		17
Namco Bandai Holdings	11,200		112
NEC (A)	158,000		400
NEC Fielding	1,900		26
NEC Networks & System Integration	6,900		85
NET One Systems	20		24
NGK Insulators	20,000		440
NGK Spark Plug	3,000		32
NHK Spring	27,000		242
Nidec	9,900		872
Nihon Shokuhin Kako	3,000		22
Nikon	12,500		227
Nintendo	1,000		246
Nippo	5,000		37
Nippon Beet Sugar Manufacturing	3,000		8
Nippon Electric Glass	93,000		1,110
Nippon Express	74,000		330
Nippon Konpo Unyu Soko	2,000		21
Nippon Mining Holdings	61,500		242
Nippon Oil	170,000		726
Nippon Paper Group	10,000		273
Nippon Shinyaku	1,000		12
Nippon Soda	40,000		137
Nippon Steel	90,000		335
Nippon Telegraph & Telephone	76,500		3,330
Nipponkoa Insurance	22,000		131
Nipro	1,600		34
Nishio Rent All	2,900		20
Nissan Chemical Industries	11,000		146
Nissan Motor	561,000		4,077
Nissan Shatai	6,000		51
Nisshin Oillio Group	1,000		5
Nisshin Seifun Group	5,500		75
Nisshinbo Holdings	5,000		41
Nissin Food Products	13,800		508
Nissin Healthcare Food Service	1,700		22
Nitori	9,056		761
Nitto Denko	11,400		367
Nojima	920		9
NOK	9,200		107
Nomura Research Institute	4,900		104
Noritz	1,800		22
NSK	14,000		87
NTN	56,000		212
NTT Data	78		222
NTT DoCoMo	757		1,151
Obic	540		90
Odakyu Electric Railway, Cl B	10,000		83
Ohsho Food Service	1,600		44
Okinawa Electric Power	400		25
Okumura	6,000		21
Okuwa	3,000		29


Description	Shares	Market Value ($ Thousands)
Olympus	2,400	$	73
Omron	11,000		185
Onward Holdings	9,000		57
Oracle Japan	600		27
ORIX	4,770		331
Osaka Gas	93,000		340
Osaka Steel	1,200		21
Otsuka	900		43
Panasonic	75,400		972
Panasonic Electric Works	17,000		195
Piolax	1,000		16
Plenus	400		6
Rakuten	1,467		1,189
Rengo	4,000		26
Resona Holdings	19,100		205
Ricoh	20,000		267
Rinnai	1,500		75
Rohm	8,700		574
Roland	1,000		9
Ryoden Trading	7,000		35
S Foods	5,500		52
Sakai Chemical Industry	5,000		21
Sammy NetWorks	6		13
San-Ai Oil	3,000		12
Sanki Engineering	3,000		22
Sankyo	800		45
Sanshin Electronics	8,000		58
Santen Pharmaceutical	10,700		363
Sanyo Electric* (A)	73,000		131
Sapporo Hokuyo Holdings	214,900		803
Sawai Pharmaceutical	700		40
Sazaby League	800		10
SBI Holdings (A)	925		157
Secom	900		42
Sega Sammy Holdings	6,800		86
Seiko Epson	14,100		219
Seino Holdings	26,000		190
Sekisui House	4,000		35
Senshu Ikeda Holdings*	25,200		90
Seven & I Holdings	27,500		617
Sharp	64,000		734
Shimamura	1,500		141
Shimano	4,300		180
Shin-Etsu Chemical	1,900		103
Shin-Etsu Polymer	6,100		37
Shinko Electric Industries	29,100		411
Shinmaywa Industries	9,000		28
Shinsei Bank (A)	174,000		214
Shionogi	66,500		1,437
Shiseido	2,700		54
Showa Denko	25,000		44
Showa Shell Sekiyu	10,400		88
Sinanen	2,000		9
Sintokogio	2,000		14
SMC	200		23
Softbank	4,100		99
Sohgo Security Services	3,200		37
Sojitz	137,100		240
So-net Entertainment	8		17
Sony	81,100		2,189
Sorun	2,600		24
SRI Sports	11		11


Description	Shares	Market Value ($ Thousands)
Stanley Electric	30,900	$	614
Sumco	6,300		108
Sumikin Bussan	3,000		6
Sumitomo	75,100		741
Sumitomo Chemical	63,000		249
Sumitomo Electric Industries	133,000		1,578
Sumitomo Metal Mining	65,000		1,070
Sumitomo Mitsui Financial Group	77,600		2,567
Sumitomo Realty & Development	4,000		70
Sumitomo Rubber Industries	2,400		19
Suncall	4,000		15
Suzuken	4,400		161
Suzuki Motor	33,800		804
T&D Holdings	4,450		103
T&K Toka	2,100		22
Tadano	2,000		9
Taisho Pharmaceutical	10,000		184
Taiyo Nippon Sanso	24,000		272
Taiyo Yuden	20,000		206
Takeda Pharmaceutical	37,800		1,580
TDK	14,900		780
Teijin	65,000		204
Terumo	5,500		312
THK	1,400		23
TKC	1,200		24
Tobu Railway	16,000		89
Toda	11,000		33
Toei	2,000		10
Toho Holdings	3,100		43
Tohokushinsha Film	1,900		11
Tokai Tokyo Securities	10,000		36
Tokyo Broadcasting System HD	6,100		95
Tokyo Electric Power	700		19
Tokyo Electron	9,800		537
Tokyo Steel Manufacturing	3,500		40
Tokyo Style	2,000		16
Tokyo Tekko	11,000		32
Tokyu	7,000		31
Tokyu Land	6,000		22
Tomoku	11,000		26
Toppan Forms	4,000		44
Toppan Printing	73,000		594
Topre	100		1
Topy Industries	9,288		16
Toray Industries	3,000		16
Torii Pharmaceutical	200		4
Toshiba	294,000		1,563
Toshiba TEC	20,000		71
Tosoh	16,000		38
Totetsu Kogyo	13,000		73
Toyo Kohan	5,000		24
Toyo Seikan Kaisha	9,200		138
Toyo Suisan Kaisha	18,000		492
Toyoda Gosei	11,500		317
Toyota Boshoku	5,800		114
Toyota Industries	4,900		135
Toyota Motor	82,200		3,283
Toyota Tsusho	45,000		604
Trend Micro	200		7
Tsumura	1,800		60
TV Asahi	26		40
Unicharm	1,700		174


Description	Shares	Market Value ($ Thousands)
Universe	3,600	$	52
UNY	11,600		84
USS	1,080		67
Valor	1,600		13
VITAL KSK HOLDINGS	400		3
West Japan Railway	90		335
Yakult Honsha	3,000		94
Yamada Denki	14,920		899
Yamaguchi Financial Group	8,000		84
Yamaha	2,500		26
Yamaha Motor	15,800		186
Yamato Holdings	45,000		626
Yamato Kogyo	12,700		399
Yaskawa Electric	31,000		233
Yokogawa Electric	18,000		128
Yurtec	4,000		23

			128,973


Jersey — 0.0%
Randgold Resources	2,055		174


Mauritius — 0.1%
Golden Agri-Resources	1,345,332		447


Netherlands — 4.7%
Aegon	36,719		264
Akzo Nobel	39,628		2,513
ArcelorMittal (A)	21,065		821
ASML Holding (A)	32,367		994
Boskalis Westminster	799		32
Corio‡	2,154		147
CSM	12,869		338
European Aeronautic Defense and Space (A)	95,402		1,707
Fugro	2,844		161
Heineken	13,250		623
Heineken Holding	2,717		112
Imtech	8,371		215
ING Groep (A)	107,338		1,000
James Hardie Industries	23,454		173
Koninklijke Ahold	61,571		830
Koninklijke DSM	30,702		1,510
Koninklijke Philips Electronics	82,032		2,243
Koninklijke Vopak*	9,468		742
Ordina	8,408		61
QIAGEN*	3,016		67
Randstad Holding	8,125		354
Royal Dutch Shell, Cl B	134,793		3,842
Royal Dutch Shell, Cl A (GBP)	76,989		2,275
Royal Dutch Shell, Cl A	168,571		5,009
Royal KPN	134,873		2,393
SBM Offshore	56,367		1,064
Teleplan International*	9,136		27
TNT	38,028		1,103
Unilever (A)	144,258		4,419

			35,039


New Zealand — 0.1%
Air New Zealand	45,100		39
Fletcher Building	53,212		299


Description	Shares	Market Value ($ Thousands)
Telecom of New Zealand	461,050	$	811

			1,149


Norway — 0.9%
Aker Kvaerner	62,000		770
Atea	11,500		86
DnB (A)	170,696		1,918
Marine Harvest* (A)	436,000		326
Norsk Hydro	4,000		28
Seadrill	31,400		725
Statoil	38,310		938
Telenor	131,200		1,785

			6,576


Papua New Guinea — 0.0%
Lihir Gold	64,100		211


Portugal — 0.4%
Banco Comercial Portugues, Cl R	278,800		369
Banco Espirito Santo	38,983		273
Brisa Auto-Estradas de Portugal	5,464		55
Cimpor Cimentos de Portugal	20,997		160
Energias de Portugal	141,734		650
Galp Energia SGPS, Cl B	800		14
Jeronimo Martins	39,914		391
Portugal Telecom	78,812		953

			2,865


Russia — 0.3%
Gazprom OAO ADR	53,741		1,221
Vimpel-Communications ADR	42,600		813

			2,034


Singapore — 1.7%
CapitaCommercial Trust‡	366,000		304
CapitaLand	37,000		108
CapitaMall Trust‡	218,000		271
City Developments	15,000		108
DBS Group Holdings	341,000		3,525
Fraser and Neave	79,000		227
Jardine Cycle & Carriage	34,000		596
Keppel	25,000		146
Olam International	500,000		949
Oversea-Chinese Banking	299,000		1,809
SembCorp Industries	97,000		259
SembCorp Marine	15,000		38
SIA Engineering	43,000		90
Singapore Airlines	5,000		48
Singapore Airport Terminal Services	44,000		81
Singapore Exchange	55,000		312
Singapore Press Holdings	35,000		94
Singapore Telecommunications	258,000		546
United Overseas Bank	15,000		204
UOB-Kay Hian Holdings	13,000		14
UOL Group	37,000		97
Wheelock Properties Singapore	23,370		29
Wilmar International	529,500		2,408
Wing Tai Holdings	17,000		20


Description	Shares	Market Value ($ Thousands)
Yangzijiang Shipbuilding Holdings	154,000	$	137

			12,420


South Africa — 0.1%
Impala Platinum Holdings	23,236		537


South Korea — 0.2%
Samsung Electronics	2,220		1,375


Spain — 3.8%
Abengoa	809		24
Abertis Infraestructuras	13,024		297
Acerinox	11,084		230
ACS Actividades Construcciones y Servicios	5,773		287
Banco Bilbao Vizcaya Argentaria (A)	249,832		4,705
Banco de Sabadell (A)	3,680		24
Banco Popular Espanol (A)	9,954		84
Banco Santander Central Hispano	515,305		8,827
Bankinter	20,579		221
Cintra Concesiones de Infraestructuras de Transporte	6,987		75
Criteria Caixacorp (A)	15,154		77
EDP Renovaveis*	14,392		141
Enagas	7,102		154
Financiera Alba	1,688		91
Fomento de Construcciones y Contratas	3,965		169
Gas Natural	28,532		592
Gestevision Telecinco	4,927		55
Grupo Catalana Occidente	1,000		22
Grupo Ferrovial	992		43
Iberdrola	37,389		355
Inditex	6,270		399
Mapfre (A)	89,123		393
Obrascon Huarte Lain (A)	3,542		97
Red Electrica	16,487		901
Repsol	77,744		2,136
Sacyr Vallehermoso (A)	14,378		198
Sol Melia	1,521		13
Telefonica	280,160		8,042
Zardoya Otis	2,453		51

			28,703


Sweden — 1.8%
Alliance Oil*	7,059		102
Assa Abloy, Cl B	11,793		216
Atlas Copco, Cl B	2,477		31
Atlas Copco, Cl A	10,118		143
Bilia, Cl A	3,038		29
Boliden	24,000		301
Electrolux, Cl B	110,289		2,692
Eniro	7,217		34
Getinge, Cl B	3,899		79
Hennes & Mauritz, Cl B	12,156		717
Husqvarna, Cl B	2,813		20
Investor, Cl B	3,369		61
Lundin Petroleum*	18,902		157
Nordea Bank	144,958		1,500


Description	Shares	Market Value ($ Thousands)
Skandinaviska Enskilda Banken, Cl A	2,858	$	18
Skanska, Cl B	13,307		224
SKF, Cl B	9,897		163
Svenska Cellulosa, Cl A	1,904		26
Svenska Cellulosa, Cl B	185,565		2,549
Svenska Handelsbanken, Cl A	17,868		511
Swedbank	41,569		396
Swedish Match	16,009		344
Tele2, Cl B	5,364		82
Telefonaktiebolaget LM Ericsson, Cl B(A)	193,756		1,857
TeliaSonera	98,272		696
Trelleborg, Cl B	18,474		126
Volvo, Cl A	2,608		25
Volvo, Cl B	6,463		61

			13,160


Switzerland — 8.1%
ABB	115,345		2,113
ACE	7,600		370
Actelion*	7,664		451
Adecco	16,046		800
Aryzta*	1,128		43
Baloise Holding	10,858		905
Banque Cantonale Vaudoise	673		268
Clariant	24,000		251
Coltene Holding	472		25
Compagnie Financiere Richemont	19,554		632
Credit Suisse Group	136,879		7,088
Elektrizitaets-Gesellschaft Laufenburg	24		23
Geberit	1,714		296
Helvetia Holding	770		235
Holcim*	32,091		2,310
Julius Baer Group	50,136		1,655
Julius Baer Holding	1,900		23
Kuehne + Nagel International	4,779		462
Lindt & Spruengli	146		386
Micronas Semiconductor Holding*	6,888		22
Nestle	219,078		10,358
Nobel Biocare Holding	6,246		186
Novartis	154,627		8,584
Panalpina Welttransport Holding	110		7
Roche Holding	36,129		5,911
Schindler Holding	2,911		219
SGS	42		54
Sonova Holding	3,633		431
STMicroelectronics	15,900		128
Straumann Holding	563		138
Sulzer	822		65
Swatch Group, Cl B	4,149		1,045
Swatch Group	12,823		613
Swiss Life Holding	4,271		525
Swiss Reinsurance	16,211		771
Swisscom	5,117		1,990
Syngenta	2,778		737
Synthes	2,589		340
UBS	113,656		1,763
Valora Holding	166		44
Vontobel Holding	2,947		91


Description	Shares	Market Value ($ Thousands)
Xstrata	264,593	$	4,642
Zurich Financial Services	17,434		3,757

			60,757


Taiwan — 0.6%
Chunghwa Telecom	523,298		937
MediaTek	54,000		851
Taishin Financial Holding	1,123,000		419
Taiwan Semiconductor Manufacturing	332,389		631
United Microelectronics ADR* (A)	411,300		1,394

			4,232


Turkey — 0.2%
Turkcell Iletisim Hizmet	113,577		687
Turkiye Garanti Bankasi	224,350		747

			1,434


United Kingdom — 16.0%
3i Group*	4,170		18
Admiral Group	5,019		87
Aegis Group	84,143		149
Amec	65,905		858
Amlin	46,838		285
Anglo American	55,825		2,385
Antofagasta	62,702		927
Arriva	6,892		52
Associated British Foods	16,129		213
AstraZeneca	192,291		8,574
Autonomy*	29,342		686
Aviva	242,695		1,475
Babcock International Group	41,267		422
Balfour Beatty	12,227		51
Barclays	896,865		4,303
Berkeley Group Holdings*	10,607		151
BG Group	185,035		3,349
BHP Billiton	170,692		5,203
BP	1,432,719		13,510
Brit Insurance Holdings	7,410		23
British Airways	11,878		38
British American Tobacco	162,923		4,939
British Sky Broadcasting Group	16,273		141
BT Group, Cl A	296,185		682
Bunzl	2,188		23
Burberry Group	29,732		278
Cadbury	68,180		902
Cape*	41,170		154
Carnival	11,786		394
Catlin Group	62,295		314
Centrica	430,000		1,797
Charter International	18,807		224
Compass Group	3,980		28
Computacenter	4,925		20
Dairy Crest Group	10,245		63
Davis Service Group PLC	60,400		398
Delta	12,138		27
Diageo	37,479		630
Dimension Data Holdings	110,939		135
DS Smith	37,674		69
easyJet*	145,975		879
Education Development International	15,291		33


Description	Shares	Market Value ($ Thousands)
Eurasian Natural Resources	43,119	$	610
Firstgroup	55,376		355
Fresnillo	40,552		561
GlaxoSmithKline	269,954		5,569
Group 4 Securicor	9,785		39
Hammerson‡	8,561		56
Healthcare Locums	18,106		80
Hogg Robinson Group	38,599		23
Home Retail Group	189,739		916
HSBC Holdings	875,347		10,156
ICAP	133,540		947
Imperial Tobacco Group	100,478		2,915
Inchcape	1,468,305		670
Intercontinental Hotels Group	15,690		217
International Power	228,514		1,038
Interserve	46,900		160
Invensys	104,145		478
Investec	29,589		209
ITV	264,662		226
Johnson Matthey	381		9
Kazakhmys	46,235		935
Kingfisher	378,749		1,474
Land Securities Group‡	2,108		23
Legal & General Group	1,377,531		1,749
Lloyds Banking Group	16,042		14
LogicaCMG	110,747		213
London Stock Exchange Group	7,867		97
Man Group	9,506		50
Marks & Spencer Group	119,969		760
Meggitt	29,893		117
Millennium & Copthorne Hotels	21,813		125
Mondi	4,227		23
Morgan Sindall	3,027		26
National Grid	146,883		1,592
Next	31,507		1,022
Old Mutual	1,020,091		1,900
Pearson	27,314		372
Persimmon	102,978		699
Petrofac	59,618		952
Prudential	115,064		1,181
Reckitt Benckiser Group	47,844		2,434
Rexam	217,342		989
Rio Tinto	64,660		3,277
Rolls-Royce Group	190,815		1,486
Royal & Sun Alliance Insurance Group	137,905		264
Royal Bank of Scotland Group	267,581		146
SABMiller	46,152		1,341
Sage Group	341,576		1,196
Schroders	17,472		330
Scottish & Southern Energy	5,979		110
Segro‡	6,768		36
Serco Group	20,383		173
Shire	40,421		786
Smith & Nephew	1,973		19
Standard Chartered	150,361		3,662
Standard Life	60,078		205
Taylor Woodrow	408,123		238
Tesco	221,017		1,534
Thomas Cook Group	40,000		139
Tomkins	115,139		325
Travis Perkins	42,555		529


Description	Shares	Market Value ($ Thousands)
Tullett Prebon	62,509	$	327
Tullow Oil	21,651		439
Unilever	11,780		345
Vedanta Resources	5,828		220
Vodafone Group	1,599,902		3,600
Whitbread	4,099		86
WM Morrison Supermarkets	176,272		797
WPP	179,649		1,675

			120,155


United States — 0.5%
American Safety Insurance
Holdings*	1,527		23
A. Schulman	3,000		49
Buckeye Technologies*	2,900		28
Capital One Financial	17,200		660
Clearwater Paper*	1,900		93
Computer Sciences*	300		17
ConocoPhillips	13,700		709
EW Scripps, Cl A*	6,500		41
Glatfelter	5,800		65
HSN*	6,700		120
Kemet*	37,700		51
M&F Worldwide*	1,500		50
MeadWestvaco	13,900		380
Omnova Solutions*	5,400		36
PS Business Parks‡	3,200		152
Thomson Reuters (CAD)	14,624		463
TICC Capital	12,600		70
Transatlantic Holdings	3,400		184

			3,191

Total Common Stock (Cost $583,153) ($ Thousands)			673,099


AFFILIATED PARTNERSHIP — 4.5%
SEI Liquidity Fund, L.P.,
0.32%**†(I)	34,392,748		33,521

Total Affiliated Partnership (Cost $34,393) ($ Thousands)			33,521


MORTGAGE-BACKED SECURITIES — 1.9%

Agency Mortgage-Backed Obligations — 0.3%
FHLMC ARM (C)
5.830%, 03/01/36	285		299
5.262%, 10/01/35	233		244
4.778%, 06/01/35	252		261
FHLMC CMO, Ser 3335, Cl BF
0.389%, 07/15/19 (C)	122		121
FHLMC CMO, Ser 3336, Cl FA
0.469%, 02/15/19 (C)	389		388
FNMA
6.000%, 07/01/37	266		286
FNMA ARM (C) 5
.118%, 10/01/35	323		338
4.496%, 05/01/35	260		271

			2,208


Non-Agency Mortgage-Backed Obligations — 1.6%
Banc of America Commercial Mortgage, Cl A2
4.764%, 07/10/45	400		401


Description	Shares		Market Value ($ Thousands)
Banc of America Commercial Mortgage, Ser 2008-5, Cl A1
5.185%, 09/10/47	$	168	$	171
Banc of America Funding, Ser 2005-2, Cl 1A2
5.500%, 04/25/35		440		430
Banc of America Funding, Ser 2006-A, Cl 2A2
4.666%, 02/20/36 (C)		118		27
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.686%, 12/25/33 (C)		96		92
Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1
5.000%, 12/25/19		397		401
BCAP LLC Trust, Ser 2006-RR1, Cl PA
5.000%, 11/25/36		232		232
Chase Mortgage Finance, Ser 2007-A1, Cl 7A1
4.593%, 02/25/37 (C)		248		228
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33		118		118
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33		380		380
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34		120		120
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-22, Cl A1
3.510%, 11/25/34 (C)		376		304
Credit Suisse First Boston Mortgage Securities, Ser 2001- CF2, Cl A4
6.505%, 02/15/34		202		208
Credit Suisse First Boston Mortgage Securities, Ser 2003- C3
3.382%, 05/15/38		132		133
Credit Suisse First Boston Mortgage Securities, Ser 2005- C3, Cl A2
4.512%, 07/15/37		565		565
Credit Suisse First Boston Mortgage Securities, Ser 2005- C4, Cl A2
5.017%, 08/15/38		190		191
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A2
4.609%, 02/15/38		127		127
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006- AB3, Cl A1
6.250%, 07/25/36 (C)		390		288


Description	Shares		Market Value ($ Thousands)
DLJ Commercial Mortgage, Ser 2000-CF1, Cl A1B
7.620%, 06/10/33	$	93	$	94
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33		289		295
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33		402		397
First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1
5.640%, 11/25/36 (C)		489		371
First Union National Bank Commercial Mortgage, Ser 2000-C1, Cl A2
7.841%, 05/17/32		46		46
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A2
4.760%, 08/10/38		178		183
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34		316		315
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		189		186
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A
3.624%, 10/25/34 (C)		59		39
JPMorgan Chase Commercial Mortgage Securities, Ser 2000- C10, Cl A2
7.371%, 08/15/32 (C)		77		77
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.816%, 12/25/34 (C)		115		113
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26		122		125
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26		187		193
LB-UBS Commercial Mortgage Trust, Ser 2001-WM, Cl A2
6.530%, 07/14/16		200		210
LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A2
4.064%, 09/15/27 (C)		511		515
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
4.134%, 07/25/34 (C)		429		356
Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1
4.020%, 03/25/35 (C)		333		195
Master Alternative Loans Trust, Ser 2003-6, Cl 3A2
5.750%, 09/25/33		145		144
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
3.941%, 02/25/36 (C)		843		614
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A2
4.809%, 01/14/42		47		47


Description	Shares		Market Value ($ Thousands)
Nomura Asset Acceptance, Ser 2004-R1, Cl A1
6.500%, 03/25/34	$	254	$	246
Nomura Asset Acceptance, Ser 2004-R2, Cl A1
6.500%, 10/25/34 (C)		290		272
PNC Mortgage Acceptance, Ser 2000-C1, Cl A2
7.610%, 03/15/33		48		48
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33		141		145
Residential Asset Securitization Trust, Ser 2003-A1, Cl A2
0.736%, 03/25/33 (C)		85		77
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1
3.527%, 12/25/34 (C)		857		681
Residential Funding Mortgage Securities I, Ser 2004-S2, Cl A11
6.000%, 06/25/36		193		189
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34		201		201
Salomon Brothers Mortgage Securities VII, Ser 2000-C1, Cl A2
7.520%, 02/18/32 (C)		3		3
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.356%, 09/25/46 (C)		524		479
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A2
4.782%, 03/15/42		229		230
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.950%, 08/25/34 (C)		8		8
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33		179		179
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34		185		184
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-6, Cl A5
3.219%, 08/25/34 (C)		4		4
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.668%, 07/25/34 (C)		47		17


Description	Shares		Market Value ($ Thousands)
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.686%, 06/25/34 (C)	$	100	$	96

				11,990


Total Mortgage-Backed Securities (Cost $15,276) ($ Thousands)				14,198


ASSET-BACKED SECURITIES — 1.4%

Automotive — 0.4%
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A2
1.400%, 11/15/12		160		161
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13		365		371
BMW Vehicle Lease Trust, Cl A2
2.040%, 04/15/11		390		393
BMW Floorplan Master Owner Trust, Ser 2009-1A, Cl A
1.389%, 09/15/14 (C)		124		124
Citifinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12		195		195
Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A3
4.470%, 01/18/12		155		158
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A2
2.220%, 08/15/11		250		252
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13		210		214
Mercedes-Benz Auto Receivables Trust, Ser 2009-1, Cl A3
1.670%, 01/15/14		105		106
Nissan Auto Lease Trust, Cl A2
2.010%, 04/15/11		310		312
USAA Auto Owner Trust, Ser 2009-I, Cl A2
2.640%, 08/15/11		600		604
Volkswagen Auto Lease Trust, Cl A2
2.870%, 07/15/11		370		374

				3,264


Credit Cards — 0.6%
American Express Credit Account Master Trust, Ser 2003-3, Cl A
1.589%, 12/15/14 (C)		785		801
Bank of America Credit Card Trust, Ser 2006-A6, Cl A6
0.269%, 11/15/13 (C)		200		197
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		305		319
Capital One Multi-Asset Execution Trust, Ser 2009-A1, Cl A1
1.339%, 04/15/13 (C)		25		25
Chase Issuance Trust, Ser 2007- A10
0.279%, 06/16/14 (C)		305		300


Description	Shares		Market Value ($ Thousands)
Chase Issuance Trust, Ser 2009- A4, Cl A6
1.089%, 07/16/12 (C)	$	450	$	451
Chase Issuance Trust, Ser 2009- A6, Cl A4
0.989%, 06/15/12 (C)		350		351
Citibank Credit Card Issuance Trust, Ser 2005-A7, Cl A7
4.750%, 10/22/12		100		103
Citibank Credit Card Issuance Trust, Ser 2007-A7, Cl A7
0.587%, 08/20/14 (C)		320		315
Citibank Credit Card Issuance Trust, Ser 2009-A1, Cl A1
1.989%, 03/17/14 (C)		135		137
Citibank Credit Card Issuance Trust, Ser 2009-A7, Cl A7
0.352%, 11/25/13 (C)		420		415
MBNA Credit Card Master Note Trust, Ser 2003-A4, Cl A4
0.459%, 09/17/12 (C)		960		958
MBNA Credit Card Master Note Trust, Ser 2003-A8
0.429%, 12/17/12 (C)		700		698

				5,070


Mortgage Related Securities — 0.4%
ACE Securities, Ser 2003-NC1, Cl M
1.406%, 07/25/33 (C)		600		388
Ameriquest Mortgage Securities, Ser 2005-R9, Cl AF3
5.098%, 11/25/35		172		170
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/36		400		377
CNH Equipment Trust, Ser 2009- A, Cl A2
4.060%, 10/17/11		115		116
CNH Equipment Trust, Ser 2009- B, Cl A2
2.400%, 05/16/11		94		94
GSAMP Trust, Ser 2005-HE3, Cl M1
0.706%, 06/25/35 (C)		97		93
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-5, Cl 2A1
0.936%, 10/25/37 (C)		381		366
Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2
1.886%, 07/25/34 (C)		37		8
Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1
1.256%, 10/25/33 (C)		501		333
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.331%, 12/25/33 (C)		54		31
Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B
0.386%, 02/25/36 (C)		896		355


Description	Shares		Market Value ($ Thousands)
Terwin Mortgage Trust, Ser 2006- 6, Cl 2A1
4.500%, 06/25/36	$	207	$	20

				2,351

Total Asset-Backed Securities (Cost $11,759) ($ Thousands)				10,685


PREFERRED STOCK — 0.8%

Brazil — 0.4%
Banco Bradesco		63,000		1,316
Petroleo Brasileiro		72,200		1,604

				2,920


Germany — 0.4%
Bayerische Motoren Werke		5,349		176
Draegerwerk		1,189		50
Henkel		25,551		1,287
Jungheinrich		1,164		22
KSB		173		100
Porsche Automobil Holding		2,510		175
ProSiebenSat.1 Media		20,156		262
RWE		4,072		343
STO		300		27
Volkswagen		4,538		385

				2,827

Total Preferred Stock (Cost $5,006) ($ Thousands)				5,747

	Number Of Rights

RIGHTS — 0.1%

Australia — 0.0%
Programmed Maintenance, Expires 12/08/09		1,733		—
CSR, Expires 12/07/09		2,207		—

				—


Belgium — 0.0%
Fortis, Expires 07/01/14 (A)		135,417		—


Germany — 0.0%
Kali und Salz, Expires 12/14/09		10,223		34


Italy — 0.0%
Piccolo Credito Valtellinese, Expires 01/02/10		3,239		1


Netherlands — 0.1%
ING Group, Expires 12/17/09		107,338		266


Norway — 0.0%
DnB, Expires 12/14/09		44,688		126


Description	Shares	Market Value ($ Thousands)
Spain — 0.0%
Obrascon Huarte Lain, Expires 12/15/09	3,542	$	7

United Kingdom — 0.0%
Lloyds Banking Group, Expires 12/15/09	21,496		6
National Express Group, Expires 12/16/09	19,936		21

			27

Total Rights (Cost $272) ($ Thousands)			461

	Number Of Warrants

WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *	73,972		15


Italy — 0.0%
Mediobanca, Expires 2011	40,475		—
Unione di Banche Italiane SCPA, Expires 2011 *	14,619		1

			1

Total Warrants (Cost $0) ($ Thousands)			16


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Shinsei Finance Cayman 6.418%, 01/29/49 (C)	490		284

Total Corporate Obligation (Cost $490) ($ Thousands)			284


U.S. TREASURY OBLIGATIONS — 0.4%
U.S. Treasury Bills (D) (E)
0.130%, 12/03/09	685		685
0.107%, 12/17/09	600		600
0.065%, 01/07/10	1,500		1,500
0.000%, 01/14/10	35		35

			2,820

Total U.S. Treasury Obligations (Cost $2,820) ($ Thousands)			2,820


Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.130%**†	$	18,774,658	$	18,775


Total Cash Equivalent (Cost $18,775) ($ Thousands)				18,775


Total Investments — 101.3% (Cost $671,944) ($ Thousands)			$	759,606

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	244	Dec-2009	$	159
E-Mini MSCI EAFE	4	Dec-2009		2
FTSE 100 Index	73	Dec-2009		216
Hang Seng Index	2	Dec-2009		1
Nikkei 225 Index	13	Dec-2009		(47	)
SPI 200 Index	11	Dec-2009		28
Topix Index	24	Dec-2009		(90	)

			$	269

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2009, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized (Depreciation) ($ Thousands)
1/25/10	AUD	2,.864	USD	2,567	$	(40	)
1/25/10	USD	2,631	AUD	2,864		(25	)

						(65	)

A summary of outstanding swap agreements held by the Fund at August 31, 2009, is as follows:

Percentages are based on a Net Assets of $758,343($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of August 31, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

This security or a partial position of this security is on loan at November 30, 2009. (See Note 11) The total value of securities on loan at November 30, 2009 was $31,767 ($ Thousands).

(B)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(D)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(E)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(F)

Security considered restricted. The total value of such security as of November 30, 2009 was $0 ($ Thousands) and represents 0.0% of net assets.

(G)

Security considered illiquid. The total value of such securities as of August 31, 2009 was $0 ($ Thousands) and represents 0.0% of Net Assets.

(H)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such security as of November 30, 2009 was $0 and represents 0.0% of net assets.

(I)

This security was purchased with cash collateral held from securities on loan. (See Note 11) The total value of such securities as of November 30, 2009 was $33,521 ($ Thousands).

ABS — Asset-Backed Security

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

Cl — Class

CMO — Collateralized Mortgage Obligation

DJ — Dow Jones

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

Ser — Series

SPI — Share Price Index

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — U.S. Dollar

Amounts designated as “—” are $O or have been rounded to $O.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 91.6%

Argentina — 0.2%
Banco Macro ADR	2,419	$	66
Telecom Argentina ADR *	2,952		48
Tenaris	8,852		175
Tenaris ADR (A)	103,238		4,073
Ternium ADR	28,700		903

			5,265


Australia — 4.2%
Aditya Birla Minerals	166,691		211
AGL Energy	20,414		259
Amcor	111,217		602
AMP	164,759		932
Aristocrat Leisure	40,519		150
Arrow Energy *	180,782		645
Asciano Group	367,050		556
ASX	29,882		904
Australia & New Zealand Banking Group	409,889		8,310
Australian Infrastructure Fund	60,205		95
AWB (A)	120,275		131
Beach Petroleum	1,033,673		795
Bendigo Bank	29,122		237
BGP Holdings *	239,898		—
BHP Billiton	662,008		25,026
Billabong International	48,009		461
Biota Holdings	12,337		35
BlueScope Steel	1,170,754		2,904
Boral (A)	85,308		437
Brambles	90,374		546
Caltex Australia	33,914		302
CFS Retail Property Trust ‡	282,496		509
Coca-Cola Amatil	397,021		3,852
Cochlear	12,036		697
Commonwealth Bank of Australia	182,909		8,840
Computershare	315,355		3,086
Crown	75,380		540
CSL	1,747		50
CSR	95,386		150
David Jones (A)	62,300		329
Dexus Property Group ‡	122,737		91
Downer EDI	40,300		315
Energy Resources of Australia	14,461		317
Fairfax Media (A)	674,885		1,010
Fortescue Metals Group *	104,354		402
Foster’s Group	771,144		3,967
Goodman Fielder	684,055		958
Goodman Group ‡	265,073		146
GPT Group ‡	239,898		131
GrainCorp	26,390		147
Harvey Norman Holdings	578,506		2,277
Incitec Pivot	233,455		609
ING Industrial Fund ‡ (A)	329,700		128
Insurance Australia Group	4,500		16
JB Hi-Fi	67,189		1,427
Kingsgate Consolidated	5,200		46
Leighton Holdings (A)	70,999		2,320
Lend Lease	259,641		2,158
Macquarie Group (A)	23,672		1,040
Macquarie Infrastructure Group	1,117,336		1,330


Description	Shares	Market Value ($ Thousands)
Metcash	302,361	$	1,295
Monadelphous Group	6,647		79
National Australia Bank	271,499		7,113
New Hope	252,430		994
Newcrest Mining	35,993		1,212
OneSteel	25,451		70
Orica	104,132		2,381
Origin Energy	115,469		1,650
OZ Minerals	850,421		950
Pacific Brands	269,642		322
Paladin Energy *	64,759		244
Perpetual	2,332		70
Primary Health Care	16,200		87
Qantas Airways	518,745		1,235
QBE Insurance Group	21,044		428
Rio Tinto	127,174		8,342
Santos	454,095		6,118
Sigma Pharmaceuticals	130,252		114
Sims Group (A)	17,980		349
Sonic Healthcare	45,304		588
Stockland ‡	39,003		144
Straits Resources	127,254		192
Suncorp-Metway	200,040		1,608
Super Cheap Auto Group	13,600		67
TABCORP Holdings (A)	134,291		883
Tatts Group	517,778		1,142
Telstra	452,198		1,411
Toll Holdings	87,126		648
Transurban Group	20,912		104
Wesfarmers	319,360		8,711
Westfield Group ‡	322,012		3,599
Westpac Banking	244,171		5,395
Woodside Petroleum	16,019		715
Woolworths	138,961		3,568
WorleyParsons	36,843		895

			143,149


Austria — 0.2%
Erste Group Bank (A)	52,987		2,154
OMV	94,934		4,017
Raiffeisen International Bank Holding	4,277		254
Strabag	6,674		209
Vienna Insurance Group	11,246		593
Voestalpine	16,597		589

			7,816


Belgium — 1.1%
Banque Nationale de Belgique	2		10
Barco	1,730		73
Delhaize Group	109,836		8,313
Dexia (A)	372,807		2,813
D’ieteren	556		238
Fortis	162,498		684
Groupe Bruxelles Lambert	13,857		1,262
InBev	185,171		9,241
KBC Groep	61,064		2,718
Nationale A Portefeuille	8,499		448
Nyrstar	99,479		1,256
Solvay	23,130		2,441
Telenet Group Holding	36,489		994
UCB	122,186		5,439


Description	Shares	Market Value ($ Thousands)
Umicore	30,811	$	1,048

			36,978


Brazil — 2.0%
Abyara Planejamento Imobiliario *	37,900		99
All America Latina Logistica	150,900		1,338
Amil Participacoes	135,100		986
Banco do Brasil	363,000		6,421
Banestes Banco do Estado do Espirito Santo	22,600		91
BRF - Brasil Foods *	127,000		2,982
CETIP - Balcao Organizado de Ativos e Derivativos *	165,200		1,193
Cia de Saneamento Basico do Estado de Sao Paulo	102,000		1,845
Cia de Saneamento Basico do Estado de Sao Paulo ADR	46,900		1,716
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	56,500		974
Cia Energetica de Minas Gerais ADR (A)	222,400		3,999
Cia Vale do Rio Doce	193,100		5,419
Cia Vale do Rio Doce ADR, Cl B (A)	178,790		5,126
Cyrela Brazil Realty	127,100		1,797
Dufry South America	70,200		1,423
EDP - Energias do Brasil	71,600		1,270
Empresa Brasileira de Aeronautica *	352,100		1,762
Eternit	28,100		128
Ez Tec Empreendimentos e Participacoes	59,400		275
Gerdau	37,100		436
Grendene	119,400		615
Hypermarcas *	73,200		1,563
Iguatemi Empresa de Shopping Centers *	44,000		727
Itau Unibanco Holding ADR	132,251		2,943
Klabin Segall *	27,300		78
Lojas Renner	110,800		2,426
OGX Petroleo e Gas Participacoes	4,933		4,194
Petroleo Brasileiro	270,800		6,838
Petroleo Brasileiro ADR	58,014		2,975
Redecard	94,300		1,447
Rodobens Negocios Imobiliarios	99,400		973
Santos Brasil Participacoes	69,172		592
SLC Agricola	78,421		598
Telegraph Norte Leste Participacoes	47,100		1,186
Usinas Siderurgicas de Minas Gerais	103,900		2,938
Wilson Sons, Cl BDR	82,280		984

			70,357


Canada — 4.7%
Agrium (A)	116,740		6,519
Alamos Gold *	9,800		110


Description	Shares	Market Value ($ Thousands)
Alimentation Couche Tard, Cl B	118,900	$	2,465
AltaGas Income Trust	7,400		128
Astral Media, Cl A	2,800		84
Atco	13,900		589
Bank of Montreal (A)	120,000		6,118
Bank of Nova Scotia	103,180		4,747
Barrick Gold	246,400		10,503
BCE (A)	121,180		3,209
Biovail	33,500		481
Bombardier, Cl B	450,000		1,912
Brookfield Asset Management, Cl A	71,300		1,498
Cameco	10,200		293
Canadian Imperial Bank of Commerce	16,770		1,093
Canadian National Railway	72,510		3,804
Canadian Natural Resources	63,010		4,212
Canadian Tire, Cl A (A)	28,940		1,516
Canadian Utilities	18,300		714
Capstone Mining *	36,400		97
Celestica *	45,700		372
CGI Group, Cl A *	405,470		5,019
Compton Petroleum *	28,962		26
Corus Entertainment, Cl B	5,700		97
Domtar *	1,800		102
Dorel Industries, Cl B	20,100		622
Dundee, Cl A *	6,800		78
Enbridge	60,110		2,566
EnCana	245,000		13,164
Endeavour Silver *	24,900		93
Fairfax Financial Holdings	900		321
First Quantum Minerals	28,900		2,257
George Weston	11,970		701
Gildan Activewear *	57,800		1,116
Goldcorp	158,760		6,664
Grande Cache Coal *	132,000		518
Groupe Aeroplan	94,700		848
Husky Energy	45,200		1,188
IAMGOLD	170,446		3,216
Industrial Alliance Insurance & Financial Services	2,800		79
Inmet Mining	15,900		955
Kinross Gold	3,500		70
Laurentian Bank of Canada	9,430		382
Linamar	4,580		61
Loblaw	5,500		173
Lundin Mining *	132,500		578
Magna International, Cl A	10,890		520
Manulife Financial	21,700		380
Maple Leaf Foods	26,700		289
Metro, Cl A	113,600		3,914
Mullen Group	7,840		115
National Bank of Canada	79,390		4,758
Nexen	108,543		2,556
Northgate Minerals *	241,700		770
Open Text *	88,900		3,384
Pacific Rubiales Energy * (A)	106,200		1,548
Penn West Energy Trust (A)	67,600		1,186
Potash Saskatchewan	11,830		1,323
Power Financial	11,030		288
Quebecor, Cl B	15,620		387
Research In Motion *	22,900		1,324


Description	Shares	Market Value ($ Thousands)
Royal Bank of Canada (A)	248,801	$	13,407
Sherritt International	214,900		1,368
Sierra Wireless *	8,700		79
Sino-Forest, Cl A *	280,300		4,911
Sun Life Financial	58,000		1,604
Suncor Energy	73,024		2,625
Talisman Energy	161,900		2,795
Teck Cominco, Cl B *	187,810		6,501
TELUS, Cl A	7,300		222
Toronto-Dominion Bank	119,000		7,502
TransCanada	1,300		42
Transcontinental, Cl A	18,400		215
West Fraser Timber	8,000		239
Western Coal *	232,800		561
Yamana Gold	167,100		2,217
Yellow Pages Income Fund (A)	220,840		1,094

			159,482


Chile — 0.3%
Banco de Chile ADR	26,216		1,360
Banco Santander Chile ADR	17,174		1,044
Cia Cervecerias Unidas	137,120		1,002
Cia Cervecerias Unidas ADR	30,300		1,093
CorpBanca ADR	18,200		667
Embotelladora Andina ADR, Cl B	600		11
Enersis ADR	103,400		1,984
ENTEL Chile	74,695		1,029
Sociedad Quimica y Minera de Chile ADR	31,000		1,171

			9,361


China — 2.5%
AAC Acoustic Technologies Holdings	72,000		100
AirMedia Group ADR *	117,839		820
Ajisen China Holdings	1,298,909		1,156
Anhui Conch Cement, Cl H (A)	344,639		2,041
Bank of China	28,105,000		15,847
Bank of Communications, Cl H	1,833,000		2,185
Baoye Group, Cl H	131,000		101
China BlueChemical	925,000		492
China Citic Bank	2,395,000		1,978
China Coal Energy	1,111,000		1,884
China Communications Services, Cl H	943,000		482
China Construction Bank, Cl H	9,821,000		8,744
China Dongxiang Group	2,521,000		1,841
China Life Insurance, Cl H	703,100		3,520
China Petroleum & Chemical, Cl H	2,110,000		1,756
China Railway Construction, Cl H	668,000		881
China Railway Group *	2,347,000		1,853
China Shineway Pharmaceutical Group	17,000		29
China Shipping Development, Cl H (A)	1,534,000		2,253
China Telecom, Cl H	4,469,000		1,978
Chongqing Changan Automobile, Cl B	1,187,300		1,168
Ctrip.com International ADR *	35,000		2,567
Dongfeng Motor Group, Cl H	1,130,000		1,735
Epure International	2,883,000		1,228


Description	Shares	Market Value ($ Thousands)
First Tractor, Cl H	68,000	$	35
Fosun International	1,605,000		1,162
Great Wall Technology, Cl H	462,000		174
Hangzhou Steam Turbine, Cl B	81,000		179
Industrial & Commercial Bank of China	16,176,000		13,671
Jiangling Motors, Cl B	578,300		984
Mindray Medical International ADR	43,936		1,330
New Oriental Education & Technology Group ADR *	9,339		666
PetroChina, Cl H	156,000		193
Perfect World ADR * (A)	20,750		916
Ping An Insurance Group of China, Cl H	332,000		3,097
Qingling Motors, Cl H	564,000		160
Shandong Chenming Paper Holdings, Cl B	1,180,100		894
Shanghai Friendship Group, Cl B	241,620		346
Shanghai Mechanical and Electrical Industry, Cl B	72,400		88
Shenzhou International Group Holdings	478,000		564
Sichuan Expressway, Cl H	268,000		136
Times	25,000		17
Tingyi Cayman Islands Holding	678,000		1,680
Weiqiao Textile, Cl H	70,000		48
Yanzhou Coal Mining, Cl H	458,000		912
Zhejiang Expressway, Cl H	266,000		260
Zhuzhou CSR Times Electric, Cl H	771,000		1,554

			85,705


Colombia — 0.0%
BanColombia ADR	8,922		383


Cyprus — 0.0%
Bank of Cyprus Public	130,480		930


Czech Republic — 0.1%
CEZ	40,617		2,031
Komercni Banka	1,077		235
Philip Morris CR	640		291

			2,557


Denmark — 0.5%
A P Moeller - Maersk, Cl B	47		334
Carlsberg, Cl B	55,373		3,969
Danisco	14,067		871
Danske Bank	257,044		5,536
DSV	12,881		229
FLSmidth	5,190		338
H Lundbeck	7,803		147
Novo-Nordisk, Cl B	53,779		3,607
Sydbank	12,784		305
Topdanmark *	1,837		263
William Demant Holding *	10,100		727

			16,326


Description	Shares	Market Value ($ Thousands)
Egypt — 0.1%
Commercial International Bank	73,508	$	682
Egyptian Financial Group-Hermes Holding	245,115		1,233
Egyptian International Pharmaceutical Industrial	9,037		56
National Societe Generale Bank SAE	21,811		113
Orascom Telecom Holding	148,000		696
Talaat Moustafa Group *	425,000		463
Telecom Egypt	238,000		700
Torah Portland Cement	4,200		24

			3,967


Finland — 0.7%
Citycon	29,769		127
Elisa, Cl A	3,541		76
Huhtamaki	20,259		272
Kesko, Cl B	15,167		516
Kone, Cl B	162,608		6,579
Metso	60,755		1,954
Nokia	149,116		1,963
Nokian Renkaat	20,531		519
Outokumpu	19,589		338
Sampo, Cl A	149,981		3,558
Sanoma	25,509		535
Stora Enso, Cl R	494,434		3,779
Tieto	6,229		133
UPM-Kymmene	134,339		1,708
Wartsila, Cl B (A)	53,270		1,988

			24,045


France — 5.3%
Accor	69,558		3,722
Aeroports de Paris	1,505		120
Air France-KLM	47,991		761
Air Liquide	3,262		379
Alcatel-Lucent	250,072		841
Alstom	32,040		2,243
Arkema	29,877		1,127
Atos Origin	39,361		1,721
AXA	122,420		2,917
BioMerieux	1,939		225
BNP Paribas	259,027		21,389
Bouygues	69,918		3,478
Capital Gemini	42,952		1,986
Carrefour	7,123		346
Casino Guichard Perrachon	3,431		294
Christian Dior (A)	26,550		2,690
Cie de Saint-Gobain	1,449		79
Cie Generale d’Optique Essilor International	12,502		725
CNP Assurances	36,546		3,912
Compagnie Generale des Etablissements Michelin, Cl B	16,205		1,229
Credit Agricole	241,462		4,995
Credit Industriel et Commercial	65		11
Danone	2,160		129
Dassault Systemes	4,500		259
Eiffage	10,283		558
Electricite de France (A)	62,217		3,589
Eurazeo	2,964		209
Eutelsat Communications	39,537		1,294


Description	Shares	Market Value ($ Thousands)
Fonciere Des Regions ‡	12,946	$	1,333
France Telecom	326,268		8,487
Gaz de France	14,534		607
Gecina ‡	8,114		892
Groupe Steria SCA	3,004		89
Havas	276,941		1,035
Hermes International	365		52
Iliad (A)	2,795		336
Ipsen	7,041		384
JC Decaux	2,837		65
Klepierre ‡	16,163		647
Lafarge	41,055		3,373
Lagardere S.C.A.	5,359		228
Legrand	44,557		1,224
L’Oreal	2,366		257
LVMH Moet Hennessy Louis Vuitton (A)	9,419		981
M6-Metropole Television	56,867		1,465
Natixis	292,244		1,558
Neopost	1,990		174
Nexity	12,361		426
PagesJaunes Groupe	24,960		295
Peugeot	89,583		3,168
PPR	67,796		8,204
Publicis Groupe (A)	96,505		3,715
Renault	31,895		1,542
Rhodia	48,080		835
Safran	50,533		845
Sanofi-Aventis	429,619		32,457
Schneider Electric	18,348		2,008
SCOR	75,262		1,834
SES Global	103,298		2,197
Societe BIC	3,047		213
Societe Des Autoroutes Paris-Rhin-Rhone	3,972		331
Societe Generale	74,586		5,251
Societe Television Francaise 1	80,665		1,436
Suez Environnement	5,999		133
Technip	104,146		7,105
Total (A)	220,764		13,659
Unibail-Rodamco ‡	15,201		3,423
Valeo	34,658		991
Vallourec	557		93
Veolia Environnement	10,044		340
Vinci	56,889		3,145
Vivendi	55,721		1,605
Zodiac Aerospace	4,533		154

			179,820


Germany — 5.3%
Adidas	2,329		133
ADVA Optical Networking *	49,708		191
Aixtron	76,821		2,764
Allianz	89,402		10,982
BASF	243,709		14,694
Bayer	90,205		6,905
Bayerische Motoren Werke	193,239		9,117
Bilfinger Berger	4,808		355
Commerzbank	15,950		149
DaimlerChrysler	208,904		10,576
Deutsche Bank (A)	185,250		13,365
Deutsche Boerse	48,861		4,071


Description	Shares	Market Value ($ Thousands)
Deutsche Lufthansa	80,723	$	1,288
Deutsche Post	617,377		11,558
Deutsche Postbank (A)	18,345		645
Deutsche Telekom	7,763		114
E.ON	430,751		17,034
GAGFAH	52,278		473
Hannover Rueckversicherung	139,260		6,636
HeidelbergCement	127,821		8,482
Henkel	3,258		141
Hochtief	78,170		6,138
Infineon Technologies*	631,160		3,023
K+S	41,355		2,491
Lanxess	388		15
Linde	14,159		1,741
MAN	5,534		453
Merck KGaA	1,078		102
Metro	19,006		1,194
MTU Aero Engines Holding	11,964		613
Muenchener Rueckversicherungs	38,338		6,011
Puma Rudolf Dassler Sport	1,172		403
RWE	75,542		6,933
SAP	65,983		3,152
Siemens	222,746		21,824
Suedzucker (A)	78,911		1,724
ThyssenKrupp	26,620		970
TUI (A)	113,187		896
United Internet	70,833		956
Volkswagen (A)	4,345		535
Wacker Chemie	602		99

			178,946


Greece — 0.6%
Alpha Bank	280,142		3,849
Coca Cola Hellenic Bottling	63,998		1,416
EFG Eurobank Ergasias*	31,697		420
Marfin Investment Group	169,162		533
National Bank of Greece	148,008		4,355
OPAP	59,547		1,428
Piraeus Bank*	46,999		685
Public Power	426,761		8,611
Titan Cement	18,579		542

			21,839


Guernsey — 0.1%
Resolution*	2,477,144		3,435


Hong Kong — 3.5%
ASM Pacific Technology	66,600		544
Bank of East Asia	163,400		707
Beijing Enterprises Holdings	198,000		1,345
Belle International Holdings	1,736,000		2,157
BOC Hong Kong Holdings	4,253,190		9,758
Cathay Pacific Airways	166,000		284
Chaoda Modern Agriculture	3,492,400		3,069
Cheung Kong Holdings	109,000		1,370
Cheung Kong Infrastructure Holdings	32,000		119
China Mobile	1,052,000		9,855
China Overseas Land & Investment (A)	2,386,000		5,129


Description	Shares	Market Value ($ Thousands)
China Pharmaceutical Group	654,000	$	370
China Resources Power Holdings	726,000		1,480
Chinese Estates Holdings	310,000		522
CLP Holdings	678,500		4,601
CNOOC	2,708,500		4,173
COSCO Pacific	1,190,000		1,658
Dairy Farm International Holdings	7,700		46
Digital China Holdings	371,000		437
Esprit Holdings	626,690		4,213
First Pacific (A)	468,000		271
Genting Singapore* (A)	3,077,600		2,377
GOME Electrical Appliances Holdings	5,935,300		2,244
Guangdong Investment	1,420,000		790
Guoco Group	36,000		418
Hang Lung Group	159,000		779
Hang Lung Properties	797,000		2,910
Hang Seng Bank	97,800		1,431
Henderson Land Development	168,000		1,186
Hengan International Group	334,000		2,398
Hong Kong & China Gas	234,000		555
Hong Kong Exchanges and Clearing	243,200		4,337
Hongkong & Shanghai Hotels	162,000		242
HongKong Electric Holdings	121,000		657
Hongkong Land Holdings	301,000		1,490
Hopewell Holdings	259,500		819
Huabao International Holdings	3,830,000		4,052
Hutchison Harbour Ring	734,000		56
Hutchison Telecommunications Hong Kong Holdings	1,170,000		195
Hutchison Telecommunications International*	690,000		140
Hutchison Whampoa	682,980		4,618
Hysan Development	351,000		1,008
Industrial & Commercial Bank of China Asia	405,000		936
Jardine Matheson Holdings	42,400		1,252
Jardine Strategic Holdings	43,500		757
Kerry Properties	174,000		883
Lai Sun Development*	5,616,000		94
Lenovo Group	220,000		127
Li & Fung	114,000		459
Link REIT‡	76,000		191
MTR	206,500		702
New World Development	1,106,000		2,275
Noble Group	1,112,000		2,489
Orient Overseas International	41,000		185
Pacific Andes Holdings (SGD)*	28,000		5
Pacific Basin Shipping	1,115,000		845
Pacific Century Premium Developments	289,000		79
Polytec Asset Holdings	390,000		85
RCG Holdings*	148,979		210
Shanghai Industrial Holdings	260,000		1,302
SIM Technology Group	620,000		86
Sino Land	178,000		338
Sinolink Worldwide Holdings	524,000		99
Sun Hung Kai Properties	872,000		12,928
Swire Pacific, Cl A	153,500		1,762
Television Broadcasts	63,000		288


Description	Shares	Market Value ($ Thousands)
Texwinca Holdings	2,000	$	2
TPV Technology	922,000		527
VTech Holdings	72,000		699
Wharf Holdings	681,000		3,673
Wheelock	233,270		754
Wing Hang Bank	16,500		171
Yue Yuen Industrial Holdings	276,120		778

			119,791


Hungary — 0.1%
Egis Gyogyszergyar Nyrt	2,402		248
Magyar Telekom Telecommunications	55,000		220
MOL Hungarian Oil and Gas	11,039		967
OTP Bank	85,722		2,559

			3,994


India — 1.9%
Apollo Tyres	8,123		8
Aurobindo Pharma	10,000		184
Bank of India	408,166		3,378
Bank of Maharashtra	227,579		235
Bharat Electronics	16,313		629
Bharat Petroleum	43,520		552
Birla	32,250		220
Cairn India*	435,315		2,605
Container of India	16,572		420
Dena Bank	114,420		192
Dr Reddys Laboratories	40,000		971
GAIL India	515,061		4,636
Grasim Industries	6,390		327
Great Eastern Shipping	16,536		97
Gujarat Alkalies & Chemicals	33,010		82
Gujarat Flourochemicals	3,780		11
Gujarat Narmada Valley Fertilizers	65,050		131
Gujarat State Fertilisers & Chemicals	31,520		113
HCL Technologies	40,022		290
HDFC Bank	98,920		3,756
Hero Honda Motors	68,689		2,548
Hindalco Industries	160,000		475
Hindustan Zinc	80,706		2,087
IDBI Bank	60,307		158
Indian Bank	189,020		670
Infosys Technologies	63,400		3,243
Larsen & Toubro	67,570		2,346
Mahindra & Mahindra	25,000		553
Mangalore Refinery & Petrochemicals	482,371		807
Maruti Udyog	36,190		1,212
Mphasis	16,079		234
Oil & Natural Gas	85,460		2,204
Patni Computer Systems ADR	7,700		148
Patni Computer Systems	114,191		1,075
Piramal Healthcare	131,475		1,122
Power Finance	210,298		1,136
Reliance Industries	35,564		813
Reliance Industries GDR (B)	115,654		5,286
Sesa Goa* (C)	54,684		433
Shipping Corp of India	33,186		102
State Bank of India GDR	4,006		388


Description	Shares	Market Value ($ Thousands)
State Bank of India	15,000	$	722
Steel Authority of India	245,870		1,042
Sterlite Industries India	225,750		4,161
Syndicate Bank	208,450		407
Tata Consultancy Services	299,296		4,430
Tata Power	38,980		1,135
Tata Steel	85,765		1,068
UCO Bank	184,518		222
Union Bank of India	128,917		767
Welspun-Gujarat Stahl	153,049		913
Zee Entertainment Enterprises	455,165		2,488

			63,232


Indonesia — 0.4%
Adaro Energy*	763,000		140
Astra International	502,000		1,718
Bank Mandiri	9,726,000		4,577
Bank Rakyat Indonesia	1,576,500		1,234
Gudang Garam	98,000		179
HM Sampoerna	17,500		19
Indocement Tunggal Prakarsa	1,204,420		1,414
Telekomunikasi Indonesia	4,652,300		4,428
United Tractors	278,000		440

			14,149


Ireland — 0.1%
CRH	7,830		197
DCC	1,166		32
Experian	276,196		2,597
Irish Life & Permanent	92,858		453
Kerry Group, Cl A	17,621		522

			3,801


Israel — 0.7%
Bank Hapoalim*	821,418		3,181
Bezeq Israeli Telecommunication	1,707,684		3,869
Check Point Software Technologies* (A)	90,646		2,864
Delek Group	308		54
Discount Investment	12,185		276
First International Bank of Israel*	36,000		573
Formula Systems 1985	6,000		61
Gazit-Globe	16,481		156
Israel Discount Bank, Cl A*	490,680		1,048
Israel Land Development	14,000		60
Koor Industries	6,734		188
Makhteshim-Agan Industries	98,187		476
Mizrahi Tefahot Bank*	88,000		773
Teva Pharmaceutical Industries	84,199		4,519
Teva Pharmaceutical Industries ADR (A)	80,530		4,251
Union Bank of Israel*	24,120		110

			22,459


Italy — 2.0%
ACEA (A)	65,485		754
Amplifon	54,260		243
Assicurazioni Generali	9,186		237
Atlantia	91,106		2,353
Autogrill	34,420		426
Banca Intesa	2,395,483		10,376
Banca Intesa RNC	426,081		1,393


Description	Shares	Market Value ($ Thousands)
Banca Monte dei Paschi di Siena	48,517	$	93
Banca Popolare di Milano	213,227		1,655
Banco Popolare Scarl	80,176		657
Benetton Group	36,728		336
CIR-Compagnie Industriali Riunite	73,639		179
Danieli	16,400		420
DiaSorin	3,723		135
Edison	402,547		617
Enel (A)	2,188,224		13,092
ENI	350,033		8,671
Esprinet	15,215		173
Exor	3,931		75
Fiat (A)	199,004		2,937
Finmeccanica	109,984		1,821
Iride (A)	142,196		271
Italmobiliare	1,712		74
Luxottica Group	17,820		443
Maire Tecnimont	34,893		114
Mediaset (A)	111,659		847
Mediobanca*	133,682		1,596
Mediolanum (A)	70,558		459
Milano Assicurazioni	103,256		296
Parmalat	494,210		1,438
Piccolo Credito Valtellinese	6,212		53
Pirelli	569,601		360
Saipem	8,801		283
Saras (A)	922,464		2,818
Snam Rete Gas	211,856		1,063
Societa Iniziative Autostradali e Servizi	3,261		30
Telecom Italia	4,641,255		7,080
Terna Rete Elettrica Nazionale (A)	253,768		1,054
UniCredito Italiano	911,407		3,113

			68,035


Japan — 13.4%
77 Bank	191,359		1,177
Advantest	24,200		540
Aeon	103,500		836
Aeon Fantasy	5,800		66
Aichi Bank	600		48
Aichi Steel	15,000		66
Aida Engineering	1,000		3
Aisin Seiki	103,200		2,504
Ajinomoto	111,000		1,045
Alfresa Holdings	8,600		375
Alpen	4,700		79
Alpine Electronics	47,400		478
Alps Electric	126,400		726
Amada	91,000		528
AOKI Holdings	4,000		41
Aoyama Trading	18,600		245
Asahi Breweries	61,900		1,104
Asahi Glass	812,000		7,116
Asahi Kasei	127,000		619
Astellas Pharma	300,600		11,131
Bank of Kyoto	13,000		119
Bank of Nagoya	23,000		90
Bank of Saga	5,000		16
Bank of Yokohama	363,000		1,770
Belluna	4,750		19


Description	Shares	Market Value ($ Thousands)
Benesse	6,600	$	296
Best Denki	10,000		36
BML	3,200		104
Bridgestone	96,900		1,547
Brother Industries	32,300		355
Canon	338,300		13,077
Canon Finetech	1,100		13
Canon Marketing Japan	78,900		1,161
Casio Computer	10,300		75
Cawachi	9,800		191
Central Japan Railway	388		2,815
Chiba Bank	257,000		1,698
Chiba Kogyo Bank*	7,100		55
Chuetsu Pulp & Paper	22,000		39
Chugai Pharmaceutical	96,500		1,837
Circle K Sunkus	12,200		161
Citizen Holdings	33,000		183
Cleanup	5,300		41
Coca-Cola Central Japan	8,300		112
COMSYS Holdings	16,100		157
Corona	700		9
Cosmo Oil	100,000		216
Create SD Holdings	2,500		57
Crescendo Investment, Cl A‡	39		52
Dai Nippon Printing	266,000		3,295
Daicel Chemical Industries	416,000		2,482
Daihatsu Motor	15,000		141
Daiichi Kigenso Kagaku-Kogyo	2,600		86
Daiichi Sankyo	281,000		5,522
Daiichikosho	18,200		216
Daikin Industries	2,800		100
Dainippon Screen Manufacturing (A)	256,000		915
Dainippon Sumitomo Pharma	104,800		1,078
Daishi Bank	27,000		100
Daiwa House Industry	130,000		1,311
Daiwa Securities Group	560,000		3,023
DCM Japan Holdings	23,700		148
Denki Kagaku Kogyo	321,000		1,353
Denso	185,300		5,195
Dentsu (A)	78,800		1,700
Digital Garage	41		71
Dowa Holdings	42,000		225
eAccess	90		64
East Japan Railway	162,600		11,514
EDION	8,700		71
Eisai	2,500		92
Eizo Nanao	1,300		31
Electric Power Development	32,900		1,025
Elpida Memory*	82,700		1,022
FamilyMart	4,600		152
Fast Retailing	13,400		2,439
Fuji Heavy Industries	120,000		478
Fuji Media Holdings	100		150
FUJIFILM Holdings	304,600		8,327
Fujitec	3,000		17
Fujitsu	1,331,000		7,942
Fukuda Denshi	1,900		51
Fukuoka Financial Group	434,000		1,582
Funai Electric	300		17
Furuno Electric	4,100		17
GS Yuasa (A)	85,000		600


Description	Shares	Market Value ($ Thousands)
Hakuhodo DY Holdings	4,050	$	198
Hankyu Hanshin Holdings	27,000		126
Heiwa	2,800		29
Heiwado	8,100		100
Higashi-Nippon Bank	20,000		39
Higo Bank	3,000		19
Hikari Tsushin	7,800		135
HI-LEX	4,300		38
Hino Motors	1,011,000		3,028
Hitachi (A)	520,000		1,413
Hitachi Cable	146,000		363
Hitachi Chemical	35,800		704
Hitachi Construction Machinery	9,800		230
Hitachi Metals	20,000		175
Hokuhoku Financial Group	367,000		861
Honda Motor	555,900		17,423
Hosiden	28,500		305
House Foods	13,500		215
Hoya	47,800		1,224
Hyakugo Bank	13,000		64
Ibiden	45,700		1,549
Idemitsu Kosan	8,100		498
IHI	386,000		623
Inaba Denki Sangyo	1,300		32
Inpex	242		1,893
Isetan Mitsukoshi Holdings	97,900		843
Isuzu Motors	239,000		411
IT Holdings	19,400		229
Ito En	17,600		285
Itochu	501,000		3,449
Itochu Enex	35,800		162
Itochu Techno-Solutions	6,300		174
Itochu-Shokuhin	1,500		52
Izumiya	3,000		13
J Front Retailing	126,000		531
Japan Digital Laboratory	1,800		20
Japan Pulp & Paper	2,000		7
Japan Retail Fund Investment, Cl A‡	32		139
Japan Tobacco	2,820		8,374
JFE Holdings	241,000		7,945
JFE Shoji Holdings	22,000		73
JGC	9,000		169
JS Group	35,200		577
JSR	56,500		1,088
JTEKT	15,500		152
Jupiter Telecommunications	209		197
Kamigumi	70,000		554
Kandenko	70,000		477
Kaneka	142,000		944
Kansai Electric Power	79,600		1,987
Kansai Paint	71,000		616
Kanto Natural Gas Development	7,000		38
Kasumi	9,200		47
Kato Sangyo	7,200		143
Kawasaki Heavy Industries	127,000		310
KDDI	589		3,193
Keio	144,000		914
Keisei Electric Railway	90,000		510
Kikkoman	12,000		140
Kinden	59,000		532
Kinki Sharyo	18,000		138


Description	Shares	Market Value ($ Thousands)
Kirin Holdings	259,000	$	4,245
Kobe Steel	114,000		195
Kohnan Shoji	4,600		56
Komatsu	14,200		280
Konica Minolta Holdings	72,000		665
K's Holdings	5,600		187
Kubota	112,000		989
Kuraray	119,500		1,441
Kurita Water Industries	9,600		304
Kyocera	42,300		3,378
Kyoei Steel (A)	4,400		84
Kyorin	47,000		736
Kyowa Hakko Kirin	49,000		530
Kyudenko	12,000		72
Lintec	8,800		168
Mabuchi Motor	7,600		374
Maeda	21,000		55
Maeda Road Construction	42,000		334
Makino Milling Machine	13,000		46
Makita	52,700		1,786
Marubeni	1,272,000		6,733
Marubun	11,700		72
Marudai Food	11,000		37
Marui Group	91,600		517
Maruichi Steel Tube	11,400		217
Matsumotokiyoshi Holdings	200		5
Maxvalu Nishinihon	2,700		40
Mazda Motor	220,000		470
Mediceo Paltac Holdings	95,600		1,325
MEIJI Holdings	7,200		287
Mie Bank	13,000		35
Mikuni Coca-Cola Bottling	4,600		38
Millea Holdings	80,300		2,317
Minebea	57,000		286
Ministop	4,200		54
Miraca Holdings	20,600		660
Mitsubishi	793,200		17,955
Mitsubishi Chemical Holdings	170,000		620
Mitsubishi Electric	310,000		2,195
Mitsubishi Gas Chemical	96,000		438
Mitsubishi Heavy Industries	342,000		1,120
Mitsubishi Motors* (A)	41,000		56
Mitsubishi Pencil	100		1
Mitsubishi Rayon	82,000		352
Mitsubishi Steel Manufacturing	48,000		79
Mitsubishi UFJ Financial Group	1,084,100		6,066
Mitsubishi UFJ Lease & Finance	5,210		157
Mitsui	502,500		6,673
Mitsui Chemicals (A)	28,000		71
Mitsui Engineering & Shipbuilding (A)	629,000		1,555
Mitsui Home	12,000		61
Mitsui Mining & Smelting	107,000		265
Mitsui Sugar	3,000		10
Mitsui Sumitomo Insurance Group Holdings	50,100		1,320
Mitsumi Electric	26,900		420
Mitsuuroko	400		3
Mizuho Securities	351,000		1,149
Mochida Pharmaceutical	9,000		87
Morinaga Milk Industry	26,000		120
Murata Manufacturing	82,300		3,927


Description	Shares	Market Value ($ Thousands)
Musashi Seimitsu Industry	11,600	$	242
Nafco	2,700		49
Nagase	55,000		668
Nakanishi	700		60
Namco Bandai Holdings	36,400		364
NEC (A)	554,000		1,402
NEC Fielding	9,400		127
NEC Networks & System Integration	29,300		363
NET One Systems	58		70
NGK Insulators	83,000		1,828
NGK Spark Plug	14,000		151
NHK Spring	111,000		995
Nidec	41,600		3,665
Nihon Unisys	13,700		107
Nihon Yamamura Glass	29,000		98
Nikon	6,000		109
Nintendo	3,200		788
Nippo	37,000		273
Nippon Beet Sugar Manufacturing	13,000		33
Nippon Building Fund, Cl A‡	16		131
Nippon Densetsu Kogyo	25,000		195
Nippon Electric Glass	360,000		4,296
Nippon Flour Mills	65,000		353
Nippon Konpo Unyu Soko	3,000		32
Nippon Meat Packers	29,000		360
Nippon Mining Holdings	327,500		1,289
Nippon Oil	729,000		3,114
Nippon Paper Group	33,500		916
Nippon Seiki	8,000		68
Nippon Soda	124,000		423
Nippon Steel	235,000		876
Nippon Steel Trading	9,000		15
Nippon Synthetic Chemical Industry	20,000		140
Nippon Telegraph & Telephone	201,700		8,780
Nipponkoa Insurance	84,000		501
Nipro	8,600		184
Nissan Chemical Industries	103,000		1,367
Nissan Motor	2,024,300		14,710
Nissan Shatai	17,000		144
Nisshin Seifun Group	22,500		306
Nisshinbo Holdings	20,000		164
Nissin Food Products	36,500		1,343
Nissin Healthcare Food Service	1,000		13
Nitori	29,698		2,496
Nittetsu Mining	11,000		48
Nitto Denko	37,000		1,190
Nitto Kogyo	300		3
Nojima	4,500		42
NOK	36,700		428
Nomura Holdings	208,400		1,505
Nomura Research Institute	17,200		364
Noritsu Koki	8,200		57
NS Solutions	4,200		73
NSD CO	11,800		127
NSK	13,000		81
NTN	188,000		711
NTT Data	245		697
NTT DoCoMo	2,737		4,162
Obic	1,630		272


Description	Shares	Market Value ($ Thousands)
Odakyu Electric Railway, Cl B (A)	38,000	$	313
OJI Paper	67,000		286
Okinawa Electric Power	1,100		67
Okumura	16,000		55
Okuwa	6,000		58
Olympus	9,800		299
Omron	44,400		745
Onward Holdings (A)	25,000		159
Oracle Japan	4,100		187
ORIX	16,270		1,129
Osaka Gas	483,000		1,766
Osaka Steel	12,300		212
Otsuka	4,700		225
Panasonic	246,800		3,183
Panasonic Electric Works	68,000		781
Plenus	4,800		65
Point	2,240		125
Prospect Reit Investment‡ (A)	40		32
Rakuten	4,765		3,861
Resona Holdings	36,100		387
Ricoh	60,000		802
Ricoh Leasing	300		6
Rinnai	6,900		343
Rohm	41,600		2,743
Roland	2,100		20
Sakai Chemical Industry	20,000		83
San-Ai Oil	2,000		8
San-In Godo Bank	20,000		180
Sanki Engineering	33,000		241
Sankyo	15,500		874
Sanoyas Hishino Meisho	12,400		34
Santen Pharmaceutical	35,200		1,195
Sanyo Chemical Industries	13,000		71
Sanyo Electric* (A)	291,000		523
Sapporo Hokuyo Holdings	384,300		1,437
Sawai Pharmaceutical	2,100		121
Sazaby League	1,900		25
SBI Holdings (A)	3,698		626
Secom	24,500		1,149
Sega Sammy Holdings	27,500		349
Seika	23,000		52
Seiko Epson	26,600		413
Seino Holdings	108,000		790
Sekisui House	13,000		115
Sekisui Jushi	2,000		17
Senshu Ikeda Holdings*	102,100		366
Seven & I Holdings	92,100		2,067
Sharp	175,000		2,007
Shimachu	800		17
Shimamura	5,100		479
Shimano	12,400		520
Shin-Etsu Chemical	7,200		392
Shinko Electric Industries	100,500		1,420
Shinmaywa Industries	23,000		71
Shinsei Bank (A)	549,000		676
Shionogi	257,100		5,557
Showa Denko	111,000		197
Showa Shell Sekiyu	41,500		352
Sinanen	2,000		9
Sintokogio	20,100		139
SMC	800		90
Softbank	16,200		389


Description	Shares	Market Value ($ Thousands)
Sohgo Security Services	8,400	$	97
Sojitz	404,400		709
So-net Entertainment	25		55
Sony	290,600		7,843
Sorun	14,000		128
SRI Sports	33		33
Stanley Electric	88,800		1,765
Sumco	48,400		830
Sumikin Bussan	25,000		49
Sumisho Computer Systems	6,700		98
Sumitomo	302,100		2,981
Sumitomo Electric Industries	352,100		4,177
Sumitomo Heavy Industries	10,000		45
Sumitomo Metal Mining	247,000		4,066
Sumitomo Mitsui Financial Group	251,500		8,321
Sumitomo Realty & Development	13,000		226
Sumitomo Rubber Industries	33,300		262
Suzuken	17,600		646
Suzuki Motor	87,300		2,077
T&D Holdings	27,950		649
Tadano	5,000		22
Taiyo Nippon Sanso	91,000		1,030
Taiyo Yuden	67,000		690
Takeda Pharmaceutical	90,500		3,782
Takeuchi Manufacturing	200		2
Tanabe Seiyaku	42,000		556
TDK	48,000		2,513
Teijin	225,000		705
Tenma	1,800		20
Terumo	11,400		647
THK	5,600		92
TKC	3,800		76
Tobu Railway (A)	64,000		357
Toda	27,000		81
Toei	15,000		78
Tohoku Electric Power	23,200		492
Tohokushinsha Film	7,200		41
Tokai Tokyo Securities	24,000		85
Tokyo Broadcasting System HD	17,200		268
Tokyo Electric Power	2,300		62
Tokyo Electron	33,700		1,846
Tokyo Energy & Systems	14,000		96
Tokyo Steel Manufacturing	9,500		108
Tokyo Style	4,000		32
Tokyo Tekko	30,000		87
Tokyu	39,000		171
Tokyu Land	22,000		79
Toppan Forms	11,800		129
Toppan Printing	350,000		2,848
Topre	300		2
Topy Industries	33,000		56
Toray Industries	10,000		53
Tosei	57		14
Toshiba	987,000		5,248
Toshiba TEC	168,000		591
Toyo Ink Manufacturing	36,000		132
Toyo Kohan	10,000		47
Toyo Seikan Kaisha	116,300		1,747
Toyo Suisan Kaisha	54,000		1,476
Toyoda Gosei	26,600		733
Toyota Boshoku	23,400		462
Toyota Industries	16,200		446


Description	Shares	Market Value ($ Thousands)
Toyota Motor	289,000	$	11,541
Toyota Tsusho	91,300		1,225
Trend Micro	800		28
Tri-Stage*	2,200		65
Tsumura	7,300		244
Tsuruha Holdings	15,000		592
TV Asahi	137		208
Unicharm	7,200		737
UNY	30,000		218
USS	2,800		174
Valor	6,600		53
VITAL KSK HOLDINGS	100		1
Warabeya Nichiyo	6,500		80
Watabe Wedding	9,200		105
West Japan Railway	303		1,129
Yahoo! Japan	1,636		490
Yakult Honsha	12,200		382
Yamada Denki	59,930		3,611
Yamaha Motor	50,100		588
Yamanashi Chuo Bank	2,000		9
Yamato Holdings	419,500		5,834
Yamato Kogyo	27,700		871
Yamazaki Baking	17,000		211
Yaskawa Electric	80,000		601
Yokogawa Electric	77,100		551
Yonekyu	3,000		28
Yurtec	9,000		52

			454,970


Jersey — 0.0%
Randgold Resources	7,128		603


Kazakhstan — 0.1%
KazMunaiGas Exploration Production GDR	76,995		1,856


Malaysia — 0.5%
AMMB Holdings	125,600		179
Bumiputra-Commerce Holdings	1,993,700		7,428
Hong Leong Bank	184,833		434
Hong Leong Financial Group	36,000		74
KLCC Property Holdings	103,700		101
OSK Holdings	120,100		51
PPB Group	275,000		1,281
Proton Holdings	348,700		416
Public Bank	664,000		2,130
RHB Capital	311,300		487
Telekom Malaysia	2,081,500		1,871
Tenaga Nasional	732,000		1,817
Titan Chemicals*	239,800		83

			16,352


Mauritius — 0.0%
Golden Agri-Resources	4,282,390		1,422


Mexico — 1.3%
America Movil, Ser L	6,485,309		15,690
America Movil ADR, Ser L	68,500		3,314
Bolsa Mexicana de Valores*	644,513		809


Description	Shares	Market Value ($ Thousands)
Cemex ADR*	261,700	$	2,955
Coca-Cola Femsa, Ser L	166,100		955
Desarrolladora Homex ADR* (A)	64,119		2,230
Embotelladoras Arca	328,800		980
Fomento Economico Mexicano	306,836		1,397
Grupo Aeroportuario del Pacifico, Ser B, Cl B	38,227		108
Grupo Carso, Ser A1	344,800		1,038
Grupo Continental	124,900		288
Grupo Financiero Banorte, Ser O*	1,012,355		3,491
Grupo Lamosa*	17,900		14
Grupo Mexico, Ser B	1,133,800		2,671
Grupo Simec, Ser B, Cl B*	184,900		486
Grupo Televisa ADR	128,500		2,643
Grupo Televisa	366,836		1,514
Industrias, Ser B*	173,500		544
Kimberly-Clark de Mexico, Cl A	334,000		1,405
Urbi Desarrollos Urbanos* (A)	1,219,532		2,504
Wal-Mart de Mexico	166,100		685

			45,721


Netherlands — 3.8%
Aegon	89,275		642
Akzo Nobel (A)	128,096		8,122
ArcelorMittal (A)	91,973		3,583
ASML Holding (A)	116,278		3,572
Boskalis Westminster	3,178		126
Corio‡	8,704		593
CSM	43,158		1,133
European Aeronautic Defenseand Space (A)	424,966		7,602
Fugro	11,303		641
Heineken	27,832		1,309
Heineken Holding	26,305		1,084
Imtech	28,074		722
ING Groep (A)	368,935		3,436
James Hardie Industries	93,756		693
Koninklijke Ahold	170,301		2,296
Koninklijke DSM	86,497		4,254
Koninklijke Philips Electronics	234,631		6,416
Koninklijke Vopak*	29,038		2,277
Ordina	25,733		188
Plaza Centers	573,505		1,355
QIAGEN*	11,655		258
Randstad Holding	63,352		2,764
Reed Elsevier	21,615		251
Royal Dutch Shell, Cl A (GBP)	304,836		9,007
Royal Dutch Shell, Cl B	449,814		12,822
Royal Dutch Shell, Cl A	552,025		16,402
Royal KPN	501,526		8,900
SBM Offshore	219,074		4,134
TNT	162,993		4,728
Unilever (A)	671,454		20,570

			129,880


New Zealand — 0.1%
Air New Zealand	135,000		117
Fletcher Building	206,294		1,157


Description	Shares	Market Value ($ Thousands)
Telecom of New Zealand	1,541,849	$	2,713

			3,987


Norway — 0.8%
Aker Kvaerner	250,400		3,109
Atea	10,600		80
DnB (A)	618,925		6,953
Marine Harvest* (A)	1,458,000		1,091
Norsk Hydro	14,800		104
Seadrill (A)	108,100		2,497
Statoil	340,632		8,338
Telenor	451,200		6,138

			28,310


Pakistan — 0.1%
Oil & Gas Development	1,424,749		1,815
Pakistan Telecommunication	1,439,600		306

			2,121


Panama — 0.1%
Copa Holdings, Cl A	41,700		2,078


Papua New Guinea — 0.0%
Lihir Gold	195,300		644


Philippines — 0.1%
Philippine Long Distance Telephone	21,240		1,164
Philippine Long Distance Telephone ADR	23,517		1,299
San Miguel, Cl B	10,000		15

			2,478


Poland — 0.2%
Cyfrowy Polsat	179,329		894
Gant Development*	8,467		74
Getin Holding*	210,000		607
KGHM Polska Miedz	42,487		1,654
Netia*	107,362		171
Polish Oil & Gas	798,000		1,087
Polski Koncern Naftowy Orlen	143,217		1,609
Przedsiebiorstwo Eksportu i Importu Kopex*	21,000		195
Synthos*	380,000		162
Telekomunikacja Polska	36,987		215

			6,668


Portugal — 0.3%
Banco BPI, Cl G	2,329		8
Banco Comercial Portugues, Cl R	839,348		1,111
Banco Espirito Santo	174,347		1,220
Brisa Auto-Estradas de Portugal	22,080		221
Cimpor Cimentos de Portugal	81,644		622
Energias de Portugal	382,830		1,755
Galp Energia SGPS, Cl B	2,844		51
Inapa-Invest Particip Gesta*	122,900		115
Jeronimo Martins	102,540		1,005


Description	Shares	Market Value ($ Thousands)
Portugal Telecom	337,902	$	4,084

			10,192


Russia — 1.5%
Comstar United Telesystems GDR	15,251		79
Gazprom OAO ADR	654,025		14,859
Globaltrans Investment GDR*	186,743		1,589
Integra Group Holdings GDR*	203,310		667
LSR Group GDR*	57,348		419
Lukoil ADR	171,661		9,965
Magnit OAO GDR	55,970		691
MMC Norilsk Nickel ADR*	187,278		2,575
Mobile Telesystems ADR	26,893		1,347
Novolipetsk Steel GDR	13,115		395
Novorossiysk Commercial Sea Port GDR	40,117		459
Rosneft Oil GDR	410,335		3,309
Sberbank GDR	5,900		1,488
Sistema GDR	18,767		334
Surgutneftegaz ADR	341,573		3,009
Tatneft ADR	58,077		1,757
Uralkali GDR	97,687		2,235
Vimpel-Communications ADR	141,000		2,691
VTB Bank GDR	430,867		1,853

			49,721


Singapore — 1.1%
CapitaCommercial Trust‡	1,228,000		1,019
CapitaLand	148,000		431
CapitaMall Trust‡	732,000		909
City Developments	61,000		441
ComfortDelgro	85,000		91
DBS Group Holdings	569,000		5,882
Fraser and Neave	246,000		707
Hi-P International, Cl P	24,000		10
Ho Bee Investment	71,000		74
Hong Leong Asia	38,000		79
Jardine Cycle & Carriage	115,000		2,016
Keppel	181,000		1,059
Olam International	2,024,000		3,843
OSIM International	212,000		65
Oversea-Chinese Banking	717,000		4,338
SembCorp Industries	303,000		809
SembCorp Marine	60,000		152
SIA Engineering	128,000		269
Singapore Airlines	50,000		480
Singapore Airport Terminal Services	135,000		248
Singapore Exchange	219,000		1,243
Singapore Press Holdings	142,000		382
Singapore Telecommunications	967,000		2,045
United Overseas Bank	46,000		626
UOB-Kay Hian Holdings	193,000		199
UOL Group	170,000		444
Venture	12,000		71
Wilmar International	1,949,000		8,865
Yangzijiang Shipbuilding Holdings	1,185,000		1,052

			37,849


South Africa — 1.3%


Description	Shares	Market Value ($ Thousands)
ABSA Group	112,232	$	1,925
African Bank Investments	295,699		1,149
African Rainbow Minerals	12,925		276
AngloGold Ashanti	44,000		1,918
Assore	2,600		245
AST Group	422,010		49
Aveng	134,400		669
Barloworld	122,002		764
Bidvest Group	39,535		638
DataTec	72,000		252
DRDGOLD	3,974		2
Freeworld Coatings	45,852		56
Gold Fields	246,303		3,583
Grindrod	514,961		1,233
Group	306,893		4,906
Harmony Gold Mining	209,103		2,307
Iliad Africa	69,000		86
Impala Platinum Holdings	262,512		6,066
Imperial Holdings	13,030		142
Investec	144,000		1,085
Medi-Clinic	180,000		564
Mondi	270,020		1,490
Mr Price Group	157,587		691
Mvelaphanda Resources*	15,333		91
Naspers, Cl N	7,800		291
Nedbank Group	98,000		1,490
Omnia Holdings	1,261		10
Sanlam	430,979		1,284
Sappi (A)	538,180		2,333
Sasol	95,696		3,744
Standard Bank Group	204,000		2,630
Steinhoff International Holdings	499,200		1,211
Wilson Bayly Holmes-Ovcon	1,288		18

			43,198


South Korea — 3.0%
Busan Bank	27,930		306
Daegu Bank	16,860		239
Daewoo Shipbuilding & Marine Engineering	67,120		828
Daou Technology	14,800		88
GS Holdings	29,500		804
GS Home Shopping	2,880		205
Hana Financial Group	136,390		3,947
Hyundai Development	28,180		945
Hyundai Engineering & Construction	52,523		2,995
Hyundai Mobis	18,280		2,342
Hyundai Motor	45,160		3,845
Industrial Bank of Korea	15,410		178
KISCO Holdings	4,036		247
KISWIRE	4,190		123
Korea Development Financing	2,340		64
Korea Electric Power	88,480		2,427
Korea Zinc	4,690		861
Korean Air Lines	53,338		2,268
KT	117,650		3,895
Kyeryong Construction Industrial	900		15
LG	134,652		7,365
LG Chemical	15,260		2,749
LG Dacom	17,880		281
LG Electronics	84,145		7,454


Description	Shares	Market Value ($ Thousands)
LG Hausys*	1,304	$	133
LG.Philips LCD	178,000		4,906
Lotte Shopping	1,790		554
MegaStudy	6,215		1,283
POSCO	12,358		5,931
Samsung Electronics	39,024		24,164
Samsung Fire & Marine
Insurance	13,839		2,404
SeAH Holdings	317		16
Shinhan Financial Group	146,060		5,722
Shinsegae	8,863		4,063
SK Holdings	55,456		4,016
SK Telecom	1,640		239
Woori Finance Holdings	222,150		2,780
Woori Investment & Securities	34,370		440
Youngone Holdings	3,524		91

			101,213


Spain — 2.9%
Abengoa	2,233		65
Abertis Infraestructuras	45,841		1,044
Acerinox	48,488		1,004
ACS Actividades Construcciones y Servicios	23,077		1,148
Banco Bilbao Vizcaya Argentaria (A)	814,896		15,348
Banco de Sabadell (A)	85,087		542
Banco Pastor	3,915		29
Banco Popular Espanol (A)	34,419		291
Banco Santander	4,786		78
Banco Santander Central Hispano	1,830,682		31,360
Bankinter	99,706		1,068
Cintra Concesiones de Infraestructuras de Transporte	27,766		301
Criteria Caixacorp (A)	60,531		309
EDP Renovaveis*	70,297		691
Financiera Alba	15,634		839
Fomento de Construcciones y Contratas	12,245		522
Gas Natural	70,246		1,457
Gestevision Telecinco	19,914		222
Grupo Ferrovial	4,011		174
Iberdrola	170,118		1,614
Inditex	21,999		1,401
Mapfre (A)	281,372		1,242
Obrascon Huarte Lain (A)	7,004		192
Red Electrica	66,961		3,659
Repsol	294,957		8,104
Sacyr Vallehermoso (A)	57,159		789
Telefonica	896,220		25,727
Zardoya Otis	9,804		205

			99,425


Sweden — 1.4%
Acando	10,251		20
Alliance Oil*	118,862		1,718
Assa Abloy, Cl B	42,804		785
Atlas Copco, Cl B	9,901		124
Atlas Copco, Cl A	14,390		204
Billerud	13,219		90
Boliden	63,000		790


Description	Shares	Market Value ($ Thousands)
Electrolux, Cl B	383,231	$	9,354
Eniro	13,739		64
Getinge, Cl B	15,758		319
Hennes & Mauritz, Cl B	64,847		3,825
Husqvarna, Cl B	11,237		78
Investor, Cl B	13,457		245
Lundin Petroleum*	49,863		414
Nordea Bank	423,814		4,384
PA Resources*	45,566		170
Skandinaviska Enskilda Banken, Cl A	10,909		70
Skanska, Cl B	61,249		1,031
SKF, Cl B	39,559		654
Svenska Cellulosa, Cl B	643,559		8,840
Svenska Handelsbanken, Cl A	32,786		938
Swedbank	95,066		906
Swedish Match	98,064		2,105
Tele2, Cl B	21,424		327
Telefonaktiebolaget LM Ericsson, Cl B (A)	586,374		5,621
TeliaSonera	370,903		2,627
Trelleborg, Cl B	17,247		117
Volvo, Cl B	24,976		237
Volvo, Cl A	9,179		87

			46,144


Switzerland — 6.1%
ABB (A)	376,564		6,899
ACE	30,500		1,486
Actelion*	28,038		1,650
Adecco	52,509		2,620
Aryzta*	4,559		173
Baloise Holding	37,241		3,106
Banque Cantonale Vaudoise	2,354		938
Clariant	80,955		848
Compagnie Financiere Richemont	68,080		2,202
Credit Suisse Group	421,713		21,836
Elektrizitaets-Gesellschaft Laufenburg	83		81
Geberit	7,376		1,272
Helvetia Holding	2,150		655
Holcim*	121,360		8,737
Julius Baer Group	196,984		6,503
Julius Baer Holding	7,700		92
Kuehne + Nagel International	7,973		770
Lindt & Spruengli	408		1,167
Nestle	689,804		32,613
Nobel Biocare Holding	24,821		738
Novartis	591,497		32,836
Roche Holding	130,669		21,378
Schindler Holding	12,890		967
SGS	166		213
Sonova Holding	14,858		1,765
STMicroelectronics	64,265		516
Straumann Holding	2,426		594
Sulzer	3,147		251
Swatch Group, Cl B	14,178		3,570
Swatch Group	41,650		1,991
Swiss Life Holding	14,151		1,739
Swiss Reinsurance	13,205		628
Swisscom	17,203		6,689


Description	Shares	Market Value ($ Thousands)
Syngenta	9,419	$	2,498
Synthes	7,700		1,013
UBS	439,239		6,814
Valora Holding	695		183
Vontobel Holding	8,292		257
Xstrata	906,614		15,905
Zurich Financial Services	60,490		13,034

			207,227


Taiwan — 2.6%
Acer	1,459,544		3,633
Advanced Semiconductor Engineering	4,769,005		3,787
Asustek Computer	1,180,356		2,344
AU Optronics	2,236,540		2,301
Cathay Financial Holding	854,000		1,486
Cheng Loong	415,000		152
China Bills Finance*	646,000		177
Chinatrust Financial Holding	6,856,797		3,963
Chunghwa Telecom	3,164,469		5,664
Compal Electronics	1,407,050		1,867
Far Eastern Textile	1,071,720		1,252
Far EasTone Telecommunications	650,000		747
Formosa Chemicals & Fibre	189,000		390
Fubon Financial Holding	2,711,000		3,075
Gigabyte Technology	244,000		221
High Tech Computer	123,650		1,403
HON HAI Precision Industry	2,736,708		11,566
Lite-On Technology	1,062,020		1,423
MediaTek	601,616		9,479
Mega Financial Holding	616,000		348
POU Chen	1,139,750		829
Quanta Computer	844,260		1,705
Shihlin Electric & Engineering	213,000		261
Siliconware Precision Industries ADR (A)	401,700		2,699
Siliconware Precision Industries	1,178,172		1,552
Taishin Financial Holding	5,704,000		2,127
Taiwan Cooperative Bank	1,672,850		1,040
Taiwan Fertilizer	1,252,000		4,027
Taiwan Semiconductor Manufacturing ADR (A)	244,705		2,543
Taiwan Semiconductor Manufacturing	4,493,041		8,531
United Microelectronics	5,776,000		2,836
United Microelectronics ADR* (A)	653,300		2,215
Universal Scientific Industrial	454,000		284
Wistron	801,061		1,471

			87,398


Thailand — 0.7%
Advanced Info Service	599,400		1,461
Airports of Thailand	329,700		369
Bangkok Bank	866,300		2,944
Bangkok Bank NVDR	742,500		2,524
Bank of Ayudhya	1,992,500		1,193
Bumrungrad Hospital	928,400		782
Glow Energy	773,354		698
Kasikornbank	1,069,484		2,770
Krung Thai Bank	6,025,900		1,649


Description	Shares	Market Value ($ Thousands)
Krung Thai Bank NVDR	1,478,000	$	405
PTT NVDR	264,000		1,779
Siam Cement	205,000		1,394
Siam City Bank	394,800		341
Siam Commercial Bank	2,086,400		5,319
Thanachart Capital	1,049,600		691
Total Access Communication	587,400		543

			24,862


Turkey — 0.9%
Akbank	135,929		706
Aksa Akrilik Kimya Sanayii*	95,863		103
Anadolu Efes Biracilik Ve Malt Sanayii	115,565		1,242
Arcelik*	553,608		1,800
Aygaz	57,143		190
Cimsa Cimento Sanayi VE Tica	259,243		1,110
Eczacibasi Ilac Sanayi	243,000		294
Ford Otomotiv Sanayi	156,929		859
Global Yatirim Holding*	51,000		23
Haci Omer Sabanci Holding	1,101,869		3,793
KOC Holding*	327,748		796
Petrol Ofisi*	101,052		350
Tekfen Holding*	261,556		689
Tupras Turkiye Petrol Rafine	219,847		3,697
Turk Hava Yollari	360,000		1,139
Turk Sise ve Cam Fabrikalari	489,752		481
Turkcell Iletisim Hizmet	692,220		4,185
Turkiye Garanti Bankasi	998,150		3,326
Turkiye Sinai Kalkinma Bankasi*	1,351,314		1,263
Turkiye Vakiflar Bankasi Tao, Cl D	3,022,924		6,029

			32,075


United Kingdom — 12.2%
3i Group*	70,046		309
Admiral Group	20,284		353
Aegis Group	263,977		468
Amec	221,192		2,880
Amlin	144,785		879
Anglo American	264,324		11,291
Antofagasta	360,695		5,330
Arriva	1,032		8
Associated British Foods	100,196		1,325
AstraZeneca	661,895		29,513
Autonomy*	104,154		2,436
Aviva	1,029,675		6,259
Avocet Mining*	97,930		153
Babcock International Group	95,349		974
BAE Systems	135,701		731
Balfour Beatty	98,835		414
Barclays	2,719,804		13,049
Barratt Developments	4,301		8
Berkeley Group Holdings*	35,400		505
BG Group	632,356		11,447
BHP Billiton	610,525		18,611
BP	4,856,780		45,798
British Airways	47,202		151
British American Tobacco	559,766		16,967
British Sky Broadcasting Group	66,200		575
BT Group, Cl A (D)	719,155		1,655
Bunzl	8,845		91


Description	Shares	Market Value ($ Thousands)
Burberry Group	104,633	$	979
Cadbury	158,184		2,092
Cape*	138,165		517
Carnival	52,905		1,769
Catlin Group	192,628		971
Centrica	1,336,000		5,582
Charter International	63,044		749
Close Brothers Group	12,966		146
Compass Group	15,896		112
Dairy Crest Group	27,800		171
Delta	27,337		62
Diageo	323,010		5,434
Dimension Data Holdings	347,332		422
DS Smith	173,654		318
easyJet*	655,305		3,947
Eurasian Natural Resources	142,401		2,013
Firstgroup	252,582		1,622
Fresnillo	106,028		1,467
GlaxoSmithKline	905,580		18,681
Group 4 Securicor	39,080		157
Hammerson‡	34,601		228
Hamworthy	22,253		99
Healthcare Locums	55,412		245
Home Retail Group	419,541		2,025
HSBC Holdings	2,893,887		33,577
ICAP	150,542		1,068
Imperial Tobacco Group	191,777		5,564
Inchcape	4,168,132		1,901
Intercontinental Hotels Group	62,347		861
Invensys	383,251		1,761
Investec	577,970		4,128
ITV	887,326		758
Johnson Matthey	1,523		37
Kazakhmys	142,411		2,882
Kingfisher	1,416,593		5,514
Land Securities Group‡	8,521		92
Legal & General Group	3,605,133		4,576
Lloyds Banking Group	710,713		643
LogicaCMG	332,842		641
London Stock Exchange Group	25,749		318
Man Group	38,420		201
Marks & Spencer Group	403,691		2,557
Meggitt	112,394		441
Millennium & Copthorne Hotels	74,000		423
Mondi	29,765		162
National Express Group	89,178		245
National Grid	391,761		4,246
Next	121,359		3,935
Old Mutual	3,359,249		6,257
Pearson	118,325		1,610
Persimmon	369,456		2,508
Petrofac	162,190		2,590
Prudential	363,886		3,735
Reckitt Benckiser Group	167,721		8,533
Rexam	877,088		3,993
Rio Tinto	237,535		12,038
Rolls-Royce Group	823,422		6,412
Royal & Sun Alliance Insurance Group	602,890		1,156
Royal Bank of Scotland Group	942,138		513
SABMiller	168,873		4,905
Sage Group	1,102,721		3,860


Description	Shares	Market Value ($ Thousands)
Schroders	62,930	$	1,187
Scottish & Southern Energy	42,753		784
Segro‡	27,356		146
Serco Group	122,618		1,041
Severn Trent	27,806		479
Shire	164,661		3,202
Smith & Nephew	7,531		71
Standard Chartered	558,233		13,595
Standard Life	512,000		1,749
Taylor Woodrow	1,369,786		798
Tesco	749,784		5,205
Thomas Cook Group	116,000		404
Tomkins	396,333		1,118
Travis Perkins	136,434		1,697
Tullett Prebon	191,155		1,001
Tullow Oil	86,717		1,756
Unilever	80,178		2,347
Vedanta Resources	22,584		854
Vodafone Group	5,997,391		13,494
Whitbread	16,566		349
WM Morrison Supermarkets	547,588		2,474
WPP	492,485		4,591

			414,971


United States — 0.5%
A. Schulman	3,700		60
Capital One Financial	59,800		2,294
Clearwater Paper*	5,300		260
Computer Sciences*	9,500		526
ConocoPhillips	86,500		4,478
Dollar Thrifty Automotive Group* (A)	6,300		116
Evraz Group GDR	63,517		1,715
EW Scripps, Cl A*	8,500		54
Gannett	145,100		1,435
Gerdau Ameristeel	15,900		131
IAC*	12,900		251
International Business Machines	6,700		846
KapStone Paper and Packaging*	8,800		63
MeadWestvaco	8,600		235
New York Times, Cl A	8,300		70
Omnova Solutions*	37,500		248
PolyOne*	10,800		78
Spartech	10,300		112
Thomson Reuters (CAD)	119,323		3,781
Unisys*	23,540		756

			17,508

Total Common Stock (Cost $2,673,991) ($ Thousands)			3,114,695



PREFERRED STOCK — 1.9%

Brazil — 1.7%
Banco Bradesco	323,300		6,756
Banco Daycoval	41,800		209
Bombril*	19,500		87
Centrais Eletricas Brasileiras, Cl B	82,000		1,186


Description	Shares	Market Value ($ Thousands)
Cia Energetica de Minas Gerais	64,500	$	1,111
Cia Paranaense de Energia	97,000		1,879
Cia Vale do Rio Doce, Cl A	362,400		8,791
Construtora Sultepa	3,000		10
Gerdau	114,147		1,771
Investimentos Itau	5,700		36
Itau Unibanco Holding	264,872		5,755
Marcopolo	278,700		1,013
NET Servicos de Comunicacao*	259,600		3,591
Parana Banco	28,400		161
Petroleo Brasileiro	838,500		18,625
Randon Participacoes	89,000		763
Tekno Industria e Comercio	434		21
Telecomunicacoes de Sao Paulo	52,600		1,299
Telemar Norte Leste	15,700		577
Tim Participacoes	451,500		1,202
Universo Online	31,300		168
Usinas Siderurgicas de Minas Gerais, Cl A	7,100		208
Vivo Participacoes	58,300		1,753

			56,972


France — 0.0%
Bureau Veritas	11,204		560


Germany — 0.2%
Bayerische Motoren Werke	17,850		588
Draegerwerk	3,838		161
Henkel	12,548		632
KSB	304		176
Porsche Automobil Holding	8,187		571
ProSiebenSat.1 Media	110,477		1,433
RWE	11,977		1,010
Volkswagen	15,747		1,336

			5,907

Total Preferred Stock (Cost $42,433) ($ Thousands)			63,439


MORTGAGE-BACKED SECURITIES — 0.9%

Agency Mortgage-Backed Obligations — 0.2%
FHLMC ARM (E)
5.830%, 03/01/36	697		729
5.262%, 10/01/35	565		591
4.778%, 06/01/35	630		652
FHLMC CMO, Ser 3335, Cl BF
0.389%, 07/15/19 (E)	378		372
FHLMC CMO, Ser 3336, Cl FA
0.469%, 02/15/19 (E)	852		850
FNMA
6.000%, 07/01/37	630		676
FNMA ARM (E)
5.118%, 10/01/35	908		950
4.496%, 05/01/35	650		678

			5,498


Non-Agency Mortgage-Backed Obligations — 0.7%
Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1
3.382%, 09/25/35 (E)	724		539
Banc of America Commercial Mortgage, Cl A2
4.764%, 07/10/45	560		562


Description	Shares		Market Value ($ Thousands)
Banc of America Commercial Mortgage, Ser 2008-5, Cl A1
5.185%, 09/10/47	$	365	$	371
Banc of America Funding, Ser 2005-2, Cl 1A2
5.500%, 04/25/35		590		576
Banc of America Funding, Ser 2006-A, Cl 2A2
4.666%, 02/20/36 (E)		118		27
Banc of America Mortgage Securities, Ser 2003-9, Cl 1A12
0.686%, 12/25/33 (E)		239		229
BCAP LLC Trust, Ser 2006-RR1, Cl PA
5.000%, 11/25/36		600		600
Chase Mortgage Finance, Ser 2007-A1, Cl 7A1
4.593%, 02/25/37 (E)		550		506
Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A
5.598%, 04/25/37 (E)		1,980		1,080
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A3
5.000%, 09/25/33		250		250
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-24, Cl A2
4.500%, 07/25/33		759		759
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-13, Cl 2A17
5.750%, 08/25/34		284		284
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-22, Cl A1
3.510%, 11/25/34 (E)		405		327
Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34		486		500
Credit Suisse First Boston Mortgage Securities, Ser 2003-C3
3.382%, 05/15/38		177		177
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl A2
4.512%, 07/15/37		690		690
Credit Suisse First Boston Mortgage Securities, Ser 2005-C4, Cl A2
5.017%, 08/15/38		470		473
CS First Boston Mortgage Securities, Ser 2005-C1, Cl A2
4.609%, 02/15/38		305		306
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006-AB3, Cl A1
6.250%, 07/25/36 (E)		390		288


Description	Shares		Market Value ($ Thousands)
DLJ Commercial Mortgage, Ser 2000-CF1, Cl A1B
7.620%, 06/10/33	$	204	$	206
DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33		681		697
First Horizon Asset Securities, Ser 2003-9, Cl 1A3
5.500%, 11/25/33		981		969
First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1
5.640%, 11/25/36 (E)		979		743
First Union National Bank Commercial Mortgage, Ser 2000-C1, Cl A2
7.841%, 05/17/32		68		69
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A2
4.760%, 08/10/38		410		420
GMAC Mortgage Loan Trust, Ser 2004-J1, Cl A2
5.250%, 04/25/34		700		697
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		451		445
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A
3.624%, 10/25/34 (E)		66		43
JPMorgan Chase Commercial Mortgage Securities, Ser 2000-C10, Cl A2
7.371%, 08/15/32 (E)		219		220
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.816%, 12/25/34 (E)		278		272
LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2
7.370%, 08/15/26		184		187
LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2
6.510%, 12/15/26		421		434
LB-UBS Commercial Mortgage Trust, Ser 2001-WM, Cl A2
6.530%, 07/14/16		460		483
LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A2
4.064%, 09/15/27 (E)		505		509
Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1
4.134%, 07/25/34 (E)		537		445
Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1
4.020%, 03/25/35 (E)		666		390
Master Alternative Loans Trust, Ser 2003-6, Cl 3A2
5.750%, 09/25/33		406		404
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
3.941%, 02/25/36 (E)		953		694


Description	Shares		Market Value ($ Thousands)
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A2
4.809%, 01/14/42	$	112	$	113
Nomura Asset Acceptance, Ser 2004-R1, Cl A1
6.500%, 03/25/34		254		246
Nomura Asset Acceptance, Ser 2004-R2, Cl A1
6.500%, 10/25/34 (E)		290		272
PNC Mortgage Acceptance, Ser 2000-C1, Cl A2
7.610%, 03/15/33		117		117
PNC Mortgage Acceptance, Ser 2000-C2, Cl A2
7.300%, 10/12/33		334		343
Residential Asset Securitization Trust, Ser 2003-A1, Cl A2
0.736%, 03/25/33 (E)		222		200
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1
3.527%, 12/25/34 (E)		857		681
Residential Funding Mortgage Securities I, Ser 2004-S2, Cl A11
6.000%, 06/25/36		479		468
Residential Funding Mortgage Securities I, Ser 2006-S5, Cl A4
5.500%, 03/25/34		915		917
Salomon Brothers Mortgage Securities VII, Ser 2000-C1, Cl A2
7.520%, 02/18/32 (E)		7		7
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1
5.890%, 10/25/47 (E)		1,561		899
Structured Asset Securities, Ser 2006-NC1, Cl A4
0.386%, 05/25/36 (E)		300		117
Thornburg Mortgage Securities Trust, Ser 2006-5, Cl A1
0.356%, 09/25/46 (E)		1,510		1,381
Wachovia Bank Commercial Mortgage Trust, Ser 2005- C17, Cl A2
4.782%, 03/15/42		452		453
WaMu Mortgage Pass Through Certificates, Ser 2004-AR9, Cl A6
2.950%, 08/25/34 (E)		116		113
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A5
4.500%, 06/25/33		396		396
Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A1
5.500%, 06/25/34		471		470


Description	Shares		Market Value ($ Thousands)
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-6, Cl A5
3.219%, 08/25/34 (E)	$	78	$	76
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1
3.668%, 07/25/34 (E)		47		17
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-N, Cl A13
0.686%, 06/25/34 (E)		243		232

				24,389

Total Mortgage-Backed Securities (Cost $33,226) ($ Thousands)				29,887


ASSET-BACKED SECURITIES — 0.8%

Automotive — 0.1%
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A2
1.400%, 11/15/12		150		151
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13		765		777
BMW Floorplan Master Owner Trust, Ser 2009-1A, Cl A
1.389%, 09/15/14 (F)		355		355
BMW Vehicle Lease Trust, Cl A2
2.040%, 04/15/11		655		659
Citifinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12		610		611
Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A3
4.470%, 01/18/12		375		382
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A2
2.220%, 08/15/11		685		690
Honda Auto Receivables Owner Trust, Ser 2009-S1, Cl A3
2.310%, 05/15/13		370		377
Mercedes-Benz Auto Receivables Trust, Ser 2009- 1, Cl A3
1.670%, 01/15/14		295		297
Nissan Auto Lease Trust, Cl A2
2.010%, 04/15/11		540		544
USAA Auto Owner Trust, Ser 2009-I, Cl A2
2.640%, 08/15/11		950		957
Volkswagen Auto Lease Trust, Cl A2
2.870%, 07/15/11		625		631

				6,431


Credit Cards — 0.4%
American Express Credit Account Master Trust, Ser 2003-3, Cl A
1.589%, 12/15/14 (E)		2,195		2,238


Description	Shares		Market Value ($ Thousands)
Bank of America Credit Card Trust, Ser 2006-A6, Cl A6
0.269%, 11/15/13 (E)	$	460	$	453
Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14		655		686
Capital One Multi-Asset Execution Trust, Ser 2009-A1, Cl A1
1.339%, 04/15/13 (E)		400		401
Chase Issuance Trust, Ser 2007- A10
0.279%, 06/16/14 (E)		650		640
Chase Issuance Trust, Ser 2009- A4, Cl A6
1.089%, 07/16/12 (E)		1,050		1,053
Chase Issuance Trust, Ser 2009- A6, Cl A4
0.989%, 06/15/12 (E)		850		852
Citibank Credit Card Issuance Trust, Ser 2005-A7, Cl A7
4.750%, 10/22/12		205		211
Citibank Credit Card Issuance Trust, Ser 2007-A7, Cl A7
0.587%, 08/20/14 (E)		630		620
Citibank Credit Card Issuance Trust, Ser 2009-A1, Cl A1
1.989%, 03/17/14 (E)		425		433
Citibank Credit Card Issuance Trust, Ser 2009-A7, Cl A7
0.352%, 11/25/13 (E)		865		854
MBNA Credit Card Master Note Trust, Ser 2003-A4, Cl A4
0.459%, 09/17/12 (E)		1,520		1,518
MBNA Credit Card Master Note Trust, Ser 2003-A8
0.429%, 12/17/12 (E)		1,050		1,046

				11,005


Mortgage Related Securities — 0.3%
ACE Securities, Ser 2003-NC1, Cl M
1.406%, 07/25/33 (E)		650		420
Ameriquest Mortgage Securities, Ser 2005-R9, Cl AF3
5.098%, 11/25/35		323		319
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/36		920		867
Citigroup Mortgage Loan Trust, Ser 2007-AMC2, Cl A3A
0.316%, 01/25/37 (E)		669		386
CNH Equipment Trust, Ser 2009-A, Cl A2
4.060%, 10/17/11		281		284
CNH Equipment Trust, Ser 2009-B, Cl A2
2.400%, 05/16/11		260		260
Credit Suisse Asset-Backed Mortgage Backed Trust, Ser 2007-1, Cl 1A1A
5.898%, 05/25/37 (E)		2,156		1,375


Description	Shares		Market Value ($ Thousands)
GSAMP Trust, Ser 2005-HE3, Cl M1
0.706%, 06/25/35 (E)	$	213	$	204
First Franklin Mortgage Loan Asset Backed Certificates, Ser 2005-FF9, Cl A3
0.516%, 10/25/35 (E)		534		488
Home Equity Asset Trust, Ser 2006-5, Cl 2A3
0.386%, 10/25/36 (E)		250		80
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-5, Cl 2A1
0.936%, 10/25/37 (E)		436		420
Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2
1.886%, 07/25/34 (E)		47		11
Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1
1.256%, 10/25/33 (E)		543		361
Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C
0.556%, 11/25/35 (E)		1,600		1,261
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.331%, 12/25/33 (E)		54		31
Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B
0.386%, 02/25/36 (E)		642		254
Structured Asset Securities, Ser 2007-BC1, Cl A4
0.366%, 02/25/37 (E)		1,350		302
Structured Asset Securities, Ser 2007-GEL2, Cl A1
0.386%, 05/25/37 (E)		1,776		1,424
Terwin Mortgage Trust, Ser 2006-6, Cl 2A1
4.500%, 06/25/36		207		20

				8,767

Total Asset-Backed Securities (Cost $29,828) ($ Thousands)				26,203

	Number Of Warrants
WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *		229,372		46


Italy — 0.0%
Mediobanca, Expires 2011		105,830		—
Unione di Banche Italiane SCPA, Expires 2011 *		51,612		4

				4

Total Warrants (Cost $0) ($ Thousands)				50


Description	Shares	Market Value ($ Thousands)
	Number Of Rights
RIGHTS — 0.0%

Australia — 0.0%
CSR, Expires 12/07/09	7,767	$	—
ING Industrial Fund , Expires 12/14/09	412,780		—

			—


Belgium — 0.0%
Fortis, Expires 07/01/14 (A)(G)(H)(I)	261,082		—


Germany — 0.0%
Kali und Salz, Expires 12/14/09	41,355		138


Italy — 0.0%
Piccolo Credito Valtellinese, Expires 01/02/10	6,212		2


Netherlands — 0.0%
ING Group, Expires 12/17/09	368,935		914


Norway — 0.0%
DnB, Expires 12/14/09	137,539		388


Spain — 0.0%
Mapfre , Expires 12/04/09	227,100		3
Obrascon Huarte Lain, Expires 12/15/09	7,004		14

			17


United Kingdom — 0.0%
Lloyds Banking Group, Expires 12/15/09	952,356		278
National Express Group, Expires 12/16/09	208,082		215

			493

Total Rights (Cost $1,580) ($ Thousands)			1,952


CORPORATE OBLIGATION — 0.0%

Financials — 0.0%
Shinsei Finance Cayman
6.418%, 01/29/49 (E)	545		316

Total Corporate Obligation (Cost $545) ($ Thousands)			316


Description	Shares	Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 4.8%
SEI Liquidity Fund, L.P.,
0.320% * * † (F)	164,829,238	$	162,670

Total Affiliated Partnership (Cost $164,829) ($ Thousands)			162,670


U.S. TREASURY OBLIGATIONS — 0.8%
U.S. Treasury Bills (C)(D)
0.161%, 12/03/09	18,000		18,000
0.285%, 12/17/09	1,315		1,315
0.195%, 01/07/10	3,100		3,100
0.010%, 02/25/10	5,000		4,999

			27,414

Total U.S. Treasury Obligations (Cost $27,414) ($ Thousands)			27,414


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.130% * * †	68,711		68,711

Total Cash Equivalent (Cost $68,711) ($ Thousands)			68,711

Total Investments — 102.8% (Cost $3,042,557)($ Thousands)		$	3,495,337

A summary of outstanding swap agreements held by the Fund at November 30, 2009, is as follows:

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long (Short)	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	784	Dec-2009	$	432
E-Mini MSCI EAFE	28	Dec-2009		45
E-Mini MSCI Emerging Markets	351	Dec-2009		1,309
FTSE 100 Index	227	Dec-2009		678
Hang Seng Index	15	Dec-2009		(2	)
Nikkei 225 Index	53	Dec-2009		(279	)
S&P/TSE 60 Index	111	Dec-2009		416
SPI 200 Index	89	Dec-2009		237
Topix Index	234	Dec-2009		(890	)

			$	1,946

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2009, is as follows:


Maturity Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized (Depreciation) ($ Thousands)
12/3/09	USD	5,607	CAD	5,910	$	(1	)
1/25/10	AUD	11,589	USD	10,386		(161	)
1/25/10	USD	10,646	AUD	11,589		(100	)

					$	(262	)

Percentages are based on a Net Assets of $3,401,044 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trusts

(A)

This security or a partial position of this security is on loan at November 30, 2009. (See Note 11) The total value of securities on loan at November 30, 2009 was $154,501 ($ Thousands).

(B)

(C)

The rate reported is the effective yield at time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open future contracts.

(E)

Variable Rate Security - The rate reported is the rate in effect as of November 30, 2009. The date reported is the final maturity date.

(F)

This security was purchased with cash collateral held from securities on loan (See Note 11). The total value of such securities as of November 30, 2009 was $160,170 ($ Thousands).

(G)

Security considered restricted. The total value of such security as of November 30, 2009 was $0 and represented 0.00% of net assets.

(H)

Security considered illiquid. The total value of such security as of November 30, 2009 was $0 and represented 0.00% of net assets.

(I)

ABS — Asset-Backed Security

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

Cl — Class

CMO — Collateralized Mortgage Obligation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GDR — Global Depositary Receipt

LLC — Limited Liability Company

L.P. — Limited Partnership

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

NVDR — Non-Voting Depositary Receipt

S&P — Standard & Poor’s

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TSE — Toronto Stock Exchange

USD — U.S. Dollar

Amounts designated as “—” are $0 or have been rounded to $0.


Description	Shares	Market Value ($ Thousands)
COMMON STOCK — 93.3%

Argentina — 0.0%
Tenaris	1,369	$	27


Australia — 4.4%
AMP	7,756		44
ASX	600		18
Austal	3,354		7
Australia & New Zealand Banking Group	13,948		283
BGP Holdings*	4,500		—
BHP Billiton	5,300		200
Biota Holdings	1,000		3
BlueScope Steel	35,723		89
CFS Retail Property Trust‡	1,900		3
Coca-Cola Amatil	5,559		54
Commonwealth Bank of Australia	6,169		298
Computershare	4,263		42
Crown	800		6
David Jones	2,400		13
Dexus Property Group‡	3,700		3
Downer EDI	13,700		107
Energy Developments	3,321		8
Goodman Fielder	8,600		12
GPT Group‡	4,500		2
Harvey Norman Holdings	16,037		63
Incitec Pivot	3,000		8
Insurance Australia Group	5,900		21
JB Hi-Fi	2,050		44
Kingsgate Consolidated	500		4
Leighton Holdings	1,562		51
Lend Lease	4,777		40
Macquarie Group	200		9
Macquarie Infrastructure Group	51,043		61
Metcash	2,000		9
National Australia Bank	7,134		187
Newcrest Mining	1,000		34
Orica	2,588		59
Origin Energy	2,245		32
Primary Health Care	1,000		5
Qantas Airways	9,506		23
QBE Insurance Group	300		6
Rio Tinto	5,035		330
Straits Resources	22,787		34
Suncorp-Metway	5,000		40
Super Cheap Auto Group	600		3
TABCORP Holdings	1,996		13
Tatts Group	11,806		26
Telstra	13,700		43
United Group	700		8
Wesfarmers	9,180		250
Westfield Group‡	7,826		87
Westpac Banking	9,093		201
Woodside Petroleum	1,288		58
Woolworths	12,774		328

			3,269


Austria — 0.2%
Erste Group Bank	1,539		63
OMV	1,451		61


Description	Shares	Market Value ($ Thousands)
Strabag	1,067	$	33

			157

Belgium — 1.0%
Belgacom	144		5
Delhaize Group	1,200		91
Dexia	8,716		66
Groupe Bruxelles Lambert	224		20
InBev	7,418		370
Solvay	511		54
Telenet Group Holding	1,528		42
UCB	640		29
Umicore	1,800		61

			738


Brazil — 1.2%
Abyara Planejamento Imobiliario*	2,300		6
Banco Bradesco ADR	8,900		189
Banco do Brasil	6,100		108
Banestes Banco do Estado do Espirito Santo	3,400		14
Cia de Saneamento Basico do Estado de Sao Paulo	5,000		90
Cia de Saneamento de Minas Gerais-COPASA (Brazil)	2,500		43
Cia Siderurgica Nacional	400		13
Cyrela Brazil Realty	5,400		76
EDP-Energias do Brasil	3,900		69
Empresa Brasileira de Aeronautica*	15,200		76
Eternit	1,500		7
Ez Tec Empreendimentos e Participacoes	3,200		15
Grendene	6,300		32
M Dias Branco	2,100		47
Redecard	3,500		54
Souza Cruz	2,100		73

			912


Canada — 7.2%
Aastra Technologies	200		6
Agrium	100		6
Alimentation Couche Tard, Cl B	2,700		56
AltaGas Income Trust	800		14
Astral Media, Cl A	400		12
Atco	500		21
Bank of Montreal	4,400		224
Bank of Nova Scotia	4,000		184
Barrick Gold	4,200		179
Baytex Energy Trust	3,200		82
BCE	1,400		37
Bombardier, Cl B	33,200		141
Brookfield Asset Management, Cl A	4,100		86
Cameco	500		14
Canadian Imperial Bank of Commerce	300		20
Canadian National Railway	2,900		152
Canadian Natural Resources	3,900		261
Canadian Oil Sands Trust	2,800		78
Canadian Tire, Cl A	600		31
Canadian Utilities	500		20


Description	Shares	Market Value ($ Thousands)
Celestica*	1,700	$	14
CGI Group, Cl A*	9,200		114
Dundee, Cl A*	400		5
Enbridge	4,600		196
EnCana	9,419		506
First Quantum Minerals	1,100		86
George Weston	500		29
Gildan Activewear*	2,400		46
Goldcorp	6,420		270
Husky Energy	4,300		113
IAMGOLD	6,938		131
Imperial Oil	200		8
Industrial Alliance Insurance & Financial Services	200		6
Inmet Mining	900		54
Linamar	600		8
Magna International, Cl A	930		44
Manulife Financial	800		14
Maple Leaf Foods	1,100		12
Metro, Cl A	1,200		41
National Bank of Canada	2,800		168
Nexen	8,507		200
Pacific Rubiales Energy*	7,600		111
Penn West Energy Trust	2,170		38
Potash Saskatchewan	400		45
Power Financial	620		16
Provident Energy Trust	2,900		19
Quebecor, Cl B	700		17
Research In Motion*	700		41
Rogers Communications, Cl B	300		9
Royal Bank of Canada	7,200		388
Sherritt International	3,300		21
Sierra Wireless*	600		5
Sino-Forest, Cl A*	4,400		77
Sun Life Financial	2,100		58
Suncor Energy	4,732		170
Talisman Energy	6,800		117
Teck Cominco, Cl B*	6,400		222
Toronto-Dominion Bank	3,370		212
TransCanada	400		13
Transcontinental, Cl A	700		8
West Fraser Timber	400		12
Yamana Gold	5,500		73
Yellow Pages Income Fund	4,000		20

			5,381


Chile — 0.3%
Banco de Chile ADR	187		10
Cia Cervecerias Unidas ADR	1,400		51
CorpBanca ADR	803		29
Enersis ADR	5,000		96
Sociedad Quimica y Minera de Chile ADR	1,700		64

			250


China — 3.2%
Anhui Conch Cement, Cl H	16,000		95
Bank of China	457,000		258
Bank of Communications, Cl H	88,000		105
Baoye Group, Cl H	16,000		12
China BlueChemical	52,000		28
China Citic Bank	46,000		38


Description	Shares	Market Value ($ Thousands)
China Coal Energy	60,000	$	102
China Communications Services, Cl H	54,000		28
China Construction Bank, Cl H	280,000		249
China Life Insurance, Cl H	35,000		175
China Shenhua Energy	27,000		132
China Telecom, Cl H	236,000		104
China Vanke, Cl B	26,100		33
Chongqing Changan Automobile, Cl B	65,800		65
First Tractor, Cl H	22,000		11
Fosun International	87,000		63
Great Wall Motor, Cl H	26,000		31
Great Wall Technology, Cl H	32,000		12
Industrial & Commercial Bank of China	571,000		483
Jiangling Motors, Cl B	34,800		59
Perfect World ADR*	880		39
Qingling Motors, Cl H	60,000		17
Shandong Chenming Paper Holdings, Cl B	68,700		51
Shanghai Mechanical and Electrical Industry, Cl B	34,500		42
Shenzhou International Group Holdings	13,000		15
Sichuan Expressway, Cl H	54,000		28
Times	23,000		16
Yanzhou Coal Mining, Cl H	30,000		60

			2,351


Colombia — 0.1%
BanColombia ADR	1,669		72


Czech Republic — 0.1%
CEZ	2,400		120


Denmark — 0.5%
A P Moeller-Maersk, Cl B	3		21
Carlsberg, Cl B	1,957		140
Coloplast, Cl B	150		14
Danske Bank	3,509		76
H Lundbeck	226		4
Novo-Nordisk, Cl B	1,232		83
Sydbank	1,150		27
Topdanmark*	180		26
William Demant Holding*	180		13

			404


Egypt — 0.2%
Orascom Telecom Holding	12,000		56
Talaat Moustafa Group*	34,000		37
Telecom Egypt	22,000		65

			158


Finland — 0.6%
Fortum	1,388		35
Kone, Cl B	3,841		155
Metso	1,729		55
Sampo, Cl A	4,918		117


Description	Shares	Market Value ($ Thousands)
Stora Enso, Cl R	4,140	$	32
UPM-Kymmene	2,177		28

			422


France — 4.8%
Air France-KLM	1,094		17
Air Liquide	102		12
Arkema	885		33
Atos Origin	1,056		46
AXA	5,305		126
BNP Paribas	464		38
Bouygues	3,971		198
Capital Gemini	1,704		79
Christian Dior	800		81
Cie de Saint-Gobain	621		34
CNP Assurances	1,723		184
Compagnie Generale des Etablissements Michelin, Cl B	837		63
Credit Agricole	1,645		34
Electricite de France	1,051		61
Eutelsat Communications	1,740		57
France Telecom	12,024		313
Gaz de France	2,237		93
Gecina‡	546		60
Legrand	1,029		28
LVMH Moet Hennessy Louis Vuitton	101		11
M6-Metropole Television	1,447		37
Natixis	7,385		39
Neopost	126		11
Nexity	646		22
Peugeot	750		27
PPR	1,866		226
Publicis Groupe	3,093		119
Safran	1,824		31
Sanofi-Aventis	8,882		671
SCOR	1,010		25
SES Global	1,405		30
Societe BIC	219		15
Societe de la Tour Eiffel‡	272		20
Societe Des Autoroutes Paris- Rhin-Rhone	788		66
Societe Generale	2,677		188
Societe Television Francaise 1	3,236		58
Unibail-Rodamco‡	656		148
Valeo	2,352		67
Vallourec	93		16
Vinci	2,876		159
Vivendi	2,129		61
Zodiac Aerospace	60		2

			3,606


Germany — 4.1%
Aixtron	3,120		112
Allianz	2,197		270
BASF	7,129		430
Bayer	699		54
Bayerische Motoren Werke	5,891		278
Bilfinger Berger	235		17
DaimlerChrysler	1,200		61
Deutsche Bank	4,385		316
Deutsche Post	13,160		246


Description	Shares	Market Value ($ Thousands)
Deutsche Telekom	1,022	$	15
E.ON	11,243		445
GAGFAH	4,000		36
Hannover Rueckversicherung	2,694		128
Henkel	609		26
Hochtief	1,199		94
Infineon Technologies*	17,995		86
Lanxess	263		10
Metro	948		60
MTU Aero Engines Holding	102		5
Muenchener Rueckversicherungs	356		56
SAP	1,269		61
Suedzucker	637		14
TUI	1,912		15
United Internet	2,766		37
Volkswagen	121		15
Wacker Chemie	1,030		170

			3,057


Greece — 0.6%
Alpha Bank	4,866		67
Coca Cola Hellenic Bottling	2,106		47
Hellenic Petroleum	6,176		72
National Bank of Greece	5,270		155
OPAP	1,197		29
Public Power	4,920		99

			469


Hong Kong — 3.3%
ASM Pacific Technology	1,400		12
Beijing Enterprises Holdings	14,000		95
BOC Hong Kong Holdings	36,500		84
Cathay Pacific Airways	8,000		14
Chaoda Modern Agriculture	62,000		55
Cheung Kong Holdings	4,000		50
Cheung Kong Infrastructure Holdings	3,000		11
China Mobile	21,500		201
China Overseas Land & Investment	68,000		146
Chinese Estates Holdings	8,000		14
CLP Holdings	500		3
CNOOC	65,500		101
Dairy Farm International Holdings	1,800		11
Esprit Holdings	3,000		20
First Pacific	16,000		9
Genting Singapore*	124,000		96
Guangdong Investment	76,000		42
Guoco Group	2,000		23
Hang Lung Properties	22,000		80
Hang Seng Bank	4,200		62
Henderson Land Development	3,000		21
Hengan International Group	7,000		50
HKR International	6,400		3
Hong Kong Exchanges and Clearing	3,300		59
HongKong Electric Holdings	1,000		6
Hongkong Land Holdings	9,000		45
Hopewell Holdings	5,500		17
Hutchison Whampoa	20,000		135
Hysan Development	5,000		14
Jardine Matheson Holdings	400		12


Description	Shares	Market Value ($ Thousands)
Jardine Strategic Holdings	1,000	$	17
Kerry Properties	1,000		5
Kingboard Laminates Holdings	9,000		5
Li & Fung	12,000		48
Link REIT‡	2,000		5
New World Development	22,000		45
Noble Group	55,000		123
Pacific Basin Shipping	77,000		58
Pacific Century Premium Developments	13,000		4
Road King Infrastructure	4,000		3
Shanghai Industrial Holdings	14,000		70
Sino Land	4,000		8
Sun Hung Kai Properties	18,000		267
Swire Pacific, Cl A	3,000		34
Television Broadcasts	2,000		9
Texwinca Holdings	2,000		2
VTech Holdings	3,000		29
Wharf Holdings	15,000		81
Wheelock	17,000		55
Yue Yuen Industrial Holdings	4,000		12

			2,371


Hungary — 0.2%
Magyar Telekom
Telecommunications	14,000		56
MOL Hungarian Oil and Gas	1,000		88

			144


India — 2.2%
HDFC Bank ADR	3,471		467
Infosys Technologies ADR	13,222		674
ITC*	26,822		149
Larsen & Toubro GDR	7,628		267
Sterlite Industries India ADR	5,520		101

			1,658


Indonesia — 0.6%
Adaro Energy*	76,000		14
Astra International	49,500		169
Bank Mandiri	173,000		82
Bank Negara Indonesia Persero	81,000		17
Bank Rakyat Indonesia	92,000		72
United Tractors	40,000		63

			417


Ireland — 0.1%
DCC	395		11
Experian	4,661		44
Irish Life & Permanent	3,589		17

			72


Israel — 1.0%
Bezeq Israeli Telecommunication	10,000		23
Check Point Software
Technologies*	2,040		64
Delek Group	100		18
Discount Investment	2,000		45
First International Bank of Israel*	2,000		32
Israel Land Development	5,000		22
Koor Industries	1,600		44


Description	Shares	Market Value ($ Thousands)
Teva Pharmaceutical Industries	4,646	$	249
Teva Pharmaceutical Industries ADR	3,560		188
Union Bank of Israel*	18,000		82

			767


Italy — 2.0%
ACEA	2,697		31
Atlantia	3,564		92
Autogrill	1,305		16
Banca Intesa	48,413		210
Banca Intesa RNC	11,927		39
Banca Popolare di Milano	3,717		29
Banco Popolare Scarl	4,593		38
Benetton Group	3,132		29
CIR-Compagnie Industriali Riunite	7,958		19
Edison	4,712		7
Enel	48,532		290
Fiat	5,922		87
Fondiaria-Sai	459		8
Milano Assicurazioni	4,714		14
Piccolo Credito Valtellinese	1,856		16
Pirelli	22,605		14
Prysmian	8,220		138
Snam Rete Gas	3,239		16
Telecom Italia	155,737		241
Terna Rete Elettrica Nazionale	8,007		33
UniCredito Italiano	19,656		67
Unipol Gruppo Finanziario	16,000		22

			1,456


Japan — 13.3%
77 Bank	2,000		12
Aeon	3,200		26
Aisin Seiki	2,900		70
Ajinomoto	3,000		28
Alfresa Holdings	300		13
Alpen	300		5
Alps Electric	4,900		28
Amada	2,000		12
AOKI Holdings	300		3
Aoyama Trading	300		4
Asahi Breweries	1,800		32
Asahi Glass	31,000		272
Asahi Kasei	3,000		15
Astellas Pharma	1,500		56
Bank of Kyoto	1,000		9
Bank of Nagoya	2,000		8
Bank of Yokohama	14,000		68
Bridgestone	2,500		40
Brother Industries	500		5
Canon	9,000		348
Canon Finetech	300		4
Casio Computer	1,300		9
Central Japan Railway	3		22
Chiba Bank	15,000		99
Chiba Kogyo Bank*	300		2
Chugai Pharmaceutical	2,200		42
Circle K Sunkus	400		5
Coca-Cola Central Japan	300		4
Create SD Holdings	100		2
Dai Nippon Printing	6,000		74


Description	Shares	Market Value ($ Thousands)
Daicel Chemical Industries	9,000	$	54
Daiichikosho	300		4
Dainippon Screen Manufacturing	10,000		36
Dainippon Sumitomo Pharma	1,600		16
Daishi Bank	3,000		11
Daiwa Securities Group	21,000		113
DCM Japan Holdings	100		1
Denki Kagaku Kogyo	8,000		34
Denso	7,200		202
Dentsu	700		15
eAccess	1		1
East Japan Railway	100		7
Electric Power Development	800		25
Elpida Memory*	2,900		36
FamilyMart	400		13
Fast Retailing	500		91
Fuji Heavy Industries	5,000		20
FUJIFILM Holdings	5,300		145
Fujikura	1,000		5
Fujitsu	18,000		107
Fukuoka Financial Group	16,000		58
Gunma Bank	3,000		18
Hakuhodo DY Holdings	170		8
Higashi-Nippon Bank	2,000		4
HI-LEX	200		2
Hitachi	17,000		46
Hokuhoku Financial Group	27,000		63
Honda Motor	14,235		446
Hosiden	400		4
House Foods	500		8
Hoya	2,200		56
Ibiden	4,100		139
Idemitsu Kosan	1,000		62
IHI	5,000		8
Inpex	18		141
Isetan Mitsukoshi Holdings	2,200		19
IT Holdings	400		5
Itochu Enex	600		3
Itochu Techno-Solutions	200		6
Itochu-Shokuhin	200		7
Izumiya	1,000		4
Japan Radio	10,000		17
Japan Tobacco	22		65
JFE Holdings	10,200		336
JFE Shoji Holdings	1,000		3
JS Group	1,300		21
JSR	1,700		33
Kamigumi	4,000		32
Kaneka	5,000		33
Kansai Electric Power	1,200		30
KDDI	20		108
Kikkoman	1,000		12
Kirin Holdings	10,000		164
Kohnan Shoji	200		2
Komatsu	1,400		28
Konica Minolta Holdings	3,000		28
Kubota	7,000		62
Kuraray	3,000		36
Kyocera	200		16
Kyoei Steel	300		6
Kyorin	1,000		16
Maeda	2,000		5


Description	Shares	Market Value ($ Thousands)
Maeda Road Construction	2,000	$	16
Makino Milling Machine	1,000		3
Makita	1,700		58
Marubeni	2,000		11
Marui Group	1,400		8
Maruichi Steel Tube	900		17
Maxvalu Nishinihon	200		3
Mazda Motor	8,000		17
Millea Holdings	3,000		87
Mitsubishi	20,800		471
Mitsubishi Chemical Holdings	6,000		22
Mitsubishi Electric	13,000		92
Mitsubishi Heavy Industries	3,000		10
Mitsubishi Materials	1,000		2
Mitsubishi UFJ Financial Group	1,700		9
Mitsubishi UFJ Lease & Finance	900		27
Mitsui	1,100		15
Mitsui Engineering & Shipbuilding	5,000		12
Mitsui Home	1,000		5
Mitsui Sumitomo Insurance Group Holdings	1,300		34
Mizuho Securities	7,000		23
Morinaga Milk Industry	2,000		9
Murata Manufacturing	2,700		129
Nafco	200		4
Namco Bandai Holdings	1,500		15
NEC	20,000		51
NEC Fielding	200		3
NEC Networks & System Integration	300		4
NET One Systems	2		2
Nidec	800		70
Nikon	900		16
Nippo	1,000		7
Nippon Electric Glass	12,000		143
Nippon Meat Packers	2,000		25
Nippon Mining Holdings	5,500		22
Nippon Paper Group	1,300		36
Nippon Soda	2,000		7
Nippon Steel	19,000		71
Nippon Telegraph & Telephone	1,700		74
Nipponkoa Insurance	3,000		18
Nishi-Nippon City Bank	1,000		3
Nissan Chemical Industries	1,000		13
Nissan Motor	34,200		249
Nissin Food Products	1,400		51
Nitori	921		77
NSK	1,000		6
NTN	18,000		68
NTT Data	9		26
NTT DoCoMo	62		94
Obic	120		20
OJI Paper	2,000		9
Okuwa	1,000		10
Omron	1,100		18
Onward Holdings	2,000		13
ORIX	850		59
Osaka Gas	13,000		48
Osaka Steel	200		3
Panasonic	9,100		117
Rakuten	190		154
Resona Holdings	1,800		19


Description	Shares	Market Value ($ Thousands)
Ricoh	2,000	$	27
Roland	200		2
San-Ai Oil	2,000		8
San-In Godo Bank	1,000		9
Sanki Engineering	2,000		15
Santen Pharmaceutical	900		31
Sapporo Hokuyo Holdings	6,900		26
Seiko Epson	1,200		19
Sekisui Jushi	1,000		8
Seven & I Holdings	3,500		79
Sharp	11,000		126
Shimano	600		25
Shinko Electric Industries	3,200		45
Shiseido	700		14
Sohgo Security Services	200		2
So-net Entertainment	1		2
Sony	4,200		113
SRI Sports	2		2
Stanley Electric	2,800		56
Sumikin Bussan	2,000		4
Sumitomo	20,400		201
Sumitomo Chemical	7,000		28
Sumitomo Electric Industries	15,000		178
Sumitomo Metal Mining	7,000		115
Sumitomo Seika Chemicals	2,000		8
Sumitomo Trust & Banking	20,000		107
Suzuken	800		29
Suzuki Motor	1,700		40
T&D Holdings	700		16
Tadano	1,000		4
Taisho Pharmaceutical	1,000		18
Taiyo Yuden	3,000		31
Takeda Pharmaceutical	2,700		113
Tanabe Seiyaku	2,000		26
TDK	1,600		84
Teijin	5,000		16
Terumo	100		6
Tohoku Electric Power	1,300		28
Tokyo Broadcasting System HD	600		9
Tokyo Electric Power	1,800		49
Tokyo Electron	1,300		71
Tokyo Steel Manufacturing	300		3
Toppan Forms	500		5
Toppan Printing	7,000		57
Toshiba	40,000		213
Toshiba TEC	2,000		7
Toyo Kohan	2,000		9
Toyo Seikan Kaisha	300		4
Toyo Suisan Kaisha	2,000		55
Toyoda Gosei	200		5
Toyota Motor	10,333		413
Toyota Tsusho	2,200		30
TV Asahi	5		8
West Japan Railway	10		37
Yahoo! Japan	83		25
Yamaha Motor	1,700		20
Yamato Holdings	5,500		76
Yamato Kogyo	500		16


Description	Shares	Market Value ($ Thousands)
Yamazaki Baking	2,000	$	25

			9,916


Malaysia — 0.5%
Bumiputra-Commerce Holdings	34,000		127
Genting	20,000		41
PPB Group	16,000		74
Proton Holdings	14,000		17
Tenaga Nasional	38,000		94
Titan Chemicals*	43,000		15

			368


Mauritius — 0.1%
Golden Agri-Resources	153,398		51


Mexico — 1.1%
America Movil, Ser L	116,200		281
Coca-Cola Femsa, Ser L	11,500		66
Embotelladoras Arca	16,300		48
Grupo Aeroportuario del Pacifico, Ser B, Cl B	11,500		32
Grupo Carso, Ser A1	7,242		22
Grupo Continental	16,000		37
Grupo Mexico, Ser B	61,601		145
Grupo Simec, Ser B, Cl B*	9,500		25
Industrias, Ser B*	8,800		28
Kimberly-Clark de Mexico, Cl A	19,400		82
Wal-Mart de Mexico	9,000		37

			803


Netherlands — 2.2%
Aegon	1,775		13
Akzo Nobel	4,706		298
ArcelorMittal	2,705		105
ASML Holding	8,796		270
CSM	1,671		44
European Aeronautic Defense and Space	3,399		61
Fugro	271		15
Heineken	543		26
Imtech	1,055		27
Koninklijke Ahold	6,484		87
Koninklijke DSM	1,008		50
Koninklijke Philips Electronics	10,390		284
Koninklijke Vopak*	1,044		82
Randstad Holding	1,128		49
Royal KPN	3,249		58
SBM Offshore	2,481		47
TNT	948		27
Unilever	2,304		71

			1,614


New Zealand — 0.0%
Air New Zealand	5,300		5


Norway — 0.8%
BW Offshore*	6,000		9
DnB	19,940		224


Description	Shares	Market Value ($ Thousands)
Marine Harvest*	70,000	$	52
Seadrill	5,300		123
Telenor	15,200		207

			615


Papua New Guinea — 0.0%
Lihir Gold	7,800		26


Peru — 0.0%
Cia de Minas Buenaventura ADR	300		12


Philippines — 0.1%
San Miguel, Cl B	31,000		45


Poland — 0.4%
Asseco Poland	2,000		42
Gant Development*	1,600		14
KGHM Polska Miedz	1,059		41
Polish Oil & Gas	48,000		65
Polski Koncern Naftowy Orlen	6,000		68
Przedsiebiorstwo Eksportu i Importu Kopex*	3,000		28
Synthos*	104,000		44

			302


Portugal — 0.7%
Banco Comercial Portugues, Cl R	39,000		52
Banco Espirito Santo	10,801		75
Energias de Portugal	10,916		50
Galp Energia SGPS, Cl B	12,420		224
Jeronimo Martins	2,332		23
Portugal Telecom	6,051		73

			497


Russia — 0.8%
MMC Norilsk Nickel ADR*	10,000		138
Mobile Telesystems ADR	485		24
Novolipetsk Steel GDR	1,110		34
Rosneft Oil GDR	3,900		31
Sberbank GDR	200		51
Sistema GDR	1,081		19
Surgutneftegaz ADR	4,600		41
Tatneft ADR	4,666		141
Vimpel-Communications ADR	5,890		112

			591


Singapore — 1.3%
CapitaCommercial Trust‡	47,000		39
CapitaMall Trust‡	28,000		35
DBS Group Holdings	21,000		217
Fraser and Neave	8,000		23
Hi-P International, Cl P	4,000		2
Hong Leong Asia	3,000		6
Jardine Cycle & Carriage	4,000		70
Keppel	6,000		35
Oversea-Chinese Banking	19,000		115
SembCorp Industries	16,000		43
SIA Engineering	5,000		10


Description	Shares	Market Value ($ Thousands)
Singapore Airlines	2,000	$	19
Singapore Telecommunications	31,000		66
United Overseas Bank	3,000		41
UOL Group	8,000		21
Wilmar International	52,000		236

			978


South Africa — 1.6%
African Rainbow Minerals	3,000		64
AngloGold Ashanti	2,630		115
Aveng	8,000		40
Bidvest Group	6,060		98
DataTec	16,000		56
FirstRand	7,258		17
Gold Fields	8,000		116
Group	5,478		88
Harmony Gold Mining	6,000		66
Iliad Africa	9,808		12
Impala Platinum Holdings	1,200		28
Investec	5,000		38
Medi-Clinic	22,000		69
Naspers, Cl N	1,000		37
Nedbank Group	4,000		61
Sanlam	36,000		107
Standard Bank Group	12,000		155
Steinhoff International Holdings	16,640		40

			1,207


South Korea — 2.3%
GS Home Shopping	160		11
Hana Financial Group	3,160		91
Hanwha Chemical	1,430		15
Hyundai Mobis	949		122
Hyundai Securities	1,760		21
Hyundai Steel	1,280		85
KISWIRE	240		7
Korea Electric Power	4,300		118
Korea Zinc	300		55
KT&G	150		9
LG	1,680		92
LG Chemical	740		133
LG Dacom	1,090		17
LG Electronics	1,530		136
LG.Philips LCD	3,890		107
Lotte Shopping	240		74
Namyang Dairy Products	30		13
POSCO	100		48
Samsung Electronics	520		322
Samsung SDI	570		62
Shinhan Financial Group	380		15
SK Energy	1,050		98
SK Holdings	670		49
Woori Investment & Securities	2,560		33

			1,733


Spain — 3.7%
Banco Bilbao Vizcaya Argentaria	27,711		522
Banco Popular Espanol	3,058		26
Banco Santander Central Hispano	56,283		964
Gas Natural	1,837		38
Iberdrola	5,101		48
Mapfre	10,000		44


Description	Shares	Market Value ($ Thousands)
Repsol	6,400	$	176
Sacyr Vallehermoso	900		13
Telefonica	32,423		931

			2,762

Sweden — 2.1%
Alliance Oil*	2,113		31
Assa Abloy, Cl B	11,860		217
Boliden	4,527		57
Electrolux, Cl B	7,720		188
Hennes & Mauritz, Cl B	609		36
Nordea Bank	15,110		156
PA Resources*	14,869		55
Svenska Cellulosa, Cl B	20,793		286
Svenska Handelsbanken, Cl A	4,424		127
Swedbank	5,009		48
Swedish Match	1,199		26
Telefonaktiebolaget LM Ericsson, Cl B	21,808		209
TeliaSonera	12,612		89

			1,525


Switzerland — 7.4%
Actelion*	904		53
Adecco	1,262		63
Baloise Holding	945		79
Banque Cantonale Vaudoise	40		16
Compagnie Financiere Richemont	2,056		67
Credit Suisse Group	15,610		808
Helvetia Holding	123		38
Holcim*	3,421		246
Julius Baer Group	1,127		37
Kuehne + Nagel International	194		19
Lindt & Spruengli	6		14
Nestle	16,750		792
Novartis	19,768		1,097
Pargesa Holding	184		15
Roche Holding	3,452		565
Sonova Holding	203		24
Swatch Group, Cl B	485		122
Swatch Group	920		44
Swiss Life Holding	336		41
Swiss Reinsurance	1,959		93
Swisscom	446		174
Syngenta	348		92
Synthes	331		44
UBS	2,785		43
Vontobel Holding	614		19
Xstrata	36,841		646
Zurich Financial Services	1,010		218

			5,469


Taiwan — 2.7%
Acer	43,430		108
Advanced Semiconductor Engineering	41,000		32
Asustek Computer	58,012		115
AU Optronics	122,000		125
Cheng Loong	25,000		9
China Bills Finance*	40,000		11
Chunghwa Telecom	138,358		248
Compal Electronics	72,822		97


Description	Shares	Market Value ($ Thousands)
CTCI	15,204	$	14
Far EasTone Telecommunications	24,000		28
Gigabyte Technology	15,000		14
HON HAI Precision Industry	62,600		264
Lite-On Technology	57,000		76
Mega Financial Holding	160,000		90
POU Chen	19,000		14
Quanta Computer	44,853		91
Shihlin Electric & Engineering	13,000		16
Siliconware Precision Industries	18,000		24
Taishin Financial Holding	158,000		59
Taiwan Cooperative Bank	105,000		65
Taiwan Semiconductor Manufacturing	156,769		298
United Microelectronics	228,000		112
Universal Scientific Industrial	27,000		17
Wistron	41,734		77
Yageo	53,000		15

			2,019


Thailand — 0.3%
Airports of Thailand	33,000		37
Bangkok Bank NVDR	29,000		99
Kasikornbank	11,000		29
Krung Thai Bank NVDR	82,000		22
Thanachart Capital	37,000		24

			211


Turkey — 0.6%
Eczacibasi Ilac Sanayi	48,000		58
Haci Omer Sabanci Holding	7,920		27
KOC Holding*	24,000		58
Petrol Ofisi*	5,250		18
Turk Hava Yollari	31,660		100
Turk Sise ve Cam Fabrikalari	30,609		30
Turkiye Garanti Bankasi	40,044		134
Turkiye Vakiflar Bankasi Tao, Cl D	26,000		52

			477


United Kingdom — 13.3%
3i Group	7,627		34
Aegis Group	6,081		11
Amec	8,605		112
Amlin	5,703		35
Anglo American	9,536		407
Antofagasta	5,510		81
Arriva	3,000		23
AstraZeneca	16,606		740
Autonomy*	2,624		61
Aviva	30,523		185
Babcock International Group	5,562		57
BAE Systems	2,361		13
Balfour Beatty	4,102		17
Barclays	107,310		515
Berkeley Group Holdings*	1,249		18
BG Group	18,551		336
BHP Billiton	13,930		425
BP	101,507		957
British American Tobacco	15,275		463
BT Group, Cl A(A)	33,286		77
Cadbury	2,064		27
Cape*	2,000		7


Description	Shares	Market Value ($ Thousands)
Carnival	1,397	$	47
Catlin Group	7,594		38
Centrica	50,000		209
Charter International	2,432		29
Diageo	5,466		92
Dimension Data Holdings	11,449		14
easyJet*	4,000		24
Eurasian Natural Resources	6,780		96
Firstgroup	9,753		63
Fresnillo	3,566		49
GlaxoSmithKline	29,938		618
Home Retail Group	15,954		77
HSBC Holdings	8,000		93
Imperial Tobacco Group	7,001		203
Inchcape	169,550		77
Informa	1,698		8
International Power	11,033		50
Invensys	9,299		43
Investec	2,142		15
ITV	34,255		29
Kazakhmys	5,506		111
Kier Group	313		5
Kingfisher	34,653		135
Legal & General Group	78,736		100
Lloyds Banking Group	38,741		35
LogicaCMG	13,639		26
London Stock Exchange Group	1,250		15
Marks & Spencer Group	7,125		45
Meggitt	6,000		24
Millennium & Copthorne Hotels	2,724		16
Mondi	2,167		12
National Express Group	1,615		4
National Grid	11,562		125
Next	1,745		57
Old Mutual	109,539		204
Persimmon	6,030		41
Prudential	15,867		163
QinetiQ	9,000		23
Reckitt Benckiser Group	4,221		215
Rio Tinto	10,791		547
Rolls-Royce Group	4,911		38
Royal & Sun Alliance Insurance Group	11,025		21
Royal Bank of Scotland Group	61,610		34
SABMiller	3,861		112
Sage Group	27,606		97
Salamander Energy*	1,836		8
Schroders	1,834		35
Scottish & Southern Energy	1,002		18
Severn Trent	1,812		31
Shire	5,227		102
Standard Life	9,000		31
Taylor Woodrow	54,055		31
Tesco	26,340		183
Thomas Cook Group	8,243		29
Tomkins	12,809		36
Travis Perkins	4,853		60
Unilever	2,679		78
Vodafone Group	169,129		380
WM Morrison Supermarkets	9,844		44


Description	Shares	Market Value ($ Thousands)
WPP	13,900	$	130

			9,876


United States — 0.1%
Thomson Reuters (CAD)	2,100		67

Total Common Stock (Cost $63,307) ($ Thousands)			69,447


PREFERRED STOCK — 2.7%

Brazil — 2.5%
Banco Bradesco	6,600		138
Banco Daycoval	1,800		9
Bombril*	1,000		4
Centrais Eletricas Brasileiras, Cl B	4,000		58
Cia de Bebidas das Americas	2,000		192
Cia Paranaense de Energia	5,000		97
Cia Vale do Rio Doce, Cl A	21,900		531
Confab Industrial	7,600		22
Ferbasa-Ferro Ligas DA Bahia	1,700		11
Gerdau	9,000		140
Investimentos Itau	3,200		21
Itau Unibanco Holding	8,000		174
NET Servicos de Comunicacao*	6,200		86
Parana Banco	1,300		7
Sao Paulo Alpargatas	100		6
Telecomunicacoes de Sao Paulo	2,300		57
Telegraph Norte Celular Participacoes	300		5
Telemar Norte Leste	2,300		84
Universo Online	1,400		7
Usinas Siderurgicas de Minas Gerais, Cl A	4,200		123
Vivo Participacoes	3,100		93

			1,865


France — 0.0%
Bureau Veritas	275		14


Germany — 0.2%
Bayerische Motoren Werke	611		20
Porsche Automobil Holding	466		33
ProSiebenSat.1 Media	3,869		50
Volkswagen	249		21

			124

Total Preferred Stock (Cost $1,784) ($ Thousands)			2,003

	Number Of Rights

RIGHTS — 0.0%

Belgium — 0.0%
Fortis, Expires 07/01/14 (A)(C)(D)	6,068		—


Italy — 0.0%
Piccolo Credito Valtellinese, Expires 01/02/10	1,856		1


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Norway — 0.0%
DnB, Expires 12/14/09		4,430	$	12


Spain — 0.0%
Mapfre, Expires 12/04/09		10,000		—


United Kingdom — 0.0%
Lloyds Banking Group, Expires 12/15/09		51,912		15
National Express Group, Expires 12/16/09		3,768		4

				19

Total Rights (Cost $19) ($ Thousands)				32

	Number Of Warrants

WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12 *		5,951		1


Italy — 0.0%
Mediobanca, Expires 2011		759		—

Total Warrants (Cost $0) ($ Thousands)				1


U.S. TREASURY OBLIGATION — 1.2%
U.S. Treasury Bills 0.130%, 12/03/09 (B)(E)	$	925		925


Total U.S. Treasury Obligation (Cost $925) ($ Thousands)				925


CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A** † 0.130%,		1,098,507		1,099

Total Cash Equivalent (Cost $1,099) ($ Thousands)				1,099

Total Investments — 98.7% (Cost $67,134)($ Thousands)			$	73,507

A summary of the open futures contracts held by the Fund at November 30, 2009, is as follows:


Type of Contract	Number of Contracts Long	Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index	19	Dec-2009	$	20
FTSE 100 Index	6	Dec-2009		18
Hang Seng Index	1	Dec-2009		0
S&P/TSE 60 Index	1	Dec-2009		7
SPI 200 Index	1	Dec-2009		2
Topix Index	5	Dec-2009		(23	)

			$	24

Percentages are based on a Net Assets of $74,441 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2009.

†

Investment in Affiliated Security (See Note 5)

‡

Real Estate Investment Trust

(A)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2009 was $77 ($ Thousands) and represented 0.10% of Net Assets.

(B)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(C)

Security considered restricted. The total value of such security as of November 30, 2009 was $0 and represented 0.00% of net assets.

(D)

Security considered illiquid. The total value of such security as of November 30, 2009 was $0 and represented 0.00% of net assets.

(E)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

CAD — Canadian Dollar

Cl — Class

GDR — Global Depositary Receipt

LIBOR — London Interbank Offered Rate

NVDR — Non-Voting Depositary Receipt

Ser — Series

USD — U.S. Dollar

Amounts designated as "—" are $O or have been rounded to $O.

DJ — Dow Jones

FTSE — Financial Times and the London Stock Exchange

S&P — Standard & Poor’s

SPI — Share Price Index

TSE — Toronto Stock Exchange

The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18^th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the first fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.

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.

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.



Summary Schedules of Investments/Schedules of Investments		1

Statements of Assets and Liabilities		108

Statements of Operations		112

Statements of Changes in Net Assets		116

Financial Highlights		122

Notes to Financial Statements		125

Disclosure of Fund Expenses		143

Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements		145


SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2009		1


	Investments in Common Stock		Investments in Convertible Bonds		Investments in Preferred Stock
Beginning balance as of June 1, 2009	$	—	$	321	$	—
Accrued discounts/premiums		—		12		—
Realized gain/(loss)		—		—		—
Change in unrealized appreciation/(depreciation)		—		100		—
Net purchases/sales		—		348		660
Net transfer in and/or out of Level 3		356		—		—

Ending balance as of November 30, 2009	$	356	$	781	$	660

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—	$	63	$	—


	Investments in Loan Participations			Investments in Common Stock
Beginning balance as of June 1, 2009	$	—		$	88
Accrued discounts/premiums		(2	)		—
Realized gain/(loss)		(24	)		22
Change in unrealized appreciation/(depreciation)		2			(88	)
Net purchases/sales		24			(22	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2009	$	—		$	—

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	—		$	—


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date	Notional Amount (Thousands)			Net Unrealized Appreciation (Depreciation) ($Thousands)
Bank of America	CMBX-NA-AJ 1 Index	Buy	(0.84	)%	10/12/52	$	3,850		$	(1,164	)
Bank of America	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/52		5,500			(1,713	)
Barclays Bank PLC	ABX.HE.AAA 07-1 Index	Sell	0.09		08/25/37		(4,680	)		(2,482	)
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	Sell	0.76		01/25/38		(4,600	)		(77	)
Barclays Bank PLC	ABX.HE.PENAAA 07-2 Index	Sell	0.76		01/25/38		(4,000	)		(30	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/52		16,235			(5,144	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/49		2,000			408
Barclays Bank PLC	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/49		2,000			387
Citigroup	ABX.HE.AAA 06-2 Index	Sell	0.11		05/25/46		(2,087	)		(491	)
Citigroup	ABX.HE.AAA 07-1 Index	Sell	0.09		08/25/37		(3,545	)		(1,870	)
Citigroup	ABX.HE.PENAAA 07-2 Index	Sell	0.76		01/25/38		(8,100	)		344
Citigroup	ABX.HE.PENAAA 07-2 Index	Sell	0.76		01/25/38		(5,500	)		125
Citigroup	Arrow Electric, 6.875% 06/01/18	Buy	(0.82	)	03/20/14		1,485			(1	)
Citigroup	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/52		2,110			(649	)
Citigroup	Darden Restaurants Inc., 6.000% 08/15/35	Buy	(2.73	)	03/20/14		1,435			(83	)
Citigroup	Darden Restaurants Inc., 7.125% 02/01/16	Buy	(2.40	)	03/20/15		1,200			(55	)
Citigroup	DR Horton, Inc., 5.375% 6/15/12	Buy	(1.00	)	09/20/16		1,020			56
Citigroup	Hewlett Packard, 5.400% 03/01/17	Buy	(0.72	)	03/20/14		1,485			(29	)
Citigroup	Home Depot, 5.875% 12/16/36	Buy	(2.67	)	03/20/14		5,100			(447	)
Citigroup	KB Home, 5.750% 2/01/14	Buy	(1.00	)	09/20/16		1,020			89
Citigroup	Lowes Cos. Inc., 8.250% 06/01/10	Buy	(1.20	)	03/20/14		5,320			(129	)
Citigroup	Nordstrom Inc., 6.950%, 03/15/28	Buy	(3.15	)	03/20/14		1,135			(106	)
Credit Suisse	ABX.HE.AA 06-2 Index	Sell	0.17		05/25/46		(4,728	)		(456	)
Credit Suisse	ABX.HE.AA 06-2 Index	Sell	0.17		05/25/46		(5,011	)		(520	)
Credit Suisse	ABX.HE.AAA 06-1 Index	Sell	0.09		08/25/37		(4,000	)		(606	)
Credit Suisse	CMBX-NA-AJ 1 Index	Buy	(0.84	)	10/12/52		390			(122	)
Credit Suisse	General Electric Corp., 5.625% 09/15/17	Sell	6.55		12/20/10		(2,570	)		159
Credit Suisse	Pulte Homes, Inc., 5.250% 1/15/14	Buy	(1.00	)	09/20/16		2,250			65
Credit Suisse	Target Corporation, 4.000% 6/15/13	Buy	(1.00	)	12/20/14		1,280			4
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	Buy	(1.00	)	09/20/16		6,700			288
Deutsche Bank	Centex Corporation, 5.250% 06/15/15	Buy	(4.40	)	12/20/13		600			(87	)
Deutsche Bank	Darden Restaurants Inc., 6.000% 08/15/35	Buy	(2.25	)	03/20/14		1,650			(62	)
Deutsche Bank	Darden Restaurants Inc., 7.125% 02/01/16	Buy	(2.25	)	03/20/13		600			(22	)
Deutsche Bank	DR Horton, Inc., 5.375% 6/15/12	Buy	(1.00	)	09/20/16		800			31
Deutsche Bank	Kohl’S Corporation, 6.250% 12/15/17	Buy	(1.00	)	12/20/14		1,280			(2	)
Deutsche Bank	Nordstrom Inc., 6.950%, 03/15/28	Buy	(2.10	)	03/20/14		1,675			(81	)
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	Buy	(1.00	)	09/20/16		3,050			93
Deutsche Bank	Pulte Homes, Inc., 5.250% 1/15/14	Buy	(1.00	)	09/20/16		2,250			107
Deutsche Bank	Target Corporation, 4.000% 6/15/13	Buy	(1.00	)	12/20/14		1,280			4
Goldman Sachs	ABX.HE.AA 06-2 Index	Sell	0.17		05/25/46		(3,593	)		(355	)
Goldman Sachs	ABX.HE.AAA 07-1 Index	Sell	0.09		08/25/37		(5,420	)		(1,090	)
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	Buy	(1.00	)	09/20/16		795			31
Goldman Sachs	Pulte Homes, Inc., 5.250% 1/15/14	Buy	(1.00	)	09/20/16		1,600			53
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	Buy	(3.56	)	12/20/12		1,970			(176	)
Merrill Lynch	Centex Corporation, 5.250% 06/15/15	Buy	(3.56	)	12/20/12		1,375			(127	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	Sell	0.09		08/25/37		(2,100	)		(440	)
Morgan Stanley	ABX.HE.AAA 07-1 Index	Sell	0.09		08/25/37		(5,200	)		(1,046	)
Morgan Stanley	CDX.IG HVOL.12 Index	Sell	5.00		04/20/14		(6,090	)		553
Morgan Stanley	Darden Restaurants Inc., 7.125% 02/01/16	Buy	(2.25	)	03/20/13		600			(22	)
Morgan Stanley	Kohl’s Corporation, 6.250% 12/15/17	Buy	(1.00	)	12/20/14		1,280			(2	)
Morgan Stanley	Midamerican Energy Corp., 4.625% 10/15/13	Sell	4.00		03/20/11		(5,400	)		238
Royal Bank of Scotland	ABX.HE.AA 06-2 Index	Sell	0.17		05/25/46		(2,837	)		(274	)

									$	(16,925	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($Thousands)
Deutsche Bank	2.90%	3-Month LIBOR	02/28/14	$	87,200,000	$	(2,747	)
Goldman Sachs	4.21	10-YR CMS	05/25/10		9,180,000		46

						$	(2,701	)


	Investments in Asset Backed			Investments in Collateralized Debt Obligations			Investments in Corporate Bonds
Beginning balance as of June 1, 2009	$	3,885		$	28,897		$	321
Accrued discounts/premiums		(52	)		(358	)		12
Realized gain/(loss)		162			6,741			—
Change in unrealized appreciation/(depreciation)		1,069			44,339			100
Net purchases/sales		(3,848	)		(39,787	)		348
Net transfer in and/or out of Level 3		—			—			—

Ending balance as of November 30, 2009	$	1,216		$	39,832		$	781

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	1,069		$	28,684		$	529


	Investments in Convertible Bonds			Investments in Loan Participations			Investments in Common Stock
Beginning balance as of June 1, 2009	$	4		$	10,713		$	—
Accrued discounts/premiums		—			(41	)		—
Realized gain/(loss)		17			(7,522	)		—
Change in unrealized appreciation/(depreciation)		—			7,065			—
Net purchases/sales		(17	)		(2,210	)		33
Net transfer in and/or out of Level 3		—			964			—

Ending balance as of November 30, 2009	$	4		$	8,969		$	33

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	—		$	(75	)	$	—


Credit Default Swap
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date	Notional Amount (Thousands)			Net Unrealized Depreciation ($ Thousands)
Credit Suisse	ABX.HE.AAA 07-1 Index	Sell	0.09	%	08/25/37	$	(1,225	)	$	(640	)


	Investments in Loan Participations		Investments in Total Return Swaps
Beginning balance as of June 1, 2009	$	11,161	$	(975	)
Accrued discounts/premiums		13		—
Realized gain/(loss)		—		—
Change in unrealized appreciation/(depreciation)		1,450		855
Net purchases/sales		6,631		(67	)
Net transfer in and/or out of Level 3		—		—

Ending balance as of November 30, 2009	$	19,255	$	(187	)

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	1,450	$	855


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
ASSETS:
Investments, at value†	$	876,355	*	$	295,367		$	6,183,826	*
Affiliated investment, at value††		119,896			59,302			1,921,734
Cash		4			—			—
Foreign currency, at value†††		—			8			—
Receivable for fund shares sold		69,581			168			7,885
Receivable for investment securities sold		6,428			3,027			—
Dividends and interest receivable		1,935			644			15,679
Receivable for variation margin		112			324			49,719
Foreign tax reclaim receivable		—			—			—
Unrealized gain on foreign spot currency contracts		—			—			—
Unrealized gain on forward foreign currency contracts		—			—			—
Prepaid expenses		10			5			90
Total Assets		1,074,321			358,845			8,178,933
LIABILITIES:
Payable upon return on securities loaned		98,068			—			856,147
Payable for investment securities purchased		5,772			2,902			—
Payable for fund shares redeemed		15,344			161			56,076
Swap contracts, at value††††		—			—			—
Payable for variation margin		15			—			43,852
Unrealized loss on foreign spot currency contracts		—			—			—
Unrealized loss on forward foreign currency contracts		—			—			—
Investment advisory fees payable		176			85			999
CCO fees payable		1			1			13
Trustees fees payable		1			—			2
Accrued expense payable		31			20			343
Total Liabilities		119,408			3,169			957,432
Net Assets	$	954,913		$	355,676		$	7,221,501
† Cost of investments	$	753,983		$	262,898		$	5,246,130
†† Cost of affiliated investments		120,663			74,111			2,190,936
††† Cost of foreign currency		—			9			—
†††† Premiums received		—			—			—
* Includes market value of securities on loan		96,118			—			838,520
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	981,950		$	530,321		$	9,431,468
Undistributed net investment income		2,731			954			27,574
Accumulated net realized gain (loss) on investments, futures, swap contracts and foreign currency		(152,565	)		(198,155	)		(2,992,332	)
Net unrealized appreciation on investments		121,605			17,660			668,494
Net unrealized appreciation on futures contracts		1,192			4,897			86,297
Net unrealized depreciation on swap contracts		—			—			—
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			(1	)		—
Net Assets	$	954,913		$	355,676		$	7,221,501
Net Asset Value, Offering and Redemption Price Per Share — Class A		$14.88			$7.65			$8.85
		($954,912,786 ÷ 64,175,188 shares	)		($355,676,075 ÷ 46,502,594 shares	)		($7,221,500,911 ÷ 816,395,239 shares	)


Large Cap Index Fund		Small Cap Fund		Small/Mid Cap Equity Fund		U.S. Managed Volatility Fund		International Equity Fund

$494,280	*	$1,174,884	*	$2,053,902	*	$279,186		$707,310	*
69,004		235,201		347,514		10,718		52,296
—		16		175		—		15,033
—		50		60		—		2,182
231		341		6,592		332		549
5,635		1,671		3,199		42		28,503
1,249		1,825		2,940		608		2,131
25		253		253		11		—
—		—		—		—		1,154
—		—		—		—		12
—		—		—		—		228
6		15		27		4		10
570,430		1,414,256		2,414,662		290,901		809,408

63,613		201,493		306,892		—		34,393
—		3,264		6,143		461		8,367
6,519		2,022		12,926		376		15,828
—		—		—		—		197
—		—		—		—		150
—		—		2		—		28
—		—		—		—		65
16		520		834		81		193
1		2		4		1		1
—		1		1		—		—
25		58		103		20		67
70,174		207,360		326,905		939		59,289
$500,256		$1,206,896		$2,087,757		$289,962		$750,119
$407,875		$1,097,044		$1,854,436		$239,872		$618,776
69,822		241,364		355,008		10,718		53,168
—		49		60		—		2,182
—		—		—		—		—
62,407		150,257		239,050		—		31,767

$453,606		$1,666,395		$2,673,590		$243,424		$1,159,290
2,483		2,213		1,237		1,058		9,842
(41,812	)	(533,758	)	(779,517	)	6,039		(506,600	)
85,587		71,677		191,972		39,314		87,662
392		369		472		127		269
—		—		—		—		(197	)
—		—		3		—		(147	)
$500,256		$1,206,896		$2,087,757		$289,962		$750,119
$94.17		$9.47		$9.37		$10.94		$7.08
($500,255,568 ÷ 5,312,436 shares	)	($1,206,896,023 ÷ 127,474,196 shares	)	($2,087,757,216 ÷ 222,756,969 shares	)	($289,961,999 ÷ 26,499,808 shares	)	($750,118,898 ÷ 106,010,726 shares	)


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunity Fund
ASSETS:
Investments, at value†	$	3,263,956	*	$	72,408		$	84,261
Affiliated investment, at value††		231,381			1,099			67,940
Repurchase agreements		—			—			4,000
Cash		44,174			431			—
Foreign currency, at value†††		18,925			355			—
Cash held as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			200
Margin call		—			—			—
Receivable for fund shares sold		17,396			252			11
Receivable for investment securities sold		34,395			345			7,241
Dividends and interest receivable		7,903			145			418
Receivable for variation margin		1,113			21			—
Foreign tax reclaim receivable		1,830			39			1
Unrealized gain on foreign spot currency contracts		25			—			—
Unrealized gain on forward foreign currency contracts		—			—			—
Swap contracts, at value††††		617			—			—
Reimbursement of investment advisory fees		—			—			—
Prepaid expenses		42			1			2
Total Assets		3,621,757			75,096			164,074
LIABILITIES:
Payable upon return on securities loaned		164,829			—			—
Payable for loss on securities lending		—			—			—
Payable for investment securities purchased		33,850			465			4,533
Payable for fund shares redeemed		18,356			78			8,540
Income distribution payable		—			—			—
Swap contracts, at value††††		81			—			—
Options written, at value†††††		—			—			—
Swaptions written, at value††††††		—			—			—
Payable to custodian		—			—			134
Payable for variation margin		621			13			14
Overdraft of foreign currency, at value†††		—			—			—
Unrealized loss on foreign spot currency contracts		19			—			—
Unrealized loss on forward foreign currency contracts		262			—			—
Investment advisory fees payable		1,122			26			49
CCO fees payable		6			—			—
Trustees fees payable		1			—			—
Accrued expense payable		238			73			17
Accrued foreign capital gains tax on appreciated securities		1,328			—			—
Total Liabilities		220,713			655			13,287
Net Assets	$	3,401,044		$	74,441		$	150,787
† Cost of investments and repurchase agreements	$	2,809,017		$	66,035		$	96,542
†† Cost of affiliated investments		233,540			1,099			99,758
††† Cost of foreign currency		18,910			354			—
†††† Premiums received		—			—			—
††††† Premiums received		—			—			—
†††††† Premiums received		—			—			—
* Includes market value of securities on loan		154,501			—			—
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	4,082,390		$	95,968		$	205,262
Undistributed net investment income		53,673			868			1,035
Accumulated net realized loss on investments, options contracts, swaptions, futures, swap contracts and foreign currency		(1,189,009	)		(28,799	)		(15,386	)
Net unrealized appreciation (depreciation) on investments and option contracts		452,780			6,373			(40,099	)
Net unrealized appreciation (depreciation) on futures contracts		1,946			24			(25	)
Net unrealized appreciation (depreciation) on swap contracts		536			—			—
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		56			7			—
Accumulated foreign capital gains tax on appreciated securities		(1,328	)		—			—
Net Assets	$	3,401,044		$	74,441		$	150,787
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.89			$7.62			$7.49
		($3,401,043,659 ÷ 343,755,820 shares	)		($74,441,101 ÷ 9,767,607 shares	)		($150,786,830 ÷ 20,144,116 shares	)


Core Fixed Income Fund		High Yield Bond Fund		Long Duration Fund		Emerging Markets Debt Fund		Real Return Fund

$5,428,684	*	$1,428,342	*	$2,083,729		$920,003	*	$264,040
754,240		15,775		73,764		15,340		—
—		—		—		—		—
—		—		7		19,492		1,938
510		—		—		—		—
44,411		—		—		1,863		—
—		1,000		960		—		—
142,520		12,424		—		8,506		1,917
200,296		19,268		—		584		—
39,466		27,897		25,116		16,544		1,696
782		—		268		1		18,842
193		23		58		—		—
—		—		—		—		—
—		—		—		215		—
19,196		909		—		63		—
—		—		—		—		—
67		19		24		9		4
6,630,365		1,505,657		2,183,926		982,620		288,437

657,743		4		—		15,627		—
—		1,911		—		—		—
406,514		35,711		5,000		7,159		—
53,891		17,172		—		4,557		561
1,710		552		—		—		—
59,300		—		851		187		—
340		—		—		—		—
1,042		—		—		—		—
1,739		1,193		—		—		—
670		—		1		—		18,880
—		—		—		1,635		—
—		—		—		—		—
—		—		—		785		—
622		384		311		412		74
10		3		4		2		1
—		—		1		—		—
322		118		85		69		19
—		—		—		—		—
1,183,903		57,048		6,253		30,433		19,535
$5,446,462		$1,448,609		$2,177,673		$952,187		$268,902
$5,490,893		$1,417,496		$1,935,783		$845,482		$250,946
765,209		15,775		73,764		15,627		—
509		—		—		(1,643	)	—
(20,478	)	1,046		(211	)	—		—
(233	)	—		—		—		—
(984	)	—		—		—		—
495,935		5		—		14,924		—

$5,549,564		$1,639,534		$2,069,738		$959,167		$251,810
7,807		3,246		595		9,356		5,236
(17,407	)	(204,880	)	(45,851	)	(89,959	)	(1,170	)
(73,343	)	10,846		147,946		74,234		13,094
(533	)	—		5,885		22		(68	)
(19,626	)	(137	)	(640	)	(124	)	—
—		—		—		(509	)	—
—		—		—		—		—
$5,446,462		$1,448,609		$2,177,673		$952,187		$268,902
$10.15		$8.48		$8.62		$10.52		$10.60
($5,446,462,115 ÷ 536,811,705 shares	)	($1,448,608,710 ÷ 170,863,947 shares	)	($2,177,673,138 ÷ 252,593,778 shares	)	($952,186,528 ÷ 90,469,967 shares	)	($268,901,833 ÷ 25,358,141 shares	)


Large Cap Index Fund			Small Cap Fund			Small/Mid Cap Fund			U.S. Managed Volatility Fund			International Equity Fund

$	5,389		$	7,881		$	13,259		$	3,453		$	7,380
	7			40			60			9			11
	1			407			539			1			438
	242			386			456			—			547
	—			(8	)		(7	)		(18	)		(437	)
	5,639			8,706			14,307			3,445			7,939

	380			3,691			6,475			864			1,880
	112			284			498			66			186
	4			10			18			2			7
	1			3			5			1			2
	12			32			55			8			155
	10			25			45			6			17
	4			10			18			2			7
	3			3			7			2			2
	—			—			—			—			5
	12			26			35			5			55
	538			4,084			7,156			956			2,316

	(292	)		(731	)		(1,676	)		(425	)		(674	)
	(112	)		(284	)		(498	)		(66	)		(186	)
	—			(43	)		(80	)		—			(9	)
	134			3,026			4,902			465			1,447
	5,505			5,680			9,405			2,980			6,492

	(10,576	)		32,003			15,225			7,653			20,380
	—			—			—			—			—
	2,045			9,188			9,866			1,397			3,443
	—			—			—			—			13,616
	—			(9	)		(100	)		—			1,141

	88,267			147,792			323,230			26,700			75,765
	(45	)		80			(167	)		—			155
	(685	)		(3,824	)		(332	)		(395	)		(661	)
	—			—			—			—			(6,331	)
	—			(1	)		2			—			(1,458	)
$	84,511		$	190,909		$	357,129		$	38,335		$	112,542


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund
Investment Income
Dividends	$	32,412		$	669		$	—
Dividends from Affiliated Registered Investment Company⁽¹⁾		51			1			11
Interest Income		1,201			6			2,344
Security Lending Income — Net		1,782			—			—
Less: Foreign Taxes Withheld		(2,776	)		(53	)		—
		32,670			623			2,355
Expenses:
Investment Advisory Fees		8,586			201			372
Administration Fees		781			15			41
Trustee Fees		28			1			2
Chief Compliance Officer Fees		8			—			—
Custodian/Wire Agent Fees		416			91			5
Professional Fees		68			1			4
Printing Fees		28			1			2
Registration Fees		8			—			—
Overdraft Fees		34			2			—
Other Expenses		106			30			23
Total Expenses		10,063			342			449
Less:
Waiver of Investment Advisory Fees		(2,230	)		(79	)		(67	)
Waiver of Administration Fees		(781	)		(15	)		(41	)
Fees Paid Indirectly⁽¹⁾		(27	)		—			—
Net Expenses		7,025			248			341
Net Investment Income		25,645			375			2,014
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		93,436			79			(6,263	)
Affiliated Investments		—			—			(2,304	)
Futures Contracts		25,016			336			(265	)
Written Options		—			—			—
Written Swaptions		—			—			—
Swap Contracts		17,126			—			—
Foreign Currency Transactions		4,719			(132	)		(77	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		359,589			9,823			11,994
Affiliated Investments		484			—			8,035
Futures Contracts		(6,804	)		(176	)		(4	)
Written Options		—			—			—
Written Swaptions		—			—			—
Swap Contracts		(9,017	)		—			—
Foreign Capital Gains Tax		(630	)		—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		(7,130	)		(7	)		79
Net Increase in Net Assets Resulting from Operations	$	502,434		$	10,298		$	13,209


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Emerging Markets Debt Fund			Real Return Fund

$	24		$	438		$	—		$	—		$	—
	197			35			50			—			1
	131,221			72,883			52,379			44,020			6,060
	579			182			—			26			—
	(8	)		—			—			—			—
	132,013			73,538			52,429			44,046			6,061

	7,414			3,410			2,701			4,011			930
	1,236			350			450			236			66
	48			13			16			9			3
	14			4			5			3			1
	157			40			43			45			7
	115			31			39			22			6
	45			12			16			9			2
	19			2			26			2			1
	—			—			—			9			2
	119			100			37			47			9
	9,167			3,962			3,333			4,393			1,027

	(4,472	)		(1,164	)		(1,081	)		(1,555	)		(481	)
	(1,236	)		(350	)		(450	)		(236	)		(66	)
	—			—			—			—			—
	3,459			2,448			1,802			2,602			480
	128,554			71,090			50,627			41,444			5,581

	35,524			29,305			(1,317	)		16,593			5,204
	—			(1,910	)		—			—			—
	7,636			—			2,485			242			(332	)
	2,863			—			—			—			—
	10			—			—			—			—
	(483	)		56			1			526			—
	(1,183	)		—			—			(54	)		36

	323,391			232,223			159,830			99,468			2,222
	(913	)		3,358			—			(4	)		—
	256			—			16,043			(12	)		(68	)
	(317	)		—			—			—			—
	(58	)		—			—			—			—
	(3,001	)		(137	)		35			996			—
	—			—			—			—			—
	403			—			—			(305	)		—
$	492,682		$	333,985		$	227,704		$	158,894		$	12,643


	Large Cap Fund						Large Cap Diversified Alpha Fund
	6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09
Operations:
Net Investment Income	$	6,428		$	7,363		$	2,311		$	5,503
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		12,638			(62,797	)		21,512			(186,360	)
Net Realized Loss on Foreign Currency Transactions		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Future Contracts		111,757			(40,243	)		41,752			(48,205	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		—			—			—			(1	)
Net Increase (Decrease) in Net Assets Resulting from Operations		130,823			(95,677	)		65,575			(229,063	)
Dividends and Distributions From:
Net Investment Income:
Class A		(5,283	)		(6,781	)		(1,357	)		(772	)
Net Realized Gains:
Class A		—			—			—			—
Return of Capital:
Class A		—			—			—			(2,889	)
Total Dividends and Distributions		(5,283	)		(6,781	)		(1,357	)		(3,661	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		366,429			331,341			23,611			188,769
Reinvestment of Dividends & Distributions		4,912			6,761			1,132			3,328
Cost of Shares Redeemed		(68,389	)		(70,379	)		(64,287	)		(180,732	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		302,952			267,723			(39,544	)		11,365
Net Increase (Decrease) in Net Assets		428,492			165,265			24,674			(221,359	)
Net Assets:
Beginning of Period		526,421			361,156			331,002			552,361
End of Period	$	954,913		$	526,421		$	355,676		$	331,002
Undistributed Net Investment Income Included in Net Assets at Period End	$	2,731		$	1,586		$	954		$	—


Large Cap Disciplined Equity Fund						Large Cap Index Fund						Small Cap Fund
6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09

$	64,413		$	126,794		$	5,505		$	8,446		$	5,680		$	14,533
	407,909			(2,910,132	)		(8,531	)		(29,441	)		41,191			(472,584	)
	(788)			(1,882	)		—			—			(9	)		(114	)
	785,444			(668,153	)		87,537			(109,708	)		144,048			(139,527	)
	802			(451	)		—			—			(1	)		10
	1,257,780			(3,453,824	)		84,511			(130,703	)		190,909			(597,682	)


	(37,056	)		(10,906	)		(4,372	)		(8,380	)		(4,385	)		(23,822	)

	—			—			—			(620	)		—			—

	—			(79,835	)		—			—			—			—
	(37,056	)		(90,741	)		(4,372	)		(9,000	)		(4,385	)		(23,822	)


	686,180	⁽²⁾		2,154,108	⁽²⁾		100,137			156,678			111,756			174,015
	36,003			89,812			4,223			8,560			4,004			22,561
	(764,525	)		(1,423,578	)		(38,135	)		(58,516	)		(81,248	)		(408,912	)
	(42,342	)		820,342			66,225			106,722			34,512			(212,336	)
	1,178,382			(2,724,223	)		146,364			(32,981	)		221,036			(833,840	)

	6,043,119			8,767,342			353,892			386,873			985,860			1,819,700
$	7,221,501		$	6,043,119		$	500,256		$	353,892		$	1,206,896		$	985,860
$	27,574		$	217		$	2,483		$	1,350		$	2,213		$	918


	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund⁽³⁾
	6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09
Operations:
Net Investment Income	$	9,405		$	24,678		$	2,980		$	1,288
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		25,091			(654,891	)		9,050			(3,011	)
Net Realized Gain (Loss) on Foreign Currency Transactions		(100	)		(404	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Future Contracts and Swap Contracts		322,731			(220,379	)		26,305			13,136
Net Change in Unrealized Depreciation on Foreign Cap Gains Tax		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		2			9			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		357,129			(850,987	)		38,335			11,413
Dividends and Distributions From:
Net Investment Income:
Class A		(15,630	)		(27,726	)		(2,655	)		(555	)
Net Realized Gains:
Class A		—			—			—			—
Return of Capital:
Class A		—			—			—			—
Total Dividends and Distributions		(15,630	)		(27,726	)		(2,655	)		(555	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		270,357			556,902			29,229			232,207
Reinvestment of Dividends & Distributions		15,192			27,474			2,655			555
Cost of Shares Redeemed		(264,115	)		(353,895	)		(15,462	)		(5,760	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		21,434			230,481			16,422			227,002
Net Increase (Decrease) in Net Assets		362,933			(648,232	)		52,102			237,860
Net Assets:
Beginning of Period		1,724,824			2,373,056			237,860			—
End of Period	$	2,087,757		$	1,724,824		$	289,962		$	237,860
Undistributed Net Investment Income Included in Net Assets at Period End	$	1,237		$	7,462		$	1,058		$	733


International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund⁽⁴⁾						Enhanced LIBOR Opportunities Fund
6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09

$	6,492		$	26,627		$	25,645		$	73,495		$	375		$	1,211		$	2,014		$	5,626
	37,439			(529,662	)		135,578			(1,232,642	)		415			(29,065	)		(8,832	)		(13,555	)
	1,141			(19,516	)		4,719			(43,428	)		(132	)		(174	)		(77	)		(1,934	)
	68,928			(158,270	)		344,252			(190,170	)		9,647			(3,250	)		20,025			(43,748	)
	—			—			(630	)		(343	)		—			—			—			—
	(1,458	)		2,112			(7,130	)		7,784			(7	)		14			79			235
	112,542			(678,709	)		502,434			(1,385,304	)		10,298			(31,264	)		13,209			(53,376	)


	—			(10,879	)		—			—			—			(561	)		(983	)		(3,100	)

	—			(2,062	)		—			—			—			—			—			—

	—			—			—			—			—			—			—			(929	)
	—			(12,941	)		—			—			—			(561	)		(983	)		(4,029	)


	59,083			315,996			491,550			1,523,949			16,592			97,244			3,111			30,159
	—			12,425			—			—			—			507			347			3,943
	(126,382	)		(384,857	)		(314,697	)		(718,008	)		(4,556	)		(13,819	)		(30,010	)		(55,964	)
	(67,299	)		(56,436	)		176,853			805,941			12,036			83,932			(26,552	)		(21,862	)
	45,243			(748,086	)		679,287			(579,363	)		22,334			52,107			(14,326	)		(79,267	)

	704,876			1,452,962			2,721,757			3,301,120			52,107			—			165,113			244,380
$	750,119		$	704,876		$	3,401,044		$	2,721,757		$	74,441		$	52,107		$	150,787		$	165,113
$	9,842		$	3,350		$	53,673		$	28,028		$	868		$	493		$	1,035		$	4


	Core Fixed Income Fund						High Yield Bond Fund
	6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09
Operations:
Net Investment Income	$	128,554		$	296,773		$	71,090		$	132,188
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts		45,550			(53,563	)		27,451			(185,593	)
Net Realized Gain (Loss) on Foreign Currency Transactions		(1,183	)		12,443			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts		319,358			(215,205	)		235,444			(139,297	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		403			(1,392	)		—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		492,682			39,056			333,985			(192,702	)
Dividends and Distributions From:
Net Investment Income:
Class A		(129,784	)		(298,149	)		(69,743	)		(125,601	)
Net Realized Gains:
Class A		—			(90,124	)		—			(10,261	)
Return of Capital:
Class A		—			—			—			—
Total Dividends and Distributions		(129,784	)		(388,273	)		(69,743	)		(135,862	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		1,265,366			1,885,234			198,654			340,771
Reinvestment of Dividends & Distributions		116,879			374,113			65,879			133,130
Cost of Shares Redeemed		(839,274	)		(3,518,985	)		(319,437	)		(305,925	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		542,971			(1,259,638	)		(54,904	)		167,976
Net Increase (Decrease) in Net Assets		905,869			(1,608,855	)		209,338			(160,588	)
Net Assets:
Beginning of Period		4,540,593			6,149,448			1,239,271			1,399,859
End of Period	$	5,446,462		$	4,540,593		$	1,448,609		$	1,239,271
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	7,807		$	(9,037	)	$	3,246		$	367


Long Duration Fund						Emerging Markets Debt Fund						Real Return Fund
6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09			6/1/09 to 11/30/09			6/1/08 to 5/31/09

$	50,627		$	22,752		$	41,444		$	81,032		$	5,581		$	6,064
	1,169			(38,634	)		17,361			(96,832	)		4,872			(4,440	)
	—			—			(54	)		(11,390	)		36			3,101
	175,908			(6,593	)		100,448			(24,829	)		2,154			(5,506	)
	—			—			(305	)		756			—			(610	)
	227,704			(22,475	)		158,894			(51,263	)		12,643			(1,391	)


	(50,014	)		(24,618	)		(39,676	)		(76,229	)		—			(19,450	)

	—			—			—			—			—			(63	)

	—			—			—			—			—			(1,496	)
	(50,014	)		(24,618	)		(39,676	)		(76,229	)		—			(21,009	)


	509,907			1,468,293			96,810			238,272			43,612			70,945
	49,915			24,542			37,782			74,453			—			20,190
	(48,886	)		(72,449	)		(202,849	)		(346,498	)		(47,830	)		(170,387	)
	510,936			1,420,386			(68,257	)		(33,773	)		(4,218	)		(79,252	)
	688,626			1,373,293			50,961			(161,265	)		8,425			(101,652	)

	1,489,047			115,754			901,226			1,062,491			260,477			362,129
$	2,177,673		$	1,489,047		$	952,187		$	901,226		$	268,902		$	260,477
$	595		$	(18	)	$	9,356		$	7,588		$	5,236		$	(345	)


	Net Asset Value, Beginning of Period		Net Investment Income⁽²⁾		Net Realized and Unrealized Gains (Losses) on Securities			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income to Average Net Assets		Portfolio Turnover Rate†
Large Cap Fund
Class A
2009@	$	12.55	$	0.12	$	2.31		$	2.43		$	(0.10	)	$	—		$	(0.10	)	$	14.88	19.51	%	$	954,913	0.25	%	0.26	%	0.47	%	1.74	%	38	%
2009		18.75		0.28		(6.22	)		(5.94	)		(0.26	)		—			(0.26	)		12.55	(31.73	)		526,421	0.25		0.26		0.48		2.16		81
2008		20.31		0.32		(1.52	)		(1.20	)		(0.36	)		—			(0.36	)		18.75	(5.95	)		361,156	0.26		0.26		0.47		1.66		57
2007		16.93		0.28		3.40			3.68			(0.30	)		—			(0.30	)		20.31	21.97			693,994	0.26		0.26		0.46		1.57		47
2006		15.53		0.24		1.44			1.68			(0.28	)		—			(0.28	)		16.93	10.87			801,217	0.25		0.26		0.48		1.47		103
2005		14.47		0.25		1.05			1.30			(0.24	)		—			(0.24	)		15.53	9.02			1,751,751	0.26		0.26		0.47		1.67		43
Large Cap Diversified Alpha Fund
Class A
2009@	$	6.35	$	0.05	$	1.28		$	1.33		$	(0.03	)	$	—		$	(0.03	)	$	7.65	20.95	%	$	355,676	0.31	%	0.31	%	0.47	%	1.32	%	53	%
2009		10.23		0.10		(3.91	)		(3.81	)		(0.07	)**		—			(0.07	)		6.35	(37.33	)		331,002	0.48	*	0.48	*	0.64		1.41		132
2008		11.94		0.13		(1.15	)		(1.02	)		(0.17	)		(0.52	)		(0.69	)		10.23	(8.80	)		552,361	0.64	*	0.64	*	0.79		1.17		77
2007		9.94		0.19		2.04			2.23			(0.16	)		(0.07	)		(0.23	)		11.94	22.64			453,954	0.62	*	0.62	*	0.74		1.77		132
2006⁽¹⁾		10.00		0.04		(0.09	)		(0.05	)		(0.01	)		—			(0.01	)		9.94	(0.49	)		139,046	0.45	*	0.45	*	0.66		1.70		47
Large Cap Disciplined Equity Fund
Class A
2009@	$	7.36	$	0.08	$	1.45		$	1.53		$	(0.04	)	$	—		$	(0.04	)	$	8.85	20.91	%	$	7,221,501	0.19	%	0.19	%	0.47	%	1.92	%	52	%
2009		12.07		0.16		(4.75	)		(4.59	)		(0.12	)***		—			(0.12	)		7.36	(38.18	)		6,043,119	0.19		0.19		0.47		1.97		108
2008		14.38		0.22		(1.54	)		(1.32	)		(0.25	)		(0.74	)		(0.99	)		12.07	(9.57	)		8,767,342	0.19		0.19		0.47		1.70		111
2007††		12.36		0.51		2.27			2.78			(0.30	)		(0.46	)		(0.76	)		14.38	23.15			7,833,212	0.23	⁽³⁾	0.23	⁽³⁾	0.47	⁽³⁾	2.43		135
2006††		12.05		0.26		0.85			1.11			(0.22	)		(0.58	)		(0.80	)		12.36	9.33			4,938,416	0.24		0.24		0.47		2.10		140
2005††		11.18		0.20		0.94			1.14			(0.18	)		(0.09	)		(0.27	)		12.05	10.26			3,531,361	0.31		0.31		0.47		1.69		71
Large Cap Index Fund
Class A
2009@	$	78.92	$	1.07	$	15.03		$	16.10		$	(0.85	)	$	—		$	(0.85	)	$	94.17	20.54	%	$	500,256	0.06	%	0.06	%	0.24	%	2.46	%	7	%
2009		121.02		2.13		(41.96	)		(39.83	)		(2.13	)		(0.14	)		(2.27	)		78.92	(32.99	)		353,892	0.06		0.06		0.25		2.56		18
2008		135.30		2.47		(10.72	)		(8.25	)		(2.52	)		(3.51	)		(6.03	)		121.02	(6.25	)		386,873	0.06		0.06		0.24		1.97		14
2007		113.02		2.29		23.15			25.44			(2.33	)		(0.83	)		(3.16	)		135.30	22.87			416,933	0.06		0.06		0.24		1.88		10
2006		106.24		2.06		7.77			9.83			(1.94	)		(1.11	)		(3.05	)		113.02	9.34			367,084	0.08		0.08		0.24		1.84		20
2005		99.12		1.93		7.20			9.13			(1.82	)		(0.19	)		(2.01	)		106.24	9.29			320,703	0.13		0.13		0.24		1.89		8
Small Cap Fund
Class A
2009@	$	7.97	$	0.05	$	1.48		$	1.53		$	(0.03	)	$	—		$	(0.03	)	$	9.47	19.29	%	$	1,206,896	0.53	%	0.54	%	0.72	%	1.00	%	64	%
2009		12.42		0.11		(4.37	)		(4.26	)		(0.19	)		—			(0.19	)		7.97	(34.27	)		985,860	0.52		0.54		0.72		1.26		122
2008		16.44		0.11		(2.26	)		(2.15	)		(0.12	)		(1.75	)		(1.87	)		12.42	(13.58	)		1,819,700	0.52		0.54		0.72		0.80		99
2007		15.52		0.10		2.85			2.95			(0.12	)		(1.91	)		(2.03	)		16.44	20.32			2,136,857	0.52		0.54		0.72		0.67		92
2006		14.27		0.07		2.55			2.62			(0.06	)		(1.31	)		(1.37	)		15.52	18.93			1,951,138	0.52		0.54		0.72		0.44		119
2005		14.70		0.07		1.38			1.45			(0.05	)		(1.83	)		(1.88	)		14.27	9.81			1,610,876	0.54		0.54		0.72		0.46		94


	Net Asset Value, Beginning of Period		Net Investment Income⁽³⁾		Net Realized and Unrealized Gains (Losses) on Securities			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†		Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)		Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)		Ratio of Net Investment Income to Average Net Assets		Portfolio Turnover Rate†
Small/Mid Cap Equity Fund
Class A
2009@	$	7.85	$	0.04	$	1.55		$	1.59		$	(0.07	)	$	—		$	(0.07	)	$	9.37	20.42	%	$	2,087,757	0.49	%	0.50	%	0.72	%	0.94	%	55	%
2009		12.22		0.12		(4.36	)		(4.24	)		(0.13	)		—			(0.13	)		7.85	(34.70	)		1,724,824	0.48		0.50		0.72		1.40		125
2008		14.95		0.12		(1.91	)		(1.79	)		(0.12	)		(0.82	)		(0.94	)		12.22	(12.14	)		2,373,056	0.49		0.50		0.72		0.97		95
2007††		13.38		0.19		2.57			2.76			(0.13	)		(1.06	)		(1.19	)		14.95	21.60			1,865,746	0.48		0.50		0.72		0.85		104
2006††		11.96		0.09		1.97			2.06			(0.08	)		(0.56	)		(0.64	)		13.38	17.51			1,216,640	0.50		0.53		0.72		0.69		123
2005††		10.70		0.05		1.38			1.43			(0.05	)		(0.12	)		(0.17	)		11.96	13.38			768,897	0.62		0.62		0.72		0.47		98
U.S. Managed Volatility Fund
Class A
2009@	$	9.55	$	0.12	$	1.37		$	1.49		$	(0.10	)	$	—		$	(0.10	)	$	10.94	15.76	%	$	289,962	0.35	%	0.35	%	0.72	%	2.24	%	35	%
2009⁽²⁾		10.00		0.09		(0.51	)		(0.42	)		(0.03	)		—			(0.03	)		9.55	(4.16	)		237,860	0.35		0.35		0.75		2.31		31
International Equity Fund
Class A
2009@	$	6.08	$	0.06	$	0.94		$	1.00		$	—		$	—		$	—		$	7.08	16.45	%	$	750,119	0.39	%	0.39	%	0.62	%	1.74	%	67	%
2009		11.12		0.21		(5.15	)		(4.94	)		(0.09	)		(0.01	)		(0.10	)		6.08	(44.32	)		704,876	0.39	⁽⁹⁾	0.39	⁽⁹⁾	0.61	⁽⁹⁾	3.03		200
2008		14.27		0.37		(1.05	)		(0.68	)		(0.44	)		(2.03	)		(2.47	)		11.12	(5.52	)		1,452,962	0.40	⁽⁸⁾	0.41	⁽⁸⁾	0.62	⁽⁸⁾	2.99		145
2007		14.05		0.37		3.12			3.49			(0.50	)		(2.77	)		(3.27	)		14.27	28.00			1,790,634	0.50	⁽⁵⁾	0.50	⁽⁵⁾	0.71	⁽⁵⁾	2.69		153
2006		11.15		0.29		3.09			3.38			(0.37	)		(0.11	)		(0.48	)		14.05	30.77			1,656,985	0.36		0.36		0.63		2.30		116
2005		10.06		0.23		1.16			1.39			(0.30	)		—			(0.30	)		11.15	13.73			1,677,254	0.43		0.43		0.58		2.12		48
World Equity Ex-US Fund
Class A
2009@	$	8.39	$	0.08	$	1.42		$	1.50		$	—		$	—		$	—		$	9.89	17.88	%	$	3,401,044	0.45	%	0.45	%	0.64	%	1.64	%	61	%
2009		14.56		0.26		(6.43	)		(6.17	)		—			—			—			8.39	(42.38	)		2,721,757	0.45	⁽¹⁰⁾	0.45	⁽¹⁰⁾	0.66	⁽¹⁰⁾	3.03		171
2008		15.96		0.38		(0.51	)		(0.13	)		(0.39	)		(0.88	)		(1.27	)		14.56	(1.14	)		3,301,120	0.57		0.57		0.67		2.58		153
2007		12.99		0.35		3.47			3.82			(0.33	)		(0.52	)		(0.85	)		15.96	30.29			2,053,014	0.71	⁽⁶⁾	0.71	⁽⁶⁾	0.77	⁽⁶⁾	2.45		154
2006		9.81		0.27		3.01			3.28			(0.09	)		(0.01	)		(0.10	)		12.99	33.52			908,582	0.60		0.61		0.76		2.22		104
2005⁽⁴⁾		10.00		0.07		(0.26	)		(0.19	)		—			—			—			9.81	(1.90	)		234,396	0.60		0.60		0.70		4.35		15
Screened World Equity Ex-US Fund
Class A
2009@	$	6.42	$	0.04	$	1.16		$	1.20		$	—		$	—		$	—		$	7.62	18.69	%	$	74,441	0.80	%	0.80	%	1.11	%	1.21	%	58	%
2009⁽¹⁾		10.00		0.14		(3.66	)		(3.52	)		(0.06	)		—			(0.06	)		6.42	(35.12	)		52,107	0.80		0.80		1.10		2.38		101
Enhanced LIBOR Opportunities Fund
Class A
2009@	$	6.95	$	0.09	$	0.49		$	0.58		$	(0.04	)	$	—		$	(0.04	)	$	7.49	8.41	%	$	150,787	0.41	%	0.41	%	0.54	%	2.43	%	13	%
2009		9.11		0.22		(2.22	)		(2.00	)		(0.16	)*		—			(0.16	)		6.95	(22.20	)		165,113	0.41		0.41		0.54		2.91		27
2008		10.14		0.42		(1.00	)		(0.58	)		(0.44	)		(0.01	)		(0.45	)		9.11	(5.88	)		244,380	0.42		0.42		0.55		4.45		25
2007⁽⁷⁾		10.00		0.27		0.03			0.30			(0.16	)		—			(0.16	)		10.14	3.02			123,430	0.44		0.44		0.54		5.84		53
Core Fixed Income Fund
Class A
2009@	$	9.42	$	0.26	$	0.73		$	0.99		$	(0.26	)	$	—		$	(0.26	)	$	10.15	10.60	%	$	5,446,462	0.14	%	0.14	%	0.37	%	5.20	%	103	%
2009		9.95		0.52		(0.38	)		0.14			(0.52	)		(0.15	)		(0.67	)		9.42	1.85			4,540,593	0.14		0.14		0.37		5.56		411
2008		9.99		0.54		(0.04	)		0.50			(0.54	)		—			(0.54	)		9.95	5.10			6,149,448	0.14		0.14		0.37		5.35		432
2007		9.84		0.53		0.14			0.67			(0.52	)		—			(0.52	)		9.99	6.95			5,894,127	0.14		0.14		0.37		5.23		428
2006		10.34		0.47		(0.48	)		(0.01	)		(0.48	)		(0.01	)		(0.49	)		9.84	(0.09	)		4,646,403	0.14		0.14		0.37		4.62		545
2005		10.19		0.41		0.27			0.68			(0.42	)		(0.11	)		(0.53	)		10.34	6.77			4,265,249	0.15		0.15		0.37		3.94		615


	Number of Shares/ Face Amount ($ Thousands)	Acquisition Date	Right to Acquire Date	Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets

Small Cap Fund
Rentech	16,100	4/20/07	4/20/07	$	—	$	5	0.00	%
Scorpio Mining	887	5/5/08	5/5/08		777		781	0.06
Titanium Asset PP	122,200	8/6/07	8/6/07		729		356	0.04
Titanium Asset	122	6/14/07	6/14/07		—		—	0.00
Value Creation	119,600	2/29/08	2/29/08		1,225		12	0.00

				$	2,731	$	1,154	0.10	%


Small/Mid Cap Equity Fund
Rentech	13,800	4/20/07	4/20/07	$	—	$	5	0.00	%
Scorpio Mining	509	5/5/08	5/5/08		499		448	0.02
Titanium Asset PP	122,200	8/6/07	8/6/07		625		306	0.02
Titanium Asset	122	6/14/07	6/14/07		—		—	0.00
Value Creation	85,600	2/29/08	2/29/08		871		9	0.00

				$	1,995	$	768	0.04	%


CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS				CDS ON AN INDEX
REFERENCE ASSET	CORP US$			SOVEREIGN US$	ABS US$			CORP US$			Total
Fair value of written credit derivatives	$	320,340		—	$	(47,721,654	)	$	663,684		$	(46,737,630	)
Maximum potential amount of future payments	$	(7,970,000	)	—	$	(65,401,399	)	$	(6,089,958	)	$	(79,461,357	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹		—		—		—			—			—
Collateral held by the fund can obtain upon occurrence of triggering event		—		—		—			—			—


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
CORE FIXED INCOME FUND	0-6 MONTHS	6-12 MONTHS	1-5 YEARS			5-10 YEARS		> 10 YEARS			Total
Current credit spread* on underlying (in basis points)
0-2,000	—	—	$	(14,059,958	)	$	—		—		$	(14,059,958	)
2,001-4,000	—	—		—			—	$	(27,032,499	)	$	(27,032,499	)
4,001-6,000	—	—		—			—	$	(22,200,000	)	$	(22,200,000	)
> than 6,000	—	—		—			—	$	(16,168,900	)	$	(16,168,900	)
Total	—	—	$	(14,059,958	)	$	—	$	(65,401,399	)	$	(79,461,357	)


LONG DURATION FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS		CDS ON AN INDEX
REFERENCE ASSET	CORP US$	SOVEREIGN US$	ABS US$			CORP US$	Total
Fair value of written credit derivatives	—	—	$	(845,176	)	—	$	(845,176	)
Maximum potential amount of future payments	—	—	$	(1,225,000	)	—	$	(1,225,000	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹	—	—		—		—		—
Collateral held by the fund can obtain upon occurrence of triggering event	—	—		—		—		—


EMERGING MARKETS DEBT FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS				CDS on an INDEX
REFERENCE ASSET	CORP US$	SOVEREIGN US$			ABS US$	CORP US$	Total
Fair value of written credit derivatives	—	$	(62,939	)	—	—	$	(62,939	)
Maximum potential amount of future payments	—	$	(900,000	)	—	—	$	(900,000	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹	—		—		—	—		—
Collateral held by the fund can obtain upon occurrence of triggering event	—		—		—	—		—


	Asset Derivatives				Liability Derivatives
	Six month period ended November 30, 2009 ($ Thousands)				Six month period ended November 30, 2009 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value

World Equity Ex-US
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	—		Unrealized loss on forward foreign currency contracts	$	262
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		3,117	*	Net Assets — Unrealized depreciation on futures contracts		1,171	*
	Net Assets — Unrealized appreciation on swap contracts		617	†	Net Assets — Unrealized depreciation on swap contracts		81	†

Total Derivatives not accounted for as hedging instruments		$	3,734			$	1,514


Core Fixed Income
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	4,379	*	Net Assets — Unrealized depreciation on futures contracts	$	4,912	*
	Net Assets — Unrealized appreciation on swap contracts		46	†	Net Assets — Unrealized depreciation on swap contracts		2,747	†
	Investments, at value		—		Options written, at value		340
	Investments, at value		—		Swaptions written, at value		1,042
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		3,035	†	Net Assets — Unrealized depreciation on swap contracts		19,960	†

Total Derivatives not accounted for as hedging instruments		$	7,460			$	29,001


Long Duration
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	5,910	*	Net Assets — Unrealized depreciation on futures contracts	$	25	*
Credit contracts	Net Assets — Unrealized depreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		640	†

Total Derivatives not accounted for as hedging instruments		$	5,910			$	665


Emerging Markets Debt
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	22	*	Net Assets — Unrealized depreciation on futures contracts	$	—
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		215		Unrealized loss on forward foreign currency contracts		785	*
Credit contracts	Net Assets — Unrealized depreciation on swap contracts		63	†	Net Assets — Unrealized depreciation on swap contracts		—
Equity contracts	Net Assets — Unrealized depreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		187	†

Total Derivatives not accounted for as hedging instruments		$	300			$	972