SEI Institutional Investment 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.

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


COMMON STOCK — 97.6%

Consumer Discretionary — 10.6%
Amazon.com*		0.9	%		72,070	$	12,641
Coach		0.8			209,483		11,844
NIKE, Cl B (A)		0.5			88,750		7,644
priceline.com*		0.6			23,270		9,170
Time Warner		0.5			261,200		7,703
Other Securities		7.3					110,529

							159,531


Consumer Staples — 7.5%
Coca-Cola		0.7			164,473		10,390
PepsiCo		0.5			119,546		7,726
Procter & Gamble		1.7			416,751		25,451
Wal-Mart Stores		0.5			144,904		7,838
Other Securities		4.1					60,591

							111,996


Energy — 9.3%
Canadian Natural Resources		0.6			248,593		9,561
Chevron		1.5			268,496		21,740
ConocoPhillips		0.8			194,271		11,689
Exxon Mobil		0.8			167,001		11,617
Schlumberger		0.6			119,069		9,209
Other Securities		5.0					75,500

							139,316


Financials — 15.7%
American Express		0.7			243,200		10,511
Bank of America		1.0			1,344,802		14,726
Bank of New York Mellon		0.5			284,817		7,687
Berkshire Hathaway, Cl B*		0.8			144,000		11,474
Citigroup*		0.9			3,148,900		13,225
Goldman Sachs Group		0.8			81,513		12,728
JPMorgan Chase		1.5			606,867		22,685
Wells Fargo		1.5			821,462		22,352


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

Other Securities		8.0	%			$	119,661

							235,049


Health Care — 13.1%
Abbott Laboratories		0.6			185,500		8,628
Allergan		0.9			194,045		12,859
Amgen*		0.8			219,947		11,589
Johnson & Johnson		1.3			317,116		19,518
Medco Health Solutions* (A)		0.5			131,500		8,064
Medtronic		0.6			248,200		8,322
Merck		0.8			327,870		11,302
Pfizer		0.9			806,361		13,136
UnitedHealth Group		0.9			387,191		14,140
Other Securities		5.8					88,675

							196,233


Industrials — 10.1%
3M		0.8			136,774		11,486
General Electric		1.1			1,077,653		17,059
United Technologies		0.6			121,363		9,135
Other Securities		7.6					114,553

							152,233


Information Technology — 22.0%
Apple*		2.5			119,056		37,044
Cisco Systems*		1.3			973,804		18,658
Citrix Systems*		0.7			151,993		10,095
EMC*		0.9			607,181		13,048
Google, Cl A*		0.9			23,340		12,970
Intel		0.7			485,148		10,246
International Business Machines		0.5			55,232		7,813
Mastercard, Cl A		0.7			43,627		10,341
Microsoft		1.4			820,985		20,697
Qualcomm		1.5			463,195		21,650
Texas Instruments (A)		1.2			555,266		17,658
Visa, Cl A (A)		0.7			136,869		10,108
Other Securities		9.0					139,362

							329,690


Materials — 3.5%
Other Securities		3.5					52,684


Telecommunication Services — 2.9%
AT&T		1.3			673,646		18,721
Verizon Communications		0.7			334,172		10,697
Other Securities		0.9					13,877

							43,295


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


Utilities — 2.9%
AES*		0.5	%		699,387	$	7,561
Other Securities		2.4					35,592

							43,153

Total Common Stock (Cost $1,305,384) ($ Thousands)							1,463,180


AFFILIATED PARTNERSHIP — 10.6%
SEI Liquidity Fund, L.P. 0.210%(B)**†		10.6			159,125,138		158,265

Total Affiliated Partnership (Cost $159,125) ($ Thousands)							158,265


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		2.4			35,733,658		35,734

Total Cash Equivalent (Cost $35,734) ($ Thousands)							35,734


U.S. TREASURY OBLIGATION (C) (D) — 0.7%
U.S. Treasury Bill 0.040%, 12/16/10		0.7		$	10,912		10,912

Total U.S. Treasury Obligation (Cost $10,912) ($ Thousands)							10,912

Total Investments — 111.3% (Cost $1,511,155) ($ Thousands)						$	1,668,091

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P Composite Index		73		Dec-2010	$	1,363
S&P Mid 400 Index E-MINI		41		Dec-2010		368

					$	1,731

For the six month period ended November 30, 2010, 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 $1,498,857 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $154,226 ($ 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, 2010 was $158,265 ($ 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.

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, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,463,180	$	—	$	—	$	1,463,180
Affiliated Partnership		—		158,265		—		158,265
Cash Equivalent		35,734		—		—		35,734
U.S. Treasury Obligation		—		10,912		—		10,912

Total Investments in Securities	$	1,498,914	$	169,177	$	—	$	1,668,091


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,731	$	—	$	—	$	1,731

Total Other Financial Instruments	$	1,731	$	—	$	—	$	1,731

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.

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


COMMON STOCK — 95.5%

Consumer Discretionary — 11.5%
Amazon.com*		0.6	%		12,275	$	2,153
DIRECTV, Cl A*		0.6			50,638		2,103
Ford Motor*		0.8			190,372		3,034
NIKE, Cl B		0.6			27,750		2,390
priceline.com*		0.6			5,924		2,334
Time Warner		0.6			73,135		2,157
Viacom, Cl B		0.6			54,719		2,070
Other Securities		7.1					26,437

							42,678


Consumer Staples — 8.3%
Coca-Cola		0.6			33,500		2,116
PepsiCo		0.7			38,136		2,465
Philip Morris International		0.7			47,727		2,715
Procter & Gamble		1.3			78,700		4,806
Wal-Mart Stores		1.2			82,581		4,467
Other Securities		3.8					14,453

							31,022


Energy — 8.6%
Chevron		1.6			73,643		5,963
ConocoPhillips		1.3			77,550		4,666
Exxon Mobil		1.8			95,200		6,622
Marathon Oil		0.7			75,394		2,524
Other Securities		3.2					12,241

							32,016


Financials — 13.6%
American Express		1.1			94,359		4,078
Capital One Financial		0.5			51,100		1,902
Chimera Investment‡		0.5			418,048		1,672
JPMorgan Chase		1.3			127,753		4,775
Wells Fargo		1.2			159,137		4,330
Other Securities		9.0					33,829

							50,586


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


Health Care — 12.0%
Abbott Laboratories		0.6	%		50,950	$	2,370
Aetna		0.5			64,900		1,922
Allergan		0.5			25,500		1,690
Amgen*		0.9			63,427		3,342
Cardinal Health		0.7			74,011		2,633
Johnson & Johnson		1.2			71,858		4,423
Medco Health Solutions*		0.7			41,000		2,514
Medtronic		0.7			72,625		2,435
UnitedHealth Group		0.7			64,500		2,356
Other Securities		5.5					21,125

							44,810


Industrials — 9.2%
3M		0.6			28,900		2,427
General Electric		0.8			187,600		2,970
Goodrich		0.6			25,900		2,221
United Continental Holdings*		0.5			63,986		1,771
United Technologies		0.6			31,000		2,333
Other Securities		6.1					22,468

							34,190


Information Technology — 23.0%
Apple*		2.4			29,014		9,028
Cisco Systems*		1.0			191,700		3,673
EMC*		0.8			138,100		2,968
Google, Cl A*		0.7			4,350		2,417
Hewlett-Packard		0.6			57,025		2,391
Intel		0.8			143,100		3,022
International Business Machines		1.9			49,958		7,067
Intuit*		0.6			48,600		2,182
Microsoft		2.4			354,864		8,946
Qualcomm		1.3			104,575		4,888
Texas Instruments		1.2			139,600		4,439
Visa, Cl A		0.8			37,200		2,747
Other Securities		8.5					32,010

							85,778


Materials — 3.5%
Other Securities		3.5					13,038


Telecommunication Services — 2.9%
AT&T		1.4			188,680		5,243
Crown Castle International*		0.5			41,300		1,716
Other Securities		1.0					3,726

							10,685


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

Utilities — 2.9%
AES*		0.6	%		215,226	$	2,327
Other Securities		2.3					8,389

							10,716

Total Common Stock (Cost $314,061) ($ Thousands)							355,519


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		3.6			13,563,485		13,563

Total Cash Equivalent (Cost $13,563) ($ Thousands)							13,563


U.S. TREASURY OBLIGATIONS — 0.4%
Other Securities		0.4					1,412

Total U.S. Treasury Obligation (Cost $1,412) ($ Thousands)							1,412

Total Investments — 99.5% (Cost $329,036) ($ Thousands)						$	370,494

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		13		Dec-2010	$	31
S&P Composite Index		39		Dec-2010		489

					$	520

Percentages are based on a Net Assets of $372,528 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

Cl — Class

S&P

— Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	355,519	$	—	$	—	$	355,519
Cash Equivalent		13,563		—		—		13,563
U.S. Treasury Obligations		—		1,412		—		1,412

Total Investments in Securities	$	369,082	$	1,412	$	—	$	370,494


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	520	$	—	$	—	$	520

Total Other Financial Instruments	$	520	$	—	$	—	$	520

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.

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


COMMON STOCK — 83.1%

Consumer Discretionary — 8.3%
McDonald’s		0.6	%		562,989	$	44,082
Target		0.6			753,248		42,890
Other Securities		7.1					533,891

							620,863


Consumer Staples — 8.9%
Coca-Cola		0.9			1,027,167		64,886
PepsiCo		1.0			1,142,129		73,816
Philip Morris International		0.7			895,806		50,962
Procter & Gamble		1.3			1,636,289		99,928
Walgreen (A)		0.5			961,820		33,519
Wal-Mart Stores		1.3			1,792,861		96,976
Other Securities		3.2					247,197

							667,284


Energy — 9.5%
Chevron		1.5			1,385,357		112,172
ConocoPhillips		1.3			1,564,934		94,162
Exxon Mobil		2.4			2,547,890		177,231
Marathon Oil		0.4			971,929		32,530
Occidental Petroleum		0.5			444,836		39,221
Schlumberger (A)		0.9			873,679		67,570
Other Securities		2.5					185,160

							708,046


Financials — 11.4%
American Express		0.5			857,095		37,044
Bank of America		0.7			4,675,154		51,193
Goldman Sachs Group		0.7			335,793		52,431
JPMorgan Chase		1.6			3,089,361		115,480
PNC Financial Services Group		0.4			615,600		33,150
Prudential Financial		0.5			729,262		36,959
Wells Fargo		1.3			3,449,613		93,864
Other Securities		5.7					429,185

							849,306


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


Health Care — 9.5%
Amgen*		0.9	%		1,219,667	$	64,264
Bristol-Myers Squibb		0.5			1,314,059		33,167
Covidien		0.5			814,832		34,280
Johnson & Johnson		1.2			1,496,160		92,089
Merck		0.8			1,630,398		56,200
Pfizer		1.2			5,366,986		87,428
UnitedHealth Group		0.4			863,607		31,539
Other Securities		4.0					307,867

							706,834


Industrials — 10.1%
Cummins		0.4			315,886		30,679
Emerson Electric (A)		0.5			622,730		34,294
General Electric		1.0			4,607,578		72,938
Honeywell International		0.8			1,238,573		61,569
Union Pacific		0.5			382,141		34,435
United Parcel Service, Cl B		0.4			461,973		32,398
United Technologies		1.2			1,235,270		92,979
Other Securities		5.3					392,231

							751,523


Information Technology — 17.0%
Apple*		2.4			562,645		175,067
Cisco Systems*		1.1			4,145,320		79,424
EMC*		0.4			1,473,025		31,655
Google, Cl A*		0.9			115,608		64,245
Hewlett-Packard		0.8			1,414,456		59,308
Intel		1.3			4,530,221		95,678
International Business Machines (A)		2.2			1,132,169		160,157
Microsoft		2.0			5,780,439		145,725
Oracle		0.8			2,325,409		62,879
Qualcomm		0.7			1,056,510		49,381
Visa, Cl A (A)		0.6			607,421		44,858
Other Securities		3.8					305,858

							1,274,235


Materials — 3.6%
Allegheny Technologies (A)		0.4			616,788		31,888
Other Securities		3.2					238,026

							269,914


Telecommunication Services — 2.5%
AT&T		1.5			3,904,468		108,505
Verizon Communications		0.4			977,331		31,284
Other Securities		0.6					46,220

							186,009


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


Utilities — 2.3%
Other Securities		2.3	%			$	173,879

Total Common Stock (Cost $5,434,261) ($ Thousands)							6,207,893


AFFILIATED PARTNERSHIPS — 18.4%
SEI Liquidity Fund, L.P. 0.210%(B)**†		8.1			614,173,576		606,277
SEI LIBOR Plus Portfolio†		10.3			111,583		768,804

Total Affiliated Partnerships (Cost $1,546,326) ($ Thousands)							1,375,081


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%,**†		4.8			356,322,648		356,323

Total Cash Equivalent (Cost $356,323) ($ Thousands)							356,323


U.S. TREASURY OBLIGATIONS (C) (D) — 1.4%
U.S. Treasury Bills
0.223%, 02/10/11		0.0		$	2,445		2,444
0.040%, 12/16/10		1.4			104,055		104,050

Total U.S. Treasury Obligations (Cost $106,490) ($ Thousands)							106,494

Total Investments — 107.7% (Cost $7,443,400) ($ Thousands)						$	8,045,791

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		528		Dec-2010	$	1,734
S&P Composite Index		4,011		Dec-2010		79,110

					$	80,844

Percentages are based on a Net Assets of $7,471,820 ($ Thousands)

Non-income producing security.

Rate shown is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $595,739 ($ 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, 2010 was $606,277 ($ 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.

Cl — 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, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	6,207,893	$	—	$	—	$	6,207,893
Affiliated Partnerships		768,804		606,277		—		1,375,081
Cash Equivalent		356,323		—		—		356,323
U.S. Treasury Obligations		—		106,494		—		106,494

Total Investments in Securities	$	7,333,020	$	712,771	$	—	$	8,045,791


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	80,844	$	—	$	—	$	80,844

Total Other Financial Instruments	$	80,844	$	—	$	—	$	80,844

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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 — 97.9%

Consumer Discretionary — 11.3%
Amazon.com*		0.5	%		14,789	$	2,594
Comcast, Cl A		0.5			120,325		2,407
Ford Motor* (A)		0.4			142,984		2,279
Home Depot		0.4			72,415		2,188
McDonald’s		0.7			45,880		3,592
Walt Disney		0.6			83,672		3,055
Other Securities		8.2					44,033

							60,148


Consumer Staples — 9.8%
Altria Group		0.4			89,068		2,138
Coca-Cola		1.1			89,420		5,649
Kraft Foods, Cl A		0.4			68,615		2,076
PepsiCo		0.8			68,752		4,443
Philip Morris International		0.8			79,068		4,498
Procter & Gamble		1.4			122,274		7,467
Wal-Mart Stores		0.9			86,979		4,705
Other Securities		4.0					20,965

							51,941


Energy — 11.1%
Chevron		1.3			85,302		6,907
ConocoPhillips		0.7			63,476		3,819
Exxon Mobil		2.8			216,642		15,070
Occidental Petroleum		0.6			34,654		3,055
Schlumberger		0.9			58,266		4,506
Other Securities		4.8					25,934

							59,291


Financials — 15.1%
American Express		0.4			44,934		1,942
Bank of America		0.9			425,518		4,659
Berkshire Hathaway, Cl B*		1.1			73,400		5,849
Citigroup*		0.7			902,245		3,790
Goldman Sachs Group		0.7			21,975		3,431


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

JPMorgan Chase		1.2	%		168,834	$	6,311
SEI (C)		0.0			5,642		127
US Bancorp		0.4			82,043		1,951
Wells Fargo		1.1			206,466		5,618
Wesco Financial		0.0			41		15
Other Securities		8.6					46,496

							80,189


Health Care — 11.1%
Abbott Laboratories		0.6			65,876		3,064
Amgen*		0.4			40,967		2,158
Johnson & Johnson		1.4			117,109		7,208
Merck		0.9			132,243		4,558
Pfizer		1.0			342,380		5,577
Other Securities		6.8					36,561

							59,126


Industrials — 10.9%
3M		0.5			30,446		2,557
Boeing		0.4			32,491		2,072
Caterpillar		0.4			26,888		2,275
General Electric		1.3			453,323		7,176
Union Pacific		0.4			21,716		1,957
United Parcel Service, Cl B		0.4			30,541		2,142
United Technologies		0.6			39,866		3,001
Other Securities		6.9					36,776

							57,956


Information Technology — 18.1%
Apple*		2.3			38,623		12,018
Cisco Systems*		0.9			242,327		4,643
Google, Cl A*		1.1			10,344		5,748
Hewlett-Packard		0.8			100,001		4,193
Intel		0.9			237,058		5,007
International Business Machines		1.4			54,498		7,709
Microsoft		1.5			325,300		8,201
Oracle		0.8			162,367		4,390
Qualcomm		0.6			70,050		3,274
Other Securities		7.8					41,247

							96,430


Materials — 4.1%
Freeport-McMoRan Copper & Gold, Cl B		0.4			20,112		2,038
Other Securities		3.7					19,565

							21,603


Telecommunication Services — 2.9%
AT&T		1.3			250,933		6,973
Verizon Communications		0.7			120,515		3,858
Other Securities		0.9					4,669

							15,500


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


Utilities — 3.5%
Other Securities		3.5	%			$	18,500

							18,500

Total Common Stock (Cost $378,335) ($ Thousands)							520,684


AFFILIATED PARTNERSHIP — 9.2%
SEI Liquidity Fund, L.P. 0.210% (B)**†		9.2			49,675,240		48,998

Total Affiliated Partnership (Cost $49,676) ($ Thousands)							48,998


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		2.0			10,711,388		10,711

Total Cash Equivalent (Cost $10,711) ($ Thousands)							10,711


U.S. TREASURY OBLIGATIONS — 0.2%
Other Securities		0.2					1,228

Total U.S. Treasury Obligations (Cost $1,228) ($ Thousands)							1,228


RIGHTS — 0.0%
Other Securities		0.0					2

Total Rights (Cost $2) ($ Thousands)							2

Total Investments — 109.3% (Cost $439,952) ($ Thousands)						$	581,623

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		194		Dec-2010	$	657
S&P Mid 400 Index E-MINI		18		Dec-2010		128

					$	785

Percentages are based on a Net Assets of $532,181 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $48,242 ($ 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, 2010 was $48,998 ($ 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.

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	520,684	$	—	$	—	$	520,684
Affiliated Partnership		—		48,998		—		48,998
Cash Equivalent		10,711		—		—		10,711
U.S. Treasury Obligations		—		1,228		—		1,228
Rights		2		—		—		2

Total Investments in Securities	$	531,397	$	50,226	$	—	$	581,623


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	785	$	—	$	—	$	785

Total Other Financial Instruments	$	785	$	—	$	—	$	785

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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 — 85.1%

Consumer Discretionary — 11.9%
American Public Education* (A)		0.3	%		117,670	$	4,021
Cato, Cl A		0.3			150,937		4,309
J Crew Group*		0.2			74,688		3,265
MDC Partners, Cl A		0.2			237,700		3,390
Rent-A-Center, Cl A		0.3			127,600		3,552
Saks*		0.3			351,860		3,920
Talbots*		0.4			456,890		5,254
Tempur-Pedic International*		0.2			94,008		3,301
Zumiez*		0.3			132,475		4,214
Other Securities		9.4					136,655

							171,881


Consumer Staples — 2.1%
Other Securities		2.1					31,029


Energy — 5.7%
Berry Petroleum, Cl A		0.2			85,648		3,264
Comstock Resources*		0.4			259,067		6,347
Goodrich Petroleum*		0.3			360,257		4,737
PetroHawk Energy*		0.4			286,860		5,115
Scorpio Tankers*		0.3			373,274		3,714
World Fuel Services		0.3			165,821		4,991
Other Securities		3.8					54,268

							82,436


Financials — 18.5%
Aspen Insurance Holdings		0.2			122,600		3,543
Equity Residential‡		0.3			71,250		3,561
Financial Engines*		0.3			243,782		4,125
Infinity Property & Casualty		0.2			57,159		3,300
MarketAxess Holdings		0.2			185,251		3,370
MFA Mortgage Investments‡		0.3			545,612		4,447
MGIC Investment* (A)		0.2			395,530		3,370


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Platinum Underwriters Holdings		0.3	%		112,884	$	4,880
Public Storage‡		0.2			36,574		3,533
Simon Property Group‡		0.3			39,397		3,881
Other Securities		16.0					230,266

							268,276


Health Care — 8.5%
ICU Medical*		0.2			93,700		3,434
NuVasive*		0.3			191,884		4,482
Par Pharmaceutical*		0.2			95,170		3,419
Other Securities		7.8					111,226

							122,561


Industrials — 15.1%
Aegean Marine Petroleum Network		0.3			456,582		4,018
AerCap Holdings*		0.3			315,676		4,101
Carlisle		0.3			126,370		4,628
CoStar Group*		0.3			70,310		3,708
EMCOR Group*		0.3			190,918		5,117
FTI Consulting*		0.3			104,200		3,714
Geo Group*		0.3			146,600		3,533
Resources Connection		0.3			231,777		3,878
WESCO International*		0.4			127,164		6,068
Other Securities		12.3					180,754

							219,519


Information Technology — 16.0%
Atheros Communications*		0.3			145,748		4,746
Atmel*		0.2			345,700		3,592
Ceva*		0.3			189,300		4,392
Netlogic Microsystems*		0.3			129,848		4,051
Quest Software*		0.3			148,228		3,750
Teradyne*		0.3			309,126		3,666
VistaPrint*		0.4			154,506		6,230
Other Securities		13.9					201,286

							231,713


Materials — 4.3%
NewMarket		0.3			36,875		4,639
WR Grace*		0.3			115,771		3,875
Other Securities		3.7					53,971

							62,485


Telecommunication Services — 0.7%
Other Securities		0.7					10,679


Utilities — 2.3%
NorthWestern		0.3			135,184		3,895
Portland General Electric		0.4			274,374		5,808
Unisource Energy		0.2			97,758		3,438


Description	Percentage of Net Assets (%)			Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Other Securities		1.4	%			$	20,591

							33,732

Total Common Stock (Cost $1,027,714) ($ Thousands)							1,234,311


CASH EQUIVALENT — 14.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%,**†		14.2			205,242,265		205,242

Total Cash Equivalent (Cost $205,242) ($ Thousands)							205,242


U.S. TREASURY OBLIGATIONS (C)(D) — 0.9%
U.S. Treasury Bills 0.199%, 12/16/10		0.9		$	12,848		12,847
0.181%, 06/30/11		0.0			369		369

Total U.S. Treasury Obligations (Cost $13,216) ($ Thousands)							13,216


AFFILIATED PARTNERSHIP — 0.3%
SEI Liquidity Fund, L.P. 0.210% (B)**†		0.3			4,174,947		3,735

Total Affiliated Partnership (Cost $4,175) ($ Thousands)							3,735


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.0%
Other Securities		0.0					503


Energy — 0.0%
Other Securities		0.0					223


Financials — 0.1%
Other Securities		0.1					869

Total Preferred Stock (Cost $1,576) ($ Thousands)							1,595


CONVERTIBLE BONDS — 0.0%

Consumer Discretionary — 0.0%
Other Securities		0.0					252


Energy — 0.0%
Other Securities		0.0					518

Total Convertible Bonds (Cost $746) ($ Thousands)							770


WARRANTS — 0.0%
Other Securities		0.0					101

Total Warrants (Cost $53) ($ Thousands)							101


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

EXCHANGE TRADED FUNDS — 0.0%
Other Securities		0.0	%	$	376

Total Exchange Traded Funds (Cost $377) ($ Thousands)					376


RIGHTS — 0.0%

United States — 0.0%
Other Securities		0.0			—

Total Rights (Cost $—) ($ Thousands)					—

Total Investments — 100.6% (Cost $1,253,099) ($ Thousands)				$	1,459,346

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:

Type of

Contract

Number of
Contracts
Long (Short)

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

2,682

Dec-2010

3,594

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:

Maturity
Date

Currency
to Deliver
(Thousands)

Currency
to Receive
(Thousands)

Unrealized
Appreciation
($ Thousands)

12/2/10-12/14/10

CAD

1,503

USD

1,481

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Barclays Capital	$	115	$	116	$	1
Credit Suisse First Boston		110		111		1
State Street		307		308		1
UBS		931		946		15

					$	18

Percentages are based on a Net Assets of $1,449,947 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010

†

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, 2010. The total value of securities on loan at November 30, 2010 was $3,735 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $3,735 ($ 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.

CAD — Canadian Dollar

Cl — Class

L.P. — Limited Partnership

USD — United States Dollar

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,233,830	$	130	$	351	$	1,234,311
Cash Equivalent		205,242		—		—		205,242
U.S. Treasury Obligations		—		13,216		—		13,216
Affiliated Partnership		—		3,735		—		3,735
Preferred Stock		—		1,595		—		1,595
Convertible Bonds		—		518		252		770
Warrants		8		93		—		101
Exchange Traded Funds		376		—		—		376
Rights		—		—		—		—

Total Investments in Securities	$	1,439,456	$	19,287	$	603	$	1,459,346


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	3,594	$	—	$	—	$	3,594
Forwards		—		18		—		18

Total Other Financial Instruments	$	3,594	$	18	$	—	$	3,612

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):


	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2010	$	358		$	1,031
Accrued discounts/premiums		—			(32	)
Realized gain/(loss)		—			(201	)
Change in unrealized appreciation/(depreciation)		(7	)		16
Net purchases/sales		—			(562	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2010	$	351		$	252

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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 — 96.6%

Consumer Discretionary — 15.3%
American Eagle Outfitters		0.3	%		389,028	$	6,419
Dick’s Sporting Goods* (A)		0.3			180,091		6,161
Gaylord Entertainment* (A)		0.3			173,590		5,959
Guess?		0.3			113,109		5,344
Interpublic Group* (A)		0.3			550,750		5,866
Jarden		0.3			185,150		5,684
National CineMedia		0.3			323,487		6,036
Penn National Gaming*		0.4			239,393		8,405
Phillips-Van Heusen		0.3			82,280		5,582
Other Securities		12.5					248,549

							304,005


Consumer Staples — 2.7%
Del Monte Foods		0.4			407,295		7,629
Green Mountain Coffee Roasters* (A)		0.3			161,131		5,975
Other Securities		2.0					40,048

							53,652


Energy — 5.8%
Berry Petroleum, Cl A (A)		0.5			231,611		8,827
Dril-Quip*		0.3			80,090		6,202
Key Energy Services* (A)		0.3			509,623		5,249
Whiting Petroleum*		0.4			78,659		8,657
Other Securities		4.3					86,683

							115,618


Financials — 17.6%
American Financial Group		0.3			164,635		5,066
Boston Properties‡ (A)		0.3			71,488		5,991
Endurance Specialty Holdings		0.3			119,406		5,267
Host Hotels & Resorts‡		0.3			388,106		6,396
MFA Mortgage Investments‡ (A)		0.3			693,707		5,654


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

Simon Property Group‡		0.3	%		52,179	$	5,140
Zions Bancorporation (A)		0.4			407,007		7,916
Other Securities		15.4					309,500

							350,930


Health Care — 10.2%
Catalyst Health Solutions*		0.3			129,745		5,569
Cooper (A)		0.3			112,584		6,023
Gen-Probe*		0.3			121,286		6,290
Hill-Rom Holdings (A)		0.3			137,950		5,460
Par Pharmaceutical*		0.3			170,239		6,117
Other Securities		8.7					174,134

							203,593


Industrials — 15.7%
ArvinMeritor* (A)		0.4			417,899		7,459
Atlas Air Worldwide Holdings*		0.3			119,366		6,513
BE Aerospace*		0.3			149,608		5,311
Gardner Denver		0.4			115,383		7,552
SYKES Enterprises*		0.3			326,783		6,013
WESCO International*		0.4			147,738		7,050
Other Securities		13.6					271,647

							311,545


Information Technology — 18.0%
Acme Packet* (A)		0.5			181,169		8,874
Ansys*		0.3			117,650		5,706
Cavium Networks* (A)		0.4			183,579		6,755
Fairchild Semiconductor International, Cl A* (A)		0.3			452,295		6,355
GSI Commerce* (A)		0.5			438,062		10,448
Microsemi*		0.4			311,794		6,903
Parametric Technology*		0.3			282,460		6,050
Power Integrations (A)		0.3			146,876		5,918
Riverbed Technology* (A)		0.4			215,140		7,295
VistaPrint* (A)		0.3			167,640		6,759
Other Securities		14.3					288,487

							359,550


Materials — 5.7%
Lubrizol		0.3			55,150		5,766
Other Securities		5.4					107,314

							113,080


Telecommunication Services — 1.8%
MetroPCS Communications* (A)		0.3			584,289		7,099
NII Holdings*		0.6			294,229		11,404
SBA Communications, Cl A* (A)		0.3			144,239		5,647
Other Securities		0.6					10,784

							34,934


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


Utilities — 3.8%
Great Plains Energy (A)		0.3	%		303,460	$	5,659
Portland General Electric		0.3			304,234		6,441
Other Securities		3.2					63,525

							75,625

Total Common Stock (Cost $1,566,469) ($ Thousands)							1,922,532


AFFILIATED PARTNERSHIP — 29.6%
SEI Liquidity Fund, L.P. 0.210% (B)**†		29.6			597,115,146		588,950

Total Affiliated Partnership (Cost $597,115) ($ Thousands)							588,950


CASH EQUIVALENT — 4.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		4.2			83,707,707		83,708

Total Cash Equivalent (Cost $83,708) ($ Thousands)							83,708


U.S. TREASURY OBLIGATION (C) (D) — 0.3%
U.S. Treasury Bill 0.082%, 12/16/10		0.3		$	6,756		6,756

Total U.S. Treasury Obligation (Cost $6,756) ($ Thousands)							6,756


EXCHANGE TRADED FUNDS — 0.2%
Other Securities		0.2					3,660

Total Exchange Traded Funds (Cost $3,519) ($ Thousands)							3,660


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.1%
Other Securities		0.1					791


Financials — 0.0%
Other Securities		0.0					696

Total Preferred Stock (Cost $1,420) ($ Thousands)							1,487


CONVERTIBLE BOND — 0.0%

Energy — 0.0%
Other Securities		0.0					886

Total Convertible Bond (Cost $414) ($ Thousands)							886


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


WARRANTS — 0.0%
Other Securities		0.0	%	$	58

Total Warrants (Cost $122) ($ Thousands)					58

Total Investments — 131.0% (Cost $2,259,523) ($ Thousands)				$	2,608,037

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		331		Dec-2010	$	909
S&P Mid 400 Index E-MINI		182		Dec-2010		492

					$	1,401

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
1/5/11		AUD	1,236		USD	1,188	$	8
1/5/11		USD	1,205		AUD	1,236		(25	)

							$	(17	)

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Capital	$	1,265	$	1,273	$	8
Deutsche Bank Securities		499		487		(12	)
UBS		293		284		(9	)
Westpac Banking		268		264		(4	)

					$	(17	)

Percentages are based on a Net Assets of $1,991,012 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

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, 2010. The total value of securities on loan at November 30, 2010 was $577,992 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $588,950 ($ Thousands).

(C)

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

(D)

The rate reported is the 7-day effective yield as of November 30, 2010.

AUD — Australian Dollar

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

USD — United States Dollar

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,922,107	$	124	$	301	$	1,922,532
Affiliated Partnership		—		588,950		—		588,950
Cash Equivalent		83,708		—		—		83,708
U.S. Treasury Obligation		—		6,756		—		6,756
Exchange Traded Funds		3,660		—		—		3,660
Preferred Stock		—		1,487		—		1,487
Convertible Bond		—		886		—		886
Warrants		—		58		—		58

Total Investments in Securities	$	2,009,475	$	598,261	$	301	$	2,608,037


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts*	$	1,401	$	—		$	—	$	1,401
Forwards		—		(17	)		—		(17	)

Total Other Financial Instruments	$	1,401	$	(17	)	$	—	$	1,384

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):


	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2010	$	308		$	699
Accrued discounts/premiums		—			(9	)
Realized gain/(loss)		—			(639	)
Change in unrealized appreciation/(depreciation)		(7	)		414
Net purchases/sales		—			(465	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2010	$	301		$	—

Changes in unrealized gains/(losses) included in earning related to securities still held at reporting date	$	(7	)	$	—

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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 — 98.4%

Consumer Discretionary — 8.6%
Amazon.com*		1.4	%		10,734	$	1,883
priceline.com*		1.3			4,702		1,853
Other Securities		5.9					8,266

							12,002


Consumer Staples — 17.5%
Altria Group		1.2			71,246		1,710
Brown-Forman, Cl B		1.1			24,736		1,618
Campbell Soup		0.8			33,039		1,120
Hershey		1.5			44,189		2,068
Hormel Foods		1.9			54,833		2,691
Kellogg		0.7			20,460		1,007
Kimberly-Clark		1.4			31,354		1,941
Lorillard		1.2			20,920		1,665
McCormick		0.7			22,330		983
Philip Morris International		1.3			30,778		1,751
Reynolds American		1.2			54,646		1,690
Sysco		1.0			47,748		1,385
Other Securities		3.5					4,935

							24,564


Energy — 4.0%
Chevron		0.7			11,777		954
Other Securities		3.3					4,703

							5,657


Financials — 13.9%
Arch Capital Group*		1.3			20,721		1,871
Bank of Hawaii		0.9			28,201		1,221
Commerce Bancshares		1.3			46,726		1,755
Cullen/Frost Bankers		1.0			26,418		1,414
RenaissanceRe Holdings		1.0			24,113		1,454
Other Securities		8.4					11,773

							19,488


Health Care — 20.7%
Abbott Laboratories		1.4			40,555		1,886
Alexion Pharmaceuticals*		0.6			11,516		880


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

AmerisourceBergen		1.7	%		76,620	$	2,364
Amgen*		1.5			38,935		2,052
Becton Dickinson		1.2			21,772		1,697
Biogen Idec*		1.2			26,724		1,710
C.R. Bard		1.6			25,860		2,194
Cardinal Health		1.3			52,833		1,880
Eli Lilly		1.0			42,271		1,423
Forest Laboratories*		1.0			42,613		1,359
Johnson & Johnson		1.0			23,581		1,452
McKesson		1.5			33,000		2,108
SXC Health Solutions*		0.8			29,089		1,116
Techne		1.0			23,180		1,392
Other Securities		3.9					5,471

							28,984


Industrials — 4.1%
Other Securities		4.1					5,725


Information Technology — 11.0%
Analog Devices		1.1			45,810		1,629
Cognizant Technology Solutions, Cl A*		1.4			29,360		1,908
International Business Machines		1.3			13,377		1,892
Tech Data*		1.0			32,513		1,433
Texas Instruments		1.2			53,656		1,706
WebMD Health, Cl A*		0.7			18,750		962
Other Securities		4.3					5,886

							15,416


Materials — 3.1%
Newmont Mining		1.0			24,820		1,460
Other Securities		2.1					2,902

							4,362


Telecommunication Services — 2.3%
Verizon Communications		0.6			24,494		784
Other Securities		1.7					2,484

							3,268


Utilities — 13.2%
AGL Resources		0.7			27,868		1,024
Atmos Energy		0.9			39,928		1,201
Nicor		0.6			18,826		814
NSTAR		1.3			43,325		1,794
SCANA		0.6			19,362		787
UGI		0.6			30,226		897
Vectren		0.7			39,829		1,032
Wisconsin Energy		1.4			32,156		1,936
Other Securities		6.4					8,920

							18,405

Total Common Stock (Cost $108,574) ($ Thousands)							137,871


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


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%**†		1.6	%		2,205,050	$	2,205

Total Cash Equivalent (Cost $2,205) ($ Thousands)							2,205


U.S. TREASURY OBLIGATION (A) — 0.5%
Other Securities		0.5					778

Total U.S. Treasury Obligation (Cost $778) ($ Thousands)							778

Total Investments — 100.5% (Cost $111,557) ($ Thousands)						$	140,854

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:

Type of
Contract

Number of
Contracts
Long (Short)

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

Dec-2010

Percentages are based on a Net Assets of $140,200 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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

Cl — Class

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest 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, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	137,871	$	—	$	—	$	137,871
Cash Equivalent		2,205		—		—		2,205
U.S. Treasury Obligation		—		778		—		778

Total Investments in Securities	$	140,076	$	778	$	—	$	140,854


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	39	$	—	$	—	$	39

Total Other Financial Instruments	$	39	$	—	$	—	$	39

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

LOGO


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


COMMON STOCK — 95.9%

Argentina — 0.0%
Other Securities		0.0	%			$	69


Australia — 4.0%
Australia & New Zealand Banking Group		0.6			141,116		3,067
BHP Billiton		0.5			63,563		2,605
Newcrest Mining		0.5			62,683		2,384
Rio Tinto (A)		0.4			26,856		2,117
Other Securities		2.0					11,545

							21,718


Austria — 0.4%
Other Securities		0.4					2,041


Belgium — 1.3%
InBev		0.6			62,091		3,389
Other Securities		0.7					3,663

							7,052


Bermuda — 0.1%
Other Securities		0.1					714


Brazil — 2.1%
Other Securities		2.1					11,195


Canada — 4.2%
Silver Wheaton*		0.5			68,200		2,517
Other Securities		3.7					20,247

							22,764


Chile — 0.5%
Other Securities		0.5					2,663


China — 0.9%
Other Securities		0.9					4,668


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


Cyprus — 0.0%
Other Securities		0.0	%			$	13


Denmark — 1.2%
Novo-Nordisk, Cl B		0.5			29,206		2,897
Other Securities		0.7					3,334

							6,231


Finland — 1.3%
Other Securities		1.3					7,116


France — 8.0%
BNP Paribas		0.9			81,820		4,857
Safran		0.4			73,726		2,316
Sanofi-Aventis		0.9			78,381		4,753
Schneider Electric		0.9			33,671		4,740
Other Securities		4.9					26,417

							43,083


Germany — 7.6%
BASF		0.5			38,191		2,859
Fresenius Medical Care		0.7			60,515		3,503
Linde		0.9			32,959		4,616
Siemens		1.0			48,041		5,271
Other Securities		4.5					24,666

							40,915


Greece — 0.1%
Other Securities		0.1					593


Hong Kong — 4.1%
Swire Pacific, Cl A		0.6			223,000		3,434
Other Securities		3.5					18,723

							22,157


India — 0.0%
Other Securities		0.0					254


Ireland — 0.6%
Experian		0.5			230,573		2,637
Other Securities		0.1					463

							3,100


Israel — 0.6%
Teva Pharmaceutical Industries ADR		0.4			47,061		2,355
Other Securities		0.2					981

							3,336


Italy — 1.2%
Other Securities		1.2					6,228


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


Japan — 18.1%
Honda Motor		0.7	%		106,800	$	3,837
KDDI		0.5			453		2,587
Mitsubishi		0.5			106,400		2,688
Nippon Telegraph & Telephone		0.5			53,800		2,434
Sony		0.6			84,300		2,990
Unicharm		0.5			66,400		2,592
Other Securities		14.8					80,372

							97,500


Jersey — 0.0%
Other Securities		0.0					139


Macau — 0.1%
Other Securities		0.1					282


Malaysia — 0.2%
Other Securities		0.2					927


Mexico — 0.1%
Other Securities		0.1					283


Netherlands — 5.6%
Akzo Nobel		0.6			60,597		3,268
ING Groep		0.5			278,455		2,466
Royal Dutch Shell, Cl A		0.5			81,606		2,464
TNT		0.5			117,582		2,814
Unilever		0.8			156,378		4,451
Other Securities		2.7					14,927

							30,390


New Zealand — 0.1%
Other Securities		0.1					583


Norway — 1.2%
DnB		0.7			286,345		3,504
Other Securities		0.5					3,164

							6,668


Portugal — 0.2%
Other Securities		0.2					852


Russia — 0.1%
Other Securities		0.1					542


Singapore — 1.2%
Other Securities		1.2					6,668


South Africa — 0.9%
Other Securities		0.9					4,598


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


South Korea — 2.6%
Hyundai Mobis		0.5	%		12,585	$	2,985
Samsung Electronics		0.7			5,045		3,594
Other Securities		1.4					7,603

							14,182


Spain — 0.9%
Other Securities		0.9					5,005


Sweden — 2.1%
Other Securities		2.1					11,327


Switzerland — 7.3%
Givaudan		0.6			3,293		3,324
Nestle		1.1			107,294		5,872
Novartis		1.1			116,974		6,250
Roche Holding		0.7			25,750		3,560
SGS		0.5			1,469		2,421
Sulzer		0.5			18,449		2,416
UBS		0.5			183,632		2,769
Xstrata		0.4			118,429		2,383
Other Securities		1.9					10,428

							39,423


Taiwan — 0.2%
Other Securities		0.2					878


Thailand — 0.3%
Other Securities		0.3					1,419


Turkey — 0.2%
Other Securities		0.2					1,204


United Kingdom — 15.9%
AstraZeneca		0.8			91,508		4,269
BG Group		0.7			209,756		3,794
British American Tobacco		0.4			65,467		2,376
HSBC Holdings		0.5			249,269		2,517
Kingfisher		0.6			938,084		3,433
Lloyds Banking Group		0.4			2,567,596		2,415
Rio Tinto		1.1			91,225		5,795
Rio Tinto ADR (A)		0.3			23,200		1,488
Rolls-Royce Group		0.7			388,654		3,686
Tesco		0.6			524,714		3,385
Vodafone Group		1.7			3,629,339		9,086
Other Securities		8.1					43,100

							85,344


United States — 0.4%
Other Securities		0.4					2,419

Total Common Stock (Cost $479,381) ($ Thousands)							516,543


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


WARRANTS — 0.3%
Other Securities		0.3	%			$	1,383

Total Warrants (Cost $990) ($ Thousands)							1,383


PREFERRED STOCK — 0.3%

Germany — 0.3%
Other Securities		0.3					1,584

Total Preferred Stock (Cost $1,103) ($ Thousands)							1,584


RIGHTS — 0.0%

China — 0.0%
Other Securities		0.0					53


Sweden — 0.0%
Other Securities		0.0					24

Total Rights (Cost $—) ($ Thousands)							77


AFFILIATED PARTNERSHIP — 3.0%
SEI Liquidity Fund, L.P. 0.210%**† (B)		3.0			16,734,018		15,976

Total Affiliated Partnership (Cost $16,734) ($ Thousands)							15,976


CASH EQUIVALENT — 1.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%**†		1.9			10,137,410		10,137

Total Cash Equivalent (Cost $10,137) ($ Thousands)							10,137


U.S. TREASURY OBLIGATION — 0.6%
U.S. Treasury Bill
0.199%, 12/16/10 (C) (D)		0.6		$	3,406		3,405

Total U.S. Treasury Obligation (Cost $3,405) ($ Thousands)							3,405

Total Investments — 102.0% (Cost $511,750) ($ Thousands)						$	549,105

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		128		Dec-2010	$	(261	)
FTSE Index		40		Dec-2010		(82	)
Hang Seng Index		2		Dec-2010		(2	)
Nikkei 225 Index		5		Dec-2010		21
SPI 200 Index		9		Dec-2010		(16	)
Topix Index		26		Dec-2010		160

					$	(180	)

Percentages are based on a Net Assets of $538,304 ($ Thousands)

Non-income producing.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $15,751 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities on November 30, 2010 was $15,976 ($ 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.

ADR — American Depositary Receipt

Cl — Class

DJ — Dow Jones

FTSE — Financial Times and the London Stock Exchange

L.P. — Limited Partnership

SPI — Share Price Index

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	516,543	$	—	$	—	$	516,543
Warrants		—		1,383		—		1,383
Preferred Stock		1,584		—		—		1,584
Rights		77		—		—		77
Affiliated Partnership		—		15,976		—		15,976
Cash Equivalent		10,137		—		—		10,137
U.S. Treasury Obligation		—		3,405		—		3,405

Total Investments in Securities	$	528,341	$	20,764	$	—	$	549,105


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(180	)	$	—	$	—	$	(180	)

Total Other Financial Instruments	$	(180	)	$		$	—	$	(180	)

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

For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $109,092 ($ Thousands). The transfers related to the fair value of certain international securities.

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 — 92.8%

Argentina — 0.1%
Other Securities		0.1	%			$	2,260


Australia — 3.3%
BHP Billiton		0.6			696,200		28,537
Coal & Allied Industries		0.0			3,073		332
Rio Tinto (A)		0.6			328,074		25,866
Other Securities		2.1					92,457

							147,192


Austria — 0.1%
Other Securities		0.1					3,913


Belgium — 0.9%
Delhaize Group ADR (A)		0.5			321,500		22,058
Other Securities		0.4					18,430

							40,488


Bermuda — 0.1%
Other Securities		0.1					6,391


Brazil — 3.8%
Cia de Saneamento Basico do Estado de Sao Paulo ADR (A)		0.7			718,700		32,449
Cia Paranaense de Energia ADR (A)		0.6			1,025,600		25,681
Other Securities		2.5					111,022

							169,152


Canada — 7.0%
Canadian National Railway		0.6			445,828		28,466


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

Canadian Natural Resources (A)		0.6	%		741,900	$	28,525
Other Securities		5.8					256,513

							313,504


Chile — 0.2%
Other Securities		0.2					8,413


China — 2.7%
Air China, Cl H		0.1			3,030,000		3,949
China Petroleum & Chemical, Cl H		0.2			9,828,000		9,150
China Telecom, Cl H		0.0			1,710,000		861
Yanzhou Coal Mining ADR (A)		0.2			328,200		9,055
Other Securities		2.2					98,006

							121,021


Colombia — 0.0%
Other Securities		0.0					1,572


Cyprus — 0.0%
Other Securities		0.0					1,778


Czech Republic — 0.0%
Other Securities		0.0					1,705


Denmark — 1.2%
Novo-Nordisk, Cl B		0.8			370,634		36,769
Other Securities		0.4					17,753

							54,522


Egypt — 0.1%
Other Securities		0.1					5,591


Finland — 1.1%
Other Securities		1.1					48,555


France — 4.8%
BNP Paribas		0.5			425,325		25,247
France Telecom ADR		0.5			1,020,400		20,826
LVMH Moet Hennessy Louis Vuitton (A)		0.6			179,678		27,331
Other Securities		3.2					140,857

							214,261


Germany — 5.1%
BASF		0.7			405,150		30,326
SAP		0.5			492,959		23,063
Other Securities		3.9					176,185

							229,574


Guernsey — 0.2%
Other Securities		0.2					7,210


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


Hong Kong — 3.2%
China Mobile		0.5	%		2,110,007	$	21,044
CNOOC		0.6			13,350,297		28,950
Hong Kong Exchanges and Clearing		0.5			968,200		22,180
Other Securities		1.6					72,096

							144,270


Hungary — 0.1%
Other Securities		0.1					6,249


India — 1.7%
Other Securities		1.7					75,041


Indonesia — 0.8%
Other Securities		0.8					37,901


Ireland — 0.7%
Covidien		0.5			595,000		25,032
Other Securities		0.2					7,458

							32,490


Israel — 1.1%
Teva Pharmaceutical Industries ADR		0.7			620,591		31,055
Other Securities		0.4					17,840

							48,895


Italy — 1.0%
Other Securities		1.0					42,912


Japan — 12.3%
Fanuc		0.5			159,600		22,844
Hitachi		0.6			5,304,000		25,073
Komatsu		0.8			1,223,796		33,864
Mitsubishi UFJ Financial Group		0.5			4,478,686		21,172
Nippon Telegraph & Telephone		0.4			434,900		19,676
Toyota Motor		0.4			494,747		19,017
Other Securities		9.1					411,195

							552,841


Kazakhstan — 0.0%
Other Securities		0.0					2,101


Macau — 0.0%
Other Securities		0.0					1,214


Malaysia — 0.7%
Other Securities		0.7					29,157


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


Mexico — 1.8%
Other Securities		1.8	%			$	82,523


Netherlands — 3.0%
Royal Dutch Shell ADR, Cl A(A)		0.5			389,100		23,606
Royal Dutch Shell, Cl A		0.6			802,107		24,219
Royal Dutch Shell, Cl B		0.1			180,992		5,378
Royal Dutch Shell, Cl A (GBP) (C)		0.2			345,073		10,404
Other Securities		1.6					70,555

							134,162


Netherlands Antilles — 0.4%
Other Securities		0.4					16,972


New Zealand — 0.0%
Other Securities		0.0					1,841


Norway — 1.3%
Statoil ADR (A)		0.5			1,077,300		21,535
Other Securities		0.8					35,861

							57,396


Pakistan — 0.0%
Other Securities		0.0					324


Panama — 0.2%
Other Securities		0.2					7,847


Peru — 0.1%
Other Securities		0.1					4,783


Poland — 0.4%
Other Securities		0.4					16,279


Portugal — 0.3%
Other Securities		0.3					12,390


Russia — 0.5%
Other Securities		0.5					24,593


Singapore — 1.0%
Other Securities		1.0					45,116


South Africa — 1.0%
Sasol ADR		0.5			542,100		24,215
Other Securities		0.5					21,826

							46,041


South Korea — 3.7%
Hyundai Motor		0.5			167,655		24,944
Kia Motors		0.5			490,730		20,719


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

Samsung Electronics		0.4	%		27,357	$	19,490
Other Securities		2.3					102,412

							167,565


Spain — 0.9%
Telefonica		0.5			1,120,979		23,917
Other Securities		0.4					14,561

							38,478


Sweden — 1.8%
Hennes & Mauritz, Cl B		0.4			535,734		18,085
Other Securities		1.4					60,878

							78,963


Switzerland — 4.3%
Nestle		0.9			715,273		39,147
Novartis		0.7			579,337		30,952
Zurich Financial Services ADR		0.5			1,014,600		22,626
Other Securities		2.2					101,372

							194,097


Taiwan — 1.8%
Other Securities		1.8					81,421


Thailand — 1.0%
Other Securities		1.0					43,352


Turkey — 1.0%
Other Securities		1.0					46,667


United Kingdom — 14.0%
AstraZeneca ADR (A)		0.4			415,800		19,513
AstraZeneca		0.7			706,715		32,968
BG Group		0.4			994,405		17,987
British American Tobacco ADR		0.4			222,600		16,228
British American Tobacco		0.8			1,052,118		38,185
Carnival		0.4			443,879		18,125
GlaxoSmithKline ADR		0.5			565,300		21,640
HSBC Holdings		0.4			1,866,130		18,841
Reckitt Benckiser Group		0.5			429,674		22,751
Rio Tinto		0.6			402,740		25,587
Rio Tinto ADR (A)		0.2			137,600		8,824
Standard Chartered		0.6			947,304		25,537
Tesco		0.4			3,072,495		19,824
Other Securities		7.7					345,310

							631,320


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


United States — 2.0%
RenaissanceRe Holdings		0.5	%		389,700	$	23,491
Other Securities		1.5					67,193

							90,684

Total Common Stock (Cost $3,785,262) ($ Thousands)							4,172,987


PREFERRED STOCK — 1.4%

Brazil — 0.2%
Other Securities		0.2					11,252


Germany — 1.2%
Volkswagen		0.8			216,477		34,887
Other Securities		0.4					16,964

							51,851

Total Preferred Stock (Cost $40,187) ($ Thousands)							63,103


EXCHANGE TRADED FUND — 0.0%
Other Securities		0.0					266

Total Exchange Traded Fund (Cost $244) ($ Thousands)							266


WARRANTS — 0.0%
Other Securities		0.0					38

Total Warrants (Cost $—) ($ Thousands)							38


RIGHTS — 0.0%

Brazil — 0.0%
Other Securities		0.0					—


China — 0.0%
Other Securities		0.0					311

Total Rights (Cost $—) ($ Thousands)							311


AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.210%*† (B)		7.4			336,574,902		333,998

Total Affiliated Partnership (Cost $336,575) ($ Thousands)							333,998


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%*†		3.8			172,448,084		172,448

Total Cash Equivalent (Cost $172,448) ($ Thousands)							172,448


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

U.S. TREASURY OBLIGATION — 0.8%
U.S. Treasury Bill 0.199%, 12/16/10 (C) (D)		0.8	%	$	34,809	$	34,807

Total U.S. Treasury Obligation (Cost $34,805) ($ Thousands)							34,807

Total Investments — 106.2% (Cost $4,369,521) ($ Thousands)						$	4,777,958

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,871		Dec-2010	$	(2,877	)
FTSE Index		577		Dec-2010		(65	)
Hang Seng Index		42		Dec-2010		(38	)
Nikkei 225 Index		11		Dec-2010		45
S&P TSE 60 Index		170		Dec-2010		1,305
SPI 200 Index		140		Dec-2010		(204	)
Topix Index		398		Dec-2010		2,082

					$	248

Percentages are based on a Net Assets of $4,500,797 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $317,808 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $333,998 ($ 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.

ADR — American Depositary Receipt

Cl — Class

DJ — Dow Jones

FTSE — Financial Times and the London Stock Exchange

British Pound Sterling

L.P. — Limited Partnership

S&P — Standard & Poor’s

SPI — Share Price Index

TSE — Toronto Stock Exchange

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,172,987	$	—	$	—	$	4,172,987
Preferred Stock		63,103		—		—		63,103
Exchange Traded Fund		266		—		—		266
Warrants		38		—		—		38
Rights		311		—		—		311
Affiliated Partnership		—		333,998		—		333,998
Cash Equivalent		172,448		—		—		172,448
U.S. Treasury Obligation		—		34,807		—		34,807

Total Investments in Securities	$	4,409,153	$	368,805	$	—	$	4,777,958


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	248	$	—	$	—	$	248

Total Other Financial Instruments	$	248	$	—	$	—	$	248

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

For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $411,166 ($ Thousands). The transfers related to the fair value of certain international securities.

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 — 90.7%

Australia — 3.6%
BHP Billiton		1.1	%		21,279	$	872
Rio Tinto		0.9			8,591		677
Other Securities		1.6					1,349

							2,898


Austria — 0.1%
Other Securities		0.1					62


Belgium — 0.8%
Other Securities		0.8					630


Brazil — 1.3%
Other Securities		1.3					1,036


Canada — 7.7%
Canadian National Railway		0.9			11,610		741
Canadian Natural Resources		0.9			17,800		684
EnCana		0.6			17,769		492
Other Securities		5.3					4,211

							6,128


China — 1.9%
Other Securities		1.9					1,551


Denmark — 1.7%
Novo-Nordisk, Cl B		1.1			8,702		863
Other Securities		0.6					496

							1,359


Finland — 1.6%
Stora Enso, Cl R		0.4			40,344		348
Other Securities		1.2					929

							1,277


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


France — 5.3%
BNP Paribas		1.0	%		13,225	$	785
LVMH Moet Hennessy Louis Vuitton		0.7			3,820		581
Sanofi-Aventis		0.5			6,953		422
Other Securities		3.1					2,450

							4,238


Germany — 5.6%
Allianz		0.5			3,374		371
BASF		1.2			12,122		907
Fresenius Medical Care		0.5			6,393		370
SAP		0.6			9,739		456
Other Securities		2.8					2,336

							4,440


Greece — 0.0%
Other Securities		0.0					32


Guernsey — 0.2%
Other Securities		0.2					127


Hong Kong — 3.1%
Hong Kong Exchanges and Clearing		0.5			18,800		431
Swire Pacific, Cl A		0.5			25,500		393
Other Securities		2.1					1,613

							2,437


Hungary — 0.1%
Other Securities		0.1					101


India — 0.2%
Other Securities		0.2					162


Indonesia — 0.4%
Other Securities		0.4					285


Ireland — 0.2%
Other Securities		0.2					181


Israel — 1.1%
Teva Pharmaceutical Industries ADR		0.7			11,155		558
Other Securities		0.4					299

							857


Italy — 1.2%
Enel		0.6			94,738		446
Other Securities		0.6					476

							922


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


Japan — 15.2%
Canon		0.5	%		8,795	$	414
Fanuc		0.7			3,600		515
Hitachi		0.8			131,000		619
Komatsu		1.0			27,600		764
Mitsubishi UFJ Financial Group		0.9			149,100		705
Nippon Telegraph & Telephone		0.5			9,300		421
Takeda Pharmaceutical		0.5			8,700		404
Toyota Motor		0.5			10,072		387
Other Securities		9.8					7,918

							12,147


Macau — 0.0%
Other Securities		0.0					38


Malaysia — 1.2%
CIMB Group Holdings		0.5			155,600		415
Other Securities		0.7					571

							986


Mexico — 1.4%
Wal-Mart de Mexico		0.5			128,600		364
Other Securities		0.9					733

							1,097


Netherlands — 1.9%
Other Securities		1.9					1,532


New Zealand — 0.1%
Other Securities		0.1					60


Norway — 0.8%
Other Securities		0.8					669


Peru — 0.2%
Other Securities		0.2					125


Philippines — 0.1%
Other Securities		0.1					113


Poland — 0.7%
Other Securities		0.7					557


Portugal — 0.3%
Other Securities		0.3					265


Russia — 0.0%
Other Securities		0.0					32


Singapore — 1.1%
Other Securities		1.1					865


South Africa — 0.3%
Other Securities		0.3					258


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


South Korea — 2.4%
Kia Motors		0.6	%		11,310	$	477
Other Securities		1.8					1,468

							1,945


Spain — 1.3%
Telefonica		0.7			27,770		592
Other Securities		0.6					440

							1,032


Sweden — 2.6%
Hennes & Mauritz, Cl B		0.5			11,178		377
Other Securities		2.1					1,664

							2,041


Switzerland — 5.3%
Nestle		1.3			19,014		1,041
Novartis		1.0			14,206		759
Roche Holding		0.5			3,039		420
UBS		0.4			23,257		351
Other Securities		2.1					1,636

							4,207


Taiwan — 1.5%
High Tech Computer		0.5			13,500		374
Other Securities		1.0					853

							1,227


Thailand — 0.8%
Other Securities		0.8					638


Turkey — 0.6%
Other Securities		0.6					463


United Kingdom — 15.6%
AstraZeneca		1.0			17,143		800
BG Group		0.8			34,417		623
BHP Billiton		0.6			14,445		514
BP		0.6			68,569		455
British American Tobacco		1.2			27,187		987
Carnival		0.5			9,924		405
HSBC Holdings		0.8			59,711		603
Kingfisher		0.4			93,182		341
Reckitt Benckiser Group		0.6			9,371		496
Rio Tinto		1.0			12,502		794
Standard Chartered		0.8			23,827		642
Tesco		0.5			61,510		397
Vodafone Group		0.5			150,793		377
Other Securities		6.3					4,972

							12,406


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


United States — 1.2%
Other Securities		1.2	%			$	942

Total Common Stock (Cost $66,615) ($ Thousands)							72,368


PREFERRED STOCK — 1.3%

Germany — 1.3%
Volkswagen		0.9			4,603		742
Other Securities		0.4					298

							1,040


South Korea — 0.0%
Other Securities		0.0					8

Total Preferred Stock (Cost $668) ($ Thousands)							1,048


WARRANTS — 0.0%
Other Securities		0.0					2

Total Warrants (Cost $—) ($ Thousands)							2


RIGHTS — 0.0%

China — 0.0%
Other Securities		0.0					7

Total Right (Cost $—) ($ Thousands)							7


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.120%*†		4.6			3,635,154		3,635

Total Cash Equivalent (Cost $3,635) ($ Thousands)							3,635


U.S. TREASURY OBLIGATION (A) — 0.4%
Other Securities		0.4					318

Total U.S. Treasury Obligation (Cost $318) ($ Thousands)							318

Total Investments — 97.0% (Cost $71,236) ($ Thousands)						$	77,378

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		35		Dec-2010	$	(66	)
FTSE Index		10		Dec-2010		(8	)
Hang Seng Index		1		Dec-2010		(1	)
S&P TSE 60 Index		3		Dec-2010		19
SPI 200 Index		3		Dec-2010		(9	)
Topix Index		9		Dec-2010		43

					$	(22	)

Percentages are based on a Net Assets of $79,762 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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

ADR — American Depositary Receipt

Cl — Class

DJ — Dow Jones

FTSE — Financial Times and London Stock Exchange

S&P — Standard & Poor’s

SPI — Stock Price Index

TSE — Toronto Stock Exchange

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands).


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	72,368	$	—	$	—	$	72,368
Preferred Stock		1,048		—		—		1,048
Warrants		—		2		—		2
Rights		7		—		—		7
Cash Equivalent		3,635		—		—		3,635
U.S. Treasury Obligation		—		318		—		318

Total Investments in Securities	$	77,058	$	320	$	—	$	77,378


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(22	)	$	—	$	—	$	(22	)

Total Other Financial Instruments	$	(22	)	$	—	$	—	$	(22	)

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

For the six month period ended November 30, 2010, the transfers out of Level 1 and into Level 2 were $— ($ Thousands) and the transfers out of Level 2 into Level 1 were $10,942 ($ Thousands). The transfers related to the fair value of certain international securities.

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)


LOAN PARTICIPATIONS — 22.5%
Advantage Sales & Marketing
0.000%, 04/05/17 (E)	$	488	$	490
Affinion Group Holdings
5.000%, 10/08/16		498		494
Alliant Insurance Service Term Loan
3.289%, 08/21/14		679		658
Allison Transmission
3.040%, 08/07/14		423		408
3.010%, 08/07/14		247		238
Aramark Facility
0.106%, 01/26/14		27		27
Aramark US Term Loan
2.164%, 01/26/14		341		336
Asurion 1st Lien Term Loan
3.286%, 07/03/14		75		69
3.254%, 07/03/14		204		190
3.253%, 07/03/14		241		224
Atlantic Broadband Finance
0.000%, 11/26/15 (E)		500		501
BBN Acquisitions
5.000%, 09/14/15		388		390
Biomet Dollar Term Loan
3.289%, 03/25/15		332		329
3.256%, 03/25/15		82		81
3.255%, 03/25/15		19		19
Blount International
5.500%, 07/29/16		450		450
Booz Allen Hamilton Tranche B Term Loan
7.500%, 07/31/15		111		111
Burlington Coat Factory
2.540%, 05/28/13		294		286
2.530%, 05/28/13		291		283
Calpine
3.165%, 03/29/14		195		194
CDW
4.276%, 10/12/14		304		294
2.276%, 10/12/14		145		140


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

Cedar Fair
5.500%, 12/15/16	$	559	$	564
Celanese US Holdings LLC Term Loan
1.790%, 04/02/14		321		318
Cengage Learning Holdco
2.540%, 06/28/14		591		545
CF Industries Term Loan B1
4.500%, 04/05/15		101		101
Charter
2.260%, 03/15/14		58		57
Charter Communications Term Loan C
3.540%, 09/06/16		527		515
Cinemark USA
2.268%, 10/05/13		53		52
2.050%, 10/05/13		251		247
2.040%, 10/05/13		76		75
2.010%, 10/05/13		74		73
CIT Group
0.000%, 08/11/15 (E)		300		305
Clear Channel
3.905%, 01/29/16		427		338
Community Health Systems Delayed Draw Term Loan
2.549%, 07/25/14		42		41
Community Health Systems Funded Term Loan
2.549%, 07/25/14		850		827
2.510%, 07/25/14		2		2
Dana Holding
4.540%, 01/31/15		253		252
4.510%, 01/31/15		96		96
Dunkin Brands
0.000%, 11/18/17 (E)		175		177
Dynegy Holdings
4.010%, 04/02/13		684		664
Federal Mogul
2.188%, 12/29/14		456		410
2.188%, 12/28/15		233		209
Fidelity National Infomation Services
5.303%, 07/18/16		420		425
Flextronics International Term A-2
2.506%, 10/01/14		261		257
Flextronics International Term A-3
2.506%, 10/01/14		305		299
Ford Motor Company
3.255%, 11/08/14		500		471
Freescale Semiconductor
4.506%, 12/01/16		563		529
Goodman Global
0.166%, 10/06/16		350		352
Graham Packaging
6.000%, 09/23/16		126		127
6.000%, 08/09/16		124		125


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

Graphic Packaging
3.020%, 05/16/14	$	11	$	11
3.004%, 05/16/14		15		14
3.001%, 05/16/14		22		22
Graphic Packaging International Incremental Term Loan
3.040%, 05/16/14		173		172
3.039%, 05/16/14		164		163
Harrah’s Operating, Ser B-2
3.288%, 01/28/15		668		584
HCA Tranche B Term Loan
2.539%, 11/18/13		858		840
Hertz
2.089%, 12/21/12		116		115
2.010%, 12/21/12		360		356
Hertz, Ser B
2.010%, 12/21/12		267		263
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		355		344
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		158		153
Hub International Delayed Draw Term Loan
2.789%, 06/13/14		91		88
Hub International Initial Term Loan
2.789%, 06/13/14		405		391
Iasis Healthcare LLC Delayed Draw Term Loan
2.255%, 03/15/14		61		59
Iasis Healthcare LLC Synthetic Letter of Credit
2.256%, 03/15/14		17		16
Iasis Healthcare LLC Term Loan B
2.255%, 03/15/14		174		169
IMS Health Term Loan B
5.250%, 02/26/16		198		200
Infor Enterprise Solutions
6.110%, 07/28/12		421		396
Infor Global Enterprise Solutions
6.505%, 03/02/14		27		19
Infor Global Enterprise Solutions Tranche 1
6.505%, 03/02/14		138		97
Infor Global Solutions
6.010%, 07/28/15		220		207
Infor Global Solutions Intermediate Holdings
6.506%, 03/02/14		305		214
Integra Telecom
9.250%, 04/07/15		569		574
Intelsat
3.290%, 02/01/14		450		428
Intersil Corp
4.750%, 04/26/16		125		126


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

Intersil Term Loan B
4.750%, 04/26/16	$	124	$	125
Inventiv Health
6.599%, 05/07/16		299		301
Knology
5.500%, 09/13/16		500		501
Lamar Media
4.250%, 10/01/16		443		445
Live Nation Entertainment
4.500%, 10/20/16		249		249
Meg Energy
6.000%, 04/03/16		433		434
Metroflag, 2nd Lien
11.250%, 01/06/09 (C) (D)		1,500		—
Nielsen Finance New Facility
2.253%, 12/31/17		603		592
NRG Holdings Letter of Credit
1.789%, 02/01/13		153		151
NRG Holdings Term Loan B
1.789%, 02/01/13		183		181
Quebecor Media
2.607%, 01/17/13		396		391
re/max International
5.500%, 04/16/16		498		497
Reable Therapeutics (DJO Finance) Term Loan B
3.255%, 05/20/14		357		350
Regal Cinemas
4.033%, 11/19/16		346		347
Reynold
6.750%, 05/05/16		333		335
Reynolds Group
5.750%, 05/13/16		496		499
Sensata Technology
2.038%, 04/27/13		434		420
2.021%, 04/27/13		1		1
Sirva Revolving Credit Loan
10.530%, 05/12/12		34		23
9.500%, 05/12/12		28		19
Sirva Worldwide (Unfunded)
1.000%, 05/12/12		219		72
Solutia 1st Lien Term Loan
4.750%, 03/02/17		154		154
Styron
7.500%, 05/21/16		494		500
Sungard Data Systems
3.911%, 02/28/16		424		420
3.898%, 02/28/16		30		30
Supervalu
1.538%, 06/02/12		448		440
1.521%, 06/02/12		1		1
Telesat Canada
3.270%, 10/31/14		449		444


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

Texas Competitive Electric
3.789%, 10/10/14	$	1	$	1
3.753%, 10/10/14		343		265
Travelport LLC Term Loan B
2.963%, 08/23/13		144		140
Universal Healthcare
6.250%, 05/16/16		450		455
Univision Communications
4.505%, 09/29/14		551		524
Valeant Pharma Unfunded
0.000%, 06/21/16		20		—
Vanguard Health Term Loan
5.000%, 01/15/16		398		400
Warner Chilcott PLC, Ser A
6.000%, 10/30/14		157		156
Warner Chilcott PLC, Ser B
6.250%, 04/30/15		76		76
Warner Chilcott PLC, Ser B2
6.250%, 04/30/15		126		127
Wide Open West Finance 1st Lien
2.753%, 06/30/14		538		497

Total Loan Participations (Cost $31,643) ($ Thousands)				31,249


CORPORATE OBLIGATIONS — 4.3%

Consumer Discretionary — 0.2%
Hanesbrands
6.375%, 12/15/20 (A)		208		199
Macy’s Retail Holdings
5.350%, 03/15/12		100		103

				302


Consumer Staples — 0.3%
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (A)		450		441


Energy — 0.5%
Canadian Natural Resources
5.700%, 05/15/17		150		174
Energy Transfer Equity
7.500%, 10/15/20		500		517

				691


Financials — 1.3%
Capital One Financial MTN
5.700%, 09/15/11		150		156
Citigroup
0.562%, 06/09/16 (B)		150		130
JPMorgan Chase Capital XXI, Ser U
1.236%, 02/02/37 (B)		250		181
Liberty Property L.P.
7.250%, 03/15/11‡		300		304


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

Monumental Global Funding
0.489%, 01/15/14 (A) (B)	$	230	$	221
Morgan Stanley MTN
0.589%, 01/09/14 (B)		200		191
Prudential Financial MTN
5.100%, 12/14/11		150		155
Reinsurance Group of America
5.625%, 03/15/17		200		214
State Street
0.388%, 04/30/12 (B)		135		135
Unitrin
6.000%, 05/15/17		110		112

				1,799


Health Care — 0.2%
UnitedHealth Group
1.586%, 02/07/11 (B)		250		251


Industrials — 0.4%
Berry Plastics
5.039%, 02/15/15 (B)		460		439
Continental Airlines, Ser 061G
0.646%, 06/02/13 (B)		142		135

				574


Materials — 0.5%
Verso Paper Holdings LLC
11.500%, 07/01/14		675		732


Telecommunication Services — 0.6%
Corning
6.050%, 06/15/15		150		150
MetroPCS Wireless
6.625%, 11/15/20		400		381
Telecom Italia Capital
0.899%, 07/18/11 (B)		150		150
Vodafone Group PLC
0.572%, 02/27/12 (B)		150		150

				831


Utilities — 0.3%
Calpine
7.500%, 02/15/21 (A)		375		368

Total Corporate Obligations (Cost $5,893) ($ Thousands)				5,989


MORTGAGE-BACKED SECURITIES — 2.7%

Non-Agency Mortgage-Backed Obligations — 2.7%
American Tower Trust, Ser 2007-1A, Cl D
5.957%, 04/15/37 (A)		125		133
Banc of America Funding, Ser 2005-F, Cl 4A1
3.146%, 09/20/35 (B)		392		318


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

Banc of America Funding, Ser 2006-D, Cl 3A1
5.441%, 05/20/36 (B)	$	314	$	244
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.763%, 08/15/29 (A) (B)		135		124
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
3.179%, 02/25/35 (B)		176		154
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
4.625%, 02/25/36 (B)		320		284
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		280		282
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
5.009%, 04/19/36 (B)		354		287
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
5.334%, 06/25/37 (B)		307		249
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
2.807%, 07/25/35 (B)		337		266
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (B)		332		264
MortgageIT Trust, Ser 2005-4, Cl A1
0.533%, 10/25/35 (B)		332		234
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
4.094%, 11/25/35 (B)		130		98
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
4.971%, 12/25/35 (B)		328		276
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.968%, 12/25/34 (B)		287		279
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.862%, 10/25/35 (B)		77		71
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.890%, 10/25/35 (B)		113		104
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3
4.632%, 03/25/36 (B)		122		107

Total Mortgage-Backed Securities (Cost $4,451) ($ Thousands)				3,774


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


ASSET-BACKED SECURITIES — 1.8%

Automotive — 0.4%
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14	$	235	$	244
Capital One Auto Finance Trust, Ser 2007-C, Cl A3A
5.130%, 04/16/12		30		31
CarMax Auto Owner Trust, Ser 2007-1, Cl C
5.530%, 07/15/13		50		51
Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A
5.150%, 11/15/11		20		20
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C
5.540%, 04/15/15		105		108
Merrill Auto Trust Securitization, Ser 2007-1, Cl C
5.960%, 12/15/13		15		15

				469


Credit Cards — 0.4%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.436%, 09/15/16 (B)		145		143
Chase Issuance Trust, Ser 2005-C2, Cl C2
0.696%, 01/15/15 (B)		200		198
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.873%, 11/07/14 (B)		250		249

				590


Mortgage Related Securities — 0.7%
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.706%, 08/25/35 (B)		350		328
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.666%, 09/25/35 (B)		370		209
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.646%, 12/25/35 (B)		470		292
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.696%, 01/25/36 (B)		375		170

				999


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


Other Asset-Backed Securities — 0.3%
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)	$	400	$	410

Total Asset-Backed Securities (Cost $3,022) ($ Thousands)				2,468


U.S. TREASURY OBLIGATION — 0.7%
U.S. Treasury Note
0.750%, 11/30/11		1,000		1,004

Total U.S. Treasury Obligation (Cost $1,005) ($ Thousands)				1,004


U.S. GOVERNMENT AGENCY OBLIGATION — 0.1%
FHLB
0.400%, 12/09/11		100		100

Total U.S. Government Agency Obligation (Cost $100) ($ Thousands)				100


CASH EQUIVALENT — 3.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A,
0.120%*†		5,358,206		5,358

Total Cash Equivalent (Cost $5,358) ($ Thousands)				5,358

AFFILIATED PARTNERSHIP — 54.8%
SEI LIBOR Plus Portfolio†		11,056,214		76,177

Total Affiliated Partnership (Cost $96,274) ($ Thousands)				76,177

Total Investments — 90.8% (Cost $147,746) ($ Thousands)			$	126,119

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(9	)		Mar-2011	$	(4	)
U.S. 2-Year Treasury Note		(2	)		Apr-2011		—
U.S. 5-Year Treasury Note		7			Apr-2011		1
U.S. Long Treasury Bond		(1	)		Mar-2011		—

						$	(3	)

Percentages are based on a Net Assets of $138,935 ($ Thousands)

Rate shown is the 7-day effective yield as of November 30, 2010.

†

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 on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported on the Schedule of Investments is the next reset date.

(C)

Security in default on interest payments.

(D)

Securities considered illiquid and restricted. The total value of such securities as of November 30, 2010 was $0 ($ Thousands) and represented 0.0% of net assets.

(E)

Unsettled Loan Participation. Interest rate not available.

Cl — Class

FHLB — Federal Home Loan Bank

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

Ser — Series

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

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	31,249	$	—	$	31,249
Corporate Obligations		—		5,989		—		5,989
Mortgage-Backed Securities		—		3,774		—		3,774
Asset-Backed Securities		—		2,468		—		2,468
U.S. Treasury Obligation		—		1,004		—		1,004
U.S. Government Agency Obligation		—		100		—		100
Cash Equivalent		5,358		—		—		5,358
Affiliated Partnership		76,177		—		—		76,177

Total Investments in Securities	$	81,535	$	44,584	$	—	$	126,119


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

Total Other Financial Instruments	$	(3	)	$	—	$	—	$	(3	)

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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)


MORTGAGE-BACKED SECURITIES — 48.8%

Agency Mortgage-Backed Obligations — 35.4%
FHLB CMO, Ser 2007-1067, Cl 1
5.300%, 06/15/12	$	620	$	652
FHLMC
11.000%, 02/17/21		1,830		2,032
10.000%, 03/17/26 to 10/01/30		3,536		4,179
7.500%, 08/01/30 to 09/01/38		2,825		3,251
7.000%, 11/01/15 to 09/01/25		147		167
6.500%, 06/01/17 to 08/01/38		17,471		19,509
6.000%, 03/01/20 to 08/01/38		49,189		54,018
5.625%, 02/17/21		1,620		1,753
5.500%, 12/01/13 to 12/01/37		101,908		110,810
5.125%, 11/17/17		5,000		5,846
5.000%, 04/18/17 to 08/01/40		37,399		46,136
4.500%, 10/01/30 to 04/01/41		11,346		9,576
4.000%, 10/01/33 to 09/01/40		24,044		24,501
2.875%, 02/09/15		3,390		3,599
0.875%, 10/28/13 (A)		5,950		5,951
0.411%, 02/03/12 (B)		14,170		14,174
1.190%, 04/01/11 (C)		10,000		9,995
FHLMC TBA
5.500%, 12/01/36		13,600		14,569
4.500%, 12/01/34		26,000		26,995
4.500%, 04/01/41		2,200		2,285
4.000%, 12/15/40		500		507
3.500%, 12/15/25		30,495		31,182
FHLMC ARM (B)
6.703%, 08/01/36		1,639		1,734
6.627%, 07/01/36		920		969
6.580%, 08/01/36		659		700
6.481%, 11/01/37		349		377
6.414%, 02/01/37		565		607
6.410%, 12/01/36		850		913


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

6.341%, 12/01/36	$	1,356	$	1,441
6.329%, 10/01/36		432		459
6.297%, 10/01/36		1,670		1,773
6.280%, 09/01/36		5,780		6,101
6.248%, 09/01/36		538		567
6.219%, 02/01/37		1,616		1,723
6.193%, 03/01/37		577		612
6.179%, 09/01/36		456		491
6.172%, 12/01/36		900		955
6.132%, 05/01/37		808		863
6.114%, 06/01/37		415		448
6.104%, 12/01/36		455		480
6.086%, 01/01/37		2,252		2,393
6.052%, 10/01/37		2,081		2,204
6.034%, 12/01/36		1,576		1,673
6.023%, 10/01/36		1,140		1,203
6.000%, 10/01/37		2,229		2,403
5.977%, 06/01/38		2,493		2,683
5.962%, 03/01/37		1,182		1,255
5.948%, 01/01/37		511		550
5.939%, 11/01/36		315		334
5.934%, 02/01/37		356		378
5.927%, 04/01/37		382		410
5.904%, 03/01/37		314		338
5.872%, 07/01/37		670		721
5.868%, 05/01/37		283		300
5.864%, 04/01/37		1,425		1,513
5.858%, 05/01/37		4,661		4,969
5.845%, 11/01/37		11		12
5.844%, 05/01/36		968		1,012
5.838%, 08/01/37		1,109		1,182
5.816%, 11/01/36		708		752
5.792%, 05/01/37		305		326
5.787%, 11/01/38		621		668
5.768%, 07/01/38		3,049		3,281
5.741%, 09/01/36		1,332		1,395
5.735%, 05/01/37		1,993		2,116
5.733%, 05/01/37		867		918
5.727%, 06/01/37		1,027		1,103
5.694%, 04/01/37		808		862
5.691%, 03/01/36		891		956
5.675%, 03/01/36		1,386		1,485
5.652%, 04/01/38		334		354
5.602%, 05/01/37		675		717
5.596%, 04/01/37		254		269
5.580%, 10/01/38		710		760
5.544%, 05/01/36		684		724
5.522%, 05/01/36		1,528		1,632
5.514%, 10/01/36		2,332		2,453
5.477%, 08/01/37		2,464		2,620
5.305%, 05/01/38		997		1,057
5.121%, 01/01/36		3,287		3,493
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/19		23		26


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

FHLMC CMO, Ser 1991-1142, Cl IA
7.000%, 10/15/21	$	345	$	396
FHLMC CMO, Ser 1993-1611, Cl Z
6.500%, 11/15/23		11,239		12,664
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		1,363		1,542
FHLMC CMO, Ser 1998-2075, Cl D
6.500%, 08/15/28		1,521		1,623
FHLMC CMO, Ser 1999-2138, Cl KS, IO
7.447%, 02/15/29 (B)		1,697		206
FHLMC CMO, Ser 2001-2293, Cl ZA
6.000%, 03/15/31		1,716		1,900
FHLMC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/31		1,069		1,209
FHLMC CMO, Ser 2001-2357, Cl ZJ
6.500%, 09/15/31		267		296
FHLMC CMO, Ser 2002-2434, Cl ZA
6.500%, 04/15/32		2,859		3,235
FHLMC CMO, Ser 2002-2456, Cl CJ
6.500%, 06/15/32		820		914
FHLMC CMO, Ser 2002-2458, Cl ZM
6.500%, 06/15/32		1,472		1,640
FHLMC CMO, Ser 2002-2479, Cl PG
6.000%, 08/15/32		2,357		2,597
FHLMC CMO, Ser 2002-41, Cl 2A
6.812%, 07/25/32 (B)		836		948
FHLMC CMO, Ser 2002-42, Cl A5
7.500%, 02/25/42		1,168		1,368
FHLMC CMO, Ser 2003-2558, Cl BD
5.000%, 01/15/18		4,137		4,525
FHLMC CMO, Ser 2003-2587, Cl CO, PO
0.000%, 03/15/32		808		796
FHLMC CMO, Ser 2003-2590, Cl BY
5.000%, 03/15/18		1,346		1,475
FHLMC CMO, Ser 2003-2591, Cl QO
4.500%, 03/15/18		1,000		1,083
FHLMC CMO, Ser 2003-2631, Cl SA
14.385%, 06/15/33 (B)		737		834
FHLMC CMO, Ser 2003-2671, Cl S
14.294%, 09/15/33 (B)		704		793
FHLMC CMO, Ser 2003-2676, Cl CY
4.000%, 09/15/18		2,291		2,443
FHLMC CMO, Ser 2003-2684, Cl SN
26.983%, 10/15/33 (B)		121		131
FHLMC CMO, Ser 2003-2690, Cl SJ
8.770%, 10/15/33 (B)		580		570
FHLMC CMO, Ser 2003-2691, Cl SE
9.188%, 12/15/28 (B)		439		450
FHLMC CMO, Ser 2003-2694, Cl QG
4.500%, 01/15/29		270		278
FHLMC CMO, Ser 2003-2695, Cl OB, PO
0.000%, 10/15/33		246		202


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

FHLMC CMO, Ser 2003-2695, Cl SX
15.929%, 10/15/33 (B)	$	256	$	270
FHLMC CMO, Ser 2003-2698, Cl SV
8.620%, 11/15/33 (B)		248		244
FHLMC CMO, Ser 2003-2725, Cl SC
8.689%, 11/15/33 (B)		322		313
FHLMC CMO, Ser 2003-2725, CI OP, PO
0.000%, 10/15/33		249		228
FHLMC CMO, Ser 2003-54, Cl 2A
6.500%, 02/25/43		626		718
FHLMC CMO, Ser 2003-54, Cl 3A
7.000%, 02/25/43		773		901
FHLMC CMO, Ser 2003-57, Cl 1A1
6.500%, 07/25/43		736		845
FHLMC CMO, Ser 2003-58, Cl 4A
7.500%, 09/25/43		937		1,114
FHLMC CMO, Ser 2004-2727, Cl PW
3.570%, 06/15/29		213		217
FHLMC CMO, Ser 2004-2754, Cl JG
4.500%, 03/15/33		390		394
FHLMC CMO, Ser 2004-2777, CI KO, PO
0.000%, 02/15/33		1,000		952
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/32		1,974		2,134
FHLMC CMO, Ser 2004-2812, Cl NO, PO
0.000%, 10/15/33		371		310
FHLMC CMO, Ser 2004-2827, Cl CS
15.803%, 04/15/32 (B)		102		109
FHLMC CMO, Ser 2004-2833, Cl KO, PO
0.000%, 08/15/34		72		72
FHLMC CMO, Ser 2004-2835, CI BO, PO
0.000%, 12/15/28		359		350
FHLMC CMO, Ser 2004-2843, Cl BC
5.000%, 08/15/19		1,740		1,911
FHLMC CMO, Ser 2004-2864, Cl NB
5.500%, 07/15/33		2,000		2,246
FHLMC CMO, Ser 2004-2865, Cl GO, PO
0.000%, 10/15/33		229		222
FHLMC CMO, Ser 2004-2897, Cl EO, PO
0.000%, 10/15/31		351		309
FHLMC CMO, Ser 2004-2903, Cl UZ
5.500%, 07/15/31		328		339
FHLMC CMO, Ser 2004-60, Cl 1A2
7.000%, 03/25/44		723		835
FHLMC CMO, Ser 2005-2945, Cl SA
11.838%, 03/15/20 (B)		2,719		3,067
FHLMC CMO, Ser 2005-2950, Cl JO, PO
0.000%, 03/15/20		492		468
FHLMC CMO, Ser 2005-2981, Cl FA
0.653%, 05/15/35 (B)		833		832
FHLMC CMO, Ser 2005-2990, Cl LK
0.623%, 10/15/34 (B)		841		843


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

FHLMC CMO, Ser 2005-2991, Cl EG
5.500%, 11/15/34	$	1,584	$	1,707
FHLMC CMO, Ser 2005-3001, Cl HP
20.986%, 05/15/35 (B)		142		190
FHLMC CMO, Ser 2005-3006, Cl QS
19.460%, 07/15/35 (B)		814		1,077
FHLMC CMO, Ser 2005-3012, Cl GK
23.610%, 06/15/35 (B)		134		185
FHLMC CMO, Ser 2005-3028, Cl PG
5.500%, 09/15/35		359		391
FHLMC CMO, Ser 2005-3035, Cl PA
5.500%, 09/15/35		2,708		3,001
FHLMC CMO, Ser 2005-3049, Cl XF
0.603%, 05/15/33 (B)		1,019		1,022
FHLMC CMO, Ser 2005-3052, Cl MH
5.250%, 10/15/34		2,695		2,931
FHLMC CMO, Ser 2005-3077, CI TO, PO
0.000%, 04/15/35		605		518
FHLMC CMO, Ser 2006-3100, CI PO, PO
0.000%, 01/15/36		1,027		897
FHLMC CMO, Ser 2006-3102, Cl FB
0.553%, 01/15/36 (B)		622		622
FHLMC CMO, Ser 2006-3137, Cl XP
6.000%, 04/15/36		1,111		1,249
FHLMC CMO, Ser 2006-3151, CI PO, PO
0.000%, 05/15/36		649		553
FHLMC CMO, Ser 2006-3195, Cl PD
6.500%, 07/15/36		2,500		2,854
FHLMC CMO, Ser 2006-3200, Cl AY
5.500%, 08/15/36		1,000		1,104
FHLMC CMO, Ser 2006-3202, Cl HI, IO
6.397%, 08/15/36 (B)		1,247		203
FHLMC CMO, Ser 2006-3217, Cl CX, IO
6.337%, 09/15/36 (B)		1,003		153
FHLMC CMO, Ser 2007-3262, Cl SG, IO
6.147%, 01/15/37 (B)		1,437		205
FHLMC CMO, Ser 2007-3263, Cl WE
0.000%, 08/15/35 (B)		37		36
FHLMC CMO, Ser 2007-3312, Cl BP
5.500%, 01/15/31		300		317
FHLMC CMO, Ser 2007-3342, Cl VG
6.000%, 11/15/23		1,000		1,131
FHLMC CMO, Ser 2007-3346, Cl FA
0.483%, 02/15/19 (B)		14,613		14,618
FHLMC CMO, Ser 2007-3347, CI PO, PO
0.000%, 07/15/37		175		173
FHLMC CMO, Ser 2007-3373, Cl TO, PO
0.000%, 04/15/37		338		297
FHLMC CMO, Ser 2007-3383, Cl SA, IO
6.197%, 11/15/37 (B)		1,303		172
FHLMC CMO, Ser 2007-3385, CI SN, IO
5.747%, 11/15/37 (B)		1,975		205
FHLMC CMO, Ser 2007-3387, Cl SA, IO
6.167%, 11/15/37 (B)		951		133


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

FHLMC CMO, Ser 2007-76, Cl 2A
4.781%, 10/25/37 (B)	$	1,487	$	1,541
FHLMC CMO, Ser 2008-3422, Cl SE
16.816%, 02/15/38 (B)		248		307
FHLMC CMO, Ser 2008-3437, Cl AI, IO
1.335%, 09/15/11		1,727		13
FHLMC CMO, Ser 2008-3451, CI SA, IO
5.797%, 05/15/38 (B)		1,930		206
FHLMC CMO, Ser 2008-3455, Cl SE, IO
5.947%, 06/15/38 (B)		3,859		471
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/38		578		655
FHLMC CMO, Ser 2009-3515, Cl PIM15, IO
5.500%, 07/15/37		1,215		162
FHLMC CMO, Ser 2009-3523, Cl SD
18.966%, 06/15/36 (B)		817		995
FHLMC CMO, Ser 2009-3546, Cl A
5.974%, 02/15/39 (B)		542		577
FHLMC CMO, Ser 2009-3598, Cl MA
4.500%, 11/15/38		2,406		2,557
FHLMC CMO, Ser 2009-3607, CI TO, PO
0.000%, 10/15/39		794		691
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO
0.000%, 04/15/36		500		373
FHLMC CMO, Ser 2009-3608, CI SC, IO
5.997%, 12/15/39 (B)		3,650		451
FHLMC CMO, Ser 2009-3611, Cl PO, PO
0.000%, 07/15/34		755		690
FHLMC CMO, Ser 2010-3626, Cl MA
5.000%, 02/15/30		12,951		13,811
FHLMC CMO, Ser 2010-3631, Cl PA
4.000%, 02/15/40		4,787		5,091
FHLMC CMO, Ser 2010-3632, Cl BS
16.655%, 02/15/40 (B)		400		540
FHLMC CMO, Ser 2010-3652, Cl AP
4.500%, 03/15/40		9,851		10,543
FHLMC CMO, Ser 2010-3659, Cl VE
5.000%, 03/15/26		3,902		4,310
FHLMC CMO, Ser 2010-3680, Cl MA
4.500%, 07/15/39		1,978		2,123
FHLMC CMO, Ser 2010-3688, Cl NI, IO
5.000%, 04/15/32		2,900		358
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/36		2,911		3,285
FHLMC CMO, Ser 2010-3704, Cl DT
7.500%, 11/15/36		981		1,117
FHLMC CMO, Ser 2010-3714, CI IP, IO
5.000%, 08/15/40		1,981		337
FHLMC CMO, Ser 2010-3738, Cl BP
4.000%, 12/15/38		500		524
FHLMC CMO, Ser 2010-3740, CI SC, IO
5.747%, 10/15/40 (B)		1,997		279


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

FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2009-K003, Cl AAB
4.768%, 05/25/18	$	2,824	$	3,083
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		2,849		3,010
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K007, Cl A1
3.342%, 12/25/19		2,802		2,905
FHLMC Multifamily Structured Pass Through Certificates CMO, Ser 2010-K008, Cl A1
2.746%, 12/25/19		3,555		3,579
FHLMC REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		1,178		1,350
FHLMC STRIP CMO, Ser 2006-239, Cl S30, IO
7.447%, 08/15/36 (B)		4,634		618
FHLMC-GNMA CMO, Ser 1993-21, Cl L
6.250%, 10/25/23		862		928
FNMA
8.000%, 04/01/15 to 11/01/37		1,356		1,538
7.500%, 06/01/30 to 04/01/39		4,048		4,625
7.000%, 12/01/15 to 01/01/39		12,037		13,687
6.500%, 05/01/17 to 07/01/39		39,905		44,653
6.000%, 03/01/19 to 11/01/48		210,718		231,730
5.500%, 04/01/14 to 05/01/39		153,896		166,793
5.000%, 02/01/20 to 08/01/40		42,444		45,285
4.500%, 07/01/20 to 04/01/41		83,447		87,892
4.000%, 04/01/19 to 04/01/41		30,392		31,048
3.500%, 07/01/25 to 03/01/41		8,132		8,336
FNMA TBA
6.000%, 12/01/37 to 01/01/38		24,200		26,289
5.500%, 12/01/27 to 01/01/38		79,700		85,487
5.000%, 01/01/38		600		635
4.500%, 02/01/34 to 03/15/39		26,200		27,043
4.000%, 11/15/34 to 12/14/39		52,300		53,063
3.500%, 12/25/25 to 02/01/41		90,535		90,826
3.000%, 01/16/26 to 02/01/26		37,000		36,729
FNMA ARM (B)
6.611%, 09/01/36		440		469
6.565%, 01/01/37		1,010		1,095
6.338%, 10/01/36		535		578
6.333%, 02/01/37		719		767
6.296%, 09/01/36		354		376
6.266%, 09/01/37		5,395		5,855
6.239%, 10/01/36		534		566
6.212%, 06/01/36		1,465		1,540
6.179%, 08/01/36		373		403
6.136%, 11/01/37		1,148		1,219


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

6.129%, 09/01/36	$	1,453	$	1,562
6.111%, 07/01/37		482		514
6.074%, 11/01/37		624		673
6.052%, 10/01/37		902		972
6.046%, 10/01/37		374		403
6.042%, 09/01/37		324		350
6.034%, 08/01/36		547		578
6.017%, 12/01/36		675		728
6.002%, 09/01/37		1,016		1,084
6.001%, 07/01/37		783		843
5.981%, 05/01/36		498		520
5.945%, 07/01/37		1,185		1,258
5.939%, 10/01/36		449		475
5.935%, 03/01/37		796		856
5.928%, 07/01/37		1,330		1,432
5.927%, 09/01/37		173		185
5.920%, 01/01/37		1,414		1,522
5.915%, 09/01/37		605		653
5.903%, 07/01/36		980		1,039
5.902%, 06/01/36		689		723
5.887%, 01/01/37		1,093		1,176
5.878%, 04/01/37		950		1,023
5.869%, 10/01/36		2,062		2,184
5.862%, 11/01/36		1,204		1,279
5.845%, 02/01/37		818		881
5.832%, 12/01/36		1,559		1,653
5.735%, 02/01/37		998		1,060
5.696%, 01/01/23		1,129		1,212
5.692%, 11/01/36		985		1,040
5.689%, 04/01/37		874		928
5.676%, 10/01/37		655		703
5.662%, 05/01/37		2,952		3,131
5.660%, 03/01/37		8,585		9,166
5.611%, 06/01/36		1,745		1,833
5.523%, 02/01/39		1,779		1,910
5.512%, 07/01/37		447		475
5.434%, 11/01/37		612		650
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		323		386
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22		835		1,010
FNMA CMO, Ser 1992-41, Cl MA
8.000%, 08/25/22		1,010		1,223
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		723		875
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 (B)		310		370
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23		1,316		1,470
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		1,664		1,964


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

FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24	$	1,106	$	1,244
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		1,008		1,143
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		770		884
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		1,660		1,800
FNMA CMO, Ser 2000-18, Cl EC, PO
0.000%, 10/25/23		311		277
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		862		969
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		1,388		1,499
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		615		702
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		12,926		14,591
FNMA CMO, Ser 2002-10, Cl SB
18.592%, 03/25/17 (B)		158		202
FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/32		357		347
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		832		954
FNMA CMO, Ser 2002-94, Cl HQ
4.500%, 01/25/18		2,400		2,560
FNMA CMO, Ser 2003-131, Cl SK
15.693%, 01/25/34 (B)		829		996
FNMA CMO, Ser 2003-23, Cl Q0, PO
0.000%, 01/25/32		660		644
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14		1,065		1,149
FNMA CMO, Ser 2003-30, Cl HS, IO
7.397%, 07/25/17 (B)		1,232		82
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		761		678
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		1,130		1,226
FNMA CMO, Ser 2003-91, Cl XT
4.500%, 12/25/17		744		753
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,757
FNMA CMO, Ser 2004-17, Cl H
5.500%, 04/25/34		997		1,023
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/34		776		702
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		327		315
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34		1,237		1,351
FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31		286		283
FNMA CMO, Ser 2005-106, Cl US
23.637%, 11/25/35 (B)		1,229		1,836


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

FNMA CMO, Ser 2005-123, Cl FG
0.703%, 07/25/34 (B)	$	701	$	700
FNMA CMO, Ser 2005-14, Cl BD
4.500%, 03/25/20		1,250		1,330
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		1,366		1,420
FNMA CMO, Ser 2005-45, Cl BG
4.500%, 06/25/25		425		429
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		3,309		3,722
FNMA CMO, Ser 2005-64, Cl PL
5.500%, 07/25/35		1,909		2,155
FNMA CMO, Ser 2005-72, Cl SB
16.241%, 08/25/35 (B)		727		900
FNMA CMO, Ser 2005-74, Cl SK
19.433%, 05/25/35 (B)		490		677
FNMA CMO, Ser 2005-74, Cl CS
19.323%, 05/25/35 (B)		640		841
FNMA CMO, Ser 2005-88, Cl QO, PO
0.000%, 11/25/33		281		272
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/35		425		382
FNMA CMO, Ser 2005-90, Cl ES
16.241%, 10/25/35 (B)		478		598
FNMA CMO, Ser 2005-96, Cl BP
5.900%, 02/25/15		281		282
FNMA CMO, Ser 2006-117, Cl GS, IO
6.397%, 12/25/36 (B)		1,176		136
FNMA CMO, Ser 2006-118, Cl A2
0.313%, 12/25/36 (B)		1,206		1,192
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/36		498		416
FNMA CMO, Ser 2006-23, Cl FK
0.503%, 04/25/36 (B)		574		573
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/36		639		564
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/36		676		560
FNMA CMO, Ser 2006-33, Cl LS
29.010%, 05/25/36 (B)		471		721
FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17		687		749
FNMA CMO, Ser 2006-44, Cl FP
0.653%, 06/25/36 (B)		800		804
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/33		433		384
FNMA CMO, Ser 2006-46, Cl SW
23.270%, 06/25/36 (B)		590		824
FNMA CMO, Ser 2006-59, Cl CO, PO
0.000%, 08/25/35		179		174
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 07/25/36		1,112		970
FNMA CMO, Ser 2006-60, CI A2, PO
0.000%, 04/25/35		783		717


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

FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36	$	865	$	1,071
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		1,352		1,428
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		662		769
FNMA CMO, Ser 2006-94, CI GI, IO
6.397%, 10/25/26 (B)		1,897		240
FNMA CMO, Ser 2007-100, Cl SM, IO
6.197%, 10/25/37 (B)		3,112		415
FNMA CMO, Ser 2007-101, Cl A2
0.503%, 06/27/36 (B)		2,766		2,747
FNMA CMO, Ser 2007-112, Cl SA, IO
6.197%, 12/25/37 (B)		1,823		256
FNMA CMO, Ser 2007-114, Cl A6
0.453%, 10/27/37 (B)		2,000		1,996
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/35		4,567		5,131
FNMA CMO, Ser 2007-116, Cl HI, IO
6.348%, 01/25/38 (B)		2,512		154
FNMA CMO, Ser 2007-29, Cl SG
21.822%, 04/25/37 (B)		411		553
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37		1,063		1,121
FNMA CMO, Ser 2007-43, Cl FL
0.553%, 05/25/37 (B)		478		478
FNMA CMO, Ser 2007-53, Cl SH, IO
5.847%, 06/25/37 (B)		2,352		300
FNMA CMO, Ser 2007-54, Cl FA
0.653%, 06/25/37 (B)		2,094		2,104
FNMA CMO, Ser 2007-60, Cl AX, IO
6.897%, 07/25/37 (B)		2,817		460
FNMA CMO, Ser 2007-65, Cl KI, IO
6.367%, 07/25/37 (B)		3,267		369
FNMA CMO, Ser 2007-72, Cl EK, IO
6.147%, 07/25/37 (B)		2,781		365
FNMA CMO, Ser 2007-74, CI A
5.000%, 04/25/34		77		81
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/36		1,019		972
FNMA CMO, Ser 2007-79, Cl SB
23.087%, 08/25/37 (B)		230		328
FNMA CMO, Ser 2007-92, Cl YS, IO
5.527%, 06/25/37 (B)		2,295		290
FNMA CMO, Ser 2008-1, Cl BI, IO
5.657%, 02/25/38 (B)		2,687		314
FNMA CMO, Ser 2008-20, Cl SA, IO
6.737%, 03/25/38 (B)		1,450		212
FNMA CMO, Ser 2008-22, Cl IO, IO
6.177%, 03/25/37 (B)		20,529		2,702
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,657
FNMA CMO, Ser 2008-24, Cl PF
0.903%, 02/25/38 (B)		762		770


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

FNMA CMO, Ser 2008-32, Cl SA, IO
6.597%, 04/25/38 (B)	$	1,256	$	163
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (B)		2,569		32
FNMA CMO, Ser 2008-4, Cl SD, IO
5.747%, 02/25/38 (B)		4,117		553
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,851
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		643		712
FNMA CMO, Ser 2009-100, Cl PN
5.000%, 11/25/39		3,871		4,211
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39		1,320		1,394
FNMA CMO, Ser 2009-110, Cl DA
4.500%, 01/25/40		2,789		2,955
FNMA CMO, Ser 2009-17, CI QS, IO
6.397%, 03/25/39 (B)		1,494		202
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		1,589		239
FNMA CMO, Ser 2009-71, Cl JT
6.000%, 06/25/36		4,155		4,583
FNMA CMO, Ser 2009-78, Cl J
5.000%, 09/25/19		4,707		5,058
FNMA CMO, Ser 2009-84, Cl WS, IO
5.647%, 10/25/39 (B)		1,886		196
FNMA CMO, Ser 2009-86, CI IP, IO
5.500%, 10/25/39		1,394		203
FNMA CMO, Ser 2009-86, CI UI, IO
4.000%, 10/25/14		3,075		228
FNMA CMO, Ser 2009-86, CI OT, PO
0.000%, 10/25/37		1,499		1,265
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37 (C)		11,699		10,587
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		2,180		2,254
FNMA CMO, Ser 2009-99, Cl SC, IO
5.927%, 12/25/39 (B)		2,144		232
FNMA CMO, Ser 2009-M1, Cl A2
4.287%, 07/25/19		3,868		4,095
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19		4,134		4,301
FNMA CMO, Ser 2010-1, Cl WA
6.132%, 02/25/40 (B)		885		994
FNMA CMO, Ser 2010-111, Cl AE
5.500%, 04/25/38		3,435		3,693
FNMA CMO, Ser 2010-123, Cl PM
4.000%, 07/25/40		3,600		3,643
FNMA CMO, Ser 2010-133, Cl A
5.500%, 05/25/38		1,990		2,157
FNMA CMO, Ser 2010-15, Cl KA
4.000%, 03/25/39		3,405		3,563
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40		908		1,015


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

FNMA CMO, Ser 2010-23, Cl KS, IO
6.847%, 02/25/40 (B)	$	2,195	$	308
FNMA CMO, Ser 2010-35, Cl SB, IO
6.167%, 04/25/40 (B)		3,133		406
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/35		837		757
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		6,801		7,093
FNMA CMO, Ser 2010-58, Cl MA
5.500%, 12/25/38		7,947		8,647
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/40		1,864		2,040
FNMA CMO, Ser 2010-68, Cl SA, IO
4.747%, 07/25/40 (B)		3,903		338
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		1,374		1,457
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (B)		8,896		9,412
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1
7.500%, 06/25/30		1,144		1,306
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		2,551		2,957
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		755		892
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B
5.763%, 12/25/11		727		762
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		947		1,092
FNMA Interest STRIP CMO, Ser 1997-293, CI 1, PO
0.000%, 12/01/24		782		701
FNMA Interest STRIP CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/01/32		924		157
FNMA Interest STRIP CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/01/33		1,498		307
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.363%, 12/25/42 (B)		1,024		1,188
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,720		1,897
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42		858		961
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		697		822


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

FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33	$	1,072	$	1,231
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6
5.750%, 08/25/34		2,000		2,170
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		1,164		1,374
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		974		1,117
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.473%, 03/25/45 (B)		1,703		1,702
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		408		489
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.473%, 02/25/36 (B)		792		784
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.513%, 11/25/46 (B)		1,851		1,835
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
37.659%, 07/25/37 (B)		114		194
FNMA Whole Loan CMO, Ser 2009-W1, Cl A
6.000%, 12/25/49		2,405		2,653
GNMA TBA
6.000%, 12/01/37		2,200		2,425
5.500%, 12/01/37		1,000		1,087
4.000%, 12/01/39 to 12/20/40		137,775		140,775
3.500%, 12/01/40		3,100		3,065
3.000%, 02/01/36 to 03/01/36 (B)		10,645		10,958
GNMA
9.500%, 12/15/20		9		11
7.500%, 10/15/37 to 09/20/38		1,938		2,184
7.000%, 04/15/26 to 06/15/35		4,638		5,300
6.500%, 01/15/24 to 02/15/39		15,250		17,480
6.000%, 11/15/23 to 09/15/34		18,961		21,120
5.000%, 07/20/40 to 11/20/40		8,333		8,955
3.000%, 01/20/41		2,197		2,260
GNMA ARM
3.500%, 10/20/40 to 11/20/40 (B)		3,294		3,440
1.700%, 01/20/60 (B)		1,486		1,517
GNMA CMO, Ser 2001-18, Cl WH
31.484%, 04/20/31 (B)		130		223
GNMA CMO, Ser 2001-22, Cl PS
20.349%, 03/17/31 (B)		970		1,380
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,931		2,166
GNMA CMO, Ser 2002-23, Cl SD
20.271%, 04/16/32 (B)		1,411		1,976


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

GNMA CMO, Ser 2002-51, Cl SG
31.402%, 04/20/31 (B)	$	119	$	210
GNMA CMO, Ser 2002-57, Cl SB
108.698%, 08/16/32		96		386
GNMA CMO, Ser 2002-69, Cl SC
15.942%, 02/20/32 (B)		339		396
GNMA CMO, Ser 2003-60, Cl GS
11.994%, 05/16/33 (B)		206		225
GNMA CMO, Ser 2003-75, Cl ZX
6.000%, 09/16/33		4,607		5,265
GNMA CMO, Ser 2003-97, Cl SA, IO
6.297%, 11/16/33 (B)		712		114
GNMA CMO, Ser 2004-28, Cl SV
8.747%, 04/20/34 (B)		1,607		1,679
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		275		250
GNMA CMO, Ser 2004-34, Cl CS
19.195%, 02/20/34 (B)		86		115
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (B)		451		438
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/33		186		181
GNMA CMO, Ser 2004-87, Cl SB
7.381%, 03/17/33 (B)		361		366
GNMA CMO, Ser 2005-13, CI SD, IO
6.547%, 02/20/35 (B)		1,011		156
GNMA CMO, Ser 2005-3, Cl SB, IO
5.847%, 01/20/35 (B)		1,912		238
GNMA CMO, Ser 2005-7, Cl JM
16.162%, 05/18/34 (B)		384		474
GNMA CMO, Ser 2005-81, CI SD, IO
6.047%, 12/20/34 (B)		1,834		174
GNMA CMO, Ser 2005-82, CI NS, IO
6.047%, 07/20/34 (B)		1,116		124
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		1,000		1,147
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/36		233		211
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36		1,723		1,882
GNMA CMO, Ser 2006-38, Cl SW, IO
6.247%, 06/20/36 (B)		1,890		223
GNMA CMO, Ser 2006-47, CI SA, IO
6.547%, 08/16/36 (B)		2,677		439
GNMA CMO, Ser 2007-17, Cl AF
0.453%, 04/16/37 (B)		942		939
GNMA CMO, Ser 2007-26, CI SW, IO
5.947%, 05/20/37 (B)		3,633		417
GNMA CMO, Ser 2007-27, Cl SD, IO
5.947%, 05/20/37 (B)		1,208		145
GNMA CMO, Ser 2007-42, Cl SB, IO
6.497%, 07/20/37 (B)		1,701		225
GNMA CMO, Ser 2007-45, Cl QA, IO
6.387%, 07/20/37 (B)		1,140		147


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

GNMA CMO, Ser 2007-72, Cl USIO, IO
6.297%, 11/20/37 (B)	$	1,364	$	168
GNMA CMO, Ser 2007-78, Cl SA, IO
6.277%, 12/16/37 (B)		15,653		2,305
GNMA CMO, Ser 2007-81, Cl SP, IO
6.397%, 12/20/37 (B)		1,683		210
GNMA CMO, Ser 2007-82, Cl SA, IO
6.277%, 12/20/37 (B)		1,099		134
GNMA CMO, Ser 2007-9, Cl CI, IO
5.947%, 03/20/37 (B)		1,432		178
GNMA CMO, Ser 2008-10, Cl S, IO
5.577%, 02/20/38 (B)		1,967		207
GNMA CMO, Ser 2008-2, Cl MS, IO
6.907%, 01/16/38 (B)		1,246		140
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/33		531		486
GNMA CMO, Ser 2008-33, Cl XS, IO
7.447%, 04/16/38 (B)		823		115
GNMA CMO, Ser 2008-55, Cl SA, IO
5.947%, 06/20/38 (B)		1,944		215
GNMA CMO, Ser 2008-60, CI SH, IO
5.897%, 07/16/38 (B)		973		120
GNMA CMO, Ser 2009-10, CI ST, IO
6.197%, 03/16/34 (B)		1,108		128
GNMA CMO, Ser 2009-102, CI SM, IO
6.147%, 06/16/39 (B)		4,284		488
GNMA CMO, Ser 2009-106, CI CM, IO
6.347%, 01/16/34 (B)		464		54
GNMA CMO, Ser 2009-106, Cl AS, IO
6.147%, 11/16/39 (B)		2,631		329
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		52		7
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		1,093		137
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37		1,575		223
GNMA CMO, Ser 2009-22, Cl SA, IO
6.017%, 04/20/39 (B)		2,977		281
GNMA CMO, Ser 2009-24, Cl DS, IO
6.047%, 03/20/39 (B)		1,866		162
GNMA CMO, Ser 2009-25, Cl SE, IO
7.347%, 09/20/38 (B)		1,145		151
GNMA CMO, Ser 2009-31, Cl TS, IO
6.047%, 03/20/39 (B)		3,031		284
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		494		74
GNMA CMO, Ser 2009-35, CI SP, IO
6.147%, 05/16/37 (B)		2,507		320
GNMA CMO, Ser 2009-42, Cl SC, IO
5.827%, 06/20/39 (B)		1,060		111
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (B)		2,723		71
GNMA CMO, Ser 2009-43, Cl SA, IO
5.697%, 06/20/39 (B)		2,710		285


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

GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20	$	1,354	$	1,517
GNMA CMO, Ser 2009-6, Cl SH, IO
5.787%, 02/20/39 (B)		2,251		236
GNMA CMO, Ser 2009-61, CI WQ, IO
5.997%, 11/16/35 (B)		2,729		422
GNMA CMO, Ser 2009-65, Cl TS, IO
6.147%, 12/20/38 (B)		3,983		424
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		1,328		171
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,597
GNMA CMO, Ser 2009-67, Cl SA, IO
5.797%, 08/16/39 (B)		2,828		292
GNMA CMO, Ser 2009-75, Cl VM
5.000%, 12/20/19		1,092		1,195
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/37		1,719		1,555
GNMA CMO, Ser 2009-83, CI TS, IO
5.847%, 08/20/39 (B)		2,668		271
GNMA CMO, Ser 2009-87, Cl TS
5.847%, 07/20/35 (B)		2,656		358
GNMA CMO, Ser 2009-87, CI SI, IO
6.497%, 02/20/35 (B)		1,323		209
GNMA CMO, Ser 2009-87, CI KI, IO
6.047%, 09/20/35 (B)		1,188		124
GNMA CMO, Ser 2010-14, Cl SA, IO (B)
7.747%, 12/20/32		1,318		187
GNMA CMO, Ser 2010-14, Cl SH, IO (B)
5.474%, 02/16/40		1,378		212
GNMA CMO, Ser 2010-14, Cl SC, IO (B)
5.546%, 08/20/35		2,140		295
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/32		879		822
GNMA CMO, Ser 2010-14, Cl BO, PO
0.000%, 11/20/35		878		783
GNMA CMO, Ser 2010-14, Cl EO, PO
0.000%, 06/16/33		533		525
GNMA CMO, Ser 2010-14, Cl QP
6.000%, 12/20/39		1,952		2,119
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/35		425		354
GNMA CMO, Ser 2010-4, Cl NS, IO
6.137%, 01/16/40 (B)		34,127		4,672
GNMA CMO, Ser 2010-47, CI XN, IO
6.297%, 04/16/34 (B)		2,271		206
GNMA CMO, Ser 2010-47, CI VS, IO
5.997%, 11/16/37 (B)		1,958		284
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/39		2,900		3,084
GNMA CMO, Ser 2010-7, Cl EA
5.000%, 06/16/38		895		986
GNMA CMO, Ser 2010-87, CI SK, IO
6.247%, 07/16/40 (B)		3,710		620


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

GNMA CMO, Ser 2010-H10, CI FC
1.256%, 05/20/60 (B)	$	5,417	$	5,460
GNMA CMO, Ser 2010-H26, Cl LF
0.603%, 08/20/58 (B)		7,500		7,500

				2,154,606


Non-Agency Mortgage-Backed Obligations — 13.4%
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/48 (B) (E)		900		939
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/48 (B) (E)		1,500		1,492
American General Mortgage Loan Trust, Ser 2009-1, Cl A4
5.750%, 09/25/48 (B) (E)		1,325		1,374
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/58 (B) (E)		763		794
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.262%, 11/25/46 (B)		1,520		718
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.378%, 03/25/47 (B)		12,771		7,525
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.510%, 05/24/36 (B) (E)		941		955
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.595%, 03/26/37 (B) (E)		2,045		2,058
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (E)		1,585		1,613
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.481%, 10/28/36 (B) (E)		884		871
Asset Securitization, Ser 1996-D3, Cl A2
7.774%, 10/13/26 (B)		1,871		1,914
Banc of America Alternative Loan Trust
5.557%, 10/01/40		1,000		1,039
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		778		803
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		392		404
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		986		1,015
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		574		579


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

Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33	$	850	$	869
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		609		610
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		543		562
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.013%, 11/25/21 (B)		259		238
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
5.781%, 04/25/37 (B)		471		343
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4
6.186%, 06/11/35		4,866		5,050
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35		916		955
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1
3.878%, 09/11/36		2,061		2,090
Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3
4.512%, 12/10/42		895		918
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43		4,794		4,988
Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4
5.115%, 10/10/45 (B)		1,396		1,523
Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4
5.369%, 09/10/47 (B)		1,043		1,142
Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4
5.634%, 07/10/46		800		854
Banc of America Commercial Mortgage, Ser 2000-2, Cl E
7.634%, 09/15/32 (B)		767		765
Banc of America Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		681		709
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		1,050		1,016
Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A
4.933%, 07/10/45		4,722		4,982
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (B)		500		546


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

Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B)	$	825	$	881
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		5,369		5,657
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		619		627
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		584		594
Banc of America Funding, Ser 2004-C, Cl 1A1
5.024%, 12/20/34 (B)		451		466
Banc of America Funding, Ser 2005-B, Cl 2A1
3.033%, 04/20/35 (B)		4,359		3,312
Banc of America Funding, Ser 2010-R5, Cl 5A6
0.556%, 05/26/37 (B) (E) (I)		1,635		1,632
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.803%, 05/25/18 (B)		383		370
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.703%, 08/25/18 (B)		401		393
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
2.870%, 06/25/33 (B)		400		381
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/34		1,000		1,053
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19		388		398
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23
4.500%, 04/25/34		374		375
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		350		358
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		246		258
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/37 (E)		1,798		1,807
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (B) (E)		536		533
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (E)		1,198		1,222
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.183%, 04/26/37 (B) (E)		1,100		1,094


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

BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (B) (E)	$	706	$	710
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
1.042%, 02/26/47 (B) (E)		628		587
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.056%, 01/26/36 (B) (E)		1,294		1,197
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
4.952%, 07/26/45 (B) (E)		2,020		2,040
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.024%, 04/26/35 (B) (E)		858		864
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.153%, 05/25/34 (B)		434		447
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.281%, 05/25/34 (B)		2,501		2,477
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.340%, 08/25/35 (B)		595		569
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4
2.972%, 04/25/35 (B)		250		201
Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36		2,192		1,678
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		155		156
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		454		474
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (B)		491		498
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR4, Cl A3
5.468%, 06/11/41 (B)		824		898
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		1,102		1,132
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, CI A3
5.116%, 02/11/41 (B)		2,426		2,593
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.298%, 10/12/42 (B)		6,500		7,090
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.623%, 03/11/39 (B)		300		327
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/41		300		327


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

Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl A1
5.593%, 06/11/40	$	633	$	645
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3
5.736%, 06/11/50		2,640		2,781
Bear Stearns Commercial Mortgage Securities, Ser PW15, Cl A4
5.331%, 02/11/44		1,160		1,209
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.703%, 01/25/34 (B)		273		273
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		268		233
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
3.701%, 12/25/35 (B)		13,166		11,085
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
4.157%, 02/25/37 (B)		337		340
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.891%, 02/25/37 (B)		421		424
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.899%, 07/25/37 (B)		664		655
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2
4.500%, 05/25/33		142		145
Citicorp Mortgage Securities, Ser 2004-3, Cl A8
5.250%, 05/25/34		71		71
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/43 (B)		440		453
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.081%, 08/25/34 (B)		694		718
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
5.415%, 11/25/38 (B)		1,365		1,378
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
2.707%, 09/25/33 (B) (E)		845		849
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (E)		1,500		1,387
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.856%, 02/25/35 (B) (E)		477		475
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl A4
5.322%, 12/11/49		6,855		7,052


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

Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)	$	3,887	$	4,219
Commercial Mortgage Pass Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (E)		2,500		2,761
Commercial Mortgage Pass Through Certificates, Ser 2004-LB2A, Cl A4
4.715%, 03/10/39		1,421		1,494
Commercial Mortgage Pass Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/43 (B)		600		648
Commercial Mortgage Pass Through Certificates, Ser 2010-C1, Cl A1
3.156%, 07/10/46 (E)		1,888		1,915
Commercial Mortgage Pass Through Certificates, Ser 2010-C1, Cl A3
4.205%, 07/10/46 (E)		2,455		2,432
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (E)		239		242
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		2,509		2,585
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34		2,210		1,929
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO
4.847%, 02/25/35 (B)		39,810		5,300
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		348		361
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		355		249
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31		1,286		1,321
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.442%, 08/25/35 (B)		986		513
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
1.692%, 08/25/35 (B)		4,001		2,129
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1
0.563%, 11/25/35 (B)		7,444		4,416
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.586%, 11/20/35 (B) (G)		5,322		3,037
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1
0.523%, 01/25/36 (B)		2,803		1,884


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

Countrywide Alternative Loan Trust, Ser 2006-OA9, Cl 2A1A
0.463%, 07/20/46 (B)	$	604	$	281
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-34, Cl A6
5.250%, 09/25/33		1,000		1,024
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/33		854		852
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-56, Cl 6A1
3.150%, 12/25/33 (B)		586		532
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		1,437		1,434
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2003-J7, Cl 4A3
9.446%, 08/25/18 (B)		186		184
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-20, Cl 2A1
2.870%, 09/25/34 (B)		85		38
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-5, Cl 1A4
5.500%, 06/25/34		881		931
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		1,425		1,453
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/27		790		687
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.653%, 09/25/35 (B) (E)		6,103		5,209
Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34		369		376
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36		3,030		3,157
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36		10		10
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4
5.250%, 11/25/33		801		826
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/33		1,149		1,160
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18		606		623
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/33		307		314


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

Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (B)	$	1,571	$	1,645
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2
4.597%, 03/15/35		1,452		1,526
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.707%, 06/25/34 (B)		845		824
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24
18.138%, 06/25/35 (B)		343		367
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		323		332
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		1,987		2,067
Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4
5.230%, 12/15/40 (B)		13,000		14,151
Credit Suisse Mortgage Capital Certificate, Ser 2007-C2, Cl A2
5.448%, 01/15/49 (B)		1,359		1,389
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.846%, 03/15/39 (B)		825		884
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		3,212		3,353
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (E)		709		713
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.255%, 06/28/47 (B) (E)		1,347		1,352
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/37 (B) (E)		571		575
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/50 (B) (E)		400		373
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		825		850
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1
5.686%, 02/25/20 (B)		375		376
Deutsche Mortgage Securities, Ser 2010-RS2, Cl A1
1.503%, 06/28/47 (B) (E)		868		868
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (E)		5,493		5,778
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.653%, 11/19/44 (B)		2,072		805


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

DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A
1.262%, 03/19/46 (B)	$	393	$	221
Extended Stay America Trust, Ser 2010-ESHA, Cl A
2.951%, 11/05/27 (E)		1,360		1,357
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.811%, 02/25/48 (B) (E)		6,523		6,535
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		1,283		1,328
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		789		819
GE Capital Commercial Mortgage, Ser 2001-3, Cl A1
5.560%, 06/10/38		131		131
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		1,519		1,586
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		1,000		1,030
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		404		413
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39		445		468
GMAC Commercial Mortgage Securities, Ser 2003-C2, CI B
5.675%, 05/10/40 (B)		1,575		1,668
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D
5.675%, 05/10/40 (B)		654		662
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.659%, 05/10/40 (B)		1,073		1,162
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		760		814
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4
5.301%, 08/10/38 (B)		1,299		1,397
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (B)		700		752
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.408%, 10/19/33 (B)		1,994		1,995
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		663		660


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

GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33	$	1,134	$	1,089
GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1
5.500%, 09/25/34		59		60
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/35		931		953
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		547		563
GMAC Mortgage Loan Trust, Ser 2005-AR5, Cl 3A1
3.400%, 09/19/35 (B)		205		184
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.455%, 11/19/35 (B)		891		768
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A
4.250%, 07/25/40 (E)		446		442
Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A
0.333%, 02/25/47 (B)		10,685		8,103
Greenwich Capital Commercial Funding, Ser 2003-C1, Cl B
4.229%, 07/05/35		1,094		1,135
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (B)		5,900		6,411
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (B)		171		180
Greenwich Capital Commercial Funding, Ser 2005-GG3, CI AJ
4.859%, 08/10/42 (B)		220		219
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		4,151		4,400
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.080%, 07/10/38 (B)		10,875		11,919
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		7,000		7,321
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (B) (E)		626		645
GS Mortgage Securities II, Ser 2004-C1, Cl A2
4.319%, 10/10/28		136		136
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		4,910		5,119


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

GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (B)	$	1,763	$	1,885
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (E)		5		5
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.653%, 04/25/36 (B) (E)		2,066		1,748
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/34		712		738
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.753%, 06/25/35 (B)		667		602
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3
5.500%, 06/25/35		461		465
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		125		113
Impac Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/51 (E)		4,724		4,934
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		842		875
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.603%, 08/25/36 (B)		1,523		1,371
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
5.944%, 11/25/37 (B)		1,787		1,469
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (B)		11,300		4,680
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (B)		851		861
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (B)		403		420
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C
6.450%, 05/12/34 (B)		1,190		1,236
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1
4.275%, 01/12/37		934		959
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4
4.879%, 01/12/38 (B)		1,614		1,717
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C2, Cl A3
5.403%, 05/15/41 (B)		1,566		1,683
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A2
5.108%, 06/12/41 (B)		963		973


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

JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4
5.538%, 06/12/41 (B)	$	3,671	$	3,931
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		666		689
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP5, Cl A4
5.363%, 12/15/44 (B)		887		969
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A4
5.481%, 12/12/44 (B)		1,859		1,980
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl A4
5.552%, 05/12/45		906		970
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		880		922
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl ASB
6.001%, 06/15/49 (B)		1,498		1,594
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A3
6.187%, 02/15/51 (B)		2,334		2,453
JPMorgan Chase Commercial Mortgage Securities, Ser 2008-C2, Cl A1
5.017%, 02/12/51		6		6
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2
5.633%, 12/05/27 (E)		4,766		5,274
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (E)		3,565		3,703
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl C
7.903%, 08/15/32 (B)		655		655
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37		969		1,020
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		427		441
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (B)		1,167		1,252
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A2
5.437%, 12/12/44		1,792		1,801
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4
5.429%, 12/12/43		5,608		5,931
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/45		500		539


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

JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47	$	885	$	923
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (B)		3,057		3,229
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
4.296%, 06/25/34 (B)		3,110		3,052
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
4.307%, 07/25/34 (B)		220		220
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
4.552%, 09/25/34 (B)		266		271
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.818%, 12/25/34 (B)		1,798		1,809
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
4.818%, 12/25/34 (B)		11,500		11,654
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
5.014%, 02/25/35 (B)		1,000		1,006
JPMorgan Mortgage Trust, Ser 2005-A1, CI 5A1
4.479%, 02/25/35 (B)		476		488
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.309%, 04/25/35 (B)		360		364
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
2.930%, 08/25/34 (B)		2,093		2,090
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.737%, 04/25/36 (B)		13,400		11,407
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.991%, 08/25/34 (B)		928		866
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.744%, 05/25/36 (B)		14,500		11,729
JPMorgan Re-Remic, Ser 2010-4, Cl 7A1
4.319%, 08/26/35 (B) (E)		659		660
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
6.131%, 07/15/44 (B)		844		896
LB Commercial Conduit Mortgage Trust, Ser C3, Cl A4
6.141%, 07/15/44 (B)		2,293		2,434
LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2
6.653%, 11/15/27		2,116		2,128


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

LB-UBS Commercial Mortgage Trust, Ser 2001-C3, Cl A2
6.365%, 12/15/28	$	3,174	$	3,221
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		12,470		13,096
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		572		582
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		8,254		8,664
LB-UBS Commercial Mortgage Trust, Ser 2002-C7, Cl A4
4.960%, 12/15/31		1,888		2,000
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (B)		19,979		21,506
LB-UBS Commercial Mortgage Trust, Ser 2004-C1, Cl A4
4.568%, 01/15/31		941		987
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		853		888
LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl A4
4.742%, 02/15/30		863		913
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4
4.998%, 04/15/30		2,624		2,689
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		376
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
6.078%, 06/15/38 (B)		450		489
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		272		289
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		420		451
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3
5.933%, 07/15/40		3,363		3,527
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3
5.866%, 09/15/45 (B)		2,070		2,196
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2
6.324%, 04/15/41 (B)		1,615		1,766
LVII Resecuritization Trust, Ser 2009-1, Cl A1
5.949%, 11/27/37 (B) (E)		343		350


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

LVII Resecuritization Trust, Ser 2009-2, Cl A4
3.000%, 09/27/37 (B) (E)	$	1,000	$	1,000
LVII Resecuritization Trust, Ser 2009-2, Cl A3
3.000%, 09/27/37 (B) (E)		1,000		998
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
2.899%, 11/21/34 (B)		11,650		11,033
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
2.899%, 11/21/34 (B)		1,585		1,472
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
2.899%, 11/21/34 (B)		857		861
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.453%, 05/25/47 (B)		16,051		8,930
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34		2,145		2,215
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (E)		3,515		3,442
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.603%, 05/25/35 (B) (E)		674		551
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.613%, 07/25/35 (B) (E)		1,522		1,252
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/35 (E)		501		321
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		593		605
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		802		629
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		164		168
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		581		576
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1
0.653%, 11/25/34 (B)		76		74
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.866%, 07/25/33 (B)		237		243
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.292%, 02/25/34 (B)		4,309		4,249


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

Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.892%, 02/25/34 (B)	$	227	$	220
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.786%, 08/25/34 (B)		443		443
Merrill Lynch Mortgage Trust, Ser 2003-KEY1, Cl A4
5.236%, 11/12/35 (B)		2,840		3,030
Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4
4.864%, 08/12/39 (B)		2,768		2,925
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (B)		1,069		1,125
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A2
4.960%, 07/12/38		1,292		1,310
Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6
5.414%, 11/12/37 (B)		623		684
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.511%, 01/12/44 (B)		480		456
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.237%, 02/25/36 (B)		459		386
Merrill Lynch Mortgage Trust, Ser 2006-C1, CI A4
5.838%, 05/12/39 (B)		505		548
Merrill Lynch Mortgage Trust, Ser 2007-C1, Cl A4
6.019%, 06/12/50 (B)		610		655
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		16,900		17,616
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (B)		3,760		3,844
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-7, Cl A4
5.810%, 06/12/50 (B)		3,595		3,694
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-8, Cl A3
6.163%, 08/12/49 (B)		50		54
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.713%, 04/25/29 (B)		406		375
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.214%, 05/25/29 (B)		570		571
MLCC Mortgage Investors, Ser 2004-D, Cl A2
0.894%, 08/25/29 (B)		504		471


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

MLCC Mortgage Investors, Ser 2005-1, Cl 2A2
2.363%, 04/25/35 (B)	$	243	$	238
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
2.363%, 04/25/35 (B)		78		75
Morgan Stanley Capital I, Ser 2003-IQ6, Cl A
4.970%, 12/15/41		1,720		1,846
Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/41		1,370		1,463
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		1,923		2,033
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		2,536		2,623
Morgan Stanley Capital I, Ser 2004-T15, Cl A4
5.270%, 06/13/41 (B)		1,073		1,161
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		491		512
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		9,031		9,700
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.353%, 11/14/42 (B)		418		440
Morgan Stanley Capital I, Ser 2005-IQ9, Cl A5
4.700%, 07/15/56		1,745		1,847
Morgan Stanley Capital I, Ser 2005-T17, Cl A4
4.520%, 12/13/41		178		181
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM
5.310%, 12/15/43		2,188		2,246
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		7,300		7,844
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		913		937
Morgan Stanley Capital I, Ser 2007-IQ14, Cl AAB
5.654%, 04/15/49 (B)		581		614
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.802%, 06/11/42 (B)		300		328
Morgan Stanley Capital I, Ser HQ13, Cl A3
5.569%, 12/15/44		4,858		5,028


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

Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33	$	1,716	$	1,746
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B
6.640%, 04/15/34		680		717
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		2,552		2,697
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		721		744
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.658%, 04/25/34 (B)		879		925
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.363%, 02/25/47 (B)		404		334
Morgan Stanley Re-Remic Trust, Ser 2009-IO, Cl A1
3.000%, 07/17/56		658		660
Morgan Stanley Re-Remic Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/40 (E)		1,300		1,393
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2
2.900%, 10/29/20		190		191
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20		8,720		8,683
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.704%, 10/07/20 (B)		13,984		13,988
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.623%, 11/06/17 (B)		6,450		6,450
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.723%, 11/05/20 (B)		3,220		3,224
New York Mortgage Trust, Ser 2006-1, Cl 2A2
5.275%, 05/25/36 (B)		788		771
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.288%, 03/15/30 (B)		2,754		3,050
PNC Mortgage Acceptance, Ser 2001-C1, Cl A2
6.360%, 03/12/34		529		532
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/34		139		105
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/34		392		407


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

Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/35 (E)	$	2,829	$	2,482
Prudential Mortgage Capital Funding LLC, Ser 2001-ROCK, Cl B
6.760%, 05/10/34		867		884
RBSGC Mortgage Pass Through Certificates, Ser 2007-B, Cl 1A4
0.703%, 01/25/37 (B)		5,946		3,475
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1
4.500%, 03/26/21 (E)		975		978
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/37 (B) (E)		1,000		990
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/33		593		593
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		526		534
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		539		551
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,422		1,197
Residential Accredit Loans, Ser 2005-QO2, Cl A1
1.702%, 09/25/45 (B)		1,094		659
Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A
0.343%, 10/25/46 (B)		1,919		1,888
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		956		943
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31		1,623		1,594
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		624		628
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.796%, 12/25/34 (B)		1,815		1,771
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4
5.750%, 03/25/33		700		733
Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C
7.727%, 07/18/33 (B)		296		295
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3
6.499%, 11/13/36		1,893		1,946


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

Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36	$	213	$	219
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.202%, 09/25/33 (B)		924		934
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (B)		1,161		1,176
Station Place Securitization Trust, Ser 2009-1, Cl A
1.753%, 01/25/40 (B) (E)		1,000		1,000
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1
5.484%, 09/25/35 (B)		4,370		3,466
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.573%, 10/25/35 (B)		5,258		3,421
Structured Asset Mortgage Investments, Ser 2004-AR8, Cl A1
0.593%, 05/19/35 (B)		227		174
Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3
0.443%, 07/25/46 (B)		201		107
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.453%, 10/25/36 (B)		6,285		3,948
Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B
0.433%, 09/25/47 (B)		17,832		10,131
Structured Asset Securities, Ser 2003-16, Cl A3
0.753%, 06/25/33 (B)		1,135		1,040
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.712%, 10/25/33 (B)		10,793		10,381
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.101%, 11/25/33 (B)		296		297
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		1,034		1,026
Structured Asset Securities, Ser 2003-37A, Cl 2A
4.996%, 12/25/33 (B)		413		429
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		1,000		1,018
Structured Asset Securities, Ser 2005-6, Cl 5A8
13.393%, 05/25/35 (B)		55		55
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.573%, 09/25/43 (B)		218		202


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

Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
6.183%, 09/25/37 (B)	$	5,676	$	5,503
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
6.049%, 08/15/39 (B)		2,500		2,754
US Bank National Mortgage Association, Ser 2007-1, Cl A
5.920%, 05/25/12		4,140		4,318
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		2,790		3,225
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		382		401
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (E)		280		282
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		870		896
WaMu Mortgage Pass Through Certificates, Ser 2003-AR10, Cl A7
2.621%, 10/25/33 (B)		627		607
WaMu Mortgage Pass Through Certificates, Ser 2003-AR6, Cl A1
2.698%, 06/25/33 (B)		617		610
WaMu Mortgage Pass Through Certificates, Ser 2003-AR7, Cl A7
2.672%, 08/25/33 (B)		551		539
WaMu Mortgage Pass Through Certificates, Ser 2003-AR8, Cl A
2.716%, 08/25/33 (B)		326		329
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 2A
2.775%, 09/25/33 (B)		381		384
WaMu Mortgage Pass Through Certificates, Ser 2003-AR9, Cl 1A6
2.707%, 09/25/33 (B)		1,173		1,132
WaMu Mortgage Pass Through Certificates, Ser 2003-S11, Cl 2A5
16.353%, 11/25/33 (B)		767		864
WaMu Mortgage Pass Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		566		588
WaMu Mortgage Pass Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,174		2,142
WaMu Mortgage Pass Through Certificates, Ser 2004-AR11, Cl A
2.718%, 10/25/34 (B)		44		41
WaMu Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A1
2.705%, 06/25/34 (B)		320		307


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

WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19	$	718	$	743
WaMu Mortgage Pass Through Certificates, Ser 2004-S1, Cl 1A3
0.653%, 03/25/34 (B)		375		371
WaMu Mortgage Pass Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		711		728
WaMu Mortgage Pass Through Certificates, Ser 2005-AR11, Cl A1A
0.573%, 08/25/45 (B)		156		133
WaMu Mortgage Pass Through Certificates, Ser 2006-AR1, Cl 1A1B
1.412%, 01/25/46 (B)		3,235		893
WaMu Mortgage Pass Through Certificates, Ser 2006-AR13, Cl 2A
3.163%, 10/25/46 (B)		1,500		1,058
WaMu Mortgage Pass Through Certificates, Ser 2006-AR14, Cl 1A4
5.493%, 11/25/36 (B)		478		353
WaMu Mortgage Pass Through Certificates, Ser 2006-AR17, Cl 2A
3.163%, 12/25/46 (B)		693		515
WaMu Mortgage Pass Through Certificates, Ser 2006-AR7, Cl 2A
1.322%, 07/25/46 (B)		1,210		752
WaMu Mortgage Pass Through Certificates, Ser 2007-HY1, Cl 4A1
5.059%, 02/25/37 (B)		8,618		6,456
WaMu Mortgage Pass Through Certificates, Ser 2007-HY1, Cl 1A1
5.488%, 02/25/37 (B)		6,243		4,603
WaMu Mortgage Pass Through Certificates, Ser 2007-HY3, Cl 1A1
5.407%, 03/25/37 (B)		7,317		5,270
WaMu Mortgage Pass Through Certificates, Ser 2007-HY3, Cl 4A1
5.035%, 03/25/37 (B)		405		347
WaMu Mortgage Pass Through Certificates, Ser 2007-OA5, Cl 1A
1.092%, 06/25/47 (B)		12,318		7,962
WaMu Mortgage Pass Through Certificates, Ser 2007-OA6, Cl 1A
1.152%, 07/25/47 (B)		12,611		8,054
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.704%, 01/25/33 (B)		361		349
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		478		486
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.766%, 06/25/33 (B)		181		197


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

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.543%, 10/25/45 (B)	$	3,940	$	3,331
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.533%, 11/25/45 (B)		6,099		4,577
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
4.642%, 12/25/35 (B)		13,585		10,791
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.543%, 12/25/45 (B)		5,841		4,413
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
3.163%, 11/25/46 (B)		1,980		656
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
1.182%, 11/25/46 (B)		1,754		416
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
1.182%, 11/25/46 (B)		3,040		2,092
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
1.152%, 12/25/46 (B)		612		201
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.312%, 06/25/46 (B)		1,293		556
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B
1.262%, 09/25/46 (B)		1,026		76
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		799		152
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B
1.182%, 05/25/47 (B)		15,795		3,589
Washington Mutual Mortgage Pass Through Certificates, Ser 2004-AR3, Cl A2
2.705%, 06/25/34 (B)		419		403
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/33		256		262
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/33		315		235
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/33		603		479


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

Wells Fargo Mortgage Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18	$	2,040	$	2,114
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-C, Cl A6
3.246%, 02/25/33 (B)		699		707
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-J, Cl 2A5
4.435%, 10/25/33 (B)		263		269
Wells Fargo Mortgage Backed Securities Trust, Ser 2003-K, Cl 1A1
4.465%, 11/25/33 (B)		1,244		1,239
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-B, Cl A1
4.896%, 02/25/34 (B)		933		966
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (B)		219		223
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-E, Cl A8
4.847%, 05/25/34 (B)		1,000		1,008
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A2
2.979%, 12/25/34 (B)		450		453
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.857%, 12/25/34 (B)		954		932
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.979%, 12/25/34 (B)		300		296
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl 1A1
2.948%, 07/25/34 (B)		907		908
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-L, Cl A6
4.746%, 07/25/34 (B)		650		655
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-O, Cl A1
4.859%, 08/25/34 (B)		555		567
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-P, Cl 2A1
2.911%, 09/25/34 (B)		624		620
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A1
2.892%, 10/25/34 (B)		828		823
Wells Fargo Mortgage Backed Securities Trust, Ser 2004-V, Cl 1A2
2.892%, 10/25/34 (B)		662		666
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/20		535		544
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-13, Cl A1
5.000%, 11/25/20		545		566


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

Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR14, Cl A1
5.367%, 08/25/35 (B)	$	816	$	806
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.897%, 06/25/35 (B)		1,172		1,145
Wells Fargo Mortgage Backed Securities Trust, Ser 2006-AR18, Cl 1A1
5.743%, 11/25/36 (B)		973		936
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.857%, 12/25/34 (B)		636		627

				812,996

Total Mortgage-Backed Securities (Cost $2,950,690) ($ Thousands)				2,967,602


CORPORATE OBLIGATIONS — 26.6%

Consumer Discretionary — 1.9%
British Sky Broadcasting Group
9.500%, 11/15/18 (E)		1,990		2,697
CBS
8.875%, 05/15/19		125		161
7.875%, 07/30/30		160		187
5.750%, 04/15/20 (A)		92		100
Comcast
6.500%, 01/15/15		3,635		4,214
6.500%, 01/15/17 (A)		7,185		8,503
5.650%, 06/15/35		450		440
5.150%, 03/01/20		420		452
4.950%, 06/15/16		4,125		4,549
Comcast Cable Communications
8.375%, 03/15/13		3,422		3,934
6.750%, 01/30/11 (A)		1,840		1,858
Continental Airlines
5.983%, 04/19/22 (A)		3,211		3,460
Continental Airlines Ser 1999-1 Cl A Pass Through Trust
6.545%, 02/02/19 (A)		144		152
Continental Airlines Ser 1999-2 Cl C-2 Pass Through Trust
7.256%, 03/15/20		1,242		1,354
6.236%, 03/15/20		2,014		1,867
Continental Airlines Ser 2000-1 Cl A-1 Pass Through Trust
8.048%, 11/01/20		2,400		2,640
CVS
5.789%, 01/10/26 (E)		1,902		1,976
CVS Lease Pass-Through
6.036%, 12/10/28 (E)		3,797		3,996
5.880%, 01/10/28 (E)		173		179
DaimlerChrysler
7.300%, 01/15/12		2,515		2,688
6.500%, 11/15/13		460		526


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

Delta Air Lines Ser 2001-1 Cl A-2 Pass Through Trust
7.111%, 09/18/11 (A)	$	14,850	$	15,407
Delta Air Lines Ser 2007-1 Cl A Pass Through Trust
6.821%, 08/10/22 (A)		2,113		2,276
Delta Air Lines Ser 2010-2 Cl A Pass Through Trust
4.950%, 05/23/19		280		284
Eastman Kodak
7.250%, 11/15/13 (A)		1,855		1,795
Historic TW
9.150%, 02/01/23		500		672
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.661%, 08/15/16 (B)		5,047		4,681
Kohl’s
6.250%, 12/15/17 (A)		255		301
Lowe’s MTN
7.110%, 05/15/37		400		489
Mattel
6.200%, 10/01/40		1,360		1,324
McDonald’s MTN
5.350%, 03/01/18 (A)		2,350		2,712
Newell Rubbermaid
4.700%, 08/15/20		176		180
Northwest Airlines Ser 2001-1 Cl A-2 Pass Through Trust
6.841%, 04/01/11 (A)		4,500		4,568
Staples
9.750%, 01/15/14		305		374
Target
7.000%, 01/15/38		135		170
4.000%, 06/15/13		355		381
Thomson Reuters
5.950%, 07/15/13 (A)		1,405		1,579
4.700%, 10/15/19		250		272
Time Warner
7.625%, 04/15/31		4,830		5,846
6.100%, 07/15/40		642		677
4.700%, 01/15/21		2,240		2,353
Time Warner Cable
8.750%, 02/14/19		3,320		4,326
8.250%, 04/01/19		3,235		4,117
7.300%, 07/01/38 (A)		400		470
6.750%, 07/01/18 (A)		120		143
6.550%, 05/01/37		3,426		3,691
5.875%, 11/15/40 (A)		4,185		4,150
5.850%, 05/01/17 (A)		1,230		1,405
4.125%, 02/15/21		470		458
Time Warner Entertainment
8.375%, 07/15/33		100		127
United Business Media
5.750%, 11/03/20 (E)		1,070		1,067


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

Viacom
6.250%, 04/30/16	$	300	$	350
Volkswagen International Finance
1.625%, 08/12/13 (E)		100		100
Wal-Mart Stores
5.800%, 02/15/18		1,990		2,343

				115,021


Consumer Staples — 1.5%
Altria Group
10.200%, 02/06/39		1,420		2,051
9.700%, 11/10/18 (A)		2,125		2,862
9.250%, 08/06/19		2,300		3,069
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (E)		7,700		9,894
7.200%, 01/15/14 (E)		100		116
5.375%, 11/15/14 (E)		5,635		6,301
5.375%, 01/15/20		3,150		3,527
5.000%, 04/15/20		910		995
4.125%, 01/15/15		3,910		4,193
Bunge Finance
8.500%, 06/15/19 (A)		350		419
5.900%, 04/01/17		107		113
Coca-Cola
3.150%, 11/15/20		3,175		3,085
1.500%, 11/15/15		4,650		4,550
CVS Caremark
6.600%, 03/15/19		280		338
6.125%, 09/15/39		140		152
Diageo Capital
4.828%, 07/15/20 (A)		300		329
Diageo Finance BV
5.500%, 04/01/13		300		329
Dr Pepper Snapple Group
6.820%, 05/01/18		2,870		3,465
2.350%, 12/21/12		2,735		2,797
GlaxoSmithKline Capital
4.375%, 04/15/14		200		219
Kraft Foods
6.750%, 02/19/14 (A)		200		232
6.500%, 08/11/17		100		119
6.500%, 02/09/40		6,580		7,562
6.125%, 08/23/18		700		824
5.375%, 02/10/20		10,165		11,321
Kroger
7.500%, 04/01/31 (A)		110		136
5.400%, 07/15/40		45		44
PepsiCo
7.900%, 11/01/18 (A)		339		449
5.500%, 01/15/40		525		562
4.875%, 11/01/40		1,315		1,292
3.125%, 11/01/20		875		850
Reynolds American
7.250%, 06/01/12		2,090		2,248


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

SABMiller
5.500%, 08/15/13 (E)	$	320	$	350
Safeway
6.350%, 08/15/17		2,726		3,141
Wal-Mart Stores
5.000%, 10/25/40		3,720		3,686
3.250%, 10/25/20		2,715		2,649
Woolworths
4.000%, 09/22/20 (E)		3,395		3,410
2.550%, 09/22/15 (E)		1,475		1,491

				89,170


Energy — 2.3%
Alberta Energy
7.375%, 11/01/31		200		237
Anadarko Finance
7.500%, 05/01/31		73		78
Anadarko Petroleum
8.700%, 03/15/19 (A)		150		183
7.625%, 03/15/14		450		508
6.950%, 06/15/19		90		101
6.375%, 09/15/17		2,312		2,498
5.950%, 09/15/16 (A)		8,560		9,134
ANR Pipeline
9.625%, 11/01/21		100		146
Apache
6.000%, 09/15/13		3,300		3,704
5.625%, 01/15/17		390		450
5.100%, 09/01/40		1,615		1,579
Baker Hughes
7.500%, 11/15/18		2,290		2,946
BP Capital Markets
3.125%, 03/10/12		630		644
CenterPoint Energy Resources
7.875%, 04/01/13		170		194
Conoco Funding
7.250%, 10/15/31		885		1,112
6.950%, 04/15/29		2,315		2,924
ConocoPhillips
6.000%, 01/15/20 (A)		460		556
5.900%, 10/15/32		10		11
5.900%, 05/15/38		700		788
El Paso
6.950%, 06/01/28		2,250		2,183
El Paso Pipeline Partners Operating LLC
7.500%, 11/15/40		3,190		3,285
4.100%, 11/15/15		530		532
Encana
6.500%, 05/15/19 (A)		565		681
Energy Transfer Partners
9.000%, 04/15/19		1,515		1,908
6.700%, 07/01/18		2,340		2,672
ENI
5.700%, 10/01/40 (E)		900		902


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

Enterprise Products Operating LLC
9.750%, 01/31/14 (A)	$	3,610	$	4,398
EOG Resources
4.100%, 02/01/21		300		300
Gazprom Via Gaz Capital
6.212%, 11/22/16 (E)		427		448
Halliburton
6.150%, 09/15/19		300		352
Hess
8.125%, 02/15/19		4,200		5,455
7.300%, 08/15/31		1,445		1,740
Husky Energy
7.250%, 12/15/19		1,649		1,991
5.900%, 06/15/14		1,625		1,802
Kerr-McGee
6.950%, 07/01/24		925		1,012
Kinder Morgan Energy Partners
7.125%, 03/15/12		1,760		1,878
6.000%, 02/01/17		610		683
5.000%, 12/15/13		1,190		1,292
Marathon Oil
7.500%, 02/15/19 (A)		300		381
Motiva Enterprises LLC
6.850%, 01/15/40 (E)		3,050		3,565
Occidental Petroleum
7.000%, 11/01/13		4,440		5,190
Panhandle Eastern Pipeline
8.125%, 06/01/19		1,086		1,298
Pemex Project Funding Master Trust
6.625%, 06/15/35 (A)		5,602		5,853
0.903%, 12/03/12 (B) (E)		201		200
Petrobras International Finance
6.875%, 01/20/40		513		553
6.125%, 10/06/16		1,300		1,449
5.750%, 01/20/20		1,127		1,217
Petro-Canada
6.800%, 05/15/38		3,850		4,402
6.050%, 05/15/18		260		301
Petroleos Mexicanos
5.500%, 01/21/21		525		549
Plains All American Pipeline
3.950%, 09/15/15		2,139		2,237
Reliance Holdings USA
4.500%, 10/19/20 (E)		1,480		1,407
Rockies Express Pipeline LLC
3.900%, 04/15/15 (E)		4,600		4,635
Shell International Finance BV
6.375%, 12/15/38		2,790		3,327
4.375%, 03/25/20		80		87
4.300%, 09/22/19 (A)		1,000		1,075
3.100%, 06/28/15		3,466		3,633
Sonat
7.625%, 07/15/11		2,880		2,961


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

Spectra Energy Capital LLC
8.000%, 10/01/19 (A)	$	702	$	880
Statoil
3.125%, 08/17/17		200		205
Suncor Energy
6.500%, 06/15/38		345		380
Talisman Energy
7.750%, 06/01/19 (A)		390		494
Tosco
8.125%, 02/15/30		100		132
7.800%, 01/01/27		210		268
Total Capital
3.000%, 06/24/15		2,460		2,563
2.300%, 03/15/16		300		298
TransCanada PipeLines
7.125%, 01/15/19 (A)		200		251
6.500%, 08/15/18		425		518
3.800%, 10/01/20		1,770		1,788
Transocean
6.500%, 11/15/20		485		528
4.950%, 11/15/15		4,715		4,916
Union Pacific Resources Group
7.150%, 05/15/28		150		153
Valero Energy
9.375%, 03/15/19 (A)		8,525		10,784
Williams
8.750%, 03/15/32 (A)		3,526		4,291
7.875%, 09/01/21		2,862		3,461
7.750%, 06/15/31		548		615
Williams Partners
5.250%, 03/15/20		1,140		1,221
Williams, Ser A
7.500%, 01/15/31		15		17
XTO Energy
7.500%, 04/15/12		1,320		1,439
5.650%, 04/01/16		390		459
4.625%, 06/15/13		100		109

				141,397


Financials — 14.0%
ACE INA Holdings
5.600%, 05/15/15		380		426
Achmea Hypotheekbank
3.200%, 11/03/14 (E)		7,285		7,682
Aegon, Ser CMS
2.628%, 07/29/49 (B)		2,180		1,317
AEP Texas Central Transition Funding LLC
5.090%, 07/01/15		8,975		10,041
4.980%, 07/01/13		5,025		5,268
Aflac
6.450%, 08/15/40		92		93


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

Allstate
7.450%, 05/16/19	$	4,580	$	5,679
5.000%, 08/15/14		300		332
Ally Financial
7.250%, 03/02/11		1,744		1,759
2.496%, 12/01/14 (B)		4,579		4,098
1.750%, 10/30/12		3,960		4,048
American Express MTN
7.250%, 05/20/14		360		414
7.000%, 03/19/18		500		593
5.875%, 05/02/13		2,100		2,291
American Express Credit MTN
7.300%, 08/20/13		500		566
5.125%, 08/25/14		3,530		3,840
2.750%, 09/15/15		5,975		5,906
American General Finance MTN
6.900%, 12/15/17		1,200		951
American Honda Finance MTN
3.875%, 09/21/20 (E)		2,840		2,830
2.375%, 03/18/13 (E)		150		153
American International Group
6.400%, 12/15/20		1,860		1,855
6.250%, 03/15/37		5,000		4,263
ANZ National Int’l
2.375%, 12/21/12 (E)		190		193
AON
6.250%, 09/30/40		79		80
3.500%, 09/30/15		46		47
ASIF Global Financing XIX
4.900%, 01/17/13 (E)		450		469
Associates Corp of North America
6.950%, 11/01/18		450		501
Australia & New Zealand Banking Group
3.700%, 01/13/15 (E)		4,000		4,206
0.588%, 10/29/49 (B)		1,400		868
BA Covered Bond Issuer
5.500%, 06/14/12 (E)		1,500		1,574
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		180		128
BAC Capital Trust XV
1.096%, 06/01/56 (B)		9,235		5,752
Bank of America
7.625%, 06/01/19		750		853
7.400%, 01/15/11		2,500		2,520
7.375%, 05/15/14		4,030		4,503
6.500%, 08/01/16		8,755		9,508
6.100%, 06/15/17		2,000		2,090
6.000%, 09/01/17		2,630		2,762
5.750%, 12/01/17		2,640		2,735
5.650%, 05/01/18 (A)		240		246
5.625%, 07/01/20		6,720		6,756
5.420%, 03/15/17		5,030		4,986
4.500%, 04/01/15		6,790		6,962
3.700%, 09/01/15 (A)		3,985		3,934


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

Bank of Montreal
2.850%, 06/09/15 (E)	$	2,720	$	2,838
Bank of New York Mellon MTN
4.600%, 01/15/20 (A)		160		173
2.950%, 06/18/15 (A)		500		518
Bank of Nova Scotia
3.400%, 01/22/15		328		347
1.650%, 10/29/15 (E)		355		349
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (E)		2,227		2,366
Barclays Bank
6.050%, 12/04/17 (E)		2,490		2,619
5.200%, 07/10/14		1,250		1,367
5.140%, 10/14/20		3,060		2,813
5.125%, 01/08/20 (A)		4,330		4,447
5.000%, 09/22/16 (A)		4,800		5,144
2.500%, 01/23/13 (A)		500		509
2.500%, 09/21/15 (A) (E)		365		359
0.625%, 08/07/49 (B)		380		228
Barnett Capital III
0.912%, 02/01/27 (B)		600		423
BB&T
6.850%, 04/30/19 (A)		115		137
4.900%, 06/30/17		400		418
3.950%, 04/29/16 (A)		555		579
3.850%, 07/27/12		150		156
3.375%, 09/25/13 (A)		620		652
Bear Stearns
7.250%, 02/01/18		2,930		3,500
6.400%, 10/02/17		3,910		4,477
4.650%, 07/02/18		3,000		3,107
Berkshire Hathaway
3.200%, 02/11/15		3,010		3,155
Berkshire Hathaway Finance
5.400%, 05/15/18 (A)		400		445
BlackRock
6.250%, 09/15/17		570		658
Blackstone Holdings Finance LLC
5.875%, 03/15/21 (E)		1,180		1,173
BNP Paribas Home Loan Covered Bonds
2.200%, 11/02/15 (E)		5,145		5,076
Boeing Capital
4.700%, 10/27/19		920		1,012
Boston Properties
4.125%, 05/15/21‡		1,400		1,359
BP Capital Markets
5.250%, 11/07/13		3,230		3,511
3.875%, 03/10/15 (A)		630		656
3.625%, 05/08/14		100		104
Branch Banking & Trust
5.625%, 09/15/16		325		363
Canadian Imperial Bank of Commerce
2.600%, 07/02/15 (E)		1,000		1,032


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

Capital One Bank USA
8.800%, 07/15/19 (A)	$	2,615	$	3,255
Capital One Financial
7.375%, 05/23/14		450		520
6.750%, 09/15/17		590		692
Caterpillar Financial Services MTN
7.150%, 02/15/19		250		318
6.200%, 09/30/13		5,640		6,412
5.850%, 09/01/17		580		671
CDP Financial
3.000%, 11/25/14 (E)		6,800		7,045
Cedar Brakes I LLC
8.500%, 02/15/14 (E)		941		969
Charles Schwab
4.950%, 06/01/14		100		111
Chase Capital VI
0.912%, 08/01/28 (B)		2,000		1,522
Citigroup
8.500%, 05/22/19		600		735
8.125%, 07/15/39 (A)		400		486
6.875%, 03/05/38		4,618		4,949
6.500%, 08/19/13 (A)		2,370		2,616
6.375%, 08/12/14 (A)		4,971		5,506
6.125%, 05/15/18		390		425
6.010%, 01/15/15 (A)		2,330		2,542
6.000%, 12/13/13		3,920		4,288
6.000%, 08/15/17		6,675		7,215
5.875%, 02/22/33		6,150		5,700
5.500%, 04/11/13 (A)		1,758		1,884
5.500%, 02/15/17		6,880		7,149
5.375%, 08/09/20 (A)		3,090		3,161
5.000%, 09/15/14		2,890		2,972
4.750%, 05/19/15 (A)		2,005		2,092
0.838%, 08/25/36 (B)		2,839		1,771
Citigroup Capital III
7.625%, 12/01/36		2,000		2,075
Citigroup Funding MTN
1.875%, 10/22/12		5,355		5,485
0.618%, 04/30/12 (B)		4,900		4,928
CME Group
5.750%, 02/15/14 (A)		177		199
CNA Financial
5.875%, 08/15/20		274		278
5.850%, 12/15/14		200		214
Comerica
3.000%, 09/16/15 (A)		145		146
Commonwealth Bank of Australia MTN
5.000%, 10/15/19 (E)		900		967
3.750%, 10/15/14 (E)		2,110		2,230
CommonWealth REIT
6.650%, 01/15/18‡		255		273
6.250%, 08/15/16‡		300		321
5.875%, 09/15/20‡		95		94


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

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
11.000%, 12/31/49 (B) (E)	$	2,823	$	3,677
3.200%, 03/11/15 (E)		700		725
Corestates Capital I
8.000%, 12/15/26 (E)		629		642
Countrywide Financial MTN
5.800%, 06/07/12		4,283		4,502
4.000%, 03/22/11		2,250		2,273
Countrywide Financial
6.250%, 05/15/16		1,430		1,490
Credit Agricole
8.375%, 12/31/49 (A) (B) (E)		4,740		4,811
Credit Suisse NY MTN
6.000%, 02/15/18		9,400		10,253
5.500%, 05/01/14		125		139
5.300%, 08/13/19		600		644
5.000%, 05/15/13		4,189		4,529
3.450%, 07/02/12 (A)		300		312
Credit Suisse USA
5.125%, 01/15/14 (A)		335		368
5.125%, 08/15/15 (A)		310		345
Depfa ACS Bank
5.125%, 03/16/37 (E)		1,760		1,282
Deutsche Bank
3.875%, 08/18/14 (A)		295		313
2.375%, 01/11/13 (A)		2,500		2,553
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (B) (E)		4,789		4,262
Dexia Credit Local
2.750%, 04/29/14 (E)		13,575		13,880
DnB Boligkreditt
2.100%, 10/14/15 (A) (E)		8,452		8,372
Dresdner Funding Trust I
8.151%, 06/30/31 (E)		365		339
ERP Operating
5.750%, 06/15/17‡		500		559
5.125%, 03/15/16‡		1,000		1,100
Export-Import Bank of Korea
5.500%, 10/17/12		1,510		1,602
Farmers Exchange Capital
7.200%, 07/15/48 (E)		2,519		2,351
7.050%, 07/15/28 (E)		1,063		1,048
Farmers Insurance Exchange
8.625%, 05/01/24 (E)		4,118		4,703
FIH Erhvervsbank
2.000%, 06/12/13 (E)		4,070		4,170
First Chicago NBD Institutional Capital I
0.837%, 02/01/27 (B)		3,750		2,891
First Industrial MTN
7.500%, 12/01/17		1,765		1,579
Fleet Capital Trust II
7.920%, 12/11/26		1,600		1,604


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

FMR LLC
6.450%, 11/15/39 (E)	$	250	$	245
General Electric Capital MTN
6.875%, 01/10/39		5,361		5,955
6.375%, 11/15/67 (B)		6,495		6,414
6.000%, 08/07/19		920		1,017
5.900%, 05/13/14 (A)		5,010		5,592
5.875%, 01/14/38		6,875		6,733
5.625%, 09/15/17 (A)		800		882
5.625%, 05/01/18		6,775		7,398
5.500%, 01/08/20 (A)		910		974
5.450%, 01/15/13 (A)		180		194
5.400%, 02/15/17 (A)		1,800		1,968
2.625%, 12/28/12		6,140		6,395
0.666%, 05/05/26 (B)		4,345		3,520
0.552%, 09/15/14 (B)		6,550		6,348
0.414%, 03/20/14 (B)		2,000		1,897
0.409%, 04/10/12 (B)		500		498
Glitnir Banki (E) (F)
7.451%, 09/14/16		500		—
6.693%, 06/15/16		4,480		—
6.375%, 09/25/12		3,100		938
6.330%, 07/28/11		2,440		738
Goldman Sachs Capital II
5.793%, 12/29/49 (B)		15,810		13,359
Goldman Sachs Group
7.500%, 02/15/19		6,355		7,413
6.750%, 10/01/37		6,506		6,529
6.600%, 01/15/12		2,960		3,137
6.250%, 09/01/17 (A)		1,400		1,567
6.150%, 04/01/18		7,800		8,544
6.000%, 06/15/20		2,463		2,640
5.950%, 01/18/18		500		543
5.450%, 11/01/12		750		807
5.375%, 03/15/20		540		554
5.300%, 02/14/12		150		157
5.250%, 10/15/13 (A)		980		1,062
5.150%, 01/15/14 (A)		470		509
4.750%, 07/15/13		230		246
3.700%, 08/01/15		1,200		1,226
3.625%, 08/01/12		470		487
0.789%, 01/12/15 (B)		3,000		2,902
0.688%, 07/22/15 (B)		1,000		951
Hartford Financial Services Group
5.500%, 03/30/20		2,415		2,462
HBOS MTN
6.750%, 05/21/18 (E)		5,100		4,886
HBOS Capital Funding
6.071%, 06/30/49 (B) (E)		1,920		1,675
HCP MTN
6.700%, 01/30/18‡ (A)		5,423		5,985
6.300%, 09/15/16‡		354		390
6.000%, 01/30/17‡		6,580		7,036
5.650%, 12/15/13‡		2,765		2,998


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

Health Care REIT
4.950%, 01/15/21‡	$	4,910	$	4,814
Highwoods Properties
7.500%, 04/15/18‡		1,339		1,511
Hongkong & Shanghai Banking
0.438%, 07/22/49 (B)		195		118
HSBC Bank
4.125%, 08/12/20 (E)		261		258
0.850%, 06/29/49 (B)		1,160		702
HSBC Bank USA NY
4.625%, 04/01/14		300		318
HSBC Finance
7.000%, 05/15/12		1,975		2,123
6.375%, 11/27/12		365		397
5.500%, 01/19/16		600		664
4.750%, 07/15/13 (A)		166		176
0.539%, 01/15/14 (B)		500		480
HSBC Holdings
6.800%, 06/01/38		3,099		3,300
Hutchison Whampoa International 09
4.625%, 09/11/15 (E)		5,490		5,870
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (B) (E)		1,200		937
International Lease Finance
6.750%, 09/01/16 (E)		4,150		4,378
6.500%, 09/01/14 (E)		4,190		4,389
5.250%, 01/10/13 (A)		400		396
Intesa Sanpaolo
3.625%, 08/12/15 (E)		1,440		1,422
Itau Unibanco Holding MTN
6.200%, 04/15/20 (A) (E)		2,770		2,903
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (E)		610		658
Jefferies Group
8.500%, 07/15/19		90		105
6.450%, 06/08/27		590		569
6.250%, 01/15/36		400		363
3.875%, 11/09/15		171		169
John Deere Capital MTN
5.750%, 09/10/18		300		351
JPMorgan Chase
5.750%, 01/02/13		810		879
5.500%, 10/15/40		875		875
5.150%, 10/01/15		240		259
5.125%, 09/15/14		136		147
4.950%, 03/25/20		440		454
4.250%, 10/15/20		2,040		1,993
3.700%, 01/20/15		370		386
JPMorgan Chase Bank
6.000%, 07/05/17		2,300		2,563
6.000%, 10/01/17		4,435		4,985
0.623%, 06/13/16 (B)		4,250		4,002


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

JPMorgan Chase Capital XIII
1.239%, 09/30/34 (B)	$	1,440	$	1,082
JPMorgan Chase Capital XXII
6.450%, 02/02/37		500		493
JPMorgan Chase Capital XXIII
1.286%, 05/15/47 (B)		4,000		2,887
JPMorgan Chase Capital XXV
6.800%, 10/01/37		2,775		2,782
Kaupthing Bank (E) (F)
7.625%, 02/28/15		8,130		2,175
7.125%, 05/19/16		12,000		1
5.750%, 10/04/11		1,120		300
KeyBank
5.800%, 07/01/14		600		653
Kilroy Realty
6.625%, 06/01/20‡		1,310		1,332
5.000%, 11/03/15‡		925		935
Korea Development Bank
4.375%, 08/10/15 (A)		710		738
Landsbanki Islands
6.100%, 08/25/11 (E) (F)		6,520		750
Lazard Group
7.125%, 05/15/15		2,880		3,168
6.850%, 06/15/17		3,990		4,237
LBG Capital No. 1 MTN
8.000%, 12/15/49 (B)		3,500		3,220
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (F)		10,370		1
6.500%, 07/19/17 (F)		4,040		5
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (F)		20,630		2
Liberty Mutual Group
7.500%, 08/15/36 (E)		1,641		1,622
Lloyds TSB Bank MTN
6.500%, 09/14/20 (E)		3,093		2,852
5.800%, 01/13/20 (E)		480		473
4.375%, 01/12/15 (E)		2,050		2,075
M&T Bank
5.375%, 05/24/12		325		343
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (E)		3,010		4,030
MassMutual Global Funding II
3.625%, 07/16/12 (E)		300		312
2.875%, 04/21/14 (E)		122		128
2.300%, 09/28/15 (E)		100		100
MBNA Capital, Ser A
8.278%, 12/01/26		3,185		3,209
Merrill Lynch
7.430%, 09/01/22 (I)		4		4
6.875%, 04/25/18 (A)		980		1,078
6.400%, 08/28/17 (A)		900		966
6.150%, 04/25/13		210		225
5.700%, 05/02/17		600		605


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

MetLife
7.717%, 02/15/19	$	1,750	$	2,174
6.750%, 06/01/16		2,950		3,461
6.400%, 12/15/36 (A)		10,020		9,519
MetLife Capital Trust X
9.250%, 04/08/38 (E)		2,700		3,193
Metropolitan Life Global Funding I
5.125%, 04/10/13 (E)		200		217
5.125%, 06/10/14 (E)		1,575		1,746
2.875%, 09/17/12 (E)		600		617
2.500%, 01/11/13 (E)		325		333
2.500%, 09/29/15 (E)		2,935		2,916
Monumental Global Funding
5.500%, 04/22/13 (E)		235		254
Morgan Stanley MTN
7.300%, 05/13/19		215		242
6.625%, 04/01/18		5,190		5,672
6.250%, 08/28/17 (A)		550		597
6.000%, 05/13/14		5,135		5,598
5.950%, 12/28/17		1,788		1,888
5.625%, 09/23/19		1,190		1,211
5.550%, 04/27/17 (A)		7,214		7,614
5.300%, 03/01/13 (A)		400		429
4.750%, 04/01/14 (A)		2,270		2,358
4.200%, 11/20/14		1,836		1,900
3.450%, 11/02/15		3,055		2,998
0.739%, 10/18/16 (B)		9,200		8,325
0.641%, 06/20/12 (B)		7,510		7,558
0.539%, 01/18/11 (B)		215		215
National Australia Bank
5.350%, 06/12/13 (E)		5,495		5,993
3.750%, 03/02/15 (A) (E)		455		479
2.500%, 01/08/13 (E)		550		564
National Capital Trust II
5.486%, 12/29/49 (B) (E)		3,207		3,132
National City
4.900%, 01/15/15		400		437
National City Bank
5.800%, 06/07/17		525		582
0.673%, 06/07/17 (B)		3,000		2,700
National Rural Utilities Cooperative Finance
10.375%, 11/01/18		230		324
2.625%, 09/16/12		95		98
Nationwide Mutual Insurance
6.600%, 04/15/34 (E)		2,483		2,165
5.810%, 12/15/24 (B) (E)		3,900		3,454
NB Capital Trust IV
8.250%, 04/15/27		2,305		2,322
New York Life Global Funding
4.650%, 05/09/13 (A) (E)		300		323
3.000%, 05/04/15 (E)		5,380		5,611


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

Nomura Holdings
6.700%, 03/04/20	$	629	$	691
5.000%, 03/04/15		130		137
Nordea Bank
4.875%, 01/27/20 (E)		140		148
3.700%, 11/13/14 (E)		6,355		6,661
1.750%, 10/04/13 (E)		200		200
Northern Trust
5.500%, 08/15/13		85		95
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (E)		2,655		2,890
Odebrecht Drilling Norbe VIII
6.350%, 06/30/21 (E)		2,225		2,258
Pacific Life Global Funding MTN
5.150%, 04/15/13 (E)		370		398
5.000%, 05/15/17 (E)		170		179
PNC Funding
5.125%, 02/08/20		340		363
Power Receivables Finance
6.290%, 01/01/12		1,035		1,052
6.290%, 01/01/12 (E)		327		327
PPF Funding
5.500%, 01/15/14‡ (E)		5,000		5,033
Pricoa Global Funding I
5.450%, 06/11/14 (E)		300		334
Prime Property Funding II
5.600%, 06/15/11 (E)		3,380		3,428
Principal Life Global Funding I
6.250%, 02/15/12 (E)		600		629
5.050%, 03/15/15 (E)		750		811
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		600		654
Prudential Financial MTN
6.200%, 11/15/40		2,140		2,190
4.500%, 11/15/20		890		882
Prudential Holdings LLC
8.695%, 12/18/23 (E)		2,500		3,054
1.166%, 12/18/17 (B) (E)		3,725		3,229
Qatari Diar Finance QSC
5.000%, 07/21/20 (E)		3,665		3,731
Reckson Operating Partnership
7.750%, 03/15/20‡		1,539		1,666
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (B) (E)		3,240		3,213
Royal Bank of Canada
0.500%, 06/29/85 (B)		860		550
Royal Bank of Scotland
4.875%, 03/16/15		800		827
3.950%, 09/21/15		3,150		3,169
Royal Bank of Scotland Group MTN
7.640%, 09/29/17		1,300		858
6.400%, 10/21/19		4,330		4,360


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

Russian Agricultural Bank Via RSHB Capital
6.299%, 05/15/17 (E)	$	1,190	$	1,202
Santander US Debt Unipersonal
3.724%, 01/20/15 (E)		3,100		2,986
Security Benefit Life Insurance
8.750%, 05/15/16 (E)		5,200		5,122
Shinsei Finance Cayman
6.418%, 01/29/49 (B) (E)		3,175		2,667
Simon Property Group
10.350%, 04/01/19‡		520		727
6.750%, 05/15/14‡		165		189
5.650%, 02/01/20‡		133		149
Sinochem Overseas Capital
6.300%, 11/12/40 (E)		535		536
SLM MTN
8.450%, 06/15/18		550		574
Societe Generale
0.344%, 11/29/49 (B)		860		477
Sparebanken 1 Boligkreditt
1.250%, 10/25/13 (E)		4,075		4,063
Stadshypotek
1.450%, 09/30/13 (E)		1,394		1,400
State Street
4.300%, 05/30/14		60		65
Sumitomo Mitsui Banking
3.150%, 07/22/15 (E)		2,510		2,607
SunTrust Capital VIII
6.100%, 12/15/36 (B)		2,820		2,573
SunTrust Preferred Capital I
5.853%, 12/15/11 (B)		2,643		2,022
Tanger Properties
6.125%, 06/01/20‡		1,370		1,508
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (E)		4,870		5,660
TNK-BP Finance
6.625%, 03/20/17 (E)		510		542
Toll Road Investors Partnership II
5.821%, 02/15/45 (C) (E)		7,178		1,037
Toronto-Dominion Bank
2.200%, 07/29/15 (E)		295		299
Toyota Motor Credit MTN
3.200%, 06/17/15		308		328
Travelers
5.900%, 06/02/19 (A)		145		168
Travelers Property Casualty
7.750%, 04/15/26		300		369
UBS MTN
5.875%, 12/20/17 (A)		520		581
4.875%, 08/04/20		600		622
3.875%, 01/15/15		2,690		2,824
2.250%, 08/12/13		250		254


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

UDR MTN
5.000%, 01/15/12‡	$	2,000	$	2,062
US Bancorp
2.875%, 11/20/14		415		431
2.000%, 06/14/13 (A)		300		306
1.125%, 10/30/13		2,355		2,345
Ventas Realty
3.125%, 11/30/15‡		1,315		1,291
Wachovia
5.750%, 06/15/17 (A)		690		773
5.500%, 05/01/13		600		657
5.250%, 08/01/14		650		700
0.628%, 10/28/15 (B)		3,760		3,542
Wachovia Bank
6.600%, 01/15/38		2,070		2,261
6.000%, 11/15/17		3,650		4,075
0.622%, 03/15/16 (B)		1,200		1,110
Wachovia Capital Trust III
5.800%, 12/31/49 (B)		3,252		2,732
WCI Finance LLC
5.400%, 10/01/12 (E)		2,093		2,229
WEA Finance LLC
7.500%, 06/02/14 (E)		1,455		1,680
7.125%, 04/15/18 (A) (E)		5,378		6,289
6.750%, 09/02/19 (E)		421		486
Wells Fargo
5.625%, 12/11/17 (A)		350		393
5.000%, 11/15/14		1,145		1,243
3.750%, 10/01/14		1,830		1,932
Wells Fargo Capital X
5.950%, 12/15/36		1,630		1,591
Wells Fargo Capital XV
9.750%, 12/31/49 (A) (B)		7,770		8,654
Westpac Banking
4.875%, 11/19/19 (A)		919		984
2.250%, 11/19/12		5,100		5,227
Woodbourne Capital Trust I
2.940%, 04/08/49 (B) (E)		625		256
Woodbourne Capital Trust II
3.240%, 04/08/49 (B) (E)		625		256
Woodbourne Capital Trust III
3.240%, 04/08/49 (B) (E)		625		256
WR Berkley
5.375%, 09/15/20		1,245		1,244
ZFS Finance USA Trust I
6.150%, 12/15/65 (B) (E)		4,049		4,019
ZFS Finance USA Trust II
6.450%, 12/15/65 (B) (E)		2,700		2,632
ZFS Finance USA Trust III
1.442%, 12/15/65 (B) (E)		620		618

				851,211


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


Health Care — 0.7%
Abbott Laboratories
5.600%, 11/30/17	$	470	$	549
Allergan
3.375%, 09/15/20		3,880		3,805
Amgen
5.750%, 03/15/40 (A)		677		732
5.700%, 02/01/19		100		117
4.500%, 03/15/20		84		91
3.450%, 10/01/20		4,020		3,957
Becton Dickinson
3.250%, 11/12/20		1,445		1,410
CareFusion
4.125%, 08/01/12 (A)		1,705		1,782
Coventry Health Care
5.950%, 03/15/17 (A)		2,680		2,710
GlaxoSmithKline Capital
5.650%, 05/15/18		2,250		2,642
HCA
5.750%, 03/15/14		5,548		5,444
Hospira
6.400%, 05/15/15		20		23
Humana
7.200%, 06/15/18 (A)		2,210		2,566
Life Technologies
4.400%, 03/01/15		1,507		1,592
Medco Health Solutions
2.750%, 09/15/15 (A)		135		137
Medtronic
4.450%, 03/15/20 (A)		1,370		1,482
Pfizer
5.350%, 03/15/15		410		469
Pharmacia
6.500%, 12/01/18 (A)		430		528
Roche Holdings
6.000%, 03/01/19 (E)		2,310		2,759
UnitedHealth Group
6.875%, 02/15/38		505		587
5.800%, 03/15/36		560		566
5.700%, 10/15/40		970		977
3.875%, 10/15/20		1,020		1,002
WellPoint
5.875%, 06/15/17		350		398
Wyeth
5.950%, 04/01/37		3,610		4,097

				40,422


Industrials — 0.5%
Air 2 US
8.027%, 10/01/19 (E)		1,971		1,971
Allied Waste North America
6.875%, 06/01/17		605		671


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

Boeing
4.875%, 02/15/20	$	2,760	$	3,088
Browning-Ferris Industries
9.250%, 05/01/21		65		85
Burlington Northern Santa Fe LLC
7.290%, 06/01/36		200		243
5.750%, 05/01/40		3,046		3,202
4.700%, 10/01/19 (A)		375		405
Canadian National Railway
5.850%, 11/15/17		150		175
Cargill
7.350%, 03/06/19 (E)		400		496
CSX
9.780%, 02/14/11		100		101
7.375%, 02/01/19		460		575
6.300%, 03/15/12		110		117
General Electric
5.250%, 12/06/17 (A)		250		274
Koninklijke Philips Electronics
7.200%, 06/01/26		300		367
Lockheed Martin
5.720%, 06/01/40 (E)		405		430
Northrop Grumman
5.050%, 11/15/40		975		944
3.500%, 03/15/21		2,350		2,268
1.850%, 11/15/15		3,205		3,148
Pitney Bowes
5.600%, 03/15/18		100		106
5.000%, 03/15/15		225		242
4.875%, 08/15/14		325		348
Raytheon
3.125%, 10/15/20		2,325		2,226
Ryder System MTN
3.600%, 03/01/16		132		134
Systems 2001 AT LLC
6.664%, 09/15/13 (E)		172		189
Tyco International Finance
8.500%, 01/15/19 (A)		170		223
Tyco International Group
6.750%, 02/15/11		1,170		1,184
6.000%, 11/15/13		1,945		2,185
Union Pacific
7.000%, 02/01/16		500		599
Union Pacific Railroad 2003 Pass Through Trust
4.698%, 01/02/24		171		185
United Parcel Service
4.500%, 01/15/13		1,740		1,871
United Parcel Service of America
8.375%, 04/01/20		140		192
United Technologies
8.875%, 11/15/19		400		559
5.400%, 05/01/35		670		711


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

Waste Management
7.125%, 12/15/17	$	1,720	$	2,079
4.750%, 06/30/20		299		319

				31,912


Information Technology — 0.4%
Adobe Systems
4.750%, 02/01/20		1,960		2,090
Arrow Electronics
6.875%, 07/01/13		100		111
6.875%, 06/01/18		270		304
6.000%, 04/01/20		225		237
5.125%, 03/01/21		1,390		1,365
3.375%, 11/01/15		975		961
BAE Systems Holdings
5.200%, 08/15/15 (E)		360		393
Cisco Systems
5.900%, 02/15/39 (A)		250		278
5.500%, 01/15/40		1,339		1,413
4.450%, 01/15/20		730		790
Dell
5.650%, 04/15/18		415		466
Harris
6.150%, 12/15/40		620		617
Hewlett-Packard
3.750%, 12/01/20		2,380		2,391
2.950%, 08/15/12		80		83
2.200%, 12/01/15		3,075		3,089
2.125%, 09/13/15 (A)		4,740		4,754
HP Enterprise Services LLC
7.450%, 10/15/29		500		645
International Business Machines
8.000%, 10/15/38		100		140
7.625%, 10/15/18 (A)		365		479
Intuit
5.750%, 03/15/17		255		285
Microsoft
4.500%, 10/01/40		61		58
1.625%, 09/25/15 (A)		405		402
National Semiconductor
6.600%, 06/15/17		300		342
Oracle
6.500%, 04/15/38 (A)		100		120
5.375%, 07/15/40 (E)		809		838
5.000%, 07/08/19		450		503
Xerox
8.250%, 05/15/14 (A)		320		381

				23,535


Materials — 0.6%
Alcoa
6.000%, 07/15/13		270		295
Barrick Gold
6.950%, 04/01/19 (A)		1,760		2,197


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

BHP Billiton Finance USA
6.500%, 04/01/19 (A)	$	445	$	543
Dow Chemical
8.550%, 05/15/19		3,362		4,245
5.900%, 02/15/15 (A)		1,600		1,795
4.850%, 08/15/12		3,885		4,118
4.250%, 11/15/20		1,693		1,651
EI du Pont de Nemours
4.900%, 01/15/41 (A)		125		124
1.950%, 01/15/16		162		160
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		3,005		3,357
Nacional del Cobre de Chile
4.750%, 10/15/14 (E)		900		970
3.750%, 11/04/20 (E)		3,305		3,228
Potash Corp of Saskatchewan
6.500%, 05/15/19		250		297
4.875%, 03/30/20		10		11
PPG Industries
9.000%, 05/01/21		515		699
6.650%, 03/15/18		615		730
5.750%, 03/15/13		615		672
Praxair
5.200%, 03/15/17		215		244
4.375%, 03/31/14		250		273
Rio Tinto Finance USA
8.950%, 05/01/14 (A)		265		324
6.500%, 07/15/18		5,080		6,048
3.500%, 11/02/20		77		75
Stauffer Chemical
6.295%, 04/15/18 (C) (H) (I)		860		186
6.145%, 04/15/17 (C) (H) (I)		350		85
Vale Overseas
8.250%, 01/17/34		365		460
6.875%, 11/21/36		2,958		3,282
6.875%, 11/10/39		976		1,085
4.625%, 09/15/20 (A)		1,790		1,804

				38,958


Sovereign — 0.6%
Chile Government International Bond
3.875%, 08/05/20		3,865		3,923
Kommunalbanken
1.750%, 10/05/15 (E)		3,400		3,384
Korea Development Bank
3.250%, 03/09/16 (A)		3,570		3,503
Peruvian Government International Bond
5.625%, 11/18/50		1,750		1,684
Poland Government International Bond
3.875%, 07/16/15		1,770		1,777
Province of Manitoba Canada
2.125%, 04/22/13		162		167


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

Province of Ontario Canada
4.400%, 04/14/20	$	340	$	369
2.950%, 02/05/15		850		893
Province of Quebec Canada
6.350%, 01/30/26		270		342
3.500%, 07/29/20 (A)		1,303		1,314
Qatar Government International Bond
4.000%, 01/20/15 (E)		6,800		7,089
Russian Federation
7.500%, 03/31/30 (G)		964		1,110
Russian Foreign Bond - Eurobond
3.625%, 04/29/15 (E)		900		902
Svensk Exportkredit
3.250%, 09/16/14		4,454		4,727
1.750%, 10/20/15		5,600		5,527
United Mexican States MTN
7.500%, 04/08/33		218		274
6.375%, 01/16/13 (A)		350		383
6.050%, 01/11/40		394		419
5.625%, 01/15/17		84		94
United Mexican States, Ser A MTN
6.750%, 09/27/34		448		522

				38,403


Telecommunication Services — 2.0%
America Movil
5.625%, 11/15/17		1,450		1,626
5.000%, 10/16/19		3,020		3,210
5.000%, 03/30/20		740		788
American Tower
5.050%, 09/01/20 (A)		927		955
AT&T
8.000%, 11/15/31		43		55
6.700%, 11/15/13		500		575
6.550%, 02/15/39		3,870		4,268
6.300%, 01/15/38		8,590		9,156
5.875%, 02/01/12		500		529
5.600%, 05/15/18		400		460
5.500%, 02/01/18		150		171
5.350%, 09/01/40 (E)		1,431		1,359
5.100%, 09/15/14		2,410		2,670
BellSouth
4.750%, 11/15/12		190		204
BellSouth Telecommunications
6.300%, 12/15/15		244		265
British Telecommunications
9.875%, 12/15/30 (G)		1,095		1,460
9.375%, 12/15/10 (G)		1,460		1,464
5.950%, 01/15/18		1,711		1,890
Cellco Partnership
8.500%, 11/15/18 (A)		2,385		3,227
7.375%, 11/15/13		810		949
5.550%, 02/01/14		4,145		4,626


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

Comcast Cable Holdings LLC
10.125%, 04/15/22	$	190	$	266
COX Communications
5.450%, 12/15/14		1,105		1,236
Cox Enterprises
7.375%, 07/15/27 (E)		170		195
Deutsche Telekom International Finance
5.750%, 03/23/16 (A)		2,175		2,499
Deutsche Telekom International Finance BV
6.000%, 07/08/19 (A)		600		699
DIRECTV Holdings LLC
6.000%, 08/15/40		5,163		5,124
4.600%, 02/15/21		400		401
France Telecom
8.500%, 03/01/31		170		232
Frontier Communications
8.500%, 04/15/20		905		995
8.250%, 04/15/17		1,750		1,925
8.125%, 10/01/18		470		517
GTE
8.750%, 11/01/21		600		831
6.840%, 04/15/18		800		938
NBC Universal
5.950%, 04/01/41 (E)		1,661		1,696
4.375%, 04/01/21 (E)		2,351		2,360
2.875%, 04/01/16 (E)		2,839		2,826
New Cingular Wireless Services
8.125%, 05/01/12		1,255		1,380
News America
7.300%, 04/30/28		350		402
6.650%, 11/15/37		260		290
6.200%, 12/15/34		315		333
6.150%, 03/01/37		3,365		3,532
News America Holdings
8.875%, 04/26/23		200		271
7.700%, 10/30/25		200		239
Qtel International Finance
4.750%, 02/16/21 (E)		1,560		1,452
Qwest
7.875%, 09/01/11		1,560		1,634
7.500%, 10/01/14		2,270		2,571
Reed Elsevier Capital
8.625%, 01/15/19		2,310		3,009
Rogers Communications
6.375%, 03/01/14		3,430		3,896
5.500%, 03/15/14		590		656
Sprint Capital
8.750%, 03/15/32		390		386
8.375%, 03/15/12		5,300		5,605
6.900%, 05/01/19		120		115
TCI Communications
8.750%, 08/01/15		701		879
7.125%, 02/15/28		400		439


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

Telecom Italia Capital
6.999%, 06/04/18	$	2,740	$	3,049
5.250%, 11/15/13		580		613
5.250%, 10/01/15		370		392
4.950%, 09/30/14		1,320		1,380
Telefonica Emisiones
5.984%, 06/20/11		2,080		2,137
5.877%, 07/15/19		115		123
Telefonica Emisiones SAU
6.221%, 07/03/17 (A)		495		549
5.134%, 04/27/20		2,331		2,364
2.582%, 04/26/13		680		683
Telefonica Moviles Chile
2.875%, 11/09/15 (E)		1,480		1,449
Telemar Norte Leste
5.500%, 10/23/20 (E)		3,415		3,389
Verizon Communications
8.750%, 11/01/18		194		262
6.250%, 04/01/37		855		939
6.100%, 04/15/18		3,649		4,280
5.850%, 09/15/35		150		157
5.500%, 02/15/18		2,810		3,189
Verizon Global Funding
7.750%, 12/01/30		3,690		4,687
7.375%, 09/01/12		1,730		1,923
Verizon Maryland
7.150%, 05/01/23		600		635
Vodafone Group
5.450%, 06/10/19 (A)		226		257

				122,193


Utilities — 2.1%
AGL Capital
5.250%, 08/15/19		170		185
4.450%, 04/15/13		400		424
Alabama Power
5.875%, 12/01/22		275		322
American Water Capital
6.085%, 10/15/17		400		460
Appalachian Power
5.950%, 05/15/33		200		201
Arizona Public Services
8.000%, 12/30/15		521		547
Atmos Energy
4.950%, 10/15/14		260		284
Carolina Power & Light
5.300%, 01/15/19		400		458
Cedar Brakes II LLC
9.875%, 09/01/13 (E)		2,771		2,971
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		150		175
Cleveland Electric Illuminating
7.880%, 11/01/17		310		381


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

CMS Energy
5.050%, 02/15/18	$	3,420	$	3,450
Consolidated Edison of New York
5.700%, 06/15/40 (A)		154		165
Consumers Energy
6.700%, 09/15/19		400		490
Dominion Resources
8.875%, 01/15/19		5,840		7,775
6.400%, 06/15/18		300		361
5.700%, 09/17/12		3,560		3,852
4.750%, 12/15/10		740		741
DPL
6.875%, 09/01/11		3,220		3,361
Duke Energy
6.300%, 02/01/14		2,920		3,306
5.625%, 11/30/12 (A)		425		463
Duke Energy Carolinas LLC
4.300%, 06/15/20		195		208
Duke Energy Indiana
3.750%, 07/15/20		180		183
Enel Finance International
6.000%, 10/07/39 (E)		4,855		4,568
5.125%, 10/07/19 (E)		500		515
3.875%, 10/07/14 (E)		2,700		2,814
Exelon
5.625%, 06/15/35		2,605		2,518
Exelon Generation LLC
6.250%, 10/01/39		130		134
5.750%, 10/01/41 (A)		971		943
5.200%, 10/01/19		125		135
4.000%, 10/01/20		2,518		2,459
FirstEnergy Solutions
6.800%, 08/15/39		875		874
6.050%, 08/15/21		1,485		1,576
FirstEnergy, Ser B
6.450%, 11/15/11		14		15
FirstEnergy, Ser C
7.375%, 11/15/31		5,315		5,651
Georgia Power
4.750%, 09/01/40		69		65
Hydro Quebec, Ser JL
6.300%, 05/11/11		1,050		1,077
Indiana Michigan Power
7.000%, 03/15/19 (A)		170		207
Jersey Central Power & Light
7.350%, 02/01/19		500		612
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,660		4,184
8.270%, 11/15/21		2,894		3,341
Korea Hydro & Nuclear Power
3.125%, 09/16/15 (A) (E)		2,165		2,135
Massachusetts Electric
5.900%, 11/15/39 (E)		210		225


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

MidAmerican Energy
5.300%, 03/15/18	$	750	$	847
Midamerican Energy Holdings
6.500%, 09/15/37 (A)		4,485		5,211
Nevada Power
8.250%, 06/01/11		5,015		5,197
7.125%, 03/15/19 (A)		400		487
5.375%, 09/15/40		45		44
Niagara Mohawk Power
4.881%, 08/15/19 (E)		180		194
Nisource Finance
10.750%, 03/15/16		720		952
6.800%, 01/15/19		3,547		4,126
6.125%, 03/01/22		2,400		2,687
Northern States Power
6.250%, 06/01/36		350		410
5.350%, 11/01/39		56		58
Oncor Electric Delivery
6.800%, 09/01/18 (A)		4,535		5,476
Pacific Gas & Electric
8.250%, 10/15/18 (A)		1,320		1,752
6.050%, 03/01/34		1,615		1,782
5.800%, 03/01/37		840		902
5.400%, 01/15/40		5,336		5,435
PacifiCorp
6.250%, 10/15/37		1,690		1,958
5.650%, 07/15/18		100		117
5.500%, 01/15/19		400		465
Progress Energy
6.850%, 04/15/12		1,525		1,643
6.000%, 12/01/39 (A)		200		218
PSEG Power LLC
5.500%, 12/01/15		445		499
5.320%, 09/15/16		126		140
5.125%, 04/15/20		120		129
Public Service Electric & Gas MTN
5.375%, 11/01/39		97		103
2.700%, 05/01/15		135		140
Public Service of New Mexico
7.950%, 05/15/18		3,000		3,339
Public Service of Oklahoma
5.150%, 12/01/19		170		185
Sempra Energy
8.900%, 11/15/13		400		475
6.500%, 06/01/16		135		160
6.000%, 10/15/39		170		183
Southern
4.150%, 05/15/14		85		91
Southern California Edison
5.500%, 03/15/40 (A)		170		183
4.650%, 04/01/15		200		223
Southern Union
8.250%, 11/15/29		7,370		8,160


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

Southwestern Public Service
8.750%, 12/01/18	$	300	$	386
Tennessee Valley Authority
5.250%, 09/15/39		1,828		2,016
4.625%, 09/15/60		2,761		2,725
Texas-New Mexico Power
9.500%, 04/01/19 (E)		875		1,137
TXU
6.500%, 11/15/24		410		154
TXU, Ser P
5.550%, 11/15/14		370		228
TXU, Ser R
6.550%, 11/15/34		4,385		1,623
Virginia Electric and Power
5.400%, 04/30/18		300		345

				127,396

Total Corporate Obligations (Cost $1,595,535) ($ Thousands)				1,619,618


U.S. TREASURY OBLIGATIONS — 18.6%
U.S. Treasury Bills
0.159%, 02/10/11 (C)		848		848

U.S. Treasury Bonds
9.250%, 02/15/16		500		694
9.000%, 11/15/18		900		1,344
8.875%, 08/15/17		69,279		99,318
8.875%, 02/15/19		6,295		9,389
8.750%, 05/15/17		21,675		30,712
8.750%, 08/15/20		15,502		23,563
8.500%, 02/15/20		20,140		22,169
8.125%, 08/15/19		1,305		1,887
8.000%, 11/15/21		11,355		16,742
7.625%, 02/15/25		16,360		24,238
7.500%, 11/15/16		20,700		27,408
6.750%, 08/15/26		250		347
6.500%, 11/15/26		100		136
6.375%, 08/15/27		200		269
6.250%, 05/15/30		2,153		2,895
6.125%, 11/15/27		250		329
6.000%, 02/15/26		100		129
5.500%, 08/15/28		200		247
5.375%, 02/15/31		6,045		7,380
5.000%, 05/15/37		1,520		1,769
4.625%, 02/15/17		30,500		35,444
4.625%, 02/15/40		8,972		9,799
4.500%, 02/15/36		13,642		14,740
4.375%, 11/15/39		5,517		5,780
4.375%, 05/15/40		8,052		8,434
4.250%, 05/15/39		6,204		6,370
4.250%, 11/15/40		33,410		34,256
3.875%, 08/15/40		51,129		49,124
3.500%, 02/15/39		8,990		8,080
3.375%, 11/15/19		32,705		34,739


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

3.250%, 12/31/16	$	3,720	$	4,020
2.625%, 12/31/14		6,500		6,889
2.625%, 11/15/20 (A)		21,052		20,743
2.375%, 10/31/14		1,000		1,050

				510,433

U.S. Treasury Inflation-Protected Securities
6.321%, 05/15/24 (C)		800		485
5.293%, 02/15/21 (C)		200		146
4.977%, 11/15/27 (C)		31,590		15,999
4.920%, 08/15/27 (C)		450		226
4.917%, 05/15/26 (C)		500		269
4.863%, 11/15/31 (C)		200		81
4.780%, 08/15/25 (C)		400		225
4.754%, 02/15/27 (C)		200		103
4.610%, 02/15/25 (C)		20,280		11,907
4.591%, 05/15/36 (C)		300		97
4.587%, 02/15/24 (C)		75		46
4.555%, 05/15/29 (C)		100		46
4.536%, 08/15/24 (C)		200		119
4.477%, 05/15/28 (C)		300		145
4.428%, 02/15/30 (C)		650		287
4.357%, 11/15/24 (C)		450		265
4.295%, 11/15/20 (C)		1,000		738
4.231%, 05/15/20 (C)		2,900		2,197
4.221%, 05/15/30 (C)		9,550		4,276
4.213%, 05/15/27 (C)		200		102
4.160%, 02/15/22 (C)		300		206
4.069%, 02/15/32 (C)		950		379
4.022%, 05/15/19 (C)		2,450		1,961
3.995%, 02/15/17 (C)		19,420		17,143
3.875%, 04/15/29		430		796
3.780%, 08/15/17 (C)		4,000		3,459
3.768%, 02/15/26 (C)		400		218
3.712%, 08/15/18 (C)		800		665
3.632%, 11/15/17 (C)		6,150		5,263
3.625%, 04/15/28		8,180		14,795
3.551%, 02/15/18 (C)		1,350		1,145
3.500%, 01/15/11		5,005		6,309
3.426%, 08/15/20 (C)		9,550		7,138
3.313%, 08/15/19 (C)		5,525		4,372
3.268%, 11/15/21 (C)		1,900		1,323
3.170%, 08/15/16 (C)		5,100		4,594
3.014%, 08/15/21 (C)		500		354
2.971%, 02/15/16 (C)		250		230
2.882%, 02/15/14 (C)		8,550		8,308
2.751%, 05/15/14 (C)		2,150		2,078
2.721%, 02/15/15 (C)		200		190
2.375%, 01/15/25		34,465		45,953
2.375%, 01/15/27		300		375
2.170%, 11/15/16 (C)		410		366
2.000%, 01/15/16		11,126		13,520
1.750%, 01/15/28		25		28

				178,927


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

U.S. Treasury Notes
4.875%, 08/15/16	$	4,923	$	5,782
4.750%, 08/15/17		16,305		19,096
4.500%, 11/30/11		1,000		1,042
4.500%, 05/15/17		530		612
3.750%, 11/15/18		5,400		5,959
3.500%, 05/15/20		14,930		15,938
3.125%, 10/31/16		4,400		4,731
3.125%, 04/30/17		1,150		1,231
3.000%, 09/30/16		21,595		23,086
2.625%, 07/31/14		2,800		2,967
2.625%, 08/15/20		19,482		19,263
2.375%, 03/31/16		2,000		2,081
2.250%, 11/30/17		27,827		28,007
1.875%, 02/28/14		1,000		1,034
1.875%, 08/31/17		25,640		25,311
1.875%, 10/31/17 (A)		15,638		15,385
1.375%, 11/30/15		46,940		46,742
1.250%, 10/31/15		10,361		10,270
1.000%, 08/31/11		10,495		10,552
1.000%, 04/30/12		42,690		43,073
0.875%, 04/30/11		16,130		16,173
0.750%, 05/31/12		127,615		128,318
0.750%, 09/15/13		550		551
0.625%, 06/30/12		8,330		8,359
0.500%, 10/15/13		685		682
0.500%, 11/15/13		5,755		5,721

				441,966

Total U.S. Treasury Obligations (Cost $1,107,147) ($ Thousands)				1,132,174


ASSET-BACKED SECURITIES — 6.4%

Automotive — 0.6%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (E)		500		508
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		285		288
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		920		922
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/15		357		356
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		3,247		3,228
Ally Auto Receivables Trust, Ser 2010-4, Cl A4
1.350%, 12/15/15		3,501		3,456


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

AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A2
0.980%, 01/15/13	$	120	$	120
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3
1.660%, 03/17/14		115		116
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		445		445
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A2
0.960%, 05/08/14		500		500
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3
1.270%, 04/08/15		250		250
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-3A, Cl A
4.640%, 05/20/16 (E)		1,000		1,057
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-5A, Cl A
3.150%, 03/20/17 (E)		4,961		4,897
Bank of America Auto Trust, Ser 2009-1A, Cl A3
2.670%, 07/15/13 (E)		548		554
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (E)		200		208
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (E)		650		655
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (E)		350		352
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (E)		430		432
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (E)		310		316
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		150		151
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		300		302
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3
2.820%, 01/15/16		234		238
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3
0.910%, 08/08/13		1,000		998
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (E)		695		706


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

Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13	$	322	$	326
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.500%, 07/15/14		300		319
Ford Credit Auto Owner Trust, Ser 2009-C, Cl A3
2.720%, 11/15/13		2,565		2,600
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		81		83
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		179		189
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		278		287
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4
2.540%, 04/15/17		209		213
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		100		102
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		1,838		1,827
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (E)		2,100		2,300
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		260
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3
2.310%, 05/15/13		2,480		2,508
Honda Auto Receivables Owner Trust, Ser 2010-1, Cl A2
0.620%, 02/21/12		1,935		1,936
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/17		375		375
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		340		340
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/16		300		300
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3
0.870%, 07/15/14		380		379
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14		765		763


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

USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15	$	365	$	377
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		470		473
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4
2.210%, 05/15/15		550		563

				37,575


Credit Cards — 1.3%
BA Credit Card Trust, Ser 2006-A12, Cl A12
0.273%, 03/15/14 (B)		1,314		1,312
BA Credit Card Trust, Ser 2008-A7, Cl A7
0.953%, 12/15/14 (B)		3,066		3,088
Capital One Multi-Asset Execution Trust, Ser 2004-A8, Cl A8
0.383%, 08/15/14 (B)		5,246		5,234
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.333%, 09/15/15 (B)		5,355		5,311
Capital One Multi-Asset Execution Trust, Ser 2006-A12, Cl A
0.313%, 07/15/16 (B)		1,758		1,735
Capital One Multi-Asset Execution Trust, Ser 2006-A4, Cl A4
0.293%, 12/16/13 (B)		5,787		5,785
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5
0.313%, 01/15/16 (B)		1,801		1,783
Capital One Multi-Asset Execution Trust, Ser 2007-A8
0.592%, 10/15/15 (B)		3,527		3,512
Capital One Multi-Asset Execution Trust, Ser 2009-A2
3.200%, 04/15/14		6,140		6,219
Chase Issuance Trust, Ser 2007-A17, Cl A
5.120%, 10/15/14		6,980		7,532
Chase Issuance Trust, Ser 2009-A2, Cl A2
1.803%, 04/15/14 (B)		3,952		4,022
Chase Issuance Trust, Ser 2009-A3, Cl A3
2.400%, 06/17/13		988		997
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2
4.850%, 03/10/17		625		700
Citibank Credit Card Issuance Trust, Ser 2009-A2, Cl A2
1.803%, 05/15/14 (B)		3,324		3,387


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

Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5
2.250%, 12/23/14	$	5,310	$	5,436
Discover Card Master Trust I, Ser 2006-2, Cl A2
0.283%, 01/16/14 (B)		1,954		1,951
Discover Card Master Trust, Ser 2008-A3, Cl A3
5.100%, 10/15/13		1,354		1,377
Discover Card Master Trust, Ser 2009-A2, Cl A
1.553%, 02/17/15 (B)		7,353		7,467
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A
3.690%, 07/15/15		600		623
MBNA Credit Card Master Note Trust, Ser 2001-A2, Cl A2
0.503%, 12/16/13 (B)		5,081		5,083
MBNA Credit Card Master Note Trust, Ser 2006-A5, Cl A5
0.313%, 10/15/15 (B)		6,108		6,064

				78,618


Mortgage Related Securities — 0.7%
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A
4.763%, 09/15/33		8		8
ABS Home Equity, Ser 2001-HE3, Cl A1
0.793%, 11/15/31 (B)		217		193
ACE Securities, Ser 2006-SL3, Cl A1
0.353%, 06/25/36 (B)		6,362		971
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.493%, 03/25/30 (B)		2,381		785
Asset Backed Funding Certificates, Ser 2005-AQ1, Cl A4
5.010%, 06/25/35		750		755
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.293%, 12/25/36 (B)		429		411
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.190%, 11/15/32 (B)		3,977		4,078
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		5		5
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.073%, 09/15/29 (B)		310		249
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.723%, 05/25/39 (B) (E)		895		739


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

GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6
6.249%, 12/25/37	$	760	$	425
GSAA Trust, Ser 2005-6, Cl A3
0.623%, 06/25/35 (B)		4,100		2,622
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.363%, 07/25/37 (B)		2,250		2,197
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.743%, 01/20/35 (B)		537		488
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.523%, 01/20/35 (B)		4,827		4,435
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.413%, 01/20/36 (B)		7,609		7,014
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.403%, 03/20/36 (B)		382		357
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36		750		773
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.453%, 03/20/36 (B)		302		282
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.453%, 11/20/36 (B)		875		803
Indymac Home Equity Loan Asset-Backed Trust, Ser 2001-A, Cl AV
0.513%, 03/25/31 (B)		37		25
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
1.003%, 01/25/35 (B)		235		231
Morgan Stanley ABS Capital I, Ser 2007-HE2, Cl A2A
0.293%, 01/25/37 (B)		201		195
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.303%, 12/25/36 (B)		166		162
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47		31		21
MSDWCC Heloc Trust, Ser 2003-1, Cl A
0.793%, 11/25/15 (B)		64		61
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.853%, 01/25/32 (B)		213		192
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3
0.393%, 01/25/37 (B)		17,000		7,042


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

Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A4
0.553%, 05/25/37 (B)	$	10,000	$	4,152
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/35		970		947
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		780		781
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/32 (E)		326		281
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.603%, 04/25/37 (B) (E)		912		623
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/32		350		331
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/35		934		946
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (B) (E)		336		327
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30		36		34

				43,941


Other Asset-Backed Securities — 3.8%
AH Mortgage Advance Trust, Ser 2010-ADV1, Cl A1
3.968%, 08/15/22 (E)		765		769
AH Mortgage Advance Trust, Ser 2010-ADV2, Cl A1
4.210%, 05/10/41 (E)		1,134		1,133
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.525%, 06/14/37 (B) (E)		4,385		3,859
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.933%, 01/25/32 (B)		422		330
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.553%, 11/14/33 (B) (E)		5,242		4,443
CenterPoint Energy Transition Bond LLC, Ser 2001-1, Cl A4
5.630%, 09/15/15		3,066		3,307
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/20		1,573		1,704


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

Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/34	$	500	$	442
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34		1,008		963
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		522		517
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,623
Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A
0.653%, 11/25/46 (B) (E)		1,112		585
CNH Equipment Trust, Ser 2009-B, Cl A3
2.970%, 03/15/13		48		49
CNH Equipment Trust, Ser 2009-C, Cl A3
1.850%, 12/16/13		130		131
CNH Equipment Trust, Ser 2010-A, Cl A3
1.540%, 07/15/14		725		731
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		1,000		999
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (B)		1,608		1,588
Consumer Funding LLC, Ser 2001-1, Cl A5
5.430%, 04/20/15		1,023		1,082
Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A
0.733%, 12/25/31 (B)		47		24
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A
0.913%, 04/25/32 (B)		61		37
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.853%, 06/25/33 (B)		115		106
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3
5.711%, 05/25/36 (B)		10,000		4,635
Countrywide Asset-Backed Certificates, Ser 2005-6, Cl M1
0.743%, 12/25/35 (B)		320		304
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (B)		208		140


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

Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.583%, 07/25/36 (B) (E)	$	441	$	239
Countrywide Asset-Backed Certificates, Ser 2007-7, Cl 2A2
0.413%, 10/25/47 (B)		7,500		6,438
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.453%, 02/25/37 (B) (E)		1,174		785
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.703%, 03/25/47 (B) (E)		894		449
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.553%, 02/15/34 (B)		822		394
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.493%, 12/15/35 (B)		1,958		867
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		395		404
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
5.704%, 12/25/36		1,543		1,224
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
5.501%, 12/25/36		678		484
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-CB4, Cl A1A
0.343%, 04/25/37 (B)		3,614		2,909
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.563%, 05/25/46 (B) (E)		12,048		7,126
Diamond Investment Grade CDO, Ser 1X, Cl A1
0.853%, 10/11/14 (I)		160		155
EFS Volunteer LLC, Ser 2010-1, Cl A2
1.389%, 10/25/35 (B) (E)		1,500		1,401
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1
0.733%, 08/15/25 (B) (E)		2,248		1,124
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (B)		478		433
Fieldstone Mortgage Investment, Ser 2007-1, Cl 2A2
0.523%, 04/25/47 (B)		2,000		824
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A
0.473%, 02/25/34 (B)		872		533


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

First Horizon Asset Back Trust, Ser 2006-HE2, Cl A
0.383%, 10/25/26 (B)	$	569	$	405
GE Seaco Finance Srl, Ser 2005-1A, Cl A
0.503%, 11/17/20 (B) (E)		6,175		5,769
Genesis Funding, Ser 2006-1A, Cl G1
0.493%, 12/19/32 (B) (E)		4,790		4,167
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		388		398
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/38 (B) (E)		3,550		4,021
GSAMP Trust, Ser 2003-SEA, Cl A1
0.653%, 02/25/33 (B)		1,795		1,266
GSAMP Trust, Ser 2006-SD2, Cl A1
0.363%, 05/25/46 (B) (E)		1,535		1,501
Illinois Student Assistance Commission, Ser 2010-1, Cl A3
1.187%, 07/25/45 (B)		6,900		6,577
John Deere Owner Trust, Ser 2009-A, Cl A3
2.590%, 10/15/13		177		179
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%, 11/25/36		9,262		8,488
Keycorp Student Loan Trust, Ser 2003-A, Cl 1A2
0.548%, 10/25/32 (B)		2,570		2,499
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.553%, 11/25/35 (B)		3,906		2,801
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.553%, 12/25/35 (B)		3,098		1,254
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.583%, 05/25/46 (B)		7,866		1,260
Lone Star CDO Funding, Ser IX, Cl A
1.226%, 12/15/12 (I)		2,403		2,378
Merit Securities, Ser 1999-13, Cl A4
7.940%, 12/28/33 (B)		3,016		3,061
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37		5,468		2,523
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		3,457		3,407
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (E)		6,407		6,190
MSCC Heloc Trust, Ser 2005-1, Cl A
0.443%, 07/25/17 (B)		444		342
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
1.938%, 11/25/24 (B)		8,407		8,673


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

Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.768%, 04/25/24 (B)	$	4,540	$	4,645
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.493%, 05/15/32 (B)		30		28
Park Place Securities, Ser 2004-MHQ1, Cl M1
0.953%, 12/25/34 (B)		6,301		6,211
PennyMac Loan Trust, Ser 2010-NPL1, Cl A
4.250%, 05/25/50 (B) (E)		506		505
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.563%, 06/25/47 (B)		10,380		5,097
PSE&G Transition Funding LLC, Ser 2001-1
6.610%, 06/15/15		710		773
RAAC Series, Ser 2007-RP4, Cl A
0.603%, 11/25/46 (B) (E)		13,836		7,594
RAAC Series, Ser 2007-SP3, Cl A1
1.453%, 09/25/47 (B)		362		276
SLC Student Loan Trust, Ser 2008-1, Cl A4A
1.892%, 12/15/32 (B)		6,594		6,820
SLM Student Loan Trust, Ser 2003-11, Cl A6
0.582%, 12/15/25 (B) (E)		1,900		1,890
SLM Student Loan Trust, Ser 2004-5, Cl A4
0.438%, 01/25/21 (B)		5,908		5,881
SLM Student Loan Trust, Ser 2004-7, Cl A5
0.458%, 01/27/20 (B)		3,254		3,230
SLM Student Loan Trust, Ser 2004-9, Cl A5
0.438%, 01/27/20 (B)		11,123		10,946
SLM Student Loan Trust, Ser 2006-3, Cl A4
0.368%, 07/25/19 (B)		3,508		3,482
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.398%, 01/25/27 (B)		2,830		2,666
SLM Student Loan Trust, Ser 2007-4, Cl A3
0.348%, 01/25/22 (B)		4,527		4,488
SLM Student Loan Trust, Ser 2008-4, Cl A4
1.938%, 07/25/22 (B)		1,784		1,858
SLM Student Loan Trust, Ser 2008-5
1.388%, 10/25/16 (B)		8,221		8,327
SLM Student Loan Trust, Ser 2008-5, Cl A4
1.988%, 07/25/23 (B)		7,571		7,873


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

SLM Student Loan Trust, Ser 2008-6, Cl A2
0.838%, 10/25/17 (B)	$	5,241	$	5,270
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.523%, 06/25/35 (B)		300		278
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (E)		2,568		2,537
Textainer Marine Containers, Ser 2005-1A, Cl A
0.503%, 05/15/20 (B) (E)		3,105		2,917
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.423%, 11/26/21 (B) (E)		4,110		3,784
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.393%, 02/26/19 (B) (E)		2,656		2,499
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.343%, 04/25/37 (B)		2,792		2,718

				229,580

Total Asset-Backed Securities (Cost $414,341) ($ Thousands)				389,714


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%
FFCB
1.500%, 11/16/15		7,830		7,810
FHLB
1.500%, 01/16/13		2,010		2,046
FICO STRIPS, PO (C)
9.800%, 04/06/18		7,410		10,944
9.700%, 04/05/19		5,100		7,626
8.600%, 09/26/19		5,655		8,044
0.000%, 02/08/18 to 09/26/19		23,945		19,294
FNMA
7.735%, 10/09/19 (C)		670		442
7.250%, 05/15/30		3,886		5,423
7.125%, 01/15/30		4,090		5,709
6.250%, 05/15/29		6,315		7,898
5.375%, 06/12/17		250		296
5.250%, 08/01/12		2,800		3,003
5.000%, 02/13/17		5,000		5,797
0.375%, 12/28/12		3,730		3,711
0.189%, 05/09/11 (C)		65		65
Resolution Funding STRIPS
3.235%, 01/15/16 (C)		7,570		6,875

Total U.S. Government Agency Obligations (Cost $89,705) ($ Thousands)				94,983


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


MUNICIPAL BONDS — 0.4%
County of Clark Nevada, Build America Project, RB
6.820%, 07/01/45	$	2,120	$	2,157
Los Angeles, California Community College District, Build America Project, GO
6.750%, 08/01/49		1,790		1,891
Los Angeles, California Department of Water & Power Revenue, Build America Project, RB
6.574%, 07/01/45		2,005		1,985
Louisiana Public Facilities Authority, RB
4.500%, 02/01/14		500		504
New Jersey State Transit, Build America Project, RB
5.754%, 12/15/28		1,060		1,029
New York State Dormitory Authority, Build America Project, RB
5.600%, 03/15/40		280		275
North Texas Tollway Authority, RB
6.718%, 01/01/49		2,030		1,972
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		490		465
State of California, Build America Project, GO
7.625%, 03/01/40		440		456
7.300%, 10/01/39		3,620		3,620
7.600%, 11/01/40		2,325		2,404
6.650%, 03/01/22		1,700		1,828
State of Illinois, Build America Project, GO
7.350%, 07/01/35		3,300		3,320
5.100%, 06/01/33		270		210
Virginia Housing Development Authority, Ser 2006-C, Cl CTFS, RB
6.000%, 06/25/34		558		562

Total Municipal Bonds (Cost $22,687) ($ Thousands)				22,678


AFFILIATED PARTNERSHIP — 2.1%
SEI Liquidity Fund, L.P.
0.210%,**† (D)		135,673,771		127,581

Total Affiliated Partnership (Cost $135,674) ($ Thousands)				127,581


COMMERCIAL PAPER — 0.3%
Deutsche Bank Financial LLC
0.240%, 12/22/10		7,710		7,709
UBS Finance Delaware LLC
0.200%, 12/21/10		8,375		8,374

Total Commercial Paper (Cost $16,083) ($ Thousands)				16,083


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


REPURCHASE AGREEMENTS — 3.1%
Barclays Capital
0.210%, dated 11/30/10, to be repurchased on 12/01/10, repurchase price $48,676,284 (collateralized by a U.S. Treasury Obligation, par value $27,206,000, 3.625%, 04/15/28; with a total market value $49,649,508)	$	48,676		$	48,676
Deutsche Bank
0.230%, dated 11/30/10, to be repurchased on 12/01/10, repurchase price $141,424,904 (collateralized by a FNMA Obligation, par value $144,513,000, 0.291%, 08/08/11; total market value $144,513,082)		141,424			141,424

Total Repurchase Agreements (Cost $190,100) ($ Thousands)					190,100


CASH EQUIVALENT — 2.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%,**†		171,644,405			171,644

Total Cash Equivalent (Cost $171,644) ($ Thousands)					171,644

Total Investments — 110.7% (Cost $6,693,606) ($ Thousands)				$	6,732,177


WRITTEN OPTIONS — 0.0%
January 2011 U.S. 10 Year Note Future Call, Expires 12/23/10, Strike Price $126.50*		(204	)		(73	)
January 2011 U.S. 10 Year Note Future Put, Expires 12/23/10, Strike Price $121.50*		(204	)		(35	)
March 2011 U.S. 10 Year Note Future Put, Expires 02/18/11, Strike Price $122.00*		(85	)		(80	)
March 2011 U.S. 10 Year Note Future Put, Expires 02/18/11, Strike Price $123.00*		(85	)		(109	)

Total Written Options (Premiums Received $318) ($ Thousands)					(297	)

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		(26	)		Dec-2010	$	(280	)
90-Day Euro$		260			Dec-2011		58
90-Day Euro$		(260	)		Dec-2012		(226	)
90-Day Euro$		(26	)		Jun-2011		(269	)
90-Day Euro$		(26	)		Mar-2011		(269	)
U.S. 10-Year Treasury Note		622			Mar-2011		(36	)
U.S. 2-Year Treasury Note		(62	)		Apr-2011		(10	)
U.S. 2-Year Treasury Note		170			Apr-2011		44
U.S. 5-Year Treasury Note		555			Apr-2011		98
U.S. 5-Year Treasury Note		(575	)		Apr-2011		(65	)
U.S. 5-Year Treasury Note		8			Dec-2010		4
U.S. 5-Year Treasury Note		(221	)		Dec-2010		343
U.S. Long Treasury Bond		(591	)		Mar-2011		(980	)
U.S. Ultra Long Treasury Bond		435			Apr-2011		831
U.S. Ultra Long Treasury Bond		(4	)		Jan-2011		(5	)

						$	(762	)

A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:

Percentages are based on a Net Assets of $6,081,110 ($ Thousands).

Non-Income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $131,709 ($ Thousands).

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported is the next reset date.

(C)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

This security was purchased with cash collateral held from securities on loan. The total value of this security as of November 30, 2010 was $127,581 ($ Thousands).

(E)

(F)

Security in default on interest payments.

(G)

Step Bonds — The rate reflected is the effective yield on November 30, 2010. The coupon on a step bond changes on a specified date.

(H)

Security considered illiquid. The total value of such securities as of November 30, 2010 was $271 ($ Thousands) and represented 0.00% of Net Assets.

(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 30, 2010 was $4,440 ($ Thousands) and represented 0.07% of Net Assets.

ABS — Asset-Based 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

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only — face amount represents notional amount

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PO — Principal Only

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

RB — Revenue Bond

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

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

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	2,959,548	$	8,054	$	2,967,602
Corporate Obligations		—		1,619,344		274		1,619,618
U.S. Treasury Obligations		—		1,132,174		—		1,132,174
Asset-Backed Securities		—		386,713		3,001		389,714
U.S. Government Agency Obligations		—		94,983		—		94,983
Commercial Paper		—		16,083		—		16,083
Municipal Bonds		—		22,678		—		22,678
Cash Equivalent		171,644		—		—		171,644
Affiliated Partnership		—		127,581		—		127,581
Repurchase Agreements		—		190,100		—		190,100

Total Investments in Securities	$	171,644	$	6,549,204	$	11,329	$	6,732,177


Liabilities	Level 1			Level 2		Level 3		Total
Written Options	$	(297	)	$	—	$	—	$	(297	)

Total Other Financial Instruments	$	(297	)	$	—	$	—	$	(297	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures*	$	(762	)	$	—		$	—	$	(762	)
Credit Default Swaps		—			(7,609	)		—		(7,609	)
Interest Rate Swaps		—			(4,052	)		—		(4,052	)

Total Other Financial Instruments	$	(762	)	$	(11,661	)	$	—	$	(12,423	)

Futures contracts are valued at the unrealized depreciation on the instruments.


	Investments in Corporate Obligations			Investments in Mortgage-Backed Securities			Investments in Asset-Backed Securities
Beginning balance as of June 1, 2010	$	265		$	13,273		$	3,334
Accrued discounts/premiums		22			47			4
Realized gain/(loss)		—			181			16
Change in unrealized appreciation/(depreciation)		(13	)		777			288
Net purchases/sales		—			(6,224	)		(641	)
Net transfer in and/or out of Level 3		—			—			—

Ending balance as of November 30, 2010	$	274		$	8,054		$	3,001

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date.	$	10		$	461		$	(333	)

During the six month period ended November 30, 2010, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements

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

LOGO


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


CORPORATE OBLIGATIONS — 83.8%

Consumer Discretionary — 15.6%
Adelphia Communications (escrow security)
10.250%, 06/15/11 (B)	$	125	$	2
7.875%, 01/15/09 (B)		250		4
7.750%, 05/01/09 (B)		75		1
Adelphia Communications, Ser B (escrow security)
9.500%, 02/15/04		25		—
American Tire Distributors
9.750%, 06/01/17 (A)		775		820
Ameristar Casinos
9.250%, 06/01/14		2,095		2,242
Ashtead Capital
9.000%, 08/15/16 (A)		2,324		2,423
Avis Budget Car Rental LLC
9.625%, 03/15/18		525		550
7.750%, 05/15/16		1,310		1,310
Beazer Homes USA
12.000%, 10/15/17		1,290		1,477
9.125%, 06/15/18		460		441
9.125%, 05/15/19 (A)		920		867
8.125%, 06/15/16		810		782
Belo
8.000%, 11/15/16		2,575		2,768
7.750%, 06/01/27		2,025		1,823
Bon-Ton Department Stores
10.250%, 03/15/14		960		965

Boyd Gaming
7.125%, 02/01/16		590		490


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

Brunswick
11.250%, 11/01/16 (A)	$	1,440	$	1,685
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		543
Burlington Coat Factory Investment Holdings
14.500%, 10/15/14		4,480		4,659
Burlington Coat Factory Warehouse
11.125%, 04/15/14		1,435		1,474
Cablevision Systems
8.625%, 09/15/17		1,170		1,273
8.000%, 04/15/20		535		574
7.750%, 04/15/18		900		954
Cedar Fair
9.125%, 08/01/18 (A)		2,975		3,168
Charter Communications Operating LLC
10.875%, 09/15/14 (A)		530		591
Chukchansi Economic Development Authority
3.943%, 11/15/12 (A) (C)		2,185		1,431
CKE Restaurants
11.375%, 07/15/18 (A)		5,335		5,682
Continental Airlines 2007-1 Class C Pass Through Trust
7.339%, 04/19/14		2,083		2,119
Dana (escrow security) (B)
7.000%, 03/15/08		100		3
7.000%, 03/01/09		175		4
6.500%, 03/15/28		200		5
6.500%, 03/01/29		1,100		27
Dex One
12.000%, 01/29/17		1,174		657
DineEquity
9.500%, 10/30/18 (A)		2,780		2,877
DISH DBS
7.125%, 02/01/16		3,615		3,714
Dollar General
11.875%, 07/15/17		1,520		1,763
Dunkin Finance
9.625%, 12/01/18 (A)		2,790		2,807
Eastman Kodak
9.750%, 03/01/18 (A)		1,700		1,670
7.250%, 11/15/13		2,930		2,835
Easton-Bell Sports
9.750%, 12/01/16		2,925		3,130
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,102		992
El Pollo Loco
11.750%, 12/01/12		2,250		2,295
Entravision Communications
8.750%, 08/01/17 (A)		1,160		1,212


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

Equinox Holdings
9.500%, 02/01/16 (A)	$	1,255	$	1,308
Ferrellgas
9.125%, 10/01/17		2,500		2,750
6.500%, 05/01/21 (A)		3,060		3,014
Fontainebleau Las Vegas
10.250%, 06/15/15 (A) (B)		3,500		11
Ford Motor
7.450%, 07/16/31		1,500		1,613
6.375%, 02/01/29		1,080		1,050
Games Merger
11.000%, 06/01/18 (A)		3,825		4,131
Giraffe Acquisition
9.125%, 12/01/18 (A)		590		593
Goodyear Tire & Rubber
10.500%, 05/15/16		325		356
8.750%, 08/15/20		110		113
8.250%, 08/15/20		2,155		2,166
GWR Operating Partnership LLP
10.875%, 04/01/17 (A)		940		978
Hanesbrands
8.000%, 12/15/16		3,750		3,989
6.375%, 12/15/20 (A)		3,557		3,397
Hanesbrands, Ser B
4.121%, 12/15/14 (C)		745		734
Harrah’s Operating
11.250%, 06/01/17		9,980		10,878
10.000%, 12/15/18		4,543		3,839
5.750%, 10/01/17		400		272
Hertz
8.875%, 01/01/14		1,410		1,433
Hillman Group
10.875%, 06/01/18 (A)		865		951
HSN
11.250%, 08/01/16		1,700		1,934
Icon Health & Fitness
11.875%, 10/15/16 (A)		755		751
Inergy
8.750%, 03/01/15		850		905
8.250%, 03/01/16		460		478
7.000%, 10/01/18 (A)		2,175		2,229
6.875%, 12/15/14		245		248
Intcomex
13.250%, 12/15/14 (A)		4,515		4,792
Isle of Capri Casinos
7.000%, 03/01/14		590		560
Jarden
8.000%, 05/01/16		640		694
7.500%, 05/01/17		1,740		1,823
JC Penney
7.950%, 04/01/17		565		615
K. Hovnanian Enterprises
7.500%, 05/15/16		685		462
6.250%, 01/15/15		835		612


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

Landry’s Restaurants
11.625%, 12/01/15	$	545	$	578
Lear
7.875%, 03/15/18		405		433
Levi Strauss
7.625%, 05/15/20		1,605		1,645
Libbey Glass
10.000%, 02/15/15 (A)		1,125		1,204
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,465		3,517
Live Nation Entertainment
8.125%, 05/15/18 (A)		1,500		1,515
M/I Homes
8.625%, 11/15/18 (A)		2,150		2,145
MCE Finance
10.250%, 05/15/18 (A)		625		706
MDC Partners
11.000%, 11/01/16		3,400		3,791
MGM Mirage
11.125%, 11/15/17		1,830		2,068
10.375%, 05/15/14		300		333
7.500%, 06/01/16		1,780		1,562
MGM Resorts International
11.375%, 03/01/18		6,455		6,649
9.000%, 03/15/20 (A)		5,445		5,935
6.875%, 04/01/16		250		215
6.750%, 04/01/13		255		243
5.875%, 02/27/14		3,085		2,684
Michaels Stores
13.000%, 11/01/11 (D)		500		484
11.375%, 11/01/16 (A)		21		23
7.750%, 11/01/18 (A)		1,165		1,133
Mohegan Tribal Gaming Authority
7.125%, 08/15/14		905		629
6.875%, 02/15/15		250		168
MTR Gaming Group
12.625%, 07/15/14		4,116		4,239
NCL
11.750%, 11/15/16		1,210		1,370
9.500%, 11/15/18 (A)		720		734
Neiman-Marcus Group PIK
9.000%, 10/15/15		1,393		1,449
Niska Gas Storage US LLC
8.875%, 03/15/18 (A)		1,845		1,937
Norcraft Holdings
9.750%, 09/01/12		1,231		1,222
OSI Restaurant Partners
10.000%, 06/15/15		3,533		3,639
Penn National Gaming
6.750%, 03/01/15		3,490		3,525
Penninsula Gaming
10.750%, 08/15/17		1,740		1,875
8.375%, 08/15/15		3,150		3,292


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

Penske Automotive Group
7.750%, 12/15/16	$	1,700	$	1,670
Petco Animal Supplies
9.250%, 12/01/18 (A)		795		801
Phillips-Van Heusen
7.375%, 05/15/20		5,540		5,941
Pinnacle Entertainment
8.750%, 05/15/20		5,715		5,708
Quebecor Media
7.750%, 03/15/16		290		299
Quiksilver
6.875%, 04/15/15		2,025		1,924
QVC
7.500%, 10/01/19 (A)		4,215		4,426
7.375%, 10/15/20 (A)		400		418
Regal Entertainment
9.125%, 08/15/18		2,150		2,268
Rent-A-Center
6.625%, 11/15/20 (A)		960		946
River Rock Entertainment Authority
9.750%, 11/01/11		4,717		4,269
RJ Tower
12.000%, 06/01/13 (B)		210		1
Roadhouse Financing
10.750%, 10/15/17 (A)		2,820		2,982
Royal Caribbean Cruises
11.875%, 07/15/15		900		1,103
7.250%, 06/15/16		390		423
RSC Equipment Rental
9.500%, 12/01/14		1,280		1,318
Sabre Holdings
8.350%, 03/15/16		2,250		2,211
Salem Communications
9.625%, 12/15/16		1,085		1,134
Sally Holdings LLC
9.250%, 11/15/14		1,565		1,628
San Pasqual Casino
8.000%, 09/15/13 (A)		1,530		1,515
Sbarro
10.375%, 02/01/15		1,866		896
Sealy Mattress
8.250%, 06/15/14		3,705		3,742
Seneca Gaming
8.250%, 12/01/18 (A)		4,325		4,303
Service International
7.000%, 06/15/17		30		31
7.000%, 05/15/19		525		525
6.750%, 04/01/15		1,445		1,488
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		1,685		1,028
Simmons Bedding
11.250%, 07/15/15 (A)		4,575		4,930


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

Sirius XM Radio
9.750%, 09/01/15 (A)	$	1,380	$	1,518
8.750%, 04/01/15 (A)		1,950		2,052
Speedway Motorsports
8.750%, 06/01/16		1,750		1,881
Stanadyne Holdings
12.000%, 02/15/15		1,500		1,350
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		1,275		1,275
Standard Pacific
10.750%, 09/15/16		2,275		2,593
8.375%, 05/15/18		429		442
Steinway Musical Instruments
7.000%, 03/01/14 (A)		5,070		5,057
Stoneridge
9.500%, 10/15/17 (A)		1,200		1,298
Suburban Propane Partners
7.375%, 03/15/20		2,500		2,687
Sun Media
7.625%, 02/15/13		70		70
Travelport LLC
11.875%, 09/01/16		5,705		5,833
9.000%, 03/01/16 (A)		2,505		2,486
4.921%, 09/01/14 (C)		1,329		1,203
Turning Stone Resort Casino Enterprise
9.125%, 09/15/14 (A)		6,104		6,230
UAL 1995 Pass Through Trust A, Ser 95A1
9.020%, 04/19/12 (B)		514		206
UAL 2009-1 Pass Through Trust
10.400%, 11/01/16		1,610		1,868
UAL 2009-2A Pass Through Trust
9.750%, 01/15/17		1,347		1,522
United Air Lines
12.000%, 11/01/13 (A)		1,735		1,926
Univision Communications
9.750%, 03/15/15 (A)		2,623		2,774
VWR Funding
10.250%, 07/15/15		3,777		3,890
WMG Acquisition
9.500%, 06/15/16		980		1,022
Wynn Las Vegas LLC
7.875%, 11/01/17		155		164
7.750%, 08/15/20 (A)		4,470		4,716

				297,721


Consumer Staples — 10.3%
Accellent
10.000%, 11/01/17 (A)		1,905		1,781
8.375%, 02/01/17		1,965		1,985
Alliance One International
10.000%, 07/15/16		935		977


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

American Achievement
10.875%, 04/15/16 (A)	$	4,015	$	3,975
American Renal Holdings
8.375%, 05/15/18 (A)		3,830		3,964
Avis Budget Car Rental LLC
8.250%, 01/15/19 (A)		555		542
B&G Foods
7.625%, 01/15/18		2,920		3,026
Bankrate
11.750%, 07/15/15 (A)		1,980		2,158
Bausch & Lomb
9.875%, 11/01/15		800		835
Beverages & More
9.625%, 10/01/14 (A)		3,900		4,036
Biomet
11.625%, 10/15/17		7,725		8,517
Bumble Bee Foods LLC
7.750%, 12/15/15		774		882
Catalent Pharma Solutions
9.500%, 04/15/15		5,314		5,367
Central Garden and Pet
8.250%, 03/01/18		1,105		1,130
Chiquita Brands International
8.875%, 12/01/15		1,600		1,616
Constellation Brands
8.375%, 12/15/14		345		380
7.250%, 09/01/16		1,540		1,651
7.250%, 05/15/17		1,250		1,344
Cott Beverages
8.375%, 11/15/17 (A)		3,720		3,952
8.125%, 09/01/18 (A)		1,280		1,358
Dean Foods
7.000%, 06/01/16		1,095		1,005
Diversey Holdings
10.500%, 05/15/20		2,354		2,704
8.250%, 11/15/19		1,410		1,523
DJO Finance LLC
10.875%, 11/15/14		2,620		2,856
9.750%, 10/15/17 (A)		8,613		8,635
Dole Food
13.875%, 03/15/14		517		627
8.000%, 10/01/16 (A)		405		421
Fleming
10.125%, 04/01/08 (B) (I)		983		—
HCA
9.625%, 11/15/16		9,441		10,090
9.250%, 11/15/16		5,095		5,464
HCA Holdings
7.750%, 05/15/21 (A)		3,675		3,615
Hertz
7.500%, 10/15/18 (A)		1,240		1,252
Lantheus Medical Imaging
9.750%, 05/15/17 (A)		3,850		3,985


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

Laureate Education
11.750%, 08/15/17 (A)	$	1,100	$	1,152
10.000%, 08/15/15 (A)		525		537
Michael Foods
9.750%, 07/15/18 (A)		375		405
MultiPlan
9.875%, 09/01/18 (A)		1,390		1,477
NBTY
9.000%, 10/01/18 (A)		2,530		2,656
Novasep Holding SAS
9.750%, 12/15/16 (A)		870		592
Pantry
7.750%, 02/15/14		3,785		3,794
PharmaNet Development Group
10.875%, 04/15/17 (A)		4,000		4,050
Radiation Therapy Services
9.875%, 04/15/17 (A)		2,150		2,102
Reynolds Group Issuer
9.000%, 04/15/19 (A)		2,425		2,467
7.125%, 04/15/19 (A)		2,850		2,900
Rite Aid
10.375%, 07/15/16		1,060		1,100
9.750%, 06/12/16		2,340		2,513
9.500%, 06/15/17		5,505		4,569
8.000%, 08/15/20 (A)		6,785		6,988
7.500%, 03/01/17		1,080		1,018
RSC Equipment Rental
10.000%, 07/15/17 (A)		2,000		2,210
Seminole Indian Tribe of Florida
7.750%, 10/01/17 (A)		5,045		5,187
6.535%, 10/01/20 (A)		1,000		981
ServiceMaster
10.750%, 07/15/15 (A)		6,060		6,499
7.450%, 08/15/27		5		4
7.250%, 03/01/38		3,170		2,227
Smithfield Foods
7.750%, 07/01/17		1,000		1,010
Spectrum Brands
12.000%, 08/28/19		2,263		2,512
9.500%, 06/15/18 (A)		4,145		4,487
SUPERVALU
8.000%, 05/01/16		3,775		3,709
Ticketmaster Entertainment LLC
10.750%, 08/01/16		5,215		5,658
Tops Markets LLC
10.125%, 10/15/15 (A)		655		698
UHS Escrow
7.000%, 10/01/18 (A)		2,500		2,587
United Rentals North America
10.875%, 06/15/16		3,000		3,405
9.250%, 12/15/19		1,055		1,146
8.375%, 09/15/20		1,464		1,446
Universal Hospital Services
8.500%, 06/01/15		275		282


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

US Oncology
9.125%, 08/15/17	$	2,130	$	2,567
US Oncology Holdings
6.737%, 03/15/12 (C)		1,312		1,312
Valeant Pharmaceuticals International
7.000%, 10/01/20 (A)		1,250		1,219
6.875%, 12/01/18 (A)		3,740		3,679
6.750%, 10/01/17 (A)		1,450		1,432
Vanguard Health Holding II LLC
8.000%, 02/01/18		2,965		2,995
Viking Acquisition
9.250%, 11/01/18 (A)		1,475		1,471
Viskase
9.875%, 01/15/18 (A)		1,195		1,237
9.875%, 01/15/18 (A)		105		109
Warner Chilcott LLC
7.750%, 09/15/18 (A)		1,130		1,130
Wyle Services
10.500%, 04/01/18 (A)		1,375		1,354
Yankee Acquisition, Ser B
9.750%, 02/15/17		3,685		3,814

				196,340


Energy — 8.4%
Alta Mesa Holdings
9.625%, 10/15/18 (A)		2,155		2,090
American Petroleum Tankers LLC
10.250%, 05/01/15 (A)		1,295		1,331
Anadarko Petroleum
6.375%, 09/15/17		1,020		1,102
Antero Resources
9.375%, 12/01/17		990		1,020
Aquilex Holdings LLC
11.125%, 12/15/16		2,660		2,673
Arch Coal
8.750%, 08/01/16		2,850		3,128
Atlas Energy Operating LLC
12.125%, 08/01/17		190		249
10.750%, 02/01/18		1,845		2,249
Aventine Renewable Energy Holdings
13.000%, 03/15/15 (A)		932		951
Basic Energy Services
11.625%, 08/01/14		1,300		1,436
Berry Petroleum
6.750%, 11/01/20		500		497
Bill Barrett
9.875%, 07/15/16		1,000		1,090
BreitBurn Energy Partners
8.625%, 10/15/20 (A)		895		893
Brigham Exploration
8.750%, 10/01/18 (A)		895		953
Bristow Group
7.500%, 09/15/17		2,260		2,373


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

Calfrac Holdings
7.500%, 12/01/20 (A)	$	2,500	$	2,487
Carrizo Oil & Gas
8.625%, 10/15/18 (A)		1,995		1,985
Chaparral Energy
9.875%, 10/01/20 (A)		975		1,004
8.500%, 12/01/15		692		683
Chesapeake Energy
9.500%, 02/15/15		1,545		1,730
6.875%, 08/15/18		3,090		3,152
6.625%, 08/15/20		310		312
6.500%, 08/15/17		1,200		1,209
Cloud Peak Energy Resources LLC
8.250%, 12/15/17		1,225		1,335
Complete Production Services
8.000%, 12/15/16		760		779
Compton Petroleum Finance
10.000%, 09/15/17		141		118
Consol Energy
8.250%, 04/01/20 (A)		1,680		1,819
8.000%, 04/01/17 (A)		2,200		2,365
Continental Resources
7.375%, 10/01/20 (A)		2,500		2,662
7.125%, 04/01/21 (A)		850		893
Copano Energy LLC
7.750%, 06/01/18		3,000		3,000
Crosstex Energy
8.875%, 02/15/18		2,235		2,330
Denbury Resources
9.750%, 03/01/16		675		748
Drummond
9.000%, 10/15/14 (A)		1,220		1,287
El Paso
8.250%, 02/15/16		780		853
7.420%, 02/15/37		1,000		985
7.250%, 06/01/18		2,425		2,584
7.000%, 06/15/17		270		284
Encore Acquisition
9.500%, 05/01/16		25		28
Energy Transfer Equity
7.500%, 10/15/20		4,188		4,335
EXCO Resources
7.500%, 09/15/18		1,875		1,791
Forbes Energy Services LLC
11.000%, 02/15/15		806		798
Forest Oil
8.500%, 02/15/14		50		54
8.000%, 12/15/11		800		836
7.250%, 06/15/19		2,155		2,198
Frac Tech Services LLC
7.125%, 11/15/18 (A)		1,000		993
Frontier Oil
6.875%, 11/15/18		955		969


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

General Maritime
12.000%, 11/15/17	$	1,215	$	1,215
Global Geophysical Services
10.500%, 05/01/17 (A)		540		535
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		3,210		3,338
Hercules Offshore
10.500%, 10/15/17 (A)		1,210		962
Hilcorp Energy I
8.000%, 02/15/20 (A)		1,280		1,341
7.625%, 04/15/21 (A)		125		128
Holly
9.875%, 06/15/17		3,135		3,409
International Coal Group
9.125%, 04/01/18		1,165		1,258
Linn Energy LLC
11.750%, 05/15/17		450		513
9.875%, 07/01/18		420		454
8.625%, 04/15/20 (A)		1,415		1,500
7.750%, 02/01/21 (A)		875		888
MarkWest Energy Partners
8.750%, 04/15/18		1,325		1,424
Murray Energy
10.250%, 10/15/15 (A)		1,315		1,341
Newfield Exploration
7.125%, 05/15/18		5,635		5,917
6.875%, 02/01/20		2,075		2,168
NFR Energy LLC
9.750%, 02/15/17 (A)		1,220		1,205
9.750%, 02/15/17 (A)		680		672
OPTI Canada
9.750%, 08/15/13 (A)		445		443
9.000%, 12/15/12 (A)		455		453
8.250%, 12/15/14		3,535		2,457
7.875%, 12/15/14		2,840		1,953
Parker Drilling
9.125%, 04/01/18 (A)		3,090		3,198
Penn Virginia
10.375%, 06/15/16		400		440
PetroHawk Energy
10.500%, 08/01/14		2,305		2,599
7.875%, 06/01/15		1,895		1,952
7.250%, 08/15/18		2,850		2,843
Petroleum Development
12.000%, 02/15/18		2,730		3,058
Pioneer Drilling
9.875%, 03/15/18 (A)		580		612
Plains Exploration & Production
10.000%, 03/01/16		1,140		1,265
7.750%, 06/15/15		410		425
7.625%, 06/01/18		350		370
7.625%, 04/01/20		725		767
7.000%, 03/15/17		1,440		1,458


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

Precision Drilling
6.625%, 11/15/20 (A)	$	680	$	687
Pride International
6.875%, 08/15/20		1,880		1,993
Quicksilver Resources
11.750%, 01/01/16		2,200		2,525
7.125%, 04/01/16		4,074		3,931
RAAM Global Energy
12.500%, 10/01/15 (A)		1,490		1,524
Range Resources
8.000%, 05/15/19		4,575		4,987
Regency Energy Partners
6.875%, 12/01/18		4,000		4,040
SandRidge Energy
9.875%, 05/15/16 (A)		1,185		1,226
8.750%, 01/15/20		2,895		2,924
8.625%, 04/01/15		2,425		2,364
Southwestern Energy
7.500%, 02/01/18		1,125		1,268
Targa Resources
11.250%, 07/15/17		3,475		3,961
7.875%, 10/15/18 (A)		2,445		2,518
Tesoro
9.750%, 06/01/19		2,600		2,860
Thermon Industries
9.500%, 05/01/17 (A)		1,790		1,906

				159,916


Financials — 12.0%
Algoma Acquisition
9.875%, 06/15/15 (A)		1,725		1,533
Alliant Holdings
11.000%, 05/01/15 (A)		3,350		3,459
Ally Financial
8.000%, 12/31/18		1,250		1,263
8.000%, 11/01/31		3,333		3,450
7.500%, 09/15/20 (A)		5,785		5,669
6.750%, 12/01/14		4,996		5,108
6.250%, 12/01/17 (A)		1,045		1,003
American Capital
8.960%, 12/31/13 (A)		2,012		2,031
American General Finance MTN
5.400%, 12/01/15		3,280		2,558
American International Group
8.175%, 05/15/58 (C)		2,225		2,269
Aventi
0.000%, 10/15/49 (B) (I) (J) (K)		2,600		151
Bank of America
8.000%, 12/29/49 (C)		1,085		1,084
Cemex Finance LLC
9.500%, 12/14/16 (A)		6,410		6,410
CEVA Group
11.625%, 10/01/16 (A)		3,155		3,415
11.500%, 04/01/18 (A)		2,500		2,663


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

CIT Group
7.000%, 05/01/13	$	212	$	213
7.000%, 05/01/14		319		316
7.000%, 05/01/15		919		905
7.000%, 05/01/16		8,632		8,481
7.000%, 05/01/17		11,490		11,202
Citigroup Capital XXI
8.300%, 12/21/57 (C)		1,065		1,108
City National Bank
9.000%, 08/12/19		4,062		4,861
Credit Acceptance
9.125%, 02/01/17 (A)		2,600		2,717
Delphi Financial Group
7.875%, 01/31/20		2,000		2,206
E*Trade Financial
7.375%, 09/15/13		2,200		2,178
E*Trade Financial PIK
12.500%, 11/30/17		2,355		2,714
Energy Future Holdings
10.000%, 12/01/20		3,186		3,268
Express LLC
8.750%, 03/01/18		790		837
Felcor Lodging
10.000%, 10/01/14‡		1,320		1,460
Fifth Third Capital Trust IV
6.500%, 04/15/37 (C)		1,565		1,455
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,697		4,325
Ford Motor Credit LLC
12.000%, 05/15/15		1,695		2,100
8.700%, 10/01/14		3,235		3,596
8.000%, 06/01/14		2,000		2,171
8.000%, 12/15/16		1,100		1,209
7.000%, 10/01/13		7,455		7,852
7.000%, 04/15/15		1,490		1,575
6.625%, 08/15/17		410		423
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		916
Genworth Financial
6.150%, 11/15/66 (C)		2,767		2,110
Greektown Superholdings
13.000%, 07/01/15 (A)		3,390		3,712
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		1,900		1,658
Hellas II
6.881%, 01/15/15 (A) (B) (C)		2,100		5
Host Hotels & Resorts
9.000%, 05/15/17‡		125		139
Host Marriott LP, Ser Q
6.750%, 06/01/16‡		1,755		1,799
HUB International Holdings
10.250%, 06/15/15 (A)		410		410
9.000%, 12/15/14 (A)		2,270		2,270


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

Icahn Enterprises
8.000%, 01/15/18	$	2,500	$	2,481
8.000%, 01/15/18 (A)		580		573
7.750%, 01/15/16 (A)		1,000		990
7.750%, 01/15/16		4,500		4,477
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (C)		2,695		2,105
International Lease Finance
8.750%, 03/15/17 (A)		3,405		3,584
8.625%, 09/15/15 (A)		4,430		4,674
7.125%, 09/01/18 (A)		795		841
Ironshore Holdings US
8.500%, 05/15/20 (A)		5,000		5,163
Level 3 Financing
10.000%, 02/01/18		3,305		3,041
Liberty Mutual Group
7.000%, 03/15/37 (A) (C)		1,530		1,387
Lloyds Banking Group
6.267%, 11/14/16 (A)		310		208
5.920%, 09/29/49 (A) (C)		470		315
Marina District Finance
9.875%, 08/15/18 (A)		2,275		2,178
9.500%, 10/15/15 (A)		430		406
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,000		—
Millennium
7.625%, 11/15/26 (B)		200		—
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,321
Norcraft Holdings
10.500%, 12/15/15		625		663
Northern Tier Energy LLC and Northern Tier Finance Corp
10.500%, 12/01/17 (A) (G)		1,805		1,828
NSG Holdings LLC
7.750%, 12/15/25 (A)		2,100		1,895
Nuveen Investments
10.500%, 11/15/15		12,720		12,672
5.500%, 09/15/15		1,420		1,187
Ohio Casualty
7.300%, 06/15/14		1,050		1,158
Omega Healthcare Investors
7.500%, 02/15/20‡ (A)		3,505		3,654
PHH
9.250%, 03/01/16 (A)		1,295		1,327
Pinafore LLC
9.000%, 10/01/18 (A)		2,160		2,279
Pinnacle Foods Finance LLC
10.625%, 04/01/17		2,835		3,016
9.250%, 04/01/15 (A)		495		509
9.250%, 04/01/15		170		175
8.250%, 09/01/17 (A)		1,250		1,266
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (C)		2,640		1,938


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

Protective Life
8.450%, 10/15/39	$	3,140	$	3,374
Realogy
10.500%, 04/15/14		1,265		1,091
Regions Financial
7.750%, 11/10/14		1,405		1,370
Reynolds Group Issuer
8.500%, 05/15/18 (A)		2,545		2,532
7.750%, 10/15/16 (A)		6,540		6,818
Sabra Health Care
8.125%, 11/01/18‡ (A)		1,425		1,439
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		3,210		2,969
4.428%, 02/01/14 (A) (C)		445		369
SSI Investments II
11.125%, 06/01/18 (A)		1,020		1,114
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,391
Susser Holdings LLC
8.500%, 05/15/16		3,715		3,938
UCI Holdco
9.250%, 12/15/13 (C)		1,314		1,314
USI Holdings
9.750%, 05/15/15 (A)		4,812		4,788
Vantage Drilling
11.500%, 08/01/15 (A)		3,350		3,534
Ventas Realty LP
6.750%, 04/01/17‡		775		834
XL Capital
6.500%, 12/31/49 (C)		1,710		1,458
Yankee Acquisition, Ser B
8.500%, 02/15/15		1,000		1,034
Zions Bancorporation
5.650%, 05/15/14		160		156

				229,091


Health Care — 3.5%
Biomet
10.375%, 10/15/17		7,015		7,646
10.000%, 10/15/17		4,530		4,938
Bioscrip
10.250%, 10/01/15		5,813		5,951
Community Health Systems
8.875%, 07/15/15		2,210		2,312
Cooper
7.125%, 02/15/15		960		989
DaVita
6.625%, 11/01/20		1,350		1,338
6.375%, 11/01/18		1,350		1,338
HCA
9.875%, 02/15/17		170		186
8.500%, 04/15/19		2,640		2,877
Health Management Associates
6.125%, 04/15/16		2,140		2,159


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

Healthsouth
8.125%, 02/15/20	$	3,210	$	3,479
7.750%, 09/15/22		610		628
7.250%, 10/01/18		610		621
Inventiv Health
10.000%, 08/15/18 (A)		1,425		1,400
Inverness Medical Innovations
9.000%, 05/15/16		5,650		5,763
MedAssets
8.000%, 11/15/18 (A)		705		710
Mylan
7.875%, 07/15/20 (A)		2,395		2,554
7.625%, 07/15/17 (A)		4,100		4,346
6.000%, 11/15/18 (A)		1,085		1,058
Omnicare
6.125%, 06/01/13		400		397
Select Medical
7.625%, 02/01/15		5,535		5,507
Surgical Care Affiliates
8.875%, 07/15/15 (A)		1,636		1,652
Talecris Biotherapeutics
7.750%, 11/15/16		1,440		1,555
Tenet Healthcare
10.000%, 05/01/18		45		50
9.250%, 02/01/15		2,090		2,226
8.875%, 07/01/19		495		527
United Surgical Partners International
8.875%, 05/01/17		105		108
United Surgical Partners International PIK
9.250%, 05/01/17		3,190		3,294

				65,609


Industrials — 9.4%
ACCO Brands
10.625%, 03/15/15		3,025		3,365
7.625%, 08/15/15		830		820
Accuride
9.500%, 08/01/18 (A)		4,430		4,729
Actuant
6.875%, 06/15/17		2,575		2,627
Aircastle
9.750%, 08/01/18		700		760
Alion Science and Technology
12.000%, 11/01/14		3,011		3,056
10.250%, 02/01/15		1,200		879
Alliant Techsystems
6.875%, 09/15/20		810		826
6.750%, 04/01/16		4,090		4,151
Allison Transmission
11.000%, 11/01/15 (A)		1,268		1,373
American Axle & Manufacturing
7.875%, 03/01/17		2,630		2,604


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

AMGH Merger Sub
9.250%, 11/01/18 (A)	$	1,682	$	1,720
Amsted Industries
8.125%, 03/15/18 (A)		3,730		3,972
Ardagh Packaging Finance
9.125%, 10/15/20 (A)		1,485		1,530
7.375%, 10/15/17 (A)		375		385
ArvinMeritor
10.625%, 03/15/18		610		685
8.125%, 09/15/15		1,295		1,324
Associated Materials LLC
9.125%, 11/01/17 (A)		3,360		3,427
Atrium
15.000%, 12/15/12 (A) (B) (E)		1,593		24
AWAS Aviation Capital
7.000%, 10/15/16 (A)		785		779
Baker & Taylor
11.500%, 07/01/13 (A)		925		731
Baldor Electric
8.625%, 02/15/17		675		753
BE Aerospace
8.500%, 07/01/18		650		707
6.875%, 10/01/20		1,165		1,199
Belden
9.250%, 06/15/19		655		717
Berry Plastics
9.750%, 01/15/21 (A)		6,545		6,267
Building Materials
6.875%, 08/15/18 (A)		3,245		3,180
Bway Holding
10.000%, 06/15/18 (A)		1,390		1,494
Case New Holland
7.875%, 12/01/17 (A)		1,060		1,169
Casella Waste Systems
11.000%, 07/15/14		30		33
9.750%, 02/01/13		1,765		1,783
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		1,478		1,404
Chart Industries
9.125%, 10/15/15		2,000		2,025
Clean Harbors
7.625%, 08/15/16		517		545
Coleman Cable
9.000%, 02/15/18		3,845		4,008
CPM Holdings
10.625%, 09/01/14 (A)		1,250		1,325
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,185		1,226
Delta Air Lines
12.250%, 03/15/15 (A)		4,355		4,921
ESCO
4.167%, 12/15/13 (A) (C)		560		561
Esterline Technologies
7.000%, 08/01/20 (A)		1,755		1,816


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

FTI Consulting
6.750%, 10/01/20 (A)	$	695	$	702
General Cable
7.125%, 04/01/17		1,120		1,145
Geo Group
7.750%, 10/15/17 (A)		1,310		1,389
Global Aviation Holdings
14.000%, 08/15/13 (A)		2,850		3,107
Graham Packaging
8.250%, 01/01/17 (A)		330		337
8.250%, 10/01/18 (A)		1,490		1,512
Graphic Packaging International
9.500%, 06/15/17		1,245		1,351
7.875%, 10/01/18		2,800		2,905
Harland Clarke Holdings
9.500%, 05/15/15		2,905		2,687
6.000%, 05/15/15 (C)		545		441
Interface
7.625%, 12/01/18 (A) (G)		1,015		1,035
Interline Brands
7.000%, 11/15/18 (A)		2,261		2,269
International Wire Group
9.750%, 04/15/15 (A)		1,105		1,145
Iron Mountain
8.750%, 07/15/18		1,400		1,470
8.375%, 08/15/21		1,115		1,221
Kansas City Southern de Mexico
8.000%, 02/01/18 (A)		1,870		2,010
Koppers
7.875%, 12/01/19		1,245		1,341
Kratos
10.000%, 06/01/17		2,250		2,512
Manitowoc
9.500%, 02/15/18		1,960		2,097
8.500%, 11/01/20		880		900
Masco
7.125%, 03/15/20		115		121
Millar Western Forest
7.750%, 11/15/13		1,375		1,293
Mobile Mini
7.875%, 12/01/20 (A)		1,190		1,218
Mueller Water Products
8.750%, 09/01/20 (A)		510		560
Nortek
10.000%, 12/01/18 (A)		870		870
NXP Funding LLC
10.000%, 07/15/13 (A)		598		664
9.750%, 08/01/18 (A)		3,795		4,099
9.500%, 10/15/15		2,995		3,070
7.875%, 10/15/14		1,500		1,539
Old AII PIK
9.000%, 12/15/14 (B)		950		2
Old AII
10.000%, 12/15/16 (B)		1,675		—


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

Oshkosh
8.500%, 03/01/20	$	1,200	$	1,302
8.250%, 03/01/17		1,405		1,510
Plastipak Holdings
10.625%, 08/15/19 (A)		665		738
Ply Gem
13.125%, 07/15/14		1,290		1,354
Polypore International
7.500%, 11/15/17 (A)		4,865		4,926
Pregis
12.375%, 10/15/13		1,751		1,742
Quality Distribution LLC
11.750%, 11/01/13		823		814
9.875%, 11/01/18 (A)		4,770		4,603
Quebecore
0.000%, 11/15/13 (B)		1,800		—
0.000%, 03/15/16 (I) (J) (K)		2,175		130
Radnet Management
10.375%, 04/01/18 (A)		1,205		1,109
RailAmerica
9.250%, 07/01/17		1,004		1,099
RBS Global & Rexnord
11.750%, 08/01/16		1,300		1,372
8.500%, 05/01/18		3,940		4,039
Sequa
11.750%, 12/01/15 (A)		4,400		4,697
Sequa PIK
13.500%, 12/01/15 (A)		500		543
Solo Cup
10.500%, 11/01/13		990		1,032
Spirit Aerosystems
7.500%, 10/01/17		1,075		1,118
SPX
7.625%, 12/15/14		1,330		1,445
Swift Transportation LLC
12.500%, 05/15/17 (A)		665		718
syncreon Global Ireland
9.500%, 05/01/18 (A)		2,187		2,236
Terex
10.875%, 06/01/16		1,000		1,152
8.000%, 11/15/17		4,905		4,838
Thermadyne Holdings
9.000%, 12/15/17 (A) (G)		1,800		1,814
Titan International
7.875%, 10/01/17 (A)		4,335		4,508
Trimas
9.750%, 12/15/17 (A)		1,020		1,091
Triumph Group
8.625%, 07/15/18		410		445
8.000%, 11/15/17		275		283
United Maritime LLC
11.750%, 06/15/15		4,400		4,279
USG
9.750%, 08/01/14 (A)		265		278


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

8.375%, 10/15/18 (A)	$	1,535	$	1,474
6.300%, 11/15/16		1,975		1,718

				178,319


Information Technology — 4.9%
Activant Solutions
9.500%, 05/01/16		1,975		1,935
Aeroflex
11.750%, 02/15/15		1,650		1,803
Allen Systems Group
10.500%, 11/15/16 (A)		1,460		1,453
Amkor Technology
9.250%, 06/01/16		1,000		1,061
7.375%, 05/01/18 (A)		2,025		2,136
Aspect Software
10.625%, 05/15/17 (A)		2,825		2,853
Brocade Communications Systems
6.875%, 01/15/20		480		514
6.625%, 01/15/18		480		506
Cardtronics
8.250%, 09/01/18		5,950		6,218
Compucom Systems
12.500%, 10/01/15 (A)		6,025		6,477
DynCorp International
10.375%, 07/01/17 (A)		4,502		4,570
Exide Technologies
10.500%, 03/15/13		1,500		1,521
Fidelity National
7.875%, 07/15/20 (A)		970		1,035
7.625%, 07/15/17 (A)		1,630		1,720
First Data
10.550%, 09/24/15		6,433		5,549
9.875%, 09/24/15		4,085		3,472
8.875%, 08/15/20 (A)		1,090		1,134
Freescale Semiconductor
10.750%, 08/01/20 (A)		1,850		1,836
10.125%, 12/15/16		500		474
10.125%, 03/15/18 (A)		315		340
9.250%, 04/15/18 (A)		7,170		7,511
Interactive Data Corp
10.250%, 08/01/18 (A)		1,335		1,438
Jabil Circuit
5.625%, 12/15/20		4,000		3,930
JDA Software Group
8.000%, 12/15/14 (A)		1,010		1,076
MagnaChip Semiconductor
10.500%, 04/15/18 (A)		2,400		2,556
Sanmina-SCI
8.125%, 03/01/16		540		541
Seagate Technology International
10.000%, 05/01/14 (A)		450		529
Smart Modular
5.790%, 04/01/12 (C)		760		760


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

Spansion LLC
7.875%, 11/15/17 (A)	$	1,555	$	1,584
STATS ChipPAC
7.500%, 08/12/15 (A)		2,200		2,327
Stratus Technologies
12.000%, 03/29/15 (A)		2,575		2,163
SunGard Data Systems
10.250%, 08/15/15		6,387		6,626
7.625%, 11/15/20 (A)		1,486		1,486
7.375%, 11/15/18 (A)		2,987		2,957
Terremark Worldwide
12.000%, 06/15/17		1,090		1,232
Unisys
14.250%, 09/15/15 (A)		1,660		1,996
12.750%, 10/15/14 (A)		6,695		7,984
Viasat
8.875%, 09/15/16		665		706

				94,009


Materials — 5.8%
AK Steel
7.625%, 05/15/20		1,992		1,987
Appleton Papers
10.500%, 06/15/15 (A)		1,040		1,019
Ashland
9.125%, 06/01/17		2,860		3,282
Boise Paper Holding
9.000%, 11/01/17		1,670		1,841
Cascades
7.875%, 01/15/20		1,440		1,512
Celanese US Holdings LLC
6.625%, 10/15/18 (A)		750		771
Century Aluminum
8.000%, 05/15/14		1,071		1,112
CF Industries
7.125%, 05/01/20		1,884		2,108
6.875%, 05/01/18		5,605		6,151
Chemtura
7.875%, 09/01/18 (A)		2,450		2,591
Clearwater Paper
10.625%, 06/15/16		855		981
7.125%, 11/01/18 (A)		255		259
CPG International I
10.500%, 07/01/13		2,100		2,134
Domtar
10.750%, 06/01/17		3,500		4,401
9.500%, 08/01/16		250		293
Ferro
7.875%, 08/15/18		1,000		1,041
FMG Resources
7.000%, 11/01/15 (A)		1,485		1,504
Georgia-Pacific
8.000%, 01/15/24		1,680		1,957


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

7.125%, 01/15/17 (A)	$	5,380	$	5,676
7.000%, 01/15/15 (A)		2,010		2,070
Georgia-Pacific LLC
8.250%, 05/01/16 (A)		1,460		1,613
Graham Packaging
9.875%, 10/15/14		1,285		1,330
Headwaters
11.375%, 11/01/14		1,335		1,437
Hexion US Finance/Nova Scotia
9.000%, 11/15/20 (A)		2,394		2,376
8.875%, 02/01/18		2,375		2,446
Huntsman International LLC
8.625%, 03/15/20		535		571
8.625%, 03/15/21 (A)		885		938
7.375%, 01/01/15		635		640
5.500%, 06/30/16		755		730
INEOS Finance
9.000%, 05/15/15 (A)		415		430
INEOS Group Holdings PLC
8.500%, 02/15/16 (A)		985		854
Intertape Polymer
8.500%, 08/01/14		835		697
Lyondell Chemical
11.000%, 05/01/18		3,797		4,225
8.000%, 11/01/17 (A)		6,005		6,478
MacDermid
9.500%, 04/15/17 (A)		2,045		2,142
Momentive Performance Materials
11.500%, 12/01/16		1,340		1,407
9.000%, 01/15/21 (A)		2,940		2,925
Neenah Foundry
15.000%, 07/29/15		111		106
NewPage
11.375%, 12/31/14		550		498
Noranda Aluminum Acquisition
5.193%, 05/15/15 (C)		3,230		2,859
Nova Chemicals
8.625%, 11/01/19		565		612
Novelis
7.250%, 02/15/15 (D)		2,370		2,438
Packaging Dynamics Finance
10.000%, 05/01/16 (A)		1,165		1,165
PE Paper Escrow
12.000%, 08/01/14 (A)		590		679
PH Glatfelter
7.125%, 05/01/16		1,115		1,151
7.125%, 05/01/16		175		181
PolyOne
7.375%, 09/15/20		1,885		1,928
Rain CII Carbon LLC
8.000%, 12/01/18 (A) (G)		390		390
Reichhold Industries
9.000%, 08/15/14 (A)		2,716		2,424


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

Rhodia
6.875%, 09/15/20 (A)	$	2,605	$	2,657
Ryerson
12.000%, 11/01/15		1,725		1,779
Scotts Miracle-Gro
7.250%, 01/15/18		385		405
Sealed Air
7.875%, 06/15/17		1,320		1,448
Solo Cup
8.500%, 02/15/14		615		546
Solutia
8.750%, 11/01/17		1,685		1,845
7.875%, 03/15/20		1,000		1,078
Standard Steel LLC
12.000%, 05/01/15 (A)		3,470		3,513
Steel Dynamics
7.625%, 03/15/20 (A)		905		968
Verso Paper Holdings LLC
11.500%, 07/01/14		1,460		1,584
Verso Paper Holdings LLC, Ser B
11.375%, 08/01/16		1,080		1,054
Vertellus Specialties
9.375%, 10/01/15 (A)		4,165		4,342

				109,579


Telecommunication Services — 11.6%
Affinion Group
11.500%, 10/15/15		2,550		2,569
7.875%, 12/15/18 (A)		5,395		4,977
Angel Lux Common
8.875%, 05/01/16 (A)		1,795		1,912
Avaya
10.125%, 11/01/15		786		780
9.750%, 11/01/15		1,000		993
CCH II LLC
13.500%, 11/30/16		5,085		5,982
CCO Holdings LLC
8.125%, 04/30/20 (A)		1,091		1,146
7.875%, 04/30/18 (A)		1,535		1,589
7.250%, 10/30/17 (A)		1,015		1,025
Cengage Learning Acquisitions
10.500%, 01/15/15 (A)		1,420		1,420
Cequel Communications Holdings I LLC
8.625%, 11/15/17 (A)		3,870		3,967
Cincinnati Bell
8.375%, 10/15/20		1,240		1,153
Clear Channel Communications
9.250%, 12/15/17		3,140		3,352
Clearwire Communications LLC
12.000%, 12/01/15 (A)		4,695		4,971
12.000%, 12/01/15 (A)		8,220		8,723
Cleveland Unlimited
13.500%, 12/15/10 (A) (C)		4,260		4,217


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

Columbus International
11.500%, 11/20/14 (A)	$	1,265	$	1,398
Cricket Communications
10.000%, 07/15/15		595		628
Crown Castle International
9.000%, 01/15/15		1,980		2,183
CSC Holdings
8.625%, 02/15/19		2,650		3,028
Deltacom
10.500%, 04/01/16		805		863
Digicel
12.000%, 04/01/14 (A)		600		696
8.250%, 09/01/17 (A)		690		725
Digicel Group
10.500%, 04/15/18 (A)		2,905		3,195
Digital Content Protection
10.750%, 08/15/15 (A)		3,000		3,067
DISH DBS
7.750%, 05/31/15		4,230		4,489
Frontier Communications
6.625%, 03/15/15		1,100		1,144
GCI
8.625%, 11/15/19		1,735		1,887
Global Crossings
12.000%, 09/15/15		1,615		1,817
GXS Worldwide
9.750%, 06/15/15 (A)		10,054		9,929
9.750%, 06/15/15		133		133
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,572
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,000		1,040
Intelsat
9.250%, 06/15/16		275		289
Intelsat Bermuda
11.250%, 06/15/16		3,980		4,254
Intelsat Jackson Holdings
9.500%, 06/15/16		1,300		1,371
8.500%, 11/01/19 (A)		1,345		1,446
7.250%, 10/15/20 (A)		1,415		1,411
Intelsat Luxembourg
11.500%, 02/04/17		4,432		4,698
11.250%, 02/04/17		3,465		3,630
Intelsat Subsidiary Holding
8.875%, 01/15/15		1,275		1,307
8.875%, 01/15/15 (A)		2,035		2,076
iPCS PIK
3.537%, 05/01/14 (C)		2,236		2,113
Lamar Media
7.875%, 04/15/18		2,470		2,606
Level 3 Financing
4.344%, 02/15/15 (C)		100		84
Liberty Media LLC
8.250%, 02/01/30		2,240		2,206


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

Lucent Technologies
6.450%, 03/15/29	$	1,740	$	1,409
MetroPCS Wireless
7.875%, 09/01/18		2,385		2,471
Nexstar Broadcasting
8.875%, 04/15/17 (A)		2,100		2,189
Nextel Communications
6.875%, 10/31/13		1,391		1,389
Nielsen Finance LLC
12.500%, 08/01/11 (D)		4,250		4,293
11.500%, 05/01/16		345		393
7.750%, 10/15/18 (A)		3,360		3,419
NII Capital
10.000%, 08/15/16		3,150		3,496
Open Solutions
9.750%, 02/01/15 (A)		5,090		3,525
Orascom Telecom Finance
7.875%, 02/08/14 (A)		1,000		940
PAETEC Escrow
9.875%, 12/01/18 (A) (G)		1,235		1,220
PAETEC Holding
9.500%, 07/15/15		2,396		2,426
8.875%, 06/30/17		1,110		1,160
Quebecor Media
7.750%, 03/15/16		3,045		3,136
Qwest
7.500%, 06/15/23		710		703
7.250%, 09/15/25		375		404
7.250%, 10/15/35		1,200		1,185
6.875%, 09/15/33		275		271
Qwest Communications International
7.500%, 02/15/14		295		298
7.125%, 04/01/18 (A)		810		843
Qwest Communications International, Ser B
7.500%, 02/15/14		1,370		1,384
Sable International Finance MTN
7.750%, 02/15/17 (A)		640		680
SBA Telecommunications
8.250%, 08/15/19		315		345
8.000%, 08/15/16		305		329
Sinclair Television Group
9.250%, 11/01/17 (A)		1,900		2,057
8.375%, 10/15/18 (A)		1,640		1,681
Sitel LLC
11.500%, 04/01/18 (A)		1,180		1,003
Sprint Capital
8.750%, 03/15/32		7,570		7,494
6.900%, 05/01/19		1,390		1,331
Telcordia Technologies
11.000%, 05/01/18 (A)		7,075		6,898
Telesat Canada
12.500%, 11/01/17		935		1,085


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

TW Telecom
8.000%, 03/01/18	$	2,455	$	2,590
Univision Communications
8.500%, 05/15/21 (A)		3,475		3,319
7.875%, 11/01/20 (A)		3,400		3,476
UPC Holding BV
9.875%, 04/15/18 (A)		3,715		3,994
Videotron Ltee
9.125%, 04/15/18		1,045		1,157
Virgin Media Finance
9.500%, 08/15/16		930		1,039
8.375%, 10/15/19		650		713
Visant
10.000%, 10/01/17 (A)		2,490		2,571
West
11.000%, 10/15/16		2,300		2,467
7.875%, 01/15/19 (A)		2,000		1,975
Wind Acquisition Finance
12.000%, 12/01/15 (A)		2,275		2,403
11.750%, 07/15/17 (A)		3,373		3,743
7.250%, 02/15/18 (A)		765		754
Wind Acquisition Holdings Finance
12.250%, 07/15/17 (A)		1,336		1,509
Windstream
8.625%, 08/01/16		2,330		2,429
8.125%, 09/01/18 (A)		575		592
XM Satellite Radio
7.625%, 11/01/18 (A)		5,180		5,154
XM Satellite Radio Holdings
13.000%, 08/01/13 (A)		5,095		5,961
Zayo Group LLC
10.250%, 03/15/17 (A)		1,250		1,344

				221,708


Utilities — 2.3%
AES
9.750%, 04/15/16		1,655		1,837
8.000%, 06/01/20		1,175		1,228
Calpine
7.875%, 07/31/20 (A)		3,503		3,538
7.500%, 02/15/21 (A)		2,653		2,607
Calpine Generating LLC
14.320%, 04/01/11 (B) (C)		1,500		191
Dynegy Holdings
7.750%, 06/01/19		3,670		2,395
7.625%, 10/15/26		1,230		738
Edison Mission Energy
7.625%, 05/15/27		1,400		1,008
Elwood Energy LLC
8.159%, 07/05/26		932		900
Energy Future Holdings
10.875%, 11/01/17		359		259
10.000%, 01/15/20 (A)		880		900


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

GenOn Escrow
9.500%, 10/15/18 (A)	$	900	$	855
Mirant Americas Generation LLC
8.500%, 10/01/21		1,550		1,500
Mirant North America LLC
7.375%, 12/31/13		3,555		3,608
North American Energy Alliance LLC
10.875%, 06/01/16 (A)		1,300		1,443
NRG Energy
8.500%, 06/15/19		1,895		1,923
8.250%, 09/01/20 (A)		1,820		1,825
7.375%, 02/01/16		3,275		3,291
7.375%, 01/15/17		2,000		2,020
Public Service of New Mexico
7.950%, 05/15/18		2,800		3,116
Puget Sound Energy, Ser A
6.974%, 06/01/67 (C)		1,035		1,012
Sabine Pass LNG LP
7.500%, 11/30/16		6,070		5,600
7.500%, 11/30/16 (A)		620		572
TXU
6.500%, 11/15/24		1,010		380
TXU, Ser P
5.550%, 11/15/14		230		141
TXU, Ser R
6.550%, 11/15/34		2,105		779

				43,666

Total Corporate Obligations (Cost $1,523,932) ($ Thousands)				1,595,958


LOAN PARTICIPATIONS — 6.3%
Advantage Sales
8.500%, 04/15/17		1,800		1,809
AL Gulf Coast Terminals
6.750%, 06/02/16		1,977		1,928
Alliance Laundry
6.250%, 09/23/16		1,900		1,916
American General Finance
7.250%, 04/08/15		3,420		3,445
Aspen Dental
0.000%, 10/06/16 (H)		1,000		1,002
Asurion
6.750%, 03/31/15		1,500		1,481
Asurion 2nd Lien
6.756%, 07/03/15		4,730		4,413
Avaya Term B-1 Loan
0.000%, 10/24/14 (H)		2,250		2,042
Awas Finance
7.750%, 05/30/16		3,100		3,167
Boston Generating
11.250%, 12/20/16		179		1
8.500%, 06/20/14		650		23


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

CDW
4.253%, 10/12/14	$	990	$	958
Central Parking
2.562%, 05/22/14		616		497
Central Parking 1st Lien Term Loan
2.563%, 05/22/14		1,714		1,382
CF Industries Term Loan B1
4.500%, 04/05/15		695		697
Chester Downs
12.375%, 12/31/49		529		536
Claire’s Stores
3.225%, 05/27/14		211		184
3.049%, 05/27/14		1,268		1,107
Clearchannel Term B Loan
0.000%, 01/29/16 (H)		1,730		1,372
Clopay
7.750%, 09/30/16		2,000		2,005
CTV TLB, Ser B
2.783%, 12/27/14		695		694
DAE Aviation Holdings Tranche B-1 Loan
4.230%, 07/31/14		277		262
DAE Aviation Holdings Tranche B-2 Loan
4.230%, 09/27/14		268		254
Dex Media West LLC
7.000%, 10/24/14		7		6
First Data
3.006%, 09/24/14		2,373		2,132
Gambro Aktiebolag
5.186%, 11/24/16		1,040		915
5.119%, 12/05/15		922		838
Georgia Pacific
2.533%, 12/23/10		9		9
2.299%, 12/20/12		149		149
2.289%, 12/20/12		15		15
Green Valley Ranch Gaming
3.507%, 08/06/14 (B)		2,000		40
Guitar Center
3.760%, 10/09/13		3,086		2,780
Harrah’s Operating
9.500%, 01/28/15		2,978		3,070
3.533%, 01/28/15		7		6
3.498%, 01/28/15		1,575		1,372
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		686		663
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		213		206
Iasis Healthcare
5.538%, 06/13/14		5,564		5,369


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

Ineos US Finance LLC
8.001%, 12/16/14	$	1,665	$	1,693
7.501%, 12/16/13		1,456		1,473
Infor Global Enterprise Solutions
6.505%, 03/02/14		210		148
Infor Global Enterprise Solutions Tranche 1
6.505%, 03/02/14		1,073		754
Infor Global Solutions
8.260%, 08/29/14		4,518		1,818
Infor Global Solutions Intermediate Holdings
6.506%, 03/02/14		2,217		1,558
Intelsat Jackson Holdings
3.026%, 02/01/14		2,400		2,223
Interactive Data Corp
6.750%, 01/29/17		3,591		3,641
Inventiv Health
6.500%, 05/07/16		1,496		1,505
Medical Card
12.000%, 09/15/16		2,105		2,092
Merrill Communications LLC
8.500%, 12/24/12		1,400		1,364
Metroflag, 2nd Lien
14.000%, 01/06/09 (B)		325		—
MGM Mirage
7.000%, 02/21/14		500		460
0.000%, 02/21/14 (H)		495		467
Millennium Inorganic 2nd Lien
0.000%, 11/15/14 (H)		3,050		2,985
NBTY
6.250%, 07/14/17		1,150		1,163
NCO Group
7.500%, 05/15/13		2,129		2,038
7.250%, 05/15/13		764		731
Nuveen Investments
12.500%, 11/09/14		810		868
12.500%, 07/31/15		1,110		1,189
Obsidian Natural Gas Trust
7.000%, 11/02/15		3,000		3,060
Open Link Financial
10.250%, 11/06/15		2,750		2,874
OSI Restaurant Partners LLC
2.875%, 06/14/13		48		45
2.875%, 06/14/14		3,963		3,705
2.625%, 06/14/13		28		26
0.112%, 06/14/13		205		192
Pinafore
6.750%, 09/21/16		1,400		1,415
PQ
6.760%, 06/14/14		1,450		1,368
Realogy
13.500%, 10/15/17		730		793
3.527%, 10/13/13		987		910
3.257%, 10/13/13		232		214


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

Rexnord
7.299%, 03/01/13	$	2,151	$	1,732
Reynold
6.750%, 05/05/16		1,432		1,442
Reynolds Group
6.500%, 05/05/16		2,700		2,720
Shield Finance
7.750%, 06/15/16		2,978		2,977
Simmons Holdco, Unsecured
0.000%, 02/15/12 (H)		1,697		—
Smart Technologies 2nd Lien
0.000%, 08/28/15 (H)		1,500		1,045
Syniverse Technologies
0.000%, 08/11/14 (H)		217		216
Targa Resources
5.256%, 02/09/15		1,555		1,485
Telx
8.250%, 06/17/15		3		2
8.000%, 06/17/15		995		985
Texas Competitive Electric
3.789%, 10/10/14		40		31
3.756%, 10/10/14		769		590
3.753%, 10/10/14		8,120		6,262
Tronox
7.000%, 10/14/15		1,710		1,717
Valeant Pharma, Term B Loan
0.000%, 06/21/16 (H)		636		1
Vertafore
9.750%, 10/27/17		545		550
7.250%, 08/06/16		20		20
6.750%, 08/06/16		778		782
Wide Open West Finance
8.500%, 06/27/15		—		—
6.506%, 06/27/15		4,098		3,616
Zuffa
7.500%, 06/18/15		1,782		1,813

Total Loan Participations (Cost $119,628) ($ Thousands)				119,503


COLLATERALIZED DEBT OBLIGATION — 2.4%

Other Asset-Backed Securities — 2.4%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
0.684%, 11/18/19 (A) (C)		968		881
ACAS, Ser 2007-1A, Cl A1J
0.599%, 04/20/21 (A) (C)		6,476		5,116
CIFC Funding, Ser 2007-3A, Cl B
1.538%, 07/26/21 (A) (C)		2,700		1,534
CIT CLO, Ser 2007-1A, Cl D
2.291%, 06/20/21 (A) (C)		3,000		1,710
CIT CLO, Ser 2007-1A, Cl E
5.291%, 06/20/21 (C)		926		440


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

Connecticut Valley Structured Credit CDO, Ser 2006-3A
0.000%, 03/23/23	$	1,200	$	6
Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21		3,500		1,750
Emporia Preferred Funding, Ser 2007-3A, Cl C
1.188%, 04/23/21 (A) (C)		2,024		1,376
FM Leveraged Capital, Ser 2006-2A, Cl B
0.754%, 11/15/20 (A) (C)		4,163		3,122
FM Leveraged Capital, Ser 2006-2A, Cl D
1.884%, 11/15/20 (A) (C)		915		503
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (C)		6		600
Grayson CLO, Ser 2006-1A, Cl A1B
0.647%, 11/01/21 (A) (C)		7,684		4,995
Peritus I CDO
0.000%, 12/19/07		3,000		600
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A)		9,801		7,008
Rockwall Investors CDO,
0.000%, 08/01/21 (A) (C)*		3,000		270
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.587%, 08/01/21 (A) (C)		6,697		5,123
Rockwall CDO, Ser 2006-1A, Cl A2L
0.937%, 08/01/21 (A) (C)		3,759		2,068
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.537%, 08/01/24 (A) (C)		7,651		6,010
Sargas CLO, Ser 2006-1A,
0.705%, 10/20/18		3,167		950
Stone Tower CDO, Ser 2004-1A, Cl A1LA
0.788%, 01/29/20 (A) (C)		1,706		1,441

Total Collateralized Debt Obligation (Cost $54,025)				45,503


ASSET-BACKED SECURITIES — 0.6%

Other Asset-Backed Securities — 0.6%
Airplanes Pass Through Trust, Ser 2001-1A, Cl A9
0.803%, 03/15/19 (C)		2,680		1,769
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,403		1,438
Newstar Trust, Ser 2007-1A, Cl A1
0.534%, 09/30/22 (A) (C)		9,235		8,127

Total Asset-Backed Securities (Cost $10,772) ($ Thousands)				11,334


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


PREFERRED STOCK — 0.5%
Ally Financial, 7.000% (A)		6,673	$	5,957
Axis Capital Holdings, 7.500%, Expires 12/01/15, Ser B (C)		12,600		1,161
Dana Holding, 4.000% (A)		5,754		744
General Motors, 4.750%, CV to 1.2626*		5,875		298
SandRidge Energy, 8.500%		7,650		759

Total Preferred Stock (Cost $6,888) ($ Thousands)				8,919


COMMON STOCK — 0.4%
Aventine Renewable Energy Holdings* (A)		63,167		1,630
Core-Mark Holding*		812		29
Dana Holdings*		67,821		1,025
Dex One*		42,145		200
LyondellBasell Industries, Cl B*		99,997		2,920
LyondellBasell Industries, Cl A*		64,979		1,898
Neenah Enterprises*		21,556		75
Quad, Cl A*		1		—
Solutia*		368		8
VSS AHC, Cl A* (I) (J) (K)		43,496		519

Total Common Stock (Cost $7,255) ($ Thousands)				8,304


AUCTION RATE PREFERRED SECURITIES — 0.4%
BlackRock Municipal Income Quality Trust (C)	$	14,500		1,262
BlackRock Municipal Income Trust (C)		27,000		2,349
BlackRock MuniVest Fund II (C)		9,250		805
BlackRock MuniYield Fund (C)		11,750		1,022
BlackRock MuniYield New Jersey Fund (C)		14,500		1,261

Total Auction Rate Preferred Securities (Cost $6,459) ($ Thousands)				6,699


CONVERTIBLE BONDS — 0.4%
DryShips CV to 139.0821
5.000%, 12/01/14		830		825
Hologic CV to 25.9110
2.000%, 12/15/37		965		895
Leap Wireless International CV to 10.7290
4.500%, 07/15/14		1,533		1,384


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

Liberty Media LLC CV to 60.0532
3.750%, 02/15/30	$	565	$	321
Liberty Media LLC CV to 82.0325
4.000%, 11/15/29		2,025		1,185
Lions Gate Entertainment CV to 86.9565
2.938%, 10/15/24		1,555		1,530
Live Nation Entertainment CV to 36.8395
2.875%, 07/15/27		768		681
Mirant CV to 14.7167
0.000%, 06/15/21 (B)		1,950		4
Vector Group CV to 59.3618
3.875%, 06/15/26 (C)		410		494

Total Convertible Bonds (Cost $6,639) ($ Thousands)				7,319

	Number of Warrants

WARRANTS — 0.0%
Alion Science and Technology*		2,975		—
Atrium, Expires 10/14/18* (E)		691		—

Total Warrants (Cost $—) ($ Thousands)				—


Description	Contracts/ Shares		Market Value ($ Thousands)


PURCHASED OPTION — 0.0%
March 2011 Future Put, Expires 03/19/11 Strike Price $100*		21,600,000	$	833

Total Purchased Option (Cost $691) ($ Thousands)				833


AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P.
0.210%**† (F)		6,416		6

Total Affiliated Partnership (Cost $6) ($ Thousands)				6


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		44,307,506		44,308

Total Cash Equivalent (Cost $44,308) ($ Thousands)				44,308

Total Investments — 97.1% (Cost $1,780,603) ($ Thousands)			$	1,848,686

A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:

Percentages are based on a Net Assets of $1,903,970 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

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, 2010. The date reported on the Schedule of Investments is the next reset date.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2010. 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, 2010. The total value of securities on loan at November 30, 2010 was $5 ($ Thousands).

(F)

Security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $6 ($ Thousands).

(G)

Security is when issued.

(H)

Unsettled Bank Loan. Interest rate not available.

(I)

Security considered illiquid. The total value of such securities as of November 30, 2010 was $800 ($ Thousands) and represented 0.04% of Net Assets.

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,587,216	$	8,742	$	1,595,958
Collateralized Debt Obligation		—		—		45,503		45,503
Asset-Backed Securities		—		3,207		8,127		11,334
Preferred Stock		—		8,919		—		8,919
Common Stock		6,080		75		2,149		8,304
Convertible Bonds		—		7,315		4		7,319
Auction Rate Preferred Securities		—		—		6,699		6,699
Purchased Option		—		833		—		833
Warrants		—		—		—		—
Loan Participations		—		113,842		5,661		119,503
Cash Equivalent		44,308		—		—		44,308
Affiliated Partnership		—		6		—		6

Total Investments in Securities	$	50,388	$	1,720,580	$	77,718	$	1,848,686


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps	$	—	$	(1,278	)	$	—	$	(1,278	)

Total Other Financial Instruments	$	—	$	(1,278	)	$	—	$	(1,278	)

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 Collateralized Debt Obligations
Beginning balance as of June 1, 2010	$	20,182		$	31,116
Accrued discounts/premiums		11			333
Realized gain/(loss)		(2,903	)		101
Change in unrealized appreciation/(depreciation)		604			4,201
Net purchases/sales		(4,992	)		9,752
Net transfer in and/or out of Level 3		(4,160	)		—

Ending balance as of November 30, 2010	$	8,742		$	45,503

Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	687		$	6,215


	Investments in Convertible Bonds		Investments in Asset-Backed Securities
Beginning balance as of June 1, 2010	$	4	$	—
Accrued discounts/premiums		—		5
Realized gain/(loss)		—		—
Change in unrealized appreciation/(depreciation)		—		64
Net purchases/sales		—		8,058
Net transfer in and/or out of Level 3		—		—

Ending balance as of November 30, 2010	$	4	$	8,127

Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	—	$	—


	Investments in Common Stock			Investments in Loan Participations
Beginning balance as of June 1, 2010	$	3,007		$	15,914
Accrued discounts/premiums		—			8
Realized gain/(loss)		—			(2	)
Change in unrealized appreciation/(depreciation)		(858	)		180
Net purchases/sales		—			79
Net transfer in and/or out of Level 3		—			(10,518	)

Ending balance as of November 30, 2010	$	2,149		$	5,661

Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	(858	)	$	265


	Investments in Auction Rate Preferred Securities		Investments in Preferred Stock
Beginning balance as of June 1, 2010	$	6,622	$	363
Accrued discounts/premiums		—		—
Realized gain/(loss)		—		(576	)
Change in unrealized appreciation/(depreciation)		77		213
Net purchases/sales		—		—
Net transfer in and/or out of Level 3		—		—

Ending balance as of November 30, 2010	$	6,699	$	—

Changes in Unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	77	$	—

During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

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 — 66.0%

Consumer Discretionary — 7.2%
Comcast
6.450%, 03/15/37	$	13,705	$	14,754
6.400%, 05/15/38		2,127		2,278
6.400%, 03/01/40		4,389		4,690
Comcast Cable Communications Holdings
9.455%, 11/15/22		3,750		5,300
COX Communications
8.375%, 03/01/39 (A)		5,975		7,824
6.950%, 06/01/38 (A)		4,883		5,518
CVS Caremark
6.125%, 09/15/39		14,825		16,155
DirecTV Holdings
6.000%, 08/15/40		4,425		4,392
Historic TW
6.625%, 05/15/29		3,995		4,445
Home Depot
5.400%, 09/15/40		3,842		3,797
Lowe’s
7.110%, 05/15/37		1,402		1,713
5.800%, 04/15/40		4,000		4,302
McDonald’s MTN
6.300%, 03/01/38		6,015		7,151
NBC Universal
6.400%, 04/30/40 (A)		3,725		3,973
5.950%, 04/01/41 (A)		10,976		11,209
4.375%, 04/01/21 (A)		4,450		4,466
News America
8.150%, 10/17/36		2,355		2,914
6.900%, 08/15/39		2,775		3,173
6.750%, 01/09/38		2,260		2,457
6.650%, 11/15/37		4,855		5,414
6.150%, 03/01/37		1,945		2,041
7.850%, 03/01/39		6,275		7,764


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

TCI Communications
7.875%, 02/15/26	$	635	$	778
Time Warner
7.700%, 05/01/32		425		519
7.625%, 04/15/31		14,455		17,496
7.570%, 02/01/24		295		365
Time Warner Cable
8.750%, 02/14/19		6,730		8,769
8.250%, 04/01/19		3,075		3,914
7.300%, 07/01/38		1,757		2,065
6.750%, 06/15/39		3,650		4,036
5.875%, 11/15/40		6,525		6,471
Time Warner Entertainment
8.375%, 07/15/33		5,700		7,218
Wal-Mart Stores
6.200%, 04/15/38		8,250		9,567
5.625%, 04/01/40		7,517		8,138
5.000%, 10/25/40		2,540		2,516
Yum! Brands
6.875%, 11/15/37		5,620		6,438

				204,020


Consumer Staples — 3.5%
Altria Group
10.200%, 02/06/39		10,115		14,606
Anheuser-Busch
6.450%, 09/01/37		945		1,107
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39 (A)		4,430		6,238
6.875%, 11/15/19 (A)		6,000		7,388
6.375%, 01/15/40		6,295		7,377
Diageo Capital
5.875%, 09/30/36		2,653		2,882
Dr Pepper Snapple Group
6.820%, 05/01/18		2,000		2,415
General Mills
5.400%, 06/15/40		1,090		1,133
HJ Heinz Finance
7.125%, 08/01/39 (A)		7,270		8,724
Kraft Foods
6.875%, 02/01/38		11,385		13,578
6.500%, 02/09/40		8,550		9,826
Mead Johnson Nutrition
5.900%, 11/01/39		5,350		5,698
PepsiCo
5.500%, 01/15/40		4,215		4,515
Philip Morris International
6.375%, 05/16/38		1,705		2,003
President and Fellows of Harvard College
5.625%, 10/01/38		5,015		5,459
Ralcorp Holdings
6.625%, 08/15/39		6,000		6,297
Sara Lee
4.100%, 09/15/20		1,235		1,238

				100,484


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


Energy — 7.2%
Apache
5.100%, 09/01/40	$	3,030	$	2,962
Canadian Natural Resources
6.250%, 03/15/38		3,000		3,374
Cenovus Energy
6.750%, 11/15/39		4,515		5,230
ConocoPhillips
6.500%, 02/01/39		14,430		17,505
5.900%, 05/15/38		6,380		7,181
Diamond Offshore Drilling
5.700%, 10/15/39		828		846
El Paso Pipeline Partners Operating LLC
7.500%, 11/15/40		7,575		7,801
Encana
6.500%, 02/01/38		3,625		4,048
ENI
5.700%, 10/01/40 (A)		2,675		2,681
EQT
8.125%, 06/01/19		8,455		10,204
Hess
6.000%, 01/15/40		4,544		4,803
5.600%, 02/15/41		4,865		4,865
Husky Energy
7.250%, 12/15/19		11,200		13,525
Marathon Oil
6.600%, 10/01/37		3,700		4,281
Motiva Enterprises LLC
6.850%, 01/15/40 (A)		10,380		12,132
Noble Holding International
6.200%, 08/01/40		2,810		3,059
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,900		3,467
7.000%, 06/15/18		700		801
Petrobras International Finance
6.875%, 01/20/40		4,950		5,333
Petro-Canada
6.800%, 05/15/38		3,725		4,259
Shell International Finance BV
5.500%, 03/25/40		14,321		15,499
Southern Natural Gas
7.350%, 02/15/31		870		952
Spectra Energy Capital LLC
7.500%, 09/15/38		1,913		2,265
6.750%, 02/15/32		2,000		2,180
Statoil
5.100%, 08/17/40		6,300		6,492
Suncor Energy
6.850%, 06/01/39		3,675		4,288
Talisman Energy
7.250%, 10/15/27		3,325		3,873


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

Tennessee Gas Pipeline
8.375%, 06/15/32	$	2,655	$	3,083
TransCanada PipeLines
7.625%, 01/15/39		2,500		3,245
7.250%, 08/15/38		3,100		3,864
6.100%, 06/01/40		10,255		11,253
Valero Energy
7.500%, 04/15/32		4,420		4,760
6.125%, 02/01/20		3,007		3,253
Williams
8.750%, 03/15/32		1,200		1,460
7.875%, 09/01/21		2,592		3,134
7.750%, 06/15/31		4,629		5,192
XTO Energy
6.100%, 04/01/36		8,315		9,958

				203,108


Financials — 25.3%
ACE INA Holdings
6.700%, 05/15/36		4,677		5,391
Aflac
6.900%, 12/17/39		8,565		9,148
Alta Wind Holdings
7.000%, 06/30/35 (A)		5,000		5,243
American Express
8.150%, 03/19/38		3,910		5,242
8.125%, 05/20/19		7,475		9,447
7.000%, 03/19/18		1,840		2,180
BAC Capital Trust XV
1.096%, 06/01/56 (B)		8,000		4,983
Bank of America
6.500%, 09/15/37		2,700		2,643
5.750%, 12/01/17		5,750		5,957
5.650%, 05/01/18		22,040		22,604
Bank of America, Ser A
8.070%, 12/31/26 (A)		5,095		5,120
Bank One Capital III
8.750%, 09/01/30		3,550		4,165
Barclays Bank
5.125%, 01/08/20		5,150		5,289
Bear Stearns
7.250%, 02/01/18		5,468		6,532
6.400%, 10/02/17		9,175		10,506
Blackstone Holdings Finance LLC
6.625%, 08/15/19 (A)		5,523		5,754
BRE Properties
5.500%, 03/15/17‡		750		798
Capital One Capital VI
8.875%, 05/15/40		4,000		4,180
CDP Financial
5.600%, 11/25/39 (A)		15,585		16,748
Chase Capital II
0.787%, 02/01/27 (B)		4,984		3,838


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

Chubb
6.500%, 05/15/38	$	8,725	$	10,125
Citigroup
8.125%, 07/15/39		3,520		4,280
6.875%, 03/05/38		25,320		27,132
6.875%, 02/15/98		1,400		1,338
5.875%, 05/29/37		6,551		6,329
5.500%, 02/15/17		9,005		9,357
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,566
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/10 (A)		5,675		5,439
Credit Suisse NY
6.000%, 02/15/18		7,600		8,290
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,844
Discover Bank
8.700%, 11/18/19		6,275		7,499
7.000%, 04/15/20		1,250		1,358
ERP Operating
5.750%, 06/15/17‡		3,000		3,353
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,515		17,261
First Union
7.574%, 08/01/26		4,920		5,594
First Union Institutional Capital I
8.040%, 12/01/26		1,250		1,281
FleetBoston Financial
6.875%, 01/15/28		3,250		3,291
FMR
6.500%, 12/14/40 (A)		1,000		993
General Electric Capital MTN
6.875%, 01/10/39		30,590		33,977
6.150%, 08/07/37		8,775		8,901
5.875%, 01/14/38		17,117		16,764
4.375%, 09/16/20		2,315		2,263
Goldman Sachs Group
7.500%, 02/15/19		4,174		4,869
6.750%, 10/01/37		35,085		35,211
6.150%, 04/01/18		1,400		1,533
5.375%, 03/15/20		2,560		2,627
0.466%, 02/06/12 (B)		5,000		4,983
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		13,635		15,766
HBOS MTN
6.750%, 05/21/18 (A)		3,700		3,545
HCP MTN
6.700%, 01/30/18‡		2,295		2,533
6.300%, 09/15/16‡		2,255		2,487
Health Care REIT
6.125%, 04/15/20‡		3,050		3,297
4.950%, 01/15/21‡		5,750		5,637


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

HSBC Holdings
6.500%, 09/15/37	$	8,275	$	8,533
International Lease Finance
7.125%, 09/01/18 (A)		1,500		1,586
6.750%, 09/01/16 (A)		3,700		3,904
Jefferies Group
8.500%, 07/15/19		2,239		2,608
6.875%, 04/15/21		1,768		1,888
JPMorgan Chase
6.400%, 05/15/38		4,807		5,416
6.300%, 04/23/19		3,775		4,322
6.000%, 01/15/18		2,671		3,011
5.500%, 10/15/40		6,000		6,000
JPMorgan Chase Bank
6.000%, 10/01/17		4,170		4,687
JPMorgan Chase Capital XXVII
7.000%, 11/01/39		5,250		5,359
KKR Group Finance
6.375%, 09/29/20 (A)		4,670		4,748
LBG Capital No. 1 MTN
8.000%, 12/15/49 (B)		2,800		2,576
Lloyds TSB Bank MTN
5.800%, 01/13/20 (A)		2,610		2,574
Macquarie Group
6.000%, 01/14/20 (A)		6,380		6,548
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)		12,320		16,496
MBNA Capital, Ser B
1.087%, 02/01/27 (B)		2,151		1,514
Merrill Lynch
8.950%, 05/18/17 (B)		1,340		1,497
8.680%, 05/02/17 (B)		1,305		1,452
7.750%, 05/14/38		3,340		3,536
6.110%, 01/29/37		5,925		5,393
MetLife
7.717%, 02/15/19		3,000		3,727
5.875%, 02/06/41		2,930		3,014
Metropolitan Life Insurance
7.800%, 11/01/25 (A)		4,700		5,575
Morgan Stanley MTN
7.300%, 05/13/19		6,445		7,245
6.625%, 04/01/18		10,760		11,758
5.625%, 09/23/19		15,625		15,895
5.500%, 01/26/20		4,218		4,250
NASDAQ OMX Group
5.550%, 01/15/20		5,442		5,632
Nationwide Mutual Insurance
6.600%, 04/15/34 (A)		12,040		10,496
New York Life Insurance
6.750%, 11/15/39 (A)		18,475		21,958
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (A)		8,790		9,568
Pacific Life Insurance
9.250%, 06/15/39 (A)		5,270		6,729


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

PNC Funding
6.700%, 06/10/19	$	3,235	$	3,799
5.125%, 02/08/20		8,475		9,052
Power Receivables Finance
6.290%, 01/01/12 (A)		464		464
Prudential Financial MTN
6.625%, 06/21/40		1,000		1,082
6.200%, 11/15/40		900		921
5.700%, 12/14/36		4,845		4,748
Prudential Holdings LLC
8.695%, 12/18/23 (A)		7,700		9,406
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,500		6,781
Raymond James Financial
8.600%, 08/15/19		1,655		1,967
Security Benefit Life
7.450%, 10/01/33 (A)		5,675		4,948
Simon Property Group
10.350%, 04/01/19‡		1,995		2,788
6.750%, 02/01/40‡		5,791		6,677
6.125%, 05/30/18‡		1,965		2,270
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (A)		9,430		10,960
Travelers
5.350%, 11/01/40		7,485		7,462
Wachovia
6.605%, 10/01/25		3,100		3,331
0.628%, 10/28/15 (B)		1,590		1,498
Wachovia Bank
6.600%, 01/15/38		10,865		11,867
5.850%, 02/01/37		6,545		6,489
WEA Finance LLC
7.125%, 04/15/18 (A)		4,513		5,278
6.750%, 09/02/19 (A)		2,780		3,207
Westpac Banking
4.875%, 11/19/19		5,035		5,393
ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B)		3,650		3,559
ZFS Finance USA Trust IV
5.875%, 05/09/32 (A) (B)		5,000		4,782

				718,715


Health Care — 4.6%
Abbott Laboratories
6.000%, 04/01/39		2,820		3,230
5.300%, 05/27/40		8,302		8,645
Aetna
6.750%, 12/15/37		3,400		3,883
Amgen
6.400%, 02/01/39		3,685		4,335
5.750%, 03/15/40		5,055		5,462
AstraZeneca
6.450%, 09/15/37		6,625		7,974


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

Boston Scientific
7.375%, 01/15/40	$	1,425	$	1,607
6.000%, 01/15/20		3,760		4,058
Bristol-Myers Squibb
6.125%, 05/01/38		339		404
CIGNA
8.500%, 05/01/19		5,825		7,462
Merck
5.850%, 06/30/39		7,370		8,503
Pfizer
7.200%, 03/15/39		13,145		17,447
Roche Holdings
7.000%, 03/01/39 (A)		10,750		13,944
UnitedHealth Group
6.625%, 11/15/37		8,855		9,976
6.500%, 06/15/37		4,100		4,558
5.800%, 03/15/36		5,000		5,053
Wellpoint
6.375%, 06/15/37		2,550		2,784
5.800%, 08/15/40		1,600		1,634
Wyeth
5.950%, 04/01/37		8,270		9,386
6.000%, 02/15/36		4,715		5,386
Zimmer Holdings
5.750%, 11/30/39		5,297		5,575

				131,306


Industrials — 3.7%
Boeing
5.875%, 02/15/40		4,975		5,549
Burlington Northern Santa Fe LLC
7.290%, 06/01/36		2,228		2,701
6.200%, 08/15/36		5,100		5,686
5.650%, 05/01/17		2,830		3,232
Canadian National Railway
6.900%, 07/15/28		1,000		1,227
Caterpillar
6.050%, 08/15/36		3,430		3,986
Continental Airlines
5.983%, 04/19/22		6,921		7,457
Continental Airlines 2009-1 Pass Through Trust
9.000%, 07/08/16		6,261		7,232
Delta Air Lines
6.200%, 07/02/18		2,500		2,688
Delta Air Lines 2009-1 Class A Pass Through Trust
7.750%, 12/17/19		1,442		1,633
Delta Air Lines 2010-2 Class A Pass Through Trust
4.950%, 05/23/19		2,325		2,357
Lockheed Martin
5.720%, 06/01/40 (A)		3,182		3,380
5.500%, 11/15/39		3,560		3,692


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Meccanica Holdings USA
7.375%, 07/15/39 (A)	$	3,570	$	3,996
6.250%, 01/15/40 (A)		4,315		4,092
Norfolk Southern
6.000%, 03/15/05		5,503		5,308
5.900%, 06/15/19		4,395		5,116
Raytheon
4.875%, 10/15/40		2,920		2,841
Union Pacific
6.625%, 02/01/29		1,941		2,265
6.125%, 02/15/20		2,000		2,361
5.780%, 07/15/40 (A)		5,134		5,320

United Parcel Service
6.200%, 01/15/38		6,470		7,691
United Technologies
5.700%, 04/15/40		8,800		9,766
Waste Management
6.125%, 11/30/39		4,240		4,596

				104,172


Information Technology — 1.7%
Cisco Systems
5.900%, 02/15/39		2,450		2,729
5.500%, 01/15/40		15,345		16,198
International Business Machines
5.600%, 11/30/39		5,145		5,725
Oracle
6.500%, 04/15/38		6,200		7,420
6.125%, 07/08/39		6,290		7,182
5.375%, 07/15/40 (A)		8,735		9,045

				48,299


Materials — 0.6%
ArcelorMittal
7.000%, 10/15/39		8,055		8,150
PPG Industries
5.500%, 11/15/40		3,085		3,085
Southern Copper
7.500%, 07/27/35		4,999		5,673
6.750%, 04/16/40		650		680

				17,588


Sovereign — 0.3%
Province of Quebec MTN
6.350%, 01/30/26		4,880		6,177
Tennessee Valley Authority
4.625%, 09/15/60		2,015		1,989

				8,166


Telecommunication Services — 3.3%
AT&T
6.550%, 02/15/39		6,075		6,699
6.300%, 01/15/38		20,835		22,207


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bellsouth Capital Funding
7.120%, 07/15/97	$	3,485	$	3,785
BellSouth Telecommunications
7.000%, 12/01/95		4,317		4,681
British Telecommunications
9.875%, 12/15/30 (E)		3,170		4,226

Telecom Italia Capital
7.721%, 06/04/38		5,625		5,668
7.200%, 07/18/36		1,765		1,695
7.175%, 06/18/19		5,375		6,054
Telefonica Emisiones
7.045%, 06/20/36		1,815		1,948
Verizon Communications
8.950%, 03/01/39		2,650		3,803
7.350%, 04/01/39		12,780		15,780
6.400%, 02/15/38		7,737		8,643
6.250%, 04/01/37		4,685		5,147
Vodafone Group
6.150%, 02/27/37		2,760		2,989

				93,325


Utilities — 8.6%
Arizona Public Service
8.750%, 03/01/19		5,025		6,464
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		929		996
Consolidated Edison of New York
6.750%, 04/01/38		3,845		4,706
6.200%, 06/15/36		2,225		2,529
5.500%, 12/01/39		2,165		2,260
Coso Geothermal Power Holdings
7.000%, 07/15/26 (A)		3,018		2,906
Dominion Resources
5.250%, 08/01/33		2,500		2,811
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		5,640
5.300%, 02/15/40		5,585		5,837
Enel Finance International
6.000%, 10/07/39 (A)		8,035		7,559
Entergy Texas
7.125%, 02/01/19		11,750		14,153
Exelon Generation LLC
6.250%, 10/01/39		4,480		4,630
5.750%, 10/01/41		7,889		7,662
FirstEnergy, Ser C
7.375%, 11/15/31		3,180		3,381
Florida Power & Light
5.960%, 04/01/39		3,225		3,662
5.400%, 09/01/35		710		744
FPL Group Capital
6.000%, 03/01/19		4,000		4,589
Georgia Power
5.950%, 02/01/39		3,850		4,303
5.400%, 06/01/40		15,585		16,163


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

Iberdrola Finance Ireland
5.000%, 09/11/19 (A)	$	3,700	$	3,599
Kansas City Power & Light
7.150%, 04/01/19		10,930		13,352
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		5,888
Metropolitan Edison
7.700%, 01/15/19		2,500		3,040
Midamerican Energy Holdings
6.500%, 09/15/37		19,440		22,588
Nisource Finance
10.750%, 03/15/16		5,575		7,369
6.125%, 03/01/22		1,767		1,978
Oncor Electric Delivery
7.500%, 09/01/38		3,200		3,969
5.250%, 09/30/40 (A)		4,975		4,840
Pacific Gas & Electric
6.250%, 03/01/39		4,500		5,141
6.050%, 03/01/34		4,100		4,523
5.800%, 03/01/37		648		696
PacifiCorp
5.750%, 04/01/37		615		668
Pennsylvania Electric
6.150%, 10/01/38		5,095		5,194
Progress Energy
7.050%, 03/15/19		4,500		5,497
San Diego Gas & Electric
5.350%, 05/15/40		1,350		1,432
Southern California Edison
6.050%, 03/15/39		7,050		8,077
Southern Union
8.250%, 11/15/29		8,375		9,272
Southwestern Electric Power
6.450%, 01/15/19		6,000		6,725
6.200%, 03/15/40		6,680		6,859
Texas-New Mexico Power
9.500%, 04/01/19 (A)		8,560		11,126
Union Electric
8.450%, 03/15/39		3,000		4,204
Virginia Electric and Power
8.875%, 11/15/38		5,500		8,025

				245,057

Total Corporate Obligations (Cost $1,701,933) ($ Thousands)				1,874,240


U.S. TREASURY OBLIGATIONS — 26.0%
U.S. Treasury Bills
0.179%, 02/10/11 (C) (G)		4,475		4,474

U.S. Treasury Bonds
7.625%, 02/15/25		57,125		84,634
6.250%, 08/15/23		9,675		12,713
6.000%, 02/15/26		16,000		20,690


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

5.000%, 05/15/37	$	24,860	$	28,938
4.625%, 02/15/40		18,209		19,888
4.500%, 02/15/36		8,800		9,508
4.250%, 05/15/39		257,481		264,361
3.875%, 08/15/40		189,075		181,660
3.500%, 02/15/39		8,020		7,208

				629,600

U.S. Treasury Inflation-Protected Securities
2.125%, 02/15/40		10,030		11,257

U.S. Treasury STRIPS
4.547%, 11/15/21 (C)		47,197		32,996
3.883%, 02/15/23 (C)		91,530		59,829

				92,825

Total U.S. Treasury Obligations (Cost $715,176) ($ Thousands)				738,156


MUNICIPAL BONDS — 3.9%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		7,200		7,309
State of Illinois, Build America Project, GO
7.350%, 07/01/35		1,710		1,720
City of Gainesville, Build America Project, RB
6.024%, 10/01/40		3,350		3,312
City of New York, Build America Project, GO
5.817%, 10/01/31		2,950		2,852
Dallas County Hospital District, Ser C, GO
5.621%, 08/15/44		4,993		5,164
Dallas Independent School District, Build America Project, GO
6.450%, 02/15/35 (D)		3,415		3,543
Indianapolis Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/40		4,255		4,360
Los Angeles, Department of Water & Power, Build America Project, RB
6.574%, 07/01/45 (D)		3,300		3,268
6.008%, 07/01/39		5,000		5,086
New York City Municipal Water Finance Authority, Build America Project, RB
6.491%, 06/15/42		6,630		6,799
5.882%, 06/15/44		1,500		1,508
5.724%, 06/15/42		1,250		1,222
5.440%, 06/15/43		3,540		3,292
New York City Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/38		2,195		2,162


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

North Texas Tollway Authority, Build America Project, RB
6.718%, 01/01/49	$	5,852	$	5,684
Ohio State University, Build America Project, RB
4.910%, 06/01/40		4,470		4,119
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		5,300		5,023
Santa Clara Valley Transportation Authority, Build America Project, RB
5.876%, 04/01/32		2,580		2,576
State of California, Build America Project, GO
7.550%, 04/01/39		8,855		9,119
7.300%, 10/01/39		2,100		2,100
State of Illinois, Build America Project, GO
6.630%, 02/01/35		3,275		3,059
State of Illinois, GO
5.100%, 06/01/33		8,810		6,865
State of New York, Build America Project, RB
5.770%, 03/15/39		2,740		2,725
State of Texas, Transportation Communication Authority, Ser B, RB
5.178%, 04/01/30		6,835		6,787
State of Virginia, Build America Project, RB
5.000%, 09/01/40		7,255		6,923
State of Washington, Ser D, Build America Project, GO
5.481%, 08/01/39		2,455		2,433
Triborough Bridge & Tunnel Authority, Build America Project, RB
5.450%, 11/15/32		3,000		2,818

Total Municipal Bonds (Cost $114,427) ($ Thousands)				111,828


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.6%
FHLB
0.500%, 05/16/12		5,710		5,691
0.175%, 02/02/11 (C)		16,355		16,350
FHLMC
0.320%, 11/07/11 (B)		6,025		6,027
FICO STRIPS, PO
0.000%, 08/03/18 to 09/26/19 (F)		58,770		46,417

Total U.S. Government Agency Obligations (Cost $67,772) ($ Thousands)				74,485


ASSET-BACKED SECURITIES — 0.6%

Mortgage Related Securities — 0.2%
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.413%, 09/25/36 (B)		9,179		4,289


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


Other Asset-Backed Securities — 0.4%
GE Seaco Finance Srl, Ser 2005-1A, Cl A
0.503%, 11/17/20 (A) (B)	$	5,500	$	5,138
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (A)		2,330		2,302
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.423%, 11/26/21 (A) (B)		2,944		2,711
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.393%, 02/26/19 (A) (B)		1,859		1,749

				11,900

Total Asset-Backed Securities (Cost $16,527) ($ Thousands)				16,189


MORTGAGE-BACKED SECURITIES — 0.3%

Agency Mortgage-Backed Obligations — 0.1%
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/24		546		611
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		719		827
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34		419		434
GNMA ARM
3.375%, 06/20/32 (B)		169		174

				2,046


Non-Agency Mortgage-Backed Obligations — 0.2%
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1
0.483%, 03/25/47 (B)		1,687		877
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.493%, 07/25/37 (A) (B)		2,048		1,574
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.533%, 06/25/35 (B) (E)		429		153
Countrywide Home Loans, Ser 2005-2, Cl 1A1
0.573%, 03/25/35 (B)		206		124
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		2,505		2,615
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.463%, 03/19/45 (B) (E)		304		199
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.653%, 11/19/34 (B)		377		264
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.563%, 08/19/45 (B) (E)		527		367


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

Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.643%, 12/25/34 (B)	$	181	$	111
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
1.053%, 08/25/34 (B)		110		72
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.113%, 09/25/34 (B)		44		29
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.563%, 10/25/36 (B)		22		14
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
6.062%, 04/15/45 (B)		535		589
Washington Mutual Mortgage Pass Through Certificates, Ser 2000-1, Cl M2
1.553%, 01/25/40 (B)		48		46
Washington Mutual Mortgage Pass Through Certificates, Ser 2005-AR2, Cl 2A21
0.583%, 01/25/45 (B)		281		228
Washington Mutual Mortgage Pass Through Certificates, Ser 2007-OA3, Cl 4A1
1.112%, 04/25/47 (B)		233		132

				7,394

Total Mortgage-Backed Securities (Cost $10,486) ($ Thousands)				9,440


CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%, 11/30/10*†		24,234,543		24,235

Total Cash Equivalent (Cost $24,235) ($ Thousands)				24,235

Total Investments — 100.3% (Cost $2,650,556) ($ Thousands)			$	2,848,573

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(491	)		Mar-2011	$	309
U.S. 2-Year Treasury Note		238			Apr-2011		62
U.S. 5-Year Treasury Note		(1,006	)		Apr-2011		(113	)
U.S. 5-Year Treasury Note		(386	)		Dec-2010		598
U.S. Ultra Long Treasury Bond		1,177			Apr-2011		3,879

						$	4,735

Percentages are based on a Net Assets of $2,839,788 ($ Thousands).

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

(B)

Variable Rate Security — The rate reported is the rate in effect as of November 30, 2010. The date reported is the next reset date.

(C)

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

(D)

Security is when issued.

(E)

Step Bonds — The rate reported is the effective yield as of November 30, 2010. The coupon on a stop bond changes on a specific date

(F)

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

(G)

Security, or 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 — Financing 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 $0 or have been rounded to $0.

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,874,240	$	—	$	1,874,240
U.S. Treasury Obligations		—		738,156		—		738,156
Municipal Bonds		—		111,828		—		111,828
U.S. Government Agency Obligations		—		74,485		—		74,485
Asset-Backed Securities		—		16,189		—		16,189
Mortgage-Backed Securities		—		9,440		—		9,440
Cash Equivalent		24,235		—		—		24,235

Total Investments in Securities	$	24,235	$	2,824,338	$	—	$	2,848,573


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	4,735	$	—	$	—	$	4,735

Total Other Financial Instruments	$	4,735	$	—	$	—	$	4,735

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

During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

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

LOGO


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)


GLOBAL BONDS — 92.3%

Argentina — 4.1%
Arcor
7.250%, 11/09/17			482	$	503
Argentina Bonos
7.000%, 09/12/13			1,549		1,510
Empresa Distribuidora Y Comercializadora Norte
9.750%, 10/25/22 (A)			678		715
IRSA
11.500%, 07/20/20			976		1,086
Provincia de Buenos Aires
9.625%, 04/18/28			635		511
9.625%, 04/18/28 (A)			1,460		1,175
9.375%, 09/14/18			1,000		868
Provincia de Mendoza Argentina
5.500%, 09/04/18			292		245
Provincia de Neuquen Argentina
8.656%, 10/18/14 (A)			136		142
Republic of Argentina
8.750%, 06/02/17			3,125		3,157
8.280%, 12/31/33			1,413		1,258
8.280%, 12/31/33			6,129		5,454
7.820%, 12/31/33			2,496		2,421
7.820%, 12/31/33	EUR		4,142		4,017
7.820%, 12/31/33 (B)			4,263		4,157
7.000%, 04/17/17			923		789
7.000%, 10/03/15			7,589		6,864
6.000%, 03/31/23 (C)			172		77
5.830%, 12/31/33 (B)	ARS		709		324
3.117%, 12/15/35 (B)			7,630		992
2.500%, 03/31/19			5,520		2,346
0.677%, 08/03/12 (B)			7,360		1,708
0.000%, 03/31/23 (B) (C)			1,680		924
Transportadora Gas Norte
7.500%, 12/31/12 (C)			100		50
7.500%, 12/31/12 (A) (C)			210		105
7.500%, 12/31/12			350		175
6.500%, 12/31/12 (A) (C)			30		15


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

6.500%, 12/31/12 (C)			60	$	30
6.500%, 12/31/12 (C)			60		30
WPE International Tief
10.375%, 09/30/20			750		724

					42,372


Bahrain — 0.1%
Kingdom of Bahrain
5.500%, 03/31/20 (A)			1,444		1,480


Barbados — 0.3%
Columbus International
11.500%, 11/20/14			500		553
11.500%, 11/20/14 (A)			2,000		2,210
Government of Barbados
7.000%, 08/04/22 (A)			800		827

					3,590


Belize — 0.0%
Government of Belize
6.000%, 02/20/29			330		293


Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
10.039%, 12/11/21 (B)	DEM		1,917		931


Brazil — 7.7%
Banco Bradesco
5.900%, 01/16/21 (A)			955		967
Banco Cruzeiro do Sul
8.875%, 09/22/20 (A)			1,077		1,055
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/19 (A)			2,155		2,435
5.500%, 07/12/20 (A)			500		534
Banco Votorantim
7.375%, 01/21/20 (A)			840		899
BM&F Bovespa
5.500%, 07/16/20 (A)			1,006		1,047
BR Properties
9.000%, 12/31/49			814		820
Brazil Notas do Tesouro Nacional Serie B
6.000%, 05/15/15			7,400		8,342
6.000%, 08/15/20			1,900		2,162
Brazil Notas do Tesouro Nacional, Serie F
10.000%, 01/01/13	BRL		10,600		5,911
10.000%, 01/01/17	BRL		2,200		1,159
10.000%, 01/01/21	BRL		20,600		10,366


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

CSN Resources
6.500%, 07/21/20 (A)		1,034	$	1,091
Federal Republic of Brazil
11.000%, 08/17/40		400		551
10.125%, 05/15/27		2,852		4,506
10.000%, 01/01/21		2,650		1,392
8.875%, 04/15/24		1,935		2,728
8.750%, 02/04/25		1,406		2,011
8.250%, 01/20/34		5,345		7,349
7.125%, 01/20/37		2,925		3,605
6.000%, 01/17/17		1,336		1,543
5.875%, 01/15/19		1,629		1,873
5.625%, 01/07/41		1,450		1,497
4.875%, 01/22/21		4,240		4,509
Fibria Overseas Finance
7.500%, 05/04/20 (A)		1,597		1,693
General Shopping Finance
10.000%, 12/31/49		1,088		1,039
Gerdau Trade
5.750%, 01/30/21 (A)		488		491
JBS Finance
8.250%, 01/29/18		500		500
8.250%, 01/29/18		2,110		2,110
Minerva Overseas
10.875%, 11/15/19		363		378
10.875%, 11/15/19		630		655
Odebrecht Drilling Norbe VIII
6.350%, 06/30/21 (A)		1,895		1,923
Rearden G Holdings
7.875%, 03/30/20 (A)		207		221
Telemar Norte Leste
5.500%, 10/23/20 (A)		763		757
Vale Overseas
4.625%, 09/15/20		754		760
Voto-Votorantim
6.750%, 04/05/21 (A)		365		385
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600		629

				79,893


Chile — 0.8%
Banco Del Estado
4.125%, 10/07/20		750		738
Celulosa Arauco y Constitucion
5.000%, 01/21/21 (A)		502		503
Empresa Nacional del Petroleo
6.250%, 07/08/19 (A)		1,300		1,424
5.250%, 08/10/20 (A)		1,700		1,743
Nacional del Cobre de Chile
7.500%, 01/15/19		450		559
6.150%, 10/24/36 (A)		905		1,015
6.150%, 10/24/36		857		961


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

3.750%, 11/04/20 (A)			950	$	928

					7,871


China — 1.0%
Cental China Real Estate
12.250%, 10/20/15			484		504
China Oriental Group
8.000%, 08/18/15 (A)			2,251		2,285
Evergrande
13.000%, 01/27/15			176		183
13.000%, 01/27/15			922		959
Kaisa Group Holdings
13.500%, 04/28/15			255		256
Sinochem Overseas Capital
6.300%, 11/12/40 (A)			692		694
4.500%, 11/12/20 (A)			5,474		5,377
Sino-Forest
6.250%, 10/21/17 (A)			475		464

					10,722


Colombia — 4.3%
Ecopetrol
7.625%, 07/23/19 (A)			600		715
Republic of Colombia
11.750%, 02/25/20			2,108		3,278
10.375%, 01/28/33			300		465
9.850%, 06/28/27 (E)	COP		1,224,000		858
8.375%, 02/15/27			3,100		3,891
8.125%, 05/21/24			2,780		3,614
7.375%, 09/18/37			8,305		10,298
7.375%, 01/27/17			5,093		6,137
7.375%, 03/18/19			5,425		6,673
6.125%, 01/18/41			2,175		2,316
Santa Fe de Bogota
9.750%, 07/26/28 (A)	COP		9,718,000		6,820

					45,065


Croatia — 0.8%
Republic of Croatia
6.750%, 11/05/19			1,052		1,120
6.625%, 07/14/20 (A)			3,989		4,235
6.625%, 07/14/20			1,750		1,855
Zagrebacki Holding D.O.O.
5.500%, 07/10/17	EUR		1,500		1,577

					8,787


Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)	EUR		600		789


Dominican Republic — 0.2%
Cap Cana
10.000%, 04/30/16			655		328


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

10.000%, 04/30/16		582	$	407
Republic of Dominican Republic
9.040%, 01/23/18		27		32
7.500%, 05/06/21 (A)		930		1,023

				1,790


Ecuador — 0.1%
Republic of Ecuador
9.375%, 12/15/15		600		549


Egypt — 0.4%
Arab Republic of Egypt
5.750%, 04/29/20 (A)		2,941		3,161
Nile Finance
5.250%, 08/05/15		450		459
Orascom Telecom Finance
7.875%, 02/08/14		591		561

				4,181


El Salvador — 0.9%
Republic of El Salvador
8.250%, 04/10/32		3,460		3,944
7.650%, 06/15/35		3,344		3,612
7.375%, 12/01/19 (A)		350		389
7.375%, 12/01/19		200		222
Telemovil Finance
8.000%, 10/01/17 (A)		1,000		1,012

				9,179


Georgia — 0.5%
BG Finance for JSC Bank of Georgia
9.000%, 02/08/12		2,500		2,500
Republic of Georgia
7.500%, 04/15/13		2,350		2,421

				4,921


Germany — 0.1%
Deutsche Bank
10.400%, 08/29/14 (A) (B)		1,318		1,318


Ghana — 0.2%
Republic of Ghana
8.500%, 10/04/17 (A)		450		511
8.500%, 10/04/17		1,250		1,420

				1,931


Hong Kong — 0.2%
Bank of China Hong Kong
5.550%, 02/11/20 (A)		2,300		2,415


Hungary — 0.1%
Republic of Hungary
6.250%, 01/29/20		1,450		1,412


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)


India — 0.4%
Axis Bank
4.750%, 05/02/16 (A)			714	$	710
ICICI Bank
5.750%, 11/16/20 (A)			1,655		1,642
Indian Oil
4.750%, 01/22/15			550		576
Reliance Holdings USA
6.250%, 10/19/40			300		292
State Bank of India
4.500%, 07/27/15 (A)			800		826
Vedanta Resources
9.500%, 07/18/18 (A)			146		155

					4,201


Indonesia — 5.5%
Adaro Indonesia
7.625%, 10/22/19			380		403
Bakrie Telecom Pte
11.500%, 05/07/15			105		111
Bumi Investment
10.750%, 10/06/17			575		595
Indo Integrated Energy
9.750%, 11/05/16			395		438
Indosat Palapa
7.375%, 07/29/20 (A)			1,270		1,387
Majapahit Holding
8.000%, 08/07/19 (A)			1,050		1,260
7.875%, 06/29/37 (A)			415		483
7.750%, 01/20/20 (A)			950		1,131
7.750%, 10/17/16			1,050		1,238
7.250%, 10/17/11 (A)			885		923
Republic of Indonesia
12.800%, 06/17/21	IDR		9,067,000		1,367
11.625%, 03/04/19 (A)			2,900		4,415
11.625%, 03/04/19			6,413		9,764
11.000%, 11/15/20	IDR		17,100,000		2,354
10.375%, 05/04/14			1,000		1,255
10.375%, 05/04/14 (A)			150		188
9.500%, 06/15/15			16,218,000		2,010
8.500%, 10/12/35			750		1,024
8.500%, 10/12/35			3,110		4,245
7.750%, 01/17/38			350		445
7.750%, 01/17/38			6,445		8,185
7.500%, 01/15/16			1,440		1,738
7.250%, 04/20/15			190		224
6.875%, 01/17/18 (A)			1,050		1,257
6.875%, 01/17/18			3,030		3,628
6.750%, 03/10/14			1,400		1,587
6.750%, 03/10/14 (A)			300		339
6.625%, 02/17/37			2,400		2,761
5.875%, 03/13/20 (A)			1,500		1,688


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Star Energy
11.500%, 02/12/15			500	$	558

					57,001


Iraq — 1.3%
Republic of Iraq
5.800%, 01/15/28			15,565		13,697


Ivory Coast — 0.3%
Government of Ivory Coast
2.500%, 12/31/32			5,087		3,001


Jamaica — 0.2%
Digicel Group
10.500%, 04/15/18			1,000		1,100
9.125%, 01/15/15 (A)			693		700
8.875%, 01/15/15 (A)			750		757

					2,557


Kazakhstan — 4.2%
BTA Bank JSC
10.750%, 07/01/18 (D)			309		322
10.750%, 07/01/18 (A) (D)			1,502		1,562
0.000%, 07/01/20 (A) (B)			2,772		161
CenterCredit International
8.625%, 01/30/14			2,900		2,929
Citigroup Global Markets for JSC Kazkommertsbank
8.700%, 04/07/14 (B)			1,550		1,317
Halyk Savings Bank of Kazakhstan
9.250%, 10/16/13			875		946
7.750%, 05/13/13			100		104
7.250%, 05/03/17			1,150		1,138
Kazakhstan Temir Zholy Finance
6.375%, 10/06/20			1,995		2,025
Kazatomprom
6.250%, 05/20/15			1,050		1,114
6.250%, 05/20/15			750		796
Kazkommertsbank
12.850%, 12/18/12			600		627
8.500%, 04/16/13			1,850		1,785
8.000%, 11/03/15			2,050		1,927
7.875%, 04/07/14			900		851
7.500%, 11/29/16			2,850		2,508
6.875%, 02/13/17	EUR		500		583
KazMunayGas National
11.750%, 01/23/15 (A)			3,963		4,857
9.125%, 07/02/18			2,023		2,301
9.125%, 07/02/18 (A)			2,600		2,989
8.375%, 07/02/13			3,650		3,960
7.000%, 05/05/20 (A)			3,039		3,092
6.375%, 04/09/21 (A)			3,629		3,511


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Tengizchevroil Finance
6.124%, 11/15/14			366	$	382
Zhaikmunai Finance BV
10.500%, 10/19/15 (A)			2,031		1,949

					43,736


Lebanon — 0.0%
Republic of Lebanon MTN
9.000%, 03/20/17			150		180


Lithuania — 0.8%
Republic of Lithuania
7.375%, 02/11/20 (A)			1,950		2,174
7.375%, 02/11/20			1,500		1,650
6.750%, 01/15/15 (A)			1,405		1,520
5.125%, 09/14/17 (A)			2,940		2,909

					8,253


Malaysia — 3.4%
Axiata SPV1 Labuan
5.375%, 04/28/20			300		313
Government of Malaysia
3.835%, 08/12/15			11,180		3,600
3.741%, 02/27/15	MYR		12,440		3,995
Malaysia Sukuk Global Berhad
3.928%, 06/04/15 (A)			450		470
Petroliam Nasional
7.750%, 08/15/15			1,460		1,789
7.625%, 10/15/26			430		561
Petronas Capital
7.875%, 05/22/22			4,930		6,519
7.875%, 05/22/22 (A)			450		596
7.000%, 05/22/12			3,055		3,294
5.250%, 08/12/19 (A)			11,515		12,722
5.250%, 08/12/19			1,200		1,326

					35,185


Mexico — 9.3%
Alestra
11.750%, 08/11/14 (E)			722		819
Axtel
9.000%, 09/22/19			1,062		977
7.625%, 02/01/17 (A)			131		118
BBVA Bancomer
6.008%, 05/17/22 (B)			780		786
Cemex Espana Luxembourg
9.500%, 12/14/16			500		500
9.250%, 05/12/20			1,002		952
9.250%, 05/12/20 (A) (E)			2,578		2,449
Cemex Finance Europe BV
4.750%, 03/05/14			483		516
Corporation Geo
9.250%, 06/30/20 (A)			1,100		1,257
9.250%, 06/30/20			500		571


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Desarrolla
7.500%, 09/28/15			252	$	261
Grupo Senda
10.500%, 10/03/15			4,590		4,613
Hipotecaria Su Casita
8.500%, 10/04/16 (A)			222		88
8.500%, 10/04/16			81		32
Mexican Bonos
9.500%, 12/18/14	MXP		12,283		1,114
9.000%, 06/20/13			8,800		766
9.000%, 12/20/12			32,690		2,817
8.500%, 12/13/18			53,900		4,830
7.500%, 06/21/12			9,200		768
Mexican Bonos, Ser M10
7.250%, 12/15/16	MXP		13,000		1,095
Mexican Udibonos
5.000%, 06/16/16			12,930		5,398
4.000%, 06/13/19			6,830		2,738
NII Capital
10.000%, 08/15/16			4,165		4,623
Oceanografia
11.250%, 07/15/15			1,286		791
Pemex Finance
9.150%, 11/15/18			1,895		2,486
Pemex Project Funding Master Trust
6.625%, 06/15/35			2,522		2,635
5.750%, 03/01/18			1,670		1,817
Petroleos Mexicanos
8.000%, 05/03/19 (A)			465		569
8.000%, 05/03/19			1,050		1,286
6.000%, 03/05/20 (A)			500		545
5.500%, 01/21/21			300		314
United Mexican States
8.300%, 08/15/31			3,193		4,366
8.125%, 12/30/19			700		922
8.000%, 09/24/22 (E)			5,064		6,938
6.625%, 03/03/15			2,350		2,738
6.050%, 01/11/40			3,814		4,052
5.950%, 03/19/19			4,056		4,654
5.625%, 01/15/17			18,530		20,846
5.125%, 01/15/20			800		864
United Mexican States, Ser A MTN
6.750%, 09/27/34			1,763		2,054

					95,965


Nigeria — 0.1%
GTB Finance
8.500%, 01/29/12			500		512
UBS
0.000%, 09/04/17 (A) (B)			800		561

					1,073


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

Oman — 0.0%
Blue City Investments
13.750%, 11/07/13		2,750	$	413



Pakistan — 0.5%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)		330		310
Republic of Pakistan
7.125%, 03/31/16 (E)		2,750		2,531
6.875%, 06/01/17		2,850		2,551

				5,392


Panama — 2.1%
Republic of Panama
9.375%, 04/01/29 (E)		7,440		10,639
9.375%, 01/16/23		595		821
8.875%, 09/30/27		3,306		4,678
8.125%, 04/28/34 (E)		940		1,203
7.250%, 03/15/15		1,800		2,106
6.700%, 01/26/36		1,650		1,918

				21,365


Peru — 2.6%
Banco de Credito del Peru
5.375%, 09/16/20 (A)		1,315		1,312
Continental Senior Trustees Cayman
5.500%, 11/18/20 (A)		904		892
Interoceanica IV Finance
3.966%, 11/30/25 (A) (F)		724		353
3.899%, 11/30/18 (A) (F)		335		260
3.230%, 11/30/18		634		492
Peru Enhanced Pass-Through Finance
4.417%, 05/31/18 (F)		403		325
3.998%, 05/31/18 (A) (F)		456		367
Republic of Peru
8.750%, 11/21/33		6,800		9,673
8.375%, 05/03/16		750		937
7.350%, 07/21/25		9,180		11,291
7.125%, 03/30/19		1,034		1,261
6.550%, 03/14/37		120		137

				27,300


Philippines — 5.4%
National Power
9.625%, 05/15/28		1,100		1,512
Power Sector
7.390%, 12/02/24		1,150		1,389
7.250%, 05/27/19		100		120
Republic of Philippines
10.625%, 03/16/25		4,476		7,027
9.500%, 10/21/24		200		295
9.500%, 02/02/30		3,730		5,558


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)
9.375%, 01/18/17			10,040	$	13,479
8.875%, 03/17/15			125		158
8.375%, 06/17/19			1,900		2,494

7.750%, 01/14/31			2,443		3,078
7.500%, 09/25/24			6,019		7,674
6.375%, 01/15/32			890		977
6.375%, 10/23/34			4,711		5,159
Republic of Phillippines
4.000%, 01/15/21			7,066		7,022

					55,942


Poland — 1.5%
Polish Television Holding BV
11.000%, 05/15/17 (A)			700		885
Republic of Poland
6.375%, 07/15/19			11,374		12,627
TVN Finance
10.750%, 11/15/17			200		281
TVN Finance II
10.750%, 11/15/17 (A)	EUR		1,500		2,087

					15,880


Qatar — 1.9%
Qatari Diar Finance QSC
5.000%, 07/21/20 (A)			1,800		1,832
Qtel International Finance
7.875%, 06/10/19			3,060		3,651
6.500%, 06/10/14 (A)			600		666
5.000%, 10/19/25 (A)			460		418
4.750%, 02/16/21 (A)			504		469
State of Qatar
9.750%, 06/15/30			535		805
6.400%, 01/20/40 (A)			705		783
5.250%, 01/20/20			1,737		1,887
5.250%, 01/20/20 (A)			6,885		7,402
4.000%, 01/20/15			1,600		1,668

					19,581


Russia — 7.7%
Alfa Bank Via Alfa Bond Issuance
7.875%, 09/25/17 (A)			771		773
Alfa Dividend Payment Rights Finance MTN
2.192%, 12/15/11 (A) (B)			118		108
Alfa Invest MTN
9.250%, 06/24/13 (A)			1,200		1,297
Alfa Issuance MTN
8.000%, 03/18/15			208		211
ALROSA Finance
7.750%, 11/03/20			1,495		1,495
Edel Capital for Sinek Capital SA
7.700%, 08/03/15			600		636


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)
Gaz Capital MTN
8.625%, 04/28/34			566	$	661
6.510%, 03/07/22 (A)			855		861

Kuznetski (Bank of Moscow)
5.967%, 11/25/15 (B)			1,300		1,248
MTS International
8.625%, 06/22/20 (A)			2,583		2,874
RSHB Capital for Russian Agricultural Bank MTN
7.750%, 05/29/18			450		485
6.299%, 05/15/17			250		249
Russian Federation
12.750%, 06/24/28			3,370		5,850
11.200%, 12/17/14	RUB		49,200		1,799
7.500%, 03/31/30 (D)			31,764		36,570
Russian Federation MTN
10.550%, 07/08/11			55,200		1,810
Russian Foreign Bond - Eurobond
5.000%, 04/29/20 (A)			500		499
RZD Capital MTN
5.739%, 04/03/17			550		562
SCF Capital
5.375%, 10/27/17 (A)			1,900		1,843
Severstal OAO Via Steel Capital
6.700%, 10/25/17 (A)			739		715
Teorema Holding
11.000%, 10/27/09 (C) (I)			2,000		200
TNK-BP Finance
7.875%, 03/13/18 (A)			176		195
7.500%, 07/18/16 (A)			415		460
7.250%, 02/02/20 (A)			469		505
6.250%, 02/02/15 (A)			238		251
UBS (Vimpelcom)
8.250%, 05/23/16			190		207
VEB Finance
6.902%, 07/09/20 (A)			3,235		3,308
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)			400		451
9.125%, 04/30/18			1,200		1,335
8.375%, 04/30/13			1,850		1,980
Vnesheconombank Via VEB Finance
6.902%, 07/09/20			200		204
6.800%, 11/22/25 (A)			1,250		1,216
5.450%, 11/22/17 (A)			900		884
VTB Bank Via VTB Capital
6.551%, 10/13/20 (A)			960		950
VTB Capital
6.875%, 05/29/18			5,250		5,460
6.609%, 10/31/12 (A)			1,100		1,169
6.250%, 06/30/35			498		498

					79,819


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Saudi Arabia — 0.2%
Dar Al-Arkan International Sukuk
10.750%, 02/18/15 (A)			1,050	$	1,034
10.750%, 02/18/15			500		492

					1,526



Singapore — 0.7%
Sea Production
2.192%, 02/14/12			8,429		5,732
STATS ChipPac
7.500%, 08/12/15 (A)			937		991

					6,723


South Africa — 1.8%
Consol Glass MTN
7.625%, 04/15/14	EUR		285		362
Edcon Proprietary
4.129%, 06/15/14 (B)	EUR		2,850		3,033
Myriad International Holding
6.375%, 07/28/17 (A)			2,370		2,452
Republic of South Africa
8.500%, 06/23/17			815		1,035
6.875%, 05/27/19			3,006		3,592
6.750%, 03/31/21			15,080		1,902
6.500%, 06/02/14			2,555		2,913
5.875%, 05/30/22			1,895		2,103
5.500%, 03/09/20			1,600		1,744

					19,136


South Korea — 0.4%
Export-Import Bank of Korea
8.125%, 01/21/14			2,105		2,435
5.875%, 01/14/15			1,125		1,241

					3,676


Sri Lanka — 0.1%
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)			500		558
6.250%, 10/04/20 (A)			400		412

					970


Supra-National — 0.1%
Andina de Fomento
8.125%, 06/04/19			565		686
Eurasian Development Bank
7.375%, 09/29/14 (A)			350		379

					1,065


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)


Thailand — 0.3%
True Move
10.750%, 12/16/13		500	$	528
10.750%, 12/16/13 (A)		850		907
10.375%, 08/01/14 (A)		1,350		1,411

				2,846


Trinidad & Tobago — 0.4%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)		653		793
6.000%, 05/08/22		2,324		2,336
6.000%, 05/08/22 (A)		671		674

				3,803


Tunisia — 0.3%
Banque Centrale de Tunisie
7.375%, 04/25/12		2,210		2,382
6.250%, 02/20/13		430		600

				2,982


Turkey — 4.4%
Akbank
5.125%, 07/22/15 (A)		1,188		1,184
Globus Capital Finance
8.500%, 03/05/12		700		656
Republic of Turkey
11.875%, 01/15/30		1,175		2,056
9.500%, 01/15/14		300		363
8.000%, 02/14/34		1,950		2,535
7.500%, 11/07/19		1,835		2,243
7.500%, 07/14/17		2,625		3,170
7.375%, 02/05/25		5,307		6,518
7.250%, 03/15/15		950		1,102
7.250%, 03/05/38		740		899
7.000%, 06/05/20		1,163		1,375
7.000%, 09/26/16		1,209		1,412
7.000%, 03/11/19		550		649
6.875%, 03/17/36		6,295		7,239
6.750%, 05/30/40		4,891		5,527
6.750%, 04/03/18		5,180		6,035
5.625%, 03/30/21		2,250		2,430

				45,393


Ukraine — 4.4%
Avangardco Investments
10.000%, 10/29/15		524		493
Biz Finance for Ukreximbank
8.375%, 04/27/15		1,900		1,907
Credit Suisse First Boston for City of Kiev
8.000%, 11/06/15		215		196


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Credit Suisse First Boston International (Export/Import - Ukraine)
7.650%, 09/07/11			1,000	$	1,012
6.800%, 10/04/12			800		790
DTEK Finance
9.500%, 04/28/15			333		345
9.500%, 04/28/15 (A)			790		818
Financing of Infrastrucural Projects State Enterprise
8.375%, 11/03/17 (A)			650		653
Government of Ukraine
7.750%, 09/23/20 (A)			2,450		2,376
7.650%, 06/11/13			250		254
7.650%, 06/11/13			2,773		2,820
6.875%, 09/23/15 (A)			3,679		3,532
6.875%, 03/04/11			500		501
6.750%, 11/14/17			1,200		1,141
6.580%, 11/21/16			1,570		1,494
6.385%, 06/26/12			1,445		1,442
3.200%, 12/19/10	JPY		760,000		9,019
Government of Ukraine Registered
6.580%, 11/21/16 (A)			200		192
Metinvest
10.250%, 05/20/15			101		104
10.250%, 05/20/15 (A)			800		820
MHP
10.250%, 04/29/15			293		303
10.250%, 04/29/15			1,965		2,034
NAK Naftogaz Ukraine
9.500%, 09/30/14			9,373		9,795
Springvale Holdings
9.181%, 09/07/09 (B) (C) (I)			1,000		75
UK Private Bank
8.000%, 02/06/12			3,200		3,104

					45,220


United Arab Emirates — 2.7%
Aldar Funding
5.767%, 11/10/11			3,339		3,214
Dolphin Energy
5.888%, 06/15/19 (A)			432		460
5.888%, 06/15/19			767		817
DP World
6.850%, 07/02/37			1,570		1,406
Dubai DOF Sukuk MTN
6.396%, 11/03/14			2,050		2,014
Dubai Electricity & Water Authority
8.500%, 04/22/15			252		262
8.500%, 04/22/15 (A)			1,650		1,715
7.375%, 10/21/20 (A)			2,520		2,331
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14	EUR		3,350		3,445


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

0.662%, 02/01/12 (B)			200	$	172
Dubai Sukuk Centre
0.668%, 06/13/12 (B)			750		622
Emirate of Abu Dhabi
6.750%, 04/08/19 (A)			670		793
6.750%, 04/08/19			1,000		1,180
Jafz Sukuk
3.741%, 11/27/12 (B)	AED		25,100		5,903
Nakheel Development 2
2.750%, 01/16/11			3,400		3,816

					28,150


Uruguay — 2.5%
Republic of Uruguay PIK
7.875%, 01/15/33			3,720		4,835
Republic of Uruguay
9.250%, 05/17/17			4,870		6,416
8.000%, 11/18/22			8,198		10,494
7.625%, 03/21/36			2,586		3,247
6.875%, 09/28/25			761		906

					25,898


Venezuela — 4.6%
Bolivarian Republic of Venezuela
9.000%, 05/07/23			9,354		5,870
8.250%, 10/13/24			3,965		2,389
Government of Venezuela
13.625%, 08/15/18			737		685
13.625%, 08/15/18			2,435		2,265
12.750%, 08/23/22			200		165
10.750%, 09/19/13			900		821
9.375%, 01/13/34			2,370		1,511
9.250%, 09/15/27			4,025		2,727
9.250%, 05/07/28			4,715		2,947
8.500%, 10/08/14			5,139		4,188
7.750%, 10/13/19			2,000		1,260
7.650%, 04/21/25			3,915		2,231
7.000%, 12/01/18			255		157
7.000%, 03/31/38			200		103
6.000%, 12/09/20			1,050		577
5.750%, 02/26/16			2,900		1,936
Petroleos de Venezuela
5.500%, 04/12/37			3,150		1,370
5.375%, 04/12/27			8,791		3,934
5.250%, 04/12/17 (E)			13,425		7,196
5.000%, 10/28/15			1,700		926
4.900%, 10/28/14			7,431		4,496

					47,754


Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16			350		392


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

6.750%, 01/29/20		500	$	555
6.750%, 01/29/20 (A)		1,052		1,168

				2,115

Total Global Bonds (Cost $870,308) ($ Thousands)				957,287


LOAN PARTICIPATIONS — 1.1%

Angola — 0.2%
Republic of Angola
3.006%, 04/30/16 (H) (I)		1,300		1,545


Cambodia — 0.2%
CAMGSM PIK
12.756%, 05/25/11		2,359		2,359


Georgia — 0.0%
Ashmore Cayman
0.000%, 04/16/14 (F) (H) (I)		221		227


Indonesia — 0.2%
PT Bumi Resources
0.000%, 08/07/13		1,973		2,012


Russia — 0.2%
Snegri Overseas
10.500%, 10/10/11 (H) (I)		2,286		1,829


Singapore — 0.3%
Morton Bay Senior
6.250%, 06/30/11 (H) (I)		3,054		3,054

Total Loan Participations (Cost $11,635) ($ Thousands)				11,026


CONVERTIBLE BONDS — 0.4%
FirstSource Solutions CV to 42,549.14 Shares
6.011%, 12/04/12 (F)		2,300		2,602
Suzlon Energy CV to 22.6830 Shares
1.307%, 06/12/12		1,360		1,428
Suzlon Energy CV to 533.2762 Shares
2.452%, 07/25/14 (F)		500		434

Total Convertible Bonds (Cost $3,804) ($ Thousands)				4,464


Description	Face Amount (Thousands) (1)/ Shares		Market Value ($ Thousands)


WARRANTS — 0.0%

Russia — 0.0%
Teorema Holding A, Expires 10/27/11* (I)		136	$	—
Teorema Holding B, Expires 10/27/11* (I)		272		—

Total Warrants (Cost $47) ($ Thousands)				—


AFFILIATED PARTNERSHIP — 1.3%
SEI Liquidity Fund, L.P.
0.210%,**† (G)		13,928,345		13,669

Total Affiliated Partnership (Cost $13,928) ($ Thousands)				13,669

Total Investments — 95.1% (Cost $899,722) ($ Thousands)			$	986,446

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:

Type of Contract

Number of
Contracts
Long (Short)

Expiration
Date

Unrealized
Appreciation
($ Thousands)

U.S. Ultra Long Treasury Bond

Apr-2011

For the six month period ended November 30, 2010, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
12/1/10-2/22/11		USD	5,534		INR	250,707	$	(103	)
12/2/10		BRL	21,230		USD	12,400		56
12/2/10		USD	4,211		BRL	7,167		(44	)
12/13/10		INR	45,788		USD	1,026		30
12/13/10		KRW	5,308,644		USD	4,680		100
12/20/10-12/30/10		EUR	6,581		USD	8,785		220
12/27/10		PLN	19,393		USD	6,715		462
12/27/10-2/7/11		USD	14,093		PLN	39,695		(1,309	)
12/30/10		JPY	765,445		USD	9,162		18
1/26/11		COP	10,692,000		USD	5,775		214
1/26/11		USD	5,556		COP	10,692,000		5
5/20/11		CNY	14,275		USD	2,127		(22	)
5/20/11-8/9/11		USD	6,060		CNY	40,471		62

							$	(311	)

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:

A summary of outstanding swap agreements held by the Fund at November 30, 2010, is as follows:

Percentages are based on a Net Assets of $1,037,598 ($ Thousands).

(1)

In U.S. dollars unless otherwise indicated.

Non-Income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2010. The date reported on the Schedule of Investments is the next reset date.

(C)

Security in default on interest payments.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2010. 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, 2010. The total value of securities on loan at November 30, 2010 was $13,035 ($ Thousands).

(F)

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

(G)

This security was purchase with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $13,669 ($ Thousands).

(H)

Security considered illiquid. The total value of such securities as of November 30, 2010 was $6,655 ($ Thousands) and represented 0.64% of Net Assets.

(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 30, 2010 was $6,930 ($ Thousands) and represented 0.67% of Net Assets.

AED — United Arab Emirates Dirham

ARS — Argentine Peso

BRL — Brazilian Real

CNY — Chinese Yuan Renminbi

COP — Colombian Peso

CV — Convertible Security

DEM — German Mark

EUR — Euro

IDR — Indonesia Rupiah

INR — India Rupee

JPY — Japanese Yen

KRW — South Korean Won

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexican Peso

MYR — Malaysian Ringgit

PIK — Payment-in-Kind

PLN — Polish Zloty

RUB — Russian Ruble

Ser — Series

USD — U.S. Dollar

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

The following is a summary of the inputs used as of November 30, 2010, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Global Bonds	$	—	$	957,287	$	—	$	957,287
Loan Participations		—		—		11,026		11,026
Convertible Bonds		—		4,464		—		4,464
Warrants		—		—		—		—
Affiliated Partnership		—		13,669		—		13,669

Total Investments in Securities	$	—	$	975,420	$	11,026	$	986,446


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures Contracts*	$	7	$	—		$	—	$	7
Forwards		—		(311	)		—		(311	)
Total Return Swaps		—		57			—		57

Total Other Financial Instruments	$	7	$	(254	)	$	—	$	(247	)

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):

During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

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

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):

During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

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

LOGO


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


U.S. TREASURY OBLIGATIONS (A) (B) — 35.2%
U.S. Treasury Bills
0.145%, 12/23/10	$	20,000	$	19,998
0.130%, 12/02/10		16,000		16,000

Total U.S. Treasury Obligations (Cost $35,998) ($ Thousands)				35,998


CASH EQUIVALENT — 34.7%
SEI Daily Income Trust, Prime Obligation Fund,
Cl A 0.120%*†		35,423,065		35,423

Total Cash Equivalent (Cost $35,423) ($ Thousands)				35,423


U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 23.5%
FHLB
0.170%, 02/23/11		17,000		16,993
FHLMC
0.180%, 12/02/10		7,000		7,000

Total U.S. Government Agency Obligations (Cost $23,993) ($ Thousands)				23,993

Total Investments — 93.4% (Cost $95,414) ($ Thousands)			$	95,414

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index EMINI		1,348		Dec-2010	$	1,443
U.S. 10-Year Treasury Note		110		Mar-2011		(55	)

					$	1,388

Percentages are based on a Net Assets of $102,137 ($ Thousands)

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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

(B)

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

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

S&P — Standard and Poor’s

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S Treasury Obligations	$	—	$	35,998	$	—	$	35,998
Cash Equivalent		35,423		—		—		35,423
U.S. Government Agency Obligations		—		23,993		—		23,993

Total Investments in Securities	$	35,423	$	59,991	$	—	$	95,414


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,388	$	—	$	—	$	1,388

Total Other Financial Instruments	$	1,388	$	—	$	—	$	1,388

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

During the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the six month period ended November 30, 2010, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

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, 2010 (unaudited) and the year ended May 31, 2010

For the period ended November 30, 2010 (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 with 20 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Strategic U.S. Large Cap Equity, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Emerging Markets Equity, Global Equity, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Emerging Markets Debt, Real Return and Dynamic Asset Allocation 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.

As of November 30, 2010, the Strategic U.S. Large Cap Equity, Emerging Markets Equity and Global Equity Funds have not yet commenced operations.

2. SIGNIFICANT ACCOUNTING POLICIES

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 (“GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of 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 GAAP, 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, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the six month period ended November 30, 2010, 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 — To the extent consistent with its Investment Objective and Strategies, a Fund 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, 2010.

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 — To the extent consistent with its Investment Objective and Strategies, a Fund 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 Fund realizes gains and losses at the time forward contracts are 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. A Fund 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of November 30, 2010, if applicable.

Futures Contracts — All Funds, with the exception of the High Yield Bond and Real Return Funds, utilized futures contracts during the six month period ended November 30, 2010. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. To the extent consistent with its Investment Objective and Strategies, a Fund 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of November 30, 2010, if applicable.

Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, 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. A 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 Fund had options contracts as of November 30, 2010, 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 on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of November 30, 2010, if applicable.

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. As of November 30, 2010, 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. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of November 30, 2010, if applicable.

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 — To the extent consistent with its Investment Objective and Strategies, a Fund 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.

Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in U.S. dollar-denominated fixed- and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.

Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.

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; declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds; and declared and paid annually for the Dynamic Asset Allocation Fund. 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 — As of November 30, 2010, 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, 2010, 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.

As of November 30, 2010, the Core Fixed Income Fund and High Yield Bond Fund are the buyers (“receiving protection”) on a total notional amount of $57.0 million and $14.0 million, respectively, and the Core Fixed Income Fund is the seller (“providing protection”) on a total notional amount of $8.8 million. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the sellers of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is 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, 2010 was as follows:

The effect of derivative instruments on the Statements of Operations for the six month period ended November 30, 2010.

Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands):

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):

an Amended and Restated Administration and Transfer Agency 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, 2010, 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 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. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:


	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


	Advisory Fees			Voluntary Expense Limitations
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		0.220			0.200
Dynamic Asset Allocation Fund		0.610			0.500

As of November 30, 2010, 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

Legg Mason Capital Management, Inc.

LSV Asset Management

Neuberger Berman Management LLC

Quantitative Management Associates, LLC

Large Cap Diversified Alpha Fund

Analytic Investors, Inc.

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Legg Mason Capital Management, Inc.

Quantitative Management Associates, LLC

Large Cap Disciplined Equity Fund

Analytic Investors, Inc.

INTECH Investment Management, LLC

Lazard Asset Management LLC

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

Allianz Global Investors Capital LLC

AQR Capital Management, LLC

Artisan Partners Limited Partnership

Janus Capital Management, Inc.

Lee Munder Capital Group LLC

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

Allianz Global Investors Capital LLC

Century Capital Management, LLC

Integrity Asset Management, LLC

Janus Capital Management, Inc.

Investment Sub-Adviser

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

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, LLC

Causeway Capital Management LLC

INTECH Investment Management, LLC

Neuberger Berman Management LLC

Quantitative Management Associates, LLC

Schroder Investment Management North America, Inc.

Tradewinds Global Investors LLC

World Equity Ex-US Fund

Acadian Asset Management, Inc.

Artisan Partners Limited Partnership

JO Hambro Capital Management Limited

McKinley Capital Management, LLC

NFJ Investment Group LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Thornburg Investment Management LLC

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

McKinley Capital Management, LLC

Principal Global Investors, LLC

Quantitative Management Associates, LLC

Thornburg Investment Management LLC

Enhanced LIBOR Opportunities Fund

Ares Management, LLC

Declaration Management & Research, LLC*

Wellington Management Company, LLP

Core Fixed Income Fund

J.P. Morgan Investment Management, Inc.

Jennison Associates LLC

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

Income Research & Management

Jennison Associates LLC

Investment Sub-Adviser

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, LLC

Dynamic Asset Allocation Fund

Credit Suisse Asset Management, LLC

Goldman Sachs Asset Management, L.P.

Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.

Other —The Distribution Agreement between 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, 2010 were as follows ($ Thousands):


Large Cap Fund	$	6
Large Cap Diversified Alpha Fund		2
Large Cap Disciplined Equity Fund		5
Large Cap Index Fund		10
Small Cap Fund		9
Small/Mid Cap Equity Fund		19
International Equity Fund		2
World Equity Ex-US Fund		35

Payments to Affiliates — 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, 2010 were as follows ($ Thousands):


Large Cap Fund	$	147
Small Cap Fund		230
Small/Mid Cap Equity Fund		398

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, 2010, can be found on the Financial Highlights.

Investment in Affiliated Security — The funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund L.P.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the “Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ board of trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

During the six month period ended November 30, 2010, the Trust borrowed funds from SEI Liquid Asset Trust Prime Obligation Fund. The amount borrowed was $29,176,213 and the interest paid on the borrowing and the corresponding interest rate were $800 and 0.43%, respectively. The average amount of borrowings during the six month period was $372,454. The Trust had no outstanding borrowings or loans under the interfund lending agreement at November 30, 2010.

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, 2010, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	769,513	$	769,513
Sales		—		589,192		589,192
Large Cap Diversified Alpha Fund
Purchases		—		215,414		215,414
Sales		—		220,201		220,201
Large Cap Disciplined Equity Fund
Purchases		—		4,836,148		4,836,148
Sales		—		4,904,653		4,904,653
Large Cap Index Fund
Purchases		—		50,971		50,971
Sales		—		74,479		74,479
Small Cap Fund
Purchases		—		473,009		473,009
Sales		—		649,997		649,997
Small/Mid Cap Equity Fund
Purchases		—		785,336		785,336
Sales		—		1,066,362		1,066,362
U.S. Managed Volatility Fund
Purchases		—		89,063		89,063
Sales		—		215,655		215,655
International Equity Fund
Purchases		—		302,213		302,213
Sales		73		441,333		441,406
World Equity Ex-US Fund
Purchases		—		1,610,410		1,610,410
Sales		154		1,291,070		1,291,224
Screened World Equity Ex-US Fund
Purchases		—		30,015		30,015
Sales		—		29,176		29,176


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Enhanced LIBOR Opportunities Fund
Purchases	$	1,105	$	26,930	$	28,035
Sales		2,170		9,109		11,279
Core Fixed Income Fund
Purchases		10,348,199		1,313,847		11,662,046
Sales		10,151,858		1,279,717		11,431,575
High Yield Bond Fund
Purchases		510		842,838		843,348
Sales		497		704,285		704,782
Long Duration Bond Fund
Purchases		880,169		492,012		1,372,181
Sales		786,278		383,093		1,169,371
Emerging Markets Debt Fund
Purchases		—		414,592		414,592
Sales		—		421,746		421,746
Real Return Fund
Purchases		156,591		128		156,719
Sales		152,397		128		152,525
Dynamic Asset Allocation Fund
Purchases		—		—		—
Sales		—		—		—

8. FEDERAL TAX INFORMATION

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 GAAP. 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, 2010 were as follows:

As of May 31, 2010, the components of Distributable Earnings/(Accumulated Losses) were as follows:

Post-October losses represent losses realized on investment transactions from November 1, 2009 through May 31, 2010 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:

During the fiscal year ended May 31, 2010, the Large Cap, U.S. Managed Volatility, Core Fixed Income, Long Duration and Real Return Funds utilized $7,522,945, $1,283,308, $31,257,517, $837,977 and $2,962,680, respectively, of capital loss carryforwards, to offset capital gains.

For Federal income tax purposes, the cost of securities owned at November 30, 2010, 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, 2010, was as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,511,155	$	204,746	$	(47,810	)	$	156,936
Large Cap Diversified Alpha Fund		329,036		52,434		(10,976	)		41,458
Large Cap Disciplined Equity Fund		7,443,400		919,146		(316,755	)		602,391
Large Cap Index Fund		439,952		163,625		(21,954	)		141,671
Small Cap Fund		1,253,099		278,953		(72,706	)		206,247
Small/Mid Cap Equity Fund		2,259,523		431,356		(82,842	)		348,514
U.S. Managed Volatility Fund		111,557		31,563		(2,266	)		29,297
International Equity Fund		511,750		53,314		(15,959	)		37,355
World Equity Ex-US Fund		4,369,521		521,020		(112,583	)		408,437
Screened World Equity Ex-US Fund		71,236		8,587		(2,445	)		6,142
Enhanced LIBOR Opportunities Fund		147,746		1,494		(23,121	)		(21,627	)
Core Fixed Income Fund		6,693,606		263,611		(225,040	)		38,571
High Yield Bond Fund		1,780,603		111,574		(43,491	)		68,083
Long Duration Fund		2,650,556		208,844		(10,827	)		198,017
Emerging Markets Debt Fund		899,722		102,396		(15,672	)		86,724
Real Return Fund		316,467		10,407		(221	)		10,186
Dynamic Asset Allocation Fund		95,414		—		—			—

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, 2010, 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, 2010, the Large Cap Fund and U.S. Managed Volatility 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)			Gain (Loss) ($ Thousands)
Large Cap Fund
08/11/2010		2,005	$	(30,518	)	$	—
U.S. Managed Volatility Fund
07/28/2010		11,908	$	137,304		$	17,980

During the fiscal year ended May 31, 2010, the Large Cap Fund, Large Cap Disciplined Equity Fund and Small Cap 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 Fund
03/31/10		2,998,170	$	47,731
Large Cap Disciplined Equity Fund
08/31/09		7,632,084	$	62,736
Small Cap Fund
03/31/10		562,704	$	6,162

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.

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 6/1/2010		Ending Account Value 11/30/2010		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,096.30		0.26	%	$	1.37
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.76		0.26	%	$	1.32
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,100.00		0.32	%	$	1.68
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.46		0.32	%	$	1.62
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,087.50		0.19	%	$	0.99
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	$	1,097.90		0.06	%	$	0.32
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	$	1,094.30		0.54	%	$	2.84
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.36		0.54	%	$	2.74
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,110.30		0.49	%	$	2.59
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	$	1,094.80		0.35	%	$	1.84
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	$	1,146.00		0.39	%	$	2.10
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	$	1,149.60		0.45	%	$	2.42
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	$	1,147.70		0.80	%	$	4.31
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	$	1,035.10		0.41	%	$	2.09
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	$	1,053.90		0.18	%	$	0.93
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.17		0.18	%	$	0.91


	Beginning Account Value 6/1/2010		Ending Account Value 11/30/2010		Annualized Expense Ratios			Expense Paid During Period*
HighYield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,098.00		0.35	%	$	1.84
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	$	1,070.70		0.20	%	$	1.04
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	$	1,105.80		0.55	%	$	2.90
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	$	1,023.40		0.20	%	$	1.01
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.07		0.20	%	$	1.01

*	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).


	Beginning Account Value 7/30/2010⁽¹⁾		Ending Account Value 11/30/2010		Annualized Expense Ratios			Expense Paid During Period
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,040.00		0.50	%	$	1.73	*
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.56		0.50	%	$	2.54	**

(1)

Commenced operations.

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 124/365 (to reflect the period shown).

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”), provides direct investment management services for the High Yield Bond Fund 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. In addition to the Sub-Advisers, a portion of the High Yield Bond Fund is directly managed by SIMC. 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 22-23, 2010 and September 14-15, 2010 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-Advisers 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.

At a special meeting held on November 2, 2010, the shareholders of the SIIT U.S. Managed Volatility Fund (the “Fund”), voted on the proposal listed below. The results of the voting were as follows:

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

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

Keri E. Rohn

Privacy 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 and Dynamic Asset Allocation Fund are included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.6%

Consumer Discretionary — 10.6%
99 Cents Only Stores*		3,300	$	52
Aeropostale*		6,450		174
Amazon.com*		72,070		12,641
American Eagle Outfitters		102,400		1,690
Apollo Group, Cl A*		101,100		3,438
Autoliv (A)		22,500		1,652
AutoZone*		5,900		1,530
Best Buy (A)		68,800		2,939
Big Lots*		17,400		533
BorgWarner* (A)		36,782		2,219
Brinker International (A)		56,400		1,153
Career Education*		2,000		36
Carnival (A)		30,500		1,260
CBS, Cl B		66,700		1,123
CEC Entertainment*		1,730		65
Coach		209,483		11,844
Comcast, Cl A		294,800		5,896
Cooper Tire & Rubber (A)		32,100		671
Ctrip.com International ADR*		37,689		1,652
Darden Restaurants		19,000		930
Deckers Outdoor* (A)		4,700		361
DeVry		2,500		107
DIRECTV, Cl A*		97,800		4,062
DISH Network, Cl A*		35,400		651
Dollar Tree* (A)		18,450		1,014
Eastman Kodak* (A)		475,300		2,239
Ford Motor* (A)		217,400		3,465
Fossil*		9,600		650
GameStop, Cl A* (A)		47,600		948
Gannett (A)		76,200		999
Gap		81,300		1,737
Garmin (A)		34,100		988
General Motors* (A)		26,100		893
Genuine Parts		2,200		106
H&R Block		12,100		152
Helen of Troy*		9,800		231
Home Depot		21,300		643
International Speedway, Cl A		1,700		40
ITT Educational Services* (A)		9,300		544
Jo-Ann Stores*		1,700		82
Johnson Controls		50,600		1,844
Kirkland’s*		2,400		29
Kohl’s*		2,300		129
Liberty Global, Cl A* (A)		23,200		818
Liberty Media—Interactive, Cl A*		14,700		227
Liberty Media—Starz, Ser A*		6,500		408
Lincoln Educational Services (A)		4,870		71
LKQ*		16,600		358
Lowe’s		145,300		3,298
Macy’s		119,000		3,056
Magna International, Cl A		3,600		171
McDonald’s		75,698		5,927
McGraw-Hill		47,400		1,635
NetFlix* (A)		22,221		4,575
News, Cl A		203,800		2,780
NIKE, Cl B (A)		88,750		7,644
Nordstrom		45,396		1,943
Oxford Industries		4,800		119
PetSmart		20,600		780
priceline.com*		23,270		9,170


Description	Shares		Market Value ($ Thousands)

RadioShack		27,400	$	506
Ross Stores (A)		11,800		766
Staples		172,900		3,806
Starbucks		129,968		3,977
Superior Industries International		1,800		35
Target		63,326		3,606
Thor Industries (A)		14,300		422
Timberland, Cl A*		3,200		79
Time Warner		261,200		7,703
Time Warner Cable, Cl A		34,600		2,129
TJX		54,200		2,472
TRW Automotive Holdings*		32,700		1,553
Universal Technical Institute		3,000		62
Urban Outfitters* (A)		143,137		5,409
VF (A)		39,998		3,315
Viacom, Cl B		15,800		598
Walt Disney		71,700		2,618
Warnaco Group* (A)		3,500		189
Whirlpool (A)		23,500		1,716
Wolverine World Wide		2,400		75
Yum! Brands		42,000		2,103

				159,531


Consumer Staples — 7.5%
Altria Group		40,000		960
Archer-Daniels-Midland		106,000		3,073
BJ’s Wholesale Club*		23,700		1,086
Brown-Forman, Cl B (A)		18,000		1,177
Bunge (A)		6,000		365
Coca-Cola		164,473		10,390
Coca-Cola Enterprises		36,500		881
Colgate-Palmolive		35,155		2,691
ConAgra Foods		47,400		1,018
Constellation Brands, Cl A*		68,200		1,406
Corn Products International		31,700		1,367
Costco Wholesale		77,778		5,258
CVS Caremark		157,600		4,885
Dean Foods* (A)		107,000		778
Del Monte Foods		60,500		1,133
Diageo ADR		54,300		3,891
Dr. Pepper Snapple Group		3,600		132
Herbalife		3,000		206
Kellogg		55,200		2,717
Kimberly-Clark		2,900		180
Kraft Foods, Cl A		30,600		926
Kroger		164,000		3,862
Lorillard		10,300		820
Mead Johnson Nutrition, Cl A		46,427		2,766
Molson Coors Brewing, Cl B		12,000		572
PepsiCo		119,546		7,726
Philip Morris International		41,494		2,360
Prestige Brands Holdings*		17,830		210
Procter & Gamble		416,751		25,451
Ralcorp Holdings* (A)		14,300		885
Reynolds American		48,868		1,512
Safeway (A)		145,700		3,350
Sara Lee		12,500		188
Smart Balance*		4,100		15
Smithfield Foods* (A)		56,100		988
Supervalu (A)		60,800		550
Sysco		5,300		154
Tyson Foods, Cl A		95,200		1,507
Walgreen (A)		192,900		6,722


Description	Shares		Market Value ($ Thousands)

Wal-Mart Stores		144,904	$	7,838

				111,996


Energy — 9.3%
Apache		34,400		3,703
BP PLC ADR (A)		44,600		1,784
Cameron International*		49,047		2,360
Canadian Natural Resources		248,593		9,561
Chesapeake Energy (A)		100,500		2,123
Chevron		268,496		21,740
Cimarex Energy		3,800		306
Complete Production Services*		15,200		433
ConocoPhillips		194,271		11,689
Continental Resources* (A)		8,800		470
Denbury Resources* (A)		52,315		951
Devon Energy		56,600		3,994
Diamond Offshore Drilling (A)		5,700		369
El Paso		31,500		425
EOG Resources (A)		79,853		7,103
Exxon Mobil		167,001		11,617
FMC Technologies*		65,556		5,522
Frontier Oil		28,100		436
Halliburton		128,100		4,847
Helmerich & Payne		7,800		354
Hess		56,700		3,972
Holly (A)		5,800		209
Marathon Oil		173,600		5,810
McDermott International*		25,100		460
Murphy Oil		49,600		3,349
Nabors Industries*		18,400		407
National Oilwell Varco		18,900		1,158
Nexen (A)		79,100		1,655
Noble		16,300		553
Occidental Petroleum		37,500		3,306
Oil States International*		25,900		1,537
Overseas Shipholding Group (A)		6,300		220
Patterson-UTI Energy (A)		98,400		1,942
Range Resources		35,468		1,489
RPC (A)		12,400		363
Schlumberger		119,069		9,209
SEACOR Holdings*		3,600		392
Southern Union		11,100		262
Southwestern Energy*		36,351		1,316
Sunoco		5,800		233
Transocean* (A)		68,100		4,565
Unit*		22,000		879
Valero Energy		251,300		4,895
Weatherford International* (A)		30,700		627
Williams		31,600		721

				139,316


Financials — 15.7%
ACE		19,400		1,135
Aflac		73,100		3,765
Agree Realty‡		2,100		59
Allstate		58,500		1,703
American Express		243,200		10,511
American Financial Group		12,100		372
American National Insurance		700		56
Ameriprise Financial		59,960		3,108
Annaly Capital Management‡		44,900		817
Apartment Investment & Management, Cl A‡ (A)		40,300		972


Description	Shares		Market Value ($ Thousands)

Arch Capital Group*		12,500	$	1,129
Assurant		48,700		1,718
Assured Guaranty		5,800		99
Axis Capital Holdings		43,700		1,544
Bank of America		1,344,802		14,726
Bank of New York Mellon		284,817		7,687
Berkshire Hathaway, Cl B*		144,000		11,474
BOK Financial (A)		12,300		574
Brandywine Realty Trust‡		119,300		1,319
Brookfield Asset Management, Cl A		32,100		938
Capital One Financial (A)		196,400		7,312
CapitalSource		4,800		31
Cardinal Financial		4,200		44
CBL & Associates Properties‡ (A)		46,200		762
Charles Schwab		258,879		3,891
Chubb		96,200		5,484
Citigroup*		3,148,900		13,225
CME Group, Cl A		16,600		4,782
CNA Financial*		30,300		782
Comerica (A)		9,700		354
CommonWealth REIT‡		18,150		454
Cowen Group, Cl A*		4,800		20
Credicorp		2,700		324
Duke Realty‡		8,900		99
Endurance Specialty Holdings		23,200		1,023
Equity Residential‡ (A)		21,900		1,095
Everest Re Group		17,500		1,461
Fifth Third Bancorp (A)		159,700		1,908
First Citizens BancShares, Cl A		600		104
First Community Bancshares (A)		5,700		79
Franklin Resources		17,400		1,985
Fulton Financial (A)		51,200		443
Goldman Sachs Group		81,513		12,728
Hartford Financial Services Group		14,800		329
Hospitality Properties Trust‡		62,200		1,376
Host Hotels & Resorts‡		66,100		1,089
Hudson City Bancorp		80,100		909
Huntington Bancshares (A)		108,000		630
Inland Real Estate‡		3,700		31
IntercontinentalExchange*		34,100		3,843
Invesco Mortgage Capital‡		20,600		465
Jones Lang LaSalle		24,600		1,964
JPMorgan Chase		606,867		22,685
Keycorp		218,600		1,646
Lakeland Bancorp (A)		4,600		48
Lincoln National		58,000		1,385
Mack-Cali Realty‡		54,600		1,734
Maiden Holdings		4,600		35
MetLife		82,800		3,159
MFA Mortgage Investments‡ (A)		71,000		579
Montpelier Re Holdings (A)		41,900		825
Moody’s (A)		27,500		738
Morgan Stanley		122,417		2,994
Nelnet, Cl A		10,300		220
NewStar Financial*		4,400		37
NYSE Euronext (A)		136,800		3,737
OceanFirst Financial		2,400		29
OneBeacon Insurance Group, Cl A		2,400		35
Parkway Properties ‡		8,900		141
PartnerRe		11,000		852
Phoenix* (A)		10,400		24


Description	Shares		Market Value ($ Thousands)

Platinum Underwriters Holdings		13,200	$	571
PNC Financial Services Group		98,900		5,326
Presidential Life		6,000		56
Principal Financial Group		6,600		180
Progressive		8,500		173
Prudential Financial		58,200		2,949
Public Storage‡		16,900		1,633
Ramco-Gershenson Properties‡		2,600		30
Rayonier‡		17,700		902
Redwood Trust‡		3,200		44
Regions Financial		59,500		320
RenaissanceRe Holdings		28,200		1,700
Resource Capital‡ (A)		48,100		321
SLM* (A)		114,600		1,324
State Street		77,500		3,348
SunTrust Banks		23,300		544
Symetra Financial		19,500		236
T. Rowe Price Group (A)		16,100		939
Taubman Centers‡ (A)		29,100		1,412
Torchmark (A)		20,300		1,167
Transatlantic Holdings		23,400		1,184
Travelers		104,805		5,658
Unitrin		4,700		111
Unum Group		74,100		1,592
US Bancorp		171,600		4,081
Validus Holdings		30,900		903
Vornado Realty Trust‡		14,000		1,142
Washington Federal		12,100		179
Wells Fargo		821,462		22,352
WR Berkley		5,700		152
XL Group, Cl A		45,000		885

				235,049


Health Care — 13.1%
Abbott Laboratories		185,500		8,628
Aetna		249,600		7,393
Agilent Technologies*		15,600		546
Allergan		194,045		12,859
AmerisourceBergen		28,800		888
Amgen*		219,947		11,589
Baxter International		23,200		1,126
Becton Dickinson		17,800		1,387
Biogen Idec*		57,400		3,672
Bristol-Myers Squibb		180,600		4,558
Bruker* (A)		22,500		347
C.R. Bard		1,900		161
Cardinal Health		48,300		1,718
CareFusion*		8,000		183
Celgene*		70,921		4,211
CIGNA		27,400		1,009
Covance* (A)		112,387		5,047
Coventry Health Care*		24,300		615
Covidien		75,638		3,182
Cyberonics*		1,900		51
DaVita*		60,768		4,418
Eli Lilly (A)		102,200		3,440
Endo Pharmaceuticals Holdings*		14,300		515
Express Scripts*		36,545		1,904
Forest Laboratories*		60,100		1,917
Gilead Sciences*		114,750		4,189
Health Net*		32,400		875
Hill-Rom Holdings		5,800		230
Humana *		44,210		2,478


Description	Shares		Market Value ($ Thousands)

Idexx Laboratories* (A)		60,517	$	3,886
Impax Laboratories*		19,000		338
Intuitive Surgical* (A)		22,355		5,819
Invacare (A)		8,700		235
Johnson & Johnson		317,116		19,518
Kinetic Concepts*		13,100		520
King Pharmaceuticals*		34,000		481
Laboratory Corp of America Holdings* (A)		26,722		2,192
Life Technologies*		24,100		1,200
McKesson		13,400		856
Medco Health Solutions* (A)		131,500		8,064
Medicines*		10,400		137
Medidata Solutions*		1,800		36
Medtronic		248,200		8,322
Merck		327,870		11,302
Mettler Toledo International*		400		58
Novo Nordisk ADR (A)		40,200		3,997
Orthofix International*		1,100		30
Par Pharmaceutical*		3,200		115
Perrigo (A)		36,000		2,169
Pfizer		806,361		13,136
Questcor Pharmaceuticals* (A)		4,000		57
Sirona Dental Systems*		13,100		495
St. Jude Medical*		14,700		569
SXC Health Solutions*		11,300		433
Thermo Fisher Scientific*		49,460		2,516
United Therapeutics*		800		50
UnitedHealth Group		387,191		14,140
Waters*		6,450		496
Watson Pharmaceuticals*		14,300		697
WellPoint*		74,000		4,125
Zimmer Holdings*		22,500		1,108

				196,233


Industrials — 10.1%
3M		136,774		11,486
ABB ADR		221,723		4,293
Aircastle		3,500		33
Amerco*		600		58
Ametek		7,500		444
Applied Industrial Technologies		3,300		99
Atlas Air Worldwide Holdings*		1,600		88
Avery Dennison		7,400		278
Boeing		60,714		3,872
Caterpillar		34,290		2,901
Chicago Bridge & Iron*		12,500		354
Cooper Industries, Cl A		13,970		761
Copart*		1,500		53
Crane		13,800		517
CSX		35,900		2,183
Cubic		1,300		59
Cummins		34,570		3,358
Danaher		152,833		6,610
Deere		15,500		1,158
Delta Air Lines*		5,700		78
Dover		18,100		992
Dun & Bradstreet		13,600		1,025
Eaton		18,300		1,764
Emerson Electric		58,036		3,196
EnerSys*		900		27
Ennis		5,700		97


Description	Shares		Market Value ($ Thousands)

Expeditors International Washington		73,200	$	3,872
FedEx		20,500		1,868
Fluor (A)		75,690		4,377
Franklin Electric		1,200		47
Gardner Denver		23,700		1,551
General Dynamics		68,300		4,514
General Electric		1,077,653		17,059
Goodrich		80,500		6,905
Graco (A)		38,600		1,388
Honeywell International		10,100		502
Hubbell, Cl B		2,400		136
IDEX (A)		7,100		266
ITT		32,000		1,472
KBR		76,400		2,069
Kennametal		8,100		274
L-3 Communications Holdings, Cl 3		40,000		2,813
Lockheed Martin		27,400		1,864
NACCO Industries, Cl A		1,600		148
Nordson		1,400		111
Norfolk Southern		25,900		1,558
Northrop Grumman		86,759		5,351
Oshkosh Truck*		14,400		413
Parker Hannifin		22,900		1,837
Polypore International*		7,800		248
Precision Castparts		25,641		3,540
Quanta Services*		165,500		2,914
Raytheon		76,400		3,534
Republic Services, Cl A		7,900		222
Rockwell Automation		15,900		1,051
Rockwell Collins		52,914		2,967
Roper Industries		66,507		4,816
RR Donnelley & Sons		83,300		1,313
Sauer-Danfoss*		1,200		37
Stericycle* (A)		64,605		4,774
Thomas & Betts*		1,000		44
Timken		30,800		1,342
Toro (A)		6,200		361
Tyco International		25,200		955
Union Pacific		32,300		2,911
United Continental Holdings* (A)		127,200		3,521
United Parcel Service, Cl B		7,600		533
United Technologies		121,363		9,135
WABCO Holdings*		8,800		437
WW Grainger (A)		11,200		1,399

				152,233


Information Technology — 22.0%
Accenture, Cl A		104,833		4,541
Acme Packet*		14,100		691
Activision Blizzard		157,100		1,844
Adobe Systems*		267,744		7,425
Akamai Technologies* (A)		19,300		1,007
Amdocs*		33,800		879
Amphenol, Cl A		90,349		4,520
Ansys* (A)		57,272		2,778
Apple*		119,056		37,044
Applied Materials		38,400		477
Arrow Electronics*		38,000		1,178
Autodesk*		101,900		3,596
Avnet*		23,100		708
AVX		7,500		107


Description	Shares		Market Value ($ Thousands)

Brightpoint*		10,700	$	88
Broadcom, Cl A		27,000		1,201
CA		12,500		286
Check Point Software Technologies* (A)		67,748		2,904
Cisco Systems*		973,804		18,658
Citrix Systems*		151,993		10,095
Cognizant Technology Solutions, Cl A*		65,083		4,229
Computer Sciences		31,100		1,388
Comtech Telecommunications		6,800		202
Corning		291,083		5,140
DST Systems		31,600		1,354
eBay* (A)		131,300		3,825
EchoStar, Cl A*		3,400		69
EMC*		607,181		13,048
F5 Networks*		25,705		3,390
Factset Research Systems		2,700		239
Genpact*		224,258		3,122
Google, Cl A*		23,340		12,970
Harris		46,600		2,062
Hewlett-Packard		168,349		7,059
IAC* (A)		37,400		1,053
Ingram Micro, Cl A*		53,100		948
Intel		485,148		10,246
International Business Machines		55,232		7,813
Intuit*		158,200		7,102
Itron*		7,700		437
Jabil Circuit		12,500		189
Juniper Networks*		59,100		2,011
Lam Research*		19,200		870
Linear Technology (A)		1,700		56
Loral Space & Communications*		1,100		80
Marvell Technology Group*		66,200		1,277
Mastercard, Cl A		43,627		10,341
Micron Technology* (A)		93,000		675
Microsoft		820,985		20,697
MKS Instruments*		1,800		37
Motorola*		119,900		918
Multi-Fineline Electronix*		1,200		28
National Instruments		3,000		102
National Semiconductor		12,700		170
NetApp* (A)		131,900		6,718
NeuStar, Cl A*		6,600		171
Nortel Networks*		5		—
Novatel Wireless*		5,700		56
Novellus Systems*		7,300		220
Nuance Communications* (A)		210,200		3,715
Opnet Technologies		1,700		41
Oracle		244,279		6,605
Plantronics		3,950		141
Polycom* (A)		76,800		2,842
Power-One* (A)		15,500		147
Qualcomm		463,195		21,650
Rackspace Hosting* (A)		79,500		2,319
Red Hat*		65,300		2,841
Research In Motion*		56,500		3,494
Rovi*		8		—
SAIC*		50,000		766
Salesforce.com* (A)		48,326		6,728
SanDisk*		18,000		803
Seagate Technology*		30,200		405
Symantec*		26,700		449


Description	Shares		Market Value ($ Thousands)

Synopsys*		23,300	$	599
Tech Data*		17,900		789
Teradata*		79,300		3,258
Texas Instruments (A)		555,266		17,658
Trimble Navigation*		68,180		2,539
Tyco Electronics		41,000		1,247
VeriSign* (A)		131,300		4,505
Visa, Cl A (A)		136,869		10,108
Vishay Intertechnology*		40,700		580
Vishay Precision Group*		2,907		49
VistaPrint*		700		28
Western Digital*		26,800		898
Western Union		35,610		628
Xerox		222,800		2,553
Yahoo!*		3,200		51
Zebra Technologies, Cl A*		25,100		915

				329,690


Materials — 3.5%
Air Products & Chemicals		10,500		905
Alcoa		98,600		1,294
Allegheny Technologies (A)		74,352		3,844
Ashland		36,700		1,867
Ball		10,300		678
Cabot		5,500		197
Celanese, Cl A		28,300		1,047
CF Industries Holdings		4,400		531
Cytec Industries		32,200		1,540
Dow Chemical (A)		62,100		1,936
E.I. Du Pont de Nemours		40,800		1,917
Eastman Chemical		24,300		1,891
Ecolab		17,300		827
Freeport-McMoRan Copper & Gold, Cl B		74,158		7,514
International Flavors & Fragrances		7,800		410
International Paper		79,700		1,990
Lubrizol		22,300		2,332
MeadWestvaco		1,200		30
Monsanto		87,825		5,263
Mosaic		10,400		703
Nalco Holding (A)		141,400		4,160
Nucor		16,400		619
Omnova Solutions*		7,000		62
Owens-Illinois*		16,800		452
PolyOne*		4,600		57
Potash Corp of Saskatchewan		12,800		1,840
Praxair		7,900		727
Rock-Tenn, Cl A		12,550		679
Schnitzer Steel Industries, Cl A		10,600		605
Sealed Air		48,000		1,116
Sonoco Products		24,500		803
Southern Copper		23,000		964
Spartech*		5,340		51
Syngenta ADR		68,800		3,833

				52,684


Telecommunication Services — 2.9%
AboveNet* (A)		400		23
American Tower, Cl A*		98,680		4,990
AT&T		673,646		18,721
CenturyLink (A)		12,500		537


Description	Shares		Market Value ($ Thousands)

Crown Castle International*		123,200	$	5,118
NII Holdings*		18,600		721
Sprint Nextel*		392,800		1,485
Telephone & Data Systems		27,400		978
USA Mobility		1,500		25
Verizon Communications		334,172		10,697

				43,295


Utilities — 2.9%
AES*		699,387		7,561
AGL Resources		7,600		279
Alliant Energy		6,100		222
Ameren		28,100		807
American Electric Power		111,100		3,955
American Water Works		27,800		681
Atmos Energy		11,200		337
CMS Energy (A)		25,200		453
Constellation Energy Group		7,700		218
Dominion Resources		38,000		1,578
DPL		43,800		1,109
DTE Energy		14,900		664
Duke Energy		85,200		1,495
Edison International		94,700		3,498
Energen		26,600		1,159
Entergy		52,800		3,762
Exelon		128,900		5,075
FirstEnergy (A)		23,400		822
Mirant*		40,300		400
NextEra Energy		4,400		223
NiSource (A)		62,000		1,037
NRG Energy*		40,100		777
NV Energy		22,700		311
OGE Energy		39,000		1,736
Pinnacle West Capital		10,000		404
Portland General Electric		17,900		379
PPL		9,500		241
Public Service Enterprise Group		125,700		3,875
TECO Energy		5,700		95

				43,153

Total Common Stock (Cost $1,305,384) ($ Thousands)				1,463,180


AFFILIATED PARTNERSHIP — 10.6%
SEI Liquidity Fund, L.P. 0.210%(B)**†		159,125		158,265

Total Affiliated Partnership (Cost $159,125) ($ Thousands)				158,265


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		35,734		35,734

Total Cash Equivalent (Cost $35,734) ($ Thousands)				35,734


U.S. TREASURY OBLIGATION (C)(D) — 0.7%
U.S. Treasury Bill
0.102%, 12/16/10		10,912		10,912

Total U.S. Treasury Obligation (Cost $10,912) ($ Thousands)				10,912


Description	Market Value ($ Thousands)

Total Investments — 111.3% (Cost $1,511,155) ($ Thousands)		$ 1,668,091

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P Composite Index		73		Dec-2010	$	1,363
S&P Mid 400 Index E-MINI		41		Dec-2010		368

					$	1,731

For the period ended November 30, 2010, 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 $1,498,857 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $154,226 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $158,265 ($ Thousands).

(C)

Zero coupon security. 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.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PLC — Public Company Limited

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

Ser — Series

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,463,180	$	—	$	—	$	1,463,180
Affiliated Partnership		—		158,265		—		158,265
Cash Equivalent		35,734		—		—		35,734
U.S. Treasury Obligation		—		10,912		—		10,912

Total Investments in Securities	$	1,498,914	$	169,177	$	—	$	1,668,091


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,731	$	—	$	—	$	1,731

Total Other Financial Instruments	$	1,731	$	—	$	—	$	1,731

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

For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.5%

Consumer Discretionary — 11.5%
Aaron’s		1,800	$	36
Advance Auto Parts		1,600		106
Aeropostale*		2,600		70
Amazon.com*		12,275		2,153
Apollo Group, Cl A*		45,000		1,530
Asbury Automotive Group*		400		6
Autoliv		3,000		220
AutoNation*		600		16
AutoZone*		3,900		1,012
Best Buy		28,923		1,236
BorgWarner*		1,000		60
Brinker International		1,900		39
Cablevision Systems, Cl A		300		9
Career Education*		11,100		197
Carmax*		400		13
Carnival		6,500		269
CBS, Cl B		19,200		323
CEC Entertainment*		600		22
Chipotle Mexican Grill, Cl A*		600		155
Coach		25,400		1,436
Comcast, Cl A		43,900		878
Darden Restaurants		3,300		162
Deckers Outdoor*		9,800		754
DeVry		1,100		47
Dick’s Sporting Goods*		600		20
DIRECTV, Cl A*		50,638		2,103
Discovery Communications, Cl A*		700		29
DISH Network, Cl A*		900		17
Dollar General*		1,100		36
Dollar Tree*		18,300		1,006
Eastman Kodak*		145,800		687
Family Dollar Stores		16,600		833
Federal Mogul, Cl A*		1,711		32
Foot Locker		4,300		81
Ford Motor*		190,372		3,034
Fortune Brands		300		18
Fossil*		8,800		595
Gannett		2,700		35
Gap		24,900		532
Garmin		2,000		58
General Motors*		8,100		277
Genuine Parts		1,000		48
H&R Block		12,081		152
Hasbro		3,600		172
Helen of Troy*		3,000		71
Hillenbrand		700		13
Home Depot		11,800		356
Hyatt Hotels, Cl A*		900		38
International Speedway, Cl A		600		14
Interpublic Group*		1,500		16
iRobot*		800		16
ITT Educational Services*		8,200		480
Jo-Ann Stores*		300		15
John Wiley & Sons, Cl A		1,100		46
Johnson Controls		11,500		419
Kirkland’s*		700		8
Kohl’s*		400		22
Las Vegas Sands*		1,800		90
Lear*		200		18
Liberty Global, Cl A*		300		11


Description	Shares		Market Value ($ Thousands)

Liberty Media - Capital, Ser A*		2,800	$	161
Liberty Media - Interactive, Cl A*		5,500		85
Liberty Media - Starz, Ser A*		2,610		164
Limited Brands		8,700		293
Lincoln Educational Services		1,400		21
LKQ*		2,600		56
Lowe’s		48,900		1,110
Macy’s		7,700		198
Marriott International, Cl A		2,400		94
Mattel		2,100		54
McDonald’s		16,600		1,300
McGraw-Hill		500		17
MGM Resorts International*		700		9
Mohawk Industries*		200		10
NetFlix*		700		144
Newell Rubbermaid		5,234		88
News, Cl A		18,000		246
NIKE, Cl B		27,750		2,390
O’Reilly Automotive*		3,200		193
Oxford Industries		1,700		42
Panera Bread, Cl A*		900		90
PetSmart		3,200		121
Phillips-Van Heusen		400		27
Polo Ralph Lauren, Cl A		100		11
priceline.com*		5,924		2,334
Ross Stores		3,000		195
Royal Caribbean Cruises*		200		8
Scripps Networks Interactive, Cl A		1,000		51
Sears Holdings*		500		33
Service International		2,500		20
Stanley Black & Decker		982		58
Staples		57,000		1,255
Starbucks		3,500		107
Starwood Hotels & Resorts Worldwide		2,700		153
Strayer Education		100		14
Superior Industries International		600		12
Target		12,400		706
Tempur-Pedic International*		900		32
Thomson Reuters		3,600		131
Thor Industries		3,100		92
Tim Hortons		18,300		722
Timberland, Cl A*		900		22
Time Warner		73,135		2,157
Time Warner Cable, Cl A		9,440		581
TJX		8,000		365
Tractor Supply		800		34
TRW Automotive Holdings*		12,217		580
Urban Outfitters*		1,200		45
VF		3,700		307
Viacom, Cl B		54,719		2,070
Virgin Media		1,500		38
Walt Disney		8,062		294
Warnaco Group*		700		38
Whirlpool		700		51
Williams-Sonoma		2,600		86
Wolverine World Wide		600		19
Wynn Resorts		900		91
Yum! Brands		18,100		906

				42,678


Description	Shares		Market Value ($ Thousands)

Consumer Staples — 8.3%
Altria Group		50,144	$	1,203
Archer-Daniels-Midland		5,500		159
Brown-Forman, Cl B		2,400		157
Bunge		200		12
Campbell Soup		1,300		44
Church & Dwight		1,600		104
Clorox		400		25
Coca-Cola		33,500		2,116
Coca-Cola Enterprises		26,294		635
Colgate-Palmolive		1,000		77
ConAgra Foods		7,400		159
Constellation Brands, Cl A*		800		17
Corn Products International		11,400		491
CVS Caremark		15,304		474
Dean Foods*		23,900		174
Del Monte Foods		5,600		105
Diageo ADR		15,500		1,111
Dr. Pepper Snapple Group		3,500		128
Estee Lauder, Cl A		3,000		225
General Mills		4,800		170
Green Mountain Coffee Roasters*		100		4
Hansen Natural*		1,900		101
Herbalife		10,400		714
Hershey		3,100		145
HJ Heinz		2,300		111
Hormel Foods		3,945		194
JM Smucker		1,300		82
Kellogg		16,800		827
Kimberly-Clark		3,785		234
Kraft Foods, Cl A		3,660		111
Kroger		41,200		970
Lorillard		2,100		167
McCormick		1,300		57
Mead Johnson Nutrition, Cl A		4,800		286
Molson Coors Brewing, Cl B		3,200		152
PepsiCo		38,136		2,465
Philip Morris International		47,727		2,715
Prestige Brands Holdings*		2,300		27
Procter & Gamble		78,700		4,806
Ralcorp Holdings*		700		43
Reynolds American		6,900		214
Safeway		20,900		481
Sara Lee		41,220		618
Smart Balance*		1,800		7
Smithfield Foods*		14,000		246
Sysco		13,400		389
Tyson Foods, Cl A		82,421		1,305
Walgreen		41,500		1,446
Wal-Mart Stores		82,581		4,467
Whole Foods Market*		1,100		52

				31,022


Energy — 8.6%
Anadarko Petroleum		900		58
Apache		4,444		478
Arch Coal		400		12
Baker Hughes		561		29
BP PLC ADR		13,800		552
Cameron International*		200		10
Chesapeake Energy		7,200		152
Chevron		73,643		5,963


Description	Shares		Market Value ($ Thousands)

Cimarex Energy		2,300	$	185
Complete Production Services*		3,400		97
Concho Resources*		500		41
ConocoPhillips		77,550		4,666
Continental Resources*		2,000		107
Core Laboratories		1,400		120
Denbury Resources*		7,000		127
Devon Energy		4,400		311
Dresser-Rand Group*		300		11
El Paso		8,600		116
EOG Resources		18,100		1,610
EQT		400		16
Exterran Holdings*		2,500		57
Exxon Mobil		95,200		6,622
FMC Technologies*		200		17
Forest Oil*		800		27
Frontier Oil		5,700		89
Frontline		400		10
Halliburton		35,415		1,340
Helmerich & Payne		1,500		68
Hess		16,300		1,142
Holly		1,600		58
Marathon Oil		75,394		2,524
McDermott International*		6,200		114
Murphy Oil		6,700		452
Nabors Industries*		4,000		88
Newfield Exploration*		200		13
Occidental Petroleum		3,800		335
Oil States International*		1,600		95
Patterson-UTI Energy		16,000		316
Pioneer Natural Resources		2,500		200
QEP Resources		1,700		60
Rowan*		500		15
RPC		2,500		73
Schlumberger		6,998		541
SEACOR Holdings*		1,000		109
SM Energy		300		15
Southern Union		2,000		47
Southwestern Energy*		400		15
Spectra Energy		900		21
Sunoco		3,100		124
Superior Energy Services*		900		30
Transocean*		18,825		1,262
Valero Energy		62,864		1,225
Weatherford International*		8,000		163
Whiting Petroleum*		800		88

				32,016


Financials — 13.6%
ACE		2,100		123
Aflac		26,450		1,362
Agree Realty‡		700		20
Alexandria Real Estate Equities‡		800		53
Alleghany*		200		60
Allstate		2,000		58
American Express		94,359		4,078
American Financial Group		11,600		357
American International Group*		300		12
American National Insurance		200		16
Ameriprise Financial		19,700		1,021
Annaly Capital Management‡		800		15
Apartment Investment & Management, Cl A‡		4,100		99


Description	Shares		Market Value ($ Thousands)

Arch Capital Group*		9,000	$	813
Ares Capital		30,946		508
Ashford Hospitality Trust‡*		900		9
Associated Banc		5,400		69
Assurant		9,300		328
Assured Guaranty		800		14
AvalonBay Communities‡		603		67
Axis Capital Holdings		18,600		657
Bancorp Rhode Island		200		6
Bank of America		146,275		1,602
Bank of Hawaii		500		22
Bank of New York Mellon		44,050		1,189
BB&T		4,300		100
Berkshire Hathaway, Cl B*		16,300		1,299
Boston Properties‡		100		8
Brandywine Realty Trust‡		9,800		108
BRE Properties‡		1,400		60
Capital One Financial		51,100		1,902
CapitalSource		4,900		32
CB Richard Ellis Group, Cl A*		2,300		44
Chimera Investment‡		418,048		1,672
Chubb		19,200		1,095
Cincinnati Financial		5,500		166
CIT Group*		2,200		87
Citigroup*		374,600		1,573
City National		1,100		59
CME Group, Cl A		4,400		1,267
Comerica		5,200		190
Commerce Bancshares		1,100		41
CommonWealth REIT‡		3,725		93
Community Trust Bancorp		300		8
Credicorp		5,400		647
Cullen/Frost Bankers		1,800		96
Developers Diversified Realty‡		1,200		15
Digital Realty Trust‡		1,100		58
Douglas Emmett‡		1,200		20
East West Bancorp		18,476		320
Equity Residential‡		3,300		165
Erie Indemnity, Cl A		1,000		63
Essex Property Trust‡		300		33
Federal Realty Investment Trust‡		100		8
Fidelity National Financial, Cl A		4,500		61
Fifth Third Bancorp		46,200		552
First Citizens BancShares, Cl A		1,342		233
First Community Bancshares		700		10
Forest City Enterprises, Cl A*		900		14
Franklin Resources		7,200		822
Fulton Financial		19,700		170
General Growth Properties‡		600		10
Genworth Financial, Cl A*		11,400		133
Goldman Sachs Group		8,890		1,388
Hospitality Properties Trust‡		26,526		587
Host Hotels & Resorts‡		6,626		109
Howard Hughes*		169		7
Huntington Bancshares		18,300		107
IntercontinentalExchange*		11,500		1,296
Invesco Mortgage Capital‡		5,600		126
Jones Lang LaSalle		11,100		886
JPMorgan Chase		127,753		4,775
Keycorp		13,900		105
Kimco Realty‡		800		13
Lincoln National		400		10
Loews		2,000		75


Description	Shares		Market Value ($ Thousands)

M&T Bank		4,823	$	371
Macerich‡		513		24
Mack-Cali Realty‡		8,800		279
Maiden Holdings		3,300		25
Markel*		100		35
Marshall & Ilsley		13,400		64
MBIA*		5,700		57
MetLife		14,500		553
MFA Mortgage Investments‡		15,600		127
Montpelier Re Holdings		2,600		51
Morgan Stanley		10,400		254
NASDAQ OMX Group*		1,100		24
Nationwide Health Properties‡		100		4
Nelnet, Cl A		1,300		28
New York Community Bancorp		60,560		1,017
NewStar Financial*		800		7
Northern Trust		200		10
NYSE Euronext		37,185		1,016
Old Republic International		7,300		92
OneBeacon Insurance Group, Cl A		700		10
Parkway Properties‡		1,700		27
PartnerRe		100		8
Phoenix*		3,100		7
Plum Creek Timber‡		1,900		69
PNC Financial Services Group		10,676		575
Presidential Life		1,700		16
Progressive		3,900		79
Protective Life		100		2
Prudential Financial		26,709		1,354
Public Storage‡		1,100		106
Ramco-Gershenson Properties‡		1,000		12
Raymond James Financial		1,000		29
Rayonier‡		300		15
Realty Income‡		3,500		119
Regions Financial		39,100		210
Reinsurance Group of America, Cl A		300		15
RenaissanceRe Holdings		13,242		798
Resource Capital‡		10,200		68
Simon Property Group‡		217		21
SL Green Realty‡		2,705		177
SLM*		5,600		65
StanCorp Financial Group		900		38
State Street		4,700		203
SunTrust Banks		2,800		66
Symetra Financial		5,300		64
T. Rowe Price Group		12,900		753
Taubman Centers‡		100		5
TCF Financial		3,700		50
Torchmark		1,400		81
Transatlantic Holdings		200		10
Travelers		16,400		885
UDR‡		6,100		136
Unitrin		3,100		73
Unum Group		3,600		77
US Bancorp		11,600		276
Valley National Bancorp		5,500		70
Ventas‡		500		26
Vornado Realty Trust‡		100		8
Washington Federal		4,800		71
Wells Fargo		159,137		4,330
WesBanco		1,000		18


Description	Shares		Market Value ($ Thousands)

WR Berkley		4,600	$	123
Zions Bancorporation		6,500		127

				50,586


Health Care — 12.0%
Abbott Laboratories		50,950		2,370
Aetna		64,900		1,922
Agilent Technologies*		7,100		249
Alexion Pharmaceuticals*		1,500		115
Allergan		25,500		1,690
AMERIGROUP*		7,200		310
AmerisourceBergen		32,626		1,006
Amgen*		63,427		3,342
Becton Dickinson		4,400		343
Biogen Idec*		23,930		1,531
BioMarin Pharmaceutical*		3,200		87
Bio-Rad Laboratories, Cl A*		100		9
Bristol-Myers Squibb		14,900		376
Bruker*		4,500		69
C.R. Bard		1,200		102
Cardinal Health		74,011		2,633
CareFusion*		2,400		55
Celgene*		3,700		220
Cephalon*		7,700		489
Cerner*		200		18
CIGNA		800		29
Cooper		300		16
Covance*		300		13
Coventry Health Care*		400		10
Covidien		20,606		867
Cyberonics*		700		19
DaVita*		300		22
Dendreon*		900		32
Edwards Lifesciences*		3,800		252
Eli Lilly		34,745		1,170
Express Scripts*		2,300		120
Forest Laboratories*		9,400		300
Gen-Probe*		1,400		73
Genzyme*		792		56
Gilead Sciences*		32,425		1,183
Health Net*		26,600		718
Hill-Rom Holdings		2,800		111
Hospira*		2,900		163
Humana*		15,300		857
Illumina*		800		48
Impax Laboratories*		3,200		57
Intuitive Surgical*		1,500		390
Invacare		1,600		43
Johnson & Johnson		71,858		4,423
Kinetic Concepts*		500		20
Laboratory Corp of America Holdings*		400		33
Life Technologies*		5,000		249
Lincare Holdings		2,550		66
McKesson		19,751		1,262
Medco Health Solutions*		41,000		2,514
Medicines*		2,100		28
Medidata Solutions*		1,000		20
Medtronic		72,625		2,435
Merck		41,663		1,436
Mettler Toledo International*		800		116
Mylan Laboratories*		9,100		178
Novo Nordisk ADR		12,900		1,283


Description	Shares		Market Value ($ Thousands)

Orthofix International*		800	$	22
Par Pharmaceutical*		700		25
Patterson		1,600		48
PerkinElmer		1,700		40
Perrigo		14,600		879
Pfizer		81,295		1,324
Pharmaceutical Product Development		3,200		80
Questcor Pharmaceuticals*		1,500		21
Regeneron Pharmaceuticals*		300		8
ResMed*		5,400		172
Sirona Dental Systems*		3,100		117
St. Jude Medical*		3,600		139
Stryker		3,500		175
SXC Health Solutions*		2,800		107
Teleflex		600		30
Thermo Fisher Scientific*		7,200		366
Thoratec*		1,900		48
United Therapeutics*		300		19
UnitedHealth Group		64,500		2,356
Universal Health Services, Cl B		700		29
Varian Medical Systems*		2,500		165
Waters*		2,700		208
Watson Pharmaceuticals*		500		24
WellPoint*		14,972		835
Zimmer Holdings*		500		25

				44,810


Industrials — 9.2%
3M		28,900		2,427
AGCO*		300		14
Amerco*		200		19
Ametek		3,900		231
Applied Industrial Technologies		1,000		30
Atlas Air Worldwide Holdings*		400		22
Avery Dennison		1,500		56
BE Aerospace*		900		32
Boeing		4,700		300
Bucyrus International, Cl A		600		54
C.H. Robinson Worldwide		200		15
Caterpillar		1,300		110
Chicago Bridge & Iron*		3,100		88
Cooper Industries, Cl A		3,900		213
Copart*		400		14
Crane		3,800		142
CSX		9,600		584
Cubic		400		18
Cummins		1,100		107
Danaher		4,900		212
Deere		5,800		433
Delta Air Lines*		3,000		41
Donaldson		600		33
Dover		4,700		258
Eaton		5,300		511
Emerson Electric		7,600		418
Ennis		1,400		24
Equifax		2,200		76
Expeditors International Washington		26,200		1,386
Fastenal		2,800		150
FedEx		2,600		237
Fluor		400		23
Franklin Electric		200		8


Description	Shares		Market Value ($ Thousands)

Gardner Denver		9,300	$	609
General Dynamics		7,900		522
General Electric		187,600		2,970
Goodrich		25,900		2,221
Honeywell International		6,800		338
Hubbell, Cl B		400		23
IDEX		1,200		45
IHS, Cl A*		200		15
ITT		2,500		115
Jacobs Engineering Group*		300		12
Joy Global		7,849		599
Kansas City Southern*		1,300		62
KBR		23,700		642
Kennametal		1,900		64
Kirby*		1,300		58
L-3 Communications Holdings, Cl 3		2,000		141
Landstar System		1,000		36
Lennox International		700		31
Lockheed Martin		12,700		864
Manitowoc		2,100		23
NACCO Industries, Cl A		400		37
Navistar International*		7,000		358
Nordson		400		32
Norfolk Southern		5,600		337
Northrop Grumman		21,100		1,302
Oshkosh Truck*		25,100		720
Owens Corning*		40,276		1,059
Paccar		1,200		65
Parker Hannifin		4,900		393
Polypore International*		1,800		57
Precision Castparts		900		124
Quanta Services*		47,100		829
Raytheon		17,500		809
Regal-Beloit		200		12
Republic Services, Cl A		33,263		936
Rockwell Automation		6,100		403
Rockwell Collins		2,300		129
Roper Industries		500		36
Ryder System		13,000		560
Sauer-Danfoss*		500		15
Shaw Group*		400		13
Southwest Airlines		11,800		157
Spirit Aerosystems Holdings, Cl A*		900		18
SPX		400		26
Stericycle*		400		30
Thomas & Betts*		900		40
Timken		22,187		966
Toro		2,200		128
TransDigm Group*		1,500		103
Tyco International		15,103		572
Union Pacific		8,600		775
United Continental Holdings*		63,986		1,771
United Parcel Service, Cl B		3,600		252
United Technologies		31,000		2,333
Verisk Analytics, Cl A*		100		3
WABCO Holdings*		3,200		159
Waste Connections		2,350		61
Waste Management		5,917		203
WESCO International*		1,400		67
WW Grainger		5,000		624

				34,190


Description	Shares		Market Value ($ Thousands)

Information Technology — 23.0%
Accenture, Cl A		1,400	$	61
Acme Packet*		3,100		152
Activision Blizzard		77,200		906
Adobe Systems*		58,700		1,628
Advanced Micro Devices*		69,315		505
Akamai Technologies*		7,900		412
Alliance Data Systems*		100		6
Altera		1,100		39
Amdocs*		21,000		546
Apple*		29,014		9,028
Applied Materials		8,300		103
Arrow Electronics*		20,300		630
Atmel*		49,811		517
Autodesk*		28,200		995
Automatic Data Processing		200		9
Avago Technologies		3,700		97
Avnet*		3,000		92
AVX		2,200		31
BMC Software*		200		9
Brightpoint*		3,300		27
Broadcom, Cl A		7,100		316
CA		3,000		69
CGI Group, Cl A*		15,900		249
Cisco Systems*		191,700		3,673
Citrix Systems*		1,700		113
Cognizant Technology Solutions, Cl A*		25,042		1,627
Computer Sciences		3,100		138
Compuware*		1,200		12
Comtech Telecommunications		1,900		56
Corning		17,000		300
Cree*		3,300		215
Dell*		27,000		357
Dolby Laboratories, Cl A*		2,000		127
eBay*		40,500		1,180
EchoStar, Cl A*		1,700		34
Electronics for Imaging*		1,200		16
EMC*		138,100		2,968
F5 Networks*		4,000		527
Factset Research Systems		1,000		89
Fidelity National Information Services		859		23
First Solar*		300		37
Flextronics International*		67,700		491
FLIR Systems*		100		3
Google, Cl A*		4,350		2,417
Harris		5,800		257
Hewlett-Packard		57,025		2,391
IAC*		26,800		755
Ingram Micro, Cl A*		29,600		528
Intel		143,100		3,022
International Business Machines		49,958		7,067
Intuit*		48,600		2,182
IPG Photonics*		400		11
Itron*		1,700		97
Jabil Circuit		64,515		975
JDS Uniphase*		8,100		96
Juniper Networks*		1,900		65
Lam Research*		10,800		490
Lexmark International, Cl A*		2,600		94
Linear Technology		1,000		33


Description	Shares		Market Value ($ Thousands)

Liquidity Services*		500	$	8
Loral Space & Communications*		400		29
Marvell Technology Group*		16,300		314
Mastercard, Cl A		6,750		1,600
MEMC Electronic Materials*		1,000		12
Microchip Technology		500		17
Micron Technology*		120,882		878
Micros Systems*		900		39
Microsoft		354,864		8,946
MKS Instruments*		400		8
Multi-Fineline Electronix*		500		12
National Instruments		1,900		65
National Semiconductor		3,300		44
NCR*		1,200		17
NetApp*		3,200		163
Novatel Wireless*		1,600		15
Novell*		6,700		40
Novellus Systems*		2,200		66
Nuance Communications*		61,700		1,090
Opnet Technologies		500		12
Oracle		40,000		1,082
Plantronics		900		32
Polycom*		24,200		896
Power-One*		3,300		31
QLogic*		18,500		331
Qualcomm		104,575		4,888
Rackspace Hosting*		22,600		659
Red Hat*		18,100		787
Research In Motion*		23,700		1,466
Rovi*		300		17
Salesforce.com*		2,000		278
SanDisk*		29,244		1,304
Skyworks Solutions*		700		18
Synopsys*		5,200		134
Tellabs		4,000		25
Teradata*		25,600		1,052
Texas Instruments		139,600		4,439
Trimble Navigation*		200		7
Tyco Electronics		9,600		292
VeriSign*		45,000		1,544
Visa, Cl A		37,200		2,747
Vishay Intertechnology*		51,150		729
VMware, Cl A*		2,000		163
WebMD Health, Cl A*		1,588		82
Western Union		8,300		147
Xerox		21,335		245
Xilinx		900		24
Yahoo!*		700		11
Zebra Technologies, Cl A*		2,200		80

				85,778


Materials — 3.5%
Air Products & Chemicals		2,300		198
Airgas		400		24
Albemarle		1,100		59
Alcoa		21,800		286
Allegheny Technologies		3,000		155
Aptargroup		600		27
Ball		1,981		130
Cabot		13,685		490
Carpenter Technology		1,800		66
Celanese, Cl A		6,500		241
CF Industries Holdings		900		109


Description	Shares		Market Value ($ Thousands)

Cliffs Natural Resources		10,721	$	733
Compass Minerals International		1,100		91
Crown Holdings*		500		16
Cytec Industries		3,885		186
Dow Chemical		6,927		216
E.I. Du Pont de Nemours		5,100		240
Eastman Chemical		10,100		786
Ecolab		4,200		201
FMC		800		62
International Flavors & Fragrances		3,400		179
International Paper		9,800		245
Lubrizol		12,742		1,332
Methanex		10,500		308
Monsanto		24,575		1,473
Mosaic		2,300		156
Nalco Holding		38,800		1,141
Newmont Mining		19,506		1,147
Nucor		1,600		60
PolyOne*		1,700		21
PPG Industries		1,400		109
Praxair		1,900		175
Schnitzer Steel Industries, Cl A		2,500		143
Scotts Miracle-Gro, Cl A		1,400		70
Sherwin-Williams		800		59
Sigma-Aldrich		200		13
Southern Copper		16,900		709
Spartech*		1,300		12
Syngenta ADR		22,200		1,237
Titanium Metals*		3,500		60
United States Steel		300		15
Walter Industries		500		51
Zep		400		7

				13,038


Telecommunication Services — 2.9%
AboveNet*		200		12
American Tower, Cl A*		5,300		268
AT&T		188,680		5,243
BCE		9,700		329
CenturyLink		2,473		106
Crown Castle International*		41,300		1,716
Frontier Communications		108		1
MetroPCS Communications*		54,000		656
NII Holdings*		1,800		70
Qwest Communications International		50,303		352
SBA Communications, Cl A*		500		20
Sprint Nextel*		122,100		461
tw telecom, Cl A*		1,600		26
USA Mobility		1,000		17
Verizon Communications		43,200		1,383
Windstream		1,900		25

				10,685


Utilities — 2.9%
AES*		215,226		2,327
AGL Resources		1,900		70
Allegheny Energy		1,200		27
Alliant Energy		4,200		152
Ameren		1,300		37
American Electric Power		2,900		103


Description	Shares		Market Value ($ Thousands)

American Water Works		7,500	$	184
Aqua America		5,000		107
Calpine*		1,600		19
Centerpoint Energy		5,800		91
CMS Energy		5,500		99
Consolidated Edison		2,500		121
Constellation Energy Group		18,943		537
Dominion Resources		5,200		216
DPL		4,000		101
DTE Energy		6,725		300
Duke Energy		4,200		74
Edison International		19,200		709
Energen		8,400		366
Entergy		6,400		456
Exelon		35,495		1,397
Hawaiian Electric Industries		3,600		79
Integrys Energy Group		2,800		136
ITC Holdings		1,500		91
Mirant*		12,700		126
NextEra Energy		2,500		127
NiSource		2,400		40
Northeast Utilities		5,600		174
NSTAR		3,800		157
NV Energy		30,500		418
OGE Energy		1,500		67
Oneok		2,800		143
Pepco Holdings		5,400		99
PG&E		300		14
Pinnacle West Capital		3,500		142
Portland General Electric		4,400		93
PPL		2,400		61
Public Service Enterprise Group		18,400		567
Questar		4,000		67
SCANA		1,200		49
Southern		2,100		79
TECO Energy		2,000		33
UGI		2,000		59
Vectren		1,800		47
Westar Energy		3,800		95
Wisconsin Energy		2,900		175
Xcel Energy		3,600		85

				10,716

Total Common Stock (Cost $314,061) ($ Thousands)				355,519


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		13,563		13,563

Total Cash Equivalent (Cost $13,563) ($ Thousands)				13,563


U.S. TREASURY OBLIGATIONS (A) — 0.4%
U.S. Treasury Bills
0.051%, 12/16/10		1,112		1,112
0.326%, 02/10/11		300		300

Total U.S. Treasury Obligations (Cost $1,412) ($ Thousands)				1,412


Description	Market Value ($ Thousands)

Total Investments — 99.5% (Cost $329,036) ($ Thousands)	$	370,494

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		13		Dec-2010	$	31
S&P Composite Index		39		Dec-2010		489

					$	520

For the year ended November 30, 2010, 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 $372,528 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Zero coupon security. 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

PLC — Public Limited Company

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

Ser — Series

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	355,519	$	—	$	—	$	355,519
Cash Equivalent		13,563		—		—		13,563
U.S. Treasury Obligations		—		1,412		—		1,412

Total Investments in Securities	$	369,082	$	1,412	$	—	$	370,494


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	520	$	—	$	—	$	520

Total Other Financial Instruments	$	520	$	—	$	—	$	520

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

For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 83.1%

Consumer Discretionary — 8.3%
Amazon.com*		144,738	$	25,387
American Eagle Outfitters		123,700		2,041
AutoNation* (A)		36,300		948
AutoZone*		52,430		13,601
Bed Bath & Beyond*		119,837		5,242
Best Buy (A)		242,869		10,375
Big Lots* (A)		25,700		788
Brinker International		24,884		509
Brown Shoe		212,200		3,017
Carnival (A)		155,500		6,424
CBS, Cl B		20,500		345
CEC Entertainment*		9,300		349
Coach		73,300		4,144
Comcast, Cl A (A)		2,392,211		46,353
Darden Restaurants		187,152		9,161
DeVry		37,300		1,602
DIRECTV, Cl A*		502,415		20,865
Discovery Communications, Cl A* (A)		19,900		811
Dollar Tree* (A)		36,850		2,025
Family Dollar Stores (A)		162,500		8,157
Ford Motor* (A)		1,426,796		22,743
Fortune Brands		8,400		496
Fossil*		29,500		1,996
Gannett (A)		37,081		486
Gap		563,640		12,039
Genuine Parts		34,600		1,666
H&R Block (A)		601,179		7,569
Hasbro		97,600		4,652
Helen of Troy*		10,900		258
Home Depot		516,095		15,591
Iconix Brand Group* (A)		148,800		2,780
Interpublic Group*		74,000		788
Johnson Controls		213,136		7,767
Kohl’s*		35,200		1,986
Liberty Media - Interactive, Cl A*		10,400		161
Liberty Media - Starz, Ser A*		7,000		440
Limited Brands		246,400		8,296
Liz Claiborne* (A)		347,200		2,538
Lowe’s		202,900		4,606
Macy’s		160,002		4,109
Marriott International, Cl A (A)		54,400		2,133
Mattel (A)		707,600		18,284
Matthews International, Cl A		69,600		2,260
McDonald’s		562,989		44,082
McGraw-Hill		7,100		245
MDC Holdings (A)		146,006		3,646
Modine Manufacturing*		177,500		2,460
Newell Rubbermaid (A)		689,320		11,560
News, Cl A		1,010,400		13,782
NIKE, Cl B (A)		108,200		9,319
Omnicom Group (A)		461,986		20,993
O’Reilly Automotive* (A)		217,246		13,074
Polo Ralph Lauren, Cl A (A)		1,800		197
priceline.com*		33,664		13,265
Ross Stores (A)		128,000		8,305
Scripps Networks Interactive, Cl A		13,700		698
Sears Holdings* (A)		8,000		524
Shutterfly*		15,500		511


Description	Shares		Market Value ($ Thousands)

Stanley Black & Decker (A)		33,060	$	1,968
Starbucks (A)		293,200		8,972
Starwood Hotels & Resorts Worldwide (A)		78,900		4,485
Target		753,248		42,890
Tempur-Pedic International*		57,400		2,015
Tenneco* (A)		45,900		1,673
Texas Roadhouse, Cl A* (A)		144,900		2,476
Thor Industries (A)		49,300		1,456
Tiffany		2,700		168
Time Warner		886,274		26,136
Time Warner Cable, Cl A		185,288		11,403
TJX		446,500		20,365
TRW Automotive Holdings* (A)		173,614		8,245
Tupperware Brands		6,700		312
Urban Outfitters* (A)		7,000		265
VF (A)		31,800		2,635
Viacom, Cl B (A)		685,252		25,923
Walt Disney		471,650		17,220
Warnaco Group* (A)		4,700		253
Whirlpool (A)		14,800		1,080
Williams-Sonoma (A)		62,400		2,076
Wyndham Worldwide		6,700		192
Wynn Resorts (A)		26,300		2,659
Yum! Brands		150,700		7,547

				620,863


Consumer Staples — 8.9%
Altria Group		975,522		23,413
Archer-Daniels-Midland		211,353		6,127
Brown-Forman, Cl B (A)		55,000		3,598
Campbell Soup (A)		18,800		637
Central Garden and Pet, Cl A*		360,400		3,366
Clorox		98,888		6,112
Coca-Cola		1,027,167		64,886
Coca-Cola Enterprises		868,326		20,970
Colgate-Palmolive		144,500		11,062
ConAgra Foods		30,200		649
Constellation Brands, Cl A*		77,900		1,606
Corn Products International		13,700		591
Costco Wholesale		23,600		1,596
CVS Caremark		429,208		13,306
Dean Foods* (A)		840,800		6,113
Dr. Pepper Snapple Group		95,000		3,480
Estee Lauder, Cl A		86,400		6,473
General Mills		427,505		15,104
Hansen Natural*		23,985		1,276
Hershey (A)		107,209		5,017
HJ Heinz		18,400		888
Hormel Foods		115,108		5,650
JM Smucker		13,000		822
Kellogg		3,500		172
Kimberly-Clark		94,194		5,830
Kraft Foods, Cl A		736,047		22,265
Kroger		162,600		3,829
Lance (A)		103,900		2,432
Lorillard		39,448		3,139
McCormick		34,200		1,505
Mead Johnson Nutrition, Cl A		108,200		6,445
Molson Coors Brewing, Cl B (A)		302,700		14,424
PepsiCo		1,142,129		73,816
Philip Morris International		895,806		50,962
Procter & Gamble		1,636,289		99,928


Description	Shares		Market Value ($ Thousands)

Ralcorp Holdings*		27,600	$	1,709
Reynolds American (A)		125,400		3,880
Safeway (A)		35,100		807
Sara Lee		1,234,438		18,517
Smart Balance*		26,400		97
Smithfield Foods* (A)		256,500		4,517
Sysco (A)		112,965		3,278
Tyson Foods, Cl A (A)		888,694		14,068
Walgreen (A)		961,820		33,519
Wal-Mart Stores		1,792,861		96,976
Whole Foods Market* (A)		51,400		2,427

				667,284


Energy — 9.5%
Anadarko Petroleum		69,700		4,472
Apache		106,158		11,427
Baker Hughes		18,419		961
Cameron International*		4,300		207
Chevron		1,385,357		112,172
Cimarex Energy		56,500		4,551
Complete Production Services*		14,500		412
ConocoPhillips		1,564,934		94,162
Continental Resources* (A)		12,600		673
Denbury Resources* (A)		129,000		2,345
Devon Energy		284,544		20,080
El Paso (A)		448,300		6,048
EOG Resources (A)		41,800		3,718
EQT		20,200		817
Exxon Mobil		2,547,890		177,231
FMC Technologies*		8,500		716
Frontier Oil		55,600		863
Halliburton		755,595		28,592
Helmerich & Payne		157,400		7,140
Hess		256,305		17,954
James River Coal* (A)		252,800		5,031
Marathon Oil		971,929		32,530
McDermott International*		41,000		752
Murphy Oil		8,800		594
Nabors Industries*		60,700		1,341
Occidental Petroleum		444,836		39,221
Oceaneering International* (A)		61,500		4,250
Oil States International*		6,900		409
Peabody Energy		3,100		182
Pioneer Natural Resources (A)		77,800		6,233
QEP Resources (A)		55,000		1,932
Rowan* (A)		25,900		781
RPC (A)		21,300		624
Schlumberger (A)		873,679		67,570
SEACOR Holdings*		5,100		556
Southwestern Energy*		208,174		7,536
Spectra Energy		18,500		440
Suncor Energy		658,987		22,149
Sunoco		83,100		3,336
Unit*		35,000		1,399
Valero Energy (A)		828,503		16,139
Williams		21,900		500

				708,046


Financials — 11.4%
ACE		89,600		5,243
Aflac		97,500		5,021
Allstate		85,294		2,483
American Express		857,095		37,044


Description	Shares		Market Value ($ Thousands)

Ameriprise Financial		71,336	$	3,698
Apartment Investment & Management, Cl A‡ (A)		142,100		3,427
Arch Capital Group*		34,200		3,088
Ares Capital		8,498		140
Assurant (A)		150,200		5,298
Assured Guaranty		105,774		1,799
AvalonBay Communities‡ (A)		27,700		3,056
Bank of America		4,675,154		51,193
Bank of New York Mellon (A)		392,821		10,602
BB&T (A)		84,200		1,953
Berkshire Hathaway, Cl B*		327,674		26,109
Boston Properties‡		16,500		1,383
Capital One Financial (A)		521,397		19,412
CB Richard Ellis Group, Cl A* (A)		196,300		3,767
Chimera Investment‡ (A)		3,559,429		14,238
Chubb		145,700		8,306
Cincinnati Financial (A)		166,600		5,022
Citigroup*		5,934,611		24,925
City National (A)		287,400		15,439
CME Group, Cl A		67,456		19,432
Comerica (A)		159,100		5,806
CommonWealth REIT‡		19,500		488
Digital Realty Trust‡ (A)		50,950		2,676
East West Bancorp		535,536		9,286
Equity Residential‡ (A)		96,600		4,828
Extra Space Storage‡		213,100		3,414
Fifth Third Bancorp (A)		432,600		5,170
Franklin Resources		18,909		2,157
Fulton Financial		160,300		1,387
Genworth Financial, Cl A*		338,700		3,949
Goldman Sachs Group		335,793		52,431
Hospitality Properties Trust‡		124,800		2,761
Host Hotels & Resorts‡		189,862		3,129
Huntington Bancshares (A)		1,100,700		6,423
IntercontinentalExchange*		3,400		383
Invesco		826,936		17,978
Invesco Mortgage Capital‡		39,000		881
Jones Lang LaSalle		12,700		1,014
JPMorgan Chase		3,089,361		115,480
Keycorp (A)		530,200		3,992
Kilroy Realty‡ (A)		59,400		2,027
Kimco Realty‡		90,363		1,505
LaSalle Hotel Properties‡		109,100		2,597
Lincoln National		67,700		1,617
Loews		24,800		928
M&T Bank (A)		149,434		11,500
Macerich‡ (A)		78,000		3,614
Mack-Cali Realty‡		74,800		2,375
Marshall & Ilsley (A)		519,200		2,487
MetLife		175,693		6,703
MFA Mortgage Investments‡ (A)		291,200		2,373
Morgan Stanley		264,016		6,458
NASDAQ OMX Group*		16,500		354
New York Community Bancorp (A)		607,629		10,208
Northern Trust		7,100		357
NYSE Euronext (A)		307,744		8,408
PacWest Bancorp (A)		194,500		3,306
PartnerRe		7,480		580
Plum Creek Timber‡ (A)		31,100		1,121
PNC Financial Services Group		615,600		33,150
Progressive		144,300		2,935


Description	Shares		Market Value ($ Thousands)

Prudential Financial		729,262	$	36,959
Public Storage‡		34,402		3,323
Regions Financial		1,970,215		10,600
RenaissanceRe Holdings		80,791		4,870
Simon Property Group‡		57,889		5,702
SL Green Realty‡		8,652		566
SLM* (A)		170,700		1,971
State Street		338,341		14,616
Stifel Financial* (A)		61,500		3,188
SunTrust Banks		109,500		2,558
Symetra Financial		32,000		387
T. Rowe Price Group (A)		174,600		10,184
Torchmark (A)		33,400		1,920
Transatlantic Holdings		35,400		1,791
Travelers		163,655		8,836
UDR‡ (A)		182,400		4,067
Unum Group		151,300		3,251
US Bancorp		487,666		11,597
Ventas‡ (A)		26,400		1,353
Vornado Realty Trust‡		1,741		142
Washington Federal		17,400		257
Wells Fargo		3,449,613		93,864
Wintrust Financial (A)		96,800		2,773
Zions Bancorporation (A)		216,800		4,217

				849,306


Health Care — 9.5%
Abbott Laboratories		443,916		20,646
Aetna		231,500		6,857
Agilent Technologies*		102,800		3,600
AmerisourceBergen (A)		365,639		11,280
Amgen*		1,219,667		64,264
Baxter International		48,100		2,335
Becton Dickinson		98,700		7,692
Biogen Idec* (A)		175,403		11,220
Bristol-Myers Squibb		1,314,059		33,167
Bruker* (A)		39,500		609
C.R. Bard		12,300		1,044
Cardinal Health		541,639		19,271
CareFusion*		385,500		8,816
Celgene*		235,300		13,972
Cephalon* (A)		63,500		4,032
CIGNA		23,200		854
Community Health Systems*		88,800		2,829
Coventry Health Care*		92,300		2,337
Covidien		814,832		34,280
DaVita*		11,800		858
Eli Lilly (A)		741,982		24,975
Express Scripts*		123,400		6,428
Genzyme*		23,149		1,649
Gilead Sciences* (A)		431,754		15,759
Haemonetics*		22,700		1,335
Hospira*		261,532		14,714
Humana*		95,100		5,329
Impax Laboratories*		159,500		2,842
Intuitive Surgical* (A)		33,600		8,746
Invacare (A)		6,200		167
Johnson & Johnson		1,496,160		92,089
King Pharmaceuticals*		25,023		354
Laboratory Corp of America Holdings* (A)		5,200		427
Life Technologies*		263,600		13,129
McKesson		27,500		1,757


Description	Shares		Market Value ($ Thousands)

Medco Health Solutions*		150,948	$	9,256
Medicines*		98,700		1,301
Medtronic		165,576		5,552
Merck		1,630,398		56,200
Mylan Laboratories* (A)		170,900		3,344
Par Pharmaceutical*		21,200		762
Patterson		33,800		1,005
PerkinElmer		324,694		7,565
Pfizer		5,366,986		87,428
Questcor Pharmaceuticals* (A)		47,100		671
Sirona Dental Systems*		24,600		930
St. Jude Medical*		46,800		1,811
Stryker (A)		72,400		3,626
SXC Health Solutions*		22,300		855
Thermo Fisher Scientific*		458,203		23,304
UnitedHealth Group		863,607		31,539
Varian Medical Systems* (A)		58,700		3,864
VCA Antech* (A)		125,200		2,735
Warner Chilcott, Cl A		102,500		1,948
Waters*		24,800		1,907
Watson Pharmaceuticals*		35,900		1,750
WellPoint*		347,588		19,375
Zimmer Holdings*		9,000		443

				706,834


Industrials — 10.1%
3M		175,366		14,727
Altra Holdings*		162,900		2,733
Ametek		13,100		775
Applied Industrial Technologies		7,700		230
Atlas Air Worldwide Holdings*		7,700		420
Avery Dennison		74,000		2,778
BE Aerospace*		55,900		1,984
Boeing		301,118		19,202
C.H. Robinson Worldwide		5,400		398
Caterpillar		184,598		15,617
Chicago Bridge & Iron*		101,912		2,885
Cooper Industries, Cl A (A)		306,331		16,695
Corrections of America*		78,800		1,903
CSX		58,800		3,575
Cubic		4,100		187
Cummins		315,886		30,679
Danaher		73,400		3,175
Deere		241,200		18,018
Dover (A)		382,433		20,961
Eaton		131,500		12,677
Emerson Electric (A)		622,730		34,294
Equifax		101,600		3,516
Expeditors International Washington (A)		49,817		2,635
Fastenal (A)		74,700		3,998
FedEx (A)		91,347		8,324
Fluor		17,700		1,024
Generac Holdings*		105,532		1,568
General Dynamics (A)		396,179		26,184
General Electric		4,607,578		72,938
Goodrich		88,200		7,565
GrafTech International*		105,600		2,070
Great Lakes Dredge & Dock		139,000		1,068
Harsco		143,300		3,448
Honeywell International		1,238,573		61,569
Illinois Tool Works		15,000		714
Ingersoll-Rand (A)		48,300		1,980


Description	Shares		Market Value ($ Thousands)

ITT		24,500	$	1,127
Jacobs Engineering Group*		9,100		350
Joy Global		34,314		2,619
Kennametal		10,300		348
L-3 Communications Holdings, Cl 3		49,900		3,510
Lockheed Martin		132,700		9,029
Middleby* (A)		23,100		1,859
Navistar International*		198,017		10,134
Norfolk Southern		162,700		9,790
Northrop Grumman		175,976		10,854
Owens Corning* (A)		346,412		9,114
Paccar (A)		43,500		2,343
Parker Hannifin		244,270		19,598
Polypore International*		16,100		512
Precision Castparts		9,500		1,312
Quanta Services*		190,800		3,360
Raytheon		487,400		22,542
Regal-Beloit		44,400		2,709
Republic Services, Cl A		499,534		14,057
Rockwell Automation		186,000		12,298
Rockwell Collins		302,637		16,966
Roper Industries		25,000		1,810
RR Donnelley & Sons		27,100		427
Southwest Airlines (A)		273,100		3,638
Stericycle* (A)		16,000		1,182
Team*		116,100		2,364
Timken		55,234		2,406
Trex* (A)		99,900		1,843
Tyco International		132,100		5,005
Union Pacific		382,141		34,435
United Continental Holdings* (A)		257,844		7,137
United Parcel Service, Cl B		461,973		32,398
United Technologies		1,235,270		92,979
UTi Worldwide		136,300		2,624
WABCO Holdings*		16,700		830
Waste Management (A)		17,600		603
WW Grainger (A)		39,200		4,897

				751,523


Information Technology — 17.0%
Acme Packet* (A)		46,000		2,253
Advanced Micro Devices* (A)		940,037		6,853
Akamai Technologies*		252,600		13,183
Altera (A)		67,800		2,379
AOL*		113,500		2,744
Apple*		562,645		175,067
Applied Materials		70,900		881
Atmel*		186,553		1,938
Autodesk*		210,300		7,421
Automatic Data Processing		5,253		234
Baidu.com ADR* (A)		112,000		11,781
BMC Software*		76,900		3,414
Broadcom, Cl A (A)		211,200		9,396
Cisco Systems*		4,145,320		79,424
Citrix Systems*		40,100		2,663
Cognizant Technology Solutions, Cl A*		299,192		19,441
Computer Sciences		12,900		576
Compuware*		40,700		419
Comtech Telecommunications		8,100		240
Corning		555,200		9,805
Dell*		96,800		1,280


Description	Shares		Market Value ($ Thousands)

eBay*		150,000	$	4,370
Echo Global Logistics* (A)		229,849		2,632
EMC*		1,473,025		31,655
F5 Networks*		21,600		2,849
FARO Technologies*		20,893		543
Fidelity National Information Services		32,700		880
First Solar* (A)		16,400		2,015
Fiserv*		8,800		487
FLIR Systems* (A)		113,900		3,053
Google, Cl A*		115,608		64,245
Harris		214,400		9,485
Hewlett-Packard		1,414,456		59,308
Ingram Micro, Cl A*		128,500		2,294
Intel		4,530,221		95,678
International Business Machines (A)		1,132,169		160,157
Intuit*		221,800		9,957
Itron*		19,900		1,130
Jabil Circuit		568,574		8,591
JDS Uniphase*		279,600		3,319
Lam Research*		56,200		2,548
Lexmark International, Cl A*		81,900		2,968
Linear Technology (A)		25,800		841
Marvell Technology Group*		107,700		2,077
Mastercard, Cl A		46,675		11,063
McAfee*		13,806		647
MEMC Electronic Materials*		35,500		411
Microchip Technology (A)		3,800		128
Micron Technology* (A)		1,205,054		8,749
Microsoft		5,780,439		145,725
Motorola*		132,400		1,014
National Instruments		5,800		198
NetApp* (A)		117,500		5,984
Novell*		151,200		901
Novellus Systems* (A)		85,600		2,581
Nuance Communications*		103,500		1,829
ON Semiconductor*		359,600		2,933
Oracle		2,325,409		62,879
Plantronics		12,800		458
Polycom* (A)		70,600		2,612
Power-One* (A)		13,500		127
Qualcomm		1,056,510		49,381
Quest Software*		135,300		3,423
Red Hat*		176,100		7,660
Salesforce.com* (A)		53,100		7,393
SanDisk*		217,418		9,697
SS&C Technologies Holdings* (A)		196,316		3,811
Synopsys*		40,200		1,033
Tellabs (A)		170,300		1,075
Teradyne* (A)		120,000		1,423
Texas Instruments (A)		744,461		23,674
VeriSign* (A)		85,200		2,923
Visa, Cl A (A)		607,421		44,858
Vishay Intertechnology*		170,630		2,433
VistaPrint* (A)		13,300		536
VMware, Cl A* (A)		110,752		9,029
Western Union		1,301,177		22,953
Xerox		664,925		7,620
Xilinx (A)		153,100		4,152
Zebra Technologies, Cl A*		12,300		448

				1,274,235


Description	Shares		Market Value ($ Thousands)

Materials — 3.6%
Air Products & Chemicals		65,400	$	5,639
Airgas		28,375		1,734
Albemarle		14,000		757
Alcoa (A)		500,600		6,568
Allegheny Technologies (A)		616,788		31,888
Ball		447,000		29,448
Cabot		35,900		1,285
Celanese, Cl A		63,100		2,335
CF Industries Holdings		45,300		5,471
Cliffs Natural Resources (A)		210,142		14,361
Commercial Metals (A)		21,500		331
Dow Chemical (A)		900		28
E.I. Du Pont de Nemours		552,799		25,976
Ecolab		16,900		808
FMC		17,600		1,370
Freeport-McMoRan Copper & Gold, Cl B		99,955		10,127
Horsehead Holding*		165,600		1,926
International Flavors & Fragrances		104,200		5,472
International Paper		256,800		6,412
Kronos Worldwide		38,400		1,620
Lubrizol		47,195		4,935
MeadWestvaco		11,900		296
Monsanto		433,488		25,975
Mosaic		147,816		9,997
Nalco Holding (A)		40,800		1,200
Newmont Mining		262,715		15,456
Nucor		35,700		1,347
Owens-Illinois*		66,400		1,785
Potash Corp of Saskatchewan		51,204		7,360
PPG Industries (A)		25,600		1,996
Praxair (A)		295,119		27,166
Rock-Tenn, Cl A		38,200		2,066
Rockwood Holdings* (A)		69,300		2,645
Schnitzer Steel Industries, Cl A		89,700		5,121
Schweitzer-Mauduit International		38,000		2,387
Sherwin-Williams (A)		17,600		1,305
Sigma-Aldrich		14,100		891
Solutia*		89,600		1,916
Titanium Metals* (A)		118,000		2,038
United States Steel (A)		9,800		476
				269,914

Telecommunication Services — 2.5%
AboveNet* (A)		3,300		194
American Tower, Cl A*		457,639		23,143
AT&T		3,904,468		108,505
CenturyLink (A)		69,104		2,971
Frontier Communications (A)		64,828		590
MetroPCS Communications* (A)		337,321		4,098
NII Holdings*		81,009		3,140
Qwest Communications International (A)		1,348,767		9,441
Sprint Nextel*		374,200		1,414
Verizon Communications		977,331		31,284
Windstream (A)		94,213		1,229
				186,009


Description	Shares		Market Value ($ Thousands)

Utilities — 2.3%
AGL Resources		26,200	$	962
Allegheny Energy		77,395		1,766
Alliant Energy		16,500		599
Ameren		18,500		531
American Electric Power		129,466		4,609
American Water Works		127,300		3,120
Centerpoint Energy		151,600		2,370
CMS Energy (A)		129,600		2,329
Consolidated Edison (A)		63,400		3,067
Constellation Energy Group		640,741		18,172
Dominion Resources (A)		179,100		7,438
DPL		34,200		866
DTE Energy		249,992		11,137
Duke Energy		338,300		5,937
Energen		40,300		1,756
Entergy		33,400		2,380
Exelon		634,586		24,984
Integrys Energy Group (A)		90,900		4,427
New Jersey Resources (A)		86,000		3,707
NextEra Energy		303,603		15,368
Nicor (A)		13,600		588
NiSource (A)		142,100		2,377
Northeast Utilities		728,003		22,641
Oneok		70,000		3,578
Pepco Holdings (A)		175,800		3,226
Piedmont Natural Gas (A)		110,400		3,266
Pinnacle West Capital		101,800		4,115
Portland General Electric		29,400		622
Public Service Enterprise Group		182,800		5,636
SCANA (A)		21,600		877
Southern		106,700		4,025
TECO Energy		91,600		1,534
Wisconsin Energy		70,300		4,233
Xcel Energy		69,600		1,636
				173,879
Total Common Stock (Cost $5,434,261) ($ Thousands)				6,207,893


AFFILIATED PARTNERSHIP — 18.4%
SEI Liquidity Fund, L.P.
0.210%(B)**†		614,174		606,277
SEI LIBOR Plus Portfolio†		111,582,526		768,804

Total Affiliated Partnership (Cost $1,546,326) ($ Thousands)				1,375,081


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		356,323		356,323
Total Cash Equivalent (Cost $356,323) ($ Thousands)				356,323


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

U.S. TREASURY OBLIGATIONS (C)(D) — 1.4%
U.S. Treasury Bills
0.040%, 12/16/10	$	104,055	$	104,050
0.223%, 02/10/11		2,445		2,444

Total U.S. Treasury Obligations (Cost $106,490) ($ Thousands)				106,494

Total Investments — 107.7% (Cost $7,443,400) ($ Thousands)			$	8,045,791

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		528		Dec-2010	$	1,734
S&P Composite Index		4,011		Dec-2010		79,110

					$	80,844

Percentages are based on a Net Assets of $7,471,820 ($Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $595,739 ($ 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, 2010 was $606,277 ($ 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.

ADR — American Depositary Receipt

Cl — Class

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

Ser — Series

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	6,207,893	$	—	$	—	$	6,207,893
Affiliated Partnerships		768,804		606,277		—		1,375,081
Cash Equivalent		356,323		—		—		356,323
U.S. Treasury Obligations		—		106,494		—		106,494

Total Investments in Securities	$	7,333,020	$	712,771	$	—	$	8,045,791


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	80,844	$	—	$	—	$	80,844

Total Other Financial Instruments	$	80,844	$	—	$	—	$	80,844

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

For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.9%

Consumer Discretionary — 11.3%
Aaron’s (A)		2,700	$	54
Abercrombie & Fitch, Cl A		3,802		191
Advance Auto Parts (A)		3,708		245
Aeropostale*		3,600		97
Amazon.com*		14,789		2,594
American Eagle Outfitters		8,871		146
Apollo Group, Cl A*		5,464		186
Autoliv (A)		3,418		251
AutoNation* (A)		2,832		74
AutoZone*		1,107		287
Bally Technologies*		2,000		78
Bed Bath & Beyond*		11,115		486
Best Buy (A)		13,447		574
Big Lots* (A)		3,300		101
BorgWarner* (A)		5,282		319
Brinker International		4,483		92
Cablevision Systems, Cl A		9,642		305
Career Education*		3,259		58
Carmax* (A)		9,560		315
Carnival		18,600		768
CBS, Cl B		29,269		493
Central European Media Enterprises, Cl A*		1,800		35
Chico’s FAS		8,600		104
Chipotle Mexican Grill, Cl A* (A)		1,400		362
Choice Hotels International (A)		1,484		55
Clear Channel Outdoor Holdings, Cl A*		700		10
Coach		13,067		739
Comcast, Cl A		120,325		2,407
Darden Restaurants		6,022		295
DeVry		2,900		124
Dick’s Sporting Goods* (A)		4,258		146
DIRECTV, Cl A*		38,029		1,579
Discovery Communications, Cl A* (A)		12,000		489
DISH Network, Cl A*		8,062		148
Dollar General* (A)		3,000		99
Dollar Tree* (A)		5,229		287
DR Horton		12,868		129
DreamWorks Animation SKG, Cl A*		3,434		106
Education Management* (A)		1,500		21
Expedia		8,734		230
Family Dollar Stores		5,562		279
Federal Mogul, Cl A*		1,500		28
Foot Locker		6,869		130
Ford Motor* (A)		142,984		2,279
Fortune Brands (A)		6,520		385
Fossil*		2,200		149
GameStop, Cl A* (A)		7,300		145
Gannett (A)		8,659		114
Gap		18,159		388
Garmin (A)		4,800		139
Gentex		6,132		129
Genuine Parts		6,571		316
Goodyear Tire & Rubber* (A)		11,052		105
Guess?		2,900		137
H&R Block		13,425		169


Description	Shares		Market Value ($ Thousands)

Hanesbrands*		4,143	$	112
Harley-Davidson (A)		10,003		313
Harman International Industries*		2,568		112
Hasbro		5,567		265
Hillenbrand		2,824		55
Home Depot		72,415		2,188
Hyatt Hotels, Cl A* (A)		1,400		59
International Game Technology		12,743		197
International Speedway, Cl A		1,512		36
Interpublic Group* (A)		20,875		222
ITT Educational Services* (A)		1,121		66
J Crew Group* (A)		2,000		87
J.C. Penney (A)		10,051		334
Jarden		4,300		132
John Wiley & Sons, Cl A		1,842		76
Johnson Controls		28,645		1,044
KB Home (A)		3,380		38
Kohl’s*		13,119		740
Lamar Advertising, Cl A* (A)		2,540		93
Las Vegas Sands* (A)		13,193		661
Lear*		2,100		184
Leggett & Platt		6,119		127
Lennar, Cl A (A)		7,230		110
Liberty Global, Cl A* (A)		10,071		355
Liberty Media - Capital, Ser A*		2,892		167
Liberty Media - Interactive, Cl A*		26,247		406
Liberty Media - Starz, Ser A*		1,936		122
Limited Brands		11,557		389
LKQ*		6,800		147
Lowe’s		62,010		1,408
Macy’s		18,030		463
Madison Square Garden, Cl A*		2,860		63
Marriott International, Cl A		11,587		454
Mattel		15,242		394
McDonald’s		45,880		3,592
McGraw-Hill		13,239		457
MDC Holdings		1,516		38
Meredith (A)		1,358		46
MGM Resorts International* (A)		13,039		160
Mohawk Industries* (A)		2,166		114
Morningstar (A)		900		45
NetFlix*		1,700		350
New York Times, Cl A* (A)		4,824		43
Newell Rubbermaid (A)		11,865		199
News, Cl A		98,185		1,339
NIKE, Cl B (A)		15,448		1,331
Nordstrom		7,312		313
NVR* (A)		224		139
Office Depot*		14,189		62
Omnicom Group		12,944		588
O’Reilly Automotive* (A)		5,840		351
Panera Bread, Cl A* (A)		1,162		117
Penn National Gaming*		2,989		105
PetSmart		4,873		184
Phillips-Van Heusen		2,300		156
Polo Ralph Lauren, Cl A (A)		2,380		260
priceline.com*		2,000		788
Pulte Homes* (A)		15,545		97
RadioShack (A)		5,571		103
Regal Entertainment Group, Cl A		4,188		57
Ross Stores (A)		5,071		329
Royal Caribbean Cruises*		5,900		238


Description	Shares		Market Value ($ Thousands)

Scripps Networks Interactive, Cl A		4,072	$	208
Sears Holdings* (A)		1,828		120
Service International		11,194		90
Signet Jewelers*		3,800		151
Sirius XM Radio* (A)		157,100		215
Stanley Black & Decker		6,693		398
Staples		31,064		684
Starbucks (A)		31,706		970
Starwood Hotels & Resorts Worldwide (A)		7,884		448
Strayer Education (A)		600		81
Target		31,585		1,799
Tempur-Pedic International*		2,700		95
Thomson Reuters		15,700		571
Thor Industries		1,900		56
Tiffany (A)		5,125		318
Time Warner		48,879		1,441
Time Warner Cable, Cl A		15,084		928
TJX		17,054		778
Toll Brothers*		6,051		109
Tractor Supply (A)		3,100		132
TRW Automotive Holdings* (A)		3,393		161
Tupperware Brands		2,400		111
Urban Outfitters*		4,920		186
VF		3,617		300
Viacom, Cl B		25,869		979
Virgin Media (A)		13,620		347
Walt Disney		83,672		3,055
Washington Post, Cl B (A)		257		97
Weight Watchers International (A)		1,662		57
Wendy’s, Cl A		11,100		53
Whirlpool (A)		3,287		240
Williams-Sonoma (A)		4,562		152
WMS Industries*		2,600		115
Wyndham Worldwide		7,668		220
Wynn Resorts		3,096		313
Yum! Brands		19,548		979

				60,148


Consumer Staples — 9.8%
Alberto-Culver, Cl B		3,687		137
Altria Group		89,068		2,138
Archer-Daniels-Midland		26,879		779
Avon Products		18,406		526
BJ’s Wholesale Club*		1,872		86
Brown-Forman, Cl B		4,418		289
Bunge (A)		6,100		371
Campbell Soup (A)		7,778		264
Central European Distribution*		3,100		74
Church & Dwight		3,132		205
Clorox		5,903		365
Coca-Cola		89,420		5,649
Coca-Cola Enterprises		13,615		329
Colgate-Palmolive		21,075		1,613
ConAgra Foods		19,086		410
Constellation Brands, Cl A*		8,631		178
Corn Products International		2,900		125
Costco Wholesale		18,981		1,283
CVS Caremark		58,352		1,809
Dean Foods*		8,087		59
Del Monte Foods		8,458		158
Dr. Pepper Snapple Group		10,300		377


Description	Shares		Market Value ($ Thousands)

Energizer Holdings*		2,941	$	207
Estee Lauder, Cl A		4,654		349
Flowers Foods (A)		2,700		71
General Mills		28,592		1,010
Green Mountain Coffee Roasters* (A)		5,100		189
Hansen Natural*		2,700		144
Herbalife		2,600		178
Hershey		6,598		309
HJ Heinz		13,437		649
Hormel Foods		2,639		129
JM Smucker		5,011		317
Kellogg		10,603		522
Kimberly-Clark		17,818		1,103
Kraft Foods, Cl A		68,615		2,076
Kroger		27,373		644
Lorillard		6,550		521
McCormick		5,593		246
Mead Johnson Nutrition, Cl A		8,586		511
Molson Coors Brewing, Cl B		5,462		260
PepsiCo		68,752		4,443
Philip Morris International		79,068		4,498
Procter & Gamble		122,274		7,467
Ralcorp Holdings* (A)		2,100		130
Reynolds American		14,020		434
Safeway (A)		16,520		380
Sara Lee		28,251		424
Smithfield Foods* (A)		5,975		105
Supervalu (A)		7,789		70
Sysco (A)		25,248		733
Tyson Foods, Cl A		11,665		185
Walgreen (A)		41,225		1,437
Wal-Mart Stores		86,979		4,705
Whole Foods Market*		5,752		271

				51,941


Energy — 11.1%
Alpha Natural Resources*		4,868		241
Anadarko Petroleum		20,840		1,337
Apache		15,659		1,686
Arch Coal		6,912		202
Atlas Energy*		3,000		129
Atwood Oceanics*		2,800		100
Baker Hughes (A)		18,240		951
Cabot Oil & Gas		4,000		140
Cameron International*		10,244		493
Chesapeake Energy		27,766		586
Chevron		85,302		6,907
Cimarex Energy		3,500		282
Cobalt International Energy*		4,300		49
Comstock Resources*		2,400		59
Concho Resources* (A)		3,700		306
ConocoPhillips		63,476		3,819
Consol Energy (A)		9,644		405
Continental Resources* (A)		1,600		86
Core Laboratories (A)		1,800		154
Denbury Resources*		17,024		309
Devon Energy		19,213		1,356
Diamond Offshore Drilling (A)		2,709		175
Dresser-Rand Group*		3,034		115
El Paso		29,503		398
EOG Resources (A)		10,745		956
EQT		6,066		246


Description	Shares		Market Value ($ Thousands)

EXCO Resources		6,800	$	126
Exterran Holdings* (A)		2,900		66
Exxon Mobil		216,642		15,070
FMC Technologies*		5,160		435
Forest Oil*		4,914		168
Frontier Oil		4,600		71
Frontline		2,200		57
Halliburton		38,997		1,476
Helmerich & Payne (A)		3,850		175
Hess		12,412		869
Holly		2,000		72
Marathon Oil		29,776		997
Massey Energy (A)		4,361		214
McDermott International*		9,500		174
Murphy Oil		8,054		544
Nabors Industries*		12,200		269
National Oilwell Varco		17,880		1,096
Newfield Exploration*		5,699		381
Noble Energy		7,462		606
Occidental Petroleum		34,654		3,055
Oceaneering International*		2,600		180
Oil States International*		2,100		125
Patterson-UTI Energy (A)		6,532		129
Peabody Energy (A)		11,374		669
PetroHawk Energy*		12,600		225
Pioneer Natural Resources (A)		4,844		388
Plains Exploration & Production*		6,491		186
Pride International* (A)		6,929		215
QEP Resources		7,346		258
Quicksilver Resources*		5,102		73
Range Resources		6,639		279
Rowan* (A)		4,386		132
SandRidge Energy* (A)		17,900		92
Schlumberger		58,266		4,506
SEACOR Holdings*		900		98
SM Energy		2,700		134
Southern Union		5,368		127
Southwestern Energy*		14,676		531
Spectra Energy (A)		27,009		642
Sunoco		4,756		191
Superior Energy Services*		3,500		117
Teekay		2,100		67
Tesoro (A)		6,846		112
Tidewater		2,170		106
Ultra Petroleum*		6,200		291
Unit*		2,127		85
Valero Energy		23,236		453
Weatherford International* (A)		31,000		633
Whiting Petroleum*		2,500		275
Williams		24,746		564

				59,291


Financials — 15.1%
ACE		14,300		837
Affiliated Managers Group*		2,133		187
Aflac		20,256		1,043
Alexandria Real Estate Equities‡		2,300		153
Alleghany*		242		73
Allied World Assurance Holdings		1,500		88
Allstate		22,925		667
AMB Property‡		6,644		194
American Express		44,934		1,942
American Financial Group		3,714		114


Description	Shares		Market Value ($ Thousands)

American International Group* (A)		4,923	$	203
American National Insurance		222		18
Ameriprise Financial
		10,800		560
Annaly Capital Management‡ (A)		26,611		484
AON		14,044		563
Apartment Investment & Management, Cl A‡ (A)		4,399		106
Arch Capital Group*		1,900		172
Ares Capital		7,468		123
Arthur J Gallagher		4,804		135
Aspen Insurance Holdings		3,700		107
Associated Banc (A)		8,484		109
Assurant		5,093		180
Assured Guaranty		8,700		148
AvalonBay Communities‡ (A)		3,541		391
Axis Capital Holdings		5,100		180
Bancorpsouth (A)		3,600		46
Bank of America		425,518		4,659
Bank of Hawaii (A)		1,982		86
Bank of New York Mellon		52,109		1,406
BB&T (A)		30,106		698
Berkshire Hathaway, Cl B*		73,400		5,849
BlackRock, Cl A		1,485		242
BOK Financial (A)		775		36
Boston Properties‡		5,884		493
Brandywine Realty Trust‡		6,600		73
BRE Properties‡		2,920		126
Brown & Brown (A)		4,224		97
Camden Property Trust‡ (A)		2,847		145
Capital One Financial		19,425		723
CapitalSource		11,382		73
Capitol Federal Financial		1,027		24
CB Richard Ellis Group, Cl A* (A)		12,117		232
Charles Schwab		42,185		634
Chimera Investment‡		37,600		150
Chubb		12,718		725
Cincinnati Financial (A)		6,086		183
CIT Group*		8,300		328
Citigroup*		902,245		3,790
City National (A)		2,238		120
CME Group, Cl A		2,774		799
CNA Financial*		1,700		44
Comerica (A)		7,953		290
Commerce Bancshares		3,218		121
Commonwealth REIT*		50,000		—
CommonWealth REIT‡		2,825		71
Corporate Office Properties Trust‡ (A)		2,800		95
Cullen/Frost Bankers		2,368		127
Developers Diversified Realty‡		7,500		96
Digital Realty Trust‡ (A)		3,600		189
Discover Financial Services		23,789		435
Douglas Emmett‡ (A)		5,400		90
Duke Realty‡		10,909		121
ETrade Financial		8,600		127
East West Bancorp		5,600		97
Eaton Vance (A)		5,310		158
Endurance Specialty Holdings		2,200		97
Equity Residential‡ (A)		12,087		604
Erie Indemnity, Cl A		1,119		70
Essex Property Trust‡		1,269		141
Everest Re Group		2,400		200


Description	Shares		Market Value ($ Thousands)

Federal Realty Investment Trust‡ (A)		2,596	$	201
Federated Investors, Cl B (A)		3,658		87
Fidelity National Financial, Cl A		10,604		143
Fifth Third Bancorp		33,982		406
First Citizens BancShares, Cl A		300		52
First Horizon National*		8,208		79
First Niagara Financial Group (A)		9,400		117
Forest City Enterprises, Cl A* (A)		5,142		79
Franklin Resources		6,303		719
Fulton Financial		8,095		70
General Growth Properties‡		9,900		160
Genworth Financial, Cl A*		20,292		237
Goldman Sachs Group		21,975		3,431
Greenhill (A)		1,200		90
Hanover Insurance Group		2,193		99
Hartford Financial Services Group		18,710		416
HCC Insurance Holdings		4,941		139
HCP‡		13,174		434
Health Care REIT‡ (A)		5,983		277
Hospitality Properties Trust‡		4,566		101
Host Hotels & Resorts‡		28,040		462
Howard Hughes*		973		40
Hudson City Bancorp		19,628		223
Huntington Bancshares (A)		28,934		169
Interactive Brokers Group, Cl A* (A)		2,200		40
IntercontinentalExchange*		3,100		349
Invesco		20,000		435
Janus Capital Group		9,365		98
Jefferies Group (A)		5,414		131
Jones Lang LaSalle		1,800		144
JPMorgan Chase		168,834		6,311
Keycorp		37,495		282
Kimco Realty‡		17,844		297
Lazard, Cl A		3,800		136
Legg Mason		6,481		211
Leucadia National		8,420		219
Liberty Property Trust‡		5,006		157
Lincoln National		12,588		301
Loews		13,436		503
M&T Bank (A)		3,083		237
Macerich‡ (A)		5,711		265
Mack-Cali Realty‡		3,798		121
Markel* (A)		450		159
Marsh & McLennan (A)		22,965		576
Marshall & Ilsley		21,260		102
MBIA* (A)		6,559		66
Mercury General		1,196		51
MetLife		28,009		1,069
Moody’s (A)		8,627		232
Morgan Stanley		64,678		1,582
MSCI, Cl A*		4,700		160
NASDAQ OMX Group*		5,600		120
Nationwide Health Properties‡		5,100		184
New York Community Bancorp (A)		18,572		312
Northern Trust		10,405		523
NYSE Euronext		11,100		303
Old Republic International (A)		12,190		154
OneBeacon Insurance Group, Cl A		1,100		16
PartnerRe		3,400		263


Description	Shares		Market Value ($ Thousands)

People’s United Financial		17,034	$	211
Piedmont Office Realty Trust, Cl A‡		2,700		54
Plum Creek Timber‡ (A)		6,721		242
PNC Financial Services Group		22,622		1,218
Popular*		48,330		139
Principal Financial Group		13,418		365
Progressive		28,580		581
ProLogis‡ (A)		20,288		264
Protective Life		3,509		83
Prudential Financial		19,963		1,012
Public Storage‡		5,968		576
Raymond James Financial (A)		4,221		121
Rayonier‡		3,503		178
Realty Income‡		4,600		157
Regency Centers‡ (A)		3,308		135
Regions Financial		53,487		288
Reinsurance Group of America, Cl A		3,199		160
RenaissanceRe Holdings		2,300		139
SEI (B)		5,642		127
Senior Housing Properties Trust‡		5,400		121
Simon Property Group‡		12,581		1,239
SL Green Realty‡ (A)		3,368		220
SLM* (A)		19,914		230
St. Joe* (A)		3,961		70
StanCorp Financial Group		2,042		85
State Street		20,994		907
SunTrust Banks		21,446		501
Symetra Financial		2,500		30
Synovus Financial (A)		38,472		78
T. Rowe Price Group (A)		11,080		646
Taubman Centers‡		2,200		107
TCF Financial (A)		6,301		86
TD Ameritrade Holding		9,545		160
TFS Financial		3,700		30
Torchmark		3,750		216
Transatlantic Holdings		2,455		124
Travelers		20,244		1,093
UDR‡		7,393		165
Unitrin		2,460		58
Unum Group		14,205		305
US Bancorp		82,043		1,951
Validus Holdings (A)		2,600		76
Valley National Bancorp (A)		8,011		102
Ventas‡ (A)		6,644		341
Vornado Realty Trust‡		6,836		558
Waddell & Reed Financial, Cl A		4,100		126
Washington Federal		4,063		60
Weingarten Realty Investors‡ (A)		4,467		106
Wells Fargo		206,466		5,618
Wesco Financial		41		15
White Mountains Insurance Group		347		110
Wilmington Trust (A)		4,892		19
WR Berkley		5,014		134
XL Group, Cl A		14,100		277
Zions Bancorporation		7,602		148

				80,189


Health Care — 11.1%
Abbott Laboratories		65,876		3,064
Aetna		18,234		540


Description	Shares		Market Value ($ Thousands)

Agilent Technologies*		14,664	$	513
Alcon		3,000		472
Alere*		3,600		115
Alexion Pharmaceuticals*		3,600		275
Allergan		12,696		841
Allscripts Healthcare Solutions*		5,600		98
AmerisourceBergen		11,824		365
Amgen*		40,967		2,158
Amylin Pharmaceuticals*		6,100		78
Baxter International		25,675		1,247
Beckman Coulter		3,212		176
Becton Dickinson		9,944		775
Biogen Idec*		10,300		659
BioMarin Pharmaceutical* (A)		3,800		103
Bio-Rad Laboratories, Cl A*		1,000		93
Boston Scientific*		63,739		409
Bristol-Myers Squibb		73,561		1,857
Brookdale Senior Living, Cl A*		3,600		69
C.R. Bard		3,985		338
Cardinal Health		15,329		545
CareFusion*		7,264		166
Celgene*		19,480		1,157
Cephalon* (A)		3,348		213
Cerner* (A)		3,074		270
Charles River Laboratories International* (A)		2,843		93
CIGNA		11,355		418
Community Health Systems*		4,062		129
Cooper (A)		2,204		118
Covance* (A)		3,036		136
Coventry Health Care*		6,262		159
Covidien		21,700		913
DaVita*		4,408		320
Dendreon* (A)		5,900		211
Dentsply International (A)		6,198		192
Edwards Lifesciences*		5,014		333
Eli Lilly (A)		43,661		1,469
Emdeon, Cl A*		1,900		24
Emergency Medical Services, Cl A*		1,000		50
Endo Pharmaceuticals Holdings*		4,497		162
Express Scripts*		23,644		1,232
Forest Laboratories*		12,173		388
Gen-Probe*		2,227		115
Genzyme*		11,353		809
Gilead Sciences*		36,050		1,316
Health Management Associates, Cl A* (A)		12,422		111
Health Net*		4,702		127
Henry Schein*		3,884		223
Hill-Rom Holdings (A)		2,724		108
Hologic*		12,000		197
Hospira*		6,981		393
Human Genome Sciences* (A)		7,600		186
Humana*		7,075		396
Idexx Laboratories* (A)		2,252		145
Illumina*		5,200		313
Intuitive Surgical* (A)		1,700		442
Johnson & Johnson		117,109		7,208
Kinetic Concepts*		2,713		108
King Pharmaceuticals*		9,526		135
Laboratory Corp of America Holdings* (A)		4,411		362


Description	Shares		Market Value ($ Thousands)

Life Technologies*		7,670	$	382
LifePoint Hospitals*		2,376		86
Lincare Holdings (A)		4,540		117
McKesson		11,566		739
Medco Health Solutions*		18,720		1,148
Mednax*		2,000		122
Medtronic		47,285		1,585
Merck		132,243		4,558
Mettler Toledo International*		1,536		223
Mylan Laboratories*		13,119		257
Myriad Genetics*		4,500		97
Omnicare		5,431		125
Patterson		4,783		142
PerkinElmer		5,634		131
Perrigo (A)		3,200		193
Pfizer		342,380		5,577
Pharmaceutical Product Development		4,084		102
Quest Diagnostics		6,344		313
Regeneron Pharmaceuticals*		2,300		66
ResMed*		6,710		214
St. Jude Medical*		13,846		536
Stryker (A)		13,404		671
SXC Health Solutions*		2,600		100
Talecris Biotherapeutics Holdings* (A)		2,700		59
Techne		1,541		93
Teleflex (A)		1,740		87
Tenet Healthcare*		23,094		94
Thermo Fisher Scientific*		17,125		871
Thoratec* (A)		2,100		53
United Therapeutics*		2,200		138
UnitedHealth Group		48,729		1,780
Universal Health Services, Cl B		3,476		143
Varian Medical Systems* (A)		5,230		344
VCA Antech* (A)		3,539		77
Vertex Pharmaceuticals* (A)		8,600		285
Warner Chilcott, Cl A		3,300		63
Waters*		3,872		298
Watson Pharmaceuticals*		4,918		240
WellPoint*		17,231		960
Zimmer Holdings*		8,525		420

				59,126


Industrials — 10.9%
3M		30,446		2,557
Aecom Technology*		4,800		124
AGCO* (A)		4,000		181
Alexander & Baldwin		1,782		62
Alliant Techsystems (A)		1,436		106
Ametek		4,547		269
AMR* (A)		12,086		103
Armstrong World Industries*		700		34
Avery Dennison		4,710		177
Babcock & Wilcox*		4,750		115
BE Aerospace*		4,100		146
Boeing		32,491		2,072
Bucyrus International, Cl A		3,000		267
C.H. Robinson Worldwide (A)		7,086		522
Carlisle		2,666		98
Caterpillar		26,888		2,275
Chicago Bridge & Iron*		3,700		105
Cintas		6,157		165


Description	Shares		Market Value ($ Thousands)

CNH Global		1,100	$	46
Con-way (A)		2,223		75
Cooper Industries, Cl A		6,900		376
Copa Holdings, Cl A		1,600		89
Copart*		3,213		114
Corrections of America*		4,700		113
Covanta Holding (A)		6,200		97
Crane		2,400		90
CSX		16,332		993
Cummins		8,512		827
Danaher		23,002		995
Deere		18,218		1,361
Delta Air Lines*		34,500		472
Donaldson		2,972		161
Dover		7,857		431
Dun & Bradstreet		1,956		147
Eaton		7,126		687
Emerson Electric		32,320		1,780
Equifax		5,356		185
Expeditors International Washington (A)		8,848		468
Fastenal (A)		5,862		314
FedEx		13,444		1,225
Flowserve		2,400		253
Fluor (A)		7,508		434
FTI Consulting*		2,400		86
Gardner Denver		2,300		150
GATX (A)		2,100		70
General Cable* (A)		2,500		82
General Dynamics		14,472		956
General Electric		453,323		7,176
Goodrich		5,292		454
Graco		2,624		94
Harsco		3,470		83
Hertz Global Holdings* (A)		9,400		115
Honeywell International		32,890		1,635
Hubbell, Cl B		2,192		124
IDEX		3,593		135
IHS, Cl A*		2,200		159
Illinois Tool Works		19,080		909
Ingersoll-Rand		13,400		549
Iron Mountain		7,363		164
ITT		7,702		354
Jacobs Engineering Group*		5,102		196
JB Hunt Transport Services		3,972		145
Joy Global		4,433		338
Kansas City Southern*		4,500		213
KAR Auction Services*		2,100		25
KBR		7,284		197
Kennametal		3,500		118
Kirby*		2,300		103
L-3 Communications Holdings, Cl 3		4,977		350
Landstar System (A)		2,165		78
Lennox International		2,300		101
Lincoln Electric Holdings		1,800		111
Lockheed Martin		13,129		893
Manitowoc (A)		5,700		63
Manpower		3,684		207
Masco (A)		14,409		158
MSC Industrial Direct, Cl A		2,120		128
Navistar International*		3,000		154
Norfolk Southern		15,733		947


Description	Shares		Market Value ($ Thousands)

Northrop Grumman		12,578	$	776
Oshkosh Truck*		4,259		122
Owens Corning* (A)		5,100		134
Paccar (A)		15,570		839
Pall		4,945		224
Parker Hannifin		6,804		546
Pentair		3,861		127
Pitney Bowes (A)		8,385		184
Precision Castparts		6,046		835
Quanta Services* (A)		9,200		162
Raytheon		16,268		752
Regal-Beloit		1,400		85
Republic Services, Cl A		13,642		384
Robert Half International (A)		6,876		191
Rockwell Automation		6,304		417
Rockwell Collins		6,562		368
Roper Industries		4,000		290
RR Donnelley & Sons		9,677		153
Ryder System		2,106		91
Shaw Group*		3,300		106
Snap-On		2,491		132
Southwest Airlines		31,220		416
Spirit Aerosystems Holdings, Cl A*		4,700		91
SPX		2,211		145
Stericycle*		3,426		253
Terex*		4,648		113
Textron (A)		11,222		251
Thomas & Betts*		1,967		88
Timken		3,660		159
Toro (A)		1,560		91
Towers Watson, Cl A		2,100		106
TransDigm Group*		2,000		137
Trinity Industries (A)		3,500		80
Tyco International		21,600		818
Union Pacific		21,716		1,957
United Continental Holdings* (A)		13,000		360
United Parcel Service, Cl B		30,541		2,142
United Technologies		39,866		3,001
URS*		3,300		130
USG* (A)		2,298		29
UTi Worldwide		5,100		98
Valmont Industries		1,000		81
Verisk Analytics, Cl A*		4,500		136
WABCO Holdings*		2,424		120
Wabtec (A)		1,700		79
Waste Connections (A)		4,950		129
Waste Management (A)		20,594		705
WESCO International*		2,000		95
WW Grainger (A)		2,381		297

				57,956


Information Technology — 18.1%
Accenture, Cl A		25,700		1,113
Activision Blizzard		21,756		256
Adobe Systems*		22,402		621
Advanced Micro Devices* (A)		26,734		195
Akamai Technologies*		7,718		403
Alliance Data Systems* (A)		2,512		158
Altera (A)		12,573		441
Amdocs*		8,900		231
Amphenol, Cl A		7,592		380
Analog Devices		12,512		445


Description	Shares		Market Value ($ Thousands)

Ansys*		4,100	$	199
AOL*		5,034		122
Apple*		38,623		12,018
Applied Materials		57,355		713
Arrow Electronics*		5,189		161
Atheros Communications*		2,600		85
Atmel*		18,900		196
Autodesk*		9,937		351
Automatic Data Processing		21,392		953
Avago Technologies		4,000		104
Avnet*		6,110		187
AVX		1,424		20
BMC Software*		7,689		341
Broadcom, Cl A		21,168		942
Broadridge Financial Solutions		5,173		107
Brocade Communications Systems*		18,500		92
CA		16,238		372
Cadence Design Systems*		13,063		103
Ciena* (A)		4,114		62
Cisco Systems*		242,327		4,643
Citrix Systems*		7,787		517
Cognizant Technology Solutions, Cl A*		12,488		811
CommScope*		3,700		117
Computer Sciences		6,464		288
Compuware*		9,351		96
Convergys*		5,569		72
CoreLogic		4,584		83
Corning		67,158		1,186
Cree* (A)		4,422		288
Cypress Semiconductor*		7,200		113
Dell*		71,343		943
Diebold		2,729		86
Dolby Laboratories, Cl A* (A)		2,143		136
DST Systems		1,695		73
eBay*		48,411		1,410
EchoStar, Cl A*		2,132		43
Electronic Arts*		13,465		201
EMC*		88,064		1,893
Equinix*		2,000		155
F5 Networks*		3,438		453
Factset Research Systems (A)		2,000		177
Fairchild Semiconductor International, Cl A*		6,600		93
Fidelity National Information Services		10,990		296
First Solar* (A)		2,400		295
Fiserv*		6,369		352
FLIR Systems* (A)		6,800		182
Gartner*		2,600		84
Genpact*		3,100		43
Global Payments		3,734		155
Google, Cl A*		10,344		5,748
Harris		5,389		239
Hewlett-Packard		100,001		4,193
IAC*		3,532		99
Informatica*		3,500		145
Ingram Micro, Cl A*		7,023		125
Intel		237,058		5,007
International Business Machines		54,498		7,709
International Rectifier*		3,355		95
Intersil, Cl A (A)		5,361		68


Description	Shares		Market Value ($ Thousands)

Intuit*		11,986	$	538
Itron*		1,900		108
Jabil Circuit		6,674		101
JDS Uniphase*		10,540		125
Juniper Networks* (A)		22,325		760
Kla-Tencor		7,209		264
Lam Research*		5,391		244
Lender Processing Services (A)		3,614		111
Lexmark International, Cl A*		2,986		108
Linear Technology (A)		9,257		302
LSI*		24,748		142
Marvell Technology Group*		22,500		434
Mastercard, Cl A		4,100		972
Maxim Integrated Products (A)		13,400		312
McAfee*		6,373		299
MEMC Electronic Materials*		10,338		120
Microchip Technology (A)		7,822		263
Micron Technology* (A)		37,816		274
Micros Systems*		3,600		157
Microsoft		325,300		8,201
Molex (A)		6,370		133
Monster Worldwide* (A)		5,218		118
Motorola*		98,934		758
National Instruments		2,536		87
National Semiconductor		9,056		121
NCR*		6,689		96
NetApp* (A)		14,655		746
NeuStar, Cl A*		2,400		62
Novell*		15,326		91
Novellus Systems*		4,377		132
Nuance Communications*		9,100		161
Nvidia* (A)		24,356		331
ON Semiconductor*		19,200		157
Oracle		162,367		4,390
Paychex		13,507		386
PMC - Sierra*		7,300		53
Polycom*		3,300		122
QLogic*		3,880		69
Qualcomm		70,050		3,274
Rambus* (A)		4,500		90
Red Hat*		8,027		349
Rovi*		4,300		237
SAIC*		12,900		198
Salesforce.com*		4,838		674
SanDisk*		9,743		435
Seagate Technology*		21,600		290
Silicon Laboratories* (A)		2,200		93
Skyworks Solutions*		6,800		173
Solera Holdings		3,300		158
SunPower, Cl A* (A)		4,400		51
Symantec*		34,248		575
Synopsys*		6,882		177
Tech Data*		2,250		99
Tellabs		17,289		109
Teradata*		6,889		283
Teradyne* (A)		8,863		105
Texas Instruments		52,508		1,670
Total System Services		6,991		106
Trimble Navigation*		4,814		179
Varian Semiconductor Equipment Associates*		3,200		101
VeriSign* (A)		7,485		257
Visa, Cl A		19,700		1,455


Description	Shares		Market Value ($ Thousands)

Vishay Intertechnology*		7,150	$	102
Vishay Precision Group*		682		11
VistaPrint* (A)		1,600		65
VMware, Cl A* (A)		3,100		253
WebMD Health, Cl A*		2,210		113
Western Digital*		9,530		319
Western Union		28,728		507
Xerox		58,996		676
Xilinx (A)		11,457		311
Yahoo!* (A)		58,981		930
Zebra Technologies, Cl A*		2,025		74

				96,430


Materials — 4.1%
Air Products & Chemicals		9,194		793
Airgas		4,015		245
AK Steel Holding (A)		5,300		71
Albemarle		3,944		213
Alcoa (A)		43,202		567
Allegheny Technologies (A)		3,897		202
Aptargroup		2,600		119
Ashland		3,476		177
Ball		3,775		249
Bemis		4,774		150
Cabot		2,673		96
Carpenter Technology		2,300		84
Celanese, Cl A		6,283		232
CF Industries Holdings		2,866		346
Cliffs Natural Resources (A)		5,800		396
Commercial Metals		4,900		75
Compass Minerals International (A)		1,200		99
Crown Holdings*		6,451		200
Cytec Industries		2,381		114
Domtar		1,800		137
Dow Chemical (A)		48,670		1,518
E.I. Du Pont de Nemours		38,892		1,828
Eagle Materials		2,000		50
Eastman Chemical		2,942		229
Ecolab		9,891		473
FMC		3,060		238
Freeport-McMoRan Copper & Gold, Cl B		20,112		2,038
Greif, Cl A		1,500		88
Huntsman		8,329		129
International Flavors & Fragrances		3,191		168
International Paper		18,755		468
Intrepid Potash* (A)		1,500		46
Lubrizol		2,834		296
Martin Marietta Materials (A)		1,963		166
MeadWestvaco		7,858		195
Monsanto		23,450		1,405
Mosaic		6,578		445
Nalco Holding		5,017		148
Newmont Mining		20,433		1,202
Nucor (A)		12,990		490
Owens-Illinois*		7,491		201
Packaging of America		4,599		118
PPG Industries (A)		7,023		547
Praxair (A)		13,125		1,208
Reliance Steel & Aluminum		2,900		129
Royal Gold (A)		2,200		113


Description	Shares		Market Value ($ Thousands)

RPM International		6,269	$	128
Schnitzer Steel Industries, Cl A		1,000		57
Scotts Miracle-Gro, Cl A		2,006		100
Sealed Air		7,468		173
Sherwin-Williams		3,737		277
Sigma-Aldrich		5,048		319
Sonoco Products		3,946		129
Southern Copper		7,248		304
Steel Dynamics		10,100		161
Temple-Inland		5,375		113
Titanium Metals* (A)		3,358		58
United States Steel (A)		6,083		296
Valspar (A)		4,164		138
Vulcan Materials (A)		5,757		231
Walter Industries		2,400		246
Weyerhaeuser (A)		22,292		372

				21,603


Telecommunication Services — 2.9%
American Tower, Cl A*		17,422		881
AT&T		250,933		6,973
CenturyLink (A)		12,675		545
Clearwire, Cl A* (A)		8,300		58
Crown Castle International*		12,396		515
Frontier Communications (A)		42,295		385
Leap Wireless International* (A)		2,900		32
Level 3 Communications* (A)		84,300		84
MetroPCS Communications* (A)		11,800		143
NII Holdings*		7,520		291
Qwest Communications International (A)		73,796		517
SBA Communications, Cl A* (A)		5,300		207
Sprint Nextel*		125,544		475
Telephone & Data Systems		3,602		129
tw telecom, Cl A*		6,300		104
US Cellular*		831		38
Verizon Communications		120,515		3,858
Windstream		20,347		265

				15,500


Utilities — 3.5%
AES*		27,724		300
AGL Resources		3,047		112
Allegheny Energy		7,566		173
Alliant Energy		4,376		159
Ameren		9,790		281
American Electric Power		20,450		728
American Water Works		7,000		171
Aqua America (A)		5,877		127
Atmos Energy		3,491		105
Calpine*		14,900		180
Centerpoint Energy		17,915		280
CMS Energy (A)		9,142		164
Consolidated Edison (A)		11,916		576
Constellation Energy Group		8,358		237
Dominion Resources		25,712		1,068
DPL		5,446		138
DTE Energy		7,264		324
Duke Energy		56,719		995
Edison International		13,979		516
Energen		3,337		145
Entergy		8,098		577


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

Exelon		28,429	$	1,119
FirstEnergy (A)		12,881		452
Great Plains Energy (A)		6,471		121
Hawaiian Electric Industries (A)		3,746		82
Integrys Energy Group (A)		3,302		161
ITC Holdings		1,900		115
MDU Resources Group		8,621		176
Mirant* (A)		6,461		64
National Fuel Gas		3,289		208
NextEra Energy		17,373		880
NiSource		11,021		184
Northeast Utilities		7,907		246
NRG Energy*		10,500		203
NSTAR		4,528		188
NV Energy		10,800		148
OGE Energy		4,468		199
Oneok		4,529		232
Ormat Technologies (A)		1,000		27
Pepco Holdings		10,044		184
PG&E		15,818		742
Pinnacle West Capital		4,792		194
PPL		20,726		527
Progress Energy		12,161		531
Public Service Enterprise Group		21,552		665
Questar		7,346		122
RRI Energy* (A)		14,659		52
SCANA		5,120		208
Sempra Energy		10,523		527
Southern (A)		35,403		1,335
TECO Energy		8,400		141
UGI		4,850		144
Vectren		3,491		90
Westar Energy (A)		5,300		132
Wisconsin Energy		4,849		292
Xcel Energy		19,281		453

				18,500

Total Common Stock (Cost $378,335) ($ Thousands)				520,684


AFFILIATED PARTNERSHIP — 9.2%		49,675		48,998

SEI Liquidity Fund, L.P. 0.210% (E)**†
Total Affiliated Partnership (Cost $49,675) ($ Thousands)				48,998


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		10,711		10,711

Total Cash Equivalent (Cost $10,711) ($ Thousands)				10,711


U.S. TREASURY OBLIGATIONS (C) (D) —0.2%
U.S. Treasury Bills
0.135%, 12/16/10	$	400		400
0.110%, 01/20/11		828		828

				1,228

Total U.S. Treasury Obligations (Cost $1,228) ($ Thousands)				1,228


Description	Number of Rights		Market Value ($ Thousands)

RIGHTS — 0.0%

United States — 0.0%
Celgene		340	$	2

Total Rights (Cost $2) ($ Thousands)				2

Total Investments — 109.3% (Cost $439,951) ($ Thousands)			$	581,623

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		194		Dec-2010	$	657
S&P Mid 400 Index E-MINI		18		Dec-2010		128

					$	785

Percentages are based on a Net Assets of $532,181 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010.

The total value of securities on loan at November 30, 2010 was $48,242 ($ Thousands).

(B)

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

(C)

Zero coupon security. 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.

(E)

This security was purchased with cash collateral held from securities on loan.

The total value of such securities as of November 30, 2010 was $48,998

($ Thousands).

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	520,684	$	—	$	—	$	520,684
Affiliated Partnership		—		48,998		—		48,998
Cash Equivalent		10,711		—		—		10,711
U.S. Treasury Obligation		—		1,228		—		1,228
Rights		2		—		—		2

Total Investments in Securities	$	531,397	$	50,226	$	—	$	581,623


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	785	$	—	$	—	$	785

Total Other Financial Instruments	$	785	$	—	$	—	$	785

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

For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 85.1%

Consumer Discretionary — 11.9%
Aaron’s		2,100	$	42
Abercrombie & Fitch, Cl A		11,631		585
American Greetings, Cl A		110,900		2,226
American Public Education* (A)		117,670		4,021
America’s Car-Mart*		21,400		543
Ameristar Casinos		63,500		1,134
AnnTaylor Stores*		58,907		1,585
Arbitron		24,700		722
Arctic Cat*		54,500		813
Asbury Automotive Group*		3,700		58
Ascent Media, Cl A*		2,100		65
Beazer Homes USA*		79,300		330
Bebe Stores		53,900		347
Belo, Cl A*		91,657		532
Big Lots*		31,100		953
Blue Nile*		10,200		504
Bluegreen*		7,525		22
Blyth		16,731		746
Bob Evans Farms		24,900		775
Body Central*		8,700		106
Brinker International		84,700		1,731
Brown Shoe		116,840		1,662
Brunswick		30,500		486
Buckle		10,500		401
Buffalo Wild Wings*		29,278		1,420
Cabela’s*		128,650		2,863
California Pizza Kitchen*		48,200		815
Callaway Golf		103,268		791
Capella Education*		13,400		734
Career Education*		63,300		1,126
Carter’s*		35,500		1,124
Casual Male Retail Group*		173,800		834
Cato, Cl A		150,937		4,309
Cheesecake Factory*		13,100		418
Childrens Place Retail Stores*		28,500		1,479
Choice Hotels International		6,700		250
Christopher & Banks		71,829		383
Cinemark Holdings		21,000		368
Coinstar*		10,100		651
Cooper Tire & Rubber		133,621		2,791
Core-Mark Holding*		1,700		62
Corinthian Colleges*		39,600		164
Cracker Barrel Old Country Store		33,824		1,781
CROCS*		143,825		2,523
CSS Industries		17,600		322
Dana Holdings*		72,100		1,089
Deckers Outdoor*		15,300		1,176
Denny’s*		71,300		261
Dick’s Sporting Goods*		26,185		896
Dillard’s, Cl A		37,000		1,154
Domino’s Pizza*		34,700		513
Drew Industries*		3,000		61
DSW, Cl A*		22,000		860
Eastman Kodak*		347,700		1,638
Entercom Communications, Cl A*		18,400		160
Ethan Allen Interiors		44,293		730
EW Scripps, Cl A*		45,700		413
Exide Technologies*		11,400		93
Finish Line, Cl A		116,200		2,074
Foot Locker		126,300		2,383


Description	Shares		Market Value ($ Thousands)

Fred’s, Cl A		81,900	$	1,047
Fuel Systems Solutions*		2,600		90
Furniture Brands International*		20,100		89
Gaylord Entertainment*		9,100		312
Harman International Industries*		2,900		126
Harte-Hanks		10,500		131
Helen of Troy*		12,100		286
hhgregg*		38,034		954
Hibbett Sports*		10,200		349
Hillenbrand		40,035		773
HOT Topic		194,900		1,195
HSN*		16,100		457
Iconix Brand Group*		162,960		3,044
International Speedway, Cl A		15,685		372
J Crew Group*		74,688		3,265
Jack in the Box*		64,300		1,293
Jackson Hewitt Tax Service*		69,200		58
Jakks Pacific*		56,300		1,084
Jarden		94,215		2,892
Jo-Ann Stores*		18,300		887
Jones Group		125,600		1,701
Jos. A. Bank Clothiers*		10,950		493
Journal Communications, Cl A*		152,400		692
Kirkland’s*		49,000		586
Lakeland Industries*		73,784		686
La-Z-Boy, Cl Z*		60,000		452
Leggett & Platt		14,700		304
Libbey*		93,100		1,347
Liberty Media - Starz, Ser A*		2,800		176
Life Time Fitness*		62,030		2,446
Lincoln Educational Services		85,300		1,251
Live Nation*		179,162		1,928
Liz Claiborne*		40,900		299
Matthews International, Cl A		57,029		1,852
McClatchy, Cl A*		37,900		120
MDC Partners, Cl A		237,700		3,390
Men’s Wearhouse		33,009		941
Meredith		63,700		2,141
Meritage Homes*		82,455		1,564
Monro Muffler		7,300		361
Morningstar		6,800		343
National CineMedia		120,637		2,251
New Frontier Media*		229,662		441
NutriSystem		33,400		690
NVR*		2,140		1,327
O’Charleys*		27,900		193
OfficeMax*		22,060		377
Overstock.com*		2,900		45
Oxford Industries		36,100		892
Papa John’s International*		12,600		323
Penske Auto Group*		87,570		1,321
PEP Boys-Manny Moe & Jack		5,900		73
PetMed Express		84,900		1,505
PetSmart		41,500		1,571
PF Chang’s China Bistro		9,700		490
Pier 1 Imports*		24,100		235
Pinnacle Entertainment*		46,200		615
Polaris Industries		14,900		1,083
Pool		25,300		536
Pre-Paid Legal Services*		18,700		1,210
Quiksilver*		20,400		88
RadioShack		66,100		1,220
RC2*		3,800		84


Description	Shares		Market Value ($ Thousands)

Red Robin Gourmet Burgers*		44,100	$	817
Regal Entertainment Group, Cl A		64,400		869
Regis		78,927		1,406
Rent-A-Center, Cl A		127,600		3,552
Retail Ventures*		36,000		590
Ruby Tuesday*		73,100		935
Ryland Group		29,300		427
Saks*		351,860		3,920
Scholastic		88,441		2,485
Scientific Games, Cl A*		42,592		343
Sealy*		40,500		122
Shoe Carnival*		24,791		688
Shuffle Master*		106,900		1,147
Shutterfly*		25,600		845
Sinclair Broadcast Group, Cl A		39,677		307
Skechers U.S.A., Cl A*		50,400		1,164
Sotheby’s		50,993		2,045
Spartan Motors		19,800		105
Spectrum Group International*		9,759		18
Stage Stores		106,100		1,605
Steiner Leisure*		43,100		1,733
Stewart Enterprises, Cl A		93,104		528
Stoneridge*		24,200		315
Sturm Ruger		125,700		2,011
SuperMedia*		4,400		20
Systemax*		4,900		64
Talbots*		456,890		5,254
Tempur-Pedic International*		94,008		3,301
Tenneco*		56,693		2,067
Tesla Motors*		34,400		1,216
Texas Roadhouse, Cl A*		16,900		289
Timberland, Cl A*		72,300		1,792
Tractor Supply		38,965		1,655
True Religion Apparel*		74,430		1,669
Tupperware Brands		8,300		386
Ulta Salon Cosmetics & Fragrance*		9,100		318
Under Armour, Cl A*		23,375		1,349
Universal Technical Institute		20,400		422
Valassis Communications*		13,100		426
Volcom		14,700		265
Warnaco Group*		1,800		97
Whistler Blackcomb Holdings*		34,600		399
Winnebago Industries*		23,400		245
Wolverine World Wide		26,400		825
World Wrestling Entertainment, Cl A		13,300		186
Zumiez*		132,475		4,214

				171,881


Consumer Staples — 2.1%
Andersons		39,600		1,280
BJ’s Wholesale Club*		8,168		374
Cal-Maine Foods		38,134		1,169
Casey’s General Stores		36,570		1,454
Central Garden and Pet*		35,415		328
Central Garden and Pet, Cl A*		50,466		471
China-Biotics*		58,100		671
Chiquita Brands International*		255,900		2,861
Corn Products International		17,271		745
Cosan Industria e Comercio (Brazil)		17,400		266
Darling International*		32,400		375


Description	Shares		Market Value ($ Thousands)

Dean Foods*		44,300	$	322
Del Monte Foods		150,356		2,816
Dole Food*		77,671		736
Elizabeth Arden*		12,500		266
Fresh Del Monte Produce		70,200		1,542
Herbalife		11,729		805
Ingles Markets, Cl A		25,700		479
Kulim Malaysia		48,600		186
Lancaster Colony		50,015		2,604
Le Gaga Holdings ADR* (A)		45,441		392
Mead Johnson Nutrition, Cl A		4,500		268
Nash Finch		25,100		927
Pantry*		53,845		1,106
Prestige Brands Holdings*		95,889		1,129
Pricesmart		9,200		309
Ruddick		55,096		2,025
Sanderson Farms		19,700		872
Saskatchewan Wheat Pool, Cl Common Subscription Recei		109,100		973
Seneca Foods, Cl A*		17,379		413
Universal		49,600		2,029
Vector Group		4,620		85
Village Super Market, Cl A		1,300		41
Weis Markets		13,300		513
Winn-Dixie Stores*		32,400		197

				31,029


Energy — 5.7%
Allis-Chalmers Energy*		34,700		223
Alon USA Energy		26,200		145
Approach Resources*		57,600		1,052
Atwood Oceanics*		54,300		1,933
Berry Petroleum, Cl A		85,648		3,264
BPZ Resources*		237,600		936
Brigham Exploration*		44,800		1,127
Cal Dive International*		249,337		1,334
CARBO Ceramics		9,800		952
Clayton Williams Energy*		800		60
Clean Energy Fuels*		67,300		901
Cloud Peak Energy*		15,800		331
Complete Production Services*		38,200		1,087
Comstock Resources*		259,067		6,347
Crosstex Energy		8,800		81
CVR Energy*		95,673		1,151
Delek US Holdings		59,137		421
DHT Maritime		22,600		99
Dresser-Rand Group*		37,810		1,434
Energy Partners*		11,600		141
Energy XXI Bermuda*		41,045		1,012
Exterran Holdings*		28,357		643
Forest Oil*		51,200		1,752
Frontier Oil		48,188		748
Frontline		35,600		924
GeoMet*		214,366		178
Global Geophysical Services*		27,400		253
Goodrich Petroleum*		360,257		4,737
Gulfmark Offshore, Cl A*		15,500		454
Holly		15,800		568
Hornbeck Offshore Services*		32,100		708
Houston American Energy		17,800		306
Karoon Gas Australia*		105,098		743
Key Energy Services*		92,554		953
Kinder Morgan Escrow*		58,213		—


Description	Shares		Market Value ($ Thousands)

Knightsbridge Tankers		23,300	$	530
Matrix Service*		90,500		899
McMoRan Exploration*		43,300		647
Newpark Resources*		129,500		741
Nordic American Tanker Shipping		39,100		1,012
Northern Oil And Gas*		19,800		452
Oilsands Quest*		3,087,200		1,389
Overseas Shipholding Group		47,900		1,675
Parker Drilling*		156,600		626
Patterson-UTI Energy		93,500		1,846
Penn Virginia		60,100		953
PetroHawk Energy*		286,860		5,115
Petroquest Energy*		53,600		372
Quicksilver Resources*		222,809		3,168
Scorpio Tankers*		373,274		3,714
SEACOR Holdings*		9,400		1,025
Seahawk Drilling*		6,000		49
Ship Finance International		59,200		1,285
StealthGas*		112,100		570
Stone Energy*		14,800		306
Superior Energy Services*		47,300		1,579
Swift Energy*		58,497		2,135
Teekay		30,700		979
Tesoro		24,200		395
Tetra Technologies*		98,000		1,078
Tidewater		22,516		1,105
Unit*		2,700		108
USEC*		338,200		2,012
Vaalco Energy*		178,200		1,317
Vantage Drilling*		580,568		1,022
Venoco*		18,400		320
W&T Offshore		120,800		2,023
World Fuel Services		165,821		4,991

				82,436


Financials — 18.5%
Acadia Realty Trust‡		8,600		157
Advance America Cash Advance Centers		121,600		579
Affiliated Managers Group*		21,190		1,852
Agree Realty‡		11,000		307
Alexander’s‡		500		193
Allied World Assurance Holdings		19,900		1,169
Alterra Capital Holdings		124,900		2,540
AMB Property‡		69,650		2,032
American Campus Communities‡		35,300		1,110
American Capital*		268,317		1,929
American Capital Agency‡		39,100		1,146
American Equity Investment Life Holding		160,700		1,765
American National Insurance		300		24
Amtrust Financial Services		45,800		733
Anworth Mortgage Asset‡		230,509		1,600
Apartment Investment & Management, Cl A‡		109,214		2,634
Apollo Investments*		78,338		827
Ares Capital		4,550		75
Argo Group International Holdings		16,500		609
Arlington Asset Investment, Cl A		1,100		27
Ashford Hospitality Trust‡*		55,000		517
Aspen Insurance Holdings		122,600		3,543


Description	Shares		Market Value ($ Thousands)

Associated Banc		32,600	$	417
Associated Estates Realty‡		3,200		48
Astoria Financial		76,800		925
AvalonBay Communities‡		13,283		1,465
Banco Latinoamericano de Comercio Exterior, Cl E		95,800		1,556
Bancorp Rhode Island		34,300		1,023
Bancorpsouth		91,030		1,170
Bank Mutual		25,200		115
Bank of Hawaii		40,700		1,762
Bank of the Ozarks		14,800		561
BGC Partners, Cl A		10,800		83
BioMed Realty Trust‡		20,900		368
BlackRock Kelso Capital		71,700		804
Boston Private Financial Holdings		232,482		1,248
Boston Properties‡		34,600		2,899
Brandywine Realty Trust‡		185,800		2,055
Brasil Brokers Participacoes		38,400		210
Brookline Bancorp		9,400		92
Calamos Asset Management, Cl A		21,022		251
Camden National		10,600		381
Campus Crest Communities‡*		66,200		835
CapitalSource		404,625		2,614
Capstead Mortgage‡		232,100		2,727
Cardinal Financial		40,523		420
Cash Store Financial Services		96,875		1,379
Cathay General Bancorp		121,700		1,644
CBL & Associates Properties‡		178,997		2,953
Central Pacific Financial*		29,400		42
Chatham Lodging Trust‡		37,500		616
Chemical Financial		25,048		524
Chimera Investment‡		241,200		965
Citizens Republic Bancorp*		598,000		347
City Holding (A)		28,200		904
CNA Surety*		26,160		615
CNO Financial Group*		194,700		1,139
Cohen & Steers		15,200		383
Colonial Properties Trust‡		15,600		281
CommonWealth REIT‡		84,650		2,119
Community Bank System		68,788		1,656
Corporate Office Properties Trust‡		39,850		1,351
Cousins Properties‡		16,409		122
Cowen Group, Cl A*		258,111		1,053
Crawford, Cl B*		4,024		12
Credit Acceptance*		24,686		1,530
CreXus Investment‡		62,900		795
CVB Financial		218,312		1,718
DCT Industrial Trust‡		44,100		218
Delphi Financial Group, Cl A		75,500		1,939
DiamondRock Hospitality‡		25,692		270
Dime Community Bancshares		33,400		456
Dollar Financial*		43,700		1,144
Duff & Phelps, Cl A		45,534		609
DuPont Fabros Technology‡		55,200		1,247
Dynex Capital‡		45,500		478
East West Bancorp		42,800		742
EastGroup Properties‡		5,600		223
Eaton Vance		55,095		1,637
Education Realty Trust‡		78,576		577
EMC Insurance Group		3,371		75
Employers Hol dings		66,410		1,073
Encore Bancshares*		39,100		370


Description	Shares		Market Value ($ Thousands)

Encore Capital Group*		33,200	$	617
Endurance Specialty Holdings		61,028		2,692
Entertainment Properties Trust‡		16,300		755
Equity Lifestyle Properties‡		5,600		302
Equity One‡		86,086		1,490
Equity Residential‡		71,250		3,561
ESSA Bancorp		36,900		485
Essex Property Trust‡		20,550		2,278
Extra Space Storage‡		19,200		308
FBL Financial Group, Cl A		36,057		963
FBR Capital Markets*		372,400		1,348
Federal Realty Investment Trust‡		11,400		882
Federated Investors, Cl B		50,255		1,192
FelCor Lodging Trust‡*		13,600		81
Financial Engines*		243,782		4,125
First Commonwealth Financial		99,204		615
First Financial Bancorp		53,599		885
First Financial Bankshares		700		34
First Financial Holdings		18,800		207
First Horizon National*		56,985		545
First Industrial Realty Trust‡*		13,800		105
First Merchants		9,500		79
First Midwest Bancorp		12,400		116
First Potomac Realty Trust‡		9,000		142
FirstMerit		83,610		1,457
Flushing Financial		110,800		1,485
FNB (Pennsylvania)		120,942		1,061
FPIC Insurance Group*		17,400		643
Franklin Street Properties‡		14,800		190
General Growth Properties‡		44,800		725
General Shopping Brasil (Brazil)*		28,700		213
Getty Realty‡		23,318		695
GFI Group		90,800		421
Glimcher Realty Trust‡		14,000		114
Global Indemnity, Cl A*		3,600		69
Gluskin Sheff + Associates		23,600		427
Government Properties Income Trust‡		2,700		69
Great American Group*		234,582		94
Greenhill		5,800		435
Hancock Holding		50,200		1,581
Harleysville Group		9,000		320
Hatteras Financial‡		45,300		1,403
HCP‡		88,600		2,918
Healthcare Realty Trust‡		13,300		274
Hercules Technology Growth Capital		106,465		1,063
Hersha Hospitality Trust, Cl A‡		15,800		97
Highwoods Properties‡		51,700		1,577
Home Bancshares		48,600		1,006
Home Federal Bancorp		37,800		436
Home Properties‡		7,300		391
Horace Mann Educators		161,578		2,639
Horizon Financial*		400		—
Hospitality Properties Trust‡		19,100		422
Host Hotels & Resorts‡		157,812		2,601
Hudson Valley Holding		44,561		882
Iberiabank		14,014		706
Infinity Property & Casualty		57,159		3,300
Inland Real Estate‡		80,900		688
International Bancshares		132,600		2,281
Invesco Mortgage Capital‡		4,300		97
Investment Technology Group*		5,000		73


Description	Shares		Market Value ($ Thousands)

Investors Real Estate Trust‡		123,100	$	1,089
iStar Financial‡*		19,600		107
Jones Lang LaSalle		26,830		2,141
Kennedy-Wilson Holdings*		42,710		418
Kilroy Realty‡		9,300		317
Knight Capital Group, Cl A*		172,400		2,265
LaSalle Hotel Properties‡		13,900		331
Lexington Realty Trust‡		22,672		178
Life Partners Holdings		1,900		41
LPL Investment Holdings*		46,350		1,571
LTC Properties‡		66,793		1,803
Macerich‡		36,596		1,696
Mack-Cali Realty‡		26,950		856
Maiden Holdings		137,100		1,032
MainSource Financial Group		22,500		206
MarketAxess Holdings		185,251		3,370
MB Financial		31,200		444
MCG Capital		15,200		106
Meadowbrook Insurance Group		328,368		3,106
Medical Properties Trust‡		214,100		2,244
MF Global Holdings*		240,550		1,888
MFA Mortgage Investments‡		545,612		4,447
MGIC Investment* (A)		395,530		3,370
Mid-America Apartment Communities‡		18,671		1,146
Montpelier Re Holdings		131,013		2,578
MSCI, Cl A*		44,742		1,524
National Health Investors‡		5,900		260
National Penn Bancshares		221,740		1,488
National Retail Properties‡		18,100		471
Nationwide Health Properties‡		8,413		303
Navios Maritime Acquisition		108,480		496
NBT Bancorp		11,200		249
Nelnet, Cl A		142,800		3,049
Netspend Holdings*		94,850		1,271
Northwest Bancshares		24,800		255
OceanFirst Financial		13,950		168
Omega Healthcare Investors‡		18,100		382
Oppenheimer Holdings, Cl A		500		12
Oriental Financial Group		33,900		393
PacWest Bancorp		36,724		624
Park National (A)		12,200		824
Parkway Properties‡		32,800		521
Pebblebrook Hotel Trust‡*		38,819		727
Pennsylvania Real Estate Investment Trust‡		10,700		144
PHH*		48,900		1,038
Phoenix*		279,300		640
Pico Holdings*		38,458		1,098
Piedmont Office Realty Trust, Cl A‡		47,095		937
Piper Jaffray*		4,500		135
Platinum Underwriters Holdings		112,884		4,880
Post Properties‡		9,900		337
Potlatch‡		30,400		963
Presidential Life		13,709		127
PrivateBancorp, Cl A		34,300		417
ProAssurance*		25,199		1,493
ProLogis‡		99,100		1,289
Prospect Capital		51,800		507
Prosperity Bancshares		42,800		1,393
Protective Life		66,500		1,564
Provident Financial Services		103,000		1,419


Description	Shares		Market Value ($ Thousands)

PS Business Parks‡		3,900	$	202
Public Storage‡		36,574		3,533
Radian Group		208,300		1,477
RAIT Financial Trust‡*		45,800		74
Ramco-Gershenson Properties‡		6,800		78
Redwood Trust‡		62,400		863
Regency Centers‡		40,500		1,649
Reinsurance Group of America, Cl A		16,412		819
Renasant		47,800		828
Republic Bancorp, Cl A		47,900		982
S&T Bancorp		24,200		475
Sabra Healthcare REIT‡		22,566		385
Safety Insurance Group		43,900		2,055
SCBT Financial		32,900		1,017
Selective Insurance Group		49,700		820
Senior Housing Properties Trust‡		73,350		1,638
Signature Bank NY*		12,860		565
Simmons First National, Cl A		29,180		848
Simon Property Group‡		39,397		3,881
SL Green Realty‡		21,850		1,429
Sovran Self Storage‡		22,703		818
Starwood Property Trust‡		52,700		1,052
Sterling Financial* (A)		888		14
Stewart Information Services (A)		22,500		239
Stifel Financial*		10,093		523
Strategic Hotels & Resorts‡*		27,400		128
Student Loan		8,000		240
Sun Communities‡		3,600		119
Sunstone Hotel Investors‡*		55,225		526
Susquehanna Bancshares		93,335		751
SVB Financial Group*		38,515		1,731
SWS Group		115,469		600
Synovus Financial		367,239		746
Tanger Factory Outlet Centers‡		8,900		427
Taubman Centers‡		48,950		2,376
TCF Financial		86,442		1,177
Texas Capital Bancshares*		11,400		215
THL Credit		60,200		789
Titanium Asset Management*		10,500		9
Titanium Asset Management PP (H)(I)(J)*		122,200		351
Tompkins Financial		9,800		376
Tower Group		13,900		358
TradeStation Group*		16,900		107
Trustco Bank		195,967		1,099
Trustmark		10,200		218
UMB Financial		9,200		343
Umpqua Holdings		62,288		660
United Bankshares		53,642		1,406
United Financial Bancorp		30,700		455
United Fire & Casualty		5,800		120
Unitrin		27,900		660
Universal Health Realty Income Trust‡		3,000		105
Uranium Participation*		130,100		1,050
Urstadt Biddle Properties, Cl A‡		4,600		85
U-Store-It Trust‡		17,500		145
Validus Holdings		59,684		1,743
Value Creation (H)(I)(J)*		119,600		121
Ventas‡		28,000		1,436
ViewPoint Financial Group		92,320		969
Vornado Realty Trust‡		12,137		990


Description	Shares		Market Value ($ Thousands)

Waddell & Reed Financial, Cl A		8,179	$	252
Walter Investment Management‡		44,100		761
Washington Federal		34,000		502
Washington Real Estate Investment Trust‡		43,200		1,325
Webster Financial		49,400		815
WesBanco		30,100		525
Westamerica Bancorporation		32,300		1,579
Whitney Holding		111,399		1,046
Willis Group Holdings		5,462		174
Wilmington Trust		9,300		36
Wilshire Bancorp		10,100		72
World Acceptance*		63,450		2,796
WSFS Financial		23,200		1,009
Zions Bancorporation		55,432		1,078

				268,276


Health Care — 8.5%
Abaxis*		83,306		2,249
Acadia Pharmaceuticals*		249,100		167
Accuray*		131,290		785
Achillion Pharmaceuticals*		167,775		480
Acorda Therapeutics*		23,700		624
Affymetrix*		32,700		136
Air Methods*		18,800		926
Albany Molecular Research*		40,719		206
Alere*		57,600		1,838
Align Technology*		141,337		2,472
Allscripts Healthcare Solutions*		9,400		165
Amedisys*		33,776		959
AMERIGROUP*		11,401		491
AMN Healthcare Services*		151,375		848
Amsurg, Cl A*		124,224		2,283
Analogic		9,556		444
Angiodynamics*		18,214		254
Arena Pharmaceuticals*		171,382		249
Assisted Living Concepts, Cl A*		43,900		1,327
athenahealth*		65,070		2,669
BioMarin Pharmaceutical*		55,251		1,496
Bruker*		25,800		398
Cambrex*		110,300		471
Cantel Medical		11,200		226
Cardiome Pharma*		246,757		1,192
Catalyst Health Solutions*		41,320		1,773
Celera*		10,200		58
Cepheid*		1,700		33
Chemed		53,395		3,254
Chindex International*		800		12
Conceptus*		114,580		1,507
Conmed*		64,412		1,385
Continucare*		82,200		388
Cooper		12,152		650
Cross Country Healthcare*		48,051		369
CryoLife*		13,700		77
Cubist Pharmaceuticals*		49,341		1,071
Durect*		545,153		1,625
Emeritus*		1,700		31
Ensign Group		47,600		1,024
Enzon Pharmaceuticals*		40,900		455
eResearch Technology*		61,603		345
Exactech*		33,014		588
Exelixis*		12,100		70
Genomic Health*		3,600		66


Description	Shares		Market Value ($ Thousands)

Genoptix*		9,935	$	170
Gen-Probe*		45,860		2,378
Genta*		1		—
Gentiva Health Services*		53,300		1,225
Haemonetics*		30,160		1,773
Healthsouth*		93,722		1,687
Healthspring*		9,100		244
Healthways*		10,000		96
HeartWare International*		30,413		2,797
Hill-Rom Holdings		27,200		1,077
ICU Medical*		93,700		3,434
Immucor*		43,000		790
Impax Laboratories*		21,200		378
Incyte*		211,835		3,074
Inspire Pharmaceuticals*		74,900		523
Invacare		17,300		467
IPC The Hospitalist*		57,762		1,873
Kendle International*		45,317		408
Kensey Nash*		9,200		250
Kindred Healthcare*		107,550		1,736
Kinetic Concepts*		21,300		846
LCA-Vision*		13,400		69
LHC Group*		39,100		1,034
LifePoint Hospitals*		8,900		322
Magellan Health Services*		22,300		1,086
MannKind*		17,300		109
Martek Biosciences*		20,300		447
Masimo		61,510		1,898
Matrixx Initiatives*		4,600		24
Medical Action Industries*		39,500		314
Medicines*		103,000		1,358
Medicis Pharmaceutical, Cl A		101,000		2,661
Mednax*		13,500		826
Meridian Bioscience		57,600		1,280
Merit Medical Systems*		5,350		82
Metropolitan Health Networks*		99,800		430
Molina Healthcare*		15,200		386
Momenta Pharmaceuticals*		17,000		259
MWI Veterinary Supply*		31,743		1,939
Myriad Genetics*		63,960		1,377
Nektar Therapeutics*		13,300		168
Nighthawk Radiology Holdings*		2,381		15
NuVasive*		191,884		4,482
NxStage Medical*		16,300		353
Omnicell*		173,343		2,323
Owens & Minor		28,900		816
Par Pharmaceutical*		95,170		3,419
Parexel International*		124,705		2,190
Patterson		15,459		460
PDL BioPharma		510,727		2,952
Pharmaceutical Product Development		25,593		638
Pharmacyclics*		9,500		51
PharMerica*		92,700		1,007
Pozen*		250,174		1,601
Providence Service*		64,470		1,084
PSS World Medical*		98,305		2,025
Quality Systems		35,013		2,258
Questcor Pharmaceuticals*		50,900		725
Quidel*		19,423		257
RehabCare Group*		111,201		2,250
Rigel Pharmaceuticals*		143,400		1,144
Salix Pharmaceuticals*		16,100		719


Description	Shares		Market Value ($ Thousands)

Savient Pharmaceuticals*		5,400	$	64
Seattle Genetics*		53,825		813
Sirona Dental Systems*		2,700		102
Skilled Healthcare Group, Cl A*		50,800		323
STERIS		75,600		2,601
Sun Healthcare Group*		22,566		221
Sunrise Senior Living*		21,000		77
Symmetry Medical*		18,300		150
Targacept*		9,700		206
Techne		52,750		3,169
Teleflex		26,775		1,337
Universal American Financial		103,100		1,529
Viropharma*		27,800		429
WellCare Health Plans*		17,600		495
Zoll Medical*		25,275		845

				122,561


Industrials — 15.1%
AAR*		1,900		47
ABM Industries		21,300		490
ACCO Brands*		71,200		500
Acuity Brands		15,300		824
Administaff		2,000		57
Aegean Marine Petroleum Network		456,582		4,018
AerCap Holdings*		315,676		4,101
Aerovironment*		56,503		1,396
Air Transport Services Group*		109,000		804
Aircastle		171,100		1,639
Airtran Holdings*		174,300		1,297
Alamo Group		21,600		553
Alaska Air Group*		33,400		1,837
Allegiant Travel, Cl A		6,300		314
Alliant Techsystems		19,895		1,470
Altra Holdings*		2,500		42
American Superconductor*		28,000		932
Ampco-Pittsburgh		23,100		608
AO Smith		38,550		1,519
APAC Customer Services*		66,400		393
Apogee Enterprises		119,500		1,344
Applied Industrial Technologies		58,600		1,751
Arkansas Best		2,100		52
Armstrong World Industries*		11,400		553
ArvinMeritor*		68,700		1,226
Astec Industries*		37,100		1,111
Atlas Air Worldwide Holdings*		19,000		1,037
AZZ		5,800		216
Baldor Electric		5,900		374
Barnes Group		87,180		1,664
BE Aerospace*		21,994		781
Beacon Roofing Supply*		60,000		1,032
Belden		46,679		1,554
Blount International*		5,800		90
Brady, Cl A		22,259		688
Briggs & Stratton		120,015		2,089
Carlisle		126,370		4,628
Cascade		12,200		446
Celadon Group*		176,448		2,377
Ceradyne*		45,900		1,213
Chart Industries*		12,400		392
Chicago Bridge & Iron*		41,400		1,172
Clean Harbors*		11,048		818
Columbus McKinnon*		81,016		1,329


Description	Shares		Market Value ($ Thousands)

Comfort Systems USA		134,486	$	1,499
Consolidated Graphics*		4,400		209
Con-way		14,100		476
Copa Holdings, Cl A		32,201		1,796
Copart*		42,920		1,523
Corporate Executive Board		67,052		2,326
CoStar Group*		70,310		3,708
Courier		15,336		218
CRA International*		87,345		1,930
Crane		4,500		169
Cubic		42,700		1,948
Deluxe		88,600		1,877
Douglas Dynamics		67,900		1,002
Dycom Industries*		73,592		973
EMCOR Group*		190,918		5,117
Encore Wire		11,100		253
EnerNOC*		65,115		1,597
EnerSys*		1,900		57
Ennis		31,521		538
EnPro Industries*		34,900		1,279
Esterline Technologies*		34,700		2,043
Fastenal		14,600		781
Force Protection*		215,500		1,106
Franklin Electric		16,500		642
FreightCar America		4,900		122
FTI Consulting*		104,200		3,714
G&K Services, Cl A		49,992		1,387
Gardner Denver		40,992		2,683
Genco Shipping & Trading*		34,100		501
GenCorp*		21,700		107
Generac Holdings*		43,400		645
Geo Group*		146,600		3,533
GeoEye*		22,700		905
Gibraltar Industries*		67,000		681
Global Power Equipment Group*		10,500		209
Gorman-Rupp		300		9
Graco		7,800		281
GrafTech International*		28,100		551
Granite Construction		68,200		1,730
Great Lakes Dredge & Dock		202,900		1,558
Griffon*		51,700		627
H&E Equipment Services*		94,200		937
Hawaiian Holdings*		146,400		1,156
Heidrick & Struggles International		3,500		73
Hexcel*		143,575		2,462
Higher One Holdings*		74,453		1,508
Hill International*		5,500		28
HNI		23,300		621
Horizon Lines, Cl A		268,078		978
ICF International*		11,476		275
IDEX		45,107		1,690
IHS, Cl A*		21,885		1,583
Innerworkings* (A)		411,541		2,539
Insteel Industries		1,600		17
Interface, Cl A		214,156		3,092
Interline Brands*		10,200		210
JetBlue Airways*		21,600		147
Kadant*		28,874		554
Kaman		16,967		478
Kaydon		68,099		2,382
Kelly Services, Cl A*		29,600		529
Keyw Holding*		96,680		1,208
Kirby*		46,400		2,073


Description	Shares		Market Value ($ Thousands)

Knight Transportation		113,225	$	2,183
Kratos Defense & Security Solutions*		92,700		980
Ladish*		17,500		821
Landstar System		59,890		2,153
LB Foster, Cl A*		8,800		305
LECG*		200,141		189
Lincoln Electric Holdings		4,700		290
LS Starrett, Cl A		1,700		20
Lydall*		15,460		112
M&F Worldwide*		8,700		205
Manitowoc		80,900		888
Marten Transport		16,800		361
Mcgrath Rentcorp		5,776		161
Michael Baker*		41,100		1,319
Miller Industries		200		3
Mine Safety Appliances		35,128		1,012
Mobile Mini*		126,883		2,293
Mueller Industries		78,200		2,384
Mueller Water Products, Cl A		55,000		194
NACCO Industries, Cl A		15,100		1,398
National Presto Industries		800		93
Navistar International*		14,100		722
Nordson		21,300		1,692
Old Dominion Freight Line*		52,050		1,503
Orbital Sciences*		7,700		125
Orion Marine Group*		39,800		535
Pacer International*		76,900		430
PMFG*		400		6
Polypore International*		14,000		445
Powell Industries*		10,800		380
Quanex Building Products		110,975		1,835
RailAmerica*		14,500		180
Raven Industries		17,100		759
RBC Bearings*		33,934		1,252
Regal-Beloit		6,400		390
Republic Airways Holdings*		79,700		618
Resources Connection		231,777		3,878
Ritchie Bros Auctioneers		101,690		2,036
Robbins & Myers		4,100		127
RSC Holdings*		130,800		1,019
Rush Enterprises, Cl A*		104,523		1,837
Ryder System		54,300		2,341
Sauer-Danfoss*		300		9
School Specialty*		109,203		1,379
SeaCube Container Leasing		85,700		1,019
Simpson Manufacturing		19,000		492
Skywest		82,464		1,335
Spirit Aerosystems Holdings, Cl A*		61,900		1,205
Standard Parking*		141,654		2,516
Standard Register		15,594		46
Standex International		18,500		553
Sun Hydraulics		1,000		31
SYKES Enterprises*		89,000		1,638
TAL International Group		64,781		1,835
Teledyne Technologies*		62,920		2,531
Tennant		34,263		1,170
Terex*		33,380		810
Tetra Tech*		31,960		739
Textainer Group Holdings		34,900		971
Titan Machinery*		55,476		1,163
Towers Watson, Cl A		52,264		2,624


Description	Shares		Market Value ($ Thousands)

TransDigm Group*		26,820	$	1,837
Tredegar		52,205		973
Trimas*		2,600		52
Trinity Industries		23,400		536
Triumph Group		6,832		575
TrueBlue*		82,800		1,365
Tutor Perini		119,806		2,282
Unifirst		10,800		554
United Continental Holdings*		34,811		964
United Rentals*		79,225		1,554
Universal Forest Products		3,400		111
US Airways Group*		111,100		1,240
US Ecology		7,277		114
Vitran, Cl A*		107,252		1,244
Wabash National*		302,300		3,189
Wabtec		51,825		2,396
Watsco		31,400		1,893
Watts Water Technologies, Cl A		34,058		1,109
Werner Enterprises		13,700		296
WESCO International*		127,164		6,068
Woodward Governor		59,100		1,995
YRC Worldwide*		1,252		4

				219,519


Information Technology — 16.0%
ACI Worldwide*		5,000		127
Acme Packet*		65,152		3,191
Acxiom*		31,200		531
ADC Telecommunications*		20,000		254
Advent Software*		28,748		1,483
Aeroflex Holding*		84,800		1,222
Amkor Technology*		189,700		1,320
Ancestry.com*		56,350		1,610
Anixter International		37,517		2,096
AOL*		91,719		2,218
Applied Micro Circuits*		16,100		149
Archipelago Learning*		74,469		643
Arris Group*		247,400		2,477
Arrow Electronics*		52,400		1,625
Aruba Networks*		19,600		416
AsiaInfo Holdings*		71,510		1,191
Atheros Communications*		145,748		4,746
Atmel*		345,700		3,592
AVX		31,200		446
Benchmark Electronics*		149,497		2,402
Black Box		20,300		727
Blackbaud		17,600		445
Blackboard*		69,526		2,889
Blue Coat Systems*		14,300		380
Brightpoint*		122,700		1,006
Brocade Communications Systems*		288,592		1,437
Cabot Microelectronics*		27,000		1,066
CACI International, Cl A*		45,013		2,266
Cardtronics*		84,898		1,435
CDC Software ADR*		198,600		1,392
Ceva*		189,300		4,392
Checkpoint Systems*		28,786		516
Ciber*		382,148		1,284
Ciena*		99,025		1,500
Cirrus Logic* (A)		18,100		276
Cognex		48,392		1,353
Coherent*		32,002		1,322


Description	Shares		Market Value ($ Thousands)

CommVault Systems*		45,318	$	1,320
Compuware*		63,400		653
Comtech Telecommunications		20,772		616
Comverse Technology*		20,200		155
Constant Contact*		110,941		2,839
Convergys*		83,600		1,078
CoreLogic		9,900		180
CSG Systems International*		161,093		3,032
CTS		112,257		1,155
Cymer*		27,500		1,047
Cypress Semiconductor*		44,200		693
Daktronics		28,300		381
Dice Holdings*		800		9
Diebold		74,671		2,346
Digi International*		153,440		1,473
Digital River*		82,044		3,021
DST Systems		1,200		51
DTS*		63,395		2,976
Earthlink		338,500		3,035
EchoStar, Cl A*		1,800		36
Electro Rent		13,471		200
Electronics for Imaging*		41,379		542
Emulex*		152,293		1,724
Entegris*		46,000		299
Epicor Software*		3,600		34
EPIQ Systems		7,200		92
Euronet Worldwide*		122,460		2,004
Fair Isaac		56,998		1,331
Fairchild Semiconductor International, Cl A*		32,700		459
Finisar*		11,600		222
Forrester Research*		14,300		496
Gartner*		70,620		2,272
Global Cash Access Holdings*		166,360		379
GSI Commerce*		17,400		415
Hackett Group*		330,790		1,164
Heartland Payment Systems		111,652		1,763
Hittite Microwave*		13,500		773
iGate		23,300		466
Imation*		223,552		2,124
Insight Enterprises*		79,500		1,003
Integrated Device Technology*		200,949		1,292
InterDigital*		33,000		1,091
Intermec*		136,635		1,545
Intersil, Cl A		52,800		673
Isilon Systems*		15,400		520
IXYS*		25,200		282
Jack Henry & Associates		37,700		1,031
JDA Software Group*		40,500		1,069
KIT Digital*		106,905		1,472
Knot*		121,700		1,138
Kulicke & Soffa Industries*		25,200		167
Lattice Semiconductor*		272,600		1,213
Lawson Software*		294,069		2,526
LeCroy*		71,700		666
Lexmark International, Cl A*		24,000		870
Littelfuse		15,350		710
LivePerson*		20,300		196
LogMeIn*		1,500		66
LTX-Credence*		72,733		573
Manhattan Associates*		94,700		2,944
Mantech International, Cl A*		58,867		2,350
MAXIMUS		25,899		1,572


Description	Shares		Market Value ($ Thousands)

Meru Networks*		11,235	$	156
Methode Electronics		162,392		1,658
Micrel		42,200		522
Microsemi*		16,757		371
MicroStrategy, Cl A*		32,524		2,815
Mitel Networks*		143,300		937
MKS Instruments*		22,700		462
ModusLink Global Solutions*		34,217		229
MoneyGram International*		18,100		44
Monotype Imaging Holdings*		1,900		21
Monster Worldwide*		59,900		1,352
Move*		97,103		246
MTS Systems		19,599		751
Multi-Fineline Electronix*		26,750		623
National Instruments		24,900		850
NCR*		32,600		469
Netgear*		44,800		1,424
Netlogic Microsystems*		129,848		4,051
NetSuite*		60,131		1,492
Novatel Wireless*		54,700		537
Novell*		98,500		587
Omnivision Technologies*		30,200		854
OpenTable*		26,700		1,937
Orbotech*		78,180		862
OSI Systems*		21,000		732
Parametric Technology*		58,546		1,254
Park Electrochemical		60,900		1,669
Parkervision*		380,971		162
Pegasystems		63,100		1,953
Plantronics		68,100		2,436
PMC - Sierra*		148,100		1,074
Power Integrations		28,325		1,141
Power-One*		82,700		782
Progress Software*		60,100		2,318
PROS Holdings*		138,829		1,326
Pulse Electronics		53,500		219
QLogic*		9,500		170
Quantum*		457,624		1,661
Quest Software*		148,228		3,750
Rackspace Hosting*		32,200		939
Radisys*		64,800		585
Rambus*		18,500		370
RDA Microelectronics ADR*		60,710		973
RealNetworks*		60,300		206
Renaissance Learning		900		11
RF Micro Devices*		103,000		722
RightNow Technologies*		26,241		665
Riverbed Technology*		54,600		1,852
Rogers*		12,236		404
Rosetta Stone*		78,296		1,643
Rubicon Technology*		80,375		1,763
Rudolph Technologies*		97,410		727
Sanmina-SCI*		66,778		698
Scansource*		17,300		505
Seachange International*		117,500		945
Silicon Image*		30,100		231
SMART Modular Technologies WWH*		49,000		274
Sonic Solutions*		181,550		1,812
SRA International, Cl A*		90,827		1,782
SS&C Technologies Holdings*		125,602		2,438
Stamps.com		11,225		148
Standard Microsystems*		27,371		746


Description	Shares		Market Value ($ Thousands)

STEC*		38,200	$	649
Sycamore Networks		10,500		315
Synaptics*		12,200		348
SYNNEX*		36,800		1,055
Synopsys*		34,092		876
Syntel		46,154		2,203
Tech Data*		38,800		1,710
Tekelec*		9,614		119
TeleNav*		105,900		691
TeleTech Holdings*		48,900		927
Teradyne*		309,126		3,666
Terremark Worldwide*		226,746		2,713
Tessera Technologies*		1,800		36
TIBCO Software*		52,900		1,039
TiVo*		17,200		141
TNS*		36,531		702
Trimble Navigation*		47,645		1,774
TriQuint Semiconductor*		44,800		534
TTM Technologies*		3,900		52
Ultra Clean Holdings*		54,346		426
Ultratech*		68,000		1,249
Unisys*		58,380		1,320
United Online		270,600		1,722
Universal Display*		7,200		178
Valueclick*		78,700		1,223
Varian Semiconductor Equipment Associates*		36,400		1,148
Vasco Data Security International*		3,900		34
Veeco Instruments*		12,500		550
VeriFone Holdings*		48,500		1,685
Vishay Intertechnology*		80,600		1,149
VistaPrint*		154,506		6,230
Vocus*		110,249		2,699
Web.com Group*		51,800		419
Websense*		63,200		1,310
Xyratex*		64,427		984
Zebra Technologies, Cl A*		25,165		917
Zoran*		194,043		1,335

				231,713


Materials — 4.3%
A. Schulman		39,382		798
AK Steel Holding		36,275		482
Allied Nevada Gold*		51,100		1,366
AM Castle*		6,769		103
American Vanguard		2,700		18
Aptargroup		28,289		1,292
Arch Chemicals		40,118		1,393
Boise		65,900		485
Buckeye Technologies		88,100		1,755
Carpenter Technology		23,000		839
Clearwater Paper*		13,400		1,079
Coeur d’Alene Mines*		17,600		429
Cytec Industries		21,334		1,020
Domtar		10,000		759
Eagle Materials		12,600		313
Ferro*		83,306		1,189
Glatfelter		27,700		345
Globe Specialty Metals		180,100		2,920
Graham Packaging*		22,000		277
H.B. Fuller		129,558		2,717
Haynes International		66,700		2,579


Description	Shares		Market Value ($ Thousands)

Headwaters*		61,175	$	238
Hecla Mining* (A)		43,500		417
Horsehead Holding*		192,598		2,240
Huntsman		43,991		681
Innophos Holdings		43,960		1,497
Jaguar Mining*		130,700		865
Kaiser Aluminum		14,400		675
KapStone Paper and Packaging*		29,200		430
KMG Chemicals		1,600		23
Koppers Holdings		54,122		1,548
Minerals Technologies		20,900		1,272
Molycorp*		28,600		830
Myers Industries		72,793		699
Nalco Holding		59,255		1,743
Neenah Paper		12,300		226
New Gold*		111,300		1,044
NewMarket		36,875		4,639
Olin		59,154		1,081
Olympic Steel		19,300		406
OM Group*		43,082		1,620
Omnova Solutions*		19,700		173
Packaging of America		23,287		597
PolyOne*		133,948		1,669
Quaker Chemical		28,200		1,071
Rock-Tenn, Cl A		21,100		1,141
Rockwood Holdings*		21,200		809
RTI International Metals*		44,523		1,263
Sandstorm Resources*		757,500		502
Schweitzer-Mauduit International		8,634		542
Sensient Technologies		66,600		2,262
Solutia*		22,800		487
Spartech*		44,890		427
Stepan		9,300		656
Temple-Inland		12,900		271
Universal Stainless & Alloy*		34,800		1,088
US Gold*		70,900		465
Wausau Paper		17,900		138
Westlake Chemical		1,200		45
Worthington Industries		39,600		634
WR Grace*		115,771		3,875
Zep		2,100		38

				62,485


Telecommunication Services — 0.7%
Alaska Communications Systems Group		110,664		1,166
Atlantic Telegraph-Network		12,100		415
Cincinnati Bell*		306,300		747
Consolidated Communications Holdings		32,786		604
Frontier Communications		111,600		1,015
Global Crossing*		34,400		460
IDT, Cl B		18,900		393
Leap Wireless International*		84,300		918
Neutral Tandem*		105,900		1,522
Premiere Global Services*		59,300		419
SBA Communications, Cl A*		37,015		1,449
USA Mobility		92,300		1,571

				10,679


Utilities — 2.3%
AGL Resources		29,797		1,094
Allete		59,692		2,109


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

Avista		44,100	$	942
California Water Service Group		14,000		521
Central Vermont Public Service		17,800		360
CH Energy Group		2,100		98
Cia de Saneamento de Minas Gerais-COPASA (Brazil)		13,300		212
Cleco		57,898		1,756
El Paso Electric*		87,600		2,307
Empire District Electric (A)		57,392		1,237
Great Plains Energy		84,015		1,567
IDACORP		34,056		1,237
Laclede Group		6,900		244
Mirant*		32,000		317
Nicor		42,600		1,842
NorthWestern		135,184		3,895
Portland General Electric		274,374		5,808
South Jersey Industries		7,374		378
UGI		32,900		976
UIL Holdings		28,500		837
Unisource Energy		97,758		3,438
Vectren		37,900		982
Westar Energy		63,226		1,575

				33,732

Total Common Stock (Cost $1,027,714) ($ Thousands)				1,234,311


CASH EQUIVALENT — 14.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		205,242		205,242


Total Cash Equivalent (Cost $205,242) ($ Thousands)				205,242


U.S. TREASURY OBLIGATIONS (F)(G)— 0.9%
U.S. Treasury Bills
0.137%, 12/16/10	$	12,848		12,847
0.181%, 06/30/11		369		369

Total U.S. Treasury Obligations (Cost $13,216) ($ Thousands)				13,216


AFFILIATED PARTNERSHIP — 0.3%
SEI Liquidity Fund, L.P.
0.210% (C)**†		4,175		3,735

Total Affiliated Partnership (Cost $4,175) ($ Thousands)				3,735


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.0%
Callaway Golf (D)		4,000		503


Energy — 0.0%
GeoMet*		21,728		223


Financials — 0.1%
Grubb & Ellis*		10,000		869

Total Preferred Stock (Cost $1,576) ($ Thousands)				1,595


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

CONVERTIBLE BONDS — 0.0%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (B)(H)(J)	$	3,147	$	252


Energy — 0.0%
Rentech
4.000%, 04/15/13		579		518

Total Convertible Bonds (Cost $746) ($ Thousands)				770


WARRANTS — 0.0%
	Number Of Contracts
Oilsands Quest, Expires 05/12/11*		247,050		8
Rentech, Expires 04/25/12 (H)(I)(J)*		16,100		—
Sandstorm Resources, Expires 04/23/14*		257,125		85
Titanium Asset Management, Expires 06/21/11 (H)(I)(J)*		122,200		—
Washington Mutual (E)		17,435		8

Total Warrants (Cost $53) ($ Thousands)				101


EXCHANGE TRADED FUNDS — 0.0%
iShares Russell 2000 Index Fund		5,174		376

Total Exchange Traded Funds (Cost $377) ($ Thousands)				376


	Number Of Rights
RIGHT — 0.0%

United States — 0.0%
Ligand Pharma, Expires 01/05/12		64,529		—

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

Total Investments — 100.6% (Cost $1,253,099) ($ Thousands)			$	1,459,346

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date	Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		2,682	Dec-2010	$	3,594

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:

Maturity Date

Currency to

Deliver

(Thousands)

Currency to
Receive
(Thousands)

Unrealized
Appreciation
($ Thousands)

12/2/10-12/14/10

CAD

1,503

USD

1,481

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Depreciation ($ Thousands)
Barclays Capital	$	115	$	116	$	1
Credit Suisse First Boston		110		111		1
State Street		307		308		1
UBS		931		946		15

					$	18

Percentages are based on a Net Assets of $1,449,947 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $3,735 ($ Thousands).

(B)

Security in default on interest payments.

(C)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $3,735 ($ Thousands).

(D)

(E)

This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date.

(F)

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

(G)

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

(H)

Securities considered illiquid. The total value of such securities as of November 30, 2010 was $733 ($ Thousands) and represented 0.05% of Net Assets.

(I)

Securities considered restricted. The total value of such securities as of November 30, 2010 was $733 ($ Thousands) and represented 0.05% 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 security as of November 30, 2010 was $472 ($ Thousands) and represented 0.03% of net assets.

ADR — American Depositary Receipt

CAD — Canadian Dollar

Cl — Class

CV — Convertible Security

L.P.— Limited Partnership

Ser — Series

USD — United States Dollar

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,233,830	$	130	$	351	$	1,234,311
Cash Equivalent		205,242		—		—		205,242
U.S. Treasury Obligations		—		13,216		—		13,216
Affiliated Partnership		—		3,735		—		3,735
Preferred Stock		—		1,595		—		1,595
Convertible Bonds		—		518		252		770
Warrants		8		93		—		101
Exchange Traded Funds		376		—		—		376
Rights		—		—		—		—

Total Investments in Securities	$	1,439,456	$	19,287	$	603	$	1,459,346


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	3,594	$	—	$	—	$	3,594

Total Other Financial Instruments	$	3,594	$	—	$	—	$	3,594

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):


	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2010	$	358		$	1,031
Accrued discounts/premiums		—			(32	)
Realized gain/(loss)		—			(201	)
Change in unrealized appreciation/(depreciation)		(7	)		16
Net purchases/sales		—			(562	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2010	$	351		$	252

Changes in unrealized gains/(losses included in earnings related to securities still held at reporting date	$	(7	)	$	—

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

For the period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.6%

Consumer Discretionary — 15.3%
Abercrombie & Fitch, Cl A		24,476	$	1,230
Aeropostale*		66,525		1,798
AFC Enterprises*		56,295		748
American Eagle Outfitters		389,028		6,419
American Greetings, Cl A (A)		33,400		670
AnnTaylor Stores* (A)		57,183		1,539
Apollo Group, Cl A*		26,909		915
Arctic Cat* (A)		68,000		1,014
Autoliv (A)		43,110		3,165
Belo, Cl A*		147,440		855
Big 5 Sporting Goods (A)		11,600		160
Big Lots* (A)		121,350		3,719
Blue Nile* (A)		6,000		297
Bob Evans Farms		41,100		1,280
Bon-Ton Stores		400		5
BorgWarner* (A)		29,981		1,809
Bridgepoint Education* (A)		270,950		4,146
Brinker International		56,300		1,151
Brunswick (A)		142,440		2,272
Buckle (A)		3,800		145
Cabela’s* (A)		29,900		665
Cablevision Systems, Cl A		153,500		4,861
Callaway Golf (A)		292,315		2,239
Capella Education* (A)		922		51
Career Education* (A)		70,226		1,249
Carter’s*		30,600		969
Cato, Cl A		120,282		3,434
CBS, Cl B		62,000		1,044
CEC Entertainment* (A)		52,254		1,960
Cheesecake Factory* (A)		78,280		2,495
Childrens Place Retail Stores* (A)		28,120		1,460
Chipotle Mexican Grill, Cl A* (A)		5,200		1,344
Christopher & Banks		59,697		318
Cinemark Holdings		108,900		1,911
Coinstar* (A)		49,723		3,204
Columbia Sportswear (A)		37,770		2,101
Cooper Tire & Rubber (A)		239,110		4,995
Cracker Barrel Old Country Store (A)		52,008		2,739
CROCS* (A)		240,350		4,217
Darden Restaurants		48,954		2,396
Dick’s Sporting Goods* (A)		180,091		6,161
Dillard’s, Cl A (A)		131,100		4,088
Dollar Tree*		66,550		3,657
Domino’s Pizza*		114,551		1,692
Domino’s Pizza UK & IRL		296,359		2,428
DR Horton		142,390		1,430
DSW, Cl A* (A)		82,050		3,208
Eastman Kodak* (A)		177,700		837
Ethan Allen Interiors (A)		65,005		1,072
Expedia (A)		87,214		2,296
Express* (A)		69,421		1,047
Foot Locker		110,800		2,091
Fortune Brands (A)		42,708		2,524
Fossil* (A)		30,800		2,084
GameStop, Cl A* (A)		66,219		1,319
Gannett (A)		185,362		2,430
Garmin (A)		11,100		321
Gaylord Entertainment* (A)		173,590		5,959
Genesco*		33,900		1,304
Gentex		116,733		2,451
Grand Canyon Education* (A)		88,352		1,682


Description	Shares		Market Value ($ Thousands)

Guess?		113,109	$	5,344
Hanesbrands* (A)		185,611		5,039
Harley-Davidson (A)		96,028		3,004
Harman International Industries*		41,811		1,823
hhgregg* (A)		80,037		2,007
Hibbett Sports*		16,883		578
Hillenbrand		35,600		688
Home Inns & Hotels Management ADR*		28,860		1,374
HOT Topic (A)		157,700		967
Hyatt Hotels, Cl A*		67,693		2,834
Intercontinental Hotels Group ADR		202,600		3,624
International Game Technology		118,723		1,838
International Speedway, Cl A		33,006		782
Interpublic Group* (A)		550,750		5,866
J Crew Group* (A)		93,128		4,072
Jarden		185,150		5,684
John Wiley & Sons, Cl A		6,900		286
Jones Group		176,412		2,389
Las Vegas Sands* (A)		49,400		2,474
Leggett & Platt		105,423		2,182
Life Time Fitness* (A)		2,817		111
Limited Brands		2,500		84
Lin TV, Cl A*		6,200		28
Lincoln Educational Services (A)		50,400		739
Live Nation*		413,142		4,445
LKQ*		179,327		3,869
Lululemon Athletica* (A)		39,250		2,105
Lumber Liquidators Holdings* (A)		42,800		1,008
Marriott International, Cl A (A)		36,200		1,419
Men’s Wearhouse (A)		42,106		1,201
Meredith (A)		23,100		777
Meritage Homes*		56,555		1,073
National American University Holdings (A)		30,673		210
National CineMedia		323,487		6,036
NetFlix* (A)		22,150		4,561
Nordstrom (A)		42,765		1,830
NutriSystem (A)		19,400		401
NVR* (A)		1,470		911
OfficeMax*		119,139		2,036
Panera Bread, Cl A* (A)		41,750		4,185
Penn National Gaming*		239,393		8,405
Penske Auto Group* (A)		405		6
PetMed Express (A)		48,000		851
PetSmart (A)		67,570		2,558
Phillips-Van Heusen		82,280		5,582
Polaris Industries (A)		51,126		3,716
Pre-Paid Legal Services* (A)		9,200		595
RadioShack		65,700		1,212
RC2*		78,410		1,737
Red Robin Gourmet Burgers* (A)		31,500		584
Regal Entertainment Group, Cl A		93,515		1,262
Regis (A)		86,994		1,550
Rent-A-Center, Cl A		30,500		849
Royal Caribbean Cruises* (A)		11,100		447
Ruby Tuesday* (A)		64,900		830
Ryland Group (A)		94,107		1,372
Saks* (A)		241,345		2,689
Scholastic (A)		46,500		1,307
Scientific Games, Cl A* (A)		610,251		4,912
Scripps Networks Interactive, Cl A		20,580		1,049
Shutterfly* (A)		31,941		1,054


Description	Shares		Market Value ($ Thousands)

Sinclair Broadcast Group, Cl A (A)		93,100	$	722
Sirius XM Radio* (A)		279,000		382
Skechers U.S.A., Cl A* (A)		42,400		979
Sotheby’s (A)		20,500		822
Spectrum Group International*		3,929		7
Stage Stores		84,635		1,281
Starwood Hotels & Resorts Worldwide (A)		22,700		1,290
Steiner Leisure* (A)		48,510		1,951
Strayer Education (A)		3,700		503
Talbots* (A)		139,250		1,601
Tempur-Pedic International*		137,689		4,834
Tenneco* (A)		113,170		4,126
Tesla Motors* (A)		21,900		773
Tractor Supply		26,665		1,132
True Religion Apparel* (A)		51,055		1,145
TRW Automotive Holdings*		51,824		2,461
Tupperware Brands		33,122		1,539
Urban Outfitters* (A)		111,219		4,203
Warnaco Group* (A)		11,380		613
Whirlpool		17,200		1,256
Whistler Blackcomb Holdings*		55,700		642
Williams-Sonoma (A)		49,344		1,642
WMS Industries*		84,638		3,754
Wyndham Worldwide		101,400		2,915
Xueda Education Group ADR*		49,300		609
Zumiez* (A)		103,816		3,302

				304,005


Consumer Staples — 2.7%
Avon Products		38,469		1,099
BJ’s Wholesale Club*		17,190		787
Cal-Maine Foods (A)		31,900		978
Casey’s General Stores (A)		20,349		809
Central European Distribution*		55,990		1,345
Central Garden and Pet, Cl A*		66,227		618
Central Garden and Pet*		73,524		681
China-Biotics* (A)		54,900		634
Chiquita Brands International* (A)		13,400		150
ConAgra Foods		88,255		1,896
Constellation Brands, Cl A*		98,796		2,036
Corn Products International		36,345		1,567
Cosan Industria e Comercio (Brazil)		45,300		691
Del Monte Foods		407,295		7,629
Diamond Foods (A)		76,850		3,577
Dole Food* (A)		90,424		856
Fresh Del Monte Produce (A)		48,300		1,061
Fresh Market*		53,900		1,954
Green Mountain Coffee Roasters* (A)		161,131		5,975
Hansen Natural*		15,600		830
Herbalife		9,200		631
Kroger		84,676		1,994
Kulim Malaysia		103,000		395
Lancaster Colony (A)		21,420		1,115
Lorillard		3,389		270
Mead Johnson Nutrition, Cl A		27,600		1,644
Molson Coors Brewing, Cl B		53,567		2,553
Nash Finch (A)		8,952		331
Omega Protein*		41,900		292
Pantry*		69,326		1,424
Prestige Brands Holdings*		118,868		1,399
Primo Water*		21,878		264


Description	Shares		Market Value ($ Thousands)

Ruddick (A)		24,700	$	908
Saskatchewan Wheat Pool, Cl Common Subscription Recei		83,700		746
Supervalu (A)		94,000		850
TreeHouse Foods* (A)		60,001		2,981
Weis Markets		17,700		682

				53,652


Energy — 5.8%
Alpha Natural Resources*		41,300		2,047
Arch Coal		22,800		666
Atlas Energy*		9,752		419
Atwood Oceanics* (A)		32,900		1,171
Berry Petroleum, Cl A (A)		231,611		8,827
BPZ Resources* (A)		177,700		700
Brigham Exploration* (A)		120,009		3,018
CARBO Ceramics (A)		7,100		690
Clean Energy Fuels* (A)		41,800		559
Complete Production Services*		104,260		2,966
Concho Resources*		4,474		370
Core Laboratories		9,300		796
Crosstex Energy		8,800		81
CVR Energy*		79,400		955
DHT Maritime		5,900		26
Dresser-Rand Group*		64,264		2,438
Dril-Quip*		80,090		6,202
Energy XXI Bermuda* (A)		33,389		823
EQT (A)		50,299		2,036
Exterran Holdings* (A)		79,000		1,791
Frontier Oil (A)		101,403		1,575
Frontline		84,988		2,205
GMX Resources* (A)		171,400		759
Golar LNG		3,900		54
Goodrich Petroleum* (A)		134,227		1,765
Gulfport Energy*		18,687		348
Helix Energy Solutions Group* (A)		158,631		2,226
Hornbeck Offshore Services* (A)		52,100		1,149
Houston American Energy (A)		6,700		115
ION Geophysical*		279,150		2,007
Karoon Gas Australia*		82,109		580
Key Energy Services* (A)		509,623		5,249
Kinder Morgan Escrow*		58,118		—
Lufkin Industries (A)		25,351		1,284
McMoRan Exploration* (A)		31,500		470
Murphy Oil		31,877		2,152
Nabors Industries*		112,376		2,483
Newfield Exploration*		32,444		2,168
Newpark Resources* (A)		147,074		841
Nordic American Tanker Shipping (A)		100,649		2,604
Oceaneering International*		30,060		2,077
Oilsands Quest* (A)		1,772,024		797
Overseas Shipholding Group (A)		129,070		4,514
Patterson-UTI Energy		31,400		620
PetroHawk Energy*		73,219		1,306
Petroleum Development*		45,772		1,630
Petroquest Energy* (A)		32,300		224
Pioneer Natural Resources (A)		26,710		2,140
Quicksilver Resources*		15,900		226
Range Resources (A)		57,864		2,430
Rosetta Resources* (A)		11,100		398
SEACOR Holdings*		7,500		817
Ship Finance International (A)		54,544		1,184
Southwestern Energy*		4,909		178


Description	Shares		Market Value ($ Thousands)

Spectra Energy (A)		103,920	$	2,470
Superior Energy Services*		14,442		482
Swift Energy* (A)		93,844		3,424
Teekay		42,612		1,359
Teekay Tankers, Cl A (A)		9,000		107
Tesoro (A)		47,600		777
Tidewater (A)		57,124		2,804
USEC* (A)		61,099		364
Vantage Drilling* (A)		430,900		758
Venoco*		9,800		171
W&T Offshore (A)		258,000		4,322
Western Refining* (A)		88,000		858
Whiting Petroleum*		78,659		8,657
World Fuel Services (A)		129,875		3,909

				115,618


Financials — 17.6%
1st Source		800		15
Advance America Cash Advance Centers		104,300		496
Affiliated Managers Group*		21,985		1,922
Allied World Assurance Holdings (A)		39,215		2,304
AMB Property‡ (A)		92,200		2,690
American Capital Agency‡ (A)		52,467		1,538
American Equity Investment Life Holding		70,000		768
American Financial Group		164,635		5,066
American National Insurance		700		56
Ameriprise Financial		78,774		4,084
Annaly Capital Management‡ (A)		65,700		1,195
Anworth Mortgage Asset‡ (A)		138,400		960
Apartment Investment & Management, Cl A‡ (A)		122,458		2,954
Arch Capital Group*		40,816		3,686
Ares Capital		8,677		143
Arthur J Gallagher		30,300		851
Aspen Insurance Holdings (A)		54,500		1,575
Associated Banc (A)		36,400		466
Assured Guaranty		164,353		2,796
Astoria Financial (A)		20,287		244
AvalonBay Communities‡ (A)		20,563		2,269
Axis Capital Holdings		8,700		307
Banco Latinoamericano de Comercio Exterior, Cl E		80,200		1,302
Bancorpsouth (A)		67,865		872
Bank Mutual		15,100		69
BGC Partners, Cl A (A)		113,900		871
BioMed Realty Trust‡ (A)		68,456		1,207
BlackRock, Cl A		1,859		303
Boston Private Financial Holdings (A)		66,459		357
Boston Properties‡ (A)		71,488		5,991
BR Malls Participacoes		158,230		1,555
Brandywine Realty Trust‡		196,750		2,176
Brasil Brokers Participacoes		104,400		570
Brasil Insurance Participacoes e Administracao*		600		570
CapitalSource		277,525		1,793
CapLease‡		183,600		1,120
Capstead Mortgage‡ (A)		207,976		2,444
Cardinal Financial		225,322		2,334
Cash Store Financial Services		66,445		946
CB Richard Ellis Group, Cl A*		121,979		2,341
CBL & Associates Properties‡ (A)		241,039		3,977


Description	Shares		Market Value ($ Thousands)

Cedar Shopping Centers‡ (A)		145,000	$	879
Chemical Financial		20,942		438
Chimera Investment‡		245,200		981
Cincinnati Financial (A)		11,700		353
City Holding (A)		17,500		561
City National		3,800		204
CNA Financial*		74,900		1,934
CNO Financial Group*		179,767		1,052
Colonial Properties Trust‡		102,050		1,837
Comerica (A)		68,401		2,496
Commerce Bancshares		1		—
CommonWealth REIT*		25,000		—
CommonWealth REIT‡		138,850		3,475
Corporate Office Properties Trust‡ (A)		52,800		1,790
Cowen Group, Cl A* (A)		185,100		755
Credit Acceptance*		16,933		1,050
CreXus Investment‡		62,200		786
Cullen/Frost Bankers		10,600		567
CVB Financial (A)		200,744		1,580
Developers Diversified Realty‡ (A)		163,703		2,100
DiamondRock Hospitality‡ (A)		301,394		3,174
Dollar Financial* (A)		47,500		1,244
Duff & Phelps, Cl A		37,655		504
DuPont Fabros Technology‡ (A)		5,900		133
East West Bancorp		77,940		1,351
Eaton Vance		79,527		2,364
Education Realty Trust‡		379,777		2,788
EMC Insurance Group		13,767		307
Employers Holdings		139,741		2,257
Endurance Specialty Holdings		119,406		5,267
Equity One‡ (A)		81,824		1,416
Equity Residential‡		94,350		4,716
Essex Property Trust‡ (A)		27,200		3,015
Everest Re Group		26,100		2,179
Federal Realty Investment Trust‡		30,390		2,352
Federated Investors, Cl B (A)		187,388		4,443
Fifth Third Bancorp (A)		187,786		2,244
Financial Engines* (A)		78,911		1,335
First Financial Bancorp (A)		203,194		3,357
First Horizon National* (A)		119,914		1,148
First Niagara Financial Group (A)		15,300		189
First Potomac Realty Trust‡		16,400		258
FirstMerit (A)		101,627		1,771
Flushing Financial		128,200		1,718
General Growth Properties‡		59,350		961
General Shopping Brasil (Brazil)*		57,200		424
Genworth Financial, Cl A*		134,364		1,567
GFI Group (A)		157,800		732
Gluskin Sheff + Associates		31,900		577
Grubb & Ellis* (A)		135,960		156
Hancock Holding (A)		113,398		3,572
Hanover Insurance Group (A)		97,050		4,394
Hatteras Financial‡ (A)		24,100		747
HCP‡		117,300		3,863
Health Care REIT‡ (A)		64,658		2,992
Hercules Technology Growth Capital		94,618		944
Highwoods Properties‡ (A)		62,000		1,892
Horace Mann Educators		135,085		2,206
Hospitality Properties Trust‡		111,100		2,457
Host Hotels & Resorts‡		388,106		6,396
Hudson Valley Holding		30,646		607
Huntington Bancshares (A)		241,600		1,410
Iberiabank (A)		29,490		1,487


Description	Shares		Market Value ($ Thousands)

Infinity Property & Casualty (A)		53,014	$	3,060
Inland Real Estate‡ (A)		228,001		1,938
International Bancshares (A)		47,046		809
Investors Real Estate Trust‡ (A)		50,300		445
Jones Lang LaSalle		21,309		1,701
Keycorp		253,750		1,911
Kilroy Realty‡ (A)		17,400		594
Knight Capital Group, Cl A* (A)		58,000		762
Lexington Realty Trust ‡ (A)		231,662		1,818
Liberty Property Trust ‡		78,645		2,465
LPL Investment Holdings*		31,930		1,082
LTC Properties‡		22,000		594
M&T Bank (A)		2,300		177
Macerich‡ (A)		66,831		3,097
Mack-Cali Realty‡		35,700		1,133
Maiden Holdings		4,800		36
MarketAxess Holdings		127,645		2,322
MB Financial		30,500		434
Meadowbrook Insurance Group		184,100		1,741
Medical Properties Trust‡		100,753		1,056
MFA Mortgage Investments ‡ (A)		693,707		5,654
MGIC Investment* (A)		254,256		2,166
Mid-America Apartment Communities‡ (A)		25,821		1,585
Montpelier Re Holdings (A)		75,900		1,494
Moody’s (A)		133,350		3,578
MSCI, Cl A*		47,197		1,607
National Penn Bancshares		499,246		3,350
National Retail Properties‡ (A)		68,493		1,781
Nationwide Health Properties‡		64,100		2,311
Nelnet, Cl A		78,800		1,682
New York Community Bancorp (A)		65,686		1,104
NewAlliance Bancshares		35,300		471
Old National Bancorp		20,000		206
Oriental Financial Group		50,000		580
PacWest Bancorp (A)		77,278		1,314
PartnerRe		40,000		3,100
Pennsylvania Real Estate Investment Trust‡ (A)		125,372		1,684
People’s United Financial (A)		282,801		3,504
Piedmont Office Realty Trust, Cl A‡		33,450		665
Platinum Underwriters Holdings (A)		62,734		2,712
Plum Creek Timber‡ (A)		7,900		285
Post Properties‡ (A)		54,958		1,872
PrivateBancorp, Cl A (A)		64,640		786
ProAssurance*		78,233		4,634
ProLogis‡ (A)		129,050		1,679
Protective Life (A)		78,979		1,857
Public Storage‡		48,454		4,681
Radian Group (A)		34,500		245
RAIT Financial Trust‡* (A)		69,000		111
Raymond James Financial (A)		62,134		1,782
Rayonier‡		15,800		805
Redwood Trust‡ (A)		103,030		1,425
Regency Centers‡ (A)		71,200		2,899
Regions Financial		118,700		639
Reinsurance Group of America, Cl A		95,082		4,747
Republic Bancorp, Cl A (A)		37,026		759
S&T Bancorp (A)		23,500		461
Selective Insurance Group		51,000		841
Senior Housing Properties Trust‡		96,350		2,151


Description	Shares		Market Value ($ Thousands)

Signature Bank NY* (A)		27,061	$	1,189
Simon Property Group‡		52,179		5,140
SL Green Realty‡ (A)		36,050		2,358
Sovran Self Storage‡ (A)		19,100		688
StanCorp Financial Group (A)		36,700		1,527
Stifel Financial* (A)		36,451		1,889
Sunstone Hotel Investors‡* (A)		268,349		2,555
Susquehanna Bancshares (A)		239,204		1,926
SVB Financial Group*		26,425		1,187
SWS Group		47,200		246
Synovus Financial (A)		1,742,743		3,538
Taubman Centers‡ (A)		72,850		3,535
TCF Financial (A)		170,094		2,315
TD Ameritrade Holding (A)		240,724		4,030
TFS Financial		59,500		487
Titanium Asset Management*		42,000		37
Titanium Asset Management PP (F)(G)(H)*		105,000		301
Tower Group		16,300		419
Trustco Bank (A)		112,300		630
Trustmark (A)		63,178		1,348
Unitrin		78,100		1,848
Unum Group		181,694		3,905
Uranium Participation*		107,500		867
U-Store-It Trust‡		173,610		1,436
Validus Holdings (A)		38,900		1,136
Value Creation (F)(G)(H)*		85,600		87
Ventas‡ (A)		37,050		1,900
Vornado Realty Trust‡		16,391		1,337
Waddell & Reed Financial, Cl A		119,454		3,679
Walter Investment Management‡		13,300		229
Washington Federal		58,500		863
Westamerica Bancorporation (A)		8,200		401
Western Alliance Bancorp* (A)		260,794		1,609
Whitney Holding (A)		438,002		4,113
Willis Group Holdings		69,814		2,222
World Acceptance* (A)		74,877		3,299
WR Berkley (A)		39,600		1,057
XL Group, Cl A		18,500		364
Zions Bancorporation (A)		407,007		7,916

				350,930


Health Care — 10.2%
Abaxis* (A)		12,603		340
Acadia Pharmaceuticals* (A)		306,000		205
Accelrys*		16,394		138
Achillion Pharmaceuticals*		128,847		369
Acorda Therapeutics* (A)		121,589		3,204
Albany Molecular Research*		6,900		35
Alere* (A)		12,100		386
Alexion Pharmaceuticals*		64,458		4,928
Align Technology* (A)		83,664		1,463
Alkermes*		107,000		1,121
Allscripts Healthcare Solutions*		158,840		2,788
American Medical Systems Holdings* (A)		17,340		311
AMERIGROUP* (A)		73,370		3,157
AmerisourceBergen		73,462		2,266
Amsurg, Cl A *		133,891		2,461
Amylin Pharmaceuticals* (A)		23,600		302
Analogic		5,005		233
Arena Pharmaceuticals* (A)		257,245		373
athenahealth*		44,630		1,830
Auxilium Pharmaceuticals* (A)		119,634		2,264
Brookdale Senior Living, Cl A*		73,076		1,397


Description	Shares		Market Value ($ Thousands)

Bruker*		18,900	$	291
Catalyst Health Solutions*		129,745		5,569
Celera*		7,500		43
Cephalon* (A)		16,800		1,067
Cepheid* (A)		13,812		272
Chemed (A)		21,077		1,284
Conceptus* (A)		42,035		553
Cooper (A)		112,584		6,023
Corvel*		1,462		67
Coventry Health Care*		54,000		1,367
Cyberonics*		138,400		3,719
Dendreon* (A)		2,906		104
Dentsply International (A)		41,485		1,283
DexCom*		16,161		182
Edwards Lifesciences*		44,300		2,940
Emergency Medical Services, Cl A*		3,449		171
Endo Pharmaceuticals Holdings*		65,900		2,373
Ensign Group (A)		54,000		1,162
Forest Laboratories*		42,800		1,365
Genomic Health*		3,600		66
Gen-Probe*		121,286		6,290
Haemonetics*		17,765		1,044
Health Management Associates, Cl A* (A)		317,657		2,830
Health Net*		100,218		2,706
Healthsouth* (A)		59,385		1,069
HeartWare International* (A)		42,093		3,871
Henry Schein*		42,872		2,462
Hill-Rom Holdings (A)		137,950		5,460
HMS Holdings*		55,950		3,525
Hologic*		135,595		2,224
Human Genome Sciences* (A)		9,486		233
Humana*		24,900		1,395
ICU Medical*		22,000		806
Idexx Laboratories* (A)		16,200		1,040
Impax Laboratories*		59,517		1,060
Incyte* (A)		230,105		3,339
Inspire Pharmaceuticals*		55,400		387
Invacare (A)		66,524		1,796
Kindred Healthcare*		28,800		465
Kinetic Concepts* (A)		44,000		1,747
King Pharmaceuticals*		342,838		4,851
LHC Group* (A)		27,800		735
LifePoint Hospitals*		53,200		1,927
Lincare Holdings (A)		123,650		3,184
Magellan Health Services*		61,049		2,973
Medicines*		97,700		1,288
Mednax*		24,545		1,502
Meridian Bioscience		39,500		878
Metropolitan Health Networks*		81,437		351
Momenta Pharmaceuticals* (A)		8,500		130
MWI Veterinary Supply*		24,683		1,508
Mylan Laboratories* (A)		127,565		2,496
Myriad Genetics*		43,875		945
Nektar Therapeutics*		4,800		61
NuVasive* (A)		48,347		1,129
Omnicare (A)		86,000		1,983
Omnicell*		87,274		1,169
Onyx Pharmaceuticals* (A)		156,025		4,595
Owens & Minor		28,866		816
Par Pharmaceutical*		170,239		6,117
Parexel International*		89,908		1,579
Patterson		33,012		982
PDL BioPharma (A)		272,500		1,575


Description	Shares		Market Value ($ Thousands)

PerkinElmer		163,971	$	3,821
Perrigo (A)		40,737		2,454
Pharmaceutical Product Development		158,360		3,946
Pharmasset*		34,660		1,501
PharMerica*		141,802		1,540
PSS World Medical* (A)		58,715		1,210
Quality Systems (A)		48,005		3,096
Quest Diagnostics		39,554		1,951
Quidel* (A)		39,300		519
Regeneron Pharmaceuticals* (A)		72,858		2,100
ResMed* (A)		21,650		692
Rigel Pharmaceuticals* (A)		219,730		1,753
Salix Pharmaceuticals*		47,080		2,102
Sciclone Pharmaceuticals*		39,933		149
Seattle Genetics* (A)		104,705		1,581
Sirona Dental Systems*		46,260		1,748
Skilled Healthcare Group, Cl A*		98,400		626
STERIS		4,452		153
SXC Health Solutions*		78,210		2,999
Techne (A)		50,103		3,010
Teleflex (A)		71,157		3,554
Theravance* (A)		10,773		269
United Therapeutics* (A)		63,393		3,989
Universal Health Services, Cl B		74,004		3,043
Valeant Pharmaceuticals International (A)		132,995		3,441
Vertex Pharmaceuticals* (A)		29,805		987
Viropharma*		15,400		238
Vital Images*		9,430		127
Volcano* (A)		98,150		2,606
Waters*		8,025		617
WellCare Health Plans*		63,090		1,776

				203,593


Industrials — 15.7%
ABM Industries (A)		54,489		1,255
ACCO Brands*		96,500		677
Actuant, Cl A (A)		103,012		2,434
Acuity Brands (A)		14,344		772
Advisory Board* (A)		68,970		3,273
Aecom Technology*		132,648		3,417
AerCap Holdings*		85,480		1,110
AGCO*		82,450		3,722
Aircastle		128,459		1,231
Alexander & Baldwin		14,037		493
Allegiant Travel, Cl A (A)		30,750		1,535
Alliant Techsystems (A)		16,368		1,210
American Superconductor* (A)		11,900		396
Ametek		8,499		503
AO Smith (A)		46,350		1,827
Apogee Enterprises		78,209		880
Applied Industrial Technologies		23,000		687
ArvinMeritor* (A)		417,899		7,459
Atlas Air Worldwide Holdings*		119,366		6,513
Avery Dennison		110,650		4,154
Baldor Electric (A)		49,580		3,139
Barnes Group (A)		55,950		1,068
BE Aerospace*		149,608		5,311
Beacon Roofing Supply* (A)		132,340		2,275
Belden		70,938		2,361
Brady, Cl A		46,841		1,449
Briggs & Stratton (A)		97,215		1,693
Bucyrus International, Cl A		42,638		3,802
C.H. Robinson Worldwide (A)		22,616		1,667


Description	Shares		Market Value ($ Thousands)

Carlisle (A)		92,520	$	3,388
Ceradyne*		59,889		1,582
Chart Industries*		15,846		501
Cintas (A)		101,585		2,717
Clean Harbors*		50,533		3,742
Columbus McKinnon*		16,015		263
Commercial Vehicle Group*		50,906		721
Consolidated Graphics*		63,023		2,997
Con-way (A)		69,370		2,345
Copa Holdings, Cl A		51,740		2,886
Copart*		29,435		1,044
Corporate Executive Board		126,161		4,377
Corrections of America* (A)		198,360		4,790
CoStar Group* (A)		56,803		2,996
Courier (A)		32,275		459
CRA International*		46,200		1,021
Crane		102,565		3,844
Delta Air Lines*		31,200		427
Deluxe (A)		87,800		1,861
DigitalGlobe*		9,260		273
Douglas Dynamics		63,500		937
Dover		43,004		2,357
Dycom Industries*		233,560		3,088
EMCOR Group*		137,798		3,693
EnerNOC* (A)		5,200		128
Ennis		17,942		306
EnPro Industries* (A)		43,700		1,602
Esterline Technologies*		26,164		1,540
Fastenal (A)		31,527		1,687
Flowserve		19,442		2,050
Fluor (A)		47,202		2,730
Force Protection*		154,300		792
Foster Wheeler*		55,200		1,546
G&K Services, Cl A		55,957		1,552
Gardner Denver		115,383		7,552
GATX		10,600		352
GenCorp* (A)		34,600		170
Geo Group*		89,457		2,156
GeoEye* (A)		24,089		960
Graco		12,900		464
Graham		21,233		347
Great Lakes Dredge & Dock		265,415		2,038
H&E Equipment Services* (A)		71,600		712
Heico, Cl A		49,188		1,918
Hertz Global Holdings* (A)		197,828		2,425
Hexcel*		181,454		3,112
Horizon Lines, Cl A (A)		169,449		618
ICF International*		16,183		387
IDEX		33,912		1,271
IHS, Cl A*		61,851		4,473
II-VI*		11,967		489
Interface, Cl A		191,761		2,769
JB Hunt Transport Services (A)		121,275		4,426
Joy Global		23,998		1,832
Kadant*		60,757		1,166
Kaman (A)		13,404		378
Kansas City Southern* (A)		85,700		4,057
Kaydon (A)		68,388		2,392
Kennametal		46,400		1,569
Kirby*		16,000		715
Knoll		97,150		1,491
Kratos Defense & Security Solutions* (A)		69,926		739
Landstar System		41,075		1,477
Lincoln Electric Holdings		12,959		799


Description	Shares		Market Value ($ Thousands)

Lindsay Manufacturing (A)		41,300	$	2,438
Localiza Rent a Car		173,390		2,839
Manitowoc (A)		72,400		795
Manpower (A)		64,189		3,615
Michael Baker*		27,800		892
Miller Industries		1,300		18
Mine Safety Appliances		28,000		807
Mistras Group*		1,200		14
Moog, Cl A* (A)		29,456		1,086
MSC Industrial Direct, Cl A		60,850		3,660
Mueller Industries		39,900		1,217
Mueller Water Products, Cl A		292,583		1,030
MYR Group* (A)		28,379		448
Navistar International*		90,139		4,613
NN*		85,100		851
Nordson		8,300		659
Old Dominion Freight Line* (A)		149,815		4,327
Oshkosh Truck*		39,149		1,124
Owens Corning*		3,300		87
Pall		5,472		248
Pitney Bowes (A)		97,797		2,146
PowerSecure International* (A)		23,442		202
Quanta Services*		11,822		208
Raven Industries		800		35
Regal-Beloit		10,000		610
Resources Connection		217,412		3,637
Ritchie Bros Auctioneers (A)		112,505		2,252
Roper Industries		51,000		3,693
RSC Holdings* (A)		313,100		2,439
Rush Enterprises, Cl A* (A)		178,122		3,130
Ryder System		17,100		737
School Specialty*		88,385		1,116
SeaCube Container Leasing		70,700		840
Sensata Technologies Holding*		163,000		4,532
Skywest		49,700		805
Spirit Aerosystems Holdings, Cl A*		211,342		4,115
Standard Parking*		97,170		1,726
Stericycle* (A)		2,494		184
Sun Hydraulics		1,000		31
SYKES Enterprises*		326,783		6,013
TAL International Group (A)		32,100		909
Teledyne Technologies*		50,967		2,050
Tennant		5,600		191
Terex* (A)		70,236		1,705
Tetra Tech*		146,857		3,394
Textainer Group Holdings (A)		28,200		784
Thomas & Betts*		16,700		742
Timken		94,267		4,106
Towers Watson, Cl A		82,685		4,151
TransDigm Group*		18,350		1,257
Trex* (A)		95,363		1,759
Triumph Group (A)		14,377		1,210
TrueBlue*		152,950		2,521
Tutor Perini (A)		19,500		371
United Continental Holdings* (A)		154,935		4,288
United Rentals* (A)		195,230		3,830
United Stationers*		19,100		1,212
URS*		31,768		1,256
US Ecology		4,300		68
UTi Worldwide		76,522		1,473
Vitran, Cl A*		131,940		1,531
Wabash National* (A)		101,150		1,067
WABCO Holdings*		25,800		1,282
Wabtec		105,805		4,891


Description	Shares		Market Value ($ Thousands)

Watsco (A)		30,200	$	1,820
Watts Water Technologies, Cl A (A)		38,210		1,244
WESCO International*		147,738		7,050
Westport Innovations*		12,505		227
Woodward Governor		3,800		128

				311,545


Information Technology — 18.0%
AAC Acoustic Technologies Holdings		668,000		1,841
Acme Packet* (A)		181,169		8,874
Adobe Systems*		62,014		1,720
ADTRAN		58,200		1,812
Advanced Analogic Technologies*		80,739		296
Advent Software* (A)		19,722		1,017
Aeroflex Holding*		53,866		776
Akamai Technologies*		12,078		630
Alliance Data Systems* (A)		78,111		4,927
Allot Communications*		20,169		169
Amkor Technology* (A)		75,300		524
Analog Devices		72,401		2,575
Ancestry.com*		62,593		1,789
Ansys*		117,650		5,706
AOL*		62,929		1,522
Applied Micro Circuits* (A)		192,700		1,788
Archipelago Learning*		1,000		9
Ariba* (A)		13,908		282
Arris Group*		81,500		816
Aruba Networks* (A)		86,460		1,833
AsiaInfo Holdings*		49,050		817
Atheros Communications*		5,355		174
Atmel*		263,518		2,738
ATMI* (A)		34,785		624
Avid Technology*		56,432		879
Avnet*		34,300		1,051
AVX		25,500		365
Baidu ADR*		2,040		214
Benchmark Electronics*		141,000		2,266
Black Box		24,000		860
Blackbaud		17,140		434
Blackboard* (A)		119,239		4,954
Blue Coat Systems*		66,568		1,771
Booz Allen Hamilton Holding, Cl A* (A)		69,926		1,357
Brightpoint*		199,785		1,638
Brocade Communications Systems*		987,031		4,916
Cabot Microelectronics* (A)		23,600		931
CACI International, Cl A* (A)		32,011		1,611
Cadence Design Systems*		293,600		2,308
Cardtronics*		58,499		989
Cavium Networks* (A)		183,579		6,755
Ceragon Networks*		26,058		278
Ceva*		122,420		2,840
Checkpoint Systems*		30,234		542
Ciber*		32,105		108
Cognex		151,400		4,233
Cogo Group*		17,200		129
Coherent*		48,570		2,006
CommVault Systems*		49,860		1,452
Compellent Technologies*		5,200		135
Computer Sciences		33,500		1,495
comScore*		14,715		324


Description	Shares		Market Value ($ Thousands)

Comtech Telecommunications (A)		95,618	$	2,836
Comverse Technology*		96,000		738
Concur Technologies* (A)		46,750		2,394
Constant Contact* (A)		15,400		394
Convergys* (A)		118,100		1,522
CoreLogic		17,300		315
Cree* (A)		55,850		3,640
CSG Systems International*		11,269		212
CTS		127,190		1,309
Cymer* (A)		28,415		1,082
Cypress Semiconductor*		37,400		586
Daktronics (A)		22,500		303
DealerTrack Holdings* (A)		15,406		294
DG FastChannel*		41,425		1,045
Diebold		130,841		4,111
Digital River* (A)		53,752		1,979
Dolby Laboratories, Cl A* (A)		41,393		2,620
DST Systems		20,400		874
DTS*		30,440		1,429
Earthlink (A)		75,600		678
EchoStar, Cl A*		5,200		105
Electronics for Imaging*		27,753		363
Emulex*		215,050		2,434
Entropic Communications* (A)		52,238		467
Equinix* (A)		13,600		1,055
Euronet Worldwide*		145,628		2,383
F5 Networks*		32,900		4,339
Fairchild Semiconductor International, Cl A* (A)		452,295		6,355
Finisar* (A)		131,820		2,520
Fortinet* (A)		40,100		1,278
Gartner*		136,133		4,379
Gerber Scientific* (A)		112,900		817
GSI Commerce* (A)		438,062		10,448
Harris		44,000		1,947
Heartland Payment Systems (A)		82,375		1,301
iGate (A)		6,700		134
Imation* (A)		121,422		1,154
Informatica* (A)		71,040		2,932
Infospace* (A)		63,141		488
Ingram Micro, Cl A*		142,160		2,538
Inphi*		6,600		105
Insight Enterprises*		72,500		914
Integrated Device Technology*		373,866		2,404
Intermec* (A)		123,620		1,398
Intersil, Cl A		69,200		882
Itron*		69,315		3,935
Ixia*		76,730		1,217
JA Solar Holdings ADR* (A)		203,300		1,409
Jabil Circuit		308,820		4,666
JDA Software Group*		130,403		3,443
JDS Uniphase* (A)		150,140		1,782
KIT Digital* (A)		70,231		967
Kla-Tencor		27,500		1,008
Knot* (A)		128,884		1,205
Lawson Software*		366,316		3,147
Lender Processing Services (A)		20,300		625
Lexmark International, Cl A*		44,000		1,595
Linear Technology (A)		18,000		587
Littelfuse		32,300		1,495
LSI*		679,050		3,898
Methode Electronics		74,751		763
Micrel (A)		21,600		267
Micros Systems*		45,783		2,002
Microsemi*		311,794		6,903


Description	Shares		Market Value ($ Thousands)

Mitel Networks*		117,600	$	769
MKS Instruments*		13,272		270
Molex (A)		157,534		3,277
Monolithic Power Systems*		25,686		414
Monotype Imaging Holdings*		18,673		209
Move*		93,424		236
MTS Systems		10,255		393
Multi-Fineline Electronix*		1,900		44
National Instruments		26,304		898
Netgear*		38,400		1,220
Netlogic Microsystems* (A)		66,208		2,066
Novatel Wireless* (A)		58,000		569
Nuance Communications*		12,608		223
Omnivision Technologies* (A)		93,211		2,637
OpenTable* (A)		18,600		1,349
OSI Systems*		15,400		537
Parametric Technology*		282,460		6,050
Park Electrochemical		28,200		773
Parkervision* (A)		209,685		89
Pegasystems (A)		106,289		3,290
Pericom Semiconductor* (A)		33,106		331
Plexus*		49,738		1,350
PMC - Sierra*		647,592		4,695
Polycom*		113,630		4,205
Power Integrations (A)		146,876		5,918
Power-One* (A)		214,360		2,026
Progress Software*		23,000		887
PROS Holdings*		95,205		909
Pulse Electronics (A)		43,000		176
Quantum* (A)		225,300		818
Quest Software*		100,700		2,548
QuinStreet* (A)		22,112		442
Rambus* (A)		51,200		1,025
RDA Microelectronics ADR*		38,300		614
Riverbed Technology* (A)		215,140		7,295
Rovi*		7,174		396
SAIC* (A)		116,700		1,788
Sanmina-SCI*		154,493		1,614
Sapient (A)		272,550		3,252
Scansource* (A)		17,700		516
Seachange International*		80,100		644
Silicon Laboratories* (A)		16,597		705
Skyworks Solutions* (A)		156,920		3,994
SolarWinds*		206,750		3,693
Solera Holdings		12,700		610
Sonic Solutions* (A)		25,693		256
Sourcefire* (A)		23,400		635
SPS Commerce*		11,840		140
SS&C Technologies Holdings* (A)		109,342		2,122
Stamps.com		4,504		59
STEC* (A)		52,000		884
SuccessFactors* (A)		128,940		3,890
Synaptics* (A)		13,800		393
Synchronoss Technologies*		17,564		456
SYNNEX* (A)		10,478		300
Synopsys*		180,384		4,634
Syntel		97,217		4,641
Taleo, Cl A*		28,336		870
Tech Data*		38,200		1,684
Tekelec*		135,767		1,677
TeleNav* (A)		78,300		510
Teradata*		23,300		957
Teradyne* (A)		149,464		1,773
TIBCO Software*		184,600		3,626
TiVo* (A)		236,481		1,944


Description	Shares		Market Value ($ Thousands)

TNS*		76,871	$	1,477
Totvs		23,410		2,319
Trimble Navigation*		63,417		2,362
TTM Technologies* (A)		181,350		2,404
Unisys*		57,350		1,297
United Online		301,460		1,919
Valueclick*		2,200		34
VanceInfo Technologies ADR*		96,850		3,643
Varian Semiconductor Equipment Associates* (A)		23,625		745
Vasco Data Security International*		6,600		57
Veeco Instruments* (A)		23,226		1,021
VeriFone Holdings* (A)		40,209		1,397
VeriSign*		3,500		120
Vishay Intertechnology* (A)		118,400		1,688
Vishay Precision Group* (A)		8,457		142
VistaPrint* (A)		167,640		6,759
Vocus* (A)		85,213		2,086
WebMD Health, Cl A*		8,242		423
Western Digital*		56,100		1,879
Wright Express*		91,458		3,939
Xyratex* (A)		98,116		1,499
Zebra Technologies, Cl A*		52,954		1,930
Zoran*		98,781		680

				359,550


Materials — 5.7%
A. Schulman		35,999		729
AK Steel Holding (A)		47,300		628
Albemarle		49,876		2,698
Alcoa (A)		120,608		1,582
Allegheny Technologies (A)		52,724		2,726
Allied Nevada Gold* (A)		29,500		789
American Vanguard		2,700		18
Aptargroup		33,201		1,516
Ashland		34,700		1,766
Bemis		50,682		1,592
Boise (A)		110,100		809
Buckeye Technologies		71,300		1,420
Cabot		23,766		851
Carpenter Technology (A)		83,042		3,029
Celanese, Cl A		118,243		4,375
Cytec Industries		59,232		2,833
Domtar (A)		23,000		1,746
Eastman Chemical		33,100		2,576
Greif, Cl A		6,500		380
H.B. Fuller		50,700		1,063
Headwaters*		40,621		158
Huntsman		266,625		4,125
Innophos Holdings		113,475		3,865
Intrepid Potash* (A)		127,350		3,903
Jaguar Mining* (A)		112,400		744
Kaiser Aluminum (A)		15,700		736
KMG Chemicals		4,300		61
Koppers Holdings		25,021		716
LSB Industries*		100,845		2,325
Lubrizol		55,150		5,766
Methanex		84,220		2,469
Molycorp* (A)		23,700		688
Nalco Holding		98,550		2,899
Neenah Paper		25,135		463
New Gold* (A)		96,000		900
NewMarket (A)		26,936		3,389
Nucor		52,709		1,989


Description	Shares		Market Value ($ Thousands)

Olin		17,100	$	312
OM Group*		43,730		1,644
Owens-Illinois*		87,876		2,362
Packaging of America		133,185		3,416
PolyOne*		252,800		3,150
Reliance Steel & Aluminum (A)		23,800		1,058
Rockwood Holdings*		57,846		2,208
Royal Gold		100		5
RTI International Metals* (A)		95,927		2,721
Sandstorm Resources*		1,108,000		734
Schnitzer Steel Industries, Cl A		50,040		2,857
Schweitzer-Mauduit International		18,819		1,182
Sensient Technologies		24,400		829
Sherwin-Williams		3,000		222
Silgan Holdings (A)		123,116		4,216
Solutia*		179,555		3,839
Sonoco Products		25,600		839
Spartech*		20,033		191
Steel Dynamics (A)		132,800		2,117
Stillwater Mining* (A)		88,950		1,683
STR Holdings* (A)		180,007		3,231
Temple-Inland		24,400		512
Titanium Metals*		33,300		575
Universal Stainless & Alloy*		29,300		916
Walter Industries		12,600		1,293
Westlake Chemical		11,130		420
Worthington Industries (A)		44,300		710
WR Grace*		44,025		1,474
Zep		2,300		42

				113,080


Telecommunication Services — 1.8%
AboveNet* (A)		3,271		192
Alaska Communications Systems Group (A)		104,525		1,102
CenturyLink (A)		33,900		1,457
Cincinnati Bell* (A)		486,732		1,188
Frontier Communications (A)		315,640		2,872
Leap Wireless International* (A)		57,300		624
MetroPCS Communications* (A)		584,289		7,099
Neutral Tandem*		63,500		913
NII Holdings*		294,229		11,404
NTELOS Holdings		14,811		251
Qwest Communications International (A)		76,400		535
SBA Communications, Cl A* (A)		144,239		5,647
tw telecom, Cl A* (A)		21,457		354
USA Mobility		76,117		1,296

				34,934


Utilities — 3.8%
AGL Resources		125,536		4,611
Alliant Energy		41,884		1,521
Ameren		42,000		1,206
American Water Works		127,203		3,118
Avista		16,800		359
Black Hills (A)		13,417		407
Cia de Saneamento de Minas Gerais-COPASA (Brazil)		41,100		655
Cleco (A)		56,172		1,704
CMS Energy (A)		243,773		4,381
Consolidated Edison (A)		31,009		1,500
Edison International		50,675		1,872
El Paso Electric*		115,650		3,046
Empire District Electric (A)		40,548		874


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

Great Plains Energy (A)		303,460	$	5,659
Hawaiian Electric Industries (A)		45,000		985
IDACORP		68,260		2,479
ITC Holdings		29,270		1,772
Laclede Group		9,825		347
MDU Resources Group		178,808		3,655
Mirant*		50,600		502
New Jersey Resources (A)		48,670		2,098
Northeast Utilities		122,474		3,809
NorthWestern (A)		58,725		1,692
NV Energy		137,270		1,879
Pinnacle West Capital		32,800		1,326
PNM Resources		122,380		1,466
Portland General Electric		304,234		6,441
SCANA (A)		47,097		1,913
South Jersey Industries		15,517		794
UGI		147,647		4,381
Unisource Energy		20,900		735
Vectren		56,834		1,472
Westar Energy (A)		56,609		1,410
Wisconsin Energy		55,062		3,316
Xcel Energy		95,329		2,240

				75,625

Total Common Stock (Cost $1,566,469) ($ Thousands)				1,922,532


AFFILIATED PARTNERSHIP — 29.6%
SEI Liquidity Fund, L.P. 0.210% (D)**†		597,115		588,950

Total Affiliated Partnership (Cost $597,115) ($ Thousands)				588,950


CASH EQUIVALENT — 4.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		83,708		83,708

Total Cash Equivalent (Cost $83,708) ($ Thousands)				83,708


U.S. TREASURY OBLIGATION (B)(C) — 0.3%
U.S. Treasury Bill 0.082%, 12/16/10	$	6,756		6,756

Total U.S. Treasury Obligation (Cost $6,756) ($ Thousands)				6,756


EXCHANGE TRADED FUNDS —0.2%
iShares Russell 2000 Growth Index Fund(A)		29,800		2,427
iShares Russell 2000 Index Fund		10,889		791
Powershares QQQ		4,435		231
SPDR S&P MidCap 400 ETF Trust		1,359		211

Total Exchange Traded Funds (Cost $3,519) ($ Thousands)				3,660


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.1%
Callaway Golf (E)		6,300		791


Financials — 0.0%
Grubb & Ellis*		8,000		696

Total Preferred Stock (Cost $1,420) ($ Thousands)				1,487


Description	Number of Contracts/Face Amount ($ Thousands)		Market Value ($ Thousands)

WARRANTS — 0.0%
Cullen Agricultural Holding, Expires 10/21/13*		152,271	$	—
Oilsands Quest, Expires 05/12/11*		179,650		6
Rentech, Expires 04/25/12 (F)(G)(H)*		13,800		—
Sandstorm Resources, Expires 04/23/14*		158,125		52
Titanium Asset Management, Expires 06/21/11(F)(G)(H)*		105,000		—

Total Warrants (Cost $122) ($ Thousands)				58


CONVERTIBLE BOND — 0.0%

Energy — 0.0%
Rentech
4.000%, 04/15/13	$	990		886

Total Convertible Bond (Cost $414) ($ Thousands)				886

Total Investments — 131.0% (Cost $2,259,523)($ Thousands)			$	2,608,037

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		331		Dec-2010	$	909
S&P Mid 400 Index E-MINI		182		Dec-2010		492

					$	1,401

A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Maturity Date	Currency to Deliver (Thousands)				Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($Thousands)
1/5/11		AUD	1,236	USD		1,188	$	8
1/5/11		USD	1,205	AUD		1,236		(25	)

							$	(17	)

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2010, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclay’s Capital	$	1,265	$	1,273	$	8
Deutsche Bank Securities		499		487		(12	)
UBS		293		284		(9	)
Westpac Banking		268		264		(4	)

					$	(17	)

Percentages are based on a Net Assets of $1,991,012 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $577,992 ($ Thousands).

(B)

Zero coupon security. The rate reported is the 7-day effective yield as of November 30, 2010.

(C)

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

(D)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $588,950 ($ Thousands).

(E)

(F)

Securities considered illiquid. The total value of such securities as of November 30, 2010 was $388 ($ Thousands) and represented 0.02% of Net Assets.

(G)

Securities considered restricted. The total value of such securities as of November 30, 2010 was $388 ($ Thousands) and represented 0.02% 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, 2010 was $388 ($ Thousands) and represented 0.02% of net assets.

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,922,107	$	124	$	301	$	1,922,532
Affiliated Partnership		—		588,950		—		588,950
Cash Equivalent		83,708		—		—		83,708
U.S. Treasury Obligations		—		6,756		—		6,756
Exchange Traded Funds		3,660		—		—		3,660
Preferred Stock		—		1,487		—		1,487
Convertible Bonds		—		886		—		886
Warrants		—		58		—		58

Total Investments in Securities	$	2,009,475	$	598,261	$	301	$	2,608,037


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,401	$	—	$	—	$	1,401

Total Other Financial Instruments	$	1,401	$	—	$	—	$	1,401

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):


	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2010	$	308		$	699
Accrued discounts/premiums		—			(9	)
Realized gain/(loss)		—			(639	)
Change in unrealized appreciation/(depreciation)		(7	)		414
Net purchases/sales		—			(465	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2010	$	301		$	—

Changes in unrealized
gains/(losses) included in earnings related to

securities still held at reporting date	$	(7	)	$	—


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.4%

Consumer Discretionary — 8.6%
Advance Auto Parts		9,100	$	601
Amazon.com*		10,734		1,883
Autoliv		5,580		410
Career Education*		15,550		277
Carter’s*		14,390		455
Choice Hotels International		7,100		264
Cinemark Holdings		27,100		476
DeVry		4,700		202
DIRECTV, Cl A*		14,150		588
Discovery Communications, Cl A*		15,980		652
DreamWorks Animation SKG, Cl A*		15,500		480
GameStop, Cl A*		23,100		460
Genuine Parts		10,600		510
Gildan Activewear, Cl A		7,410		223
H&R Block		41,200		519
ITT Educational Services*		6,900		403
Panera Bread, Cl A*		6,200		622
PetSmart		6,156		233
priceline.com*		4,702		1,853
Regal Entertainment Group, Cl A		14,780		199
Shaw Communications, Cl B		14,200		285
Strayer Education		3,000		407

				12,002


Consumer Staples — 17.5%
Altria Group		71,246		1,710
Brown-Forman, Cl B		24,736		1,618
Campbell Soup		33,039		1,120
Church & Dwight		8,130		530
Clorox		7,300		451
Dean Foods*		43,400		316
Flowers Foods		25,840		677
General Mills		15,980		565
Hansen Natural*		7,826		417
Hershey		44,189		2,068
Hormel Foods		54,833		2,691
Kellogg		20,460		1,007
Kimberly-Clark		31,354		1,941
Kroger		13,500		318
Lorillard		20,920		1,665
McCormick		22,330		983
Philip Morris International		30,778		1,751
Ralcorp Holdings*		7,510		465
Reynolds American		54,646		1,690
Ruddick		11,310		416
Sara Lee		24,478		367
Sysco		47,748		1,385
Tyson Foods, Cl A		26,093		413

				24,564


Energy — 4.0%
Berry Petroleum, Cl A		6,800		259
Chevron		11,777		954
Dresser-Rand Group*		10,970		416
Enbridge		12,710		708
Exxon Mobil		10,400		723
Imperial Oil		6,310		229


Description	Shares		Market Value ($ Thousands)

Murphy Oil		4,910	$	331
PetroHawk Energy*		34,700		619
Range Resources		7,000		294
SEACOR Holdings*		5,100		556
TransCanada		16,080		568

				5,657


Financials — 13.9%
Allied World Assurance Holdings		13,146		772
American Campus Communities‡		8,300		261
Arch Capital Group*		20,721		1,871
Bank of Hawaii		28,201		1,221
BOK Financial		7,067		330
Brown & Brown		11,800		270
Capitol Federal Financial		22,926		535
Commerce Bancshares		46,726		1,755
Corporate Office Properties Trust‡		13,770		467
Cullen/Frost Bankers		26,418		1,414
East West Bancorp		4,173		72
Endurance Specialty Holdings		7,842		346
Erie Indemnity, Cl A		9,500		598
Essex Property Trust‡		5,630		624
Federated Investors, Cl B		18,100		429
First Citizens BancShares, Cl A		2,849		495
Fulton Financial		23,540		204
Health Care REIT‡		11,500		532
Home Properties‡		7,500		402
Hudson City Bancorp		36,440		414
MFA Mortgage Investments‡		32,830		268
Moody’s		7,400		199
NASDAQ OMX Group*		9,200		197
PartnerRe		4,739		367
Platinum Underwriters Holdings		10,490		454
Prosperity Bancshares		14,100		459
Public Storage‡		2,020		195
Realty Income‡		15,930		542
RenaissanceRe Holdings		24,113		1,454
Senior Housing Properties Trust‡		16,200		362
Tanger Factory Outlet Centers‡		9,630		462
TFS Financial		59,400		486
UMB Financial		12,510		467
Washington Real Estate Investment Trust‡		18,390		564

				19,488


Health Care — 20.7%
Abbott Laboratories		40,555		1,886
Alexion Pharmaceuticals*		11,516		880
AmerisourceBergen		76,620		2,364
Amgen*		38,935		2,052
Becton Dickinson		21,772		1,697
Biogen Idec*		26,724		1,710
C.R. Bard		25,860		2,194
Cardinal Health		52,833		1,880
Celgene*		6,740		400
Cephalon*		1,721		109
Edwards Lifesciences*		8,100		537
Eli Lilly		42,271		1,423
Emergency Medical Services, Cl A*		6,880		341
Endo Pharmaceuticals Holdings*		15,200		547


Description	Shares		Market Value ($ Thousands)

Forest Laboratories*		42,613	$	1,359
Genzyme*		10,908		777
Henry Schein*		9,102		523
Johnson & Johnson		23,581		1,452
LifePoint Hospitals*		6,980		253
McKesson		33,000		2,108
Myriad Genetics*		16,030		345
Owens & Minor		17,400		491
Patterson		16,610		494
SXC Health Solutions*		29,089		1,116
Techne		23,180		1,392
United Therapeutics*		10,400		654

				28,984


Industrials — 4.1%
Alliant Techsystems		6,500		480
C.H. Robinson Worldwide		9,140		674
CLARCOR		4,910		200
FTI Consulting*		10,490		374
Gardner Denver		5,390		353
IHS, Cl A*		3,800		275
KBR		23,440		635
Landstar System		11,940		429
Lennox International		10,880		478
Lincoln Electric Holdings		7,890		486
Nordson		3,080		245
Raytheon		4,430		205
Rollins		22,720		614
Woodward Governor		8,200		277

				5,725


Information Technology — 11.0%
Activision Blizzard		50,540		593
ADTRAN		17,280		538
Amdocs*		10,617		276
Analog Devices		45,810		1,629
CGI Group, Cl A*		17,300		271
Cognizant Technology Solutions, Cl A*		29,360		1,908
Computer Sciences		7,287		325
Diebold		8,370		263
FLIR Systems*		9,190		246
Global Payments		12,700		528
Harris		11,020		488
IAC*		9,300		262
Ingram Micro, Cl A*		37,022		661
International Business Machines		13,377		1,892
Lender Processing Services		4,438		137
Microchip Technology		11,288		380
NeuStar, Cl A*		7,850		203
SAIC*		4,396		67
Tech Data*		32,513		1,433
Texas Instruments		53,656		1,706
WebMD Health, Cl A*		18,750		962
Xilinx		3,578		97
Zebra Technologies, Cl A*		15,113		551

				15,416


Materials — 3.1%
Aptargroup		13,280		606
Compass Minerals International		6,350		525
Greif, Cl A		9,000		526


Description	Shares		Market Value ($ Thousands)

Intrepid Potash*		15,590	$	478
Newmont Mining		24,820		1,460
Reliance Steel & Aluminum		4,800		213
Silgan Holdings		16,170		554

				4,362


Telecommunication Services — 2.3%
AT&T		24,100		670
BCE		14,250		483
MetroPCS Communications*		45,500		553
SBA Communications, Cl A*		14,920		584
Telephone & Data Systems		5,440		194
Verizon Communications		24,494		784

				3,268


Utilities — 13.2%
AGL Resources		27,868		1,024
Alliant Energy		15,310		556
American Water Works		17,800		436
Aqua America		5,605		121
Atmos Energy		39,928		1,201
Consolidated Edison		13,810		668
DPL		22,393		567
DTE Energy		11,840		527
Edison International		16,510		610
Energen		5,680		247
Great Plains Energy		24,400		455
Hawaiian Electric Industries		18,920		414
IDACORP		12,270		446
Integrys Energy Group		13,369		651
ITC Holdings		12,247		741
Nicor		18,826		814
NSTAR		43,325		1,794
OGE Energy		13,330		593
Pepco Holdings		12,510		230
PG&E		9,770		459
Piedmont Natural Gas		18,100		535
SCANA		19,362		787
TECO Energy		11,940		200
UGI		30,226		897
Vectren		39,829		1,032
WGL Holdings		12,800		464
Wisconsin Energy		32,156		1,936

				18,405

Total Common Stock (Cost $108,574) ($ Thousands)				137,871


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		2,205,050		2,205

Total Cash Equivalent (Cost $2,205) ($ Thousands)				2,205


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

U.S. TREASURY OBLIGATION — 0.5%
U.S. Treasury Bill
0.199%, 12/16/10 (A) (B)	$	779	$	778

Total U.S. Treasury Obligation (Cost $778) ($ Thousands)				778

Total Investments — 100.5% (Cost $111,557) ($ Thousands)			$	140,854


A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:
Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		22	Dec-2010	$	39

Percentages are based on a Net Assets of $140,200 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(B)

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

Cl — Class

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	137,871	$	—	$	—	$	137,871
Cash Equivalent		2,205		—		—		2,205
U.S. Treasury Obligation		—		778		—		778

Total Investments in Securities	$	140,076	$	778	$	—	$	140,854


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	39	$	—	$	—	$	39

Total Other Financial Instruments	$	39	$	—	$	—	$	39

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

For the six month period ended November 30, 2010, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.9%

Argentina — 0.0%
Telecom Argentina ADR		2,865	$	69

Australia — 4.0%
AGL Energy		1,605		24
Alumina		341,361		652
Amcor		278,933		1,725
Asciano Group		12,029		19
Ausdrill		6,496		16
Australia & New Zealand Banking Group		141,116		3,067
BGP Holdings*		39,545		—
BHP Billiton		63,563		2,605
Brambles		11,792		77
Caltex Australia		21,779		274
Centamin Egypt*		419,300		1,212
Coca-Cola Amatil		40,672		435
Cochlear		2,007		151
Commonwealth Bank of Australia		17,330		802
Dexus Property Group‡		146,774		110
Fairfax Media (A)		171,953		226
Fortescue Metals Group*		94,015		570
Foster’s Group		13,165		71
Goodman Group‡		43,083		26
GPT Group‡		95,804		255
GrainCorp		5,052		33
Intoll Group (B)		123,498		179
MacArthur Coal		7,425		85
Newcrest Mining		62,683		2,384
Orica		10,603		254
OZ Minerals		361,403		530
Qantas Airways		133,897		338
Rio Tinto (A)		26,856		2,117
Santos		92,609		1,104
SP AusNet, Cl Miscellaneous		124,857		108
Stockland‡		68,639		242
STW Communications Group		32,264		30
Suncorp-Metway		1,677		14
Transurban Group		17,229		86
Wesfarmers		23,177		701
Westfield Group‡*		27,123		256
Westpac Banking		7,821		160
Whitehaven Coal		65,400		423
Woolworths		13,875		357
				21,718

Austria — 0.4%
IMMOFINANZ*		84,583		301
OMV		15,535		523
Telekom Austria		1,154		16
Vienna Insurance Group		22,905		1,068
Voestalpine		3,263		133
				2,041

Belgium — 1.3%
Ageas		232,475		533
Belgacom (A)		27,430		931
Colruyt		28,940		1,450
Delhaize Group		1,011		69


Description	Shares		Market Value ($ Thousands)

InBev		62,091	$	3,389
KBC Groep		13,548		476
Umicore		4,283		204
				7,052

Bermuda — 0.1%
Axis Capital Holdings		20,200		714

Brazil — 2.1%
Amil Participacoes		152,917		1,489
Anhanguera Educacional Participacoes		64,865		1,500
Banco Santander Brasil ADR		75,300		983
Brasil Telecom ADR*		26,400		542
Centrais Eletricas Brasileiras ADR		99,901		1,337
Empresa Brasileira de Aeronautica ADR		27,500		801
Itau Unibanco Holding ADR		58,900		1,374
Petroleo Brasileiro ADR		54,157		1,757
Porto Seguro		94,100		1,412
				11,195

Canada — 4.2%
Agrium*		500		40
Bankers Petroleum*		129,900		838
Barrick Gold		38,900		2,009
Canadian Natural Resources (A)		13,700		527
Cenovus Energy		37,600		1,081
CI Financial		6,100		126
Domtar		10,252		779
Dundee, Cl A*		6,000		115
Eldorado Gold		66,100		1,153
Fairfax Financial Holdings		300		116
First Quantum Minerals		24,529		2,178
Gildan Activewear		5,700		172
Kinross Gold		70,600		1,230
Magna International, Cl A		17,292		824
Nexen		63,700		1,333
Niko Resources		19,547		1,754
Pacific Rubiales Energy		63,600		1,981
Research In Motion*		13,576		836
Silver Wheaton*		68,200		2,517
Suncor Energy		93,928		3,155
				22,764

Chile — 0.5%
Enersis ADR		34,990		832
Sociedad Quimica y Minera de Chile ADR (A)		36,100		1,831
				2,663

China — 0.9%
Bank of China, Cl H		2,174,000		1,164
Baoye Group, Cl H		44,000		26
China Minsheng Banking, Cl H		20,900		19
China Vanke, Cl B		456,800		577
Ctrip.com International ADR*		28,061		1,230
Dongfeng Motor Group, Cl H		34,000		65
Ping An Insurance Group of China, Cl H		128,500		1,483


Description	Shares		Market Value ($ Thousands)

Qingling Motors, Cl H		298,000	$	104

				4,668


Cyprus — 0.0%
Bank of Cyprus Public		3,500		13


Denmark — 1.2%
A P Moller - Maersk, Cl A		4		32
A P Moller - Maersk, Cl B		42		341
Carlsberg, Cl B		9,344		885
Coloplast, Cl B		2,707		361
Danske Bank		2,521		63
Novo-Nordisk, Cl B		29,206		2,897
Novozymes, Cl B		2,691		352
PER Aarsleff, Cl B		416		30
Royal UNIBREW		858		45
TrygVesta		28,322		1,225

				6,231


Finland — 1.3%
Kesko, Cl B		3,899		179
Kone, Cl B		14,654		769
Metso		29,745		1,532
Nokia		4,797		44
Nokia ADR(A)		98,900		913
Nokian Renkaat		5,767		186
Orion, Cl B		9,494		193
Pohjola Bank, Cl A		7,910		90
Sampo, Cl A		16,074		394
Stora Enso, Cl R		172,410		1,488
UPM-Kymmene		32,351		482
Wartsila, Cl B		12,192		846

				7,116


France — 8.0%
Accor		732		31
Air Liquide		272		32
Alcatel-Lucent		633,361		1,725
Areva		1,174		495
Arkema		4,829		288
AXA		49,914		718
BNP Paribas		81,820		4,857
Bureau Veritas		6,226		455
Carrefour		22,873		1,038
Cegid Group		1,081		30
Christian Dior		2,031		282
Cie Generale d’Optique Essilor International		305		19
CNP Assurances		42,662		686
Compagnie Generale des Etablissements Michelin, Cl B		1,055		72
Danone		1,370		80
Dassault Systemes		2,043		140
Electricite de France(A)		18,631		779
Eutelsat Communications		46,264		1,562
Fonciere Des Regions‡		238		22
France Telecom		4,268		87
Gaz de France		46,780		1,556
Gecina‡		450		47
Gemalto		13,047		512
Hermes International(A)		2,112		401


Description	Shares		Market Value ($ Thousands)

JC Decaux		464	$	12
Lagardere S.C.A.		371		14
Legrand		2,686		103
L’Oreal		835		89
LVMH Moet Hennessy Louis Vuitton(A)		13,102		1,993
Natixis		129,632		573
NetGem		7,913		31
Peugeot		34,335		1,284
PPR		1,416		226
Publicis Groupe		3,151		141
Renault		9,169		482
Safran		73,726		2,316
Sanofi-Aventis		78,381		4,753
Schneider Electric		33,671		4,740
SES Global		259		6
Societe BIC		463		38
Societe Generale		20,272		942
Sodexo		27,755		1,754
Technip		17,055		1,328
Thales		28,095		988
Total		26,124		1,269
Vallourec		18,702		1,781
Video Futur Entertainment Group* (A)		7,913		3
Vinci(A)		24,605		1,195
Vivendi		45,312		1,108

				43,083


Germany — 7.6%
Adidas		20,671		1,301
Allianz		13,909		1,530
BASF		38,191		2,859
Bayer		8,987		654
Bayerische Motoren Werke		9,141		689
Brenntag*		13,160		1,140
Centrosolar Group*		2,618		16
Commerzbank(A)		33,225		243
Continental		3,508		273
DaimlerChrysler		15,215		988
Deutsche Bank		7,843		374
Deutsche Boerse		26,106		1,583
Deutsche Lufthansa		13,024		278
Deutsche Post		79,365		1,275
Deutsche Telekom		18,664		240
E.ON		31,053		894
Fraport Frankfurt Airport Services Worldwide		1,358		80
Fresenius		1,482		127
Fresenius Medical Care		60,515		3,503
GEA Group		65,257		1,573
Hannover Rueckversicherung		2,422		113
Henkel		4,107		209
Infineon Technologies*		118,494		1,056
Linde		32,959		4,616
MAN		5,214		615
Merck KGaA		1,774		139
Muenchener Rueckversicherungs		6,050		843
RWE		6,031		376
SAP ADR(A)		27,000		1,267
SAP		47,810		2,237
Siemens		48,041		5,271


Description	Shares		Market Value ($ Thousands)

Suedzucker		11,278	$	242
ThyssenKrupp		57,685		2,209
Tognum		72,183		1,716
TUI(A)		18,991		201
Volkswagen		212		29
Wacker Chemie		903		156

				40,915


Greece — 0.1%
OPAP		36,763		593


Hong Kong — 4.1%
AIA Group*		478,100		1,382
ASM Pacific Technology		20,400		193
Bank of East Asia		6,200		26
BOC Hong Kong Holdings		126,600		435
Cathay Pacific Airways		487,200		1,421
Cheung Kong Holdings		23,009		340
Cheung Kong Infrastructure Holdings		2,000		9
China Mobile ADR		27,800		1,386
China Mobile		124,500		1,242
CLP Holdings		11,900		98
CNOOC		624,000		1,353
First Pacific		36,000		31
Genting Singapore*		262,000		395
Hang Lung Group		36,200		232
Hang Lung Properties		33,200		155
Hong Kong & China Gas		55,200		135
Hong Kong Exchanges and Clearing		3,400		78
HongKong Electric Holdings		16,300		105
Hongkong Land Holdings		69,000		468
Hutchison Telecommunications Hong Kong Holdings		228,000		69
Hutchison Whampoa		136,600		1,367
Hysan Development		29,900		124
Jardine Strategic Holdings		69,953		1,833
Kerry Properties		179,500		906
Li & Fung		59,100		368
New World Development		161,000		320
Orient Overseas International		60,100		583
Pico Far East Holdings		202,000		39
Shangri-La Asia		63,300		159
Sun Hung Kai Properties		107,000		1,769
Swire Pacific, Cl A		223,000		3,434
Vedan International Holdings		220,000		18
Wharf Holdings		44,300		298
Wheelock		82,383		296
Wing Hang Bank		7,000		92
Yue Yuen Industrial Holdings		276,400		998

				22,157


India — 0.0%
ICICI Bank ADR		264		13
State Bank of India GDR		1,857		241

				254


Description	Shares		Market Value ($ Thousands)


Ireland — 0.6%
Experian		230,573	$	2,637
Smurfit Kappa Group(C)		52,002		463

				3,100


Israel — 0.6%
Israel*		90		96
Israel Chemicals		18,410		265
Mizrahi Tefahot Bank		3,885		39
Teva Pharmaceutical Industries ADR		47,061		2,355
Teva Pharmaceutical Industries		11,384		581

				3,336


Italy — 1.2%
Enel(A)		207,489		978
Enel Green Power*		7,400		15
ENI		10,962		221
ERG		39,871		499
Exor		2,566		68
Fiat		1,349		22
Mediaset		133,802		742
Pirelli		9,732		74
Saipem		4,815		201
Servizi Italia		2,512		20
Snam Rete Gas		135,495		646
Telecom Italia		1,964,655		2,129
UniCredito Italiano		315,814		613

				6,228


Japan — 18.1%
Aeon		107,500		1,310
Aeon Mall		5,000		111
Airport Facilities		14,700		57
Aisin Seiki		12,500		405
All Nippon Airways		51,700		183
Asahi Breweries		10,600		206
Asahi Glass		24,300		271
Asahi Kasei		53,000		315
Asics		2,100		23
Autobacs Seven		1,400		51
Bando Chemical Industries		25,000		89
BML		3,500		90
Bridgestone		115,900		2,134
Brother Industries		70,700		1,003
Canon		8,200		386
Central Glass		20,000		84
Central Japan Railway		145		1,118
Chubu Shiryo		3,000		18
Coca-Cola Central Japan		4,200		54
Coca-Cola West		102,300		1,702
Cosmo Oil		11,300		32
Credit Saison		4,200		67
Dai Nippon Printing		126,000		1,585
Daicel Chemical Industries		122,200		832
Daido Steel		60,500		324
Daihatsu Motor		46,000		645
Dai-ichi Life Insurance		66		95


Description	Shares		Market Value ($ Thousands)

Daiichikosho		5,100	$	91
Daito Trust Construction		3,600		223
Dena		13,800		402
Denki Kagaku Kogyo		3,900		17
Denso		8,000		261
Dentsu		4,300		116
Ebara		22,000		94
EDION		17,000		133
FamilyMart		2,400		82
Fanuc		12,400		1,775
Fuji Electric Holdings		79,000		211
Fuji Heavy Industries		44,100		326
FUJI SOFT INC		2,400		35
FUJIFILM Holdings		36,200		1,215
Fujitsu		324,000		2,077
FuKoKu		2,800		24
Fukuoka Financial Group		19,000		73
HAJIME CONSTRUCTION		4,400		135
Hamamatsu Photonics		2,400		79
Haseko		436,500		391
Hino Motors		34,600		171
Hisamitsu Pharmaceutical		1,900		76
Hitachi		422,100		1,995
Hitachi Metals		13,100		150
Hokkaido Electric Power		900		18
Honda Motor		106,800		3,837
IBJ Leasing		2,700		63
Idemitsu Kosan		9,200		855
IHI		8,000		16
Iida Home Max		10,500		100
Imasen Electric Industrial		6,800		91
Inabata		32,300		164
Isuzu Motors		99,100		441
Itochu		20,300		188
Japan Real Estate Investment, Cl A‡		5		48
Japan Retail Fund Investment, Cl A‡		90		145
Japan Tobacco		8		27
JFE Shoji Holdings		25,000		102
JGC		46,000		890
Joshin Denki		7,000		65
JS Group		51,400		948
JSP		10,400		137
Jupiter Telecommunications		2,116		2,152
JX Holdings		154,470		955
Kajima		4,900		12
Kamei		6,000		26
Kansai Electric Power		2,600		62
Kao		23,600		592
Kawasaki Kisen Kaisha		160,100		667
Kawasumi Laboratories		3,000		18
KDDI		453		2,587
Keikyu		15,800		139
Keisei Electric Railway		5,000		33
Kinden		2,000		17
Kobe Steel		222,600		505
Komatsu		14,000		387
Konishi		2,300		26
Kuraray		7,900		109
Kyocera		4,700		479
Mabuchi Motor		20,900		1,004


Description	Shares		Market Value ($ Thousands)

Makita		36,100	$	1,303
Marubeni		228,400		1,481
Marui Group		11,600		94
Maruichi Steel Tube		5,700		109
McDonald’s Holdings Japan		1,400		35
Medipal Holdings		28,600		307
MEIJI Holdings		3,300		143
Mikuni Coca-Cola Bottling		5,900		52
Mitsubishi		106,400		2,688
Mitsubishi Chemical Holdings		138,200		794
Mitsubishi Electric		61,500		609
Mitsubishi Gas Chemical		145,663		892
Mitsubishi Materials		32,000		99
Mitsubishi UFJ Financial Group		308,000		1,456
Mitsubishi UFJ Lease & Finance		3,320		121
Mitsui		25,700		401
Mitsui Chemicals		47,000		144
Mitsui Mining & Smelting		111,000		337
Mitsui OSK Lines		47,700		327
Mitsui Sumitomo Insurance Group Holdings		43,700		1,001
Mitsui Trust Holdings		58,000		204
Mizuho Financial Group		360,900		573
NEC Networks & System Integration		10,200		120
NGK Spark Plug		2,500		36
Nichii Gakkan		22,500		188
Nichireki		10,000		37
Nidec		1,600		160
Nihon Shokuhin Kako		1,000		5
Nintendo		3,900		1,059
Nippon Electric Glass		152,100		2,133
Nippon Meat Packers		18,000		215
Nippon Steel Trading		24,000		68
Nippon Synthetic Chemical Industry		8,000		46
Nippon Telegraph & Telephone ADR		72,000		1,630
Nippon Telegraph & Telephone		53,800		2,434
Nippon Yusen		46,500		203
Nishi-Nippon City Bank		150,600		415
Nishio Rent All		2,900		16
Nissan Motor		26,100		245
Nisshin Fudosan		16,700		114
Nisshin Steel		184,000		336
Nisshinbo Holdings		1,400		14
Nissin Sugar Manufacturing		11,000		24
Nitori		250		22
Nitto Denko		2,300		95
NOK		4,200		79
NTT DoCoMo		59		96
Obayashi		9,500		40
Odakyu Electric Railway, Cl B		4,500		41
OJI Paper		10,100		46
Omron		9,400		232
Onoken		2,600		21
Oracle Japan		2,000		88
Oriental Land		2,700		244
ORIX		1,650		141
Panasonic		37,600		540
Penta-Ocean Construction		114,000		176
Resona Holdings(A)		64,500		393


Description	Shares		Market Value ($ Thousands)

Rinnai		500	$	29
Rohm		12,400		748
Roland		6,800		73
Ryoden Trading		4,000		22
S Foods		3,500		28
San-Ai Oil		16,000		70
Sankyo		40,200		2,126
Sanshin Electronics		5,700		45
Sapporo Hokuyo Holdings		118,900		493
Scroll		26,700		100
Sega Sammy Holdings		36,100		607
Seino Holdings		19,000		119
Sekisui Chemical		257,000		1,764
Sekisui House		83,000		788
Sekisui Jushi		9,000		84
Seven & I Holdings		45,900		1,120
Shimadzu		3,900		29
Shimano		3,300		159
Shin-Etsu Chemical		25,400		1,240
Shinsei Bank(A)		392,000		342
Shiseido		59,700		1,247
Showa Shell Sekiyu		12,400		103
SMC		5,700		905
Softbank		23,000		796
Sojitz		176,400		341
Sony		84,300		2,990
Sony Financial Holdings		437		1,578
Sumitomo		139,100		1,813
Sumitomo Electric Industries		10,300		135
Sumitomo Metal Mining		5,000		78
Sumitomo Mitsui Financial Group		22,100		678
Sumitomo Realty & Development		2,000		43
Sumitomo Rubber Industries		6,300		64
Sumitomo Trust & Banking		124,000		657
Sysmex		1,500		95
T&K Toka		2,100		26
Taisei		2,400		5
Takagi Securities		10,000		13
Takara Leben		21,000		143
Takashimaya		7,400		62
Takeda Pharmaceutical		20,100		933
Tanabe Seiyaku		5,700		90
Tohoku Electric Power		700		15
Tokuyama		5,000		25
Tokyo Electric Power		2,100		49
Tokyo Electron		15,100		946
Tokyo Gas		60,800		265
Tokyu Community		500		14
Tokyu Land		8,000		36
Tomoku		20,000		50
Tosei		42		16
Toshiba TEC		47,000		197
Tosoh		80,000		224
Totetsu Kogyo		13,000		82
Toyo Seikan Kaisha		1,100		20
Toyo Tire & Rubber		29,000		63
Toyota Auto Body		9,000		159
Toyota Industries		3,100		91
Toyota Motor		34,600		1,330
Toyota Motor ADR		11,237		873
Toyota Tsusho		9,000		146
Tsukishima Kikai		6,000		39


Description	Shares		Market Value ($ Thousands)

Unicharm		66,400	$	2,592
Unipres		7,400		130
Universe		3,600		50
USS		1,220		88
Wacoal Holdings		74,723		1,011
Yamaha Motor		2,700		39

				97,500


Jersey — 0.0%
Randgold Resources		1,489		139


Macau — 0.1%
Sands China*		6,100		13
Wynn Macau		132,800		269

				282


Malaysia — 0.2%
Axiata Group*		641,100		927


Mexico — 0.1%
Telefonos de Mexico ADR(A)		17,708		283


Netherlands — 5.6%
Aegon		16,575		91
Akzo Nobel		60,597		3,268
ASML Holding		24,098		782
Boskalis Westminster		1,736		75
Corio‡		472		27
European Aeronautic Defense and Space		56,651		1,273
Fugro		28,266		1,910
Heineken		1,900		88
Heineken Holding		215		9
ING Groep		278,455		2,466
Koninklijke Ahold		147,035		1,782
Koninklijke DSM		25,168		1,233
Koninklijke Philips Electronics		17,085		462
Koninklijke Vopak		1,225		56
Reed Elsevier		121,133		1,421
Royal Dutch Shell, Cl A		81,606		2,464
Royal Dutch Shell, Cl B		23,687		704
Royal Dutch Shell, Cl A (GBP)(B)		38,163		1,150
Royal Dutch Shell ADR, Cl B		22,100		1,333
Royal KPN		125,797		1,799
TNT		117,582		2,814
Unilever		156,378		4,451
Wolters Kluwer		36,833		732

				30,390


New Zealand — 0.1%
Fletcher Building		3,843		23
Telecom of New Zealand		348,411		560

				583


Norway — 1.2%
Aker Kvaerner		75,671		1,120
Atea		11,500		93
DnB		286,345		3,504
Seadrill		15,715		481


Description	Shares		Market Value ($ Thousands)

Statoil		32,958	$	653
Telenor		39,156		563
Yara International		5,322		254

				6,668


Portugal — 0.2%
Banco Espirito Santo		25,219		91
Energias de Portugal		86,407		277
Jeronimo Martins		32,124		456
Portugal Telecom		2,177		28

				852


Russia — 0.1%
Gazprom OAO ADR		24,389		542


Singapore — 1.2%
CapitaMalls Asia		8,000		12
City Developments		13,000		124
CSE Global		78,000		67
DBS Group Holdings		128,400		1,360
Fraser and Neave		53,400		243
Global Logistic Properties*		10,000		17
GP Batteries International		16,000		21
Ho Bee Investment		98,000		116
Jardine Cycle & Carriage		7,300		205
Keppel		15,800		127
Keppel Land		43,600		157
Oversea-Chinese Banking		203,100		1,526
SembCorp Marine		9,000		33
Singapore Airlines		95,500		1,114
Singapore Exchange		14,000		91
Singapore Press Holdings		54,200		172
Singapore Technologies Engineering		47,900		118
Transpac Industrial Holdings		15,000		20
United Overseas Bank		5,000		70
UOL Group		93,000		318
Wheelock Properties Singapore		23,370		34
Yangzijiang Shipbuilding Holdings		530,900		723

				6,668


South Africa — 0.9%
AngloGold Ashanti ADR(A)		29,000		1,358
Gold Fields		69,295		1,130
Impala Platinum Holdings		19,071		544
MTN Group		91,690		1,566

				4,598


South Korea — 2.6%
Honda Motor Company*		530		14
Hyundai Heavy Industries		3,615		1,158
Hyundai Mobis		12,585		2,985
Hyundai Motor		11,627		1,730
Korea Electric Power ADR(A)		65,888		785
KT ADR		42,600		867
KT&G		11,601		627
LG Display ADR		1,404		24
Samsung Electronics		5,045		3,594
Samsung SDI		5,713		816


Description	Shares		Market Value ($ Thousands)

SK Telecom ADR		88,000	$	1,582

				14,182


Spain — 0.9%
Banco Bilbao Vizcaya Argentaria		11,792		109
Banco de Sabadell(A)		23,217		90
Banco Santander Central Hispano		117,494		1,117
Criteria Caixacorp(A)		84,958		418
Enagas		46,512		862
Ferrovial		4,422		42
Gas Natural		15,836		214
Iberia Lineas Aereas de Espana		18,832		76
Inditex		10,283		777
Repsol		896		22
Telefonica		59,891		1,278

				5,005


Sweden — 2.1%
AarhusKarlshamn		2,841		71
Alfa Laval		15,525		273
Assa Abloy, Cl B		15,781		424
Atlas Copco, Cl A		23,785		525
Atlas Copco, Cl B		15,906		313
Bilia, Cl A		5,165		88
Elekta, Cl B		18,765		632
Getinge, Cl B		8,079		169
Hennes & Mauritz, Cl B		5,518		186
Hexagon, Cl B(A)		8,510		161
Holmen, Cl B		1,387		41
Industrivarden, Cl C		30,502		450
Kinnevik Investment, Cl B		19,044		376
Millicom International Cellular		3,839		333
Modern Times Group, Cl B		2,960		216
Nordea Bank		50,761		506
Ratos, Cl B		5,369		179
Sandvik		8,878		150
Scania, Cl B		56,387		1,152
Skandinaviska Enskilda Banken, Cl A		138,092		1,001
Skanska, Cl B		7,306		130
SKF, Cl B		18,253		487
Svenska Cellulosa, Cl B		19,694		287
Svenska Handelsbanken, Cl A		53,207		1,589
Swedbank, Cl A		28,594		361
Swedish Match		7,015		196
Tele2, Cl B		18,452		368
Telefonaktiebolaget LM Ericsson, Cl B		2,411		25
Volvo, Cl B		43,934		638

				11,327


Switzerland — 7.3%
ABB		8,341		163
Actelion*		612		32
Aryzta		2,164		93
Clariant		8,066		146
Coltene Holding		472		26
Compagnie Financiere Richemont		26,059		1,414
Credit Suisse Group		30,230		1,124
Emmi		200		36
Geberit		143		29
Givaudan		3,293		3,324


Description	Shares		Market Value ($ Thousands)

Informa		232,641	$	1,432
Julius Baer Group		3,433		131
Julius Baer Holding		12,216		181
Kuehne + Nagel International		920		119
Lindt & Spruengli		20		55
Logitech International*		2,500		48
Lonza Group		248		19
Nestle		107,294		5,872
Novartis		116,974		6,250
Roche Holding		25,750		3,560
Schindler Holding		7,653		872
SGS		1,469		2,421
Sika		106		213
Sonova Holding		1,160		146
STMicroelectronics		30,079		270
Sulzer		18,449		2,416
Swatch Group, Cl B		1,808		731
Swatch Group		6,909		504
Swiss Life Holding		3,119		349
Swisscom		77		32
Transocean*		5,279		365
UBS		221,932		3,346
Xstrata		118,429		2,383
Zurich Financial Services		5,895		1,321

				39,423


Taiwan — 0.2%
Chunghwa Telecom ADR		7,831		189
United Microelectronics ADR(A)		241,944		689

				878


Thailand — 0.3%
Kasikornbank		354,500		1,419


Turkey — 0.2%
Turkiye Garanti Bankasi		217,599		1,204


United Kingdom — 15.9%
3i Group		35,555		165
Admiral Group		10,658		254
Aggreko		16,751		382
Amec		119,506		2,012
Amlin		295,988		1,731
Anglo American		7,131		313
Antofagasta		71,784		1,470
ARM Holdings		85,143		525
Associated British Foods		9,318		154
AstraZeneca		91,508		4,269
Aviva		257,593		1,422
BAE Systems		41,653		214
Balfour Beatty		131,355		560
Barclays		178,418		712
BG Group		209,756		3,794
BHP Billiton		5,249		187
BP		298,949		1,983
British Airways* (A)		19,316		77
British American Tobacco		65,467		2,376
British Land‡		5,298		40
British Sky Broadcasting Group		41,713		468
BT Group, Cl A		70,696		187


Description	Shares		Market Value ($ Thousands)

Bunzl		6,887	$	75
Burberry Group		25,168		390
Cairn Energy*		375,249		2,259
Cape		17,519		98
Capital Shopping Centres Group‡*		12,791		78
Carnival		1,528		63
Centrica		118,353		566
Compass Group		56,183		486
Davis Service Group PLC		60,400		368
Diageo		33,447		596
Education Development International		15,291		25
Firstgroup		5,879		33
Fresnillo		9,686		213
GlaxoSmithKline		106,154		2,004
Hammerson‡		5,359		33
Hogg Robinson Group		38,599		21
HSBC Holdings		454,089		4,599
ICAP		148,453		1,098
Imperial Tobacco Group		46,961		1,379
Inmarsat		526		5
Intercontinental Hotels Group		23,509		417
International Power		63,640		404
Intertek Group		7,017		198
Investec		5,758		45
ITV		68,335		71
J Sainsbury		12,801		71
Johnson Matthey		152		4
Kingfisher		938,084		3,433
Land Securities Group‡		3,998		39
Legal & General Group		359,399		512
Lloyds Banking Group		2,567,596		2,415
Michael Page International		81,391		604
Morgan Sindall		3,027		30
Next		11,473		359
Old Mutual		112,018		207
Pearson		39,208		566
Petrofac		14,340		311
Prudential		35,097		310
Reckitt Benckiser Group		11,311		599
Reed Elsevier		189,739		1,504
Rexam		203,882		957
Rio Tinto		91,225		5,795
Rio Tinto ADR(A)		23,200		1,488
Rolls-Royce Group		388,654		3,686
Royal & Sun Alliance Insurance Group		93,104		174
Royal Bank of Scotland Group*		1,772,809		1,038
SABMiller		23,995		760
Sage Group		298,473		1,196
Savills		8,095		43
Schroders		2,963		74
Serco Group		9,752		83
Severn Trent		13,634		307
Shire		30,700		718
Smith & Nephew		101,015		916
Smiths Group		20,880		370
Standard Chartered		13,676		369
Standard Life		26,439		83
Tesco		524,714		3,385


Description	Shares		Market Value ($ Thousands)

Travis Perkins		45,605	$	574
Tullett Prebon		24,976		136
Tullow Oil		76,356		1,364
Unilever		19,906		551
United Utilities Group		28,447		264
Vodafone Group		3,629,339		9,086
Whitbread		4,422		116
Willis Group Holdings		45,300		1,442
WPP		52,921		586

				85,344


United States — 0.4%
Boise		10,195		75
Capital One Financial		6,472		241
Central Garden and Pet*		4,700		44
Clearwater Paper*		1,900		153
ConocoPhillips		4,900		295
Eli Lilly		36,589		1,232
Horace Mann Educators		13,859		226
Humana*		256		14
M&F Worldwide*		1,500		35
RAIT Financial Trust‡* (A)		64,752		104

				2,419

Total Common Stock (Cost $479,381) ($ Thousands)				516,543


WARRANTS — 0.3%

India — 0.3%
Shriram Transport Finance, Expires 2014* (D)		78,465		1,383

Total Warrants (Cost $990) ($ Thousands)				1,383


PREFERRED STOCK — 0.3%

Germany — 0.3%
Bayerische Motoren Werke		2,760		132
Draegerwerk		1,189		88
Fresenius		2,827		244
Henkel		5,457		336
KSB		173		125
Sto		300		35
Volkswagen		3,869		624

Total Preferred Stock (Cost $1,103) ($ Thousands)				1,584


	Number Of Rights
RIGHTS — 0.0%

China — 0.0%
Bank of China, Expires 12/07/10		217,400		39
Ind & Comm Bank of China, Expires 12/20/10		43,470		14

				53


Sweden — 0.0%
Hexagon, Expires 12/07/10		8,510		24

Total Rights (Cost $0) ($ Thousands)				77


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


AFFILIATED PARTNERSHIP — 3.0%
SEI Liquidity Fund, L.P. 0.210%**† (B)		16,734,018	$	15,976

Total Affiliated Partnership (Cost $16,734) ($ Thousands)				15,976


CASH EQUIVALENT — 1.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		10,137,410		10,137

Total Cash Equivalent (Cost $10,137) ($ Thousands)				10,137


U.S. TREASURY OBLIGATION — 0.6%
U.S. Treasury Bill
0.199%, 12/16/10 (E) (G)	$	3,406		3,405

Total U.S. Treasury Obligation (Cost $3,405) ($ Thousands)				3,405

Total Investments — 102.0% (Cost $511,750) ($ Thousands)			$	549,105

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		128		Dec-2010	$	(261	)
FTSE Index		40		Dec-2010		(82	)
Hang Seng Index		2		Dec-2010		(2	)
Nikkei 225 Index		5		Dec-2010		21
SPI 200 Index		9		Dec-2010		(16	)
Topix Index		26		Dec-2010		160

					$	(180	)

Percentages are based on a Net Assets of $538,304 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $15,751 ($ Thousands).

(B)

(C)

Variable Rate Security. The rate is the rate in effect as of November 30, 2010. The date reported is the final maturity date.

(D)

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

(E)

Zero coupon security. 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 such securities as of November 30, 2010 was $15,976 ($ Thousands).

(G)

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

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

Cl — Class

DJ — Dow Jones

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

L.P. — Limited Partnership

SPI — Share Price Index

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	516,543	$	—	$	—	$	516,543
Warrants		—		1,383		—		1,383
Preferred Stock		1,584		—		—		1,584
Rights		77		—		—		77
Affiliated Partnership		—		15,976		—		15,976
Cash Equivalent		10,137		—		—		10,137
U.S. Treasury Obligation		—		3,405		—		3,405

Total Investments in Securities	$	528,341	$	20,764	$	—	$	549,105


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(180	)	$	—	$	—	$	(180	)

Total Other Financial Instruments	$	(180	)	$	—	$	—	$	(180	)

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

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

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


Description	Shares		Market Value ($ Thousands)


COMMON STOCK — 92.8%

Argentina — 0.1%
Tenaris ADR		53,083	$	2,260


Australia — 3.3%
Aditya Birla Minerals*		166,691		189
Australia & New Zealand Banking Group ADR(A)		741,400		16,251
Australia & New Zealand Banking Group		356,975		7,758
Beach Energy		1,020,311		656
BGP Holdings*		239,898		—
BHP Billiton		696,200		28,537
Caltex Australia		678,351		8,548
Coal & Allied Industries		3,073		332
Coca-Cola Amatil		90,736		969
Dexus Property Group‡		148,686		111
Equinox Minerals* (A)		713,996		3,869
Fairfax Media(A)		470,307		618
Fortescue Metals Group*		478,664		2,901
Foster’s Group		22,234		121
GPT Group‡		347,310		926
GrainCorp		14,734		97
Myer Holdings		1,088,000		3,809
New Hope		153,778		720
Orica		62,078		1,487
OZ Minerals		7,175,438		10,529
Qantas Airways		663,013		1,672
Rio Tinto(A)		328,074		25,866
Santos		820,280		9,778
SP AusNet, Cl Miscellaneous		430,728		372
Stockland‡		368,448		1,297
Straits Resources		50,042		106
Telstra ADR(A)		1,087,700		14,738
Westfield Group‡*		133,478		1,258
Woolworths		143,059		3,677

				147,192


Austria — 0.1%
IMMOFINANZ*		411,371		1,465
OMV		8,162		275
Voestalpine		53,401		2,173

				3,913


Belgium — 0.9%
Delhaize Group ADR(A)		321,500		22,058
D’ieteren		1,877		994
InBev		210,219		11,473
KBC Groep		83,410		2,934
Telenet Group Holding		36,613		1,330
Umicore		35,696		1,699

				40,488


Bermuda — 0.1%
Frontline(A)		246,400		6,391


Brazil — 3.8%
Banco Bradesco ADR(A)		784,400		15,735


Description	Shares		Market Value ($ Thousands)

Banco do Brasil		120,182	$	2,299
BM&F Bovespa SA		2,071,700		15,719
BR Properties		93,400		1,059
Cia de Saneamento Basico do Estado de Sao Paulo ADR(A)		718,700		32,449
Cia Paranaense de Energia ADR(A)		1,025,600		25,681
Cia Vale do Rio Doce		289,900		9,028
Embraer		259,600		1,870
Empresa Brasileira de Aeronautica ADR(A)		263,500		7,673
Fleury		198,212		2,628
Hypermarcas*		216,000		3,407
Iguatemi Empresa de Shopping Centers		43,800		1,082
Julio Simoes Logistica*		270,600		1,650
Lojas Renner		98,400		3,434
Natura Cosmeticos		455,000		12,191
Petroleo Brasileiro ADR		398,700		12,934
Petroleo Brasileiro		627,470		9,985
SLC Agricola		176,802		1,929
Totvs		72,300		7,162
Wilson Sons, Cl BDR		74,361		1,237

				169,152


Canada — 7.0%
Agrium		274,600		22,023
Alimentation Couche Tard, Cl B		91,630		2,304
Atco, Cl I		2,400		134
Bank of Montreal(A)		43,325		2,539
Barrick Gold		176,220		9,094
BCE(A)		81,700		2,761
Brookfield Asset Management, Cl A		143,894		4,207
Brookfield Properties(A)		83,900		1,359
Canadian Imperial Bank of Commerce(A)		94,600		7,281
Canadian National Railway		445,828		28,466
Canadian Natural Resources(A)		741,900		28,525
Canadian Pacific Railway		38,016		2,426
Canadian Tire, Cl A		31,900		1,973
Cascades		32,900		195
Celestica*		103,900		924
Cenovus Energy		55,817		1,605
Centerra Gold		109,500		2,137
CGI Group, Cl A*		338,909		5,312
CI Financial		19,500		402
Domtar		59,590		4,524
Dorel Industries, Cl B		33,200		1,073
Dundee, Cl A*		11,100		213
Empire, Cl A		10,300		573
Enbridge(A)		136,980		7,620
EnCana		218,513		6,048
Finning International		38,579		931
George Weston		20,382		1,555
Gildan Activewear		74,400		2,241
IAMGOLD		96,832		1,588
IESI-BFC		8,400		182
Imax* (A)		174,028		4,735
Intact Financial		2,600		124
Loblaw(A)		43,100		1,720
Lundin Mining*		471,200		3,032


Description	Shares		Market Value ($ Thousands)

Magna International, Cl A		393,500	$	18,760
Manulife Financial		22,800		317
Metro, Cl A		6,200		280
National Bank of Canada(A)		33,200		2,193
Nexen		756,543		15,825
Norbord*		48,403		570
Nordion*		47		1
Northgate Minerals*		241,700		722
Onex		58,200		1,601
Pacific Rubiales Energy		311,148		9,694
Potash Corp of Saskatchewan		50,250		7,223
Potash Saskatchewan		52,300		7,521
Quebecor, Cl B		24,700		897
Research In Motion*		252,942		15,621
RioCan Real Estate Investment Trust‡ (A)		53,600		1,125
Rogers Communications, Cl B(A)		49,500		1,749
Saputo		88,500		3,223
SEMAFO*		97,100		1,172
Teck Cominco, Cl B		80,193		3,983
TELUS		9,100		413
Tesco ADR		23,996		317
Tim Hortons		15,400		607
TMX Group		8,700		298
Toronto-Dominion Bank(A)		295,198		21,482
Transat AT, Cl B*		300		5
TransCanada		208,800		7,373
Trican Well Service		249,000		4,786
Valeant Pharmaceuticals International		158,900		4,117
West Fraser Timber		12,000		524
Yamana Gold		1,822,600		21,279

				313,504


Chile — 0.2%
Banco Santander Chile ADR		1,918		176
Enersis ADR		67,980		1,617
ENTEL Chile		140,414		2,369
SACI Falabella		444,604		4,251

				8,413


China — 2.7%
Air China, Cl H		3,030,000		3,949
AirMedia Group ADR*		141,345		977
Ajisen China Holdings		1,795,909		3,029
China Construction Bank, Cl H		5,759,000		5,198
China Merchants Bank, Cl H		5,710,127		14,780
China Petroleum & Chemical, Cl H		9,828,000		9,150
China Railway Construction, Cl H		1,086,500		1,290
China Rongsheng Heavy Industry Group*		2,054,000		1,997
China Telecom, Cl H		1,710,000		861
Dongfeng Motor Group, Cl H		3,152,000		5,999
Huaneng Power International ADR(A)		367,500		7,908
Industrial & Commercial Bank of China, Cl H		21,044,000		16,368
Mindray Medical International ADR		80,060		2,101
Noah Holdings ADR*		36,743		594


Description	Shares		Market Value ($ Thousands)

Ping An Insurance Group of China, Cl H		548,000	$	6,323
Shanghai Friendship Group, Cl B		241,620		573
Sina* (A)		39,540		2,531
Sinopharm Group, Cl H(A)		2,506,786		9,168
Springland International Holdings*		1,871,000		1,532
Tingyi Cayman Islands Holding		1,234,000		3,054
Yanzhou Coal Mining ADR(A)		328,200		9,055
Zhaojin Mining Industry		1,268,500		4,966
Zhuzhou CSR Times Electric, Cl H		2,519,000		9,618

				121,021


Colombia — 0.0%
Grupo de Inversiones Suramericana		79,201		1,572


Cyprus — 0.0%
Eurasia Drilling GDR(B)		57,349		1,778


Czech Republic — 0.0%
Komercni Banka		8,077		1,705


Denmark — 1.2%
Carlsberg, Cl B		64,348		6,092
Coloplast, Cl B		24,295		3,242
Danisco		34,832		2,668
Novo-Nordisk, Cl B		370,634		36,769
Royal UNIBREW		1,523		80
Vestas Wind Systems*		198,701		5,671

				54,522


Egypt — 0.1%
Egyptian Financial Group-Hermes Holding		485,580		2,820
Orascom Construction Industries		29,000		1,317
Talaat Moustafa Group*		1,050,097		1,454

				5,591


Finland — 1.1%
Kesko, Cl B		25,168		1,158
Kone, Cl B		76,095		3,991
Metso		39,901		2,055
Nokia ADR(A)		811,800		7,493
Orion, Cl B		73,844		1,502
Sampo, Cl A		360,914		8,842
Stora Enso, Cl R		1,835,378		15,841
UPM-Kymmene		435,557		6,486
Wartsila, Cl B		17,101		1,187

				48,555


France — 4.8%
Air Liquide		108,563		12,747
Arkema		62,788		3,751
AXA		43,830		631
BNP Paribas		425,325		25,247
Bureau Veritas		14,534		1,062
Christian Dior(A)		19,391		2,693
Compagnie de St.-Gobain		17,622		792


Description	Shares		Market Value ($ Thousands)

Danone		1,268	$	74
Dassault Systemes		36,759		2,522
Eutelsat Communications		29,895		1,009
France Telecom		23,178		471
France Telecom ADR		1,020,400		20,826
Havas		75,176		334
Lafarge		231,658		12,681
L’Oreal		2,275		243
LVMH Moet Hennessy Louis Vuitton(A)		179,678		27,331
Natixis		633,251		2,797
Peugeot		300,443		11,233
PPR		17,605		2,805
Publicis Groupe		194,300		8,707
Renault		88,085		4,630
Rhodia		296,161		7,840
Safran		143,155		4,498
Sanofi-Aventis		232,552		14,101
Schneider Electric		53,446		7,524
Societe Generale		116,857		5,431
Technip		17,501		1,363
Total		190,390		9,248
Valeo		150,814		7,579
Vinci(A)		34,947		1,697
Vivendi		506,561		12,394

				214,261


Germany — 5.1%
Adidas		81,832		5,152
ADVA Optical Networking*		49,708		345
Allianz		122,357		13,459
BASF		405,150		30,326
Bayerische Motoren Werke		51,776		3,904
Bilfinger Berger		12,470		910
Commerzbank(A)		77,151		563
Continental		25,129		1,956
DaimlerChrysler		133,510		8,667
Deutsche Bank		234,563		11,174
Deutsche Lufthansa		345,734		7,379
Deutsche Post		316,672		5,089
Deutsche Telekom		615,857		7,909
Dialog Semiconductor*		250,322		4,691
E.ON		51,538		1,483
Fresenius Medical Care		250,359		14,493
GEA Group		166,112		4,005
Hannover Rueckversicherung		34,416		1,609
Henkel		96,645		4,908
Infineon Technologies*		1,682,350		14,992
Kabel Deutschland Holding*		104,450		4,854
Lanxess		112,437		7,962
Linde		13,141		1,841
MAN		12,536		1,477
Merck KGaA		6,582		515
Metro		42,030		3,023
MTU Aero Engines Holding		27,554		1,610
Norddeutsche Affinerie		38,588		1,873
RWE		25,450		1,589
SAP		492,959		23,063
Siemens ADR(A)		151,800		16,668
Siemens		88,166		9,674
Suedzucker		122,611		2,629
Symrise		146,902		3,723


Description	Shares		Market Value ($ Thousands)

TUI(A)		146,226	$	1,546
United Internet		55,980		794
Volkswagen		1,098		149
Wacker Chemie		20,690		3,570

				229,574


Guernsey — 0.2%
Amdocs*		277,300		7,210


Hong Kong — 3.2%
AIA Group*		693,000		2,003
ASM Pacific Technology		115,600		1,096
Cathay Pacific Airways		445,000		1,298
Chaoda Modern Agriculture		3,378,000		2,736
Cheung Kong Holdings		111,000		1,641
China Dongxiang Group		4,322,000		1,931
China High Precision Automation Group		2,004,000		1,419
China Mobile		2,110,007		21,044
CLP Holdings		1,171,000		9,636
CNOOC		13,350,297		28,950
First Pacific		1,406,000		1,215
Genting Singapore*		1,279,000		1,926
GOME Electrical Appliances Holdings		10,229,300		4,031
Hengdeli Holdings		7,504,000		4,880
Hong Kong Exchanges and Clearing		968,200		22,180
Hongkong Land Holdings		433,007		2,936
Huabao International Holdings		3,391,600		5,372
Hutchison Telecommunications Hong Kong Holdings		1,170,000		353
Hutchison Whampoa		70,000		700
Jardine Strategic Holdings		29,000		760
L’Occitane International*		1,466,000		3,955
Midland Holdings		720,000		551
New World Development		158,000		314
Orient Overseas International		226,000		2,193
Polytec Asset Holdings		1,560,000		259
RCG Holdings*		137,229		56
Ruinian International		5,791,000		4,362
SJM Holdings		2,479,000		4,092
Sun Hung Kai Properties		51,000		843
Swire Pacific, Cl A		286,000		4,404
TPV Technology		1,266,000		813
Wharf Holdings		516,342		3,471
Wheelock		393,270		1,413
Yue Yuen Industrial Holdings		397,500		1,437

				144,270


Hungary — 0.1%
MOL Hungarian Oil and Gas		18,064		1,550
OTP Bank		206,777		4,699

				6,249


India — 1.7%
Allahabad Bank		700,492		3,656
Andhra Bank		787,173		2,707
Axis Bank		10,315		307
Bank		10,499		162
Bank of India		414,753		4,228


Description	Shares		Market Value ($ Thousands)

Cairn India*		433,067	$	2,974
Canara Bank		224,482		3,628
Central Bank of India		134,696		554
Dena Bank		480,718		1,319
HDFC Bank		118,540		5,904
IDBI Bank		1,247,033		4,444
India Cements		862,364		1,998
Indian Bank		128,394		780
Indian Overseas Bank		519,843		1,668
ITC		1,279,320		4,793
JBF Industries		55,021		223
Nagarjuna Construction		1,046,181		2,977
Oriental Bank of Commerce		403,863		3,734
Power Finance		367,341		2,696
Reliance Infrastructure		141,226		2,598
State Bank of India		175,914		11,472
State Bank of India GDR		32,695		4,234
Syndicate Bank		165,066		496
Union Bank of India		275,100		2,112
Vijaya Bank		1,550,331		3,250
Welspun		439,556		2,011
Zuari Industries		8,087		116

				75,041


Indonesia — 0.8%
Astra International		1,213,000		6,969
Bank Mandiri		5,352,000		3,792
Bank Negara Indonesia Persero		8,631,000		3,869
Bank Rakyat Indonesia Persero		3,781,500		4,395
Gudang Garam		283,000		1,275
HM Sampoerna		17,500		53
Indofood CBP Sukses Makmur TBK*		2,230,000		1,259
Indofood Sukses Makmur		7,786,500		3,943
Kalbe Farma		14,741,500		5,711
Telekomunikasi Indonesia		2,170,208		1,910
United Tractors		1,856,000		4,725

				37,901


Ireland — 0.7%
Covidien		595,000		25,032
CRH ADR(A)		170,400		2,989
Experian		390,706		4,469

				32,490


Israel — 1.1%
Bank Hapoalim*		1,113,286		5,208
Bank Leumi Le-Israel		405,369		1,907
Check Point Software Technologies* (A)		87,880		3,767
Israel Chemicals		48,147		694
Israel Discount Bank, Cl A*		1,137,803		2,475
Mizrahi Tefahot Bank		140,026		1,419
Teva Pharmaceutical Industries ADR		620,591		31,055
Teva Pharmaceutical Industries		46,483		2,370

				48,895


Italy — 1.0%
Banca Intesa		2,772,192		7,235
Enel(A)		3,664,214		17,267
ENI		75,253		1,518


Description	Shares		Market Value ($ Thousands)

Indesit		34,599	$	354
Parmalat		3,511,796		8,759
Saipem		53,916		2,250
Snam Rete Gas		186,070		887
Telecom Italia		3,073,773		3,549
Terna Rete Elettrica Nazionale(A)		265,875		1,093

				42,912


Japan — 12.3%
77 Bank		109,000		519
Aeon		461,800		5,629
Aeon Fantasy		3,200		31
Aisin Seiki		119,000		3,854
Alfresa Holdings		12,600		522
Alps Electric		103,700		1,021
Arnest One		58,500		648
Asahi Breweries		41,600		809
Asahi Glass ADR		833,200		9,190
Asahi Glass		182,000		2,027
Asahi Kasei		564,000		3,353
Astellas Pharma		220,500		7,897
Bank of Yokohama		387,744		1,875
Canon		370,716		17,458
Central Japan Railway		31		239
Chiba Bank		284,574		1,654
Coca-Cola West		13,700		228
Daicel Chemical Industries		779,219		5,302
Daido Steel		189,000		1,013
Daihatsu Motor		227,000		3,181
Dai-ichi Life Insurance		5,940		8,523
Daiichi Sankyo		77,800		1,682
Daiichikosho		23,200		412
Daikyo(A)		963,000		1,644
Dainippon Screen Manufacturing		253,000		1,649
Daito Trust Construction		67,700		4,186
Daiwa House Industry		375,000		4,230
Dena		225,500		6,579
Denso		62,200		2,029
EDION(A)		125,700		986
Eisai		39,200		1,347
Fanuc		159,600		22,844
Fuji Electric Holdings		396,000		1,059
Fuji Heavy Industries		975,000		7,216
Fuji Heavy Industries ADR		134,600		9,981
FUJIFILM Holdings		154,600		5,190
Fujitsu ADR(A)		221,700		7,163
Fujitsu		1,542,000		9,885
Fukuoka Financial Group		104,000		400
Hanwa		90,000		342
Hitachi		5,304,000		25,073
Hitachi High-Technologies		226,100		4,775
Hitachi Metals		61,000		700
Honda Motor		135,170		4,857
Idemitsu Kosan		65,900		6,128
IHI		882,000		1,821
Isuzu Motors		1,083,000		4,822
IT Holdings		29,900		352
Itochu Techno-Solutions		6,100		220
JX Holdings		908,760		5,620
Kaken Pharmaceutical		85,000		930
Kamigumi		16,000		123
Kansai Electric Power		15,400		370


Description	Shares		Market Value ($ Thousands)

Kao		19,500	$	489
Kawasaki Kisen Kaisha		592,000		2,466
Kewpie		40,600		494
Keyence		6,800		1,714
Kinden		13,000		112
Kobe Steel		1,102,000		2,499
Komatsu		1,223,796		33,864
K’s Holdings		145,300		3,779
Kuraray		41,900		578
Kyocera		23,800		2,426
Maeda Road Construction		71,000		522
Marubeni		2,228,819		14,447
Maruichi Steel Tube		10,100		193
Medipal Holdings		174,300		1,873
Millea Holdings		107,000		3,024
Minebea		134,000		793
Miraca Holdings		50,400		1,788
Mitsubishi		217,566		5,496
Mitsubishi Chemical Holdings		435,000		2,498
Mitsubishi Electric		667,000		6,601
Mitsubishi Gas Chemical		161,000		986
Mitsubishi Materials		162,000		501
Mitsubishi UFJ Financial Group		4,478,686		21,172
Mitsui ADR(A)		52,300		16,353
Mitsui		338,300		5,278
Mitsui Chemicals		293,000		895
Mitsui Mining & Smelting		591,000		1,792
Mitsui OSK Lines		194,000		1,332
Mitsui Trust Holdings		993,000		3,497
Mizuho Financial Group		2,072,100		3,290
Murata Manufacturing		32,400		1,977
Nagase		53,000		591
NEC Networks & System Integration		39,800		469
Nichii Gakkan		33,900		283
Nippo		62,000		403
Nippon Flour Mills		78,000		357
Nippon Light Metal		617,000		1,105
Nippon Meat Packers		210,000		2,509
Nippon Paper Group(A)		76,500		1,815
Nippon Telegraph & Telephone		434,900		19,676
Nippon Yusen		210,000		915
Nippon Yusen ADR		480,400		4,146
Nishi-Nippon City Bank		336,000		926
Nissan Motor		868,580		8,140
Nisshin Steel		773,000		1,412
Nitto Denko ADR(A)		41,200		17,057
Nitto Denko		36,000		1,493
Nojima		3,545		25
Noritsu Koki		8,200		48
NSK		37,000		312
NTT Data		447		1,448
NTT DoCoMo		2,749		4,456
Omron		88,500		2,181
Oriental Land		7,500		679
ORIX		42,410		3,620
Osaka Gas		356,000		1,330
Osaka Securities Exchange		763		3,775
Resona Holdings(A)		476,800		2,908
Saizeriya		56,700		1,034
Sanrio(A)		131,700		3,198
Sapporo Hokuyo Holdings		290,300		1,202


Description	Shares		Market Value ($ Thousands)

Sega Sammy Holdings		188,700	$	3,176
Seika		23,000		56
Seiko Epson		97,300		1,597
Seino Holdings		165,000		1,034
Shinsei Bank(A)		932,000		812
Showa Shell Sekiyu		98,200		816
SMC		35,600		5,652
Softbank		181,400		6,280
Sojitz		1,141,600		2,208
Sony		339,700		12,048
Sumitomo		404,211		5,269
Sumitomo Electric Industries		103,700		1,355
Sumitomo Heavy Industries		134,000		822
Sumitomo Metal Mining		20,000		311
Sumitomo Mitsui Financial Group		207,409		6,361
Sumitomo Trust & Banking		172,000		912
Sysmex		61,700		3,933
Takeda Pharmaceutical		115,600		5,368
TDK		24,916		1,603
Toagosei		190,000		819
Tokyo Electron		22,500		1,410
Tokyo Energy & Systems		14,000		82
Tokyo Gas		486,000		2,118
Tokyo Tatemono		223,000		876
Tokyo Tekko		30,000		65
Toshiba Plant Systems & Services		318,000		3,956
Toshiba TEC		168,000		706
Toyo Seikan Kaisha		90,300		1,623
Toyota Industries		7,200		212
Toyota Motor		494,747		19,017
Toyota Tsusho		32,700		530
Unicharm		75,300		2,940
Warabeya Nichiyo		6,500		75
Watabe Wedding		7,955		82
West Japan Railway		475		1,663
Yamada Denki		16,410		1,042
Yokohama Rubber		153,000		767
Zeon		673,000		5,415

				552,841


Kazakhstan — 0.0%
KazMunaiGas Exploration Production GDR		109,447		2,101


Macau — 0.0%
Wynn Macau		598,800		1,214


Malaysia — 0.7%
Affin Holdings		236,400		238
Axiata Group*		2,627,700		3,799
CIMB Group Holdings		5,055,200		13,470
EON Capital*		119,600		266
Hong Leong Bank		293,133		849
Hong Leong Financial Group		94,700		265
Malayan Banking		341,000		916
Proton Holdings		131,700		204
RHB Capital		764,700		1,917
Sime Darby		1,814,400		4,972


Description	Shares		Market Value ($ Thousands)

Telekom Malaysia		2,081,500	$	2,261

				29,157


Mexico — 1.8%
Alfa, Cl A		150,804		1,387
America Movil, Ser L		2,954,974		8,354
America Movil ADR, Ser L		251,150		14,180
Bolsa Mexicana de Valores		903,185		1,890
Coca-Cola Femsa ADR(A)		204,900		16,593
Genomma Lab Internacional, Cl B*		2,555,203		5,977
Grupo Comercial Chedraui*		1,443,900		4,512
Grupo Financiero Banorte, Ser O		576,359		2,500
Grupo Lamosa*		17,900		24
Grupo Televisa		519,013		2,415
OHL Mexico*		1,107,128		2,183
Telefonos de Mexico, Cl L		436,600		351
Telefonos de Mexico ADR(A)		213,045		3,409
Urbi Desarrollos Urbanos*		967,216		2,218
Wal-Mart de Mexico		5,848,500		16,530

				82,523


Netherlands — 3.0%
Aegon		351,464		1,937
Akzo Nobel		21,005		1,133
ArcelorMittal(A)		534,000		16,881
ASML Holding		101,174		3,282
CSM		142,393		4,328
European Aeronautic Defense and Space		254,525		5,719
Heineken		54,175		2,517
ING Groep		1,617,364		14,321
Koninklijke Ahold		46,200		560
Koninklijke DSM		192,662		9,436
Koninklijke Philips Electronics		81,292		2,200
Nutreco		45,878		3,231
Royal Dutch Shell ADR, Cl A(A)		389,100		23,606
Royal Dutch Shell, Cl A		802,107		24,219
Royal Dutch Shell, Cl B		180,992		5,378
Royal Dutch Shell, Cl A (GBP)(C)		345,073		10,404
Royal KPN		224,660		3,213
Unilever		63,529		1,797

				134,162


Netherlands Antilles — 0.4%
Schlumberger		219,450		16,972


New Zealand — 0.0%
Telecom of New Zealand		1,145,450		1,841


Norway — 1.3%
DnB		590,454		7,226
Marine Harvest(A)		4,618,096		4,294
Seadrill		557,346		17,070
Statoil ADR(A)		1,077,300		21,535
Statoil		51,826		1,028
Telenor		206,656		2,972


Description	Shares		Market Value ($ Thousands)

Yara International		68,697	$	3,271

				57,396


Pakistan — 0.0%
Pakistan Telecommunication		1,439,600		324


Panama — 0.2%
Copa Holdings, Cl A		140,700		7,847


Peru — 0.1%
Credicorp		39,900		4,783


Poland — 0.4%
Getin Holding*		185,131		659
KGHM Polska Miedz		262,640		11,362
Netia*		107,362		191
Polski Koncern Naftowy Orlen		291,574		4,067

				16,279


Portugal — 0.3%
Energias de Portugal		510,861		1,639
Galp Energia SGPS, Cl B		70,452		1,183
Inapa-Invest Particip Gesta*		122,900		61
Jeronimo Martins		511,093		7,252
Portugal Telecom		177,137		2,255

				12,390


Russia — 0.5%
Alliance Oil*		129,628		1,825
Globaltrans Investment GDR		116,208		2,005
LSR Group GDR*		209,551		1,907
Lukoil ADR		66,874		3,665
Magnit GDR		166,083		4,385
Magnitogorsk Iron & Steel Works GDR		267,691		3,464
Mail.ru Group GDR*		103,498		4,243
Mobile Telesystems ADR		147,804		3,099

				24,593


Singapore — 1.0%
CapitaCommercial Trust‡ (A)		1,227,527		1,384
CapitaMall Trust‡		556,217		774
DBS Group Holdings		358,261		3,795
Fraser and Neave		93,000		423
Ho Bee Investment		3,198,000		3,774
Jardine Cycle & Carriage		54,144		1,517
Keppel Land		383,000		1,376
SembCorp Marine		51,000		188
Singapore Airlines		282,000		3,290
United Overseas Bank ADR		550,300		15,298
United Overseas Bank		155,000		2,169
UOB-Kay Hian Holdings		82,000		104
UOL Group		436,000		1,491
Yangzijiang Shipbuilding Holdings		7,001,000		9,533

				45,116


South Africa — 1.0%
ABSA Group		142,490		2,592


Description	Shares		Market Value ($ Thousands)

African Bank Investments		405,079	$	2,006
Harmony Gold Mining		201,635		2,245
Impala Platinum Holdings		173,585		4,954
Life Healthcare Group Holdings		640,141		1,304
Mondi		247,989		1,795
Mr Price Group		264,975		2,399
MTN Group		232,092		3,963
Sasol ADR		542,100		24,215
Telkom		114,662		568

				46,041


South Korea — 3.7%
Celltrion		64,520		1,800
Daewoo Shipbuilding & Marine Engineering		86,860		2,225
Daum Communications*		58,588		3,866
Hana Financial Group		282,130		9,247
Hyundai Motor		167,655		24,944
Hyundai Steel		43,625		4,139
Kia Motors		490,730		20,719
KISCO Holdings		4,036		184
LG		145,449		10,250
LG Chemical		16,140		5,401
LG Electronics		30,028		2,668
LG Hausys		1,304		96
LG.Philips LCD		204,460		6,975
Lock & Lock		129,790		4,237
MegaStudy		8,276		1,316
POSCO ADR(A)		140,000		13,782
Samsung Electronics		27,357		19,490
Shinhan Financial Group		80,610		3,108
Shinsegae		5,794		2,833
SK Holdings		51,809		5,675
SK Telecom ADR(A)		897,800		16,142
STX Engine		75,750		2,130
Woori Finance Holdings ADR		54,700		2,052
Woori Finance Holdings		347,520		4,286

				167,565


Spain — 0.9%
Banco Bilbao Vizcaya Argentaria(A)		149,553		1,378
Banco Bilbao Vizcaya Argentaria ADR(A)		350,100		3,224
Banco Pastor		160		—
Banco Santander Central Hispano		247,381		2,351
Criteria Caixacorp(A)		255,796		1,260
Gas Natural		23,643		320
Iberdrola		23,624		163
Inditex		50,831		3,842
Repsol		83,659		2,023
Telefonica		1,120,979		23,917

				38,478


Sweden — 1.8%
Assa Abloy, Cl B		140,645		3,776
Atlas Copco, Cl A		189,737		4,190
Billerud		58,221		461
Electrolux, Cl B		268,445		6,375
Elekta, Cl B		40,624		1,367
Hennes & Mauritz, Cl B		535,734		18,085
Industrivarden, Cl C		15,292		226


Description	Shares		Market Value ($ Thousands)

Kinnevik Investment, Cl B		47,351	$	934
Nordea Bank		508,141		5,062
Scania, Cl B		141,074		2,883
Skandinaviska Enskilda Banken, Cl A		125,238		908
SKF, Cl B		38,692		1,031
Svenska Cellulosa ADR		1,031,600		15,051
Svenska Cellulosa, Cl B		182,629		2,662
Swedbank, Cl A		44,704		565
Swedish Match		3,484		97
Tele2, Cl B		212,250		4,240
TeliaSonera		244,640		1,886
Volvo, Cl B		631,203		9,164

				78,963


Switzerland — 4.3%
ABB		28,341		553
Clariant		186,400		3,389
Compagnie Financiere Richemont		53,678		2,914
Credit Suisse Group		26,455		983
Dufry Group		41,036		4,973
EGL		83		57
Julius Baer Group		369,944		10,764
Logitech International* (A)		387,449		7,464
Nestle		715,273		39,147
Novartis		579,337		30,952
Roche Holding		115,025		15,903
Schindler Holding		38,614		4,393
STMicroelectronics		1,152,417		10,361
STMicroelectronics (EUR)		190,403		1,709
Swatch Group, Cl B		25,435		10,284
Swatch Group		22,549		1,645
Swiss Life Holding		15,642		1,753
Temenos Group* (A)		160,386		5,383
UBS		813,806		12,272
Xstrata		63,225		1,272
Zurich Financial Services ADR		1,014,600		22,626
Zurich Financial Services		23,659		5,300

				194,097


Taiwan — 1.8%
Acer		668,627		1,974
Asia Polymer		531,600		633
Cathay Financial Holding		1,252,900		1,893
Chang Hwa Commercial Bank		3,173,000		2,108
Chinatrust Financial Holding		2,888,063		1,739
Chunghwa Telecom		724,000		1,758
CMC Magnetics*		298,000		74
E Ink Holdings		1,838,000		3,533
Elitegroup Computer Systems		704,000		249
Far Eastern Textile		1,503,194		2,221
Formosa Plastics		1,524,000		4,535
Fubon Financial Holding		4,407,674		5,379
High Tech Computer		356,432		9,881
HON HAI Precision Industry		1,221,400		4,347
Hwa Fong Rubber*		616,000		178
Long Bon International		488,000		204
MediaTek		255,620		3,275
Mega Financial Holding		1,349,000		896
Siliconware Precision Industries ADR(A)		134,000		689
Taishin Financial Holding		1,584,730		694


Description	Shares		Market Value ($ Thousands)

Taiwan Fertilizer		753,000	$	2,717
Taiwan Semiconductor Manufacturing		5,116,925		10,642
Taiwan Semiconductor Manufacturing ADR(A)		722,200		7,764
United Microelectronics ADR(A)		1,211,600		3,453
United Microelectronics		4,159,000		2,060
Wintek		2,276,000		4,062
Yageo		1,423,000		619
Young Fast Optoelectronics		354,000		3,844

				81,421


Thailand — 1.0%
Bangkok Bank		1,324,700		6,310
Bangkok Bank NVDR		431,100		2,053
Bank of Ayudhya		3,719,000		2,768
Banpu		252,100		6,338
Bumrungrad Hospital		1,057,400		1,146
CP ALL		2,985,300		4,049
Glow Energy		1,153,827		1,727
Kasikornbank		1,637,400		6,473
Krung Thai Bank		6,025,900		3,229
Quality Houses		52,810,000		3,703
Siam Commercial Bank		781,500		2,676
Thai Airways International		719,300		1,309
Thanachart Capital		695,600		857
Total Access Communication		502,200		714

				43,352


Turkey — 1.0%
Albaraka Turk Katilim Bankasi		2,193,989		4,017
Arcelik		553,608		2,850
Cimsa Cimento Sanayi VE Tica		217,817		1,399
Emlak Konut Gayrimenkul Yatirim Ortakligi‡*		756,542		853
Ford Otomotiv Sanayi		167,075		1,441
Haci Omer Sabanci Holding		990,068		4,874
KOC Holding		828,331		3,880
Tekfen Holding		25,310		101
Turk Ekonomi Bankasi		1,165,112		1,777
Turkcell Iletisim Hizmet ADR		481,300		8,201
Turkiye Garanti Bankasi		2,698,816		14,932
Turkiye Sinai Kalkinma Bankasi		1,429,188		2,342

				46,667


United Kingdom — 14.0%
3i Group		219,058		1,018
Acergy		116,978		2,328
Aggreko		246,189		5,617
Anglo American		114,457		5,027
Antofagasta		101,766		2,084
ARM Holdings		1,712,572		10,556
Associated British Foods		265,354		4,384
AstraZeneca ADR(A)		415,800		19,513
AstraZeneca		706,715		32,968
Aviva		671,368		3,707
BAE Systems ADR		755,100		15,608
BAE Systems		148,324		763
Barclays		579,471		2,312
Barclays ADR(A)		439,600		7,095
BG Group		994,405		17,987
BHP Billiton		388,279		13,817


Description	Shares		Market Value ($ Thousands)

BP		1,932,671	$	12,821
British Airways*		335,202		1,334
British American Tobacco ADR		222,600		16,228
British American Tobacco		1,052,118		38,185
British Sky Broadcasting Group		964,823		10,826
BT Group, Cl A		1,524,758		4,037
Cape		112,128		625
Carnival		443,879		18,125
Catlin Group		110,899		573
Centrica		3,138,172		15,009
Compass Group		217,412		1,881
Compass Group ADR		1,811,400		15,723
Diageo		145,038		2,584
Diageo ADR		215,600		15,450
DS Smith		173,654		504
Fresnillo		6,357		140
GlaxoSmithKline		212,025		4,002
GlaxoSmithKline ADR		565,300		21,640
Hamworthy		22,253		135
HSBC Holdings		1,866,130		18,841
Imperial Tobacco Group		386,259		11,345
Intercontinental Hotels Group		20,754		369
Intermediate Capital Group		1,036,010		5,047
International Power		217,241		1,379
Investec		439,246		3,404
Johnson Matthey		50,586		1,405
Kingfisher		3,827,523		14,008
Legal & General Group		2,717,049		3,867
Lloyds Banking Group		4,490,680		4,225
Man Group		1,040,614		4,293
Marks & Spencer Group ADR		696,400		8,120
Next		89,482		2,801
Pearson ADR(A)		940,600		13,639
Pearson		623,906		8,997
Pennon Group		84,411		826
Petrofac		364,270		7,891
Prudential		183,912		1,627
Reckitt Benckiser Group		429,674		22,751
Rexam		353,210		1,658
Rio Tinto		402,740		25,587
Rio Tinto ADR(A)		137,600		8,824
Royal & Sun Alliance Insurance Group		489,054		915
Royal Bank of Scotland Group*		5,917,510		3,464
SABMiller		422,505		13,383
Sage Group ADR		488,800		7,943
Schroders		40,193		999
Severn Trent		51,828		1,167
Shire		361,083		8,452
Smith & Nephew		872,645		7,916
Standard Chartered		947,304		25,537
Tesco		3,072,495		19,824
Unilever		90,013		2,491
Unilever ADR(A)		537,300		15,023
United Utilities Group		168,601		1,566
Vodafone Group		4,726,125		11,832
Weir Group		212,370		5,755
Whitbread		55,102		1,449
WPP		730,432		8,094

				631,320


Description	Shares		Market Value ($ Thousands)

United States — 2.0%
Advance America Cash Advance Centers		171,640	$	817
Axis Capital Holdings		472,600		16,702
Boise(A)		478,443		3,516
Calamos Asset Management, Cl A		36,343		434
Cardtronics*		14,445		244
Central Garden and Pet*		45,888		425
Clearwater Paper*		5,300		427
ConocoPhillips		46,703		2,810
Eli Lilly		379,974		12,790
Golden Star Resources*		377,686		1,632
Healthspring*		36,722		985
Par Pharmaceutical*		20,157		724
PHH*		47,538		1,009
RenaissanceRe Holdings		389,700		23,491
Southern Copper		228,100		9,564
Thomson Reuters (CAD)(A)		250,600		9,125
UnitedHealth Group		7,351		269
USA Mobility		17,647		300
Virgin Media(A)		178,700		4,553
World Acceptance* (A)		19,648		867

				90,684

Total Common Stock (Cost $3,785,262) ($ Thousands)				4,172,987


PREFERRED STOCK — 1.4%

Brazil — 0.2%
Banco Bradesco		265,410		5,180
Cia Energetica de Minas Gerais		120,910		2,004
Randon Participacoes		238,300		1,912
Tekno Industria e Comercio		1		—
Tim Participacoes		670,300		2,156

				11,252


Germany — 1.2%
Draegerwerk		3,838		283
Henkel		189,230		11,638
KSB		304		220
ProSiebenSat.1 Media		182,608		4,823
Volkswagen		216,477		34,887

				51,851


Total Preferred Stock (Cost $40,187) ($ Thousands)				63,103


EXCHANGE TRADED FUND — 0.0%

United States — 0.0%
iShares MSCI EAFE Index Fund		4,900		266


Total Exchange Traded Fund (Cost $244) ($ Thousands)				266


WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12*		176,797		24


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

Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49*		43,200	$	14


Total Warrants (Cost $0) ($ Thousands)				38

	Number Of Rights

RIGHTS — 0.0%

Brazil — 0.0%
Hypermarcas, Expires 12/10/10		216		—


China — 0.0%
Ind & Comm Bank of China, Expires 12/20/10		946,980		311


Total Rights (Cost $0) ($ Thousands)				311


AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.210%**† (E)		336,574,902		333,998


Total Affiliated Partnership (Cost $336,575) ($ Thousands)				333,998


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.120%**†		172,448,084		172,448


Total Cash Equivalent (Cost $172,448) ($ Thousands)				172,448


U.S. TREASURY OBLIGATION — 0.8%
U.S. Treasury Bill
0.199%, 12/16/10 (C) (D)	$	34,809		34,807


Total U.S. Treasury Obligation (Cost $34,805) ($ Thousands)				34,807


Total Investments — 106.2% (Cost $4,369,521)($ Thousands)			$	4,777,958

A summary of the open futures contracts held by the Fund at November 30, 2010, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,871		Dec-2010	$	(2,877	)
FTSE Index		577		Dec-2010		(65	)
Hang Seng Index		42		Dec-2010		(38	)
Nikkei 225 Index		11		Dec-2010		45
S&P TSE 60 Index		170		Dec-2010		1,305
SPI 200 Index		140		Dec-2010		(204	)
Topix Index		398		Dec-2010		2,082

					$	248

Percentages are based on a Net Assets of $4,500,797 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at November 30, 2010. The total value of securities on loan at November 30, 2010 was $317,808 ($ Thousands).

(B)

(C)

Zero coupon security. 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)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of November 30, 2010 was $333,998 ($ Thousands).

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

CAD — Canadian Dollar

Cl — Class

DJ — Dow Jones

EGP — Egyptian Pound

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

IDR — Indonesian Rupiah

INR — Indian Rupee

L.P. — Limited Partnership

NVDR — Non-Voting Depositary Receipt

S&P — Standard & Poor’s

Ser — Series

SPI — Share Price Index

TSE — Toronto Stock Exchange

USD — U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,172,987	$	—	$	—	$	4,172,987
Preferred Stock		63,103		—		—		63,103
Exchange Traded Fund		266		—		—		266
Warrants		38		—		—		38
Rights		311		—		—		311
Affiliated Partnership		—		333,998		—		333,998
Cash Equivalent		172,448		—		—		172,448
U.S. Treasury Obligation		—		34,807		—		34,807

Total Investments in Securities	$	4,409,153	$	368,805	$	—	$	4,777,958


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	248	$	—	$	—	$	248

Total Other Financial Instruments	$	248	$	—	$	—	$	248

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 $O or have been rounded to $O.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 90.7%

Australia — 3.6%
Australia & New Zealand Banking Group		12,691	$	276
BGP Holdings*		4,500		—
BHP Billiton		21,279		872
Caltex Australia		11,274		142
Coca-Cola Amatil		2,904		31
Fortescue Metals Group*		14,674		89
Orica		3,588		86
OZ Minerals		94,617		139
Qantas Airways		25,268		64
Rio Tinto		8,591		677
Santos		15,426		184
SP AusNet, Cl Miscellaneous		28,823		25
Stockland‡		13,954		49
Suncorp-Metway		896		8
Thorn Group		18,819		32
Westfield Group‡*		7,076		63
Woodside Petroleum		1,291		52
Woolworths		4,253		109

				2,898


Austria — 0.1%
IMMOFINANZ*		5,265		19
Voestalpine		1,070		43

				62


Belgium — 0.8%
InBev		5,698		311
KBC Groep		2,233		79
Recticel		5,843		54
Telenet Group Holding		1,528		55
Umicore		2,753		131

				630


Brazil — 1.3%
Banco Bradesco ADR		6,612		133
Banco do Brasil		4,700		90
BM&F Bovespa SA		35,800		272
Empresa Brasileira de Aeronautica ADR		6,200		180
Lojas Renner		2,600		91
Natura Cosmeticos		10,100		270

				1,036


Canada — 7.7%
Agrium		1,400		112
Alimentation Couche Tard, Cl B		3,400		85
Bank of Montreal		1,900		111
Bank of Nova Scotia		100		5
Barrick Gold		4,190		217
Baytex Energy Trust		2,600		109
BCE		2,000		68
Brookfield Asset Management, Cl A		4,700		137
Canadian Imperial Bank of Commerce		3,000		231
Canadian National Railway		11,610		741
Canadian Natural Resources		17,800		684


Description	Shares		Market Value ($ Thousands)

Canadian Oil Sands Trust		2,800	$	76
Canadian Pacific Railway		1,300		83
Canadian Tire, Cl A		400		25
Cenovus Energy		1,074		31
CGI Group, Cl A*		5,600		88
Cott*		19,900		165
Domtar		519		39
Dorel Industries, Cl B		1,100		36
Enbridge		5,960		332
EnCana		17,769		492
Finning International		2,083		50
Flint Energy Services (Canada)*		8,100		133
George Weston		390		30
High Liner Foods*		400		5
IAMGOLD		5,238		86
Imperial Oil		600		22
Loblaw		200		8
Magna International, Cl A		7,480		357
Manulife Financial		700		10
Metro, Cl A		400		18
National Bank of Canada		1,400		92
Nexen		2,106		44
Nordion*		3		—
Onex		100		3
Pacific Rubiales Energy		7,900		246
Potash Corp of Saskatchewan		1,400		201
Potash Saskatchewan		1,200		173
Research In Motion*		4,800		296
RioCan Real Estate Investment Trust‡		2,000		42
Rogers Communications, Cl B		1,200		42
Royal Bank of Canada		200		11
Sherritt International		1,800		14
Talisman Energy		2,400		46
Teck Cominco, Cl B		3,200		159
Toronto-Dominion Bank		2,400		173

				6,128


China — 1.9%
Air China, Cl H		80,000		104
China Construction Bank, Cl H		151,000		136
China Merchants Bank, Cl H		110,624		287
China Telecom, Cl H		6,000		3
China Yurun Food Group		26,900		96
Dongfeng Motor Group, Cl H		64,000		122
Industrial & Commercial Bank of China, Cl H		432,000		336
Pacific Textile Holdings		75,000		46
Ping An Insurance Group of China, Cl H		14,500		167
Sina*		1,040		67
Sinopharm Group, Cl H		51,035		187

				1,551


Denmark — 1.7%
AP Moller - Maersk, Cl B		2		16
AP Moller - Maersk		1		8
Carlsberg, Cl B		2,138		202
Coloplast, Cl B		554		74
Danisco		871		67
Novo-Nordisk, Cl B		8,702		863


Description	Shares		Market Value ($ Thousands)

Vestas Wind Systems*		4,501	$	129

				1,359


Finland — 1.6%
Fortum		512		14
Kesko, Cl B		1,048		48
Kone, Cl B		4,452		234
Metso		4,411		227
Norvestia, Cl B		38		1
Orion, Cl B		300		6
Sampo, Cl A		10,177		249
Stora Enso, Cl R		40,344		348
UPM-Kymmene		10,080		150

				1,277


France — 5.3%
Air Liquide		2,825		332
Arkema		611		36
AXA		350		5
BNP Paribas		13,225		785
Bureau Veritas		632		46
Christian Dior		779		108
Compagnie de St.-Gobain		1,222		55
Danone		140		8
Dassault Systemes		1,010		69
Eutelsat Communications		1,306		44
France Telecom		1,576		32
Lafarge		4,800		263
Les Nouveaux Constructeurs Investissement		398		4
LVMH Moet Hennessy Louis Vuitton		3,820		581
Natixis		18,682		83
Peugeot		5,450		204
PPR		964		154
Publicis Groupe		3,900		175
Rhodia		4,014		106
Safran		6,173		194
Sanofi-Aventis		6,953		422
Societe Generale		5,753		267
Valeo		1,893		95
Vinci		1,924		93
Vivendi		3,147		77

				4,238


Germany — 5.6%
ADVA Optical Networking*		1,667		12
Aleo Solar*		600		13
Allianz		3,374		371
BASF		12,122		907
Bayer		210		15
Bayerische Motoren Werke		2,329		176
Bilfinger Berger		637		46
Commerzbank		2,794		20
Continental		929		72
DaimlerChrysler		4,494		292
Deutsche Bank		5,170		246
Deutsche Lufthansa		624		13
Deutsche Post		9,130		147
Deutsche Telekom		7,815		100
E.ON		8,188		236
Fresenius Medical Care		6,393		370


Description	Shares		Market Value ($ Thousands)

Hannover Rueckversicherung		1,946	$	91
Henkel		1,043		53
Infineon Technologies*		2,341		21
Lanxess		3,242		230
Leifheit		675		16
Linde		674		94
Metro		1,578		114
MTU Aero Engines Holding		1,480		86
RWE		457		29
SAP		9,739		456
Siemens		609		67
TUI		1,572		17
United Internet		2,084		30
Volkswagen		67		9
Wacker Chemie		530		91

				4,440


Greece — 0.0%
OPAP		1,421		23
Public Power		651		9

				32


Guernsey — 0.2%
Amdocs*		4,900		127


Hong Kong — 3.1%
Alco Holdings		54,000		24
Allan International Holdings		62,000		28
ASM Pacific Technology		1,900		18
Cathay Pacific Airways		24,000		70
Cheung Kong Holdings		3,000		44
China Mobile		32,000		319
CLP Holdings		25,000		206
First Pacific		56,000		48
Genting Singapore*		50,000		75
Hong Kong Exchanges and Clearing		18,800		431
Hong Kong Ferry Holdings		10,000		10
Hongkong Land Holdings		16,000		108
Hutchison Whampoa		8,000		80
Jardine Matheson Holdings		800		35
Jardine Strategic Holdings		2,342		61
Orient Overseas International		5,000		49
SJM Holdings		66,000		109
Sun Hung Kai Properties		2,000		33
Swire Pacific, Cl A		25,500		393
Wharf Holdings		19,000		128
Wheelock		19,000		68
Wing On International		30,111		58
Yue Yuen Industrial Holdings		11,500		42

				2,437


Hungary — 0.1%
OTP Bank		4,436		101


India — 0.2%
HDFC Bank ADR		920		162


Description	Shares		Market Value ($ Thousands)

Indonesia — 0.4%
Asahimas Flat Glass		20,000	$	13
Astra International		16,500		95
Bank Mandiri		159,500		113
Charoen Pokphand Indonesia		54,000		57
Titan Kimia Nusantara*		396,000		7

				285


Ireland — 0.2%
Covidien		4,300		181


Israel — 1.1%
Bank Leumi Le-Israel		16,030		75
Check Point Software Technologies*		2,300		99
Israel Chemicals		340		5
Mizrahi Tefahot Bank		4,142		42
Teva Pharmaceutical Industries		1,519		78
Teva Pharmaceutical Industries ADR		11,155		558

				857


Italy — 1.2%
Banca Intesa		56,582		148
Danieli & C Officine Meccaniche		620		16
Enel		94,738		446
ENI		994		20
Saipem		2,497		104
Snam Rete Gas		11,653		56
Telecom Italia		76,888		90
Terna Rete Elettrica Nazionale		10,230		42

				922


Japan — 15.2%
Adores		9,000		7
Aeon		8,900		108
Aisin Seiki		1,800		58
Alps Electric		3,900		38
Arc Land Sakamoto		4,500		49
Arnest One		800		9
Asahi Glass		7,000		78
Asahi Kasei		5,000		30
Astellas Pharma		4,100		147
AT-Group		1,000		10
Bank of Yokohama		22,995		111
Belluna		5,450		26
Best Denki		14,000		43
Canon		8,795		414
Century Tokyo Leasing		2,900		43
Chiba Bank		12,000		70
Chuo Spring		3,000		11
Cosmo Oil		31,000		88
Daicel Chemical Industries		10,000		68
Daido Steel		6,000		32
Daihatsu Motor		3,000		42
Dai-ichi Life Insurance		125		179
Daiichi Sankyo		4,600		99
Dainichi		1,700		11
Dainippon Screen Manufacturing		6,000		39
Daito Trust Construction		900		56


Description	Shares		Market Value ($ Thousands)

Daiwa House Industry		5,000	$	56
Dena		4,600		134
Denso		2,600		85
Fanuc		3,600		515
Fields		16		21
First Juken		2,600		23
Fuji Electric Holdings		20,000		53
Fuji Heavy Industries		30,000		222
FUJIFILM Holdings		5,100		171
Fujitsu		26,000		167
Gunma Bank		2,000		10
Happinet		600		7
Hitachi		131,000		619
Hitachi Metals		1,000		11
Hokkan Holdings		5,000		13
Hokuriku Gas		1,000		2
Honda Motor		4,935		177
Idemitsu Kosan		1,500		139
Inpex		5		26
Isuzu Motors		35,000		156
IT Holdings		200		2
Itochu-Shokuhin		1,200		38
JFE Shoji Holdings		4,000		16
JX Holdings		18,200		113
Kamei		4,000		17
Kanaden		2,000		11
Kawasaki Kisen Kaisha		16,000		67
Keiyo Gas		1,000		4
Keyence		300		76
Kikuchi		600		9
Kobe Steel		30,000		68
Komatsu		27,600		764
KRS		900		9
K’s Holdings		9,500		247
Kuraray		4,600		63
Kyocera		800		82
Maruichi Steel Tube		500		10
Maruzen -General Commercial Kitchen Appliances & Equipment		1,000		5
Medipal Holdings		900		10
Mikuni Coca-Cola Bottling		2,300		20
Millea Holdings		3,400		96
Minebea		11,000		65
Mitani		3,100		23
Mitsubishi Chemical Holdings		6,000		34
Mitsubishi Electric		26,000		257
Mitsubishi Gas Chemical		1,000		6
Mitsubishi Materials		8,000		25
Mitsubishi UFJ Financial Group		149,100		705
Mitsui Chemicals		7,000		21
Mitsui Mining & Smelting		3,000		9
Mitsui OSK Lines		6,000		41
Mitsui Trust Holdings		25,000		88
Mizuho Financial Group		45,700		73
Murakami		1,000		12
Murata Manufacturing		1,200		73
Nichireki		8,000		30
NIFTY		10		10
Nippon Game Card*		10		13


Description	Shares		Market Value ($ Thousands)

Nippon Light Metal		18,000	$	32
Nippon Telegraph & Telephone		9,300		421
Nippon Yusen		2,000		9
Nishi-Nippon City Bank		12,000		33
Nisshin Fudosan		4,800		33
Nisshin Steel		35,000		64
Nissin Sugar Manufacturing		10,000		21
Nitto Denko		500		21
Nitto Fuji Flour Milling		2,000		7
NSK		3,000		25
NTT Data		8		26
NTT DoCoMo		112		182
Obayashi Road		14,000		25
Omron		3,800		94
Onoken		3,300		26
Oriental Land		1,400		127
ORIX		1,830		156
Osaka Gas		14,000		52
Pacific Industrial		4,000		19
Raysum		59		17
Resona Holdings		9,200		56
Saison Information Systems		1,700		21
San-Ai Oil		3,000		13
Sanei Architecture Planning		200		6
Sanoh Industrial		1,100		9
Sanrio		3,500		85
Sanyo Housing Nagoya		20		18
Sega Sammy Holdings		4,000		67
Seiko Epson		3,200		53
Seino Holdings		21,000		132
Senshu Electric		1,600		15
Shidax		6,700		23
Shinsei Bank		15,000		13
Shoei Foods		1,000		6
Showa Shell Sekiyu		11,800		98
SMC		1,200		191
Softbank		6,600		228
Soken Chemical & Engineering		700		9
Sony		6,000		213
Starts		1,500		5
Sumikin Bussan		6,000		13
Sumitomo		3,300		43
Sumitomo Electric Industries		5,800		76
Sumitomo Metal Mining		1,000		16
Sumitomo Mitsui Financial Group		3,400		104
Sumitomo Trust & Banking		22,000		117
Takagi Securities		12,000		16
Takeda Pharmaceutical		8,700		404
TDK		1,000		64
Tohoku Electric Power		500		11
Tokai		1,200		17
Tokyo Electron		400		25
Tokyo Gas		14,000		61
Tokyo Tatemono		8,000		31
Tokyu Construction		20,680		60
TonenGeneral Sekiyu		1,000		10
Toyota Industries		400		12
Toyota Motor		10,072		387
Toyota Tsusho		800		13
Unicharm		2,100		82
West Japan Railway		20		70
Yagi		300		4


Description	Shares		Market Value ($ Thousands)

Yahoo! Japan		17	$	6
Yamada Denki		660		42
Yokohama Rubber		6,000		30
Zeon		12,000		97

				12,147


Macau — 0.0%
Sands China*		8,000		17
Wynn Macau		10,400		21

				38


Malaysia — 1.2%
Axiata Group*		54,000		78
CIMB Group Holdings		155,600		415
DRB-Hicom		169,400		68
EON Capital*		9,500		21
General		86,900		44
Hong Leong Financial Group		7,200		20
Malayan Banking		77,700		209
Sime Darby		47,700		131

				986


Mexico — 1.4%
Alfa, Cl A		4,500		41
America Movil, Ser L		113,600		321
America Movil ADR, Ser L		4,900		277
Grupo KUO De		9,900		14
Telefonos de Mexico, Cl L		99,400		80
Wal-Mart de Mexico		128,600		364

				1,097


Netherlands — 1.9%
Akzo Nobel		261		14
ArcelorMittal		10,600		335
ASML Holding		2,914		94
Core Laboratories		1,510		129
European Aeronautic Defense and Space		7,459		168
Fugro		86		6
Heineken		1,626		76
ING Groep		35,296		312
Koninklijke Ahold		3,792		46
Koninklijke Philips Electronics		3,176		86
Nutreco		766		54
Royal KPN		9,768		140
Unilever		2,550		72

				1,532


New Zealand — 0.1%
Telecom of New Zealand		37,529		60


Norway — 0.8%
DnB		18,954		232
Marine Harvest		65,290		61
Seadrill		4,353		133
Telenor		8,938		128
Yara International		2,407		115

				669


Description	Shares		Market Value ($ Thousands)

Peru — 0.2%
Credicorp		1,045	$	125


Philippines — 0.1%
Alaska Milk		33,900		10
Benpres Holdings*		587,700		60
Philippine National Bank*		31,100		43
				113

Poland — 0.7%
Getin Holding*		3,605		13
KGHM Polska Miedz		7,166		310
Polski Koncern Naftowy Orlen		9,007		125
Tauron Polska Energia*		54,387		109
				557

Portugal — 0.3%
Energias de Portugal		15,649		50
Galp Energia SGPS, Cl B		2,627		44
Jeronimo Martins		6,093		87
Portugal Telecom		6,607		84
				265

Russia — 0.0%
Surgutneftegaz ADR		3,407		32

Singapore — 1.1%
CapitaCommercial Trust‡		47,000		53
CapitaMall Trust‡		21,000		29
DBS Group Holdings		5,700		60
GP Batteries International		40,000		52
Hiap Seng Engineering		89,000		42
Ho Bee Investment		55,000		65
Jardine Cycle & Carriage		3,000		84
Keppel Land		14,000		50
Oversea-Chinese Banking		1,000		8
SembCorp Marine		2,000		7
Singapore Airlines		2,000		23
United Overseas Bank		7,000		98
UOL Group		18,000		62
Yangzijiang Shipbuilding Holdings		170,000		232
				865

South Africa — 0.3%
MTN Group		14,416		246
Stefanutti Stocks Holdings		7,228		12
				258

South Korea — 2.4%
Celltrion		1,700		47
Hana Financial Group		5,850		192
Hyundai Steel		1,148		109
Kia Motors		11,310		477
Kolon Industries		4,900		138
KT		1,010		40
LG		2,500		176
LG Chemical		420		141
LG Electronics		777		69
LG.Philips LCD		4,110		140
Nexen		1,031		51
Nong Shim Holdings		604		30


Description	Shares		Market Value ($ Thousands)

Shinhan Financial Group		200	$	8
STX Engine		2,000		56
Taekwang Industrial		129		159
Woori Finance Holdings		9,050		112
				1,945

Spain — 1.3%
Banco Bilbao Vizcaya Argentaria		4,000		37
Banco Pastor		23		—
Banco Santander Central Hispano		7,132		68
Criteria Caixacorp		5,626		28
Inditex		1,916		145
Repsol		6,711		162
Telefonica		27,770		592
				1,032

Sweden — 2.6%
Assa Abloy, Cl B		5,520		148
Atlas Copco, Cl A		13,324		294
Billerud		1,324		11
Elekta, Cl B		1,775		60
Hennes & Mauritz, Cl B		11,178		377
Husqvarna, Cl B		24,300		169
Kabe Husvagnar, Cl B		400		6
Nordea Bank		15,911		158
Scania, Cl B		6,482		132
Skandinaviska Enskilda Banken, Cl A		7,262		53
SKF, Cl B		1,309		35
Svenska Cellulosa, Cl B		4,829		70
Svenska Handelsbanken, Cl A		1,435		43
Tele2, Cl B		3,701		74
TeliaSonera		9,422		73
Volvo, Cl B		23,253		338
				2,041

Switzerland — 5.3%
Clariant		2,237		41
Compagnie Financiere Richemont		1,915		104
Credit Suisse Group		468		17
Julius Baer Group		4,701		180
Julius Baer Holding		5,537		82
Kuehne + Nagel International		53		7
Logitech International*		8,789		169
Nestle		19,014		1,041
Novartis		14,206		759
Roche Holding		3,039		420
Schindler Holding		1,529		174
STMicroelectronics		18,078		162
Swatch Group		920		67
Swatch Group, Cl B		734		297
Swiss Life Holding		421		47
Temenos Group*		1,087		36
UBS		23,257		351
Xstrata		2,193		44
Zurich Financial Services		931		209
				4,207

Taiwan — 1.5%
Asia Polymer		30,000		36
Asustek Computer		1,350		12
Chunghwa Telecom ADR		6,399		154


Description	Shares		Market Value ($ Thousands)

CMC Magnetics*		78,000	$	19
Elitegroup Computer Systems		52,000		19
Formosa Chemicals & Fibre		5,000		15
Formosa Petrochemical		7,000		19
Formosa Plastics		40,000		119
High Tech Computer		13,500		374
HON HAI Precision Industry		6,720		24
Nan Ya Plastics		6,000		13
Pegatron*		3,633		5
Quanta Computer		8,000		16
Taiwan Semiconductor Manufacturing		63,258		132
United Microelectronics ADR		41,062		117
Wintek		60,000		107
Yageo		72,000		31
Zenitron		23,000		15
				1,227

Thailand — 0.8%
Bangchak Petroleum		7,700		4
Bangkok Bank		34,600		165
Banpu		6,600		166
CP ALL		78,500		106
Thai Airways International		108,300		197
				638

Turkey — 0.6%
KOC Holding		21,780		102
Turkiye Garanti Bankasi		59,420		329
Turkiye Is Bankasi, Cl C		5,107		20
Yapi ve Kredi Bankasi*		3,676		12
				463

United Kingdom — 15.6%
3i Group		18,337		85
Acergy		4,500		90
Aggreko		6,004		137
Anglo American		5,117		225
ARM Holdings		39,258		242
Associated British Foods		8,858		146
AstraZeneca		17,143		800
Aviva		10,781		59
BAE Systems		5,883		30
Barclays		39,141		156
BG Group		34,417		623
BHP Billiton		14,445		514
BP		68,569		455
British Airways*		12,470		50
British American Tobacco		27,187		987
British Sky Broadcasting Group		19,833		223
BT Group, Cl A		38,242		101
Carnival		9,924		405
Catlin Group		2,693		14
Centrica		62,288		298
Compass Group		8,114		70
Dart Group		7,297		10
Diageo		6,160		110
Firstgroup		2,249		13
Fresnillo		220		5
GlaxoSmithKline		9,741		184
HSBC Holdings		59,711		603
Imperial Tobacco Group		9,536		280


Description	Shares		Market Value ($ Thousands)

Intermediate Capital Group		6,930	$	34
International Power		8,492		54
Investec		17,283		134
ITV		4,500		5
Johnson Matthey		1,980		55
Kingfisher		93,182		341
Legal & General Group		120,697		172
Lloyds Banking Group		134,502		126
Meggitt		23,260		118
National Grid		1,736		15
Next		1,979		62
Pearson		13,936		201
Pennon Group		3,298		32
Prudential		6,271		55
Reckitt Benckiser Group		9,371		496
Rexam		2,928		14
Rio Tinto		12,502		794
Royal Bank of Scotland Group*		223,280		131
SABMiller		9,044		286
Schroders		1,571		39
Severn Trent		2,765		62
Shire		10,500		246
Smith & Nephew		19,355		176
Standard Chartered		23,827		642
Tesco		61,510		397
Unilever		3,271		90
United Utilities Group		6,379		59
Vodafone Group		150,793		377
Whitbread		2,050		54
WPP		20,200		224
				12,406

United States — 1.2%
Boise		9,225		68
Capital One Financial		2,644		98
ConocoPhillips		2,900		174
Eli Lilly		6,983		235
Freeport-McMoRan Copper & Gold, Cl B		97		10
Golden Star Resources*		6,080		26
Southern Copper		5,100		214
Thomson Reuters (CAD)		3,200		117
				942
Total Common Stock (Cost $66,615) ($ Thousands)				72,368

PREFERRED STOCK — 1.3%

Germany — 1.3%
Henkel		2,084		128
ProSiebenSat.1 Media		6,263		165
RWE		88		5
Volkswagen		4,603		742
				1,040

South Korea — 0.0%
LG		280		8
Total Preferred Stock (Cost $668) ($ Thousands)				1,048


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

WARRANTS — 0.0%

Singapore — 0.0%
Golden Agri-Resources, Expires 05/29/12*		5,951	$	1


Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49*		2,600		1

Total Warrants (Cost $0) ($ Thousands)				2


	Number Of Rights
RIGHTS — 0.0%

China — 0.0%
Ind & Comm Bank of China, Expires 12/20/10		19,440		7

Total Rights (Cost $0) ($ Thousands)				7


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.120%**†		3,635,154		3,635

Total Cash Equivalent (Cost $3,635) ($ Thousands)				3,635


U.S. TREASURY OBLIGATION — 0.4%
U.S. Treasury Bill 0.198%, 12/16/10 (A) (B)		318		318

Total U.S. Treasury Obligation (Cost $318) ($ Thousands)				318

Total Investments — 97.0% (Cost $71,236)($ Thousands)			$	77,378

A summary of the open futures contracts held by the Fund at November 30, 2010, is as
follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		35		Dec-2010	$	(66	)
FTSE Index		10		Dec-2010		(8	)
Hang Seng Index		1		Dec-2010		(1	)
S&P TSE 60 Index		3		Dec-2010		19
SPI 200 Index		3		Dec-2010		(9	)
Topix Index		9		Dec-2010		43

					$	(22	)

Percentages are based on a Net Assets of $79,762 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of November 30, 2010.

†

Investment in Affiliated Security (see Note 5).

(A)

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

(B)

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

ADR

— American Depositary Receipt

ARM

— Adjustable Rate Mortgage

CAD

— Canadian Dollar

— Class

— Dow Jones

FTSE

— Financial Times and London Stock Exchange

S&P

— Standard & Poor’s

SPI

— Stock Price Index

The following is a summary of the inputs used as of November 30, 2010 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	72,368	$	—	$	—	$	72,368
Preferred Stock		1,048		—		—		1.048
Warrants		—		2		—		2
Rights		7		—		—		7
Cash Equivalent		3,635		—		—		3,635
U.S. Treasury Obligation		—		318		—		318

Total Investments in Securities	$	77,058	$	320	$	—	$	77,378


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(22	)	$	—	$	—	$	(22	)

Total Other Financial Instruments	$	(22	)	$	—	$	—	$	(22	)

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 $O or have been rounded to $O.

The Registrant has a standing Nominating 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 second 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			116

Statements of Operations			120

Statements of Changes in Net Assets			124

Financial Highlights			130

Notes to Financial Statements			133

Disclosure of Fund Expenses			149

Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements			151

Shareholder Voting Results			154


SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2010			1


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		$	(1,799	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		5,500			(2,620	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		4,445			(582	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		4,880			(2,350	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/49		2,000			55
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/49		2,000			34
Citigroup	Darden Restaurants Inc., 6.000% 08/15/35	BUY		(2.73	)		03/20/14		1,435			(93	)
Citigroup	Darden Restaurants Inc., 7.125% 02/01/16	BUY		(2.40	)		03/20/15		1,200			(70	)
Citigroup	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		1,020			79
Citigroup	Home Depot, 5.875% 12/16/36	BUY		(2.67	)		03/20/14		5,100			(408	)
Citigroup	Lowes Cos. Inc., 8.250% 06/01/10	BUY		(1.20	)		03/20/14		5,320			(151	)
Credit Suisse	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		390			(186	)
Credit Suisse	General Electric Corp., 5.625% 09/15/17	SELL		6.55			12/20/10		(2,570	)		41
Credit Suisse	Target Corporation, 4.000% 6/15/13	BUY		(1.00	)		12/20/14		1,280			(16	)
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	BUY		(1.00	)		09/20/16		6,700			347
Deutsche Bank	Darden Restaurants Inc., 6.000% 08/15/35	BUY		(2.25	)		03/20/14		1,650			(80	)
Deutsche Bank	Darden Restaurants Inc., 7.125% 02/01/16	BUY		(2.25	)		03/20/13		600			(24	)
Deutsche Bank	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		800			51
Deutsche Bank	Target Corporation, 4.000% 6/15/13	BUY		(1.00	)		12/20/14		1,280			(16	)
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		795			50
Morgan Stanley	Berkshire Hathaway Inc., 4.625% 10/15/13	SELL		4.00			03/20/11		(5,400	)		97
Morgan Stanley	CMBX.NA.AAA.1 Index	BUY		0.10			10/12/52		1,400			(44	)
Morgan Stanley	CMBX.NA.AAA.3 Index	BUY		0.08			12/13/49		2,930			58
Morgan Stanley	CMBX.NA.AAA.4 Index	BUY		(0.35	)		02/17/51		1,800			(5	)
Morgan Stanley	CMBX.NA.AAA.4 Index	SELL		0.35			02/17/51		(800	)		47
Morgan Stanley	Darden Restaurants Inc., 7.125% 02/01/16	BUY		(2.25	)		03/20/13		600			(24	)

											$	(7,609	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized (Depreciation) ($ Thousands)
Morgan Stanley	0.00%	3MLIBOR (PAYMENT AT MATURITY)	11/15/27	$	29,630,000	$	(2,361	)
Morgan Stanley	0.00	3MLIBOR (PAYMENT AT MATURITY)	02/15/25		19,470,000		(1,691	)

						$	(4,052	)


	Investments in Loan Participations			Investments in Total Return Swaps
Beginning balance as of June 1, 2010	$	9,135			(4	)
Accrued discounts/premiums		15			—
Realized gain/(loss)		—			1
Change in unrealized appreciation/(depreciation)		327			(1	)
Net purchases/sales		1,549			4
Net transfer in and/or out of Level 3		—			—

Ending balance as of November 30, 2010	$	11,026		$	—

Changes in unrealized gain/(loss) included in earnings related to securities still held at reporting date	$	(121	)	$	—


		Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
ASSETS:
	Investments at value†	$	1,474,092	*	$	356,931		$	6,314,388	*
	Affiliated investment, at value††		193,999			13,563			1,731,403
	Cash		4			—			578
	Foreign currency, at value†††		—			—			—
	Receivable for fund shares sold		317			1,433			51,272
	Receivable for investment securities sold		4,813			1,520			43,710
	Dividends and interest receivable		2,627			738			16,821
	Receivable for variation margin		—			768			—
	Foreign tax reclaim receivable		9			2			—
	Unrealized gain on foreign spot currency contracts		—			—			—
	Unrealized gain on forward foreign currency contracts		—			—			—
	Prepaid expenses		13			3			72
	Total Assets		1,675,874			374,958			8,158,244
LIABILITIES:
	Payable upon return on securities loaned		159,125			—			614,174
	Payable for investment securities purchased		3,916			980			41,373
	Payable for fund shares redeemed		13,373			498			22,814
	Payable for loss on securities lending		—			—			—
	Payable to custodian		—			5			—
	Payable for variation margin		263			844			6,820
	Unrealized loss on foreign spot currency contracts		—			—			—
	Unrealized loss on forward foreign currency contracts		—			—			—
	Investment advisory fees payable		312			92			1,068
	CCO fees payable		4			1			26
	Accrued expense payable		24			10			149
	Total Liabilities		177,017			2,430			686,424
	Net Assets	$	1,498,857		$	372,528		$	7,471,820
†	Cost of investments and repurchase agreements		1,316,296			315,473			5,540,751
††	Cost of affiliated investments		194,859			13,563			1,902,649
†††	Cost of foreign currency		—			—			—
*	Includes market value of securities on loan		154,226			—			595,739
NET ASSETS:
	Paid-in Capital — (unlimited authorization — no par value)	$	1,428,822		$	512,709		$	9,089,637
	Undistributed net investment income		3,474			2,170			43,591
	Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, swap contracts and foreign currency		(92,106	)		(184,329	)		(2,344,643	)
	Net unrealized appreciation on investments and option contracts		156,936			41,458			602,391
	Net unrealized appreciation (depreciation) on futures contracts		1,731			520			80,844
	Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
	Net Assets	$	1,498,857		$	372,528		$	7,471,820
Net Asset Value, Offering and Redemption Price Per Share — Class A			$16.15			$8.42			$9.57
			($1,498,857,180 ÷ 92,799,796 shares	)		($372,528,462 ÷ 44,241,324 shares	)		($7,471,819,845 ÷ 780,827,347 shares	)


Large Cap Index Fund			Small Cap Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

	$521,913	*		$1,250,369	*		$1,935,379	*		$138,649			$522,992	*
	59,710			208,977			672,658			2,205			26,113
	—			302			776			—			6,895
	—			471			5			—			635
	188			1,101			843			5			564
	—			4,921			9,924			432			6
	1,192			1,141			1,945			285			1,213
	—			—			—			—			—
	—			—			—			—			950
	—			—			—			—			431
	—			18			8			—			—
	5			14			20			1			3
	583,008			1,467,314			2,621,558			141,577			559,802

	49,675			4,175			597,115			—			16,734
	—			1,337			11,496			664			724
	1,022			4,930			20,643			654			3,161
	—			4,705			—			—			—
	—			—			—			—			—
	92			1,555			414			11			130
	—			—			—			—			434
	—			—			25			—			—
	20			627			797			38			160
	2			5			7			1			2
	16			33			49			9			153
	50,827			17,367			630,546			1,377			21,498
	$532,181			$1,449,947			$1,991,012			$140,200			$538,304
	379,565			1,043,682			1,578,700			109,352			484,879
	60,387			209,417			680,823			2,205			26,871
	—			475			5			—			632
	48,242			3,735			577,992			—			15,751

	$441,915			$1,639,788			$2,126,143			$72,764			$934,521
	1,612			1,830			2,174			373			25,677
	(53,802	)		(401,508	)		(487,200	)		37,727			(458,862	)
	141,671			206,247			348,514			29,297			37,355
	785			3,594			1,401			39			(180	)
	—			(4	)		(20	)		—			(207	)
	$532,181			$1,449,947			$1,991,012			$140,200			$538,304
	$102.65			$11.65			$11.65			$12.09			$7.30
	($532,181,266 ÷ 5,184,603 shares	)		($1,449,947,038 ÷ 124,473,381 shares	)		($1,991,012,128 ÷ 170,973,522 shares	)		($140,200,374 ÷ 11,592,364 shares	)		($538,303,561 ÷ 73,746,724 shares	)


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund
ASSETS:
Investments at value†	$	4,271,512	*	$	73,743		$	44,584
Affiliated investment, at value††		506,446			3,635			81,535
Cash		49,746			837			1,470
Foreign currency, at value†††		11,893			453			—
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			25
Receivable for fund shares sold		11,842			1,107			13,948
Receivable for investment securities sold		23,525			368			656
Dividends and interest receivable		7,637			129			214
Receivable for variation margin		70			1			1
Foreign tax reclaim receivable		2,131			47			1
Unrealized gain on foreign spot currency contracts		15			50			—
Unrealized gain on forward foreign currency contracts		—			—			—
Swap contracts at value ††††		—			—			—
Prepaid expenses		42			1			1
Total Assets		4,884,859			80,371			142,435
LIABILITIES:
Payable upon return on securities loaned		336,575			—			—
Payable for foreign currency		—			—			—
Payable for investment securities purchased		25,292			366			3,129
Payable for fund shares redeemed		17,781			5			311
Payable for loss on securities lending		—			—			—
Income distribution payable		—			—			—
Swap contracts at value††††		—			—			—
Options written, at value†††††		—			—			—
Payable to custodian		—			—			—
Payable for variation margin		1,741			33			3
Unrealized loss on foreign spot currency contracts		24			50			—
Unrealized loss on forward foreign currency contracts		—			—			—
Investment advisory fees payable		1,598			20			39
CCO fees payable		14			—			—
Trustees fees payable		—			—			—
Accrued expense payable		447			135			18
Accrued foreign capital gains tax on appreciated securities		590			—			—
Total Liabilities		384,062			609			3,500
Net Assets	$	4,500,797		$	79,762		$	138,935
† Cost of investments and repurchase agreements		3,860,498			67,601			46,114
†† Cost of affiliated investments		509,023			3,635			101,632
††† Cost of foreign currency		11,894			454			—
†††† Premiums received		—			—			—
††††† Premiums received		—			—			—
* Includes market value of securities on loan		317,808			—			—
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	4,927,304		$	96,816		$	186,819
Undistributed net investment income
(Accumulated net investment loss)		83,066			1,135			2,336
Accumulated net realized gain (loss) on investments, option contracts, futures contracts, swap contracts and foreign currency		(917,707	)		(24,307	)		(28,590	)
Net unrealized appreciation (depreciation) on investments and option contracts		408,437			6,142			(21,627	)
Net unrealized appreciation (depreciation) on futures contracts		248			(22	)		(3	)
Net unrealized appreciation (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		39			(2	)		—
Accumulated foreign capital gains tax on appreciated securities		(590	)		—			—
Net Assets	$	4,500,797		$	79,762		$	138,935
Net Asset Value, Offering and Redemption Price Per Share — Class A		$10.45			$8.08			$7.86
		($4,500,797,262 ÷ 430,895,866 shares	)		($79,761,909 ÷ 9,875,210 shares	)		($138,934,955 ÷ 17,669,372 shares	)


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Emerging Markets Debt Fund			Real Return Fund			Dynamic Asset Allocation Fund

	$6,432,952	*		$1,804,372	*		$2,824,338			$ 972,777	*		$326,653			$ 59,991
	299,225			44,314			24,235			13,669			—			35,423
	7,936			—			152			32,027			8,258			—
	—			—			—			—			—			—
	5,608			2,631			—			2,418			—			150
	52,394			29,607			2,847			14,796			3,219			7,053
	1,340,698			20,340			25,538			103			26,005			—
	39,695			34,922			34,120			16,345			1,459			4
	985			—			1,416			3			—			21
	44			67			23			—			—			—
	—			—			—			8,177			—			—
	—			—			—			1,167			—			—
	13,958			—			—			4,595			—			—
	61			19			30			10			4			—
	8,193,556			1,936,272			2,912,699			1,066,087			365,598			102,642

	135,674			6			—			13,928			—			—
	—			—			—			1,491			—			—
	1,950,688			22,628			25,932			560			—			—
	7,742			6,325			45,988			2,324			27,734			—
	—			1,913			—			—			—			—
	1,280			381			144			—			—			—
	15,280			447			—			—			—			—
	297			—			—			—			—			—
	—			14			—			—			—			—
	643			—			342			—			—			465
	—			—			—			8,195			—			—
	—			—			—			1,478			—			—
	680			517			432			450			56			38
	21			6			10			4			1			—
	—			—			—			—			—			—
	141			—			63			59			6			2
	—			65			—			—			—			—
	2,112,446			33,302			72,911			28,489			27,797			505
	$6,081,110			$1,903,970			$2,839,788			$1,037,598			$337,801			$102,137
	6,386,288			1,736,289			2,626,321			885,794			316,467			59,991
	307,318			44,314			24,235			13,928			—			35,423
	—			—			—			—			—			—
	10,340			831			—			—			—			—
	318			—			—			—			—			—
	131,709			5			—			13,035			—			—

	$5,873,962			$1,963,001			$2,578,754			$ 976,528			$319,620			$100,645

	4,637			1,699			(180	)		3,317			1,154			(66	)
	176,342			(127,535	)		58,462			(28,670	)		6,841			170
	38,592			68,083			198,017			86,724			10,186			—
	(762	)		—			4,735			7			—			1,388
	(11,661	)		(1,278	)		—			57			—			—
	—			—			—			(365	)		—			—
	—			—			—			—			—			—
	$6,081,110			$1,903,970			$2,839,788			$1,037,598			$337,801			$102,137
	$10.70			$9.19			$9.09			$11.26			$10.57			$10.40
	($6,081,109,844 ÷ 568,213,946 shares	)		($1,903,970,028 ÷ 207,224,076 shares	)		($2,839,787,774 ÷ 312,447,193 shares	)		($1,037,598,305 ÷ 92,144,633 shares	)		($337,801,200 ÷ 31,961,218 shares	)		($102,136,721 ÷ 9,817,999 shares	)


	Large Cap Fund						Large Cap Diversified Alpha Fund
	6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10
Operations:
Net Investment Income	$	9,435		$	14,146		$	2,380		$	4,520
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		20,993			52,197			(8,368	)		45,041
Net Realized Loss on Foreign Currency Transactions		—			—			—			(9	)
Net Change in Unrealized Appreciation on Investments, Affiliated Investments and Future Contracts		95,953			51,674			39,767			21,406
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		—			—			—			1
Net Increase in Net Assets Resulting from Operations		126,381			118,017			33,779			70,959
Dividends From:
Net Investment Income:
Class A		(9,282	)		(12,504	)		(1,600	)		(4,456	)
Total Dividends		(9,282	)		(12,504	)		(1,600	)		(4,456	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		381,674			780,894	⁽²⁾		29,218			53,221
Reinvestment of Dividends & Distributions		9,134			11,980			1,294			3,677
Cost of Shares Redeemed		(239,432	)⁽³⁾		(194,426	)		(42,663	)		(101,903	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		151,376			598,448			(12,151	)		(45,005	)
Net Increase in Net Assets		268,475			703,961			20,028			21,498
Net Assets:
Beginning of Period		1,230,382			526,421			352,500			331,002
End of Period	$	1,498,857		$	1,230,382		$	372,528		$	352,500
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	3,474		$	3,321		$	2,170		$	1,390


Large Cap Disciplined Equity Fund						Large Cap Index Fund						Small Cap Fund
6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10

$	58,314		$	122,842		$	5,132		$	10,626		$	5,474		$	10,570

	147,646			931,525			(10,210	)		(10,201	)		59,020			115,418
	—			(795	)		—			—			(27	)		(39	)

	409,614			304,274			52,316			91,698			58,870			222,973
	—			802			—			—			(3	)		(2	)
	615,574			1,358,648			47,238			92,123			123,334			348,920


	(47,642	)		(113,630	)		(5,368	)		(10,238	)		(5,314	)		(10,767	)
	(47,642	)		(113,630	)		(5,368	)		(10,238	)		(5,314	)		(10,767	)


	704,162			1,258,268	⁽²⁾		47,242			142,340			118,737			229,238	⁽²⁾
	46,936			110,682			5,210			9,924			4,908			9,886
	(807,972	)		(1,696,325	)		(71,261	)		(78,921	)		(131,466	)		(223,389	)
	(56,874	)		(327,375	)		(18,809	)		73,343			(7,821	)		15,735
	511,058			917,643			23,061			155,228			110,199			353,888

	6,960,762			6,043,119			509,120			353,892			1,339,748			985,860
$	7,471,820		$	6,960,762		$	532,181		$	509,120		$	1,449,947		$	1,339,748

$	43,591		$	32,919		$	1,612		$	1,848		$	1,830		$	1,670


International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund
6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10			6/1/10 to 11/30/10			6/1/09 to 5/31/10

$	3,726		$	16,417		$	29,337		$	70,990		$	314		$	1,156		$	1,172		$	4,348

	10,669			90,023			41,302			400,245			273			4,715			(55	)		(20,935	)
	(3,243	)		4,439			(13,778	)		13,721			(80	)		(49	)		—			(78	)

	71,683			(53,314	)		522,043			(224,368	)		9,391			(21	)		2,797			35,722
	—			—			(478	)		586			—			—			—			—
	105			(1,623	)		104			(7,251	)		1			(17	)		—			79
	82,940			55,942			578,530			253,923			9,899			5,784			3,914			19,136


	—			(13,386	)		—			(75,180	)		—			(912	)		(1,423	)		(2,810	)

	—			—			—			—			—			—			—			—
	—			(13,386	)		—			(75,180	)		—			(912	)		(1,423	)		(2,810	)


	62,254			168,088			670,143			1,300,345			5,463			25,764			35,733			6,304
	—			11,628			—			73,000			—			785			1,333			1,051
	(212,369	)		(321,669	)		(460,490	)		(561,231	)		(4,343	)		(14,785	)		(16,141	)		(73,275	)
	(150,115	)		(141,953	)		209,653			812,114			1,120			11,764			20,925			(65,920	)
	(67,175	)		(99,397	)		788,183			990,857			11,019			16,636			23,416			(49,594	)

	605,479			704,876			3,712,614			2,721,757			68,743			52,107			115,519			165,113
$	538,304		$	605,479		$	4,500,797		$	3,712,614		$	79,762		$	68,743		$	138,935		$	115,519
$	25,677		$	21,951		$	83,066		$	53,729		$	1,135		$	821		$	2,336		$	2,587


	Net Asset Value, Beginning of Period		Net Investment Income⁽²⁾		Net Realized and Unrealized Gains (Losses) on Securities⁽²⁾			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
2010@	$	14.84	$	0.11	$	1.31		$	1.42		$	(0.11	)	$	—		$	(0.11	)	$	16.15		9.63	%	$	1,498,857		0.26	%		0.26	%		0.46	%		1.39	%		46	%
2010		12.55		0.23		2.28			2.51			(0.22	)		—			(0.22	)		14.84		20.05			1,230,382		0.26			0.26			0.47			1.56			72
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
Large Cap Diversified Alpha Fund
Class A
2010@	$	7.69	$	0.05	$	0.72		$	0.77		$	(0.04	)	$	—		$	(0.04	)	$	8.42		10.00	%	$	372,528		0.32	%		0.32	%		0.47	%		1.35	%		66	%
2010		6.35		0.09		1.34			1.43			(0.09	)		—			(0.09	)		7.69		22.61			352,500		0.31			0.31			0.47			1.26			95
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
2010@	$	8.86	$	0.07	$	0.70		$	0.77		$	(0.06	)	$	—		$	(0.06	)	$	9.57		8.75	%	$	7,471,820		0.19	%		0.19	%		0.47	%		1.63	%		73	%
2010		7.36		0.15		1.49			1.64			(0.14	)		—			(0.14	)		8.86		22.32			6,960,762		0.18			0.18			0.47			1.74			104
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
Large Cap Index Fund
Class A
2010@	$	94.53	$	0.98	$	8.18		$	9.16		$	(1.04	)	$	—		$	(1.04	)	$	102.65		9.79	%	$	532,181		0.06	%		0.06	%		0.24	%		2.02	%		10	%
2010		78.92		2.01		15.53			17.54			(1.93	)		—			(1.93	)		94.53		22.34			509,120		0.06			0.06			0.24			2.17			11
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
Small Cap Fund
Class A
2010@	$	10.69	$	0.04	$	0.96		$	1.00		$	(0.04	)	$	—		$	(0.04	)	$	11.65		9.43	%	$	1,449,947		0.54	%		0.54	%		0.72	%		0.81	%		37	%
2010		7.97		0.08		2.73			2.81			(0.09	)		—			(0.09	)		10.69		35.32			1,339,748		0.53			0.54			0.72			0.86			106
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


	Net Asset Value, Beginning of Period		Net Investment Income⁽³⁾		Net Realized and Unrealized Gains (Losses) on Securities⁽³⁾			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
2010@	$	10.53	$	0.04	$	1.12		$	1.16		$	(0.04	)	$	—		$	(0.04	)	$	11.65		11.03	%	$	1,991,012		0.49	%		0.50	%		0.72	%		0.76	%		42	%
2010		7.85		0.08		2.71			2.79			(0.11	)		—			(0.11	)		10.53		35.79			2,064,443		0.49			0.50			0.72			0.79			97
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
U.S. Managed Volatility Fund
Class A
2010@	$	11.16	$	0.11	$	0.94		$	1.05		$	(0.12	)	$	—		$	(0.12	)	$	12.09		9.48	%	$	140,200		0.35	%		0.35	%		0.72	%		1.87	%		55	%
2010		9.55		0.22		1.78			2.00			(0.22	)		(0.17	)		(0.39	)		11.16		21.12			255,094		0.35			0.35			0.72			2.04			58
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
2010@	$	6.37	$	0.04	$	0.89		$	0.93		$	—		$	—		$	—		$	7.30		14.60	%	$	538,304		0.39	%		0.39	%		0.63	%		1.25	%		55	%
2010		6.08		0.15		0.27			0.42			(0.13	)		—			(0.13	)		6.37		6.68			605,479		0.39			0.39			0.64			2.25			153
2009		11.12		0.21		(5.15	)		(4.94	)		(0.09	)		(0.01	)		(0.10	)		6.08		(44.32	)		704,876		0.39	⁽⁸⁾		0.39	⁽⁸⁾		0.61	⁽⁸⁾		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	⁽⁷⁾		0.41	⁽⁷⁾		0.62	⁽⁷⁾		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	⁽⁴⁾		0.50	⁽⁴⁾		0.71	⁽⁴⁾		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
World Equity Ex-US Fund
Class A
2010@	$	9.09	$	0.07	$	1.29		$	1.36		$	—		$	—		$	—		$	10.45		14.96	%	$	4,500,797		0.45	%		0.45	%		0.64	%		1.39	%		34	%
2010		8.39		0.20		0.72			0.92			(0.22	)		—			(0.22	)		9.09		10.74			3,712,614		0.45			0.45			0.65			2.10			149
2009		14.56		0.26		(6.43	)		(6.17	)		—			—			—			8.39		(42.38	)		2,721,757		0.45	⁽⁹⁾		0.45	⁽⁹⁾		0.66	⁽⁹⁾		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	⁽⁵⁾		0.71	⁽⁵⁾		0.77	⁽⁵⁾		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
Screened World Equity Ex-US Fund
Class A
2010@	$	7.04	$	0.03	$	1.01		$	1.04		$	—		$	—		$	—		$	8.08		14.77	%	$	79,762		0.80	%		0.80	%		1.26	%		0.84	%		42	%
2010		6.42		0.13		0.58			0.71			(0.09	)		—			(0.09	)		7.04		11.00			68,743		0.80			0.80			1.06			1.69			161
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
2010@	$	7.69	$	0.08	$	0.19		$	0.27		$	(0.10	)	$	—		$	(0.10	)	$	7.86		3.51	%	$	138,935		0.41	%		0.41	%		0.54	%		2.05	%		15	%
2010		6.95		0.21		0.67			0.88			(0.14	)		—			(0.14	)		7.69		12.66			115,519		0.41			0.41			0.54			2.85			12
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⁽⁶⁾		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


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽³⁾			Net Realized and Unrealized Gains (Losses) on Securities⁽³⁾			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†
Core Fixed Income Fund
Class A
2010@	$	10.35	$	0.20		$	0.36		$	0.56		$	(0.21	)	$	—		$	(0.21	)	$	10.70		5.39	%	$	6,081,110		0.18	%⁽⁵⁾		0.18	%⁽⁵⁾		0.40	%⁽⁵⁾		3.71	%		202	%
2010		9.42		0.47			0.95			1.42			(0.49	)		—			(0.49	)		10.35		15.34			5,705,708		0.14			0.14			0.37			4.71			242
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
High Yield Bond Fund
Class A
2010@	$	8.74	$	0.40		$	0.44		$	0.84		$	(0.39	)	$	—		$	(0.39	)	$	9.19		9.80	%	$	1,903,970		0.35	%		0.35	%		0.56	%		8.86	%		45	%
2010		7.00		0.84			1.72			2.56			(0.80	)		(0.02	)		(0.82	)		8.74		37.60			1,634,608		0.35			0.35			0.56			10.03			110
2009		9.17		0.80			(2.14	)		(1.34	)		(0.77	)		(0.06	)		(0.83	)		7.00		(13.79	)		1,239,271		0.35			0.35			0.56			11.34			79
2008		10.33		0.82			(1.07	)		(0.25	)		(0.82	)		(0.09	)		(0.91	)		9.17		(2.36	)		1,399,859		0.35			0.35			0.55			8.63			59
2007		10.08		0.84			0.30			1.14			(0.84	)		(0.05	)		(0.89	)		10.33		11.81			1,241,924		0.35			0.35			0.56			8.25			98
2006⁽²⁾		10.00		0.40			0.08			0.48			(0.40	)		—			(0.40	)		10.08		4.85			862,371		0.35			0.35			0.57			8.15			58
Long Duration Fund
Class A
2010@	$	8.69	$	0.22		$	0.40		$	0.62		$	(0.22	)	$	—		$	(0.22	)	$	9.09		7.07	%	$	2,839,788		0.20	%		0.20	%		0.37	%		4.91	%		44	%
2010		7.77		0.45			0.93			1.38			(0.46	)		—			(0.46	)		8.69		18.11			2,736,187		0.20			0.20			0.37			5.42			113
2009		8.57		0.39			(0.72	)		(0.33	)		(0.47	)		—			(0.47	)		7.77		(3.89	)		1,489,047		0.20			0.20			0.39			4.88			95
2008		9.52		0.51			(0.91	)		(0.40	)		(0.55	)		—			(0.55	)		8.57		(4.52	)		115,754		0.20			0.20			0.39			5.47			58
2007		9.31		0.53			0.18			0.71			(0.50	)		—			(0.50	)		9.52		7.67			184,616		0.20			0.20			0.38			5.49			97
2006		10.56		0.46			(1.07	)		(0.61	)		(0.54	)		(0.10	)		(0.64	)		9.31		(6.08	)		165,324		0.20			0.20			0.39			4.69			113
Emerging Markets Debt Fund
Class A
2010@	$	10.47	$	0.40		$	0.69		$	1.09		$	(0.30	)	$	—		$	(0.30	)	$	11.26		10.58	%	$	1,037,598		0.55	%		0.55	%		0.93	%		7.08	%		45	%
2010		9.27		0.84			1.40			2.24			(1.04	)		—			(1.04	)		10.47		24.93			989,598		0.55			0.55			0.93			8.12			66
2009		10.42		0.75			(1.19	)		(0.44	)		(0.71	)		—			(0.71	)		9.27		(3.55	)		901,226		0.55			0.55			0.94			8.56			78
2008		10.95		0.70			(0.37	)		0.33			(0.75	)		(0.11	)		(0.86	)		10.42		3.24			1,062,491		0.55			0.55			0.93			6.65			66
2007		9.97		0.65			1.03			1.68			(0.62	)		(0.08	)		(0.70	)		10.95		17.40			804,036		0.55			0.55			0.94			6.16			89
2006⁽²⁾		10.00		0.27			(0.17	)		0.10			(0.13	)		—			(0.13	)		9.97		1.00			479,808		0.55			0.55			0.95			5.43			51
Real Return Fund
Class A
2010@	$	10.41	$	0.06		$	0.18		$	0.24		$	(0.08	)	$	—		$	(0.08	)	$	10.57		2.34	%	$	337,801		0.20	%		0.20	%		0.28	%		1.12	%		44	%
2010		10.11		0.33			0.24			0.57			(0.27	)		—			(0.27	)		10.41		5.70			326,758		0.29			0.29			0.55			3.18			205
2009		10.99		0.21			(0.27	)		(0.06	)		(0.82	)*		—			(0.82	)		10.11		(0.17	)		260,477		0.36			0.36			0.78			2.01			148
2008		10.10		0.58			0.75			1.33			(0.34	)		(0.10	)		(0.44	)		10.99		13.30			362,129		0.43			0.43			0.77			5.36			47
2007⁽¹⁾		10.00		0.26			(0.03	)		0.23			(0.13	)		—			(0.13	)		10.10		2.29			221,531		0.44			0.44			0.78			5.67			18
Dynamic Asset Allocation Fund
Class A
2010@⁽⁴⁾	$	10.00	$	(0.01	)	$	0.41		$	0.40		$	—		$	—		$	—		$	10.40		4.00	%	$	102,137		0.50	%		0.50	%		0.68	%		(0.36	)%		0	%


	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	$	—	$	—		0.00	%
Titanium Asset Management PP		122,200		8/6/07		8/6/07		729		351		0.02
Titanium Asset Management		122,200		6/14/07		6/14/07		—		—		0.00
Value Creation		119,600		2/29/08		2/29/08		1,225		121		0.01

							$	1,954	$	472		0.03	%


Small/Mid Cap Equity Fund
Rentech		13,800		4/20/07		4/20/07	$	—	$	—		0.00	%
Titanium Asset Management PP		105,000		8/6/07		8/6/07		625		301		0.02
Titanium Asset Management		105,000		6/14/07		6/14/07		—		—		0.00
Value Creation		85,600		2/29/08		2/29/08		871		87		0.00

							$	1,496	$	388		0.02	%


High Yield Bond Fund
Aventi		2,600		11/30/10		11/30/10	$	—	$	151		0.01	%
Quebecore		2,175		11/30/10		11/30/10		—		130		0.01
VSS, AHC		43,496		9/25/09		9/25/09		551		519		0.03

							$	551	$	800		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	$	137,964		—	$	(47,613	)		—	$	90,351
Maximum potential amount of future payments	$	7,970,000		—	$	800,000			—	$	8,770,000
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		—		—		—			—		—


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)
0-100	$	7,970,000	$	—	$	—	$	—		—	$	7,970,000
> than 100		—		—		—		—	$	800,000	$	800,000
Total	$	7,970,000	$	—	$	—	$	—	$	800,000	$	8,770,000


	Asset Derivatives				Liability Derivatives
	Six month period ended November 30, 2010 ($ Thousands)				Six month period ended November 30, 2010 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Derivatives not accounted for as hedging instruments:

Small Cap
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	18		Unrealized loss on forward foreign currency contracts	$	—
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		3,594	*	Net Assets — Unrealized depreciation on futures contracts		—

Total Derivatives not accounted for as hedging instruments		$	3,612			$	—


Small/Mid Cap Equity
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	8		Unrealized loss on forward foreign currency contracts	$	25
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		1,401	*	Net Assets — Unrealized depreciation on futures contracts		—

Total Derivatives not accounted for as hedging instruments		$	1,409			$	25


Derivatives Not Accounted for as Hedging Instruments	Options		Futures			Forward Currency Contracts			Swaps			Total
Small Cap Equity
Equity contracts	$	—	$	59		$	—		$	—		$	59
Foreign exchange contracts		—		—			3			—			3
Total	$	—	$	59		$	3		$	—		$	62
Small/Mid Cap Equity
Equity contracts	$	—	$	4,655		$	—		$	—		$	4,655
Foreign exchange contracts		—		—			(159	)		—			(159	)
Total	$	—	$	4,655		$	(159	)	$	—		$	4,496
World Equity Ex-US
Foreign exchange contracts	$	—	$	—		$	174		$	—		$	174
Equity contracts		—		14,823			—			(5,066	)		9,757
Total	$	—	$	14,823		$	174		$	(5,066	)	$	9,931
Core Fixed Income
Interest rate contracts	$	444	$	(4,980	)	$	—		$	(3,711	)	$	(8,247	)
Credit contracts		—		—			—			(589	)		(589	)
Total	$	444	$	(4,980	)	$	—		$	(4,300	)	$	(8,836	)
Long Duration
Interest rate contracts	$	—	$	3,682		$	—		$	—		$	3,682
Credit contracts		—		—			—			(440	)		(440	)
Total	$	—	$	3,682		$	—		$	(440	)	$	3,242
Emerging Markets Debt
Equity Contracts	$	—	$	—		$	—		$	(4	)	$	(4	)
Interest rate contracts		—		(83	)		—			—			(83	)
Foreign exchange contracts		—		—			(4,635	)		—			(4,635	)
Total	$	—	$	(83	)	$	(4,635	)	$	(4	)	$	(4,722	)


	Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of period		347		$	234
Written		3,313			1,678
Expired		(146	)		(108	)
Closing buys		(2,936	)		(1,486	)
Balance at the end of period		578		$	318


	Large Cap Fund						Large Cap Diversified Alpha						Large Cap Disciplined Equity Fund
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10
Class A:
Shares Issued		25,347	⁽¹⁾		53,265	⁽¹⁾		3,616			7,083			78,423			147,091	⁽¹⁾
Shares Issued In Lieu of Dividends and Distributions		618			824			163			486			5,251			12,742
Shares Redeemed		(16,070	)		(13,119	)		(5,380	)		(13,833	)		(88,326	)		(195,253	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		9,895			40,970			(1,601	)		(6,264	)		(4,652	)		(35,420	)

	Large Cap Index Fund						Small Cap Fund						Small/Mid Cap Equity Fund
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10
Class A:
Shares Issued		491			1,650			11,192			23,333	⁽¹⁾		18,115			42,363
Shares Issued In Lieu of Dividends and Distributions		55			109			473			1,012			646			2,587
Shares Redeemed		(747	)		(858	)		(12,499	)		(22,758	)		(43,797	)		(68,534	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(201	)		901			(834	)		1,587			(25,036	)		(23,584	)

	U.S. Managed Volatility Fund						International Equity Fund						World Equity Ex-US Fund
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10
Class A:
Shares Issued		1,629	⁽¹⁾		4,280			9,031			24,574			68,558			135,855
Shares Issued In Lieu of Dividends and Distributions		184			926			—			1,647			—			7,381
Shares Redeemed		(13,081	)		(7,255	)		(30,409	)		(47,065	)		(46,167	)		(58,958	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(11,268	)		(2,049	)		(21,378	)		(20,844	)		22,391			84,278

	Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund						Core Fixed Income Fund
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10
Class A:
Shares Issued		678			3,524			4,563			842			87,028			206,708
Shares Issued In Lieu of Dividends and Distributions		—			102			173			140			9,954			23,466
Shares Redeemed		(565	)		(1,976	)		(2,087	)		(9,703	)		(79,850	)		(161,268	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		113			1,650			2,649			(8,721	)		17,132			68,906

	High Yield Bond Fund						Long Duration Fund						Emerging Markets Debt
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10
Class A:
Shares Issued		42,593			57,698			34,177			129,684			13,739			24,976
Shares Issued In Lieu of Dividends and Distributions		8,332			16,487			7,185			13,437			2,450			8,914
Shares Redeemed		(30,693	)		(64,348	)		(43,633	)		(19,931	)		(18,526	)		(36,617	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		20,232			9,837			(2,271	)		123,190			(2,337	)		(2,727	)


	Real Return Fund						Dynamic Asset Allocation Fund⁽²⁾
	6/1/10 to 11/30/10 (Unaudited)			6/1/09 to 5/31/10			6/1/10 to 11/30/10 (Unaudited)
Class A:
Shares Issued		11,032			15,668			9,818
Shares Issued In Lieu of Dividends and Distributions		243			433			—
Shares Redeemed		(10,709	)		(10,458	)		—
Increase in Net Assets Derived from Class A Transactions		566			5,643			9,818


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Fund	2010	$	12,504	$	—	$	—	$	12,504
	2009		6,781		—		—		6,781
Large Cap Diversified Alpha Fund	2010		4,456		—		—		4,456
	2009		772		—		2,889		3,661
Large Cap Disciplined Equity Fund	2010		113,630		—		—		113,630
	2009		10,906		—		79,835		90,741
Large Cap Index Fund	2010		10,238		—		—		10,238
	2009		8,392		608		—		9,000
Small Cap Fund	2010		10,767		—		—		10,767
	2009		23,822		—		—		23,822
Small/Mid Cap Equity Fund	2010		23,438		—		—		23,438
	2009		27,726		—		—		27,726
U.S. Managed Volatility Fund	2010		9,780		252		—		10,032
	2009		555		—		—		555
International Equity Fund	2010		13,386		—		—		13,386
	2009		11,818		1,123		—		12,941
World Equity Ex-US Fund	2010		75,180		—		—		75,180
	2009		—		—		—		—
Screened World Equity Ex-US Fund	2010		912		—		—		912
	2009		561		—		—		561
Enhanced LIBOR Opportunities Fund	2010		2,810		—		—		2,810
	2009		3,100		—		929		4,029
Core Fixed Income Fund	2010		257,305		—		—		257,305
	2009		360,778		27,495		—		388,273
High Yield Bond Fund	2010		145,168		—		—		145,168
	2009		135,862		—		—		135,862
Long Duration Bond Fund	2010		113,770		—		—		113,770
	2009		24,618		—		—		24,618
Emerging Markets Debt Fund	2010		95,106		—		—		95,106
	2009		76,229		—		—		76,229
Real Return Fund	2010		6,985		—		—		6,985
	2009		19,513		—		1,496		21,009


	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post October Losses ($ Thousands)			Post October Currency Losses ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Large Cap Fund	$	3,345	$	—	$	(89,778	)	$	—		$	—		$	39,369		$	—		$	(47,064	)
Large Cap Diversified Alpha Fund		1,399		—		(175,790	)		(864	)		(9	)		2,904			—			(172,360	)
Large Cap Disciplined Equity Fund		32,995		—		(2,597,114	)		—			(8	)		378,378			—			(2,185,749	)
Large Cap Index Fund		1,839		—		(23,438	)		(3,295	)		—			73,290			—			48,396
Small Cap Fund		1,865		—		(404,837	)		—			—			95,174			(63	)		(307,861	)
Small/Mid Cap Equity Fund		2,092		—		(533,984	)		—			(116	)		204,952			(3	)		(327,059	)
U.S. Managed Volatility Fund		11,693		3,283		—			—			—			37,416			—			52,392
International Equity Fund		22,354		—		(441,761	)		(1,960	)		—			(57,790	)		—			(479,157	)
World Equity Ex-US Fund		56,247		—		(880,613	)		—			—			(179,528	)		(1,143	)		(1,005,037	)
Screened World Equity Ex-US Fund		846		—		(22,911	)		—			—			(4,889	)		1			(26,953	)
Enhanced LIBOR Opportunities Fund		2,586		—		(35,404	)		(17,470	)		—			(87	)		—			(50,375	)
Core Fixed Income Fund		115,817		—		—			—			—			(81,296	)		(19,238	)		15,283
High Yield Bond Fund		12,977		—		(124,856	)		(28,042	)		—			6,098			(12,998	)		(146,821	)
Long Duration Fund		9,037		—		(8,733	)		—			—			147,817			(12,047	)		136,074
Emerging Markets Debt Fund		12,658		—		(59,232	)		—			—			54,074			(18,371	)		(10,871	)
Real Return Fund		3,134		4,038		—			—			(1	)		5,217			—			12,388


146		SEI Institutional Investments Trust /Semi-Annual Report /November 30, 2010


	Expires 2011 ($ Thousands)		Expires 2015 ($ Thousands)		Expires 2016 ($ Thousands)		Expires 2017 ($ Thousands)		Expires 2018 ($ Thousands)		Total Capital Loss Carryforwards 05/31/09 ($ Thousands)
Large Cap Fund	$	81,891	$	—	$	—	$	7,887	$	—	$	89,778
Large Cap Diversified Alpha Fund		—		—		—		80,326		95,464		175,790
Large Cap Disciplined Equity Fund		—		—		—		1,493,918		1,103,196		2,597,114
Large Cap Index Fund		—		—		—		6,369		17,069		23,438
Small Cap Fund		—		—		—		154,582		250,255		404,837
Small/Mid Cap Equity Fund		—		—		—		208,795		325,189		533,984
International Equity Fund		—		—		—		163,564		278,197		441,761
World Equity Ex-US Fund		—		—		—		438,657		441,956		880,613
Screened World Equity Ex-US Fund		—		—		—		6,490		16,421		22,911
Enhanced LIBOR Opportunities Fund		—		—		1,488		10,404		23,512		35,404
High Yield Bond Fund		—		—		1,148		61,962		61,746		124,856
Long Duration Fund		—		1,412		796		6,525		—		8,733
Emerging Markets Debt Fund		—		—		—		26,548		32,684		59,232


U.S. Managed Volatility Fund
	Number of Shares		% of Outstanding Shares			% of Shares Present
Affirmative		9,239,226.00		100.00	%		83.82	%
Against		—		0.00	%		0.00	%
Abstain		—		0.00	%		0.00	%

Total		9,239,226.00		100.00	%		83.82	%


5		SEI Institutional Investment Trust / Semi-Annual Report / November 30, 2010


SEI Institutional Investments Trust

By (Signature and Title)		/s/ Robert A. Nesher
		Robert A. Nesher, President & CEO

Date: February 9, 2011